commit 054efcb91497c418c72a5f7c332788011cff2ec9 Author: Luigi Ballabio Date: Mon, 24 Feb 2014 12:33:07 +0100 Fixed a Schedule bug. A combination of backwards generation and end-of-month convention could result in missing or duplicated first dates. Thanks to Nicholas Manganaro for the heads-up. commit 303bcaf034cc11738a6652b4b436c3f4846c5c3a Author: Peter Caspers Date: Sat, 22 Feb 2014 07:56:11 +0100 Fix upper/lower bound calculation in model constraint. Backported from master. commit 0b36fa5b099f2347debeb14fc1fdc8a3689f3dc2 Merge: bb181fa 15076ba Author: Luigi Ballabio Date: Wed, 19 Feb 2014 11:59:30 +0100 Merge pull request #78. commit 15076bae180a2cae77ed42d6046dec8406e2a2a7 Author: BGC-nglass Date: Wed, 19 Feb 2014 10:08:39 +0000 Correct exCouponDate on last coupon commit bb181fafd5777dd62c6841e11131acc6ef4a6a7c Author: Luigi Ballabio Date: Wed, 12 Feb 2014 11:33:54 +0100 Use corrected rate in weighted average. commit f281a83b64209e1e1bfe815eb860f5100d33fbea Author: Luigi Ballabio Date: Tue, 11 Feb 2014 18:21:14 +0100 Update changelog. commit 23d75a2f20aefc9990abf806fd268e4f772d6beb Author: Luigi Ballabio Date: Tue, 11 Feb 2014 18:12:42 +0100 Allow auto-linking for VC++12. We still don't have projects for VC++12; this change allows one to use the VC++11 solution and auto-link the generated library. commit 269e7b32482b917a09b5e4b12eac167e7969ef45 Author: Luigi Ballabio Date: Tue, 11 Feb 2014 10:26:48 +0100 Removed extra calculations. Apparently, they were added to nudge the compiler into not optimizing method calls away. They were replaced by a proper update method. commit 0365318322a0444c4b85ef514456b3f2f2c50508 Author: Luigi Ballabio Date: Mon, 10 Feb 2014 17:28:36 +0100 Remove unused test parameter. commit 27b9e84e7396b2ca4526f232c1f8bc95d562991f Author: Luigi Ballabio Date: Mon, 10 Feb 2014 17:28:12 +0100 Remove duplicated assignments. commit 728484b97b5401ab40466f8532a93a27c019cd65 Author: Luigi Ballabio Date: Mon, 10 Feb 2014 17:27:09 +0100 Avoid shadowing data member with constructor argument. This could cause the data member to be given a null value. commit 19035c1b1a577f11067638a056e8b63b93275a31 Author: Luigi Ballabio Date: Mon, 10 Feb 2014 17:25:25 +0100 Remove unused assignment. The value is overwritten a few lines later. commit 67e989ff1d98ccb80d00387ab6e412e0b34ec372 Author: Luigi Ballabio Date: Mon, 10 Feb 2014 17:15:55 +0100 Add Royal Wedding bank holiday to UK calendar. Thanks to Whit Armstrong for the heads-up. commit 344a8ad46ad7433a2bd89002f2c2ef28726d6884 Author: Luigi Ballabio Date: Tue, 4 Feb 2014 15:46:42 +0100 Update changelogs. commit 89c6169ea23f3ec40d79dec64a6925ef282fcba0 Author: Luigi Ballabio Date: Tue, 4 Feb 2014 14:56:34 +0100 Update list of contributors. commit 2bf185f433d344d85f5d194eb48861ce2f5a941d Author: Luigi Ballabio Date: Tue, 4 Feb 2014 14:56:23 +0100 Add list of changes for version 1.4. commit 9ac514de2170dfee09a14a63aad8e2e7f9567343 Author: Luigi Ballabio Date: Tue, 4 Feb 2014 00:47:38 +0100 Associate comment to the correct method. commit a3958a2d3532cf94659666d8277d55f52085dbd2 Author: Luigi Ballabio Date: Mon, 3 Feb 2014 14:38:07 +0100 Prevent warnings about deprecated class on Visual C++. commit 547ceacc74cd097ecfc8863f07c0a098d4f10255 Author: Luigi Ballabio Date: Sun, 2 Feb 2014 17:47:23 +0100 Update list of copyright holders. commit d690977612cd96c59258a0ee8b8ce1c28c1f4ed2 Author: Luigi Ballabio Date: Sun, 2 Feb 2014 14:03:46 +0100 Deprecated a couple of unused classes. commit 6520c4dd0bfa20a7e7a5fb870431486dc9485202 Author: Luigi Ballabio Date: Sat, 1 Feb 2014 23:51:53 +0100 Drop support for Visual C++ 2003 (VC++7). The compiler is now more than 10 years old and no longer supported by Microsoft. Keeping the support is not worth the time and effort required. Anybody who is still stuck with this compiler and needs the support can fork the repository and maintain the changes. commit 16b57f4d32b5c762aa76a334c54bf4b60c5a1154 Author: Luigi Ballabio Date: Fri, 31 Jan 2014 17:48:35 +0100 Prevent a few VC++ warnings. commit b711736bdf796f1e802960e807e0a9b2887ee6ec Author: Luigi Ballabio Date: Fri, 31 Jan 2014 17:36:21 +0100 Modify a few test messages commit bb14425b38af4ec41dd228af6aa6ec6613918ddc Author: Luigi Ballabio Date: Fri, 31 Jan 2014 11:07:57 +0100 Reverted tolerance to previous value. The increased errors were due to a missing bug fix on the development branch. commit 7a17716c4fb645b12b7aabc03f82342bc05d2ceb Author: Luigi Ballabio Date: Thu, 30 Jan 2014 15:34:10 +0100 Ensure that headers compile on their own. commit 4fe8490dc55bfe196179608cebca3fd9ae6966d6 Author: Luigi Ballabio Date: Thu, 30 Jan 2014 14:28:32 +0100 Reordered headers. We put our headers first to make sure that the preprocessor sees our macros, defines and whatever else before external code. commit f535a8f28e04e5626b1593e0d2c327b38583faae Merge: 42cfea2 2b1fb11 Author: Luigi Ballabio Date: Wed, 29 Jan 2014 15:45:41 +0100 Merge pull request #74. commit 2b1fb11ba7be25605a335ee2384259d7cdd1f5ef Author: Luigi Ballabio Date: Wed, 29 Jan 2014 15:13:43 +0100 Updated VC++ and Dev-C++ projects commit 836179e8243d2b300d72d37f3b617f0b5760c35a Author: Luigi Ballabio Date: Wed, 29 Jan 2014 15:05:47 +0100 Increased test tolerance for new pricer commit f7085c277b4f6f764dcd18361147b20bf00edf03 Author: Luigi Ballabio Date: Wed, 29 Jan 2014 14:43:23 +0100 Moved new pricer to experimental tree commit 42cfea23bd43f6f106bca16f8793d212ac21e856 Author: Luigi Ballabio Date: Wed, 29 Jan 2014 13:23:06 +0100 Added overlooked test to global test suite commit 16f1be7a79f84d48be217b0363edcdf7f0c466df Merge: 9343d88 02214f0 Author: Luigi Ballabio Date: Wed, 29 Jan 2014 11:26:16 +0100 Merge pull request #60. commit 02214f047000724fdaf57be80d3f116626f31fbb Author: Luigi Ballabio Date: Wed, 29 Jan 2014 10:53:54 +0100 Added examples as test cases. commit 9343d88e0ca6c5a6c3f1696ac7940baeeaf524f6 Merge: c71dd4a 2767d61 Author: Luigi Ballabio Date: Tue, 28 Jan 2014 22:03:03 +0100 Merge pull request #73. - added Broadie Kaya exact simulation schema; - added pricing engine for arbitrary European payoffs under the Heston model; - added modified Bessel functions. commit 2767d6169c81766506c3bd64b370c8cc7c1a60d1 Author: Luigi Ballabio Date: Tue, 28 Jan 2014 18:24:23 +0100 Moved modified Bessel tests with tests for other functions commit 56a6d92d44ee9fd835ef1f52f96e8ad6493dd9eb Author: Luigi Ballabio Date: Tue, 28 Jan 2014 18:11:29 +0100 Reordered files commit 7c5dcaf84f657619729bf3a45193d3c1598399b4 Author: Luigi Ballabio Date: Tue, 28 Jan 2014 18:09:29 +0100 Updated VC++ and Dev-C++ projects. commit e82d03893da24343545cd4d96ee3e0e355ea3f7b Author: Luigi Ballabio Date: Tue, 28 Jan 2014 16:29:58 +0100 Fixed file permissions commit f88cfc0daff51f967759980bb6cb349294779121 Author: Peter Caspers Date: Sun, 12 Jan 2014 20:55:40 +0100 Fix encoding commit 0a21bdc47475fa4776336a02cce3a76bd97dacfd Author: Peter Caspers Date: Sun, 12 Jan 2014 20:55:09 +0100 Remove unused functions commit 11524d0391815d73337dced9ad28d9483a23e6e8 Author: Peter Caspers Date: Sun, 12 Jan 2014 20:02:51 +0100 Remove unused code. commit 3c3bdd4ac2652e259d92a20350b8b3f04527690c Author: Peter Caspers Date: Sun, 12 Jan 2014 20:02:30 +0100 use precomputed result commit 1861fea8bc2f3b19e6b871fa17e44cb0eeea02ba Author: Peter Caspers Date: Sun, 12 Jan 2014 20:02:08 +0100 Fix deprecated Handle initialization. commit 16ee093af2e1702a034dca33daa1ee659d9217d0 Author: Peter Caspers Date: Sun, 12 Jan 2014 20:01:33 +0100 Remove unnecessary include. commit 9e9e7e71b37bd7e2c43f2bdf48af0bb9a97744b4 Author: Peter Caspers Date: Sun, 12 Jan 2014 20:01:09 +0100 Remove unused functions. commit 5fc34fc7a3334d121f53e39164a2e1755254f02b Author: Peter Caspers Date: Sun, 12 Jan 2014 20:00:12 +0100 Remove unused variables. commit 743bf8982b25b49964975ddf9895ce4ea274c4be Author: Luigi Ballabio Date: Mon, 27 Jan 2014 18:05:06 +0100 Use declared data members. commit 62b33aa8db70b402e821254876a15fe79c398b79 Author: Luigi Ballabio Date: Mon, 27 Jan 2014 18:04:28 +0100 Remove redundant data member. commit 500b886378243d0f0f15491a8bc4592167465705 Author: Luigi Ballabio Date: Mon, 27 Jan 2014 18:03:42 +0100 Use passed seed in RNG initialization. commit bb023fe644e7ddebb670439d6cc39c0f7e45dcc4 Author: Peter Caspers Date: Sun, 15 Sep 2013 21:19:20 +0200 Hide methods to avoid clang warning. commit 2b98a41d54c23ac7fe211a8755515163c9d5ed99 Author: Peter Caspers Date: Sun, 15 Sep 2013 21:18:54 +0200 Remove unused variables to avoid clang warning. commit b98f0c15361a5b6829dd5777d9799e8b8e349c84 Author: Luigi Ballabio Date: Mon, 27 Jan 2014 13:10:07 +0100 Updated most moving holidays for 2014. commit fe8725ddf37d835d0179bc5ab9971e9cd1d371d5 Author: Peter Caspers Date: Sun, 26 Jan 2014 09:31:20 +0100 fix makefile commit de69d68ef18d8a3fc676eaec97a87afcffab6266 Author: Luigi Ballabio Date: Sat, 25 Jan 2014 00:44:39 +0100 Use fixed tenor from swap index when building swaption. commit 1185745b6598545f5676afc7b0b6a52479d38140 Author: Luigi Ballabio Date: Fri, 24 Jan 2014 22:41:52 +0100 Allow swap engine to work with empty legs. In that case, start and end discounts will be null. commit 79dc964d374d87e90de4d1174cb1b68f3d1bf9f6 Author: Mario Aleppo Date: Thu, 23 Jan 2014 21:12:50 +0100 Piecewise-spreaded curve can now choose interpolation. commit 11fb50ac2261d139a963c301f440613b7a6b3346 Author: Luigi Ballabio Date: Thu, 23 Jan 2014 17:58:29 +0100 Allow simple spreaded curves to wrap an empty handle. This prevent an exception being raised when a null curve is set to a handle that also happen to be wrapped by a spreaded curve. commit 6fb9f3667c4b97589ec9fe9ecd7f12bc1086d7fa Author: Luigi Ballabio Date: Thu, 23 Jan 2014 17:37:13 +0100 Add utility class for creating custom Region instance. commit bc45b0b6c7ae7b6d4fcb4859ac916a955da23c31 Author: Luigi Ballabio Date: Thu, 23 Jan 2014 14:50:38 +0100 Ignore inflation fixings stored at future dates. The change was make for zero inflation only at this time. Also, the comparison is made with today's date. We might be more strict if we had a better way to determine what fixings can't yet be announced. commit b367a2aa5b8949f03580bf22bc3300fb20a1d25f Author: Luigi Ballabio Date: Thu, 23 Jan 2014 14:46:45 +0100 Register inner option of convertible bond with observables. This allows proper recalculation when anything changes. commit d60263ec19b9cd24dc5fc0fdb22fbc66ad21b107 Author: Peter Caspers Date: Fri, 24 Jan 2014 20:12:41 +0100 add linear terminal swap rate model pricer for cms coupons commit 7821b92d9b3dad239149ed3a4d65af7d35c8f37d Author: Luigi Ballabio Date: Fri, 24 Jan 2014 18:07:55 +0100 Extend experimental generalized Hull-White model. Thanks to Cavit Hafizoglu. - Allow to choose the mapping function between short rate and state variable; - Include the case of constant parameters. commit 22cae3d22b87a356e85eef9503e8003f5c3d7ee3 Author: klausspanderen Date: Fri, 24 Jan 2014 14:11:37 +0100 updated VC10 files commit 2f7755e1383650088ee253d8dbbfba7eca9f3405 Author: klausspanderen Date: Fri, 24 Jan 2014 12:51:18 +0100 fixed formatting commit 262b02f1750160a4e4d68a4486cd8cca1a8a45d8 Author: klausspanderen Date: Fri, 24 Jan 2014 12:33:22 +0100 added Broadie-Kaya exact simulation for the Heston model added pricing engine for arbitrary European payoffs under the Heston model commit 2a4c041ab9257ac6c90613ba98213361fba2e306 Merge: 7a979ad 34be76c Author: Luigi Ballabio Date: Wed, 22 Jan 2014 18:29:43 +0100 Merge pull request #72. commit 34be76c9eb9dbb44dc215df979e05de83ce32af0 Author: Peter Caspers Date: Wed, 22 Jan 2014 16:53:23 +0100 clean up the previous fix commit eeb731e41cb356425c96579ad4e9fb4ccb96b4fb Author: Peter Caspers Date: Wed, 22 Jan 2014 14:12:12 +0100 fix swaption volatility structures with floating reference date commit 7a979ad6b3b3d0f733f3b9924a8a57d18c8c2563 Merge: 1cf238a 66d3828 Author: Luigi Ballabio Date: Tue, 21 Jan 2014 11:26:17 +0100 Merge pull request #71. commit 1cf238af056b659e4e6e2adac6ec3ab12dd75a1f Merge: d119eba dc6609d Author: Luigi Ballabio Date: Tue, 21 Jan 2014 11:02:08 +0100 Merge pull request #69. commit d119eba03a6f3259efe17e43f63508ad9b26d79f Merge: 7cd9996 39f314f Author: Luigi Ballabio Date: Tue, 21 Jan 2014 10:19:29 +0100 Merge pull request #62. commit 66d3828f01ecf142e379dd7f5923cd7ec049b126 Author: Peter Caspers Date: Sat, 18 Jan 2014 13:43:11 +0100 fix interpolation of option dates when evaluation date changes (thanks to Shen Hui) commit dc6609dc0b3d16ccc75f29dd3500b62cd472e0fc Author: klausspanderen Date: Sat, 18 Jan 2014 12:31:36 +0100 fixed theta issue for some american fdm engines. Theta should be measured after the early exercise condition gets applied. commit 7cd99968e61a563f393e6f56a31561cffe88b5d2 Author: Luigi Ballabio Date: Thu, 16 Jan 2014 16:52:56 +0100 Remove unqualified calls to make_shared. On VC++12, argument-dependent lookup was causing ambiguities between boost::make_shared and std::make_shared when vectors were passed among the arguments. Thanks to Armel Wambou for the heads-up. commit b258b0da52997f0f8824914a633c00eae10cc9ee Author: klausspanderen Date: Mon, 13 Jan 2014 22:18:00 +0100 improve check for r=0 commit f6b85bb0277dd427ccb160729209e25a525f8c46 Author: klausspanderen Date: Fri, 10 Jan 2014 23:08:35 +0100 fixed case r=0.0 commit 2ecf119185757726e69d1ef525e6ef8cd7034ee8 Merge: 8d5b955 e670219 Author: Luigi Ballabio Date: Wed, 8 Jan 2014 18:18:27 +0100 Merge pull request #68. commit e670219ab5c0068e249252c3d4627c43ab6ced1e Author: Luigi Ballabio Date: Wed, 8 Jan 2014 18:17:40 +0100 Mention the license of the Joe-Kuo numbers. commit 78457e838a25baeb859a0ac605c2dcfed66b8b04 Author: Luigi Ballabio Date: Wed, 8 Jan 2014 17:05:00 +0100 Replace hard tabs with spaces. commit 046e166f0fca5ef1693b210750aee2a7ee6681d8 Merge: 8286964 31610ff Author: Luigi Ballabio Date: Wed, 8 Jan 2014 15:38:18 +0100 Merge pull request #66. commit 403989afc7ca769a6abcbcc909b244d9b16f8ed6 Author: Luigi Ballabio Date: Wed, 8 Jan 2014 15:34:04 +0100 Update VC++ project filters. commit f4303132d386544d7a21d08187b608d7b049dc59 Author: Luigi Ballabio Date: Wed, 8 Jan 2014 14:53:36 +0100 Add new tests for VC++ and Dev-C++ projects. commit 82869647d87f857f517bbaf5adba6271fe2e980e Merge: 871983e 1fc21fc Author: Luigi Ballabio Date: Wed, 8 Jan 2014 11:38:50 +0100 Merge pull request #67. commit 871983e4bc51e2b77572300d0b9670c1d3811fb1 Author: Luigi Ballabio Date: Tue, 7 Jan 2014 15:34:25 +0100 Removed unused private attribute. Probably a leftover from a previous implementation. commit 374c01f081e6e009b3e3c4a6d151332a8591be12 Author: Luigi Ballabio Date: Tue, 7 Jan 2014 15:31:43 +0100 Made protected method virtual. That fact that it was not virtual already was probably an oversight. There's no much point in defining it and not have the possibility to override it. commit 88d7489586de259fd2afb55663ed53c97b508426 Author: Cheng Li Date: Wed, 8 Jan 2014 15:35:39 +0800 Sobol direction number up to 21200 dims with Joe Kuo 6 searching rule details can be found in the following link: http://web.maths.unsw.edu.au/~fkuo/sobol/ commit 1fc21fc613959cfe028e7d7d3b7249ca57775391 Author: klausspanderen Date: Wed, 8 Jan 2014 08:35:30 +0100 suppress warnings and keep backwards compatibility commit cec0adb72d60471de49e92849bd5a1f175f301d3 Author: Luigi Ballabio Date: Tue, 7 Jan 2014 17:26:30 +0100 Remove deprecation comment. The suggested alternative needs a number of inputs more than the class that was being deprecated. commit 78171b96fb9f33199275ad0bee201c6d4dc523dd Author: Luigi Ballabio Date: Tue, 7 Jan 2014 16:06:12 +0100 Enable deprecated access to protected data members. Protection level can't be switched with compiler attribute. Access to those data members is one of the several things we'll fix when we rethink the library. commit 6c8f2ccd18b857a00fa766201ca793d7e52bd897 Author: Luigi Ballabio Date: Tue, 7 Jan 2014 15:52:02 +0100 Rename deprecated list in generated docs. commit e6a3ae0341d8d19e0e2c197b56083249ef7bfd8c Author: Luigi Ballabio Date: Mon, 6 Jan 2014 20:55:04 +0100 Use deprecated attribute of supported compilers. This replaces the QL_DISABLE_DEPRECATED mechanism that conditionally removes the features and causes the compiler itself to emit warnings if the features are used. The user can enable or disable the warnings by the means provided by the compiler. commit be5dfb24e3f1d8e6f8f4fd03795cfcce6e37140e Author: Luigi Ballabio Date: Mon, 6 Jan 2014 18:00:48 +0100 Remove deprecated features in experimental code. commit fac40c5c3e5aea546d0860b2727330a24b566c7b Author: Luigi Ballabio Date: Tue, 7 Jan 2014 15:39:56 +0100 Removed reference to outdated make target. commit 09c04a650701e8f5b7ccb2cb7a562791ccb098fd Author: Luigi Ballabio Date: Sun, 5 Jan 2014 16:57:24 +0100 Prevent a number of warnings under g++. Unused variables, out-of-order initializations, signed/unsigned comparisons. commit 66473f7e616c2848ba740d0b4c2ab7ce18dcb118 Author: klausspanderen Date: Sat, 4 Jan 2014 15:11:44 +0100 fixed clang++ warning with respect to hidden virtual functions (far too many different calculate methods) commit adb2392983f7aa55d3eb9d79f1817a4f60004de6 Author: klausspanderen Date: Sat, 4 Jan 2014 14:06:44 +0100 fixed warnings with clang++ and boost version > 1.53 (thanks to Peter Caspers) commit 8c10e2fa66ab1aadbb15a6107110d7dc2b9b9be2 Merge: f50e539 d91b248 Author: Peter Caspers Date: Fri, 3 Jan 2014 16:13:11 +0100 Merge branch 'vendor' into vcUpd20140103 commit f50e539a5dd29a8ef688a00ae9fc6fee2ecf58a3 Author: Peter Caspers Date: Fri, 3 Jan 2014 16:10:00 +0100 update UnitCount commit b1e84e4b58db78da81bfd6738079aec31f1466c5 Author: Peter Caspers Date: Fri, 3 Jan 2014 16:09:21 +0100 update vc and dev project files commit d91b24899d1c210a704fac8cc9bea4cfadd6a42d Merge: 98c4270 d36a321 Author: Luigi Ballabio Date: Thu, 2 Jan 2014 11:13:57 +0100 Merge pull request #64. commit d36a3217dbf3f7a411ce77bfc06451ccb5872926 Author: Luigi Ballabio Date: Thu, 2 Jan 2014 10:48:07 +0100 Fix error message. commit 26d88c6af4db804cab758fa5e9c1fe12bffbe24b Author: Luigi Ballabio Date: Tue, 31 Dec 2013 12:56:01 +0100 Added missing virtual destructors. commit 2517eab1c93cff9bb7da4f5611376e6657f1bdb1 Merge: fc6d434 75a97b6 Author: Luigi Ballabio Date: Tue, 31 Dec 2013 11:34:29 +0100 Merge pull request #63. commit 75a97b687edb2e147ca20fc1a735863f0ce48409 Author: Luigi Ballabio Date: Tue, 31 Dec 2013 11:09:26 +0100 Renamed data member for consistency. Unlike "indices", "indexes" was already used in other places. commit 72c4c722c0209f0ce4c3f06d221c18a391fbabbb Author: Luigi Ballabio Date: Tue, 31 Dec 2013 10:52:22 +0100 Move inclusions to cpp file. commit fc6d4344a4e825ecc00de5df681b6775a9dc96de Merge: 22f8dea e5e33e2 Author: Luigi Ballabio Date: Mon, 30 Dec 2013 16:42:03 +0100 Merge pull request #49. commit e5e33e2631e4d7f8b0ba070387ec2b9e0e1e1ab9 Author: Luigi Ballabio Date: Mon, 30 Dec 2013 15:07:18 +0100 Revert changes to date() method. The check would be redundant in loops. Instead, I added a dateAt() method that checks the index (like vector::at). commit 54e7c60eeffc83ec57906d4e911d943fc90d49ad Author: Luigi Ballabio Date: Mon, 30 Dec 2013 15:04:53 +0100 Move leftover inclusions to where they are needed. commit 2ddac08539adeb1e5a35918b4a720c456f4ef391 Author: klausspanderen Date: Sat, 28 Dec 2013 15:34:52 +0100 fixed startDate > referenceDate (-> throw exception) commit 3f83c3cef1c6c6c3f17ad7bb9574c56163ca8294 Merge: 0db340a 92a85e3 Author: Peter Caspers Date: Wed, 25 Dec 2013 09:45:30 +0100 Merge branch 'fix20131026' into revampmarkov Conflicts: QuantLib/ql/experimental/Makefile.am commit 0db340a5b8189bc564bea3c3393761b92189aed8 Author: Peter Caspers Date: Wed, 25 Dec 2013 09:41:23 +0100 reorganized markov model code, added new instruments and engines, added one factor gsr model, reformatting commit 39f314ff38c08b16bf6d7db02210c3036351d4e2 Author: Peter Caspers Date: Mon, 23 Dec 2013 20:51:28 +0100 fix annuity computation commit f3055c3b539267a2463062b10171e6df84fd75e4 Author: Luigi Ballabio Date: Thu, 19 Dec 2013 15:18:42 +0100 Replace explicit allocation with make_shared. commit a28cc92d1bdf3a134030f77a3c38769bc72821ad Author: Luigi Ballabio Date: Thu, 19 Dec 2013 15:09:52 +0100 Increased time steps in convertible-bond test. commit 8652a0e6d79ee5230ba477cd50c14cf089c4ce56 Author: Luigi Ballabio Date: Thu, 19 Dec 2013 15:00:18 +0100 Fix delta and Gamma in Ju quadratic engine. Thanks to Fabien Le Floc'h for the fix. commit 2e9ff98da873f47692ecddd38db100595f07e796 Merge: 455ee71 bebfc1f Author: Luigi Ballabio Date: Thu, 19 Dec 2013 13:07:24 +0100 Merge pull request #61. commit bebfc1f04331e544b3f9e6e1008f7a59a90baf2d Author: klausspanderen Date: Mon, 16 Dec 2013 23:18:47 +0100 fixed formatting commit a84ae34f4b8351551737bd6e65e4477b4271e375 Author: klausspanderen Date: Mon, 16 Dec 2013 23:10:44 +0100 added b=0 case to Levy engine for Asian options improved case runningAvg >> forward for FDM Asian engine commit 455ee71b879780db26ff7d6366fe7f04aab57865 Merge: 2518816 75b0555 Author: Luigi Ballabio Date: Fri, 13 Dec 2013 15:37:32 +0100 Merge pull request #58. commit 75b0555a52c7d0b9de881f960846afaa01863242 Author: Luigi Ballabio Date: Fri, 13 Dec 2013 15:34:32 +0100 Update VC++ projects. commit 2b5aa82a2af9224d6c86f4b3dcb08ffb5127ba33 Author: BGC-nglass Date: Fri, 13 Dec 2013 12:15:30 +0000 Implement ex-coupon date for fixed rate bonds This commit adds support for ex-coupon dates to fixed rate bonds and updates the cashflow calculations to take account of this date. The results have been verified against Bloomberg for UK Gilts and Australian Government Bonds commit 3a328b59cb453b76c657c3243fa91ef53d1907b5 Author: Luigi Ballabio Date: Fri, 13 Dec 2013 15:09:33 +0100 Updated VC++ projects. commit ae1a8bf7797b956a4e5697d7b435f1c966499aba Merge: dc783de 0395094 Author: Luigi Ballabio Date: Fri, 13 Dec 2013 14:52:02 +0100 Merge latest changes from master. commit 0a74d9461619a81e1cfa76a40555c74f64c076aa Author: Luigi Ballabio Date: Wed, 11 Dec 2013 14:58:52 +0100 Updated VC++ and Dev-C++ projects. commit 7084297c7b9a0b6826a3351b3b8c57683e963478 Author: Luigi Ballabio Date: Wed, 11 Dec 2013 14:30:36 +0100 Removed unreleased files. They were left over from previous ages. commit 41045f9338bb609f01760964c103fada100458d8 Author: Luigi Ballabio Date: Wed, 11 Dec 2013 13:17:15 +0100 Added experimental catastrophe bond. Thanks to Grzegorz Andruszkiewicz. commit 10ee1e136d7ee0512bcb24968d4cb30c2b694475 Author: klausspanderen Date: Mon, 9 Dec 2013 22:13:38 +0100 got orig file back commit b73b646f6f985950ff8836cdc41d0921268f2190 Author: Luigi Ballabio Date: Thu, 5 Dec 2013 15:15:36 +0100 Use boost::make_shared in barrier tests. commit 9298fe74063942765e5fcf241fad981db941ae2d Author: Luigi Ballabio Date: Thu, 5 Dec 2013 15:13:34 +0100 Added Vanna/Volga pricing engine for FX barrier options. Engines were provided for both single- and double-barrier FX options. An analytic engine was also provided for double-barrier equity options. Thanks to Yue Tian. commit 41ed94a4926070f8ceaf42d91974cecf63cbd5d8 Author: Luigi Ballabio Date: Tue, 3 Dec 2013 14:51:07 +0100 Boost 1.39 or later required. This allows one to use make_shared to create shared_ptr instances. Unfortunately, the C++03 version only allows a maximum of 9 constructor arguments, so we won't be able to use it everywhere. (Also, let's use make_shared in new code, and by all means use it to replace explicit new when you come across it, but I wouldn't go and hunt for all allocations. A quick grep call gives more than 1000 hits, and the time to change them all is better spent for something else.) commit a7954711f8d6a38e2be2fa803f5310bd68abe61c Author: Luigi Ballabio Date: Mon, 2 Dec 2013 12:12:49 +0100 Added Hagan pricing engine for irregular swaptions. Thanks to Andre Miemiec. commit d4575f48c15c131739f85b2299641addca372a7c Author: klausspanderen Date: Sun, 1 Dec 2013 16:15:59 +0100 added two dimensional integration commit be731c8a259e8f032b0d3ffeef026b2d47d37a23 Author: klausspanderen Date: Sun, 1 Dec 2013 16:06:52 +0100 added two dimensional integration commit 7e2bd882d685b75c396a4b38d84a96b25bf139c8 Author: klausspanderen Date: Sun, 1 Dec 2013 15:58:47 +0100 added two dimensional integration commit 1662d0add00da7a6f1fcd9a6d24839d872d24dbb Merge: 000673f 350a45f Author: Luigi Ballabio Date: Thu, 28 Nov 2013 15:41:30 +0100 Merge pull request #48. Allow for calibration of a subset of a model's parameters. commit 350a45f62132fc7b6a08a03917f665800b7d3a8f Author: Luigi Ballabio Date: Thu, 28 Nov 2013 15:32:35 +0100 Added new files to VC++ and Dev-C++ projects. commit ac4a11deecc7e2b333e7851aa7fd92afa86f535c Author: Luigi Ballabio Date: Thu, 28 Nov 2013 15:00:25 +0100 Returned bare vectors instead of disposables. It's not called in any loop, and we can rely on NRVO anyway for copy elision. commit 3dd01fe994e9f4027cf0bff99231df055444704a Author: Luigi Ballabio Date: Thu, 28 Nov 2013 12:42:57 +0100 Extracted calibration constraint from struct. This gives some uniformity to this kind of methods (not entirely, though: some are static and some have to be instance methods). commit 800d200bbe4ee891eb8c0e3011360c782b6ed3bd Author: Luigi Ballabio Date: Thu, 28 Nov 2013 12:27:27 +0100 Some nitpicking on parameter names. commit c3fb3c02997f089094b8a3728a85905bc523aa08 Merge: 299d712 41c64c2 Author: Luigi Ballabio Date: Wed, 27 Nov 2013 18:05:22 +0100 Merge pull request #56. commit 6c10c50e134e39f1bafc26171561674242d109e8 Author: Luigi Ballabio Date: Wed, 27 Nov 2013 14:44:05 +0100 Used same font for subtitle in reference docs. commit 41c64c2e6a614a4e776a64f5257ddee4eb4febae Author: Peter Caspers Date: Wed, 27 Nov 2013 13:30:41 +0100 relax some test cases commit 1e64053980a92bc22fa6f812d5e19068a0a0df42 Author: Luigi Ballabio Date: Wed, 27 Nov 2013 10:05:50 +0100 Logo now links to home page. commit 18727c09d36f2eea70cf1d31083b598d5613d0b4 Author: Peter Caspers Date: Tue, 26 Nov 2013 19:09:44 +0100 rename parameter commit a714221fc1fcebc5ea79b26976498e7877793349 Author: Luigi Ballabio Date: Tue, 26 Nov 2013 18:47:05 +0100 Removed most customizations from generated docs. They had become unmaintainable with recent versions of Doxygen, and were missing the new features that were added. The offline and online versions were merged, too, with the glitch that search doesn't work in the offline version (which, however, I'm not even sure I want to keep distributing...) commit 4e464ac56e19423a5b8110a4d15369d203393885 Author: Luigi Ballabio Date: Tue, 26 Nov 2013 18:08:18 +0100 Removed obsolete documentation. commit 34ba46bfb1a37aab43abde121cd0baf2f2753663 Author: Peter Caspers Date: Tue, 26 Nov 2013 11:13:16 +0100 fix some output messages commit dc783de6dc95da99f1acfdbb26148990b72ba3b9 Author: Peter Caspers Date: Thu, 21 Nov 2013 18:08:43 +0100 replace tab by spaces commit b6133283aee10d671c6779af45a8aefc48ab9c97 Author: Peter Caspers Date: Thu, 21 Nov 2013 18:07:00 +0100 added simulated annealing optimizer commit f85afea233c7c7868cd3d1086ef5e8a809fb33b8 Author: Peter Caspers Date: Wed, 20 Nov 2013 16:57:23 +0100 fix breaks in suite due to new left interpolation sanity check in KahaleSmileSection, clean formatting commit e00cd67d7b52f58e28d9a499b4917f51d6e9c0c8 Author: U-GSA-WLB\int5341 Date: Thu, 14 Nov 2013 20:13:21 +0100 add diamond jubilee bank holiday to London calendar commit 81154f48c972c58bf60a8fa0d8e678a6b293b6c4 Merge: 4bb5c08 fcefe73 Author: Luigi Ballabio Date: Fri, 8 Nov 2013 12:23:26 +0100 Merge pull request #52. commit 92a85e373dd6fd0c9f35b29efb315eabdf96c2be Author: Peter Caspers Date: Tue, 5 Nov 2013 17:04:47 +0100 move rebated exercise class to experimental/exercise commit 4bb5c0875d81df5733c344760cdcb4a81de05a41 Merge: ac7f3ea 83ff775 Author: Luigi Ballabio Date: Mon, 4 Nov 2013 15:31:35 +0100 Merge pull request #51. commit fcefe7352d911c4b522ab832e432e42f89c573bc Author: Peter Caspers Date: Sun, 3 Nov 2013 17:06:10 +0100 add missing return statement commit 23df8d45798a557ff09b086991b2e643b12b8e5a Author: Peter Caspers Date: Sat, 2 Nov 2013 19:27:27 +0100 allow for construction by expiry date and for receiver and payer swaptions commit 5b29c6e075b901a119fa0e614682c39a66806058 Author: Peter Caspers Date: Sat, 2 Nov 2013 19:09:24 +0100 replace tabs by spaces commit 4fd57296741e4ef401ad9f07e9759ea234652d68 Author: Peter Caspers Date: Thu, 31 Oct 2013 13:40:24 +0100 add rebates commit 83ff775280c091a9e379113df7e125818a35b41d Author: Peter Caspers Date: Wed, 30 Oct 2013 21:47:49 +0100 add sanity check for left extrapolation commit ac7f3ea21d9fd4d92fb0edad9c0b756dad9f7327 Merge: b7548c9 6b1f81b Author: Luigi Ballabio Date: Wed, 30 Oct 2013 13:09:57 +0100 Merge pull request #50. commit b7548c9510d0233aeb12b19974a29b593f97df7c Author: Luigi Ballabio Date: Wed, 30 Oct 2013 13:06:00 +0100 Prevent some errors when linking a null term structure. When settings a null term structure to a Handle used as an underlying for another curve (say, a zero-spreaded curve), the latter tries to reset the jumps in the base class and fails. This error is now trapped. Thanks to Christoph Breig for the heads-up. commit 6b1f81b102012b63ad05ba83f048abc3be722422 Author: klausspanderen Date: Tue, 29 Oct 2013 23:15:33 +0100 fixed compile issue when using Halley's Method to refine the inverse of the cumulative normal distribution. commit 213f7c1072b4f40a921cb4bcf037fb06f5f64bb7 Merge: 0c4652d 91ae895 Author: Luigi Ballabio Date: Tue, 29 Oct 2013 14:53:16 +0100 Merge pull request #46. When available from Boost, add Maddock inverse-cumulative normal distribution. Also fix an extrapolation problem in a test (probably due to numerical error in floating-point calculations). commit 0c4652dabc8a1e9557c9c0ec86b21b1013cf0045 Author: Luigi Ballabio Date: Tue, 29 Oct 2013 14:24:53 +0100 Fix evaluation date to avoid intermittent test failures. commit a144a6ee4c0ff9b0630311fbd30bb87adb226e85 Author: Luigi Ballabio Date: Mon, 28 Oct 2013 18:24:33 +0100 Add OpenMP flags to quantlib-config. commit cd4c3a885bdfabc0a2b8355b7b955c0caa05a813 Author: joequant Date: Sun, 27 Oct 2013 18:46:40 +0800 parallelize FD utilities commit eadb8f17080718d7443c24c3923e5725bbe0c0f4 Author: joequant Date: Sun, 20 Oct 2013 21:47:02 +0800 parallelize operators commit 4f6321a71790cb23bc2d5ef4a966951db144afd8 Author: joequant Date: Sun, 20 Oct 2013 12:53:09 +0800 add lattice openmp commit 50c2fd0fd96e1b289892fa1ed9e6300db2040dce Author: Luigi Ballabio Date: Mon, 28 Oct 2013 18:30:08 +0100 Detect OpenMP in configure when requested. By default, OpenMP support is disabled. commit 91ae8955e42b0b295d16ecb2abf2bc4d91fbe0a3 Author: klausspanderen Date: Sun, 27 Oct 2013 15:39:46 +0100 formatting commit 150b9a0b7acd9ce227cf4dfea41b0eda0aa29ae3 Author: klausspanderen Date: Sun, 27 Oct 2013 15:36:56 +0100 formatting commit fbdafe964edbc0daf3517cb8adbe8a686c7f7ec2 Author: klausspanderen Date: Sun, 27 Oct 2013 15:28:43 +0100 changed pImpl_ implementation removed extra class for spline extrapolation commit a081bbb6c0bc78556941e96afd35244f98ec3618 Author: Peter Caspers Date: Sun, 27 Oct 2013 09:01:22 +0100 fix include paths commit 9f2244d49efd6f1418276337e51d27529e234236 Author: Peter Caspers Date: Sat, 26 Oct 2013 11:49:02 +0200 amend the test case for the calibration to a secondary instrument set commit 6072da1f8b37234e5d82fbc3365edb4342a10e5b Author: Peter Caspers Date: Sat, 26 Oct 2013 11:48:18 +0200 add a test case for calibration with fixed reversion parameter commit 9147da502955f123dda4931db0b8aa1b3f215ecd Author: Peter Caspers Date: Sat, 26 Oct 2013 11:47:41 +0200 add a calibration constraint which fixes the first component of the piecewise volatility, overwrite the calibrate method to make this constraint the default commit 13cb4e57a42088a600322c5ebcd00d997e2683be Author: Peter Caspers Date: Sat, 26 Oct 2013 11:46:48 +0200 add a calibration constraint which fixes the mean reversion during calibration commit afd6a605a7fe6106129b6d0db53c220d24b8e061 Author: Peter Caspers Date: Sat, 26 Oct 2013 11:46:23 +0200 allow for calibration of a subset of the model's parameters commit b70f11cf0074a3b85989cab7f3fb38286f3ceca6 Author: Peter Caspers Date: Sat, 26 Oct 2013 11:45:11 +0200 abstract out the projection from ProjectedCostFunction and add a ProjectedConstraint class commit 870223a6f0a0acfdad72d392fbca949949fc7946 Merge: e6158f8 6ce4f6a Author: Luigi Ballabio Date: Wed, 23 Oct 2013 18:02:35 +0200 Merge pull request #41 from Simon Shakeshaft. Allow singletons to work under Visual C++ when CLR is enabled. commit 6ce4f6ad9fa72b802fd952787062aa0a1c2def74 Author: Luigi Ballabio Date: Wed, 23 Oct 2013 18:00:56 +0200 Replace deprecated test macros with current version. commit 6d1b876e145e45cb6cab4f6969a5e5eac3b26de6 Author: Luigi Ballabio Date: Wed, 23 Oct 2013 18:00:24 +0200 Switch singleton implementation when using CLR. commit 236652e2f09e650941e024739e785a051371cc8e Author: Luigi Ballabio Date: Wed, 23 Oct 2013 13:55:28 +0200 Add new files to build. commit db97be97b8ad9ca2afa0217da02ff411169cc207 Author: Luigi Ballabio Date: Wed, 23 Oct 2013 13:53:53 +0200 Add missing includes. commit 44c41e666633f99ddbf9f245eeed539dba5692d2 Author: Luigi Ballabio Date: Wed, 23 Oct 2013 13:52:18 +0200 Restore original singleton implementation. First step in using a define to switch between the working implementations for the compiler switch being used. commit e6158f89ee8b0d07315b6d06c1d915d0873b1bc2 Author: Luigi Ballabio Date: Tue, 22 Oct 2013 21:07:16 +0200 Reorder header. commit 88b44edb512c2284ce751f3a9044d79088d05284 Merge: aacf4c8 7fe7c99 Author: Luigi Ballabio Date: Tue, 22 Oct 2013 14:25:50 +0200 Merge pull request #47. commit 7fe7c997de31776c053500da49eeafca5bc8efd8 Merge: 9562a2b d9ad42f Author: Peter Caspers Date: Mon, 21 Oct 2013 16:08:08 +0200 Merge branch 'fix20131017' into fix20131021 commit 9562a2bff532ca6a4ff5a393fe17a4cd147eb0bc Author: Peter Caspers Date: Mon, 21 Oct 2013 13:26:32 +0200 It seems enough to ensure that f is a valid real, so set the maximum value to QL_MAX_REAL. If a numerical problem during interpolation occurs (zero near boundary not found or f is infinite or both) delete the right point of the interpolation interval and try the next one. If no point is left, continue with the extrapolation. commit d007f25067a6eecc6c9568f84d4bf83cfc3bc45c Author: klausspanderen Date: Sun, 20 Oct 2013 22:55:07 +0200 test only if boost version supports InverseCumulativeNormalDistribution commit 60bc45ee86c5b6b1cf6008215c7d46cb73ec0c28 Author: klausspanderen Date: Sun, 20 Oct 2013 22:49:42 +0200 added MaddockInverseCumulativeNormal (proxy for the corresponding boost implementation) fixed compiler issue with clang++ 3.3 and boost-1.53 in test-suite/convertiblebonds.cpp commit eed2e4d1729177ae1e49a509a7b21357bd6f98a2 Merge: 636a5d4 128609b Author: klausspanderen Date: Sat, 19 Oct 2013 15:07:23 +0200 Merge remote-tracking branch 'upstream/master' into quantlib-merge commit 636a5d4d6ca41ff077efff5b2d74aa1e29145215 Author: klausspanderen Date: Sat, 19 Oct 2013 14:39:46 +0200 fixed extrapolation problem for VC9 commit d9ad42f8b9af897cd57b19aff8f992645b29201a Author: Peter Caspers Date: Fri, 18 Oct 2013 19:27:34 +0200 fix illegal index access (which could happen for deleteArbitragePoints = true) commit 89a43addccdc4e176fa0ef14e5c061085a50f0b9 Author: Simon Shakeshaft Date: Fri, 18 Oct 2013 07:10:51 +0100 Refactor #include Replace #include with forward declared Signed-off-by: Simon Shakeshaft commit a4ecc67b704ea2b4f87ebb9595c4e0aa172154f6 Author: Peter Caspers Date: Thu, 17 Oct 2013 18:52:55 +0200 ensure that strike 0 is present for bounded smile sections commit 21f8660f8c0ac990335899de822bee1d368b6c2c Author: Simon Shakeshaft Date: Thu, 17 Oct 2013 12:39:46 +0100 Refactor #include to .cpp not reqd in .hpp. Signed-off-by: Simon Shakeshaft commit 9bdadc12833f6618d4a034dfa5ed352d422f3001 Author: Simon Shakeshaft Date: Thu, 17 Oct 2013 12:26:28 +0100 Moved implementations to .cpp files - works around an issue when using CLI wrappers. see: http://connect.microsoft.com/VisualStudio/feedback/details/336844/static-variable-in-native-method-causes-exception-c0020001-during-process-exit commit 3cbd0d84084bef29fe226e4a4f1c4e9941743134 Author: Simon Shakeshaft Date: Thu, 17 Oct 2013 11:48:32 +0100 Separated implementation into cpp file, but this requires explicit template instantiations. commented out #include not required? Signed-off-by: Simon Shakeshaft commit 29e9d95a44f938c1f03cbb693b8554d9ce24f65c Author: Peter Caspers Date: Wed, 16 Oct 2013 09:54:40 +0200 allow for negative strikes (down to -displacement) commit 2f0e1bbd4b608226b8348b086e1dcc0296c133b6 Author: Peter Caspers Date: Tue, 15 Oct 2013 14:42:09 +0200 check if forward + displacement is positive instead of the forward alone commit edd6a905221b41381612f940f399e109989fe389 Author: Simon Shakeshaft Date: Thu, 10 Oct 2013 12:57:41 +0100 Corrected flag usage in test-suite/bin/runtest.bat. Signed-off-by: Simon Shakeshaft commit d0ca3d60d26eec174c87ec945d7e86dfc64a93cb Author: Simon Shakeshaft Date: Thu, 10 Oct 2013 12:49:14 +0100 Added additional test case for Thirty360 daycounter (BondBasis and EurobondBasis). Signed-off-by: Simon Shakeshaft commit 128609bf93d47139e039814f324465aff8c54b29 Author: Luigi Ballabio Date: Wed, 14 Aug 2013 11:49:23 +0200 Added missing error reporting to test cases. The error was simply output as a test message. commit 13e92263c70f98e3a4e01fdb0f938d93dba14606 Author: Luigi Ballabio Date: Tue, 8 Oct 2013 14:59:57 +0200 Break a circular reference in test cases. commit 5a590e8328e6f4063280f19dba89f8ff939ae8bb Author: Luigi Ballabio Date: Mon, 7 Oct 2013 18:06:32 +0200 Added missing break statements. Thanks to Andrey Karpov for the heads-up. commit 6424e2c33d4415cae071ca031194c2a08d82b539 Merge: 5a5c0cb c790878 Author: Luigi Ballabio Date: Wed, 2 Oct 2013 14:57:17 +0200 Merge latest changes from 1.3.x branch. commit c7908787dc707602d0df0636553c44e8b9a6e0c8 Author: Luigi Ballabio Date: Wed, 2 Oct 2013 12:09:11 +0200 Fixed IborCoupon construction with null fixing days. The coupon was used the passed fixing days instead of the ones previously processed by the base class constructor. Thanks to Lisa Ann and Gerardo Ballabio for the heads-up. commit 5a5c0cb247ed44700d1613f1a6e7178f79e2ccb5 Merge: cc8ea96 23a0040 Author: Luigi Ballabio Date: Mon, 30 Sep 2013 14:28:17 +0200 Merge pull request #35. commit ebf6fccae7526ab353b371625ea20563e3d5badc Author: Peter Caspers Date: Mon, 30 Sep 2013 08:04:58 +0200 make sure that min and max strike are added only once commit f3ec97169c919543979e7ab7074ff69795e65cd9 Author: Peter Caspers Date: Sat, 28 Sep 2013 22:01:40 +0200 change criterion to identify optional flows to exercise date <= accrual start date commit a22c231c2068caa2c570809593bae1b66c9cbac7 Author: Peter Caspers Date: Sat, 28 Sep 2013 21:59:32 +0200 add endpoints for sections with limited strike range, move deleteArbitragePoints from KahaleSmileSection to SmileSectionUtils, delete unused member variables, use otm option to imply volatility from price, reformat source code commit 23a00403483663e54b551233b4aafcbe9dc67a0e Author: Maks Date: Thu, 26 Sep 2013 22:07:22 +0300 fix "RecursiveCdoEngine::loss_unit_" init before getting "std::min_element(lgds.begin(), lgds.end())" in "lgds" removed all "0" elements. But this is not correct removing. std::remove() only moving all the elements that not equal to "0" and return iterator to the new end. instead of "0" lgds contains trash. There are two ways: 1. get iterator to the new end: std::min_element(lgds.begin(), new_end_iterator) 2. really erase all "0" from lgds: lgds.erase(std::remove(lgds.begin(), lgds.end(), 0.), lgds.end()); cplusplus.com/reference/algorithm/remove/ I suggest 2 commit c095de4e38d9258e98939206608888588660f987 Author: Maks Date: Thu, 26 Sep 2013 11:45:43 +0300 fix SmileSectionUtils::SmileSectionUtils() insertion values to "k_" ```C++ k_.push_back( tmp[i] * f_ ); ``` was without check commit 720bc3dc17f2b9459fffaa8a8b62b14daafefe66 Author: Maks Date: Thu, 26 Sep 2013 11:27:23 +0300 fix potential EnergyCommodity::secondaryCostAmounts_ leak each time you call EnergyCommodity::calculateSecondaryCostAmounts() commit aa85a8ccdf61f85fd939a5f8422bb9953884dac2 Author: Maks Date: Thu, 26 Sep 2013 11:22:08 +0300 fix CommodityCurve::dates_ and CommodityCurve::data_ leak each time you call CommodityCurve::setPrices() commit d6f3b57230165b523bf299c906d22673bc51e5cf Author: Maks Date: Thu, 26 Sep 2013 11:07:55 +0300 fix ManipulateDistribution::convolve() QL_REQUIRE commit 71e5edd981a69e18120e8b728b313685d4abd43c Merge: 9d833d2 2249a79 Author: Luigi Ballabio Date: Thu, 19 Sep 2013 14:39:45 +0200 Merge pull request #29. commit 2249a797341f1be80c974eea4a8d89422d8a065a Author: Luigi Ballabio Date: Thu, 19 Sep 2013 14:34:47 +0200 Renamed holder generator to "formatted_date". It seems more descriptive and less ambiguous than "userdefined_date" (it's the format which is user-defined, not the date). Also, the preprocessor checks for Boost > 1.33 were removed (since we already assume that Boost is at least at version 1.34.1). commit 3ccd58f5cdc1355aca8edecbb39fe1c6c52bff55 Author: Luigi Ballabio Date: Thu, 19 Sep 2013 13:13:20 +0200 Moved parsing of dates to existing utility class. Previous parsing functionality was deprecated. A few tests were added. commit 199d512852b80f7c36e3b1a4c32786196bbb6c3f Author: klausspanderen Date: Sun, 25 Aug 2013 12:31:45 +0200 Backport fix from master: fixed index access commit dda7b933d75dc239833898ee5519c0cec8e3c739 Author: klausspanderen Date: Sun, 15 Sep 2013 21:49:29 +0200 avoid clang++ warning commit 62b983fd510bf22726615958271ed7f25490f50c Author: klausspanderen Date: Sat, 14 Sep 2013 18:58:23 +0200 avoid clang++ warning commit d2fb8c304e3dc3ba022c21c765c590efae886457 Merge: 5fcb16e ef4aceb Author: Michael von den Driesch Date: Sat, 14 Sep 2013 09:30:36 +0200 Merge remote-tracking branch 'lballabio/master' commit ef4aceb67b8af06d69b310b11a9a5ab5c2ad2378 Merge: 42598e3 ae30b99 Author: Luigi Ballabio Date: Fri, 13 Sep 2013 16:12:46 +0200 Merge pull request #30. commit ae30b9959308e737e79e95d0a10455e87729ad3d Author: Luigi Ballabio Date: Fri, 13 Sep 2013 16:11:47 +0200 Restore diagnostics after the skipped warning. commit dd37b7c8fb558b974974b93c4fb57d2d88500050 Author: Luigi Ballabio Date: Fri, 13 Sep 2013 16:11:12 +0200 Fixed calls to renamed method. commit 43ef2a7cc812277827c37e7efea9d47504263e60 Author: klausspanderen Date: Wed, 11 Sep 2013 22:56:50 +0200 added pragma directive to avoid clang++ warning commit 311df5644c30e035f9d25f75b8ca8a7665602d16 Author: klausspanderen Date: Wed, 11 Sep 2013 22:41:05 +0200 revert parameter change commit 29b62f4bde3940755b276446b9b2f2c55734d894 Author: klausspanderen Date: Wed, 11 Sep 2013 21:59:14 +0200 revert parameter change commit 42598e3947c534cbf12480d8fba3223e638eeb57 Merge: e4f6e6d 35313c9 Author: Luigi Ballabio Date: Tue, 10 Sep 2013 14:24:04 +0200 Ported fix from R01030x-branch. commit 35313c9502b0b8a36126290dedf1af03666622b9 Author: Luigi Ballabio Date: Tue, 10 Sep 2013 14:20:46 +0200 Included header in errors.hpp. This prevents compilation errors when using STLport, which doesn't include it from other standard headers. Thanks to Marcello Pietrobon for the heads-up. commit e4f6e6d7973659d8968f83fe7a85112f7220f732 Merge: b817650 3ab8d9a Author: Luigi Ballabio Date: Mon, 9 Sep 2013 11:21:24 +0200 Merge pull request #32. commit 638cb883df93ea2074dae5b715b3a4be86e7cb6c Author: Peter Caspers Date: Fri, 23 Aug 2013 20:03:10 +0200 Backported fix from master. fix maturities for tn and sn quotes, avoid generating too many quotes (and reading undefined array elements), write 15 and 35 for the number of FRAs and Swaps entering the curve throughout the code commit b603271a8d57553ddf31cedad9a08794452e11e4 Author: Peter Caspers Date: Fri, 23 Aug 2013 19:36:30 +0200 Backported fix from master. the expression mm*j can in general not be represented as int, therefore we need to convert each factor to double before multiplying them commit aa316ed5b35c61ef0fd696ddf759a4bff96c6fb8 Merge: 05fc310 1ff1ce1 Author: Luigi Ballabio Date: Fri, 6 Sep 2013 15:01:16 +0100 Merged pull request #31. Some fixes for runtime errors occuring in the test suite when running under clang's "-fsanitize=address,undefined,integer". commit 3ab8d9ae1ee77821a0ed7b6ce54523da09a66fbd Author: Peter Caspers Date: Sat, 31 Aug 2013 12:36:10 +0200 fix warning during build commit 1ff1ce1fa10c765c131e8e1eef76c8af24d3a4af Author: Peter Caspers Date: Sun, 25 Aug 2013 19:33:02 +0200 replace int with Integer commit 675c473bdc6e0812ae35affabe0f04caa5ec4932 Author: klausspanderen Date: Sun, 25 Aug 2013 15:19:31 +0200 fixed clang warnings commit 171dcded49900df35bd4745cd1ca2fd90968fd2c Author: klausspanderen Date: Sun, 25 Aug 2013 12:49:44 +0200 fixed index comparison int vs unsigned int commit ecff9871c0747d70f4e59d710295624851897d0a Author: klausspanderen Date: Sun, 25 Aug 2013 12:31:45 +0200 fixed index access commit f8c73f2be36ca77f2f0709bea42f69dd429cda77 Author: klausspanderen Date: Sat, 24 Aug 2013 18:39:49 +0200 fixed unsigned int conversion (thanks to Peter Caspers) commit 5fcb16ee9e2dd68d3291231da9f24ac8ad177faa Merge: fd0778a 05fc310 Author: Michael von den Driesch Date: Fri, 23 Aug 2013 21:44:34 +0200 Merge remote-tracking branch 'lballabio/master' commit 262d55eed9080c1cdc65d8494160fde67dc0b813 Author: Peter Caspers Date: Fri, 23 Aug 2013 20:13:24 +0200 avoid unsigned int overflow runtime errors. Although the code probably works on most (or all?) existing platforms without the changes, strictly spoken there are undefined subexpressions which we eliminate here. commit a5f6bd8743518cbf68f7887fa7f306a4cc46b555 Author: Peter Caspers Date: Fri, 23 Aug 2013 20:03:10 +0200 fix maturities for tn and sn quotes, avoid generating too many quotes (and reading undefined array elements), write 15 and 35 for the number of FRAs and Swaps entering the curve throughout the code commit 6bd427073cad274868c17c535b3d144e48923814 Author: Peter Caspers Date: Fri, 23 Aug 2013 19:56:48 +0200 handle limit case strike (including displacement) equals zero commit 771e709abba4e7f65cc04355d21e4bc5dc6a7c16 Author: Peter Caspers Date: Fri, 23 Aug 2013 19:36:30 +0200 the expression mm*j can in general not be represented as int, therefore we need to convert each factor to double before multiplying them commit dbb3be3de2dcaa14fb5115f0ca5b0f2ad760d580 Author: Luigi Ballabio Date: Fri, 23 Aug 2013 17:24:53 +0200 Commit updated header. commit 0b6b31672fb40e46ac13100228e17aaa14f254f4 Author: Luigi Ballabio Date: Fri, 23 Aug 2013 16:34:19 +0200 Renamed new day counter to more Actual365NoLeap. This makes the name more explicit. commit 6976f1d6e6b2d2d5da790af7f7c29e3084d6ac4a Author: BGC-nglass Date: Mon, 19 Aug 2013 17:52:54 +0100 Add new Act/365 NL Daycounter Add Act/365 (NL) Daycounter. This is used for Japanese Government Bonds commit fd0778a6894daef8cfe4f094931d77aa43207796 Author: Michael Date: Thu, 22 Aug 2013 09:46:20 +0200 Added convenience string to date and date to string functionality in QL Date class. commit 85dd9062392400e7b243b2745ea16de44f1b3369 Author: BGC-nglass Date: Tue, 20 Aug 2013 10:47:19 +0100 Fix simpleDuration, modifiedDuration and convexity with Act/Act(ISMA) http://sourceforge.net/p/quantlib/bugs/162/ This commit fixes simpleduration, duration and convexity with Act/Act(ISMA) commit 849a3f12588d742c43a8bab3405ec153c0dbf310 Author: Peter Caspers Date: Sun, 11 Aug 2013 22:25:41 +0200 Backport Markov functional model fixes from master. - Remove cap for F (this causes violations of the C^1 property in certain cases). Require decreasing call prices for exponential extrapolation. - Fix floor pricing. - Fix error check in vanilla engine tests, exclude 0.10 strike and change strike 0.07 to 0.06 in cap engine test, use correct yield and volatility termstructure in cap engine test. commit 021ebecb1d8665c4336ecec302b40b852ff2f66f Merge: 9aeaea2 f665da9 Author: Luigi Ballabio Date: Thu, 15 Aug 2013 19:10:24 +0200 Merge pull request #26 from Peter Caspers. Fixes for Markov-functional cap-floor engine and Kahale smile section. commit 6128907d37ef2891bfc4626e02003541427f76cc Author: Peter Caspers Date: Mon, 12 Aug 2013 20:55:41 +0200 Backport fix from master. Disable non working test case. commit 9aeaea23dd8f7df3debb4876213328209d0bc20c Merge: dd6c847 56acfc9 Author: Luigi Ballabio Date: Thu, 15 Aug 2013 16:21:19 +0200 Merge pull request #25 from Peter Caspers. Disabled non-working test case. commit 662f2f57e8d844ab21ca29d33d8a6c3d463ccbbc Author: Luigi Ballabio Date: Wed, 14 Aug 2013 10:04:50 +0200 Updated VC++ and Dev-C++ projects. commit 56acfc9c33e721ef0c9c2916baabdcd5cff382af Author: Peter Caspers Date: Mon, 12 Aug 2013 20:55:41 +0200 disable non working test case commit f0edfc19b5a2f9166b8eef713e839d95e0fa2ae2 Author: gary_kennedy Date: Mon, 12 Aug 2013 02:51:25 -0500 added analytic implied bpvol commit f665da9d31eaf2add19390f36cd63a49da5d882a Author: Peter Caspers Date: Sun, 11 Aug 2013 22:29:47 +0200 fix error check in vanilla engine tests, exclude 0.10 strike and change strike 0.07 to 0.06 in cap engine test, use correct yield and volatility termstructure in cap engine test commit 8a964d85cd24ce7ce106e2cf127e2c27c3053e19 Author: Peter Caspers Date: Sun, 11 Aug 2013 22:26:01 +0200 fix floor pricing commit e501c82af8671989685686ccee5657a3141dc354 Author: Peter Caspers Date: Sun, 11 Aug 2013 22:25:41 +0200 remove cap for F (this causes violations of the C^1 property in certain cases) require decreasing call prices for exponential extrapolation commit b98985c01d3c40ced7d6a43bab07fd589f625e1e Author: Peter Caspers Date: Sun, 21 Jul 2013 21:56:25 +0200 Backported fix from master. Change input parameters used as return values to references; change cached values due to the correction; disable slow test case. commit 418560ef719e1a08ec8b905834d6300461bc5afb Merge: 97e9798 83d4ca1 Author: Luigi Ballabio Date: Mon, 29 Jul 2013 11:33:51 +0200 Merge pull request #18. commit 83d4ca1f9f00696a7c749a0d3d78cc6ecd746bde Author: Luigi Ballabio Date: Mon, 29 Jul 2013 11:32:21 +0200 Disabled slow test case. commit a532864ed850e1e0c95f9832035381bb756dd9a1 Merge: e54294c 3cdd4ed Author: Luigi Ballabio Date: Fri, 26 Jul 2013 13:22:24 +0200 Merge pull request #12. Various enhancements to short-rate calibration helpers. commit 3cdd4edc842515cb97643595f09695c57c3e56e9 Author: Luigi Ballabio Date: Fri, 26 Jul 2013 12:13:08 +0200 Allow recalculation of exercise and end dates. Setting the calculated values to the stored data members would prevent recalculation if the evaluation date changed. Instead, using temporary objects and leaving the data members null will trigger recalculation. commit b74e277d8aa5ce44dbba5c364e2e82987bdd13cf Author: Luigi Ballabio Date: Fri, 26 Jul 2013 12:07:43 +0200 Newly added performCalculation method set to private. Having it as public in the CalibrationHelper class was probably an oversight. Unfortunately, we can't change it there for backward compatibility. commit 0ec08a4c5d9b7407fcaada54500b4da615b592d5 Author: Luigi Ballabio Date: Fri, 26 Jul 2013 11:53:20 +0200 Return the contained handle by value. This doesn't limit the intended uses but prevents client code from breaking its link with sister handles. commit e54294c11322b2a0e24574c05517e16d8904cfe2 Author: Luigi Ballabio Date: Wed, 24 Jul 2013 15:00:58 +0200 Increased version number to 1.4. commit 21e3a3bf875c3747ceb99c68aef1a10d5ea2c5cc Author: Luigi Ballabio Date: Wed, 24 Jul 2013 13:19:45 +0200 Increased version number to 1.3.1. commit bbf0411bdf241e0e9a1cc198c0cc7360f1ff20f9 Merge: ce9b4ae a8e5561 Author: Luigi Ballabio Date: Wed, 24 Jul 2013 10:20:44 +0200 Merge latest changes from branch 'R01030x-branch'. commit a8e5561bc263918bf090ab9cad6bc4dc6716d6d4 Author: Luigi Ballabio Date: Tue, 23 Jul 2013 09:20:08 +0200 Replaced link to Subversion page. commit e20369ac3907de3addfd9214f8475a4135797704 Author: Luigi Ballabio Date: Tue, 23 Jul 2013 09:19:52 +0200 Added link to documentation page. commit d0e585b9fb5d03b4636be6a6a2595cc31caa3cc9 Author: Luigi Ballabio Date: Tue, 23 Jul 2013 09:18:44 +0200 Fix file reference in Doxygen comment blocks. commit 95d12787c2427d9fde01cebbaafbd3e523fa176d Author: Luigi Ballabio Date: Tue, 23 Jul 2013 09:18:02 +0200 Fixed alignment of list items. It was causing Doxygen to split the list in two. commit b46b23fa820d5b369323dddfb0a33524f9517bd0 Author: Peter Caspers Date: Sun, 21 Jul 2013 22:01:18 +0200 reactivate test case commit 5b7c1ed27d17c87af5919f179aa4abf07a629cb1 Author: Peter Caspers Date: Sun, 21 Jul 2013 22:00:55 +0200 add missing break statement commit e71fc9d661cbaecc89c520fb9de0ee5bd96ca241 Author: Peter Caspers Date: Sun, 21 Jul 2013 22:00:36 +0200 make limit in loop explicit commit 86bcd4e9c4234b67b1c1940f50409dbdd57aee35 Author: Peter Caspers Date: Sun, 21 Jul 2013 22:00:05 +0200 remove assignment which is not used commit f3107ed15ec4537caf5fc9b8ca532a82d058d026 Author: Peter Caspers Date: Sun, 21 Jul 2013 21:59:49 +0200 remove assignment to variable which is not used commit 0d530723f9e2fa29739dd697daef34f779ef173e Author: Peter Caspers Date: Sun, 21 Jul 2013 21:58:28 +0200 change cached value due to corrections in PerturbativeBarrierOptionEngine, increase precision in output messages commit ae846eacd050ab13c82701452afed09c97e277fa Author: Peter Caspers Date: Sun, 21 Jul 2013 21:57:04 +0200 comment out useless code commit 5b4d53cddf930c93e16ad1bde94851c8f06c0cec Author: Peter Caspers Date: Sun, 21 Jul 2013 21:56:25 +0200 change input parameters used as return values to references commit 8b7ddf0a6928bbc6ff47fc5f9c5a0c782e754a81 Author: Peter Caspers Date: Sat, 20 Jul 2013 09:06:20 +0200 remove debug output, change error message text commit 583f46c5fdb9955cfb949b6ba59481a77d86068d Merge: 3cd63f3 fe785fc Author: Luigi Ballabio Date: Sat, 13 Jul 2013 20:50:44 +0200 Merge pull request #16 commit 3cd63f39db38ed0ff8a10ee2481696b03b01f994 Merge: 73a1c5b 3a92227 Author: Luigi Ballabio Date: Sat, 13 Jul 2013 19:42:21 +0200 Merge pull request #15. commit fe785fc0cc2c859a9ad6528c5386414184284f81 Author: Peter Caspers Date: Sat, 13 Jul 2013 18:17:11 +0200 remove multiple declaration commit 3a922274b0e581c806b413ffd4231e16d26835e2 Author: Peter Caspers Date: Sat, 13 Jul 2013 17:05:10 +0200 correct non matching #ifndef #define commit 8893eca2d68c2558542c240bafd08ba943116a85 Author: Peter Caspers Date: Wed, 10 Jul 2013 21:30:23 +0200 remove registration with evaluation date in base class, if needed in derived classes, they should register by themselves commit 73a1c5bc515f5c9ad0f2ad11bb32eda484438137 Author: Peter Caspers Date: Sun, 7 Jul 2013 21:07:46 +0200 fix gcc warning commit 5eb62b582fc5ce15d1e7ad3d93397e9a49ce2f37 Author: Peter Caspers Date: Thu, 4 Jul 2013 22:12:32 +0200 remove volatility and nominal inspectors from swaptionhelper add volatility inspector to calibrationhelper commit f659fee27f3b3f014b7c622bd4d8d71cbcb7145e Author: Peter Caspers Date: Tue, 2 Jul 2013 19:39:17 +0200 let the calibration helper observe the evaluationDate and the floating rate index, move the constructor code to performCalculations(), provide swaption constructors specifying dates instead of tenors, allow for non atm strike swaptions and a non unit nominal commit 3b006159ee745f82f4af2f6465377f5a27610a21 Merge: 0c659e5 af51bff Author: Luigi Ballabio Date: Fri, 28 Jun 2013 15:39:48 +0200 Merge pull request #11 from Peter Caspers. Add clone method to SwapIndex which allows to change the tenor. commit af51bff7b8ed404e5fbf59896aad839bf63c447a Author: Peter Caspers Date: Wed, 26 Jun 2013 20:19:58 +0200 add clone method which allows to change the tenor