2007-06-01 08:54 Luigi Ballabio * [r11084] Announce.txt, Readme.txt, acinclude.m4, test-suite, test-suite/Makefile.am: Added support for Boost 1.34 on Linux systems 2007-05-24 10:29 Luigi Ballabio * [r10944] ql/termstructures/yieldcurves/ratehelpers.cpp: Fixed calculation of swap-rate nodes when use of indexed coupons is enabled 2007-05-23 14:13 Luigi Ballabio * [r10919] ql/math/matrix.cpp: Syncronized conditional code and inclusions 2007-05-23 12:01 Luigi Ballabio * [r10915] ChangeLog.txt, dev_tools/developers, dev_tools/update_changelog.py: Updated ChangeLogs 2007-05-21 13:12 Luigi Ballabio * [r10879] Docs/pages/history.docs, News.txt: Updated news 2007-05-21 10:07 Luigi Ballabio * [r10878] Announce.txt: Updated Announce with latest version number and info 2007-05-21 09:45 Luigi Ballabio * [r10875] Docs/pages/license.docs, LICENSE.TXT, dev_tools/collect_copyrights.py, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp, ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp, test-suite/swapforwardmappings.cpp, test-suite/swapforwardmappings.hpp: Updated copyrights in license 2007-05-21 09:02 Luigi Ballabio * [r10872] QuantLib_vc7.vcproj: Selectively enabled language extensions to work around an issue with VC++7 2007-05-19 19:44 Luigi Ballabio * [r10866] ql/math/matrix.cpp, ql/math/matrix.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: Compilation fixes for a few old gcc versions (one of which I still happen to have on my Mac OS X 10.3 PowerBook. Yes, I know, but I'm waiting for 10.5 to come out in October) 2007-05-19 12:31 Luigi Ballabio * [r10846] Docs/pages/authors.docs, Docs/pages/config.docs, Docs/pages/coreclasses.docs, Docs/pages/currencies.docs, Docs/pages/datetime.docs, Docs/pages/engines.docs, Docs/pages/examples.docs, Docs/pages/findiff.docs, Docs/pages/fixedincome.docs, Docs/pages/history.docs, Docs/pages/index.docs, Docs/pages/install.docs, Docs/pages/instruments.docs, Docs/pages/lattices.docs, Docs/pages/math.docs, Docs/pages/mcarlo.docs, Docs/pages/overview.docs, Docs/pages/patterns.docs, Docs/pages/processes.docs, Docs/pages/resources.docs, Docs/pages/termstructures.docs, Docs/pages/usage.docs, Docs/pages/utilities.docs, Docs/pages/where.docs, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EquityOption/EquityOption.cpp, Examples/FRA/FRA.cpp, Examples/Replication/Replication.cpp, Examples/Repo/Repo.cpp, Examples/Swap/swapvaluation.cpp, configure.ac, ql/auto_link.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/cashflows/analysis.cpp, ql/cashflows/analysis.hpp, ql/cashflows/capflooredcoupon.cpp, ql/cashflows/capflooredcoupon.hpp, ql/cashflows/cashflowvectors.hpp, ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp, ql/cashflows/coupon.hpp, ql/cashflows/couponpricer.cpp, ql/cashflows/couponpricer.hpp, ql/cashflows/digitalcoupon.cpp, ql/cashflows/digitalcoupon.hpp, ql/cashflows/dividend.cpp, ql/cashflows/dividend.hpp, ql/cashflows/fixedratecoupon.hpp, ql/cashflows/floatingratecoupon.cpp, ql/cashflows/floatingratecoupon.hpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp, ql/cashflows/shortfloatingcoupon.cpp, ql/cashflows/shortfloatingcoupon.hpp, ql/cashflows/shortindexedcoupon.hpp, ql/cashflows/simplecashflow.hpp, ql/cashflows/timebasket.cpp, ql/cashflows/timebasket.hpp, ql/config.ansi.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/currencies/africa.hpp, ql/currencies/america.hpp, ql/currencies/asia.hpp, ql/currencies/europe.hpp, ql/currencies/exchangeratemanager.cpp, ql/currencies/exchangeratemanager.hpp, ql/currencies/oceania.hpp, ql/currency.cpp, ql/currency.hpp, ql/daycounter.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/errors.cpp, ql/errors.hpp, ql/event.hpp, ql/exchangerate.cpp, ql/exchangerate.hpp, ql/exercise.cpp, ql/exercise.hpp, ql/grid.hpp, ql/handle.hpp, ql/index.cpp, ql/index.hpp, ql/indexes/ibor/audlibor.hpp, ql/indexes/ibor/cadlibor.hpp, ql/indexes/ibor/cdor.hpp, ql/indexes/ibor/chflibor.hpp, ql/indexes/ibor/dkklibor.hpp, ql/indexes/ibor/euribor.cpp, ql/indexes/ibor/euribor.hpp, ql/indexes/ibor/eurlibor.cpp, ql/indexes/ibor/eurlibor.hpp, ql/indexes/ibor/gbplibor.hpp, ql/indexes/ibor/jpylibor.hpp, ql/indexes/ibor/libor.cpp, ql/indexes/ibor/libor.hpp, ql/indexes/ibor/nzdlibor.hpp, ql/indexes/ibor/tibor.hpp, ql/indexes/ibor/trlibor.hpp, ql/indexes/ibor/usdlibor.hpp, ql/indexes/ibor/zibor.hpp, ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp, ql/indexes/indexmanager.cpp, ql/indexes/indexmanager.hpp, ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp, ql/indexes/swap/euriborswapfixa.cpp, ql/indexes/swap/euriborswapfixa.hpp, ql/indexes/swap/euriborswapfixb.cpp, ql/indexes/swap/euriborswapfixb.hpp, ql/indexes/swap/euriborswapfixifr.cpp, ql/indexes/swap/euriborswapfixifr.hpp, ql/indexes/swap/eurliborswapfixa.cpp, ql/indexes/swap/eurliborswapfixa.hpp, ql/indexes/swap/eurliborswapfixb.cpp, ql/indexes/swap/eurliborswapfixb.hpp, ql/indexes/swap/eurliborswapfixifr.cpp, ql/indexes/swap/eurliborswapfixifr.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/instrument.hpp, ql/instruments/asianoption.cpp, ql/instruments/asianoption.hpp, ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp, ql/instruments/barrieroption.cpp, ql/instruments/barrieroption.hpp, ql/instruments/basketoption.cpp, ql/instruments/basketoption.hpp, ql/instruments/bond.cpp, ql/instruments/bond.hpp, ql/instruments/callabilityschedule.hpp, ql/instruments/capfloor.cpp, ql/instruments/capfloor.hpp, ql/instruments/cliquetoption.cpp, ql/instruments/cliquetoption.hpp, ql/instruments/cmsratebond.cpp, ql/instruments/cmsratebond.hpp, ql/instruments/compositeinstrument.cpp, ql/instruments/compositeinstrument.hpp, ql/instruments/convertiblebond.cpp, ql/instruments/convertiblebond.hpp, ql/instruments/dividendschedule.hpp, ql/instruments/dividendvanillaoption.cpp, ql/instruments/dividendvanillaoption.hpp, ql/instruments/europeanoption.cpp, ql/instruments/europeanoption.hpp, ql/instruments/fixedratebond.cpp, ql/instruments/fixedratebond.hpp, ql/instruments/fixedratebondforward.cpp, ql/instruments/fixedratebondforward.hpp, ql/instruments/floatingratebond.cpp, ql/instruments/floatingratebond.hpp, ql/instruments/forward.cpp, ql/instruments/forward.hpp, ql/instruments/forwardrateagreement.cpp, ql/instruments/forwardrateagreement.hpp, ql/instruments/forwardvanillaoption.cpp, ql/instruments/forwardvanillaoption.hpp, ql/instruments/lookbackoption.cpp, ql/instruments/lookbackoption.hpp, ql/instruments/makecapfloor.cpp, ql/instruments/makecapfloor.hpp, ql/instruments/makecms.cpp, ql/instruments/makecms.hpp, ql/instruments/makevanillaswap.cpp, ql/instruments/makevanillaswap.hpp, ql/instruments/multiassetoption.cpp, ql/instruments/multiassetoption.hpp, ql/instruments/oneassetoption.cpp, ql/instruments/oneassetoption.hpp, ql/instruments/oneassetstrikedoption.cpp, ql/instruments/oneassetstrikedoption.hpp, ql/instruments/payoffs.cpp, ql/instruments/payoffs.hpp, ql/instruments/quantoforwardvanillaoption.cpp, ql/instruments/quantoforwardvanillaoption.hpp, ql/instruments/quantovanillaoption.cpp, ql/instruments/quantovanillaoption.hpp, ql/instruments/stickyratchet.cpp, ql/instruments/stickyratchet.hpp, ql/instruments/stock.cpp, ql/instruments/stock.hpp, ql/instruments/swap.cpp, ql/instruments/swap.hpp, ql/instruments/swaption.cpp, ql/instruments/swaption.hpp, ql/instruments/vanillaoption.cpp, ql/instruments/vanillaoption.hpp, ql/instruments/vanillaswap.cpp, ql/instruments/vanillaswap.hpp, ql/instruments/varianceswap.cpp, ql/instruments/varianceswap.hpp, ql/instruments/zerocouponbond.cpp, ql/instruments/zerocouponbond.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/legacy/libormarketmodels/lfmcovarproxy.cpp, ql/legacy/libormarketmodels/lfmcovarproxy.hpp, ql/legacy/libormarketmodels/liborforwardmodel.cpp, ql/legacy/libormarketmodels/liborforwardmodel.hpp, ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hpp, ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp, ql/legacy/libormarketmodels/lmcorrmodel.cpp, ql/legacy/libormarketmodels/lmcorrmodel.hpp, ql/legacy/libormarketmodels/lmexpcorrmodel.cpp, ql/legacy/libormarketmodels/lmexpcorrmodel.hpp, ql/legacy/libormarketmodels/lmextlinexpvolmodel.cpp, ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp, ql/legacy/libormarketmodels/lmfixedvolmodel.cpp, ql/legacy/libormarketmodels/lmfixedvolmodel.hpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.cpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp, ql/legacy/libormarketmodels/lmlinexpvolmodel.cpp, ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp, ql/legacy/libormarketmodels/lmvolmodel.cpp, ql/legacy/libormarketmodels/lmvolmodel.hpp, ql/legacy/pricers/discretegeometricaso.cpp, ql/legacy/pricers/discretegeometricaso.hpp, ql/legacy/pricers/mccliquetoption.cpp, ql/legacy/pricers/mccliquetoption.hpp, ql/legacy/pricers/mcdiscretearithmeticaso.cpp, ql/legacy/pricers/mcdiscretearithmeticaso.hpp, ql/legacy/pricers/mceverest.cpp, ql/legacy/pricers/mceverest.hpp, ql/legacy/pricers/mchimalaya.cpp, ql/legacy/pricers/mchimalaya.hpp, ql/legacy/pricers/mcmaxbasket.cpp, ql/legacy/pricers/mcmaxbasket.hpp, ql/legacy/pricers/mcpagoda.cpp, ql/legacy/pricers/mcpagoda.hpp, ql/legacy/pricers/mcperformanceoption.cpp, ql/legacy/pricers/mcperformanceoption.hpp, ql/legacy/pricers/mcpricer.hpp, ql/legacy/pricers/singleassetoption.cpp, ql/legacy/pricers/singleassetoption.hpp, ql/math/array.hpp, ql/math/beta.cpp, ql/math/beta.hpp, ql/math/comparison.hpp, ql/math/complexarray.hpp, ql/math/curve.hpp, ql/math/distributions/binomialdistribution.hpp, ql/math/distributions/bivariatenormaldistribution.cpp, ql/math/distributions/bivariatenormaldistribution.hpp, ql/math/distributions/chisquaredistribution.cpp, ql/math/distributions/chisquaredistribution.hpp, ql/math/distributions/gammadistribution.cpp, ql/math/distributions/gammadistribution.hpp, ql/math/distributions/normaldistribution.cpp, ql/math/distributions/normaldistribution.hpp, ql/math/distributions/poissondistribution.hpp, ql/math/domain.hpp, ql/math/errorfunction.hpp, ql/math/factorial.cpp, ql/math/factorial.hpp, ql/math/fastfouriertransform.hpp, ql/math/functional.hpp, ql/math/incompletegamma.cpp, ql/math/incompletegamma.hpp, ql/math/integrals/gaussianorthogonalpolynomial.cpp, ql/math/integrals/gaussianorthogonalpolynomial.hpp, ql/math/integrals/gaussianquadratures.cpp, ql/math/integrals/gaussianquadratures.hpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp, ql/math/integrals/segmentintegral.cpp, ql/math/integrals/segmentintegral.hpp, ql/math/integrals/simpsonintegral.hpp, ql/math/integrals/trapezoidintegral.hpp, ql/math/interpolation.hpp, ql/math/interpolations/abcdinterpolation.hpp, ql/math/interpolations/backwardflatinterpolation.hpp, ql/math/interpolations/bicubicsplineinterpolation.hpp, ql/math/interpolations/bilinearinterpolation.hpp, ql/math/interpolations/cubicspline.hpp, ql/math/interpolations/extrapolation.hpp, ql/math/interpolations/flatextrapolation2d.hpp, ql/math/interpolations/forwardflatinterpolation.hpp, ql/math/interpolations/interpolation2d.hpp, ql/math/interpolations/linearinterpolation.hpp, ql/math/interpolations/loglinearinterpolation.hpp, ql/math/interpolations/multicubicspline.hpp, ql/math/interpolations/sabrinterpolation.hpp, ql/math/lexicographicalview.hpp, ql/math/linearleastsquaresregression.hpp, ql/math/matrix.cpp, ql/math/matrix.hpp, ql/math/matrixutilities/choleskydecomposition.cpp, ql/math/matrixutilities/choleskydecomposition.hpp, ql/math/matrixutilities/getcovariance.cpp, ql/math/matrixutilities/getcovariance.hpp, ql/math/matrixutilities/pseudosqrt.cpp, ql/math/matrixutilities/pseudosqrt.hpp, ql/math/matrixutilities/svd.cpp, ql/math/matrixutilities/svd.hpp, ql/math/matrixutilities/symmetricschurdecomposition.cpp, ql/math/matrixutilities/symmetricschurdecomposition.hpp, ql/math/matrixutilities/tqreigendecomposition.cpp, ql/math/matrixutilities/tqreigendecomposition.hpp, ql/math/optimization/armijo.cpp, ql/math/optimization/armijo.hpp, ql/math/optimization/conjugategradient.cpp, ql/math/optimization/conjugategradient.hpp, ql/math/optimization/constraint.cpp, ql/math/optimization/constraint.hpp, ql/math/optimization/costfunction.hpp, ql/math/optimization/endcriteria.cpp, ql/math/optimization/endcriteria.hpp, ql/math/optimization/leastsquare.cpp, ql/math/optimization/leastsquare.hpp, ql/math/optimization/levenbergmarquardt.cpp, ql/math/optimization/levenbergmarquardt.hpp, ql/math/optimization/linesearch.cpp, ql/math/optimization/linesearch.hpp, ql/math/optimization/linesearchbasedmethod.cpp, ql/math/optimization/linesearchbasedmethod.hpp, ql/math/optimization/lmdif.hpp, ql/math/optimization/method.hpp, ql/math/optimization/problem.hpp, ql/math/optimization/projectedcostfunction.cpp, ql/math/optimization/projectedcostfunction.hpp, ql/math/optimization/simplex.cpp, ql/math/optimization/simplex.hpp, ql/math/optimization/steepestdescent.cpp, ql/math/optimization/steepestdescent.hpp, ql/math/primenumbers.cpp, ql/math/primenumbers.hpp, ql/math/randomnumbers/boxmullergaussianrng.hpp, ql/math/randomnumbers/centrallimitgaussianrng.hpp, ql/math/randomnumbers/faurersg.cpp, ql/math/randomnumbers/faurersg.hpp, ql/math/randomnumbers/haltonrsg.cpp, ql/math/randomnumbers/haltonrsg.hpp, ql/math/randomnumbers/inversecumulativerng.hpp, ql/math/randomnumbers/inversecumulativersg.hpp, ql/math/randomnumbers/knuthuniformrng.cpp, ql/math/randomnumbers/knuthuniformrng.hpp, ql/math/randomnumbers/lecuyeruniformrng.cpp, ql/math/randomnumbers/lecuyeruniformrng.hpp, ql/math/randomnumbers/mt19937uniformrng.cpp, ql/math/randomnumbers/mt19937uniformrng.hpp, ql/math/randomnumbers/randomizedlds.hpp, ql/math/randomnumbers/randomsequencegenerator.hpp, ql/math/randomnumbers/rngtraits.hpp, ql/math/randomnumbers/seedgenerator.cpp, ql/math/randomnumbers/seedgenerator.hpp, ql/math/randomnumbers/sobolrsg.cpp, ql/math/randomnumbers/sobolrsg.hpp, ql/math/rounding.cpp, ql/math/rounding.hpp, ql/math/sampledcurve.cpp, ql/math/sampledcurve.hpp, 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, ql/math/statistics/convergencestatistics.hpp, ql/math/statistics/discrepancystatistics.cpp, ql/math/statistics/discrepancystatistics.hpp, ql/math/statistics/gaussianstatistics.hpp, ql/math/statistics/generalstatistics.cpp, ql/math/statistics/generalstatistics.hpp, ql/math/statistics/incrementalstatistics.cpp, ql/math/statistics/incrementalstatistics.hpp, ql/math/statistics/riskstatistics.hpp, ql/math/statistics/sequencestatistics.hpp, ql/math/statistics/statistics.hpp, ql/math/surface.cpp, ql/math/surface.hpp, ql/math/transformedgrid.hpp, ql/methods/finitedifferences/americancondition.hpp, ql/methods/finitedifferences/boundarycondition.cpp, ql/methods/finitedifferences/boundarycondition.hpp, ql/methods/finitedifferences/bsmoperator.cpp, ql/methods/finitedifferences/bsmoperator.hpp, ql/methods/finitedifferences/bsmtermoperator.hpp, ql/methods/finitedifferences/cranknicolson.hpp, ql/methods/finitedifferences/dminus.hpp, ql/methods/finitedifferences/dplus.hpp, ql/methods/finitedifferences/dplusdminus.hpp, ql/methods/finitedifferences/dzero.hpp, ql/methods/finitedifferences/expliciteuler.hpp, ql/methods/finitedifferences/fdtypedefs.hpp, ql/methods/finitedifferences/finitedifferencemodel.hpp, ql/methods/finitedifferences/impliciteuler.hpp, ql/methods/finitedifferences/mixedscheme.hpp, ql/methods/finitedifferences/onefactoroperator.hpp, ql/methods/finitedifferences/operatorfactory.hpp, ql/methods/finitedifferences/operatortraits.hpp, ql/methods/finitedifferences/parallelevolver.hpp, ql/methods/finitedifferences/pde.hpp, ql/methods/finitedifferences/pdebsm.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/methods/finitedifferences/shoutcondition.hpp, ql/methods/finitedifferences/stepcondition.hpp, ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp, ql/methods/finitedifferences/zerocondition.hpp, ql/methods/lattices/binomialtree.cpp, ql/methods/lattices/binomialtree.hpp, ql/methods/lattices/bsmlattice.hpp, ql/methods/lattices/lattice.hpp, ql/methods/lattices/lattice1d.hpp, ql/methods/lattices/lattice2d.hpp, ql/methods/lattices/tflattice.hpp, ql/methods/lattices/tree.hpp, ql/methods/lattices/trinomialtree.cpp, ql/methods/lattices/trinomialtree.hpp, ql/methods/montecarlo/brownianbridge.cpp, ql/methods/montecarlo/brownianbridge.hpp, ql/methods/montecarlo/earlyexercisepathpricer.hpp, ql/methods/montecarlo/exercisestrategy.hpp, ql/methods/montecarlo/genericlsregression.cpp, ql/methods/montecarlo/genericlsregression.hpp, ql/methods/montecarlo/longstaffschwartzpathpricer.hpp, ql/methods/montecarlo/lsmbasissystem.cpp, ql/methods/montecarlo/lsmbasissystem.hpp, ql/methods/montecarlo/mctraits.hpp, ql/methods/montecarlo/mctypedefs.hpp, ql/methods/montecarlo/montecarlomodel.hpp, ql/methods/montecarlo/multipath.hpp, ql/methods/montecarlo/multipathgenerator.hpp, ql/methods/montecarlo/nodedata.hpp, ql/methods/montecarlo/parametricexercise.cpp, ql/methods/montecarlo/parametricexercise.hpp, ql/methods/montecarlo/path.hpp, ql/methods/montecarlo/pathgenerator.hpp, ql/methods/montecarlo/pathpricer.hpp, ql/methods/montecarlo/sample.hpp, ql/models/calibrationhelper.cpp, ql/models/calibrationhelper.hpp, ql/models/equity/batesmodel.cpp, ql/models/equity/batesmodel.hpp, ql/models/equity/hestonmodel.cpp, ql/models/equity/hestonmodel.hpp, ql/models/equity/hestonmodelhelper.cpp, ql/models/equity/hestonmodelhelper.hpp, ql/models/marketmodels/accountingengine.cpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/browniangenerator.hpp, ql/models/marketmodels/browniangenerators/mtbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/callability/collectnodedata.cpp, ql/models/marketmodels/callability/collectnodedata.hpp, ql/models/marketmodels/callability/exercisevalue.hpp, ql/models/marketmodels/callability/lsstrategy.cpp, ql/models/marketmodels/callability/lsstrategy.hpp, ql/models/marketmodels/callability/marketmodelbasissystem.hpp, ql/models/marketmodels/callability/marketmodelparametricexercise.hpp, ql/models/marketmodels/callability/nodedataprovider.hpp, ql/models/marketmodels/callability/nothingexercisevalue.cpp, ql/models/marketmodels/callability/nothingexercisevalue.hpp, ql/models/marketmodels/callability/parametricexerciseadapter.cpp, ql/models/marketmodels/callability/parametricexerciseadapter.hpp, ql/models/marketmodels/callability/swapbasissystem.cpp, ql/models/marketmodels/callability/swapbasissystem.hpp, ql/models/marketmodels/callability/swapratetrigger.cpp, ql/models/marketmodels/callability/swapratetrigger.hpp, ql/models/marketmodels/callability/triggeredswapexercise.cpp, ql/models/marketmodels/callability/triggeredswapexercise.hpp, ql/models/marketmodels/callability/upperboundengine.cpp, ql/models/marketmodels/callability/upperboundengine.hpp, ql/models/marketmodels/constrainedevolver.hpp, ql/models/marketmodels/correlations/correlations.cpp, ql/models/marketmodels/correlations/correlations.hpp, ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/correlations/tapcorrelations.cpp, ql/models/marketmodels/correlations/tapcorrelations.hpp, ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/curvestate.cpp, ql/models/marketmodels/curvestate.hpp, ql/models/marketmodels/curvestates/cmswapcurvestate.cpp, ql/models/marketmodels/curvestates/cmswapcurvestate.hpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.cpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp, ql/models/marketmodels/curvestates/lmmcurvestate.cpp, ql/models/marketmodels/curvestates/lmmcurvestate.hpp, ql/models/marketmodels/discounter.cpp, ql/models/marketmodels/discounter.hpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp, ql/models/marketmodels/duffsdeviceinnerproduct.hpp, ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/evolutiondescription.hpp, ql/models/marketmodels/evolver.hpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.cpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp, ql/models/marketmodels/evolvers/normalfwdratepc.cpp, ql/models/marketmodels/evolvers/normalfwdratepc.hpp, ql/models/marketmodels/marketmodel.cpp, ql/models/marketmodels/marketmodel.hpp, ql/models/marketmodels/models/abcdvol.cpp, ql/models/marketmodels/models/abcdvol.hpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp, ql/models/marketmodels/models/cotswaptofwdadapter.cpp, ql/models/marketmodels/models/cotswaptofwdadapter.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/models/flatvol.hpp, ql/models/marketmodels/models/fwdtocotswapadapter.cpp, ql/models/marketmodels/models/fwdtocotswapadapter.hpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/models/marketmodels/models/piecewiseconstantvariance.cpp, ql/models/marketmodels/models/piecewiseconstantvariance.hpp, ql/models/marketmodels/models/pseudorootfacade.cpp, ql/models/marketmodels/models/pseudorootfacade.hpp, ql/models/marketmodels/multiproduct.hpp, ql/models/marketmodels/piecewiseconstantcorrelation.hpp, ql/models/marketmodels/products/compositeproduct.cpp, ql/models/marketmodels/products/compositeproduct.hpp, ql/models/marketmodels/products/multiproductcomposite.cpp, ql/models/marketmodels/products/multiproductcomposite.hpp, ql/models/marketmodels/products/multiproductmultistep.cpp, ql/models/marketmodels/products/multiproductmultistep.hpp, ql/models/marketmodels/products/multiproductonestep.cpp, ql/models/marketmodels/products/multiproductonestep.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.cpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/models/marketmodels/products/multistep/cashrebate.cpp, ql/models/marketmodels/products/multistep/cashrebate.hpp, ql/models/marketmodels/products/multistep/exerciseadapter.cpp, ql/models/marketmodels/products/multistep/exerciseadapter.hpp, ql/models/marketmodels/products/multistep/multistepcoinitialswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoinitialswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp, ql/models/marketmodels/products/multistep/multistepforwards.cpp, ql/models/marketmodels/products/multistep/multistepforwards.hpp, ql/models/marketmodels/products/multistep/multistepnothing.cpp, ql/models/marketmodels/products/multistep/multistepnothing.hpp, ql/models/marketmodels/products/multistep/multistepoptionlets.cpp, ql/models/marketmodels/products/multistep/multistepoptionlets.hpp, ql/models/marketmodels/products/multistep/multistepratchet.cpp, ql/models/marketmodels/products/multistep/multistepratchet.hpp, ql/models/marketmodels/products/multistep/multistepswap.cpp, ql/models/marketmodels/products/multistep/multistepswap.hpp, ql/models/marketmodels/products/onestep/onestepcoinitialswaps.cpp, ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp, ql/models/marketmodels/products/onestep/onestepcoterminalswaps.cpp, ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp, ql/models/marketmodels/products/onestep/onestepforwards.cpp, ql/models/marketmodels/products/onestep/onestepforwards.hpp, ql/models/marketmodels/products/onestep/onestepoptionlets.cpp, ql/models/marketmodels/products/onestep/onestepoptionlets.hpp, ql/models/marketmodels/products/singleproductcomposite.cpp, ql/models/marketmodels/products/singleproductcomposite.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/proxygreekengine.hpp, ql/models/marketmodels/swapforwardmappings.cpp, ql/models/marketmodels/swapforwardmappings.hpp, ql/models/marketmodels/utilities.cpp, ql/models/marketmodels/utilities.hpp, ql/models/model.cpp, ql/models/model.hpp, ql/models/parameter.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, ql/models/shortrate/onefactormodel.cpp, ql/models/shortrate/onefactormodel.hpp, ql/models/shortrate/onefactormodels/blackkarasinski.cpp, ql/models/shortrate/onefactormodels/blackkarasinski.hpp, ql/models/shortrate/onefactormodels/coxingersollross.cpp, ql/models/shortrate/onefactormodels/coxingersollross.hpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.cpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp, ql/models/shortrate/onefactormodels/hullwhite.cpp, ql/models/shortrate/onefactormodels/hullwhite.hpp, ql/models/shortrate/onefactormodels/vasicek.cpp, ql/models/shortrate/onefactormodels/vasicek.hpp, ql/models/shortrate/twofactormodel.cpp, ql/models/shortrate/twofactormodel.hpp, ql/models/shortrate/twofactormodels/g2.cpp, ql/models/shortrate/twofactormodels/g2.hpp, ql/models/volatility/constantestimator.cpp, ql/models/volatility/constantestimator.hpp, ql/models/volatility/garch.cpp, ql/models/volatility/garch.hpp, ql/models/volatility/garmanklass.hpp, ql/models/volatility/simplelocalestimator.hpp, ql/money.cpp, ql/money.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/patterns/composite.hpp, ql/patterns/curiouslyrecurring.hpp, ql/patterns/lazyobject.hpp, ql/patterns/observable.hpp, ql/patterns/singleton.hpp, ql/patterns/visitor.hpp, ql/payoff.hpp, ql/position.hpp, ql/prices.cpp, ql/prices.hpp, ql/pricingengine.hpp, ql/pricingengines/americanpayoffatexpiry.cpp, ql/pricingengines/americanpayoffatexpiry.hpp, ql/pricingengines/americanpayoffathit.cpp, ql/pricingengines/americanpayoffathit.hpp, ql/pricingengines/asian/analytic_cont_geom_av_price.cpp, ql/pricingengines/asian/analytic_cont_geom_av_price.hpp, ql/pricingengines/asian/analytic_discr_geom_av_price.cpp, ql/pricingengines/asian/analytic_discr_geom_av_price.hpp, ql/pricingengines/asian/mc_discr_arith_av_price.cpp, ql/pricingengines/asian/mc_discr_arith_av_price.hpp, ql/pricingengines/asian/mc_discr_geom_av_price.cpp, ql/pricingengines/asian/mc_discr_geom_av_price.hpp, ql/pricingengines/asian/mcdiscreteasianengine.hpp, ql/pricingengines/barrier/analyticbarrierengine.cpp, ql/pricingengines/barrier/analyticbarrierengine.hpp, ql/pricingengines/barrier/mcbarrierengine.cpp, ql/pricingengines/barrier/mcbarrierengine.hpp, ql/pricingengines/basket/mcamericanbasketengine.cpp, ql/pricingengines/basket/mcamericanbasketengine.hpp, ql/pricingengines/basket/mcbasketengine.cpp, ql/pricingengines/basket/mcbasketengine.hpp, ql/pricingengines/basket/stulzengine.cpp, ql/pricingengines/basket/stulzengine.hpp, ql/pricingengines/blackcalculator.cpp, ql/pricingengines/blackcalculator.hpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp, ql/pricingengines/blackscholescalculator.cpp, ql/pricingengines/blackscholescalculator.hpp, ql/pricingengines/capfloor/analyticcapfloorengine.cpp, ql/pricingengines/capfloor/analyticcapfloorengine.hpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/capfloor/blackcapfloorengine.hpp, ql/pricingengines/capfloor/discretizedcapfloor.cpp, ql/pricingengines/capfloor/discretizedcapfloor.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.hpp, ql/pricingengines/capfloor/mchullwhiteengine.cpp, ql/pricingengines/capfloor/mchullwhiteengine.hpp, ql/pricingengines/capfloor/treecapfloorengine.cpp, ql/pricingengines/capfloor/treecapfloorengine.hpp, ql/pricingengines/cliquet/analyticcliquetengine.cpp, ql/pricingengines/cliquet/analyticcliquetengine.hpp, ql/pricingengines/cliquet/analyticperformanceengine.cpp, ql/pricingengines/cliquet/analyticperformanceengine.hpp, ql/pricingengines/cliquet/mccliquetengine.cpp, ql/pricingengines/cliquet/mccliquetengine.hpp, ql/pricingengines/forward/forwardengine.hpp, ql/pricingengines/forward/forwardperformanceengine.hpp, ql/pricingengines/forward/mcvarianceswapengine.hpp, ql/pricingengines/forward/replicatingvarianceswapengine.hpp, ql/pricingengines/genericmodelengine.hpp, ql/pricingengines/greeks.cpp, ql/pricingengines/greeks.hpp, ql/pricingengines/hybrid/binomialconvertibleengine.hpp, ql/pricingengines/hybrid/discretizedconvertible.cpp, ql/pricingengines/hybrid/discretizedconvertible.hpp, ql/pricingengines/latticeshortratemodelengine.hpp, ql/pricingengines/lookback/analyticcontinuousfixedlookback.cpp, ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp, ql/pricingengines/lookback/analyticcontinuousfloatinglookback.cpp, ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp, ql/pricingengines/mclongstaffschwartzengine.hpp, ql/pricingengines/mcsimulation.hpp, ql/pricingengines/quanto/quantoengine.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/pricingengines/swaption/blackswaptionengine.hpp, ql/pricingengines/swaption/discretizedswaption.cpp, ql/pricingengines/swaption/discretizedswaption.hpp, ql/pricingengines/swaption/g2swaptionengine.hpp, ql/pricingengines/swaption/jamshidianswaptionengine.cpp, ql/pricingengines/swaption/jamshidianswaptionengine.hpp, ql/pricingengines/swaption/lfmswaptionengine.cpp, ql/pricingengines/swaption/lfmswaptionengine.hpp, ql/pricingengines/swaption/treeswaptionengine.cpp, ql/pricingengines/swaption/treeswaptionengine.hpp, ql/pricingengines/vanilla/analyticdigitalamericanengine.cpp, ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp, ql/pricingengines/vanilla/analyticdividendeuropeanengine.cpp, ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp, ql/pricingengines/vanilla/analyticeuropeanengine.cpp, ql/pricingengines/vanilla/analyticeuropeanengine.hpp, ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp, ql/pricingengines/vanilla/batesengine.cpp, ql/pricingengines/vanilla/batesengine.hpp, ql/pricingengines/vanilla/binomialengine.hpp, ql/pricingengines/vanilla/bjerksundstenslandengine.cpp, ql/pricingengines/vanilla/bjerksundstenslandengine.hpp, ql/pricingengines/vanilla/discretizedvanillaoption.cpp, ql/pricingengines/vanilla/discretizedvanillaoption.hpp, ql/pricingengines/vanilla/fdamericanengine.hpp, ql/pricingengines/vanilla/fdbermudanengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp, ql/pricingengines/vanilla/fddividendamericanengine.hpp, ql/pricingengines/vanilla/fddividendengine.cpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fddividendeuropeanengine.hpp, ql/pricingengines/vanilla/fddividendshoutengine.hpp, ql/pricingengines/vanilla/fdeuropeanengine.cpp, ql/pricingengines/vanilla/fdeuropeanengine.hpp, ql/pricingengines/vanilla/fdmultiperiodengine.cpp, ql/pricingengines/vanilla/fdmultiperiodengine.hpp, ql/pricingengines/vanilla/fdshoutengine.hpp, ql/pricingengines/vanilla/fdstepconditionengine.cpp, ql/pricingengines/vanilla/fdstepconditionengine.hpp, ql/pricingengines/vanilla/fdvanillaengine.cpp, ql/pricingengines/vanilla/fdvanillaengine.hpp, ql/pricingengines/vanilla/integralengine.cpp, ql/pricingengines/vanilla/integralengine.hpp, ql/pricingengines/vanilla/jumpdiffusionengine.cpp, ql/pricingengines/vanilla/jumpdiffusionengine.hpp, ql/pricingengines/vanilla/juquadraticengine.cpp, ql/pricingengines/vanilla/juquadraticengine.hpp, ql/pricingengines/vanilla/mcamericanengine.cpp, ql/pricingengines/vanilla/mcamericanengine.hpp, ql/pricingengines/vanilla/mcdigitalengine.cpp, ql/pricingengines/vanilla/mcdigitalengine.hpp, ql/pricingengines/vanilla/mceuropeanengine.hpp, ql/pricingengines/vanilla/mceuropeanhestonengine.hpp, ql/pricingengines/vanilla/mcvanillaengine.hpp, ql/processes/blackscholesprocess.cpp, ql/processes/blackscholesprocess.hpp, ql/processes/defaultable.hpp, ql/processes/eulerdiscretization.cpp, ql/processes/eulerdiscretization.hpp, ql/processes/forwardmeasureprocess.cpp, ql/processes/forwardmeasureprocess.hpp, ql/processes/g2process.cpp, ql/processes/g2process.hpp, ql/processes/geometricbrownianprocess.cpp, ql/processes/geometricbrownianprocess.hpp, ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, ql/processes/hullwhiteprocess.cpp, ql/processes/hullwhiteprocess.hpp, ql/processes/lfmcovarparam.cpp, ql/processes/lfmcovarparam.hpp, ql/processes/lfmhullwhiteparam.cpp, ql/processes/lfmhullwhiteparam.hpp, ql/processes/lfmprocess.cpp, ql/processes/lfmprocess.hpp, ql/processes/merton76process.cpp, ql/processes/merton76process.hpp, ql/processes/ornsteinuhlenbeckprocess.cpp, ql/processes/ornsteinuhlenbeckprocess.hpp, ql/processes/squarerootprocess.cpp, ql/processes/squarerootprocess.hpp, ql/processes/stochasticprocessarray.cpp, ql/processes/stochasticprocessarray.hpp, ql/qldefines.hpp, ql/quote.hpp, ql/quotes/compositequote.hpp, ql/quotes/derivedquote.hpp, ql/quotes/eurodollarfuturesquote.cpp, ql/quotes/eurodollarfuturesquote.hpp, ql/quotes/forwardvaluequote.cpp, ql/quotes/forwardvaluequote.hpp, ql/quotes/futuresconvadjustmentquote.cpp, ql/quotes/futuresconvadjustmentquote.hpp, ql/quotes/impliedstddevquote.cpp, ql/quotes/impliedstddevquote.hpp, ql/quotes/simplequote.hpp, ql/settings.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, ql/swaptionvolstructure.cpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/termstructures/volatilities/abcd.cpp, ql/termstructures/volatilities/abcd.hpp, ql/termstructures/volatilities/blackconstantvol.hpp, ql/termstructures/volatilities/blackvariancecurve.cpp, ql/termstructures/volatilities/blackvariancecurve.hpp, ql/termstructures/volatilities/blackvariancesurface.cpp, ql/termstructures/volatilities/blackvariancesurface.hpp, ql/termstructures/volatilities/capflatvolvector.hpp, ql/termstructures/volatilities/capletconstantvol.hpp, ql/termstructures/volatilities/capletvariancecurve.hpp, ql/termstructures/volatilities/capletvolatilitiesstructures.cpp, ql/termstructures/volatilities/capletvolatilitiesstructures.hpp, ql/termstructures/volatilities/capstripper.cpp, ql/termstructures/volatilities/capstripper.hpp, ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp, ql/termstructures/volatilities/impliedvoltermstructure.hpp, ql/termstructures/volatilities/interpolatedsmilesection.hpp, ql/termstructures/volatilities/localconstantvol.hpp, ql/termstructures/volatilities/localvolcurve.hpp, ql/termstructures/volatilities/localvolsurface.cpp, ql/termstructures/volatilities/localvolsurface.hpp, ql/termstructures/volatilities/sabr.cpp, ql/termstructures/volatilities/sabr.hpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.cpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.hpp, ql/termstructures/volatilities/smilesection.cpp, ql/termstructures/volatilities/smilesection.hpp, ql/termstructures/volatilities/swaptionconstantvol.cpp, ql/termstructures/volatilities/swaptionconstantvol.hpp, ql/termstructures/volatilities/swaptionvolcube.cpp, ql/termstructures/volatilities/swaptionvolcube.hpp, ql/termstructures/volatilities/swaptionvolcube1.cpp, ql/termstructures/volatilities/swaptionvolcube1.hpp, ql/termstructures/volatilities/swaptionvolcube2.cpp, ql/termstructures/volatilities/swaptionvolcube2.hpp, ql/termstructures/volatilities/swaptionvoldiscrete.cpp, ql/termstructures/volatilities/swaptionvoldiscrete.hpp, ql/termstructures/volatilities/swaptionvolmatrix.cpp, ql/termstructures/volatilities/swaptionvolmatrix.hpp, ql/termstructures/yieldcurves/bondhelpers.cpp, ql/termstructures/yieldcurves/bondhelpers.hpp, ql/termstructures/yieldcurves/bootstraptraits.hpp, ql/termstructures/yieldcurves/compoundforward.cpp, ql/termstructures/yieldcurves/compoundforward.hpp, ql/termstructures/yieldcurves/discountcurve.hpp, ql/termstructures/yieldcurves/drifttermstructure.hpp, ql/termstructures/yieldcurves/extendeddiscountcurve.cpp, ql/termstructures/yieldcurves/extendeddiscountcurve.hpp, ql/termstructures/yieldcurves/flatforward.hpp, ql/termstructures/yieldcurves/forwardcurve.hpp, ql/termstructures/yieldcurves/forwardspreadedtermstructure.hpp, ql/termstructures/yieldcurves/forwardstructure.hpp, ql/termstructures/yieldcurves/impliedtermstructure.hpp, ql/termstructures/yieldcurves/piecewiseyieldcurve.cpp, ql/termstructures/yieldcurves/piecewiseyieldcurve.hpp, ql/termstructures/yieldcurves/piecewisezerospreadedtermstructure.hpp, ql/termstructures/yieldcurves/quantotermstructure.hpp, ql/termstructures/yieldcurves/ratehelpers.cpp, ql/termstructures/yieldcurves/ratehelpers.hpp, ql/termstructures/yieldcurves/zerocurve.hpp, ql/termstructures/yieldcurves/zerospreadedtermstructure.hpp, ql/termstructures/yieldcurves/zeroyieldstructure.hpp, ql/time/businessdayconvention.cpp, ql/time/businessdayconvention.hpp, ql/time/calendar.cpp, ql/time/calendar.hpp, ql/time/calendars/argentina.cpp, ql/time/calendars/argentina.hpp, ql/time/calendars/australia.cpp, ql/time/calendars/australia.hpp, ql/time/calendars/brazil.cpp, ql/time/calendars/brazil.hpp, ql/time/calendars/canada.cpp, ql/time/calendars/canada.hpp, ql/time/calendars/china.cpp, ql/time/calendars/china.hpp, ql/time/calendars/czechrepublic.cpp, ql/time/calendars/czechrepublic.hpp, ql/time/calendars/denmark.cpp, ql/time/calendars/denmark.hpp, ql/time/calendars/finland.cpp, ql/time/calendars/finland.hpp, ql/time/calendars/germany.cpp, ql/time/calendars/germany.hpp, ql/time/calendars/hongkong.cpp, ql/time/calendars/hongkong.hpp, ql/time/calendars/hungary.cpp, ql/time/calendars/hungary.hpp, ql/time/calendars/iceland.cpp, ql/time/calendars/iceland.hpp, ql/time/calendars/india.cpp, ql/time/calendars/india.hpp, ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp, ql/time/calendars/italy.cpp, ql/time/calendars/italy.hpp, ql/time/calendars/japan.cpp, ql/time/calendars/japan.hpp, ql/time/calendars/jointcalendar.cpp, ql/time/calendars/jointcalendar.hpp, ql/time/calendars/mexico.cpp, ql/time/calendars/mexico.hpp, ql/time/calendars/newzealand.cpp, ql/time/calendars/newzealand.hpp, ql/time/calendars/norway.cpp, ql/time/calendars/norway.hpp, ql/time/calendars/nullcalendar.hpp, ql/time/calendars/poland.cpp, ql/time/calendars/poland.hpp, ql/time/calendars/saudiarabia.cpp, ql/time/calendars/saudiarabia.hpp, ql/time/calendars/singapore.cpp, ql/time/calendars/singapore.hpp, ql/time/calendars/slovakia.cpp, ql/time/calendars/slovakia.hpp, ql/time/calendars/southafrica.cpp, ql/time/calendars/southafrica.hpp, ql/time/calendars/southkorea.cpp, ql/time/calendars/southkorea.hpp, ql/time/calendars/sweden.cpp, ql/time/calendars/sweden.hpp, ql/time/calendars/switzerland.cpp, ql/time/calendars/switzerland.hpp, ql/time/calendars/taiwan.cpp, ql/time/calendars/taiwan.hpp, ql/time/calendars/target.cpp, ql/time/calendars/target.hpp, ql/time/calendars/turkey.cpp, ql/time/calendars/turkey.hpp, ql/time/calendars/ukraine.cpp, ql/time/calendars/ukraine.hpp, ql/time/calendars/unitedkingdom.cpp, ql/time/calendars/unitedkingdom.hpp, ql/time/calendars/unitedstates.cpp, ql/time/calendars/unitedstates.hpp, ql/time/date.cpp, ql/time/date.hpp, ql/time/daycounters/actual360.hpp, ql/time/daycounters/actual365fixed.hpp, ql/time/daycounters/actualactual.cpp, ql/time/daycounters/actualactual.hpp, ql/time/daycounters/business252.hpp, ql/time/daycounters/one.hpp, ql/time/daycounters/simpledaycounter.cpp, ql/time/daycounters/simpledaycounter.hpp, ql/time/daycounters/thirty360.cpp, ql/time/daycounters/thirty360.hpp, ql/time/frequency.cpp, ql/time/frequency.hpp, ql/time/imm.cpp, ql/time/imm.hpp, ql/time/period.cpp, ql/time/period.hpp, ql/time/schedule.cpp, ql/time/schedule.hpp, ql/time/timeunit.hpp, ql/time/weekday.cpp, ql/time/weekday.hpp, ql/timegrid.cpp, ql/timegrid.hpp, ql/timeseries.hpp, ql/types.hpp, ql/userconfig.hpp, ql/utilities/clone.hpp, ql/utilities/dataformatters.cpp, ql/utilities/dataformatters.hpp, ql/utilities/dataparsers.cpp, ql/utilities/dataparsers.hpp, ql/utilities/disposable.hpp, ql/utilities/null.hpp, ql/utilities/observablevalue.hpp, ql/utilities/steppingiterator.hpp, ql/utilities/tracing.cpp, ql/utilities/tracing.hpp, ql/volatilitymodel.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, quantlib.el, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/array.cpp, test-suite/array.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/assetswap.cpp, test-suite/assetswap.hpp, test-suite/barrieroption.cpp, test-suite/barrieroption.hpp, test-suite/basketoption.cpp, test-suite/basketoption.hpp, test-suite/batesmodel.cpp, test-suite/batesmodel.hpp, test-suite/bermudanswaption.cpp, test-suite/bermudanswaption.hpp, test-suite/bonds.cpp, test-suite/bonds.hpp, test-suite/brownianbridge.cpp, test-suite/brownianbridge.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/capflooredcoupon.cpp, test-suite/capflooredcoupon.hpp, test-suite/capstripper.cpp, test-suite/capstripper.hpp, test-suite/cliquetoption.cpp, test-suite/cliquetoption.hpp, test-suite/cms.cpp, test-suite/cms.hpp, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/convertiblebonds.cpp, test-suite/convertiblebonds.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/curvestates.cpp, test-suite/curvestates.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/digitalcoupon.cpp, test-suite/digitalcoupon.hpp, test-suite/digitaloption.cpp, test-suite/digitaloption.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/dividendoption.cpp, test-suite/dividendoption.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/exchangerate.cpp, test-suite/exchangerate.hpp, test-suite/factorial.cpp, test-suite/factorial.hpp, test-suite/fastfouriertransform.cpp, test-suite/fastfouriertransform.hpp, test-suite/forwardoption.cpp, test-suite/forwardoption.hpp, test-suite/gaussianquadratures.cpp, test-suite/gaussianquadratures.hpp, test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/interestrates.cpp, test-suite/interestrates.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.cpp, test-suite/jumpdiffusion.hpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodel.hpp, test-suite/libormarketmodelprocess.cpp, test-suite/libormarketmodelprocess.hpp, test-suite/linearleastsquaresregression.cpp, test-suite/linearleastsquaresregression.hpp, test-suite/lookbackoptions.cpp, test-suite/lookbackoptions.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_cms.hpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smm.hpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/mclongstaffschwartzengine.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/money.cpp, test-suite/money.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/optimizers.cpp, test-suite/optimizers.hpp, test-suite/pathgenerator.cpp, test-suite/pathgenerator.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp, test-suite/quantlibbenchmark.cpp, test-suite/quantlibtestsuite.cpp, test-suite/quantooption.cpp, test-suite/quantooption.hpp, test-suite/quotes.cpp, test-suite/quotes.hpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/rngtraits.cpp, test-suite/rngtraits.hpp, test-suite/rounding.cpp, test-suite/rounding.hpp, test-suite/sampledcurve.cpp, test-suite/sampledcurve.hpp, test-suite/shortratemodels.cpp, test-suite/shortratemodels.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/surface.cpp, test-suite/surface.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swapforwardmappings.cpp, test-suite/swapforwardmappings.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitycube.hpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/swaptionvolatilitymatrix.hpp, test-suite/tapcorrelations.cpp, test-suite/tapcorrelations.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp, test-suite/tqreigendecomposition.cpp, test-suite/tqreigendecomposition.hpp, test-suite/tracing.cpp, test-suite/tracing.hpp, test-suite/transformedgrid.cpp, test-suite/transformedgrid.hpp, test-suite/utilities.cpp, test-suite/utilities.hpp, test-suite/varianceswaps.cpp, test-suite/varianceswaps.hpp, test-suite/volatilitymodels.cpp, test-suite/volatilitymodels.hpp: More broken links fixed; links now point to the License in the main pages (thanks to Eric for the heads-up, and to grep, xargs and sed for support) 2007-05-18 15:52 Eric Ehlers * [r10836] ql/auto_link.hpp, ql/time/calendars/turkey.cpp, ql/time/calendars/turkey.hpp: fix broken link to QuantLib license 2007-05-18 12:51 Luigi Ballabio * [r10832] ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp, test-suite/marketmodel.cpp: Backported revisions 10817 and 10829 from trunk 2007-05-17 08:02 Luigi Ballabio * [r10801] Readme.txt: Fixed links 2007-05-17 07:59 Luigi Ballabio * [r10800] Readme.txt: More accurate note on Boost 1.34 2007-05-17 06:58 Luigi Ballabio * [r10797] Readme.txt: Added note about Boost 1.34 2007-05-16 15:32 Luigi Ballabio * [r10791] QuantLib.dev: Fixed Dev-C++ project 2007-05-16 15:12 Luigi Ballabio * [r10786] ql/swaptionvolstructure.hpp, ql/termstructures/volatilities/swaptionconstantvol.cpp, ql/termstructures/volatilities/swaptionconstantvol.hpp, ql/termstructures/volatilities/swaptionvolcube.hpp, ql/termstructures/volatilities/swaptionvolcube1.cpp, ql/termstructures/volatilities/swaptionvolcube1.hpp, ql/termstructures/volatilities/swaptionvolcube2.cpp, ql/termstructures/volatilities/swaptionvolcube2.hpp, ql/termstructures/volatilities/swaptionvoldiscrete.cpp, ql/termstructures/volatilities/swaptionvolmatrix.cpp, ql/termstructures/volatilities/swaptionvolmatrix.hpp: Backported revision 10780 from trunk 2007-05-16 13:50 Luigi Ballabio * [r10782] ql/instruments/assetswap.hpp, test-suite/compoundforward.cpp: Updated known-bugs list with classes failing tests when QL_USE_INDEXED_COUPON is defined 2007-05-16 13:49 Luigi Ballabio * [r10781] test-suite/capfloor.cpp: Slightly increased tolerance 2007-05-16 13:08 Luigi Ballabio * [r10778] QuantLib_vc8.vcproj, ql/models/marketmodels/products/marketmodelratchet.cpp, ql/models/marketmodels/products/marketmodelratchet.hpp: Removed old files 2007-05-16 09:21 Luigi Ballabio * [r10770] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EquityOption/EquityOption.cpp, Examples/FRA/FRA.cpp, Examples/Replication/Replication.cpp, Examples/Repo/Repo.cpp, Examples/Swap/swapvaluation.cpp, QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/Makefile.am, ql/config.bcc.hpp, ql/math/interpolations/multicubicspline.hpp, ql/methods/finitedifferences/onefactoroperator.hpp, ql/methods/finitedifferences/operatorfactory.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/models/shortrate/onefactormodel.cpp, ql/models/shortrate/onefactormodel.hpp, ql/models/shortrate/onefactormodels/blackkarasinski.cpp, ql/models/shortrate/onefactormodels/blackkarasinski.hpp, ql/models/shortrate/onefactormodels/coxingersollross.cpp, ql/models/shortrate/onefactormodels/coxingersollross.hpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.cpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp, ql/models/shortrate/onefactormodels/hullwhite.cpp, ql/models/shortrate/onefactormodels/hullwhite.hpp, ql/models/shortrate/onefactormodels/vasicek.cpp, ql/models/shortrate/onefactormodels/vasicek.hpp, ql/money.cpp, ql/pricingengines/capfloor/mchullwhiteengine.cpp, ql/pricingengines/capfloor/mchullwhiteengine.hpp, ql/pricingengines/swaption/jamshidianswaptionengine.cpp, ql/pricingengines/swaption/jamshidianswaptionengine.hpp, ql/qldefines.hpp, test-suite/bermudanswaption.cpp, test-suite/interpolations.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp: Removed last traces of Borland 5.5 support 2007-05-16 07:51 Luigi Ballabio * [r10766] Examples/EquityOption/EquityOption.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: Removed last traces of VC++6 support 2007-05-16 07:21 Luigi Ballabio * [r10765] test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj: Removed non-distributed files from projects 2007-05-15 17:24 Ferdinando Ametrano * [r10756] Readme.txt: boost 1.33.1 is suggested 2007-05-15 15:57 Luigi Ballabio * [r10754] dev_tools/check_all_inclusions.sh, dev_tools/check_inclusions.py, ql/instruments/bond.hpp, ql/math/integrals/kronrodintegral.hpp, ql/models/marketmodels/correlations/tapcorrelations.hpp, ql/models/marketmodels/duffsdeviceinnerproduct.hpp, ql/money.cpp: Checked order of header inclusions (ql first, boost next, std last) 2007-05-15 15:31 Luigi Ballabio * [r10752] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/cashflowvectors.cpp: Excluded entirely commented-out files from release 2007-05-15 14:44 Luigi Ballabio * [r10746] dev_tools/check_all_headers.sh, ql/instruments/forward.hpp, ql/models/marketmodels/piecewiseconstantcorrelation.hpp: Enforced self-consistency of header files 2007-05-15 14:24 Luigi Ballabio * [r10744] ql/math/matrixutilities/pseudosqrt.hpp: Added warning to Higham algorithm docs about its limitations 2007-05-15 14:07 Luigi Ballabio * [r10743] test-suite/curvestates.cpp: Disabled empty test cases 2007-05-15 13:23 Luigi Ballabio * [r10740] test-suite/marketmodel.cpp: Removed obsolete comment 2007-05-15 13:22 Luigi Ballabio * [r10739] ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp: Added to known bugs a couple of classes failing their test 2007-05-15 12:40 Luigi Ballabio * [r10737] test-suite/curvestates.cpp, test-suite/hestonmodel.cpp, test-suite/integrals.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/optimizers.cpp, test-suite/quotes.cpp: Formatted test-suite output 2007-05-15 11:26 Luigi Ballabio * [r10736] test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: Fixed seed for high-dimensional Sobol generators 2007-05-15 10:14 Luigi Ballabio * [r10735] ql/instruments/basketoption.cpp, ql/instruments/basketoption.hpp, test-suite/basketoption.cpp: Removed old constructor 2007-05-15 08:34 Luigi Ballabio * [r10733] ql/quotes/eurodollarfuturesquote.hpp, ql/quotes/impliedstddevquote.hpp: Moved performCalculation methods to protected section 2007-05-15 07:59 Luigi Ballabio * [r10732] test-suite/quotes.cpp: Fixed the test to account for extra laziness of implied standard deviation quote 2007-05-14 16:50 Luigi Ballabio * [r10723] ql/methods/lattices/binomialtree.hpp, ql/methods/lattices/trinomialtree.hpp: Backported revision 10701 from trunk 2007-05-14 16:32 Ferdinando Ametrano * [r10721] ql/quotes/eurodollarfuturesquote.cpp, ql/quotes/eurodollarfuturesquote.hpp, ql/quotes/impliedstddevquote.cpp, ql/quotes/impliedstddevquote.hpp: back-ported revision 10711 bug fix from trunk into R000800-branch 2007-05-14 14:53 Luigi Ballabio * [r10712] ql/termstructures/volatilities/swaptionvolcube1.cpp: Backported revision 10628 from trunk 2007-05-14 14:02 Luigi Ballabio * [r10709] test-suite/cms.cpp: Backported revision 10558 from trunk 2007-05-14 09:58 Luigi Ballabio * [r10703] Docs/quantlib.doxy, ql/capvolstructures.hpp, ql/cashflows/analysis.hpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/conundrumpricer.hpp, ql/cashflows/floatingratecoupon.hpp, ql/cashflows/rangeaccrual.hpp, ql/cashflows/timebasket.hpp, ql/currencies/asia.hpp, ql/currencies/europe.hpp, ql/indexes/iborindex.hpp, ql/instruments/asianoption.hpp, ql/instruments/assetswap.hpp, ql/instruments/barrieroption.hpp, ql/instruments/basketoption.hpp, ql/instruments/callabilityschedule.hpp, ql/instruments/capfloor.hpp, ql/instruments/cliquetoption.hpp, ql/instruments/cmsratebond.hpp, ql/instruments/compositeinstrument.hpp, ql/instruments/convertiblebond.hpp, ql/instruments/dividendvanillaoption.hpp, ql/instruments/fixedratebondforward.hpp, ql/instruments/forwardrateagreement.hpp, ql/instruments/forwardvanillaoption.hpp, ql/instruments/lookbackoption.hpp, ql/instruments/payoffs.hpp, ql/instruments/swaption.hpp, ql/instruments/vanillaoption.hpp, ql/instruments/varianceswap.hpp, ql/legacy/libormarketmodels/liborforwardmodel.hpp, ql/legacy/libormarketmodels/lmcorrmodel.hpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp, ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp, ql/legacy/pricers/discretegeometricaso.hpp, ql/legacy/pricers/mcdiscretearithmeticaso.hpp, ql/legacy/pricers/mcmaxbasket.hpp, ql/math/integrals/gaussianorthogonalpolynomial.hpp, ql/math/integrals/gaussianquadratures.hpp, ql/math/integrals/kronrodintegral.hpp, ql/math/interpolations/bicubicsplineinterpolation.hpp, ql/math/interpolations/bilinearinterpolation.hpp, ql/math/interpolations/linearinterpolation.hpp, ql/math/interpolations/loglinearinterpolation.hpp, ql/math/interpolations/multicubicspline.hpp, ql/math/matrixutilities/getcovariance.hpp, ql/math/matrixutilities/symmetricschurdecomposition.hpp, ql/math/optimization/projectedcostfunction.hpp, ql/math/rounding.hpp, ql/methods/finitedifferences/expliciteuler.hpp, ql/methods/finitedifferences/stepcondition.hpp, ql/methods/montecarlo/lsmbasissystem.hpp, ql/methods/montecarlo/montecarlomodel.hpp, ql/methods/montecarlo/path.hpp, ql/models/equity/batesmodel.hpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/browniangenerator.hpp, ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/models/marketmodels/callability/upperboundengine.hpp, ql/models/marketmodels/constrainedevolver.hpp, ql/models/marketmodels/curvestate.hpp, ql/models/marketmodels/curvestates/cmswapcurvestate.hpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp, ql/models/marketmodels/curvestates/lmmcurvestate.hpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp, ql/models/marketmodels/evolutiondescription.hpp, ql/models/marketmodels/evolver.hpp, ql/models/marketmodels/models/abcdvol.hpp, ql/models/marketmodels/multiproduct.hpp, ql/models/marketmodels/products/multiproductmultistep.hpp, ql/models/marketmodels/products/multiproductonestep.hpp, ql/models/volatility/constantestimator.hpp, ql/models/volatility/garmanklass.hpp, ql/models/volatility/simplelocalestimator.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/pricingengines/americanpayoffatexpiry.hpp, ql/pricingengines/americanpayoffathit.hpp, ql/pricingengines/forward/forwardengine.hpp, ql/pricingengines/forward/forwardperformanceengine.hpp, ql/pricingengines/mclongstaffschwartzengine.hpp, ql/pricingengines/swaption/lfmswaptionengine.hpp, ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp, ql/pricingengines/vanilla/bjerksundstenslandengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp, ql/pricingengines/vanilla/integralengine.hpp, ql/pricingengines/vanilla/juquadraticengine.hpp, ql/processes/g2process.hpp, ql/processes/hullwhiteprocess.hpp, ql/processes/lfmcovarparam.hpp, ql/processes/lfmhullwhiteparam.hpp, ql/quotes/derivedquote.hpp, ql/quotes/eurodollarfuturesquote.hpp, ql/quotes/forwardvaluequote.hpp, ql/quotes/futuresconvadjustmentquote.hpp, ql/quotes/impliedstddevquote.hpp, ql/termstructures/volatilities/abcd.hpp, ql/termstructures/volatilities/cmsmarket.hpp, ql/termstructures/volatilities/swaptionvolcube.hpp, ql/termstructures/yieldcurves/forwardstructure.hpp, ql/time/imm.hpp, ql/timeseries.hpp, ql/utilities/observablevalue.hpp, ql/volatilitymodel.hpp: Documentation fixes (mostly missing or incorrect brief class descriptions) 2007-05-10 09:22 Luigi Ballabio * [r10670] ql/instruments/fixedratebond.cpp, ql/instruments/fixedratebond.hpp, ql/instruments/floatingratebond.cpp, ql/instruments/floatingratebond.hpp: Restored constructors with explicit schedule parameters as overloads. They might (emphasis on "might") be more friendly to first-time users. 2007-05-09 13:57 Luigi Ballabio * [r10665] ql/math/matrix.cpp: Removed warnings from VC++7.1 build 2007-05-09 10:50 Luigi Ballabio * [r10664] ql/legacy/libormarketmodels/lfmcovarproxy.cpp, ql/math/matrix.cpp, ql/models/shortrate/twofactormodels/g2.cpp, ql/processes/lfmcovarparam.cpp: Removed warnings from VC++8 build 2007-05-09 10:38 Luigi Ballabio * [r10663] ql/math/integrals/kronrodintegral.cpp: Used the correct quantity in comparison (QL_MIN_REAL is the largest negative double, not the smallest in absolute value) 2007-05-08 14:21 Luigi Ballabio * [r10648] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj: Removed from Windows projects the files that won't be included in the 0.8.0 release 2007-05-08 14:09 Luigi Ballabio * [r10647] ql/cashflows/Makefile.am, ql/cashflows/all.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp: Disabled digital coupon for 0.8.0 release 2007-05-08 13:56 Luigi Ballabio * [r10645] ql/processes/hullwhiteprocess.cpp: Bug-fix for Hull-White stochastic processes (thanks to Pawel Micun and Marco Tarenghi) 2007-05-08 12:07 Luigi Ballabio * [r10643] ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp, ql/time/calendars/saudiarabia.cpp, ql/time/calendars/saudiarabia.hpp, ql/time/calendars/southkorea.cpp, ql/time/calendars/southkorea.hpp: Added holidays for 2007; fixed weekdays for Saudi financial market 2007-05-08 10:23 Luigi Ballabio * [r10639] ql/cashflows/analysis.cpp, ql/cashflows/analysis.hpp, ql/cashflows/conundrumpricer.hpp, ql/cashflows/couponpricer.cpp, ql/cashflows/couponpricer.hpp, ql/instruments/assetswap.cpp, ql/instruments/convertiblebond.cpp, ql/instruments/makecms.cpp, ql/instruments/vanillaswap.cpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, ql/processes/lfmprocess.cpp, ql/termstructures/volatilities/cmsmarket.cpp, test-suite/assetswap.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/cms.cpp, test-suite/convertiblebonds.cpp, test-suite/swap.cpp: Hidden implementation details of high-level coupon-setting functions 2007-05-08 08:07 Luigi Ballabio * [r10631] ql/currency.cpp, ql/currency.hpp: Fixed documentation; moved some code from header to source file 2007-05-08 07:28 Luigi Ballabio * [r10630] ql/models/marketmodels/correlations/Makefile.am, ql/models/marketmodels/correlations/all.hpp, test-suite/Makefile.am: Disabled TAP correlation for 0.8.0 release 2007-05-03 15:34 Luigi Ballabio * [r10573] ql/cashflows/conundrumpricer.cpp, ql/cashflows/digitalcoupon.cpp, ql/cashflows/rangeaccrual.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/optimizers.cpp, test-suite/swapforwardmappings.cpp: Removed unused-variable and initialization-order warnings 2007-05-03 12:54 Luigi Ballabio * [r10565] ql/legacy/libormarketmodels/lfmcovarproxy.cpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/processes/lfmcovarparam.cpp, test-suite/integrals.cpp: Fixed typos in method and variable names 2007-05-03 10:57 Luigi Ballabio * [r10556] : Created branch for QuantLib 0.8.0 release 2007-05-03 10:54 Luigi Ballabio * [r10555] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj: Updated Windows projects 2007-05-03 10:45 Luigi Ballabio * [r10554] ql/indexes/ibor/Makefile.am, ql/indexes/ibor/audlibor.hpp, ql/indexes/ibor/cadlibor.hpp, ql/indexes/ibor/chflibor.hpp, ql/indexes/ibor/dkklibor.hpp, ql/indexes/ibor/euribor.cpp, ql/indexes/ibor/euribor.hpp, ql/indexes/ibor/eurlibor.cpp, ql/indexes/ibor/eurlibor.hpp, ql/indexes/ibor/gbplibor.hpp, ql/indexes/ibor/jpylibor.hpp, ql/indexes/ibor/libor.cpp, ql/indexes/ibor/libor.hpp, ql/indexes/ibor/nzdlibor.hpp, ql/indexes/ibor/usdlibor.hpp, test-suite/capfloor.cpp, test-suite/cms.cpp, test-suite/digitalcoupon.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/quotes.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp: Libor and Euribor indexes now deduce their conventions from tenor 2007-05-03 09:21 Luigi Ballabio * [r10549] QuantLib.dev: Dev-C++ project is now up to date with recent changes 2007-05-03 08:22 Luigi Ballabio * [r10547] ql/indexes/Makefile.am, ql/indexes/ibor, ql/indexes/ibor/Makefile.am, ql/indexes/ibor/all.hpp, ql/indexes/swap, ql/indexes/swap/Makefile.am, ql/indexes/swap/all.hpp: Added autogenerated all.hpp files in new folders 2007-05-03 08:21 Luigi Ballabio * [r10546] Examples/FRA/FRA.cpp: Updated to latest IborIndex interface 2007-05-03 08:18 Luigi Ballabio * [r10544] ql/indexes/ibor/audlibor.hpp, ql/indexes/ibor/cadlibor.hpp, ql/indexes/ibor/chflibor.hpp, ql/indexes/ibor/dkklibor.hpp, ql/indexes/ibor/gbplibor.hpp, ql/indexes/ibor/jpylibor.hpp, ql/indexes/ibor/nzdlibor.hpp: Fixed header inclusions 2007-05-03 07:16 Joseph Wang * [r10540] configure.ac, ql/indexes/Makefile.am, ql/indexes/all.hpp, ql/indexes/ibor/Makefile.am, ql/indexes/swap/Makefile.am: redo Makefile.am's 2007-05-02 18:07 Ferdinando Ametrano * [r10535] ql/index.hpp, ql/indexes/ibor/eurlibor.cpp, ql/indexes/ibor/eurlibor.hpp, ql/indexes/ibor/libor.cpp, ql/indexes/ibor/libor.hpp: updating copyright attributions 2007-05-02 18:03 Ferdinando Ametrano * [r10534] ql/index.hpp: improved robustness: all valid fixings added before throwing an exception for invalid fixings (if any) 2007-05-02 17:29 Ferdinando Ametrano * [r10533] QuantLib_vc7.vcproj: VC7 catching up 2007-05-02 17:05 Chiara Fornarola * [r10531] QuantLib_vc8.vcproj, ql/cashflows/floatingratecoupon.cpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/rangeaccrual.cpp, ql/index.cpp, ql/index.hpp, ql/indexes/audlibor.hpp, ql/indexes/cadlibor.hpp, ql/indexes/cdor.hpp, ql/indexes/chflibor.hpp, ql/indexes/dkklibor.hpp, ql/indexes/euribor.hpp, ql/indexes/euriborswapfixa.cpp, ql/indexes/euriborswapfixa.hpp, ql/indexes/euriborswapfixb.cpp, ql/indexes/euriborswapfixb.hpp, ql/indexes/euriborswapfixifr.cpp, ql/indexes/euriborswapfixifr.hpp, ql/indexes/eurlibor.hpp, ql/indexes/eurliborswapfixa.cpp, ql/indexes/eurliborswapfixa.hpp, ql/indexes/eurliborswapfixb.cpp, ql/indexes/eurliborswapfixb.hpp, ql/indexes/eurliborswapfixifr.cpp, ql/indexes/eurliborswapfixifr.hpp, ql/indexes/gbplibor.hpp, ql/indexes/ibor, ql/indexes/ibor/audlibor.hpp, ql/indexes/ibor/cadlibor.hpp, ql/indexes/ibor/cdor.hpp, ql/indexes/ibor/chflibor.hpp, ql/indexes/ibor/dkklibor.hpp, ql/indexes/ibor/euribor.hpp, ql/indexes/ibor/eurlibor.cpp, ql/indexes/ibor/eurlibor.hpp, ql/indexes/ibor/gbplibor.hpp, ql/indexes/ibor/jibar.hpp, ql/indexes/ibor/jpylibor.hpp, ql/indexes/ibor/libor.cpp, ql/indexes/ibor/libor.hpp, ql/indexes/ibor/nzdlibor.hpp, ql/indexes/ibor/tibor.hpp, ql/indexes/ibor/trlibor.hpp, ql/indexes/ibor/usdlibor.hpp, ql/indexes/ibor/zibor.hpp, ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp, ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp, ql/indexes/jibar.hpp, ql/indexes/jpylibor.hpp, ql/indexes/libor.cpp, ql/indexes/libor.hpp, ql/indexes/nzdlibor.hpp, ql/indexes/swap, ql/indexes/swap/euriborswapfixa.cpp, ql/indexes/swap/euriborswapfixa.hpp, ql/indexes/swap/euriborswapfixb.cpp, ql/indexes/swap/euriborswapfixb.hpp, ql/indexes/swap/euriborswapfixifr.cpp, ql/indexes/swap/euriborswapfixifr.hpp, ql/indexes/swap/eurliborswapfixa.cpp, ql/indexes/swap/eurliborswapfixa.hpp, ql/indexes/swap/eurliborswapfixb.cpp, ql/indexes/swap/eurliborswapfixb.hpp, ql/indexes/swap/eurliborswapfixifr.cpp, ql/indexes/swap/eurliborswapfixifr.hpp, ql/indexes/swapindex.cpp, ql/indexes/tibor.hpp, ql/indexes/trlibor.hpp, ql/indexes/usdlibor.hpp, ql/indexes/zibor.hpp, ql/instruments/assetswap.cpp, ql/instruments/forwardrateagreement.cpp, ql/instruments/makecms.cpp, ql/instruments/makevanillaswap.cpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp, ql/processes/lfmprocess.cpp, ql/termstructures/volatilities/capstripper.cpp, ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp, ql/termstructures/volatilities/swaptionvolcube.cpp, ql/termstructures/yieldcurves/ratehelpers.cpp, test-suite/assetswap.cpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/digitalcoupon.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quotes.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp: - moved InterestRateIndex::calendar() to Index::fixingCalendar() - fixed bug in EurLibor fixing calendar, value date, and maturity date calculation - provided WeeklyTenorLibor and MonthlyTenorLibor (which should/will be used instead of Libor) 2007-05-02 11:50 Luigi Ballabio * [r10516] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, test-suite/testsuite.dev: Windows projects are now up to date 2007-05-02 10:16 Ferdinando Ametrano * [r10513] QuantLib_vc8.vcproj: VC8 catching up 2007-05-02 09:46 Luigi Ballabio * [r10511] configure.ac, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/correlations, ql/models/marketmodels/correlations/Makefile.am, ql/models/marketmodels/correlations/all.hpp, ql/models/marketmodels/correlations/correlations.cpp, ql/models/marketmodels/correlations/correlations.hpp, ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/correlations/tapcorrelations.cpp, ql/models/marketmodels/correlations/tapcorrelations.hpp, ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/piecewiseconstantcorrelations, test-suite/capfloor.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp, test-suite/tapcorrelations.cpp: Shortened sub-folder name (it was preventing generation of distribution tarball) 2007-05-02 09:11 Ferdinando Ametrano * [r10509] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj: VC7 and VC8 catching up 2007-05-02 08:41 Luigi Ballabio * [r10508] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/accountingengine.cpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/all.hpp, ql/models/marketmodels/callability/collectnodedata.cpp, ql/models/marketmodels/callability/exercisevalue.hpp, ql/models/marketmodels/callability/lsstrategy.cpp, ql/models/marketmodels/callability/upperboundengine.cpp, ql/models/marketmodels/constrainedevolver.hpp, ql/models/marketmodels/discounter.cpp, ql/models/marketmodels/discounter.hpp, ql/models/marketmodels/evolver.hpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp, ql/models/marketmodels/evolvers/normalfwdratepc.hpp, ql/models/marketmodels/marketmodeldiscounter.cpp, ql/models/marketmodels/marketmodeldiscounter.hpp, ql/models/marketmodels/marketmodelevolver.hpp, ql/models/marketmodels/marketmodelmultiproduct.hpp, ql/models/marketmodels/multiproduct.hpp, ql/models/marketmodels/products/compositeproduct.hpp, ql/models/marketmodels/products/marketmodelratchet.hpp, ql/models/marketmodels/products/multiproductmultistep.hpp, ql/models/marketmodels/products/multiproductonestep.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/models/marketmodels/products/multistep/cashrebate.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/proxygreekengine.hpp, test-suite/marketmodel.cpp: Shortened radundant file names 2007-05-02 08:20 Luigi Ballabio * [r10506] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/callability, ql/models/marketmodels/callability/Makefile.am, ql/models/marketmodels/callability/all.hpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/callability/collectnodedata.cpp, ql/models/marketmodels/callability/exercisevalue.hpp, ql/models/marketmodels/callability/lsstrategy.hpp, ql/models/marketmodels/callability/marketmodelbasissystem.hpp, ql/models/marketmodels/callability/marketmodelparametricexercise.hpp, ql/models/marketmodels/callability/nodedataprovider.hpp, ql/models/marketmodels/callability/nothingexercisevalue.hpp, ql/models/marketmodels/callability/upperboundengine.cpp, ql/models/marketmodels/marketmodelexercisevalue.hpp, ql/models/marketmodels/marketmodelnodedataprovider.hpp, ql/models/marketmodels/products/multistep/exerciseadapter.hpp: Completed changes in revision 10504 2007-05-02 08:05 Luigi Ballabio * [r10504] configure.ac, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/basissystems, ql/models/marketmodels/callability, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/callability/collectnodedata.cpp, ql/models/marketmodels/callability/collectnodedata.hpp, ql/models/marketmodels/callability/lsstrategy.cpp, ql/models/marketmodels/callability/lsstrategy.hpp, ql/models/marketmodels/callability/marketmodelbasissystem.hpp, ql/models/marketmodels/callability/marketmodelparametricexercise.hpp, ql/models/marketmodels/callability/nothingexercisevalue.cpp, ql/models/marketmodels/callability/nothingexercisevalue.hpp, ql/models/marketmodels/callability/parametricexerciseadapter.cpp, ql/models/marketmodels/callability/parametricexerciseadapter.hpp, ql/models/marketmodels/callability/swapbasissystem.cpp, ql/models/marketmodels/callability/swapbasissystem.hpp, ql/models/marketmodels/callability/swapratetrigger.cpp, ql/models/marketmodels/callability/swapratetrigger.hpp, ql/models/marketmodels/callability/triggeredswapexercise.cpp, ql/models/marketmodels/callability/triggeredswapexercise.hpp, ql/models/marketmodels/callability/upperboundengine.cpp, ql/models/marketmodels/callability/upperboundengine.hpp, ql/models/marketmodels/collectnodedata.cpp, ql/models/marketmodels/collectnodedata.hpp, ql/models/marketmodels/exercisestrategies, ql/models/marketmodels/exercisevalues, ql/models/marketmodels/nodedataproviders, ql/models/marketmodels/upperboundengine.cpp, ql/models/marketmodels/upperboundengine.hpp, test-suite/marketmodel.cpp: Moved callability-related parts of market-model module in a single folder 2007-05-02 07:53 Ferdinando Ametrano * [r10502] test-suite/marketmodel_smmcapletcalibration.cpp: back to 2 iterations, 4 are not needed 2007-05-02 00:14 markjoshi * [r10497] test-suite/marketmodel_smmcapletcalibration.cpp: changed call to match new function signature in CapletCoterminalCalibration 2007-05-02 00:12 markjoshi * [r10496] ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp: added full hull white approximation, using a[j]=b[j] = 1.0 for j > i. also added flag so you can choose whether to use it. (it currently makes things worse.) 2007-04-30 16:37 Luigi Ballabio * [r10473] ql/math/optimization/conjugategradient.cpp, ql/math/optimization/levenbergmarquardt.cpp, ql/math/optimization/method.hpp, ql/math/optimization/simplex.cpp, ql/math/optimization/steepestdescent.cpp, ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp: Removed timing instrumentation from the core library 2007-04-30 16:35 Ferdinando Ametrano * [r10471] ql/time/date.hpp, ql/time/daycounters/simpledaycounter.cpp: - Date::isOEM renamed as Date::isEndOfMonth - QLXL Date and IMM functions renamed as in qlDateXXX, qlIMMXXX pattern 2007-04-30 16:02 Luigi Ballabio * [r10468] ql/pricingengines/vanilla/binomialengine.hpp, test-suite/europeanoption.cpp: Improved binomial-engine theta by deriving it from value, delta, and gamma 2007-04-30 15:13 Ferdinando Ametrano * [r10460] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj: VC7 and VC8 catching up 2007-04-30 12:34 Luigi Ballabio * [r10455] ql/time/date.hpp, ql/types.hpp: Moved Day and Year typedefs back together with Month. As day of month and calendar year, they make best sense in the context of class Date. 2007-04-30 12:11 Luigi Ballabio * [r10453] Examples/Swap/swapvaluation.cpp, ql/quotes/futuresconvadjustmentquote.cpp, ql/time/Makefile.am, ql/time/all.hpp, ql/time/date.cpp, ql/time/date.hpp, ql/time/imm.cpp, ql/time/imm.hpp, test-suite/dates.cpp: Moved IMM-related methods from Date to own class 2007-04-30 11:09 Chiara Fornarola * [r10449] QuantLib_vc8.vcproj: vc8 cacthing up 2007-04-30 10:43 Luigi Ballabio * [r10447] ql/pricingengines/capfloor/marketmodelcapfloorengine.hpp, test-suite/capfloor.cpp: Added market-model cap-floor engine to the list of classes with known bugs; disabled the corresponding test case 2007-04-30 09:57 Luigi Ballabio * [r10445] ql/quotes/Makefile.am, ql/quotes/all.hpp, ql/quotes/derivedquote.cpp, ql/quotes/derivedquote.hpp, ql/quotes/eurodollarfuturesquote.cpp, ql/quotes/eurodollarfuturesquote.hpp, ql/quotes/forwardvaluequote.cpp, ql/quotes/forwardvaluequote.hpp, ql/quotes/impliedstddevquote.cpp, ql/quotes/impliedstddevquote.hpp, test-suite/quotes.cpp: Derived quotes moved into their own files. Windows projects need to be brough up to date. 2007-04-30 09:06 Ferdinando Ametrano * [r10441] ql/math/optimization/simplex.cpp: reverted revision changes 10422:10440 revision 10440 breaks the test-suite and needs further investigations 2007-04-29 12:25 Klaus Spanderen * [r10434] ql/pricingengines/asian/analytic_discr_geom_av_price.cpp, test-suite/asianoptions.cpp: bug fix for greeks of an analytic_discr_geom_av_price (when option has fixings) 2007-04-27 18:22 Marco Bianchetti * [r10426] test-suite/optimizers.cpp: fixed test 2007-04-27 18:19 Marco Bianchetti * [r10425] ql/math/optimization/simplex.cpp: fixed exit strategy 2007-04-27 18:09 Ferdinando Ametrano * [r10424] ql/math/matrixutilities/pseudosqrt.cpp: formatting 2007-04-27 17:32 Marco Bianchetti * [r10423] ql/math/optimization/simplex.cpp: minor changes, improved comments 2007-04-27 16:22 fdv1 * [r10420] ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.hpp, test-suite/tapcorrelations.cpp: Work in progress 2007-04-27 16:19 fdv1 * [r10419] ql/patterns/lazyobject.hpp, test-suite/instruments.cpp: LazyObject made lazier than ever, it propagates notifications only once between two successive calculations... observability tests changes accordingly 2007-04-27 15:32 Cristina Duminuco * [r10416] test-suite/digitalcoupon.cpp, test-suite/digitalcoupon.hpp: more tests added 2007-04-27 15:32 Cristina Duminuco * [r10415] ql/cashflows/digitalcoupon.cpp, ql/cashflows/digitalcoupon.hpp: added comments 2007-04-27 15:29 Luigi Ballabio * [r10414] test-suite/Makefile.am: New files added to gcc build 2007-04-27 14:48 Ferdinando Ametrano * [r10412] ql/math/matrixutilities/pseudosqrt.cpp: factoring out common code in normalizePseudoRoot function (and other minor improvements) 2007-04-27 13:17 Ferdinando Ametrano * [r10409] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/math/integrals/Makefile.am, ql/math/integrals/gaussianquadratures.cpp, ql/math/integrals/gaussianquadratures.hpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp, ql/math/integrals/segmentintegral.cpp, ql/math/integrals/segmentintegral.hpp, ql/math/integrals/simpsonintegral.hpp, ql/math/integrals/trapezoidintegral.hpp: formatting 2007-04-27 13:03 Cristina Duminuco * [r10407] ql/cashflows/digitalcoupon.cpp, ql/cashflows/digitalcoupon.hpp: class member are now private added effective rates, but use of gearing<>1 and spread<>0 is prevented 2007-04-27 10:03 fdv1 * [r10403] ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.cpp: bug fix 2007-04-27 09:05 Marco Bianchetti * [r10400] QuantLib_vc7.vcproj, test-suite/testsuite_vc7.vcproj: VC7 catching up 2007-04-27 08:03 Cristina Duminuco * [r10398] test-suite/digitalcoupon.cpp, test-suite/digitalcoupon.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: added test for digital coupon only cash-or-nothing is working work in progress 2007-04-27 07:56 Cristina Duminuco * [r10396] QuantLib_vc8.vcproj, ql/cashflows/digitalcoupon.cpp, ql/cashflows/digitalcoupon.hpp: some code re-factoring and addition to project 2007-04-27 07:16 Giorgio Facchinetti * [r10395] ql/cashflows/cashflowvectors.cpp, ql/cashflows/cashflowvectors.hpp: Added RangeAccrualLeg 2007-04-27 07:05 fdv1 * [r10394] ql/math/integrals/segmentintegral.hpp, ql/models/shortrate/twofactormodels/g2.cpp, ql/pricingengines/forward/mcvarianceswapengine.hpp, ql/pricingengines/vanilla/integralengine.cpp, test-suite/integrals.cpp, test-suite/marketmodel.cpp: dummy values removed from SegmentIntegral constructor 2007-04-26 17:20 fdv1 * [r10393] ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.hpp, test-suite/tapcorrelations.cpp, test-suite/tapcorrelations.hpp: Triangular Angles Parametrized correlation matrix calibration implemented, corresponding tests added but not enabled yet 2007-04-26 14:49 Luigi Ballabio * [r10390] ql/cashflows/analysis.hpp: Fixed docs and regrouped similar methods 2007-04-26 12:58 Giorgio Facchinetti * [r10387] ql/cashflows/couponpricer.cpp, ql/cashflows/couponpricer.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: RangeAccrualFloatersCoupon into FloatingRateCoupon hierarchy 2007-04-26 11:21 Luigi Ballabio * [r10386] ql/math/interpolations/Makefile.am, ql/math/interpolations/all.hpp: Added new file to gcc build 2007-04-26 10:40 Giorgio Facchinetti * [r10383] QuantLib_vc8.vcproj, ql/math/interpolations/flatextrapolation2d.hpp, ql/termstructures/volatilities/swaptionvolcube1.cpp, ql/termstructures/volatilities/swaptionvolcube1.hpp: Added FlatExtrapolator2D class 2007-04-26 08:58 Marco Bianchetti * [r10381] QuantLib_vc7.vcproj, test-suite/testsuite_vc7.vcproj: VC7 catching up 2007-04-26 07:49 Luigi Ballabio * [r10380] ql/models/marketmodels/piecewiseconstantcorrelations/Makefile.am, ql/models/marketmodels/piecewiseconstantcorrelations/all.hpp, test-suite/Makefile.am: Fixed for gcc build 2007-04-25 17:16 fdv1 * [r10378] ql/math/integrals/simpsonintegral.hpp, ql/math/integrals/trapezoidintegral.hpp, test-suite/integrals.cpp: bug fixed 2007-04-25 16:16 fdv1 * [r10377] QuantLib_vc8.vcproj, ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/tapcorrelations.hpp, test-suite/tapcorrelations.cpp, test-suite/tapcorrelations.hpp, test-suite/testsuite_vc8.vcproj: Triangular Angles Parametrized correlation matrix implementation added, corresponding tests added but not enabled yet. 2007-04-25 16:13 fdv1 * [r10376] ql/math/integrals/simpsonintegral.hpp, ql/math/integrals/trapezoidintegral.hpp: SimpsonIntegral and TrapezoidIntegral adapted to the new framework 2007-04-25 12:16 fdv1 * [r10375] ql/models/marketmodels/piecewiseconstantcorrelations/correlations.cpp: uneeded inclusion removed 2007-04-25 11:24 Joseph Wang * [r10374] ql/math/integrals/segmentintegral.hpp: fix syntax issues 2007-04-24 17:28 Ferdinando Ametrano * [r10373] ql/models/marketmodels/TODO.txt: updated 2007-04-24 17:04 fdv1 * [r10372] ql/math/integrals/segmentintegral.hpp, ql/models/shortrate/twofactormodels/g2.cpp, ql/pricingengines/forward/mcvarianceswapengine.hpp, ql/pricingengines/vanilla/integralengine.cpp, test-suite/integrals.cpp, test-suite/marketmodel.cpp: SegmentIntegral adapted to the new framework 2007-04-24 16:01 Luigi Ballabio * [r10371] ql/cashflows/conundrumpricer.cpp: Moved helper classes in anonymous namespace to prevent name clashes at link time 2007-04-24 12:34 Chiara Fornarola * [r10365] test-suite/assetswap.cpp: set evaluation date to 24,April,2007 last fixing for swap and ibor indexes passed as input values 2007-04-24 12:03 Cristina Duminuco * [r10362] ql/cashflows/cashflowvectors.cpp: bug fixing in FloatingZeroLeg, in order to set the payment date, the schedule was accessed beyond its dimension 2007-04-24 10:55 Luigi Ballabio * [r10361] test-suite/capstripper.cpp: Fixed cap-stripper test behavior on holidays 2007-04-24 09:24 Luigi Ballabio * [r10360] configure.ac, ql/math/statistics, ql/math/statistics/Makefile.am, ql/math/statistics/all.hpp: More fixes for gcc build 2007-04-24 08:58 Ferdinando Ametrano * [r10359] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/math/Makefile.am, ql/math/all.hpp, ql/math/convergencestatistics.hpp, ql/math/discrepancystatistics.cpp, ql/math/discrepancystatistics.hpp, ql/math/gaussianstatistics.hpp, ql/math/generalstatistics.cpp, ql/math/generalstatistics.hpp, ql/math/incrementalstatistics.cpp, ql/math/incrementalstatistics.hpp, ql/math/riskstatistics.hpp, ql/math/sequencestatistics.hpp, ql/math/statistics, ql/math/statistics.hpp, ql/math/statistics/Makefile.am, ql/math/statistics/convergencestatistics.hpp, ql/math/statistics/discrepancystatistics.cpp, ql/math/statistics/discrepancystatistics.hpp, ql/math/statistics/gaussianstatistics.hpp, ql/math/statistics/generalstatistics.cpp, ql/math/statistics/generalstatistics.hpp, ql/math/statistics/incrementalstatistics.cpp, ql/math/statistics/incrementalstatistics.hpp, ql/math/statistics/riskstatistics.hpp, ql/math/statistics/sequencestatistics.hpp, ql/math/statistics/statistics.hpp, ql/methods/montecarlo/genericlsregression.cpp, ql/methods/montecarlo/montecarlomodel.hpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/proxygreekengine.hpp, ql/models/marketmodels/upperboundengine.hpp, test-suite/brownianbridge.cpp, test-suite/covariance.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp, test-suite/swapforwardmappings.cpp: - statistics files moved into math/statistics folder - using lower case in xml files 2007-04-24 08:28 Giorgio Facchinetti * [r10358] ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: added RangeAccrualFloatersCoupon inspectors 2007-04-24 07:44 Luigi Ballabio * [r10355] ql/models/marketmodels/basissystems, ql/models/marketmodels/basissystems/Makefile.am, ql/models/marketmodels/basissystems/all.hpp, ql/models/marketmodels/nodedataproviders, ql/models/marketmodels/nodedataproviders/Makefile.am, ql/models/marketmodels/nodedataproviders/all.hpp: More fixes for gcc build 2007-04-24 07:01 Ferdinando Ametrano * [r10354] QuantLib_vc7.vcproj: VC7 catching up 2007-04-24 02:43 Joseph Wang * [r10353] configure.ac, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/basissystems/Makefile.am, ql/models/marketmodels/exercisestrategies/all.hpp: add new Makefile.am files 2007-04-23 16:57 Ferdinando Ametrano * [r10351] ql/models/marketmodels/TODO.txt, test-suite/curvestates.cpp: fixed test (this test actually does not test anything relevant at all, besides constructors... it should/will be fixed) 2007-04-23 16:55 Ferdinando Ametrano * [r10350] test-suite/capfloor.cpp: formatting 2007-04-23 15:47 Ferdinando Ametrano * [r10348] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/basissystems, ql/models/marketmodels/basissystems/swapbasissystem.cpp, ql/models/marketmodels/basissystems/swapbasissystem.hpp, ql/models/marketmodels/exercisestrategies/Makefile.am, ql/models/marketmodels/exercisestrategies/lsstrategy.hpp, ql/models/marketmodels/exercisestrategies/parametricexerciseadapter.cpp, ql/models/marketmodels/exercisestrategies/parametricexerciseadapter.hpp, ql/models/marketmodels/marketmodelbasissystem.hpp, ql/models/marketmodels/marketmodelparametricexercise.hpp, ql/models/marketmodels/nodedataproviders, ql/models/marketmodels/nodedataproviders/marketmodelbasissystem.hpp, ql/models/marketmodels/nodedataproviders/marketmodelparametricexercise.hpp, ql/models/marketmodels/nodedataproviders/triggeredswapexercise.cpp, ql/models/marketmodels/nodedataproviders/triggeredswapexercise.hpp, ql/models/marketmodels/parametricexerciseadapter.cpp, ql/models/marketmodels/parametricexerciseadapter.hpp, ql/models/marketmodels/swapbasissystem.cpp, ql/models/marketmodels/swapbasissystem.hpp, ql/models/marketmodels/triggeredswapexercise.cpp, ql/models/marketmodels/triggeredswapexercise.hpp, test-suite/marketmodel.cpp: - adopted lower case filters in VC8 project - in folder marketmodels: moved all derived classes in their proper sub-folder 2007-04-23 15:20 Luigi Ballabio * [r10346] test-suite/marketmodel.cpp: Better test coverage---hopefully. Instead of one test using one strategy and three measures, three tests are run using one distinct strategy and measure each. 2007-04-23 15:19 Ferdinando Ametrano * [r10345] ql/models/marketmodels/maketmodelnodedataprovider.hpp: removed spurious file 2007-04-23 15:03 Giorgio Facchinetti * [r10343] ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: double --> Real 2007-04-23 14:43 Luigi Ballabio * [r10341] ql/math/matrixutilities, ql/models/marketmodels/piecewiseconstantcorrelations: Added gcc build artifacts to svn:ignore 2007-04-23 14:41 Luigi Ballabio * [r10340] ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp, ql/methods/montecarlo/Makefile.am, ql/methods/montecarlo/all.hpp, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp: Fixes for gcc build 2007-04-23 14:24 Marco Bianchetti * [r10338] ql/cashflows/rangeaccrual.cpp: fixed bug 2007-04-23 14:24 Marco Bianchetti * [r10337] QuantLib_vc7.vcproj: VC7 catching up 2007-04-23 14:09 Marco Bianchetti * [r10336] QuantLib_vc7.vcproj: VC7 catching up 2007-04-23 13:29 Ferdinando Ametrano * [r10331] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/methods/montecarlo/all.hpp, ql/methods/montecarlo/genericparametricearlyexercise.cpp, ql/methods/montecarlo/genericparametricearlyexercise.hpp, ql/methods/montecarlo/parametricexercise.cpp, ql/methods/montecarlo/parametricexercise.hpp, ql/models/marketmodels/TODO.txt, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/all.hpp, ql/models/marketmodels/collectnodedata.cpp, ql/models/marketmodels/collectnodedata.hpp, ql/models/marketmodels/constrainedevolver.hpp, ql/models/marketmodels/curvestate.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp, ql/models/marketmodels/exercisestrategies/lsstrategy.hpp, ql/models/marketmodels/exercisevalue.hpp, ql/models/marketmodels/exercisevalues/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/exercisevalues/nothingexercisevalue.hpp, ql/models/marketmodels/lsbasisfunctions.hpp, ql/models/marketmodels/lsdatacollector.cpp, ql/models/marketmodels/lsdatacollector.hpp, ql/models/marketmodels/maketmodelnodedataprovider.hpp, ql/models/marketmodels/marketmodelbasissystem.hpp, ql/models/marketmodels/marketmodelconstrainedevolver.hpp, ql/models/marketmodels/marketmodelexercisevalue.hpp, ql/models/marketmodels/marketmodelmultiproduct.hpp, ql/models/marketmodels/marketmodelnodedataprovider.hpp, ql/models/marketmodels/marketmodelparametricexercise.hpp, ql/models/marketmodels/marketmodelproduct.hpp, ql/models/marketmodels/nodedataprovider.hpp, ql/models/marketmodels/parametricexercise.hpp, ql/models/marketmodels/parametricexerciseadapter.cpp, ql/models/marketmodels/parametricswapexercise.cpp, ql/models/marketmodels/parametricswapexercise.hpp, ql/models/marketmodels/piecewiseconstantcorrelation.hpp, ql/models/marketmodels/products/compositeproduct.hpp, ql/models/marketmodels/products/marketmodelratchet.hpp, ql/models/marketmodels/products/multiproductmultistep.hpp, ql/models/marketmodels/products/multiproductonestep.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/models/marketmodels/products/multistep/cashrebate.hpp, ql/models/marketmodels/products/multistep/exerciseadapter.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/proxygreekengine.hpp, ql/models/marketmodels/swapbasissystem.hpp, ql/models/marketmodels/triggeredswapexercise.cpp, ql/models/marketmodels/triggeredswapexercise.hpp, ql/models/marketmodels/upperboundengine.cpp, test-suite/curvestates.cpp, test-suite/marketmodel.cpp: renamed files in accordance with their current actual content 2007-04-23 13:19 Giorgio Facchinetti * [r10329] QuantLib_vc8.vcproj, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: floater range accrual added 2007-04-23 12:17 Luigi Ballabio * [r10328] ql/Makefile.am, ql/math/Makefile.am, ql/math/all.hpp, ql/quantlib.hpp: Fixes for Linux build 2007-04-23 10:49 fdv1 * [r10326] QuantLib_vc8.vcproj, ql/math/solver1d.hpp, ql/math/solvers1d/bisection.hpp, ql/math/solvers1d/brent.hpp, ql/math/solvers1d/falseposition.hpp, ql/math/solvers1d/newtonsafe.hpp, ql/math/solvers1d/ridder.hpp, ql/math/solvers1d/secant.hpp, ql/quantlib.hpp, ql/solver1d.hpp: solver1d.hpp moved to math folder 2007-04-23 10:22 fdv1 * [r10324] ql/cashflows/conundrumpricer.cpp, ql/legacy/libormarketmodels/lfmcovarproxy.cpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp, ql/processes/lfmcovarparam.cpp, test-suite/integrals.cpp, test-suite/integrals.hpp: Integration refactoring in progress: the old GaussKronrod class has been renamed in GaussKronrodNonAdaptive and adapted to the new framework, client code and tests updated accordingly 2007-04-23 09:36 Chiara Fornarola * [r10321] test-suite/assetswap.cpp: added a 3rd case to AssetSwapTest regarding cms pricing, the underlying bond is a real Cmsbon (isin:XS0218766664) 2007-04-23 09:36 Ferdinando Ametrano * [r10320] ql/models/marketmodels/TODO.txt: - checking for increasing times - formatting 2007-04-23 09:33 Ferdinando Ametrano * [r10319] ql/models/marketmodels/browniangenerators/mtbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/models/marketmodels/curvestate.cpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.cpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp, ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/exercisestrategies/swapratetrigger.cpp, ql/models/marketmodels/exercisevalues/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/exercisevalues/nothingexercisevalue.cpp, ql/models/marketmodels/marketmodeldiscounter.cpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/models/marketmodels/models/pseudorootfacade.cpp, ql/models/marketmodels/parametricswapexercise.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/correlations.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/products/marketmodelratchet.cpp, ql/models/marketmodels/products/multistep/cashrebate.cpp, ql/models/marketmodels/products/multistep/multistepcoinitialswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.cpp, ql/models/marketmodels/products/multistep/multistepforwards.cpp, ql/models/marketmodels/products/multistep/multistepoptionlets.cpp, ql/models/marketmodels/products/multistep/multistepratchet.cpp, ql/models/marketmodels/products/multistep/multistepswap.cpp, ql/models/marketmodels/products/onestep/onestepcoinitialswaps.cpp, ql/models/marketmodels/products/onestep/onestepcoterminalswaps.cpp, ql/models/marketmodels/products/onestep/onestepforwards.cpp, ql/models/marketmodels/products/onestep/onestepoptionlets.cpp, ql/models/marketmodels/swapbasissystem.cpp, ql/models/marketmodels/utilities.cpp, ql/models/marketmodels/utilities.hpp: - checking for increasing times - formatting 2007-04-23 09:09 Luigi Ballabio * [r10317] ql/math/Makefile.am, ql/math/all.hpp, ql/math/matrixutilities/all.hpp, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/models/Makefile.am, ql/models/marketmodels/models/all.hpp, ql/models/marketmodels/piecewiseconstantcorrelations/Makefile.am, ql/models/marketmodels/piecewiseconstantcorrelations/all.hpp: More fixes for Makefiles 2007-04-23 08:01 Ferdinando Ametrano * [r10315] ql/models/marketmodels/TODO.txt, ql/models/marketmodels/accountingengine.cpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/curvestate.cpp, ql/models/marketmodels/curvestate.hpp, ql/models/marketmodels/curvestates/cmswapcurvestate.cpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.cpp, ql/models/marketmodels/curvestates/lmmcurvestate.cpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp, ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/evolutiondescription.hpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.cpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp, ql/models/marketmodels/evolvers/normalfwdratepc.cpp, ql/models/marketmodels/evolvers/normalfwdratepc.hpp, ql/models/marketmodels/exercisevalues/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/exercisevalues/nothingexercisevalue.cpp, ql/models/marketmodels/marketmodeldiscounter.cpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/models/marketmodels/piecewiseconstantcorrelations/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/timehomogeneousforwardcorrelation.hpp: - using "rateTimes.empty() ? 0 : rateTimes.size()-1" plus a later check instead of rateTimes.size()-1 (rateTimes could be a null vector) - formatting 2007-04-23 08:00 Ferdinando Ametrano * [r10314] QuantLib_vc7.vcproj: VC7 catching up 2007-04-22 15:16 Joseph Wang * [r10310] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp: add subdirectory 2007-04-21 22:27 Joseph Wang * [r10309] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp: synch with tree 2007-04-21 05:28 Joseph Wang * [r10308] ql/math/Makefile.am, ql/math/all.hpp: sync updates 2007-04-21 02:23 Joseph Wang * [r10307] configure.ac, ql/math/all.hpp, ql/math/optimization/Makefile.am, ql/math/optimization/all.hpp, ql/methods/montecarlo/all.hpp, ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/models/Makefile.am, ql/models/marketmodels/models/all.hpp: more am file synching 2007-04-20 22:29 Joseph Wang * [r10306] ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/evolvers/all.hpp: sync with changes 2007-04-20 22:18 Joseph Wang * [r10305] ql/math/matrixutilities/Makefile.am: add new files 2007-04-20 22:14 Joseph Wang * [r10304] configure.ac: added new directory 2007-04-20 22:01 Joseph Wang * [r10303] ql/math/optimization/Makefile.am, ql/math/optimization/all.hpp: remove constrained cost function 2007-04-20 21:41 Ferdinando Ametrano * [r10302] test-suite/quantlibtestsuite.cpp: removed redundant tests 2007-04-20 21:40 Ferdinando Ametrano * [r10301] test-suite/capfloor.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swaption.cpp: fixed messages 2007-04-20 21:24 Ferdinando Ametrano * [r10300] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp, test-suite/marketmodel.cpp: renamed all evolver classes and files using the pattern Normal/LogNormal + FwdRate/CotSwapRate/CmSwapRate + Pc/Ipc/Euler + _/Constrained (fourth and final pass) 2007-04-20 21:14 Ferdinando Ametrano * [r10299] QuantLib_vc8.vcproj, ql/models/marketmodels/evolvers/lognormalcmswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalcmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalcmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.cpp, ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalcotswapratepcevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeulerevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeulerevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipcevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateipcevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.cpp, ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdratepcevolver.hpp, ql/models/marketmodels/evolvers/normalfwdratepc.cpp, ql/models/marketmodels/evolvers/normalfwdratepc.hpp, ql/models/marketmodels/evolvers/normalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/normalfwdratepcevolver.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: renamed all evolver classes and files using the pattern Normal/LogNormal + FwdRate/CotSwapRate/CmSwapRate + Pc/Ipc/Euler + _/Constrained (third pass) 2007-04-20 20:46 Ferdinando Ametrano * [r10298] QuantLib_vc8.vcproj, ql/models/marketmodels/evolvers/cmswaprates, ql/models/marketmodels/evolvers/cotswaprates, ql/models/marketmodels/evolvers/fwdrates, ql/models/marketmodels/evolvers/lognormalcmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalcmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/lognormalcotswapratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalcotswapratepcevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeulerevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateconstrainedeulerevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateipcevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateipcevolver.hpp, ql/models/marketmodels/evolvers/lognormalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/lognormalfwdratepcevolver.hpp, ql/models/marketmodels/evolvers/normalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/normalfwdratepcevolver.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: renamed all evolver classes and file using the pattern Normal/LogNormal + FwdRate/CotSwapRate/CmSwapRate + Pc/Ipc/Euler/ConstrainedEuler (second pass) 2007-04-20 20:37 Ferdinando Ametrano * [r10297] QuantLib_vc8.vcproj, ql/models/marketmodels/TODO.txt, ql/models/marketmodels/evolvers/cmswaprates/lognormal/cmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cmswaprates/lognormal/cmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cmswaprates/lognormal/lognormalcmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cmswaprates/lognormal/lognormalcmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cotswaprates/lognormal/coterminalswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cotswaprates/lognormal/coterminalswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cotswaprates/lognormal/lognormalcotswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cotswaprates/lognormal/lognormalcotswapratepcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateeulerevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateeulerevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateipcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateipcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardratepcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardratepcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateconstrainedeulerevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateconstrainedeulerevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateeulerevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateeulerevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateipcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdrateipcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/lognormalfwdratepcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/normal/forwardratenormalpcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/normal/forwardratenormalpcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/normal/normalfwdratepcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/normal/normalfwdratepcevolver.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: renamed all evolver classes and file using the pattern Normal/LogNormal + FwdRate/CotSwapRate/CmSwapRate + Pc/Ipc/Euler/ConstrainedEuler (first pass) 2007-04-20 20:08 Ferdinando Ametrano * [r10296] QuantLib_vc8.vcproj, ql/models/marketmodels/models/abcdvol.cpp, ql/models/marketmodels/models/all.hpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/piecewiseconstantcorrelation.hpp, ql/models/marketmodels/piecewiseconstantcorrelations, ql/models/marketmodels/piecewiseconstantcorrelations/correlations.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/piecewiseconstantcorrelations/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/piecewiseconstantcorrelations/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/timedependantcorrelationstructure.hpp, ql/models/marketmodels/timedependantcorrelationstructures, test-suite/capfloor.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: renamed TimeDependantCorrelationStructure class and folder as PiecewiseConstantCorrelation 2007-04-20 19:55 Ferdinando Ametrano * [r10295] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/legacy/libormarketmodels/lmcorrmodel.cpp, ql/legacy/libormarketmodels/lmexpcorrmodel.cpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.cpp, ql/math/Makefile.am, ql/math/choleskydecomposition.cpp, ql/math/choleskydecomposition.hpp, ql/math/integrals/gaussianquadratures.cpp, ql/math/linearleastsquaresregression.hpp, ql/math/matrixutilities, ql/math/matrixutilities/Makefile.am, ql/math/matrixutilities/choleskydecomposition.cpp, ql/math/matrixutilities/choleskydecomposition.hpp, ql/math/matrixutilities/getcovariance.cpp, ql/math/matrixutilities/getcovariance.hpp, ql/math/matrixutilities/pseudosqrt.cpp, ql/math/matrixutilities/pseudosqrt.hpp, ql/math/matrixutilities/svd.cpp, ql/math/matrixutilities/svd.hpp, ql/math/matrixutilities/symmetricschurdecomposition.cpp, ql/math/matrixutilities/symmetricschurdecomposition.hpp, ql/math/matrixutilities/tqreigendecomposition.cpp, ql/math/matrixutilities/tqreigendecomposition.hpp, ql/math/pseudosqrt.cpp, ql/math/pseudosqrt.hpp, ql/math/svd.cpp, ql/math/svd.hpp, ql/math/symmetricschurdecomposition.cpp, ql/math/symmetricschurdecomposition.hpp, ql/math/tqreigendecomposition.cpp, ql/math/tqreigendecomposition.hpp, ql/methods/montecarlo/Makefile.am, ql/methods/montecarlo/genericlsregression.cpp, ql/methods/montecarlo/getcovariance.cpp, ql/methods/montecarlo/getcovariance.hpp, ql/methods/montecarlo/multipathgenerator.hpp, ql/models/marketmodels/models/abcdvol.cpp, ql/models/marketmodels/models/abcdvol.hpp, ql/models/marketmodels/models/all.hpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/models/flatvol.hpp, ql/models/marketmodels/models/pseudorootfacade.cpp, ql/models/marketmodels/models/timedependantcorrelationstructure.hpp, ql/models/marketmodels/models/timedependantcorrelationstructures, ql/models/marketmodels/timedependantcorrelationstructure.hpp, ql/models/marketmodels/timedependantcorrelationstructures, ql/models/marketmodels/timedependantcorrelationstructures/correlations.cpp, ql/models/marketmodels/timedependantcorrelationstructures/correlations.hpp, ql/models/marketmodels/timedependantcorrelationstructures/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/timedependantcorrelationstructures/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/timedependantcorrelationstructures/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/timedependantcorrelationstructures/timehomogeneousforwardcorrelation.hpp, ql/processes/lfmhullwhiteparam.cpp, ql/processes/stochasticprocessarray.cpp, test-suite/capfloor.cpp, test-suite/covariance.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/matrices.cpp, test-suite/old_pricers.cpp, test-suite/swapforwardmappings.cpp, test-suite/tqreigendecomposition.cpp: - created math/matrixutilities folder - removed pseudoRoots method from PiecewiseConstantCorrelation in favor of correlations method (no more factor reduction in PiecewiseConstantCorrelation) 2007-04-20 17:24 Ferdinando Ametrano * [r10292] ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/evolutiondescription.hpp: commented out effectiveStopTimes method, since it is not really needed anymore... 2007-04-20 14:20 Katiuscia Manzoni * [r10286] ql/termstructures/volatilities/swaptionvolcube1.cpp: enriched information in error messages 2007-04-20 14:19 Katiuscia Manzoni * [r10285] ql/cashflows/conundrumpricer.cpp: 1.renamed newtonSolver with solver. 2.Enriched information in solver error message 2007-04-20 14:12 Ferdinando Ametrano * [r10284] ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/evolutiondescription.hpp, ql/models/marketmodels/models/abcdvol.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/models/timedependantcorrelationstructure.hpp, ql/models/marketmodels/models/timedependantcorrelationstructures/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/models/timedependantcorrelationstructures/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/models/timedependantcorrelationstructures/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/models/timedependantcorrelationstructures/timehomogeneousforwardcorrelation.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: relevant refactoring: - TimeDependantCorrelationStructure doesn't rule the factor reduction anymore, since full factor correlation matrices are needed in order to calculate covariance matrices between evolution times when evolution times are not equal to correlation times - proper handling of piecewise constant correlation matrices 2007-04-20 12:40 Giorgio Facchinetti * [r10281] ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp: rename functions of SimultaneousCalibration class 2007-04-20 11:35 fdv1 * [r10278] ql/math/optimization/projectedcostfunction.cpp, ql/math/optimization/projectedcostfunction.hpp: comments improved 2007-04-20 10:09 fdv1 * [r10276] ql/math/interpolations/abcdinterpolation.hpp: uneeded inclusions removed 2007-04-20 09:50 fdv1 * [r10275] QuantLib_vc8.vcproj, ql/math/interpolations/sabrinterpolation.hpp, ql/math/optimization/constrainedcostfunction.cpp, ql/math/optimization/constrainedcostfunction.hpp, ql/math/optimization/projectedcostfunction.cpp, ql/math/optimization/projectedcostfunction.hpp: ConstrainedCostFunction renamed in ProjectedCostFunction -> files renamed accordingly, comments added, variable renamed 2007-04-20 09:45 Chiara Fornarola * [r10274] test-suite/assetswap.cpp: set evaluation date to a past date 2007-04-20 09:30 Luigi Ballabio * [r10273] ql/math/optimization/Makefile.am, ql/math/optimization/all.hpp: Added new source files to Linux build 2007-04-20 08:35 fdv1 * [r10271] test-suite/integrals.cpp: non adaptive Gauss Kronrod algorithm tested in the test suite 2007-04-20 08:15 Giorgio Facchinetti * [r10270] QuantLib_vc8.vcproj, ql/math/interpolations/sabrinterpolation.hpp, ql/math/optimization/constrainedcostfunction.cpp, ql/math/optimization/constrainedcostfunction.hpp, ql/math/optimization/costfunction.hpp: Added ConstrainedCostFunction class for optimization 2007-04-19 17:40 fdv1 * [r10265] test-suite/integrals.cpp, test-suite/integrals.hpp: non adaptive Gauss Kronrod algorithm added to the test suite 2007-04-19 17:37 fdv1 * [r10264] test-suite/capstripper.cpp: catching up with my last commit... 2007-04-19 17:06 fdv1 * [r10262] ql/termstructures/volatilities/capletvolatilitiesstructures.cpp, ql/termstructures/volatilities/capletvolatilitiesstructures.hpp, ql/termstructures/volatilities/capstripper.cpp, ql/termstructures/volatilities/capstripper.hpp, ql/termstructures/volatilities/cmsmarket.hpp, ql/termstructures/volatilities/swaptionvoldiscrete.hpp, ql/volatilitymodel.hpp: uneeded or redundant inclusions removed 2007-04-19 17:03 fdv1 * [r10261] ql/models/marketmodels/curvestate.cpp: variable renamed 2007-04-19 14:58 Luigi Ballabio * [r10253] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/evolvers/all.hpp, ql/models/marketmodels/models/Makefile.am, ql/models/marketmodels/models/all.hpp: Correctly regenerated all.hpp files 2007-04-19 14:57 Luigi Ballabio * [r10252] ql/math/integrals/integral.cpp: Fixed compilation error (extra semicolon) in gcc 2007-04-19 14:56 Luigi Ballabio * [r10251] ql/pricingengines/vanilla/binomialengine.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: Delta, gamma and theta added to binomial engine for vanilla options (thanks to Steve Cook.) Theta is currently not close enough to analytic values. Investigation would be needed. 2007-04-19 14:22 fdv1 * [r10248] ql/math/optimization/endcriteria.hpp: redundant inclusion removed 2007-04-19 08:05 Ferdinando Ametrano * [r10242] QuantLib_vc7.vcproj: VC7 catching up 2007-04-18 22:21 Joseph Wang * [r10240] ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/evolvers/all.hpp, ql/models/marketmodels/models/Makefile.am, ql/models/marketmodels/models/all.hpp: add nobase prefix to header files in am 2007-04-18 21:52 Joseph Wang * [r10239] test-suite/assetswap.cpp: capitalization tweak 2007-04-18 21:40 Joseph Wang * [r10238] ql/models/marketmodels/Makefile.am, ql/models/marketmodels/all.hpp, ql/models/marketmodels/evolvers/all.hpp, ql/models/marketmodels/models/Makefile.am, ql/models/marketmodels/models/all.hpp: fix automake files. the build is causing new all.hpp files to be created, these should probably be removed 2007-04-18 20:51 Joseph Wang * [r10237] ql/models/marketmodels/evolvers/Makefile.am: fix am file to synch with directory. right now there are too few files to justify creating a hierarchy of am files 2007-04-18 20:13 Joseph Wang * [r10236] ql/math/integrals/integral.hpp: add virtual destructor since there is now a virtual function 2007-04-18 17:31 Ferdinando Ametrano * [r10232] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/models/marketmodels/models/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/models/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/models/timedependantcorrelationstructure, ql/models/marketmodels/models/timedependantcorrelationstructures, ql/models/marketmodels/models/timedependantcorrelationstructures/correlations.cpp, ql/models/marketmodels/models/timedependantcorrelationstructures/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/models/timedependantcorrelationstructures/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/models/timedependantcorrelationstructures/timehomogeneousforwardcorrelation.cpp, test-suite/capfloor.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: moving also cotswapfromfwdcorrelation.*pp into correlation folder 2007-04-18 17:19 Ferdinando Ametrano * [r10231] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/models/marketmodels/TODO.txt, ql/models/marketmodels/models/abcdvol.cpp, ql/models/marketmodels/models/abcdvol.hpp, ql/models/marketmodels/models/calibratedmarketmodel.cpp, ql/models/marketmodels/models/calibratedmarketmodel.hpp, ql/models/marketmodels/models/capletcoterminalcalibration.cpp, ql/models/marketmodels/models/capletcoterminalcalibration.hpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp, ql/models/marketmodels/models/correlations.cpp, ql/models/marketmodels/models/correlations.hpp, ql/models/marketmodels/models/coterminaltoforwardadapter.cpp, ql/models/marketmodels/models/coterminaltoforwardadapter.hpp, ql/models/marketmodels/models/cotswapfromfwdcorrelation.cpp, ql/models/marketmodels/models/cotswapfromfwdcorrelation.hpp, ql/models/marketmodels/models/cotswaptofwdadapter.cpp, ql/models/marketmodels/models/cotswaptofwdadapter.hpp, ql/models/marketmodels/models/expcorrabcdvol.cpp, ql/models/marketmodels/models/expcorrabcdvol.hpp, ql/models/marketmodels/models/expcorrflatvol.cpp, ql/models/marketmodels/models/expcorrflatvol.hpp, ql/models/marketmodels/models/flatvol.cpp, ql/models/marketmodels/models/flatvol.hpp, ql/models/marketmodels/models/forwardtocoterminaladapter.cpp, ql/models/marketmodels/models/forwardtocoterminaladapter.hpp, ql/models/marketmodels/models/fwdtocotswapadapter.cpp, ql/models/marketmodels/models/fwdtocotswapadapter.hpp, ql/models/marketmodels/models/pseudorootfacade.cpp, ql/models/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/models/marketmodels/models/swapfromfracorrelationstructure.hpp, ql/models/marketmodels/models/timedependantcorrelationstructure, ql/models/marketmodels/models/timedependantcorrelationstructure.hpp, ql/models/marketmodels/models/timedependantcorrelationstructure/correlations.cpp, ql/models/marketmodels/models/timedependantcorrelationstructure/correlations.hpp, ql/models/marketmodels/models/timedependantcorrelationstructure/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/models/timedependantcorrelationstructure/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/models/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/models/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/swapforwardconversionmatrix.cpp, ql/models/marketmodels/swapforwardconversionmatrix.hpp, ql/models/marketmodels/swapforwardmappings.hpp, test-suite/capfloor.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: refactoring/renaming/moving (part 1): using TimeDependantCorrelationStructure for achiving correlation model abstraction 2007-04-18 17:16 Ferdinando Ametrano * [r10230] ql/math/pseudosqrt.cpp: warning avoided 2007-04-18 16:56 fdv1 * [r10229] ql/termstructures/volatilities/abcd.hpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.cpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.hpp: uneeded inclusions removed 2007-04-18 16:46 Chiara Fornarola * [r10228] test-suite/assetswap.cpp: added floating rate bond to the test case. this case should be reviewed to set the evaluation date in the past. Work in progress to add cms rate bond 2007-04-18 14:55 fdv1 * [r10222] ql/cashflows/conundrumpricer.cpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp: Integral base class finished GaussKronrodNonAdaptive class refactored to fit to the new integration framework ConundrumPricer code updated 2007-04-18 13:46 Ferdinando Ametrano * [r10219] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, ql/models/marketmodels/TODO.txt, ql/models/marketmodels/evolvers/cmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cmswaprates, ql/models/marketmodels/evolvers/cmswaprates/lognormal, ql/models/marketmodels/evolvers/cmswaprates/lognormal/cmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cmswaprates/lognormal/cmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cmswaprates/normal, ql/models/marketmodels/evolvers/coterminalswapratepcevolver.cpp, ql/models/marketmodels/evolvers/coterminalswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cotswaprates, ql/models/marketmodels/evolvers/cotswaprates/lognormal, ql/models/marketmodels/evolvers/cotswaprates/lognormal/coterminalswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cotswaprates/lognormal/coterminalswapratepcevolver.hpp, ql/models/marketmodels/evolvers/cotswaprates/normal, ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/forwardrateeulerevolver.cpp, ql/models/marketmodels/evolvers/forwardrateeulerevolver.hpp, ql/models/marketmodels/evolvers/forwardrateipcevolver.cpp, ql/models/marketmodels/evolvers/forwardrateipcevolver.hpp, ql/models/marketmodels/evolvers/forwardratenormalpcevolver.cpp, ql/models/marketmodels/evolvers/forwardratenormalpcevolver.hpp, ql/models/marketmodels/evolvers/forwardratepcevolver.cpp, ql/models/marketmodels/evolvers/forwardratepcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates, ql/models/marketmodels/evolvers/fwdrates/lognormal, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateeulerevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateeulerevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateipcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardrateipcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardratepcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/lognormal/forwardratepcevolver.hpp, ql/models/marketmodels/evolvers/fwdrates/normal, ql/models/marketmodels/evolvers/fwdrates/normal/forwardratenormalpcevolver.cpp, ql/models/marketmodels/evolvers/fwdrates/normal/forwardratenormalpcevolver.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/swapforwardmappings.cpp: evolvers classified in their own folder tree, depending on rate type (fwd, cotswap, cmswap) and dynamic (normal, lognormal) 2007-04-18 12:43 Ferdinando Ametrano * [r10217] ql/models/marketmodels/TODO.txt: merged branches/DevCycle/Testing changes r10208:10216 into trunk 2007-04-18 10:54 Giorgio Facchinetti * [r10210] ql/math/interpolations/sabrinterpolation.hpp: Sabr calibration with fixed beta and nu 2007-04-18 08:48 fdv1 * [r10204] ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.cpp: some minor cosmetic cleanings 2007-04-18 06:56 fdv1 * [r10202] ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.cpp, test-suite/marketmodel.cpp: one more market model crashing test fixed 2007-04-17 15:10 Luigi Ballabio * [r10193] Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj, Examples/BermudanSwaption/Makefile.am, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj, Examples/ConvertibleBonds/Makefile.am, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj, Examples/DiscreteHedging/Makefile.am, Examples/EquityOption/EquityOption.vcproj, Examples/EquityOption/EquityOption_vc7.vcproj, Examples/EquityOption/Makefile.am, Examples/FRA/FRA.vcproj, Examples/FRA/FRA_vc7.vcproj, Examples/FRA/Makefile.am, Examples/Replication/Makefile.am, Examples/Replication/Replication.vcproj, Examples/Replication/Replication_vc7.vcproj, Examples/Repo/Makefile.am, Examples/Repo/Repo.vcproj, Examples/Repo/Repo_vc7.vcproj, Examples/Swap/Makefile.am, Examples/Swap/Swap.vcproj, Examples/Swap/Swap_vc7.vcproj, Makefile.am, QuantLib.sln, QuantLib.vcproj, QuantLib_vc7.sln, QuantLib_vc7.vcproj, dev_tools/version_number.txt, test-suite/Makefile.am, test-suite/testsuite.vcproj, test-suite/testsuite_vc7.vcproj: Renamed VC7 projects and solution to avoid confusion 2007-04-17 13:36 Luigi Ballabio * [r10191] QuantLib.dev, QuantLib.vcproj, test-suite/testsuite.dev: VC7 and Dev-C++ projects are now in sync with latest changes 2007-04-17 11:56 Eric Ehlers * [r10187] QuantLib_vc8.vcproj: VC8 catching up 2007-04-17 11:23 fdv1 * [r10186] QuantLib_vc8.vcproj: one upper case letter left removed from filter name 2007-04-17 10:54 fdv1 * [r10185] QuantLib_vc8.vcproj: filter names case in synch with corresponding physical names 2007-04-17 09:56 fdv1 * [r10184] QuantLib_vc8.vcproj: VC8 catching up 2007-04-17 09:18 Luigi Ballabio * [r10183] ql/legacy/libormarketmodels/liborforwardmodel.hpp, ql/legacy/libormarketmodels/lmcorrmodel.hpp, ql/legacy/libormarketmodels/lmvolmodel.hpp, ql/models/Makefile.am, ql/models/all.hpp, ql/models/calibrationhelper.cpp, ql/models/calibrationhelper.hpp, ql/models/equity/hestonmodel.hpp, ql/models/equity/hestonmodelhelper.hpp, ql/models/marketmodels/models/calibratedmarketmodel.hpp, ql/models/model.cpp, ql/models/model.hpp, ql/models/parameter.hpp, ql/models/shortrate/Makefile.am, ql/models/shortrate/all.hpp, ql/models/shortrate/calibrationhelper.cpp, ql/models/shortrate/calibrationhelper.hpp, ql/models/shortrate/calibrationhelpers/caphelper.hpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp, ql/models/shortrate/model.cpp, ql/models/shortrate/model.hpp, ql/models/shortrate/onefactormodel.hpp, ql/models/shortrate/parameter.hpp, ql/models/shortrate/twofactormodel.hpp, ql/pricingengines/capfloor/analyticcapfloorengine.hpp, ql/pricingengines/latticeshortratemodelengine.hpp: Moved generic files from ql/models/shortrate to ql/models 2007-04-17 08:44 Luigi Ballabio * [r10181] configure.ac, ql/models/Makefile.am, ql/models/all.hpp, ql/models/equity, ql/models/equity/Makefile.am, ql/models/equity/all.hpp, ql/models/equity/batesmodel.cpp, ql/models/equity/batesmodel.hpp, ql/models/equity/hestonmodel.cpp, ql/models/equity/hestonmodel.hpp, ql/models/equity/hestonmodelhelper.cpp, ql/models/equity/hestonmodelhelper.hpp, ql/models/shortrate/calibrationhelpers/Makefile.am, ql/models/shortrate/calibrationhelpers/all.hpp, ql/models/shortrate/calibrationhelpers/hestonmodelhelper.cpp, ql/models/shortrate/calibrationhelpers/hestonmodelhelper.hpp, ql/models/shortrate/twofactormodels/Makefile.am, ql/models/shortrate/twofactormodels/all.hpp, ql/models/shortrate/twofactormodels/batesmodel.cpp, ql/models/shortrate/twofactormodels/batesmodel.hpp, ql/models/shortrate/twofactormodels/hestonmodel.cpp, ql/models/shortrate/twofactormodels/hestonmodel.hpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/batesengine.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: Moved Heston and Bates model in a newly-added ql/models/equity folder 2007-04-17 08:28 Luigi Ballabio * [r10180] configure.ac, ql/Makefile.am, ql/legacy/libormarketmodels/liborforwardmodel.hpp, ql/legacy/libormarketmodels/lmcorrmodel.hpp, ql/legacy/libormarketmodels/lmvolmodel.hpp, ql/marketmodels, ql/methods/finitedifferences/onefactoroperator.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/models, ql/models/Makefile.am, ql/models/all.hpp, ql/models/marketmodels, ql/models/marketmodels/accountingengine.cpp, ql/models/marketmodels/accountingengine.hpp, ql/models/marketmodels/all.hpp, ql/models/marketmodels/browniangenerators/all.hpp, ql/models/marketmodels/browniangenerators/mtbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/models/marketmodels/curvestate.cpp, ql/models/marketmodels/curvestates/all.hpp, ql/models/marketmodels/curvestates/cmswapcurvestate.cpp, ql/models/marketmodels/curvestates/cmswapcurvestate.hpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.cpp, ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp, ql/models/marketmodels/curvestates/lmmcurvestate.cpp, ql/models/marketmodels/curvestates/lmmcurvestate.hpp, ql/models/marketmodels/driftcomputation/all.hpp, ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmdriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.cpp, ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp, ql/models/marketmodels/driftcomputation/smmdriftcalculator.cpp, ql/models/marketmodels/evolutiondescription.cpp, ql/models/marketmodels/evolvers/all.hpp, ql/models/marketmodels/evolvers/cmswapratepcevolver.cpp, ql/models/marketmodels/evolvers/cmswapratepcevolver.hpp, ql/models/marketmodels/evolvers/coterminalswapratepcevolver.cpp, ql/models/marketmodels/evolvers/coterminalswapratepcevolver.hpp, ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.cpp, ql/models/marketmodels/evolvers/forwardrateconstrainedeuler.hpp, ql/models/marketmodels/evolvers/forwardrateeulerevolver.cpp, ql/models/marketmodels/evolvers/forwardrateeulerevolver.hpp, ql/models/marketmodels/evolvers/forwardrateipcevolver.cpp, ql/models/marketmodels/evolvers/forwardrateipcevolver.hpp, ql/models/marketmodels/evolvers/forwardratenormalpcevolver.cpp, ql/models/marketmodels/evolvers/forwardratenormalpcevolver.hpp, ql/models/marketmodels/evolvers/forwardratepcevolver.cpp, ql/models/marketmodels/evolvers/forwardratepcevolver.hpp, ql/models/marketmodels/exercisestrategies/all.hpp, ql/models/marketmodels/exercisestrategies/lsstrategy.cpp, ql/models/marketmodels/exercisestrategies/lsstrategy.hpp, ql/models/marketmodels/exercisestrategies/swapratetrigger.cpp, ql/models/marketmodels/exercisestrategies/swapratetrigger.hpp, ql/models/marketmodels/exercisevalue.hpp, ql/models/marketmodels/exercisevalues/all.hpp, ql/models/marketmodels/exercisevalues/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/exercisevalues/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/exercisevalues/nothingexercisevalue.cpp, ql/models/marketmodels/exercisevalues/nothingexercisevalue.hpp, ql/models/marketmodels/lsbasisfunctions.hpp, ql/models/marketmodels/lsdatacollector.cpp, ql/models/marketmodels/marketmodel.cpp, ql/models/marketmodels/marketmodelconstrainedevolver.hpp, ql/models/marketmodels/marketmodeldiscounter.cpp, ql/models/marketmodels/models/all.hpp, ql/models/marketmodels/models/calibratedmarketmodel.cpp, ql/models/marketmodels/models/calibratedmarketmodel.hpp, ql/models/marketmodels/models/capletcoterminalcalibration.cpp, ql/models/marketmodels/models/capletcoterminalcalibration.hpp, ql/models/marketmodels/models/correlations.cpp, ql/models/marketmodels/models/coterminaltoforwardadapter.cpp, ql/models/marketmodels/models/coterminaltoforwardadapter.hpp, ql/models/marketmodels/models/expcorrabcdvol.cpp, ql/models/marketmodels/models/expcorrabcdvol.hpp, ql/models/marketmodels/models/expcorrflatvol.cpp, ql/models/marketmodels/models/expcorrflatvol.hpp, ql/models/marketmodels/models/forwardtocoterminaladapter.cpp, ql/models/marketmodels/models/forwardtocoterminaladapter.hpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/models/marketmodels/models/piecewiseconstantvariance.cpp, ql/models/marketmodels/models/pseudorootfacade.cpp, ql/models/marketmodels/models/pseudorootfacade.hpp, ql/models/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/models/marketmodels/models/swapfromfracorrelationstructure.hpp, ql/models/marketmodels/models/timehomogeneousforwardcorrelation.cpp, ql/models/marketmodels/models/timehomogeneousforwardcorrelation.hpp, ql/models/marketmodels/parametricexercise.hpp, ql/models/marketmodels/parametricexerciseadapter.cpp, ql/models/marketmodels/parametricswapexercise.cpp, ql/models/marketmodels/parametricswapexercise.hpp, ql/models/marketmodels/products/all.hpp, ql/models/marketmodels/products/compositeproduct.cpp, ql/models/marketmodels/products/compositeproduct.hpp, ql/models/marketmodels/products/marketmodelratchet.cpp, ql/models/marketmodels/products/marketmodelratchet.hpp, ql/models/marketmodels/products/multiproductcomposite.cpp, ql/models/marketmodels/products/multiproductcomposite.hpp, ql/models/marketmodels/products/multiproductmultistep.cpp, ql/models/marketmodels/products/multiproductmultistep.hpp, ql/models/marketmodels/products/multiproductonestep.cpp, ql/models/marketmodels/products/multiproductonestep.hpp, ql/models/marketmodels/products/multistep/all.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.cpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/models/marketmodels/products/multistep/cashrebate.cpp, ql/models/marketmodels/products/multistep/cashrebate.hpp, ql/models/marketmodels/products/multistep/exerciseadapter.cpp, ql/models/marketmodels/products/multistep/exerciseadapter.hpp, ql/models/marketmodels/products/multistep/multistepcoinitialswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoinitialswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaps.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.cpp, ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp, ql/models/marketmodels/products/multistep/multistepforwards.cpp, ql/models/marketmodels/products/multistep/multistepforwards.hpp, ql/models/marketmodels/products/multistep/multistepnothing.cpp, ql/models/marketmodels/products/multistep/multistepnothing.hpp, ql/models/marketmodels/products/multistep/multistepoptionlets.cpp, ql/models/marketmodels/products/multistep/multistepoptionlets.hpp, ql/models/marketmodels/products/multistep/multistepratchet.cpp, ql/models/marketmodels/products/multistep/multistepratchet.hpp, ql/models/marketmodels/products/multistep/multistepswap.cpp, ql/models/marketmodels/products/multistep/multistepswap.hpp, ql/models/marketmodels/products/onestep/all.hpp, ql/models/marketmodels/products/onestep/onestepcoinitialswaps.cpp, ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp, ql/models/marketmodels/products/onestep/onestepcoterminalswaps.cpp, ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp, ql/models/marketmodels/products/onestep/onestepforwards.cpp, ql/models/marketmodels/products/onestep/onestepforwards.hpp, ql/models/marketmodels/products/onestep/onestepoptionlets.cpp, ql/models/marketmodels/products/onestep/onestepoptionlets.hpp, ql/models/marketmodels/products/singleproductcomposite.cpp, ql/models/marketmodels/products/singleproductcomposite.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/proxygreekengine.hpp, ql/models/marketmodels/swapbasissystem.cpp, ql/models/marketmodels/swapbasissystem.hpp, ql/models/marketmodels/swapforwardconversionmatrix.cpp, ql/models/marketmodels/swapforwardconversionmatrix.hpp, ql/models/marketmodels/swapforwardmappings.cpp, ql/models/marketmodels/upperboundengine.cpp, ql/models/marketmodels/upperboundengine.hpp, ql/models/marketmodels/utilities.cpp, ql/models/shortrate, ql/models/shortrate/all.hpp, ql/models/shortrate/calibrationhelper.cpp, ql/models/shortrate/calibrationhelpers/all.hpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, ql/models/shortrate/calibrationhelpers/caphelper.hpp, ql/models/shortrate/calibrationhelpers/hestonmodelhelper.cpp, ql/models/shortrate/calibrationhelpers/hestonmodelhelper.hpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp, ql/models/shortrate/model.cpp, ql/models/shortrate/model.hpp, ql/models/shortrate/onefactormodel.cpp, ql/models/shortrate/onefactormodel.hpp, ql/models/shortrate/onefactormodels/all.hpp, ql/models/shortrate/onefactormodels/blackkarasinski.cpp, ql/models/shortrate/onefactormodels/blackkarasinski.hpp, ql/models/shortrate/onefactormodels/coxingersollross.cpp, ql/models/shortrate/onefactormodels/coxingersollross.hpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.cpp, ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp, ql/models/shortrate/onefactormodels/hullwhite.cpp, ql/models/shortrate/onefactormodels/hullwhite.hpp, ql/models/shortrate/onefactormodels/vasicek.cpp, ql/models/shortrate/onefactormodels/vasicek.hpp, ql/models/shortrate/twofactormodel.cpp, ql/models/shortrate/twofactormodel.hpp, ql/models/shortrate/twofactormodels/all.hpp, ql/models/shortrate/twofactormodels/batesmodel.cpp, ql/models/shortrate/twofactormodels/batesmodel.hpp, ql/models/shortrate/twofactormodels/g2.cpp, ql/models/shortrate/twofactormodels/g2.hpp, ql/models/shortrate/twofactormodels/hestonmodel.cpp, ql/models/shortrate/twofactormodels/hestonmodel.hpp, ql/models/volatility, ql/models/volatility/all.hpp, ql/models/volatility/constantestimator.cpp, ql/models/volatility/garch.cpp, ql/pricingengines/capfloor/analyticcapfloorengine.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.hpp, ql/pricingengines/capfloor/mchullwhiteengine.hpp, ql/pricingengines/capfloor/treecapfloorengine.cpp, ql/pricingengines/latticeshortratemodelengine.hpp, ql/pricingengines/swaption/g2swaptionengine.hpp, ql/pricingengines/swaption/jamshidianswaptionengine.hpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/batesengine.hpp, ql/quantlib.hpp, ql/quotes/futuresconvadjustmentquote.cpp, ql/shortratemodels, ql/volatilitymodels, test-suite/batesmodel.cpp, test-suite/bermudanswaption.cpp, test-suite/capfloor.cpp, test-suite/curvestates.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/shortratemodels.cpp, test-suite/swapforwardmappings.cpp, test-suite/volatilitymodels.cpp: Moved marketmodels, shortratemodels and volatilitymodels under a newly-added "models" folder. Windows projects were not updated. 2007-04-16 18:09 Ferdinando Ametrano * [r10178] ql/marketmodels/TODO.txt: updated: to be re-organized to make up the work-schedule for the next weeks 2007-04-16 18:02 Ferdinando Ametrano * [r10177] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: - refactored caplet+cot_swaption calibration in CapletCoterminalSwaptionCalibration class - provided unit test - exported to Excel - provided test workbook 2007-04-16 17:31 fdv1 * [r10175] ql/marketmodels/curvestate.hpp, ql/marketmodels/curvestates/cmswapcurvestate.hpp, ql/marketmodels/curvestates/coterminalswapcurvestate.hpp, ql/marketmodels/curvestates/lmmcurvestate.hpp, ql/marketmodels/upperboundengine.cpp: Here is the definitive fix of the UpperBoundEngine::DecoratedHedge, thanks to Luigi's advise 2007-04-16 15:21 fdv1 * [r10173] ql/marketmodels/upperboundengine.cpp, test-suite/marketmodel.cpp: UpperBoundEngine::DecoratedHedge bug fixed This fix is temporary since we assume that the CurveState passed in is of LMMCurveState type. corresponding tests reenabled in the testsuite 2007-04-16 15:16 Ferdinando Ametrano * [r10172] QuantLib_vc8.vcproj, ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.hpp: calibration to coterminal_swaptions+caplets: - introduced and tested IterativeCapletCoterminalSwaptionCalibration class 2007-04-16 15:04 Chiara Fornarola * [r10168] ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp: The following functions have been modified in order to take as an input parameter a value for the displacement: blackFormulaImpliedStdDevApproximation, blackFormulaImpliedStdDevApproximation2, blackFormulaCashItmProbability, blackFormulaCashItmProbability2, blackFormulaStdDevDerivative, blackFormulaStdDevDerivative2 2007-04-16 10:18 Ferdinando Ametrano * [r10161] QuantLib.vcproj: VC7 catching up 2007-04-16 09:58 Ferdinando Ametrano * [r10160] test-suite/capfloor.cpp: no need to have 71 assertions to fail: just one is enough to make the test fail 2007-04-13 18:00 Ferdinando Ametrano * [r10156] ql/marketmodels/TODO.txt, ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp: introduced IterativeCapletCoterminalCalibration class 2007-04-13 16:49 Ferdinando Ametrano * [r10153] ql/marketmodels/TODO.txt: updated 2007-04-13 16:09 Ferdinando Ametrano * [r10150] ql/marketmodels/models/capletcoterminalcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: calibration to coterminal_swaptions+caplets wip: - we can improve the caplet approximation formula - we should find a robust way to solve for alpha 2007-04-13 15:25 Luigi Ballabio * [r10148] ql/marketmodels/models/all.hpp: Regenerated all.hpp including newly-added files 2007-04-13 14:42 Katiuscia Manzoni * [r10145] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.hpp: added iterative caplet+coterminal_swaption calibration 2007-04-13 13:29 Ferdinando Ametrano * [r10144] ql/marketmodels/models/capletcoterminalcalibration.cpp: fixed bug 2007-04-13 13:02 Katiuscia Manzoni * [r10143] ql/marketmodels/models/timehomogeneousforwardcorrelation.cpp: formatting 2007-04-13 12:54 Ferdinando Ametrano * [r10141] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: work in progress 2007-04-13 12:41 Ferdinando Ametrano * [r10140] ql/marketmodels/models/Makefile.am, ql/marketmodels/models/abcdmarketmodel.cpp, ql/marketmodels/models/abcdmarketmodel.hpp: redundant files removed 2007-04-13 11:37 Luigi Ballabio * [r10139] test-suite/cms.cpp, test-suite/exchangerate.cpp, test-suite/money.cpp, test-suite/pathgenerator.cpp, test-suite/shortratemodels.cpp: Reduced header inclusions 2007-04-13 11:36 Luigi Ballabio * [r10138] ql/Makefile.am, ql/cashflows/Makefile.am, ql/currencies/Makefile.am, ql/indexes/Makefile.am, ql/instruments/Makefile.am, ql/legacy/Makefile.am, ql/legacy/libormarketmodels/Makefile.am, ql/legacy/pricers/Makefile.am, ql/marketmodels/Makefile.am, ql/marketmodels/browniangenerators/Makefile.am, ql/marketmodels/curvestates/Makefile.am, ql/marketmodels/driftcomputation/Makefile.am, ql/marketmodels/evolvers/Makefile.am, ql/marketmodels/exercisestrategies/Makefile.am, ql/marketmodels/exercisevalues/Makefile.am, ql/marketmodels/models/Makefile.am, ql/marketmodels/products/Makefile.am, ql/marketmodels/products/multistep/Makefile.am, ql/marketmodels/products/onestep/Makefile.am, ql/math/Makefile.am, ql/math/distributions/Makefile.am, ql/math/integrals/Makefile.am, ql/math/interpolations/Makefile.am, ql/math/optimization/Makefile.am, ql/math/randomnumbers/Makefile.am, ql/math/solvers1d/Makefile.am, ql/methods/Makefile.am, ql/methods/finitedifferences/Makefile.am, ql/methods/lattices/Makefile.am, ql/methods/montecarlo/Makefile.am, ql/patterns/Makefile.am, ql/pricingengines/Makefile.am, ql/pricingengines/asian/Makefile.am, ql/pricingengines/barrier/Makefile.am, ql/pricingengines/basket/Makefile.am, ql/pricingengines/capfloor/Makefile.am, ql/pricingengines/cliquet/Makefile.am, ql/pricingengines/forward/Makefile.am, ql/pricingengines/hybrid/Makefile.am, ql/pricingengines/lookback/Makefile.am, ql/pricingengines/quanto/Makefile.am, ql/pricingengines/swaption/Makefile.am, ql/pricingengines/vanilla/Makefile.am, ql/processes/Makefile.am, ql/quotes/Makefile.am, ql/shortratemodels/Makefile.am, ql/shortratemodels/calibrationhelpers/Makefile.am, ql/shortratemodels/onefactormodels/Makefile.am, ql/shortratemodels/twofactormodels/Makefile.am, ql/termstructures/Makefile.am, ql/termstructures/volatilities/Makefile.am, ql/termstructures/yieldcurves/Makefile.am, ql/time/Makefile.am, ql/time/calendars/Makefile.am, ql/time/daycounters/Makefile.am, ql/utilities/Makefile.am, ql/volatilitymodels/Makefile.am: made quantlib.hpp and friends dependent on Makefile.am (not Makefile) to avoid unnecessary regeneration 2007-04-13 11:15 Luigi Ballabio * [r10137] ql/math/interpolations/sabrinterpolation.hpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/quotes/derivedquote.cpp, test-suite/quotes.cpp: Changed calls to black* to blackFormula* as for change committed in r10134 2007-04-13 11:12 Luigi Ballabio * [r10136] ql/marketmodels/models/abcdmarketmodel.cpp: Fixed the case of an included header 2007-04-13 11:11 Luigi Ballabio * [r10135] ql/marketmodels/models/Makefile.am, ql/marketmodels/models/all.hpp: Added new files to Linux build 2007-04-13 09:18 Chiara Fornarola * [r10134] ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp: The following functions have been renamed in order to clarify that they belong to a collection of functions and can be used together: from blackImpliedStdDevApproximation to blackFormulaImpliedStdDevApproximation from blackImpliedStdDev to blackFormulaImpliedStdDev from blackCashItmProbability to blackFormulaCashItmProbability from blackStdDevDerivative to blackFormulaStdDevDerivative 2007-04-13 09:09 Marco Bianchetti * [r10133] test-suite/quantlibtestsuite.cpp: tests were commented out, now restored, sorry folks 2007-04-13 08:36 Marco Bianchetti * [r10131] test-suite/quantlibtestsuite.cpp: changed some output, test still failing, work in progress. 2007-04-13 08:19 Marco Bianchetti * [r10128] ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/capfloor.cpp: restored original values, test still failing, work in progress. 2007-04-12 19:03 Joseph Wang * [r10127] ql/marketmodels/models/Makefile.am, ql/marketmodels/models/all.hpp: add pseudorootfacade.hpp 2007-04-12 17:54 Marco Bianchetti * [r10124] QuantLib.vcproj: VC7 catching up 2007-04-12 17:35 Ferdinando Ametrano * [r10122] test-suite/marketmodel_smmcapletcalibration.cpp: tested calibration to coterminal swaptions and caplets 2007-04-12 17:34 Ferdinando Ametrano * [r10121] test-suite/marketmodel_smmcapletcalibration.cpp: tested exact recovering of swaption and caplet vols 2007-04-12 17:33 Ferdinando Ametrano * [r10120] ql/marketmodels/marketmodel.cpp: improved error messages 2007-04-12 17:32 Ferdinando Ametrano * [r10119] ql/marketmodels/models/forwardtocoterminaladapter.cpp, ql/marketmodels/models/forwardtocoterminaladapter.hpp: formatting and removal of obsolate/duplicated computations 2007-04-12 17:31 Ferdinando Ametrano * [r10118] ql/marketmodels/models/coterminaltoforwardadapter.cpp, ql/marketmodels/models/coterminaltoforwardadapter.hpp: fixed bug: rows which had to be zeroed were not 2007-04-12 16:05 Ferdinando Ametrano * [r10116] QuantLib_vc8.vcproj, ql/marketmodels/models/capletcoterminalcalibration.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: - VC8 project file updated - fixed mismatched files (sorry folks) 2007-04-12 15:48 Ferdinando Ametrano * [r10115] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/marketmodels/models/swapfromfracorrelationstructure.hpp, ql/marketmodels/models/timedependantcorrelationstructure.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: changed abstract TimeDependandantCorrelationStructure class interface 2007-04-12 15:45 Ferdinando Ametrano * [r10114] ql/marketmodels/models/pseudorootfacade.cpp, ql/marketmodels/models/pseudorootfacade.hpp, ql/marketmodels/models/timehomogeneousforwardcorrelation.cpp, ql/marketmodels/models/timehomogeneousforwardcorrelation.hpp: work in progress new files 2007-04-12 12:50 fdv1 * [r10111] QuantLib_vc8.vcproj, ql/marketmodels/models/abcdmarketmodel.cpp, ql/marketmodels/models/abcdmarketmodel.hpp: AbcdMarketModel class added 2007-04-12 12:07 Giorgio Facchinetti * [r10110] ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, test-suite/capfloor.cpp: 2007-04-12 10:37 Ferdinando Ametrano * [r10109] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, ql/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/marketmodels/models/swapfromfracorrelationstructure.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: - work in progress on swaption/caplet calibration: both recovered. - displacement taken into account 2007-04-12 10:37 Ferdinando Ametrano * [r10108] ql/methods/lattices/binomialtree.cpp, ql/methods/lattices/binomialtree.hpp: formatting 2007-04-12 08:34 Luigi Ballabio * [r10107] ql/Makefile.am, ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/core.hpp, ql/core.hpp, ql/currencies/Makefile.am, ql/currencies/all.hpp, ql/indexes/Makefile.am, ql/indexes/all.hpp, ql/indexes/core.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/core.hpp, ql/legacy/Makefile.am, ql/legacy/all.hpp, ql/legacy/libormarketmodels/Makefile.am, ql/legacy/libormarketmodels/all.hpp, ql/legacy/pricers/Makefile.am, ql/legacy/pricers/all.hpp, ql/legacy/pricers/core.hpp, ql/marketmodels/Makefile.am, ql/marketmodels/all.hpp, ql/marketmodels/browniangenerators/Makefile.am, ql/marketmodels/browniangenerators/all.hpp, ql/marketmodels/core.hpp, ql/marketmodels/curvestates/Makefile.am, ql/marketmodels/curvestates/all.hpp, ql/marketmodels/driftcomputation/Makefile.am, ql/marketmodels/driftcomputation/all.hpp, ql/marketmodels/evolvers/Makefile.am, ql/marketmodels/evolvers/all.hpp, ql/marketmodels/exercisestrategies/Makefile.am, ql/marketmodels/exercisestrategies/all.hpp, ql/marketmodels/exercisevalues/Makefile.am, ql/marketmodels/exercisevalues/all.hpp, ql/marketmodels/models/Makefile.am, ql/marketmodels/models/all.hpp, ql/marketmodels/products/Makefile.am, ql/marketmodels/products/all.hpp, ql/marketmodels/products/multistep/Makefile.am, ql/marketmodels/products/multistep/all.hpp, ql/marketmodels/products/onestep/Makefile.am, ql/marketmodels/products/onestep/all.hpp, ql/math/Makefile.am, ql/math/all.hpp, ql/math/core.hpp, ql/math/distributions/Makefile.am, ql/math/distributions/all.hpp, ql/math/integrals/Makefile.am, ql/math/integrals/all.hpp, ql/math/interpolations/Makefile.am, ql/math/interpolations/all.hpp, ql/math/optimization/Makefile.am, ql/math/optimization/all.hpp, ql/math/optimization/core.hpp, ql/math/randomnumbers/Makefile.am, ql/math/randomnumbers/all.hpp, ql/math/randomnumbers/core.hpp, ql/math/solvers1d/Makefile.am, ql/math/solvers1d/all.hpp, ql/methods/Makefile.am, ql/methods/all.hpp, ql/methods/finitedifferences/Makefile.am, ql/methods/finitedifferences/all.hpp, ql/methods/finitedifferences/core.hpp, ql/methods/lattices/Makefile.am, ql/methods/lattices/all.hpp, ql/methods/lattices/core.hpp, ql/methods/montecarlo/Makefile.am, ql/methods/montecarlo/all.hpp, ql/methods/montecarlo/core.hpp, ql/patterns/Makefile.am, ql/patterns/all.hpp, ql/pricingengines/Makefile.am, ql/pricingengines/all.hpp, ql/pricingengines/asian/Makefile.am, ql/pricingengines/asian/all.hpp, ql/pricingengines/barrier/Makefile.am, ql/pricingengines/barrier/all.hpp, ql/pricingengines/basket/Makefile.am, ql/pricingengines/basket/all.hpp, ql/pricingengines/capfloor/Makefile.am, ql/pricingengines/capfloor/all.hpp, ql/pricingengines/cliquet/Makefile.am, ql/pricingengines/cliquet/all.hpp, ql/pricingengines/core.hpp, ql/pricingengines/forward/Makefile.am, ql/pricingengines/forward/all.hpp, ql/pricingengines/hybrid/Makefile.am, ql/pricingengines/hybrid/all.hpp, ql/pricingengines/lookback/Makefile.am, ql/pricingengines/lookback/all.hpp, ql/pricingengines/quanto/Makefile.am, ql/pricingengines/quanto/all.hpp, ql/pricingengines/swaption/Makefile.am, ql/pricingengines/swaption/all.hpp, ql/pricingengines/vanilla/Makefile.am, ql/pricingengines/vanilla/all.hpp, ql/processes/Makefile.am, ql/processes/all.hpp, ql/quantlib.hpp, ql/quotes/Makefile.am, ql/quotes/all.hpp, ql/shortratemodels/Makefile.am, ql/shortratemodels/all.hpp, ql/shortratemodels/calibrationhelpers/Makefile.am, ql/shortratemodels/calibrationhelpers/all.hpp, ql/shortratemodels/core.hpp, ql/shortratemodels/onefactormodels/Makefile.am, ql/shortratemodels/onefactormodels/all.hpp, ql/shortratemodels/twofactormodels/Makefile.am, ql/shortratemodels/twofactormodels/all.hpp, ql/termstructures/Makefile.am, ql/termstructures/all.hpp, ql/termstructures/volatilities/Makefile.am, ql/termstructures/volatilities/all.hpp, ql/termstructures/yieldcurves/Makefile.am, ql/termstructures/yieldcurves/all.hpp, ql/time/Makefile.am, ql/time/all.hpp, ql/time/calendars/Makefile.am, ql/time/calendars/all.hpp, ql/time/daycounters/Makefile.am, ql/time/daycounters/all.hpp, ql/utilities/Makefile.am, ql/utilities/all.hpp, ql/volatilitymodels/Makefile.am, ql/volatilitymodels/all.hpp: quantlib.hpp and the several all.hpp files are now autogenerated during the build process under Linux. They are still kept under version control and included in released tarballs for the comfort of Windows users. The core.hpp files were removed. 2007-04-12 08:15 Luigi Ballabio * [r10106] ql/instruments/swaption.cpp: Removed unecessary inclusion 2007-04-11 21:40 Ferdinando Ametrano * [r10104] Examples/EquityOption/EquityOption.cpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: added Joshi Binomial Tree to testsuite, EquityOption example, and exported to Excel 2007-04-11 20:15 Katiuscia Manzoni * [r10101] test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: restoring valid tests 2007-04-11 19:50 Ferdinando Ametrano * [r10100] test-suite/marketmodel.cpp: - restored valid test - few tests fail or crashes and should be checked 2007-04-11 19:30 Katiuscia Manzoni * [r10099] test-suite/quantlibtestsuite.cpp: restoring valid test 2007-04-11 19:20 Ferdinando Ametrano * [r10098] ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrabcdvol.hpp, ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp, test-suite/capfloor.cpp: - reverted all expcorr*.*pp files to the revision of Sunday April 8, then updated to reflect new signature and base class 2007-04-11 18:28 Ferdinando Ametrano * [r10095] ql/marketmodels/models/capletcoterminalcalibration.cpp: - work in progress on swaption/caplet calibration: both recovered. Not stable enough yet 2007-04-11 17:41 fdv1 * [r10094] test-suite/marketmodel_smmcapletcalibration.cpp: one more crashing test commented out ... 2007-04-11 17:03 fdv1 * [r10093] test-suite/marketmodel.cpp: uncommented out crashing tests recommented out 2007-04-11 16:48 fdv1 * [r10092] ql/marketmodels/models/expcorrabcdvol.cpp: quick fix to avoid testsuite crashes, apologies for this guys 2007-04-11 15:58 Ferdinando Ametrano * [r10090] ql/marketmodels/models/capletcoterminalcalibration.cpp: - work in progress on swaption/caplet calibration: both recovered in the casa of flat vol 2007-04-11 14:26 Luigi Ballabio * [r10088] Docs/quantlib.doxy, Docs/quantlibheader.html, Docs/quantlibheaderonline.html, ql/index.hpp, ql/math/integrals/integral.hpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.hpp: Fixed documentation issues and upgraded configuration file to Doxygen 1.5.2 2007-04-11 14:07 Luigi Ballabio * [r10087] ql/marketmodels/models/Makefile.am: Added piecewiseconstantvariance.cpp to Linux build 2007-04-11 13:31 Ferdinando Ametrano * [r10086] QuantLib_vc8.vcproj, ql/marketmodels/marketmodel.cpp, ql/marketmodels/marketmodel.hpp, ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrabcdvol.hpp, ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp, ql/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/marketmodels/models/piecewiseconstantvariance.cpp, ql/marketmodels/models/piecewiseconstantvariance.hpp, test-suite/marketmodel_smmcapletcalibration.cpp: - MarketModel is back to an abstract base class with just a couple of methods with default implementations - work in progress on swaption/caplet calibration: both recovered in the casa of flat vol 2007-04-11 12:35 Luigi Ballabio * [r10085] ql/Makefile.am, ql/cashflows/Makefile.am, ql/currencies/Makefile.am, ql/indexes/Makefile.am, ql/instruments/Makefile.am, ql/legacy/Makefile.am, ql/legacy/libormarketmodels/Makefile.am, ql/legacy/pricers/Makefile.am, ql/marketmodels/Makefile.am, ql/marketmodels/browniangenerators/Makefile.am, ql/marketmodels/curvestates/Makefile.am, ql/marketmodels/driftcomputation/Makefile.am, ql/marketmodels/evolvers/Makefile.am, ql/marketmodels/exercisestrategies/Makefile.am, ql/marketmodels/exercisevalues/Makefile.am, ql/marketmodels/models/Makefile.am, ql/marketmodels/products/Makefile.am, ql/marketmodels/products/multistep/Makefile.am, ql/marketmodels/products/onestep/Makefile.am, ql/math/Makefile.am, ql/math/distributions/Makefile.am, ql/math/integrals/Makefile.am, ql/math/interpolations/Makefile.am, ql/math/optimization/Makefile.am, ql/math/randomnumbers/Makefile.am, ql/math/solvers1d/Makefile.am, ql/methods/Makefile.am, ql/methods/finitedifferences/Makefile.am, ql/methods/lattices/Makefile.am, ql/methods/montecarlo/Makefile.am, ql/patterns/Makefile.am, ql/pricingengines/Makefile.am, ql/pricingengines/asian/Makefile.am, ql/pricingengines/barrier/Makefile.am, ql/pricingengines/basket/Makefile.am, ql/pricingengines/capfloor/Makefile.am, ql/pricingengines/cliquet/Makefile.am, ql/pricingengines/forward/Makefile.am, ql/pricingengines/hybrid/Makefile.am, ql/pricingengines/lookback/Makefile.am, ql/pricingengines/quanto/Makefile.am, ql/pricingengines/swaption/Makefile.am, ql/pricingengines/vanilla/Makefile.am, ql/processes/Makefile.am, ql/quotes/Makefile.am, ql/shortratemodels/Makefile.am, ql/shortratemodels/calibrationhelpers/Makefile.am, ql/shortratemodels/onefactormodels/Makefile.am, ql/shortratemodels/twofactormodels/Makefile.am, ql/termstructures/Makefile.am, ql/termstructures/volatilities/Makefile.am, ql/termstructures/yieldcurves/Makefile.am, ql/time/Makefile.am, ql/time/calendars/Makefile.am, ql/time/daycounters/Makefile.am, ql/utilities/Makefile.am, ql/volatilitymodels/Makefile.am: Modified Makefile.am files in source tree so that: - installation no longer discards the --includedir option passed to configure; - Makefile.am no longer needs to be edited when its containing folder is moved. 2007-04-11 11:52 fdv1 * [r10080] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/marketmodels/Makefile.am, ql/marketmodels/marketmodel.cpp, ql/marketmodels/marketmodel.hpp, ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrabcdvol.hpp, ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp: some MarketModel methods implemented in a new dedicated cpp file The covariance and the totalCovariance are now returning the values resulting from the factor reduction 2007-04-11 11:13 Chiara Fornarola * [r10079] ql/cashflows/conundrumpricer.cpp: fixed a bug in the upperBoundary estimation 2007-04-11 10:36 Ferdinando Ametrano * [r10078] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, ql/marketmodels/models/piecewiseconstantvariance.hpp, ql/marketmodels/models/swapfromfracorrelationstructure.cpp: work in progress on swaption/caplet calibration: swaption vols are recovered ;-) 2007-04-11 10:34 Ferdinando Ametrano * [r10077] QuantLib_vc8.vcproj: in order to speed up compilation time: - removed browse information - lowered debug info level from 4 to 3 (no more edit and continue) - removed empty (commented out code) file from the project 2007-04-11 08:07 fdv1 * [r10071] ql/marketmodels/models/expcorrabcdvol.cpp: correlation matrix sliding access implemented 2007-04-10 21:14 Klaus Spanderen * [r10068] ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, ql/shortratemodels/calibrationhelpers/hestonmodelhelper.cpp, ql/shortratemodels/calibrationhelpers/hestonmodelhelper.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: rollback of last commit replace RelinkableHandle by Handle 2007-04-10 20:18 Joseph Wang * [r10067] test-suite/Makefile.am: add optimizers to test suite 2007-04-10 19:58 Ferdinando Ametrano * [r10064] ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, ql/marketmodels/models/correlations.cpp, ql/marketmodels/models/correlations.hpp, ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp, ql/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/marketmodels/models/piecewiseconstantvariance.hpp, ql/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/marketmodels/models/swapfromfracorrelationstructure.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swapforwardmappings.cpp: - removed (Real longTermCorrelation, Real beta) input parameters in favour of const Matrix& correlationMatrix - fixed bug in exponentialCorrelations - work in progress on caplet and swaption market model calibration 2007-04-10 19:53 Ferdinando Ametrano * [r10063] test-suite/testsuite_vc8.vcproj: VC8 catching up 2007-04-10 17:55 Marco Bianchetti * [r10061] QuantLib.vcproj, test-suite/marketmodel.cpp, test-suite/optimizers.cpp, test-suite/optimizers.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.vcproj: implementing a test for optimizers (work still in progress) VC7 catching up 2007-04-10 16:17 fdv1 * [r10058] ql/marketmodels/models/Makefile.am, ql/marketmodels/models/all.hpp: catching up with new ExpCorrExpCorrAbcdVol constructor signature 2007-04-10 16:13 fdv1 * [r10055] ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrabcdvol.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: ExpCorrAbcdVol constructor signature changed -> correlations matrix is now computed externally 2007-04-10 16:05 Cristina Duminuco * [r10054] test-suite/marketmodel.cpp: capletCalibration --> calibration 2007-04-10 16:04 Cristina Duminuco * [r10053] ql/termstructures/volatilities/abcd.cpp, ql/termstructures/volatilities/abcd.hpp: capletCalibration --> calibration 2007-04-10 15:52 Luigi Ballabio * [r10049] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/termstructures/yieldcurves/Makefile.am, ql/termstructures/yieldcurves/piecewiseflatforward.cpp, ql/termstructures/yieldcurves/piecewiseflatforward.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp: Removed VC++6-only piecewise-flat forward curve 2007-04-10 15:49 Luigi Ballabio * [r10047] ql/termstructures/yieldcurves/piecewiseyieldcurve.hpp: Forced piecewise yield-curve to recalculate before returning its nodes 2007-04-10 15:47 Luigi Ballabio * [r10045] QuantLib.dev, QuantLib.vcproj, ql/legacy/libormarketmodels/Makefile.am, test-suite/testsuite.dev: VC++7 and Dev-C++ projects are now up to date with the latest folder shuffling (and with less recent changes in the Dev-C++ case) 2007-04-10 15:23 fdv1 * [r10044] QuantLib_vc8.vcproj, ql/marketmodels/models/correlations.cpp, ql/marketmodels/models/correlations.hpp: catching up with latest changes in folder hierarchy new correlations files added 2007-04-10 14:28 Luigi Ballabio * [r10043] ql/math/pseudosqrt.cpp, ql/math/pseudosqrt.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp: Added Higham's nearest correlation matrix method (contributed by Neil Firth) 2007-04-10 12:53 Luigi Ballabio * [r10042] QuantLib.dev, configure.ac, ql/Makefile.am, ql/legacy, ql/legacy/Makefile.am, ql/legacy/all.hpp, ql/legacy/libormarketmodels, ql/legacy/libormarketmodels/Makefile.am, ql/legacy/libormarketmodels/all.hpp, ql/legacy/libormarketmodels/lfmcovarproxy.cpp, ql/legacy/libormarketmodels/lfmcovarproxy.hpp, ql/legacy/libormarketmodels/liborforwardmodel.cpp, ql/legacy/libormarketmodels/liborforwardmodel.hpp, ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hpp, ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp, ql/legacy/libormarketmodels/lmcorrmodel.cpp, ql/legacy/libormarketmodels/lmcorrmodel.hpp, ql/legacy/libormarketmodels/lmexpcorrmodel.cpp, ql/legacy/libormarketmodels/lmexpcorrmodel.hpp, ql/legacy/libormarketmodels/lmextlinexpvolmodel.cpp, ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp, ql/legacy/libormarketmodels/lmfixedvolmodel.cpp, ql/legacy/libormarketmodels/lmfixedvolmodel.hpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.cpp, ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp, ql/legacy/libormarketmodels/lmlinexpvolmodel.cpp, ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp, ql/legacy/libormarketmodels/lmvolmodel.cpp, ql/legacy/libormarketmodels/lmvolmodel.hpp, ql/legacy/pricers, ql/legacy/pricers/Makefile.am, ql/legacy/pricers/all.hpp, ql/legacy/pricers/core.hpp, ql/legacy/pricers/discretegeometricaso.cpp, ql/legacy/pricers/discretegeometricaso.hpp, ql/legacy/pricers/mccliquetoption.cpp, ql/legacy/pricers/mccliquetoption.hpp, ql/legacy/pricers/mcdiscretearithmeticaso.cpp, ql/legacy/pricers/mcdiscretearithmeticaso.hpp, ql/legacy/pricers/mceverest.cpp, ql/legacy/pricers/mceverest.hpp, ql/legacy/pricers/mchimalaya.cpp, ql/legacy/pricers/mchimalaya.hpp, ql/legacy/pricers/mcmaxbasket.cpp, ql/legacy/pricers/mcmaxbasket.hpp, ql/legacy/pricers/mcpagoda.cpp, ql/legacy/pricers/mcpagoda.hpp, ql/legacy/pricers/mcperformanceoption.cpp, ql/legacy/pricers/mcperformanceoption.hpp, ql/legacy/pricers/mcpricer.hpp, ql/legacy/pricers/singleassetoption.cpp, ql/legacy/pricers/singleassetoption.hpp, ql/marketmodels/models/calibratedmarketmodel.hpp, ql/pricers, ql/pricingengines/swaption/lfmswaptionengine.hpp, ql/pricingengines/vanilla/discretizedvanillaoption.hpp, ql/quantlib.hpp, ql/shortratemodels/Makefile.am, ql/shortratemodels/all.hpp, ql/shortratemodels/libormarketmodels, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/old_pricers.cpp: Created ql/legacy folder containing code based on obsolete frameworks, namely, a few Monte Carlo pricers and the first LIBOR market model. The code within should be ported to the corresponding new frameworks before release 1.0 (or better yet, 0.9.0) 2007-04-10 10:56 Eric Ehlers * [r10037] QuantLib_vc8.vcproj: fix broken paths 2007-04-10 09:55 Luigi Ballabio * [r10036] ql/pricingengines/quanto/quantoengine.hpp, ql/termstructures/Makefile.am, ql/termstructures/all.hpp, ql/termstructures/bondhelpers.cpp, ql/termstructures/bondhelpers.hpp, ql/termstructures/bootstraptraits.hpp, ql/termstructures/drifttermstructure.hpp, ql/termstructures/quantotermstructure.hpp, ql/termstructures/ratehelpers.cpp, ql/termstructures/ratehelpers.hpp, ql/termstructures/yieldcurves/Makefile.am, ql/termstructures/yieldcurves/all.hpp, ql/termstructures/yieldcurves/bondhelpers.cpp, ql/termstructures/yieldcurves/bondhelpers.hpp, ql/termstructures/yieldcurves/bootstraptraits.hpp, ql/termstructures/yieldcurves/drifttermstructure.hpp, ql/termstructures/yieldcurves/piecewiseyieldcurve.hpp, ql/termstructures/yieldcurves/quantotermstructure.hpp, ql/termstructures/yieldcurves/ratehelpers.cpp, ql/termstructures/yieldcurves/ratehelpers.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/termstructures.cpp: The files in ql/termstructures were actually related to yield term structures. They were moved accordingly. 2007-04-10 09:11 Luigi Ballabio * [r10035] configure.ac, ql/core.hpp, ql/math/Makefile.am, ql/math/all.hpp, ql/math/distributions, ql/math/distributions/Makefile.am, ql/math/distributions/all.hpp, ql/math/integrals, ql/math/integrals/Makefile.am, ql/math/integrals/all.hpp, ql/math/interpolations, ql/math/interpolations/Makefile.am, ql/math/interpolations/all.hpp, ql/methods, ql/methods/Makefile.am, ql/methods/all.hpp, ql/quantlib.hpp, ql/termstructures/Makefile.am, ql/termstructures/all.hpp, ql/termstructures/yieldcurves, ql/termstructures/yieldcurves/all.hpp, ql/time, ql/time/Makefile.am, ql/time/all.hpp: More polishing up after the Great Folder Migration: - created all.hpp headers in new folders and cleaned up old ones; - added svn:ignore property to new folders. 2007-04-10 08:17 Luigi Ballabio * [r10034] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/marketmodels/accountingengine.hpp, ql/marketmodels/proxygreekengine.hpp, ql/marketmodels/upperboundengine.hpp, ql/math/Makefile.am, ql/math/core.hpp, ql/math/discrepancystatistics.hpp, ql/math/distributions/Makefile.am, ql/math/distributions/sequencestatistics.hpp, ql/math/sequencestatistics.hpp, ql/methods/montecarlo/genericlsregression.cpp, test-suite/brownianbridge.cpp, test-suite/covariance.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp, test-suite/swapforwardmappings.cpp: sequence statistics seemed to have slipped into ql/math/distributions. I put it back into ql/math. 2007-04-07 00:06 Klaus Spanderen * [r10031] ql/shortratemodels/calibrationhelpers/hestonmodelhelper.cpp, ql/shortratemodels/calibrationhelpers/hestonmodelhelper.hpp: use relinkableHandle for all parameters 2007-04-07 00:00 Klaus Spanderen * [r10030] ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: use relinkableHandle for all parameters 2007-04-06 22:51 Joseph Wang * [r10029] ql/math/distributions/Makefile.am, ql/math/integrals/Makefile.am, ql/math/interpolations/Makefile.am, ql/math/optimization/Makefile.am, ql/math/randomnumbers/Makefile.am, ql/math/solvers1d/Makefile.am, ql/methods/finitedifferences/Makefile.am, ql/methods/lattices/Makefile.am, ql/methods/montecarlo/Makefile.am, ql/termstructures/volatilities/Makefile.am, ql/termstructures/yieldcurves/Makefile.am, ql/time/calendars/Makefile.am, ql/time/daycounters/Makefile.am: fix makefile.am to install in correct directories 2007-04-06 22:30 Joseph Wang * [r10028] ql/math/integrals/Makefile.am: add integral.cpp to build 2007-04-06 22:16 Joseph Wang * [r10027] configure.ac, ql/Makefile.am, ql/math/Makefile.am, ql/math/distributions/Makefile.am, ql/math/integrals/Makefile.am, ql/math/interpolations/Makefile.am, ql/methods/Makefile.am, ql/termstructures/Makefile.am, ql/termstructures/yieldcurves/Makefile.am, ql/time/Makefile.am: change autoconf files to fit new directory structure 2007-04-06 17:48 fdv1 * [r10026] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/businessdayconvention.cpp, ql/businessdayconvention.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/calendars, ql/cashflows/analysis.cpp, ql/cashflows/cashflowvectors.hpp, ql/cashflows/conundrumpricer.cpp, ql/cashflows/timebasket.hpp, ql/core.hpp, ql/currencies/exchangeratemanager.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/daycounters, ql/event.hpp, ql/exercise.hpp, ql/finitedifferences, ql/frequency.cpp, ql/frequency.hpp, ql/index.hpp, ql/indexes/audlibor.hpp, ql/indexes/cadlibor.hpp, ql/indexes/cdor.hpp, ql/indexes/chflibor.hpp, ql/indexes/dkklibor.hpp, ql/indexes/euribor.hpp, ql/indexes/euriborswapfixa.hpp, ql/indexes/euriborswapfixb.hpp, ql/indexes/euriborswapfixifr.hpp, ql/indexes/eurlibor.hpp, ql/indexes/eurliborswapfixa.hpp, ql/indexes/eurliborswapfixb.hpp, ql/indexes/eurliborswapfixifr.hpp, ql/indexes/gbplibor.hpp, ql/indexes/interestrateindex.hpp, ql/indexes/jibar.hpp, ql/indexes/jpylibor.hpp, ql/indexes/libor.cpp, ql/indexes/nzdlibor.hpp, ql/indexes/tibor.hpp, ql/indexes/trlibor.hpp, ql/indexes/usdlibor.hpp, ql/indexes/zibor.hpp, ql/instruments/assetswap.hpp, ql/instruments/barrieroption.cpp, ql/instruments/bond.cpp, ql/instruments/bond.hpp, ql/instruments/capfloor.cpp, ql/instruments/convertiblebond.hpp, ql/instruments/forward.hpp, ql/instruments/forwardrateagreement.cpp, ql/instruments/makecms.cpp, ql/instruments/makevanillaswap.cpp, ql/instruments/multiassetoption.cpp, ql/instruments/oneassetoption.cpp, ql/instruments/swaption.cpp, ql/instruments/vanillaswap.hpp, ql/lattices, ql/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/marketmodels/exercisestrategies/lsstrategy.hpp, ql/marketmodels/exercisestrategies/swapratetrigger.hpp, ql/marketmodels/lsdatacollector.cpp, ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/marketmodels/parametricexercise.hpp, ql/marketmodels/parametricexerciseadapter.hpp, ql/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/marketmodels/upperboundengine.hpp, ql/math/distributions/chisquaredistribution.cpp, ql/math/interpolations/abcdinterpolation.hpp, ql/math/interpolations/cubicspline.hpp, ql/math/interpolations/sabrinterpolation.hpp, ql/math/optimization, ql/math/optimization/Makefile.am, ql/math/optimization/all.hpp, ql/math/optimization/armijo.cpp, ql/math/optimization/armijo.hpp, ql/math/optimization/conjugategradient.cpp, ql/math/optimization/conjugategradient.hpp, ql/math/optimization/constraint.cpp, ql/math/optimization/constraint.hpp, ql/math/optimization/core.hpp, ql/math/optimization/costfunction.hpp, ql/math/optimization/endcriteria.cpp, ql/math/optimization/endcriteria.hpp, ql/math/optimization/leastsquare.cpp, ql/math/optimization/leastsquare.hpp, ql/math/optimization/levenbergmarquardt.cpp, ql/math/optimization/levenbergmarquardt.hpp, ql/math/optimization/linesearch.cpp, ql/math/optimization/linesearch.hpp, ql/math/optimization/linesearchbasedmethod.cpp, ql/math/optimization/linesearchbasedmethod.hpp, ql/math/optimization/lmdif.cpp, ql/math/optimization/lmdif.hpp, ql/math/optimization/method.hpp, ql/math/optimization/problem.hpp, ql/math/optimization/simplex.cpp, ql/math/optimization/simplex.hpp, ql/math/optimization/steepestdescent.cpp, ql/math/optimization/steepestdescent.hpp, ql/math/pseudosqrt.cpp, ql/math/randomnumbers, ql/math/randomnumbers/Makefile.am, ql/math/randomnumbers/all.hpp, ql/math/randomnumbers/boxmullergaussianrng.hpp, ql/math/randomnumbers/centrallimitgaussianrng.hpp, ql/math/randomnumbers/core.hpp, ql/math/randomnumbers/faurersg.cpp, ql/math/randomnumbers/faurersg.hpp, ql/math/randomnumbers/haltonrsg.cpp, ql/math/randomnumbers/haltonrsg.hpp, ql/math/randomnumbers/inversecumulativerng.hpp, ql/math/randomnumbers/inversecumulativersg.hpp, ql/math/randomnumbers/knuthuniformrng.cpp, ql/math/randomnumbers/knuthuniformrng.hpp, ql/math/randomnumbers/lecuyeruniformrng.cpp, ql/math/randomnumbers/lecuyeruniformrng.hpp, ql/math/randomnumbers/mt19937uniformrng.cpp, ql/math/randomnumbers/mt19937uniformrng.hpp, ql/math/randomnumbers/primitivepolynomials.c, ql/math/randomnumbers/primitivepolynomials.h, ql/math/randomnumbers/randomizedlds.hpp, ql/math/randomnumbers/randomsequencegenerator.hpp, ql/math/randomnumbers/rngtraits.hpp, ql/math/randomnumbers/seedgenerator.cpp, ql/math/randomnumbers/seedgenerator.hpp, ql/math/randomnumbers/sobolrsg.cpp, ql/math/randomnumbers/sobolrsg.hpp, ql/math/solvers1d, ql/math/solvers1d/Makefile.am, ql/math/solvers1d/all.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, ql/methods, ql/methods/finitedifferences, ql/methods/finitedifferences/Makefile.am, ql/methods/finitedifferences/all.hpp, ql/methods/finitedifferences/americancondition.hpp, ql/methods/finitedifferences/boundarycondition.cpp, ql/methods/finitedifferences/boundarycondition.hpp, ql/methods/finitedifferences/bsmoperator.cpp, ql/methods/finitedifferences/bsmoperator.hpp, ql/methods/finitedifferences/bsmtermoperator.hpp, ql/methods/finitedifferences/core.hpp, ql/methods/finitedifferences/cranknicolson.hpp, ql/methods/finitedifferences/dminus.hpp, ql/methods/finitedifferences/dplus.hpp, ql/methods/finitedifferences/dplusdminus.hpp, ql/methods/finitedifferences/dzero.hpp, ql/methods/finitedifferences/expliciteuler.hpp, ql/methods/finitedifferences/fdtypedefs.hpp, ql/methods/finitedifferences/finitedifferencemodel.hpp, ql/methods/finitedifferences/impliciteuler.hpp, ql/methods/finitedifferences/mixedscheme.hpp, ql/methods/finitedifferences/onefactoroperator.hpp, ql/methods/finitedifferences/operatorfactory.hpp, ql/methods/finitedifferences/operatortraits.hpp, ql/methods/finitedifferences/parallelevolver.hpp, ql/methods/finitedifferences/pde.hpp, ql/methods/finitedifferences/pdebsm.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/methods/finitedifferences/shoutcondition.hpp, ql/methods/finitedifferences/stepcondition.hpp, ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp, ql/methods/finitedifferences/zerocondition.hpp, ql/methods/lattices, ql/methods/lattices/Makefile.am, ql/methods/lattices/all.hpp, ql/methods/lattices/binomialtree.cpp, ql/methods/lattices/binomialtree.hpp, ql/methods/lattices/bsmlattice.hpp, ql/methods/lattices/core.hpp, ql/methods/lattices/lattice.hpp, ql/methods/lattices/lattice1d.hpp, ql/methods/lattices/lattice2d.hpp, ql/methods/lattices/tflattice.hpp, ql/methods/lattices/tree.hpp, ql/methods/lattices/trinomialtree.cpp, ql/methods/lattices/trinomialtree.hpp, ql/methods/montecarlo, ql/methods/montecarlo/Makefile.am, ql/methods/montecarlo/all.hpp, ql/methods/montecarlo/brownianbridge.cpp, ql/methods/montecarlo/brownianbridge.hpp, ql/methods/montecarlo/core.hpp, ql/methods/montecarlo/earlyexercisepathpricer.hpp, ql/methods/montecarlo/exercisestrategy.hpp, ql/methods/montecarlo/genericlsregression.cpp, ql/methods/montecarlo/genericlsregression.hpp, ql/methods/montecarlo/genericparametricearlyexercise.cpp, ql/methods/montecarlo/genericparametricearlyexercise.hpp, ql/methods/montecarlo/getcovariance.cpp, ql/methods/montecarlo/getcovariance.hpp, ql/methods/montecarlo/longstaffschwartzpathpricer.hpp, ql/methods/montecarlo/lsmbasissystem.cpp, ql/methods/montecarlo/lsmbasissystem.hpp, ql/methods/montecarlo/mctraits.hpp, ql/methods/montecarlo/mctypedefs.hpp, ql/methods/montecarlo/montecarlomodel.hpp, ql/methods/montecarlo/multipath.hpp, ql/methods/montecarlo/multipathgenerator.hpp, ql/methods/montecarlo/nodedata.hpp, ql/methods/montecarlo/path.hpp, ql/methods/montecarlo/pathgenerator.hpp, ql/methods/montecarlo/pathpricer.hpp, ql/methods/montecarlo/sample.hpp, ql/montecarlo, ql/optimization, ql/period.cpp, ql/period.hpp, ql/pricers/mchimalaya.cpp, ql/pricers/mcperformanceoption.cpp, ql/pricers/mcpricer.hpp, ql/pricers/singleassetoption.cpp, ql/pricingengines/asian/mc_discr_geom_av_price.hpp, ql/pricingengines/basket/mcamericanbasketengine.cpp, ql/pricingengines/basket/mcamericanbasketengine.hpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/capfloor/blackcapfloorengine.hpp, ql/pricingengines/forward/forwardengine.hpp, ql/pricingengines/hybrid/binomialconvertibleengine.hpp, ql/pricingengines/mclongstaffschwartzengine.hpp, ql/pricingengines/mcsimulation.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/pricingengines/swaption/jamshidianswaptionengine.cpp, ql/pricingengines/vanilla/binomialengine.hpp, ql/pricingengines/vanilla/discretizedvanillaoption.hpp, ql/pricingengines/vanilla/fdamericanengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp, ql/pricingengines/vanilla/fddividendshoutengine.hpp, ql/pricingengines/vanilla/fdeuropeanengine.cpp, ql/pricingengines/vanilla/fdmultiperiodengine.hpp, ql/pricingengines/vanilla/fdstepconditionengine.cpp, ql/pricingengines/vanilla/fdstepconditionengine.hpp, ql/pricingengines/vanilla/fdvanillaengine.cpp, ql/pricingengines/vanilla/fdvanillaengine.hpp, ql/pricingengines/vanilla/jumpdiffusionengine.cpp, ql/pricingengines/vanilla/mcamericanengine.hpp, ql/pricingengines/vanilla/mcdigitalengine.hpp, ql/pricingengines/vanilla/mceuropeanengine.hpp, ql/processes/blackscholesprocess.cpp, ql/processes/lfmprocess.cpp, ql/quantlib.hpp, ql/randomnumbers, ql/schedule.cpp, ql/schedule.hpp, ql/settings.hpp, ql/shortratemodels/calibrationhelper.cpp, ql/shortratemodels/libormarketmodels/liborforwardmodel.hpp, ql/shortratemodels/model.cpp, ql/shortratemodels/model.hpp, ql/shortratemodels/onefactormodel.cpp, ql/shortratemodels/onefactormodel.hpp, ql/shortratemodels/onefactormodels/blackkarasinski.cpp, ql/shortratemodels/onefactormodels/coxingersollross.cpp, ql/shortratemodels/onefactormodels/extendedcoxingersollross.cpp, ql/shortratemodels/onefactormodels/hullwhite.cpp, ql/shortratemodels/parameter.hpp, ql/shortratemodels/twofactormodel.hpp, ql/shortratemodels/twofactormodels/g2.cpp, ql/solvers1d, ql/stochasticprocess.hpp, ql/swaptionvolstructure.cpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/termstructures/all.hpp, ql/termstructures/bondhelpers.hpp, ql/termstructures/bootstraptraits.hpp, ql/termstructures/compoundforward.cpp, ql/termstructures/compoundforward.hpp, ql/termstructures/discountcurve.hpp, ql/termstructures/drifttermstructure.hpp, ql/termstructures/extendeddiscountcurve.cpp, ql/termstructures/extendeddiscountcurve.hpp, ql/termstructures/flatforward.hpp, ql/termstructures/forwardcurve.hpp, ql/termstructures/forwardspreadedtermstructure.hpp, ql/termstructures/forwardstructure.hpp, ql/termstructures/impliedtermstructure.hpp, ql/termstructures/piecewiseflatforward.cpp, ql/termstructures/piecewiseflatforward.hpp, ql/termstructures/piecewiseyieldcurve.cpp, ql/termstructures/piecewiseyieldcurve.hpp, ql/termstructures/piecewisezerospreadedtermstructure.hpp, ql/termstructures/quantotermstructure.hpp, ql/termstructures/ratehelpers.cpp, ql/termstructures/ratehelpers.hpp, ql/termstructures/volatilities, ql/termstructures/volatilities/Makefile.am, ql/termstructures/volatilities/abcd.cpp, ql/termstructures/volatilities/abcd.hpp, ql/termstructures/volatilities/all.hpp, ql/termstructures/volatilities/blackconstantvol.hpp, ql/termstructures/volatilities/blackvariancecurve.cpp, ql/termstructures/volatilities/blackvariancecurve.hpp, ql/termstructures/volatilities/blackvariancesurface.cpp, ql/termstructures/volatilities/blackvariancesurface.hpp, ql/termstructures/volatilities/capflatvolvector.hpp, ql/termstructures/volatilities/capletconstantvol.hpp, ql/termstructures/volatilities/capletvariancecurve.hpp, ql/termstructures/volatilities/capletvolatilitiesstructures.cpp, ql/termstructures/volatilities/capletvolatilitiesstructures.hpp, ql/termstructures/volatilities/capstripper.cpp, ql/termstructures/volatilities/capstripper.hpp, ql/termstructures/volatilities/cmsmarket.cpp, ql/termstructures/volatilities/cmsmarket.hpp, ql/termstructures/volatilities/impliedvoltermstructure.hpp, ql/termstructures/volatilities/interpolatedsmilesection.hpp, ql/termstructures/volatilities/localconstantvol.hpp, ql/termstructures/volatilities/localvolcurve.hpp, ql/termstructures/volatilities/localvolsurface.cpp, ql/termstructures/volatilities/localvolsurface.hpp, ql/termstructures/volatilities/sabr.cpp, ql/termstructures/volatilities/sabr.hpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.cpp, ql/termstructures/volatilities/sabrinterpolatedsmilesection.hpp, ql/termstructures/volatilities/smilesection.cpp, ql/termstructures/volatilities/smilesection.hpp, ql/termstructures/volatilities/swaptionconstantvol.cpp, ql/termstructures/volatilities/swaptionconstantvol.hpp, ql/termstructures/volatilities/swaptionvolcube.cpp, ql/termstructures/volatilities/swaptionvolcube.hpp, ql/termstructures/volatilities/swaptionvolcube1.cpp, ql/termstructures/volatilities/swaptionvolcube1.hpp, ql/termstructures/volatilities/swaptionvolcube2.cpp, ql/termstructures/volatilities/swaptionvolcube2.hpp, ql/termstructures/volatilities/swaptionvoldiscrete.cpp, ql/termstructures/volatilities/swaptionvoldiscrete.hpp, ql/termstructures/volatilities/swaptionvolmatrix.cpp, ql/termstructures/volatilities/swaptionvolmatrix.hpp, ql/termstructures/yieldcurves, ql/termstructures/yieldcurves/all.hpp, ql/termstructures/yieldcurves/compoundforward.cpp, ql/termstructures/yieldcurves/compoundforward.hpp, ql/termstructures/yieldcurves/discountcurve.hpp, ql/termstructures/yieldcurves/extendeddiscountcurve.cpp, ql/termstructures/yieldcurves/extendeddiscountcurve.hpp, ql/termstructures/yieldcurves/flatforward.hpp, ql/termstructures/yieldcurves/forwardcurve.hpp, ql/termstructures/yieldcurves/forwardspreadedtermstructure.hpp, ql/termstructures/yieldcurves/forwardstructure.hpp, ql/termstructures/yieldcurves/impliedtermstructure.hpp, ql/termstructures/yieldcurves/piecewiseflatforward.cpp, ql/termstructures/yieldcurves/piecewiseflatforward.hpp, ql/termstructures/yieldcurves/piecewiseyieldcurve.cpp, ql/termstructures/yieldcurves/piecewiseyieldcurve.hpp, ql/termstructures/yieldcurves/piecewisezerospreadedtermstructure.hpp, ql/termstructures/yieldcurves/zerocurve.hpp, ql/termstructures/yieldcurves/zerospreadedtermstructure.hpp, ql/termstructures/yieldcurves/zeroyieldstructure.hpp, ql/termstructures/zerocurve.hpp, ql/termstructures/zerospreadedtermstructure.hpp, ql/termstructures/zeroyieldstructure.hpp, ql/time, ql/time/businessdayconvention.cpp, ql/time/businessdayconvention.hpp, ql/time/calendar.cpp, ql/time/calendar.hpp, ql/time/calendars, ql/time/calendars/Makefile.am, ql/time/calendars/all.hpp, ql/time/calendars/argentina.cpp, ql/time/calendars/argentina.hpp, ql/time/calendars/australia.cpp, ql/time/calendars/australia.hpp, ql/time/calendars/brazil.cpp, ql/time/calendars/brazil.hpp, ql/time/calendars/canada.cpp, ql/time/calendars/canada.hpp, ql/time/calendars/china.cpp, ql/time/calendars/china.hpp, ql/time/calendars/czechrepublic.cpp, ql/time/calendars/czechrepublic.hpp, ql/time/calendars/denmark.cpp, ql/time/calendars/denmark.hpp, ql/time/calendars/finland.cpp, ql/time/calendars/finland.hpp, ql/time/calendars/germany.cpp, ql/time/calendars/germany.hpp, ql/time/calendars/hongkong.cpp, ql/time/calendars/hongkong.hpp, ql/time/calendars/hungary.cpp, ql/time/calendars/hungary.hpp, ql/time/calendars/iceland.cpp, ql/time/calendars/iceland.hpp, ql/time/calendars/india.cpp, ql/time/calendars/india.hpp, ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp, ql/time/calendars/italy.cpp, ql/time/calendars/italy.hpp, ql/time/calendars/japan.cpp, ql/time/calendars/japan.hpp, ql/time/calendars/jointcalendar.cpp, ql/time/calendars/jointcalendar.hpp, ql/time/calendars/mexico.cpp, ql/time/calendars/mexico.hpp, ql/time/calendars/newzealand.cpp, ql/time/calendars/newzealand.hpp, ql/time/calendars/norway.cpp, ql/time/calendars/norway.hpp, ql/time/calendars/nullcalendar.hpp, ql/time/calendars/poland.cpp, ql/time/calendars/poland.hpp, ql/time/calendars/saudiarabia.cpp, ql/time/calendars/saudiarabia.hpp, ql/time/calendars/singapore.cpp, ql/time/calendars/singapore.hpp, ql/time/calendars/slovakia.cpp, ql/time/calendars/slovakia.hpp, ql/time/calendars/southafrica.cpp, ql/time/calendars/southafrica.hpp, ql/time/calendars/southkorea.cpp, ql/time/calendars/southkorea.hpp, ql/time/calendars/sweden.cpp, ql/time/calendars/sweden.hpp, ql/time/calendars/switzerland.cpp, ql/time/calendars/switzerland.hpp, ql/time/calendars/taiwan.cpp, ql/time/calendars/taiwan.hpp, ql/time/calendars/target.cpp, ql/time/calendars/target.hpp, ql/time/calendars/turkey.cpp, ql/time/calendars/turkey.hpp, ql/time/calendars/ukraine.cpp, ql/time/calendars/ukraine.hpp, ql/time/calendars/unitedkingdom.cpp, ql/time/calendars/unitedkingdom.hpp, ql/time/calendars/unitedstates.cpp, ql/time/calendars/unitedstates.hpp, ql/time/date.cpp, ql/time/date.hpp, ql/time/daycounters, ql/time/daycounters/Makefile.am, ql/time/daycounters/actual360.hpp, ql/time/daycounters/actual365fixed.hpp, ql/time/daycounters/actualactual.cpp, ql/time/daycounters/actualactual.hpp, ql/time/daycounters/all.hpp, ql/time/daycounters/business252.hpp, ql/time/daycounters/one.hpp, ql/time/daycounters/simpledaycounter.cpp, ql/time/daycounters/simpledaycounter.hpp, ql/time/daycounters/thirty360.cpp, ql/time/daycounters/thirty360.hpp, ql/time/frequency.cpp, ql/time/frequency.hpp, ql/time/period.cpp, ql/time/period.hpp, ql/time/schedule.cpp, ql/time/schedule.hpp, ql/time/timeunit.hpp, ql/time/weekday.cpp, ql/time/weekday.hpp, ql/timeseries.hpp, ql/timeunit.hpp, ql/utilities/dataparsers.cpp, ql/utilities/dataparsers.hpp, ql/volatilities, ql/weekday.cpp, ql/weekday.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/assetswap.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/batesmodel.cpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/brownianbridge.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cliquetoption.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/covariance.cpp, test-suite/curvestates.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/hestonmodel.cpp, test-suite/integrals.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/linearleastsquaresregression.cpp, test-suite/lookbackoptions.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/rngtraits.cpp, test-suite/shortratemodels.cpp, test-suite/solvers.cpp, test-suite/swap.cpp, test-suite/swapforwardmappings.cpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp, test-suite/varianceswaps.cpp: Well, let say that things have gone a little out of control... Here is the commit of all changes in folders structures evoked on ql-dev mailing list. I'm a little ashamed to make such a huge commit, so you can't catch up with all the changes at once please let me know and I will rollback this commit and split it into more palatable ones. That said i'm pretty sure that, on the long run, the improvement in clarity will outweight the disturbance caused by such a drastic change. VC8 and VC7 are in sync the testsuite and QLXL are compiling 2007-04-06 13:30 fdv1 * [r10025] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/marketmodels/models/expcorrflatvol.cpp, ql/math/abcdinterpolation.hpp, ql/math/all.hpp, ql/math/backwardflatinterpolation.hpp, ql/math/bicubicsplineinterpolation.hpp, ql/math/bilinearinterpolation.hpp, ql/math/cubicspline.hpp, ql/math/extrapolation.hpp, ql/math/forwardflatinterpolation.hpp, ql/math/interpolation.hpp, ql/math/interpolation2d.hpp, ql/math/interpolations, ql/math/interpolations/abcdinterpolation.hpp, ql/math/interpolations/backwardflatinterpolation.hpp, ql/math/interpolations/bicubicsplineinterpolation.hpp, ql/math/interpolations/bilinearinterpolation.hpp, ql/math/interpolations/cubicspline.hpp, ql/math/interpolations/extrapolation.hpp, ql/math/interpolations/forwardflatinterpolation.hpp, ql/math/interpolations/interpolation2d.hpp, ql/math/interpolations/linearinterpolation.hpp, ql/math/interpolations/loglinearinterpolation.hpp, ql/math/interpolations/multicubicspline.hpp, ql/math/interpolations/sabrinterpolation.hpp, ql/math/linearinterpolation.hpp, ql/math/loglinearinterpolation.hpp, ql/math/multicubicspline.hpp, ql/math/sabrinterpolation.hpp, ql/math/sampledcurve.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/termstructures/discountcurve.hpp, ql/termstructures/forwardcurve.hpp, ql/termstructures/piecewiseyieldcurve.hpp, ql/termstructures/zerocurve.hpp, ql/volatilities/blackvariancecurve.cpp, ql/volatilities/blackvariancesurface.cpp, ql/volatilities/blackvariancesurface.hpp, ql/volatilities/capflatvolvector.hpp, ql/volatilities/capletvolatilitiesstructures.hpp, ql/volatilities/interpolatedsmilesection.hpp, ql/volatilities/sabrinterpolatedsmilesection.hpp, ql/volatilities/swaptionvolcube1.cpp, ql/volatilities/swaptionvolcube1.hpp, ql/volatilities/swaptionvolcube2.cpp, ql/volatilities/swaptionvolcube2.hpp, ql/volatilities/swaptionvolmatrix.hpp, test-suite/distributions.cpp, test-suite/factorial.cpp, test-suite/gaussianquadratures.cpp, test-suite/integrals.cpp, test-suite/interpolations.cpp, test-suite/operators.cpp, test-suite/piecewiseyieldcurve.cpp: new folder math/interpolations created and populated VC8, VC7, DevCPP in sync test-suite, examples hope this is true this time ! 2007-04-06 11:43 fdv1 * [r10024] test-suite/brownianbridge.cpp, test-suite/covariance.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp, test-suite/swapforwardmappings.cpp: another sequel of my last commit, sorry again for that guys 2007-04-06 11:19 fdv1 * [r10023] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/cashflows/conundrumpricer.cpp, ql/lattices/binomialtree.cpp, ql/marketmodels/accountingengine.hpp, ql/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/marketmodels/evolvers/forwardrateconstrainedeuler.cpp, ql/marketmodels/proxygreekengine.hpp, ql/marketmodels/upperboundengine.hpp, ql/math/all.hpp, ql/math/beta.hpp, ql/math/binomialdistribution.hpp, ql/math/bivariatenormaldistribution.cpp, ql/math/bivariatenormaldistribution.hpp, ql/math/chisquaredistribution.cpp, ql/math/chisquaredistribution.hpp, ql/math/core.hpp, ql/math/discrepancystatistics.hpp, ql/math/distributions, ql/math/distributions/binomialdistribution.hpp, ql/math/distributions/bivariatenormaldistribution.cpp, ql/math/distributions/bivariatenormaldistribution.hpp, ql/math/distributions/chisquaredistribution.cpp, ql/math/distributions/chisquaredistribution.hpp, ql/math/distributions/gammadistribution.cpp, ql/math/distributions/gammadistribution.hpp, ql/math/distributions/normaldistribution.cpp, ql/math/distributions/normaldistribution.hpp, ql/math/distributions/poissondistribution.hpp, ql/math/distributions/sequencestatistics.hpp, ql/math/factorial.cpp, ql/math/gammadistribution.cpp, ql/math/gammadistribution.hpp, ql/math/gaussianstatistics.hpp, ql/math/incompletegamma.cpp, ql/math/integrals/gaussianorthogonalpolynomial.cpp, ql/math/normaldistribution.cpp, ql/math/normaldistribution.hpp, ql/math/poissondistribution.hpp, ql/math/sequencestatistics.hpp, ql/montecarlo/genericlsregression.cpp, ql/pricers/discretegeometricaso.hpp, ql/pricingengines/americanpayoffatexpiry.cpp, ql/pricingengines/americanpayoffathit.cpp, ql/pricingengines/asian/analytic_discr_geom_av_price.cpp, ql/pricingengines/barrier/analyticbarrierengine.hpp, ql/pricingengines/basket/stulzengine.cpp, ql/pricingengines/blackcalculator.cpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/capfloor/blackcapfloorengine.hpp, ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp, ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp, ql/pricingengines/vanilla/binomialengine.hpp, ql/pricingengines/vanilla/bjerksundstenslandengine.cpp, ql/pricingengines/vanilla/jumpdiffusionengine.cpp, ql/pricingengines/vanilla/juquadraticengine.cpp, ql/processes/hestonprocess.cpp, ql/randomnumbers/rngtraits.hpp, ql/shortratemodels/onefactormodels/coxingersollross.cpp, ql/shortratemodels/onefactormodels/extendedcoxingersollross.cpp, ql/shortratemodels/twofactormodels/g2.cpp: new folder math/distributions created and populated VC8, VC7, DevCPP in sync 2007-04-06 10:43 fdv1 * [r10022] ql/math/all.hpp, ql/math/integrals/simpsonintegral.hpp, test-suite/gaussianquadratures.cpp, test-suite/integrals.cpp, test-suite/interpolations.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: sequel of my last commit, sorry for that guys 2007-04-06 10:20 fdv1 * [r10021] QuantLib_vc8.vcproj, ql/cashflows/conundrumpricer.cpp, ql/math/all.hpp, ql/math/bivariatenormaldistribution.cpp, ql/math/gaussianorthogonalpolynomial.cpp, ql/math/gaussianorthogonalpolynomial.hpp, ql/math/gaussianquadratures.cpp, ql/math/gaussianquadratures.hpp, ql/math/integral.cpp, ql/math/integral.hpp, ql/math/integrals/gaussianorthogonalpolynomial.cpp, ql/math/integrals/gaussianorthogonalpolynomial.hpp, ql/math/integrals/gaussianquadratures.cpp, ql/math/integrals/gaussianquadratures.hpp, ql/math/integrals/integral.cpp, ql/math/integrals/integral.hpp, ql/math/integrals/kronrodintegral.cpp, ql/math/integrals/kronrodintegral.hpp, ql/math/integrals/segmentintegral.hpp, ql/math/integrals/simpsonintegral.hpp, ql/math/integrals/trapezoidintegral.hpp, ql/math/kronrodintegral.cpp, ql/math/kronrodintegral.hpp, ql/math/segmentintegral.hpp, ql/math/simpsonintegral.hpp, ql/math/trapezoidintegral.hpp, ql/montecarlo/lsmbasissystem.cpp, ql/pricingengines/forward/mcvarianceswapengine.hpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/integralengine.cpp, ql/processes/lfmcovarparam.cpp, ql/shortratemodels/libormarketmodels/lfmcovarproxy.cpp, ql/shortratemodels/twofactormodels/g2.cpp: files moved to integrals folder 2007-04-06 06:38 fdv1 * [r10020] ql/math/integrals: new folder added 2007-04-05 16:12 fdv1 * [r10019] QuantLib_vc8.vcproj, ql/math/integral.cpp, ql/math/integral.hpp: integral base draft added 2007-04-05 08:54 Luigi Ballabio * [r10009] ql/cashflows/capflooredcoupon.cpp, ql/cashflows/capflooredcoupon.hpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp, ql/cashflows/couponpricer.cpp, ql/cashflows/floatingratecoupon.cpp, ql/cashflows/iborcoupon.cpp, ql/instruments/assetswap.cpp, ql/instruments/convertiblebond.cpp, ql/instruments/makecms.cpp, ql/instruments/vanillaswap.cpp, ql/processes/lfmprocess.cpp, ql/shortratemodels/calibrationhelpers/caphelper.cpp: Fixed compilation issues with gcc -Wall, namely, * errors: folders in source tree are now lowercase. Including them as uppercase works on Windows, but fails on case-sensitive systems. * warnings: data members should be initialized in the same order they were declared. 2007-04-04 16:43 Joseph Wang * [r10004] ql/cashflows/digitalcoupon.hpp: include pricer so that the cast will work 2007-04-04 15:25 fdv1 * [r9990] ql/cashflows/conundrumpricer.cpp: ConundrumPricerByNumericalIntegration::integrate makes use of the new integration algorithm. This is only a temporary hack because I haven't refactored the integration framework yet. The change of variable can be tuned even more, the idea would be to adapt its shape according to the integration boundaries or some information about the integrand shape. 2007-04-04 15:12 Luigi Ballabio * [r9989] test-suite/testsuite_vc8.vcproj: VC++8 project now generates manifest for test suite (required for running) 2007-04-04 15:10 fdv1 * [r9988] test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/swap.cpp: the sequel of my last commit 2007-04-04 13:48 fdv1 * [r9987] ql/cashflows/capflooredcoupon.cpp, ql/cashflows/capflooredcoupon.hpp, ql/cashflows/conundrumpricer.cpp, ql/cashflows/couponpricer.cpp, ql/cashflows/floatingratecoupon.cpp, ql/cashflows/floatingratecoupon.hpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/instruments/assetswap.cpp, ql/instruments/capfloor.cpp, ql/instruments/convertiblebond.cpp, ql/instruments/makecms.cpp, ql/instruments/vanillaswap.cpp, ql/instruments/vanillaswap.hpp, ql/processes/lfmprocess.cpp, ql/shortratemodels/calibrationhelpers/caphelper.cpp, ql/volatilities/cmsmarket.cpp, ql/volatilities/cmsmarket.hpp: yet another batch of uneeded or too general headers removed, sorry for the disturbance folks :-) 2007-04-04 12:45 fdv1 * [r9986] ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/conundrumpricer.cpp: a new batch of uneeded or too general headers removed 2007-04-04 12:34 fdv1 * [r9985] ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp: some code clean up: ->uneeded or too general headers removed from conundrumpricer.hpp ->obsolete elapsed function removed from ConundrumPricerByNumericalIntegration ->definition of ConundrumPricer::meanReversion() moved in conundrumpricer.cpp to allow forward declaration of Quote 2007-04-04 12:00 fdv1 * [r9984] ql/cashflows/conundrumpricer.cpp: the GFunctionFactory::GFunctionWithShifts::calibrationOfShift objective function behaves well enough to be used with plain newton solver 2007-04-04 09:05 Luigi Ballabio * [r9982] ql/cashflows/conundrumpricer.cpp: Avoided warnings in gcc -Wall 2007-04-04 08:57 Luigi Ballabio * [r9981] ql/cashflows/conundrumpricer.hpp: correct case in header inclusion 2007-04-04 08:30 Giorgio Facchinetti * [r9978] ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp: upperLimit = 8 std Dev 2007-04-04 07:51 Ferdinando Ametrano * [r9976] ql/cashflows/couponpricer.cpp, ql/config.msvc.hpp, ql/finitedifferences/tridiagonaloperator.hpp, ql/indexes/indexmanager.cpp, ql/instruments/asianoption.cpp, ql/instruments/barrieroption.cpp, ql/instruments/basketoption.cpp, ql/instruments/cliquetoption.cpp, ql/instruments/convertiblebond.cpp, ql/instruments/dividendvanillaoption.cpp, ql/instruments/lookbackoption.cpp, ql/instruments/multiassetoption.cpp, ql/instruments/oneassetoption.cpp, ql/instruments/swaption.cpp, ql/math/bicubicsplineinterpolation.hpp, ql/math/bilinearinterpolation.hpp, ql/math/linearleastsquaresregression.hpp, ql/montecarlo/lsmbasissystem.cpp, ql/montecarlo/lsmbasissystem.hpp, ql/patterns/singleton.hpp, ql/pricingengines/asian/mcdiscreteasianengine.hpp, ql/pricingengines/basket/mcamericanbasketengine.cpp, ql/pricingengines/basket/mcamericanbasketengine.hpp, ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/batesengine.cpp, ql/pricingengines/vanilla/batesengine.hpp, ql/pricingengines/vanilla/mcamericanengine.cpp, ql/pricingengines/vanilla/mcamericanengine.hpp, ql/settings.hpp, ql/termstructures/piecewiseflatforward.hpp, ql/termstructures/piecewiseyieldcurve.hpp, ql/utilities/observablevalue.hpp, ql/volatilities/blackvariancecurve.cpp, ql/volatilities/blackvariancecurve.hpp, ql/volatilities/blackvariancesurface.cpp, ql/volatilities/blackvariancesurface.hpp, ql/volatilities/capletvariancecurve.hpp, test-suite/basketoption.cpp, test-suite/batesmodel.cpp, test-suite/interpolations.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/piecewiseyieldcurve.cpp: 1) removed QL_PATCH_MSVC6 sice we have dropped support for VC6 2) also removed QL_PATCH_MSVC70 since we've never really supported VC70 2007-04-03 21:24 Ferdinando Ametrano * [r9975] ql/marketmodels/models/expcorrflatvol.cpp, ql/math/backwardflatinterpolation.hpp, ql/math/cubicspline.hpp, ql/math/forwardflatinterpolation.hpp, ql/math/interpolation.hpp, ql/math/linearinterpolation.hpp, ql/math/loglinearinterpolation.hpp, ql/math/sabrinterpolation.hpp, ql/math/sampledcurve.cpp, ql/math/sampledcurve.hpp, ql/termstructures/compoundforward.cpp, ql/termstructures/discountcurve.hpp, ql/termstructures/extendeddiscountcurve.cpp, ql/termstructures/forwardcurve.hpp, ql/termstructures/piecewiseyieldcurve.hpp, ql/termstructures/zerocurve.hpp, ql/volatilities/blackvariancecurve.hpp, ql/volatilities/capflatvolvector.hpp, ql/volatilities/capletvolatilitiesstructures.cpp, ql/volatilities/sabrinterpolatedsmilesection.cpp, ql/volatilities/swaptionvolcube1.cpp, ql/volatilities/swaptionvoldiscrete.cpp, test-suite/interpolations.cpp: 1) calculate/update methods now called just update in the Interpolation and InterpolatinImpl class 2) update is never called at constructor time to allow for constructing object with references to temporary invalid values 3) sabr bug fix involving (vega) weights calculation 2007-04-03 20:30 Ferdinando Ametrano * [r9974] test-suite/interpolations.cpp: restored missed check 2007-04-03 18:20 fdv1 * [r9973] ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp: GFunctionFactory::GFunctionWithShifts::calibrationOfShift is using NewtonSafe instead of brent solver 2007-04-03 16:06 fdv1 * [r9970] Authors.txt: redundant poor coder name removed ;-) 2007-04-03 13:00 Ferdinando Ametrano * [r9963] test-suite/testsuite.vcproj: test suite auto run disabled in Debug Configuration 2007-04-03 12:59 Ferdinando Ametrano * [r9962] ql/volatilities/swaptionvolcube1.cpp: more explicative error message 2007-04-02 22:07 Klaus Spanderen * [r9956] test-suite/hestonmodel.cpp: bug fix for new heston test 2007-04-02 21:40 Klaus Spanderen * [r9955] ql/math/chisquaredistribution.cpp, ql/math/chisquaredistribution.hpp, ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp: added new discretization schema 2007-04-02 17:56 fdv1 * [r9953] ql/date.cpp, ql/indexes/indexmanager.hpp, ql/instrument.hpp, ql/period.hpp, ql/quote.hpp, ql/timegrid.cpp, ql/timegrid.hpp: uneeded inclusions removed 2007-04-02 17:31 Ferdinando Ametrano * [r9952] test-suite/testsuite.vcproj: VC7 catching up 2007-04-02 16:12 Marco Bianchetti * [r9946] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2007-04-02 13:55 fdv1 * [r9939] ql/calendar.cpp: uneeded include removed 2007-04-02 10:09 Luigi Ballabio * [r9935] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/ConvertibleBonds/ConvertibleBonds.dsp, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/EquityOption/EquityOption.dsp, Examples/FRA/FRA.dsp, Examples/Replication/Replication.dsp, Examples/Repo/Repo.dsp, Examples/Swap/Swap.dsp, QuantLib.dsp, QuantLib.dsw, test-suite/testsuite.dsp: Removed unsupported (and outdated) VC++6 project files from trunk 2007-04-02 10:03 Luigi Ballabio * [r9934] Docs/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/ConvertibleBonds/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EquityOption/makefile.mak, Examples/FRA/makefile.mak, Examples/Replication/makefile.mak, Examples/Repo/makefile.mak, Examples/Swap/makefile.mak, Examples/makefile.mak, makefile.mak, ql/calendars/makefile.mak, ql/cashflows/makefile.mak, ql/currencies/makefile.mak, ql/daycounters/makefile.mak, ql/finitedifferences/makefile.mak, ql/indexes/makefile.mak, ql/instruments/makefile.mak, ql/lattices/makefile.mak, ql/makefile.mak, ql/marketmodels/browniangenerators/makefile.mak, ql/marketmodels/evolvers/makefile.mak, ql/marketmodels/exercisestrategies/makefile.mak, ql/marketmodels/exercisevalues/makefile.mak, ql/marketmodels/makefile.mak, ql/marketmodels/models/makefile.mak, ql/marketmodels/products/makefile.mak, ql/marketmodels/products/multistep/makefile.mak, ql/marketmodels/products/onestep/makefile.mak, ql/math/makefile.mak, ql/montecarlo/makefile.mak, ql/optimization/makefile.mak, ql/pricers/makefile.mak, ql/pricingengines/asian/makefile.mak, ql/pricingengines/barrier/makefile.mak, ql/pricingengines/basket/makefile.mak, ql/pricingengines/capfloor/makefile.mak, ql/pricingengines/cliquet/makefile.mak, ql/pricingengines/forward/makefile.mak, ql/pricingengines/hybrid/makefile.mak, ql/pricingengines/lookback/makefile.mak, ql/pricingengines/makefile.mak, ql/pricingengines/quanto/makefile.mak, ql/pricingengines/swaption/makefile.mak, ql/pricingengines/vanilla/makefile.mak, ql/processes/makefile.mak, ql/randomnumbers/makefile.mak, ql/shortratemodels/calibrationhelpers/makefile.mak, ql/shortratemodels/libormarketmodels/makefile.mak, ql/shortratemodels/makefile.mak, ql/shortratemodels/onefactormodels/makefile.mak, ql/shortratemodels/twofactormodels/makefile.mak, ql/termstructures/makefile.mak, ql/utilities/makefile.mak, ql/volatilities/makefile.mak, ql/volatilitymodels/makefile.mak, test-suite/makefile.mak: Removed unsupported (and outdated) Borland makefiles from trunk 2007-04-02 09:57 Luigi Ballabio * [r9933] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/math/Makefile.am, ql/math/all.hpp, ql/math/bicubicsplineinterpolation.hpp, ql/math/bilinearinterpolation.hpp, ql/math/interpolation2D.hpp, ql/math/interpolation2d.hpp, ql/volatilities/blackvariancesurface.hpp, ql/volatilities/swaptionvolcube2.hpp: changed 2D-interpolation header name to lowercase 2007-04-02 09:32 Luigi Ballabio * [r9932] test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/swapForwardMappings.cpp, test-suite/swapForwardMappings.hpp, test-suite/swapforwardmappings.cpp, test-suite/swapforwardmappings.hpp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Fixed test for swap-forward mappings (random capitalization in file and class names, header inclusions, and inclusion in Makefile and test suite) 2007-04-01 12:46 Luigi Ballabio * [r9926] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, ql/Calendars_, ql/CashFlows_, ql/Currencies_, ql/DayCounters_, ql/FiniteDifferences_, ql/Indexes_, ql/Instruments_, ql/Lattices_, ql/Makefile.am, ql/MarketModels_, ql/MarketModels_BrownianGenerators_, ql/MarketModels_CurveStates_, ql/MarketModels_DriftComputation_, ql/MarketModels_Evolvers_, ql/MarketModels_ExerciseStrategies_, ql/MarketModels_ExerciseValues_, ql/MarketModels_Models_, ql/MarketModels_Products_, ql/MarketModels_Products_MultiStep_, ql/MarketModels_Products_OneStep_, ql/Math_, ql/MonteCarlo_, ql/Optimization_, ql/Patterns_, ql/Pricers_, ql/PricingEngines_, ql/PricingEngines_Asian_, ql/PricingEngines_Barrier_, ql/PricingEngines_Basket_, ql/PricingEngines_CapFloor_, ql/PricingEngines_Cliquet_, ql/PricingEngines_Forward_, ql/PricingEngines_Hybrid_, ql/PricingEngines_Lookback_, ql/PricingEngines_Quanto_, ql/PricingEngines_Swaption_, ql/PricingEngines_Vanilla_, ql/Processes_, ql/Quotes_, ql/RandomNumbers_, ql/ShortRateModels_, ql/ShortRateModels_CalibrationHelpers_, ql/ShortRateModels_LiborMarketModels_, ql/ShortRateModels_OneFactorModels_, ql/ShortRateModels_TwoFactorModels_, ql/Solvers1D_, ql/TermStructures_, ql/Utilities_, ql/Volatilities_, ql/VolatilityModels_, ql/businessdayconvention.hpp, ql/calendars, ql/calendars/Makefile.am, ql/calendars/all.hpp, ql/calendars/argentina.cpp, ql/calendars/australia.cpp, ql/calendars/brazil.cpp, ql/calendars/canada.cpp, ql/calendars/china.cpp, ql/calendars/czechrepublic.cpp, ql/calendars/denmark.cpp, ql/calendars/finland.cpp, ql/calendars/germany.cpp, ql/calendars/hongkong.cpp, ql/calendars/hungary.cpp, ql/calendars/iceland.cpp, ql/calendars/india.cpp, ql/calendars/indonesia.cpp, ql/calendars/italy.cpp, ql/calendars/japan.cpp, ql/calendars/jointcalendar.cpp, ql/calendars/jointcalendar.hpp, ql/calendars/mexico.cpp, ql/calendars/newzealand.cpp, ql/calendars/norway.cpp, ql/calendars/poland.cpp, ql/calendars/saudiarabia.cpp, ql/calendars/singapore.cpp, ql/calendars/slovakia.cpp, ql/calendars/southafrica.cpp, ql/calendars/southkorea.cpp, ql/calendars/sweden.cpp, ql/calendars/switzerland.cpp, ql/calendars/taiwan.cpp, ql/calendars/target.cpp, ql/calendars/turkey.cpp, ql/calendars/ukraine.cpp, ql/calendars/unitedkingdom.cpp, ql/calendars/unitedstates.cpp, ql/cashflow.hpp, ql/cashflows, ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/analysis.cpp, ql/cashflows/analysis.hpp, ql/cashflows/capflooredcoupon.cpp, ql/cashflows/capflooredcoupon.hpp, ql/cashflows/cashflowvectors.cpp, ql/cashflows/cashflowvectors.hpp, ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/conundrumpricer.cpp, ql/cashflows/conundrumpricer.hpp, ql/cashflows/core.hpp, ql/cashflows/couponpricer.cpp, ql/cashflows/digitalcoupon.cpp, ql/cashflows/digitalcoupon.hpp, ql/cashflows/dividend.cpp, ql/cashflows/dividend.hpp, ql/cashflows/fixedratecoupon.hpp, ql/cashflows/floatingratecoupon.cpp, ql/cashflows/floatingratecoupon.hpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/cashflows/shortfloatingcoupon.cpp, ql/cashflows/shortfloatingcoupon.hpp, ql/cashflows/shortindexedcoupon.hpp, ql/cashflows/timebasket.cpp, ql/cashflows/timebasket.hpp, ql/currencies, ql/currencies/Makefile.am, ql/currencies/all.hpp, ql/currencies/exchangeratemanager.cpp, ql/currencies/exchangeratemanager.hpp, ql/currency.hpp, ql/date.cpp, ql/daycounters, ql/daycounters/Makefile.am, ql/daycounters/actualactual.cpp, ql/daycounters/all.hpp, ql/daycounters/simpledaycounter.cpp, ql/daycounters/thirty360.cpp, ql/discretizedasset.hpp, ql/event.hpp, ql/exchangerate.hpp, ql/finitedifferences, ql/finitedifferences/Makefile.am, ql/finitedifferences/all.hpp, ql/finitedifferences/americancondition.hpp, ql/finitedifferences/boundarycondition.cpp, ql/finitedifferences/boundarycondition.hpp, ql/finitedifferences/bsmoperator.cpp, ql/finitedifferences/bsmoperator.hpp, ql/finitedifferences/bsmtermoperator.hpp, ql/finitedifferences/core.hpp, ql/finitedifferences/cranknicolson.hpp, ql/finitedifferences/dminus.hpp, ql/finitedifferences/dplus.hpp, ql/finitedifferences/dplusdminus.hpp, ql/finitedifferences/dzero.hpp, ql/finitedifferences/expliciteuler.hpp, ql/finitedifferences/fdtypedefs.hpp, ql/finitedifferences/finitedifferencemodel.hpp, ql/finitedifferences/impliciteuler.hpp, ql/finitedifferences/mixedscheme.hpp, ql/finitedifferences/onefactoroperator.hpp, ql/finitedifferences/operatorfactory.hpp, ql/finitedifferences/operatortraits.hpp, ql/finitedifferences/parallelevolver.hpp, ql/finitedifferences/pde.hpp, ql/finitedifferences/pdebsm.hpp, ql/finitedifferences/pdeshortrate.hpp, ql/finitedifferences/shoutcondition.hpp, ql/finitedifferences/stepcondition.hpp, ql/finitedifferences/tridiagonaloperator.cpp, ql/finitedifferences/tridiagonaloperator.hpp, ql/finitedifferences/zerocondition.hpp, ql/frequency.hpp, ql/grid.hpp, ql/handle.hpp, ql/index.hpp, ql/indexes, ql/indexes/Makefile.am, ql/indexes/all.hpp, ql/indexes/audlibor.hpp, ql/indexes/cadlibor.hpp, ql/indexes/cdor.hpp, ql/indexes/chflibor.hpp, ql/indexes/core.hpp, ql/indexes/dkklibor.hpp, ql/indexes/euribor.hpp, ql/indexes/euriborswapfixa.cpp, ql/indexes/euriborswapfixa.hpp, ql/indexes/euriborswapfixb.cpp, ql/indexes/euriborswapfixb.hpp, ql/indexes/euriborswapfixifr.cpp, ql/indexes/euriborswapfixifr.hpp, ql/indexes/eurlibor.hpp, ql/indexes/eurliborswapfixa.cpp, ql/indexes/eurliborswapfixa.hpp, ql/indexes/eurliborswapfixb.cpp, ql/indexes/eurliborswapfixb.hpp, ql/indexes/eurliborswapfixifr.cpp, ql/indexes/eurliborswapfixifr.hpp, ql/indexes/gbplibor.hpp, ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp, ql/indexes/indexmanager.cpp, ql/indexes/indexmanager.hpp, ql/indexes/interestrateindex.cpp, ql/indexes/jibar.hpp, ql/indexes/jpylibor.hpp, ql/indexes/libor.cpp, ql/indexes/libor.hpp, ql/indexes/nzdlibor.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/indexes/tibor.hpp, ql/indexes/trlibor.hpp, ql/indexes/usdlibor.hpp, ql/indexes/zibor.hpp, ql/instrument.hpp, ql/instruments, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/asianoption.cpp, ql/instruments/asianoption.hpp, ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp, ql/instruments/barrieroption.cpp, ql/instruments/barrieroption.hpp, ql/instruments/basketoption.cpp, ql/instruments/basketoption.hpp, ql/instruments/bond.cpp, ql/instruments/callabilityschedule.hpp, ql/instruments/capfloor.cpp, ql/instruments/capfloor.hpp, ql/instruments/cliquetoption.cpp, ql/instruments/cliquetoption.hpp, ql/instruments/cmsratebond.cpp, ql/instruments/cmsratebond.hpp, ql/instruments/compositeinstrument.cpp, ql/instruments/convertiblebond.cpp, ql/instruments/convertiblebond.hpp, ql/instruments/core.hpp, ql/instruments/dividendschedule.hpp, ql/instruments/dividendvanillaoption.cpp, ql/instruments/dividendvanillaoption.hpp, ql/instruments/europeanoption.cpp, ql/instruments/europeanoption.hpp, ql/instruments/fixedratebond.cpp, ql/instruments/fixedratebond.hpp, ql/instruments/fixedratebondforward.cpp, ql/instruments/fixedratebondforward.hpp, ql/instruments/floatingratebond.cpp, ql/instruments/floatingratebond.hpp, ql/instruments/forward.cpp, ql/instruments/forwardrateagreement.cpp, ql/instruments/forwardrateagreement.hpp, ql/instruments/forwardvanillaoption.cpp, ql/instruments/forwardvanillaoption.hpp, ql/instruments/lookbackoption.cpp, ql/instruments/lookbackoption.hpp, ql/instruments/makecapfloor.cpp, ql/instruments/makecapfloor.hpp, ql/instruments/makecms.cpp, ql/instruments/makecms.hpp, ql/instruments/makevanillaswap.cpp, ql/instruments/makevanillaswap.hpp, ql/instruments/multiassetoption.cpp, ql/instruments/multiassetoption.hpp, ql/instruments/oneassetoption.cpp, ql/instruments/oneassetoption.hpp, ql/instruments/oneassetstrikedoption.cpp, ql/instruments/oneassetstrikedoption.hpp, ql/instruments/payoffs.cpp, ql/instruments/quantoforwardvanillaoption.cpp, ql/instruments/quantoforwardvanillaoption.hpp, ql/instruments/quantovanillaoption.cpp, ql/instruments/quantovanillaoption.hpp, ql/instruments/stickyratchet.cpp, ql/instruments/stock.cpp, ql/instruments/swap.cpp, ql/instruments/swaption.cpp, ql/instruments/swaption.hpp, ql/instruments/vanillaoption.cpp, ql/instruments/vanillaoption.hpp, ql/instruments/vanillaswap.cpp, ql/instruments/vanillaswap.hpp, ql/instruments/varianceswap.cpp, ql/instruments/varianceswap.hpp, ql/instruments/zerocouponbond.cpp, ql/instruments/zerocouponbond.hpp, ql/interestrate.cpp, ql/lattices, ql/lattices/Makefile.am, ql/lattices/all.hpp, ql/lattices/binomialtree.cpp, ql/lattices/binomialtree.hpp, ql/lattices/bsmlattice.hpp, ql/lattices/core.hpp, ql/lattices/lattice.hpp, ql/lattices/lattice1d.hpp, ql/lattices/lattice2d.hpp, ql/lattices/tflattice.hpp, ql/lattices/tree.hpp, ql/lattices/trinomialtree.cpp, ql/lattices/trinomialtree.hpp, ql/makefile.mak, ql/marketmodels, ql/marketmodels/Makefile.am, ql/marketmodels/accountingengine.cpp, ql/marketmodels/accountingengine.hpp, ql/marketmodels/all.hpp, ql/marketmodels/browniangenerators, ql/marketmodels/browniangenerators/Makefile.am, ql/marketmodels/browniangenerators/all.hpp, ql/marketmodels/browniangenerators/mtbrowniangenerator.cpp, ql/marketmodels/browniangenerators/mtbrowniangenerator.hpp, ql/marketmodels/browniangenerators/sobolbrowniangenerator.cpp, ql/marketmodels/browniangenerators/sobolbrowniangenerator.hpp, ql/marketmodels/core.hpp, ql/marketmodels/curvestate.cpp, ql/marketmodels/curvestate.hpp, ql/marketmodels/curvestates, ql/marketmodels/curvestates/Makefile.am, ql/marketmodels/curvestates/all.hpp, ql/marketmodels/curvestates/cmswapcurvestate.cpp, ql/marketmodels/curvestates/cmswapcurvestate.hpp, ql/marketmodels/curvestates/coterminalswapcurvestate.cpp, ql/marketmodels/curvestates/coterminalswapcurvestate.hpp, ql/marketmodels/curvestates/lmmcurvestate.cpp, ql/marketmodels/curvestates/lmmcurvestate.hpp, ql/marketmodels/driftcomputation, ql/marketmodels/driftcomputation/Makefile.am, ql/marketmodels/driftcomputation/all.hpp, ql/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp, ql/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp, ql/marketmodels/driftcomputation/lmmdriftcalculator.cpp, ql/marketmodels/driftcomputation/lmmdriftcalculator.hpp, ql/marketmodels/driftcomputation/lmmnormaldriftcalculator.cpp, ql/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp, ql/marketmodels/driftcomputation/smmdriftcalculator.cpp, ql/marketmodels/driftcomputation/smmdriftcalculator.hpp, ql/marketmodels/evolutiondescription.cpp, ql/marketmodels/evolutiondescription.hpp, ql/marketmodels/evolvers, ql/marketmodels/evolvers/Makefile.am, ql/marketmodels/evolvers/all.hpp, ql/marketmodels/evolvers/cmswapratepcevolver.cpp, ql/marketmodels/evolvers/cmswapratepcevolver.hpp, ql/marketmodels/evolvers/coterminalswapratepcevolver.cpp, ql/marketmodels/evolvers/coterminalswapratepcevolver.hpp, ql/marketmodels/evolvers/forwardrateconstrainedeuler.cpp, ql/marketmodels/evolvers/forwardrateconstrainedeuler.hpp, ql/marketmodels/evolvers/forwardrateeulerevolver.cpp, ql/marketmodels/evolvers/forwardrateeulerevolver.hpp, ql/marketmodels/evolvers/forwardrateipcevolver.cpp, ql/marketmodels/evolvers/forwardrateipcevolver.hpp, ql/marketmodels/evolvers/forwardratenormalpcevolver.cpp, ql/marketmodels/evolvers/forwardratenormalpcevolver.hpp, ql/marketmodels/evolvers/forwardratepcevolver.cpp, ql/marketmodels/evolvers/forwardratepcevolver.hpp, ql/marketmodels/exercisestrategies, ql/marketmodels/exercisestrategies/Makefile.am, ql/marketmodels/exercisestrategies/all.hpp, ql/marketmodels/exercisestrategies/lsstrategy.cpp, ql/marketmodels/exercisestrategies/lsstrategy.hpp, ql/marketmodels/exercisestrategies/swapratetrigger.cpp, ql/marketmodels/exercisestrategies/swapratetrigger.hpp, ql/marketmodels/exercisevalue.hpp, ql/marketmodels/exercisevalues, ql/marketmodels/exercisevalues/Makefile.am, ql/marketmodels/exercisevalues/all.hpp, ql/marketmodels/exercisevalues/bermudanswaptionexercisevalue.cpp, ql/marketmodels/exercisevalues/bermudanswaptionexercisevalue.hpp, ql/marketmodels/exercisevalues/nothingexercisevalue.cpp, ql/marketmodels/exercisevalues/nothingexercisevalue.hpp, ql/marketmodels/lsbasisfunctions.hpp, ql/marketmodels/lsdatacollector.cpp, ql/marketmodels/makefile.mak, ql/marketmodels/marketmodel.hpp, ql/marketmodels/marketmodelconstrainedevolver.hpp, ql/marketmodels/marketmodeldiscounter.cpp, ql/marketmodels/models, ql/marketmodels/models/Makefile.am, ql/marketmodels/models/all.hpp, ql/marketmodels/models/calibratedmarketmodel.cpp, ql/marketmodels/models/calibratedmarketmodel.hpp, ql/marketmodels/models/capletcoterminalcalibration.cpp, ql/marketmodels/models/capletcoterminalcalibration.hpp, ql/marketmodels/models/coterminaltoforwardadapter.cpp, ql/marketmodels/models/coterminaltoforwardadapter.hpp, ql/marketmodels/models/expcorrabcdvol.cpp, ql/marketmodels/models/expcorrabcdvol.hpp, ql/marketmodels/models/expcorrflatvol.cpp, ql/marketmodels/models/expcorrflatvol.hpp, ql/marketmodels/models/forwardtocoterminaladapter.cpp, ql/marketmodels/models/forwardtocoterminaladapter.hpp, ql/marketmodels/models/piecewiseconstantabcdvariance.cpp, ql/marketmodels/models/piecewiseconstantabcdvariance.hpp, ql/marketmodels/models/swapfromfracorrelationstructure.cpp, ql/marketmodels/models/swapfromfracorrelationstructure.hpp, ql/marketmodels/models/timedependantcorrelationstructure.hpp, ql/marketmodels/parametricexercise.hpp, ql/marketmodels/parametricexerciseadapter.cpp, ql/marketmodels/parametricexerciseadapter.hpp, ql/marketmodels/parametricswapexercise.cpp, ql/marketmodels/parametricswapexercise.hpp, ql/marketmodels/products, ql/marketmodels/products/Makefile.am, ql/marketmodels/products/all.hpp, ql/marketmodels/products/compositeproduct.cpp, ql/marketmodels/products/compositeproduct.hpp, ql/marketmodels/products/makefile.mak, ql/marketmodels/products/marketmodelratchet.cpp, ql/marketmodels/products/marketmodelratchet.hpp, ql/marketmodels/products/multiproductcomposite.cpp, ql/marketmodels/products/multiproductcomposite.hpp, ql/marketmodels/products/multiproductmultistep.cpp, ql/marketmodels/products/multiproductmultistep.hpp, ql/marketmodels/products/multiproductonestep.cpp, ql/marketmodels/products/multiproductonestep.hpp, ql/marketmodels/products/multistep, ql/marketmodels/products/multistep/Makefile.am, ql/marketmodels/products/multistep/all.hpp, ql/marketmodels/products/multistep/callspecifiedmultiproduct.cpp, ql/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/marketmodels/products/multistep/cashrebate.cpp, ql/marketmodels/products/multistep/cashrebate.hpp, ql/marketmodels/products/multistep/exerciseadapter.cpp, ql/marketmodels/products/multistep/exerciseadapter.hpp, ql/marketmodels/products/multistep/multistepcoinitialswaps.cpp, ql/marketmodels/products/multistep/multistepcoinitialswaps.hpp, ql/marketmodels/products/multistep/multistepcoterminalswaps.cpp, ql/marketmodels/products/multistep/multistepcoterminalswaps.hpp, ql/marketmodels/products/multistep/multistepcoterminalswaptions.cpp, ql/marketmodels/products/multistep/multistepcoterminalswaptions.hpp, ql/marketmodels/products/multistep/multistepforwards.cpp, ql/marketmodels/products/multistep/multistepforwards.hpp, ql/marketmodels/products/multistep/multistepnothing.cpp, ql/marketmodels/products/multistep/multistepnothing.hpp, ql/marketmodels/products/multistep/multistepoptionlets.cpp, ql/marketmodels/products/multistep/multistepoptionlets.hpp, ql/marketmodels/products/multistep/multistepratchet.cpp, ql/marketmodels/products/multistep/multistepratchet.hpp, ql/marketmodels/products/multistep/multistepswap.cpp, ql/marketmodels/products/multistep/multistepswap.hpp, ql/marketmodels/products/onestep, ql/marketmodels/products/onestep/Makefile.am, ql/marketmodels/products/onestep/all.hpp, ql/marketmodels/products/onestep/onestepcoinitialswaps.cpp, ql/marketmodels/products/onestep/onestepcoinitialswaps.hpp, ql/marketmodels/products/onestep/onestepcoterminalswaps.cpp, ql/marketmodels/products/onestep/onestepcoterminalswaps.hpp, ql/marketmodels/products/onestep/onestepforwards.cpp, ql/marketmodels/products/onestep/onestepforwards.hpp, ql/marketmodels/products/onestep/onestepoptionlets.cpp, ql/marketmodels/products/onestep/onestepoptionlets.hpp, ql/marketmodels/products/singleproductcomposite.cpp, ql/marketmodels/products/singleproductcomposite.hpp, ql/marketmodels/proxygreekengine.cpp, ql/marketmodels/proxygreekengine.hpp, ql/marketmodels/swapbasissystem.cpp, ql/marketmodels/swapbasissystem.hpp, ql/marketmodels/swapforwardconversionmatrix.cpp, ql/marketmodels/swapforwardconversionmatrix.hpp, ql/marketmodels/swapforwardmappings.cpp, ql/marketmodels/swapforwardmappings.hpp, ql/marketmodels/upperboundengine.cpp, ql/marketmodels/upperboundengine.hpp, ql/marketmodels/utilities.cpp, ql/math, ql/math/Makefile.am, ql/math/abcdinterpolation.hpp, ql/math/all.hpp, ql/math/array.hpp, ql/math/backwardflatinterpolation.hpp, ql/math/beta.cpp, ql/math/beta.hpp, ql/math/bicubicsplineinterpolation.hpp, ql/math/bilinearinterpolation.hpp, ql/math/binomialdistribution.hpp, ql/math/bivariatenormaldistribution.cpp, ql/math/bivariatenormaldistribution.hpp, ql/math/chisquaredistribution.cpp, ql/math/choleskydecomposition.cpp, ql/math/choleskydecomposition.hpp, ql/math/complexarray.hpp, ql/math/core.hpp, ql/math/cubicspline.hpp, ql/math/discrepancystatistics.cpp, ql/math/discrepancystatistics.hpp, ql/math/errorfunction.cpp, ql/math/factorial.cpp, ql/math/fastfouriertransform.hpp, ql/math/forwardflatinterpolation.hpp, ql/math/gammadistribution.cpp, ql/math/gaussianorthogonalpolynomial.cpp, ql/math/gaussianquadratures.cpp, ql/math/gaussianquadratures.hpp, ql/math/gaussianstatistics.hpp, ql/math/generalstatistics.cpp, ql/math/generalstatistics.hpp, ql/math/incompletegamma.cpp, ql/math/incrementalstatistics.cpp, ql/math/incrementalstatistics.hpp, ql/math/interpolation.hpp, ql/math/interpolation2D.hpp, ql/math/kronrodintegral.cpp, ql/math/kronrodintegral.hpp, ql/math/lexicographicalview.hpp, ql/math/linearinterpolation.hpp, ql/math/linearleastsquaresregression.hpp, ql/math/loglinearinterpolation.hpp, ql/math/matrix.cpp, ql/math/matrix.hpp, ql/math/normaldistribution.cpp, ql/math/normaldistribution.hpp, ql/math/poissondistribution.hpp, ql/math/primenumbers.cpp, ql/math/pseudosqrt.cpp, ql/math/pseudosqrt.hpp, ql/math/riskstatistics.hpp, ql/math/rounding.cpp, ql/math/sabrinterpolation.hpp, ql/math/sampledcurve.cpp, ql/math/sampledcurve.hpp, ql/math/sequencestatistics.hpp, ql/math/simpsonintegral.hpp, ql/math/statistics.hpp, ql/math/surface.cpp, ql/math/svd.cpp, ql/math/svd.hpp, ql/math/symmetricschurdecomposition.cpp, ql/math/symmetricschurdecomposition.hpp, ql/math/tqreigendecomposition.cpp, ql/math/tqreigendecomposition.hpp, ql/math/transformedgrid.hpp, ql/math/trapezoidintegral.hpp, ql/money.cpp, ql/montecarlo, ql/montecarlo/Makefile.am, ql/montecarlo/all.hpp, ql/montecarlo/brownianbridge.cpp, ql/montecarlo/brownianbridge.hpp, ql/montecarlo/core.hpp, ql/montecarlo/earlyexercisepathpricer.hpp, ql/montecarlo/genericlsregression.cpp, ql/montecarlo/genericlsregression.hpp, ql/montecarlo/genericparametricearlyexercise.cpp, ql/montecarlo/genericparametricearlyexercise.hpp, ql/montecarlo/getcovariance.cpp, ql/montecarlo/getcovariance.hpp, ql/montecarlo/longstaffschwartzpathpricer.hpp, ql/montecarlo/lsmbasissystem.cpp, ql/montecarlo/lsmbasissystem.hpp, ql/montecarlo/mctraits.hpp, ql/montecarlo/mctypedefs.hpp, ql/montecarlo/montecarlomodel.hpp, ql/montecarlo/multipath.hpp, ql/montecarlo/multipathgenerator.hpp, ql/montecarlo/path.hpp, ql/montecarlo/pathgenerator.hpp, ql/numericalmethod.hpp, ql/optimization, ql/optimization/Makefile.am, ql/optimization/all.hpp, ql/optimization/armijo.cpp, ql/optimization/armijo.hpp, ql/optimization/conjugategradient.cpp, ql/optimization/conjugategradient.hpp, ql/optimization/constraint.cpp, ql/optimization/constraint.hpp, ql/optimization/core.hpp, ql/optimization/costfunction.hpp, ql/optimization/endcriteria.cpp, ql/optimization/endcriteria.hpp, ql/optimization/leastsquare.cpp, ql/optimization/leastsquare.hpp, ql/optimization/levenbergmarquardt.cpp, ql/optimization/levenbergmarquardt.hpp, ql/optimization/linesearch.cpp, ql/optimization/linesearch.hpp, ql/optimization/linesearchbasedmethod.cpp, ql/optimization/linesearchbasedmethod.hpp, ql/optimization/lmdif.cpp, ql/optimization/method.hpp, ql/optimization/problem.hpp, ql/optimization/simplex.cpp, ql/optimization/simplex.hpp, ql/optimization/steepestdescent.cpp, ql/optimization/steepestdescent.hpp, ql/option.hpp, ql/patterns, ql/patterns/Makefile.am, ql/patterns/all.hpp, ql/patterns/lazyobject.hpp, ql/payoff.hpp, ql/pricers, ql/pricers/Makefile.am, ql/pricers/all.hpp, ql/pricers/core.hpp, ql/pricers/discretegeometricaso.cpp, ql/pricers/discretegeometricaso.hpp, ql/pricers/mccliquetoption.cpp, ql/pricers/mccliquetoption.hpp, ql/pricers/mcdiscretearithmeticaso.cpp, ql/pricers/mcdiscretearithmeticaso.hpp, ql/pricers/mceverest.cpp, ql/pricers/mceverest.hpp, ql/pricers/mchimalaya.cpp, ql/pricers/mchimalaya.hpp, ql/pricers/mcmaxbasket.cpp, ql/pricers/mcmaxbasket.hpp, ql/pricers/mcpagoda.cpp, ql/pricers/mcpagoda.hpp, ql/pricers/mcperformanceoption.cpp, ql/pricers/mcperformanceoption.hpp, ql/pricers/mcpricer.hpp, ql/pricers/singleassetoption.cpp, ql/pricers/singleassetoption.hpp, ql/pricingengine.hpp, ql/pricingengines, ql/pricingengines/Makefile.am, ql/pricingengines/all.hpp, ql/pricingengines/americanpayoffatexpiry.cpp, ql/pricingengines/americanpayoffatexpiry.hpp, ql/pricingengines/americanpayoffathit.cpp, ql/pricingengines/americanpayoffathit.hpp, ql/pricingengines/asian, ql/pricingengines/asian/Makefile.am, ql/pricingengines/asian/all.hpp, ql/pricingengines/asian/analytic_cont_geom_av_price.cpp, ql/pricingengines/asian/analytic_cont_geom_av_price.hpp, ql/pricingengines/asian/analytic_discr_geom_av_price.cpp, ql/pricingengines/asian/analytic_discr_geom_av_price.hpp, ql/pricingengines/asian/mc_discr_arith_av_price.cpp, ql/pricingengines/asian/mc_discr_arith_av_price.hpp, ql/pricingengines/asian/mc_discr_geom_av_price.cpp, ql/pricingengines/asian/mc_discr_geom_av_price.hpp, ql/pricingengines/asian/mcdiscreteasianengine.hpp, ql/pricingengines/barrier, ql/pricingengines/barrier/Makefile.am, ql/pricingengines/barrier/all.hpp, ql/pricingengines/barrier/analyticbarrierengine.cpp, ql/pricingengines/barrier/analyticbarrierengine.hpp, ql/pricingengines/barrier/mcbarrierengine.cpp, ql/pricingengines/barrier/mcbarrierengine.hpp, ql/pricingengines/basket, ql/pricingengines/basket/Makefile.am, ql/pricingengines/basket/all.hpp, ql/pricingengines/basket/mcamericanbasketengine.cpp, ql/pricingengines/basket/mcamericanbasketengine.hpp, ql/pricingengines/basket/mcbasketengine.cpp, ql/pricingengines/basket/mcbasketengine.hpp, ql/pricingengines/basket/stulzengine.cpp, ql/pricingengines/basket/stulzengine.hpp, ql/pricingengines/blackcalculator.cpp, ql/pricingengines/blackcalculator.hpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp, ql/pricingengines/blackscholescalculator.cpp, ql/pricingengines/blackscholescalculator.hpp, ql/pricingengines/capfloor, ql/pricingengines/capfloor/Makefile.am, ql/pricingengines/capfloor/all.hpp, ql/pricingengines/capfloor/analyticcapfloorengine.cpp, ql/pricingengines/capfloor/analyticcapfloorengine.hpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/capfloor/blackcapfloorengine.hpp, ql/pricingengines/capfloor/discretizedcapfloor.cpp, ql/pricingengines/capfloor/discretizedcapfloor.hpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.cpp, ql/pricingengines/capfloor/marketmodelcapfloorengine.hpp, ql/pricingengines/capfloor/mchullwhiteengine.cpp, ql/pricingengines/capfloor/mchullwhiteengine.hpp, ql/pricingengines/capfloor/treecapfloorengine.cpp, ql/pricingengines/capfloor/treecapfloorengine.hpp, ql/pricingengines/cliquet, ql/pricingengines/cliquet/Makefile.am, ql/pricingengines/cliquet/all.hpp, ql/pricingengines/cliquet/analyticcliquetengine.cpp, ql/pricingengines/cliquet/analyticcliquetengine.hpp, ql/pricingengines/cliquet/analyticperformanceengine.cpp, ql/pricingengines/cliquet/analyticperformanceengine.hpp, ql/pricingengines/cliquet/mccliquetengine.cpp, ql/pricingengines/cliquet/mccliquetengine.hpp, ql/pricingengines/core.hpp, ql/pricingengines/forward, ql/pricingengines/forward/Makefile.am, ql/pricingengines/forward/all.hpp, ql/pricingengines/forward/forwardengine.hpp, ql/pricingengines/forward/forwardperformanceengine.hpp, ql/pricingengines/forward/mcvarianceswapengine.hpp, ql/pricingengines/forward/replicatingvarianceswapengine.hpp, ql/pricingengines/greeks.cpp, ql/pricingengines/greeks.hpp, ql/pricingengines/hybrid, ql/pricingengines/hybrid/Makefile.am, ql/pricingengines/hybrid/all.hpp, ql/pricingengines/hybrid/binomialconvertibleengine.hpp, ql/pricingengines/hybrid/discretizedconvertible.cpp, ql/pricingengines/hybrid/discretizedconvertible.hpp, ql/pricingengines/latticeshortratemodelengine.hpp, ql/pricingengines/lookback, ql/pricingengines/lookback/Makefile.am, ql/pricingengines/lookback/all.hpp, ql/pricingengines/lookback/analyticcontinuousfixedlookback.cpp, ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp, ql/pricingengines/lookback/analyticcontinuousfloatinglookback.cpp, ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp, ql/pricingengines/makefile.mak, ql/pricingengines/mclongstaffschwartzengine.hpp, ql/pricingengines/mcsimulation.hpp, ql/pricingengines/quanto, ql/pricingengines/quanto/Makefile.am, ql/pricingengines/quanto/all.hpp, ql/pricingengines/quanto/quantoengine.hpp, ql/pricingengines/swaption, ql/pricingengines/swaption/Makefile.am, ql/pricingengines/swaption/all.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/pricingengines/swaption/blackswaptionengine.hpp, ql/pricingengines/swaption/discretizedswaption.cpp, ql/pricingengines/swaption/discretizedswaption.hpp, ql/pricingengines/swaption/g2swaptionengine.hpp, ql/pricingengines/swaption/jamshidianswaptionengine.cpp, ql/pricingengines/swaption/jamshidianswaptionengine.hpp, ql/pricingengines/swaption/lfmswaptionengine.cpp, ql/pricingengines/swaption/lfmswaptionengine.hpp, ql/pricingengines/swaption/treeswaptionengine.cpp, ql/pricingengines/swaption/treeswaptionengine.hpp, ql/pricingengines/vanilla, ql/pricingengines/vanilla/Makefile.am, ql/pricingengines/vanilla/all.hpp, ql/pricingengines/vanilla/analyticdigitalamericanengine.cpp, ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp, ql/pricingengines/vanilla/analyticdividendeuropeanengine.cpp, ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp, ql/pricingengines/vanilla/analyticeuropeanengine.cpp, ql/pricingengines/vanilla/analyticeuropeanengine.hpp, ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp, ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp, ql/pricingengines/vanilla/batesengine.cpp, ql/pricingengines/vanilla/batesengine.hpp, ql/pricingengines/vanilla/binomialengine.hpp, ql/pricingengines/vanilla/bjerksundstenslandengine.cpp, ql/pricingengines/vanilla/bjerksundstenslandengine.hpp, ql/pricingengines/vanilla/discretizedvanillaoption.cpp, ql/pricingengines/vanilla/discretizedvanillaoption.hpp, ql/pricingengines/vanilla/fdamericanengine.hpp, ql/pricingengines/vanilla/fdbermudanengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp, ql/pricingengines/vanilla/fddividendamericanengine.hpp, ql/pricingengines/vanilla/fddividendengine.cpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fddividendeuropeanengine.hpp, ql/pricingengines/vanilla/fddividendshoutengine.hpp, ql/pricingengines/vanilla/fdeuropeanengine.cpp, ql/pricingengines/vanilla/fdeuropeanengine.hpp, ql/pricingengines/vanilla/fdmultiperiodengine.cpp, ql/pricingengines/vanilla/fdmultiperiodengine.hpp, ql/pricingengines/vanilla/fdshoutengine.hpp, ql/pricingengines/vanilla/fdstepconditionengine.cpp, ql/pricingengines/vanilla/fdstepconditionengine.hpp, ql/pricingengines/vanilla/fdvanillaengine.cpp, ql/pricingengines/vanilla/fdvanillaengine.hpp, ql/pricingengines/vanilla/integralengine.cpp, ql/pricingengines/vanilla/integralengine.hpp, ql/pricingengines/vanilla/jumpdiffusionengine.cpp, ql/pricingengines/vanilla/jumpdiffusionengine.hpp, ql/pricingengines/vanilla/juquadraticengine.cpp, ql/pricingengines/vanilla/juquadraticengine.hpp, ql/pricingengines/vanilla/mcamericanengine.cpp, ql/pricingengines/vanilla/mcamericanengine.hpp, ql/pricingengines/vanilla/mcdigitalengine.cpp, ql/pricingengines/vanilla/mcdigitalengine.hpp, ql/pricingengines/vanilla/mceuropeanengine.hpp, ql/pricingengines/vanilla/mceuropeanhestonengine.hpp, ql/pricingengines/vanilla/mcvanillaengine.hpp, ql/processes, ql/processes/Makefile.am, ql/processes/all.hpp, ql/processes/blackscholesprocess.cpp, ql/processes/blackscholesprocess.hpp, ql/processes/eulerdiscretization.cpp, ql/processes/forwardmeasureprocess.cpp, ql/processes/g2process.cpp, ql/processes/g2process.hpp, ql/processes/geometricbrownianprocess.cpp, ql/processes/hestonprocess.cpp, ql/processes/hullwhiteprocess.cpp, ql/processes/hullwhiteprocess.hpp, ql/processes/lfmcovarparam.cpp, ql/processes/lfmcovarparam.hpp, ql/processes/lfmhullwhiteparam.cpp, ql/processes/lfmhullwhiteparam.hpp, ql/processes/lfmprocess.cpp, ql/processes/lfmprocess.hpp, ql/processes/merton76process.cpp, ql/processes/merton76process.hpp, ql/processes/ornsteinuhlenbeckprocess.cpp, ql/processes/squarerootprocess.cpp, ql/processes/squarerootprocess.hpp, ql/processes/stochasticprocessarray.cpp, ql/quantlib.hpp, ql/quote.hpp, ql/quotes, ql/quotes/Makefile.am, ql/quotes/all.hpp, ql/quotes/derivedquote.cpp, ql/quotes/futuresconvadjustmentquote.cpp, ql/quotes/futuresconvadjustmentquote.hpp, ql/randomnumbers, ql/randomnumbers/Makefile.am, ql/randomnumbers/all.hpp, ql/randomnumbers/boxmullergaussianrng.hpp, ql/randomnumbers/centrallimitgaussianrng.hpp, ql/randomnumbers/core.hpp, ql/randomnumbers/faurersg.cpp, ql/randomnumbers/faurersg.hpp, ql/randomnumbers/haltonrsg.cpp, ql/randomnumbers/haltonrsg.hpp, ql/randomnumbers/inversecumulativerng.hpp, ql/randomnumbers/inversecumulativersg.hpp, ql/randomnumbers/knuthuniformrng.cpp, ql/randomnumbers/knuthuniformrng.hpp, ql/randomnumbers/lecuyeruniformrng.cpp, ql/randomnumbers/lecuyeruniformrng.hpp, ql/randomnumbers/mt19937uniformrng.cpp, ql/randomnumbers/mt19937uniformrng.hpp, ql/randomnumbers/primitivepolynomials.c, ql/randomnumbers/randomizedlds.hpp, ql/randomnumbers/randomsequencegenerator.hpp, ql/randomnumbers/rngtraits.hpp, ql/randomnumbers/seedgenerator.cpp, ql/randomnumbers/seedgenerator.hpp, ql/randomnumbers/sobolrsg.cpp, ql/randomnumbers/sobolrsg.hpp, ql/schedule.hpp, ql/settings.hpp, ql/shortratemodels, ql/shortratemodels/Makefile.am, ql/shortratemodels/all.hpp, ql/shortratemodels/calibrationhelper.cpp, ql/shortratemodels/calibrationhelpers, ql/shortratemodels/calibrationhelpers/Makefile.am, ql/shortratemodels/calibrationhelpers/all.hpp, ql/shortratemodels/calibrationhelpers/caphelper.cpp, ql/shortratemodels/calibrationhelpers/caphelper.hpp, ql/shortratemodels/calibrationhelpers/hestonmodelhelper.cpp, ql/shortratemodels/calibrationhelpers/hestonmodelhelper.hpp, ql/shortratemodels/calibrationhelpers/swaptionhelper.cpp, ql/shortratemodels/calibrationhelpers/swaptionhelper.hpp, ql/shortratemodels/core.hpp, ql/shortratemodels/libormarketmodels, ql/shortratemodels/libormarketmodels/Makefile.am, ql/shortratemodels/libormarketmodels/all.hpp, ql/shortratemodels/libormarketmodels/lfmcovarproxy.cpp, ql/shortratemodels/libormarketmodels/lfmcovarproxy.hpp, ql/shortratemodels/libormarketmodels/liborforwardmodel.cpp, ql/shortratemodels/libormarketmodels/liborforwardmodel.hpp, ql/shortratemodels/libormarketmodels/lmconstwrappercorrmodel.hpp, ql/shortratemodels/libormarketmodels/lmconstwrappervolmodel.hpp, ql/shortratemodels/libormarketmodels/lmcorrmodel.cpp, ql/shortratemodels/libormarketmodels/lmcorrmodel.hpp, ql/shortratemodels/libormarketmodels/lmexpcorrmodel.cpp, ql/shortratemodels/libormarketmodels/lmexpcorrmodel.hpp, ql/shortratemodels/libormarketmodels/lmextlinexpvolmodel.cpp, ql/shortratemodels/libormarketmodels/lmextlinexpvolmodel.hpp, ql/shortratemodels/libormarketmodels/lmfixedvolmodel.cpp, ql/shortratemodels/libormarketmodels/lmfixedvolmodel.hpp, ql/shortratemodels/libormarketmodels/lmlinexpcorrmodel.cpp, ql/shortratemodels/libormarketmodels/lmlinexpcorrmodel.hpp, ql/shortratemodels/libormarketmodels/lmlinexpvolmodel.cpp, ql/shortratemodels/libormarketmodels/lmlinexpvolmodel.hpp, ql/shortratemodels/libormarketmodels/lmvolmodel.cpp, ql/shortratemodels/libormarketmodels/lmvolmodel.hpp, ql/shortratemodels/makefile.mak, ql/shortratemodels/model.cpp, ql/shortratemodels/model.hpp, ql/shortratemodels/onefactormodel.cpp, ql/shortratemodels/onefactormodel.hpp, ql/shortratemodels/onefactormodels, ql/shortratemodels/onefactormodels/Makefile.am, ql/shortratemodels/onefactormodels/all.hpp, ql/shortratemodels/onefactormodels/blackkarasinski.cpp, ql/shortratemodels/onefactormodels/blackkarasinski.hpp, ql/shortratemodels/onefactormodels/coxingersollross.cpp, ql/shortratemodels/onefactormodels/coxingersollross.hpp, ql/shortratemodels/onefactormodels/extendedcoxingersollross.cpp, ql/shortratemodels/onefactormodels/extendedcoxingersollross.hpp, ql/shortratemodels/onefactormodels/hullwhite.cpp, ql/shortratemodels/onefactormodels/hullwhite.hpp, ql/shortratemodels/onefactormodels/vasicek.cpp, ql/shortratemodels/onefactormodels/vasicek.hpp, ql/shortratemodels/parameter.hpp, ql/shortratemodels/twofactormodel.cpp, ql/shortratemodels/twofactormodel.hpp, ql/shortratemodels/twofactormodels, ql/shortratemodels/twofactormodels/Makefile.am, ql/shortratemodels/twofactormodels/all.hpp, ql/shortratemodels/twofactormodels/batesmodel.cpp, ql/shortratemodels/twofactormodels/batesmodel.hpp, ql/shortratemodels/twofactormodels/g2.cpp, ql/shortratemodels/twofactormodels/g2.hpp, ql/shortratemodels/twofactormodels/hestonmodel.cpp, ql/shortratemodels/twofactormodels/hestonmodel.hpp, ql/solver1d.hpp, ql/solvers1d, ql/solvers1d/Makefile.am, ql/solvers1d/all.hpp, ql/solvers1d/newton.hpp, ql/stochasticprocess.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/termstructures, ql/termstructures/Makefile.am, ql/termstructures/all.hpp, ql/termstructures/bondhelpers.cpp, ql/termstructures/bondhelpers.hpp, ql/termstructures/bootstraptraits.hpp, ql/termstructures/compoundforward.cpp, ql/termstructures/compoundforward.hpp, ql/termstructures/discountcurve.hpp, ql/termstructures/drifttermstructure.hpp, ql/termstructures/extendeddiscountcurve.cpp, ql/termstructures/extendeddiscountcurve.hpp, ql/termstructures/flatforward.hpp, ql/termstructures/forwardcurve.hpp, ql/termstructures/forwardspreadedtermstructure.hpp, ql/termstructures/piecewiseflatforward.cpp, ql/termstructures/piecewiseflatforward.hpp, ql/termstructures/piecewiseyieldcurve.cpp, ql/termstructures/piecewiseyieldcurve.hpp, ql/termstructures/piecewisezerospreadedtermstructure.hpp, ql/termstructures/quantotermstructure.hpp, ql/termstructures/ratehelpers.cpp, ql/termstructures/ratehelpers.hpp, ql/termstructures/zerocurve.hpp, ql/termstructures/zerospreadedtermstructure.hpp, ql/timegrid.hpp, ql/timeseries.hpp, ql/timeunit.hpp, ql/utilities, ql/utilities/Makefile.am, ql/utilities/all.hpp, ql/utilities/dataformatters.cpp, ql/utilities/dataformatters.hpp, ql/utilities/dataparsers.cpp, ql/utilities/observablevalue.hpp, ql/utilities/tracing.cpp, ql/utilities/tracing.hpp, ql/volatilities, ql/volatilities/Makefile.am, ql/volatilities/abcd.cpp, ql/volatilities/abcd.hpp, ql/volatilities/all.hpp, ql/volatilities/blackconstantvol.hpp, ql/volatilities/blackvariancecurve.cpp, ql/volatilities/blackvariancecurve.hpp, ql/volatilities/blackvariancesurface.cpp, ql/volatilities/blackvariancesurface.hpp, ql/volatilities/capflatvolvector.hpp, ql/volatilities/capletconstantvol.hpp, ql/volatilities/capletvariancecurve.hpp, ql/volatilities/capletvolatilitiesstructures.cpp, ql/volatilities/capletvolatilitiesstructures.hpp, ql/volatilities/capstripper.cpp, ql/volatilities/capstripper.hpp, ql/volatilities/cmsmarket.cpp, ql/volatilities/cmsmarket.hpp, ql/volatilities/interpolatedsmilesection.hpp, ql/volatilities/localconstantvol.hpp, ql/volatilities/localvolcurve.hpp, ql/volatilities/localvolsurface.cpp, ql/volatilities/sabr.cpp, ql/volatilities/sabrinterpolatedsmilesection.cpp, ql/volatilities/sabrinterpolatedsmilesection.hpp, ql/volatilities/smilesection.cpp, ql/volatilities/smilesection.hpp, ql/volatilities/swaptionconstantvol.cpp, ql/volatilities/swaptionvolcube.cpp, ql/volatilities/swaptionvolcube.hpp, ql/volatilities/swaptionvolcube1.cpp, ql/volatilities/swaptionvolcube1.hpp, ql/volatilities/swaptionvolcube2.cpp, ql/volatilities/swaptionvolcube2.hpp, ql/volatilities/swaptionvoldiscrete.cpp, ql/volatilities/swaptionvolmatrix.cpp, ql/volatilities/swaptionvolmatrix.hpp, ql/volatilitymodels, ql/volatilitymodels/Makefile.am, ql/volatilitymodels/all.hpp, ql/volatilitymodels/constantestimator.cpp, ql/volatilitymodels/garch.cpp, ql/voltermstructure.hpp, ql/weekday.hpp, test-suite/americanoption.cpp, test-suite/array.cpp, test-suite/asianoptions.cpp, test-suite/assetswap.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/batesmodel.cpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/brownianbridge.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cliquetoption.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/covariance.cpp, test-suite/curvestates.cpp, test-suite/curvestates.hpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/exchangerate.cpp, test-suite/factorial.cpp, test-suite/fastfouriertransform.cpp, test-suite/forwardoption.cpp, test-suite/gaussianquadratures.cpp, test-suite/hestonmodel.cpp, test-suite/instruments.cpp, test-suite/integrals.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/linearleastsquaresregression.cpp, test-suite/lookbackoptions.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/matrices.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/mersennetwister.cpp, test-suite/money.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/rngtraits.cpp, test-suite/rounding.cpp, test-suite/sampledcurve.cpp, test-suite/shortratemodels.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/surface.cpp, test-suite/swap.cpp, test-suite/swapForwardMappings.cpp, test-suite/swapForwardMappings.hpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/termstructures.cpp, test-suite/tqreigendecomposition.cpp, test-suite/tracing.cpp, test-suite/transformedgrid.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp, test-suite/varianceswaps.cpp, test-suite/volatilitymodels.cpp: Changed folder names to lowercase in the source tree 2007-03-31 09:40 Luigi Ballabio * [r9925] ql/Calendars, ql/Calendars_, ql/CashFlows, ql/CashFlows_, ql/Currencies, ql/Currencies_, ql/DayCounters, ql/DayCounters_, ql/FiniteDifferences, ql/FiniteDifferences_, ql/Indexes, ql/Indexes_, ql/Instruments, ql/Instruments_, ql/Lattices, ql/Lattices_, ql/MarketModels, ql/MarketModels_, ql/MarketModels_/BrownianGenerators, ql/MarketModels_/CurveStates, ql/MarketModels_/DriftComputation, ql/MarketModels_/Evolvers, ql/MarketModels_/ExerciseStrategies, ql/MarketModels_/ExerciseValues, ql/MarketModels_/Models, ql/MarketModels_/Products, ql/MarketModels_BrownianGenerators_, ql/MarketModels_CurveStates_, ql/MarketModels_DriftComputation_, ql/MarketModels_Evolvers_, ql/MarketModels_ExerciseStrategies_, ql/MarketModels_ExerciseValues_, ql/MarketModels_Models_, ql/MarketModels_Products_, ql/MarketModels_Products_/MultiStep, ql/MarketModels_Products_/OneStep, ql/MarketModels_Products_MultiStep_, ql/MarketModels_Products_OneStep_, ql/Math, ql/Math_, ql/MonteCarlo, ql/MonteCarlo_, ql/Optimization, ql/Optimization_, ql/Patterns, ql/Patterns_, ql/Pricers, ql/Pricers_, ql/PricingEngines, ql/PricingEngines_, ql/PricingEngines_/Asian, ql/PricingEngines_/Barrier, ql/PricingEngines_/Basket, ql/PricingEngines_/CapFloor, ql/PricingEngines_/Cliquet, ql/PricingEngines_/Forward, ql/PricingEngines_/Hybrid, ql/PricingEngines_/Lookback, ql/PricingEngines_/Quanto, ql/PricingEngines_/Swaption, ql/PricingEngines_/Vanilla, ql/PricingEngines_Asian_, ql/PricingEngines_Barrier_, ql/PricingEngines_Basket_, ql/PricingEngines_CapFloor_, ql/PricingEngines_Cliquet_, ql/PricingEngines_Forward_, ql/PricingEngines_Hybrid_, ql/PricingEngines_Lookback_, ql/PricingEngines_Quanto_, ql/PricingEngines_Swaption_, ql/PricingEngines_Vanilla_, ql/Processes, ql/Processes_, ql/Quotes, ql/Quotes_, ql/RandomNumbers, ql/RandomNumbers_, ql/ShortRateModels, ql/ShortRateModels_, ql/ShortRateModels_/CalibrationHelpers, ql/ShortRateModels_/LiborMarketModels, ql/ShortRateModels_/OneFactorModels, ql/ShortRateModels_/TwoFactorModels, ql/ShortRateModels_CalibrationHelpers_, ql/ShortRateModels_LiborMarketModels_, ql/ShortRateModels_OneFactorModels_, ql/ShortRateModels_TwoFactorModels_, ql/Solvers1D, ql/Solvers1D_, ql/TermStructures, ql/TermStructures_, ql/Utilities, ql/Utilities_, ql/Volatilities, ql/Volatilities_, ql/VolatilityModels, ql/VolatilityModels_: Intermediate step for changing source folders to lowercase. 2007-03-30 19:38 Luigi Ballabio * [r9924] .cvsignore, Docs/.cvsignore, Docs/Examples/.cvsignore, Docs/images/.cvsignore, Docs/pages/.cvsignore, Examples/.cvsignore, Examples/BermudanSwaption/.cvsignore, Examples/ConvertibleBonds/.cvsignore, Examples/DiscreteHedging/.cvsignore, Examples/EquityOption/.cvsignore, Examples/FRA/.cvsignore, Examples/Replication/.cvsignore, Examples/Repo/.cvsignore, Examples/Swap/.cvsignore, config/.cvsignore, man/.cvsignore, ql/.cvsignore, ql/Calendars/.cvsignore, ql/CashFlows/.cvsignore, ql/Currencies/.cvsignore, ql/DayCounters/.cvsignore, ql/FiniteDifferences/.cvsignore, ql/Indexes/.cvsignore, ql/Instruments/.cvsignore, ql/Lattices/.cvsignore, ql/MarketModels/.cvsignore, ql/MarketModels/BrownianGenerators/.cvsignore, ql/MarketModels/CurveStates/.cvsignore, ql/MarketModels/DriftComputation/.cvsignore, ql/MarketModels/Evolvers/.cvsignore, ql/MarketModels/ExerciseStrategies/.cvsignore, ql/MarketModels/ExerciseValues/.cvsignore, ql/MarketModels/Models/.cvsignore, ql/MarketModels/Products/.cvsignore, ql/MarketModels/Products/MultiStep/.cvsignore, ql/MarketModels/Products/OneStep/.cvsignore, ql/Math/.cvsignore, ql/MonteCarlo/.cvsignore, ql/Optimization/.cvsignore, ql/Patterns/.cvsignore, ql/Pricers/.cvsignore, ql/PricingEngines/.cvsignore, ql/PricingEngines/Asian/.cvsignore, ql/PricingEngines/Barrier/.cvsignore, ql/PricingEngines/Basket/.cvsignore, ql/PricingEngines/CapFloor/.cvsignore, ql/PricingEngines/Cliquet/.cvsignore, ql/PricingEngines/Forward/.cvsignore, ql/PricingEngines/Hybrid/.cvsignore, ql/PricingEngines/Lookback/.cvsignore, ql/PricingEngines/Quanto/.cvsignore, ql/PricingEngines/Swaption/.cvsignore, ql/PricingEngines/Vanilla/.cvsignore, ql/Processes/.cvsignore, ql/Quotes/.cvsignore, ql/RandomNumbers/.cvsignore, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/LiborMarketModels/.cvsignore, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/Solvers1D/.cvsignore, ql/TermStructures/.cvsignore, ql/Utilities/.cvsignore, ql/Volatilities/.cvsignore, ql/VolatilityModels/.cvsignore, test-suite/.cvsignore, test-suite/bin/.cvsignore: Removed obsolete .cvsignore files 2007-03-30 08:22 fdv1 * [r9913] QuantLib_vc8.vcproj: GaussianOrthogonalPolynomial classes moved to integrals filter 2007-03-29 16:42 Marco Bianchetti * [r9902] ql/Instruments/stickyratchet.hpp: changed from spread to real type 2007-03-29 15:59 Luigi Ballabio * [r9899] ql/PricingEngines/Makefile.am, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/blackmodel.cpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/calibrationhelper.hpp: Removed empty files 2007-03-29 15:57 Luigi Ballabio * [r9898] ql/Volatilities/sabrinterpolatedsmilesection.hpp: Fix for gcc 2007-03-29 15:18 Ferdinando Ametrano * [r9896] ql/Volatilities/Makefile.am, ql/Volatilities/makefile.mak: *** empty log message *** 2007-03-29 15:16 Ferdinando Ametrano * [r9895] QuantLib_vc8.vcproj, ql/Volatilities/sabrinterpolatedsmilesection.cpp, ql/Volatilities/sabrinterpolatedsmilesection.hpp: (excessive) lazyness bug fixed 2007-03-29 13:13 fdv1 * [r9891] ql/Instruments/makecms.hpp, ql/Volatilities/cmsmarket.cpp: uneeded inclusion removed 2007-03-29 10:10 Chiara Fornarola * [r9883] ql/CashFlows/cashflowvectors.cpp: added comment for future improvements 2007-03-29 10:10 Chiara Fornarola * [r9882] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, test-suite/assetswap.cpp: fixed bug: payments on non-business days 2007-03-29 09:52 Luigi Ballabio * [r9881] Examples/BermudanSwaption/BermudanSwaption.cpp: Fix for new EndCriteria interface 2007-03-29 09:52 Luigi Ballabio * [r9880] ql/CashFlows/conundrumpricer.cpp, ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/MonteCarlo/genericparametricearlyexercise.cpp, ql/Optimization/endcriteria.cpp, ql/Optimization/leastsquare.hpp, ql/Volatilities/abcd.hpp, ql/Volatilities/capletvolatilitiesstructures.hpp, test-suite/curvestates.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: Avoided warnings 2007-03-29 09:51 Luigi Ballabio * [r9879] test-suite/Makefile.am: Added new files to Makefile 2007-03-29 08:20 Ferdinando Ametrano * [r9876] ql/Math/kronrodintegral.hpp: *** empty log message *** 2007-03-29 07:46 Chiara Fornarola * [r9874] test-suite/assetswap.cpp, test-suite/assetswap.hpp: added assetswap.c[h]pp to the test suite 2007-03-28 20:05 Eric Ehlers * [r9873] makefile.mak: decrement version number 2007-03-28 17:23 fdv1 * [r9870] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: computation of initial guess for shift improved 2007-03-28 16:37 Marco Bianchetti * [r9868] QuantLib.vcproj, ql/Math/abcdinterpolation.hpp, ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/Optimization/armijo.cpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/endcriteria.cpp, ql/Optimization/endcriteria.hpp, ql/Optimization/leastsquare.cpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/method.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Volatilities/abcd.cpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp, test-suite/shortratemodels.cpp: Optimization EndCriteria refactory 2007-03-28 16:25 Chiara Fornarola * [r9866] test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: added assetswap.c[h]pp to the test suite testImpliedValue added in order to check that bond theo clean price = asset swap fair price when the asset swap has spread equal to zero further tests to be added 2007-03-28 07:51 Luigi Ballabio * [r9856] Docs/Makefile.am, Docs/quantlib.css, Docs/quantlibheaderonline.html: Added search box to online docs 2007-03-28 07:46 Luigi Ballabio * [r9855] ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/digitalcoupon.hpp, ql/CashFlows/iborcoupon.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/cmsratebond.hpp, ql/Instruments/fixedratebond.hpp, ql/Instruments/fixedratebondforward.hpp, ql/Instruments/floatingratebond.hpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp, ql/Optimization/endcriteria.hpp: Documentation fixes 2007-03-27 16:27 fdv1 * [r9850] test-suite/capstripper.hpp: unimplemented functions declarations removed 2007-03-27 11:40 fdv1 * [r9847] ql/Math/kronrodintegral.cpp, ql/Math/kronrodintegral.hpp: more comments added 2007-03-27 03:37 markjoshi * [r9844] ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp: added code for tree with third order convergence 2007-03-26 16:43 Ferdinando Ametrano * [r9839] ql/Optimization/levenbergmarquardt.cpp: avoided useless variable 2007-03-26 16:18 Luigi Ballabio * [r9838] ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice1d.hpp, ql/Lattices/lattice2d.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/discretizedasset.hpp, ql/numericalmethod.hpp: Renamed too generic NumericalMethod to lattice 2007-03-26 15:13 Luigi Ballabio * [r9833] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Repo/Repo.cpp: Avoided removed features 2007-03-26 12:04 Luigi Ballabio * [r9829] Examples/BermudanSwaption/BermudanSwaption.dev, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev, Examples/Replication/Replication.dev, Examples/Repo/Repo.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Changed version number 2007-03-26 10:41 Luigi Ballabio * [r9828] ql/Math/Makefile.am, ql/Math/kronrodintegral.cpp: Fixes for gcc 2007-03-25 09:43 Klaus Spanderen * [r9824] test-suite/quantlibbenchmark.cpp: added few new example results 2007-03-23 21:13 Klaus Spanderen * [r9823] ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: more consistent use of the HestonProcess within the HestonModel. 2007-03-23 17:10 fdv1 * [r9819] QuantLib_vc8.vcproj: Gauss-Kronrod cpp file added to the vc8 project ... 2007-03-23 16:38 fdv1 * [r9816] ql/Math/kronrodintegral.cpp, ql/Math/kronrodintegral.hpp: The actual Gauss-Kronrod Integration method is available now :-) 2007-03-22 11:10 Luigi Ballabio * [r9800] ql/Makefile.am: Fixed wrong fix for symbolic link to installed static library 2007-03-21 18:26 Ferdinando Ametrano * [r9795] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Optimization/method.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: 1) performance methods renamed into elapsed 2) elapsed is always returning Real 3) secondsToString function provided 2007-03-21 17:01 Luigi Ballabio * [r9790] ql/period.hpp: Another try at a generic fix for the Integer/Natural/Whatever problem 2007-03-21 12:16 Luigi Ballabio * [r9787] ql/Makefile.am: Fixed symbolic link to installed static library 2007-03-20 10:20 Ferdinando Ametrano * [r9772] ql/Optimization/method.hpp: *** empty log message *** 2007-03-20 10:20 Ferdinando Ametrano * [r9771] ql/Math/pseudosqrt.cpp: using close for floating comparison 2007-03-20 08:59 Luigi Ballabio * [r9767] ql/CashFlows/conundrumpricer.cpp: *** empty log message *** 2007-03-20 08:01 Giorgio Facchinetti * [r9766] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: *** empty log message *** 2007-03-20 07:50 Giorgio Facchinetti * [r9765] ql/CashFlows/digitalcoupon.cpp, ql/CashFlows/digitalcoupon.hpp: bug fixed 2007-03-19 14:04 Luigi Ballabio * [r9756] ql/Instruments/stickyratchet.cpp: Fixed check and warning 2007-03-18 18:25 Klaus Spanderen * [r9746] ql/Math/sequencestatistics.hpp: added a default constructor to enable usage as a Statistics within a McSimulation 2007-03-18 18:22 Klaus Spanderen * [r9745] ql/PricingEngines/Vanilla/mcvanillaengine.hpp: extra consistent checks for control variate engine 2007-03-18 13:10 Eric Ehlers * [r9743] ql/Instruments/Makefile.am, ql/Instruments/stickyratchet.cpp: linux catching up 2007-03-17 05:18 Joseph Wang * [r9742] ql/period.hpp: changed the calling arguments to operator * so that there is one call to integer * Period and one call to unsigned * Period. This removes the call to size_t. Hopefully, this will compile on all compilers. Let me know if it doesn't. 2007-03-16 15:21 Giorgio Facchinetti * [r9741] ql/Volatilities/cmsmarket.cpp: minor change 2007-03-16 12:59 Giorgio Facchinetti * [r9736] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2007-03-16 10:00 Giorgio Facchinetti * [r9734] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2007-03-16 08:16 Marco Bianchetti * [r9732] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: made pure virtual values method in costfunction class implemented in cmsmarket costfunction 2007-03-16 04:13 Joseph Wang * [r9731] ql/Volatilities/cmsmarket.hpp: add non-implemented tag to method needed for compile 2007-03-15 17:14 Giorgio Facchinetti * [r9729] ql/Optimization/conjugategradient.cpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/method.hpp, ql/Optimization/simplex.cpp, ql/Optimization/steepestdescent.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: Added performance method to OptimizationMethod classes 2007-03-15 16:55 Marco Bianchetti * [r9728] ql/Math/pseudosqrt.cpp, ql/MonteCarlo/genericparametricearlyexercise.cpp, ql/Optimization/costfunction.hpp, ql/Optimization/leastsquare.hpp, ql/Volatilities/abcd.hpp: made pure virtual values method in costfunction class implemented in cmsmarket costfunction 2007-03-15 16:04 Marco Bianchetti * [r9723] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp: implemented endCriteria 2007-03-15 12:38 Marco Bianchetti * [r9719] ql/Optimization/endcriteria.cpp, ql/Optimization/endcriteria.hpp: some comments and minor reformatting 2007-03-15 12:37 Marco Bianchetti * [r9718] ql/Math/sabrinterpolation.hpp, ql/Optimization/costfunction.hpp: bug fixed 2007-03-15 12:05 Giorgio Facchinetti * [r9717] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2007-03-14 19:06 Marco Bianchetti * [r9710] ql/Math/sabrinterpolation.hpp: Levenberg Marquardt can be used now ! 2007-03-14 16:00 Giorgio Facchinetti * [r9698] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2007-03-14 14:57 Marco Bianchetti * [r9679] ql/Optimization/levenbergmarquardt.cpp: updated comments 2007-03-14 12:54 Marco Bianchetti * [r9673] test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp, test-suite/shortratemodels.cpp: removing default parameters 2007-03-14 12:24 Marco Bianchetti * [r9672] ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.cpp, ql/Optimization/constraint.hpp, ql/Optimization/endcriteria.cpp, ql/Optimization/endcriteria.hpp, ql/Optimization/leastsquare.cpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.cpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Volatilities/abcd.cpp: removing default parameters 2007-03-14 12:18 Marco Bianchetti * [r9671] QuantLib.vcproj: VC7 catching up 2007-03-14 11:40 Giorgio Facchinetti * [r9670] ql/CashFlows/conundrumpricer.cpp: *** empty log message *** 2007-03-14 10:41 Giorgio Facchinetti * [r9666] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: *** empty log message *** 2007-03-13 22:15 Joseph Wang * [r9664] ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp: major refactoring of basket engines 2007-03-13 09:52 Luigi Ballabio * [r9641] test-suite/capfloor.cpp: Using old dates for comparison 2007-03-12 19:18 Ferdinando Ametrano * [r9632] QuantLib.vcproj, QuantLib_vc8.vcproj: VC catching up 2007-03-12 16:44 Luigi Ballabio * [r9622] ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/CapFloor/marketmodelcapfloorengine.cpp, ql/PricingEngines/CapFloor/marketmodelcapfloorengine.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp: Added draft market-model cap/floor engine (needs work) 2007-03-12 16:31 Luigi Ballabio * [r9621] ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/coterminaltoforwardadapter.cpp, ql/MarketModels/Models/coterminaltoforwardadapter.hpp, ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/MarketModels/Models/forwardtocoterminaladapter.cpp, ql/MarketModels/Models/forwardtocoterminaladapter.hpp, ql/MarketModels/marketmodel.hpp: Added market-model factories 2007-03-12 15:56 Luigi Ballabio * [r9618] ql/MarketModels/Evolvers/all.hpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp: Forward declaration of T is not enough to declare std::vector 2007-03-12 13:39 Giorgio Facchinetti * [r9616] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: bug fixed 2007-03-12 13:22 Ferdinando Ametrano * [r9615] QuantLib.vcproj: VC7 catching up 2007-03-12 09:24 Luigi Ballabio * [r9613] ql/Volatilities/cmsmarket.cpp: Fixed initialization order 2007-03-12 09:19 fdv1 * [r9612] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Math/kronrodintegral.hpp: compilation errror fix 2007-03-11 14:16 Klaus Spanderen * [r9611] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/couponpricer.cpp, ql/CashFlows/floatingratecoupon.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/iborcoupon.hpp, ql/Indexes/interestrateindex.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: removed includes to reduce compile time and dependencies 2007-03-11 07:23 Joseph Wang * [r9610] ql/Instruments/multiassetoption.cpp: need to register as observer 2007-03-09 16:17 fdv1 * [r9607] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2007-03-08 23:46 Joseph Wang * [r9594] ql/Instruments/bond.hpp: include yieldtermstructure in order to pull in observable definition 2007-03-08 23:36 Joseph Wang * [r9593] ql/Indexes/iborindex.hpp: need to include superclass so that handle knows that yieldtermstructure is an observable 2007-03-08 18:13 Ferdinando Ametrano * [r9589] ql/Makefile.am, ql/makefile.mak: BusinessDayConvention in its own file 2007-03-08 18:06 Ferdinando Ametrano * [r9586] ql/businessdayconvention.cpp, ql/businessdayconvention.hpp: 1) BusinessDayConvention in its own file 2) more forward declarations 2007-03-08 18:05 Ferdinando Ametrano * [r9585] QuantLib_vc8.vcproj, ql/CashFlows/analysis.hpp, ql/CashFlows/coupon.hpp, ql/Indexes/iborindex.cpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/fixedratebondforward.cpp, ql/Instruments/forward.cpp, ql/Instruments/forward.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Lattices/tflattice.hpp, ql/ShortRateModels/LiborMarketModels/lmcorrmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmvolmodel.hpp, ql/ShortRateModels/parameter.hpp, ql/Volatilities/capstripper.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/index.hpp: *** empty log message *** 2007-03-08 11:45 Luigi Ballabio * [r9575] Docs/Makefile.am, Docs/makefile.mak, Docs/pages/faq.docs, Docs/pages/history.docs, Docs/qlintro.tex, Docs/quantlibheader.html, Docs/quantlibheaderonline.html: Removed FAQ from reference manual (it is now one of the main pages) 2007-03-08 09:52 fdv1 * [r9573] ql/period.hpp: msvc compilation error fix ->roll back of last J Wang commit: fix so that code is ISO compliant 2007-03-07 22:38 Joseph Wang * [r9568] ql/period.hpp: fix so that code is ISO compliant 2007-03-07 16:14 Ferdinando Ametrano * [r9563] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp: bug fix 2007-03-07 10:44 Ferdinando Ametrano * [r9551] ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/iborcoupon.cpp, ql/CashFlows/iborcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/iborindex.cpp, ql/Indexes/iborindex.hpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/usdlibor.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/cmsratebond.cpp, ql/Instruments/cmsratebond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/fixedratebond.cpp, ql/Instruments/fixedratebond.hpp, ql/Instruments/fixedratebondforward.cpp, ql/Instruments/fixedratebondforward.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/forward.cpp, ql/Instruments/forward.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/swaptionconstantvol.cpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvoldiscrete.cpp, ql/Volatilities/swaptionvoldiscrete.hpp, ql/capvolstructures.hpp, ql/swaptionvolstructure.cpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/termstructures.cpp: using Natural instead of Integer (and reserving Size of container indexes) 2007-03-07 05:37 Joseph Wang * [r9545] ql/Instruments/basketoption.hpp: some STL refactorings for basket options 2007-03-07 05:03 Joseph Wang * [r9544] ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp: major refactoring of basket option code to allow for basket options other than min/max 2007-03-06 17:44 Luigi Ballabio * [r9539] ql/Makefile.am, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-03-06 16:25 Ferdinando Ametrano * [r9534] ql/Makefile.am: catching up 2007-03-06 16:17 Ferdinando Ametrano * [r9533] QuantLib_vc8.vcproj: *** empty log message *** 2007-03-06 14:49 Ferdinando Ametrano * [r9531] QuantLib.vcproj: VC7 catching up 2007-03-06 14:47 Ferdinando Ametrano * [r9530] QuantLib.vcproj: VC7 catching up 2007-03-06 13:54 Ferdinando Ametrano * [r9528] QuantLib.vcproj: Weekday enumeration in its own file 2007-03-06 13:46 Ferdinando Ametrano * [r9527] QuantLib_vc8.vcproj, ql/date.cpp, ql/date.hpp: Weekday enumeration in its own file 2007-03-06 11:11 Ferdinando Ametrano * [r9517] ql/weekday.cpp, ql/weekday.hpp: *** empty log message *** 2007-03-06 10:15 Marco Bianchetti * [r9513] ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp: Updated comments 2007-03-06 10:07 Luigi Ballabio * [r9512] ql/CashFlows/couponpricer.cpp, ql/Instruments/bond.cpp, ql/Instruments/convertiblebond.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, ql/Optimization/levenbergmarquardt.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/calendar.cpp, ql/calendar.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smmcapletcalibration.cpp: Removed a few warnings 2007-03-06 10:07 Luigi Ballabio * [r9511] ql/Indexes/interestrateindex.cpp: bug fix 2007-03-05 23:32 Joseph Wang * [r9509] ql/Makefile.am: more compile fixes 2007-03-05 23:22 Joseph Wang * [r9508] ql/Makefile.am, ql/Volatilities/Makefile.am: add new files 2007-03-05 19:07 Klaus Spanderen * [r9507] ql/Math/array.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/mcsimulation.hpp: more consistent use of result_type in MCSimulation and MCVanillaEngine 2007-03-05 18:13 Ferdinando Ametrano * [r9506] test-suite/testsuite_vc8.vcproj: disabling Browse information 2007-03-05 18:01 Ferdinando Ametrano * [r9504] ql/calendar.hpp: *** empty log message *** 2007-03-05 17:52 Ferdinando Ametrano * [r9503] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/calendar.hpp: *** empty log message *** 2007-03-05 17:43 Ferdinando Ametrano * [r9502] ql/frequency.cpp, ql/frequency.hpp, ql/period.cpp, ql/period.hpp, ql/timeunit.hpp: moving Frequency and TimeUnit enumerations in their own file 2007-03-05 17:37 Ferdinando Ametrano * [r9501] QuantLib.vcproj, QuantLib_vc8.vcproj: *** empty log message *** 2007-03-05 17:03 Ferdinando Ametrano * [r9500] ql/Instruments/forwardrateagreement.cpp: fix 2007-03-05 17:01 Ferdinando Ametrano * [r9499] ql/Volatilities/swaptionconstantvol.cpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvoldiscrete.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.cpp, ql/swaptionvolstructure.hpp: const Period& maxSwapTenor() instead of Period maxSwapTenor() 2007-03-05 16:47 Ferdinando Ametrano * [r9498] ql/date.hpp: moving Day and Year typedefs into types.hpp 2007-03-05 16:45 Ferdinando Ametrano * [r9497] ql/date.hpp, ql/types.hpp: moving Day and Year typedefs into types.hpp 2007-03-05 16:43 Ferdinando Ametrano * [r9496] ql/Indexes/interestrateindex.hpp, ql/daycounter.hpp, ql/exercise.cpp: *** empty log message *** 2007-03-05 16:32 Ferdinando Ametrano * [r9495] ql/calendar.cpp, ql/calendar.hpp: *** empty log message *** 2007-03-05 16:32 Ferdinando Ametrano * [r9494] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2007-03-05 16:05 Ferdinando Ametrano * [r9493] ql/Calendars/brazil.cpp, ql/Calendars/germany.cpp, ql/Calendars/italy.cpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/unitedkingdom.cpp, ql/Calendars/unitedstates.cpp, ql/CashFlows/timebasket.cpp, ql/Utilities/dataparsers.cpp, ql/VolatilityModels/garch.cpp, ql/prices.cpp, ql/schedule.hpp, test-suite/batesmodel.cpp, test-suite/calendars.cpp, test-suite/cliquetoption.cpp, test-suite/daycounters.cpp, test-suite/hestonmodel.cpp: *** empty log message *** 2007-03-05 14:49 Ferdinando Ametrano * [r9489] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/floatingratecoupon.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/iborcoupon.cpp, ql/CashFlows/iborcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/iborindex.cpp, ql/Indexes/iborindex.hpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/usdlibor.hpp, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp, ql/Instruments/cmsratebond.cpp, ql/Instruments/cmsratebond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/fixedratebond.cpp, ql/Instruments/fixedratebond.hpp, ql/Instruments/fixedratebondforward.cpp, ql/Instruments/fixedratebondforward.hpp, ql/Instruments/floatingcouponbond.cpp, ql/Instruments/floatingcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/forward.cpp, ql/Instruments/forward.hpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/makecms.cpp, ql/Instruments/makefile.mak, ql/Instruments/makevanillaswap.cpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/Lattices/tflattice.hpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/capstripper.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvoldiscrete.cpp, ql/Volatilities/swaptionvoldiscrete.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/period.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: 1) refactored bond (schedule as input oparameter, renamed classes, etc.) 2) adopted Size type (instead of Integer) for settlement/fixing days 2007-03-05 13:55 Klaus Spanderen * [r9487] ql/Processes/stochasticprocessarray.cpp, ql/Processes/stochasticprocessarray.hpp: delegate evolve to underlying processess 2007-03-05 13:51 Klaus Spanderen * [r9486] ql/PricingEngines/Basket/mcbasketengine.hpp: additional include 2007-03-05 13:39 Klaus Spanderen * [r9485] ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.hpp: support factors < size using rankReducedSqrt 2007-03-05 13:32 Klaus Spanderen * [r9484] ql/MonteCarlo/multipathgenerator.hpp: removed useless include 2007-03-05 10:23 Luigi Ballabio * [r9480] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2007-03-05 10:17 fdv1 * [r9478] test-suite/testsuite.vcproj: swapForwardMappings files added to VC7 project 2007-03-05 10:13 fdv1 * [r9477] test-suite/swapForwardMappings.cpp, test-suite/swapForwardMappings.hpp: properly name formatted files readded, sorrry for the inconvenience folks ;-) 2007-03-05 10:10 fdv1 * [r9475] test-suite/SwapForwardMappings.cpp, test-suite/SwapForwardMappings.hpp, test-suite/testsuite_vc8.vcproj: First capital letter removed from files names 2007-03-02 20:36 Ferdinando Ametrano * [r9472] ql/Instruments/assetswap.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/makecms.cpp, ql/Instruments/vanillaswap.cpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/cms.cpp, test-suite/convertiblebonds.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swap.cpp: *** empty log message *** 2007-03-02 20:17 Ferdinando Ametrano * [r9471] ql/CashFlows/couponpricer.cpp, ql/CashFlows/couponpricer.hpp: usig forward declarations 2007-03-02 20:04 Ferdinando Ametrano * [r9470] ql/Instruments/convertiblebond.cpp: avoiding test-suite runtime crash. Girogio: please look into it!! 2007-03-02 19:55 Ferdinando Ametrano * [r9469] test-suite/bonds.cpp, test-suite/convertiblebonds.cpp: *** empty log message *** 2007-03-02 19:43 Ferdinando Ametrano * [r9468] ql/TermStructures/piecewiseyieldcurve.hpp: *** empty log message *** 2007-03-02 19:31 Ferdinando Ametrano * [r9467] ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/forward.cpp, ql/Instruments/forward.hpp: *** empty log message *** 2007-03-02 19:30 Ferdinando Ametrano * [r9466] ql/Volatilities/cmsmarket.cpp, test-suite/bermudanswaption.cpp, test-suite/swaption.cpp: using Leg typedef 2007-03-02 19:24 Ferdinando Ametrano * [r9465] ql/CashFlows/core.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp: *** empty log message *** 2007-03-02 16:46 Giorgio Facchinetti * [r9464] ql/Instruments/convertiblebond.cpp: *** empty log message *** 2007-03-02 16:11 Ferdinando Ametrano * [r9463] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: removing deprecated code 2007-03-02 15:49 Luigi Ballabio * [r9461] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/core.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/CapFloor/mchullwhiteengine.hpp, ql/PricingEngines/Forward/mcvarianceswapengine.hpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/mclongstaffschwartzengine.hpp, ql/PricingEngines/mcsimulation.hpp, test-suite/mclongstaffschwartzengine.cpp: Used template template classes to further decouple MC and RNG traits 2007-03-02 15:31 Luigi Ballabio * [r9460] ql/Instruments/Makefile.am: *** empty log message *** 2007-03-02 14:10 Cristina Duminuco * [r9459] ql/CashFlows/cashflowvectors.cpp: new template functions: FloatingLeg(...) and FloatingZeroLeg(...). IborLeg(...) and CmsLeg(...), IborZeroLeg(...) and CmsZeroLeg(...) instatiate the function template. 2007-03-02 11:18 Giorgio Facchinetti * [r9457] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp, ql/Instruments/floatingcouponbond.cpp, ql/Instruments/floatingcouponbond.hpp, test-suite/bonds.cpp, test-suite/convertiblebonds.cpp: pricer is not in the Bond constructors 2007-03-02 11:03 Ferdinando Ametrano * [r9456] QuantLib_vc8.vcproj, ql/Instruments/all.hpp, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp, ql/Instruments/floatingcouponbond.cpp, ql/Instruments/floatingcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, test-suite/bonds.cpp, test-suite/convertiblebonds.cpp: introduced FloatingCouponBond. removed FloatingRateBond and CappedFlooredFlatingBond 2007-03-02 10:38 Giorgio Facchinetti * [r9454] ql/CashFlows/couponpricer.cpp, ql/CashFlows/couponpricer.hpp: *** empty log message *** 2007-03-02 09:31 Ferdinando Ametrano * [r9449] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, test-suite/swap.cpp: first pass at leg functions' refactoring. work in progress 2007-03-01 19:52 Ferdinando Ametrano * [r9448] QuantLib_vc8.vcproj, ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/CashFlows/cashflowvectors.cpp: *** empty log message *** 2007-03-01 19:14 Ferdinando Ametrano * [r9447] ql/CashFlows/couponpricer.cpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365fixed.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/business252.hpp, ql/DayCounters/one.hpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.hpp, ql/daycounter.hpp: code formatting 2007-03-01 16:22 Ferdinando Ametrano * [r9444] ql/Instruments/assetswap.cpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp: copyright attributions 2007-03-01 16:11 Cristina Duminuco * [r9443] ql/CashFlows/cashflowvectors.cpp: minor changes in CmsLeg code 2007-03-01 16:01 Chiara Fornarola * [r9442] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp: code formatting 2007-03-01 15:53 Chiara Fornarola * [r9440] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp: bug fix 2007-03-01 15:53 Chiara Fornarola * [r9439] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.hpp, ql/Instruments/swap.hpp: code formatting 2007-03-01 15:49 Chiara Fornarola * [r9438] ql/CashFlows/cashflowvectors.cpp: bug fix (the whole file is to be reviewed) 2007-03-01 15:47 Giorgio Facchinetti * [r9437] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp: setPricer method for Bond 2007-03-01 15:11 Giorgio Facchinetti * [r9435] ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: cmsmarket observability 2007-03-01 14:58 Luigi Ballabio * [r9432] ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, test-suite/bonds.cpp: Floating-rate bond resurrected (although just forwarding to the newly introduced capped-floored bond.) The plain-vanilla flavor is common enough that new users should be able to find it with its common name instead of having to research and find out that it is a specialized case of the more generic capped-floored one. 2007-03-01 14:04 Luigi Ballabio * [r9429] ql/Instruments/cappedflooredcouponbond.cpp: *** empty log message *** 2007-03-01 12:37 Luigi Ballabio * [r9425] ql/CashFlows/digitalcoupon.cpp: Initialization is now in the correct order. Come on, folks, it's not that hard. 2007-03-01 04:25 Joseph Wang * [r9413] ql/Calendars/hongkong.cpp: fix typo Chinese new year is in februrary 2007-02-28 19:14 fdv1 * [r9410] ql/MarketModels/Models/coterminaltoforwardadapter.cpp: bug fixed 2007-02-28 19:14 fdv1 * [r9409] test-suite/SwapForwardMappings.cpp, test-suite/SwapForwardMappings.hpp, test-suite/testsuite_vc8.vcproj: SwapForwardmappings Test added but not successfully passed yet 2007-02-28 16:28 Joseph Wang * [r9405] ql/Instruments/Makefile.am: fix type should be .cpp instead of .hpp 2007-02-28 16:24 Joseph Wang * [r9404] ql/Instruments/Makefile.am: add new file 2007-02-28 13:52 Cristina Duminuco * [r9391] ql/CashFlows/capflooredcoupon.cpp: removed require conditions on positive cap/floor rates 2007-02-28 11:54 Ferdinando Ametrano * [r9388] ql/Instruments/assetswap.cpp: bug fix 2007-02-28 11:36 Cristina Duminuco * [r9385] ql/CashFlows/couponpricer.cpp, ql/CashFlows/couponpricer.hpp: added visitor to Coupon 2007-02-27 19:17 Chiara Fornarola * [r9367] QuantLib_vc8.vcproj, ql/CashFlows/analysis.hpp, ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/cashflowvectors.cpp, ql/Instruments/all.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/swap.cpp, ql/Instruments/zerocouponbond.cpp, test-suite/bonds.cpp, test-suite/convertiblebonds.cpp: refactored couponvectors and bonds 2007-02-27 13:59 Giorgio Facchinetti * [r9355] ql/CashFlows/analysis.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/couponpricer.cpp, ql/CashFlows/couponpricer.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/makecms.cpp, ql/Instruments/vanillaswap.cpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/cms.cpp, test-suite/swap.cpp: setPricer method for Legs 2007-02-27 09:46 Ferdinando Ametrano * [r9350] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2007-02-27 09:41 Ferdinando Ametrano * [r9349] ql/RandomNumbers/sobolrsg.hpp: comment fixed 2007-02-23 14:36 Luigi Ballabio * [r9315] ql/CashFlows/Makefile.am, ql/CashFlows/all.hpp: *** empty log message *** 2007-02-23 14:05 Giorgio Facchinetti * [r9313] ql/CashFlows/capflooredcoupon.hpp: *** empty log message *** 2007-02-23 14:05 Giorgio Facchinetti * [r9312] ql/CashFlows/digitalcoupon.cpp, ql/CashFlows/digitalcoupon.hpp: preliminary version of digital coupon - work in progress 2007-02-23 10:43 Luigi Ballabio * [r9310] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/couponpricer.cpp, ql/CashFlows/iborcoupon.cpp, ql/Indexes/iborindex.hpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Instruments/bond.hpp, ql/Instruments/forward.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/varianceswap.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/Processes/merton76process.cpp, ql/Processes/merton76process.hpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/handle.hpp, test-suite/libormarketmodel.cpp, test-suite/mclongstaffschwartzengine.cpp: It is now safe to return handles from inspectors 2007-02-22 13:32 Luigi Ballabio * [r9283] ql/Volatilities/swaptionvolcube.cpp, test-suite/cms.cpp, test-suite/swaptionvolatilitymatrix.cpp: Removed unneeded accesses to current link 2007-02-22 11:00 Luigi Ballabio * [r9277] ql/CashFlows/cashflowvectors.cpp: Removed a few unnecessary dynamic casts 2007-02-22 10:30 Luigi Ballabio * [r9276] test-suite/interpolations.cpp: Slightly increased tolerance 2007-02-22 09:59 Cristina Duminuco * [r9274] ql/CashFlows/cashflowvectors.cpp: possible fixed rate coupons constructed in IborLeg and CmsLeg have as fixed rate the effective rate calculated as min(cap,max(floor,spread)) 2007-02-22 09:56 Cristina Duminuco * [r9273] test-suite/capflooredcoupon.cpp: removed condition forcing error message 2007-02-22 09:04 Cristina Duminuco * [r9271] ql/CashFlows/cashflowvectors.cpp: IborLeg modified in order to work correctly with vector of cap/floor rates in case of convesion to fixed rate coupon 2007-02-21 17:14 Luigi Ballabio * [r9257] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/FRA/FRA.cpp, Examples/Repo/Repo.cpp, Examples/Swap/swapvaluation.cpp, ql/Instruments/oneassetoption.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/Processes/blackscholesprocess.hpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/swaptionconstantvol.hpp, ql/handle.hpp, test-suite/bermudanswaption.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/instruments.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/marketmodel_smm.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quotes.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/termstructures.cpp: - vanilla Handle cannot be relinked. This prevents one from getting hold of a handle and relinking it without knowing whether or not others are observing it. - RelinkableHandle is provided for handles that one actually wants to relink. 2007-02-21 14:35 Ferdinando Ametrano * [r9253] test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-02-21 14:33 Giorgio Facchinetti * [r9252] test-suite/interpolations.cpp, test-suite/interpolations.hpp: Added testSabrInterpolation 2007-02-21 12:16 Cristina Duminuco * [r9249] ql/CashFlows/cashflowvectors.cpp: IborLeg constructs either ibor or fixed rate coupons, following the gearing value (if zero or not) 2007-02-21 11:23 Cristina Duminuco * [r9246] ql/CashFlows/cashflowvectors.cpp: CmsLeg constructs either cms or fixed rate coupons, following the gearing value (if zero or not) 2007-02-21 10:46 Ferdinando Ametrano * [r9244] ql/MarketModels/BrownianGenerators/mtbrowniangenerator.cpp, ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.cpp, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.hpp, ql/MarketModels/Evolvers/cmswapratepcevolver.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/Products/OneStep/onestepforwards.cpp, ql/MarketModels/Products/OneStep/onestepforwards.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/multiproductmultistep.cpp, ql/MarketModels/Products/multiproductonestep.cpp, ql/MarketModels/browniangenerator.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/marketmodeldiscounter.cpp, ql/MarketModels/parametricswapexercise.cpp, ql/MarketModels/parametricswapexercise.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapforwardmappings.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/faurersg.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumulativersg.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, test-suite/brownianbridge.cpp, test-suite/interpolations.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/rngtraits.cpp: using std::vector instead of QuantLib::Array in places where linear algebra in not used 2007-02-21 10:04 Luigi Ballabio * [r9237] test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-02-21 09:11 Luigi Ballabio * [r9232] ql/CashFlows/iborcoupon.cpp, ql/quote.hpp: Fixes for gcc 2007-02-21 09:10 Luigi Ballabio * [r9231] ql/MarketModels/Models/swapfromfracorrelationstructure.cpp: Correct initialization order (mind your data members, folks. It's not that difficult.) 2007-02-21 08:43 Luigi Ballabio * [r9229] ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/all.hpp, test-suite/Makefile.am: Added new files to Makefiles 2007-02-21 08:42 Luigi Ballabio * [r9228] Examples/BermudanSwaption/BermudanSwaption.cpp: Fix for new optimizer interface 2007-02-21 08:40 Luigi Ballabio * [r9227] ql/MarketModels/Evolvers/cmswapratepcevolver.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp: Forward declaration is not enough for std::vector declaration in gcc 2007-02-21 08:20 Luigi Ballabio * [r9226] Announce.txt, Authors.txt, ChangeLog.txt, Contributors.txt, Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/install.docs, Docs/pages/license.docs, Docs/pages/overview.docs, Docs/pages/usage.docs, Docs/quantlibheader.tex, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/FRA/FRA.cpp, Examples/Swap/swapvaluation.cpp, LICENSE.TXT, News.txt, QuantLib_vc8.sln, ql/Calendars/hongkong.cpp, ql/Calendars/hongkong.hpp, ql/Calendars/india.cpp, ql/Calendars/india.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/lookbackoption.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp, ql/Instruments/makevanillaswap.hpp, ql/Instruments/vanillaswap.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp, ql/Math/beta.cpp, ql/Math/gaussianorthogonalpolynomial.cpp, ql/Math/multicubicspline.hpp, ql/Math/surface.hpp, ql/Math/svd.cpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearchbasedmethod.hpp, ql/Optimization/lmdif.cpp, ql/Processes/g2process.cpp, ql/Processes/lfmprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/abcd.hpp, ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/sabrinterpolatedsmilesection.hpp, ql/Volatilities/swaptionvolcube1.hpp, ql/Volatilities/swaptionvolcube2.hpp, ql/Volatilities/swaptionvoldiscrete.hpp, ql/date.hpp, ql/settings.hpp, ql/userconfig.hpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.hpp, test-suite/europeanoption.cpp, test-suite/gaussianquadratures.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/makefile.mak, test-suite/marketmodel.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swap.cpp, test-suite/termstructures.cpp, test-suite/testsuite.dev, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Merged 0.4.0 branch 2007-02-21 07:58 Ferdinando Ametrano * [r9224] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp, ql/MarketModels/Evolvers/cmswapratepcevolver.cpp, ql/MarketModels/Evolvers/cmswapratepcevolver.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp, ql/MarketModels/Models/capletcoterminalcalibration.cpp, ql/MarketModels/Models/capletcoterminalcalibration.hpp, ql/MarketModels/Models/coterminaltoforwardadapter.cpp, ql/MarketModels/Models/coterminaltoforwardadapter.hpp, ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrabcdvol.hpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/MarketModels/Models/forwardtocoterminaladapter.cpp, ql/MarketModels/Models/forwardtocoterminaladapter.hpp, ql/MarketModels/Models/piecewiseconstantvariance.hpp, ql/MarketModels/Models/swapfromfracorrelationstructure.cpp, ql/MarketModels/Models/swapfromfracorrelationstructure.hpp, ql/MarketModels/Models/timedependantcorrelationstructure.hpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp, ql/MarketModels/Products/MultiStep/cashrebate.hpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, ql/MarketModels/Products/MultiStep/multistepforwards.cpp, ql/MarketModels/Products/MultiStep/multistepoptionlets.cpp, ql/MarketModels/Products/MultiStep/multistepoptionlets.hpp, ql/MarketModels/Products/MultiStep/multistepratchet.cpp, ql/MarketModels/Products/MultiStep/multistepswap.cpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.cpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.cpp, ql/MarketModels/Products/OneStep/onestepforwards.cpp, ql/MarketModels/Products/OneStep/onestepoptionlets.cpp, ql/MarketModels/Products/OneStep/onestepoptionlets.hpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/Products/multiproductmultistep.hpp, ql/MarketModels/Products/multiproductonestep.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/browniangenerator.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/exercisevalue.hpp, ql/MarketModels/lsbasisfunctions.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/lsdatacollector.hpp, ql/MarketModels/marketmodeldiscounter.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/nodedataprovider.hpp, ql/MarketModels/parametricexerciseadapter.cpp, ql/MarketModels/parametricexerciseadapter.hpp, ql/MarketModels/parametricswapexercise.cpp, ql/MarketModels/parametricswapexercise.hpp, ql/MarketModels/proxygreekengine.cpp, ql/MarketModels/proxygreekengine.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapbasissystem.hpp, ql/MarketModels/swapforwardconversionmatrix.hpp, ql/MarketModels/swapforwardmappings.hpp, ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp, test-suite/marketmodel.cpp: clean up, forward declaration, copyright attribution 2007-02-20 19:04 Ferdinando Ametrano * [r9217] test-suite/marketmodel_smmcapletcalibration.cpp: caplet+coterminalSwap calibration runs... 2007-02-20 19:04 Ferdinando Ametrano * [r9216] ql/MarketModels/Models/capletcoterminalcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.cpp, test-suite/marketmodel_smmcapletcalibration.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: caplet+coterminalSwap calibration runs... 2007-02-20 18:42 Ferdinando Ametrano * [r9215] ql/MarketModels/evolutiondescription.cpp: bug fix 2007-02-20 18:11 Ferdinando Ametrano * [r9212] ql/MarketModels/Models/capletcoterminalcalibration.hpp: *** empty log message *** 2007-02-20 18:05 Ferdinando Ametrano * [r9211] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: smarter constructor 2007-02-20 17:56 Cristina Duminuco * [r9207] ql/MarketModels/Models/piecewiseconstantabcdvariance.cpp, ql/MarketModels/Models/piecewiseconstantabcdvariance.hpp: work in progress 2007-02-20 17:26 Ferdinando Ametrano * [r9206] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2007-02-20 17:20 Ferdinando Ametrano * [r9205] ql/MarketModels/Models/capletcoterminalcalibration.cpp, test-suite/marketmodel_cms.cpp, test-suite/quantlibtestsuite.cpp: LogNormal CMS Market Model is OK! 2007-02-20 16:50 fdv1 * [r9203] ql/MarketModels/Models/swapfromfracorrelationstructure.cpp: bug fix excel test wbk added 2007-02-20 16:49 Ferdinando Ametrano * [r9202] ql/MarketModels/Models/capletcoterminalcalibration.hpp: Mark Joshi 6th week, day 5 2007-02-20 16:36 Ferdinando Ametrano * [r9201] QuantLib_vc8.vcproj, ql/MarketModels/Models/capletcoterminalcalibration.hpp: *** empty log message *** 2007-02-20 16:25 fdv1 * [r9200] ql/MarketModels/Models/swapfromfracorrelationstructure.cpp, ql/MarketModels/Models/swapfromfracorrelationstructure.hpp: SwapFromFRACorrelationStructure implemented and exposed to Excel 2007-02-20 14:05 Marco Bianchetti * [r9198] QuantLib.vcproj, ql/MarketModels/Models/piecewiseconstantabcdvariance.cpp, ql/MarketModels/Models/piecewiseconstantabcdvariance.hpp: Implementing (work in progress) 2007-02-20 10:42 Ferdinando Ametrano * [r9196] ql/MarketModels/Models/capletcoterminalcalibration.hpp: *** empty log message *** 2007-02-20 10:41 Ferdinando Ametrano * [r9195] QuantLib_vc8.vcproj, ql/MarketModels/Models/piecewiseconstantabcdvariance.cpp, ql/MarketModels/Models/piecewiseconstantabcdvariance.hpp, ql/MarketModels/Models/piecewiseconstantvariance.hpp, ql/MarketModels/Models/swapfromfracorrelationstructure.cpp, ql/MarketModels/Models/swapfromfracorrelationstructure.hpp, ql/MarketModels/Models/timedependantcorrelationstructure.hpp: Mark 6th week, day 5 2007-02-20 08:47 Ferdinando Ametrano * [r9194] test-suite/marketmodel_cms.cpp: *** empty log message *** 2007-02-20 08:09 fdv1 * [r9193] QuantLib.dev: catching up with previous changes 2007-02-19 20:43 Ferdinando Ametrano * [r9192] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/Evolvers/cmswapratepcevolver.cpp, ql/MarketModels/Evolvers/cmswapratepcevolver.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: WIP on LogNormal CMS Market Model 2007-02-19 18:14 fdv1 * [r9191] QuantLib_vc8.vcproj: .\ql\Math\matrix.cpp added to VC8 other environnements will be updated later 2007-02-19 16:28 Giorgio Facchinetti * [r9185] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/CashFlows/couponpricer.hpp, ql/CashFlows/floatingratecoupon.hpp: Observability 2007-02-19 16:10 fdv1 * [r9184] test-suite/curvestates.cpp: output cleaned up 2007-02-19 15:02 Giorgio Facchinetti * [r9183] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: single mean reversion calibration 2007-02-19 11:16 Cristina Duminuco * [r9181] ql/CashFlows/floatingratecoupon.cpp: null gearing not admitted 2007-02-19 08:39 Giorgio Facchinetti * [r9179] ql/Math/sabrinterpolation.hpp: bug fixed 2007-02-17 13:43 Klaus Spanderen * [r9178] ql/Math/Makefile.am, ql/Math/matrix.cpp, ql/Math/matrix.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp: added method to calculate the invese of a square matrix (based on boost/ublas) 2007-02-16 20:08 Ferdinando Ametrano * [r9175] test-suite/quantlibtestsuite.cpp: Francois please clean up the output 2007-02-16 20:00 Ferdinando Ametrano * [r9174] QuantLib_vc8.vcproj: VC8 catching up 2007-02-16 19:59 Ferdinando Ametrano * [r9173] ql/MarketModels/curvestate.cpp: *** empty log message *** 2007-02-16 19:39 Ferdinando Ametrano * [r9172] ql/MarketModels/curvestate.cpp: one more check 2007-02-16 19:16 Ferdinando Ametrano * [r9170] test-suite/marketmodel_smm.cpp: Mark Joshi 6th week, day 4 LogNormal Coterminal Swap Rate Market Model is OK! 2007-02-16 16:49 Ferdinando Ametrano * [r9165] test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-02-16 16:48 Ferdinando Ametrano * [r9164] ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, test-suite/marketmodel_cms.cpp, test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-02-16 16:22 fdv1 * [r9163] test-suite/marketmodel_cms.cpp, test-suite/marketmodel_cms.hpp: catching up with Coterminal test 2007-02-16 15:59 Ferdinando Ametrano * [r9162] test-suite/marketmodel_smm.cpp: *** empty log message *** 2007-02-16 15:53 Ferdinando Ametrano * [r9161] ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel_cms.cpp: *** empty log message *** 2007-02-16 15:50 Ferdinando Ametrano * [r9160] test-suite/marketmodel_smm.cpp: proper test 2007-02-16 15:50 Ferdinando Ametrano * [r9159] ql/MarketModels/Evolvers/forwardratepcevolver.cpp: formatting 2007-02-16 15:49 Ferdinando Ametrano * [r9158] ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp: bug fix 2007-02-16 14:40 Luigi Ballabio * [r9155] ql/Currencies/exchangeratemanager.cpp, ql/currency.cpp, ql/currency.hpp, ql/money.cpp: Using standard method name for checking validity of Currency instance 2007-02-16 14:24 Luigi Ballabio * [r9154] ql/Calendars/jointcalendar.cpp, ql/Calendars/nullcalendar.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Optimization/constraint.cpp, ql/Optimization/constraint.hpp, ql/Patterns/Makefile.am, ql/Patterns/all.hpp, ql/Patterns/bridge.hpp, ql/ShortRateModels/parameter.hpp, ql/calendar.hpp, ql/daycounter.hpp: Removed misleading Bridge pattern 2007-02-16 13:57 Luigi Ballabio * [r9153] test-suite/Makefile.am: *** empty log message *** 2007-02-16 13:56 fdv1 * [r9152] test-suite/marketmodel_cms.cpp: *** empty log message *** 2007-02-16 13:38 fdv1 * [r9151] test-suite/marketmodel_cms.cpp, test-suite/marketmodel_cms.hpp: *** empty log message *** 2007-02-16 13:16 fdv1 * [r9150] test-suite/testsuite_vc8.vcproj: CMS model added 2007-02-16 11:21 Giorgio Facchinetti * [r9149] ql/Optimization/problem.hpp: minor change 2007-02-16 11:16 fdv1 * [r9148] ql/MarketModels/CurveStates/cmswapcurvestate.hpp: constructor defined as explicit 2007-02-16 08:29 Marco Bianchetti * [r9147] ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, test-suite/marketmodel_smm.cpp: Some minor reformatting/commenting 2007-02-16 08:16 Marco Bianchetti * [r9146] QuantLib.vcproj: VC7 catching up 2007-02-16 06:34 Joseph Wang * [r9144] ql/Optimization/core.hpp: fix typo ` 2007-02-16 04:55 Joseph Wang * [r9143] test-suite/Makefile.am: add new file 2007-02-16 03:48 Joseph Wang * [r9142] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: match constructor with variable definition order 2007-02-15 21:25 Klaus Spanderen * [r9141] ql/Processes/hestonprocess.cpp: small change within the drift calculation to reduce the discretization bias 2007-02-15 19:27 Ferdinando Ametrano * [r9139] ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp: explicit constructor 2007-02-15 18:45 Ferdinando Ametrano * [r9136] ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, test-suite/marketmodel.cpp: Mark Joshi 6th week, day 3 Normal Forward rate is OK! 2007-02-15 18:22 Ferdinando Ametrano * [r9135] ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, test-suite/marketmodel.cpp: *** empty log message *** 2007-02-15 17:46 Ferdinando Ametrano * [r9134] ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp: *** empty log message *** 2007-02-15 17:19 Ferdinando Ametrano * [r9132] ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp: Mark Joshi 6th week, day 3 2007-02-15 17:10 Ferdinando Ametrano * [r9131] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp: Mark Joshi 6th week, day 3 2007-02-15 17:05 Ferdinando Ametrano * [r9130] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp: Mark Joshi 6th week, day 3 2007-02-15 16:09 Ferdinando Ametrano * [r9129] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: Mark Joshi 6th week, day 3 2007-02-15 15:58 Ferdinando Ametrano * [r9126] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp: Mark Joshi 6th week, day 3 2007-02-15 15:48 Cristina Duminuco * [r9124] test-suite/marketmodel_smm.cpp, test-suite/marketmodel_smm.hpp: not working for terminal measure 2007-02-15 15:47 Cristina Duminuco * [r9123] test-suite/capflooredcoupon.cpp, test-suite/quantlibtestsuite.cpp: eliminated commented lines 2007-02-15 15:39 Cristina Duminuco * [r9122] ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp, test-suite/capflooredcoupon.cpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: work in progress 2007-02-15 15:17 Ferdinando Ametrano * [r9120] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp: bug fixes 2007-02-15 11:26 Ferdinando Ametrano * [r9119] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp: bug fixes, now tested! 2007-02-15 11:24 Cristina Duminuco * [r9118] QuantLib_vc8.vcproj, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp: work in progress 2007-02-15 11:24 Luigi Ballabio * [r9117] ql/MarketModels/CurveStates, ql/MarketModels/CurveStates/.cvsignore, ql/MarketModels/CurveStates/Makefile.am, ql/MarketModels/CurveStates/all.hpp, ql/MarketModels/DriftComputation, ql/MarketModels/DriftComputation/.cvsignore, ql/MarketModels/DriftComputation/Makefile.am, ql/MarketModels/DriftComputation/all.hpp, ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/Makefile.am, ql/MarketModels/all.hpp, ql/MarketModels/curvestate.cpp, ql/Math/sabrinterpolation.hpp, ql/Optimization/Makefile.am, test-suite/curvestates.cpp: More fixes for gcc (please mind your semicolons, folks) 2007-02-15 11:08 Chiara Fornarola * [r9115] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Normal Forward Market Model test added 2007-02-15 11:01 Chiara Fornarola * [r9114] ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp: more constness 2007-02-15 09:55 Ferdinando Ametrano * [r9113] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/curvestate.cpp: bug fixes, now tested! 2007-02-15 04:34 Joseph Wang * [r9111] configure.ac, ql/MarketModels/CurveStates/Makefile.am, ql/MarketModels/Makefile.am, test-suite/Makefile.am: update to build files 2007-02-14 22:06 Ferdinando Ametrano * [r9109] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/proxygreekengine.cpp: Mark Joshi 6th week, day 2 2007-02-14 21:24 Joseph Wang * [r9108] ql/MarketModels/curvestate.hpp: put in virtual destructor for curvestate since that has virtual functions 2007-02-14 19:47 Katiuscia Manzoni * [r9107] ql/userconfig.hpp: *** empty log message *** 2007-02-14 19:32 Ferdinando Ametrano * [r9106] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp: Mark Joshi 6th week, day 2 2007-02-14 19:30 Katiuscia Manzoni * [r9105] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/userconfig.hpp: *** empty log message *** 2007-02-14 18:46 Ferdinando Ametrano * [r9104] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/curvestate.hpp: Mark Joshi 6th week, day 2 added CurveState::cmSwapRates 2007-02-14 18:27 fdv1 * [r9103] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: two more dummy bugs fixed 2007-02-14 18:24 fdv1 * [r9102] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: bug fix 2007-02-14 18:18 Ferdinando Ametrano * [r9101] ql/MarketModels/curvestate.hpp: Mark Joshi 6th week, day 2 2007-02-14 18:16 fdv1 * [r9100] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: one more dummy big fixed 2007-02-14 18:05 fdv1 * [r9099] QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp: CoterminalSwapRatePcEvolver fixed and added to QL 2007-02-14 18:05 fdv1 * [r9098] test-suite/curvestates.cpp: bug fixes 2007-02-14 17:56 fdv1 * [r9097] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: bug fix 2007-02-14 17:34 Ferdinando Ametrano * [r9095] ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/curvestate.hpp: Mark Joshi 6th week, day 2 2007-02-14 16:54 Ferdinando Ametrano * [r9092] ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp: Mark Joshi 6th week, day 2 2007-02-14 16:52 Ferdinando Ametrano * [r9091] QuantLib_vc8.vcproj, ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/Models/coterminaltoforwardadapter.cpp, ql/MarketModels/Models/forwardtocoterminaladapter.cpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/marketmodeldiscounter.hpp, ql/MarketModels/newcurvestate.hpp, ql/MarketModels/proxygreekengine.cpp, ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp, ql/MarketModels/swapforwardmappings.cpp, ql/MarketModels/upperboundengine.cpp, test-suite/curvestates.cpp, test-suite/marketmodel.cpp: Mark Joshi 6th week, day 2 2007-02-14 16:40 Cristina Duminuco * [r9090] ql/MarketModels/Evolvers/coterminalswapratepcevolver.cpp, ql/MarketModels/Evolvers/coterminalswapratepcevolver.hpp: not working 2007-02-14 16:34 fdv1 * [r9089] test-suite/curvestates.cpp, test-suite/curvestates.hpp: *** empty log message *** 2007-02-14 15:41 Chiara Fornarola * [r9088] ql/MarketModels/newcurvestate.hpp: added 3 new functions to calculate: forward from discounts coterminal swap from discounts constant maturity swap from discounts 2007-02-14 15:30 fdv1 * [r9086] ql/MarketModels/Evolvers/cmswapratepcevolver.cpp, ql/MarketModels/Evolvers/cmswapratepcevolver.hpp: *** empty log message *** 2007-02-14 15:17 Cristina Duminuco * [r9085] ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp: probally bug fixing 2007-02-14 14:47 fdv1 * [r9084] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: dedicated CurveState tests added 2007-02-14 14:42 fdv1 * [r9083] ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp: *** empty log message *** 2007-02-14 14:42 Ferdinando Ametrano * [r9082] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/newcurvestate.hpp: Mark Joshi 6th week, day 2 2007-02-14 13:48 fdv1 * [r9081] ql/MarketModels/CurveStates/cmswapcurvestate.cpp: *** empty log message *** 2007-02-14 12:28 fdv1 * [r9080] ql/MarketModels/CurveStates/cmswapcurvestate.cpp: comment updated 2007-02-14 12:26 fdv1 * [r9079] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp: catching up with new NewCurveState interface 2007-02-14 11:02 Ferdinando Ametrano * [r9077] QuantLib_vc8.vcproj, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp: Mark 6th week, day 2 2007-02-14 10:15 Ferdinando Ametrano * [r9076] ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp: Mark 6th week, day 2 2007-02-14 10:13 Chiara Fornarola * [r9075] ql/MarketModels/DriftComputation/smmdriftcalculator.cpp: *** empty log message *** 2007-02-14 10:06 Ferdinando Ametrano * [r9074] ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/newcurvestate.hpp: Mark 6th week, day 2 2007-02-14 09:29 Marco Bianchetti * [r9073] QuantLib.vcproj, ql/MarketModels/CurveStates/coterminalswapcurvestate.cpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp: Implementation of smm curve state (work in progress) 2007-02-14 09:25 fdv1 * [r9072] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2007-02-14 03:16 Joseph Wang * [r9071] ql/MarketModels/Makefile.am, ql/Math/sabrinterpolation.hpp, ql/Optimization/Makefile.am: remove unused endcriteria call. fix Makefile.am's 2007-02-14 02:36 Joseph Wang * [r9070] ql/Optimization/Makefile.am: name change from criteria to endcriteria 2007-02-13 16:44 Chiara Fornarola * [r9066] QuantLib_vc8.vcproj, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmnormaldriftcalculator.hpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.cpp, ql/MarketModels/Evolvers/forwardratenormalpcevolver.hpp: computing drift under assumption of normal evolution of foward rates. an exercise on the general methodology for computing drifts for rates 2007-02-13 14:02 fdv1 * [r9063] ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp: typp fixed 2007-02-13 13:38 Joseph Wang * [r9062] ql/Math/matrix.hpp: revert fill addition. It's better to do this in STL 2007-02-13 12:19 Cristina Duminuco * [r9060] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp: bug fixed on convexity adjustment 2007-02-13 10:48 Marco Bianchetti * [r9055] QuantLib.vcproj: VC7 catching up 2007-02-13 09:40 Ferdinando Ametrano * [r9053] QuantLib_vc8.vcproj, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp: Mark Joshi 6th week, day 1 2007-02-13 09:10 Ferdinando Ametrano * [r9051] QuantLib_vc8.vcproj, ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp: Mark Joshi 6th week, day 1 2007-02-12 20:31 Eric Ehlers * [r9047] QuantLib_vc8.vcproj: remove obsolete files from workspace 2007-02-12 20:24 Joseph Wang * [r9046] ql/MarketModels/DriftComputation/Makefile.am: disable noncompiling files 2007-02-12 20:16 Joseph Wang * [r9045] ql/Math/matrix.hpp: add matrix fill 2007-02-12 19:57 Joseph Wang * [r9042] configure.ac, ql/MarketModels/DriftComputation/Makefile.am, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp, ql/MarketModels/Makefile.am: tweaks to get it to compile 2007-02-12 17:37 Ferdinando Ametrano * [r9041] QuantLib_vc8.vcproj, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/all.hpp, test-suite/marketmodel.cpp: Mark Joshi 6th week 2007-02-12 17:07 Ferdinando Ametrano * [r9039] ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/newcurvestate.hpp: Mark 6th week 2007-02-12 16:52 Ferdinando Ametrano * [r9038] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/newcurvestate.hpp: *** empty log message *** 2007-02-12 16:51 Ferdinando Ametrano * [r9037] ql/MarketModels/CurveStates, ql/MarketModels/CurveStates/cmswapcurvestate.cpp, ql/MarketModels/CurveStates/cmswapcurvestate.hpp, ql/MarketModels/CurveStates/coterminalswapcurvestate.hpp, ql/MarketModels/CurveStates/lmmcurvestate.cpp, ql/MarketModels/CurveStates/lmmcurvestate.hpp, ql/MarketModels/DriftComputation, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/cmsmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.cpp, ql/MarketModels/DriftComputation/lmmdriftcalculator.hpp, ql/MarketModels/DriftComputation/smmdriftcalculator.cpp, ql/MarketModels/DriftComputation/smmdriftcalculator.hpp: Mark 6th week 2007-02-12 10:02 fdv1 * [r9031] ql/MarketModels/curvestate.hpp: possible bug fix 2007-02-09 16:08 Ferdinando Ametrano * [r9017] QuantLib.vcproj: VC7 catching up 2007-02-09 15:21 Ferdinando Ametrano * [r9016] QuantLib.vcproj: VC7 catching up 2007-02-09 14:52 Giorgio Facchinetti * [r9015] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/couponpricer.cpp: bug fixed 2007-02-09 14:32 Giorgio Facchinetti * [r9014] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/conundrumpricer.cpp: bug fixed 2007-02-09 13:57 Ferdinando Ametrano * [r9012] QuantLib.vcproj: stateless EndCriteria (state information moved into Problem) 2007-02-09 13:50 Ferdinando Ametrano * [r9009] QuantLib_vc8.vcproj, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/constraint.cpp, ql/Optimization/constraint.hpp, ql/Optimization/core.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/Optimization/endcriteria.cpp, ql/Optimization/endcriteria.hpp, ql/Optimization/leastsquare.cpp, ql/Optimization/leastsquare.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/simplex.cpp, ql/Optimization/steepestdescent.cpp, ql/Volatilities/abcd.hpp, ql/Volatilities/swaptionvolcube1.hpp: stateless EndCriteria (state information moved into Problem) 2007-02-09 12:29 Giorgio Facchinetti * [r9008] ql/CashFlows/conundrumpricer.cpp: bug fixed 2007-02-09 08:58 Giorgio Facchinetti * [r8997] ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp: *** empty log message *** 2007-02-09 03:08 Joseph Wang * [r8993] ql/Optimization/leastsquare.hpp: change interfaces so that it compiles 2007-02-08 21:54 Joseph Wang * [r8989] ql/Indexes/Makefile.am: more build fixes 2007-02-08 21:41 Joseph Wang * [r8988] ql/CashFlows/Makefile.am: fix build to include new files 2007-02-08 21:35 Joseph Wang * [r8987] ql/CashFlows/Makefile.am, ql/CashFlows/couponpricer.cpp: add couponpricer.cpp and fix newline 2007-02-08 21:10 Joseph Wang * [r8986] ql/Math/sabrinterpolation.hpp, ql/Optimization/Makefile.am: compile fixes 2007-02-08 20:22 Joseph Wang * [r8985] ql/CashFlows/Makefile.am, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/floatingratecoupon.cpp: sync compiler with Makefile.am add missing ending newlines 2007-02-08 17:08 Giorgio Facchinetti * [r8980] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp: Added maxErrorTolerance and maxIteration parameters to SwaptionVol1 constructor 2007-02-08 16:41 fdv1 * [r8978] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: New CapletVolatilityStructure class (DecInterpCapletVolStructure) implemented - This class uses two different interpolations in strike and Time instead of using a bilinearinterpolation like in the BilinInterpCapletVolStructure class - This class can be used by to boostrap caps, ( a new boolean had been added to capstripper constructor, a dedicated factory might be implemented) 2007-02-08 16:31 fdv1 * [r8976] ql/Volatilities/capletvolatilitiesstructures.cpp: capstripper extrapolation with low strike and low maturity allowed 2007-02-08 15:22 Giorgio Facchinetti * [r8973] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/cmsmarket.cpp, test-suite/cms.cpp: meanRev given to CmsCouponPricer as Handle 2007-02-08 15:05 Ferdinando Ametrano * [r8972] ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp: *** empty log message *** 2007-02-08 14:58 Ferdinando Ametrano * [r8970] QuantLib_vc8.vcproj, ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/MonteCarlo/genericparametricearlyexercise.cpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/linesearchbasedmethod.cpp, ql/Optimization/linesearchbasedmethod.hpp, ql/Optimization/method.cpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/ShortRateModels/model.cpp, ql/Volatilities/abcd.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/swaptionvolcube1.cpp, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp: refactored Optimization framework: - OptimizationMethod is now a stateless class - most of the OptimizationMethod member functions moved into Problem class - new syntax: optimizer.(problem, endCriteria) - Problem::setCurrentValue to set initial value 2007-02-08 13:36 Giorgio Facchinetti * [r8966] QuantLib_vc8.vcproj, ql/CashFlows/all.hpp, ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/capfloorlet.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/CashFlows/couponpricer.cpp, ql/CashFlows/couponpricer.hpp, ql/CashFlows/floatingratecoupon.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/iborcoupon.cpp, ql/CashFlows/iborcoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp, ql/Instruments/swaption.cpp, ql/Instruments/vanillaswap.cpp, ql/MarketModels/Products/MultiStep/multistepratchet.cpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/cms.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swap.cpp, test-suite/testsuite_vc8.vcproj: *** Refactoring of floatingRateCoupon and derived classes *** *** Introduction of a corresponding hierarchy of floatingRateCouponPricer *** *** Partial refactoring of Leg methods *** Added the following classes: IborCoupon, FloatingRateCouponPricer, IborCouponPricer, BlackIborCouponPricer. Removed the following classes: ParCoupon, UpfrontindexedCoupon, InarrearsindexedCoupon, Capfloorlet. - In arrears/up front features managed directly in FloatingRateCoupon class. - par coupon / upfront indexed coupon are managed directly in IborCoupon class, following definition or not of QL_USE_INDEXED_COUPON in userconfig.hpp Completely commented the following classes: ShortFloatingCoupon, ShortIndexCoupon (never used), to be reintroduced later. 2007-02-08 11:54 fdv1 * [r8963] Docs/pages/authors.docs: My name added to list of glorious QL contributors, do I really deserve such an honour ? ;-) 2007-02-08 10:50 fdv1 * [r8960] Authors.txt: My name added to list of glorious QL contributors, do I really deserve such an honour ? ;-) 2007-02-07 17:48 Katiuscia Manzoni * [r8943] QuantLib_vc8.vcproj, ql/Indexes/all.hpp, ql/Indexes/euriborswapfixb.cpp, ql/Indexes/euriborswapfixb.hpp: added index family EuriborSwapFixB 2007-02-07 16:45 Marco Bianchetti * [r8941] QuantLib.vcproj: VC7 catching up 2007-02-07 15:15 Marco Bianchetti * [r8937] ql/Instruments/payoffs.hpp, ql/Instruments/stickyratchet.cpp: exposed doubleStickyRatchets payoffs to excel 2007-02-07 12:34 Marco Bianchetti * [r8933] ql/Instruments/stickyratchet.cpp, ql/Instruments/stickyratchet.hpp: added method "name" to DoubleStickyRatchetPayoff 2007-02-07 09:11 Chiara Fornarola * [r8925] ql/Instruments/bond.cpp: modified NPV according to the changes in analysis.[h]cpp 2007-02-07 09:09 Chiara Fornarola * [r8924] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp: added the following new parameters: settlementDate, npvDate, exDividendDays to NPV, Duration, ATMrates, BPSsensitivity. 2007-02-06 09:28 Cristina Duminuco * [r8912] ql/CashFlows/cashflowvectors.cpp: bug fixing 2007-02-06 09:01 Chiara Fornarola * [r8911] ql/CashFlows/cashflowvectors.cpp, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp: proper capitalization 2007-02-06 08:56 Chiara Fornarola * [r8910] ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp: *** empty log message *** 2007-02-06 08:41 Chiara Fornarola * [r8909] QuantLib_vc8.vcproj: *** empty log message *** 2007-02-05 21:10 Joseph Wang * [r8907] ql/Optimization/leastsquare.hpp: make consistent with EndCriteria refactor 2007-02-05 18:33 Chiara Fornarola * [r8904] QuantLib_vc8.vcproj, ql/Instruments/cappedflooredcouponbond.cpp, ql/Instruments/cappedflooredcouponbond.hpp: created a new instrument: cappedflooredcouponbond to contruct reversefloater bond objects there's still a bug to be fixed concerning day counter: cappedfloatercouponbond accepts a daycounter in input bond when performing bond flow analysis it returns the daycount of the underlying index, despite of the input value passed for day counter. this will be fixed with cristina in cappendflooredcoupon. 2007-02-05 17:33 Ferdinando Ametrano * [r8903] ql/userconfig.hpp: *** empty log message *** 2007-02-05 17:08 Ferdinando Ametrano * [r8899] ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/MonteCarlo/genericparametricearlyexercise.cpp, ql/MonteCarlo/genericparametricearlyexercise.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/linesearchbasedmethod.cpp, ql/Optimization/linesearchbasedmethod.hpp, ql/Optimization/method.cpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/Volatilities/abcd.cpp, ql/Volatilities/abcd.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/sabrinterpolatedsmilesection.hpp, ql/Volatilities/swaptionvolcube1.cpp, ql/userconfig.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodel.cpp, test-suite/marketmodel.cpp, test-suite/shortratemodels.cpp: removed EndCriteria from Method constructors into minimize member function 2007-02-05 16:50 Ferdinando Ametrano * [r8898] ql/instrument.hpp: avoided spurious tag creation when looking for non-existant tags 2007-02-05 16:49 Ferdinando Ametrano * [r8897] QuantLib_vc8.vcproj, ql/Math/interpolation.hpp: xValues and yValues added 2007-02-05 16:48 Ferdinando Ametrano * [r8896] ql/Math/interpolation2D.hpp: *** empty log message *** 2007-02-02 17:26 Marco Bianchetti * [r8877] ql/Instruments/stickyratchet.hpp: changed ifndef 2007-02-02 09:25 Marco Bianchetti * [r8866] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Instruments/stickyratchet.cpp, ql/Instruments/stickyratchet.hpp: Implemented stick/ratchet double option payoffs 2007-02-01 14:57 Ferdinando Ametrano * [r8853] QuantLib.vcproj, QuantLib_vc8.vcproj: VC7 and VC8 catching up 2007-02-01 13:26 Luigi Ballabio * [r8843] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/lookbackoption.cpp, ql/Instruments/lookbackoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/Instruments/varianceswap.cpp, ql/Instruments/varianceswap.hpp, ql/Makefile.am, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/argsandresults.hpp, ql/core.hpp, ql/instrument.hpp, ql/option.hpp, ql/pricingengine.hpp, test-suite/capfloor.cpp, test-suite/europeanoption.cpp, test-suite/swaption.cpp: Added hook for returning engine-specific results 2007-01-30 14:08 Ferdinando Ametrano * [r8793] test-suite/batesmodel.cpp: higher tolerance, improved error report 2007-01-30 10:02 fdv1 * [r8770] ql/MarketModels/Products/multiproductonestep.cpp: Safety check added 2007-01-29 17:19 Chiara Fornarola * [r8757] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: Schedule as optional parameter 2007-01-29 15:21 Ferdinando Ametrano * [r8749] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: changed signature to allow for one more option input parameter 2007-01-29 15:20 Ferdinando Ametrano * [r8748] ql/schedule.hpp: constness added 2007-01-29 15:02 Ferdinando Ametrano * [r8746] ql/Instruments/assetswap.cpp, ql/schedule.hpp: null Schedule 2007-01-29 11:16 Cristina Duminuco * [r8731] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/cmscoupon.cpp: added control: floor<=cap 2007-01-29 07:43 Ferdinando Ametrano * [r8718] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cmscouponbond.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/makecapfloor.cpp, ql/Instruments/makecms.cpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/Instruments/zerocouponbond.cpp, ql/Processes/lfmprocess.cpp, ql/Processes/lfmprocess.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/Volatilities/cmsmarket.hpp, ql/cashflow.hpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/cms.cpp, test-suite/swap.cpp: 1) CashFlows renamed as CashFlows 2) typedef std::vector > Leg; 3) *CouponVector *Leg 4) struct earlier_than bug fix 2007-01-26 16:23 Luigi Ballabio * [r8698] ql/Math/comparison.hpp, ql/cashflow.hpp: Partially specialized earlier_than for shared pointers 2007-01-26 16:07 Ferdinando Ametrano * [r8697] ql/Math/comparison.hpp, ql/cashflow.hpp: introducing earlier_than functor. For the time being the only specialization is for CashFlow 2007-01-25 14:41 Giorgio Facchinetti * [r8681] test-suite/cms.cpp: bug fixed 2007-01-25 14:17 Giorgio Facchinetti * [r8679] test-suite/cms.cpp: bug fixed 2007-01-25 11:50 Katiuscia Manzoni * [r8671] ql/cashflow.hpp: added bool operator< for CashFlow 2007-01-25 11:01 Marco Bianchetti * [r8668] ql/CashFlows/inarrearindexedcoupon.cpp: Added a better approximation for convexity adjustment as in Hull, 4th ed., page 553, but NOT active (it is commented out) 2007-01-25 10:19 Cristina Duminuco * [r8667] test-suite/capfloor.cpp: Increased tolerance in testVega + minor bug fix in error output string 2007-01-24 13:07 Cristina Duminuco * [r8649] ql/CashFlows/inarrearindexedcoupon.hpp: modified constructor 2007-01-19 18:29 Chiara Fornarola * [r8611] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp: uneffective bool parameter long final removed added stub date in order to reproduced correctly bonds schedules in particular bond with odd coupons (e.g. long last cpn or short first cpn) 2007-01-19 18:27 Chiara Fornarola * [r8610] ql/Instruments/bond.hpp: datedDate correctly defined and use as interestAccrualDate unproperly used firstCouponDate replaced by interestAccrualDate 2007-01-19 18:22 Chiara Fornarola * [r8609] ql/Instruments/assetswap.cpp: corrected definition of back payment 2007-01-19 12:04 Ferdinando Ametrano * [r8605] QuantLib.vcproj: VC7 catching up 2007-01-18 17:23 Luigi Ballabio * [r8595] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/euriborswapfixa.cpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/euriborswapfixifr.cpp, ql/Indexes/euriborswapfixifr.hpp, ql/Indexes/eurliborswapfixa.cpp, ql/Indexes/eurliborswapfixa.hpp, ql/Indexes/eurliborswapfixb.cpp, ql/Indexes/eurliborswapfixb.hpp, ql/Indexes/eurliborswapfixifr.cpp, ql/Indexes/eurliborswapfixifr.hpp, ql/Indexes/iborindex.cpp, ql/Indexes/iborindex.hpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/xibor.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.hpp, ql/Math/Makefile.am, ql/Math/all.hpp, ql/MonteCarlo/brownianbridge.cpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/blackcalculator.cpp, ql/PricingEngines/blackcalculator.hpp, ql/PricingEngines/blackformula.hpp, ql/Quotes/compositequote.hpp, ql/Quotes/derivedquote.hpp, ql/Quotes/simplequote.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseyieldcurve.cpp, ql/TermStructures/ratehelpers.cpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/strings.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/prices.hpp, ql/quote.hpp, ql/swaptionvolstructure.hpp, test-suite/batesmodel.cpp, test-suite/bonds.cpp, test-suite/brownianbridge.cpp, test-suite/instruments.cpp, test-suite/libormarketmodel.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quotes.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp: Removed deprecated features 2007-01-18 15:56 Ferdinando Ametrano * [r8593] test-suite/cms.cpp: avoiding usage of deprecated features 2007-01-18 14:46 Ferdinando Ametrano * [r8591] ql/Instruments/makecms.cpp: avoiding usage of deprecated features 2007-01-18 14:35 Ferdinando Ametrano * [r8590] ql/Instruments/makecms.cpp: avoiding usage of deprecated features 2007-01-18 14:08 Ferdinando Ametrano * [r8588] ql/Instruments/cmscouponbond.cpp: avoiding usage of deprecated features 2007-01-18 12:34 fdv1 * [r8585] ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/sobolrsg.cpp: Safety checks added 2007-01-18 12:00 Ferdinando Ametrano * [r8584] ql/Instruments/assetswap.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/vanillaswap.cpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/swap.cpp: avoiding usage of deprecated features 2007-01-18 11:55 Ferdinando Ametrano * [r8582] ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp: InterestrateIndex::fixingDate(const Date& valueDate) method added 2007-01-18 11:41 Ferdinando Ametrano * [r8580] ql/CashFlows/parcoupon.cpp: *** empty log message *** 2007-01-18 11:33 Ferdinando Ametrano * [r8578] ql/Instruments/forwardrateagreement.cpp, ql/Instruments/makevanillaswap.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/ratehelpers.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/piecewiseyieldcurve.cpp: avoiding usage of deprecated feautures 2007-01-18 11:28 Ferdinando Ametrano * [r8577] ql/Volatilities/swaptionvolcube.cpp: avoiding usage of deprecated features 2007-01-18 11:27 Ferdinando Ametrano * [r8576] QuantLib_vc8.vcproj: new Bond filter added 2007-01-18 11:20 Ferdinando Ametrano * [r8575] ql/CashFlows/cashflowvectors.hpp: useless constness removed 2007-01-17 16:13 Giorgio Facchinetti * [r8557] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, test-suite/cms.cpp: changed order of input parameters in CmsCoupon constructor following FloatingRateCoupon 2007-01-17 16:07 fdv1 * [r8555] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj: abcdinterpolation.hpp removed from project files, sorry for the inconvenience folks ! 2007-01-17 15:55 Cristina Duminuco * [r8553] test-suite/capflooredcoupon.cpp: Removed forgotten conditions forcing the execution of BOOST_ERROR 2007-01-17 15:47 Cristina Duminuco * [r8552] test-suite/capflooredcoupon.cpp: added tests for negative gearings 2007-01-17 15:28 Luigi Ballabio * [r8550] Examples/BermudanSwaption/BermudanSwaption.dev, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev, Examples/Replication/Replication.dev, Examples/Repo/Repo.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, makefile.mak, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Increased version number 2007-01-17 15:25 Giorgio Facchinetti * [r8549] test-suite/cms.cpp: setPricer method in cmsCoupon 2007-01-17 15:18 Giorgio Facchinetti * [r8548] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: setPricer method in cmsCoupon 2007-01-17 15:01 Luigi Ballabio * [r8546] ql/CashFlows/Makefile.am, ql/Math/Makefile.am, ql/Math/all.hpp: *** empty log message *** 2007-01-17 14:35 Giorgio Facchinetti * [r8543] QuantLib_vc8.vcproj, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, test-suite/swap.cpp: Added to FloatingRateCoupon data member isInArrears 2007-01-17 13:56 Cristina Duminuco * [r8539] test-suite/capflooredcoupon.cpp: Improved tests, but tests for negative gearings still to do 2007-01-17 13:52 Cristina Duminuco * [r8538] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/capfloorlet.hpp: Management of negative gearings 2007-01-16 18:00 Chiara Fornarola * [r8523] ql/Instruments/assetswap.cpp: added backpayment for par asset swap 2007-01-16 16:30 fdv1 * [r8519] ql/Math/abcdinterpolation.hpp: answer to comment 2007-01-16 16:04 fdv1 * [r8518] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj: abcdinterpolation.hpp added to project files 2007-01-16 15:49 fdv1 * [r8514] ql/Volatilities/capletvolatilitiesstructures.cpp: new input check added to avoid Excel crashes, should'nt we rely on some systematic checks performed at the QuantLibAddin layer ? 2007-01-16 14:43 fdv1 * [r8510] ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp, test-suite/quotes.cpp: - impliedStdev quotes classes inherit from lazyObject to ensure numerical stability and improve performances. (They were returning a different result at each call since the previous result was used in the soving algorithm) - rename impliedVolatility_ to impliedStdev_ 2007-01-16 14:32 Giorgio Facchinetti * [r8509] ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: SwaptionVolCube1 observer of parameter guess quotes 2007-01-15 11:12 Giorgio Facchinetti * [r8482] ql/CashFlows/cmscoupon.hpp: *** empty log message *** 2007-01-15 10:37 Luigi Ballabio * [r8480] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp: Added possibility to set an engine to a bond 2007-01-15 10:22 Eric Ehlers * [r8479] ql/MarketModels/Makefile.am: distribute header required by QuantLibAddin 2007-01-15 09:06 Luigi Ballabio * [r8478] ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.cpp: Relaxed checks a bit 2007-01-15 09:04 Luigi Ballabio * [r8477] ql/CashFlows/coupon.hpp: More inspectors 2007-01-13 19:34 Klaus Spanderen * [r8471] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp: sessionId() safe version of the LM algorithm to support multi threading 2007-01-13 14:08 Eric Ehlers * [r8461] Docs/quantlibheaderonline.html: use latest HTML provided by SourceForge for wrapping their logo 2007-01-13 13:59 Eric Ehlers * [r8457] Docs/pages/faq.docs: update QuantLibAddin URL 2007-01-12 18:57 Katiuscia Manzoni * [r8450] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp: deprecated old constructors in favour of new ones 2007-01-12 18:56 Katiuscia Manzoni * [r8449] ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp: removing VC6 patch 2007-01-12 18:54 Katiuscia Manzoni * [r8448] ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp: constness removed 2007-01-12 18:53 Katiuscia Manzoni * [r8447] ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/libor.cpp, ql/Indexes/swapindex.cpp: deprecated settlementDays and renamed as fixingDays() 2007-01-12 17:26 Luigi Ballabio * [r8446] Docs/pages/faq.docs, ql/Math/Makefile.am, ql/Math/all.hpp: *** empty log message *** 2007-01-12 17:22 Luigi Ballabio * [r8445] ql/Instruments/swap.cpp: Worked around bug in gcc 2007-01-12 17:14 Giorgio Facchinetti * [r8444] ql/CashFlows/cmscoupon.hpp: fixed bug: correct convexityAdjustment for capped and floored Cms 2007-01-12 15:45 Ferdinando Ametrano * [r8443] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp: renamed parameters for improved clarity 2007-01-12 15:44 Ferdinando Ametrano * [r8442] ql/period.cpp: improved comparison operator 2007-01-12 12:16 Giorgio Facchinetti * [r8441] ql/CashFlows/cmscoupon.hpp: fixed bug: correct convexityAdjustment for capped and floored Cms 2007-01-12 10:11 Luigi Ballabio * [r8440] Docs/pages/faq.docs: *** empty log message *** 2007-01-12 09:54 Ferdinando Ametrano * [r8439] ql/TermStructures/ratehelpers.cpp, test-suite/compoundforward.cpp: preferred usage of non deprecated features 2007-01-12 09:53 Ferdinando Ametrano * [r8438] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: startDate and maturityDate implementation is now based upon the Cashflows::startDate and Cashflows::maturityDate 2007-01-12 09:51 Ferdinando Ametrano * [r8437] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: startDate and maturityDate added 2007-01-12 09:49 Ferdinando Ametrano * [r8436] ql/Math/all.hpp: *** empty log message *** 2007-01-12 09:17 Chiara Fornarola * [r8435] ql/Instruments/cmscouponbond.cpp: bug fixed by using fixingdays in the cmscouponvector 2007-01-11 12:35 Luigi Ballabio * [r8434] ql/Math/Makefile.am, ql/Math/all.hpp: Maybe not working, but it is included by other files so it needs to be here 2007-01-10 14:16 Chiara Fornarola * [r8433] ql/Instruments/assetswap.cpp: modified in order to take into account that in the market asset swap, the notional of the floating leg is then scaled by the full price 2007-01-10 14:07 Cristina Duminuco * [r8432] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp: Added interface method convexityAdjustment() 2007-01-10 11:50 Chiara Fornarola * [r8431] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/zerocouponbond.cpp: working on (non-par) market asset swap 2007-01-10 11:15 Ferdinando Ametrano * [r8430] ql/Volatilities/abcd.hpp, test-suite/marketmodel.cpp: *** empty log message *** 2007-01-10 11:04 Chiara Fornarola * [r8429] ql/Math/all.hpp: not ready yet for prime time 2007-01-10 09:51 Ferdinando Ametrano * [r8428] ql/index.cpp: *** empty log message *** 2007-01-10 09:45 fdv1 * [r8427] ql/Volatilities/abcd.hpp: *** empty log message *** 2007-01-10 09:07 fdv1 * [r8426] ql/Volatilities/abcd.hpp: work in progress 2007-01-10 09:05 fdv1 * [r8425] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, test-suite/batesmodel.cpp: LevenbergMarquardt ambiguity removed, sorry for the delay Luigi 2007-01-09 18:27 Katiuscia Manzoni * [r8424] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp: additional condition on fixing times: discard optionlets that are not expired and whose fixing time is at a past date. For optionlets not expired but with past fixing dates std dev and vega have been set = 0. 2007-01-09 17:10 fdv1 * [r8423] ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/sabrinterpolatedsmilesection.hpp, ql/Volatilities/smilesection.hpp: minStrike and maxStrike methods added to SmileSections 2007-01-09 17:08 fdv1 * [r8422] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: time interpolation allowed in CapsStripper class 2007-01-09 13:59 Cristina Duminuco * [r8421] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capfloorlet.cpp: Gearing and spread are managed 2007-01-08 18:39 Ferdinando Ametrano * [r8418] ql/Quotes/futuresconvadjustmentquote.cpp, ql/Quotes/futuresconvadjustmentquote.hpp: added constructor using IMM-code 2007-01-08 17:28 fdv1 * [r8417] ql/Optimization/levenbergmarquardt.cpp: new constructor provided even for QL_DISABLE_DEPRECATED compilation 2007-01-08 16:25 fdv1 * [r8416] ql/Optimization/levenbergmarquardt.hpp: new constructor provided even for QL_DISABLE_DEPRECATED compilation 2007-01-08 15:39 Cristina Duminuco * [r8415] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/capfloorlet.hpp: Capflooredcoupon: Added default null vectors for cap and floor rates 2007-01-08 15:10 Luigi Ballabio * [r8414] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, test-suite/libormarketmodel.cpp: Still ambiguous 2007-01-08 15:08 Luigi Ballabio * [r8413] ql/Instruments/Makefile.am, ql/Instruments/all.hpp: *** empty log message *** 2007-01-08 14:54 Chiara Fornarola * [r8412] QuantLib_vc8.vcproj, ql/Instruments/cmscouponbond.cpp, ql/Instruments/cmscouponbond.hpp: added cmscouponbond 2007-01-08 14:17 Ferdinando Ametrano * [r8411] ql/Optimization/levenbergmarquardt.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: avoiding default constructor ambiguity 2007-01-08 14:16 Ferdinando Ametrano * [r8410] ql/CashFlows/capflooredcoupon.hpp: *** empty log message *** 2007-01-08 11:22 Ferdinando Ametrano * [r8409] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2007-01-08 10:20 Cristina Duminuco * [r8408] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/cashflowvectors.cpp, test-suite/capflooredcoupon.cpp: The underlying FloatingRateCoupon can be either an UpFrontIndexedCoupon or a ParCoupon, following userconfig.hpp definitions. 2007-01-08 09:48 Ferdinando Ametrano * [r8407] ql/Optimization/levenbergmarquardt.hpp, test-suite/libormarketmodel.cpp, test-suite/quantlibtestsuite.cpp: preferred usage of non deprecated features 2007-01-08 09:36 Ferdinando Ametrano * [r8406] ql/Volatilities/abcd.hpp: *** empty log message *** 2007-01-08 09:36 Ferdinando Ametrano * [r8405] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp: bug fix 2007-01-08 09:35 Ferdinando Ametrano * [r8404] ql/Math/Makefile.am: abcd interpolation doesn't work yet I'll take care of makefile.am when it's finished 2007-01-08 09:23 Luigi Ballabio * [r8403] ql/Math/Makefile.am, ql/Math/all.hpp, ql/Volatilities/abcd.hpp, test-suite/quotes.cpp: *** empty log message *** 2007-01-08 09:03 Cristina Duminuco * [r8402] ql/Math/sabrinterpolation.hpp: Restored old lambda input value in function Simplex 2007-01-05 20:10 Ferdinando Ametrano * [r8401] ql/Volatilities/abcd.cpp, ql/Volatilities/abcd.hpp: work in progress 2007-01-05 19:45 Ferdinando Ametrano * [r8400] ql/date.cpp, ql/date.hpp, test-suite/dates.cpp: *** empty log message *** 2007-01-05 19:36 Ferdinando Ametrano * [r8399] ql/Math/abcdinterpolation.hpp: work in progress 2007-01-05 15:36 fdv1 * [r8398] ql/Math/sabrinterpolation.hpp: SABRInterpolationImpl fixed and refactored, previous maxIteration and precision restored SabrInterpolatedSmileSection maxIteration and precision defined at QLAddin level SmileSections graphs added to CapsStripperTest.xls 2007-01-05 15:21 Luigi Ballabio * [r8397] Docs/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/ConvertibleBonds/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EquityOption/Makefile.am, Examples/FRA/Makefile.am, Examples/Makefile.am, Examples/Replication/Makefile.am, Examples/Repo/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, ql/Calendars/Makefile.am, ql/CashFlows/Makefile.am, ql/Currencies/Makefile.am, ql/DayCounters/Makefile.am, ql/FiniteDifferences/Makefile.am, ql/Indexes/Makefile.am, ql/Instruments/Makefile.am, ql/Lattices/Makefile.am, ql/Makefile.am, ql/MarketModels/BrownianGenerators/Makefile.am, ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/ExerciseStrategies/Makefile.am, ql/MarketModels/ExerciseValues/Makefile.am, ql/MarketModels/Makefile.am, ql/MarketModels/Models/Makefile.am, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/OneStep/Makefile.am, ql/Math/Makefile.am, ql/MonteCarlo/Makefile.am, ql/Optimization/Makefile.am, ql/Pricers/Makefile.am, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Hybrid/Makefile.am, ql/PricingEngines/Lookback/Makefile.am, ql/PricingEngines/Makefile.am, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Vanilla/Makefile.am, ql/Processes/Makefile.am, ql/Quotes/Makefile.am, ql/RandomNumbers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/LiborMarketModels/Makefile.am, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/OneFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/TermStructures/Makefile.am, ql/Utilities/Makefile.am, ql/Volatilities/Makefile.am, ql/VolatilityModels/Makefile.am, test-suite/Makefile.am: Removed VC6 and BCC files from distribution 2007-01-05 14:45 Ferdinando Ametrano * [r8396] ql/PricingEngines/blackformula.cpp: *** empty log message *** 2007-01-05 12:46 Ferdinando Ametrano * [r8395] ql/PricingEngines/blackformula.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, test-suite/quotes.cpp: *** empty log message *** 2007-01-04 18:56 fdv1 * [r8394] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp: new constructor using EndCriteria provided redundant private members removed in the constructor signature gTol might also be removed but I'm not sure that it has the same meaning as gradientEpsilon in EndCriteria 2007-01-04 18:08 fdv1 * [r8393] ql/Math/sabrinterpolation.hpp: precision and maxiteration increased 2007-01-04 13:39 Ferdinando Ametrano * [r8392] QuantLib.vcproj: VC7 catching up 2007-01-04 11:56 Ferdinando Ametrano * [r8391] test-suite/cms.cpp: *** empty log message *** 2007-01-04 11:39 Chiara Fornarola * [r8390] ql/TermStructures/zerospreadedtermstructure.hpp: coumpounding, frequency, daycounter been made explicit input parameters 2007-01-04 11:35 Luigi Ballabio * [r8389] ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/MultiStep/multistepratchet.cpp: Fixes for gcc 2007-01-04 11:22 fdv1 * [r8388] test-suite/capstripper.cpp: Smile section date defintion bug fix: these dates are floating instead of being fixed 2007-01-04 10:38 Giorgio Facchinetti * [r8387] QuantLib_vc8.vcproj, ql/MarketModels/Products/MultiStep/multistepratchet.cpp, ql/MarketModels/Products/MultiStep/multistepratchet.hpp: Added multistepratchet files 2007-01-04 09:40 Luigi Ballabio * [r8386] ql/MarketModels/Products/multiproductonestep.cpp: *** empty log message *** 2007-01-03 22:02 Joseph Wang * [r8385] test-suite/cms.cpp: ISO fix to allow gcc compile 2007-01-03 14:29 Ferdinando Ametrano * [r8384] ql/CashFlows/analysis.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Lattices/lattice.hpp, ql/Lattices/tflattice.hpp, ql/Math/svd.cpp, ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/knuthuniformrng.cpp: use pre-increment where appropriate 2007-01-03 14:12 Ferdinando Ametrano * [r8383] ql/date.cpp: using Date::operator++() in the implementation of Date::operator++(int) 2007-01-03 14:04 Giorgio Facchinetti * [r8382] test-suite/cms.cpp: fixed bug 2007-01-03 10:55 Luigi Ballabio * [r8381] Docs/quantlib.css, Docs/quantlibheaderonline.html: *** empty log message *** 2007-01-03 10:51 Chiara Fornarola * [r8380] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: add another type of asset swap: market asset swap 2007-01-03 09:50 Luigi Ballabio * [r8379] Docs/quantlib.css: *** empty log message *** 2007-01-03 09:50 Luigi Ballabio * [r8378] ql/Utilities/strings.hpp: Giving people a chance to define QL_DISABLE_DEPRECATED before checking 2007-01-03 09:02 Ferdinando Ametrano * [r8377] ql/Utilities/strings.hpp: *** empty log message *** 2007-01-02 19:51 Katiuscia Manzoni * [r8376] ql/index.hpp: Real used instead of Rate 2007-01-02 16:09 Ferdinando Ametrano * [r8375] QuantLib.vcproj: VC7 catching up 2007-01-02 15:53 Ferdinando Ametrano * [r8374] ql/Math/sabrinterpolation.hpp: formatting and renaming 2007-01-02 15:29 Ferdinando Ametrano * [r8373] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2007-01-02 14:55 Ferdinando Ametrano * [r8372] ql/MarketModels/accountingengine.cpp, ql/MarketModels/lsdatacollector.cpp: ...oops... 2007-01-02 14:51 Ferdinando Ametrano * [r8371] ql/CashFlows/conundrumpricer.cpp, ql/MarketModels/lsdatacollector.cpp, ql/TermStructures/compoundforward.cpp, ql/Volatilities/swaptionvolcube1.cpp: "Use reserve to avoid unnecessary reallocations" -- Scott Mayers "Effective STL", item 14 2007-01-02 14:46 Ferdinando Ametrano * [r8370] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/dividend.cpp, ql/FiniteDifferences/parallelevolver.hpp, ql/Indexes/indexmanager.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/swaption.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/proxygreekengine.cpp, ql/MarketModels/upperboundengine.cpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/interpolation2D.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/TermStructures/compoundforward.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/swaptionvolcube1.cpp, ql/prices.cpp, ql/timegrid.cpp, ql/timegrid.hpp, ql/timeseries.hpp, ql/yieldtermstructure.hpp: "Use reserve to avoid unnecessary reallocations" -- Scott Mayers "Effective STL", item 14 2007-01-02 13:48 Luigi Ballabio * [r8369] ql/Utilities/Makefile.am, ql/Utilities/strings.hpp: Fixes for gcc 2007-01-02 13:31 Ferdinando Ametrano * [r8368] test-suite/mclongstaffschwartzengine.cpp: *** empty log message *** 2007-01-02 13:31 Ferdinando Ametrano * [r8367] test-suite/europeanoption.cpp: "Call empty() instead of checking size() against zero" -- Scott Mayers "Effective STL", item 4 2007-01-02 13:25 Ferdinando Ametrano * [r8366] ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/utilities.cpp, ql/Math/primenumbers.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: *** empty log message *** 2007-01-02 12:19 Ferdinando Ametrano * [r8365] ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/utilities.cpp, ql/Math/primenumbers.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: "Almost all uses of copy where the destination range is specified using an insert iterator should be replaced with calls to range member functions" -- Scott Mayers "Effective STL", item 5 2007-01-02 12:15 Ferdinando Ametrano * [r8364] ql/Instruments/capfloor.cpp, ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube2.cpp: "Use reserve to avoid unnecessary reallocations" -- Scott Mayers "Effective STL", item 14 2007-01-02 11:56 Ferdinando Ametrano * [r8363] QuantLib_vc8.vcproj, ql/Indexes/indexmanager.cpp, ql/Utilities/all.hpp, ql/Utilities/dataparsers.cpp, ql/Utilities/strings.cpp, ql/Utilities/strings.hpp, ql/date.cpp: using boost::algorithm::to_upper_copy instead of QuantLib::uppercase 2007-01-02 11:51 Ferdinando Ametrano * [r8362] ql/Patterns/observable.hpp: *** empty log message *** 2007-01-02 11:50 Ferdinando Ametrano * [r8361] ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/timebasket.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/Processes/lfmcovarparam.cpp, ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/piecewisezerospreadedtermstructure.hpp: "Call empty() instead of checking size() against zero" -- Scott Mayers "Effective STL", item 4 2007-01-02 11:43 Ferdinando Ametrano * [r8360] ql/timegrid.hpp: "Almost all uses of copy where the destination range is specified using an insert iterator should be replaced with calls to range member functions" -- Scott Mayers "Effective STL", item 5 2007-01-02 11:43 Ferdinando Ametrano * [r8359] ql/discretizedasset.hpp, ql/timegrid.hpp: "Almost all uses of copy where the destination range is specified using an insert iterator should be replaced with calls to range member functions" -- Scott Mayers "Effective STL", item 5 2007-01-02 11:41 Ferdinando Ametrano * [r8358] ql/schedule.cpp: "Call empty() instead of checking size() against zero" -- Scott Mayers "Effective STL", item 4 2007-01-02 10:45 Luigi Ballabio * [r8357] ql/Calendars/india.cpp, ql/Calendars/india.hpp, ql/Calendars/singapore.cpp, ql/Calendars/singapore.hpp, ql/Calendars/southkorea.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp: Added a few 2006/2007 holidays 2007-01-02 09:44 Ferdinando Ametrano * [r8356] ql/Volatilities/capstripper.cpp: more explicit error message 2006-12-22 15:29 fdv1 * [r8355] ql/Volatilities/sabrinterpolatedsmilesection.hpp: alpha, beta, nu, rho, interpolationError, MaxInterpolationError, endCriteria SabrInterpolatedSmileSection methods created and exposed to Excel 2006-12-22 13:55 Luigi Ballabio * [r8354] Docs, Docs/.cvsignore, Docs/Makefile.am, Docs/quantlib.css, Docs/quantlibfooter.html, Docs/quantlibfooteronline.html, Docs/quantlibheaderonline.html: *** empty log message *** 2006-12-22 11:31 fdv1 * [r8352] ql/Volatilities/sabrinterpolatedsmilesection.hpp: method argument of SabrInterpolatedSmileSection class is back ! 2006-12-21 16:47 Ferdinando Ametrano * [r8350] ql/Volatilities/sabrinterpolatedsmilesection.hpp: sabrInterpolated SmileSection are created with date instead of time 2006-12-21 11:24 Luigi Ballabio * [r8349] ql/Math/sabrinterpolation.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/capstripper.cpp: Usual fixes for gcc 2006-12-21 10:47 fdv1 * [r8348] ql/Volatilities/capstripper.cpp: rate format added in error message 2006-12-21 09:14 Cristina Duminuco * [r8347] test-suite/capflooredcoupon.cpp: some adjustments in code 2006-12-21 01:19 Joseph Wang * [r8346] ql/Math/curve.hpp: fix include guards 2006-12-20 19:18 fdv1 * [r8345] ql/Volatilities/sabrinterpolatedsmilesection.hpp: method is no longer an argument of SabrInterpolatedSmileSection class, Simplex method is always used now 2006-12-20 14:38 fdv1 * [r8344] ql/Math/sabrinterpolation.hpp: SABRInterpolationImpl Forward value is stored as a reference, as a result QuantLibAddin::SABRInterpolation has a new data member to store this value The forward value test is done during the calculate() method and not at construction time since this value might not be inititalized yet SABRInterpolation and SABRInterpolationImpl have a new boolean arguement indicating if the calculate method should be called at the end of the construction of SABRInterpolationImpl 2006-12-20 14:29 fdv1 * [r8343] QuantLib_vc8.vcproj, ql/Volatilities/sabrinterpolatedsmilesection.hpp: new SabrInterpolatedClass added 2006-12-20 08:33 Luigi Ballabio * [r8342] ql/Math/curve.hpp, ql/Math/domain.hpp, ql/Math/sabrinterpolation.hpp, ql/Quotes/futuresconvadjustmentquote.cpp: Fixed for gcc 2006-12-19 19:09 fdv1 * [r8341] ql/Math/sabrinterpolation.hpp: SabrInterpolation is constructed with a const reference to the forward rate value 2006-12-19 19:09 fdv1 * [r8340] ql/Volatilities/interpolatedsmilesection.hpp: exercise time is accessed through an accessor not directly 2006-12-19 15:10 Ferdinando Ametrano * [r8339] ql/prices.hpp: bug fix 2006-12-19 11:40 Ferdinando Ametrano * [r8338] ql/prices.cpp, ql/prices.hpp: MidRobust renamed as MidSafe 2006-12-18 18:51 Joseph Wang * [r8337] ql/Math/surface.cpp, ql/Math/surface.hpp: change surface from naked pointer to boost shared pointer 2006-12-18 09:23 Marco Bianchetti * [r8336] QuantLib.vcproj: VC7 catching up 2006-12-18 08:00 Luigi Ballabio * [r8335] ql/Quotes/Makefile.am, ql/Quotes/all.hpp: *** empty log message *** 2006-12-15 16:37 Ferdinando Ametrano * [r8334] ql/Volatilities/interpolatedsmilesection.hpp: interpolation is updated during perform calculation 2006-12-15 15:31 Ferdinando Ametrano * [r8333] QuantLib_vc8.vcproj: *** empty log message *** 2006-12-15 15:25 Giorgio Facchinetti * [r8332] ql/Quotes/futuresconvadjustmentquote.hpp: *** empty log message *** 2006-12-15 13:31 Giorgio Facchinetti * [r8331] QuantLib_vc8.vcproj, ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp, ql/Quotes/futuresconvadjustmentquote.cpp, ql/Quotes/futuresconvadjustmentquote.hpp: *** empty log message *** 2006-12-15 09:52 Ferdinando Ametrano * [r8330] ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp: work in progress 2006-12-14 16:02 Chiara Fornarola * [r8329] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp: reverting back wrong changes 2006-12-14 16:00 Giorgio Facchinetti * [r8328] ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp: Added FuturesConvAdjustmentQuote 2006-12-14 10:24 Giorgio Facchinetti * [r8327] ql/Volatilities/interpolatedsmilesection.hpp: fixed bug 2006-12-14 09:19 Giorgio Facchinetti * [r8326] test-suite/cms.cpp: changed initial guess for sabr calibration 2006-12-14 08:31 fdv1 * [r8325] ql/Calendars/jointcalendar.hpp: redudant include removed 2006-12-13 21:24 Ferdinando Ametrano * [r8324] ql/userconfig.hpp: new default 2006-12-13 21:23 Ferdinando Ametrano * [r8323] ql/Quotes/simplequote.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/quote.hpp: 1) allowing creation of SimpleQuote with no value 2) ensuring that SimpleQuote always returns a proper value() 3) removing redundant Futures check 2006-12-13 19:25 Ferdinando Ametrano * [r8322] ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: ensuring valid futures price 2006-12-13 17:48 fdv1 * [r8321] ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp: guess bug fixed 2006-12-13 16:10 Ferdinando Ametrano * [r8320] ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp: *** empty log message *** 2006-12-13 11:47 Ferdinando Ametrano * [r8319] ql/Indexes/all.hpp, ql/Indexes/xibor.hpp: *** empty log message *** 2006-12-13 11:06 Giorgio Facchinetti * [r8318] ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp: fixed bug 2006-12-13 10:42 Giorgio Facchinetti * [r8317] ql/Volatilities/smilesection.cpp: fixed bug 2006-12-12 21:10 Joseph Wang * [r8316] ql/Indexes/all.hpp: include xibor.hpp 2006-12-12 19:28 fdv1 * [r8315] ql/Quotes/derivedquote.cpp: bug fixed error handling improved 2006-12-12 18:52 Ferdinando Ametrano * [r8314] ql/calendar.hpp, ql/currency.cpp, ql/currency.hpp, ql/daycounter.hpp: 1) removing useless code, formatting, etc. 2) std::ostream& operator<<(std::ostream&, const Currency&) returns just the code() 2006-12-12 17:37 Ferdinando Ametrano * [r8313] ql/TermStructures/piecewiseyieldcurve.hpp: fixed just introduced bug 2006-12-12 13:35 Luigi Ballabio * [r8312] ql/Quotes, ql/Quotes/.cvsignore: *** empty log message *** 2006-12-11 21:47 Joseph Wang * [r8311] ql/Makefile.am, ql/Quotes/Makefile.am: fix quotes 2006-12-11 17:57 Ferdinando Ametrano * [r8310] ql/Volatilities/swaptionvolcube2.cpp: switching to standard deviation instead of vol 2006-12-11 17:07 Ferdinando Ametrano * [r8309] ql/Quotes/derivedquote.cpp: bug fix 2006-12-11 17:07 Ferdinando Ametrano * [r8308] ql/Volatilities/interpolatedsmilesection.hpp: switching to standard deviation instead of vol 2006-12-11 15:29 Ferdinando Ametrano * [r8307] QuantLib.vcproj: VC7 catching up 2006-12-11 15:09 Chiara Fornarola * [r8306] ql/Instruments/forward.hpp, ql/Instruments/payoffs.cpp, ql/Instruments/payoffs.hpp, ql/PricingEngines/blackcalculator.cpp, ql/payoff.hpp: fixed some payoff, added new ones 2006-12-11 14:48 Chiara Fornarola * [r8305] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/FRA/FRA.cpp, Examples/Swap/swapvaluation.cpp: renamed Xibor as IborIndex 2006-12-11 14:18 Ferdinando Ametrano * [r8304] QuantLib_vc8.vcproj, ql/Quotes/derivedquote.cpp, ql/Quotes/derivedquote.hpp: introduced EurodollarFuturesImpliedStdDevQuote 2006-12-11 14:02 Luigi Ballabio * [r8303] ql/Indexes/Makefile.am, ql/Indexes/core.hpp, ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/all.hpp, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp: *** empty log message *** 2006-12-11 10:32 Ferdinando Ametrano * [r8302] test-suite/integrals.cpp: moving abcd into Volatilities folder 2006-12-11 10:03 Ferdinando Ametrano * [r8301] ql/userconfig.hpp: *** empty log message *** 2006-12-11 09:44 Ferdinando Ametrano * [r8300] QuantLib.vcproj, ql/userconfig.hpp: VC7 catching up 2006-12-11 09:37 Ferdinando Ametrano * [r8299] ql/userconfig.hpp: *** empty log message *** 2006-12-11 09:36 Ferdinando Ametrano * [r8298] QuantLib_vc8.vcproj, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/Indexes/cdor.hpp, ql/Indexes/core.hpp, ql/Indexes/euribor.hpp, ql/Indexes/euriborswapfixa.cpp, ql/Indexes/euriborswapfixifr.cpp, ql/Indexes/eurliborswapfixa.cpp, ql/Indexes/eurliborswapfixb.cpp, ql/Indexes/eurliborswapfixifr.cpp, ql/Indexes/iborindex.cpp, ql/Indexes/iborindex.hpp, ql/Indexes/jibar.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/zibor.hpp, ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp, ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/Processes/lfmprocess.cpp, ql/Processes/lfmprocess.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, ql/userconfig.hpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/capflooredcoupon.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/termstructures.cpp: renamed Xibor as IborIndex 2006-12-11 09:34 Ferdinando Ametrano * [r8297] ql/Volatilities/swaptionvolcube.cpp: deprecating SwapIndex::fixedLegFrequency in favor of SwapIndex::fixedLegTenor 2006-12-11 09:33 Ferdinando Ametrano * [r8296] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp: removing constness 2006-12-11 09:32 Ferdinando Ametrano * [r8295] ql/Quotes/derivedquote.hpp, test-suite/quotes.cpp: renaming ImpliedStdevQuote into ImpliedStdDevQuote 2006-12-11 09:31 Ferdinando Ametrano * [r8294] ql/MarketModels/Models/abcd.cpp, ql/MarketModels/Models/abcd.hpp, ql/MarketModels/Models/expcorrabcdvol.hpp, ql/Volatilities/abcd.cpp, ql/Volatilities/abcd.hpp: moving abcd into Volatilities folder 2006-12-11 09:29 Ferdinando Ametrano * [r8293] ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp: cleaning up descriptions and implementation 2006-12-11 09:04 fdv1 * [r8292] QuantLib.dev: surface sources added swaptionVolCubeBySabr removed 2006-12-11 08:45 fdv1 * [r8291] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: surface sources added 2006-12-11 03:26 Joseph Wang * [r8290] ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/curve.hpp, ql/Math/domain.hpp, ql/Math/makefile.mak, ql/Math/surface.cpp, ql/Math/surface.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/surface.cpp, test-suite/surface.hpp: add surface/curve interface 2006-12-11 03:21 Joseph Wang * [r8289] test-suite/quotes.cpp: fix variable so that it is not named the same as a type 2006-12-07 13:09 fdv1 * [r8288] ql/Quotes/derivedquote.hpp, test-suite/quotes.cpp: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel 2006-12-06 18:41 fdv1 * [r8287] ql/Quotes/derivedquote.hpp: uneeded blank lines removed 2006-12-06 17:17 fdv1 * [r8286] test-suite/quotes.cpp: ImpliedStdevQuote is tested now 2006-12-06 17:15 fdv1 * [r8285] ql/Indexes/xibor.cpp: observer behavior bug fixed 2006-12-06 15:40 Luigi Ballabio * [r8284] configure.ac, ql/CashFlows/Makefile.am, ql/Makefile.am, ql/Quotes, ql/Quotes/.cvsignore, ql/Quotes/Makefile.am, ql/Quotes/all.hpp, ql/Quotes/derivedquote.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/quantlib.hpp, test-suite/Makefile.am, test-suite/capflooredcoupon.cpp: Fixed for gcc 2006-12-06 09:12 Ferdinando Ametrano * [r8283] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-12-05 17:32 fdv1 * [r8282] ql/Quotes/compositequote.hpp, ql/Quotes/derivedquote.hpp, ql/Quotes/simplequote.hpp, test-suite/quotes.cpp, test-suite/quotes.hpp: FowardValueQuote and ImpliedStdevQuote classes implemented FowardValueQuote is tested but not ImpliedStdevQuote yet backward compatibility quote definition fixes 2006-12-05 17:10 Ferdinando Ametrano * [r8281] test-suite/quotes.cpp: *** empty log message *** 2006-12-05 15:41 fdv1 * [r8280] test-suite/bonds.cpp: backward compatibility of quotes definition ensured 2006-12-05 14:49 Ferdinando Ametrano * [r8279] ql/userconfig.hpp: fixed back 2006-12-05 14:46 fdv1 * [r8278] QuantLib_vc8.vcproj, ql/Instruments/capfloor.hpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/swaption.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Quotes/compositequote.hpp, ql/Quotes/derivedquote.hpp, ql/Quotes/simplequote.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseyieldcurve.cpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/quote.hpp, ql/userconfig.hpp, test-suite/instruments.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quotes.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/termstructures.cpp: backward compatibility of quotes definition ensured 2006-12-05 14:14 fdv1 * [r8277] ql/schedule.hpp: redundant inclusion pruned 2006-12-05 14:01 Ferdinando Ametrano * [r8276] ql/Calendars/china.cpp: fixed bug 2006-12-05 13:00 fdv1 * [r8275] ql/currency.hpp: redundant inclusion pruned 2006-12-05 10:44 fdv1 * [r8274] ql/interestrate.cpp: redundant inclusions pruned 2006-12-05 10:28 Ferdinando Ametrano * [r8273] ql/Quotes, ql/Quotes/simplequote.hpp: moving Quotes in their own folder 2006-12-05 10:18 Ferdinando Ametrano * [r8272] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Instruments/capfloor.hpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/swaption.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseyieldcurve.cpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/quote.hpp, test-suite/bonds.cpp, test-suite/instruments.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quotes.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitymatrix.cpp: *** empty log message *** 2006-12-04 16:22 Cristina Duminuco * [r8271] test-suite/capflooredcoupon.hpp: modified comment 2006-12-04 16:15 Cristina Duminuco * [r8270] test-suite/capflooredcoupon.cpp, test-suite/capflooredcoupon.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: Tests work (high tolerances!), conventions have to be checked. 2006-12-04 16:14 Cristina Duminuco * [r8269] QuantLib_vc8.vcproj, ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/capfloorlet.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp: A very first version of Capped-Floored Floating Rate coupon vector 2006-12-04 16:00 Giorgio Facchinetti * [r8268] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionvolcube1.cpp: forward value in SabrSmileSection signature 2006-12-04 15:17 fdv1 * [r8267] ql/Volatilities/interpolatedsmilesection.hpp: InterpolatedSmileSection default template parameter is Linear now 2006-12-04 14:46 fdv1 * [r8266] ql/discretizedasset.hpp, ql/settings.hpp: redundant inclusions pruned 2006-12-04 14:35 Ferdinando Ametrano * [r8265] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp: minor changes 2006-12-04 11:13 Giorgio Facchinetti * [r8263] ql/Volatilities/swaptionvolcube2.cpp: bug fixed 2006-12-04 10:03 Giorgio Facchinetti * [r8262] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: exported optimization method for cms market calibration 2006-12-04 09:04 Giorgio Facchinetti * [r8261] ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcube1.hpp, ql/Volatilities/swaptionvolcube2.hpp: minor change 2006-12-01 21:07 Ferdinando Ametrano * [r8260] ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp, ql/Volatilities/swaptionvolcube2.cpp, ql/Volatilities/swaptionvolcube2.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp, test-suite/capstripper.cpp: 1) SmileSectionInterface renamed SmileSection 2) SabrSmileSection signature changed 2006-12-01 19:54 Ferdinando Ametrano * [r8259] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Volatilities/Makefile.am, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/makefile.mak, ql/Volatilities/swaptionvolcube1.cpp, ql/Volatilities/swaptionvolcube1.hpp, ql/Volatilities/swaptionvolcube2.cpp, ql/Volatilities/swaptionvolcube2.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: renamed 1) SwaptionVolCubeBySabr as SwaptionVol1 2) SwaptionVolCubeByLinear as SwaptionVol2 2006-12-01 19:34 Ferdinando Ametrano * [r8258] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/interpolatedsmilesection.hpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolmatrix.cpp, test-suite/capstripper.cpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: SmileSection refactoring 2006-12-01 16:54 fdv1 * [r8257] ql/Volatilities/interpolatedsmilesection.hpp: bug fixed 2006-12-01 16:45 fdv1 * [r8256] QuantLib.dev, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Volatilities/interpolatedsmilesection.hpp: GenrericInterpolatedSmileSection class added ( should replace InterpolatedSmileSection later on ...) Luigi: We have copied the PiecewiseYieldCurve class using a interpolation factory as a template argument. I don't understand why do we templatize the factory since the factory is already abstracting out the interpolation (I hope this will be clear enough). 2006-12-01 15:28 fdv1 * [r8255] ql/Math/sabrinterpolation.hpp: SABR factory added 2006-12-01 15:27 fdv1 * [r8254] ql/Volatilities/capletvolatilitiesstructures.cpp: -bug fixed -extrapolation enabling to be fixed 2006-12-01 14:13 Ferdinando Ametrano * [r8253] ql/TermStructures/ratehelpers.cpp: additional checks 2006-12-01 09:49 Giorgio Facchinetti * [r8252] ql/Volatilities/cmsmarket.cpp: bug fixed 2006-12-01 08:43 Luigi Ballabio * [r8251] ql/Optimization/Makefile.am, ql/Optimization/criteria.cpp, ql/Volatilities/capstripper.cpp, ql/yieldtermstructure.hpp, test-suite/swaptionvolatilitymatrix.cpp: *** empty log message *** 2006-12-01 02:45 Joseph Wang * [r8250] ql/Optimization/Makefile.am, ql/Volatilities/Makefile.am: change .am files to match new files 2006-11-30 15:17 Chiara Fornarola * [r8249] ql/TermStructures/ratehelpers.cpp: ensured convexity quote greater than zero 2006-11-29 18:47 Ferdinando Ametrano * [r8248] ql/TermStructures/forwardstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Volatilities/smilesection.hpp, ql/capvolstructures.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp: using Actual365Fixed as default DayCounter 2006-11-29 18:46 Ferdinando Ametrano * [r8247] ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/piecewisezerospreadedtermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp: bug fix (accessing empty Handle) 2006-11-29 18:46 Ferdinando Ametrano * [r8246] ql/handle.hpp: exception thrown when dereferencing empty Handle. Luigi: is it OK or am I missing something? 2006-11-29 18:46 Ferdinando Ametrano * [r8245] ql/Math/sabrinterpolation.hpp: restoring previous values 2006-11-29 18:30 Ferdinando Ametrano * [r8244] test-suite/marketmodel.cpp: formatting 2006-11-29 17:17 Ferdinando Ametrano * [r8243] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/Models/abcd.cpp, ql/MarketModels/Models/abcd.hpp, ql/Math/pseudosqrt.cpp, ql/Math/sabrinterpolation.hpp, ql/Optimization/armijo.cpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/linesearch.cpp, ql/Optimization/linesearch.hpp, ql/Optimization/linesearchbasedmethod.cpp, ql/Optimization/linesearchbasedmethod.hpp, ql/Optimization/method.cpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/sabr.cpp, test-suite/marketmodel.cpp, test-suite/shortratemodels.cpp: 1) major (even if only partial) refactoring of the Optimization framework (LevenbergMarquardt has never been in the framework and it is not yet) 2) SABR refactoring 2006-11-29 16:13 Giorgio Facchinetti * [r8242] test-suite/cms.cpp: bug fixed 2006-11-28 20:39 Ferdinando Ametrano * [r8241] ql/Volatilities/sabr.cpp, ql/Volatilities/sabr.hpp: 1) SABR optimization refactored and improved 2) SABR functions moved into their own file 2006-11-28 11:48 fdv1 * [r8240] test-suite/capstripper.cpp: code cleaning up 2006-11-28 11:19 Ferdinando Ametrano * [r8239] test-suite/swaption.cpp: revisited test now using MakeVanillaSwap 2006-11-28 11:18 Ferdinando Ametrano * [r8238] ql/Volatilities/capstripper.cpp: improved error message 2006-11-28 11:17 Ferdinando Ametrano * [r8237] ql/swaptionvolstructure.hpp: one more check 2006-11-28 11:13 Ferdinando Ametrano * [r8236] ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp: added withType method 2006-11-28 11:12 Ferdinando Ametrano * [r8235] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp: more generic behaviour for the atmRate method 2006-11-28 10:18 fdv1 * [r8234] ql/Volatilities/capstripper.cpp: Excel guess bug fixed 2006-11-28 10:16 fdv1 * [r8233] ql/Volatilities/capletvolatilitiesstructures.cpp: bug fixed 2006-11-28 09:54 Giorgio Facchinetti * [r8232] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2006-11-27 18:59 Ferdinando Ametrano * [r8231] ql/TermStructures/zeroyieldstructure.hpp, ql/capvolstructures.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp: backward compatible default constructor 2006-11-27 18:35 Ferdinando Ametrano * [r8230] ql/userconfig.hpp, test-suite/quantlibtestsuite.cpp: restoring proper files... sorry 2006-11-27 18:29 Ferdinando Ametrano * [r8229] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/piecewisezerospreadedtermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/capletvariancecurve.hpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/capvolstructures.hpp, ql/userconfig.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-11-27 18:28 Ferdinando Ametrano * [r8228] ql/Volatilities/swaptionvolmatrix.cpp: deprecated code catching up... 2006-11-27 18:04 Ferdinando Ametrano * [r8227] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: added discretized Swaption Vol structure (intermediate) class 2006-11-27 17:34 Ferdinando Ametrano * [r8226] ql/Volatilities/swaptionvoldiscrete.cpp, ql/Volatilities/swaptionvoldiscrete.hpp: added discretized Swaption Vol structure (intermediate) class 2006-11-27 17:09 Ferdinando Ametrano * [r8225] ql/termstructure.hpp: adding dayCounter to TermStructure base class 2006-11-27 15:09 Marco Bianchetti * [r8224] ql/Instruments/forwardrateagreement.cpp: Exported method qlFRAisExpired 2006-11-27 14:17 Marco Bianchetti * [r8223] ql/Instruments/forwardrateagreement.cpp: Vary small adjustments in comments 2006-11-27 14:03 Marco Bianchetti * [r8222] ql/Instruments/forwardrateagreement.hpp: Vary small adjustments in comments 2006-11-24 16:15 Ferdinando Ametrano * [r8220] ql/swaptionvolstructure.hpp: using virtual public method instead of private data member 2006-11-24 16:15 Ferdinando Ametrano * [r8219] ql/Volatilities/swaptionvolcubebysabr.cpp: error formatting 2006-11-24 16:00 Giorgio Facchinetti * [r8218] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.hpp: *** empty log message *** 2006-11-24 14:17 Giorgio Facchinetti * [r8217] ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp, test-suite/swaptionvolatilitymatrix.cpp: *** empty log message *** 2006-11-24 09:35 Ferdinando Ametrano * [r8216] ql/Indexes/euriborswapfixa.cpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/euriborswapfixifr.cpp, ql/Indexes/euriborswapfixifr.hpp, ql/Indexes/eurliborswapfixa.cpp, ql/Indexes/eurliborswapfixa.hpp, ql/Indexes/eurliborswapfixb.cpp, ql/Indexes/eurliborswapfixb.hpp, ql/Indexes/eurliborswapfixifr.cpp, ql/Indexes/eurliborswapfixifr.hpp: fixed 1Y swap indexes (vs 3M instead of vs 6M) 2006-11-24 09:16 Giorgio Facchinetti * [r8215] ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: *** empty log message *** 2006-11-22 16:31 Ferdinando Ametrano * [r8214] ql/yieldtermstructure.hpp: added period based method 2006-11-22 11:05 Ferdinando Ametrano * [r8213] test-suite/marketmodel.cpp: changed looping order (factors before measure) 2006-11-22 10:58 Giorgio Facchinetti * [r8212] ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: *** empty log message *** 2006-11-22 10:20 Luigi Ballabio * [r8211] ql/CashFlows/conundrumpricer.cpp: Fixes for gcc 2006-11-21 18:51 fdv1 * [r8210] test-suite/marketmodel.cpp: testMultiStepForwardsAndOptionlets reenabled 2006-11-21 18:49 fdv1 * [r8209] test-suite/marketmodel.cpp: testMultiStepCoterminalSwapsAndSwaptions errorThreshold increased 2006-11-21 18:48 fdv1 * [r8208] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp: HybridCapletVolatilityStructure to be used constructed with a boost::shared_ptr instead of boost::shared_ptr CapsStripper: error handling improved (the cap tenor and strike are reported in the error message in case of bootstrap failure) 2006-11-21 18:33 fdv1 * [r8207] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: testMultiStepCoterminalSwapsAndSwaptions implemented swaption test not finished yet 2006-11-21 18:31 fdv1 * [r8206] ql/MarketModels/curvestate.cpp: bug fix 2006-11-21 14:01 Giorgio Facchinetti * [r8205] test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-11-21 13:53 Giorgio Facchinetti * [r8204] ql/Volatilities/swaptionvolcubebysabr.cpp: *** empty log message *** 2006-11-21 13:46 Giorgio Facchinetti * [r8203] ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: Require in sabrcalibration method of swaptionvolcubebysabr 2006-11-21 09:31 Giorgio Facchinetti * [r8202] ql/Optimization/simplex.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2006-11-21 08:10 Giorgio Facchinetti * [r8201] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: cms pricer 2006-11-17 21:01 Ferdinando Ametrano * [r8200] test-suite/testsuite.vcproj: removing benchmark from VC7 project as it doesn't compile 2006-11-17 20:45 Ferdinando Ametrano * [r8199] ql/MarketModels/utilities.cpp: *** empty log message *** 2006-11-17 15:59 Ferdinando Ametrano * [r8198] ql/Indexes/interestrateindex.cpp, ql/Volatilities/capletvolatilitiesstructures.cpp: *** empty log message *** 2006-11-17 15:36 Luigi Ballabio * [r8197] ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/OneStep/all.hpp, ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/termstructure.hpp, test-suite/Makefile.am: Fixes for gcc 2006-11-17 14:29 Ferdinando Ametrano * [r8196] ql/Indexes/interestrateindex.cpp: fixed bug 2006-11-17 14:28 Ferdinando Ametrano * [r8195] ql/PricingEngines/blackcalculator.hpp, ql/PricingEngines/blackscholescalculator.hpp: improved comments 2006-11-17 14:16 fdv1 * [r8194] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp: Capstripper class constructor argument : const boost::shared_ptr smileSectionsVolStructure replaced by: std::vector >& smileSectionInterfaces 2006-11-17 11:23 fdv1 * [r8193] test-suite/capstripper.cpp, test-suite/capstripper.hpp: strippedVolCapStrippingConsistency renamed to highPrecisionTest test precision set to 1e-12 2006-11-17 11:15 fdv1 * [r8192] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp: FloatingLeg Helper class has been removed, makeCapFloor is used instead the following arguments have been removed: capScheduleConvention, capScheduleFixingDays, calendar since they are deduced by makeCapFloor redudant includes pruned from test-suite\capsstripper.cpp 2006-11-17 11:07 Giorgio Facchinetti * [r8191] test-suite/cms.cpp: *** empty log message *** 2006-11-17 09:21 fdv1 * [r8190] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: new CapsStripper constructor provided Smile Sections based CapletVolatilityStructure added 2006-11-17 09:00 Ferdinando Ametrano * [r8189] test-suite/marketmodel.cpp: bug fix 2006-11-16 15:09 Giorgio Facchinetti * [r8188] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp: *** empty log message *** 2006-11-16 14:54 Ferdinando Ametrano * [r8187] test-suite/capfloor.cpp: *** empty log message *** 2006-11-16 14:45 Ferdinando Ametrano * [r8186] ql/Instruments/makecms.cpp, ql/Instruments/makevanillaswap.cpp: bug fix 2006-11-16 14:40 fdv1 * [r8185] ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, test-suite/marketmodel.cpp: Payoff class used in market models product ... 2006-11-16 14:37 Ferdinando Ametrano * [r8184] ql/Instruments/makecms.cpp: temporary patch 2006-11-16 14:36 fdv1 * [r8183] ql/PricingEngines/blackformula.hpp: inlined blackItmProbability 2006-11-16 14:02 Ferdinando Ametrano * [r8182] ql/PricingEngines/blackcalculator.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: improved comments and names 2006-11-16 11:44 fdv1 * [r8181] test-suite/swaptionvolatilitymatrix.cpp: bug fixed 2006-11-16 11:14 Ferdinando Ametrano * [r8180] test-suite/swaptionvolatilitymatrix.cpp, test-suite/swaptionvolatilitymatrix.hpp: clean up 2006-11-16 08:17 Giorgio Facchinetti * [r8179] test-suite/swaptionvolatilitymatrix.cpp: bug fixed 2006-11-15 19:43 Ferdinando Ametrano * [r8178] test-suite/swaptionvolatilitymatrix.cpp: swaption vol matrix test moved into its own proper file 2006-11-15 19:42 Ferdinando Ametrano * [r8177] test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitycube.hpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/swaptionvolatilitymatrix.hpp, test-suite/testsuite_vc8.vcproj: swaption vol matrix test moved into its own proper file 2006-11-15 17:49 fdv1 * [r8176] test-suite/Makefile.am: Swaption volatility matrix tests added 2006-11-15 17:39 fdv1 * [r8175] test-suite/testsuite.dev: Swaption volatility matrix tests added 2006-11-15 17:34 Ferdinando Ametrano * [r8174] test-suite/swaptionVolatilityMatrix.hpp, test-suite/swaptionvolatilitymatrix.hpp: renaming to lower case 2006-11-15 17:20 fdv1 * [r8173] test-suite/testsuite.dev: Swaption volatility matrix tests added 2006-11-15 17:17 Ferdinando Ametrano * [r8172] test-suite/swaption.cpp: higher tolerance 2006-11-15 14:41 Giorgio Facchinetti * [r8171] ql/Volatilities/swaptionvolmatrix.cpp: bug fixed 2006-11-15 11:42 Ferdinando Ametrano * [r8170] test-suite/testsuite.vcproj: VC7 catching up 2006-11-15 11:41 Ferdinando Ametrano * [r8169] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, test-suite/quantlibtestsuite.cpp: minor clean-up 2006-11-15 11:38 Ferdinando Ametrano * [r8168] ql/termstructure.hpp: moving_ upgrated to protected 2006-11-15 10:43 fdv1 * [r8167] test-suite/quantlibtestsuite.cpp, test-suite/swaptionVolatilityMatrix.hpp, test-suite/swaptionvolatilitymatrix.cpp, test-suite/testsuite_vc8.vcproj: Swaption volatility matrix tests added 2006-11-15 09:29 Luigi Ballabio * [r8166] ql/Instruments/Makefile.am, ql/Instruments/makecms.cpp, ql/MarketModels/Makefile.am, ql/MarketModels/all.hpp, ql/MarketModels/curvestate.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp: Fixes for gcc 2006-11-14 17:24 fdv1 * [r8165] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: SwaptionVolatlityMatrix lazy object inheritance implemented 2006-11-14 16:43 Ferdinando Ametrano * [r8164] test-suite/marketmodel.cpp: *** empty log message *** 2006-11-14 16:22 Marco Bianchetti * [r8163] QuantLib.vcproj: VC7 catching up 2006-11-14 15:16 Ferdinando Ametrano * [r8162] QuantLib_vc8.vcproj, ql/MarketModels/all.hpp, ql/MarketModels/lsbasisfunctions.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/lsdatacollector.hpp, ql/MarketModels/nodedataprovider.hpp, ql/MarketModels/parametricexercise.hpp, ql/MarketModels/parametricexerciseadapter.cpp, ql/MarketModels/parametricexerciseadapter.hpp, ql/MarketModels/parametricswapexercise.cpp, ql/MarketModels/parametricswapexercise.hpp, ql/MarketModels/proxygreekengine.cpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/genericlsregression.cpp, ql/MonteCarlo/genericlsregression.hpp, ql/MonteCarlo/genericparametricearlyexercise.cpp, ql/MonteCarlo/genericparametricearlyexercise.hpp, ql/MonteCarlo/nodedata.hpp, test-suite/marketmodel.cpp: *** empty log message *** 2006-11-14 12:08 Cristina Duminuco * [r8161] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/Instruments/makecms.cpp: Modified order of inputs (from spread, gearing to grearing, spread in CMSCouponVector, CMSZeroCouponVector, CMSInArrearsCouponVector. 2006-11-14 12:07 Giorgio Facchinetti * [r8160] QuantLib.vcproj: *** empty log message *** 2006-11-14 11:17 Giorgio Facchinetti * [r8159] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: cms market calibration 2006-11-14 10:40 Ferdinando Ametrano * [r8158] test-suite/marketmodel.cpp: *** empty log message *** 2006-11-14 10:37 Ferdinando Ametrano * [r8157] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Anderson lower bound test 2006-11-13 17:28 fdv1 * [r8156] ql/PricingEngines/blackformula.cpp: fix for stdev == 0 2006-11-13 16:13 Ferdinando Ametrano * [r8155] ql/MarketModels/TODO.txt: *** empty log message *** 2006-11-13 11:40 Ferdinando Ametrano * [r8154] ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: *** empty log message *** 2006-11-13 10:30 Ferdinando Ametrano * [r8153] ql/MarketModels/swapforwardmappings.cpp: *** empty log message *** 2006-11-13 09:09 Ferdinando Ametrano * [r8152] ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp: *** empty log message *** 2006-11-13 08:59 Ferdinando Ametrano * [r8151] QuantLib_vc8.vcproj, ql/PricingEngines/blackcalculator.cpp, ql/PricingEngines/blackcalculator.hpp, ql/PricingEngines/blackscholescalculator.cpp, ql/PricingEngines/blackscholescalculator.hpp: adding BlackCalculator and BlackScholesCalculator 2006-11-13 08:58 Ferdinando Ametrano * [r8150] ql/Instruments/forward.hpp, ql/Instruments/payoffs.cpp, ql/Instruments/payoffs.hpp, ql/payoff.hpp: extended Payoff interface with type() and description() 2006-11-13 08:54 Ferdinando Ametrano * [r8149] ql/option.hpp: capitalization 2006-11-13 08:42 Ferdinando Ametrano * [r8148] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: lower and upper bound test merged 2006-11-13 08:39 Ferdinando Ametrano * [r8147] ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/swapforwardconversionmatrix.cpp: *** empty log message *** 2006-11-13 08:38 Ferdinando Ametrano * [r8146] ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp: switching to new CurveState constructor and methods 2006-11-13 08:37 Ferdinando Ametrano * [r8145] ql/MarketModels/Models/coterminaltoforwardadapter.cpp, ql/MarketModels/Models/forwardtocoterminaladapter.cpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/swapforwardmappings.cpp, ql/MarketModels/swapforwardmappings.hpp: 1) added coterminal swap rate (lazy evaluation) 2) refactored 2006-11-13 08:36 Ferdinando Ametrano * [r8144] ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrflatvol.cpp: added check numberOfRates_<=numberOfFactors_*numberOfSteps_ 2006-11-13 08:22 Luigi Ballabio * [r8143] Docs/pages/license.docs, LICENSE.TXT, ql/date.cpp, ql/date.hpp: *** empty log message *** 2006-11-11 04:05 Joseph Wang * [r8142] ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/OneStep/Makefile.am: change .am files to work with new files 2006-11-11 00:02 Joseph Wang * [r8141] ql/Instruments/makecapfloor.cpp: capitalization 2006-11-10 17:58 Ferdinando Ametrano * [r8140] QuantLib.dev, QuantLib_vc8.vcproj, ql/MarketModels/Products/MultiStep/multistepcaplets.cpp, ql/MarketModels/Products/MultiStep/multistepcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepexoticcaplets.cpp, ql/MarketModels/Products/MultiStep/multistepexoticcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepoptionlets.cpp, ql/MarketModels/Products/MultiStep/multistepoptionlets.hpp, ql/MarketModels/Products/OneStep/onestepcaplets.cpp, ql/MarketModels/Products/OneStep/onestepcaplets.hpp, ql/MarketModels/Products/OneStep/onestepoptionlets.cpp, ql/MarketModels/Products/OneStep/onestepoptionlets.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: using Payoff to generalize from caplet to optionlet (cap, floor, digital, etc) 2006-11-10 17:13 Ferdinando Ametrano * [r8139] test-suite/marketmodel.cpp: *** empty log message *** 2006-11-10 17:12 Ferdinando Ametrano * [r8138] ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: removed duplicated functions 2006-11-10 17:10 Ferdinando Ametrano * [r8137] QuantLib.dev: updated 2006-11-10 17:09 Ferdinando Ametrano * [r8136] ql/MarketModels/upperboundengine.cpp: removed useless variable 2006-11-10 17:00 Ferdinando Ametrano * [r8135] ql/MarketModels/TODO.txt, test-suite/marketmodel.cpp: Mark Joshi's 5th week, day 3 2006-11-10 16:20 Ferdinando Ametrano * [r8134] QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Products/MultiStep/multistepexoticcaplets.cpp, ql/MarketModels/marketmodelconstrainedevolver.hpp, ql/MarketModels/proxygreekengine.cpp, ql/MarketModels/proxygreekengine.hpp, test-suite/marketmodel.cpp: *** empty log message *** 2006-11-10 15:56 Ferdinando Ametrano * [r8133] QuantLib_vc8.vcproj, ql/MarketModels/Products/MultiStep/cashrebate.hpp, ql/MarketModels/Products/MultiStep/multistepcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, ql/MarketModels/Products/MultiStep/multistepexoticcaplets.cpp, ql/MarketModels/Products/MultiStep/multistepexoticcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepforwards.hpp, ql/MarketModels/Products/MultiStep/multistepswap.hpp, ql/MarketModels/Products/OneStep/onestepcaplets.hpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.hpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.hpp, ql/MarketModels/Products/OneStep/onestepforwards.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: added MultiStepExoticCaplets 2006-11-09 17:32 Ferdinando Ametrano * [r8132] QuantLib_vc8.vcproj, ql/MarketModels/Models/coterminaltoforwardadapter.hpp, ql/MarketModels/Models/forwardtocoterminaladapter.hpp, ql/MarketModels/swapforwardmappings.cpp, ql/MarketModels/swapforwardmappings.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Mark Joshi's 5th week, day 2 2006-11-09 16:51 Ferdinando Ametrano * [r8131] ql/MarketModels/Models/coterminaltoforwardadapter.cpp, ql/MarketModels/Models/coterminaltoforwardadapter.hpp, ql/MarketModels/Models/forwardtocoterminaladapter.cpp, ql/MarketModels/Models/forwardtocoterminaladapter.hpp, ql/MarketModels/swapforwardmappings.cpp, ql/MarketModels/swapforwardmappings.hpp, ql/MarketModels/upperboundengine.cpp: Mark Joshi's 5th week, day 2 2006-11-09 10:05 Ferdinando Ametrano * [r8130] ql/MarketModels/upperboundengine.cpp: *** empty log message *** 2006-11-09 09:40 Ferdinando Ametrano * [r8129] QuantLib_vc8.vcproj, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp: Mark Joshi's 5th week, day 2 2006-11-08 17:35 Ferdinando Ametrano * [r8128] ql/Instruments/makecapfloor.cpp: using Cashflows::atmRate 2006-11-08 17:34 Ferdinando Ametrano * [r8127] ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/marketmodelevolver.hpp: added setInitialState method 2006-11-08 17:33 Ferdinando Ametrano * [r8126] ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp: added enable/disable callability methods 2006-11-08 17:29 Ferdinando Ametrano * [r8125] ql/CashFlows/analysis.hpp: re-ordering 2006-11-08 17:29 Ferdinando Ametrano * [r8124] ql/MarketModels/utilities.hpp: *** empty log message *** 2006-11-08 17:17 Ferdinando Ametrano * [r8123] ql/MarketModels/Products/MultiStep/exerciseadapter.hpp: added exerciseValue inspector 2006-11-08 17:15 Ferdinando Ametrano * [r8122] ql/MarketModels/evolutiondescription.cpp: *** empty log message *** 2006-11-08 17:15 Ferdinando Ametrano * [r8121] ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp: Mark Joshi's 5th week, day 1 2006-11-07 20:28 Marco Bianchetti * [r8120] test-suite/marketmodel.cpp: Work in progress on SwapCovarianceApproximator. test to be finished swapCovarianceMatrix exported to QlAddin 2006-11-07 20:13 Marco Bianchetti * [r8119] ql/Math/matrix.hpp: Enriched matrix algebra error messages 2006-11-07 19:37 Ferdinando Ametrano * [r8118] ql/TermStructures/ratehelpers.cpp, test-suite/piecewiseyieldcurve.cpp: avoiding usage of deprecated features 2006-11-07 16:09 Luigi Ballabio * [r8117] ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/capletvolatilitiesstructures.cpp: Fixes for gcc 2006-11-07 15:39 Ferdinando Ametrano * [r8116] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, test-suite/cms.cpp: proper capitalization of the YieldCurveModel enumeration 2006-11-07 14:59 fdv1 * [r8115] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/smilesection.hpp: new SmileSectionInterface taken into account SmileSectionInterface inherits from observable 2006-11-07 14:58 fdv1 * [r8114] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: constructor arguments renamed 2006-11-07 14:57 Ferdinando Ametrano * [r8113] ql/Volatilities/swaptionvolmatrix.hpp: "realistic" bounds 2006-11-07 13:46 fdv1 * [r8112] QuantLib.dev, QuantLib.vcproj: capletvolatilitiesstructures.cpp and capletvolatilitiesstructures.hpp added to projects 2006-11-07 12:03 Luigi Ballabio * [r8110] Examples/BermudanSwaption/BermudanSwaption.dev, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev, Examples/Replication/Replication.dev, Examples/Repo/Repo.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, makefile.mak, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Incremented version number 2006-11-07 11:42 Ferdinando Ametrano * [r8109] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp: refactored interface 2006-11-07 10:47 Ferdinando Ametrano * [r8108] ql/Instruments/makevanillaswap.hpp: *** empty log message *** 2006-11-07 09:25 Ferdinando Ametrano * [r8106] ql/Math/sabrinterpolation.hpp: weaker require 2006-11-07 09:25 Ferdinando Ametrano * [r8105] ql/CashFlows/conundrumpricer.cpp: *** empty log message *** 2006-11-07 09:24 Ferdinando Ametrano * [r8104] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: moved coupon-vector functions in their own file 2006-11-07 08:55 Luigi Ballabio * [r8103] Announce.txt, ChangeLog.txt, Contributors.txt, Docs/Makefile.am, Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/license.docs, Docs/print.css, Docs/quantlib.css, Docs/quantlib.doxy, Docs/quantlibheader.html, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/EquityOption/EquityOption.cpp, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/FRA/FRA_vc8.vcproj, Examples/Replication/Replication_vc8.vcproj, Examples/Repo/Repo_vc8.vcproj, Examples/Swap/Swap_vc8.vcproj, Examples/Swap/swapvaluation.cpp, LICENSE.TXT, News.txt, QuantLib.dsp, acinclude.m4, configure.ac, dev_tools/tgz2zip, man/Makefile.am, man/quantlib-benchmark.1, ql/CashFlows/all.hpp, ql/CashFlows/analysis.cpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/CashFlows/core.hpp, ql/CashFlows/dividend.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Currencies/all.hpp, ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/core.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Indexes/all.hpp, ql/Indexes/core.hpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/euriborswapfixifr.hpp, ql/Indexes/eurliborswapfixa.hpp, ql/Indexes/eurliborswapfixb.hpp, ql/Indexes/eurliborswapfixifr.hpp, ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Instruments/all.hpp, ql/Instruments/assetswap.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/core.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Lattices/all.hpp, ql/Lattices/core.hpp, ql/Makefile.am, ql/MarketModels/BrownianGenerators/Makefile.am, ql/MarketModels/BrownianGenerators/all.hpp, ql/MarketModels/BrownianGenerators/makefile.mak, ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/Evolvers/all.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/makefile.mak, ql/MarketModels/ExerciseStrategies/Makefile.am, ql/MarketModels/ExerciseStrategies/all.hpp, ql/MarketModels/ExerciseStrategies/makefile.mak, ql/MarketModels/ExerciseStrategies/swapratetrigger.cpp, ql/MarketModels/ExerciseValues/Makefile.am, ql/MarketModels/ExerciseValues/all.hpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/makefile.mak, ql/MarketModels/ExerciseValues/nothingexercisevalue.cpp, ql/MarketModels/Makefile.am, ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/abcd.hpp, ql/MarketModels/Models/all.hpp, ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/MarketModels/Models/makefile.mak, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/MultiStep/cashrebate.cpp, ql/MarketModels/Products/MultiStep/makefile.mak, ql/MarketModels/Products/OneStep/Makefile.am, ql/MarketModels/Products/OneStep/all.hpp, ql/MarketModels/Products/OneStep/makefile.mak, ql/MarketModels/Products/all.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/makefile.mak, ql/MarketModels/all.hpp, ql/MarketModels/core.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/marketmodel.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp, ql/MarketModels/utilities.cpp, ql/Math/all.hpp, ql/Math/convergencestatistics.hpp, ql/Math/core.hpp, ql/Math/forwardflatinterpolation.hpp, ql/Math/linearleastsquaresregression.hpp, ql/Math/multicubicspline.hpp, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp, ql/Math/sabrinterpolation.hpp, ql/MonteCarlo/all.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/core.hpp, ql/MonteCarlo/longstaffschwartzpathpricer.hpp, ql/MonteCarlo/lsmbasissystem.cpp, ql/MonteCarlo/lsmbasissystem.hpp, ql/Optimization/all.hpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/core.hpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/lmdif.cpp, ql/Pricers/all.hpp, ql/Pricers/core.hpp, ql/PricingEngines/Asian/all.hpp, ql/PricingEngines/Barrier/all.hpp, ql/PricingEngines/Basket/all.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/CapFloor/all.hpp, ql/PricingEngines/Cliquet/all.hpp, ql/PricingEngines/Forward/all.hpp, ql/PricingEngines/Hybrid/all.hpp, ql/PricingEngines/Quanto/all.hpp, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/all.hpp, ql/PricingEngines/blackformula.cpp, ql/Processes/all.hpp, ql/Processes/g2process.cpp, ql/Processes/merton76process.hpp, ql/RandomNumbers/all.hpp, ql/RandomNumbers/core.hpp, ql/ShortRateModels/CalibrationHelpers/all.hpp, ql/ShortRateModels/LiborMarketModels/all.hpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmvolmodel.cpp, ql/ShortRateModels/OneFactorModels/all.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/TwoFactorModels/all.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/all.hpp, ql/ShortRateModels/core.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Utilities/all.hpp, ql/Utilities/clone.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/VolatilityModels/all.hpp, ql/VolatilityModels/constantestimator.hpp, ql/VolatilityModels/garch.cpp, ql/calendar.hpp, ql/config.msvc.hpp, ql/core.hpp, ql/currency.hpp, ql/index.cpp, ql/index.hpp, ql/instrument.hpp, ql/period.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/schedule.cpp, test-suite/Makefile.am, test-suite/basketoption.cpp, test-suite/calendars.cpp, test-suite/cms.cpp, test-suite/europeanoption.cpp, test-suite/interestrates.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantlibbenchmark.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/testsuite_vc8.vcproj: Merged 0.3.14 branch 2006-11-07 08:20 fdv1 * [r8102] ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp: ooppss inclusion fixed, sorry for the inconvenience the needed code contained in hybridCapsStripper has been moved to capletvolatlitiesstructures.hpp 2006-11-06 19:42 Ferdinando Ametrano * [r8101] test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: using not-deprecated constructors 2006-11-06 19:41 Ferdinando Ametrano * [r8100] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: undeprecating one constructor 2006-11-06 19:39 Ferdinando Ametrano * [r8099] ql/Volatilities/smilesection.hpp: *** empty log message *** 2006-11-06 18:50 fdv1 * [r8098] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp: CapsStripper has been refactored to provide much more flexibility and robustness - the booststrap algorithm can use any interpolation method - Floors are used for strikes below atm Rate, Caps are used above - Future options volatilities can be used with minor code changes - consistency test is accurate at machine precision level now (flat volatilty is less accurate now but makes little sense now) 2006-11-06 18:36 fdv1 * [r8097] QuantLib_vc8.vcproj: capletvolatilitiesstructures.cpp and capletvolatilitiesstructures.hpp added 2006-11-06 17:28 fdv1 * [r8096] ql/Volatilities/capletvolatilitiesstructures.cpp, ql/Volatilities/capletvolatilitiesstructures.hpp: new caplet volatitlity structure used by the next version of CapsStripper 2006-11-06 17:25 fdv1 * [r8095] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/Instruments/capfloor.cpp: atmRate method has been factored out since it will be also used in the next CapsStripper version 2006-11-06 15:47 Ferdinando Ametrano * [r8094] ql/Volatilities/smilesection.hpp: *** empty log message *** 2006-11-06 14:59 Giorgio Facchinetti * [r8093] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: *** empty log message *** 2006-11-06 10:33 Ferdinando Ametrano * [r8092] test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-11-06 10:27 Ferdinando Ametrano * [r8090] ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/cmsmarket.cpp: *** empty log message *** 2006-11-06 09:50 Ferdinando Ametrano * [r8088] ql/Instruments/vanillaswap.hpp: 1) added operator<< for VanillaSwap::Type 2006-11-06 09:49 Ferdinando Ametrano * [r8087] ql/Indexes/xibor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/swap.hpp: *** empty log message *** 2006-11-06 09:33 Ferdinando Ametrano * [r8086] test-suite/swaption.cpp: fixed test logic 2006-11-06 09:15 Ferdinando Ametrano * [r8085] ql/Instruments/swaption.hpp: 1) added operator<< for Settlement::Type 2) added type() inspector to Swaption class, returning Payer/Receiver 2006-11-06 09:07 Katiuscia Manzoni * [r8084] ql/Volatilities/swaptionvolcubebysabr.cpp: commented out check on max iterations 2006-11-06 08:52 Ferdinando Ametrano * [r8083] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Instruments/makecms.cpp, ql/Instruments/makecms.hpp: added makeCMS 2006-11-03 16:14 Nicola Jean * [r8082] ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp: some code added to the upperbound engine 2006-11-03 16:02 Luigi Ballabio * [r8081] configure.ac, ql/Instruments/capfloor.cpp, ql/Instruments/vanillaswap.hpp, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.hpp, ql/Volatilities/capstripper.cpp, test-suite/capfloor.cpp: Fixes for gcc 2006-11-03 13:34 Ferdinando Ametrano * [r8080] ql/Volatilities/swaptionvolcubebysabr.cpp: check added 2006-11-03 13:33 Ferdinando Ametrano * [r8079] ql/Math/sabrinterpolation.hpp: more iterations 2006-11-03 12:23 fdv1 * [r8078] test-suite/capstripper.cpp, test-suite/capstripper.hpp: uneeded results displays removed 2006-11-03 11:58 fdv1 * [r8077] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp: implied volatility parameter added CapFloor last Fixing Date used Floating reference date used for tests 2006-11-03 11:45 fdv1 * [r8076] test-suite/capfloor.cpp: refactored checks floor vega test added 2006-11-03 10:35 Ferdinando Ametrano * [r8075] ql/Math/sabrinterpolation.hpp: *** empty log message *** 2006-11-03 10:34 fdv1 * [r8074] test-suite/swaptionvolatilitycube.cpp: comments added 2006-11-03 09:05 Giorgio Facchinetti * [r8072] ql/Math/sabrinterpolation.hpp: bug fixed 2006-11-02 23:57 Joseph Wang * [r8071] ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp: fix capitalization 2006-11-02 21:47 Ferdinando Ametrano * [r8070] ql/MarketModels/accountingengine.cpp: *** empty log message *** 2006-11-02 20:18 Ferdinando Ametrano * [r8069] ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: added bachelierBlackFormula 2006-11-02 20:13 Ferdinando Ametrano * [r8068] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp: added const Calendar& to the fixed reference constructor. Luigi: calendar_ could not be accessed by SwaptionVolatilityMatrix, even if I declared as protected in TermStructure. C++ or MSVC8? 2006-11-02 18:35 Ferdinando Ametrano * [r8067] ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp: singlePathValue(s) method declared as private 2006-11-02 18:13 Ferdinando Ametrano * [r8066] ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/Makefile.am, ql/MarketModels/marketmodelconstrainedevolver.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: formatting 2006-11-02 18:07 Ferdinando Ametrano * [r8065] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.h, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/marketmodelconstrainedevolver.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: formatting 2006-11-02 18:03 Ferdinando Ametrano * [r8064] ql/schedule.hpp: using at() instead of [] where appropriate 2006-11-02 17:13 Nicola Jean * [r8063] ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/upperboundengine.cpp, ql/MarketModels/upperboundengine.hpp: upperbound engine implementation(not added to the project yet). Added few methods to composite product an callspecifiedmultiproduct. 2006-11-02 13:45 Ferdinando Ametrano * [r8062] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: SwaptionVolMatrix refactored 2006-11-02 13:39 Giorgio Facchinetti * [r8061] test-suite/cms.cpp: bug fix 2006-11-02 13:35 Ferdinando Ametrano * [r8060] ql/Volatilities/swaptionvolcube.hpp: *** empty log message *** 2006-11-02 09:27 Giorgio Facchinetti * [r8059] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: replaced const Matrix& bidAskSpreads by const std::vector > >& bidAskSpreads in CmsMarket constructor 2006-11-02 08:36 Ferdinando Ametrano * [r8057] ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: swaptionvolcube refactoring 2006-11-02 06:10 markjoshi * [r8056] ql/MarketModels/Evolvers/forwardrateconstrainedeuler.cpp, ql/MarketModels/Evolvers/forwardrateconstrainedeuler.h, ql/MarketModels/Evolvers/forwardrateeulerevolver.cpp, ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp, ql/MarketModels/marketmodelconstrainedevolver.hpp: added constrained evolvers for proxy simulation greeks method also added Euler stepping 2006-11-02 00:39 markjoshi * [r8055] ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: added Bachelier model formulas, i.e. normal as opposed to lognormal 2006-11-01 06:17 Joseph Wang * [r8054] ql/Indexes/Makefile.am: fix missing files in Makefile.am 2006-10-31 12:29 Ferdinando Ametrano * [r8051] ql/TermStructures/ratehelpers.cpp: *** empty log message *** 2006-10-31 12:27 Ferdinando Ametrano * [r8050] test-suite/capstripper.cpp: error formatting 2006-10-31 12:13 Katiuscia Manzoni * [r8049] ql/Indexes/euriborswapfixa.cpp: *** empty log message *** 2006-10-31 12:01 Ferdinando Ametrano * [r8047] ql/date.cpp: *** empty log message *** 2006-10-31 11:50 Ferdinando Ametrano * [r8045] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Indexes/euriborswapfixa.cpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/euriborswapfixifr.cpp, ql/Indexes/euriborswapfixifr.hpp, ql/Indexes/eurliborswapfixa.cpp, ql/Indexes/eurliborswapfixa.hpp, ql/Indexes/eurliborswapfixb.cpp, ql/Indexes/eurliborswapfixb.hpp, ql/Indexes/eurliborswapfixifr.cpp, ql/Indexes/eurliborswapfixifr.hpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/swapindex.cpp, ql/Volatilities/swaptionvolcube.cpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: tenor-based SwapIndex constructor 2006-10-31 11:47 Ferdinando Ametrano * [r8044] ql/Indexes/swapindex.hpp, ql/Indexes/xibor.hpp, ql/Instruments/makevanillaswap.cpp, ql/TermStructures/ratehelpers.cpp: termStructureHandle() method 2006-10-31 11:44 Ferdinando Ametrano * [r8043] ql/date.cpp, ql/date.hpp: factored out check in dedicated method 2006-10-31 11:42 Marco Bianchetti * [r8041] ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: back to non-vector displacements. 2006-10-31 11:15 Ferdinando Ametrano * [r8040] test-suite/quantlibtestsuite.cpp: restored all tests 2006-10-31 11:03 Ferdinando Ametrano * [r8039] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: changed swaptioVoleCub signature 2006-10-31 10:33 Marco Bianchetti * [r8038] ql/MarketModels/driftcalculator.hpp: changed name from qlDriftCalculatorCompute to qlDriftCalculatorComputePlain 2006-10-31 08:48 Giorgio Facchinetti * [r8036] ql/Volatilities/cmsmarket.cpp: bug fix 2006-10-31 04:56 Joseph Wang * [r8035] ql/MarketModels/Products/MultiStep/Makefile.am: add new file to am file 2006-10-30 16:59 Giorgio Facchinetti * [r8033] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: Added cms calibration on forward price 2006-10-30 16:33 Marco Bianchetti * [r8031] test-suite/quantlibtestsuite.cpp: added some minor comment 2006-10-30 16:30 Marco Bianchetti * [r8030] ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: Work in progress onto swapforwardconversionmatrix 2006-10-30 15:44 Giorgio Facchinetti * [r8029] test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: added isVegaWeighted choice 2006-10-30 13:24 Giorgio Facchinetti * [r8026] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: added isVegaWeighted choice 2006-10-27 15:31 Ferdinando Ametrano * [r8023] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp: *** empty log message *** 2006-10-27 10:10 Giorgio Facchinetti * [r8018] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: added pricesCms calibration 2006-10-27 10:02 fdv1 * [r8017] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: Last Fixing Date method added 2006-10-26 18:31 Marco Bianchetti * [r8016] ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: Work in progress onto swapforwardconversionmatrix 2006-10-26 18:15 Marco Bianchetti * [r8015] ql/MarketModels/driftcalculator.hpp, ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp, test-suite/marketmodel.cpp: Added references in swapforwardconversionmatrix.hpp some minor formatting 2006-10-26 17:57 Cristina Duminuco * [r8014] ql/Math/sabrinterpolation.hpp: vega weighted fit 2006-10-26 16:13 Nicola Jean * [r8013] ql/MarketModels/upper bound.txt: upper bound (possible) todo list 2006-10-26 15:09 Marco Bianchetti * [r8012] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Swaption pricing with Jackel-Rebonato approximated swaption volatility Work in progress: test suite still inactive. 2006-10-26 14:01 Marco Bianchetti * [r8010] ql/MarketModels/Products/MultiStep/multistepcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/evolutiondescription.hpp: Swaption pricing with Jackel-Rebonato approximated swaption volatility Work in progress: test suite still inactive. some other minor reformatting. 2006-10-26 11:10 Ferdinando Ametrano * [r8009] test-suite/marketmodel.cpp: more realistic default tolerance 2006-10-26 10:43 Ferdinando Ametrano * [r8008] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: Floor vega added 2006-10-26 08:42 Ferdinando Ametrano * [r8005] ql/MarketModels/Models/abcd.cpp, ql/MarketModels/Models/abcd.hpp, test-suite/testsuite_vc8.vcproj: 1) added maxError 2) more realistic default tolerance 2006-10-25 09:42 Ferdinando Ametrano * [r8004] ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp: MakeCapFloor proper signature 2006-10-25 09:31 Ferdinando Ametrano * [r8003] test-suite/swaption.cpp: refactored checks 2006-10-25 09:30 Ferdinando Ametrano * [r8002] ql/Math/interpolation.hpp: reverting back "QuantLib::Interpolation makes a copy of x,y" 2006-10-25 07:37 Ferdinando Ametrano * [r8001] ql/Volatilities/smilesection.cpp: checks added 2006-10-25 07:27 Ferdinando Ametrano * [r8000] test-suite/testsuite.vcproj: *** empty log message *** 2006-10-24 21:54 Joseph Wang * [r7999] ql/Volatilities/Makefile.am: add missing files 2006-10-24 16:15 Luigi Ballabio * [r7998] QuantLib_vc8.vcproj, ql/MarketModels/BrownianGenerators/Makefile.am, ql/MarketModels/BrownianGenerators/makefile.mak, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.cpp, ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.hpp, ql/MarketModels/all.hpp, ql/MonteCarlo/brownianbridge.cpp: Added Brownian-bridged Sobol generator for market models 2006-10-24 14:40 Ferdinando Ametrano * [r7997] ql/Math/interpolation.hpp: QuantLib::Interpolation makes a copy of x,y 2006-10-24 14:39 Ferdinando Ametrano * [r7996] ql/TermStructures/compoundforward.hpp: pruned useless inclusion 2006-10-24 13:03 Joseph Wang * [r7994] ql/Volatilities/smilesection.hpp: virtualize destructor 2006-10-24 13:01 Joseph Wang * [r7993] ql/Math/interpolation.hpp: make constructor args consistent order with variable order 2006-10-24 10:54 Ferdinando Ametrano * [r7992] ql/Instruments/oneassetoption.hpp: pruned useless inclusion 2006-10-24 10:52 Ferdinando Ametrano * [r7991] QuantLib.vcproj: VC7 catching up 2006-10-24 10:46 Ferdinando Ametrano * [r7990] ql/CashFlows/capflooredcoupon.cpp, ql/CashFlows/capflooredcoupon.hpp, ql/CashFlows/capfloorlet.cpp, ql/CashFlows/capfloorlet.hpp: new files added (not yet compiled) 2006-10-24 10:45 Ferdinando Ametrano * [r7989] QuantLib_vc8.vcproj, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebylinear.cpp, ql/Volatilities/swaptionvolcubebylinear.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: SwaptionCube refactoring 2006-10-24 10:13 Ferdinando Ametrano * [r7988] ql/Math/interpolation.hpp, ql/Math/sabrinterpolation.hpp: Interpolation makes a copy of x,y 2006-10-24 09:59 Giorgio Facchinetti * [r7987] ql/Volatilities/smilesection.cpp: bug fix 2006-10-23 20:01 Joseph Wang * [r7985] ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp: fix capitalization for black's formula 2006-10-23 18:30 Ferdinando Ametrano * [r7984] ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: SmileSection first refactoring 2006-10-23 18:16 Ferdinando Ametrano * [r7983] QuantLib.vcproj, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: VC catching up 2006-10-23 18:01 Joseph Wang * [r7982] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp: fix capitalization 2006-10-23 17:14 Ferdinando Ametrano * [r7981] test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-10-23 16:15 Ferdinando Ametrano * [r7980] ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp: forward start added to constructor 2006-10-23 15:39 Luigi Ballabio * [r7979] QuantLib_vc8.vcproj, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/brownianbridge.cpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/pathgenerator.hpp, test-suite/Makefile.am, test-suite/asianoptions.cpp, test-suite/brownianbridge.cpp, test-suite/brownianbridge.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: Reimplemented Brownian bridge 2006-10-23 15:20 Giorgio Facchinetti * [r7978] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: set parametersGuess with sparseParameters result 2006-10-23 14:37 Luigi Ballabio * [r7976] ql/Indexes/cdor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/zibor.hpp: *** empty log message *** 2006-10-23 13:57 Giorgio Facchinetti * [r7975] ql/Volatilities/swaptionvolcubebysabr.cpp: Added end criteria in sabr calibration report 2006-10-23 13:55 Giorgio Facchinetti * [r7974] ql/Math/sabrinterpolation.hpp: changed sabr swaptions calibration tolerance 2006-10-23 10:00 fdv1 * [r7970] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp: SmileSectionInterface defined 2006-10-23 08:39 Ferdinando Ametrano * [r7968] ql/PricingEngines/Makefile.am, ql/PricingEngines/makefile.mak: *** empty log message *** 2006-10-23 08:21 Ferdinando Ametrano * [r7967] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, ql/PricingEngines/blackmodel.cpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/core.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.hpp, test-suite/marketmodel.cpp: 1) blackmodel.hpp content merged into blackformula.hpp 2) pruned useless inclusions 2006-10-22 02:56 Joseph Wang * [r7966] ql/Instruments/Makefile.am: add new files 2006-10-20 19:33 Ferdinando Ametrano * [r7965] ql/TermStructures/ratehelpers.cpp: *** empty log message *** 2006-10-20 19:26 Ferdinando Ametrano * [r7964] ql/Volatilities/swaptionvolcube.cpp: *** empty log message *** 2006-10-20 19:14 Ferdinando Ametrano * [r7963] ql/Indexes/swapindex.cpp, ql/TermStructures/ratehelpers.cpp: *** empty log message *** 2006-10-20 18:34 Ferdinando Ametrano * [r7962] ql/userconfig.hpp: sorry... 2006-10-20 18:08 Ferdinando Ametrano * [r7961] ql/userconfig.hpp: sorry... 2006-10-20 18:05 Ferdinando Ametrano * [r7960] ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp, ql/userconfig.hpp: withForwardStart 2006-10-20 18:00 Ferdinando Ametrano * [r7959] ql/Indexes/xibor.cpp, ql/Instruments/bond.cpp, ql/Instruments/forward.cpp, ql/Instruments/swap.cpp: *** empty log message *** 2006-10-20 15:56 Ferdinando Ametrano * [r7958] ql/CashFlows/floatingratecoupon.hpp, ql/Indexes/swapindex.cpp, ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/swaptionvolcube.cpp: makeCapFloor added (not finished yet...) 2006-10-20 15:27 fdv1 * [r7957] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/blackmodel.hpp: vega computation has been factored out blackVega method is used for both Cap and Swaption 2006-10-20 15:25 Ferdinando Ametrano * [r7956] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/Instruments/makecapfloor.cpp, ql/Instruments/makecapfloor.hpp, ql/Instruments/makevanillaswap.cpp, ql/Instruments/makevanillaswap.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp: makeCapFloor added (not finished yet...) 2006-10-20 15:24 Ferdinando Ametrano * [r7955] ql/Instruments/swap.hpp: inspector added 2006-10-19 13:22 fdv1 * [r7953] test-suite/swaption.cpp, test-suite/swaption.hpp: test vega added 2006-10-19 10:52 fdv1 * [r7952] ql/PricingEngines/Swaption/blackswaptionengine.cpp: Vega computation implemented 2006-10-19 10:51 fdv1 * [r7951] ql/Instruments/swaption.cpp: atmRate mehod implemented 2006-10-19 09:54 Ferdinando Ametrano * [r7950] ql/date.cpp: one more check added 2006-10-19 08:04 Ferdinando Ametrano * [r7949] test-suite/quantlibtestsuite.cpp: alphabetic order 2006-10-19 07:28 Ferdinando Ametrano * [r7948] test-suite/europeanoption.cpp: realistic test for implied vol 2006-10-19 07:27 Ferdinando Ametrano * [r7947] ql/solver1d.hpp: bug fix 2006-10-19 00:59 Joseph Wang * [r7946] ql/Instruments/vanillaswap.hpp: match constructor order with declaration order 2006-10-18 20:39 Ferdinando Ametrano * [r7945] ql/Math/sabrinterpolation.hpp: temporary patch 2006-10-18 20:24 Ferdinando Ametrano * [r7944] ql/MarketModels/driftcalculator.cpp: work in progress ;-) 2006-10-18 19:56 Ferdinando Ametrano * [r7943] ql/MarketModels/TODO.txt: *** empty log message *** 2006-10-18 19:47 Ferdinando Ametrano * [r7942] ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp: added fixedLegNPV and floatingLegNPV, as for Swap 2006-10-18 16:47 fdv1 * [r7941] ql/Volatilities/capstripper.hpp: CapsStripper update method call both TermStructure and LazyObject update methods 2006-10-18 16:46 fdv1 * [r7940] ql/Volatilities/capstripper.cpp: lastFloatingCoupon renamed into floatingCoupon 2006-10-18 13:48 Giorgio Facchinetti * [r7939] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: bug fixed 2006-10-18 09:55 fdv1 * [r7936] ql/Volatilities/capstripper.cpp: observable / observer bug fixed 2006-10-17 17:22 Ferdinando Ametrano * [r7933] QuantLib_vc8.vcproj: VC8 catching up 2006-10-17 17:16 Marco Bianchetti * [r7932] QuantLib.vcproj, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, ql/MarketModels/swapforwardconversionmatrix.cpp: Work in progress on swaption calibration 2006-10-17 17:06 fdv1 * [r7931] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp, test-suite/capstripper.hpp: many bug fixed test crash fixed 2006-10-17 17:03 Ferdinando Ametrano * [r7930] ql/Math/sabrinterpolation.hpp: *** empty log message *** 2006-10-17 14:31 Giorgio Facchinetti * [r7929] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: splitted construction and calibration of swaptionvolcubebysabr 2006-10-17 12:14 Joseph Wang * [r7928] test-suite/capfloor.cpp, test-suite/capstripper.cpp: fix capitalization oops 2006-10-17 11:33 fdv1 * [r7927] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp: added parametrized volatility 2006-10-17 10:24 Ferdinando Ametrano * [r7926] ql/index.hpp: isValidFixingDate added 2006-10-17 10:22 Ferdinando Ametrano * [r7925] ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/index.cpp, ql/index.hpp: isValidFixingDate added 2006-10-16 17:58 fdv1 * [r7922] test-suite/capstripper.cpp, test-suite/capstripper.hpp: cached values test added but not finished yet 2006-10-16 17:57 fdv1 * [r7921] test-suite/capfloor.cpp: analytical vega formulae tested 2006-10-16 17:53 fdv1 * [r7920] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: the stripping agortithm uses analytical vega now, the vega threshold has been increased to enhance robustness 2006-10-16 17:51 fdv1 * [r7919] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp: analytical CapFloor vega worked now, numerical method has been removed 2006-10-16 17:03 Nicola Jean * [r7918] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, test-suite/jumpdiffusion.cpp: added analytic theta calculation to the jump diffusion model. In the test suite the convergence level for the jump diffusion engine has been increased up to 10e-08 and the period length to 5 years to guarantee a match between the approximated and the analytical values. With smaller periods the numerical calculation of theta might be wrong, especially when jump events occour. 2006-10-16 14:18 Giorgio Facchinetti * [r7917] ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp, test-suite/marketmodel.cpp: Added files 2006-10-16 14:12 Giorgio Facchinetti * [r7916] ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: Added swapCovarianceMatrix method 2006-10-16 13:21 Ferdinando Ametrano * [r7915] ql/Indexes/swapindex.cpp: *** empty log message *** 2006-10-16 13:12 Ferdinando Ametrano * [r7914] ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/ratehelpers.cpp, ql/calendar.cpp, ql/calendar.hpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/termstructures.cpp: 1) deprecated MonthEndReference 2) Xibor constructor with endOfMonth boolean 2006-10-16 08:07 Ferdinando Ametrano * [r7912] ql/Utilities/dataparsers.cpp: bug fix 2006-10-16 07:42 Ferdinando Ametrano * [r7911] Examples/Swap/swapvaluation.cpp: in synch with QuantLib 2006-10-15 23:12 Joseph Wang * [r7910] ql/CashFlows/Makefile.am: fix .am files 2006-10-15 17:36 Joseph Wang * [r7909] test-suite/Makefile.am, test-suite/capstripper.cpp: include capstripper in Makefile.am change variable name index in capstripper to avoid compile conflicts 2006-10-13 18:49 Ferdinando Ametrano * [r7907] ql/Utilities/dataparsers.cpp: restored original check 2006-10-13 18:40 Ferdinando Ametrano * [r7906] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: added no-collar constructor with slimmer input list. Shouldn't we deprecate Collar at all? 2006-10-13 18:38 Ferdinando Ametrano * [r7905] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: *** empty log message *** 2006-10-13 17:00 fdv1 * [r7904] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp: atmRate and vega methods added but not finished yet 2006-10-13 16:59 fdv1 * [r7903] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp: CapFloor::Results data member vega renamed into vega_ 2006-10-13 16:28 fdv1 * [r7902] ql/Utilities/dataparsers.cpp: Error handling improved 2006-10-13 13:52 Ferdinando Ametrano * [r7901] ql/capvolstructures.hpp: Period based methods added 2006-10-13 12:57 Ferdinando Ametrano * [r7900] ql/swaptionvolstructure.hpp: *** empty log message *** 2006-10-13 11:04 Ferdinando Ametrano * [r7899] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-10-13 10:37 fdv1 * [r7898] ql/Instruments/capfloor.cpp, ql/Volatilities/capstripper.hpp: code clean up 2006-10-12 19:10 Ferdinando Ametrano * [r7897] ql/Math/pseudosqrt.cpp: some improvement, but the Hypersphere decomposition works only for correlation matrices, not covariance matrices 2006-10-12 18:11 fdv1 * [r7896] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/quantlibtestsuite.cpp: work in progress ... 2006-10-12 17:12 Ferdinando Ametrano * [r7895] test-suite/capfloor.cpp: *** empty log message *** 2006-10-12 17:05 Ferdinando Ametrano * [r7894] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: *** empty log message *** 2006-10-12 16:09 fdv1 * [r7893] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: code clean up 2006-10-12 13:16 Ferdinando Ametrano * [r7891] ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: *** empty log message *** 2006-10-12 12:53 Ferdinando Ametrano * [r7890] ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, test-suite/bermudanswaption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/libormarketmodel.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: introducing and using Payer/Receiver 2006-10-12 11:38 fdv1 * [r7888] ql/Volatilities/capstripper.cpp: CapStripper initializing order changed to avoid gcc warnings 2006-10-12 11:36 fdv1 * [r7887] QuantLib.dev: indexedcoupon.hpp removed Cap stripper sources added 2006-10-12 10:57 Ferdinando Ametrano * [r7886] ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/makefile.mak: new added files 2006-10-12 10:05 Ferdinando Ametrano * [r7884] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-10-11 18:29 Ferdinando Ametrano * [r7881] test-suite/convertiblebonds.cpp: removed deprecated code 2006-10-11 18:23 Ferdinando Ametrano * [r7880] Makefile.am, QuantLib.sln, QuantLib_vc8.sln, QuantLib_vc8.vcproj, functions, makefile.mak, ql/CashFlows/all.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Indexes/xibor.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/PricingEngines/blackmodel.hpp, ql/Processes/blackscholesprocess.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/calendar.hpp, ql/schedule.cpp, ql/schedule.hpp: removed deprecated code 2006-10-11 18:22 Ferdinando Ametrano * [r7879] ql/Indexes/interestrateindex.cpp, ql/settings.hpp: added enforceTodaysHistoricFixings 2006-10-11 17:05 Ferdinando Ametrano * [r7878] ql/RandomNumbers/seedgenerator.hpp: *** empty log message *** 2006-10-11 17:04 Ferdinando Ametrano * [r7877] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp: using QuantLib::Spread type 2006-10-11 17:04 Ferdinando Ametrano * [r7876] ql/MarketModels/Models/expcorrabcdvol.cpp: removing useless code 2006-10-11 15:29 fdv1 * [r7875] ql/Math/pseudosqrt.cpp: bug correction: the matrix reduction algorithm has been changed to retained at least one factor even if the componentRetainedPercentage argument is low 2006-10-11 15:12 fdv1 * [r7874] test-suite/quantlibtestsuite.cpp: CapStripper test added 2006-10-11 15:10 fdv1 * [r7873] test-suite/testsuite_vc8.vcproj: CapStripper tests sources added 2006-10-11 15:09 fdv1 * [r7872] test-suite/capfloor.cpp, test-suite/utilities.hpp: checkAbsError function moved to capfloor source 2006-10-11 14:28 fdv1 * [r7871] QuantLib_vc8.vcproj: CapStripper source files added 2006-10-11 14:21 fdv1 * [r7870] test-suite/utilities.hpp: checkAbsError inlined 2006-10-11 14:20 fdv1 * [r7869] test-suite/utilities.hpp: checkAbsError function added 2006-10-11 14:19 fdv1 * [r7868] test-suite/capstripper.cpp, test-suite/capstripper.hpp: code refactoring 2006-10-11 14:18 fdv1 * [r7867] test-suite/capfloor.cpp, test-suite/capfloor.hpp: ATM rate test added 2006-10-11 14:17 fdv1 * [r7866] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: numerical vega computation added (to be improved later on) ATM rate added 2006-10-11 14:14 fdv1 * [r7865] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp: many code refactoring stripping algorithm relies on caps vega to decide wether using stripped caps or market caps 2006-10-11 13:12 fdv1 * [r7864] ql/CashFlows/fixedratecoupon.hpp: startDate renamed into accrualStartDate endDate renamed into accrualEndDate for clarity and uniformity sake 2006-10-11 12:34 Luigi Ballabio * [r7862] QuantLib.dev, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.vcproj, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/makefile.mak, ql/CashFlows/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/MarketModels/BrownianGenerators/makefile.mak, ql/MarketModels/Evolvers/makefile.mak, ql/MarketModels/ExerciseStrategies/makefile.mak, ql/MarketModels/ExerciseValues/makefile.mak, ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/makefile.mak, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/MultiStep/makefile.mak, ql/MarketModels/Products/OneStep/makefile.mak, ql/MarketModels/Products/all.hpp, ql/MarketModels/Products/makefile.mak, ql/MarketModels/makefile.mak, ql/Math/Makefile.am, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/Makefile.am, ql/Optimization/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/Volatilities/makefile.mak, ql/makefile.mak, test-suite/Makefile.am, test-suite/array.cpp, test-suite/makefile.mak, test-suite/marketmodel.cpp, test-suite/testsuite.dev, test-suite/testsuite.dsp: More cleanup 2006-10-11 11:50 Luigi Ballabio * [r7861] ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: Undeprecated time interface for swaption volatility structures 2006-10-11 11:48 Ferdinando Ametrano * [r7860] ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrabcdvol.hpp, ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/MarketModels/marketmodel.hpp, test-suite/marketmodel.cpp: using QuantLib::Spread type 2006-10-11 10:09 Luigi Ballabio * [r7859] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/utilities.hpp, ql/Processes/hullwhiteprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.cpp, ql/period.cpp, ql/period.hpp, test-suite/convertiblebonds.cpp, test-suite/marketmodel.cpp: Miscellaneous cleanup 2006-10-11 10:00 Luigi Ballabio * [r7858] Contributors.txt, Docs/pages/authors.docs, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp: Hypersphere salvaging algorithm added (thanks to Yiping Chen) 2006-10-10 14:19 fdv1 * [r7857] ql/Volatilities/capstripper.cpp, ql/Volatilities/capstripper.hpp, test-suite/capstripper.cpp: Work in progress 2006-10-09 14:42 Marco Bianchetti * [r7856] test-suite/marketmodel.cpp: testDriftCalculator : added loop over numeraires. 2006-10-09 14:30 fdv1 * [r7855] ql/Instruments/capfloor.cpp: lastFixing variable renamed to lastPaymentDate 2006-10-09 14:07 fdv1 * [r7854] ql/Volatilities/capstripper.cpp: the stripping code is now stored in this file, the stripping algorithm robustness still needs to be enhanced 2006-10-09 11:30 Marco Bianchetti * [r7853] ql/MarketModels/driftcalculator.cpp: changed comments 2006-10-09 10:02 Ferdinando Ametrano * [r7852] ql/MarketModels/TODO.txt, ql/MarketModels/lsdatacollector.hpp: *** empty log message *** 2006-10-09 10:02 Ferdinando Ametrano * [r7851] test-suite/marketmodel.cpp: using ConvergenceStatistics 2006-10-06 15:33 fdv1 * [r7850] test-suite/capstripper.cpp, test-suite/capstripper.hpp: *** empty log message *** 2006-10-06 15:31 fdv1 * [r7849] ql/Volatilities/capstripper.hpp: first commit, the file cpp will be added later on 2006-10-06 14:15 Ferdinando Ametrano * [r7848] test-suite/marketmodel.cpp: *** empty log message *** 2006-10-06 08:37 Luigi Ballabio * [r7847] Authors.txt, Contributors.txt, Docs/pages/authors.docs: *** empty log message *** 2006-10-05 16:39 Luigi Ballabio * [r7846] ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/swaptionvolcube.cpp: *** empty log message *** 2006-10-05 14:41 Ferdinando Ametrano * [r7845] ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, test-suite/shortratemodels.cpp: deprecated VanillaSwap constructor using fixingDays 2006-10-05 14:08 Ferdinando Ametrano * [r7844] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, test-suite/marketmodel.cpp: compute method introduced to discriminate between computePlain and computeReduced 2006-10-05 12:22 Ferdinando Ametrano * [r7843] ql/schedule.cpp, test-suite/cliquetoption.cpp, test-suite/cms.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: using Period constructor 2006-10-05 12:18 Ferdinando Ametrano * [r7842] ql/Volatilities/swaptionvolcube.cpp: *** empty log message *** 2006-10-05 11:56 Ferdinando Ametrano * [r7841] ql/TermStructures/ratehelpers.cpp: using MakeVanillaSwap (not yet...) 2006-10-05 11:53 Ferdinando Ametrano * [r7840] ql/Indexes/swapindex.cpp, ql/Volatilities/swaptionvolcube.cpp: using MakeVanillaSwap 2006-10-05 10:59 fdv1 * [r7839] ql/Volatilities/swaptionvolmatrix.hpp: comment updated 2006-10-05 09:09 Ferdinando Ametrano * [r7838] ql/Indexes/swapindex.cpp: some fix, but it doesn't work yet 2006-10-05 09:00 Luigi Ballabio * [r7837] ql/Instruments/vanillaswap.cpp: Fixed MakeVanillaSwap initialization 2006-10-05 08:44 Luigi Ballabio * [r7836] Authors.txt, Docs/pages/authors.docs, dev_tools/developers: *** empty log message *** 2006-10-05 03:16 Joseph Wang * [r7835] ql/Math/Makefile.am, ql/Math/complexarray.hpp, test-suite/array.cpp: initial checkin of complex array class 2006-10-04 18:41 Ferdinando Ametrano * [r7834] ql/Indexes/swapindex.cpp: trying to use MakeVanillaSwap (it doesn't work yet: cms test would fail) 2006-10-04 18:00 Ferdinando Ametrano * [r7833] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/Instruments/convertiblebond.cpp, ql/TermStructures/ratehelpers.cpp, ql/period.cpp, ql/schedule.cpp, ql/schedule.hpp, test-suite/convertiblebonds.cpp, test-suite/piecewiseyieldcurve.cpp: deprecated Schedule::frequency() 2006-10-04 13:44 Ferdinando Ametrano * [r7832] test-suite/convertiblebonds.cpp: *** empty log message *** 2006-10-04 10:03 Giorgio Facchinetti * [r7831] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: repalced const Matrix& volSpreads by const std::vector > >& volSpreads in SwaptionVolatilityCubeBySabr constructor 2006-10-04 09:47 Marco Bianchetti * [r7830] ql/MarketModels/driftcalculator.cpp, test-suite/marketmodel.cpp: Checked driftcalculator:ComputeReduced when Numeraire = 0 is selected Added error messages and comments 2006-10-03 18:23 Ferdinando Ametrano * [r7829] ql/CashFlows/cmscoupon.cpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/schedule.cpp, ql/schedule.hpp, test-suite/convertiblebonds.cpp, test-suite/marketmodel.cpp: deprecating old Schedule constructors... 2006-10-03 18:14 Ferdinando Ametrano * [r7828] ql/quote.hpp: setValue returns the diff 2006-10-03 17:22 Ferdinando Ametrano * [r7827] ql/quote.hpp: setValue returns the diff 2006-10-03 12:35 Luigi Ballabio * [r7825] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp: Removed warnings 2006-10-03 08:23 Ferdinando Ametrano * [r7824] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, test-suite/marketmodel.cpp: leaner computeReduced signature 2006-10-02 14:59 Marco Bianchetti * [r7823] ql/MarketModels/utilities.cpp, ql/MarketModels/utilities.hpp: Added some comment 2006-10-02 14:56 Marco Bianchetti * [r7822] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: added temporary test MarketModelTest::testIsInSubset() 2006-10-02 13:26 Giorgio Facchinetti * [r7821] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: work in progress ... 2006-10-02 10:24 Luigi Ballabio * [r7820] ql/CashFlows/cmscoupon.cpp: *** empty log message *** 2006-10-01 23:08 Eric Ehlers * [r7819] ql/MarketModels/driftcalculator.cpp: prevent crash 2006-10-01 12:20 Luigi Ballabio * [r7818] test-suite/Makefile.am: *** empty log message *** 2006-09-29 16:18 Luigi Ballabio * [r7817] ql/Processes/ornsteinuhlenbeckprocess.cpp: Fix for small speed parameter (thanks to Guowen Han) 2006-09-29 13:13 Giorgio Facchinetti * [r7816] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.hpp: *** empty log message *** 2006-09-29 10:06 Giorgio Facchinetti * [r7815] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: Added CmsInArrearsCouponVector 2006-09-29 09:30 Luigi Ballabio * [r7814] test-suite/marketmodel.cpp: *** empty log message *** 2006-09-28 17:09 Ferdinando Ametrano * [r7813] QuantLib.vcproj, QuantLib_vc8.vcproj: VC projects catching up 2006-09-28 16:42 Cristina Duminuco * [r7812] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: added CMSZeroCouponVector 2006-09-28 16:39 Luigi Ballabio * [r7811] ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/ExerciseStrategies/lsstrategy.hpp, ql/MarketModels/ExerciseStrategies/swapratetrigger.cpp, ql/MarketModels/ExerciseStrategies/swapratetrigger.hpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.cpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp, ql/MarketModels/Products/MultiStep/cashrebate.cpp, ql/MarketModels/Products/MultiStep/cashrebate.hpp, ql/MarketModels/Products/MultiStep/exerciseadapter.cpp, ql/MarketModels/Products/MultiStep/exerciseadapter.hpp, ql/MarketModels/Products/MultiStep/multistepcaplets.cpp, ql/MarketModels/Products/MultiStep/multistepcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp, ql/MarketModels/Products/MultiStep/multistepforwards.cpp, ql/MarketModels/Products/MultiStep/multistepforwards.hpp, ql/MarketModels/Products/MultiStep/multistepnothing.cpp, ql/MarketModels/Products/MultiStep/multistepnothing.hpp, ql/MarketModels/Products/MultiStep/multistepswap.cpp, ql/MarketModels/Products/MultiStep/multistepswap.hpp, ql/MarketModels/Products/OneStep/onestepcaplets.cpp, ql/MarketModels/Products/OneStep/onestepcaplets.hpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.cpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.hpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.cpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.hpp, ql/MarketModels/Products/OneStep/onestepforwards.cpp, ql/MarketModels/Products/OneStep/onestepforwards.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/Products/multiproductcomposite.cpp, ql/MarketModels/Products/multiproductcomposite.hpp, ql/MarketModels/Products/singleproductcomposite.cpp, ql/MarketModels/Products/singleproductcomposite.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/exercisevalue.hpp, ql/MarketModels/lsbasisfunctions.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapbasissystem.hpp, ql/MonteCarlo/exercisestrategy.hpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/clone.hpp, test-suite/marketmodel.cpp: Enabled automatic cloning for market-model products and related classes 2006-09-28 15:15 Ferdinando Ametrano * [r7810] ql/PricingEngines/blackmodel.cpp: *** empty log message *** 2006-09-28 15:14 Ferdinando Ametrano * [r7809] QuantLib.vcproj, QuantLib_vc8.vcproj: VC projects catching up 2006-09-28 15:13 Ferdinando Ametrano * [r7808] ql/DayCounters/business252.hpp: VC8 catching up 2006-09-28 11:33 Ferdinando Ametrano * [r7807] ql/date.cpp, ql/date.hpp, test-suite/dates.cpp: static bool isIMMdate(const Date& d, bool mainCycle = true); static Date nextIMMdate(const Date& d, bool mainCycle = true); default to the main H, M, U, Z cycle as before, but can now also handle other futures. 2006-09-28 11:30 Ferdinando Ametrano * [r7806] test-suite/testsuite_vc8.vcproj: avoiding manifest generation 2006-09-28 10:20 Luigi Ballabio * [r7805] ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.cpp: (Possibly) fixed error on Solaris 2006-09-28 10:07 Ferdinando Ametrano * [r7804] ql/date.cpp, ql/date.hpp: all serial 3M IMM futures, thanks to Toyin Akin 2006-09-28 09:14 Luigi Ballabio * [r7803] Contributors.txt, Docs/pages/authors.docs, Docs/pages/license.docs, LICENSE.TXT, ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/TermStructures/piecewisezerospreadedtermstructure.hpp: Added piecewise-zero-spreaded yield curve (thanks to Roland Lichters) 2006-09-28 07:15 Giorgio Facchinetti * [r7802] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp: work in progress ... 2006-09-27 16:54 Luigi Ballabio * [r7801] ql/Volatilities/swaptionvolcubebysabr.cpp: *** empty log message *** 2006-09-27 16:15 fdv1 * [r7800] test-suite/testsuite_vc8.vcproj: disabling automatic post-build run of testsuite in debug configuration 2006-09-27 07:31 Ferdinando Ametrano * [r7799] test-suite/piecewiseyieldcurve.cpp: lower tolerance 2006-09-26 17:22 Eric Ehlers * [r7798] test-suite/piecewiseyieldcurve.cpp: add test for par rate 2006-09-26 17:20 Eric Ehlers * [r7797] ql/yieldtermstructure.hpp: fix overrun of vector iterator bound 2006-09-26 16:45 Luigi Ballabio * [r7796] News.txt, ql/Calendars/brazil.cpp, ql/Calendars/brazil.hpp, ql/DayCounters/Makefile.am, ql/DayCounters/all.hpp, ql/DayCounters/business252.hpp, ql/calendar.cpp, ql/calendar.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp: Added business/252 day-count convention (thanks to Piter Dias) 2006-09-26 13:34 Luigi Ballabio * [r7795] ql/Math/convergencestatistics.hpp: Allowed ConvergenceStatistics to take an initialized underlying statistics 2006-09-26 13:33 Luigi Ballabio * [r7794] test-suite, test-suite/.cvsignore: *** empty log message *** 2006-09-26 12:59 Luigi Ballabio * [r7793] Makefile.am, test-suite/Makefile.am, test-suite/quantlibbenchmark.cpp: Benchmark is built and run on demand 2006-09-25 20:22 Klaus Spanderen * [r7792] test-suite/Makefile.am, test-suite/quantlibbenchmark.cpp: added quantlib benchmark 2006-09-25 17:28 Ferdinando Ametrano * [r7791] ql/MarketModels/Products/compositeproduct.cpp: *** empty log message *** 2006-09-25 16:54 Ferdinando Ametrano * [r7790] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, test-suite/marketmodel.cpp: inverting numeraire and factory (so that later on ipc might not have numeraires as input) 2006-09-25 16:53 Ferdinando Ametrano * [r7789] ql/MarketModels/evolutiondescription.hpp: clean up 2006-09-25 16:52 Ferdinando Ametrano * [r7788] ql/MarketModels/accountingengine.hpp: *** empty log message *** 2006-09-25 15:30 Luigi Ballabio * [r7787] ql/MarketModels/Makefile.am, ql/MarketModels/all.hpp, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-09-25 15:09 Luigi Ballabio * [r7786] ql/MarketModels/Products/compositeproduct.cpp: Fixed suggested numeraire for composite product 2006-09-25 15:04 Ferdinando Ametrano * [r7785] QuantLib.vcproj: *** empty log message *** 2006-09-25 15:04 Ferdinando Ametrano * [r7784] QuantLib_vc8.vcproj, ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/ExerciseStrategies/lsstrategy.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/marketmodeldiscounter.cpp, ql/MarketModels/marketmodeldiscounter.hpp, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: MarketModelDiscounter in its own file 2006-09-25 14:25 Ferdinando Ametrano * [r7783] test-suite/marketmodel.cpp: extended test of callable swap pricing using Longstaff-Schwartz exercise strategy 2006-09-25 13:13 Luigi Ballabio * [r7782] test-suite/mclongstaffschwartzengine.cpp: *** empty log message *** 2006-09-25 11:55 Ferdinando Ametrano * [r7781] test-suite/marketmodel.cpp: *** empty log message *** 2006-09-25 11:55 Ferdinando Ametrano * [r7780] QuantLib.vcproj, QuantLib_vc8.vcproj, test-suite/marketmodel.cpp: *** empty log message *** 2006-09-25 11:54 Ferdinando Ametrano * [r7779] ql/Math/normaldistribution.cpp: bug fixed 2006-09-25 11:50 Ferdinando Ametrano * [r7778] ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrabcdvol.hpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp, ql/MarketModels/Products/MultiStep/cashrebate.cpp, ql/MarketModels/Products/MultiStep/cashrebate.hpp, ql/MarketModels/Products/MultiStep/exerciseadapter.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/Products/multiproductmultistep.cpp, ql/MarketModels/Products/multiproductmultistep.hpp, ql/MarketModels/Products/multiproductonestep.cpp, ql/MarketModels/Products/multiproductonestep.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/exercisevalue.hpp, ql/MarketModels/lsbasisfunctions.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/marketmodel.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapbasissystem.hpp, test-suite/marketmodel.cpp: 1) EvolutionDescription doesn't handle numeraires anymore 2) product and MarketModel do have a copy of EvolutionDescription 3) Product do suggest numeraires, but is mandatory as for EvolutionDescription 2006-09-25 11:47 Ferdinando Ametrano * [r7777] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/ExerciseStrategies/lsstrategy.hpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.cpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp: EvolutionDescription doesn't handle numeraires anymore 2006-09-25 10:07 Ferdinando Ametrano * [r7776] ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/PricingEngines/blackmodel.cpp, ql/PricingEngines/blackmodel.hpp: 1) added approximations for implied Black vol 2) improved implementation of Black formula and related functions 2006-09-25 09:44 Ferdinando Ametrano * [r7775] test-suite/capfloor.cpp, test-suite/swaption.cpp: *** empty log message *** 2006-09-25 02:52 Joseph Wang * [r7774] ql/Math/fastfouriertransform.hpp: encapsulate into class 2006-09-23 13:37 Luigi Ballabio * [r7773] test-suite/marketmodel.cpp: Added clone function to ease writing tests 2006-09-23 12:21 Luigi Ballabio * [r7772] ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/all.hpp, ql/MarketModels/Products/compositeproduct.cpp, ql/MarketModels/Products/compositeproduct.hpp, ql/MarketModels/Products/multiproductcomposite.cpp, ql/MarketModels/Products/multiproductcomposite.hpp, ql/MarketModels/Products/singleproductcomposite.cpp, ql/MarketModels/Products/singleproductcomposite.hpp, test-suite/Makefile.am, test-suite/marketmodel.cpp: Extended and refactored multi-product composite so that it no longer requires same evolution times; added single-product composite (to be tested) 2006-09-22 21:50 Joseph Wang * [r7771] ql/MarketModels/Makefile.am, ql/MarketModels/Products/MultiStep/Makefile.am: fix build so that swaps will work 2006-09-22 17:07 Ferdinando Ametrano * [r7770] QuantLib_vc8.vcproj, ql/MarketModels/ExerciseStrategies/swapratetrigger.cpp, ql/MarketModels/ExerciseStrategies/swapratetrigger.hpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp, ql/MarketModels/Products/MultiStep/exerciseadapter.cpp, ql/MarketModels/Products/MultiStep/multistepnothing.hpp, ql/MarketModels/Products/MultiStep/multistepswap.cpp, ql/MarketModels/Products/MultiStep/multistepswap.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/swapbasissystem.cpp, ql/MarketModels/swapbasissystem.hpp, ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp, ql/MarketModels/utilities.cpp, ql/MonteCarlo/genericlsregression.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Mark 4th week: session 5 2006-09-22 07:45 Giorgio Facchinetti * [r7769] ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: *** empty log message *** 2006-09-22 02:18 Joseph Wang * [r7768] ql/Math/Makefile.am, ql/Math/fastfouriertransform.hpp, test-suite/Makefile.am, test-suite/fastfouriertransform.cpp, test-suite/fastfouriertransform.hpp: checked in stubs for FFT code. 2006-09-21 18:41 Ferdinando Ametrano * [r7766] configure.ac, ql/MarketModels/ExerciseStrategies, ql/MarketModels/ExerciseStrategies/.cvsignore, ql/MarketModels/ExerciseStrategies/Makefile.am, ql/MarketModels/Makefile.am, ql/MarketModels/all.hpp, test-suite/marketmodel.cpp: *** empty log message *** 2006-09-21 18:17 Katiuscia Manzoni * [r7765] QuantLib_vc8.vcproj: *** empty log message *** 2006-09-21 18:11 Ferdinando Ametrano * [r7764] QuantLib.vcproj, ql/MarketModels/ExerciseStrategies, ql/MarketModels/ExerciseStrategies/lsstrategy.cpp, ql/MarketModels/ExerciseStrategies/lsstrategy.hpp, ql/MarketModels/ExerciseStrategies/swapratetrigger.cpp, ql/MarketModels/ExerciseStrategies/swapratetrigger.hpp, ql/MarketModels/lsdatacollector.hpp, ql/MarketModels/lsstrategy.cpp, ql/MarketModels/lsstrategy.hpp, ql/MarketModels/swapratetrigger.cpp, ql/MarketModels/swapratetrigger.hpp: *** empty log message *** 2006-09-21 17:59 Ferdinando Ametrano * [r7763] QuantLib.vcproj: *** empty log message *** 2006-09-21 17:25 Luigi Ballabio * [r7762] configure.ac, ql/MarketModels/BrownianGenerators/Makefile.am, ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/ExerciseValues, ql/MarketModels/ExerciseValues/.cvsignore, ql/MarketModels/ExerciseValues/Makefile.am, ql/MarketModels/Makefile.am, ql/MarketModels/Models/Makefile.am, ql/MarketModels/all.hpp: *** empty log message *** 2006-09-21 16:33 Ferdinando Ametrano * [r7761] QuantLib_vc8.vcproj, ql/MarketModels/ExerciseValues, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.cpp, ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.cpp, ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp, ql/MarketModels/Makefile.am, ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/exerciseadapter.cpp, ql/MarketModels/Products/MultiStep/exerciseadapter.hpp, ql/MarketModels/Products/MultiStep/multistepnothing.cpp, ql/MarketModels/Products/MultiStep/multistepnothing.hpp, ql/MarketModels/all.hpp, ql/MarketModels/exercisevalue.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/lsstrategy.cpp, ql/MarketModels/lsstrategy.hpp, ql/MarketModels/swapratetrigger.cpp, ql/MarketModels/swapratetrigger.hpp, ql/MarketModels/utilities.cpp, ql/MarketModels/utilities.hpp, ql/MonteCarlo/exercisestrategy.hpp: Mark 4th week: session 4 2006-09-21 09:24 Ferdinando Ametrano * [r7760] ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/marketmodelevolver.hpp: *** empty log message *** 2006-09-21 07:19 Marco Bianchetti * [r7759] ql/MarketModels/lsdatacollector.cpp: isInSubset function implementation - 1st draft 2006-09-20 16:59 Luigi Ballabio * [r7758] ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/MarketModels/Makefile.am, ql/MarketModels/all.hpp: *** empty log message *** 2006-09-20 16:05 Giorgio Facchinetti * [r7757] QuantLib.vcproj: Added files 2006-09-20 15:48 Ferdinando Ametrano * [r7756] QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/Makefile.am, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/all.hpp, ql/MarketModels/exercisevalue.hpp, ql/MarketModels/lsbasisfunctions.cpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/lsdatacollector.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MonteCarlo/genericlsregression.cpp, ql/MonteCarlo/genericlsregression.hpp: Mark 4th week: session 3 2006-09-20 14:59 Giorgio Facchinetti * [r7755] QuantLib.vcproj: *** empty log message *** 2006-09-20 14:36 Chiara Fornarola * [r7754] QuantLib_vc8.vcproj, ql/Indexes/euriborswapfixifr.hpp, ql/Indexes/eurliborswapfixifr.hpp: added files for EurliborSwapFixIFR and EuriborSwapFixIFR indexes publishe by IFR Markets 2006-09-20 12:33 Ferdinando Ametrano * [r7753] ql/Math/svd.cpp: *** empty log message *** 2006-09-20 11:19 Luigi Ballabio * [r7752] ql/Indexes/Makefile.am, ql/Indexes/all.hpp: *** empty log message *** 2006-09-20 11:19 Luigi Ballabio * [r7751] ql/Math/svd.cpp: Fix for gcc 2006-09-20 10:46 Ferdinando Ametrano * [r7750] QuantLib_vc8.vcproj, ql/MarketModels/curvestate.hpp, ql/MarketModels/swapforwardconversionmatrix.cpp, ql/MarketModels/swapforwardconversionmatrix.hpp: Mark 4th week: session 3 2006-09-20 09:41 Giorgio Facchinetti * [r7749] ql/Math/svd.cpp: *** empty log message *** 2006-09-20 07:32 Giorgio Facchinetti * [r7748] ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp: mergeTimes function 2006-09-19 16:58 Ferdinando Ametrano * [r7747] test-suite/marketmodel.cpp: normalizing displaced volatilities 2006-09-19 16:00 Ferdinando Ametrano * [r7746] ql/MarketModels/lsbasisfunctions.cpp, ql/MarketModels/lsbasisfunctions.hpp, ql/MarketModels/lsdatacollector.cpp, ql/MarketModels/lsdatacollector.hpp: Mark 4th week: session 2 2006-09-19 15:28 Ferdinando Ametrano * [r7745] QuantLib_vc8.vcproj, ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp, ql/MarketModels/Products/MultiStep/cashrebate.cpp, ql/MarketModels/Products/MultiStep/cashrebate.hpp, ql/MarketModels/Products/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/callspecifiedmultiproduct.hpp, ql/Math/sequencestatistics.hpp, ql/Math/svd.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/genericlsregression.cpp, ql/MonteCarlo/genericlsregression.hpp: Mark 4th week: session 2 2006-09-19 11:33 Ferdinando Ametrano * [r7744] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/conundrumpricer.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp: deprecating duplicate functions 2006-09-19 10:50 Chiara Fornarola * [r7743] ql/Indexes/eurliborswapfixb.hpp: added EURLIBORSWAPFIXB indexes 2006-09-19 10:49 Chiara Fornarola * [r7742] QuantLib_vc8.vcproj: added eurliborswapfixb.hpp to the project 2006-09-19 07:23 Luigi Ballabio * [r7741] ql/PricingEngines/Makefile.am: *** empty log message *** 2006-09-18 21:11 Joseph Wang * [r7740] configure.ac, ql/MarketModels/Products/Makefile.am: fix am files to make multistep and onestep products work 2006-09-18 16:12 Ferdinando Ametrano * [r7739] ql/MarketModels/Products/callspecifiedmultiproduct.cpp, ql/MarketModels/Products/callspecifiedmultiproduct.hpp, ql/MarketModels/TODO.txt, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MonteCarlo/exercisestrategy.hpp, test-suite/marketmodel.cpp: Mark 4th week: session 1 2006-09-18 12:34 Ferdinando Ametrano * [r7738] ql/solver1d.hpp: the commented out lines are how they should be, but eruropean test fails and needs more investigation 2006-09-18 11:12 Eric Ehlers * [r7737] QuantLib_vc8.vcproj: add blackmodel.cpp to VC8 workspace 2006-09-18 11:11 Ferdinando Ametrano * [r7736] ql/PricingEngines/blackmodel.hpp: using Option::Type 2006-09-18 11:06 Ferdinando Ametrano * [r7735] ql/solver1d.hpp: better accuracy handling 2006-09-18 09:42 Ferdinando Ametrano * [r7734] test-suite/marketmodel.cpp: quicker test 2006-09-18 07:25 Ferdinando Ametrano * [r7733] ql/PricingEngines/blackmodel.hpp: introduced stand-alone BlackFormula and BlackImpliedStdDev 2006-09-18 07:22 Ferdinando Ametrano * [r7732] ql/PricingEngines/blackmodel.cpp, ql/PricingEngines/blackmodel.hpp: introduced stand-alone BlackFormula and BlackImpliedStdDev 2006-09-18 07:20 Ferdinando Ametrano * [r7731] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.hpp: using Option::Type 2006-09-18 07:19 Ferdinando Ametrano * [r7730] ql/MarketModels/Products/MultiStep, ql/MarketModels/Products/MultiStep/.cvsignore, ql/MarketModels/Products/MultiStep/Makefile.am, ql/MarketModels/Products/MultiStep/all.hpp, ql/MarketModels/Products/MultiStep/multistepcaplets.cpp, ql/MarketModels/Products/MultiStep/multistepcaplets.hpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.hpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.cpp, ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp, ql/MarketModels/Products/MultiStep/multistepforwards.cpp, ql/MarketModels/Products/MultiStep/multistepforwards.hpp, ql/MarketModels/Products/OneStep, ql/MarketModels/Products/OneStep/.cvsignore, ql/MarketModels/Products/OneStep/Makefile.am, ql/MarketModels/Products/OneStep/all.hpp, ql/MarketModels/Products/OneStep/onestepcaplets.cpp, ql/MarketModels/Products/OneStep/onestepcaplets.hpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.cpp, ql/MarketModels/Products/OneStep/onestepcoinitialswaps.hpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.cpp, ql/MarketModels/Products/OneStep/onestepcoterminalswaps.hpp, ql/MarketModels/Products/OneStep/onestepforwards.cpp, ql/MarketModels/Products/OneStep/onestepforwards.hpp, ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelcaplets.hpp, ql/MarketModels/Products/marketmodelcapletsonestep.cpp, ql/MarketModels/Products/marketmodelcapletsonestep.hpp, ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoinitialswaps.hpp, ql/MarketModels/Products/marketmodelcoinitialswapsonestep.cpp, ql/MarketModels/Products/marketmodelcoinitialswapsonestep.hpp, ql/MarketModels/Products/marketmodelcomposite.cpp, ql/MarketModels/Products/marketmodelcomposite.hpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.hpp, ql/MarketModels/Products/marketmodelcoterminalswapsonestep.cpp, ql/MarketModels/Products/marketmodelcoterminalswapsonestep.hpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/Products/marketmodelforwardsonestep.cpp, ql/MarketModels/Products/marketmodelforwardsonestep.hpp, ql/MarketModels/Products/multiproductcomposite.cpp, ql/MarketModels/Products/multiproductcomposite.hpp, ql/MarketModels/Products/multiproductmultistep.cpp, ql/MarketModels/Products/multiproductmultistep.hpp, ql/MarketModels/Products/multiproductonestep.cpp, ql/MarketModels/Products/multiproductonestep.hpp, test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-09-18 07:14 Ferdinando Ametrano * [r7729] ql/option.hpp: using values which will simplify Black formula usage 2006-09-18 07:13 Ferdinando Ametrano * [r7728] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-09-18 07:12 Ferdinando Ametrano * [r7727] test-suite/europeanoption.cpp: extended error message 2006-09-18 07:06 Ferdinando Ametrano * [r7726] ql/Math/sabrinterpolation.hpp: introduced stand-alone SabrVolatility function 2006-09-18 07:05 Ferdinando Ametrano * [r7725] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/all.hpp, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/marketmodelproduct.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: pertial code refactoring 2006-09-18 07:04 Ferdinando Ametrano * [r7724] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, test-suite/cms.cpp: using Option::Type 2006-09-15 15:44 Ferdinando Ametrano * [r7723] test-suite/marketmodel.cpp: *** empty log message *** 2006-09-15 15:25 Ferdinando Ametrano * [r7722] test-suite/marketmodel.cpp: minor clean up 2006-09-15 15:17 Katiuscia Manzoni * [r7721] ql/Indexes/eurlibor.hpp, ql/Indexes/eurliborswapfixa.hpp: Eurlibor name set back to EURLibor 2006-09-15 14:41 Marco Bianchetti * [r7720] test-suite/marketmodel.cpp: MarketModelTest::testDriftCalculator work in progress... 2006-09-15 14:29 Ferdinando Ametrano * [r7719] test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitycube.hpp: extended test, including SwaptionVolCubeBySabr 2006-09-15 14:27 Ferdinando Ametrano * [r7718] ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: partial code refactoring, the goal being deprecation of time-based interface 2006-09-15 13:54 Giorgio Facchinetti * [r7717] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: *** empty log message *** 2006-09-15 13:50 Katiuscia Manzoni * [r7716] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, test-suite/swaptionvolatilitycube.cpp: removed one of the constructors and replaced it by a new one tenor- and handle- based. There was no need to deprecate the removed constructor since it was not part of the release R000313f0-branch 2006-09-15 11:31 Luigi Ballabio * [r7715] test-suite/swaptionvolatilitycube.cpp: Report all errors rather than only the first one 2006-09-15 09:34 Ferdinando Ametrano * [r7714] test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitycube.hpp: extended test 2006-09-15 09:33 Ferdinando Ametrano * [r7713] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp: bug fix 2006-09-15 09:27 Ferdinando Ametrano * [r7712] ql/Volatilities/swaptionvolmatrix.cpp: bug fix 2006-09-14 18:36 Ferdinando Ametrano * [r7711] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/swaptionvolstructure.hpp: partial fix: Following convention for option date 2006-09-14 18:21 Ferdinando Ametrano * [r7710] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: *** empty log message *** 2006-09-14 16:12 Katiuscia Manzoni * [r7709] ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp: added class MakeVanillaSwap to easily instantiate VanillaSwap. 2006-09-14 16:07 Katiuscia Manzoni * [r7708] ql/schedule.hpp: operator Schedule() const {...} 2006-09-14 15:43 Ferdinando Ametrano * [r7707] test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-09-14 10:23 Ferdinando Ametrano * [r7706] ql/schedule.cpp, test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-09-14 10:13 Ferdinando Ametrano * [r7705] ql/Volatilities/smilesection.cpp: formatting 2006-09-13 15:53 Ferdinando Ametrano * [r7703] test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-09-13 13:25 Luigi Ballabio * [r7702] test-suite/swaptionvolatilitycube.cpp: Correctly initialized quote matrix 2006-09-13 12:57 Luigi Ballabio * [r7701] ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/core.hpp, ql/Indexes/euribor.hpp, ql/Indexes/xibor.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: *** empty log message *** 2006-09-13 10:20 Giorgio Facchinetti * [r7700] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: bug fixed 2006-09-13 09:29 Katiuscia Manzoni * [r7699] ql/Indexes/eurliborswapfixa.hpp: bug fix 2006-09-13 08:37 Ferdinando Ametrano * [r7698] test-suite/makefile.mak: updated 2006-09-12 20:19 Klaus Spanderen * [r7697] ql/Volatilities/swaptionvolcubebysabr.hpp: removed g++ problem 2006-09-12 19:41 Klaus Spanderen * [r7696] ql/MonteCarlo/lsmbasissystem.cpp: replaced template metaprogramming by more conventional coding 2006-09-12 19:05 Chiara Fornarola * [r7695] ql/Indexes/eurliborswapfixa.hpp: EurLibor ISDAFIX swap indexes added. Still to be esposed to excel. 2006-09-12 18:30 Marco Bianchetti * [r7694] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: added comments 2006-09-12 17:27 Katiuscia Manzoni * [r7693] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: changed volSpreads parameter from Matrix to std::vector > >& 2006-09-12 16:14 Giorgio Facchinetti * [r7692] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: work in progress ... 2006-09-12 15:07 Giorgio Facchinetti * [r7691] ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: work in progress ... 2006-09-12 13:43 Mario Pucci * [r7690] ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress... 2006-09-12 13:18 Ferdinando Ametrano * [r7689] ql/Calendars/jointcalendar.cpp: different string to discriminate between JoinBusinessDays and JoinHolidays 2006-09-12 09:39 Giorgio Facchinetti * [r7688] QuantLib.vcproj, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress ... 2006-09-12 08:03 Ferdinando Ametrano * [r7687] ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/makefile.mak: new file added 2006-09-12 08:01 Mario Pucci * [r7686] QuantLib_vc8.vcproj, ql/CashFlows/conundrumpricer.cpp, ql/Volatilities/smilesection.cpp, ql/Volatilities/smilesection.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/swaptionvolstructure.hpp: SmileSection independence day 2006-09-12 07:31 Mario Pucci * [r7685] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: name change 2006-09-12 07:21 Marco Bianchetti * [r7684] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: *** empty log message *** 2006-09-12 06:42 Mario Pucci * [r7683] QuantLib_vc8.vcproj: added files 2006-09-11 15:51 Giorgio Facchinetti * [r7682] QuantLib.vcproj, ql/Volatilities/cmsmarket.cpp, ql/Volatilities/cmsmarket.hpp: work in progress ... 2006-09-11 14:49 Ferdinando Ametrano * [r7681] test-suite/testsuite.vcproj: VC7 catching up 2006-09-11 14:11 Cristina Duminuco * [r7680] test-suite/cms.cpp: using new tenor-based Schedule 2006-09-11 14:03 Katiuscia Manzoni * [r7679] ql/Indexes/euriborswapfixa.hpp: swapindex family name renamed from EURIBORSWAPFIXA to EuriborSwapFixA 2006-09-11 13:27 Cristina Duminuco * [r7678] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/ConvertibleBonds/ConvertibleBonds.cpp: using new tenor-based Schedule 2006-09-11 13:06 Cristina Duminuco * [r7677] Examples/Swap/swapvaluation.cpp: using new tenor-based Schedule 2006-09-11 12:48 Cristina Duminuco * [r7676] test-suite/swaption.cpp: *** empty log message *** 2006-09-11 12:31 Cristina Duminuco * [r7675] test-suite/swap.cpp: using new tenor-based Schedule 2006-09-11 12:13 Cristina Duminuco * [r7674] test-suite/shortratemodels.cpp: using new tenor-based Schedule 2006-09-11 11:54 Cristina Duminuco * [r7673] test-suite/piecewiseyieldcurve.cpp: using new tenor-based Schedule 2006-09-11 11:11 Katiuscia Manzoni * [r7672] ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp: renamed family index EURLibor to Eurlibor to be consistent with family index Euribor. Renamed also 1WK and 2WK to SW and 2W. 2006-09-11 10:46 Cristina Duminuco * [r7671] test-suite/piecewiseflatforward.cpp: using new tenor-based Schedule 2006-09-11 10:15 Cristina Duminuco * [r7670] test-suite/compoundforward.cpp: using new tenor-based Schedule 2006-09-11 09:56 Cristina Duminuco * [r7669] test-suite/capfloor.cpp: using new tenor-based Schedule 2006-09-11 09:34 Cristina Duminuco * [r7668] ql/Indexes/swapindex.cpp: using new tenor-based Schedule 2006-09-11 09:00 Cristina Duminuco * [r7667] test-suite/bermudanswaption.cpp: using new tenor-based Schedule 2006-09-11 08:42 Cristina Duminuco * [r7666] ql/Processes/lfmprocess.cpp: using new tenor-based Schedule 2006-09-11 08:20 Cristina Duminuco * [r7665] ql/TermStructures/ratehelpers.cpp: using new tenor-based Schedule 2006-09-11 08:02 Cristina Duminuco * [r7664] ql/ShortRateModels/CalibrationHelpers/caphelper.cpp: *** empty log message *** 2006-09-11 07:57 Cristina Duminuco * [r7663] ql/ShortRateModels/CalibrationHelpers/caphelper.cpp: using new tenor-based Schedule 2006-09-09 14:45 Mario Pucci * [r7661] test-suite/cms.cpp: work in progress... 2006-09-08 17:27 Luigi Ballabio * [r7660] test-suite/Makefile.am, test-suite/cms.cpp, test-suite/swaptionvolatilitycube.cpp: *** empty log message *** 2006-09-08 17:25 Ferdinando Ametrano * [r7659] ql/Instruments/convertiblebond.hpp: documenting bug 2006-09-08 17:04 Ferdinando Ametrano * [r7658] ql/MarketModels/TODO.txt, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp: using tenor-based Schedule 2006-09-08 16:24 Ferdinando Ametrano * [r7657] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp: using tenor-based Schedule 2006-09-08 15:50 Cristina Duminuco * [r7656] test-suite/libormarketmodel.cpp: using new tenor-based Schedule (which fixe many small bugs) 2006-09-08 15:35 Cristina Duminuco * [r7655] ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: using new tenor-based Schedule (which fixe many small bugs) 2006-09-08 15:34 Cristina Duminuco * [r7654] ql/schedule.cpp: bug fix 2006-09-08 14:20 Cristina Duminuco * [r7653] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp: using new tenor-based Schedule (which fixe many small bugs) 2006-09-08 14:18 Cristina Duminuco * [r7652] ql/period.cpp: more cases handled 2006-09-08 14:16 Cristina Duminuco * [r7651] ql/schedule.cpp, ql/schedule.hpp: bug fix 2006-09-08 12:55 Marco Bianchetti * [r7650] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: Improved some comment 2006-09-08 12:30 Katiuscia Manzoni * [r7649] test-suite/quantlibtestsuite.cpp, test-suite/swaptionvolatilitycube.cpp, test-suite/swaptionvolatilitycube.hpp, test-suite/testsuite_vc8.vcproj: added swaption vol cube tests: recovering ATM vols and vol smile 2006-09-08 11:26 Katiuscia Manzoni * [r7648] ql/Volatilities/swaptionvolcube.hpp: expanded interface 2006-09-08 11:25 Katiuscia Manzoni * [r7647] ql/Volatilities/swaptionvolcube.cpp: expanding interface (and initial Observer/Observers implementation) 2006-09-08 11:05 Marco Bianchetti * [r7646] ql/MarketModels/evolutiondescription.hpp: Improved some comment 2006-09-08 10:21 Mario Pucci * [r7645] ql/Volatilities/swaptionvolcubebysabr.cpp: cleanup 2006-09-08 10:01 Giorgio Facchinetti * [r7644] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: work in progress ... 2006-09-08 10:01 Katiuscia Manzoni * [r7643] ql/swaptionvolstructure.hpp: extending SwaptionVolStructure interface 2006-09-08 09:25 Luigi Ballabio * [r7642] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-09-08 08:54 Mario Pucci * [r7641] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/swaptionvolstructure.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc8.vcproj: cleanup, new base class for cubes. 2006-09-07 15:36 Chiara Fornarola * [r7640] ql/Indexes/euribor.hpp: tenor 1w, 2w, 3w, 1m->1y for Euribor365 index added 2006-09-07 15:31 Giorgio Facchinetti * [r7639] ql/Volatilities/swaptionvolcubebysabr.cpp: work in progress ... 2006-09-07 13:23 Chiara Fornarola * [r7638] ql/Indexes/eurlibor.hpp: EURLibor Class modified according to quoted indexes (i.e. no 3Wk tenor index is quoted) 1W tenor redenominated as EURLibor1W (according to Reuters page denominations) 2006-09-07 11:47 Luigi Ballabio * [r7637] Examples/EquityOption/EquityOption.cpp, ql/Math/functional.hpp, ql/Math/gaussianorthogonalpolynomial.hpp, ql/Math/linearleastsquaresregression.hpp, ql/MonteCarlo/earlyexercisepathpricer.hpp, ql/MonteCarlo/longstaffschwartzpathpricer.hpp, ql/MonteCarlo/lsmbasissystem.cpp, ql/MonteCarlo/lsmbasissystem.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Vanilla/mcamericanengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/mclongstaffschwartzengine.hpp, test-suite/basketoption.cpp, test-suite/linearleastsquaresregression.cpp: Changed inclusion order 2006-09-07 09:41 Giorgio Facchinetti * [r7636] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: work in progress ... 2006-09-07 08:31 Eric Ehlers * [r7635] ql/Indexes/Makefile.am: update file list 2006-09-07 08:29 Ferdinando Ametrano * [r7634] Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/Repo/Repo.cpp: avoiding usage of deprecated code 2006-09-07 08:01 Ferdinando Ametrano * [r7633] Examples/BermudanSwaption/BermudanSwaption.cpp: using Xibor::tenor instead of deprecated Xibor::frequency 2006-09-07 07:33 Ferdinando Ametrano * [r7632] ql/MarketModels/TODO.txt: *** empty log message *** 2006-09-07 07:26 Eric Ehlers * [r7631] ql/Volatilities/swaptionvolcubebysabr.hpp: fix syntax for gcc 2006-09-06 14:48 Mario Pucci * [r7630] test-suite/cms.cpp: name change 2006-09-06 14:43 Ferdinando Ametrano * [r7629] ql/Indexes/swapindex.cpp, ql/Indexes/xibor.hpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/libormarketmodel.cpp, test-suite/shortratemodels.cpp: Xibor::frequency deprecated 2006-09-06 14:43 Ferdinando Ametrano * [r7628] ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp: adding a tenor-based old constructor clone. The old one is deprecated 2006-09-06 14:33 Ferdinando Ametrano * [r7627] ql/schedule.cpp, ql/schedule.hpp: tenor-based old constructor clone. It will be deprecated together with all the old ones 2006-09-06 14:27 Mario Pucci * [r7626] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp: name change 2006-09-06 14:00 Mario Pucci * [r7625] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: cleanup 2006-09-06 13:48 Mario Pucci * [r7624] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: eliminated useless paramater maxTolerance 2006-09-06 12:36 Mario Pucci * [r7623] ql/Math/sabrinterpolation.hpp, test-suite/cms.cpp: work in progress... 2006-09-06 10:25 Mario Pucci * [r7622] ql/Math/sabrinterpolation.hpp: work in progress... 2006-09-06 10:14 Giorgio Facchinetti * [r7621] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: work in progress ... 2006-09-06 10:04 Ferdinando Ametrano * [r7620] ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, test-suite/libormarketmodel.cpp: using Xibor::tenor instead of Xibor::frequency 2006-09-06 09:58 Chiara Fornarola * [r7619] ql/Indexes/eurlibor.hpp: 1w, 2w, 1->12 months tenor added 2006-09-06 09:49 Ferdinando Ametrano * [r7618] ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/period.cpp: Xibor::frequency uses Period::frequency (and will be deprecated shortly) 2006-09-06 09:20 Ferdinando Ametrano * [r7617] ql/calendar.cpp, ql/calendar.hpp: undeprecating MonthEndReference for the time being 2006-09-06 08:57 Mario Pucci * [r7616] ql/Math/sabrinterpolation.hpp: work in progress... 2006-09-06 08:43 Mario Pucci * [r7615] ql/Math/sabrinterpolation.hpp: switched to unconstrained optimization for 4-parameter Sabr calibration 2006-09-06 08:42 Mario Pucci * [r7614] ql/Volatilities/swaptionvolcubebysabr.cpp: work in progress... 2006-09-06 07:16 Mario Pucci * [r7613] ql/Volatilities/swaptionvolcubebysabr.cpp: work in progress... 2006-09-05 17:50 Ferdinando Ametrano * [r7612] ql/MarketModels/Models/abcd.cpp, ql/MarketModels/Models/abcd.hpp, test-suite/marketmodel.cpp: caplet calibration 2006-09-05 16:57 Mario Pucci * [r7611] ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: work in progress... 2006-09-05 15:58 Ferdinando Ametrano * [r7610] ql/Calendars/jointcalendar.cpp: different concatenation character to discriminate between JoinBusinessDays and JoinHolidays 2006-09-05 15:28 Mario Pucci * [r7609] test-suite/cms.cpp: work in progress... 2006-09-05 14:43 Giorgio Facchinetti * [r7608] ql/Volatilities/swaptionvolcubebysabr.cpp: work in progress ... 2006-09-05 14:30 Mario Pucci * [r7607] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: work in progress... 2006-09-05 14:12 Mario Pucci * [r7606] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress... 2006-09-05 13:58 Mario Pucci * [r7605] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp, test-suite/cms.cpp: more boost::share_ptr to avoid copying objects 2006-09-05 12:10 Luigi Ballabio * [r7604] ql/Math/sabrinterpolation.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/swaptionvolcubebysabr.cpp: Misc. fixes 2006-09-05 11:43 Cristina Duminuco * [r7603] ql/schedule.cpp, ql/schedule.hpp: added business day convention for Termination Date 2006-09-05 08:09 Ferdinando Ametrano * [r7602] ql/schedule.cpp, ql/schedule.hpp: new Schedule constructor: Period based, endOfMonth convention, Bloomberg-like 2006-09-05 07:48 Giorgio Facchinetti * [r7601] ql/CashFlows/cmscoupon.cpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress ... 2006-09-05 07:43 Marco Bianchetti * [r7600] ql/MarketModels/driftcalculator.cpp: enforced initialization of auxiliary matrix e in DriftCalculator::computeReduced 2006-09-05 07:40 Mario Pucci * [r7599] ql/Volatilities/swaptionvolcubebysabr.cpp, test-suite/cms.cpp: work in progress... 2006-09-05 07:23 Mario Pucci * [r7598] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: changed parameters usage for sabr interpolation 2006-09-04 18:11 Ferdinando Ametrano * [r7597] ql/schedule.cpp, ql/schedule.hpp: new method and costructor added (work in progress) 2006-09-04 18:07 Marco Bianchetti * [r7596] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp: Fixed bug in DriftCalculator::computeReduced now consistent with DriftCalculator::compute Case numeraire = 0 still TBD 2006-09-04 18:07 Ferdinando Ametrano * [r7595] ql/Utilities/dataparsers.cpp, ql/period.cpp: bug fix 2006-09-04 16:48 Ferdinando Ametrano * [r7594] ql/period.cpp: fixes 2006-09-04 15:39 Ferdinando Ametrano * [r7593] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp: fix 2006-09-04 15:39 Katiuscia Manzoni * [r7592] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: 1.replaced private member std::vector > > vols_ with Matrix volatilities_; 2. bugs fixed in the swaptionvolmatrix validation; 2006-09-04 15:36 Mario Pucci * [r7591] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress... 2006-09-04 15:16 Ferdinando Ametrano * [r7590] ql/period.cpp: *** empty log message *** 2006-09-04 15:00 Ferdinando Ametrano * [r7589] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cmscoupon.cpp, ql/period.cpp, ql/period.hpp: expanded Period interface (in order to gradually reduce Frequency usage) 2006-09-04 14:20 Mario Pucci * [r7588] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress... 2006-09-04 14:19 Mario Pucci * [r7587] ql/Math/sabrinterpolation.hpp: added transformation for full unconstrained calibration 2006-09-04 13:03 Ferdinando Ametrano * [r7586] test-suite/defaultable.cpp, test-suite/testsuite_vc8.vcproj: VC8 catching up 2006-09-04 13:03 Ferdinando Ametrano * [r7585] test-suite/testsuite.vcproj: VC7 catching up 2006-09-04 13:00 Ferdinando Ametrano * [r7584] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-09-04 11:54 Ferdinando Ametrano * [r7583] ql/period.cpp, ql/period.hpp: 1) more frequency 2) some Period algebra 2006-09-04 10:12 Katiuscia Manzoni * [r7582] ql/Volatilities/swaptionvolmatrix.cpp: safer code 2006-09-04 08:32 Giorgio Facchinetti * [r7581] ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp: work in progress ... 2006-09-04 07:35 Mario Pucci * [r7580] QuantLib_vc8.vcproj: added files 2006-09-04 07:27 Giorgio Facchinetti * [r7579] QuantLib.vcproj, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolcubebysabr.cpp, ql/Volatilities/swaptionvolcubebysabr.hpp, test-suite/cms.cpp: Added swaptionVolatilityCubeBySabr.cpp and hpp files 2006-09-03 06:09 Mario Pucci * [r7578] ql/Math/sabrinterpolation.hpp: work in progress... 2006-09-03 05:17 Mario Pucci * [r7577] ql/Math/sabrinterpolation.hpp: work in progress... 2006-09-03 05:08 Mario Pucci * [r7576] ql/Math/sabrinterpolation.hpp: work in progress... 2006-09-02 22:48 Klaus Spanderen * [r7575] ql/Math/sabrinterpolation.hpp: corrected typo 2006-09-02 22:46 Klaus Spanderen * [r7574] Examples/EquityOption/EquityOption.cpp, QuantLib_vc8.vcproj, configure.ac, ql/Math/Makefile.am, ql/Math/functional.hpp, ql/Math/gaussianorthogonalpolynomial.cpp, ql/Math/gaussianorthogonalpolynomial.hpp, ql/Math/linearleastsquaresregression.cpp, ql/Math/linearleastsquaresregression.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/earlyexercisepathpricer.hpp, ql/MonteCarlo/longstaffschwartzpathpricer.hpp, ql/MonteCarlo/lsmbasissystem.cpp, ql/MonteCarlo/lsmbasissystem.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/mcamericanengine.cpp, ql/PricingEngines/Vanilla/mcamericanengine.hpp, ql/PricingEngines/all.hpp, ql/PricingEngines/mclongstaffschwartzengine.hpp, test-suite/Makefile.am, test-suite/basketoption.cpp, test-suite/linearleastsquaresregression.cpp, test-suite/mclongstaffschwartzengine.cpp, test-suite/mclongstaffschwartzengine.hpp, test-suite/quantlibtestsuite.cpp: added Longstaff-Schwartz Monte-Carlo algorithm for american/bermudan options with deterministic interest rates 2006-09-02 15:17 Mario Pucci * [r7573] test-suite/cms.cpp: work in progress... 2006-09-02 15:09 Mario Pucci * [r7572] test-suite/cms.cpp: work in progress... 2006-09-02 14:50 Mario Pucci * [r7571] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, test-suite/cms.cpp: Parametrized fixed beta and max error in SwaptionVolatilityCubeBySabr 2006-09-02 04:34 Mario Pucci * [r7570] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcube.cpp, test-suite/cms.cpp: Introduced parameters transformation for Sabr calibration 2006-09-02 00:00 Joseph Wang * [r7569] ql/MarketModels/Models/Makefile.am: fix typo in file 2006-09-01 20:11 Ferdinando Ametrano * [r7568] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-09-01 20:07 Ferdinando Ametrano * [r7567] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/Makefile.am, ql/MarketModels/Models, ql/MarketModels/Models/.cvsignore, ql/MarketModels/Models/Makefile.am, ql/MarketModels/Models/abcd.cpp, ql/MarketModels/Models/abcd.hpp, ql/MarketModels/Models/calibratedmarketmodel.cpp, ql/MarketModels/Models/calibratedmarketmodel.hpp, ql/MarketModels/Models/expcorrabcdvol.cpp, ql/MarketModels/Models/expcorrabcdvol.hpp, ql/MarketModels/Models/expcorrflatvol.cpp, ql/MarketModels/Models/expcorrflatvol.hpp, ql/MarketModels/PseudoRoots, ql/MarketModels/all.hpp, ql/MarketModels/core.hpp, ql/MarketModels/marketmodel.cpp, ql/MarketModels/marketmodel.hpp, ql/MarketModels/pseudoroot.hpp, test-suite/integrals.cpp, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: 1) renamed PseudoRoot as MarketModel 2) expanded its interface 3) code refactoring using MarketModel 2006-09-01 18:49 Klaus Spanderen * [r7566] test-suite/hestonmodel.cpp: simplify testBlackCalibration() test case 2006-09-01 15:54 Giorgio Facchinetti * [r7565] ql/Math/sabrinterpolation.hpp, ql/Volatilities/swaptionvolcube.cpp, test-suite/cms.cpp: work in progress 2006-09-01 14:26 Ferdinando Ametrano * [r7564] test-suite/integrals.cpp: abcd fit 2006-09-01 14:23 Mario Pucci * [r7563] test-suite/cms.cpp: work in progress... 2006-09-01 14:17 Ferdinando Ametrano * [r7562] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/PseudoRoots/Makefile.am, ql/MarketModels/PseudoRoots/abcd.cpp, ql/MarketModels/PseudoRoots/abcd.hpp, ql/MarketModels/PseudoRoots/abcdfit.hpp, test-suite/marketmodel.cpp: abcd fit 2006-09-01 13:22 Mario Pucci * [r7561] test-suite/cms.cpp: work in progress... 2006-09-01 13:19 Mario Pucci * [r7560] ql/Math/sabrinterpolation.hpp: beta fixed calibration 2006-09-01 13:16 Giorgio Facchinetti * [r7559] ql/Volatilities/swaptionvolcube.cpp: work in progress 2006-09-01 13:01 Giorgio Facchinetti * [r7558] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/swaptionvolstructure.hpp: work in progress 2006-08-31 21:37 Ferdinando Ametrano * [r7557] ql/MarketModels/PseudoRoots/abcd.hpp: few more methods and minor fixes 2006-08-31 21:26 Ferdinando Ametrano * [r7556] test-suite/marketmodel.cpp: *** empty log message *** 2006-08-31 21:18 Ferdinando Ametrano * [r7555] ql/MarketModels/PseudoRoots/abcd.cpp, ql/MarketModels/PseudoRoots/abcd.hpp: few more methods and minor fixes 2006-08-31 18:05 Ferdinando Ametrano * [r7554] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp: face amount deprecation-friendly introduction 2006-08-31 17:06 Katiuscia Manzoni * [r7553] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: fixedLeg renamed bondLeg 2006-08-31 16:35 Ferdinando Ametrano * [r7552] QuantLib_vc8.vcproj: reverting back bad changes Cri: this is for you ;-) 2006-08-31 16:04 Luigi Ballabio * [r7551] ql/Volatilities/swaptionvolcube.cpp: *** empty log message *** 2006-08-31 15:42 Chiara Fornarola * [r7550] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendschedule.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/TermStructures/bondhelpers.cpp, test-suite/bonds.cpp, test-suite/convertiblebonds.cpp, test-suite/piecewiseyieldcurve.cpp: added faceAmount to Bond 2006-08-31 14:28 Ferdinando Ametrano * [r7549] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: fix 2006-08-31 13:40 Cristina Duminuco * [r7548] ql/MarketModels/PseudoRoots/abcdfit.hpp, ql/MarketModels/PseudoRoots/expcorrabcdvol.cpp, test-suite/integrals.cpp, test-suite/marketmodel.cpp: consequence of Abcd class modifications 2006-08-31 13:39 Cristina Duminuco * [r7547] ql/MarketModels/PseudoRoots/abcd.cpp, ql/MarketModels/PseudoRoots/abcd.hpp: - modified the design of the class - added (in .hpp file) the class AbcdSquared 2006-08-31 11:53 Mario Pucci * [r7546] test-suite/cms.cpp: added more tests... 2006-08-31 11:25 Mario Pucci * [r7545] test-suite/cms.cpp: work in progress... 2006-08-31 10:12 Katiuscia Manzoni * [r7543] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: added new SwaptionVolatilityMatrix constructor where the matrix volatilities parameter has been replaced with a std::vector>>& 2006-08-31 09:44 Giorgio Facchinetti * [r7542] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: *** empty log message *** 2006-08-31 09:12 Mario Pucci * [r7541] test-suite/cms.cpp: added test on SwaptionVolatilityCubeBySabr 2006-08-31 09:07 Ferdinando Ametrano * [r7540] ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: fix 2006-08-31 08:48 Ferdinando Ametrano * [r7539] ql/calendar.cpp: using Calendar::endOfMonth instead of Date::endOfMonth 2006-08-31 08:42 Giorgio Facchinetti * [r7538] ql/Volatilities/swaptionvolcube.cpp: work in progress 2006-08-31 08:06 Giorgio Facchinetti * [r7537] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/swaptionvolstructure.hpp: Added SwaptionVolatilityCubeBySabr 2006-08-31 08:03 Luigi Ballabio * [r7536] Authors.txt, Contributors.txt, Docs/pages/authors.docs, dev_tools/developers: New developer 2006-08-31 07:29 Luigi Ballabio * [r7535] Authors.txt, Contributors.txt, Docs/pages/authors.docs, dev_tools/developers: New developer 2006-08-30 18:04 Ferdinando Ametrano * [r7534] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: fixes 2006-08-30 16:27 Luigi Ballabio * [r7533] ql/MarketModels/PseudoRoots/Makefile.am: *** empty log message *** 2006-08-30 16:27 Luigi Ballabio * [r7532] ql/timeseries.hpp: Bug fix (thanks to Marco Tarenghi) 2006-08-30 10:37 Luigi Ballabio * [r7531] QuantLib.vcproj, QuantLib_vc8.vcproj, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/all.hpp, ql/MarketModels/Products/marketmodelcomposite.cpp, ql/MarketModels/Products/marketmodelcomposite.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Added market-model composite product 2006-08-30 10:08 Cristina Duminuco * [r7530] ql/MarketModels/PseudoRoots/abcdfit.hpp: added file ql\MArketModels\PseudoRoots\abcdfit.hpp 2006-08-30 10:00 Luigi Ballabio * [r7529] test-suite/cms.cpp: *** empty log message *** 2006-08-30 09:51 Ferdinando Ametrano * [r7528] functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp: QuantLibFunctions fully deprecated. 2006-08-30 09:42 Ferdinando Ametrano * [r7527] functions/ql/Functions/Makefile.am, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/makefile.mak, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/prices.cpp, functions/ql/Functions/prices.hpp, ql/prices.cpp, ql/prices.hpp: further Functions deprecation. Just one fuction left... 2006-08-30 09:41 Cristina Duminuco * [r7526] test-suite/marketmodel.cpp: in testAbcdVolatilityFit() added the fit of b and c parameters, using a Conjugate Gradient 2006-08-30 09:38 Cristina Duminuco * [r7525] ql/MarketModels/PseudoRoots/abcd.hpp: fit of market variances using abcd volatility 2006-08-30 09:36 Cristina Duminuco * [r7524] QuantLib.vcproj, QuantLib_vc8.vcproj: added file ql\MArketModels\PseudoRoots\abcd.hpp 2006-08-30 08:45 Mario Pucci * [r7523] test-suite/cms.cpp: work in progress... 2006-08-30 08:39 Mario Pucci * [r7522] test-suite/cms.cpp: added tests 2006-08-29 19:16 Ferdinando Ametrano * [r7521] ql/calendar.hpp: fix 2006-08-29 19:02 Ferdinando Ametrano * [r7520] ql/calendar.cpp, ql/calendar.hpp: deprecating MonthEndReference 2006-08-29 18:14 Mario Pucci * [r7519] test-suite/cms.cpp: work in progress... 2006-08-29 17:09 Katiuscia Manzoni * [r7518] ql/Volatilities/swaptionvolcube.hpp: changed constructor: added default value of 2 (years) to shortTenor parameter and an empty shared pointer to shortTenorIndex parameter 2006-08-29 16:43 Marco Bianchetti * [r7517] ql/MarketModels/driftcalculator.cpp: Minor revision of formats/comments 2006-08-29 16:34 Mario Pucci * [r7516] ql/Volatilities/swaptionvolcube.cpp: work in progress... 2006-08-29 15:58 Mario Pucci * [r7515] ql/Math/sabrinterpolation.hpp: enriched error message... 2006-08-29 15:18 Ferdinando Ametrano * [r7514] ql/calendar.cpp, ql/calendar.hpp: adding endOfMonth behaviour to the advance method 2006-08-29 15:13 Ferdinando Ametrano * [r7513] ql/schedule.cpp: bug fix 2006-08-29 15:08 Luigi Ballabio * [r7512] ql/MarketModels/evolutiondescription.cpp: Fixed default numeraires and relevance rates 2006-08-29 15:07 Mario Pucci * [r7511] test-suite/cms.cpp: work in progress... 2006-08-29 15:01 Ferdinando Ametrano * [r7510] test-suite/hestonmodel.cpp: fix 2006-08-29 14:44 Mario Pucci * [r7509] test-suite/cms.cpp: adapted to new constructor for vol cuve 2006-08-29 14:38 Mario Pucci * [r7508] test-suite/cms.cpp, test-suite/cms.hpp: work in progress... 2006-08-29 12:09 Katiuscia Manzoni * [r7507] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: added new parameter (SwapSettlementDays) in the SwaptionVolatilityCube constructor 2006-08-29 10:19 Katiuscia Manzoni * [r7506] ql/Volatilities/swaptionvolcube.cpp: introduced effectiveIborIndex in atmStrike method, as the effective index between short term and long term index 2006-08-29 10:14 Ferdinando Ametrano * [r7505] test-suite/hestonmodel.cpp: higher tolerance 2006-08-29 06:42 Ferdinando Ametrano * [r7503] test-suite/marketmodel.cpp: higher tolerance 2006-08-28 21:03 Ferdinando Ametrano * [r7502] ql/MarketModels/curvestate.hpp, ql/MarketModels/evolutiondescription.cpp: using std::vector instead of Array 2006-08-28 21:02 Ferdinando Ametrano * [r7501] ql/MarketModels/PseudoRoots/expcorrabcdvol.cpp, ql/MarketModels/PseudoRoots/expcorrflatvol.cpp: using rank reduced matrices 2006-08-28 20:56 Ferdinando Ametrano * [r7500] ql/Math/pseudosqrt.cpp: improved behaviour 2006-08-28 20:18 Ferdinando Ametrano * [r7499] ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp: using std::vector instead of Array 2006-08-28 18:56 Chiara Fornarola * [r7498] ql/Instruments/assetswap.cpp, ql/Instruments/assetswap.hpp: added fairPrice as a method of AssetSwap 2006-08-28 17:05 Ferdinando Ametrano * [r7497] QuantLib_vc8.vcproj: VC8 catching up 2006-08-28 16:37 Luigi Ballabio * [r7496] ql/Math/convergencestatistics.hpp: *** empty log message *** 2006-08-28 16:29 Chiara Fornarola * [r7495] ql/Instruments/assetswap.cpp: work in progress 2006-08-28 15:59 Ferdinando Ametrano * [r7494] ql/Math/gaussianstatistics.hpp, ql/Math/riskstatistics.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: typedef RiskStatistics Statistics; 2006-08-28 15:33 Chiara Fornarola * [r7493] QuantLib_vc8.vcproj: VC8 catching up 2006-08-28 15:20 Chiara Fornarola * [r7492] ql/Instruments/bond.hpp: Added maturity date and first coupon date 2006-08-28 15:01 Katiuscia Manzoni * [r7491] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: bug fixed on private data member calendar_ 2006-08-28 13:47 Chiara Fornarola * [r7490] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/zerocouponbond.cpp: as per ISDA convention "Termination Date" is not adjusted 2006-08-28 10:33 Luigi Ballabio * [r7489] ql/Math/convergencestatistics.hpp, ql/Math/discrepancystatistics.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.hpp, ql/Math/riskstatistics.hpp, ql/Math/sequencestatistics.hpp: Added support for sequences to convergence statistics 2006-08-25 19:42 Luigi Ballabio * [r7487] lib: *** empty log message *** 2006-08-25 17:08 Chiara Fornarola * [r7486] lib, lib/QuantLibFunctions-vc71-mt-s-0_3_14.lib: *** empty log message *** 2006-08-25 15:28 Luigi Ballabio * [r7485] ql/CashFlows/conundrumpricer.hpp, ql/MarketModels/Products/Makefile.am, ql/Volatilities/swaptionvolcube.cpp, ql/swaptionvolstructure.hpp: More fixes for gcc compilation 2006-08-25 14:59 Chiara Fornarola * [r7484] QuantLib.vcproj: added 2 new products coinitialswaponestep and coterminalswaponestep 2006-08-25 14:27 Giorgio Facchinetti * [r7483] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Added testLongJumpCoinitialSwapsOneStep() and testLongJumpCoterminalSwapsOneStep() 2006-08-25 14:26 Giorgio Facchinetti * [r7482] QuantLib.vcproj, ql/MarketModels/Products/marketmodelcoinitialswapsonestep.cpp, ql/MarketModels/Products/marketmodelcoinitialswapsonestep.hpp, ql/MarketModels/Products/marketmodelcoterminalswapsonestep.cpp, ql/MarketModels/Products/marketmodelcoterminalswapsonestep.hpp: *** empty log message *** 2006-08-25 13:35 Mario Pucci * [r7481] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: name change 2006-08-25 13:12 Mario Pucci * [r7480] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/swaptionvolstructure.hpp: *** empty log message *** 2006-08-25 12:12 Mario Pucci * [r7479] ql/Volatilities/swaptionvolcube.cpp: work in progress... 2006-08-25 11:43 Cristina Duminuco * [r7478] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: work in progress 2006-08-25 10:24 Cristina Duminuco * [r7477] test-suite/marketmodel.cpp: a,b,c,d parameters ordered following Rebonato notation used in Abcd class 2006-08-25 10:23 Cristina Duminuco * [r7476] ql/MarketModels/PseudoRoots/expcorrabcdvol.cpp: - used method abcd::covariance - a,b,c,d parameters ordered following Rebonato notation used in Abcd class 2006-08-25 10:23 Mario Pucci * [r7475] ql/Volatilities/swaptionvolcube.cpp: work in progress... 2006-08-25 10:02 Giorgio Facchinetti * [r7474] ql/Volatilities/swaptionvolcube.cpp: added flat extrapolation of smile 2006-08-25 09:51 Giorgio Facchinetti * [r7473] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Volatilities/swaptionvolcube.cpp: work in progress 2006-08-25 09:42 Mario Pucci * [r7472] test-suite/cms.cpp: work in progress... 2006-08-25 09:37 Cristina Duminuco * [r7471] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: added method testAbcdVolatilityCompare() 2006-08-25 08:57 Giorgio Facchinetti * [r7470] ql/swaptionvolstructure.hpp: work in progress 2006-08-25 08:36 Luigi Ballabio * [r7469] ql/swaptionvolstructure.hpp: More fixes for gcc compilation (and line wrapping. 78 columns, please) 2006-08-25 07:46 Luigi Ballabio * [r7468] ql/Instruments/Makefile.am, ql/Instruments/assetswap.cpp: Fixes for gcc compilation 2006-08-25 07:41 Mario Pucci * [r7467] ql/Volatilities/swaptionconstantvol.hpp, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: added smileSection method 2006-08-24 15:45 Chiara Fornarola * [r7465] ql/Instruments/assetswap.hpp: asset swap class added test to be performed later nominal to be adjusted 2006-08-24 15:44 Chiara Fornarola * [r7464] ql/Instruments/assetswap.cpp: asset swap class added test to be performed nominal to be adjusted 2006-08-24 14:58 Mario Pucci * [r7463] ql/Volatilities/swaptionvolcube.cpp, ql/swaptionvolstructure.hpp: work in progress... 2006-08-24 14:53 Cristina Duminuco * [r7462] ql/MarketModels/PseudoRoots/abcd.cpp: *** empty log message *** 2006-08-24 14:38 Mario Pucci * [r7461] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: work in progress... 2006-08-24 14:34 Cristina Duminuco * [r7460] test-suite/marketmodel.cpp: In testAbcdVolatilityIntegration() are now tested methods variance() and covariance() of Abcd class. 2006-08-24 14:32 Cristina Duminuco * [r7459] ql/MarketModels/PseudoRoots/abcd.cpp, ql/MarketModels/PseudoRoots/abcd.hpp: Added (a first?) implementation of variance() and covariance() methods 2006-08-24 14:12 Mario Pucci * [r7458] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: added temporary smile1 method 2006-08-24 14:11 Ferdinando Ametrano * [r7457] QuantLib_vc8.vcproj, ql/MarketModels/Products/all.hpp, ql/MarketModels/TODO.txt: updated 2006-08-24 13:36 Luigi Ballabio * [r7456] dev_tools/developers: *** empty log message *** 2006-08-24 13:27 Ferdinando Ametrano * [r7455] ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: start renamed exerciseDate or exerciseTime, as appropriate 2006-08-24 13:02 Cristina Duminuco * [r7454] test-suite/testsuite_vc8.vcproj: removed schedule.*pp from project 2006-08-24 12:46 Mario Pucci * [r7453] ql/swaptionvolstructure.hpp: added Smile class 2006-08-24 12:41 Cristina Duminuco * [r7452] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp, test-suite/testsuite_vc8.vcproj: added testAbcdVolatilityIntegration() 2006-08-24 12:40 Cristina Duminuco * [r7451] test-suite/integrals.cpp: changed test on Abcd 2006-08-24 12:39 Cristina Duminuco * [r7450] ql/MarketModels/PseudoRoots/abcd.hpp: Additional controls 2006-08-24 09:50 Giorgio Facchinetti * [r7449] test-suite/marketmodel.cpp: back to the old implementation of methods using abcd volatility 2006-08-23 13:53 Giorgio Facchinetti * [r7446] ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoinitialswaps.hpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.hpp, test-suite/marketmodel.cpp: renamed swapRate in fixedRate 2006-08-23 13:42 Giorgio Facchinetti * [r7445] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Added void testLongJumpCoinitialSwaps() and testLongJumpCoterminalSwaps() 2006-08-23 13:38 Giorgio Facchinetti * [r7444] ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp: bug fixed 2006-08-23 12:14 Luigi Ballabio * [r7443] ql/Currencies/europe.hpp, ql/Currencies/exchangeratemanager.cpp: Added Romanian new lev 2006-08-23 12:10 Cristina Duminuco * [r7442] test-suite/marketmodel.cpp: *** empty log message *** 2006-08-23 10:09 Mario Pucci * [r7441] ql/CashFlows/conundrumpricer.cpp: enabled pricing via cube 2006-08-23 07:49 Luigi Ballabio * [r7440] ql/MarketModels/Products/Makefile.am: *** empty log message *** 2006-08-22 18:33 Katiuscia Manzoni * [r7439] ql/Volatilities/swaptionvolcube.cpp: assorted fixes 2006-08-22 18:32 Katiuscia Manzoni * [r7438] ql/Indexes/swapindex.cpp: bug fix 2006-08-22 16:13 Giorgio Facchinetti * [r7437] ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp: work in progress 2006-08-22 15:00 Luigi Ballabio * [r7436] ql/Math/array.hpp, ql/config.msvc.hpp: Moved compiler-dependent pragma into configuration file 2006-08-22 14:38 Giorgio Facchinetti * [r7435] ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoinitialswaps.hpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.hpp: work in progress 2006-08-22 14:25 Giorgio Facchinetti * [r7434] QuantLib.vcproj, ql/MarketModels/Products/marketmodelcoinitialswaps.cpp, ql/MarketModels/Products/marketmodelcoinitialswaps.hpp, ql/MarketModels/Products/marketmodelcoterminalswaps.cpp, ql/MarketModels/Products/marketmodelcoterminalswaps.hpp: *** empty log message *** 2006-08-22 14:14 Luigi Ballabio * [r7433] ql/Math/array.hpp: Avoided warnings on VC7.1 2006-08-22 10:47 Ferdinando Ametrano * [r7432] ql/MarketModels/TODO.txt: *** empty log message *** 2006-08-22 10:32 Katiuscia Manzoni * [r7431] ql/Volatilities/swaptionvolcube.cpp: 1. bug fixed on exerciseDatesAsReal_: element 0 was never populated; 2. explicitly enabled extrapolation both for exerciseInterpolator_ and volSpreadsInterpolator_. 2006-08-22 09:17 Mario Pucci * [r7430] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-22 09:11 Mario Pucci * [r7429] test-suite/cms.cpp: work in progress... 2006-08-22 08:55 Luigi Ballabio * [r7428] test-suite/cms.cpp: *** empty log message *** 2006-08-21 19:08 Ferdinando Ametrano * [r7427] ql/MarketModels/TODO.txt, ql/MarketModels/duffsdeviceinnerproduct.hpp, test-suite/testsuite_vc8.vcproj: cleaner Duff's device implementation 2006-08-21 18:41 Ferdinando Ametrano * [r7426] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-08-21 18:40 Ferdinando Ametrano * [r7425] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, test-suite/marketmodel.cpp: setMoneyMarketMeasurePlus(Size offset = 1) added 2006-08-21 16:29 Ferdinando Ametrano * [r7424] QuantLib.vcproj: alphabetically reordered filters 2006-08-21 16:09 Ferdinando Ametrano * [r7423] ql/MarketModels/duffsdeviceinnerproduct.hpp: improved implementation 2006-08-21 14:49 Mario Pucci * [r7422] test-suite/cms.cpp: work in progress... 2006-08-21 14:48 Luigi Ballabio * [r7421] ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Makefile.am: *** empty log message *** 2006-08-21 14:41 Mario Pucci * [r7420] test-suite/cms.cpp: added test hypercube 2006-08-21 14:14 Ferdinando Ametrano * [r7419] QuantLib_vc8.vcproj, ql/MarketModels/Components to be built or improved.TXT, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/TODO.txt, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/duffsdeviceinnerproduct.hpp, ql/MarketModels/marketmodelevolver.hpp, test-suite/bin, test-suite/bin/.cvsignore, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: introduced Duff's device. Not used yet as it seems ineffective (worse than std::inner_product) 2006-08-21 13:09 Luigi Ballabio * [r7418] ql/CashFlows/Makefile.am, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/PseudoRoots/Makefile.am, ql/Volatilities/Makefile.am, ql/Volatilities/swaptionvolcube.cpp, test-suite/Makefile.am, test-suite/cms.cpp: Fixes for warnings and Linux compilation 2006-08-21 13:08 Luigi Ballabio * [r7417] ql/Pricers/mcpricer.hpp, ql/PricingEngines/mcsimulation.hpp: Workaround for gcc 4.1 bug 2006-08-21 13:05 Luigi Ballabio * [r7416] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/parcoupon.hpp: More uniform naming for hidden methods 2006-08-21 13:03 Luigi Ballabio * [r7415] ql/period.cpp: More robust switch 2006-08-21 13:02 Luigi Ballabio * [r7414] ql/period.hpp: Avoided implicit conversion from Frequency 2006-08-21 12:44 Mario Pucci * [r7413] test-suite/cms.cpp: work in progress... 2006-08-21 12:28 Mario Pucci * [r7412] test-suite/cms.cpp, test-suite/cms.hpp: adde testParity() 2006-08-21 12:15 Mario Pucci * [r7411] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: work in progress... 2006-08-21 10:54 Mario Pucci * [r7410] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: added Real price(const Handle& discountingCurve) const. May be eligible for preferement to base class 2006-08-21 09:44 Katiuscia Manzoni * [r7409] ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: added params to SwaptionVolatilityCube constructor to allow instantiatiation of vanilla swap & added method atmStrike returning the vanilla swap's fair rate 2006-08-21 08:20 Giorgio Facchinetti * [r7408] ql/CashFlows/conundrumpricer.cpp: work in progress 2006-08-21 08:18 Ferdinando Ametrano * [r7407] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-08-21 08:16 Ferdinando Ametrano * [r7406] QuantLib.vcproj, QuantLib_vc8.vcproj, test-suite/integrals.cpp, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: MarketModel refactoring 2006-08-21 08:15 Ferdinando Ametrano * [r7405] ql/MarketModels/PseudoRoots/abcdvolatility.cpp, ql/MarketModels/PseudoRoots/abcdvolatility.hpp, ql/MarketModels/PseudoRoots/calibratedmarketmodel.cpp, ql/MarketModels/PseudoRoots/calibratedmarketmodel.hpp, ql/MarketModels/PseudoRoots/expcorrabcdvol.cpp, ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp, ql/MarketModels/PseudoRoots/expcorrflatvol.cpp, ql/MarketModels/PseudoRoots/expcorrflatvol.hpp, ql/MarketModels/PseudoRoots/exponentialcorrelation.cpp, ql/MarketModels/PseudoRoots/exponentialcorrelation.hpp: 1) using std::vector instead of Array 2) code formatting 3) effective stop times are calculated in EvolutionDescription and used in PseudoRoot derived classes 4) renamed class 5) introduced CalibratedMarketModel (not usable yet) 2006-08-21 08:13 Ferdinando Ametrano * [r7404] ql/MarketModels/PseudoRoots/abcd.cpp, ql/MarketModels/PseudoRoots/abcd.hpp: Abcd class factored out 2006-08-21 08:10 Ferdinando Ametrano * [r7403] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: 1) using std::vector instead of Array 2) code formatting 3) effective stop times are calculated in EvolutionDescription and used in PseudoRoot derived classes 2006-08-21 08:07 Mario Pucci * [r7402] test-suite/cms.cpp, test-suite/cms.hpp: work in progress... 2006-08-21 07:55 Ferdinando Ametrano * [r7401] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelcaplets.hpp, ql/MarketModels/Products/marketmodelcapletsonestep.cpp, ql/MarketModels/Products/marketmodelcapletsonestep.hpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/Products/marketmodelforwardsonestep.cpp, ql/MarketModels/Products/marketmodelforwardsonestep.hpp, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/pseudoroot.hpp: 1) using std::vector instead of Array 2) code formatting 2006-08-21 07:38 Ferdinando Ametrano * [r7400] ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmcorrmodel.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp: introduced CalibratedModel class as base class for ShortRateModel. Now LiborForwardModel, HestonModel, etc can inherit from CalibratedModel without having to inherit no-sense mnethods from ShortRateModel 2006-08-18 19:55 Ferdinando Ametrano * [r7399] test-suite/cms.cpp: right tolerance 2006-08-18 19:48 Ferdinando Ametrano * [r7398] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-08-18 19:25 Ferdinando Ametrano * [r7397] ql/Math/array.hpp: improved error messages 2006-08-18 19:20 Ferdinando Ametrano * [r7396] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp: some more precomputations 2006-08-18 17:10 Ferdinando Ametrano * [r7395] test-suite/marketmodel.cpp: formatting 2006-08-18 16:40 Ferdinando Ametrano * [r7394] ql/MarketModels/driftcalculator.cpp: bug fix 2006-08-18 16:28 Katiuscia Manzoni * [r7393] functions/ql/Functions/auto_link.hpp, ql/auto_link.hpp: clearer message 2006-08-18 15:59 Ferdinando Ametrano * [r7392] test-suite/cms.cpp: formatting 2006-08-18 15:47 Ferdinando Ametrano * [r7391] test-suite/testsuite.vcproj: VC7 catching up 2006-08-18 15:40 Ferdinando Ametrano * [r7390] ql/Math/matrix.hpp: improved error messages 2006-08-18 15:18 Ferdinando Ametrano * [r7389] ql/userconfig.hpp: *** empty log message *** 2006-08-18 15:17 Ferdinando Ametrano * [r7388] ql/userconfig.hpp: *** empty log message *** 2006-08-18 15:04 Ferdinando Ametrano * [r7387] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: refactoring 2006-08-18 14:48 Mario Pucci * [r7386] test-suite/testsuite_vc8.vcproj: added cmsTest 2006-08-18 14:47 Mario Pucci * [r7385] test-suite/cms.hpp: *** empty log message *** 2006-08-18 14:47 Mario Pucci * [r7384] test-suite/cms.cpp: basic test: analytic vs. numerical 2006-08-18 14:45 Mario Pucci * [r7383] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-18 13:50 Mario Pucci * [r7382] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-18 13:22 Ferdinando Ametrano * [r7381] ql/MarketModels/driftcalculator.cpp: formatting 2006-08-18 13:22 Ferdinando Ametrano * [r7380] ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp: minor changes and (ipc) optimization 2006-08-18 12:42 Ferdinando Ametrano * [r7379] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: VC7 fix 2006-08-18 12:06 Mario Pucci * [r7378] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-18 10:31 Ferdinando Ametrano * [r7377] ql/MarketModels/PseudoRoots/abcdvolatility.cpp, ql/MarketModels/PseudoRoots/abcdvolatility.hpp: *** empty log message *** 2006-08-18 08:53 Cristina Duminuco * [r7376] ql/MarketModels/PseudoRoots/abcdvolatility.cpp, ql/MarketModels/PseudoRoots/abcdvolatility.hpp: Added new methods: 1- Real AbcdVolatility::shortTermVolatility() const; 2- Real AbcdVolatility::longTermVolatility() const; 3- Real AbcdVolatility::maximumLocation() const; 4- Real AbcdVolatility::maximumVolatility() const; 2006-08-17 21:19 Ferdinando Ametrano * [r7375] ql/MarketModels/Evolvers/forwardratepcevolver.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: Market models tests refactored and expanded 2006-08-17 14:06 Mario Pucci * [r7374] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: parametrized upper and lower integration limits in ConundrumPricerByNumericalIntegration::ConundrumPricerByNumericalIntegration 2006-08-17 13:32 Katiuscia Manzoni * [r7373] ql/Math/linearinterpolation.hpp: default constrtuctor added 2006-08-17 12:34 Ferdinando Ametrano * [r7372] ql/Indexes/swapindex.cpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/ratehelpers.cpp, test-suite/bermudanswaption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/libormarketmodel.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: VanillaSwaption constructor without fixing days 2006-08-17 12:30 Mario Pucci * [r7371] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: Added new initial guess for solver in method: Real GFunctionFactory::GFunctionWithShifts::calibrationOfShift(Real Rs) 2006-08-17 10:20 Ferdinando Ametrano * [r7370] QuantLib.vcproj: VC 7 catching up 2006-08-17 10:18 Ferdinando Ametrano * [r7369] QuantLib_vc8.vcproj, ql/Makefile.am, ql/date.cpp, ql/date.hpp, ql/makefile.mak, ql/period.cpp, ql/period.hpp: 1) added Period::Period(Frequency f) 2) factored out Period code into its own file 2006-08-17 10:08 Ferdinando Ametrano * [r7368] functions/ql/Functions/calendars.hpp, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/prices.hpp: deprecating functions 2006-08-11 14:51 Giorgio Facchinetti * [r7367] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: Added GFunctionExactYield class in Conundrum framework 2006-08-11 09:05 Giorgio Facchinetti * [r7366] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: analytical second derivative of GFunctionWithShifts 2006-08-10 15:16 Cristina Duminuco * [r7365] ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/Math/discrepancystatistics.hpp, ql/Math/sequencestatistics.hpp, test-suite/covariance.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/marketmodel.cpp, test-suite/stats.cpp: code clean up 1) SequenceStatistics renamed as GenericSequenceStatistics 2) typedef GenericSequenceStatistics SequenceStatistics; 2006-08-10 10:48 Ferdinando Ametrano * [r7364] functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp: deprecating unused functions 2006-08-09 18:43 Chiara Fornarola * [r7363] ql/date.cpp: short_period set as default, capitalized letters are used. 2006-08-09 15:22 Giorgio Facchinetti * [r7362] QuantLib.vcproj, ql/Indexes/euriborswapfixa.hpp: *** empty log message *** 2006-08-08 18:28 Chiara Fornarola * [r7361] ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, test-suite/shortratemodels.cpp, test-suite/shortratemodels.hpp: Futures convexity bias calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997. Unit test added 2006-08-08 15:39 Giorgio Facchinetti * [r7360] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: analitical first derivative of GFunctionWithShifts 2006-08-07 18:52 Marco Bianchetti * [r7359] ql/TermStructures/piecewiseyieldcurve.hpp: updated comment 2006-08-07 15:47 Ferdinando Ametrano * [r7358] ql/Volatilities/swaptionvolmatrix.hpp: *** empty log message *** 2006-08-07 15:20 Ferdinando Ametrano * [r7357] QuantLib.vcproj: initial implementation 2006-08-07 15:09 Ferdinando Ametrano * [r7356] QuantLib_vc8.vcproj, ql/Volatilities/swaptionvolcube.cpp, ql/Volatilities/swaptionvolcube.hpp: initial implementation 2006-08-07 15:08 Ferdinando Ametrano * [r7355] ql/Math/interpolation2D.hpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: expanded interface 2006-08-07 13:49 Ferdinando Ametrano * [r7354] ql/termstructure.hpp: more general comment 2006-08-07 13:11 Cristina Duminuco * [r7353] ql/Math/gaussianstatistics.hpp, ql/Math/incrementalstatistics.hpp, ql/Math/riskstatistics.hpp, test-suite/riskstats.cpp, test-suite/stats.cpp: code clean up 1) GaussianStatistics renamed as GenericGaussianStatistic 2) typedef GenericGaussianStatistics GaussianStatistics; 3) typedef GenericRiskStatistics RiskStatistics; 4) one more ConvergenceStatistic test added 2006-08-07 10:30 Giorgio Facchinetti * [r7352] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: numerical version of first and second derivatives of GFunctionWithShifts 2006-08-07 10:28 Giorgio Facchinetti * [r7351] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: Added meanReversion_ member in CMSCoupon 2006-08-04 12:59 Giorgio Facchinetti * [r7350] ql/CashFlows/conundrumpricer.cpp: fixed bug Giorgio e Mario 2006-08-04 12:45 Giorgio Facchinetti * [r7349] ql/Indexes/swapindex.cpp: changed swap nominal from 100. to 1. in SwapIndex::underlyingSwap Giorgio e Mario 2006-08-03 15:39 Giorgio Facchinetti * [r7348] ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/parcoupon.hpp: VC7 patch 2006-08-03 14:56 Ferdinando Ametrano * [r7347] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp: *** empty log message *** 2006-08-03 14:24 Giorgio Facchinetti * [r7346] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: *** empty log message *** 2006-08-03 14:16 Mario Pucci * [r7345] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-03 14:02 Mario Pucci * [r7344] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-03 13:55 Mario Pucci * [r7343] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-03 11:43 Ferdinando Ametrano * [r7342] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp: Coupon refactoring 2006-08-03 11:43 Ferdinando Ametrano * [r7341] ql/Indexes/interestrateindex.cpp, ql/Indexes/xibor.hpp: *** empty log message *** 2006-08-03 10:15 Mario Pucci * [r7340] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: *** empty log message *** 2006-08-03 10:13 Mario Pucci * [r7339] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-03 10:05 Mario Pucci * [r7338] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-03 09:37 Mario Pucci * [r7337] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-03 09:00 Mario Pucci * [r7336] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-03 08:07 Mario Pucci * [r7335] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: optimized 2006-08-02 16:01 Ferdinando Ametrano * [r7334] ql/Indexes/xibor.hpp: *** empty log message *** 2006-08-02 15:56 Ferdinando Ametrano * [r7333] ql/Indexes/interestrateindex.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/xibor.hpp: adding termStructure() method to InterestRateIndex 2006-08-02 15:41 Mario Pucci * [r7332] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-02 15:22 Mario Pucci * [r7331] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-08-02 15:16 Mario Pucci * [r7330] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: GFunction with mean reversion (if null it's parallel shift) 2006-08-02 14:53 Mario Pucci * [r7329] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-02 14:18 Luigi Ballabio * [r7328] Examples/Replication/Replication.cpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp: Reused now-free name 2006-08-02 13:23 Mario Pucci * [r7327] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-08-02 10:23 Giorgio Facchinetti * [r7326] ql/CashFlows/conundrumpricer.cpp: bugs fixed - annuity_ = swap->floatingLegBPS()/basisPoSize; + annuity_ = (swap->floatingLegBPS()/basisPoSize)/coupon_.nominal(); - gFunction_ = GFunctionFactory::newGFunctionStandard(q, delta, swapTenor_.units()); + gFunction_ = GFunctionFactory::newGFunctionStandard(q, delta, swapTenor_.length()); 2006-08-02 10:06 Ferdinando Ametrano * [r7325] test-suite/libormarketmodel.cpp: *** empty log message *** 2006-08-02 09:18 Ferdinando Ametrano * [r7324] ql/CashFlows/floatingratecoupon.hpp: non-virtual inspector. Luigi: please revert the change if you don't agree 2006-08-01 14:51 Ferdinando Ametrano * [r7322] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp: removing obsolete method 2006-08-01 14:49 Ferdinando Ametrano * [r7321] ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/Instruments/capfloor.cpp: ParCoupon refactoring 2006-08-01 11:34 Luigi Ballabio * [r7320] ql/Math/all.hpp, ql/core.hpp: *** empty log message *** 2006-08-01 11:16 Ferdinando Ametrano * [r7319] ql/userconfig.hpp: removing deprecated code 2006-08-01 11:16 Ferdinando Ametrano * [r7318] QuantLib_vc8.vcproj, functions/ql/Functions/mathf.hpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/zibor.hpp, ql/Instruments/callabilityschedule.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Makefile.am, ql/Math/Makefile.am, ql/Math/symmetriceigenvalues.hpp, ql/Patterns/bridge.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/blackmodel.hpp, ql/Processes/blackscholesprocess.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/capletconstantvol.hpp, ql/exercise.hpp, ql/history.hpp, ql/userconfig.hpp: removing deprecated code 2006-08-01 10:34 Luigi Ballabio * [r7317] functions/ql/Functions/Makefile.am: *** empty log message *** 2006-08-01 10:22 Giorgio Facchinetti * [r7316] ql/Indexes/jibar.hpp, ql/Indexes/xibor.cpp: removing deprecated code 2006-08-01 07:31 Ferdinando Ametrano * [r7315] ql/Indexes/euribor.hpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/xibor.hpp: bug fix (and removed deprecated code) 2006-07-31 18:11 Ferdinando Ametrano * [r7314] ql/DayCounters/thirty360.hpp: (almost always) ISDA compliant strings 2006-07-31 18:05 Ferdinando Ametrano * [r7313] ql/DayCounters/actual360.hpp, ql/DayCounters/actual365fixed.hpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/thirty360.hpp: (almost always) ISDA compliant strings 2006-07-31 18:03 Ferdinando Ametrano * [r7312] ql/CashFlows/cmscoupon.hpp, ql/CashFlows/floatingratecoupon.hpp: convexityAdjustment promoted to public 2006-07-31 16:31 Ferdinando Ametrano * [r7311] ql/userconfig.hpp: reverting back an unwanted change that slipped in... 2006-07-31 16:13 Ferdinando Ametrano * [r7310] functions/ql/Functions/QuantLibFunctions_vc8.vcproj, ql/userconfig.hpp: removing deprecated code 2006-07-31 15:58 Ferdinando Ametrano * [r7309] functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp: removed deprecated code 2006-07-31 13:23 Luigi Ballabio * [r7307] ql/MarketModels/BrownianGenerators, ql/MarketModels/BrownianGenerators/.cvsignore, ql/MarketModels/Evolvers, ql/MarketModels/Evolvers/.cvsignore, ql/MarketModels/PseudoRoots, ql/MarketModels/PseudoRoots/.cvsignore: *** empty log message *** 2006-07-31 13:20 Luigi Ballabio * [r7306] Announce.txt, Authors.txt, ChangeLog.txt, Contributors.txt, Docs/Makefile.am, Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/license.docs, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/makefile.mak, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/ConvertibleBonds/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/makefile.mak, Examples/EquityOption/EquityOption.cpp, Examples/EquityOption/EquityOption.vcproj, Examples/EquityOption/makefile.mak, Examples/FRA/FRA.cpp, Examples/FRA/FRA.vcproj, Examples/FRA/makefile.mak, Examples/Replication/Replication.cpp, Examples/Replication/Replication.vcproj, Examples/Replication/makefile.mak, Examples/Repo/Repo.cpp, Examples/Repo/Repo.vcproj, Examples/Repo/makefile.mak, Examples/Swap/makefile.mak, Examples/Swap/swapvaluation.cpp, LICENSE.TXT, News.txt, QuantLib.dev, QuantLib.dsp, QuantLib.dsw, QuantLib.sln, QuantLib.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj, dev_tools/developers, dev_tools/tgz2zip, dev_tools/update_changelog.py, functions/ql/Functions/Makefile.am, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/makefile.mak, makefile.mak, man/Makefile.am, ql/Calendars/makefile.mak, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/makefile.mak, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/pdeshortrate.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/zerocondition.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/usdlibor.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/forward.cpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp, ql/Instruments/makefile.mak, ql/Instruments/swap.cpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/Makefile.am, ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/PseudoRoots/abcdvolatility.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/driftcalculator.cpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/interpolation2D.hpp, ql/Math/linearinterpolation.hpp, ql/Math/linearleastsquaresregression.cpp, ql/Math/linearleastsquaresregression.hpp, ql/Math/makefile.mak, ql/Math/normaldistribution.cpp, ql/Math/pseudosqrt.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/CapFloor/mchullwhiteengine.cpp, ql/PricingEngines/CapFloor/mchullwhiteengine.hpp, ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp, ql/PricingEngines/Lookback/makefile.mak, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/makefile.mak, ql/Processes/makefile.mak, ql/ShortRateModels/LiborMarketModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/discountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Utilities/null.hpp, ql/Utilities/observablevalue.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/makefile.mak, ql/Volatilities/swaptionvolmatrix.hpp, ql/VolatilityModels/garmanklass.hpp, ql/VolatilityModels/makefile.mak, ql/VolatilityModels/simplelocalestimator.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/cashflow.hpp, ql/config.msvc.hpp, ql/date.cpp, ql/daycounter.hpp, ql/errors.hpp, ql/event.hpp, ql/exercise.cpp, ql/makefile.mak, ql/qldefines.hpp, ql/quantlib.hpp, ql/solver1d.hpp, ql/types.hpp, ql/userconfig.hpp, test-suite/capfloor.cpp, test-suite/distributions.cpp, test-suite/linearleastsquaresregression.cpp, test-suite/makefile.mak, test-suite/pathgenerator.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/swaption.cpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/varianceswaps.cpp: Merged 0.3.13 branch 2006-07-31 09:34 Luigi Ballabio * [r7305] Examples/BermudanSwaption/BermudanSwaption.dev, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev, Examples/Replication/Replication.dev, Examples/Repo/Repo.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, makefile.mak, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Incremented version number 2006-07-29 15:20 Joseph Wang * [r7302] ql/Optimization/Makefile.am, ql/Optimization/criteria.hpp: fix missing link of criteria.cpp 2006-07-29 07:42 Joseph Wang * [r7301] ql/Indexes/Makefile.am: add new cpp files 2006-07-29 06:33 Joseph Wang * [r7300] configure.ac, ql/MarketModels/BrownianGenerators/Makefile.am, ql/MarketModels/Evolvers/Makefile.am, ql/MarketModels/Makefile.am, ql/MarketModels/PseudoRoots/Makefile.am: add am files for market models sub directory 2006-07-28 21:07 Joseph Wang * [r7299] ql/Indexes/xibor.hpp: remove qualifier 2006-07-28 20:53 Joseph Wang * [r7298] man/Makefile.am: remove blank line to avoid automake error 2006-07-28 17:36 Ferdinando Ametrano * [r7297] ql/Indexes/swapindex.cpp: redundant methods removed 2006-07-28 17:28 Ferdinando Ametrano * [r7296] ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp: redundant methods removed 2006-07-28 17:16 Ferdinando Ametrano * [r7295] ql/Indexes/interestrateindex.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp: redundant method removed 2006-07-28 16:34 Giorgio Facchinetti * [r7294] QuantLib.vcproj, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/conundrumpricer.cpp, ql/Indexes/interestrateindex.hpp: VC7 catching up 2006-07-28 16:16 Giorgio Facchinetti * [r7293] QuantLib.vcproj, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: Conundrum refactoring 2006-07-28 16:00 Giorgio Facchinetti * [r7292] ql/capvolstructures.hpp, ql/swaptionvolstructure.hpp: blackVariance added 2006-07-28 15:49 Ferdinando Ametrano * [r7291] QuantLib_vc8.vcproj, ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/interestrateindex.cpp, ql/Indexes/interestrateindex.hpp, ql/Indexes/swapindex.cpp, ql/Indexes/swapindex.hpp, ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp: 1) InterestRateIndex introduced 2) SwapRate renamed SwapIndex 2006-07-28 13:34 Dirk Eddelbuettel * [r7285] man/BermudanSwaption.1, man/ConvertibleBonds.1, man/DiscreteHedging.1, man/EquityOption.1, man/FRA.1, man/Makefile.am, man/Replication.1, man/Repo.1, man/SwapValuation.1: added manual pages for FRA, Repo and Replication; updated man pages cross-refs 2006-07-27 05:02 Joseph Wang * [r7282] ql/TermStructures/piecewiseyieldcurve.hpp: insert this for gcc compile 2006-07-25 16:34 Ferdinando Ametrano * [r7274] test-suite/capfloor.cpp, test-suite/libormarketmodel.cpp: C-F=S parity does not depend on the termstructure daycounter anymore 2006-07-25 16:31 Ferdinando Ametrano * [r7273] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp: bug fix: use variance to avoid daycounter mismatch 2006-07-25 16:28 Ferdinando Ametrano * [r7272] ql/CashFlows/parcoupon.cpp: bug fix 2006-07-25 12:47 Ferdinando Ametrano * [r7271] ql/Math/loglinearinterpolation.hpp, ql/Math/sabrinterpolation.hpp, ql/Processes/merton76process.hpp, ql/instrument.hpp: more explicative error messages 2006-07-24 17:52 Ferdinando Ametrano * [r7269] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: adding fixingDates (will be used for exact variance calculation) 2006-07-24 17:46 Ferdinando Ametrano * [r7268] ql/capvolstructures.hpp: adding blackVariance 2006-07-24 16:03 Ferdinando Ametrano * [r7267] test-suite/quantlibtestsuite.cpp: working on floating point exceptions: not yet ready 2006-07-24 16:03 Ferdinando Ametrano * [r7266] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-07-24 16:03 Ferdinando Ametrano * [r7265] ql/config.msvc.hpp, test-suite/quantlibtestsuite.cpp: working on floating point exceptions: not yet ready 2006-07-24 15:57 Ferdinando Ametrano * [r7264] ql/TermStructures/piecewiseyieldcurve.hpp: improved error message 2006-07-24 15:56 Ferdinando Ametrano * [r7263] ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/blackmodel.hpp: bug fix 2006-07-24 15:55 Ferdinando Ametrano * [r7262] ql/PricingEngines/Vanilla/batesengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp: *** empty log message *** 2006-07-24 09:14 Ferdinando Ametrano * [r7254] test-suite/pathgenerator.cpp, test-suite/varianceswaps.cpp: higher tolerance in case REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD is not defined 2006-07-24 08:51 Ferdinando Ametrano * [r7253] test-suite/distributions.cpp: higher tolerance in case REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD is not defined 2006-07-24 08:42 Ferdinando Ametrano * [r7252] test-suite/varianceswaps.cpp: higher tolerance for VC7/VC8 compilers 2006-07-24 08:22 Ferdinando Ametrano * [r7251] test-suite/integrals.cpp: *** empty log message *** 2006-07-24 08:17 Ferdinando Ametrano * [r7250] ql/Math/sabrinterpolation.hpp: warning avoided 2006-07-24 07:48 Ferdinando Ametrano * [r7249] QuantLib.vcproj: VC7 catching up 2006-07-21 18:19 Katiuscia Manzoni * [r7248] QuantLib_vc8.vcproj, ql/Indexes/euriborswapfixa.hpp, ql/Indexes/swaprate.hpp: added EuriborSwapFixA class and all derived classes for different tenors 1Y to 30Y 2006-07-21 16:57 Ferdinando Ametrano * [r7247] QuantLib_vc8.vcproj, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp: VC8 catching up 2006-07-21 14:37 Marco Bianchetti * [r7246] ql/MarketModels/Components to be built or improved.TXT: *** empty log message *** 2006-07-21 14:32 Marco Bianchetti * [r7245] QuantLib.vcproj, ql/MarketModels/BrownianGenerators, ql/MarketModels/BrownianGenerators/mtbrowniangenerator.cpp, ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp, ql/MarketModels/Evolvers, ql/MarketModels/Evolvers/forwardrateipcevolver.cpp, ql/MarketModels/Evolvers/forwardrateipcevolver.hpp, ql/MarketModels/Evolvers/forwardratepcevolver.cpp, ql/MarketModels/Evolvers/forwardratepcevolver.hpp, ql/MarketModels/PseudoRoots, ql/MarketModels/PseudoRoots/abcdvolatility.cpp, ql/MarketModels/PseudoRoots/abcdvolatility.hpp, ql/MarketModels/PseudoRoots/exponentialcorrelation.cpp, ql/MarketModels/PseudoRoots/exponentialcorrelation.hpp, ql/MarketModels/abcdvolatility.cpp, ql/MarketModels/abcdvolatility.hpp, ql/MarketModels/all.hpp, ql/MarketModels/exponentialcorrelation.cpp, ql/MarketModels/exponentialcorrelation.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/forwardrateipcevolver.cpp, ql/MarketModels/forwardrateipcevolver.hpp, ql/MarketModels/mtbrowniangenerator.cpp, ql/MarketModels/mtbrowniangenerator.hpp, test-suite/marketmodel.cpp: finer logical MarketModels folder structure 2006-07-21 13:53 Marco Bianchetti * [r7244] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateipcevolver.cpp: driftcalculator: added reduced factor calculation + comments + reordering forwardrate(ipc)evolver: passed number of factors for driftcalculator 2006-07-21 08:36 Ferdinando Ametrano * [r7243] ql/calendar.cpp: ISDA compliant strings 2006-07-20 17:32 Marco Bianchetti * [r7242] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateipcevolver.cpp: driftcalculator: added reduced factor calculation + comments + reordering forwardrate(ipc)evolver: passed number of factors for driftcalculator 2006-07-20 15:31 Katiuscia Manzoni * [r7241] ql/Indexes/xibor.cpp: added check so that method "fixing" returns error msg when fixingDate is not a business day 2006-07-19 18:22 Ferdinando Ametrano * [r7240] test-suite/marketmodel.cpp: 1) delegating to EvolutionDescription more time/alive computations 2) using EvolutionDescription as input instead of (const Array& rateTimes, const Array& evolutionTimes) 2006-07-19 18:05 Katiuscia Manzoni * [r7239] ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp: added forecastTodaysFixing parameter to fixing method and added familyName() method 2006-07-19 17:54 Ferdinando Ametrano * [r7238] ql/MarketModels/abcdvolatility.cpp, ql/MarketModels/abcdvolatility.hpp, ql/MarketModels/exponentialcorrelation.cpp, ql/MarketModels/exponentialcorrelation.hpp: using EvolutionDescription as input instead of (const Array& rateTimes, const Array& evolutionTimes) 2006-07-19 17:52 Ferdinando Ametrano * [r7237] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateipcevolver.cpp: delegating to EvolutionDescription more time/alive computations 2006-07-19 17:48 Ferdinando Ametrano * [r7236] ql/Optimization/criteria.cpp: ceiling on the number of iterations required to declare a point as stationary 2006-07-19 17:39 Ferdinando Ametrano * [r7235] ql/Optimization/criteria.cpp: ceiling on the number of iteration required to declare a point as stationary 2006-07-19 17:38 Ferdinando Ametrano * [r7234] ql/Math/sabrinterpolation.hpp: warning avoided 2006-07-19 17:37 Ferdinando Ametrano * [r7233] ql/Optimization/leastsquare.hpp: PositiveOptimization defaults to true 2006-07-19 13:15 Giorgio Facchinetti * [r7232] ql/Math/sabrinterpolation.hpp: 1) added method interpolationSquaredNonNormalizedError() in SABRInterpolationImpl class 2) changed order SABR parameters : (beta, nu, alpha, rho ) -->> (alpha, beta, nu, rho ) 2006-07-19 12:29 Giorgio Facchinetti * [r7231] ql/Optimization/linesearch.hpp: formatting 2006-07-19 12:17 Eric Ehlers * [r7229] ql/calendar.cpp: remove unneeded line 2006-07-19 10:50 Eric Ehlers * [r7228] ql/calendar.cpp, ql/calendar.hpp: overload stream operator 2006-07-19 10:44 Giorgio Facchinetti * [r7227] ql/Optimization/armijo.cpp: succeed_=true initialization in ArmijoLineSearch::operator() 2006-07-19 08:44 Eric Ehlers * [r7226] ql/calendar.hpp, ql/daycounter.hpp: overload stream operator 2006-07-18 15:58 Giorgio Facchinetti * [r7224] ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/ShortRateModels/model.cpp: default is positiveOptimization = true 2006-07-18 15:57 Giorgio Facchinetti * [r7223] ql/Optimization/conjugategradient.cpp: *** empty log message *** 2006-07-18 15:56 Giorgio Facchinetti * [r7222] ql/Math/sabrinterpolation.hpp: improved "generic" guess 2006-07-18 14:35 Giorgio Facchinetti * [r7221] ql/Optimization/conjugategradient.hpp, ql/Optimization/method.hpp: 1) added one more constructor 2) better initialization 2006-07-18 14:34 Giorgio Facchinetti * [r7220] ql/Math/sabrinterpolation.hpp: assorted fixes 2006-07-18 14:03 Giorgio Facchinetti * [r7219] ql/Optimization/conjugategradient.cpp, ql/Optimization/linesearch.hpp: ConjugateGradient::minimize doesn't throw: it can fail just because maxIterations exceeded 2006-07-17 15:53 Ferdinando Ametrano * [r7218] test-suite/marketmodel.cpp: always full-factor when using single-step 2006-07-17 10:15 Ferdinando Ametrano * [r7216] ql/Indexes/euribor.hpp, ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp: case insensitive IndexManager 2006-07-14 19:05 Ferdinando Ametrano * [r7215] ql/MarketModels/abcdvolatility.cpp, ql/MarketModels/exponentialcorrelation.cpp: rank reduction doesn't work yet 2006-07-14 17:39 Ferdinando Ametrano * [r7214] ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.hpp: minor changes 2006-07-14 16:12 Cristina Duminuco * [r7213] test-suite/integrals.cpp: Added test for Abcd function. 2006-07-14 16:11 Cristina Duminuco * [r7212] ql/MarketModels/abcdvolatility.cpp: Removed function primitive(), class Abcd is used instead. 2006-07-14 16:10 Cristina Duminuco * [r7211] ql/MarketModels/abcdvolatility.hpp: Added class Abcd that implements this specific functional form for instantaneous volatility, following Rebonato noatation. 2006-07-14 12:03 Ferdinando Ametrano * [r7208] QuantLib_vc8.vcproj: VC8 catching up 2006-07-14 09:37 Ferdinando Ametrano * [r7205] ql/Math/sabrinterpolation.hpp: removing unnecessary exception throw 2006-07-14 08:44 Giorgio Facchinetti * [r7202] QuantLib.vcproj, ql/Math/sabrinterpolation.hpp, ql/Optimization/criteria.cpp, ql/Optimization/criteria.hpp: 1) SABRInterpolation returns EndCriteria 2) std::ostream& operator<<(std::ostream& out, EndCriteria::Type ec); 2006-07-14 07:51 Ferdinando Ametrano * [r7201] ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: isInMoneyMarketMeasure 2006-07-14 07:49 Ferdinando Ametrano * [r7200] ql/MarketModels/abcdvolatility.cpp, ql/MarketModels/exponentialcorrelation.cpp: using factor reduction 2006-07-13 16:35 Eric Ehlers * [r7198] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: stream operator for CapFloor::Type 2006-07-13 14:45 Ferdinando Ametrano * [r7197] ql/CashFlows/cmscoupon.cpp: doesn't rely on deprecated code 2006-07-13 11:35 Mario Pucci * [r7194] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-07-13 09:18 Mario Pucci * [r7193] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-07-13 08:52 Mario Pucci * [r7192] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: work in progress... 2006-07-13 08:24 Mario Pucci * [r7191] ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp: fixedRateSchedule exposed 2006-07-13 07:12 Ferdinando Ametrano * [r7190] ql/CashFlows/cmscoupon.cpp: CheckedCumulativeNormalDistribution is probably not needed anymore... 2006-07-12 15:40 Mario Pucci * [r7189] ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: added cutoffs 2006-07-12 15:36 Mario Pucci * [r7188] ql/CashFlows/conundrumpricer.cpp: work in progress... added double price() const 2006-07-12 15:23 Mario Pucci * [r7187] ql/CashFlows/conundrumpricer.cpp: work in progress... 2006-07-12 15:17 Giorgio Facchinetti * [r7186] ql/Optimization/conjugategradient.cpp: Errata Corrige 2006-07-12 15:13 Mario Pucci * [r7185] QuantLib_vc8.vcproj, ql/CashFlows/conundrumpricer.cpp, ql/CashFlows/conundrumpricer.hpp: *** empty log message *** 2006-07-12 15:12 Mario Pucci * [r7184] ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp: added method to extract underlying vanilla swap 2006-07-12 15:09 Ferdinando Ametrano * [r7183] ql/Math/pseudosqrt.cpp, test-suite/covariance.cpp: (one more) bug fix 2006-07-12 15:07 Ferdinando Ametrano * [r7182] QuantLib.vcproj: VC7 catching up 2006-07-12 14:49 Giorgio Facchinetti * [r7181] ql/Optimization/conjugategradient.cpp: Added QL_REQUIRE(endCriteria().criteria()!=endCriteria().maxIter, "maximum number of iterations reached" ) in ConjugateGradient::minimize 2006-07-12 14:46 Ferdinando Ametrano * [r7180] ql/Math/pseudosqrt.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp: test case for RankReduction 2006-07-12 14:11 Ferdinando Ametrano * [r7178] ql/Math/pseudosqrt.cpp: (one more) bug fix 2006-07-12 14:00 Ferdinando Ametrano * [r7177] ql/MonteCarlo/getcovariance.hpp: more explicative error message 2006-07-12 13:51 Mario Pucci * [r7176] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp: license amendment 2006-07-12 12:37 Mario Pucci * [r7174] ql/Indexes/swaprate.cpp: "Rate SwapRate::fixing(const Date& fixingDate) const" restored 2006-07-12 12:31 Mario Pucci * [r7173] ql/CashFlows/cmscoupon.cpp, ql/CashFlows/cmscoupon.hpp, ql/Indexes/swaprate.cpp, ql/Indexes/swaprate.hpp: *** empty log message *** 2006-07-12 12:30 Mario Pucci * [r7172] QuantLib_vc8.vcproj: added swaprate and cmscoupon 2006-07-11 08:08 Joseph Wang * [r7162] ql/MarketModels/curvestate.hpp: remove extra qualifer 2006-07-10 18:06 Ferdinando Ametrano * [r7161] ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp: bug fix 2006-07-10 15:00 Ferdinando Ametrano * [r7160] test-suite/testsuite_vc8.vcproj: VC8 catching up 2006-07-10 14:54 Ferdinando Ametrano * [r7159] QuantLib.vcproj, QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: VC8 catching up 2006-07-10 14:54 Ferdinando Ametrano * [r7158] ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/evolutiondescription.cpp: 1) more checks 2006-07-10 14:41 Ferdinando Ametrano * [r7157] test-suite/marketmodel.cpp: for the time being too many test fails with floating point error! 2006-07-10 12:29 Mario Pucci * [r7154] QuantLib_vc8.vcproj: Added missing MarketModels files to project 2006-07-10 08:16 Ferdinando Ametrano * [r7152] ql/MarketModels/Components to be built or improved.TXT: 8th session 2006-07-10 03:50 Joseph Wang * [r7149] ql/MarketModels/Products/marketmodelratchet.hpp: include definition for virtual destructor 2006-07-09 11:56 Luigi Ballabio * [r7148] ql/MarketModels/evolutiondescription.hpp, test-suite/Makefile.am, test-suite/marketmodel.cpp: More fixes for gcc 2006-07-09 06:04 Joseph Wang * [r7147] ql/MarketModels/evolutiondescription.hpp: Parenthesized default argument to allow compilation with g++ Whether or not the previous version is correct or not is an open issue with the C++ standards committee. 2006-07-07 20:49 Luigi Ballabio * [r7145] configure.ac, ql/Makefile.am, ql/MarketModels, ql/MarketModels/.cvsignore, ql/MarketModels/Makefile.am, ql/MarketModels/Products, ql/MarketModels/Products/.cvsignore, ql/MarketModels/Products/Makefile.am, ql/MarketModels/Products/all.hpp, ql/MarketModels/all.hpp, ql/MarketModels/core.hpp: Updated Makefiles 2006-07-07 15:56 Ferdinando Ametrano * [r7144] ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/TODO.txt, ql/MarketModels/abcdvolatility.cpp, ql/MarketModels/abcdvolatility.hpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/forwardrateipcevolver.cpp, ql/MarketModels/forwardrateipcevolver.hpp, test-suite/marketmodel.cpp: 8th session 2006-07-07 12:55 Ferdinando Ametrano * [r7143] ql/MarketModels/Products/marketmodelcaplets.hpp, ql/MarketModels/Products/marketmodelcapletsonestep.cpp, ql/MarketModels/Products/marketmodelcapletsonestep.hpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/Products/marketmodelforwardsonestep.cpp, ql/MarketModels/Products/marketmodelforwardsonestep.hpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/TODO.txt, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/browniangenerator.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/exponentialcorrelation.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/mtbrowniangenerator.hpp, ql/MarketModels/pseudoroot.hpp, ql/Math/normaldistribution.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: seventh session 2006-07-06 16:01 Ferdinando Ametrano * [r7140] ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/accountingengine.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: seventh session 2006-07-06 15:06 Ferdinando Ametrano * [r7139] ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, test-suite/marketmodel.cpp: *** empty log message *** 2006-07-06 13:51 Ferdinando Ametrano * [r7138] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2006-07-06 13:43 Ferdinando Ametrano * [r7137] ql/MarketModels/driftcalculator.cpp, ql/MarketModels/evolutiondescription.cpp, test-suite/marketmodel.cpp: *** empty log message *** 2006-07-05 19:26 Ferdinando Ametrano * [r7136] ql/MarketModels/driftcalculator.hpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/mtbrowniangenerator.hpp: formatting (hopefully without tabs) 2006-07-05 19:26 Ferdinando Ametrano * [r7135] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-07-05 19:23 Ferdinando Ametrano * [r7134] ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp: homogeneous member function names 2006-07-05 15:19 Silvia Frasson * [r7132] ql/MarketModels/driftcalculator.cpp: fixed bug 2006-07-05 14:01 Ferdinando Ametrano * [r7131] ql/MarketModels/Products/marketmodelcaplets.hpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/browniangenerator.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/driftcalculator.cpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/exponentialcorrelation.cpp, ql/MarketModels/exponentialcorrelation.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/mtbrowniangenerator.cpp, ql/MarketModels/mtbrowniangenerator.hpp, ql/MarketModels/pseudoroot.hpp, ql/Math/pseudosqrt.cpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp, test-suite/testsuite_vc8.vcproj: sixth session 2006-07-05 07:19 Marco Bianchetti * [r7129] ql/MarketModels/evolutiondescription.cpp: Corrected evolution times constrain 2006-07-05 07:02 Mario Pucci * [r7128] ql/MarketModels/driftcalculator.cpp: *** empty log message *** 2006-07-05 07:01 Mario Pucci * [r7127] ql/MarketModels/driftcalculator.cpp: *** empty log message *** 2006-07-04 17:30 Ferdinando Ametrano * [r7125] QuantLib_vc8.vcproj, ql/MarketModels/Products/marketmodelcaplets.cpp, ql/MarketModels/Products/marketmodelcaplets.hpp, ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/exponentialcorrelation.cpp: fifth session 2006-07-04 17:04 Cristina Duminuco * [r7124] ql/MarketModels/curvestate.cpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp: fifth session 2006-07-04 16:55 Ferdinando Ametrano * [r7123] ql/MarketModels/accountingengine.cpp: fifth session: AccountingEngine::Discounter 2006-07-04 16:39 Ferdinando Ametrano * [r7122] QuantLib.vcproj, ql/MarketModels/driftcalculator.cpp: VC7 catching up 2006-07-04 16:25 Silvia Frasson * [r7121] ql/MarketModels/driftcalculator.cpp: first implementation uses covariance approach (any numeraire) 2006-07-04 16:22 Ferdinando Ametrano * [r7120] QuantLib_vc8.vcproj: fifth session 2006-07-04 16:16 Ferdinando Ametrano * [r7119] ql/MarketModels/exponentialcorrelation.cpp, ql/MarketModels/exponentialcorrelation.hpp, ql/MarketModels/pseudoroot.hpp: fifth session 2006-07-04 15:33 Cristina Duminuco * [r7118] ql/MarketModels/curvestate.cpp: improved computeSwapRate() 2006-07-04 15:11 Mario Pucci * [r7117] QuantLib_vc8.vcproj: added driftcalculator.cpp 2006-07-04 15:11 Katiuscia Manzoni * [r7116] QuantLib_vc8.vcproj, ql/MarketModels/exponentialcorrelation.cpp, ql/MarketModels/exponentialcorrelation.hpp, ql/MarketModels/pseudoroot.hpp: *** empty log message *** 2006-07-04 15:06 Cristina Duminuco * [r7115] ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp: Implementation of curvestate.cpp 2006-07-04 15:01 Mario Pucci * [r7114] ql/MarketModels/driftcalculator.cpp: *** empty log message *** 2006-07-04 14:52 Mario Pucci * [r7113] ql/MarketModels/driftcalculator.cpp: *** empty log message *** 2006-07-04 14:46 Luigi Ballabio * [r7112] QuantLib_vc8.vcproj, ql/MarketModels/mtbrowniangenerator.cpp, ql/MarketModels/mtbrowniangenerator.hpp: Added incremental Brownian generator based on Mersenne twister 2006-07-04 14:10 Mario Pucci * [r7111] ql/MarketModels/driftcalculator.cpp: implementation of bookish formula 2006-07-04 13:42 Mario Pucci * [r7110] ql/MarketModels/driftcalculator.hpp: ... 2006-07-04 13:16 Mario Pucci * [r7109] ql/MarketModels/driftcalculator.cpp: *** empty log message *** 2006-07-04 11:28 Ferdinando Ametrano * [r7108] QuantLib_vc8.vcproj, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/marketmodelevolver.hpp: fourth session 2006-07-03 16:58 Ferdinando Ametrano * [r7103] ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp: *** empty log message *** 2006-07-03 16:54 Ferdinando Ametrano * [r7102] ql/MarketModels/Products/marketmodelforwards.cpp, ql/MarketModels/Products/marketmodelforwards.hpp, ql/MarketModels/accountingengine.cpp, ql/MarketModels/accountingengine.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/marketmodelevolver.hpp, ql/MarketModels/pseudoroot.hpp: session three 2006-07-03 15:53 Mario Pucci * [r7101] ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp: Cant' use DriftCalculator as vector type 2006-07-03 15:43 Mario Pucci * [r7100] ql/MarketModels/driftcalculator.hpp: test 2006-06-30 15:42 Ferdinando Ametrano * [r7099] QuantLib_vc8.vcproj, ql/MarketModels/browniangenerator.hpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/driftcalculator.hpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/forwardrateevolver.cpp, ql/MarketModels/forwardrateevolver.hpp, ql/MarketModels/marketmodelevolver.hpp: second session 2006-06-29 17:06 Ferdinando Ametrano * [r7098] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-06-29 16:49 Ferdinando Ametrano * [r7097] QuantLib_vc8.vcproj, ql/MarketModels, ql/MarketModels/Products, ql/MarketModels/Products/marketmodelratchet.cpp, ql/MarketModels/Products/marketmodelratchet.hpp, ql/MarketModels/curvestate.cpp, ql/MarketModels/curvestate.hpp, ql/MarketModels/evolutiondescription.cpp, ql/MarketModels/evolutiondescription.hpp, ql/MarketModels/marketmodelproduct.hpp, ql/MarketModels/pseudoroot.hpp: first session 2006-06-29 07:28 Luigi Ballabio * [r7096] News.txt, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/varianceswap.cpp, ql/Instruments/varianceswap.hpp, ql/PricingEngines/Forward/Makefile.am, ql/PricingEngines/Forward/all.hpp, ql/PricingEngines/Forward/mcvarianceswapengine.hpp, ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/varianceswaps.cpp, test-suite/varianceswaps.hpp: Added variance swaps (thanks to Warren Chou) 2006-06-29 07:24 Luigi Ballabio * [r7095] ql/ShortRateModels/LiborMarketModels/lmconstwrappervolmodel.hpp: Fixed autoinclusion 2006-06-29 07:22 Luigi Ballabio * [r7094] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp: avoiding deprecated features 2006-06-29 07:21 Luigi Ballabio * [r7093] ql/PricingEngines/CapFloor/blackcapfloorengine.hpp: re-reformatting 2006-06-29 07:17 Luigi Ballabio * [r7092] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: Removed redundancy in inner-type name 2006-06-29 07:13 Luigi Ballabio * [r7091] ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/date.hpp: Change temporarily reverted 2006-06-28 23:00 Luigi Ballabio * [r7089] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, test-suite/swaption.cpp: The Settlement struct is back 2006-06-28 11:45 Ferdinando Ametrano * [r7088] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, test-suite/swaption.cpp: refactored swaption 2006-06-28 11:18 Ferdinando Ametrano * [r7087] ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp: formatting 2006-06-26 22:20 Ferdinando Ametrano * [r7086] ql/Volatilities/capletconstantvol.hpp: deprecated constructors 2006-06-26 21:30 Ferdinando Ametrano * [r7085] ql/Instruments/capfloor.hpp: inspector added 2006-06-26 00:36 Joseph Wang * [r7083] ql/Volatilities/Makefile.am: add missing .cpp file to compile list 2006-06-25 21:59 Ferdinando Ametrano * [r7082] ql/CashFlows/floatingratecoupon.hpp: enforcing constness 2006-06-23 18:38 Ferdinando Ametrano * [r7080] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2006-06-23 17:52 Ferdinando Ametrano * [r7079] ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/Volatilities/swaptionvolmatrix.cpp, ql/Volatilities/swaptionvolmatrix.hpp: more constructors added to SwaptionVolMatrix. WARNING: The volatility matrix must have: a) increasing exercise dates or periods from top to bottom b) increasing lenghts from left to right 2006-06-23 17:00 Ferdinando Ametrano * [r7078] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: VC8 catching up 2006-06-23 16:59 Ferdinando Ametrano * [r7077] ql/Math/interpolation2D.hpp: more inspectors added 2006-06-23 16:57 Ferdinando Ametrano * [r7076] ql/Math/symmetriceigenvalues.hpp: deprecating useless functions 2006-06-23 11:18 Luigi Ballabio * [r7075] ql/Math/functional.hpp, ql/Processes/lfmprocess.cpp, ql/Processes/lfmprocess.hpp, ql/ShortRateModels/LiborMarketModels/Makefile.am, ql/ShortRateModels/LiborMarketModels/all.hpp, ql/ShortRateModels/LiborMarketModels/lmconstwrappercorrmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmconstwrappervolmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmextlinexpvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmextlinexpvolmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.hpp, test-suite/libormarketmodel.cpp: More complex market parameterizations and performance improvements for Libor market model (thanks to Klaus Spanderen) 2006-06-23 11:16 Luigi Ballabio * [r7074] News.txt, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/linearleastsquaresregression.cpp, ql/Math/linearleastsquaresregression.hpp, test-suite/Makefile.am, test-suite/linearleastsquaresregression.cpp, test-suite/linearleastsquaresregression.hpp, test-suite/quantlibtestsuite.cpp: Added general linear least-squares regression (thanks to Klaus Spanderen 2006-06-23 07:26 Ferdinando Ametrano * [r7073] ql/CashFlows/parcoupon.cpp: reverting change... 2006-06-22 22:22 Ferdinando Ametrano * [r7072] ql/CashFlows/parcoupon.cpp, ql/TermStructures/piecewiseyieldcurve.hpp: removing leftovers 2006-06-22 20:11 Ferdinando Ametrano * [r7071] ql/CashFlows/parcoupon.cpp: true index fixing: it doesn't affect NPV 2006-06-22 18:47 Ferdinando Ametrano * [r7070] QuantLib.vcproj: VC7 catching up 2006-06-22 18:14 Ferdinando Ametrano * [r7069] ql/TermStructures/piecewiseyieldcurve.hpp: added preventive check with explicative error message 2006-06-22 18:14 Ferdinando Ametrano * [r7068] QuantLib_vc8.vcproj: missing file included 2006-06-22 18:13 Ferdinando Ametrano * [r7067] ql/Volatilities/swaptionconstantvol.hpp: formatting 2006-06-22 16:29 Luigi Ballabio * [r7066] test-suite/bonds.cpp, test-suite/convertiblebonds.cpp: Removed deprecated calls 2006-06-22 14:36 Ferdinando Ametrano * [r7065] Examples/EquityOption/EquityOption_vc8.vcproj, Examples/FRA/FRA_vc8.vcproj, Examples/Replication/Replication_vc8.vcproj, Examples/Repo/Repo_vc8.vcproj, Examples/Swap/Swap_vc8.vcproj, ql/userconfig.hpp: defined QL_DISABLE_DEPRECATED in Examples' compilation 2006-06-22 11:43 Luigi Ballabio * [r7064] ql/Instruments/swaption.cpp, test-suite/swaption.cpp: Avoided use of deprecated BlackModel class 2006-06-22 10:51 Cristina Duminuco * [r7063] Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj: QL_DISABLE_DEPRECATED defined when compiling Examples 2006-06-22 10:30 Cristina Duminuco * [r7062] ql/exercise.hpp: comment added 2006-06-22 09:40 Cristina Duminuco * [r7061] test-suite/swaption.cpp, test-suite/swaption.hpp: added test for calculation of Implied Volatility 2006-06-22 09:37 Cristina Duminuco * [r7060] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp: added calculation of Implied Volatility 2006-06-22 06:48 Luigi Ballabio * [r7059] ql/Instruments/capfloor.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/swaptionconstantvol.hpp, test-suite/capfloor.cpp, test-suite/swaption.cpp: Deprecated BlackModel class; Black engines for caps/floors and swaption are now passed the corresponding volatility directly 2006-06-21 15:13 Luigi Ballabio * [r7058] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/mchullwhiteengine.cpp: Fixed cap/floor engines so that they now account for gearing 2006-06-21 13:55 Luigi Ballabio * [r7057] ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/PricingEngines/blackmodel.hpp, ql/VolatilityModels/constantestimator.cpp, ql/VolatilityModels/garch.cpp, ql/VolatilityModels/garmanklass.hpp, ql/VolatilityModels/simplelocalestimator.hpp, ql/history.hpp, ql/index.cpp, ql/prices.cpp, ql/timeseries.hpp, test-suite/shortratemodels.cpp, test-suite/timeseries.cpp, test-suite/volatilitymodels.cpp: TimeSeries class modified and used for storing index fixings; History class deprecated 2006-06-21 13:45 Luigi Ballabio * [r7056] ql/index.hpp: Added method for storing multiple fixings 2006-06-21 12:48 Ferdinando Ametrano * [r7055] ql/CashFlows/parcoupon.cpp: gearing bug fix 2006-06-20 17:33 Ferdinando Ametrano * [r7054] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/userconfig.hpp, test-suite/capfloor.cpp, test-suite/swaption.cpp: deprecated BlackModel constructor with TermStructure input parameter 2006-06-20 13:10 Ferdinando Ametrano * [r7053] QuantLib_vc8.vcproj: added missing files 2006-06-20 10:17 Luigi Ballabio * [r7052] ql/Makefile.am, ql/VolatilityModels/garmanklass.hpp, ql/core.hpp, ql/prices.cpp, ql/prices.hpp, ql/timeseries.hpp, test-suite/timeseries.cpp: Moved IntervalPrice into its own files 2006-06-20 10:09 Cristina Duminuco * [r7051] test-suite/capfloor.cpp: Added null strike in testParity(). 2006-06-20 09:18 Luigi Ballabio * [r7050] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.cpp: Moved callability price class into callability class 2006-06-20 06:59 Luigi Ballabio * [r7049] ql/Instruments/capfloor.cpp: Added correct treatment of coupon spread in caps and floors 2006-06-19 17:14 Ferdinando Ametrano * [r7047] ql/PricingEngines/blackmodel.hpp: *** empty log message *** 2006-06-19 17:06 Silvia Frasson * [r7046] ql/Volatilities/swaptionvolmatrix.hpp: comment added 2006-06-19 16:36 Ferdinando Ametrano * [r7045] QuantLib_vc8.vcproj: VC8 catching up 2006-06-19 15:21 Luigi Ballabio * [r7044] News.txt: *** empty log message *** 2006-06-19 15:20 Luigi Ballabio * [r7043] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp: Added soft callability to convertible bonds 2006-06-19 14:09 Luigi Ballabio * [r7042] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/CashFlows/Makefile.am, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/dividend.cpp, ql/CashFlows/dividend.hpp, ql/Instruments/dividendschedule.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp: Added treatment of discrete dividends to convertible bonds 2006-06-19 12:07 Luigi Ballabio * [r7041] ql/Math/backwardflatinterpolation.hpp, ql/Math/forwardflatinterpolation.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp: Fixes for backward/forward flat interpolation (thanks to Fabio Ramponi) 2006-06-19 09:52 Luigi Ballabio * [r7040] ql/Math/linearinterpolation.hpp: *** empty log message *** 2006-06-19 07:41 Luigi Ballabio * [r7039] Docs/quantlib.css, ql/index.cpp, ql/index.hpp: *** empty log message *** 2006-06-18 19:46 Ferdinando Ametrano * [r7038] Examples/Swap/swapvaluation.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/vanillaswap.cpp, ql/Processes/lfmprocess.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/capfloor.cpp, test-suite/swap.cpp: introduced gearing (i.e. the multiplicative coefficients of the floating rate index) in floating rate coupons, coupon vectors, bonds, etc 2006-06-18 18:56 Ferdinando Ametrano * [r7037] ql/errors.cpp: no message 2006-06-18 15:06 Ferdinando Ametrano * [r7036] ql/interestrate.hpp: more explicative comment 2006-06-18 12:53 Ferdinando Ametrano * [r7035] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: Futures convexity adjustment added 2006-06-18 12:51 Ferdinando Ametrano * [r7034] ql/Instruments/swap.hpp: more explicative deprecation message 2006-06-18 12:50 Ferdinando Ametrano * [r7033] functions/ql/Functions/prices.cpp: no message 2006-06-17 07:46 Ferdinando Ametrano * [r7032] functions/ql/Functions/prices.cpp, functions/ql/Functions/prices.hpp: no message 2006-06-16 20:02 Katiuscia Manzoni * [r7029] functions/ql/Functions/prices.cpp, functions/ql/Functions/prices.hpp: added midRobust enum & function to return mid only if both bid and ask are available 2006-06-16 19:01 Ferdinando Ametrano * [r7028] ql/Math/sabrinterpolation.hpp: maxInterpolationError added 2006-06-16 16:18 Luigi Ballabio * [r7027] News.txt: *** empty log message *** 2006-06-16 16:15 Luigi Ballabio * [r7026] ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/Indexes/xibor.cpp, ql/TermStructures/ratehelpers.hpp, ql/Utilities/observablevalue.hpp, ql/index.cpp, ql/index.hpp, test-suite/piecewiseyieldcurve.cpp: Made history of past fixings observable; removed limitation on swap helper 2006-06-16 16:14 Luigi Ballabio * [r7025] ql/history.hpp: Fix for addLastValues when history is empty 2006-06-16 12:42 Luigi Ballabio * [r7024] ql/TermStructures/ratehelpers.cpp: *** empty log message *** 2006-06-16 11:42 Luigi Ballabio * [r7023] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/libor.cpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/zibor.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Deprecated (n,units) constructors for libors and rate helpers 2006-06-16 10:10 Marco Bianchetti * [r7022] QuantLib.vcproj: VC7 catching up 2006-06-15 20:28 Katiuscia Manzoni * [r7021] ql/Indexes/euribor.hpp: added whole family of Euribor Indexes 2006-06-15 19:14 Ferdinando Ametrano * [r7020] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: bug fix: initialize date at constructor time, so that the RateHelper is valid even if a term structure is not set 2006-06-15 17:28 Ferdinando Ametrano * [r7019] QuantLib_vc8.vcproj: VC8 catching up 2006-06-15 16:26 Ferdinando Ametrano * [r7018] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, test-suite/piecewiseyieldcurve.cpp: 1) using Period as input parameter instead of (int, TimeUnit) to do: fix testsuite for new Xibor parameter in SwapRateHelper 2006-06-15 15:38 Ferdinando Ametrano * [r7017] ql/Indexes/libor.cpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/date.hpp: 1) using Period as input parameter instead of (int, TimeUnit) 2) extending Period interface with frequency method (original code from Xibor) 2006-06-15 15:29 Luigi Ballabio * [r7016] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp: Modified SwapRateHelper so that it can take a Xibor (thus ensuring that today's fixing is used in pricing the underlying swap) 2006-06-15 14:35 Luigi Ballabio * [r7015] test-suite/swaption.cpp: Removed gcc warning 2006-06-15 14:35 Luigi Ballabio * [r7014] test-suite/shortratemodels.cpp: Proper tear-down of test case 2006-06-15 14:34 Luigi Ballabio * [r7013] ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp: Added convenience method to clear all histories 2006-06-15 13:02 Cristina Duminuco * [r7012] test-suite/swaption.cpp, test-suite/swaption.hpp: Added a new test unit for cash settled swaptions. Updated old tests: cash settled swaptions are tested too. 2006-06-15 12:59 Cristina Duminuco * [r7011] ql/Instruments/swaption.hpp: Updated tests in the Doxygen comment block. 2006-06-15 12:54 Luigi Ballabio * [r7010] ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp: Added constructor taking a tenor 2006-06-15 11:27 Luigi Ballabio * [r7009] ql/index.cpp, ql/index.hpp: Added notification to observers when a fixing is added 2006-06-15 08:29 Luigi Ballabio * [r7008] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: Reworked date calculation 2006-06-15 08:28 Luigi Ballabio * [r7007] test-suite/calendars.cpp: Fixed test messages 2006-06-15 06:42 Luigi Ballabio * [r7006] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp: Renamed settlement struct to avoid SettlementType::Type redundancy 2006-06-15 06:42 Luigi Ballabio * [r7005] ql/Makefile.am, ql/history.hpp, ql/index.cpp, ql/index.hpp: Added addFixing() method to Index 2006-06-14 15:49 Luigi Ballabio * [r7003] Docs/quantlib.css, Docs/quantlib.doxy: Upgraded to Doxygen 1.4.7 2006-06-14 15:49 Luigi Ballabio * [r7002] ql/Instruments/vanillaswap.hpp: Fix for documentation 2006-06-14 15:17 Cristina Duminuco * [r7001] ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp: Introduced a control that block the pricing of cash settled swaptions. 2006-06-14 15:13 Cristina Duminuco * [r7000] ql/PricingEngines/Swaption/blackswaptionengine.cpp: Added the possibility to price cash settled swaptions: introduced a switch on the settlement type. 2006-06-14 15:11 Cristina Duminuco * [r6999] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp: Added Physical Settlement feature introducing the structure SettlementType (enum Type). 2006-06-14 13:51 Luigi Ballabio * [r6998] News.txt, ql/Math/sabrinterpolation.hpp: Added interpolation error and modifiable optimization method to SABR 2006-06-14 10:51 Luigi Ballabio * [r6997] ql/Processes/blackscholesprocess.hpp, ql/TermStructures/flatforward.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolsurface.hpp, ql/capvolstructures.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, test-suite/utilities.hpp: Moved a few methods upwards to TermStructure and a few inclusions downward when they are needed 2006-06-14 10:50 Luigi Ballabio * [r6996] ql/Math/extrapolation.hpp: Same functionality, slimmer interface 2006-06-14 10:49 Luigi Ballabio * [r6995] ql/Math/sabrinterpolation.hpp: Fix for gcc 2006-06-13 18:41 Ferdinando Ametrano * [r6994] ql/Math/sabrinterpolation.hpp: formatting 2006-06-13 18:15 Ferdinando Ametrano * [r6993] ql/Math/sabrinterpolation.hpp: SABR fit added 2006-06-13 18:15 Ferdinando Ametrano * [r6992] ql/Math/extrapolation.hpp, ql/Math/interpolation.hpp: virtual Extrapolator and Interpolation 2006-06-13 18:07 Ferdinando Ametrano * [r6991] Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj: lost example restored 2006-06-13 17:54 Ferdinando Ametrano * [r6990] QuantLib_vc8.sln: lost example restored 2006-06-13 16:49 Katiuscia Manzoni * [r6989] ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp: added third FRA constructor using Index 2006-06-12 16:41 Luigi Ballabio * [r6988] ql/Math/interpolation.hpp: Using floating-point comparison functions instead of QL_EPSILON 2006-06-12 14:54 Luigi Ballabio * [r6987] Examples/FRA/FRA.cpp, Examples/Repo/Repo.cpp, ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/forward.hpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp, ql/Makefile.am, ql/core.hpp, ql/instrument.hpp, ql/position.hpp, test-suite/piecewiseyieldcurve.cpp: Introduced standalone position struct for holding short/long enumeration (and maybe more information in the future) 2006-06-12 14:51 Luigi Ballabio * [r6986] functions/ql/Functions/Makefile.am, ql/Math/Makefile.am: Updated makefiles 2006-06-12 14:48 Luigi Ballabio * [r6985] ql/Math/cubicspline.hpp, ql/Math/sabrinterpolation.hpp: Restored useful code 2006-06-12 13:41 Silvia Frasson * [r6984] ql/Volatilities/swaptionvolmatrix.hpp, ql/swaptionvolstructure.hpp: using Rate where appropriate instead of Real 2006-06-11 18:15 Ferdinando Ametrano * [r6983] Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/FRA/FRA_vc8.vcproj, Examples/Replication/Replication_vc8.vcproj, Examples/Repo/Repo_vc8.vcproj, Examples/Swap/Swap_vc8.vcproj, QuantLib_vc8.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, test-suite/testsuite_vc8.vcproj: adopting vc80\$(ConfigurationName) in *_vc8.proj files 2006-06-11 13:33 Ferdinando Ametrano * [r6982] QuantLib.vcproj: VC71 catching up 2006-06-11 13:30 Ferdinando Ametrano * [r6981] Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EquityOption/EquityOption.vcproj, Examples/FRA/FRA.vcproj, Examples/Replication/Replication.vcproj, Examples/Repo/Repo.vcproj, Examples/Swap/Swap.vcproj, QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, test-suite/testsuite.vcproj: adopting vc71\$(ConfigurationName) in proj files 2006-06-09 18:45 Ferdinando Ametrano * [r6980] QuantLib.vcproj: VC71 catching up 2006-06-09 13:12 Ferdinando Ametrano * [r6979] ql/Math/interpolation.hpp: avoiding floating point comparison glitches 2006-06-09 13:03 Katiuscia Manzoni * [r6978] Examples/FRA/FRA.cpp: FRA example modified to account for change in enum Instrument::Position 2006-06-08 21:10 Ferdinando Ametrano * [r6977] Examples/Repo/Repo.cpp: moving {Long, Short} enumeration from Forward into Instrument. Renamed as enum Position {Long, Short}; 2006-06-08 19:41 Ferdinando Ametrano * [r6975] ql/Math/linearinterpolation.hpp: added LinearInterpolationType enumeration 2006-06-08 19:41 Ferdinando Ametrano * [r6974] ql/Math/cubicspline.hpp: removed useless code 2006-06-08 19:40 Ferdinando Ametrano * [r6973] QuantLib_vc8.vcproj, ql/Math/all.hpp, ql/Math/sabrinterpolation.hpp: SABR interpolation added. To do: add unit test 2006-06-08 19:39 Ferdinando Ametrano * [r6972] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: copyright 2006-06-08 19:38 Ferdinando Ametrano * [r6971] ql/CashFlows/floatingratecoupon.hpp, ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/forward.hpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp: moving {Long, Short} enumeration from Forward into Instrument. Renamed as enum Position {Long, Short}; 2006-06-08 19:27 Ferdinando Ametrano * [r6970] ql/Instruments/forward.hpp, ql/instrument.hpp: moving {Long, Short} enumeration from Forward into Instrument. Renamed as enum Position {Long, Short}; 2006-06-08 19:24 Ferdinando Ametrano * [r6969] ql/schedule.hpp: formatting 2006-06-08 15:08 Marco Bianchetti * [r6968] QuantLib.vcproj: update VC7 workspaces 2006-06-08 13:59 Cristina Duminuco * [r6967] ql/schedule.cpp: bug fix 2006-06-06 18:01 Ferdinando Ametrano * [r6966] ql/Instruments/swap.cpp: implementing multi leg Swap 2006-06-06 17:50 Ferdinando Ametrano * [r6965] ql/userconfig.hpp: avoid warning if already defined 2006-06-06 16:53 Ferdinando Ametrano * [r6964] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/swap.cpp: implementing multi leg Swap 2006-06-06 07:58 Ferdinando Ametrano * [r6963] QuantLib_vc8.vcproj, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/makefile.mak, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaswap.cpp, ql/Instruments/vanillaswap.hpp, ql/TermStructures/ratehelpers.hpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/swap.cpp: renaming simpleswap.*pp files as vanillaswap.*pp, according to the actual class name 2006-06-05 13:28 Ferdinando Ametrano * [r6962] functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, ql/userconfig.hpp: deprecating some QuantLibFunctions' functions 2006-05-31 18:26 Ferdinando Ametrano * [r6961] ql/auto_link.hpp, ql/quantlib.hpp: proper auto_linking 2006-05-31 14:46 Luigi Ballabio * [r6960] functions/ql/Functions/Makefile.am, ql/auto_link.hpp, ql/quantlib.hpp, test-suite/Makefile.am: Fixes for Linux compilation 2006-05-31 13:03 Eric Ehlers * [r6959] functions/ql/Functions/calendars.hpp: *** empty log message *** 2006-05-31 11:08 Ferdinando Ametrano * [r6958] functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/calendars.cpp: removing obsolete file (and gradually getting rid of QuantLibFunctions) 2006-05-31 10:51 Ferdinando Ametrano * [r6957] QuantLib_vc8.vcproj: catching up with new files 2006-05-31 10:50 Ferdinando Ametrano * [r6956] QuantLib_vc8.sln: addin back project dependencies 2006-05-31 10:49 Ferdinando Ametrano * [r6955] ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/index.hpp: added boolean with default value: Rate fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const; 2006-05-31 10:44 Ferdinando Ametrano * [r6954] functions/ql/Functions/calendars.hpp, ql/calendar.cpp, ql/calendar.hpp, test-suite/calendars.cpp, test-suite/quantlibtestsuite.cpp: 1) holidayList as static membre function of the class Calendar 2) testsuite not linking QuantLibFunctions anymore 2006-05-31 09:25 Ferdinando Ametrano * [r6953] functions/ql/Functions/auto_link.hpp: proper auto_linking 2006-05-31 09:21 Ferdinando Ametrano * [r6952] functions/ql/Functions/auto_link.hpp, test-suite/quantlibtestsuite.cpp: proper auto_linking 2006-05-31 09:07 Ferdinando Ametrano * [r6951] Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/EquityOption/EquityOption.cpp, Examples/FRA/FRA.cpp, Examples/Replication/Replication.cpp, Examples/Repo/Repo.cpp, Examples/Swap/swapvaluation.cpp, QuantLib_vc8.sln, QuantLib_vc8.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/auto_link.hpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/qlfunctions.hpp, functions/ql/Functions/vols.hpp, ql/auto_link.hpp, ql/config.msvc.hpp, ql/quantlib.hpp, test-suite/quantlibtestsuite.cpp: proper auto_linking 2006-05-30 09:11 Luigi Ballabio * [r6950] Examples/Replication/Replication_vc8.proj, Examples/Replication/Replication_vc8.vcproj, Examples/makefile.mak, QuantLib.dsw, QuantLib.sln, QuantLib_vc8.sln: Added new projects to workspaces 2006-05-30 09:01 Luigi Ballabio * [r6949] Docs/pages/examples.docs, Examples/Makefile.am, Examples/Replication, Examples/Replication/.cvsignore, Examples/Replication/Makefile.am, Examples/Replication/ReadMe.txt, Examples/Replication/Replication.cpp, Examples/Replication/Replication.dev, Examples/Replication/Replication.dsp, Examples/Replication/Replication.vcproj, Examples/Replication/Replication_vc8.proj, Examples/Replication/makefile.mak, News.txt, configure.ac, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/compositeinstrument.cpp, ql/Instruments/compositeinstrument.hpp: Added composite instrument; example provided 2006-05-30 09:01 Ferdinando Ametrano * [r6948] functions/ql/Functions/calendars.cpp: more explicit error message 2006-05-30 08:04 Luigi Ballabio * [r6947] Docs/pages/examples.docs, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/forwardrateagreement.hpp: Added link to examples in documentation 2006-05-29 17:40 Ferdinando Ametrano * [r6946] ql/history.hpp: typo fixed 2006-05-29 17:33 Ferdinando Ametrano * [r6945] ql/history.hpp: 1) added support for updating the history with the last fixing 2) added support for std::vector in reverse order (but it costs a vector copy... Luigi could you help?) 2006-05-26 16:14 Luigi Ballabio * [r6944] functions/ql/Functions/calendars.cpp, ql/Calendars/argentina.cpp, ql/Calendars/australia.cpp, ql/Calendars/brazil.cpp, ql/Calendars/canada.cpp, ql/Calendars/china.cpp, ql/Calendars/china.hpp, ql/Calendars/czechrepublic.cpp, ql/Calendars/denmark.cpp, ql/Calendars/finland.cpp, ql/Calendars/germany.cpp, ql/Calendars/hongkong.cpp, ql/Calendars/hungary.cpp, ql/Calendars/iceland.cpp, ql/Calendars/india.cpp, ql/Calendars/indonesia.cpp, ql/Calendars/italy.cpp, ql/Calendars/japan.cpp, ql/Calendars/japan.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/mexico.cpp, ql/Calendars/newzealand.cpp, ql/Calendars/norway.cpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/poland.cpp, ql/Calendars/saudiarabia.cpp, ql/Calendars/saudiarabia.hpp, ql/Calendars/singapore.cpp, ql/Calendars/slovakia.cpp, ql/Calendars/southafrica.cpp, ql/Calendars/southkorea.cpp, ql/Calendars/southkorea.hpp, ql/Calendars/sweden.cpp, ql/Calendars/switzerland.cpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp, ql/Calendars/target.cpp, ql/Calendars/turkey.cpp, ql/Calendars/turkey.hpp, ql/Calendars/ukraine.cpp, ql/Calendars/unitedkingdom.cpp, ql/Calendars/unitedstates.cpp, ql/calendar.cpp, ql/calendar.hpp: Added weekend specification to calendars 2006-05-25 16:06 Luigi Ballabio * [r6943] ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp: Added dividend times to arguments; still not used by engine 2006-05-25 14:19 Luigi Ballabio * [r6942] ql/CashFlows/dividend.hpp: Added check for missing notional 2006-05-24 14:25 Ferdinando Ametrano * [r6941] QuantLib.nsi: timestamp added 2006-05-24 09:48 Luigi Ballabio * [r6940] ql/PricingEngines/mcsimulation.hpp: Removed check for min samples when the number of samples is passed explicitly (the user probably knows better) 2006-05-23 17:04 Ferdinando Ametrano * [r6938] ql/calendar.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp: adding endOfMonth method 2006-05-23 16:41 Luigi Ballabio * [r6937] Docs/pages/overview.docs: *** empty log message *** 2006-05-23 13:54 Luigi Ballabio * [r6936] Examples/Repo/Repo_vc8.vcproj, QuantLib.dsp, QuantLib.dsw, QuantLib.sln, QuantLib.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj: Added new files and projects to workspaces 2006-05-23 11:12 Luigi Ballabio * [r6933] Contributors.txt, Docs/pages/authors.docs, Examples/FRA, Examples/FRA/.cvsignore, Examples/FRA/FRA.cpp, Examples/FRA/FRA.dev, Examples/FRA/FRA.dsp, Examples/FRA/FRA.vcproj, Examples/FRA/FRA_vc8.vcproj, Examples/FRA/Makefile.am, Examples/FRA/ReadMe.txt, Examples/FRA/makefile.mak, Examples/Makefile.am, Examples/Repo, Examples/Repo/.cvsignore, Examples/Repo/Makefile.am, Examples/Repo/ReadMe.txt, Examples/Repo/Repo.cpp, Examples/Repo/Repo.dev, Examples/Repo/Repo.dsp, Examples/Repo/Repo.vcproj, Examples/Repo/Repo_vc8.vcproj, Examples/Repo/makefile.mak, Examples/makefile.mak, News.txt, configure.ac, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/fixedcouponbondforward.cpp, ql/Instruments/fixedcouponbondforward.hpp, ql/Instruments/forward.cpp, ql/Instruments/forward.hpp, ql/Instruments/forwardrateagreement.cpp, ql/Instruments/forwardrateagreement.hpp, test-suite/piecewiseyieldcurve.cpp: Added FRA and forward fixed-coupon bonds (thanks to Allen Kuo) 2006-05-22 10:22 Ferdinando Ametrano * [r6931] ql/Volatilities/swaptionvolmatrix.hpp: formatting 2006-05-22 10:22 Ferdinando Ametrano * [r6930] QuantLib.nsi: updated 2006-05-22 09:39 Mario Pucci * [r6929] Readme.txt: test 2006-05-18 14:48 Luigi Ballabio * [r6914] ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp: Removed redundant abbreviations 2006-05-18 12:50 Eric Ehlers * [r6912] functions/ql/Functions/prices.cpp: for insufficient inputs to qlMidEquivalent() - throw exception rather than returning DBL_MIN 2006-05-18 11:14 Ferdinando Ametrano * [r6910] ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/thirty360.hpp, ql/calendar.hpp: ISDA standards adopted 2006-05-18 09:35 Luigi Ballabio * [r6906] Contributors.txt, LICENSE.TXT, News.txt, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: Added possibility to skip directly to the n-th item in a Sobol sequence (thanks to Richard Gould) 2006-05-17 12:57 Luigi Ballabio * [r6903] ql/Patterns/observable.hpp: Better copy behavior for observables 2006-05-16 17:05 Ferdinando Ametrano * [r6889] QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj: 1) 1 function removed 2) added 2 temporary functions 2006-05-16 14:18 Luigi Ballabio * [r6880] functions/ql/Functions/Makefile.am: Removed deleted files from Makefile 2006-05-16 14:13 Luigi Ballabio * [r6879] ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h: Removed // comments in C files (thanks to Eugene Shevkoplyas) 2006-05-16 13:25 Ferdinando Ametrano * [r6876] QuantLib_vc8.sln: *** empty log message *** 2006-05-16 13:19 Ferdinando Ametrano * [r6875] functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/calendars.hpp, functions/ql/Functions/termstructures.cpp, functions/ql/Functions/termstructures.hpp: 1) 1 function removed 2) added 2 temporary functions 2006-05-15 15:05 Ferdinando Ametrano * [r6871] ql/VolatilityModels/garmanklass.hpp: VC8 error avoided 2006-05-15 10:50 Luigi Ballabio * [r6870] ql/VolatilityModels/garch.hpp: *** empty log message *** 2006-05-15 08:27 Luigi Ballabio * [r6866] Docs/pages/processes.docs, ql/Processes/blackscholesprocess.hpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/forwardmeasureprocess.hpp, ql/Processes/g2process.hpp, ql/Processes/geometricbrownianprocess.hpp, ql/Processes/hestonprocess.hpp, ql/Processes/hullwhiteprocess.hpp, ql/Processes/lfmprocess.hpp, ql/Processes/merton76process.hpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/Processes/squarerootprocess.hpp, ql/Processes/stochasticprocessarray.hpp: Added processes module to docs 2006-05-15 08:25 Luigi Ballabio * [r6865] Docs/Makefile.am, Docs/images/QL-title.jpg, Docs/images/favicon.ico, Docs/pages/findiff.docs, Docs/pages/index.docs, Docs/pages/mcarlo.docs, Docs/quantlib.css, Docs/quantlibheader.html, Docs/quantlibheaderonline.html: Docs restyling 2006-05-15 08:21 Luigi Ballabio * [r6864] ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp: Fix for C++/CLI (thanks to Athletico) 2006-05-15 08:18 Luigi Ballabio * [r6863] ql/Calendars/beijing.cpp, ql/Calendars/beijing.hpp, ql/Calendars/bombay.cpp, ql/Calendars/bombay.hpp, ql/Calendars/bratislava.cpp, ql/Calendars/bratislava.hpp, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/istanbul.cpp, ql/Calendars/istanbul.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/prague.cpp, ql/Calendars/prague.hpp, ql/Calendars/riyadh.cpp, ql/Calendars/riyadh.hpp, ql/Calendars/seoul.cpp, ql/Calendars/seoul.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/Utilities/tsintervalquote.hpp, ql/ratehelper.cpp, ql/ratehelper.hpp: removed resurrected files 2006-05-15 04:40 Joseph Wang * [r6862] ql/VolatilityModels/Makefile.am, ql/VolatilityModels/garch.cpp, ql/VolatilityModels/garch.hpp: More work on garch.cpp 2006-05-13 17:08 Joseph Wang * [r6857] ql/VolatilityModels/garmanklass.hpp: Add more notes 2006-05-13 06:24 Joseph Wang * [r6856] ql/VolatilityModels/garmanklass.hpp: Fix typo 2006-05-13 04:46 Joseph Wang * [r6854] ql/VolatilityModels/Makefile.am, ql/VolatilityModels/all.hpp, ql/VolatilityModels/garmanklass.hpp, ql/VolatilityModels/simplelocalestimator.hpp, test-suite/volatilitymodels.cpp: Add garman klass estimators 2006-05-07 12:29 Eric Ehlers * [r6849] QuantLib_vc8.vcproj: remove ql\TermStructures\affinetermstructure.cpp, ql\ratehelper.?pp - add ql\TermStructures\piecewiseyieldcurve.?pp 2006-05-07 11:43 Luigi Ballabio * [r6847] ql/Math/array.hpp: bug fix (thanks to Klaus Spanderen) 2006-05-07 04:57 Joseph Wang * [r6845] ql/timeseries.hpp: Add some more functions involving interval prices 2006-05-07 01:50 Joseph Wang * [r6843] ql/timeseries.hpp: Add default constructor for interval price. Without it time series syntax is rather painful. 2006-05-06 14:58 Joseph Wang * [r6842] ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/quote.hpp, ql/timeseries.hpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp: Moved the interval pricing structure out of quote. When I started to write swig interfaces it become obvious how much extra code trying to make the interval prices a quote was, so I'm rewriting it as a class that isn't linked into to the quote syste, 2006-05-06 07:30 Joseph Wang * [r6841] ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/tsintervalquote.hpp, ql/quote.hpp, ql/timeseries.hpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp: add some helpers to create time series of interval quotes 2006-05-05 14:49 Luigi Ballabio * [r6835] functions/ql/Functions/termstructures.hpp, ql/Makefile.am, ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.cpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.hpp: Moved base rate-helper class together with piecewise yield curve 2006-05-05 13:09 Luigi Ballabio * [r6832] ql/Utilities/dataparsers.cpp, ql/date.cpp: *** empty log message *** 2006-05-05 12:50 Ferdinando Ametrano * [r6829] functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp: gradually empting functions folder 2006-05-05 12:17 Luigi Ballabio * [r6828] ql/date.cpp, ql/date.hpp: *** empty log message *** 2006-05-05 09:24 Luigi Ballabio * [r6826] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp: *** empty log message *** 2006-05-05 08:47 Ferdinando Ametrano * [r6825] ql/date.cpp: adding 1) std::string Date::IMMcode(const Date& date) 2) Date Date::IMMdate(const std::string& IMMcode, const Date& referenceDate) and associated tests (thanks to Katiuscia Manzoni) 2006-05-05 08:45 Ferdinando Ametrano * [r6824] ql/date.cpp, ql/date.hpp, test-suite/dates.cpp: adding 1) std::string Date::IMMcode(const Date& date) 2) Date Date::IMMdate(const std::string& IMMcode, const Date& referenceDate) and associated tests (thanks to Katiuscia Manzoni) 2006-05-05 07:54 Ferdinando Ametrano * [r6822] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, test-suite/jumpdiffusion.cpp: vega is now working (thanks to Nicola Jean) 2006-05-04 12:48 Luigi Ballabio * [r6819] ql/calendar.cpp, ql/calendar.hpp: Added unadjusted end-of-month convention (thanks to an anonymous contributor) 2006-05-04 08:50 Luigi Ballabio * [r6818] ql/Calendars/Makefile.am: *** empty log message *** 2006-05-04 03:41 Joseph Wang * [r6817] ql/Calendars/Makefile.am: fix for new country-based calendar conventions 2006-05-03 18:51 Ferdinando Ametrano * [r6815] QuantLib.vcproj: *** empty log message *** 2006-05-03 18:50 Ferdinando Ametrano * [r6814] test-suite/calendars.cpp: calandar files renamed accordingly to the class they're defining 2006-05-03 18:32 Ferdinando Ametrano * [r6813] QuantLib_vc8.vcproj, ql/Calendars/all.hpp, ql/Calendars/australia.cpp, ql/Calendars/australia.hpp, ql/Calendars/canada.cpp, ql/Calendars/canada.hpp, ql/Calendars/china.cpp, ql/Calendars/china.hpp, ql/Calendars/czechrepublic.cpp, ql/Calendars/czechrepublic.hpp, ql/Calendars/denmark.cpp, ql/Calendars/denmark.hpp, ql/Calendars/finland.cpp, ql/Calendars/finland.hpp, ql/Calendars/hungary.cpp, ql/Calendars/hungary.hpp, ql/Calendars/india.cpp, ql/Calendars/india.hpp, ql/Calendars/japan.cpp, ql/Calendars/japan.hpp, ql/Calendars/newzealand.cpp, ql/Calendars/newzealand.hpp, ql/Calendars/norway.cpp, ql/Calendars/norway.hpp, ql/Calendars/poland.cpp, ql/Calendars/poland.hpp, ql/Calendars/saudiarabia.cpp, ql/Calendars/saudiarabia.hpp, ql/Calendars/slovakia.cpp, ql/Calendars/slovakia.hpp, ql/Calendars/southafrica.cpp, ql/Calendars/southafrica.hpp, ql/Calendars/southkorea.cpp, ql/Calendars/southkorea.hpp, ql/Calendars/sweden.cpp, ql/Calendars/sweden.hpp, ql/Calendars/switzerland.cpp, ql/Calendars/switzerland.hpp, ql/Calendars/turkey.cpp, ql/Calendars/turkey.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/zibor.hpp: calandar files renamed accordingly to the class they're defining 2006-05-03 18:16 Ferdinando Ametrano * [r6812] ql/Calendars/all.hpp: calandar files renamed accordingly to the class they're defining 2006-05-03 13:50 Luigi Ballabio * [r6810] test-suite/hestonmodel.cpp: Increased tolerance 2006-05-02 17:57 Ferdinando Ametrano * [r6801] QuantLib_vc8.vcproj, functions/ql/Functions/mathf.hpp: exposing also normSdist and normSinv 2006-05-02 12:42 Eric Ehlers * [r6797] functions/ql/Functions/QuantLibFunctions_vc8.vcproj: *** empty log message *** 2006-05-02 08:03 Eric Ehlers * [r6794] QuantLib_vc8.vcproj: *** empty log message *** 2006-05-01 18:35 Ferdinando Ametrano * [r6792] ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp: removing (just included) typedef 2006-05-01 00:30 Joseph Wang * [r6791] ql/VolatilityModels/simplelocalestimator.hpp: missing fragment 2006-04-30 20:44 Joseph Wang * [r6789] ql/VolatilityModels/constantestimator.cpp, ql/VolatilityModels/constantestimator.hpp, ql/VolatilityModels/simplelocalestimator.hpp, test-suite/volatilitymodels.cpp: insert absolute value in local estimator move year fraction divisor from constant estimator to the local estimator 2006-04-30 16:18 Eric Ehlers * [r6784] functions/ql/Functions/Makefile.am, functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/prices.cpp, functions/ql/Functions/prices.hpp: transfer QuantLibAddin procedural functions into QuantLibFunctions 2006-04-30 14:35 Ferdinando Ametrano * [r6782] QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/prices.cpp, functions/ql/Functions/termstructures.cpp, functions/ql/Functions/termstructures.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/ratehelper.hpp: added rateHelperSelection function 2006-04-30 09:45 Joseph Wang * [r6780] ql/VolatilityModels/Makefile.am, ql/VolatilityModels/all.hpp, ql/VolatilityModels/constantestimator.cpp, ql/VolatilityModels/constantestimator.hpp, ql/VolatilityModels/simplelocalestimator.hpp, ql/volatilitymodel.hpp, test-suite/volatilitymodels.cpp: Split volatility model into two parts. One is the daily estimator. One composites the daily estimations. 2006-04-30 09:24 Joseph Wang * [r6779] ql/quote.hpp: Add structure for interval quotes 2006-04-30 08:34 Joseph Wang * [r6778] ql/Makefile.am: Add missing ratehelper.cpp and .hpp 2006-04-29 22:31 Ferdinando Ametrano * [r6776] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/ratehelper.hpp: RelativeDateRateHelper introduced. It is a rate helper cless where the date schedule is relative to the global evaluation date: the class takes care of rebuilding the date schedule when the global evaluation date changes, not when a YieldTermStructure is setted 2006-04-29 14:22 Ferdinando Ametrano * [r6774] ql/ratehelper.cpp: RateHelper moved in its own file in the root folder. RateHelper's interface extended with earliestDate() 2006-04-29 13:57 Ferdinando Ametrano * [r6773] ql/TermStructures/piecewiseyieldcurve.hpp: RateHelper moved in its own file in the root folder. RateHelper's interface extended with earliestDate() 2006-04-29 13:51 Ferdinando Ametrano * [r6772] QuantLib.vcproj, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/ratehelper.cpp, ql/ratehelper.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/termstructures.cpp: RateHelper moved in its own file in the root folder. RateHelper's interface extended with earliestDate() 2006-04-29 12:41 Ferdinando Ametrano * [r6771] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: removing unnecessary private data members 2006-04-29 11:25 Ferdinando Ametrano * [r6770] QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, test-suite/testsuite.vcproj: VC71 catching up 2006-04-29 11:23 Ferdinando Ametrano * [r6769] ql/date.hpp: typo fixed 2006-04-29 05:56 Joseph Wang * [r6768] ql/timeseries.hpp: add const qualifiers to methods that extract date and value vectors 2006-04-28 12:08 Luigi Ballabio * [r6765] Examples/ConvertibleBonds/makefile.mak: *** empty log message *** 2006-04-28 10:49 Luigi Ballabio * [r6762] Docs/pages/license.docs, LICENSE.TXT, News.txt, ql/Instruments/capfloor.hpp, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/CapFloor/all.hpp, ql/PricingEngines/CapFloor/mchullwhiteengine.cpp, ql/PricingEngines/CapFloor/mchullwhiteengine.hpp, ql/Processes/Makefile.am, ql/Processes/all.hpp, ql/Processes/forwardmeasureprocess.cpp, ql/Processes/forwardmeasureprocess.hpp, ql/Processes/g2process.cpp, ql/Processes/g2process.hpp, ql/Processes/hullwhiteprocess.cpp, ql/Processes/hullwhiteprocess.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp: Added Hull-White and G2 processes for Monte Carlo simulation (thanks to Banca Profilo) 2006-04-27 18:00 Ferdinando Ametrano * [r6758] functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, ql/TermStructures/ratehelpers.hpp: typo fixed 2006-04-26 17:04 Ferdinando Ametrano * [r6742] functions/ql/Functions/QuantLibFunctions_vc8.vcproj, functions/ql/Functions/prices.cpp, functions/ql/Functions/prices.hpp: midEquivalent function added: it returns the mid price if available, or a suitable substitute (thanks to Katiuscia Manzoni) 2006-04-25 10:20 Ferdinando Ametrano * [r6725] test-suite/hestonmodel.cpp: VC8 tolerance 2006-04-25 08:43 Ferdinando Ametrano * [r6724] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: VC8 catching up 2006-04-24 12:07 Luigi Ballabio * [r6723] ql/handle.hpp: Added comparison, weak ordering and swap to Handle 2006-04-20 08:13 Luigi Ballabio * [r6710] Docs/pages/license.docs, LICENSE.TXT, News.txt, configure.ac, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/lookbackoption.cpp, ql/Instruments/lookbackoption.hpp, ql/Instruments/payoffs.hpp, ql/PricingEngines/Lookback, ql/PricingEngines/Lookback/.cvsignore, ql/PricingEngines/Lookback/Makefile.am, ql/PricingEngines/Lookback/all.hpp, ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.cpp, ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.hpp, ql/PricingEngines/Lookback/analyticcontinuousfloatinglookback.cpp, ql/PricingEngines/Lookback/analyticcontinuousfloatinglookback.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, test-suite/Makefile.am, test-suite/lookbackoptions.cpp, test-suite/lookbackoptions.hpp, test-suite/quantlibtestsuite.cpp: Added continuous fixed and floating lookback options (thanks to Warren Chou) 2006-04-19 13:50 Luigi Ballabio * [r6707] Examples/Swap/swapvaluation.cpp, ql/TermStructures/ratehelpers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp: Fixed schedule for swap-rate helpers (thanks to Toyin Akin) 2006-04-19 11:53 Luigi Ballabio * [r6701] News.txt, ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp, ql/Indexes/usdlibor.hpp, test-suite/bonds.cpp, test-suite/calendars.cpp, test-suite/quantlibtestsuite.cpp: Added NERC calendar (thanks to Joe Byers) 2006-04-19 07:50 Luigi Ballabio * [r6696] test-suite/hestonmodel.cpp: *** empty log message *** 2006-04-19 07:13 Joseph Wang * [r6692] ql/VolatilityModels/constantestimator.cpp: fix off by one error and some typos 2006-04-14 11:17 Luigi Ballabio * [r6681] QuantLib.dev, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.vcproj, ql/CashFlows/makefile.mak, ql/VolatilityModels/constantestimator.cpp, test-suite/makefile.mak, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2006-04-14 08:05 Luigi Ballabio * [r6672] ql/schedule.cpp: *** empty log message *** 2006-04-13 13:22 Luigi Ballabio * [r6670] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.hpp, ql/Patterns/bridge.hpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/ShortRateModels/model.cpp, ql/calendar.hpp, ql/daycounter.hpp: Renamed Bridge::isNull() to empty() for uniformity 2006-04-13 10:56 Luigi Ballabio * [r6669] ql/exercise.hpp: Deprecated default initialization 2006-04-07 09:41 Luigi Ballabio * [r6653] ql/FiniteDifferences/tridiagonaloperator.cpp: Bug fixed (thanks to Klaus Spanderen) 2006-04-06 13:38 Eric Ehlers * [r6650] Docs/pages/faq.docs: rename QuantLibAddin file troubleshooting.html to faq.html 2006-04-06 11:07 Luigi Ballabio * [r6646] ql/CashFlows/inarrearindexedcoupon.cpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Patterns/observable.hpp, ql/handle.hpp: Handle no longer inherits from shared_ptr 2006-04-06 08:58 Luigi Ballabio * [r6645] ql/CashFlows/all.hpp, ql/CashFlows/core.hpp, ql/Makefile.am, ql/VolatilityModels/all.hpp, ql/VolatilityModels/constantestimator.cpp, ql/VolatilityModels/constantestimator.hpp, ql/VolatilityModels/garch.hpp, ql/quotetimeseries.hpp, ql/timeseries.hpp, ql/volatilitymodel.hpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp, test-suite/volatilitymodels.cpp, test-suite/volatilitymodels.hpp: Fixed copyrights---they're of Joseph's 2006-04-05 16:25 Joseph Wang * [r6634] ql/VolatilityModels/all.hpp, ql/VolatilityModels/garch.hpp: Need to check in 2006-04-05 10:24 Luigi Ballabio * [r6633] ql/Math/array.hpp, ql/Math/lexicographicalview.hpp, ql/Math/matrix.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/path.hpp, ql/schedule.hpp, ql/timegrid.hpp: Added checked at() method besides operator[] 2006-04-05 08:31 Luigi Ballabio * [r6632] Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EquityOption/EquityOption.cpp, News.txt, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/operatorfactory.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/oneassetoption.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/greeks.cpp, ql/PricingEngines/greeks.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/merton76process.cpp, ql/Processes/merton76process.hpp, ql/VolatilityModels, ql/VolatilityModels/.cvsignore, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/convertiblebonds.cpp, test-suite/digitaloption.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/operators.cpp, test-suite/pathgenerator.cpp, test-suite/quantooption.cpp: Reorganized BS-like processes 2006-04-05 04:43 Joseph Wang * [r6629] ql/Makefile.am: Add time series to Makefile.am 2006-04-05 03:52 Joseph Wang * [r6628] ql/VolatilityModels/Makefile.am, ql/core.hpp, ql/quantlib.hpp: Add in time series and volatility models to the distribution. 2006-04-05 00:30 Joseph Wang * [r6621] ql/CashFlows/core.hpp, ql/VolatilityModels/constantestimator.cpp, ql/timeseries.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp, test-suite/volatilitymodels.cpp, test-suite/volatilitymodels.hpp: Add tests for volatility models and time series Redo time series to add iterators Add timebasket to CashFlow/core.hpp 2006-03-30 07:22 Joseph Wang * [r6620] configure.ac, ql/Makefile.am, ql/VolatilityModels/Makefile.am, ql/VolatilityModels/constantestimator.cpp, ql/VolatilityModels/constantestimator.hpp, ql/VolatilityModels/makefile.mak, ql/makefile.mak, ql/timeseries.hpp, ql/volatilitymodel.hpp: Commit compilable version of volatility model files. Need more work to integrate history with time series. 2006-03-29 13:13 Eric Ehlers * [r6615] Docs/pages/faq.docs: *** empty log message *** 2006-03-29 11:09 Luigi Ballabio * [r6614] Docs/pages/faq.docs: *** empty log message *** 2006-03-28 15:24 Luigi Ballabio * [r6612] ql/RandomNumbers/primitivepolynomials.c: *** empty log message *** 2006-03-28 11:02 Luigi Ballabio * [r6611] ql/Utilities/dataparsers.cpp, ql/Utilities/dataparsers.hpp, ql/date.cpp, ql/date.hpp, test-suite/dates.cpp: Moved ISO date parsing to data-parser classes 2006-03-27 15:38 Luigi Ballabio * [r6608] Docs/Makefile.am, configure.ac: *** empty log message *** 2006-03-27 15:12 Luigi Ballabio * [r6607] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/beijing.hpp, ql/Calendars/bombay.hpp, ql/Calendars/bratislava.hpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.hpp, ql/Calendars/helsinki.hpp, ql/Calendars/istanbul.hpp, ql/Calendars/johannesburg.hpp, ql/Calendars/oslo.hpp, ql/Calendars/prague.hpp, ql/Calendars/riyadh.hpp, ql/Calendars/seoul.hpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.hpp, ql/Calendars/taipei.hpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.hpp, ql/CashFlows/Makefile.am, ql/CashFlows/all.hpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/timegrid.cpp, ql/timegrid.hpp: Removed deprecated features 2006-03-27 12:03 Luigi Ballabio * [r6606] Announce.txt, ChangeLog.txt, Docs/Makefile.am, Docs/makefile.mak, Docs/pages/examples.docs, Docs/pages/faq.docs, Docs/pages/history.docs, Docs/pages/install.docs, Docs/pages/license.docs, Docs/quantlib.doxy, Docs/quantlibheader.html, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/ConvertibleBonds/ConvertibleBonds.dsp, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/ConvertibleBonds/Makefile.am, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EquityOption/EquityOption.dev, Examples/EquityOption/EquityOption.dsp, Examples/EquityOption/EquityOption.vcproj, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/Swap/Swap.dev, Examples/Swap/Swap.dsp, Examples/Swap/Swap.vcproj, Examples/Swap/Swap_vc8.vcproj, Examples/Swap/swapvaluation.cpp, LICENSE.TXT, News.txt, QuantLib.dev, QuantLib.dsp, QuantLib.dsw, QuantLib.nsi, QuantLib.sln, QuantLib.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj, Readme.txt, configure.ac, dev_tools/check_copyrights.sh, dev_tools/collect_copyrights.py, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, makefile.mak, man/AmericanOption.1, man/BermudanSwaption.1, man/ConvertibleBonds.1, man/DiscreteHedging.1, man/EquityOption.1, man/EuropeanOption.1, man/Makefile.am, man/SwapValuation.1, man/quantlib-config.1, man/quantlib-test-suite.1, ql/Calendars/argentina.cpp, ql/Calendars/argentina.hpp, ql/Calendars/iceland.cpp, ql/Calendars/iceland.hpp, ql/Calendars/indonesia.hpp, ql/Calendars/mexico.cpp, ql/Calendars/mexico.hpp, ql/Calendars/ukraine.cpp, ql/Calendars/ukraine.hpp, ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/Currencies/africa.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/oceania.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/zibor.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/zerocouponbond.cpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/incrementalstatistics.hpp, ql/Math/rounding.hpp, ql/Math/simpsonintegral.hpp, ql/Math/trapezoidintegral.hpp, ql/Patterns/observable.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fdconditions.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/juquadraticengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/Processes/defaultable.hpp, ql/Processes/lfmhullwhiteparam.cpp, ql/Processes/lfmhullwhiteparam.hpp, ql/Processes/lfmprocess.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.cpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/capletvariancecurve.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/date.hpp, ql/money.hpp, ql/qldefines.hpp, quantlib-config.in, test-suite/compoundforward.cpp, test-suite/convertiblebonds.cpp, test-suite/exchangerate.cpp, test-suite/libormarketmodel.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/makefile.mak, test-suite/money.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Merged 0.3.12 branch; increased version number 2006-03-27 05:07 Joseph Wang * [r6604] ql/Makefile.am, ql/VolatilityModels, ql/VolatilityModels/constantestimator.hpp, ql/quotetimeseries.hpp, ql/timeseries.hpp, ql/volatilitymodel.hpp: Add template for time series and constant esimator volatility models. Add fixes for other files. 2006-03-14 04:59 Joseph Wang * [r6577] test-suite/dates.cpp, test-suite/dates.hpp: Add item for ISO date converter 2006-03-14 04:59 Joseph Wang * [r6576] ql/date.cpp, ql/date.hpp: Add converter from iso format 2006-02-13 08:10 Luigi Ballabio * [r6490] QuantLib.dev, test-suite, test-suite/.cvsignore, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2006-02-10 15:56 Luigi Ballabio * [r6485] ql/Calendars/makefile.mak, ql/FiniteDifferences/operatorfactory.hpp, ql/FiniteDifferences/pde.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/makefile.mak, ql/Math/makefile.mak, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/lmdif.cpp, ql/Optimization/makefile.mak, ql/PricingEngines/Hybrid/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/makefile.mak, ql/Processes/makefile.mak, ql/ShortRateModels/LiborMarketModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/Utilities/makefile.mak, test-suite/makefile.mak: Fixes (?) for Borland 2006-02-10 15:14 Luigi Ballabio * [r6484] News.txt: *** empty log message *** 2006-02-10 13:51 Luigi Ballabio * [r6483] Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/Swap/Swap_vc8.vcproj, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, ql/Instruments/convertiblebond.cpp, ql/Optimization/levenbergmarquardt.cpp, ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp, ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.hpp, ql/config.msvc.hpp, test-suite/libormarketmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Fixes for VC++ 2006-02-07 16:19 Luigi Ballabio * [r6474] News.txt, ql/CashFlows/analysis.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp: Modified basis-point sensitivity calculation so that it returns the cash variation for a basis-point change in rate 2006-02-07 14:25 Luigi Ballabio * [r6473] ql/Instruments/simpleswap.hpp: *** empty log message *** 2006-02-07 11:50 Luigi Ballabio * [r6472] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, test-suite/bermudanswaption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/libormarketmodel.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Added floating-leg day counter to simple swap (renamed to VanillaSwap in the meantime) 2006-02-06 13:28 Luigi Ballabio * [r6470] Docs/pages/authors.docs, Examples/BermudanSwaption/BermudanSwaption.cpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/lmdif.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp, ql/ShortRateModels/calibrationhelper.cpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodel.cpp: *** empty log message *** 2006-02-06 12:30 Luigi Ballabio * [r6469] ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/lmdif.cpp, ql/Optimization/lmdif.hpp: *** empty log message *** 2006-02-03 16:12 Luigi Ballabio * [r6465] Examples/BermudanSwaption/BermudanSwaption.cpp, News.txt, ql/Optimization/Makefile.am, ql/Optimization/all.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/levenbergmarquardt.cpp, ql/Optimization/levenbergmarquardt.hpp, ql/Optimization/lmdif.cpp, ql/Optimization/lmdif.hpp, ql/Optimization/problem.hpp, ql/ShortRateModels/model.cpp: Added Levenberg-Marquardt optimization method (thanks to Klaus Spanderen) 2006-02-03 10:49 Luigi Ballabio * [r6464] test-suite/lowdiscrepancysequences.cpp: Fix for 64-bit systems (thanks to Tamas Sashalmi) 2006-02-02 15:44 Luigi Ballabio * [r6463] Docs/pages/faq.docs, ql/Processes/lfmcovarparam.hpp: FAQ for Solaris 2006-02-02 11:38 Luigi Ballabio * [r6462] Examples/ConvertibleBonds/ConvertibleBonds.cpp, test-suite/convertiblebonds.cpp: *** empty log message *** 2006-02-02 11:38 Luigi Ballabio * [r6461] ql/Math/generalstatistics.hpp: Fix for Solaris 2006-02-02 08:37 Luigi Ballabio * [r6460] ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/instrument.hpp: Refactored engine-results extraction into its own method 2006-02-01 12:43 Luigi Ballabio * [r6457] Docs/pages/license.docs, LICENSE.TXT, News.txt, configure.ac, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Swaption/lfmswaptionengine.cpp, ql/PricingEngines/Swaption/lfmswaptionengine.hpp, ql/Processes/Makefile.am, ql/Processes/all.hpp, ql/Processes/capletlmmprocess.cpp, ql/Processes/capletlmmprocess.hpp, ql/Processes/lfmcovarparam.cpp, ql/Processes/lfmcovarparam.hpp, ql/Processes/lfmhullwhiteparam.cpp, ql/Processes/lfmhullwhiteparam.hpp, ql/Processes/lfmprocess.cpp, ql/Processes/lfmprocess.hpp, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/all.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/LiborMarketModels, ql/ShortRateModels/LiborMarketModels/.cvsignore, ql/ShortRateModels/LiborMarketModels/Makefile.am, ql/ShortRateModels/LiborMarketModels/all.hpp, ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp, ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.hpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp, ql/ShortRateModels/LiborMarketModels/liborforwardmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmcorrmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.hpp, ql/ShortRateModels/LiborMarketModels/lmvolmodel.cpp, ql/ShortRateModels/LiborMarketModels/lmvolmodel.hpp, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/OneFactorModels/Makefile.am, ql/ShortRateModels/OneFactorModels/all.hpp, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/all.hpp, ql/ShortRateModels/all.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.hpp, test-suite/Makefile.am, test-suite/libormarketmodel.cpp, test-suite/libormarketmodel.hpp, test-suite/libormarketmodelprocess.cpp, test-suite/libormarketmodelprocess.hpp, test-suite/quantlibtestsuite.cpp: Added Libor market model (thanks to Klaus Spanderen) 2006-02-01 06:20 Joseph Wang * [r6452] ql/Instruments/dividendschedule.hpp: Remove unneeded include 2006-01-30 16:53 Luigi Ballabio * [r6438] Contributors.txt, Docs/pages/authors.docs, Docs/pages/license.docs, Examples/ConvertibleBonds/ConvertibleBonds.cpp, LICENSE.TXT, News.txt, ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendschedule.hpp, ql/Lattices/tflattice.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp: Attributions 2006-01-30 15:56 Luigi Ballabio * [r6437] ql/Instruments/convertiblebond.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp: *** empty log message *** 2006-01-30 14:50 Luigi Ballabio * [r6436] ql/Instruments/convertiblebond.cpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, test-suite/Makefile.am, test-suite/convertiblebonds.cpp, test-suite/convertiblebonds.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.vcproj: More fixes; tests added 2006-01-30 13:03 Luigi Ballabio * [r6435] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp: More fixes for convertibles 2006-01-30 11:37 Luigi Ballabio * [r6432] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp: Separate classes for zero-coupon, fixed-coupon, and floating-rate convertibles 2006-01-30 11:02 Luigi Ballabio * [r6431] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp: Removed a few unused arguments 2006-01-28 13:39 Luigi Ballabio * [r6423] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Lattices/tflattice.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, test-suite/quantlibtestsuite.cpp: Extended convertible-bond example, misc. fixes 2006-01-28 13:39 Luigi Ballabio * [r6422] ql/Math/sampledcurve.cpp, ql/Math/sampledcurve.hpp, test-suite/sampledcurve.cpp: Fix for regriding 2006-01-26 13:23 Luigi Ballabio * [r6421] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/tflattice.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp, ql/discretizedasset.hpp: More work on convertibles. Still to do: - work out how to manage discrete dividends - write tests 2006-01-25 09:56 Luigi Ballabio * [r6420] ql/PricingEngines/Vanilla/binomialengine.hpp: *** empty log message *** 2006-01-24 15:38 Luigi Ballabio * [r6419] ql/Instruments/convertiblebond.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice1d.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/discretizedasset.hpp, ql/timegrid.cpp, ql/timegrid.hpp: *** empty log message *** 2006-01-24 11:06 Luigi Ballabio * [r6418] ql/timegrid.cpp, ql/timegrid.hpp: *** empty log message *** 2006-01-24 06:46 Joseph Wang * [r6416] ql/Lattices/tflattice.hpp: Change to allow it to compile. 2006-01-23 17:12 Luigi Ballabio * [r6415] Examples/ConvertibleBonds/ConvertibleBonds.cpp, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/Lattices/tflattice.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp: Working on convertible bonds; got the instrument to actually call the engine. Still some work to do in order to have it run correctly. 2006-01-23 15:48 Luigi Ballabio * [r6414] Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, QuantLib.dsw, QuantLib.sln, QuantLib.vcproj, QuantLib_vc8.sln, test-suite/array.cpp: *** empty log message *** 2006-01-23 15:28 Luigi Ballabio * [r6413] Examples/makefile.mak: *** empty log message *** 2006-01-23 14:36 Luigi Ballabio * [r6412] Examples/Makefile.am, ql/Lattices/all.hpp, ql/PricingEngines/Hybrid/all.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp: *** empty log message *** 2006-01-23 14:26 Luigi Ballabio * [r6411] Examples/ConvertibleBonds, Examples/ConvertibleBonds/.cvsignore, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/ConvertibleBonds/ConvertibleBonds.dsp, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/ConvertibleBonds/Makefile.am, Examples/ConvertibleBonds/ReadMe.txt, Examples/ConvertibleBonds/utilities.cpp, Examples/ConvertibleBonds/utilities.hpp: *** empty log message *** 2006-01-23 13:08 Luigi Ballabio * [r6410] Examples/ConvertibleBonds, Examples/ConvertibleBonds/.cvsignore, Examples/ConvertibleBonds/ConvertibleBonds.ncb, Examples/ConvertibleBonds/ConvertibleBonds.sln, Examples/ConvertibleBonds/ConvertibleBonds.suo, Examples/ConvertibleBonds/Makefile.am, Examples/ConvertibleBonds/Makefile.in, ql/Instruments/convertiblebond.cpp, ql/Instruments/convertiblebond.hpp, ql/PricingEngines/Hybrid, ql/PricingEngines/Hybrid/.cvsignore, ql/PricingEngines/Hybrid/Makefile.in, ql/schedule.hpp: *** empty log message *** 2006-01-23 05:31 Joseph Wang * [r6409] ql/Instruments/convertiblebond.cpp: add one more file from tboafo 2006-01-23 04:07 Joseph Wang * [r6408] Examples/ConvertibleBonds, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds.ncb, Examples/ConvertibleBonds/ConvertibleBonds.sln, Examples/ConvertibleBonds/ConvertibleBonds.suo, Examples/ConvertibleBonds/ConvertibleBonds.vcproj, Examples/ConvertibleBonds/Makefile.am, Examples/ConvertibleBonds/Makefile.in, Examples/ConvertibleBonds/utilities.cpp, Examples/ConvertibleBonds/utilities.hpp, Examples/Makefile.am, configure.ac, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/convertiblebond.hpp, ql/Lattices/Makefile.am, ql/Lattices/all.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/tflattice.hpp, ql/PricingEngines/Hybrid, ql/PricingEngines/Hybrid/Makefile.am, ql/PricingEngines/Hybrid/Makefile.in, ql/PricingEngines/Hybrid/all.hpp, ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp, ql/PricingEngines/Hybrid/discretizedconvertible.cpp, ql/PricingEngines/Hybrid/discretizedconvertible.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, ql/schedule.hpp: Add tboafo's convertible bond changes. 2006-01-13 14:40 Joseph Wang * [r6402] ql/Instruments/dividendschedule.hpp, ql/Instruments/dividendvanillaoption.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp: Restructure dividend schedule to remove an unnecessary field. This will make it easier to integrate Theo's convertible bond code. 2006-01-11 10:31 Luigi Ballabio * [r6391] ql/Instruments/callabilityschedule.hpp, ql/Instruments/dividendschedule.hpp: *** empty log message *** 2006-01-11 03:37 Joseph Wang * [r6390] ql/Instruments/callabilityschedule.hpp: const-ize to implement pure virtual in event 2006-01-09 12:10 Marco Marchioro * [r6388] QuantLib.dsp, QuantLib.dsw, ql/Instruments/dividendschedule.hpp, test-suite/interpolations.cpp, test-suite/testsuite.dsp: Fixes for VC6 2006-01-03 15:04 Luigi Ballabio * [r6376] ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp: Switch-on-payoff in Black formula is now hidden behind a visitor 2006-01-03 10:55 Luigi Ballabio * [r6375] ql/Instruments/payoffs.hpp, ql/cashflow.hpp, ql/payoff.hpp: Added visitability to payoffs 2006-01-03 09:51 Luigi Ballabio * [r6374] Docs/pages/examples.docs, Docs/quantlib.doxy, ql/Calendars/brazil.hpp: Doc fixes 2005-12-27 01:44 Joseph Wang * [r6365] ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp: Add new dividend engines. Make shift/scale engine work with fixed and fractional dividends. 2005-12-26 07:42 Joseph Wang * [r6363] ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Use template to remove a lot of redundant code in the FD engines. 2005-12-24 04:22 Joseph Wang * [r6360] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/dividend.hpp: Create two new subclasses. Fixed and fractional dividends. 2005-12-23 04:41 Joseph Wang * [r6356] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdconditions.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp: Refactor some common code into a template. 2005-12-22 07:41 Joseph Wang * [r6353] ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Change some of the arguments to more generic types to avoid exposing implementation details in the header. 2005-12-21 14:41 Luigi Ballabio * [r6346] ql/Calendars/unitedstates.hpp: *** empty log message *** 2005-12-21 12:13 Luigi Ballabio * [r6344] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/Pricers/mcmaxbasket.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp: Removed now unnecessary parameters from path-pricer constructors 2005-12-21 10:21 Luigi Ballabio * [r6341] ql/PricingEngines/Vanilla/fddividendengine.hpp: Replaced #define with typedef 2005-12-21 07:18 Joseph Wang * [r6340] ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp: change calling method in fd dividend methods 2005-12-21 06:58 Joseph Wang * [r6339] ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp: Refactoring to allow for several types of dividend engines. 2005-12-21 06:06 Joseph Wang * [r6338] ql/Instruments/dividendschedule.hpp: Set event list to const 2005-12-20 08:35 Joseph Wang * [r6336] ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, test-suite/dividendoption.cpp, test-suite/dividendoption.hpp: Fix finite difference dividend engine. Had to do some calculations from scratch, but finally concluded that the correct way to do the calculation was to scale the grid by the discounted dividend value rather than to shift it by the undiscounted dividend. 2005-12-20 08:33 Joseph Wang * [r6335] ql/Math/sampledcurve.hpp: Add in new method to scale the grid. This is used in rewrite of fddividendengine.cpp 2005-12-20 08:32 Joseph Wang * [r6334] ql/FiniteDifferences/pdebsm.hpp: Change interest rate counter to be consistent with definition in other parts of quantlib. 2005-12-19 13:29 Luigi Ballabio * [r6332] ql/Calendars/argentina.cpp, ql/Calendars/argentina.hpp, ql/Calendars/beijing.cpp, ql/Calendars/beijing.hpp, ql/Calendars/bombay.cpp, ql/Calendars/bombay.hpp, ql/Calendars/bratislava.cpp, ql/Calendars/bratislava.hpp, ql/Calendars/brazil.hpp, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/germany.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/hongkong.cpp, ql/Calendars/hongkong.hpp, ql/Calendars/iceland.cpp, ql/Calendars/iceland.hpp, ql/Calendars/indonesia.cpp, ql/Calendars/indonesia.hpp, ql/Calendars/istanbul.cpp, ql/Calendars/istanbul.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/mexico.cpp, ql/Calendars/mexico.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/prague.cpp, ql/Calendars/prague.hpp, ql/Calendars/riyadh.cpp, ql/Calendars/riyadh.hpp, ql/Calendars/seoul.cpp, ql/Calendars/seoul.hpp, ql/Calendars/singapore.cpp, ql/Calendars/singapore.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/taipei.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/ukraine.cpp, ql/Calendars/ukraine.hpp, ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/zibor.hpp, test-suite/calendars.cpp, test-suite/compoundforward.cpp: Moved more calendars from city to country and market 2005-12-16 13:44 Luigi Ballabio * [r6329] ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp: *** empty log message *** 2005-12-16 13:32 Luigi Ballabio * [r6328] ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, test-suite/barrieroption.cpp: Fixed MC barrier engine (thanks to Toyin Akin) 2005-12-16 04:12 Joseph Wang * [r6327] ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, test-suite/dividendoption.cpp: Some refactoring in order to reduce the test failure with the dividend engine. With this change the Greeks are reasonable and there are no obvious problems with the price curve, but the value is still different from the one calculated by the analytic engine. The greek test has been activated, but the values test is still deactivated. 2005-12-16 04:09 Joseph Wang * [r6326] ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp: use time method of process. 2005-12-15 16:09 Luigi Ballabio * [r6325] News.txt, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/argentina.cpp, ql/Calendars/argentina.hpp, ql/Calendars/iceland.cpp, ql/Calendars/iceland.hpp, ql/Calendars/indonesia.cpp, ql/Calendars/indonesia.hpp, ql/Calendars/mexico.cpp, ql/Calendars/mexico.hpp, ql/Calendars/ukraine.cpp, ql/Calendars/ukraine.hpp, ql/calendar.cpp, ql/calendar.hpp: Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian calendars 2005-12-14 15:49 Luigi Ballabio * [r6323] News.txt, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, test-suite/bonds.cpp, test-suite/piecewiseyieldcurve.cpp: Separated accrual and payment conventions for bonds 2005-12-14 11:58 Luigi Ballabio * [r6320] ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, test-suite/dividendoption.cpp, test-suite/dividendoption.hpp: Fixed a bug with FD dividend options; there are still problems though 2005-12-12 13:44 Luigi Ballabio * [r6312] Contributors.txt, Docs/pages/authors.docs, Docs/pages/license.docs, LICENSE.TXT, News.txt, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/brazil.cpp, ql/Calendars/brazil.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/dividendoption.cpp: Added Brazil calendar (thanks to Piter Dias) 2005-12-12 10:48 Luigi Ballabio * [r6310] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/swap.cpp, ql/event.hpp: Removed unnecessary DateEvent class 2005-12-11 04:29 Joseph Wang * [r6306] ql/CashFlows/analysis.cpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/swap.cpp, ql/event.hpp: Refactored cashflows so that large numbers of QL_TODAYS_PAYMENT defines are replaced by a single method and a single define. 2005-12-10 10:15 Joseph Wang * [r6305] ql/event.hpp: improved SimpleEvent by making it DateEvent and a subclass of Date to inherit the Date functions. 2005-12-09 15:33 Luigi Ballabio * [r6304] Examples/makefile.mak, ql/Calendars/makefile.mak, ql/FiniteDifferences/makefile.mak, test-suite/makefile.mak: *** empty log message *** 2005-12-09 15:25 Luigi Ballabio * [r6303] QuantLib.dev, test-suite/testsuite.dev: *** empty log message *** 2005-12-09 15:04 Luigi Ballabio * [r6302] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/zerocouponbond.cpp, test-suite/bonds.cpp: Fix for bond redemption on holiday 2005-12-09 13:40 Luigi Ballabio * [r6301] QuantLib.sln, QuantLib.vcproj, test-suite/testsuite.vcproj: *** empty log message *** 2005-12-09 13:15 Luigi Ballabio * [r6300] ql/Instruments/swap.cpp: Correct management of errorEstimate_ 2005-12-09 12:07 Luigi Ballabio * [r6299] ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: BPS calculation moved together with the other cash-flow analyses 2005-12-06 20:29 Luigi Ballabio * [r6298] configure.ac: *** empty log message *** 2005-12-06 11:13 Ferdinando Ametrano * [r6296] QuantLib_vc8.sln: VC8 catching up 2005-12-06 11:07 Ferdinando Ametrano * [r6295] test-suite/bonds.cpp: ql/Instruments/convertiblebond.hpp does NOT compile with VC8 Boost1.33 and it is not needed anyway 2005-12-06 09:36 Luigi Ballabio * [r6294] Examples/AmericanOption, Examples/EquityOption, Examples/EquityOption/.cvsignore, Examples/EquityOption/EquityOption.cpp, Examples/EquityOption/EquityOption.dev, Examples/EquityOption/EquityOption.dsp, Examples/EquityOption/EquityOption.vcproj, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/EquityOption/Makefile.am, Examples/EquityOption/ReadMe.txt, Examples/EquityOption/makefile.mak, Examples/EuropeanOption, Examples/Makefile.am, News.txt, configure.ac: Merged American and European option examples; added Bermudan option 2005-12-06 09:19 Luigi Ballabio * [r6293] ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp: Fixes for Bermudan options 2005-11-30 18:21 Ferdinando Ametrano * [r6289] QuantLib_vc8.vcproj, ql/Instruments/convertiblebond.hpp, test-suite/testsuite_vc8.vcproj: VC8 catching up 2005-11-30 17:46 Ferdinando Ametrano * [r6288] ql/grid.hpp: VC8 compile error (typo) fixed 2005-11-30 11:11 Luigi Ballabio * [r6287] Docs/quantlib.css, Docs/quantlibfooter.html, Docs/quantlibfooteronline.html, Docs/quantlibheader.html, ql/FiniteDifferences/pdebsm.hpp: Using CSS for layout in HTML docs 2005-11-29 08:07 Luigi Ballabio * [r6284] News.txt, ql/PricingEngines/Vanilla/binomialengine.hpp: Added pricing of Bermudan options on binomial trees (thanks to Enrico Michelotti) 2005-11-28 08:44 Luigi Ballabio * [r6281] test-suite/shortratemodels.cpp: *** empty log message *** 2005-11-22 06:33 Joseph Wang * [r6276] ql/PricingEngines/Vanilla/integralengine.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: Generalized integral engine to striked options. Added test for integral engine. 2005-11-21 16:26 Luigi Ballabio * [r6275] ql/Calendars/Makefile.am, ql/Calendars/taipei.cpp, ql/Calendars/taipei.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp: Merged redundant Taipei calendar into Taiwan 2005-11-21 16:24 Luigi Ballabio * [r6274] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: Fix for compilation of examples 2005-11-21 11:00 Luigi Ballabio * [r6273] ql/CashFlows/Makefile.am: *** empty log message *** 2005-11-20 22:21 Joseph Wang * [r6272] ql/Instruments/callabilityschedule.hpp, test-suite/bonds.cpp: Include convertible bond into bond unit test Redo callability schedule so that it uses event structure 2005-11-20 19:57 Joseph Wang * [r6271] ql/CashFlows/dividend.hpp: Add dividend 2005-11-20 16:47 Joseph Wang * [r6270] ql/Instruments/dividendschedule.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/event.hpp: Changed the finite difference methods so that they take an array of events rather than a dividend schedule object. This decouples the finite difference from the details of the instrument implementation. The next step is to create bermudan and shout instruments. 2005-11-20 07:12 Joseph Wang * [r6268] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/Instruments/dividendschedule.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp: Implement dividends as cash flows. 2005-11-19 04:39 Joseph Wang * [r6267] ql/Makefile.am, ql/cashflow.hpp, ql/event.hpp: Add event parent of cashflow 2005-11-18 14:36 Luigi Ballabio * [r6266] ql/FiniteDifferences/pde.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/FiniteDifferences/pdeshortrate.hpp, ql/FiniteDifferences/zerocondition.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp: Checked headers for self-consistency 2005-11-17 09:10 Luigi Ballabio * [r6264] ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: *** empty log message *** 2005-11-16 15:23 Luigi Ballabio * [r6263] ql/Math/array.hpp, ql/Math/sampledcurve.hpp, test-suite/array.cpp: *** empty log message *** 2005-11-16 11:39 Luigi Ballabio * [r6262] ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp: Enabled interpolations to extrapolate by default 2005-11-16 05:22 Joseph Wang * [r6260] ql/Math/sampledcurve.hpp: replace with iterators 2005-11-16 03:29 Joseph Wang * [r6259] ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/zerocondition.hpp, ql/Math/array.hpp, ql/Math/sampledcurve.cpp, ql/Math/sampledcurve.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, test-suite/array.cpp, test-suite/dividendoption.cpp, test-suite/sampledcurve.cpp: Combined initializeGrid into initializeInitialValue Major rework of dividend engine with new unit test. Previous engine was busted. Added support functions to support major rework of dividend engine. 2005-11-15 01:57 Joseph Wang * [r6258] ql/FiniteDifferences/pde.hpp: Make doxygen documentation match class 2005-11-14 16:10 Luigi Ballabio * [r6257] ql/DayCounters/actualactual.cpp: Allowed negative year fractions in actual/actual day counters 2005-11-14 14:16 Luigi Ballabio * [r6256] News.txt, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.hpp: Added weight to short-rate model calibration and generic discount-bond method to affine models (thanks to Enrico Michelotti) 2005-11-14 10:47 Luigi Ballabio * [r6255] News.txt, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/PricingEngines/Vanilla/mchestonengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/mcsimulation.hpp: Generalized McVanillaEngine to n-dimensional processes 2005-11-13 00:30 Joseph Wang * [r6254] ql/grid.hpp: forward declare BoundedLogGrid 2005-11-12 05:55 Joseph Wang * [r6253] ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp: major refactor of step condition classes to use dynamic polymorphism for internal representation of intrinsic curve. 2005-11-10 16:17 Luigi Ballabio * [r6237] ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp: Added check for values invalidating the Bjerksund-Stensland approximation 2005-11-07 15:55 Luigi Ballabio * [r6234] test-suite/americanoption.cpp: Lowered tolerance after Barone-Adesi-Whaley bug fix (but not as much as I would have liked) 2005-11-07 11:24 Luigi Ballabio * [r6233] test-suite/shortratemodels.cpp: *** empty log message *** 2005-11-07 10:38 Luigi Ballabio * [r6232] ql/FiniteDifferences/pde.hpp: Fix for gcc 4.0.2 2005-11-07 10:36 Joseph Wang * [r6231] test-suite/shortratemodels.cpp: Adjust current day so that test will work on weekends. 2005-11-05 23:06 Joseph Wang * [r6230] ql/FiniteDifferences/pde.hpp, ql/quote.hpp: Templatize constructor Fix compile error in gcc 4.0.2 2005-11-03 15:58 Joseph Wang * [r6228] ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/pde.hpp: Modify constant coefficent pde to use static binding. 2005-11-03 14:07 Luigi Ballabio * [r6227] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp: *** empty log message *** 2005-11-03 10:53 Luigi Ballabio * [r6226] ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp: Bug fix (thanks to feynman44) 2005-11-02 14:41 Luigi Ballabio * [r6225] ql/Currencies/europe.hpp: *** empty log message *** 2005-11-02 13:28 Luigi Ballabio * [r6224] ql/Currencies/africa.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/oceania.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jibar.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/tibor.hpp, ql/Indexes/trlibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/zibor.hpp, test-suite/exchangerate.cpp, test-suite/money.cpp, test-suite/swap.cpp: Shortened currency names 2005-11-02 10:43 Luigi Ballabio * [r6223] ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/core.hpp, ql/Math/Makefile.am, ql/Math/all.hpp: *** empty log message *** 2005-11-02 08:55 Luigi Ballabio * [r6222] ql/FiniteDifferences/pde.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/FiniteDifferences/pdeshortrate.hpp, ql/Math/transformedgrid.hpp, test-suite/transformedgrid.cpp, test-suite/transformedgrid.hpp: Given Joseph his copyrights 2005-11-02 07:38 Joseph Wang * [r6221] ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmtermoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/pde.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/FiniteDifferences/pdeshortrate.hpp: Move grid information into PDE traits 2005-11-02 05:33 Joseph Wang * [r6220] ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/pde.hpp, ql/FiniteDifferences/pdebsm.hpp, ql/FiniteDifferences/pdeshortrate.hpp, ql/Math/transformedgrid.hpp: More refactoring. Unify bsmoperator and onefactoroperator code. 2005-11-02 01:04 Joseph Wang * [r6219] ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/operatorfactory.hpp, ql/FiniteDifferences/pde.hpp: Added onefactoroperator to operator factory. More refactoring of bsm operators. 2005-11-01 07:09 Joseph Wang * [r6217] ql/FiniteDifferences/bsmtermoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/FiniteDifferences/pde.hpp: More BSM refactoring. Where I'm going with this is to turn bsmtermoperator and bsmoperator into "generic" parabolic PDE operators. 2005-11-01 04:56 Joseph Wang * [r6216] ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmtermoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/Math/sampledcurve.cpp, ql/Math/sampledcurve.hpp, ql/Math/transformedgrid.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/grid.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/sampledcurve.cpp, test-suite/transformedgrid.cpp, test-suite/transformedgrid.hpp: Refactored so that operators use transformed grid Refactored to move things from sampled curve to grid.hpp 2005-10-31 15:35 Luigi Ballabio * [r6215] News.txt, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, test-suite/shortratemodels.cpp, test-suite/shortratemodels.hpp: SimpleSwap can now be set an engine. If none was set, the old cash-flow-based calculation is used. 2005-10-27 14:59 Luigi Ballabio * [r6205] ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp: *** empty log message *** 2005-10-27 13:53 Luigi Ballabio * [r6204] Docs/pages/faq.docs: *** empty log message *** 2005-10-27 10:17 Luigi Ballabio * [r6201] ql/FiniteDifferences/Makefile.am: *** empty log message *** 2005-10-27 08:30 Luigi Ballabio * [r6200] ql/ShortRateModels/onefactormodel.hpp: *** empty log message *** 2005-10-27 01:33 Joseph Wang * [r6199] ql/FiniteDifferences/operatorfactory.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Abstracted operator creation into operator factory class. 2005-10-26 23:52 Joseph Wang * [r6198] ql/Math/sampledcurve.hpp: Put in a ostream << operator 2005-10-25 15:23 Luigi Ballabio * [r6185] ql/FiniteDifferences/valueatcenter.cpp, ql/Math/Makefile.am, test-suite/basketoption.cpp: *** empty log message *** 2005-10-25 15:23 Luigi Ballabio * [r6184] ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp: Back to Array to make it explicit that we're in the linear algebra domain (Disposable just works with Array anyway) 2005-10-25 15:20 Luigi Ballabio * [r6183] ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/valueatcenter.hpp: Deprecated in favour of SampledCurve 2005-10-25 15:18 Luigi Ballabio * [r6182] ql/instrument.hpp, ql/option.hpp: Moved declarations down the Instrument hierarchy to reduce dependencies 2005-10-25 15:17 Luigi Ballabio * [r6181] ql/Math/sampledcurve.cpp, ql/Math/sampledcurve.hpp, test-suite/sampledcurve.cpp: Added constness specification to methods; formatted for Doxygen 2005-10-24 10:47 Luigi Ballabio * [r6180] ql/MonteCarlo/mctraits.hpp, ql/date.hpp, ql/stochasticprocess.hpp, ql/yieldtermstructure.hpp: Removed deprecated features 2005-10-24 08:17 Luigi Ballabio * [r6179] ql/FiniteDifferences/bsmtermoperator.cpp: *** empty log message *** 2005-10-24 02:59 Joseph Wang * [r6178] ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmtermoperator.cpp: Use the process abstractions to pull out diffusion and drift 2005-10-21 12:20 Luigi Ballabio * [r6169] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp: Added timing to examples 2005-10-21 11:37 Eric Ehlers * [r6168] Docs/pages/faq.docs: update faq 2005-10-21 11:15 Luigi Ballabio * [r6167] test-suite/batesmodel.cpp, test-suite/bermudanswaption.cpp, test-suite/hestonmodel.cpp, test-suite/interpolations.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/shortratemodels.cpp: More accurate count of performed tests 2005-10-21 09:16 Luigi Ballabio * [r6163] Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Makefile.am, Examples/Swap/Makefile.am, Makefile.am: Added check-examples target to makefiles 2005-10-21 07:46 Luigi Ballabio * [r6160] Announce.txt, ChangeLog.txt, Contributors.txt, Docs/pages/authors.docs, Docs/pages/faq.docs, Docs/pages/history.docs, Docs/pages/install.docs, Docs/pages/license.docs, Docs/pages/overview.docs, Docs/quantlib.doxy, Examples/makefile.mak, LICENSE.TXT, News.txt, QuantLib.dev, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.vcproj, Readme.txt, configure.ac, dev_tools/developers, ql/Calendars/istanbul.cpp, ql/Calendars/istanbul.hpp, ql/DayCounters/actualactual.cpp, ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/trlibor.hpp, ql/Makefile.am, ql/Math/choleskydecomposition.cpp, ql/Math/multicubicspline.hpp, ql/Math/trapezoidintegral.hpp, ql/Patterns/singleton.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/Processes/capletlmmprocess.cpp, ql/Processes/capletlmmprocess.hpp, ql/Volatilities/capletvariancecurve.hpp, ql/capvolstructures.hpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, test-suite/batesmodel.cpp, test-suite/interpolations.cpp, test-suite/testsuite.dsp, test-suite/testsuite.vcproj: Merged 0.3.11 branch 2005-10-21 07:45 Luigi Ballabio * [r6159] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: *** empty log message *** 2005-10-21 00:26 Joseph Wang * [r6158] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: Simplify syntax. 2005-10-20 14:39 Luigi Ballabio * [r6150] Examples/AmericanOption/AmericanOption.dev, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EuropeanOption/EuropeanOption.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, makefile.mak, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Bumped version number to 0.3.12 2005-10-20 14:39 Luigi Ballabio * [r6149] ql/Math/sampledcurve.hpp, ql/PricingEngines/Vanilla/fdbermudanengine.hpp: Fixes for gcc4 2005-10-18 05:56 Joseph Wang * [r6128] ql/Math/sampledcurve.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp: encapsulate center at value item in sampled curve 2005-10-17 09:06 Joseph Wang * [r6101] ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Math/sampledcurve.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/instrument.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: Major rework of finite difference engines to use sampled curve class which will allow users to get price curve information. 2005-10-15 08:08 dicesare * [r6093] ql/FiniteDifferences/tridiagonaloperator.hpp: *** empty log message *** 2005-10-14 06:42 Joseph Wang * [r6090] ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, test-suite/basketoption.cpp: add option to turn off antithetic variates in mcamericanbasketengine 2005-10-14 06:41 Joseph Wang * [r6089] ql/Math/sampledcurve.hpp: more methods for SampledCurve object 2005-10-11 01:09 Joseph Wang * [r6084] ql/PricingEngines/Basket/mcamericanbasketengine.cpp, test-suite/basketoption.cpp, test-suite/basketoption.hpp: Fix crash in mcamericanbasketengine.cpp due to odd required samples. Added unit test to check fix. 2005-10-08 04:19 Joseph Wang * [r6067] ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp: Convert some functions into function templates so that it is less dependent on array. 2005-10-03 14:45 Luigi Ballabio * [r6046] Docs/Makefile.am, Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, functions/ql/Functions/Makefile.am, ql/Calendars/Makefile.am, ql/CashFlows/Makefile.am, ql/Currencies/Makefile.am, ql/DayCounters/Makefile.am, ql/FiniteDifferences/Makefile.am, ql/Indexes/Makefile.am, ql/Instruments/Makefile.am, ql/Lattices/Makefile.am, ql/Makefile.am, ql/Math/Makefile.am, ql/Math/all.hpp, ql/MonteCarlo/Makefile.am, ql/Optimization/Makefile.am, ql/Pricers/Makefile.am, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Makefile.am, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Vanilla/Makefile.am, ql/Processes/Makefile.am, ql/RandomNumbers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/OneFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/TermStructures/Makefile.am, ql/Utilities/Makefile.am, ql/Volatilities/Makefile.am, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2005-10-03 13:47 Luigi Ballabio * [r6045] QuantLib.dev, ql/makefile.mak, test-suite/testsuite.dev: *** empty log message *** 2005-10-03 13:01 Luigi Ballabio * [r6044] Docs/makefile.mak, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, Examples/makefile.mak, functions/ql/Functions/makefile.mak, makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/Currencies/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/Processes/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Utilities/makefile.mak, ql/Volatilities/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: *** empty log message *** 2005-10-03 12:46 Luigi Ballabio * [r6043] makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/Currencies/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/Indexes/makefile.mak, ql/Lattices/makefile.mak, ql/Math/gaussianorthogonalpolynomial.cpp, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, ql/PricingEngines/Vanilla/batesengine.cpp, ql/PricingEngines/Vanilla/batesengine.hpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/Processes/capletlmmprocess.cpp, ql/Processes/hestonprocess.cpp, ql/Processes/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/TermStructures/makefile.mak, ql/makefile.mak, test-suite/batesmodel.cpp, test-suite/bermudanswaption.cpp, test-suite/distributions.cpp, test-suite/hestonmodel.cpp, test-suite/makefile.mak, test-suite/shortratemodels.cpp: Some fixes for Borland 2005-10-03 09:54 Luigi Ballabio * [r6042] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2005-10-03 09:06 Luigi Ballabio * [r6041] QuantLib.vcproj, ql/Math/array.hpp, ql/config.msvc.hpp, test-suite/testsuite.vcproj: Fixes for VC++7.1 2005-10-03 02:47 Joseph Wang * [r6039] ql/Math/sampledcurve.hpp: Add sampledcurve.hpp 2005-10-02 06:10 Joseph Wang * [r6038] test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/sampledcurve.cpp, test-suite/sampledcurve.hpp, test-suite/testsuite.dsp, test-suite/testsuite.vcproj: Added sampled curve tests 2005-09-30 15:45 Luigi Ballabio * [r6035] QuantLib.dsp, ql/Patterns/singleton.hpp, ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, ql/PricingEngines/Vanilla/batesengine.cpp, ql/PricingEngines/Vanilla/batesengine.hpp, ql/Utilities/strings.hpp, ql/qldefines.hpp, ql/settings.hpp, test-suite/batesmodel.cpp, test-suite/hestonmodel.cpp, test-suite/libormarketmodelprocess.cpp, test-suite/testsuite.dsp: Fixes for VC++6 2005-09-30 11:39 Luigi Ballabio * [r6034] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: Fixed signature mismatch in virtual method (thanks to Enrico Michelotti) 2005-09-29 08:37 Luigi Ballabio * [r6026] Docs/pages/config.docs, Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, News.txt, configure.ac, ql/Patterns/singleton.hpp, ql/settings.hpp, ql/userconfig.hpp, test-suite/quantlibtestsuite.cpp: Added hook for multiple sessions to Singleton 2005-09-28 11:30 Luigi Ballabio * [r6024] test-suite/hestonmodel.cpp: *** empty log message *** 2005-09-27 07:20 Luigi Ballabio * [r6021] News.txt, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/exchangeratemanager.hpp, ql/Currencies/oceania.hpp, ql/types.hpp: New Turkish lira added 2005-09-23 14:38 Luigi Ballabio * [r6016] News.txt, ql/Processes/Makefile.am, ql/Processes/all.hpp, ql/Processes/capletlmmprocess.cpp, ql/Processes/capletlmmprocess.hpp, ql/Volatilities/capletvariancecurve.hpp, test-suite/Makefile.am, test-suite/libormarketmodelprocess.cpp, test-suite/libormarketmodelprocess.hpp, test-suite/quantlibtestsuite.cpp: Added stochastic process for caplet Libor market model (thanks to Klaus Spanderen) 2005-09-23 07:55 Luigi Ballabio * [r6015] ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/capletvariancecurve.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/capvolstructures.hpp, ql/swaptionvolstructure.hpp, ql/voltermstructure.hpp: Added extrapolation to swaption, cap and caplet volatility structures 2005-09-22 09:57 Luigi Ballabio * [r6014] ql/MonteCarlo/multipathgenerator.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: *** empty log message *** 2005-09-22 07:02 Luigi Ballabio * [r6013] News.txt, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, test-suite/asianoptions.cpp: Added vega to analytic discrete-averaging Asian engine (thanks to Gary Kennedy) 2005-09-19 11:55 Luigi Ballabio * [r6004] ql/PricingEngines/Vanilla/batesengine.hpp: Documentation fix (thanks to Gary Kennedy) 2005-09-19 11:55 Luigi Ballabio * [r6003] test-suite/Makefile.am: *** empty log message *** 2005-09-19 00:22 Joseph Wang * [r6002] ql/Processes/defaultable.hpp: Add new defaultable types 2005-09-18 06:21 Joseph Wang * [r6001] ql/Processes/defaultable.hpp: On second thought. Use multi-interheritance for defaultable processes rather than templating. 2005-09-18 06:14 Joseph Wang * [r6000] ql/FiniteDifferences/parallelevolver.hpp, ql/Processes/defaultable.hpp, test-suite/Makefile.am, test-suite/defaultable.cpp: Add defaultable process 2005-09-15 09:45 Luigi Ballabio * [r5995] ql/Math/bivariatenormaldistribution.hpp, test-suite/basketoption.cpp: Switched to new bivariate implementation 2005-09-13 13:34 Joseph Wang * [r5992] ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Added oneassetoption and oneassetstriked option engine. Some more refactoring of the fd classes. Trying to remove as much references to the option arguments. 2005-09-13 06:56 Joseph Wang * [r5991] ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Start of general refactoring of fd files. This moves the definition of the argument pointer out of the constructor. 2005-09-09 06:43 Luigi Ballabio * [r5981] QuantLib_vc8.vcproj, test-suite/batesmodel.cpp, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2005-09-08 08:56 Luigi Ballabio * [r5979] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp: Added optional longFinal flag to FixedCouponBond (thanks to Plamen Neykov) 2005-09-07 15:05 Luigi Ballabio * [r5978] LICENSE.TXT, News.txt, ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/TermStructures/bondhelpers.cpp, ql/TermStructures/bondhelpers.hpp, ql/TermStructures/ratehelpers.hpp, test-suite/piecewiseyieldcurve.cpp: Added fixed-coupon bond helper for curve bootstrapping (thanks to Toyin Akin) 2005-09-05 10:05 Luigi Ballabio * [r5976] ql/Instruments/Makefile.am, ql/Instruments/all.hpp, test-suite/bonds.cpp: *** empty log message *** 2005-09-04 16:25 Joseph Wang * [r5975] ql/Instruments/convertiblebond.hpp: add in tboafo's changes 2005-08-29 13:29 Luigi Ballabio * [r5967] News.txt, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/gaussianquadratures.cpp, ql/Math/gaussianquadratures.hpp, test-suite/distributions.cpp, test-suite/gaussianquadratures.cpp, test-suite/gaussianquadratures.hpp: Added tabulated Gauss-Legendre quadratures and more precise implementation of bivariate cumulative normal distribution (thanks to Gary Kennedy) 2005-08-26 13:04 Luigi Ballabio * [r5965] ql/TermStructures/piecewiseyieldcurve.hpp: Fix for evaluation date change (thanks to Aurelien Chanudet) 2005-08-26 03:32 Joseph Wang * [r5964] ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Replaced getYearFraction with method from process 2005-08-23 14:05 Luigi Ballabio * [r5963] ql/RandomNumbers/seedgenerator.cpp, ql/Utilities/Makefile.am, ql/Utilities/dataparsers.cpp, ql/Utilities/strings.cpp, ql/Utilities/strings.hpp, ql/date.cpp, ql/qldefines.hpp: Include a few system headers only when needed 2005-08-21 15:01 Plamen Neykov * [r5957] ql/schedule.cpp: Fix of a possible crash if the schdule has only one period 2005-08-19 14:42 Luigi Ballabio * [r5956] Contributors.txt, Docs/pages/authors.docs, configure.ac: Added support for relative paths in configure options (thanks to Antoine Cellerier) 2005-08-19 13:41 Luigi Ballabio * [r5954] acinclude.m4, configure.ac, ql/Makefile.am, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/qldefines.hpp: Rename conflicting autoconf defines when installing config.hpp 2005-08-19 09:28 Luigi Ballabio * [r5953] ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Math/svd.cpp: *** empty log message *** 2005-08-18 17:21 Luigi Ballabio * [r5952] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Math/array.hpp, ql/Math/matrix.hpp, ql/MonteCarlo/path.hpp, ql/Optimization/armijo.cpp, ql/Patterns/singleton.hpp, ql/timegrid.hpp, test-suite/Makefile.am, test-suite/array.cpp, test-suite/array.hpp, test-suite/quantlibtestsuite.cpp: A couple more Boost facilities used instead of homegrown code 2005-08-17 10:19 Luigi Ballabio * [r5942] test-suite/testsuite_vc8.vcproj: *** empty log message *** 2005-08-17 09:27 Luigi Ballabio * [r5939] test-suite/Makefile.am: *** empty log message *** 2005-08-16 16:30 Luigi Ballabio * [r5935] QuantLib_vc8.sln, QuantLib_vc8.vcproj, test-suite/batesmodel.cpp, test-suite/bin, test-suite/bin/.cvsignore, test-suite/hestonmodel.cpp, test-suite/testsuite_vc8.vcproj: *** empty log message *** 2005-08-16 14:25 Luigi Ballabio * [r5934] Examples/AmericanOption/AmericanOption.dev, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EuropeanOption/EuropeanOption.dev, Examples/Swap/Swap.dev: *** empty log message *** 2005-08-16 14:16 Luigi Ballabio * [r5933] QuantLib.dev, test-suite/testsuite.dev: *** empty log message *** 2005-08-16 13:29 Luigi Ballabio * [r5932] ql/Math/primenumbers.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, test-suite/pathgenerator.cpp: *** empty log message *** 2005-07-28 13:16 Luigi Ballabio * [r5913] ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/piecewiseyieldcurve.cpp: Fixed PiecewiseYieldCurve recalculation (thanks to Plamen Neykov) 2005-07-27 21:01 Eric Ehlers * [r5910] Docs/pages/faq.docs: add FAQ for .NET support 2005-07-27 13:20 Luigi Ballabio * [r5904] News.txt, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, ql/PricingEngines/Vanilla/batesengine.cpp, ql/PricingEngines/Vanilla/batesengine.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/batesmodel.cpp, ql/ShortRateModels/TwoFactorModels/batesmodel.hpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp, ql/ShortRateModels/all.hpp, test-suite/Makefile.am, test-suite/batesmodel.cpp, test-suite/batesmodel.hpp, test-suite/hestonmodel.cpp, test-suite/quantlibtestsuite.cpp: Added Bates stochastic-volatility model thanks to Klaus Spanderen) 2005-07-26 09:47 Luigi Ballabio * [r5903] Docs/pages/config.docs: *** empty log message *** 2005-07-21 15:05 Luigi Ballabio * [r5899] Contributors.txt, Docs/pages/authors.docs, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/twofactormodel.hpp, test-suite/shortratemodels.cpp: Fixes for G2 model (thanks to Marco Tarenghi) 2005-07-21 14:53 Ferdinando Ametrano * [r5898] QuantLib.nsi: no message 2005-07-21 14:27 Ferdinando Ametrano * [r5897] QuantLib.nsi, QuantLib.vcproj: VC7.1 catching up 2005-07-20 15:45 Luigi Ballabio * [r5895] News.txt, configure.ac, ql/errors.cpp, ql/userconfig.hpp: Added configuration option for adding current function information to error messages 2005-07-20 12:55 Luigi Ballabio * [r5893] ql/date.hpp: Encapsulated IMM enumeration into struct scope 2005-07-20 07:07 Luigi Ballabio * [r5891] ql/yieldtermstructure.hpp: Changed par-rate interface 2005-07-19 09:13 Luigi Ballabio * [r5876] ql/Optimization/leastsquare.hpp: Missing virtual destructor added 2005-07-18 14:40 Luigi Ballabio * [r5869] ql/PricingEngines/Basket/mcamericanbasketengine.cpp: *** empty log message *** 2005-07-14 09:38 Luigi Ballabio * [r5854] Docs/pages/history.docs: *** empty log message *** 2005-07-14 09:24 Luigi Ballabio * [r5853] Docs/pages/history.docs: *** empty log message *** 2005-07-13 10:37 Luigi Ballabio * [r5847] Announce.txt, Docs/Makefile.am, Docs/pages/faq.docs, Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, functions/ql/Functions/Makefile.am, ql/Calendars/Makefile.am, ql/CashFlows/Makefile.am, ql/Currencies/Makefile.am, ql/DayCounters/Makefile.am, ql/FiniteDifferences/Makefile.am, ql/Indexes/Makefile.am, ql/Instruments/Makefile.am, ql/Lattices/Makefile.am, ql/Makefile.am, ql/Math/Makefile.am, ql/MonteCarlo/Makefile.am, ql/Optimization/Makefile.am, ql/Pricers/Makefile.am, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Forward/Makefile.am, ql/PricingEngines/Makefile.am, ql/PricingEngines/Quanto/Makefile.am, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Vanilla/Makefile.am, ql/Processes/Makefile.am, ql/RandomNumbers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/OneFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/TermStructures/Makefile.am, ql/TermStructures/piecewiseyieldcurve.hpp, ql/Utilities/Makefile.am, ql/Volatilities/Makefile.am, ql/config.msvc.hpp, test-suite/Makefile.am, test-suite/piecewiseyieldcurve.cpp: Merged 0.3.10 branch 2005-07-07 07:24 Luigi Ballabio * [r5827] ChangeLog.txt, Contributors.txt, Docs/pages/authors.docs, Docs/pages/faq.docs, Docs/pages/history.docs, Docs/pages/license.docs, Docs/pages/overview.docs, Examples/AmericanOption/AmericanOption.dev, Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.vcproj, Examples/AmericanOption/AmericanOption_vc8.vcproj, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EuropeanOption/EuropeanOption.dev, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/EuropeanOption/EuropeanOption_vc8.vcproj, Examples/Swap/Swap.dev, Examples/Swap/Swap.dsp, Examples/Swap/Swap.vcproj, Examples/Swap/Swap_vc8.vcproj, LICENSE.TXT, QuantLib.dev, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj, acinclude.m4, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/istanbul.cpp, ql/Calendars/istanbul.hpp, ql/FiniteDifferences/operatortraits.hpp, ql/FiniteDifferences/parallelevolver.hpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/zerocouponbond.cpp, ql/Math/gaussianquadratures.cpp, ql/Math/multicubicspline.hpp, ql/Math/tqreigendecomposition.cpp, ql/Patterns/observable.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/config.msvc.hpp, ql/qldefines.hpp, ql/timegrid.hpp, test-suite/Makefile.am, test-suite/americanoption.hpp, test-suite/bonds.cpp, test-suite/covariance.cpp, test-suite/distributions.cpp, test-suite/factorial.cpp, test-suite/gaussianquadratures.cpp, test-suite/hestonmodel.cpp, test-suite/interpolations.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/pathgenerator.cpp, test-suite/rounding.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/utilities.hpp: Merged 0.3.10 branch 2005-07-03 07:55 Joseph Wang * [r5822] ql/Patterns/observable.hpp: Add forward declaration for Observer to allow compile. 2005-06-24 07:26 Luigi Ballabio * [r5807] News.txt, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/bombay.cpp, ql/Calendars/bombay.hpp, ql/Calendars/taipei.cpp, ql/Calendars/taipei.hpp: Bombay and Taipei calendars added 2005-06-09 12:46 Luigi Ballabio * [r5767] test-suite/old_pricers.cpp: *** empty log message *** 2005-06-08 15:47 Luigi Ballabio * [r5764] ql/MonteCarlo/mctraits.hpp: *** empty log message *** 2005-06-08 14:05 Luigi Ballabio * [r5763] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mchestonengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: Renamed Single/MultiAsset traits to Single/MultiVariate 2005-06-08 10:35 Luigi Ballabio * [r5762] News.txt, ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/dkklibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/eurlibor.hpp, ql/Indexes/nzdlibor.hpp, ql/Indexes/usdlibor.hpp: Added DKKLibor, EURLibor, NZDLibor 2005-06-07 15:55 Luigi Ballabio * [r5760] News.txt, ql/Indexes/Makefile.am, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/core.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/libor.cpp, ql/Indexes/libor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, test-suite/bermudanswaption.cpp, test-suite/shortratemodels.cpp: More accurate LIBOR calendars (thanks to Daniele de Francesco) 2005-06-06 09:44 Luigi Ballabio * [r5759] ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/jibar.hpp, ql/Indexes/zarlibor.hpp, test-suite/compoundforward.cpp: File renamed 2005-06-03 07:46 Luigi Ballabio * [r5748] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/Processes/eulerdiscretization.cpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/Processes/stochasticprocessarray.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/jumpdiffusion.cpp, test-suite/pathgenerator.cpp: Renamed GenericStochasticProcess to StochasticProcess (not specifying is generic enough.) 2005-06-01 08:28 Luigi Ballabio * [r5747] ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/core.hpp: *** empty log message *** 2005-06-01 08:19 Luigi Ballabio * [r5746] ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendschedule.hpp: Fixed copyright 2005-06-01 03:07 Joseph Wang * [r5745] ql/Instruments/callabilityschedule.hpp, ql/Instruments/convertiblebond.hpp, ql/Instruments/dividendschedule.hpp, test-suite/bonds.cpp: Add convertible bond class 2005-05-31 12:34 Luigi Ballabio * [r5744] Examples/BermudanSwaption/BermudanSwaption.cpp: *** empty log message *** 2005-05-30 07:14 Luigi Ballabio * [r5740] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp: Restored Path::operator[] 2005-05-27 11:22 Luigi Ballabio * [r5739] Examples/DiscreteHedging/DiscreteHedging.cpp, QuantLib.dev, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, QuantLib_vc8.vcproj, configure.ac, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, ql/Indexes/zarlibor.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Lattices/tree.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/PricingEngines/greeks.cpp, ql/PricingEngines/greeks.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/eulerdiscretization.cpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/Processes/merton76process.hpp, ql/Processes/stochasticprocessarray.cpp, ql/Processes/stochasticprocessarray.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/qldefines.hpp, ql/settings.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, test-suite/pathgenerator.cpp, test-suite/testsuite.dev, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: Bumped version number and removed deprecated code 2005-05-24 08:16 Luigi Ballabio * [r5722] ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, test-suite/pathgenerator.cpp: *** empty log message *** 2005-05-23 15:05 Luigi Ballabio * [r5712] Contributors.txt, Docs/pages/authors.docs, News.txt, ql/CashFlows/Makefile.am, ql/CashFlows/analysis.cpp, ql/CashFlows/analysis.hpp, ql/CashFlows/core.hpp: Cash-flow analyses added (thanks to Charles Whitmore) 2005-05-23 15:01 Luigi Ballabio * [r5711] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp: *** empty log message *** 2005-05-20 14:28 Luigi Ballabio * [r5710] Contributors.txt, News.txt: *** empty log message *** 2005-05-20 12:53 Luigi Ballabio * [r5709] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, test-suite/shortratemodels.cpp: Fixes for short-rate model calibration helpers (thanks to Enrico Michelotti) 2005-05-20 12:52 Luigi Ballabio * [r5708] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: *** empty log message *** 2005-05-20 11:10 Luigi Ballabio * [r5707] ql/ShortRateModels/OneFactorModels/coxingersollross.cpp: Fixed volatility constraint (thanks to Klaus Spanderen.) 2005-05-20 09:12 Luigi Ballabio * [r5706] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, test-suite/Makefile.am, test-suite/asianoptions.cpp, test-suite/old_pricers.cpp, test-suite/pathgenerator.cpp: New path class storing the asset values 2005-05-20 07:28 Joseph Wang * [r5704] ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp: modify step condition pricing engines so that the engine interface is in the concrete class rather than in the abstract class. 2005-05-20 06:59 Joseph Wang * [r5703] ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, test-suite/dividendoption.cpp: move engine definition to concrete class. 2005-05-20 06:38 Joseph Wang * [r5702] ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/schedule.hpp: Move the argument defintion to the concrete class rather than the abstract class. This is intended to make the abstract classes much more portable. 2005-05-19 15:07 Luigi Ballabio * [r5701] ql/Instruments/core.hpp: *** empty log message *** 2005-05-19 14:14 Luigi Ballabio * [r5700] ql/Instruments/Makefile.am, ql/Instruments/dividendvanillaoption.hpp: *** empty log message *** 2005-05-19 14:13 Luigi Ballabio * [r5699] ql/Instruments/dividendschedule.hpp: Fixed copyright 2005-05-19 05:29 Joseph Wang * [r5694] ql/Instruments/dividendschedule.hpp, ql/Instruments/dividendvanillaoption.hpp: Move out dividend schedule to its own class. 2005-05-17 10:43 Luigi Ballabio * [r5692] test-suite/pathgenerator.cpp: Improved test 2005-05-17 07:51 Luigi Ballabio * [r5691] ql/stochasticprocess.hpp: *** empty log message *** 2005-05-17 07:49 Luigi Ballabio * [r5690] Docs/quantlib.doxy: Upgraded to Doxygen 1.4.3 2005-05-16 15:12 Luigi Ballabio * [r5689] ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/eulerdiscretization.cpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/Processes/merton76process.hpp, ql/Processes/stochasticprocessarray.cpp, ql/Processes/stochasticprocessarray.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: Added higher-level evolve() method 2005-05-12 19:23 Luigi Ballabio * [r5688] test-suite/hestonmodel.cpp: Increased tolerance for Mac OS X 2005-05-11 15:43 Luigi Ballabio * [r5686] Docs/quantlib.doxy, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/vols.hpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/europeanoption.hpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.hpp, ql/Math/convergencestatistics.hpp, ql/Math/factorial.hpp, ql/Math/gaussianquadratures.hpp, ql/Math/rounding.hpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, ql/Processes/hestonprocess.hpp, ql/RandomNumbers/rngtraits.hpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/Utilities/tracing.hpp, ql/exchangerate.hpp, ql/money.hpp: Clean-up of Doxygen comments 2005-05-09 09:31 Luigi Ballabio * [r5684] ql/Patterns/visitor.hpp, test-suite/hestonmodel.cpp: *** empty log message *** 2005-05-08 19:33 Joseph Wang * [r5683] ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Generalize a bit. Make this work for all OneAssetOptions, not merely Vanilla options. 2005-05-07 03:25 Joseph Wang * [r5682] ql/Patterns/visitor.hpp: Classes with virtual functions should have virtual destructors. 2005-05-06 12:36 Luigi Ballabio * [r5681] ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/Processes/hestonprocess.cpp, test-suite/hestonmodel.cpp: Fixes for Heston-model path generation 2005-05-06 12:36 Luigi Ballabio * [r5680] ql/Math/convergencestatistics.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp: Fixes for gcc 3.4 2005-05-06 12:35 Luigi Ballabio * [r5679] QuantLib.dev, functions/ql/Functions/QuantLibFunctions.dev, test-suite/QuantLib-test-suite.dev, test-suite/testsuite.dev: *** empty log message *** 2005-05-05 16:24 Luigi Ballabio * [r5678] News.txt, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/analytichestonengine.cpp, ql/PricingEngines/Vanilla/analytichestonengine.hpp, ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, ql/PricingEngines/Vanilla/mchestonengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/Processes/Makefile.am, ql/Processes/hestonprocess.cpp, ql/Processes/hestonprocess.hpp, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp, ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp, ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp, test-suite/Makefile.am, test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp, test-suite/quantlibtestsuite.cpp: Added Heston stochastic-volatility model (thanks to Klaus Spanderen.) 2005-05-05 08:56 Luigi Ballabio * [r5677] ql/MonteCarlo/multipathgenerator.hpp: Added antithetic path generation to multi-path generator 2005-05-04 10:43 Luigi Ballabio * [r5676] Examples/EuropeanOption/EuropeanOption.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp: *** empty log message *** 2005-05-03 14:04 Luigi Ballabio * [r5675] News.txt, ql/Math/Makefile.am, ql/Math/convergencestatistics.hpp, test-suite/stats.cpp, test-suite/stats.hpp: Convergence statistics added (thanks to Gary Kennedy) 2005-05-03 11:03 Luigi Ballabio * [r5674] News.txt, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, test-suite/basketoption.cpp: Multi-asset option takes a generic stochastic process 2005-05-03 11:01 Luigi Ballabio * [r5673] ql/Processes/stochasticprocessarray.cpp, ql/Processes/stochasticprocessarray.hpp: Allowed access to underlying processes 2005-05-02 15:28 Luigi Ballabio * [r5672] Docs/pages/history.docs, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: Merged latest changes from 0.3.9 2005-05-02 14:03 Luigi Ballabio * [r5670] ql/MonteCarlo/brownianbridge.hpp: *** empty log message *** 2005-04-29 15:35 Luigi Ballabio * [r5669] ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, test-suite/pathgenerator.cpp: Fixes for path generation 2005-04-29 14:07 Luigi Ballabio * [r5668] News.txt, ql/Lattices/binomialtree.cpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, test-suite/pathgenerator.cpp: Multi-path generator now takes a generic stochastic process 2005-04-29 14:05 Luigi Ballabio * [r5667] ql/Processes/Makefile.am, ql/Processes/all.hpp, ql/Processes/stochasticprocessarray.cpp, ql/Processes/stochasticprocessarray.hpp: Added stochastic process array (thanks to Klaus Spanderen.) 2005-04-29 12:11 Luigi Ballabio * [r5666] ql/MonteCarlo/multipathgenerator.hpp, test-suite/pathgenerator.cpp: Fix for non-logarithmic processes 2005-04-27 15:37 Luigi Ballabio * [r5663] ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/pathgenerator.hpp, test-suite/pathgenerator.cpp: Added word of warning wrt the use of Brownian bridge---it will have to be fixed somehow 2005-04-26 12:52 Luigi Ballabio * [r5660] test-suite/tqreigendecomposition.cpp: *** empty log message *** 2005-04-26 12:51 Luigi Ballabio * [r5659] ql/Processes/eulerdiscretization.cpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/ornsteinuhlenbeckprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: Extended stochastic process interface 2005-04-26 10:05 Luigi Ballabio * [r5658] ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, test-suite/Makefile.am, test-suite/pathgenerator.cpp, test-suite/pathgenerator.hpp, test-suite/quantlibtestsuite.cpp: Added path-generation tests 2005-04-22 12:45 Luigi Ballabio * [r5657] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/greeks.cpp, ql/PricingEngines/greeks.hpp, ql/Processes/Makefile.am, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/eulerdiscretization.cpp, ql/Processes/eulerdiscretization.hpp, ql/Processes/geometricbrownianprocess.cpp, ql/Processes/geometricbrownianprocess.hpp, ql/Processes/merton76process.cpp, ql/Processes/merton76process.hpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/Processes/squarerootprocess.cpp, ql/Processes/squarerootprocess.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/jumpdiffusion.cpp: Added generic multi-dimensional stochastic process 2005-04-21 10:34 Luigi Ballabio * [r5656] test-suite/compoundforward.cpp: *** empty log message *** 2005-04-19 15:40 Luigi Ballabio * [r5655] Authors.txt, Contributors.txt, Docs/pages/authors.docs: *** empty log message *** 2005-04-19 14:46 Luigi Ballabio * [r5654] News.txt, ql/Math/Makefile.am, ql/Math/gaussianorthogonalpolynomial.cpp, ql/Math/gaussianorthogonalpolynomial.hpp, ql/Math/gaussianquadratures.cpp, ql/Math/gaussianquadratures.hpp, ql/Math/tqreigendecomposition.cpp, ql/Math/tqreigendecomposition.hpp, ql/Optimization/simplex.cpp, test-suite/Makefile.am, test-suite/gaussianquadratures.cpp, test-suite/gaussianquadratures.hpp, test-suite/quantlibtestsuite.cpp, test-suite/tqreigendecomposition.cpp, test-suite/tqreigendecomposition.hpp: Added Gaussian quadratures (thanks to Klaus Spanderen.) 2005-04-19 09:48 Luigi Ballabio * [r5653] ql/RandomNumbers/sobolrsg.hpp: *** empty log message *** 2005-04-12 15:24 Luigi Ballabio * [r5650] Examples/BermudanSwaption/BermudanSwaption.cpp: *** empty log message *** 2005-04-12 14:40 Luigi Ballabio * [r5649] Examples/AmericanOption/AmericanOption.dev, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EuropeanOption/EuropeanOption.dev, Examples/Swap/Swap.dev, QuantLib.dev, functions/ql/Functions/QuantLibFunctions.dev, test-suite/QuantLib-test-suite.dev: Upgraded Dev-C++ projects 2005-04-12 13:57 Luigi Ballabio * [r5647] Examples/AmericanOption/AmericanOption.dsp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/EuropeanOption/EuropeanOption.dsp, Examples/Swap/Swap.dsp, QuantLib.dsp, ql/Lattices/Makefile.am, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice1d.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/discretizedasset.hpp, ql/numericalmethod.hpp: Faster implementation of binomial/trinomial trees and lattices 2005-04-12 07:27 Luigi Ballabio * [r5645] QuantLib.dsp, functions/ql/Functions/QuantLibFunctions.dsp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp: *** empty log message *** 2005-04-11 12:33 Luigi Ballabio * [r5643] Authors.txt, ChangeLog.txt, Docs/Makefile.am, Docs/pages/authors.docs, Docs/pages/faq.docs, Docs/pages/history.docs, Examples/AmericanOption/AmericanOption.dev, Examples/AmericanOption/Makefile.am, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/BermudanSwaption/Makefile.am, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/DiscreteHedging/Makefile.am, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/EuropeanOption.dev, Examples/EuropeanOption/Makefile.am, Examples/EuropeanOption/makefile.mak, Examples/Swap/Makefile.am, Examples/Swap/Swap.dev, Examples/Swap/makefile.mak, Makefile.am, News.txt, QuantLib.dev, QuantLib.dsp, QuantLib_vc8.vcproj, functions/ql/Functions/Makefile.am, functions/ql/Functions/makefile.mak, memo.txt, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/Currencies/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/FiniteDifferences/stepcondition.hpp, ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/cdor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/makefile.mak, ql/Indexes/tibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/zarlibor.hpp, ql/Indexes/zibor.hpp, ql/Instruments/makefile.mak, ql/Lattices/lattice.cpp, ql/Lattices/makefile.mak, ql/Math/array.hpp, ql/Math/backwardflatinterpolation.hpp, ql/Math/comparison.hpp, ql/Math/makefile.mak, ql/Math/matrix.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/Processes/makefile.mak, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/piecewiseyieldcurve.hpp, ql/Utilities/disposable.hpp, ql/Utilities/makefile.mak, ql/Volatilities/makefile.mak, ql/config.msvc.hpp, ql/discretizedasset.hpp, ql/errors.cpp, ql/makefile.mak, ql/money.hpp, ql/stochasticprocess.cpp, test-suite/Makefile.am, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/integrals.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/makefile.mak, test-suite/matrices.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/rounding.cpp, test-suite/shortratemodels.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/tracing.cpp, test-suite/utilities.hpp: Merged 0.3.9 branch 2005-03-29 09:47 Luigi Ballabio * [r5587] Docs/quantlib.doxy: *** empty log message *** 2005-03-28 20:01 Ferdinando Ametrano * [r5586] QuantLib.dsp, QuantLib.vcproj: catching up 2005-03-25 14:58 Luigi Ballabio * [r5578] News.txt, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, test-suite/bonds.cpp: Added risk premium to Vasicek model (thanks to Aurelien Chanudet.) 2005-03-23 11:18 Luigi Ballabio * [r5563] ql/Math/comparison.hpp, ql/timegrid.cpp, ql/timegrid.hpp: Avoid very small time steps due to numerical differences 2005-03-20 14:57 Luigi Ballabio * [r5559] ql/settings.hpp: *** empty log message *** 2005-03-18 15:09 Luigi Ballabio * [r5558] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, News.txt, ql/CashFlows/parcoupon.cpp, ql/Indexes/xibor.hpp, ql/Instruments/bond.cpp, ql/Instruments/capfloor.cpp, ql/TermStructures/ratehelpers.cpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/observablevalue.hpp, ql/settings.hpp, ql/termstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/bermudanswaption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseyieldcurve.cpp, test-suite/quantooption.cpp, test-suite/shortratemodels.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Added evaluation-date proxy to Settings 2005-03-18 09:14 Luigi Ballabio * [r5557] Announce.txt, Docs/pages/authors.docs, Docs/pages/config.docs, Docs/pages/coreclasses.docs, Docs/pages/currencies.docs, Docs/pages/datetime.docs, Docs/pages/engines.docs, Docs/pages/examples.docs, Docs/pages/faq.docs, Docs/pages/findiff.docs, Docs/pages/fixedincome.docs, Docs/pages/history.docs, Docs/pages/index.docs, Docs/pages/install.docs, Docs/pages/instruments.docs, Docs/pages/lattices.docs, Docs/pages/math.docs, Docs/pages/mcarlo.docs, Docs/pages/overview.docs, Docs/pages/patterns.docs, Docs/pages/resources.docs, Docs/pages/termstructures.docs, Docs/pages/usage.docs, Docs/pages/utilities.docs, Docs/pages/where.docs, Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, QuantLib.dev, QuantLib.dsp, configure.ac, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/qlfunctions.hpp, functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp, ql/Calendars/all.hpp, ql/Calendars/beijing.cpp, ql/Calendars/beijing.hpp, ql/Calendars/bratislava.cpp, ql/Calendars/bratislava.hpp, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/germany.cpp, ql/Calendars/germany.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/hongkong.cpp, ql/Calendars/hongkong.hpp, ql/Calendars/italy.cpp, ql/Calendars/italy.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/makefile.mak, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/prague.cpp, ql/Calendars/prague.hpp, ql/Calendars/riyadh.cpp, ql/Calendars/riyadh.hpp, ql/Calendars/seoul.cpp, ql/Calendars/seoul.hpp, ql/Calendars/singapore.cpp, ql/Calendars/singapore.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/unitedkingdom.cpp, ql/Calendars/unitedkingdom.hpp, ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/CashFlows/all.hpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/core.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Currencies/africa.hpp, ql/Currencies/all.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/exchangeratemanager.hpp, ql/Currencies/oceania.hpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365fixed.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/all.hpp, ql/DayCounters/one.hpp, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/bsmtermoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/FiniteDifferences/core.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/makefile.mak, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/operatortraits.hpp, ql/FiniteDifferences/parallelevolver.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Indexes/all.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/core.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/all.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/core.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/makefile.mak, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/payoffs.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, ql/Lattices/all.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/core.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Math/all.hpp, ql/Math/array.hpp, ql/Math/backwardflatinterpolation.hpp, ql/Math/beta.cpp, ql/Math/beta.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/choleskydecomposition.cpp, ql/Math/choleskydecomposition.hpp, ql/Math/comparison.hpp, ql/Math/core.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/extrapolation.hpp, ql/Math/factorial.cpp, ql/Math/factorial.hpp, ql/Math/forwardflatinterpolation.hpp, ql/Math/functional.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incompletegamma.cpp, ql/Math/incompletegamma.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/multicubicspline.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp, ql/Math/riskstatistics.hpp, ql/Math/rounding.cpp, ql/Math/rounding.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/statistics.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/all.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/core.hpp, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/Optimization/all.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/core.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/Patterns/all.hpp, ql/Patterns/bridge.hpp, ql/Patterns/composite.hpp, ql/Patterns/curiouslyrecurring.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/singleton.hpp, ql/Patterns/visitor.hpp, ql/Pricers/all.hpp, ql/Pricers/core.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/Asian/all.hpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/all.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/all.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Basket/stulzengine.hpp, ql/PricingEngines/CapFloor/all.hpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/Cliquet/all.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.hpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.hpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/all.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/all.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.hpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/all.hpp, ql/PricingEngines/americanpayoffatexpiry.cpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.cpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/core.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/greeks.cpp, ql/PricingEngines/greeks.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/makefile.mak, ql/PricingEngines/mcsimulation.hpp, ql/Processes/all.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/geometricbrownianprocess.cpp, ql/Processes/geometricbrownianprocess.hpp, ql/Processes/makefile.mak, ql/Processes/merton76process.cpp, ql/Processes/merton76process.hpp, ql/Processes/ornsteinuhlenbeckprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/Processes/squarerootprocess.cpp, ql/Processes/squarerootprocess.hpp, ql/RandomNumbers/Faure2.bas, ql/RandomNumbers/all.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/core.hpp, ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/faurersg.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumulativerng.hpp, ql/RandomNumbers/inversecumulativersg.hpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtraits.hpp, ql/RandomNumbers/seedgenerator.cpp, ql/RandomNumbers/seedgenerator.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/all.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/core.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/all.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/all.hpp, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Utilities/all.hpp, ql/Utilities/dataformatters.cpp, ql/Utilities/dataformatters.hpp, ql/Utilities/dataparsers.cpp, ql/Utilities/dataparsers.hpp, ql/Utilities/disposable.hpp, ql/Utilities/makefile.mak, ql/Utilities/null.hpp, ql/Utilities/steppingiterator.hpp, ql/Utilities/strings.hpp, ql/Utilities/tracing.cpp, ql/Utilities/tracing.hpp, ql/Volatilities/all.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/argsandresults.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/core.hpp, ql/currency.cpp, ql/currency.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/errors.cpp, ql/errors.hpp, ql/exchangerate.cpp, ql/exchangerate.hpp, ql/exercise.cpp, ql/exercise.hpp, ql/grid.hpp, ql/handle.hpp, ql/history.hpp, ql/index.hpp, ql/instrument.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/makefile.mak, ql/money.cpp, ql/money.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/payoff.hpp, ql/pricingengine.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/quote.hpp, ql/schedule.cpp, ql/schedule.hpp, ql/settings.hpp, ql/solver1d.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/timegrid.cpp, ql/timegrid.hpp, ql/types.hpp, ql/userconfig.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, quantlib.el, test-suite/QuantLib-test-suite.dev, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/barrieroption.cpp, test-suite/barrieroption.hpp, test-suite/basketoption.cpp, test-suite/basketoption.hpp, test-suite/bermudanswaption.cpp, test-suite/bermudanswaption.hpp, test-suite/bonds.cpp, test-suite/bonds.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/cliquetoption.cpp, test-suite/cliquetoption.hpp, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/digitaloption.cpp, test-suite/digitaloption.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/dividendoption.cpp, test-suite/dividendoption.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/exchangerate.cpp, test-suite/exchangerate.hpp, test-suite/factorial.cpp, test-suite/factorial.hpp, test-suite/forwardoption.cpp, test-suite/forwardoption.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/interestrates.cpp, test-suite/interestrates.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.cpp, test-suite/jumpdiffusion.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/makefile.mak, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/money.cpp, test-suite/money.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp, test-suite/quantlibtestsuite.cpp, test-suite/quantooption.cpp, test-suite/quantooption.hpp, test-suite/quotes.cpp, test-suite/quotes.hpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/rngtraits.cpp, test-suite/rngtraits.hpp, test-suite/rounding.cpp, test-suite/rounding.hpp, test-suite/shortratemodels.cpp, test-suite/shortratemodels.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/testsuite.dsp, test-suite/tracing.cpp, test-suite/tracing.hpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Merged 0.3.9 branch to allow compilation with gcc 3.4 2005-03-17 04:02 Joseph Wang * [r5553] ql/timegrid.hpp: Add include file which is necessary for STL 2005-03-16 13:15 Luigi Ballabio * [r5552] ql/Lattices/lattice.hpp, ql/Makefile.am, ql/MonteCarlo/path.hpp, ql/core.hpp, ql/discretizedasset.hpp, ql/grid.cpp, ql/grid.hpp, ql/numericalmethod.hpp, ql/timegrid.cpp, ql/timegrid.hpp, test-suite/capfloor.cpp, test-suite/swaption.cpp: TimeGrid implemented by using std::vector instead of inheriting it 2005-03-14 13:58 Luigi Ballabio * [r5551] ql/basicdataformatters.cpp, ql/basicdataformatters.hpp: *** empty log message *** 2005-03-08 10:02 Luigi Ballabio * [r5540] configure.ac, dev_tools/version_number.txt, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Makefile.am, ql/Math/array.hpp, ql/Math/matrix.hpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/core.hpp, ql/currency.cpp, ql/currency.hpp, ql/date.cpp, ql/date.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/money.cpp, ql/money.hpp, ql/option.hpp, ql/qldefines.hpp, ql/termstructure.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: Version number up one tick; removed deprecated features 2005-03-07 09:35 Luigi Ballabio * [r5536] News.txt: *** empty log message *** 2005-03-07 09:15 Luigi Ballabio * [r5535] News.txt, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, test-suite/Makefile.am, test-suite/bermudanswaption.cpp, test-suite/bermudanswaption.hpp, test-suite/quantlibtestsuite.cpp, test-suite/shortratemodels.cpp, test-suite/shortratemodels.hpp: Partial fix for Bermudan swaptions with exercise lag (thanks to Luca Berardi) 2005-03-04 16:58 Luigi Ballabio * [r5534] ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/all.hpp, ql/PricingEngines/core.hpp, ql/PricingEngines/greeks.cpp, ql/PricingEngines/greeks.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/digitaloption.cpp, test-suite/dividendoption.cpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: Added default theta calculation for B-S processes; can be added to engines which don't provide it (but check them against numerical results first) 2005-03-04 09:10 Luigi Ballabio * [r5532] News.txt, configure.ac, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/bsmtermoperator.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Makefile.am, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/Processes, ql/Processes/.cvsignore, ql/Processes/Makefile.am, ql/Processes/all.hpp, ql/Processes/blackscholesprocess.cpp, ql/Processes/blackscholesprocess.hpp, ql/Processes/geometricbrownianprocess.cpp, ql/Processes/geometricbrownianprocess.hpp, ql/Processes/makefile.mak, ql/Processes/merton76process.cpp, ql/Processes/merton76process.hpp, ql/Processes/ornsteinuhlenbeckprocess.cpp, ql/Processes/ornsteinuhlenbeckprocess.hpp, ql/Processes/squarerootprocess.cpp, ql/Processes/squarerootprocess.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/quantlib.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/jumpdiffusion.cpp: Option instruments now take a generic StochasticProcess; Merton76Process no longer inherits from BlackScholesProcess. 2005-03-01 16:00 Luigi Ballabio * [r5526] ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp: Fix for out-of-synch dates 2005-02-28 16:49 Luigi Ballabio * [r5522] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp, test-suite/dividendoption.cpp: Added explicitly-named FD dividend European engine 2005-02-28 16:08 Luigi Ballabio * [r5521] ql/PricingEngines/Vanilla/fdbermudanengine.hpp: *** empty log message *** 2005-02-28 11:35 Luigi Ballabio * [r5520] ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Changed confusing typedef 2005-02-28 10:47 Luigi Ballabio * [r5519] ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdstepconditionoption.hpp, test-suite/old_pricers.cpp: Deprecated old FD pricers 2005-02-28 08:46 Luigi Ballabio * [r5518] News.txt, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdbermudanengine.hpp, ql/PricingEngines/Vanilla/fddividendamericanengine.hpp, ql/PricingEngines/Vanilla/fddividendengine.cpp, ql/PricingEngines/Vanilla/fddividendengine.hpp, ql/PricingEngines/Vanilla/fddividendshoutengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp, ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/Makefile.am, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/dividendeuropeanoption.cpp, test-suite/dividendeuropeanoption.hpp, test-suite/dividendoption.cpp, test-suite/dividendoption.hpp, test-suite/quantlibtestsuite.cpp: Moved more fd pricers to pricing-engine framework (thnks to Joseph Wang) 2005-02-25 16:36 Luigi Ballabio * [r5513] ql/DayCounters/actual365fixed.hpp, ql/DayCounters/actualactual.hpp, ql/discretizedasset.hpp, ql/numericalmethod.hpp: Hopefully improved docs 2005-02-25 16:35 Luigi Ballabio * [r5512] ql/TermStructures/piecewiseyieldcurve.hpp: Fix for Doxygen 2005-02-22 14:51 Luigi Ballabio * [r5509] ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, test-suite/old_pricers.cpp: *** empty log message *** 2005-02-22 14:08 Luigi Ballabio * [r5508] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2005-02-22 13:12 Luigi Ballabio * [r5506] Examples/AmericanOption/AmericanOption.cpp, ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/core.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/operatortraits.hpp, ql/FiniteDifferences/parallelevolver.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdstepconditionoption.cpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/fdamericanengine.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdshoutengine.hpp, ql/PricingEngines/Vanilla/fdstepconditionengine.cpp, ql/PricingEngines/Vanilla/fdstepconditionengine.hpp, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/quantlibtestsuite.cpp: Added FD engines for American and Shout options (thanks to Joseph Wang) 2005-02-21 12:47 Luigi Ballabio * [r5497] ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, test-suite/old_pricers.cpp, test-suite/operators.cpp: *** empty log message *** 2005-02-21 09:33 Luigi Ballabio * [r5494] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, ql/PricingEngines/Vanilla/fdvanillaengine.cpp, ql/PricingEngines/Vanilla/fdvanillaengine.hpp: Added generic FD vanilla engine and derived FD European engine (again, thanks to Joseph) 2005-02-21 09:09 Luigi Ballabio * [r5493] ql/FiniteDifferences/bsmtermoperator.cpp, ql/FiniteDifferences/bsmtermoperator.hpp: Time-dependent BSM operato added (thanks to Joseph Wang) 2005-02-21 08:28 Luigi Ballabio * [r5492] ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, test-suite/operators.cpp, test-suite/operators.hpp: Time-dependent BSM operato added (thanks to Joseph Wang) 2005-02-19 14:42 Luigi Ballabio * [r5485] News.txt, ql/Math/backwardflatinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/forwardflatinterpolation.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp: Added convergence cycle to piecewise yield curve 2005-02-17 17:42 Luigi Ballabio * [r5479] News.txt: *** empty log message *** 2005-02-17 17:34 Luigi Ballabio * [r5478] ql/TermStructures/piecewiseflatforward.hpp: *** empty log message *** 2005-02-17 16:25 Luigi Ballabio * [r5476] ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp: *** empty log message *** 2005-02-17 16:02 Luigi Ballabio * [r5475] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/bratislava.cpp, ql/Calendars/bratislava.hpp, ql/Calendars/prague.cpp, ql/Calendars/prague.hpp: Added Bratislava and Prague calendars 2005-02-17 08:11 Luigi Ballabio * [r5470] News.txt, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/forwardcurve.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp: Added support for forward-rate interpolation to PiecewiseYieldCurve 2005-02-16 11:34 Luigi Ballabio * [r5467] News.txt, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/backwardflatinterpolation.hpp, ql/Math/forwardflatinterpolation.hpp: Added backward- and forward-flat interpolations 2005-02-16 09:49 Luigi Ballabio * [r5466] ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/piecewiseyieldcurve.hpp: *** empty log message *** 2005-02-16 08:43 Ferdinando Ametrano * [r5465] Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/where.docs: updating links NOTICE: we need to have license.html on the web site, besides license.shtml 2005-02-15 17:12 Luigi Ballabio * [r5464] ql/TermStructures/Makefile.am, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp: Added support for zero-yield interpolation to PiecewiseYieldCurve 2005-02-15 15:49 Luigi Ballabio * [r5463] ql/TermStructures/Makefile.am, ql/TermStructures/bootstraptraits.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/piecewiseyieldcurve.cpp: Added choice of underlying data to PiecewiseYieldCurve 2005-02-15 13:46 Luigi Ballabio * [r5459] ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/piecewiseyieldcurve.hpp, test-suite/Makefile.am, test-suite/piecewiseyieldcurve.cpp, test-suite/piecewiseyieldcurve.hpp, test-suite/quantlibtestsuite.cpp: First version of generic piecewise yield curve 2005-02-14 12:26 Luigi Ballabio * [r5454] ql/RandomNumbers/all.hpp: *** empty log message *** 2005-02-14 09:34 Luigi Ballabio * [r5451] ql/Math/Makefile.am, ql/Math/interpolationtraits.hpp: *** empty log message *** 2005-02-14 09:31 Luigi Ballabio * [r5450] News.txt, ql/TermStructures/flatforward.hpp, quantlib.el, test-suite/digitaloption.cpp: FlatForward can now take compounded rates 2005-02-12 16:46 Luigi Ballabio * [r5449] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolationtraits.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/TermStructures/discountcurve.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/swaptionvolmatrix.hpp, test-suite/compoundforward.cpp: Replaced interpolation traits by interpolator objects 2005-02-11 12:02 Luigi Ballabio * [r5447] dev_tools/check_all_headers.sh, dev_tools/check_header.py, ql/FiniteDifferences/shoutcondition.hpp, ql/Math/comparison.hpp, ql/Math/functional.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/multicubicspline.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/Optimization/criteria.hpp, ql/Patterns/composite.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/ShortRateModels/parameter.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Utilities/steppingiterator.hpp, ql/Utilities/strings.hpp, ql/Volatilities/capletconstantvol.hpp, ql/payoff.hpp: Enforced self-sufficient headers 2005-02-10 15:36 Luigi Ballabio * [r5442] ql/termstructure.hpp: Renamed headers of renamed classes (and wished that Sourceforge provided Subversion support) 2005-02-10 15:34 Luigi Ballabio * [r5441] ql/CashFlows/Makefile.am, ql/CashFlows/all.hpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcashflowvectors.hpp, ql/CashFlows/timebasket.hpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Indexes/xibor.hpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/floatingratebond.cpp, ql/Instruments/swap.hpp, ql/Makefile.am, ql/Math/array.hpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/multicubicspline.hpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.cpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/pathpricer.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/blackmodel.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/parameter.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/dataformatters.hpp, ql/Utilities/dataparsers.cpp, ql/Utilities/dataparsers.hpp, ql/Utilities/disposable.hpp, ql/Utilities/null.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/localvolsurface.hpp, ql/argsandresults.hpp, ql/basetermstructure.hpp, ql/capvolstructures.hpp, ql/core.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp, ql/disposable.hpp, ql/exchangerate.hpp, ql/handle.hpp, ql/history.hpp, ql/instrument.hpp, ql/interestrate.cpp, ql/null.hpp, ql/quote.hpp, ql/relinkablehandle.hpp, ql/schedule.cpp, ql/schedule.hpp, ql/solver1d.hpp, ql/stochasticprocess.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, ql/yieldtermstructure.hpp, test-suite/bonds.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/distributions.cpp, test-suite/factorial.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/mersennetwister.cpp, test-suite/piecewiseflatforward.cpp, test-suite/rounding.cpp, test-suite/swap.cpp, test-suite/termstructures.cpp, test-suite/utilities.hpp: Renamed headers of renamed classes (and wished that Sourceforge provided Subversion support) 2005-02-10 10:04 Luigi Ballabio * [r5440] ql/Instruments/floatingratebond.cpp, ql/Instruments/floatingratebond.hpp: Added zero-coupon and floating-rate bonds 2005-02-10 09:56 Luigi Ballabio * [r5439] News.txt, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/zerocouponbond.cpp, ql/Instruments/zerocouponbond.hpp, test-suite/bonds.cpp, test-suite/bonds.hpp: Added zero-coupon and floating-rate bonds 2005-02-09 14:49 Luigi Ballabio * [r5434] ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, test-suite/bonds.cpp: Allowed different rates for coupons 2005-02-09 14:13 Luigi Ballabio * [r5433] test-suite/quantlibtestsuite.cpp: More human-readable timing 2005-02-09 12:13 Luigi Ballabio * [r5432] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, test-suite/bonds.cpp, test-suite/bonds.hpp: Added theoretical bond price calculation 2005-02-08 17:04 Luigi Ballabio * [r5427] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, test-suite/bonds.cpp: Bond yield/price calculations can be performed with different compounding rules 2005-02-08 15:45 Luigi Ballabio * [r5426] Docs/pages/faq.docs, Readme.txt: *** empty log message *** 2005-02-08 15:11 Luigi Ballabio * [r5425] ql/Instruments/bond.cpp, ql/TermStructures/flatforward.hpp, ql/interestrate.hpp: *** empty log message *** 2005-02-08 14:52 Ferdinando Ametrano * [r5424] QuantLib.vcproj, ql/Utilities/tracing.hpp, test-suite/testsuite.vcproj: VC7 catching up 2005-02-08 11:58 Ferdinando Ametrano * [r5423] QuantLib.dsp, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/TermStructures/makefile.mak, ql/Utilities/makefile.mak, ql/makefile.mak, test-suite/testsuite.dsp: VC6/Borland catching up 2005-02-07 14:19 Ferdinando Ametrano * [r5419] ql/config.msvc.hpp: fix (thanks to Philip Craig) 2005-02-07 11:15 Luigi Ballabio * [r5417] ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp: *** empty log message *** 2005-02-06 13:53 Luigi Ballabio * [r5415] Docs/Examples/tracing_example.cpp, ql/Utilities/tracing.cpp, ql/Utilities/tracing.hpp, test-suite/tracing.cpp: Simplified tracing 2005-02-05 16:40 Luigi Ballabio * [r5414] News.txt, ql/TermStructures/Makefile.am, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp: Interpolated discount curve with default log-linear instantiation 2005-02-04 12:23 Luigi Ballabio * [r5409] News.txt, ql/Utilities/all.hpp, ql/date.cpp, ql/date.hpp: More manipulators 2005-02-04 09:07 Luigi Ballabio * [r5408] configure.ac, ql/userconfig.hpp: line number in errors must be explicitly enabled 2005-02-03 15:31 Luigi Ballabio * [r5406] ql/Utilities/tracing.hpp: *** empty log message *** 2005-02-03 13:51 Luigi Ballabio * [r5405] Contributors.txt, Docs/pages/authors.docs, Examples/EuropeanOption/EuropeanOption.cpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/fdeuropeanengine.cpp, ql/PricingEngines/Vanilla/fdeuropeanengine.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: FD European engine added (thanks to Joseph Wang) 2005-02-03 10:41 Luigi Ballabio * [r5404] ql/Utilities/dataformatters.hpp, ql/date.cpp, ql/date.hpp: Fixes for old compilers 2005-02-03 08:28 Luigi Ballabio * [r5403] Docs/Examples/tracing_example.cpp, ql/Utilities/tracing.hpp, ql/history.hpp: More tracing macros 2005-02-02 16:06 Luigi Ballabio * [r5401] ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/mixedscheme.hpp: Improved type encapsulation (thanks to Joseph Wang) 2005-02-02 15:25 Luigi Ballabio * [r5400] Docs/quantlibfooteronline.html: New sf logo address 2005-02-02 15:23 Luigi Ballabio * [r5399] ql/Math/array.hpp, ql/Math/matrix.hpp, ql/basicdataformatters.cpp, ql/currency.cpp, ql/date.cpp, ql/date.hpp, ql/interestrate.cpp, ql/money.cpp, ql/option.hpp: *** empty log message *** 2005-02-02 13:21 Luigi Ballabio * [r5394] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/currency.hpp, test-suite/americanoption.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/covariance.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/exchangerate.cpp, test-suite/forwardoption.cpp, test-suite/interestrates.cpp, test-suite/jumpdiffusion.cpp, test-suite/matrices.cpp, test-suite/money.cpp, test-suite/old_pricers.cpp, test-suite/quantooption.cpp: Replaced remaining formatters 2005-02-02 10:53 Luigi Ballabio * [r5393] ql/Math/array.hpp, ql/Math/matrix.hpp, ql/currency.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/money.cpp, ql/money.hpp, ql/option.hpp: *** empty log message *** 2005-02-01 17:51 Luigi Ballabio * [r5390] Examples/Swap/swapvaluation.cpp, functions/ql/Functions/daycounters.cpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortindexedcoupon.hpp, ql/Currencies/exchangeratemanager.cpp, ql/DayCounters/actualactual.cpp, ql/Indexes/xibor.cpp, ql/Instruments/dividendvanillaoption.cpp, ql/Math/array.hpp, ql/Math/matrix.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/piecewiseflatforward.cpp, ql/Utilities/Makefile.am, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/currency.cpp, ql/currency.hpp, ql/dataparsers.cpp, ql/date.cpp, ql/date.hpp, ql/history.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/schedule.cpp, ql/termstructure.hpp, ql/voltermstructure.cpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/bonds.cpp, test-suite/calendars.cpp, test-suite/cliquetoption.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/quantooption.cpp, test-suite/swaption.cpp: Replaced more formatters 2005-02-01 15:15 Luigi Ballabio * [r5388] ql/Utilities/strings.hpp: *** empty log message *** 2005-02-01 11:23 Luigi Ballabio * [r5385] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, functions/ql/Functions/mathf.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Makefile.am, ql/Math/array.hpp, ql/Math/matrix.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/getcovariance.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/RandomNumbers/sobolrsg.cpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/dataformatters.cpp, ql/Utilities/dataformatters.hpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/core.hpp, ql/dataformatters.details.hpp, ql/dataformatters.hpp, ql/interestrate.cpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/interestrates.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: More formatters replaced 2005-01-27 19:05 Eric Ehlers * [r5357] Docs/pages/install.docs: fix broken link 2005-01-26 17:42 Luigi Ballabio * [r5353] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Indexes/xibor.cpp, ql/Instruments/asianoption.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/capfloor.cpp, ql/Lattices/lattice.cpp, ql/Makefile.am, ql/Math/array.hpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/multicubicspline.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpricer.hpp, ql/Pricers/singleassetoption.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/parameter.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/core.hpp, ql/dataformatters.details.hpp, ql/dataformatters.hpp, ql/date.cpp, ql/grid.cpp, ql/interestrate.cpp, ql/schedule.cpp, ql/solver1d.hpp, ql/termstructure.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/bonds.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/integrals.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/matrices.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/rngtraits.cpp, test-suite/rounding.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Started to replace formatters with stream manipulators 2005-01-24 16:03 Luigi Ballabio * [r5345] ql/Makefile.am, ql/Utilities, ql/Utilities/.cvsignore, ql/Utilities/Makefile.am, ql/Utilities/makefile.mak, ql/Utilities/tracing.cpp, ql/Utilities/tracing.hpp, ql/settings.cpp, ql/settings.hpp, test-suite/tracing.cpp: Moved tracing interface to a less visible place 2005-01-24 15:54 Luigi Ballabio * [r5344] ql/RandomNumbers/sobolrsg.cpp, ql/grid.cpp: Removed unneeded #include 2005-01-24 13:33 Luigi Ballabio * [r5343] ql/errors.cpp, ql/errors.hpp: Allowed QL_REQUIRE(cond, x << y << z) syntax 2005-01-23 18:27 Ferdinando Ametrano * [r5342] ql/Calendars/unitedstates.hpp, ql/makefile.mak, test-suite/makefile.mak: Borland catching up 2005-01-23 18:22 Ferdinando Ametrano * [r5341] ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp, test-suite/calendars.cpp: NYSE holiday rule fixed, and special closings added. Thanks to Hasmet Akgun 2005-01-23 18:12 Ferdinando Ametrano * [r5340] ql/date.hpp: short names allowed 2005-01-20 13:41 Luigi Ballabio * [r5337] ql/Utilities/tracing.hpp, ql/settings.cpp, test-suite/tracing.cpp: Modified tracing levels 2005-01-20 13:18 Luigi Ballabio * [r5336] test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: Added test for FD American options with dividends (thanks to Joseph Wang) 2005-01-19 17:11 Luigi Ballabio * [r5334] Docs/pages/config.docs, News.txt, configure.ac, ql/Makefile.am, ql/Utilities/Makefile.am, ql/Utilities/tracing.hpp, ql/settings.cpp, ql/settings.hpp, ql/userconfig.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/tracing.cpp, test-suite/tracing.hpp: First try at tracing facility 2005-01-19 16:52 Luigi Ballabio * [r5333] test-suite/bonds.hpp: *** empty log message *** 2005-01-18 15:50 Luigi Ballabio * [r5327] ql/Currencies/exchangeratemanager.cpp, ql/Currencies/exchangeratemanager.hpp, ql/Patterns/singleton.hpp, ql/RandomNumbers/seedgenerator.cpp, ql/settings.hpp: Removed explicit initialization method from singletons 2005-01-18 09:42 Luigi Ballabio * [r5317] Makefile.am: *** empty log message *** 2005-01-18 09:17 Luigi Ballabio * [r5316] ql/Pricers/fdmultiperiodoption.cpp: Fixed FdDividendAmericanOption (many thanks to Joseph Wang 2005-01-17 19:01 Ferdinando Ametrano * [r5314] QuantLib.nsi: VC8 link 2005-01-17 18:35 Ferdinando Ametrano * [r5311] QuantLib.nsi: more specific 2005-01-14 19:43 Ferdinando Ametrano * [r5293] Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, functions/ql/Functions/Makefile.am, test-suite/Makefile.am: distributing VC8 project files too 2005-01-14 16:25 Luigi Ballabio * [r5287] ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp: *** empty log message *** 2005-01-14 16:09 Luigi Ballabio * [r5286] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp: Re-enabled volatility print-out for Darwin (thanks to Aurelien Chanudet) 2005-01-14 15:37 Luigi Ballabio * [r5285] ql/discretizedasset.cpp: Bug fix 2005-01-12 11:59 Luigi Ballabio * [r5279] Docs/quantlib.doxy: *** empty log message *** 2005-01-12 11:49 Luigi Ballabio * [r5278] ql/FiniteDifferences/mixedscheme.hpp, ql/Instruments/bond.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.hpp, ql/Math/pseudosqrt.hpp, ql/Pricers/fddividendamericanoption.hpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/option.hpp, ql/solver1d.hpp: Docs formatting 2005-01-12 10:21 Ferdinando Ametrano * [r5274] ql/Math/multicubicspline.hpp: doc formatting 2005-01-12 10:21 Ferdinando Ametrano * [r5273] QuantLib.nsi: installer new name 2005-01-11 19:09 Ferdinando Ametrano * [r5266] ., .cvsignore, Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.vcproj, Examples/AmericanOption/AmericanOption_vc8.vcproj, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/EuropeanOption/EuropeanOption_vc8.vcproj, Examples/Swap, Examples/Swap/.cvsignore, Examples/Swap/Swap.dsp, Examples/Swap/Swap.vcproj, Examples/Swap/Swap_vc8.vcproj, QuantLib.dsp, QuantLib.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj, functions/ql/Functions, functions/ql/Functions/.cvsignore, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/QuantLibFunctions_vc8.vcproj, ql/config.msvc.hpp, test-suite, test-suite/.cvsignore, test-suite/testsuite.dsp, test-suite/testsuite.vcproj, test-suite/testsuite_vc8.vcproj: VC8 early support 2005-01-11 17:27 Ferdinando Ametrano * [r5262] QuantLib.vcproj, ql/config.msvc.hpp, test-suite/testsuite.vcproj: NOMINMAX handling 2005-01-11 16:26 Luigi Ballabio * [r5260] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore, ql/Instruments/europeanoption.hpp: *** empty log message *** 2005-01-11 12:10 Ferdinando Ametrano * [r5256] ql/Math/matrix.hpp: fix 2005-01-10 19:58 Ferdinando Ametrano * [r5246] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore, test-suite/makefile.mak: no message 2005-01-10 19:52 Ferdinando Ametrano * [r5245] Examples/AmericanOption/AmericanOption.dsp, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/EuropeanOption/EuropeanOption.dsp, Examples/Swap/Swap.dsp: all the binaries in the same folder 2005-01-10 19:45 Ferdinando Ametrano * [r5244] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/AmericanOption/AmericanOption.vcproj, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/EuropeanOption/makefile.mak, Examples/Swap, Examples/Swap/.cvsignore, Examples/Swap/Swap.vcproj, Examples/Swap/makefile.mak: all the binaries in the same folder 2005-01-10 18:57 Ferdinando Ametrano * [r5240] Docs/pages/usage.docs, Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, Examples/Swap/Swap.vcproj, QuantLib.dsp, QuantLib.mak, QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak, functions/ql/Functions/QuantLibFunctions.vcproj, ql/config.msvc.hpp, test-suite/testsuite.dsp, test-suite/testsuite.mak, test-suite/testsuite.vcproj: NOMINMAX preprocessor define removed 2005-01-10 18:46 Ferdinando Ametrano * [r5239] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/AmericanOption/AmericanOption.dev, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/EuropeanOption/EuropeanOption.dev, Examples/Swap, Examples/Swap/.cvsignore, Examples/Swap/Swap.dev: added Dev-C++ project files. Some investigation is needed: a) DiscreteHedging, BermudanSwaption, and Swap have many compilation warnings b) BermudanSwaption fails compilation c) Swap executable crashes 2005-01-10 18:27 Ferdinando Ametrano * [r5238] ql/Pricers/singleassetoption.hpp: fix 2005-01-10 14:47 Luigi Ballabio * [r5226] News.txt, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp: DiscountCurve with settable interpolation 2005-01-10 13:49 Ferdinando Ametrano * [r5225] Docs/makefile.mak, functions/ql/Functions/makefile.mak, makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Borland version handling improved 2005-01-10 13:41 Ferdinando Ametrano * [r5224] Docs, Docs/.cvsignore, Docs/README.txt, Docs/makefile.mak, Docs/quantlib.doxy: more fixes for Win32 2005-01-10 11:54 Luigi Ballabio * [r5223] Docs/Makefile.am: Didn't work 2005-01-07 18:09 Ferdinando Ametrano * [r5222] Docs, Docs/.cvsignore, Docs/Makefile.am, Docs/makefile.mak, Docs/quantlib.doxy: doc generation makefiles refactored to allow more modularity and Win32 generation. Luigi: please check that makefile.am is still working ;-) I edited it but I couldn't test it 2005-01-07 17:21 Ferdinando Ametrano * [r5221] QuantLib.nsi, Readme.txt, makefile.mak: updated 2005-01-05 11:42 Ferdinando Ametrano * [r5198] QuantLib.dsp, QuantLib.mak: catching up 2005-01-05 11:04 Ferdinando Ametrano * [r5196] QuantLib.vcproj: catching up 2005-01-04 17:27 Luigi Ballabio * [r5188] Docs/pages/faq.docs, Docs/quantlibheader.html, dev_tools/newdeveloperintro.txt: Moved developer intro to ql-site 2005-01-04 15:49 Luigi Ballabio * [r5185] Docs/pages/faq.docs: *** empty log message *** 2005-01-04 13:12 Luigi Ballabio * [r5184] Readme.txt: *** empty log message *** 2005-01-03 12:31 Luigi Ballabio * [r5183] Docs/quantlib.css, Docs/quantlib.doxy: Upgraded to Doxygen 1.4.0 2005-01-03 10:14 Luigi Ballabio * [r5182] ql/Pricers/fddividendoption.cpp: Made FD dividend options a tiny bit more stable 2004-12-31 12:32 Luigi Ballabio * [r5181] test-suite/compoundforward.cpp: *** empty log message *** 2004-12-31 11:12 Luigi Ballabio * [r5180] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp: *** empty log message *** 2004-12-31 08:08 Luigi Ballabio * [r5179] configure.ac, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/Currencies/exchangeratemanager.cpp, ql/DayCounters/thirty360.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Instruments/bond.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/payoffs.hpp, ql/Instruments/swap.cpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/choleskydecomposition.cpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/matrix.hpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/Math/svd.cpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/Volatilities/localvolsurface.cpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/discretizedasset.hpp, ql/qldefines.hpp, ql/solver1d.hpp, ql/voltermstructure.cpp, test-suite/calendars.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/riskstats.cpp: removed two more macros 2004-12-30 15:40 Luigi Ballabio * [r5178] configure.ac, ql/RandomNumbers/seedgenerator.cpp, ql/basicdataformatters.cpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/dataparsers.cpp, ql/date.cpp, ql/qldefines.hpp, ql/types.hpp: Removed a few more macros 2004-12-30 11:44 Luigi Ballabio * [r5177] Examples/AmericanOption/AmericanOption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Instruments/bond.cpp, ql/Instruments/swaption.cpp, ql/Lattices/binomialtree.cpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/lattice2d.cpp, ql/Lattices/trinomialtree.cpp, ql/Math/array.hpp, ql/Math/beta.cpp, ql/Math/beta.hpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/chisquaredistribution.cpp, ql/Math/choleskydecomposition.cpp, ql/Math/comparison.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/factorial.cpp, ql/Math/gammadistribution.cpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.hpp, ql/Math/incompletegamma.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/kronrodintegral.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/Math/rounding.cpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/svd.cpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/criteria.hpp, ql/Optimization/simplex.cpp, ql/Optimization/steepestdescent.cpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/americanpayoffatexpiry.cpp, ql/PricingEngines/americanpayoffathit.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackmodel.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/faurersg.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/interestrate.cpp, ql/solver1d.hpp, ql/stochasticprocess.cpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/bonds.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/integrals.cpp, test-suite/interestrates.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/matrices.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/rngtraits.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: removing macros 2004-12-29 12:13 Luigi Ballabio * [r5176] ql/discretizedasset.cpp: Fix for VC6 'for' scope 2004-12-29 12:10 Luigi Ballabio * [r5175] configure.ac, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/qldefines.hpp: Using Boost to remove a few portability checks and macros 2004-12-28 15:20 Luigi Ballabio * [r5174] ql/errors.cpp, ql/errors.hpp: Error class safe from terminate() 2004-12-27 10:21 Luigi Ballabio * [r5173] Docs/Makefile.am, Docs/images/favicon.ico, Docs/quantlibheader.html: *** empty log message *** 2004-12-24 09:50 Luigi Ballabio * [r5170] Docs/pages/faq.docs: *** empty log message *** 2004-12-16 15:17 Luigi Ballabio * [r5164] ql/discretizedasset.cpp, ql/exercise.cpp, ql/exercise.hpp: Cosmetic changes and one better check 2004-12-13 11:49 Luigi Ballabio * [r5161] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp: Added manual method for updating interpolation when underlying data change 2004-12-13 08:22 Luigi Ballabio * [r5160] ql/Instruments/simpleswap.cpp: Fix for spot swap 2004-12-10 12:30 Luigi Ballabio * [r5155] ql/PricingEngines/Swaption/discretizedswaption.hpp: *** empty log message *** 2004-12-09 13:06 Luigi Ballabio * [r5154] ql/MonteCarlo/all.hpp, ql/MonteCarlo/core.hpp: *** empty log message *** 2004-12-09 11:46 Luigi Ballabio * [r5153] QuantLib.dev, test-suite/QuantLib-test-suite.dev: Merged 0.3.8 branch 2004-12-09 10:29 Ferdinando Ametrano * [r5151] functions/ql/Functions/QuantLibFunctions.vcproj: fix for Boost 1.32 2004-12-08 13:13 Luigi Ballabio * [r5149] Announce.txt, Contributors.txt, Docs/Examples/Makefile.am, Docs/Makefile.am, Docs/images/Makefile.am, Docs/pages/Makefile.am, Docs/pages/authors.docs, Docs/pages/faq.docs, Docs/pages/history.docs, Docs/pages/install.docs, Docs/pages/overview.docs, Docs/pages/resources.docs, Docs/pages/usage.docs, LICENSE.TXT, Makefile.am, QuantLib.dsp, QuantLib.mak, QuantLib.nsi, QuantLib.vcproj, Readme.txt, acinclude.m4, autogen.sh, bootstrap, configure.ac, dev_tools/windist, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, makefile.mak, ql/Calendars/beijing.cpp, ql/Calendars/beijing.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/asianoption.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/bond.cpp, ql/Instruments/bond.hpp, ql/Instruments/fixedcouponbond.cpp, ql/Instruments/fixedcouponbond.hpp, ql/Instruments/makefile.mak, ql/Math/array.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/multicubicspline.hpp, ql/MonteCarlo/mctraits.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.hpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/basicdataformatters.cpp, ql/calendar.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/currency.hpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/qldefines.hpp, ql/termstructure.hpp, test-suite, test-suite/.cvsignore, test-suite/Makefile.am, test-suite/asianoptions.cpp, test-suite/bonds.cpp, test-suite/bonds.hpp, test-suite/digitaloption.cpp, test-suite/interestrates.cpp, test-suite/makefile.mak, test-suite/mersennetwister.cpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.vcproj: Merged 0.3.8 branch 2004-12-06 13:05 Ferdinando Ametrano * [r5145] test-suite/distributions.cpp: test large values 2004-12-06 13:04 Ferdinando Ametrano * [r5144] ql/Math/bivariatenormaldistribution.cpp: fix for large numbers 2004-11-04 20:29 Ferdinando Ametrano * [r5044] ql/config.msvc.hpp, ql/qldefines.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.vcproj: version number bumping, VC settings 2004-11-03 19:54 Ferdinando Ametrano * [r5026] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak, test-suite/testsuite.mak: catching up 2004-11-03 19:03 Ferdinando Ametrano * [r5022] QuantLib.vcproj, ql/Indexes/makefile.mak, ql/Pricers/makefile.mak, ql/makefile.mak: catching up 2004-11-03 18:58 Ferdinando Ametrano * [r5021] test-suite/bin, test-suite/bin/.cvsignore: no message 2004-11-03 10:39 Luigi Ballabio * [r5013] QuantLib.dev, QuantLib.dsp, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.dev, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak, test-suite/QuantLib-test-suite.dev: Bumped version number 2004-10-28 10:03 Luigi Ballabio * [r4990] ql/TermStructures/extendeddiscountcurve.cpp: *** empty log message *** 2004-10-27 14:56 Luigi Ballabio * [r4989] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp: *** empty log message *** 2004-10-27 14:46 Luigi Ballabio * [r4988] configure.ac, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/DayCounters/Makefile.am, ql/DayCounters/actual365.hpp, ql/DayCounters/all.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/Indexes/Makefile.am, ql/Indexes/core.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp, ql/Makefile.am, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/TermStructures/Makefile.am, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/all.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/discountstructure.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/basetermstructure.hpp, ql/capvolstructures.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/core.hpp, ql/currency.cpp, ql/currency.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/date.hpp, ql/discretizedasset.hpp, ql/qldefines.hpp, ql/relinkablehandle.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/compoundforward.cpp, test-suite/old_pricers.cpp: Removed deprecated code (except for some compound-forward stuff that still needs to be investigated) 2004-10-27 10:36 Luigi Ballabio * [r4987] Docs/quantlib.doxy, News.txt, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, configure.ac, functions/ql/Functions/QuantLibFunctions.vcproj, ql/qldefines.hpp: Bumped version number 2004-10-27 10:06 Luigi Ballabio * [r4985] ChangeLog.txt, News.txt: *** empty log message *** 2004-10-27 07:41 Luigi Ballabio * [r4983] ql/PricingEngines/Asian/mcdiscreteasianengine.hpp: Fixed (as in: "runs with limited functionality") MC discrete Asian engine on VC6 2004-10-26 15:19 Ferdinando Ametrano * [r4969] ql/errors.hpp: no message 2004-10-26 08:06 Luigi Ballabio * [r4958] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.cpp, test-suite/compoundforward.cpp: Partial fixes for CompoundForward 2004-10-25 15:54 Luigi Ballabio * [r4957] ql/TermStructures/compoundforward.cpp: Fix for bootstrapping 2004-10-25 14:26 Luigi Ballabio * [r4955] ql/TermStructures/zerocurve.cpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/swaptionvolmatrix.hpp: *** empty log message *** 2004-10-25 13:00 Luigi Ballabio * [r4954] Examples/AmericanOption/AmericanOption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/parcoupon.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swaption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/basetermstructure.hpp, ql/settings.hpp, ql/stochasticprocess.cpp, ql/termstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/interestrates.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/swap.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: TermStructure::dayCounter() reborn 2004-10-22 14:45 Luigi Ballabio * [r4953] ql/termstructure.hpp: *** empty log message *** 2004-10-22 14:24 Luigi Ballabio * [r4952] ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/discountstructure.hpp, ql/TermStructures/impliedtermstructure.hpp: Completely deprecated DiscountStructure 2004-10-22 14:21 Luigi Ballabio * [r4951] test-suite/quantlibtestsuite.cpp: Dealing out information on a need-to-know basis 2004-10-22 13:26 Luigi Ballabio * [r4950] ql/TermStructures/discountstructure.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp: Fixes for compiling without deprecated code 2004-10-21 12:27 Ferdinando Ametrano * [r4949] test-suite/bin, test-suite/bin/.cvsignore, test-suite/bin/runtest.bat: no message 2004-10-21 09:04 Ferdinando Ametrano * [r4948] ql/termstructure.hpp, test-suite/bin/runtest.bat, test-suite/quantlibtestsuite.cpp: no message 2004-10-21 08:52 Ferdinando Ametrano * [r4947] ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/termstructure.hpp, test-suite/makefile.mak: added parRate method. YieldTermStructure::zeroImpl and YieldTermStructure::forwardImpl deprecated. 2004-10-21 08:50 Ferdinando Ametrano * [r4946] test-suite, test-suite/.cvsignore, test-suite/bin, test-suite/bin/.cvsignore: run test options 2004-10-21 08:34 Ferdinando Ametrano * [r4945] test-suite/bin, test-suite/bin/runtest.bat: run test options 2004-10-21 08:27 Ferdinando Ametrano * [r4944] QuantLib.dev, functions/ql/Functions/QuantLibFunctions.dev, test-suite/QuantLib-test-suite.dev: higher optimazation level 2004-10-20 13:56 Ferdinando Ametrano * [r4943] test-suite/QuantLib-test-suite.dev: no message 2004-10-20 13:43 Ferdinando Ametrano * [r4942] ql/config.ansi.hpp: no message 2004-10-20 12:24 Ferdinando Ametrano * [r4941] QuantLib.dev: updated 2004-10-20 12:11 Ferdinando Ametrano * [r4940] ql/config.ansi.hpp: using mingw32 as ansi proxy (ansi is used with Dev-C++ without mingw with cygwin) 2004-10-20 12:08 Ferdinando Ametrano * [r4939] test-suite/QuantLib-test-suite.dev: no message 2004-10-20 10:20 Luigi Ballabio * [r4938] test-suite/quantlibtestsuite.cpp: Actual test time measured (program initialization not included.) This also fixes VC6 timing. 2004-10-20 08:24 Luigi Ballabio * [r4937] ql/RandomNumbers/inversecumulativerng.hpp, ql/RandomNumbers/inversecumulativersg.hpp, ql/RandomNumbers/rngtraits.hpp, ql/TermStructures/zeroyieldstructure.hpp: Removed Doxygen warnings 2004-10-20 08:04 Luigi Ballabio * [r4936] QuantLib.dev, test-suite/QuantLib-test-suite.dev: *** empty log message *** 2004-10-19 17:18 Ferdinando Ametrano * [r4935] ql/makefile.mak: updated 2004-10-19 17:07 Ferdinando Ametrano * [r4934] test-suite/testsuite.vcproj: updated 2004-10-19 16:53 Ferdinando Ametrano * [r4933] test-suite, test-suite/.cvsignore, test-suite/QuantLib-test-suite.dev, test-suite/makefile.mak: updated (boost linking needs to be solved) 2004-10-19 16:35 Ferdinando Ametrano * [r4932] QuantLib.dev, functions/ql/Functions, functions/ql/Functions/.cvsignore, functions/ql/Functions/QuantLibFunctions.dev: updated 2004-10-19 15:27 Ferdinando Ametrano * [r4931] test-suite/QuantLib-test-suite.dev: added header files (at least for CSV syncronization) 2004-10-19 14:42 Ferdinando Ametrano * [r4930] functions/ql/Functions/QuantLibFunctions.dev: added header files (at least for CSV syncronization) 2004-10-19 13:33 Ferdinando Ametrano * [r4929] QuantLib.dev: added header files (at least for CSV syncronization) 2004-10-19 13:31 Ferdinando Ametrano * [r4928] QuantLib.vcproj: updated 2004-10-19 10:52 Ferdinando Ametrano * [r4927] QuantLib.dsp, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: added missing files 2004-10-19 10:30 Luigi Ballabio * [r4926] Makefile.am, News.txt, functions/ql/Functions/Makefile.am, ql/Makefile.am, test-suite/Makefile.am: *** empty log message *** 2004-10-19 10:29 Luigi Ballabio * [r4925] Docs/pages/faq.docs: Anchors added to single items 2004-10-19 09:40 Luigi Ballabio * [r4924] ., .cvsignore, QuantLib.dev, functions/ql/Functions, functions/ql/Functions/.cvsignore, functions/ql/Functions/QuantLibFunctions.dev, ql/config.mingw.hpp, ql/qldefines.hpp, test-suite, test-suite/.cvsignore, test-suite/QuantLib-test-suite.dev: Added support for Dev-C++ 2004-10-19 09:39 Luigi Ballabio * [r4923] test-suite/distributions.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Fixes for VC++6 2004-10-18 11:13 Ferdinando Ametrano * [r4921] QuantLib.vcproj, ql/PricingEngines/Vanilla/juquadraticengine.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/inversecumulativerng.hpp, ql/RandomNumbers/inversecumulativersg.hpp, ql/RandomNumbers/rngtraits.hpp, test-suite/makefile.mak, test-suite/testsuite.vcproj: obsolete references to gaussian/normal deprecated 2004-10-18 09:43 Luigi Ballabio * [r4920] ql/Math/poissondistribution.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/rngtraits.hpp, test-suite/Makefile.am, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/factorial.cpp, test-suite/factorial.hpp, test-suite/quantlibtestsuite.cpp, test-suite/rngtraits.cpp, test-suite/rngtraits.hpp: Added support for Poisson-distributed random numbers (thanks to Walter Penschke) 2004-10-15 17:05 Ferdinando Ametrano * [r4919] ql/TermStructures/discountstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp: removing compoundForwardImpl where it is allowed 2004-10-15 16:45 Ferdinando Ametrano * [r4918] ql/TermStructures/discountstructure.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/zeroyieldstructure.hpp: removing compoundForwardImpl where it is allowed 2004-10-15 16:28 Ferdinando Ametrano * [r4917] ql/TermStructures/compoundforward.cpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/termstructure.hpp, test-suite/compoundforward.cpp: YieldTermStructure::compoundForward(...) deprecated 2004-10-15 15:51 Ferdinando Ametrano * [r4916] ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/termstructure.hpp, test-suite/termstructures.cpp: YieldTermStructure::instantaneousForward(...) deprecated 2004-10-15 15:22 Ferdinando Ametrano * [r4915] ql/Pricers/mcdiscretearithmeticaso.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/stochasticprocess.cpp, ql/termstructure.hpp, test-suite/termstructures.cpp: YieldTermStructure::forward(...) deprecated 2004-10-15 15:20 Ferdinando Ametrano * [r4914] test-suite/interestrates.cpp: higher tolerance for Borland 2004-10-15 13:19 Ferdinando Ametrano * [r4913] ql/CashFlows/basispointsensitivity.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/termstructure.hpp, ql/userconfig.hpp, test-suite/termstructures.cpp: zeroYield and zeroCoupon deprecated 2004-10-15 12:42 Ferdinando Ametrano * [r4912] ql/interestrate.hpp: more checks 2004-10-14 15:56 Luigi Ballabio * [r4911] ql/interestrate.hpp: *** empty log message *** 2004-10-14 14:03 Ferdinando Ametrano * [r4907] test-suite/interestrates.cpp: more tests 2004-10-14 13:26 Ferdinando Ametrano * [r4906] test-suite/interestrates.cpp: more tests 2004-10-14 13:26 Ferdinando Ametrano * [r4905] ql/interestrate.hpp: updated and fixed 2004-10-13 15:29 Luigi Ballabio * [r4904] quantlib.el: *** empty log message *** 2004-10-13 15:28 Luigi Ballabio * [r4903] ql/interestrate.cpp: Fixed formatter bugs 2004-10-13 13:44 Luigi Ballabio * [r4902] ql/interestrate.hpp: Added constness to inspectors 2004-10-13 12:24 Luigi Ballabio * [r4901] ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/parcoupon.hpp, ql/TermStructures/piecewiseflatforward.cpp: Resolved some ??? 2004-10-13 12:22 Luigi Ballabio * [r4900] ql/Instruments/capfloor.hpp, ql/PricingEngines/blackmodel.hpp, ql/TermStructures/ratehelpers.hpp, ql/quote.hpp, ql/termstructure.hpp: Fixed header inclusions 2004-10-12 17:06 Ferdinando Ametrano * [r4899] ql/interestrate.cpp, ql/interestrate.hpp: SimpleThenCompounded Compounding added. Simple up to t<=1.0/frequency, then compounded To be tested 2004-10-12 14:41 Luigi Ballabio * [r4898] ql/interestrate.cpp, ql/interestrate.hpp: Correct precondition 2004-10-12 12:32 Ferdinando Ametrano * [r4897] QuantLib.vcproj, ql/TermStructures/Makefile.am, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/all.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/discountstructure.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/forwardstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/TermStructures/zeroyieldstructure.hpp, ql/termstructure.hpp: YieldTermStructure interface extended: now it should be cleaned up of redundancies from previous less general implementations Zero, Discount, and Forward TermStructures moved into their own files in the TermStructures folder 2004-10-12 12:30 Ferdinando Ametrano * [r4896] test-suite/interestrates.cpp: improved/extended interface 2004-10-12 11:34 Ferdinando Ametrano * [r4895] ql/interestrate.cpp, ql/interestrate.hpp: improved/extended interface 2004-10-12 08:12 Ferdinando Ametrano * [r4894] Examples/AmericanOption/AmericanOption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/Instruments/oneassetoption.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/zerocurve.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/capvolstructures.hpp, ql/schedule.hpp, ql/settings.hpp, ql/stochasticprocess.cpp, ql/userconfig.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/interestrates.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/quantooption.cpp, test-suite/swap.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: more dayCounter() deprecated, few tests to be fixed 2004-10-11 16:29 Ferdinando Ametrano * [r4893] ql/Instruments/oneassetoption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.hpp, ql/voltermstructure.hpp: BlackVolTermStructure::dayCounter() and LocalVolTermStructure::dayCounter() deprecated 2004-10-11 15:48 Ferdinando Ametrano * [r4892] Examples/Swap/swapvaluation.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swaption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/basetermstructure.hpp, ql/capvolstructures.hpp, ql/settings.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/piecewiseflatforward.cpp, test-suite/termstructures.cpp: using Settings::instance().dayCounter as global time measure, in order to avoid mismatch between dayCounters when time discretization is needed. YieldTermStructure::dayCounter() deprecated. VolTermStructure::dayCounter() will be deprecated shortly. #ifndef QL_DISABLE_DEPRECATED 2 CompoundForward tests fail (will be fixed later) #else 2 CompoundForward tests fail (will be fixed later) 3 Swap/swaption test fails (need investigation asap) #endif 2004-10-11 15:24 Ferdinando Ametrano * [r4891] test-suite/barrieroption.cpp: no message 2004-10-11 12:22 Ferdinando Ametrano * [r4890] test-suite/swap.cpp: no message 2004-10-11 12:02 Luigi Ballabio * [r4889] ql/money.cpp, ql/money.hpp, test-suite/exchangerate.cpp, test-suite/money.cpp: More explicit convention names 2004-10-11 12:02 Luigi Ballabio * [r4888] test-suite/cliquetoption.cpp: Missing inclusion 2004-10-11 11:39 Ferdinando Ametrano * [r4887] test-suite/cliquetoption.cpp: using (explicit, not default) daycounter for theta calculation 2004-10-11 10:59 Ferdinando Ametrano * [r4886] test-suite/asianoptions.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/quantooption.cpp: using (explicit, not default) daycounter for theta calculation 2004-10-11 10:21 Luigi Ballabio * [r4885] News.txt, ql/interestrate.cpp, ql/interestrate.hpp, test-suite/interestrates.cpp: The difference between adjectives and nouns is beyond the scope of a commit log :) 2004-10-11 10:21 Luigi Ballabio * [r4884] ql/settings.hpp: Definitely not virtual 2004-10-11 10:17 Ferdinando Ametrano * [r4883] test-suite/cliquetoption.cpp: no message 2004-10-11 09:08 Ferdinando Ametrano * [r4882] ql/TermStructures/zerospreadedtermstructure.hpp: compacted code (easier to deprecate if needed) 2004-10-11 08:06 Ferdinando Ametrano * [r4881] ql/interestrate.hpp: comment added 2004-10-11 08:03 Ferdinando Ametrano * [r4880] ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/Indexes/xibor.hpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/swaptionvolmatrix.hpp: compacted code (easier to deprecate if needed) 2004-10-08 16:40 Ferdinando Ametrano * [r4879] ql/settings.hpp: global daycounter added. It will be used later 2004-10-08 16:21 Ferdinando Ametrano * [r4878] ql/DayCounters/one.hpp: bug fix (?) 2004-10-08 16:15 Ferdinando Ametrano * [r4877] News.txt, QuantLib.dsp, QuantLib.mak, ql/interestrate.cpp, ql/interestrate.hpp, test-suite/interestrates.cpp: compound factor, not accrual factor 2004-10-08 12:16 Luigi Ballabio * [r4876] ql/interestrate.cpp, ql/interestrate.hpp, test-suite/interestrates.cpp, test-suite/interestrates.hpp: Test tolerance, 80-columns wrap and stuff 2004-10-08 08:23 Ferdinando Ametrano * [r4875] ql/daycounter.hpp: requirements added 2004-10-08 08:12 Ferdinando Ametrano * [r4874] ql/interestrate.cpp: Borland warnings avoided 2004-10-07 18:14 Ferdinando Ametrano * [r4873] test-suite/interestrates.cpp: avoiding usage of deprecated features 2004-10-07 18:03 Ferdinando Ametrano * [r4872] QuantLib.dsp, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: VC6 catching up 2004-10-07 18:02 Ferdinando Ametrano * [r4871] ql/date.cpp: avoiding Borland warnings 2004-10-07 17:56 Ferdinando Ametrano * [r4870] News.txt, QuantLib.vcproj, ql/Makefile.am, ql/basicdataformatters.cpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/makefile.mak, test-suite/Makefile.am, test-suite/interestrates.cpp, test-suite/interestrates.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.vcproj: added InterestRate class, which encapsulate the interest rate compounding algebra. It manages daycounting convention, compounding convention, conversion between different conventions, and discount and accrual calculations. It also has its own formatter. 2004-10-07 17:47 Ferdinando Ametrano * [r4869] ql/date.cpp, ql/date.hpp: added FrequencyFormatter 2004-10-07 16:30 Ferdinando Ametrano * [r4868] ql/date.hpp: more frequencies added 2004-10-07 13:31 Ferdinando Ametrano * [r4867] ql/date.hpp: Borland/Visual palatable code 2004-10-07 12:34 Luigi Ballabio * [r4866] ql/date.hpp: *** empty log message *** 2004-10-07 11:01 Luigi Ballabio * [r4865] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, functions/ql/Functions/calendars.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/indexcashflowvectors.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/simpledaycounter.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/calendar.cpp, ql/capvolstructures.hpp, ql/date.cpp, ql/date.hpp, ql/history.hpp, ql/swaptionvolstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/calendars.cpp, test-suite/cliquetoption.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/quantooption.cpp, test-suite/swap.cpp, test-suite/termstructures.cpp: Reorganization of date functions 2004-10-07 07:36 Ferdinando Ametrano * [r4864] ql/TermStructures/flatforward.hpp: dangerous default dayCounter, you must specify the daycount of your forward rate (you should also specify the compounding rule...) 2004-10-06 15:53 Ferdinando Ametrano * [r4862] News.txt: updated 2004-10-06 15:30 Ferdinando Ametrano * [r4858] News.txt, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp: added dayCounterFromString(std::string) 2004-10-06 15:28 Ferdinando Ametrano * [r4857] ql/DayCounters/actualactual.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp: no message 2004-10-06 13:08 Ferdinando Ametrano * [r4856] Examples/Swap/swapvaluation.cpp: swap mispriced with Tokyo() calendar when using September 22, 2004 as settlement date...tolerance didn't help... it puzzles me! 2004-10-06 12:11 Luigi Ballabio * [r4855] ql/Volatilities/capletconstantvol.hpp: *** empty log message *** 2004-10-06 10:49 Luigi Ballabio * [r4854] Docs/quantlib.doxy: Upgraded to Doxygen 1.3.9 2004-10-06 09:56 Ferdinando Ametrano * [r4853] test-suite/dates.cpp: improved test 2004-10-06 09:49 Ferdinando Ametrano * [r4852] ql/date.cpp, ql/date.hpp: isIMMdate() added 2004-10-06 09:18 Luigi Ballabio * [r4851] ql/Math/bilinearinterpolation.hpp: Not really a fix, but it compiles 2004-10-06 07:48 Ferdinando Ametrano * [r4850] QuantLib.dsp, QuantLib.mak: VC6 catching up 2004-10-05 17:04 Ferdinando Ametrano * [r4849] ql/date.cpp, ql/date.hpp: nextDayOfWeekAfterDate() added 2004-10-05 17:03 Ferdinando Ametrano * [r4848] News.txt: updated 2004-10-05 16:33 Ferdinando Ametrano * [r4847] Examples/Swap/swapvaluation.cpp: the example is now always placed in the future. Still it fails with Tokyo() calendar when using September 22, 2004 as settlement date...it puzzles me! 2004-10-05 16:11 Ferdinando Ametrano * [r4846] test-suite/quantlibtestsuite.cpp: suite global timing always displayed (is it ok Luigi?) 2004-10-05 16:10 Ferdinando Ametrano * [r4845] test-suite/dates.cpp, test-suite/dates.hpp: nextIMM() test added 2004-10-05 16:06 Ferdinando Ametrano * [r4844] ql/date.cpp, ql/date.hpp: added nthDayOfWeekForMonthAndYear, nextIMM(), and WeekdayFormatter 2004-10-05 15:55 Luigi Ballabio * [r4843] ql/DayCounters/actualactual.cpp, ql/DayCounters/one.hpp, ql/daycounter.hpp: Some nitpicking 2004-10-05 15:53 Luigi Ballabio * [r4842] ql/CashFlows/inarrearindexedcoupon.cpp, test-suite/swap.cpp: Corrected reference 2004-10-05 14:22 Ferdinando Ametrano * [r4840] ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/zerocurve.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capletconstantvol.hpp, ql/Volatilities/localconstantvol.hpp: Actual365 is deprecated in favour of Actual365Fixed 2004-10-05 14:19 Ferdinando Ametrano * [r4839] ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/zarlibor.hpp: in accord with 2000 ISDA definitions 2004-10-05 14:17 Ferdinando Ametrano * [r4838] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/old_pricers.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/utilities.hpp: in accord to ISDA documentation. Added "1/1" convention 2004-10-05 13:20 Ferdinando Ametrano * [r4837] ql/DayCounters/actual365.hpp: in accord to ISDA documentation. Added "1/1" convention 2004-10-05 13:12 Ferdinando Ametrano * [r4836] QuantLib.vcproj, ql/DayCounters/Makefile.am, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actual365fixed.hpp, ql/DayCounters/all.hpp, ql/DayCounters/one.hpp, test-suite/utilities.hpp: in accord to ISDA documentation. Added "1/1" convention 2004-10-05 12:52 Ferdinando Ametrano * [r4835] ql/DayCounters/thirty360.hpp: in accord to ISDA documentation 2004-10-05 12:42 Ferdinando Ametrano * [r4834] ql/DayCounters/actualactual.hpp: more comments and warnings 2004-10-05 12:37 Ferdinando Ametrano * [r4833] ql/DayCounters/actualactual.hpp: changing the default 2004-10-05 12:00 Ferdinando Ametrano * [r4832] ql/daycounter.hpp: adding the implementation of BigInteger dayCount(const Date& d1, const Date& d2) const in the base class. 2004-10-05 12:00 Ferdinando Ametrano * [r4831] ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp: adding the implementation of BigInteger dayCount(const Date& d1, const Date& d2) const in the base class. Improved error messages 2004-10-05 10:14 Ferdinando Ametrano * [r4830] QuantLib.sln, QuantLib.vcproj, ql/CashFlows/makefile.mak: updated 2004-10-04 11:49 Luigi Ballabio * [r4829] News.txt, ql/CashFlows/Makefile.am, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.cpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/Instruments/capfloor.cpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/capletconstantvol.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, test-suite/quantlibtestsuite.cpp, test-suite/swap.cpp, test-suite/swap.hpp: Added hooks for convexity adjustment in floating-rate coupons; implemented adjustment for InArrearIndexedCoupon. 2004-10-04 11:48 Luigi Ballabio * [r4828] ql/Instruments/swap.hpp: Typo 2004-10-01 09:27 Ferdinando Ametrano * [r4827] ql/PricingEngines/mcsimulation.hpp: needless result variable removed 2004-09-30 16:43 Ferdinando Ametrano * [r4826] ql/DayCounters/actualactual.cpp: using January and February instead of (Month)1 and (Month)2. Was there any reason for (Month)1 ? 2004-09-30 16:41 Ferdinando Ametrano * [r4825] ql/Math/symmetricschurdecomposition.cpp: Using Boost iterators Borland patch is not needed anymore 2004-09-30 16:05 Luigi Ballabio * [r4824] Docs/pages/faq.docs: *** empty log message *** 2004-09-30 15:27 Luigi Ballabio * [r4823] News.txt: *** empty log message *** 2004-09-30 15:22 Luigi Ballabio * [r4822] ql/Math/symmetricschurdecomposition.cpp: Added check for null matrix 2004-09-30 15:20 Luigi Ballabio * [r4821] ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp: Let indexed coupons take an Index (thanks to Daniele De Francesco 2004-09-30 15:16 Luigi Ballabio * [r4820] ql/Makefile.am, ql/MonteCarlo, ql/MonteCarlo/.cvsignore: Added new library 2004-09-30 15:13 Luigi Ballabio * [r4819] ql/Currencies/exchangeratemanager.cpp, ql/date.hpp: Removed newly introduced method (it seemed a good idea a few days ago, but not now) 2004-09-30 15:12 Luigi Ballabio * [r4818] ql/TermStructures/piecewiseflatforward.cpp: Allowed increasing discounts when QL_NEGATIVE_RATES is defined 2004-09-30 11:14 Ferdinando Ametrano * [r4817] ql/MonteCarlo/getcovariance.hpp: added (correlation, vols) calculation from covariance matrix 2004-09-30 11:12 Ferdinando Ametrano * [r4816] QuantLib.vcproj, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/makefile.mak, ql/makefile.mak, test-suite/covariance.cpp: added (correlation, vols) calculation from covariance matrix 2004-09-30 11:08 Ferdinando Ametrano * [r4815] ql/Math/symmetricschurdecomposition.hpp: no message 2004-09-30 10:42 Luigi Ballabio * [r4814] ql/Math/array.hpp, ql/Math/lexicographicalview.hpp, ql/Math/matrix.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/history.hpp, ql/qldefines.hpp: Using Boost iterator library (Boost 1.31.0 or later is now required 2004-09-30 10:41 Luigi Ballabio * [r4813] acinclude.m4, configure.ac: Added check for Boost version 2004-09-30 10:32 Luigi Ballabio * [r4812] ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp: Missing file added 2004-09-28 12:23 Luigi Ballabio * [r4811] test-suite/asianoptions.cpp, test-suite/basketoption.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp, test-suite/utilities.hpp: define QL_DISPLAY_TEST_TIME to display execution time 2004-09-28 10:06 Luigi Ballabio * [r4810] test-suite/utilities.hpp: Fixed teardown macro 2004-09-28 08:23 Ferdinando Ametrano * [r4809] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/indexcashflowvectors.hpp: Borland warning avoided 2004-09-28 08:06 Ferdinando Ametrano * [r4808] test-suite/old_pricers.cpp: warning avoided #ifdef QL_DISABLE_DEPRECATED 2004-09-27 17:06 Ferdinando Ametrano * [r4807] test-suite/quantlibtestsuite.cpp: timing added 2004-09-27 16:53 Ferdinando Ametrano * [r4806] test-suite/asianoptions.cpp, test-suite/basketoption.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp: timing added 2004-09-27 14:49 Ferdinando Ametrano * [r4805] ql/PricingEngines/mcsimulation.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: Monte Carlo simulation's convergence criterium is now absolute (dollar value) tolerance instead of relative tolerance. 2004-09-27 13:02 Luigi Ballabio * [r4804] acinclude.m4, configure.ac: Allow passing info on Bost installation 2004-09-27 12:55 Luigi Ballabio * [r4803] ql/TermStructures/compoundforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: Fixes for indexed coupons 2004-09-24 17:20 Ferdinando Ametrano * [r4802] ql/Patterns/singleton.hpp: VC7.1 doesn't need the patch 2004-09-24 16:30 Ferdinando Ametrano * [r4801] ql/Math/all.hpp: allowing gracefull Borland failure 2004-09-24 16:04 Ferdinando Ametrano * [r4800] test-suite/testsuite.vcproj: boost test suite --report_level=short 2004-09-24 14:55 Ferdinando Ametrano * [r4799] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: boost test suite report_level=short 2004-09-24 12:15 Luigi Ballabio * [r4798] ql/currency.hpp: *** empty log message *** 2004-09-23 15:52 Luigi Ballabio * [r4797] test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/quantooption.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Using evaluation date to check theta 2004-09-22 15:24 Luigi Ballabio * [r4795] ql/Patterns/singleton.hpp: *** empty log message *** 2004-09-22 12:35 Luigi Ballabio * [r4794] test-suite/interpolations.hpp: *** empty log message *** 2004-09-22 10:57 Ferdinando Ametrano * [r4793] ql/Math/multicubicspline.hpp: \todo and \bug comments added 2004-09-22 10:43 Ferdinando Ametrano * [r4792] test-suite/interpolations.cpp: grid points recalculation check added: memory access error! 2004-09-22 10:38 Ferdinando Ametrano * [r4791] test-suite/interpolations.hpp: allowing gracefull Borland failure 2004-09-22 09:20 Luigi Ballabio * [r4790] test-suite/termstructures.cpp: *** empty log message *** 2004-09-22 08:46 Ferdinando Ametrano * [r4789] ql/errors.cpp: VC 6 integration 2004-09-22 08:36 Ferdinando Ametrano * [r4788] test-suite/termstructures.cpp: more readable error message. This test currently fails with VC 6: termstructures.cpp(132): fatal error in "TermStructureTest::testReferenceChange": Discount at 10days: before date change: 0.999333555506 after date change: 0.996838341934 2004-09-21 15:31 Luigi Ballabio * [r4787] test-suite/interpolations.cpp, test-suite/interpolations.hpp: Disabled multispline test on Borland 2004-09-21 15:31 Luigi Ballabio * [r4786] ql/Math/multicubicspline.hpp, ql/qldefines.hpp: Removed Doxygen warnings 2004-09-21 13:50 Luigi Ballabio * [r4785] configure.ac, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp: Test for multispline 2004-09-21 13:50 Luigi Ballabio * [r4784] ql/Optimization/constraint.hpp: Fix for VC++ 2004-09-21 13:22 Ferdinando Ametrano * [r4783] ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: removing default parameters 2004-09-21 13:08 Ferdinando Ametrano * [r4782] ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp: removing default parameters 2004-09-21 13:03 Ferdinando Ametrano * [r4781] ql/stochasticprocess.cpp: avoid Borland warning 2004-09-21 08:00 Ferdinando Ametrano * [r4780] QuantLib.dsp, QuantLib.mak: catching up 2004-09-21 07:31 Ferdinando Ametrano * [r4779] test-suite/asianoptions.cpp: speeded up using variance reduction tecniques 2004-09-21 07:27 Ferdinando Ametrano * [r4778] test-suite/digitaloption.cpp: explicit brownianBridge variable 2004-09-21 06:45 Ferdinando Ametrano * [r4777] functions/ql/Functions/qlfunctions.hpp: autolink for Borland 2004-09-21 06:27 Ferdinando Ametrano * [r4776] QuantLib.vcproj: catching up 2004-09-20 15:41 Luigi Ballabio * [r4775] News.txt, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/multicubicspline.hpp: Added N-dimensional cubic spline (thanks to Roman Gitlin) 2004-09-20 13:57 Luigi Ballabio * [r4774] News.txt, ql/MonteCarlo/pathgenerator.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: Path generator working with generic stochastic process (thanks to W. Penschke) 2004-09-20 13:18 Ferdinando Ametrano * [r4773] test-suite/barrieroption.cpp: seed variable introduced 2004-09-20 10:06 Luigi Ballabio * [r4772] ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/mcsimulation.hpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/digitaloption.cpp: Fixed tests 2004-09-17 17:14 Ferdinando Ametrano * [r4771] ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: 1) calculate method introduced, which encapsulates common code 2) controlVariateValue() introduced 3) brownianBridge explicit parameter introduced 2004-09-17 17:11 Ferdinando Ametrano * [r4770] ql/PricingEngines/mcsimulation.hpp: 1) calculate method introduced, which encapsulates common code 2) controlVariateValue() introduced 2004-09-17 16:59 Ferdinando Ametrano * [r4769] Examples/DiscreteHedging/DiscreteHedging.cpp: no message 2004-09-17 15:23 Ferdinando Ametrano * [r4768] ql/MonteCarlo/multipathgenerator.hpp: default value added (Warning: true case is not implemented) 2004-09-17 15:21 Ferdinando Ametrano * [r4767] Examples/DiscreteHedging/DiscreteHedging.cpp: implied boleean meaning revealed 2004-09-17 15:13 Ferdinando Ametrano * [r4766] ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp: implied boleean meaning revealed 2004-09-17 12:15 Luigi Ballabio * [r4765] functions/ql/Functions/qlfunctions.hpp, ql/discretizedasset.hpp, test-suite/basketoption.cpp, test-suite/europeanoption.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/termstructures.cpp: Removed gcc warnings 2004-09-17 09:06 Luigi Ballabio * [r4764] Makefile.am, ql/Calendars/germany.hpp, ql/Calendars/italy.hpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/target.hpp, ql/Calendars/unitedkingdom.hpp, ql/Calendars/unitedstates.hpp, ql/Currencies/exchangeratemanager.hpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.hpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/factorial.hpp, ql/Math/gammadistribution.hpp, ql/Math/kronrodintegral.hpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.hpp, ql/Math/riskstatistics.hpp, ql/Math/rounding.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/statistics.hpp, ql/Math/svd.hpp, ql/Math/symmetricschurdecomposition.hpp, ql/Math/trapezoidintegral.hpp, ql/Optimization/constraint.hpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.hpp, ql/PricingEngines/Cliquet/analyticperformanceengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/juquadraticengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/RandomNumbers/faurersg.hpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomizedlds.hpp, ql/RandomNumbers/seedgenerator.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/calendar.hpp, ql/currency.hpp, ql/date.hpp, ql/exchangerate.hpp, ql/instrument.hpp, ql/money.hpp, ql/qldefines.hpp, ql/quote.hpp, ql/termstructure.hpp, test-suite/americanoption.hpp, test-suite/asianoptions.hpp, test-suite/barrieroption.hpp, test-suite/basketoption.hpp, test-suite/calendars.hpp, test-suite/capfloor.hpp, test-suite/cliquetoption.hpp, test-suite/compoundforward.hpp, test-suite/covariance.hpp, test-suite/dates.hpp, test-suite/daycounters.hpp, test-suite/digitaloption.hpp, test-suite/distributions.hpp, test-suite/dividendeuropeanoption.hpp, test-suite/europeanoption.hpp, test-suite/exchangerate.hpp, test-suite/factorial.hpp, test-suite/forwardoption.hpp, test-suite/instruments.hpp, test-suite/integrals.hpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.hpp, test-suite/lowdiscrepancysequences.hpp, test-suite/matrices.hpp, test-suite/mersennetwister.hpp, test-suite/money.hpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.hpp, test-suite/quantooption.hpp, test-suite/quotes.hpp, test-suite/riskstats.hpp, test-suite/rounding.hpp, test-suite/solvers.hpp, test-suite/stats.hpp, test-suite/swap.hpp, test-suite/swaption.hpp, test-suite/termstructures.hpp: Removed Doxygen warnings 2004-09-16 15:17 Luigi Ballabio * [r4763] test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/matrices.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.hpp: Added some support for teardown function in test cases 2004-09-16 13:02 Luigi Ballabio * [r4762] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2004-09-16 13:02 Luigi Ballabio * [r4761] ql/RandomNumbers/sobolrsg.hpp: Removed Cantor-like diagonal selection 2004-09-16 13:01 Luigi Ballabio * [r4760] ql/errors.cpp: Added gcc format for errors (better, although not perfect, integration with Emacs) 2004-09-16 10:14 Ferdinando Ametrano * [r4759] ql/RandomNumbers/randomizedlds.hpp: no message 2004-09-16 10:13 Ferdinando Ametrano * [r4758] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: intSequence() method exposed 2004-09-16 09:49 Luigi Ballabio * [r4757] ql/RandomNumbers/randomizedlds.hpp: Made some justice to hyphens and such 2004-09-16 09:37 Luigi Ballabio * [r4756] ql/FiniteDifferences/finitedifferencemodel.hpp: Fixed bug which caused only one stopping time per FD step to be used 2004-09-16 09:37 Luigi Ballabio * [r4755] Docs/pages/findiff.docs: Tagged doc page as outdated 2004-09-16 08:16 Luigi Ballabio * [r4754] News.txt, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/capvolstructures.hpp, ql/swaptionvolstructure.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/quantlibtestsuite.cpp: Derived volatility term structures from BaseTermStructure 2004-09-15 15:00 Luigi Ballabio * [r4753] ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/seedgenerator.cpp, ql/RandomNumbers/seedgenerator.hpp, test-suite/lowdiscrepancysequences.cpp: Re-implemented seed generator as singleton 2004-09-15 14:57 Luigi Ballabio * [r4752] ql/Patterns/singleton.hpp: Addressed quirks of both gcc and vc 2004-09-15 11:13 Ferdinando Ametrano * [r4751] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: added random seed generator test 2004-09-15 11:10 Ferdinando Ametrano * [r4750] ql/RandomNumbers/seedgenerator.cpp, ql/RandomNumbers/seedgenerator.hpp: added random seed generator 2004-09-15 09:27 Ferdinando Ametrano * [r4749] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: clean up 2004-09-15 09:24 Ferdinando Ametrano * [r4748] ql/errors.cpp: file name and line number on a new line with Boost-like formatting. This allows improved integration in Visual Studio: a double click on the message will jump to the correct file and line 2004-09-14 16:36 Ferdinando Ametrano * [r4747] News.txt: updated 2004-09-14 16:29 Ferdinando Ametrano * [r4746] ql/RandomNumbers/randomizedlds.hpp, test-suite/lowdiscrepancysequences.cpp: typo fixed 2004-09-14 16:23 Ferdinando Ametrano * [r4745] QuantLib.vcproj, ql/RandomNumbers/randomizedlds.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: added randomized low discrepancy sequence generator 2004-09-14 14:44 Ferdinando Ametrano * [r4744] ql/RandomNumbers/inversecumgaussianrsg.hpp: typo fixed 2004-09-14 13:43 Ferdinando Ametrano * [r4743] ql/RandomNumbers/Makefile.am, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/seedgenerator.cpp, ql/RandomNumbers/seedgenerator.hpp: added random seed generator 2004-09-14 13:39 Ferdinando Ametrano * [r4742] ql/PricingEngines/Vanilla/mcdigitalengine.hpp: removed code already commented out 2004-09-14 09:22 Ferdinando Ametrano * [r4741] test-suite/asianoptions.cpp: no message 2004-09-14 09:15 Ferdinando Ametrano * [r4740] test-suite/asianoptions.cpp: using control variation to speed up discrete arithmetic average price test 2004-09-14 09:08 Ferdinando Ametrano * [r4739] QuantLib.vcproj: catching up 2004-09-14 09:05 Ferdinando Ametrano * [r4738] ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp: control variation added 2004-09-14 09:04 Ferdinando Ametrano * [r4737] ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp: handle seasoned options 2004-09-14 08:53 Ferdinando Ametrano * [r4736] ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp: comment added 2004-09-14 08:53 Ferdinando Ametrano * [r4735] ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp: now it can be used as control variate for arithmetic average 2004-09-13 17:17 Ferdinando Ametrano * [r4734] ql/PricingEngines/Asian/mcdiscreteasianengine.hpp: formatting 2004-09-13 17:06 Luigi Ballabio * [r4733] Docs/pages/termstructures.docs, Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, News.txt, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/parcoupon.cpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Makefile.am, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/parameter.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/basetermstructure.hpp, ql/core.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, ql/termstructure.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: TermStructure renamed to YieldTermStructure and derived from BaseTermStructure to provide reference-date calculation 2004-09-13 16:59 Luigi Ballabio * [r4732] Docs/pages/config.docs, Docs/quantlib.doxy, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/europeanoption.hpp, ql/Math/factorial.hpp, ql/Math/rounding.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/simplex.hpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/exchangerate.hpp, ql/money.hpp: Removed a few Doxygen warnings 2004-09-13 13:16 Ferdinando Ametrano * [r4731] ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.hpp: removing duplicated code 2004-09-13 12:42 Ferdinando Ametrano * [r4730] test-suite/asianoptions.cpp: purged unused stuff 2004-09-13 12:34 Ferdinando Ametrano * [r4729] ql/PricingEngines/Cliquet/makefile.mak: formatting 2004-09-13 12:33 Ferdinando Ametrano * [r4728] ql/makefile.mak: forgotten folder 2004-09-13 12:03 Ferdinando Ametrano * [r4727] ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp: default constructor 2004-09-13 11:57 Ferdinando Ametrano * [r4726] ql/Instruments/asianoption.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp: updated 2004-09-13 11:36 Ferdinando Ametrano * [r4725] test-suite/asianoptions.cpp: VC6 patch 2004-09-13 11:31 Luigi Ballabio * [r4724] ql/PricingEngines/Vanilla/mceuropeanengine.hpp: Arguments cannot be checked in engine constructor---they are not yet set. 2004-09-13 11:20 Ferdinando Ametrano * [r4723] QuantLib.dsp, QuantLib.mak, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp: updated 2004-09-13 11:14 Ferdinando Ametrano * [r4722] News.txt, QuantLib.vcproj: updated 2004-09-13 11:10 Ferdinando Ametrano * [r4721] test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/old_pricers.cpp: tests for new engines: a) Monte Carlo discrete geometric average price b) Monte Carlo discrete arithmetic average price 2004-09-13 11:09 Ferdinando Ametrano * [r4720] ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Asian/all.hpp, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp, ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp, ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp, ql/PricingEngines/Asian/mcdiscreteasianengine.hpp: new pricing engines: a) Monte Carlo discrete geometric average price b) Monte Carlo discrete arithmetic average price 2004-09-13 11:09 Ferdinando Ametrano * [r4719] ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp, ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp: consistent file/class names 2004-09-13 11:08 Ferdinando Ametrano * [r4718] ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp: deprecated pricers: a) discrete geometric average price b) discrete arithmetic average price 2004-09-13 11:03 Ferdinando Ametrano * [r4717] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp: handling both running sum (arithmetic average) and running product (geometric average) 2004-09-13 09:29 Ferdinando Ametrano * [r4716] ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp: one more check 2004-09-10 17:17 Luigi Ballabio * [r4715] ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/exchangeratemanager.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Instruments/capfloor.cpp, ql/Makefile.am, ql/Patterns/observable.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/core.hpp, ql/date.hpp, ql/money.cpp, ql/settings.hpp, ql/termstructure.hpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/utilities.cpp: Added global evaluation date - used for exchange-rate lookup; - used for past coupon-fixing lookup; - possibly used for determining the reference date of a yield term structure. Still to do: - use it for determining the reference date of volatility term structures. 2004-09-10 12:28 Ferdinando Ametrano * [r4714] ql/PricingEngines/Vanilla/mcvanillaengine.hpp: typo fixed 2004-09-10 12:07 Ferdinando Ametrano * [r4713] ql/Instruments/asianoption.hpp: more comments 2004-09-10 11:37 Ferdinando Ametrano * [r4712] ql/PricingEngines/Vanilla/mceuropeanengine.hpp: Luigi: how could I check for European exercise? Both solutions crash or fail the check... :-( 2004-09-10 11:32 Ferdinando Ametrano * [r4711] ql/PricingEngines/Vanilla/mcdigitalengine.hpp: no message 2004-09-10 11:20 Ferdinando Ametrano * [r4710] ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp: typos fixed 2004-09-10 11:19 Ferdinando Ametrano * [r4709] ql/PricingEngines/Vanilla/mcdigitalengine.hpp: redundant calculate() method removed 2004-09-10 11:18 Ferdinando Ametrano * [r4708] ql/PricingEngines/Vanilla/mcvanillaengine.hpp: check removed 2004-09-10 11:17 Ferdinando Ametrano * [r4707] ql/PricingEngines/Vanilla/mceuropeanengine.hpp: check added 2004-09-10 10:13 Ferdinando Ametrano * [r4706] ql/Pricers/discretegeometricapo.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp: comments and documentation added 2004-09-09 07:49 Ferdinando Ametrano * [r4705] test-suite/lowdiscrepancysequences.cpp: a) discrepancy assignment mismatch fixed. b) removed redundant data: for low dimensions all Sobol' implementation are identical 2004-09-08 13:24 Luigi Ballabio * [r4704] Docs/pages/faq.docs: *** empty log message *** 2004-09-08 12:00 Luigi Ballabio * [r4703] Docs/pages/faq.docs: *** empty log message *** 2004-09-08 07:50 Ferdinando Ametrano * [r4702] News.txt: updated 2004-09-08 07:43 Ferdinando Ametrano * [r4701] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: Sobol' Levitan Lemieux direction numbers tested 2004-09-07 22:19 Ferdinando Ametrano * [r4700] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: documentation improved 2004-09-07 19:30 Ferdinando Ametrano * [r4699] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: Sobol' Levitan Lemiuex initialized Sobol sequences can be used 2004-09-07 16:41 Luigi Ballabio * [r4698] Docs/pages/faq.docs: *** empty log message *** 2004-09-07 08:01 Ferdinando Ametrano * [r4696] test-suite/lowdiscrepancysequences.cpp: Sobol' Levitan direction numbers tested 2004-09-07 07:09 Ferdinando Ametrano * [r4695] test-suite/lowdiscrepancysequences.cpp: Sobol' Levitan direction numbers tested 2004-09-06 18:19 Ferdinando Ametrano * [r4694] test-suite/lowdiscrepancysequences.cpp: typo fixed 2004-09-06 17:44 Ferdinando Ametrano * [r4692] test-suite/lowdiscrepancysequences.cpp: Sobol' Levitan direction numbers tested 2004-09-06 15:07 Ferdinando Ametrano * [r4691] test-suite/lowdiscrepancysequences.cpp: Sobol' Levitan direction numbers tested 2004-09-06 13:17 Ferdinando Ametrano * [r4689] test-suite/lowdiscrepancysequences.cpp: Sobol' Levitan direction numbers tested 2004-09-06 13:14 Ferdinando Ametrano * [r4688] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: Sobol' Levitan direction numbers tested 2004-09-06 13:14 Ferdinando Ametrano * [r4687] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: Sobol' Levitan direction numbers can be used 2004-09-06 09:46 Ferdinando Ametrano * [r4686] ql/RandomNumbers/sobolrsg.cpp: typos fixed 2004-09-06 09:44 Ferdinando Ametrano * [r4685] ql/RandomNumbers/sobolrsg.cpp: adding Sobol' Levitan coefficients of the free direction integers as given by Bratley and Fox. Not used in the code yet. 2004-09-03 09:16 Ferdinando Ametrano * [r4684] test-suite/distributions.cpp: one more check added 2004-09-01 14:44 Ferdinando Ametrano * [r4681] ql/Math/gaussianstatistics.hpp, ql/Math/riskstatistics.hpp: typo fixed 2004-09-01 14:01 Ferdinando Ametrano * [r4679] ql/Math/gaussianstatistics.hpp: added gaussianTopPercentile method (topPercentile for empirical distribution was already available) 2004-09-01 07:32 Ferdinando Ametrano * [r4678] test-suite/asianoptions.cpp: test bug fixed 2004-09-01 07:22 Luigi Ballabio * [r4677] Docs/Makefile.am, Docs/pages/config.docs, Docs/pages/index.docs, Docs/pages/install.docs, Docs/qlintro.tex, Docs/quantlibheader.html: Documented user configuration 2004-09-01 07:22 Ferdinando Ametrano * [r4676] test-suite/asianoptions.cpp: test bug fixed 2004-08-31 12:42 Ferdinando Ametrano * [r4675] test-suite/covariance.cpp: using MatrixFormatter instead of SequanceFormatter (the latter is not available for VC6) 2004-08-31 10:52 Ferdinando Ametrano * [r4674] test-suite/covariance.cpp: Extended test: it now tests a covariance matrix too. 2004-08-31 10:43 Ferdinando Ametrano * [r4673] test-suite/covariance.cpp: Extended test: it now tests a covariance matrix too. 2004-08-31 09:24 Ferdinando Ametrano * [r4672] test-suite/covariance.cpp: Extended test: it now tests a covariance matrix too. 2004-08-31 09:22 Ferdinando Ametrano * [r4671] ql/Math/pseudosqrt.cpp: bug fix 2004-08-31 09:21 Ferdinando Ametrano * [r4670] functions/ql/Functions/qlfunctions.hpp, ql/config.msvc.hpp: improved message 2004-08-31 08:36 Ferdinando Ametrano * [r4668] test-suite/lowdiscrepancysequences.cpp: page reference added 2004-08-30 13:31 Ferdinando Ametrano * [r4667] ql/RandomNumbers/faurersg.hpp: this include order avoids VC6 warnings 2004-08-30 13:09 Ferdinando Ametrano * [r4666] Contributors.txt, Docs/pages/authors.docs: Faure tests documented 2004-08-30 12:53 Luigi Ballabio * [r4665] BUGS.txt, Changes.txt, History.txt, INSTALL.txt, Makefile.am, News.txt, Readme.txt, TODO.txt, memo.txt: Pruned text files 2004-08-30 12:40 Ferdinando Ametrano * [r4664] Changes.txt, test-suite/lowdiscrepancysequences.cpp: Faure tests documented 2004-08-30 10:11 Ferdinando Ametrano * [r4663] ql/config.msvc.hpp: updated error message for VC7 2004-08-26 16:50 Luigi Ballabio * [r4662] ql/RandomNumbers/faurersg.cpp: Fix for Faure rsg 2004-08-26 11:55 Luigi Ballabio * [r4661] ql/Patterns/singleton.hpp: Modified to work (more) reliably with VC++6 2004-08-25 11:21 Ferdinando Ametrano * [r4660] ql/RandomNumbers/primitivepolynomials.c: more comments 2004-08-25 11:09 Ferdinando Ametrano * [r4659] ql/RandomNumbers/primitivepolynomials.c: more comments 2004-08-24 17:59 Ferdinando Ametrano * [r4657] QuantLib.dsp, QuantLib.mak, ql/RandomNumbers/faurersg.cpp: VC6 catching up 2004-08-24 17:50 Ferdinando Ametrano * [r4656] QuantLib.vcproj, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/faurersg.cpp, ql/RandomNumbers/faurersg.hpp, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/sobolrsg.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: added Faure low discrepancy sequences, thanks to Gianni Piolanti 2004-08-24 13:16 Ferdinando Ametrano * [r4655] ql/config.msvc.hpp: VC 7.1 doesn't need HAVE_INCOMPLETE_ITERATOR_SUPPORT and REQUIRES_DUMMY_RETURN 2004-08-23 16:17 Luigi Ballabio * [r4654] Docs/pages/faq.docs: More general section title 2004-08-23 15:56 Ferdinando Ametrano * [r4653] Docs/pages/faq.docs: added VC link FAQ 2004-08-23 14:15 Luigi Ballabio * [r4652] Docs/Makefile.am, Docs/makefile.mak, Docs/pages/faq.docs, Docs/qlintro.tex, Docs/quantlibheader.html, FAQ.txt: Moved FAQ into manual 2004-08-23 10:01 Luigi Ballabio * [r4651] ql/Math/array.hpp, ql/Math/matrix.hpp, test-suite/matrices.cpp: Re-enabled ArrayFormatter and MatrixFormatter for VC6 2004-08-23 10:00 Luigi Ballabio * [r4650] Changes.txt: *** empty log message *** 2004-08-23 09:59 Luigi Ballabio * [r4649] ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp: selectively added typename keyword 2004-08-20 17:41 Ferdinando Ametrano * [r4647] ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp: typename removed (VC6 fix) Luigi: if needed by gcc we'll need a VC6 patch 2004-08-20 17:38 Ferdinando Ametrano * [r4646] ql/currency.hpp: fixed for Borland too 2004-08-20 15:49 Ferdinando Ametrano * [r4645] QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj: Language extensions disabled for all projects but test-suite (boost lib linkage would fail, I don't know why) 2004-08-20 13:36 Ferdinando Ametrano * [r4642] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/DiscreteHedging/ReadMe.txt: link updated 2004-08-20 09:53 Luigi Ballabio * [r4641] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/riskstatistics.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp: Fixes for gcc 3.4 (thanks to Andreas Jochens) 2004-08-20 08:43 Luigi Ballabio * [r4640] ql/config.msvc.hpp, ql/currency.hpp, ql/money.hpp: Moved header inclusion where it belongs 2004-08-20 08:42 Luigi Ballabio * [r4639] ql/CashFlows/cashflowvectors.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/capfloor.cpp: Fix for VC6 2004-08-20 08:07 Luigi Ballabio * [r4638] ql/CashFlows/shortindexedcoupon.hpp: *** empty log message *** 2004-08-20 07:55 Luigi Ballabio * [r4637] test-suite/matrices.cpp: Fixed typo 2004-08-20 07:53 Luigi Ballabio * [r4636] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/Instruments/simpleswap.cpp, test-suite/swap.cpp: moved the QL_USE_INDEXED_COUPON switch into FloatingRateCouponVector (which is now a proxy to IndexedCouponVector) 2004-08-20 07:51 Luigi Ballabio * [r4635] ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp: Specialized Short<> for ParCoupon 2004-08-19 17:09 Ferdinando Ametrano * [r4633] test-suite/matrices.cpp: typo fixed 2004-08-19 17:06 Ferdinando Ametrano * [r4632] test-suite/matrices.cpp: less info for VC6 only 2004-08-19 16:52 Ferdinando Ametrano * [r4631] ql/config.msvc.hpp: QL_PATCH_MICROSOFT renamed as QL_PATCH_MSVC6 and applied only to Microsoft Visual C++ 6 2004-08-19 16:24 Ferdinando Ametrano * [r4630] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/basketoption.cpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/swaption.cpp, ql/Math/array.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/matrix.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/basicdataformatters.hpp, ql/config.msvc.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, test-suite/testsuite.vcproj: QL_PATCH_MICROSOFT renamed as QL_PATCH_MSVC6 and applied only to Microsoft Visual C++ 6 2004-08-19 15:07 Luigi Ballabio * [r4629] ql/Math/array.hpp, ql/Math/matrix.hpp, ql/basicdataformatters.hpp, test-suite/matrices.cpp: Disabled problematic (for VC6) code 2004-08-19 14:23 Ferdinando Ametrano * [r4628] ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp: fixed for VC7.1 with Language Extensions disabled 2004-08-19 14:11 Ferdinando Ametrano * [r4627] ql/PricingEngines/Forward/forwardengine.hpp: fixed for VC7.1 with Language Extensions disabled 2004-08-19 14:02 Ferdinando Ametrano * [r4626] ql/PricingEngines/Forward/forwardperformanceengine.hpp: fixed for VC7.1 with Language Extensions disabled 2004-08-19 13:35 Ferdinando Ametrano * [r4625] ql/PricingEngines/Quanto/quantoengine.hpp: fixed for VC7.1 with Language Extensions disabled 2004-08-19 13:24 Ferdinando Ametrano * [r4624] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/linearinterpolation.hpp, ql/Math/riskstatistics.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/disposable.hpp, ql/money.hpp, ql/solver1d.hpp, test-suite/interpolations.cpp, test-suite/testsuite.vcproj: fixed for VC7.1 with Language Extensions disabled 2004-08-19 10:33 Luigi Ballabio * [r4623] configure.ac, ql/userconfig.hpp: Add par/indexed coupon configuration option to ./configure 2004-08-19 10:32 Luigi Ballabio * [r4622] ql/Currencies/asia.hpp, ql/Currencies/europe.hpp: Added missing data 2004-08-19 06:38 dicesare * [r4621] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: replace dayCounter of dummyIndex with the correct one for Euribor index (Act360) 2004-08-19 06:27 dicesare * [r4620] ql/Instruments/simpleswap.cpp, ql/userconfig.hpp, test-suite/capfloor.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: Add QL_USE_INDEXED_COUPON flag to switch between ParCoupon and UpFrontIndexedCoupon in SimpleSwap. Default is undefined 2004-08-17 15:48 Ferdinando Ametrano * [r4619] ql/PricingEngines/Forward/forwardengine.hpp: more palatable to VC7 (if correct: Luigi?) 2004-08-17 15:44 Luigi Ballabio * [r4618] ql/Currencies/africa.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/oceania.hpp, ql/currency.hpp, ql/money.cpp, quantlib.el: Added format string to currency specification 2004-08-17 15:30 Ferdinando Ametrano * [r4617] ql/disposable.hpp, ql/solver1d.hpp: more palatable to VC7 (if correct: Luigi?) 2004-08-17 13:48 Luigi Ballabio * [r4616] configure.ac, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/qldefines.hpp, test-suite/distributions.cpp, test-suite/operators.cpp: C functions replaced with C++ streams 2004-08-17 13:47 Luigi Ballabio * [r4615] ql/Volatilities/localvolsurface.hpp: Typos fixed 2004-08-17 13:12 Ferdinando Ametrano * [r4614] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, test-suite/testsuite.vcproj: warning avoided ("edit and continue" is now enabled) 2004-08-17 11:54 Ferdinando Ametrano * [r4613] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.vcproj, functions/ql/Functions/QuantLibFunctions.vcproj, test-suite/testsuite.vcproj: few more optimizations enabled 2004-08-17 09:37 Luigi Ballabio * [r4611] Changes.txt, ql/CashFlows/coupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/Patterns/bridge.hpp, ql/daycounter.hpp, ql/exchangerate.cpp: *** empty log message *** 2004-08-17 09:34 Luigi Ballabio * [r4610] ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp: day counter added (to be used for spread and past fixings) 2004-08-17 09:31 Luigi Ballabio * [r4609] ql/CashFlows/indexcashflowvectors.hpp: A bit more documentation 2004-08-17 09:29 Luigi Ballabio * [r4608] ql/exercise.cpp: Added check for null date vector 2004-08-17 09:25 Luigi Ballabio * [r4607] Docs/pages/history.docs, History.txt, News.txt: *** empty log message *** 2004-08-17 09:00 Ferdinando Ametrano * [r4605] Docs/pages/usage.docs: updated for VC7 (.NET) 2004-08-17 08:01 Ferdinando Ametrano * [r4604] ql/exchangerate.cpp: Borland warning avoided 2004-08-17 07:47 Luigi Ballabio * [r4603] ql/Currencies/exchangeratemanager.hpp, ql/exchangerate.cpp, ql/exchangerate.hpp: Fix for incomplete data type in ExchangeRate 2004-08-17 07:45 Luigi Ballabio * [r4602] ql/Currencies/exchangeratemanager.cpp: Fix for triangulated lookup 2004-08-17 07:44 Luigi Ballabio * [r4601] ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp: Added correct constness to methods 2004-08-17 07:44 Luigi Ballabio * [r4600] ql/Indexes/xibor.cpp, ql/Instruments/stock.cpp, ql/Instruments/swap.cpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/quote.hpp, ql/relinkablehandle.hpp: Fixed Handle documentation; deprecated isNull() in favor of empty() 2004-08-17 07:37 Luigi Ballabio * [r4599] Docs/pages/resources.docs: Links fixed 2004-08-17 07:27 Ferdinando Ametrano * [r4598] QuantLib.dsp, QuantLib.dsw, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: VC6 catching up 2004-08-17 07:19 Ferdinando Ametrano * [r4597] ql/Currencies/makefile.mak, ql/Indexes/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Borland catching up 2004-08-17 07:08 Ferdinando Ametrano * [r4596] ql/Math/chisquaredistribution.hpp: VC7 catching up 2004-08-16 20:31 dicesare * [r4595] ql/CashFlows/indexcashflowvectors.hpp: clean documentation 2004-08-16 16:16 Ferdinando Ametrano * [r4594] QuantLib.vcproj, test-suite/testsuite.vcproj: VC7 catching up 2004-08-16 11:26 Luigi Ballabio * [r4593] Changes.txt, ql/Calendars/all.hpp, ql/Math/comparison.hpp, ql/errors.cpp, ql/userconfig.hpp, quantlib.el: *** empty log message *** 2004-08-16 11:24 Luigi Ballabio * [r4592] ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/TermStructures/ratehelpers.cpp: Using new currency objects 2004-08-16 11:23 Luigi Ballabio * [r4591] ql/CashFlows/parcoupon.cpp, ql/Indexes/xibor.cpp: Using new index manager 2004-08-16 11:22 Luigi Ballabio * [r4590] ql/Indexes/Makefile.am, ql/Indexes/core.hpp, ql/Indexes/indexmanager.cpp, ql/Indexes/indexmanager.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp: New index manager added 2004-08-16 11:16 Luigi Ballabio * [r4589] ql/Currencies, ql/Currencies/.cvsignore, ql/Currencies/Makefile.am, ql/Currencies/all.hpp, ql/Currencies/exchangeratemanager.cpp, ql/Currencies/exchangeratemanager.hpp, ql/Patterns/Makefile.am, ql/Patterns/all.hpp, ql/Patterns/singleton.hpp: Exchange-rate manager added (with smart lookup) 2004-08-16 11:16 Luigi Ballabio * [r4588] ql/Makefile.am, ql/core.hpp, ql/exchangerate.cpp, ql/exchangerate.hpp, ql/money.cpp, ql/money.hpp, test-suite/Makefile.am, test-suite/exchangerate.cpp, test-suite/exchangerate.hpp, test-suite/money.cpp, test-suite/money.hpp, test-suite/quantlibtestsuite.cpp: Money and ExchangeRate classes added 2004-08-16 11:13 Luigi Ballabio * [r4587] ql/Currencies/africa.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/europe.hpp, ql/Currencies/oceania.hpp, ql/currency.cpp, ql/currency.hpp: A currency object is now less expensive to create or copy 2004-08-04 19:17 dicesare * [r4586] ql/CashFlows/indexcashflowvectors.hpp: Correction of msvc6 bug with template function 2004-08-03 19:46 dicesare * [r4585] ql/exercise.cpp: Type for BermudanExercise is "Bermudan" and not "American". 2004-08-03 19:42 dicesare * [r4584] ql/basicdataformatters.hpp: add std::string header 2004-07-20 16:22 Luigi Ballabio * [r4576] Changes.txt: *** empty log message *** 2004-07-20 15:45 Luigi Ballabio * [r4574] ql/DayCounters/actualactual.cpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/multiassetoption.hpp, ql/Makefile.am, ql/Math/array.hpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/chisquaredistribution.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.cpp, ql/Math/sequencestatistics.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp, ql/RandomNumbers/sobolrsg.cpp, ql/TermStructures/affinetermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancesurface.cpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/currency.cpp, ql/currency.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/date.cpp, ql/date.hpp, ql/discretizedasset.hpp, ql/grid.hpp, ql/history.hpp, ql/option.hpp, ql/schedule.cpp, ql/solver1d.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/americanoption.cpp, test-suite/barrieroption.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/matrices.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Moved data formatters with their classes (which tries to minimize coupling between headers) 2004-07-20 07:11 Luigi Ballabio * [r4573] ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp: Left only basic data formatters in basicdataformatters 2004-07-19 15:54 Luigi Ballabio * [r4571] ql/Currencies/Makefile.am, ql/Currencies/africa.hpp, ql/Currencies/all.hpp, ql/Currencies/america.hpp, ql/Currencies/asia.hpp, ql/Currencies/audcurrency.hpp, ql/Currencies/cadcurrency.hpp, ql/Currencies/chfcurrency.hpp, ql/Currencies/demcurrency.hpp, ql/Currencies/eurcurrency.hpp, ql/Currencies/europe.hpp, ql/Currencies/gbpcurrency.hpp, ql/Currencies/itlcurrency.hpp, ql/Currencies/jpycurrency.hpp, ql/Currencies/oceania.hpp, ql/Currencies/usdcurrency.hpp, ql/Currencies/zarcurrency.hpp: More currencies added; partitioned by continent 2004-07-16 15:55 Luigi Ballabio * [r4569] configure.ac, ql/Currencies, ql/Currencies/.cvsignore, ql/Currencies/Makefile.am, ql/Currencies/all.hpp, ql/Currencies/audcurrency.hpp, ql/Currencies/cadcurrency.hpp, ql/Currencies/chfcurrency.hpp, ql/Currencies/demcurrency.hpp, ql/Currencies/eurcurrency.hpp, ql/Currencies/gbpcurrency.hpp, ql/Currencies/itlcurrency.hpp, ql/Currencies/jpycurrency.hpp, ql/Currencies/usdcurrency.hpp, ql/Currencies/zarcurrency.hpp, ql/Makefile.am, ql/Math/rounding.cpp, ql/Math/rounding.hpp, ql/currency.hpp, ql/quantlib.hpp, quantlib.el, test-suite/rounding.cpp: Added a few currency classes 2004-07-15 09:42 Luigi Ballabio * [r4568] ql/MonteCarlo/pathpricer.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp: path pricers can choose how to discount payoff 2004-07-12 13:09 Luigi Ballabio * [r4561] Examples/BermudanSwaption/BermudanSwaption.cpp: Using G2 for pricing (slowish--number of steps was reduced) 2004-07-12 10:32 Luigi Ballabio * [r4560] acinclude.m4, configure.ac, ql/null.hpp, ql/qldefines.hpp: *** empty log message *** 2004-07-07 17:09 Ferdinando Ametrano * [r4554] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak, test-suite/testsuite.mak: catching up 2004-07-07 17:00 Ferdinando Ametrano * [r4553] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.sln, QuantLib.vcproj, functions/ql/Functions/makefile.mak, makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/makefile.mak, ql/makefile.mak: catching up 2004-07-07 16:49 Luigi Ballabio * [r4552] Docs/pages/install.docs, INSTALL.txt, QuantLib.nsi, QuantLib.sln, functions/ql/Functions/Makefile.am: Merged 0.3.7 branch 2004-07-07 14:37 Luigi Ballabio * [r4544] ., .cvsignore, Authors.txt, BUGS.txt, ChangeLog.txt, Contributors.txt, Docs, Docs/.cvsignore, Docs/Examples, Docs/Examples/.cvsignore, Docs/Makefile.am, Docs/images, Docs/images/.cvsignore, Docs/images/QL.eps, Docs/pages, Docs/pages/.cvsignore, Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/overview.docs, Docs/pages/usage.docs, Docs/quantlib.doxy, Examples, Examples/.cvsignore, Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/EuropeanOption/EuropeanOption.mak, Examples/EuropeanOption/quanto.leftover, Examples/Examples.dsw, Examples/Examples.sln, Examples/Makefile.am, Examples/Swap, Examples/Swap/.cvsignore, Examples/Swap/Swap.mak, FAQ.txt, History.txt, INSTALL.txt, Makefile.am, News.txt, QuantLib.mak, QuantLib.nsi, QuantLib.sln, Readme.txt, acinclude.m4, config, config/.cvsignore, configure.ac, dev_tools/tgz2zip, functions, functions/.cvsignore, functions/ql, functions/ql/.cvsignore, functions/ql/Functions, functions/ql/Functions/.cvsignore, man, man/.cvsignore, ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/CashFlows, ql/CashFlows/.cvsignore, ql/DayCounters, ql/DayCounters/.cvsignore, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/Indexes, ql/Indexes/.cvsignore, ql/Instruments, ql/Instruments/.cvsignore, ql/Lattices, ql/Lattices/.cvsignore, ql/Makefile.am, ql/Math, ql/Math/.cvsignore, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/Optimization, ql/Optimization/.cvsignore, ql/Patterns, ql/Patterns/.cvsignore, ql/Pricers, ql/Pricers/.cvsignore, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/PricingEngines/Asian, ql/PricingEngines/Asian/.cvsignore, ql/PricingEngines/Barrier, ql/PricingEngines/Barrier/.cvsignore, ql/PricingEngines/Basket, ql/PricingEngines/Basket/.cvsignore, ql/PricingEngines/CapFloor, ql/PricingEngines/CapFloor/.cvsignore, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/Cliquet, ql/PricingEngines/Cliquet/.cvsignore, ql/PricingEngines/Forward, ql/PricingEngines/Forward/.cvsignore, ql/PricingEngines/Quanto, ql/PricingEngines/Quanto/.cvsignore, ql/PricingEngines/Swaption, ql/PricingEngines/Swaption/.cvsignore, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Vanilla, ql/PricingEngines/Vanilla/.cvsignore, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/Utilities, ql/Utilities/.cvsignore, ql/Volatilities, ql/Volatilities/.cvsignore, ql/calendar.cpp, quantlib-config.in, test-suite, test-suite/.cvsignore, test-suite/Makefile.am, test-suite/testsuite.mak: Merged 0.3.7 branch 2004-07-05 07:40 Luigi Ballabio * [r4527] Changes.txt: *** empty log message *** 2004-06-28 15:39 Luigi Ballabio * [r4519] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/MonteCarlo/pathpricer.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/blackmodel.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/parameter.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/quote.hpp, ql/relinkablehandle.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, quantlib.el, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/instruments.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp: Renamed RelinkableHandle to Handle (it is now available and it's shorter) 2004-06-20 11:29 Luigi Ballabio * [r4518] ql/discretizedasset.hpp: *** empty log message *** 2004-06-17 16:52 Luigi Ballabio * [r4517] Changes.txt: *** empty log message *** 2004-06-17 16:50 Luigi Ballabio * [r4516] ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/Swaption/discretizedswaption.cpp: Added current coupon to discretized swap and cap/floor 2004-06-16 16:27 Luigi Ballabio * [r4513] Changes.txt, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/discretizedasset.hpp: Completed reworking (for the time being) 2004-06-16 14:28 Luigi Ballabio * [r4512] ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp: Some more discretized-asset reworking 2004-06-16 13:58 Luigi Ballabio * [r4511] ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/discretizedasset.hpp: Some more reworking 2004-06-16 07:26 Luigi Ballabio * [r4510] ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/numericalmethod.hpp: Some more reworking 2004-06-15 14:37 Luigi Ballabio * [r4509] Changes.txt: Added file for logging changes 2004-06-15 14:30 Luigi Ballabio * [r4508] ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/numericalmethod.hpp: Partial reworking of discretized assets and numerical methods 2004-06-14 13:34 Luigi Ballabio * [r4506] ql/PricingEngines/Vanilla/Makefile.am: *** empty log message *** 2004-06-11 21:16 Neil Firth * [r4505] test-suite/americanoption.cpp, test-suite/americanoption.hpp: Implemented Ju 1999 "An Approximate Formula For Pricing American Option" Journal of Derivatives, Winter 1999 This is a more accurate quadratic style approximation, like BAW. Note that the critical stock price routine is identical. I haven't implemented the equation in Ju yet, but the BAW routine seems to work fine. Type in Exhbits 4 and 5 if you have some spare time... 2004-06-11 21:15 Neil Firth * [r4504] ql/PricingEngines/Vanilla/juquadraticengine.cpp, ql/PricingEngines/Vanilla/juquadraticengine.hpp: Implemented Ju 1999 "An Approximate Formula For Pricing American Option" Journal of Derivatives, Winter 1999 This is a more accurate quadratic style approximation, like BAW. Note that the critical stock price routine is identical. I haven't implemented the equation in Ju yet, but the BAW routine seems to work fine. 2004-06-10 13:10 Luigi Ballabio * [r4500] Docs/quantlib.doxy, QuantLib.dsp, QuantLib.nsi, QuantLib.vcproj, configure.ac, dev_tools/version_number.txt, functions/ql/Functions/QuantLibFunctions.vcproj, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/frankfurt.hpp, ql/Calendars/london.hpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Indexes/xibor.hpp, ql/Instruments/payoffs.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Makefile.am, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/path.hpp, ql/Patterns/bridge.hpp, ql/Patterns/composite.hpp, ql/Patterns/observable.hpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/cliquetoptionpricer.cpp, ql/Pricers/cliquetoptionpricer.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/dividendeuropeanoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/americanpayoffatexpiry.cpp, ql/PricingEngines/americanpayoffathit.cpp, ql/PricingEngines/blackformula.cpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/core.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/calendar.hpp, ql/core.hpp, ql/currency.hpp, ql/diffusionprocess.hpp, ql/handle.hpp, ql/instrument.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/qldefines.hpp, ql/schedule.cpp, ql/schedule.hpp, ql/stochasticprocess.hpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/quantooption.cpp: Increased version number and removed deprecated stuff 2004-06-10 09:17 Luigi Ballabio * [r4498] Makefile.am, QuantLib.spec.in, dev_tools/version_number.txt, functions/ql/Functions/Makefile.am, ql/qldefines.hpp: *** empty log message *** 2004-06-09 16:16 Ferdinando Ametrano * [r4497] QuantLib.dsp, QuantLib.mak: catching up 2004-06-09 15:26 Ferdinando Ametrano * [r4496] QuantLib.sln, QuantLib.vcproj, ql/makefile.mak: catching up 2004-06-09 08:43 Luigi Ballabio * [r4495] ql/PricingEngines/blackformula.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp: Added known bugs to docs 2004-06-08 14:33 Luigi Ballabio * [r4494] ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.hpp, ql/Makefile.am, ql/core.hpp, ql/marketelement.hpp, ql/quote.hpp, ql/schedule.cpp, ql/schedule.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/quotes.cpp, test-suite/quotes.hpp: Renamed files named after obsolete classes 2004-06-08 13:50 Luigi Ballabio * [r4493] Examples/EuropeanOption/EuropeanOption.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, test-suite/europeanoption.cpp: Made syntax palatable to VC6 2004-06-08 09:31 Ferdinando Ametrano * [r4492] Examples/BermudanSwaption/BermudanSwaption.cpp: lighter and easier example 2004-06-08 09:30 Ferdinando Ametrano * [r4491] QuantLib.vcproj, ql/PricingEngines/Swaption/makefile.mak: catching up 2004-06-08 09:28 Ferdinando Ametrano * [r4490] ql/ShortRateModels/TwoFactorModels/g2.cpp: (-1.0, 1.0) constraint for rho 2004-06-08 09:26 Ferdinando Ametrano * [r4489] ql/Optimization/criteria.hpp: no message 2004-06-08 08:18 Luigi Ballabio * [r4488] ql/Calendars/germany.hpp: *** empty log message *** 2004-06-07 16:32 Ferdinando Ametrano * [r4486] Examples/BermudanSwaption/BermudanSwaption.cpp: more readable inputs 2004-06-07 15:54 Ferdinando Ametrano * [r4485] Examples/BermudanSwaption/BermudanSwaption.cpp: more readable inputs 2004-06-07 15:41 Ferdinando Ametrano * [r4484] Examples/BermudanSwaption/BermudanSwaption.cpp: using G2 (with unsatisfactory results...) 2004-06-07 15:39 Ferdinando Ametrano * [r4483] ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp: default value for rho (-0.75) acceptable given the bounday constraint on rho (-1.0, -0.65) 2004-06-07 12:31 Luigi Ballabio * [r4482] ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Swaption/g2swaptionengine.cpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp: Saved a file (it was but one line after all) 2004-06-07 12:30 Luigi Ballabio * [r4481] ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp: untabified 2004-06-07 12:04 Ferdinando Ametrano * [r4480] QuantLib.nsi: updated 2004-06-07 10:51 Ferdinando Ametrano * [r4479] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.mak, test-suite/testsuite.mak: updated 2004-06-07 10:49 Ferdinando Ametrano * [r4478] QuantLib.vcproj, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Swaption/g2swaptionengine.cpp, ql/PricingEngines/Swaption/g2swaptionengine.hpp, ql/PricingEngines/Swaption/makefile.mak, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp: Mike Parker's G2 contribution added 2004-06-07 10:48 Ferdinando Ametrano * [r4477] ql/ShortRateModels/parameter.hpp: richer error message 2004-06-07 10:18 Ferdinando Ametrano * [r4476] ql/Calendars/unitedstates.cpp: removing unused variables 2004-06-07 09:27 Luigi Ballabio * [r4475] test-suite/calendars.hpp: Added test description 2004-06-04 17:49 Ferdinando Ametrano * [r4474] test-suite/calendars.cpp, test-suite/calendars.hpp: more tests added 2004-06-04 17:49 Ferdinando Ametrano * [r4473] ql/Calendars/unitedkingdom.hpp: to do 2004-06-04 17:48 Ferdinando Ametrano * [r4472] ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp: bug fix 2004-06-04 17:41 Ferdinando Ametrano * [r4471] ql/makefile.mak: it doesn't purge VC files anymore 2004-06-04 16:50 Luigi Ballabio * [r4470] functions/ql/Functions/Makefile.am, ql/Calendars/Makefile.am, test-suite, test-suite/.cvsignore, test-suite/Makefile.am: Fixes for autotools 2004-06-04 16:43 Luigi Ballabio * [r4469] ql/calendar.cpp, ql/calendar.hpp, test-suite/calendars.cpp: Removed function reading from file 2004-06-04 15:49 Ferdinando Ametrano * [r4468] QuantLib.dsp, QuantLib.dsw, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: VC6 catching up 2004-06-04 15:47 Ferdinando Ametrano * [r4467] QuantLib.sln, QuantLib.vcproj, ql/Calendars/germany.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp: Frankfurt calendar deprecated. Germany calendars added: public, Frankfurt Stock Exchange, Xetra, Eurex 2004-06-04 15:35 Ferdinando Ametrano * [r4466] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/germany.cpp, ql/Calendars/germany.hpp, ql/Calendars/makefile.mak, ql/Calendars/xetra.cpp, ql/Calendars/xetra.hpp: Frankfurt calendar deprecated. Germany calendars added: public, Frankfurt Stock Exchange, Xetra, Eurex 2004-06-04 11:42 Ferdinando Ametrano * [r4465] test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/makefile.mak, test-suite/testsuite.vcproj: added check for TARGET and US calendars. Test-suite now also depends on QuantLibFunctions 2004-06-04 11:40 Ferdinando Ametrano * [r4464] functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/calendars.cpp, functions/ql/Functions/calendars.hpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/makefile.mak, functions/ql/Functions/mathf.hpp, functions/ql/Functions/qlfunctions.hpp, functions/ql/Functions/vols.hpp: added holidayList as non-member, non-friend Calendar function 2004-06-04 10:54 Ferdinando Ametrano * [r4463] ql/Calendars/target.cpp, ql/Calendars/target.hpp: more info 2004-06-04 08:33 Ferdinando Ametrano * [r4462] Docs/pages/overview.docs: updated 2004-06-04 08:27 Ferdinando Ametrano * [r4461] ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp: bug Fix: new year's eve is not holiday, even if January 1st is on Saturday 2004-06-03 09:14 Luigi Ballabio * [r4460] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.dsp, ql/dataformatters.cpp, ql/dataformatters.hpp, test-suite/testsuite.mak: Disabled code causing internal compiler error (not essential anyway--just an operator <<) 2004-05-31 14:42 Luigi Ballabio * [r4459] Docs/Makefile.am, Docs/quantlib.doxy, Docs/quantlibheader.html, test-suite/americanoption.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/barrieroption.hpp, test-suite/basketoption.hpp, test-suite/calendars.hpp, test-suite/capfloor.hpp, test-suite/cliquetoption.hpp, test-suite/compoundforward.hpp, test-suite/covariance.hpp, test-suite/dates.hpp, test-suite/daycounters.hpp, test-suite/digitaloption.hpp, test-suite/distributions.hpp, test-suite/dividendeuropeanoption.hpp, test-suite/europeanoption.hpp, test-suite/factorial.hpp, test-suite/forwardoption.hpp, test-suite/instruments.hpp, test-suite/integrals.hpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/matrices.hpp, test-suite/mersennetwister.hpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.hpp, test-suite/quantooption.hpp, test-suite/quotes.hpp, test-suite/riskstats.hpp, test-suite/rounding.hpp, test-suite/solvers.hpp, test-suite/stats.hpp, test-suite/swap.hpp, test-suite/swaption.hpp, test-suite/termstructures.hpp: Documented test suite 2004-05-28 14:08 Luigi Ballabio * [r4458] ql/Instruments/simpleswap.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/calendar.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp: Removed last traces of 'rolling convention' 2004-05-28 13:10 Luigi Ballabio * [r4457] ql/CashFlows/basispointsensitivity.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Indexes/xibor.hpp, ql/Instruments/swap.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/pseudosqrt.hpp, ql/MonteCarlo/multipath.hpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/exercise.hpp, ql/grid.hpp, ql/option.hpp, ql/scheduler.hpp, ql/solver1d.hpp: Documentation clean-up 2004-05-28 13:09 Luigi Ballabio * [r4456] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp: Removed dependency from deprecated features 2004-05-28 12:00 Luigi Ballabio * [r4455] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/scheduler.cpp, ql/scheduler.hpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Removed some redudant 'isAdjusted' parameter---Unadjusted can be used instead 2004-05-27 15:06 Luigi Ballabio * [r4454] ql/Calendars/zurich.cpp: Fixed erroneous check (thanks to Francesco Perissin) 2004-05-27 12:11 Luigi Ballabio * [r4452] ql/Indexes/xibor.hpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/currency.hpp: Renamed Currency to CurrencyTag in order to free the name for after next release 2004-05-27 09:59 Luigi Ballabio * [r4451] ql/calendar.cpp, ql/calendar.hpp, quantlib.el: QuantLib::None is too general a name for a business day convention 2004-05-26 14:18 Ferdinando Ametrano * [r4449] ql/calendar.cpp, ql/calendar.hpp: RollingConvention has been renamed BusinessDayConvention, as in ISDA definitions. 2004-05-26 14:03 Ferdinando Ametrano * [r4448] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, News.txt, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/coupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/Indexes/xibor.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/scheduler.cpp, ql/scheduler.hpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: RollingConvention has been renamed BusinessDayConvention, as in ISDA definitions. 2004-05-26 12:48 Luigi Ballabio * [r4447] ChangeLog.txt: *** empty log message *** 2004-05-26 12:38 Ferdinando Ametrano * [r4446] ql/Instruments/payoffs.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/americanpayoffatexpiry.cpp, ql/PricingEngines/americanpayoffathit.cpp, ql/PricingEngines/blackformula.cpp, ql/basicdataformatters.cpp, ql/option.hpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/forwardoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/quantooption.cpp: deprecating Straddle in {Call, Put, Straddle} enum 2004-05-26 12:35 Ferdinando Ametrano * [r4445] QuantLib.vcproj: missing file 2004-05-26 12:34 Ferdinando Ametrano * [r4444] Docs/pages/overview.docs, News.txt: updated 2004-05-25 16:41 Luigi Ballabio * [r4443] ql/Math/rounding.cpp, ql/Math/rounding.hpp, test-suite/rounding.cpp, test-suite/rounding.hpp: Fixed test (and docs) for rounding 2004-05-25 13:10 Luigi Ballabio * [r4442] ql/Currencies, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/TermStructures/ratehelpers.cpp, ql/basicdataformatters.cpp, ql/currency.hpp: Moved QUEP 6 implementation to its own branch 2004-05-25 12:15 andrelouw * [r4441] ql/TermStructures/ratehelpers.cpp, ql/basicdataformatters.cpp: Implementation of QUEP 6 2004-05-25 12:03 andrelouw * [r4440] ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp: Implementation of QUEP 6 2004-05-25 10:49 andrelouw * [r4439] ql/Currencies, ql/Currencies/Makefile.am, ql/Currencies/all.hpp, ql/Currencies/audcurrency.cpp, ql/Currencies/audcurrency.hpp, ql/Currencies/cadcurrency.cpp, ql/Currencies/cadcurrency.hpp, ql/Currencies/chfcurrency.cpp, ql/Currencies/chfcurrency.hpp, ql/Currencies/demcurrency.cpp, ql/Currencies/demcurrency.hpp, ql/Currencies/eurcurrency.cpp, ql/Currencies/eurcurrency.hpp, ql/Currencies/exchangerate.cpp, ql/Currencies/exchangerate.hpp, ql/Currencies/gbpcurrency.cpp, ql/Currencies/gbpcurrency.hpp, ql/Currencies/itlcurrency.cpp, ql/Currencies/itlcurrency.hpp, ql/Currencies/jpycurrency.cpp, ql/Currencies/jpycurrency.hpp, ql/Currencies/money.cpp, ql/Currencies/money.hpp, ql/Currencies/ratemanager.cpp, ql/Currencies/ratemanager.hpp, ql/Currencies/usdcurrency.cpp, ql/Currencies/usdcurrency.hpp, ql/Currencies/zarcurrency.cpp, ql/Currencies/zarcurrency.hpp, ql/currency.hpp: Implementation of QUEP 6 2004-05-25 10:11 andrelouw * [r4438] ql/Math/rounding.cpp, ql/Math/rounding.hpp: Added 'Closest' to round depending on rounding digit, changed 'Up'/'Down' to round up or down regardless of rounding digit. 2004-05-25 09:03 Ferdinando Ametrano * [r4437] test-suite/forwardoption.cpp, test-suite/quantooption.cpp, test-suite/quantooption.hpp: added QuantoForwardPerformance tests 2004-05-24 17:37 Ferdinando Ametrano * [r4436] test-suite/quantlibtestsuite.cpp: no message 2004-05-24 17:35 Ferdinando Ametrano * [r4435] test-suite/quantooption.cpp: more QuantoForward test cases 2004-05-24 17:27 Ferdinando Ametrano * [r4434] test-suite/quantooption.cpp: QuantoForward is ok 2004-05-24 17:04 Ferdinando Ametrano * [r4433] test-suite/matrices.cpp: checking ordered eigenvalues 2004-05-24 14:16 Ferdinando Ametrano * [r4432] test-suite/forwardoption.cpp, test-suite/quantooption.cpp: real test cases added. QuantoForward test fails and should be investigated/debugged 2004-05-24 10:17 Ferdinando Ametrano * [r4431] QuantLib.vcproj: catching up 2004-05-24 09:21 Ferdinando Ametrano * [r4430] QuantLib.dsp, QuantLib.mak, ql/Calendars/makefile.mak: catching up 2004-05-21 11:45 Luigi Ballabio * [r4427] ql/Indexes/gbplibor.hpp, ql/Indexes/usdlibor.hpp: Grouped calendars with same country 2004-05-21 11:12 Luigi Ballabio * [r4426] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/greatbritain.cpp, ql/Calendars/greatbritain.hpp, ql/Calendars/italy.cpp, ql/Calendars/italy.hpp, ql/Calendars/london.hpp, ql/Calendars/milan.hpp, ql/Calendars/milanstockexchange.cpp, ql/Calendars/milanstockexchange.hpp, ql/Calendars/newyork.hpp, ql/Calendars/unitedkingdom.cpp, ql/Calendars/unitedkingdom.hpp, ql/Calendars/unitedstates.cpp, ql/Calendars/unitedstates.hpp, ql/Calendars/usexchange.cpp, ql/Calendars/usexchange.hpp, ql/Calendars/usgovernmentbondmarket.cpp, ql/Calendars/usgovernmentbondmarket.hpp, ql/Calendars/xetra.hpp, ql/TermStructures/discountcurve.hpp, test-suite/calendars.cpp: Grouped calendars with same country 2004-05-20 16:32 Ferdinando Ametrano * [r4425] ql/Indexes/gbplibor.hpp, ql/Indexes/usdlibor.hpp: catching up 2004-05-20 16:24 Ferdinando Ametrano * [r4424] test-suite/calendars.cpp: catching up 2004-05-20 16:12 Ferdinando Ametrano * [r4423] QuantLib.vcproj: catching up 2004-05-20 16:11 Ferdinando Ametrano * [r4422] ql/Calendars/london.cpp: adding Xetra calendar. Moving Milan, London, and NewYork to the exchange and/or country approach 2004-05-20 16:00 Ferdinando Ametrano * [r4421] Docs/pages/datetime.docs, Docs/pages/overview.docs, QuantLib.dsp, QuantLib.mak, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/greatbritain.cpp, ql/Calendars/greatbritain.hpp, ql/Calendars/italy.cpp, ql/Calendars/italy.hpp, ql/Calendars/london.hpp, ql/Calendars/makefile.mak, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/milanstockexchange.cpp, ql/Calendars/milanstockexchange.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/usexchange.cpp, ql/Calendars/usexchange.hpp, ql/Calendars/usgovernmentbondmarket.cpp, ql/Calendars/usgovernmentbondmarket.hpp, ql/Calendars/xetra.cpp, ql/Calendars/xetra.hpp, ql/calendar.hpp: adding Xetra calendar. Moving Milan, London, and NewYork to the exchange and/or country approach 2004-05-20 12:12 Luigi Ballabio * [r4420] ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: Separated discretization from stochastic process 2004-05-19 11:48 Luigi Ballabio * [r4418] quantlib-config.in: Required library added to reported options 2004-05-19 10:56 Ferdinando Ametrano * [r4417] QuantLib.dsp, QuantLib.mak: catching up 2004-05-19 10:21 Ferdinando Ametrano * [r4416] QuantLib.vcproj, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Swaption/makefile.mak: catching up 2004-05-19 10:13 Luigi Ballabio * [r4415] ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp: *** empty log message *** 2004-05-19 09:39 Luigi Ballabio * [r4414] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Swaption/blackswaption.cpp, ql/PricingEngines/Swaption/blackswaption.hpp, ql/PricingEngines/Swaption/blackswaptionengine.cpp, ql/PricingEngines/Swaption/blackswaptionengine.hpp, ql/PricingEngines/Swaption/discretizedswaption.cpp, ql/PricingEngines/Swaption/discretizedswaption.hpp, ql/PricingEngines/Swaption/jamshidianswaption.cpp, ql/PricingEngines/Swaption/jamshidianswaption.hpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp, ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp, ql/PricingEngines/Swaption/swaptionpricer.cpp, ql/PricingEngines/Swaption/swaptionpricer.hpp, ql/PricingEngines/Swaption/treeswaption.cpp, ql/PricingEngines/Swaption/treeswaption.hpp, ql/PricingEngines/Swaption/treeswaptionengine.cpp, ql/PricingEngines/Swaption/treeswaptionengine.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, test-suite/swaption.cpp: Renamed swaption engines 2004-05-19 08:53 Luigi Ballabio * [r4413] ql/Instruments/capfloor.cpp, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/CapFloor/all.hpp, ql/PricingEngines/CapFloor/analyticalcapfloor.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.hpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp, ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp, ql/PricingEngines/CapFloor/blackcapfloor.cpp, ql/PricingEngines/CapFloor/blackcapfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloorengine.cpp, ql/PricingEngines/CapFloor/blackcapfloorengine.hpp, ql/PricingEngines/CapFloor/capfloorpricer.cpp, ql/PricingEngines/CapFloor/capfloorpricer.hpp, ql/PricingEngines/CapFloor/discretizedcapfloor.cpp, ql/PricingEngines/CapFloor/discretizedcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloor.cpp, ql/PricingEngines/CapFloor/treecapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloorengine.cpp, ql/PricingEngines/CapFloor/treecapfloorengine.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, test-suite/capfloor.cpp: Renamed cap-floor engines to reflect the fact that, well, they are engines 2004-05-18 14:53 Luigi Ballabio * [r4412] configure.ac, ql/qldefines.hpp, ql/userconfig.hpp: Temporarily disabled user choice of Real type: * choosing Real = float causes quite a few tests to fail due to unsufficient accuracy (maybe tolerances could be made dependent on the chosen type?) * choosing Real = long double causes a few tests to fail for an unknown reason. Investigation is required. 2004-05-18 14:49 Luigi Ballabio * [r4411] ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: Moved observability upwards 2004-05-18 13:39 Luigi Ballabio * [r4410] Docs/pages/history.docs, History.txt, News.txt: Rewriting history 2004-05-18 13:05 Ferdinando Ametrano * [r4409] ql/Math/gaussianstatistics.hpp, ql/Math/riskstatistics.hpp: typo fixed and comments added/improved 2004-05-18 12:42 Ferdinando Ametrano * [r4408] ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, test-suite/europeanoption.cpp: Borland test doesn't fail anymore 2004-05-18 10:43 Luigi Ballabio * [r4407] ql/Math/linearinterpolation.hpp: Answer: the check was already performed by the base class 2004-05-18 10:39 Ferdinando Ametrano * [r4406] QuantLib.dsp, QuantLib.mak, QuantLib.vcproj, ql/PricingEngines/Cliquet/makefile.mak: catching up 2004-05-18 10:22 Ferdinando Ametrano * [r4405] ql/Math/linearinterpolation.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp: warning avoided 2004-05-18 10:02 Ferdinando Ametrano * [r4404] QuantLib.dsp, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: catching up 2004-05-18 09:40 Ferdinando Ametrano * [r4403] QuantLib.vcproj, ql/Math/makefile.mak, ql/PricingEngines/makefile.mak, test-suite/makefile.mak, test-suite/testsuite.vcproj: catching up 2004-05-18 08:56 Luigi Ballabio * [r4402] ql/PricingEngines/Makefile.am: Moved ridiculously long inline methods into cpp files 2004-05-17 16:40 Luigi Ballabio * [r4401] ql/Instruments/payoffs.hpp, ql/Math/choleskydecomposition.cpp, ql/Math/cubicspline.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/CapFloor/blackcapfloor.cpp, ql/PricingEngines/CapFloor/capfloorpricer.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/americanpayoffatexpiry.cpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.cpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/mcsimulation.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/Volatilities/localvolsurface.cpp, ql/voltermstructure.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/riskstats.cpp: Removed ambiguities when Real != double 2004-05-17 07:26 Luigi Ballabio * [r4400] acinclude.m4, configure.ac, ql/Math/gammadistribution.cpp, ql/Math/incrementalstatistics.cpp, ql/Math/normaldistribution.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/mcsimulation.hpp, ql/Solvers1D/ridder.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/dataformatters.hpp, ql/null.hpp, ql/qldefines.hpp, ql/types.hpp, ql/userconfig.hpp, test-suite/riskstats.cpp: It is now possible to choose which built-in type to use for real and integer quantities 2004-05-17 07:22 Luigi Ballabio * [r4399] ql/Lattices/lattice.cpp: Fixed check for equality 2004-05-14 12:08 Luigi Ballabio * [r4398] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp: Real, Integer and such are now used throughout the library 2004-05-14 11:37 Luigi Ballabio * [r4397] test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/dates.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/integrals.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/matrices.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: More Reals and stuff 2004-05-14 09:49 Luigi Ballabio * [r4396] functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp: More Reals and stuff 2004-05-14 09:16 Luigi Ballabio * [r4395] ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp: More Reals and stuff 2004-05-13 16:30 Luigi Ballabio * [r4393] ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.hpp: More Reals and stuff 2004-05-13 14:53 Luigi Ballabio * [r4392] ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.cpp, ql/PricingEngines/CapFloor/blackcapfloor.cpp, ql/PricingEngines/CapFloor/blackcapfloor.hpp, ql/PricingEngines/CapFloor/capfloorpricer.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/blackswaption.cpp, ql/PricingEngines/Swaption/jamshidianswaption.cpp, ql/PricingEngines/Swaption/swaptionpricer.cpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtraits.hpp: Some more Real and stuff (but the inner workings of random generators were NOT touched) 2004-05-13 11:41 Luigi Ballabio * [r4391] ql/Pricers/cliquetoptionpricer.cpp, ql/Pricers/cliquetoptionpricer.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/dividendeuropeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp: More Reals and stuff 2004-05-13 10:34 Luigi Ballabio * [r4390] ql/Math/Makefile.am, ql/Math/rounding.cpp, ql/Math/rounding.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/rounding.cpp, test-suite/rounding.hpp: Rounding quantlibified and tested 2004-05-13 10:32 Luigi Ballabio * [r4389] ql/Math/comparison.hpp: Fixed formula 2004-05-13 07:31 Luigi Ballabio * [r4388] ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/constraint.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp: Still more Reals and stuff 2004-05-12 16:16 Luigi Ballabio * [r4387] ql/Math/array.hpp, ql/Math/beta.cpp, ql/Math/beta.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/choleskydecomposition.cpp, ql/Math/comparison.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/factorial.cpp, ql/Math/factorial.hpp, ql/Math/functional.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incompletegamma.cpp, ql/Math/incompletegamma.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp, ql/Math/riskstatistics.hpp, ql/Math/rounding.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/sample.hpp, quantlib.el: Still more Reals and stuff 2004-05-12 12:17 Luigi Ballabio * [r4386] ql/types.hpp: More types 2004-05-12 11:57 Luigi Ballabio * [r4385] ql/qldefines.hpp: Compliant with section 17.4.3.1.2 of the C++ standard 2004-05-12 11:41 Luigi Ballabio * [r4384] ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/payoffs.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp: Some more Reals and Integers 2004-05-12 09:46 Luigi Ballabio * [r4383] ql/Calendars/tokyo.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/DayCounters/actualactual.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, quantlib.el: Some more Reals and Integers 2004-05-11 16:05 Luigi Ballabio * [r4381] ql/types.hpp: *** empty log message *** 2004-05-11 14:39 Luigi Ballabio * [r4380] ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp: *** empty log message *** 2004-05-11 14:20 Luigi Ballabio * [r4379] Examples/EuropeanOption/EuropeanOption.cpp, acinclude.m4, configure.ac, ql/CashFlows/parcoupon.cpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Lattices/lattice.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/getcovariance.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/singleassetoption.cpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/blackformula.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/localvolsurface.cpp, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/disposable.hpp, ql/errors.cpp, ql/errors.hpp, ql/grid.cpp, ql/grid.hpp, ql/history.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/null.hpp, ql/option.hpp, ql/payoff.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/solver1d.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/types.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, quantlib.el, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/cliquetoption.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/daycounters.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/forwardoption.cpp, test-suite/integrals.cpp, test-suite/interpolations.cpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/matrices.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/quantooption.cpp, test-suite/quotes.cpp, test-suite/riskstats.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Started using Real, Integer and such 2004-05-10 16:48 Ferdinando Ametrano * [r4378] test-suite/old_pricers.cpp: catching up 2004-05-10 16:41 Ferdinando Ametrano * [r4377] QuantLib.vcproj: catching up 2004-05-10 16:30 Ferdinando Ametrano * [r4376] test-suite/testsuite.vcproj: catching up 2004-05-10 16:24 Ferdinando Ametrano * [r4375] QuantLib.vcproj, test-suite/calendars.cpp, test-suite/europeanoption.cpp, test-suite/testsuite.vcproj: catching up 2004-05-10 15:54 Ferdinando Ametrano * [r4374] ql/Calendars/beijing.cpp, ql/Calendars/riyadh.cpp, ql/Calendars/seoul.cpp, ql/Calendars/taiwan.cpp, ql/Instruments/asianoption.cpp, ql/PricingEngines/Cliquet/makefile.mak, ql/calendar.cpp, ql/makefile.mak: catching up 2004-05-10 15:13 Ferdinando Ametrano * [r4373] QuantLib.vcproj, ql/calendar.cpp, ql/calendar.hpp, ql/config.msvc.hpp, test-suite/calendars.cpp: catching up 2004-05-10 09:28 Luigi Ballabio * [r4372] Docs/pages/engines.docs, ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.hpp, ql/PricingEngines/CapFloor/analyticalcapfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloor.hpp, ql/PricingEngines/CapFloor/treecapfloor.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.hpp, ql/PricingEngines/Cliquet/analyticperformanceengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/blackswaption.hpp, ql/PricingEngines/Swaption/jamshidianswaption.hpp, ql/PricingEngines/Swaption/treeswaption.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: Added pricing engine groups to docs 2004-05-10 09:27 Luigi Ballabio * [r4371] Docs/Makefile.am, Docs/quantlib.css, Docs/quantlib.doxy: Upgraded to Doxygen 1.3.7 2004-05-10 08:52 Ferdinando Ametrano * [r4370] QuantLib.dsp, QuantLib.mak, QuantLib.nsi, QuantLib.vcproj, functions/ql/Functions/makefile.mak, ql/Calendars/makefile.mak, ql/Instruments/makefile.mak, ql/Math/rounding.hpp, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, test-suite/makefile.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak, test-suite/testsuite.vcproj: catching up 2004-05-06 12:26 Luigi Ballabio * [r4368] ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, test-suite/Makefile.am, test-suite/forwardoption.cpp, test-suite/forwardoption.hpp, test-suite/quantlibtestsuite.cpp, test-suite/quantooption.cpp, test-suite/quantooption.hpp: Quanto/forward tests added -- real test cases needed 2004-05-05 12:10 Luigi Ballabio * [r4367] test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp: theta calculated by moving today's date 2004-05-05 10:47 Luigi Ballabio * [r4366] test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/cliquetoption.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/old_pricers.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Unified a few flat curve factories 2004-05-05 10:47 Luigi Ballabio * [r4365] ql/types.hpp, quantlib.el: Rationalized types a bit 2004-05-05 05:58 andrelouw * [r4363] ql/types.hpp: Decimal type added as typedef to double. 2004-05-04 13:46 andrelouw * [r4362] ql/Math/rounding.hpp: Changed sub constructors to public. 2004-05-04 13:17 Luigi Ballabio * [r4361] QuantLib.dsp, QuantLib.mak, ql/Instruments/cliquetoption.hpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/cliquetoptionpricer.cpp, ql/Pricers/cliquetoptionpricer.hpp, ql/Pricers/makefile.mak, ql/calendar.cpp, ql/calendar.hpp, ql/config.msvc.hpp, test-suite/calendars.cpp, test-suite/old_pricers.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Fixes for VC++6 2004-05-04 12:34 andrelouw * [r4359] ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/rounding.hpp: Added first cut of rounding implementation. 2004-05-04 08:39 Luigi Ballabio * [r4356] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp: Reverting 2004-05-04 08:36 Luigi Ballabio * [r4355] ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/calibrationhelper.hpp: Constness added 2004-05-04 04:32 andrelouw * [r4354] ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp: Changed interpolation to be changeable by sub classes. 2004-05-04 04:31 andrelouw * [r4353] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp: Added granularity parameter to specify the granularity of the bootstrapped discount factor curve (defaults to same as compounding frequency). Changed interpolation to be changeable by sub classes. 2004-05-03 09:11 Luigi Ballabio * [r4352] ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp, test-suite/asianoptions.cpp: Fixed greeks for geometric continuous-averaging Asian 2004-04-30 17:04 Luigi Ballabio * [r4351] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Asian/all.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Asian/analyticasianengine.hpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp, ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp, ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/cliquetoption.cpp, test-suite/old_pricers.cpp: Enginified ContinuousGeometricAPO 2004-04-30 13:33 Luigi Ballabio * [r4350] Docs/Makefile.am, Docs/makefile.mak, Docs/pages/findiff.docs, Docs/pages/fixedincome.docs, Docs/pages/math.docs, Docs/pages/mcarlo.docs, Docs/pages/termstructures.docs, Docs/pages/utilities.docs, Docs/qlintro.tex, Docs/quantlibheader.html, Docs/quantlibheader.tex, Docs/userman.tex, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/termstructure.hpp: Reorganized Doxygen documentation 2004-04-30 11:15 Luigi Ballabio * [r4349] Docs/Makefile.am, Docs/pages/coreclasses.docs, Docs/pages/currencies.docs, Docs/pages/findiff.docs, Docs/pages/lattices.docs, Docs/pages/patterns.docs, Docs/quantlibheader.html, Docs/userman.tex, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.hpp, ql/Patterns/bridge.hpp, ql/Patterns/composite.hpp, ql/Patterns/curiouslyrecurring.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/visitor.hpp, ql/currency.hpp, ql/types.hpp: Ongoing docs reorganization 2004-04-30 11:15 Luigi Ballabio * [r4348] Docs/quantlib.css: More recent Doxygen stylesheet 2004-04-30 08:20 Luigi Ballabio * [r4346] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/beijing.cpp, ql/Calendars/beijing.hpp, ql/Calendars/riyadh.cpp, ql/Calendars/riyadh.hpp: Added Beijing and Riyadh calendars (thanks to Xavier Abulker) 2004-04-29 12:50 Luigi Ballabio * [r4345] ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Cliquet/all.hpp, ql/PricingEngines/Cliquet/analyticperformanceengine.cpp, ql/PricingEngines/Cliquet/analyticperformanceengine.hpp, test-suite/cliquetoption.cpp, test-suite/cliquetoption.hpp: Enginified performance pricer 2004-04-29 11:51 Luigi Ballabio * [r4344] ql/PricingEngines/Cliquet/analyticcliquetengine.cpp: Removed leftover code 2004-04-29 11:46 Luigi Ballabio * [r4343] configure.ac, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/cliquetoption.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/payoffs.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Cliquet/all.hpp, ql/PricingEngines/Cliquet/analyticcliquetengine.cpp, ql/PricingEngines/Cliquet/analyticcliquetengine.hpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, test-suite/Makefile.am, test-suite/cliquetoption.cpp, test-suite/cliquetoption.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/quantlibtestsuite.cpp: Enginified Cliquet pricer 2004-04-27 09:51 Luigi Ballabio * [r4342] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/instrument.hpp: Calibration helpers are no longer set a default Black engine 2004-04-27 09:50 Luigi Ballabio * [r4341] Examples/AmericanOption/AmericanOption.cpp: typos 2004-04-27 09:49 Luigi Ballabio * [r4340] ql/Calendars/singapore.cpp, ql/Calendars/singapore.hpp: Singapore calendar added (thanks to Xavier Abulker) 2004-04-26 15:53 Luigi Ballabio * [r4338] ql/Calendars/Makefile.am, ql/Calendars/all.hpp: Singapore calendar added (thanks to Xavier Abulker) 2004-04-26 14:55 Luigi Ballabio * [r4337] Docs/pages/authors.docs, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/hongkong.cpp, ql/Calendars/hongkong.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/seoul.cpp, ql/Calendars/seoul.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/Makefile.am, ql/calendar.cpp, ql/calendar.hpp, test-suite, test-suite/.cvsignore, test-suite/calendars.cpp, test-suite/calendars.hpp: Added methods for adding/removing holidays from calendars (thanks to Jeff Yu) 2004-04-23 09:12 Luigi Ballabio * [r4335] Docs/pages/authors.docs, ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/Calendars/hongkong.cpp, ql/Calendars/hongkong.hpp, ql/Calendars/london.hpp, ql/Calendars/newyork.hpp, ql/Calendars/seoul.cpp, ql/Calendars/seoul.hpp, ql/Calendars/taiwan.cpp, ql/Calendars/taiwan.hpp: Added Hong Kong, Seoul and Taiwan calendars (thanks to Xavier Abulker) 2004-04-23 08:58 Luigi Ballabio * [r4334] dev_tools/developers: any reason for e-mail addresses in ChangeLog? 2004-04-22 15:40 Luigi Ballabio * [r4333] ql/PricingEngines/blackformula.cpp: Clarified a bit execution flow 2004-04-22 14:56 Luigi Ballabio * [r4332] ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp: AffineTermStructure as LazyObject 2004-04-22 13:24 Luigi Ballabio * [r4330] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Makefile.am, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/stochasticprocess.cpp, ql/stochasticprocess.hpp: DiffusionProcess renamed as StochasticProcess; Merton76 stochastic-process methods inhibited 2004-04-22 09:17 Luigi Ballabio * [r4329] test-suite/europeanoption.cpp: More exhaustive test 2004-04-22 08:41 Luigi Ballabio * [r4327] ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp: Hidden a few implementation details from header 2004-04-22 07:56 Luigi Ballabio * [r4326] ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/dividendeuropeanoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/handle.hpp, ql/stochasticprocess.hpp, ql/userconfig.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: Sounds better, but maybe it's just me 2004-04-22 07:55 Luigi Ballabio * [r4325] configure.ac: Saner command-line option name 2004-04-22 07:53 Luigi Ballabio * [r4324] ql/RandomNumbers/rngtraits.hpp: Consistent name for template argument 2004-04-22 07:49 Luigi Ballabio * [r4323] ql/Volatilities/impliedvoltermstructure.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp: My fault--the parameter had to be used 2004-04-22 07:18 Luigi Ballabio * [r4322] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/mctypedefs.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: Works without deprecated stuff (not that it bothered me much, though) 2004-04-21 14:00 Luigi Ballabio * [r4321] ql/Pricers/fdbsmoption.cpp, ql/argsandresults.hpp: Fix for implied volatility in old pricers 2004-04-21 13:56 Ferdinando Ametrano * [r4320] ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/RandomNumbers/rngtypedefs.hpp: using QL_DEPRECATED_DISABLED to disable deprecated code. 2004-04-21 13:31 Ferdinando Ametrano * [r4319] configure.ac, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/dividendeuropeanoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/handle.hpp, ql/stochasticprocess.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: using QL_DEPRECATED_DISABLED to disable deprecated code. 2004-04-21 13:14 Ferdinando Ametrano * [r4318] configure.ac, ql/userconfig.hpp: define QL_DEPRECATED_DISABLED if you want to disable deprecated code. 2004-04-21 13:03 Ferdinando Ametrano * [r4317] QuantLib.vcproj: updated 2004-04-21 12:55 Ferdinando Ametrano * [r4316] ql/Volatilities/impliedvoltermstructure.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp: unused parameter removed 2004-04-21 11:16 Ferdinando Ametrano * [r4315] ql/Pricers/continuousgeometricapo.hpp, ql/RandomNumbers/haltonrsg.cpp: avoid usage of deprecated code 2004-04-21 11:03 Luigi Ballabio * [r4314] ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp: Added persistent extrapolation setting to volatility term structures 2004-04-21 11:02 Ferdinando Ametrano * [r4313] ql/Pricers/cliquetoption.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/performanceoption.cpp: avoid usage of deprecated code 2004-04-21 10:26 Luigi Ballabio * [r4310] ql/termstructure.hpp: Removed unneeded reference 2004-04-21 10:25 Luigi Ballabio * [r4309] QuantLib.spec.in, dev_tools/version_number.txt: Removed the need for bumping version number 2004-04-21 09:51 Ferdinando Ametrano * [r4305] dev_tools/version_number.txt: updated 2004-04-21 09:51 Ferdinando Ametrano * [r4304] ql/makefile.mak: bumping up version number 2004-04-21 09:41 Ferdinando Ametrano * [r4303] functions/ql/Functions/Makefile.am, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.vcproj, functions/ql/Functions/all.hpp, functions/ql/Functions/qlfunctions.hpp: bumping up version number 2004-04-21 09:39 Ferdinando Ametrano * [r4302] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj: updated 2004-04-21 09:37 Ferdinando Ametrano * [r4301] test-suite/testsuite.vcproj: missing file added 2004-04-21 09:18 Ferdinando Ametrano * [r4300] QuantLib.vcproj: header file added 2004-04-21 09:18 Ferdinando Ametrano * [r4299] ql/RandomNumbers/rngtraits.hpp: more traits 2004-04-21 09:17 Ferdinando Ametrano * [r4298] QuantLib.dsp, QuantLib.spec.in, QuantLib.vcproj: bumping up version number 2004-04-20 16:00 Luigi Ballabio * [r4297] ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/extrapolation.hpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/termstructure.hpp: Added persistent extrapolation setting to term structures 2004-04-19 17:02 Luigi Ballabio * [r4295] Examples/AmericanOption/AmericanOption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/stochasticprocess.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/digitaloption.cpp, test-suite/dividendeuropeanoption.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp: Transplanted stochastic processes in the DiffusionProcess hierarchy 2004-04-19 16:00 Luigi Ballabio * [r4294] ql/Lattices/lattice.cpp: I'm all in favor of removing warnings. However, writing a backward loop on an unsigned integer and introducing a temporary variable to hold an off-by-one integer value is a kind of mental contortion that should have rung a bell. As often happens when the logic is needlessly complicated, it introduced a bug---namely, the temporary variable was not used in every place. Fortunately, nobody uses TreeSwaption as JamshidianSwaption is available. 2004-04-15 16:02 Luigi Ballabio * [r4293] QuantLib.dsp, QuantLib.mak, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak: This is automatic on Linux :) 2004-04-15 16:01 Luigi Ballabio * [r4292] ql/Instruments/forwardvanillaoption.hpp: *** empty log message *** 2004-04-15 15:16 Luigi Ballabio * [r4291] ql/Indexes/xibor.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/diffusionprocess.cpp, ql/relinkablehandle.hpp, ql/stochasticprocess.hpp: Somewhat safer StochasticProcesses 2004-04-15 15:15 Luigi Ballabio * [r4290] ql/config.ansi.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/qldefines.hpp: Removed old macros 2004-04-15 12:08 Luigi Ballabio * [r4289] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp, test-suite/europeanoption.cpp: Bumped version number 2004-04-14 14:57 Luigi Ballabio * [r4281] ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/stochasticprocess.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/quantlibtestsuite.cpp: Fixed bug where calls to impliedVolatility() were breaking the option state. Potentially very dangerous. We might consider a bug-fix release soonish. 2004-04-13 17:35 Ferdinando Ametrano * [r4273] Docs/pages/overview.docs, dev_tools/newdeveloperintro.txt: updated 2004-04-13 14:46 Ferdinando Ametrano * [r4272] functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak: VC6 catching up 2004-04-13 14:46 Ferdinando Ametrano * [r4271] QuantLib.sln, functions/ql/Functions/QuantLibFunctions.vcproj: VC71 catching up 2004-04-13 13:57 Ferdinando Ametrano * [r4270] QuantLib.dsp, QuantLib.dsw, QuantLib.mak, functions/ql/Functions, functions/ql/Functions/.cvsignore, functions/ql/Functions/QuantLibFunctions.dsp, functions/ql/Functions/QuantLibFunctions.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: VC6 catching up 2004-04-13 13:43 Ferdinando Ametrano * [r4269] makefile.mak: Borland catching up 2004-04-13 13:16 Ferdinando Ametrano * [r4268] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, QuantLib.vcproj, functions/ql/Functions/makefile.mak, makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/compoundforward.cpp, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/makefile.mak, test-suite/makefile.mak, test-suite/testsuite.vcproj: Borland and VC71 catching up 2004-04-13 13:15 Ferdinando Ametrano * [r4267] ql/Instruments/all.hpp: fix 2004-04-13 12:39 Luigi Ballabio * [r4266] ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/dividendvanillaoption.cpp, ql/Instruments/dividendvanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Pricers/dividendeuropeanoption.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, test-suite/Makefile.am, test-suite/dividendeuropeanoption.cpp, test-suite/dividendeuropeanoption.hpp, test-suite/quantlibtestsuite.cpp: Enginified dividend European option pricer 2004-04-13 08:43 Luigi Ballabio * [r4265] Makefile.am, configure.ac, functions, functions/Makefile.am, functions/ql, functions/ql/Functions, functions/ql/Functions/.cvsignore, functions/ql/Functions/Makefile.am, functions/ql/Functions/all.hpp, functions/ql/Functions/daycounters.cpp, functions/ql/Functions/daycounters.hpp, functions/ql/Functions/makefile.mak, functions/ql/Functions/mathf.cpp, functions/ql/Functions/mathf.hpp, functions/ql/Functions/vols.cpp, functions/ql/Functions/vols.hpp, functions/ql/Makefile.am, ql/Makefile.am, ql/functions, ql/quantlib.hpp: Moved functions into a separate library 2004-04-09 14:11 Luigi Ballabio * [r4262] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/timebasket.cpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/thirty360.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/valueatcenter.cpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/payoffs.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/stock.cpp, ql/Instruments/swap.cpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Math/beta.cpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/choleskydecomposition.cpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incompletegamma.cpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/kronrodintegral.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/poissondistribution.hpp, ql/Math/pseudosqrt.cpp, ql/Math/riskstatistics.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/constraint.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/steepestdescent.cpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/performanceoption.cpp, ql/Pricers/singleassetoption.cpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.cpp, ql/PricingEngines/CapFloor/treecapfloor.cpp, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/jamshidianswaption.cpp, ql/PricingEngines/Swaption/treeswaption.cpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/parameter.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/zerocurve.cpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolsurface.cpp, ql/basicdataformatters.cpp, ql/calendar.cpp, ql/cashflow.hpp, ql/dataparsers.cpp, ql/date.cpp, ql/errors.cpp, ql/errors.hpp, ql/exercise.cpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/grid.cpp, ql/grid.hpp, ql/history.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/option.hpp, ql/solver1d.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/utilities.cpp: Reworked error classes. Error instances should not be created manually. The QL_FAIL, QL_ASSERT, QL_REQUIRE, and QL_ENSURE macro now add file, line, and (when the compiler supports it) function information. This means that the "Foo::bar(): " bit must NOT be explicitly added to error messages. 2004-04-08 16:51 Ferdinando Ametrano * [r4260] ql/ShortRateModels/model.hpp, ql/ShortRateModels/twofactormodel.hpp: formatting 2004-04-08 15:54 Ferdinando Ametrano * [r4259] ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.hpp: formatting 2004-04-08 13:27 Ferdinando Ametrano * [r4258] ql/Instruments/makefile.mak: Borland catching up 2004-04-08 13:27 Ferdinando Ametrano * [r4257] QuantLib.dsp, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: VC6 catching up 2004-04-08 13:01 Luigi Ballabio * [r4256] Examples/EuropeanOption/EuropeanOption.cpp, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/europeanoption.cpp, ql/Instruments/europeanoption.hpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp: Added EuropeanOption (a vanilla option with a default engine) 2004-04-08 10:21 Ferdinando Ametrano * [r4255] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak: VC6 catching up 2004-04-08 10:16 Luigi Ballabio * [r4254] QuantLib.spec.in, ql/Makefile.am: Added version number to shared library 2004-04-08 08:14 Luigi Ballabio * [r4253] ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/basicdataformatters.cpp: Some more cast removed 2004-04-08 08:14 Luigi Ballabio * [r4252] ql/dataformatters.hpp: basic data formatters should be included when one includes dataformatters.hpp. I wouldn't rely on it being included by some file included by ... 2004-04-08 08:13 Luigi Ballabio * [r4251] ql/Lattices/binomialtree.cpp: Removed ambiguity in pow() overloading 2004-04-08 08:10 Luigi Ballabio * [r4250] ql/MonteCarlo/pathgenerator.hpp: More concise expressions 2004-04-07 15:27 Ferdinando Ametrano * [r4249] ql/Math/array.hpp: now the basic data formatters can be used 2004-04-07 15:26 Ferdinando Ametrano * [r4248] ql/Makefile.am, ql/basicdataformatters.cpp, ql/basicdataformatters.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/makefile.mak: dataformatters splitted in two files: basic and advanced. 2004-04-07 14:34 Ferdinando Ametrano * [r4247] ql/Lattices/binomialtree.cpp: more robust code 2004-04-07 14:15 Ferdinando Ametrano * [r4246] ql/Lattices/lattice.cpp: pruned redundant code 2004-04-07 13:44 Ferdinando Ametrano * [r4245] Docs/pages/lattices.docs, ql/Lattices/binomialtree.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/tree.hpp: formatting 2004-04-07 11:07 Ferdinando Ametrano * [r4244] QuantLib.vcproj, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Instruments/capfloor.cpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/makefile.mak, ql/Pricers/mcpricer.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/solver1d.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/covariance.cpp, test-suite/distributions.cpp, test-suite/factorial.cpp, test-suite/interpolations.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp: warning avoided 2004-04-07 09:27 Luigi Ballabio * [r4242] ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/dividendeuropeanoption.cpp, ql/Pricers/dividendeuropeanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, test-suite/old_pricers.cpp: FdDividendEuropeanOption wasn't Fd after all 2004-04-07 07:33 Ferdinando Ametrano * [r4241] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak: removing unnecessary warning suppression 2004-04-07 07:32 Luigi Ballabio * [r4240] ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/RandomNumbers/rngtypedefs.hpp: Deprecated RNG and MC typedefs 2004-04-06 16:25 Ferdinando Ametrano * [r4239] QuantLib.vcproj, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.hpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.hpp, ql/Optimization/criteria.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/parameter.hpp, ql/Volatilities/localconstantvol.hpp, ql/diffusionprocess.hpp, ql/discretizedasset.hpp, test-suite/testsuite.vcproj: warning avoided 2004-04-06 15:58 Ferdinando Ametrano * [r4238] QuantLib.vcproj, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Instruments/capfloor.cpp, ql/Lattices/lattice.cpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/RandomNumbers/sobolrsg.cpp, ql/Solvers1D/brent.hpp, ql/TermStructures/piecewiseflatforward.cpp, test-suite/testsuite.vcproj: warning avoided 2004-04-06 15:43 Ferdinando Ametrano * [r4237] ql/history.hpp: warning avoided 2004-04-06 15:27 Ferdinando Ametrano * [r4236] ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/lattice.cpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, test-suite/asianoptions.cpp, test-suite/capfloor.cpp, test-suite/factorial.cpp, test-suite/old_pricers.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: warning avoided 2004-04-06 15:16 Ferdinando Ametrano * [r4235] ql/Pricers/makefile.mak: catching up 2004-04-06 15:03 Luigi Ballabio * [r4233] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdstepconditionoption.cpp, test-suite/old_pricers.cpp: Removed deprecated EuropeanOption 2004-04-06 15:02 Luigi Ballabio * [r4232] ql/dataformatters.cpp, ql/dataformatters.hpp: No templatification possible---different format strings are needed for signed and unsigned 2004-04-06 15:02 Ferdinando Ametrano * [r4231] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: warning avoided 2004-04-06 15:01 Luigi Ballabio * [r4230] ql/scheduler.cpp: At least startDate and endDate are present, therefore, N >= 2 2004-04-06 11:19 Ferdinando Ametrano * [r4229] ql/dataformatters.hpp, ql/scheduler.cpp: bug-fix 2004-04-06 11:05 Ferdinando Ametrano * [r4228] ql/Lattices/binomialtree.cpp, ql/Lattices/lattice.cpp, ql/Optimization/conjugategradient.cpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/history.hpp: warning avoided 2004-04-06 08:51 Ferdinando Ametrano * [r4227] ql/MonteCarlo/path.hpp, ql/RandomNumbers/rngtraits.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/scheduler.cpp: warning avoided 2004-04-06 07:35 Ferdinando Ametrano * [r4225] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.sln, test-suite/testsuite.vcproj: VC71 linking warning avoided 2004-04-05 15:52 Ferdinando Ametrano * [r4224] Examples/AmericanOption/AmericanOption.vcproj, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/Swap/Swap.vcproj, QuantLib.sln, QuantLib.vcproj, test-suite/makefile.mak, test-suite/testsuite.vcproj: updating VC71 files 2004-04-05 15:17 Ferdinando Ametrano * [r4223] ql/config.msvc.hpp: typo-bug fixed 2004-04-05 15:12 Ferdinando Ametrano * [r4222] ql/makefile.mak: wrapping text 2004-04-05 14:39 Ferdinando Ametrano * [r4219] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak: Visual C++: added single thread configurations 2004-04-05 14:15 Ferdinando Ametrano * [r4217] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, Examples/Swap/makefile.mak, Examples/makefile.mak, QuantLib.dsp, QuantLib.mak, makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/europeanoption.cpp, test-suite/makefile.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: 1) Borland: ifndef _DEBUG define NDEBUG 2) Visual C++: added single thread configurations 2004-04-05 12:52 Luigi Ballabio * [r4216] ql/Pricers/continuousgeometricapo.hpp: Removed dependency on EuropeanOption 2004-04-05 12:48 Ferdinando Ametrano * [r4215] test-suite/interpolations.cpp: please don't use error (and probably warning) in BOOST_MESSAGE("..."): Visual C++ counts the "error" string in the compilation output and reports non-existant errors. 2004-04-05 12:45 Ferdinando Ametrano * [r4214] test-suite/quantlibtestsuite.cpp: Borland warning avoided 2004-04-05 12:42 Ferdinando Ametrano * [r4213] test-suite/interpolations.cpp: please don't use error (and probably warning) in BOOST_MESSAGE("..."): Visual C++ counts the "error" string in the compilation output and reports non-existant errors. 2004-04-05 12:34 Ferdinando Ametrano * [r4212] makefile.mak, ql/makefile.mak: ifndef _DEBUG define NDEBUG 2004-04-05 10:59 Luigi Ballabio * [r4211] Docs/Makefile.am, Docs/pages/datetime.docs, Docs/quantlibheader.html, Docs/userman.tex, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.hpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/london.hpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.hpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.hpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.hpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.hpp, ql/calendar.hpp, ql/date.hpp, ql/daycounter.hpp: Reworking documentation 2004-04-05 10:49 Ferdinando Ametrano * [r4210] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, Examples/makefile.mak: Borland warning avoided 2004-04-05 09:52 Luigi Ballabio * [r4209] ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/Asian/analyticasianengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, test-suite/jumpdiffusion.cpp: Renamed some FooEngine to Foo::engine 2004-04-05 08:46 Ferdinando Ametrano * [r4208] ql/Pricers/performanceoption.cpp: Borland warning avoided 2004-04-05 07:30 Luigi Ballabio * [r4207] test-suite/Makefile.am: *** empty log message *** 2004-04-04 18:42 Ferdinando Ametrano * [r4206] ql/config.bcc.hpp: working toward multiple Borland configuration support 2004-04-04 18:24 Ferdinando Ametrano * [r4205] makefile.mak, test-suite/makefile.mak: setting test suite default parameters 2004-04-04 18:04 Ferdinando Ametrano * [r4204] test-suite/testsuite.dsp: auto run providing: a) test failure handling similar to the compilation error handling b) debugger break at the point of fatal or system error failures 2004-04-04 17:54 Ferdinando Ametrano * [r4203] test-suite/Makefile.am: old suggestion :-) 2004-04-04 17:27 Ferdinando Ametrano * [r4202] test-suite/quantlibtestsuite.cpp: Visual C++ auto-link support 2004-04-04 16:28 Ferdinando Ametrano * [r4201] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/makefile.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, Examples/Swap/makefile.mak, Examples/makefile.mak: a) working toward multiple Borland configuration support. b) library created in the lib dir (no subfolder anymore). 2004-04-04 16:16 Ferdinando Ametrano * [r4200] QuantLib.dsp, test-suite/testsuite.dsp: library created in the lib dir (no subfolder anymore) 2004-04-04 16:13 Ferdinando Ametrano * [r4199] INSTALL.txt, makefile.mak, ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/Calendars/makefile.mak, ql/CashFlows, ql/CashFlows/.cvsignore, ql/CashFlows/makefile.mak, ql/DayCounters, ql/DayCounters/.cvsignore, ql/DayCounters/makefile.mak, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/FiniteDifferences/makefile.mak, ql/Indexes, ql/Indexes/.cvsignore, ql/Indexes/makefile.mak, ql/Instruments, ql/Instruments/.cvsignore, ql/Instruments/makefile.mak, ql/Lattices, ql/Lattices/.cvsignore, ql/Lattices/makefile.mak, ql/Math, ql/Math/.cvsignore, ql/Math/makefile.mak, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/Optimization, ql/Optimization/.cvsignore, ql/Optimization/makefile.mak, ql/Pricers, ql/Pricers/.cvsignore, ql/Pricers/makefile.mak, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/PricingEngines/Asian, ql/PricingEngines/Asian/.cvsignore, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier, ql/PricingEngines/Barrier/.cvsignore, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket, ql/PricingEngines/Basket/.cvsignore, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor, ql/PricingEngines/CapFloor/.cvsignore, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet, ql/PricingEngines/Cliquet/.cvsignore, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Forward, ql/PricingEngines/Forward/.cvsignore, ql/PricingEngines/Forward/makefile.mak, ql/PricingEngines/Lookback, ql/PricingEngines/Lookback/.cvsignore, ql/PricingEngines/Lookback/makefile.mak, ql/PricingEngines/Quanto, ql/PricingEngines/Quanto/.cvsignore, ql/PricingEngines/Quanto/makefile.mak, ql/PricingEngines/Swaption, ql/PricingEngines/Swaption/.cvsignore, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla, ql/PricingEngines/Vanilla/.cvsignore, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/RandomNumbers/makefile.mak, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/TermStructures/makefile.mak, ql/Volatilities, ql/Volatilities/.cvsignore, ql/Volatilities/makefile.mak, ql/functions, ql/functions/.cvsignore, ql/functions/makefile.mak, ql/makefile.mak: working toward multiple Borland configuration support 2004-04-04 16:09 Ferdinando Ametrano * [r4198] ql/config.bcc.hpp, ql/config.msvc.hpp: auto-link support 2004-04-04 16:04 Ferdinando Ametrano * [r4197] ql/qldefines.hpp: code re-ordered. QL_LIB_NAME added (version string for output lib name) 2004-04-04 15:59 Ferdinando Ametrano * [r4196] test-suite, test-suite/.cvsignore, test-suite/makefile.mak: working toward multiple Borland configuration support 2004-04-02 16:18 Ferdinando Ametrano * [r4195] test-suite/quantlibtestsuite.cpp: Boost autolink not working on Borland (yet). 2004-04-02 16:11 Luigi Ballabio * [r4194] test-suite/quantlibtestsuite.cpp: *** empty log message *** 2004-04-02 16:02 Ferdinando Ametrano * [r4193] test-suite/quantlibtestsuite.cpp, test-suite/testsuite.vcproj: Boost autolink 2004-04-02 15:59 Luigi Ballabio * [r4192] ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp: Removed dependency of PerformanceOption from EuropeanOption 2004-04-02 15:46 Ferdinando Ametrano * [r4191] test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Boost autolink 2004-04-02 14:23 Luigi Ballabio * [r4190] Docs/Makefile.am, Docs/pages/instruments.docs, Docs/quantlib.doxy, Docs/userman.tex, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.hpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.hpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.hpp: Reworking documentation 2004-04-02 12:38 Luigi Ballabio * [r4189] ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/PricingEngines/blackformula.hpp: Removed dependency of CliquetOptionPricer from EuropeanOption 2004-04-02 10:45 Luigi Ballabio * [r4188] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2004-04-01 15:56 Ferdinando Ametrano * [r4187] QuantLib.vcproj, ql/PricingEngines/makefile.mak, ql/makefile.mak: catching up 2004-04-01 15:16 Luigi Ballabio * [r4186] ql/qldefines.hpp: Docs tweaked 2004-04-01 13:55 Luigi Ballabio * [r4185] ql/Makefile.am, ql/PricingEngines/Makefile.am, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/blackformula.cpp, ql/PricingEngines/blackformula.hpp, ql/ShortRateModels/Makefile.am: Moved longish methods to cpp file 2004-04-01 12:13 Luigi Ballabio * [r4184] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp: Removed deprecated RandomArrayGenerator 2004-04-01 10:12 Luigi Ballabio * [r4181] ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/RandomNumbers/rngtraits.hpp, test-suite/old_pricers.cpp: Removed MultiPathGenerator_old 2004-03-31 14:48 Ferdinando Ametrano * [r4178] News.txt: updated (too late...) 2004-03-31 11:25 Luigi Ballabio * [r4172] ql/Pricers/mccliquetoption.cpp: Removed warning 2004-03-31 11:02 Luigi Ballabio * [r4170] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/RandomNumbers/rngtraits.hpp, test-suite/old_pricers.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Removed deprecated PathGenerator_old 2004-03-30 15:46 Luigi Ballabio * [r4166] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/pathpricer.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, test-suite/old_pricers.cpp: Removed deprecated PathPricer_old 2004-03-30 10:59 Luigi Ballabio * [r4161] ql/MonteCarlo/pathpricer.hpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp: Renamed argument and relaxed requirement 2004-03-30 10:58 Luigi Ballabio * [r4160] ql/MonteCarlo/multipathgenerator.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/randomarraygenerator.hpp: Removed deprecated constructors 2004-03-30 09:59 Ferdinando Ametrano * [r4157] ChangeLog.txt, Docs/pages/overview.docs, History.txt, News.txt: updated 2004-03-30 09:02 Luigi Ballabio * [r4156] configure.ac, ql/userconfig.hpp: File and line info in error messages is now the default 2004-03-30 08:50 Ferdinando Ametrano * [r4155] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Forward/makefile.mak, ql/PricingEngines/Lookback/makefile.mak, ql/PricingEngines/Quanto/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Boost test-suite for Borland 2004-03-29 16:50 Ferdinando Ametrano * [r4154] test-suite/makefile.mak: Boost test-suite for Visual 2004-03-29 16:17 Ferdinando Ametrano * [r4153] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Forward/makefile.mak, ql/PricingEngines/Lookback/makefile.mak, ql/PricingEngines/Quanto/makefile.mak, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Vanilla/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak, test-suite/testsuite.vcproj: Boost test-suite for Borland 2004-03-29 14:59 Luigi Ballabio * [r4152] test-suite/testsuite.dsp, test-suite/testsuite.mak: Boost libraries added to project 2004-03-29 13:57 Ferdinando Ametrano * [r4151] test-suite/testsuite.vcproj: adding new files, removing old files 2004-03-29 13:56 Ferdinando Ametrano * [r4150] test-suite/basketoption.cpp, test-suite/lowdiscrepancysequences.cpp: avoiding Borland warnings 2004-03-29 13:22 Ferdinando Ametrano * [r4149] ql/relinkablehandle.hpp: Borland fix 2004-03-29 13:11 Ferdinando Ametrano * [r4148] Readme.txt: updated (especially with Boost info) 2004-03-29 12:45 Ferdinando Ametrano * [r4147] Examples, Examples/.cvsignore: added support for VC 7 2004-03-29 12:15 Luigi Ballabio * [r4146] Docs/pages/install.docs, Docs/pages/overview.docs, INSTALL.txt, QuantLib.nsi, QuantLib.spec.in, configure.ac, man/quantlib-test-suite.1, memo.txt, test-suite/CPPUNIT-COPYING, test-suite/Makefile.am, test-suite/README.txt, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp, test-suite/barrieroption.cpp, test-suite/barrieroption.hpp, test-suite/basketoption.cpp, test-suite/basketoption.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/digitaloption.cpp, test-suite/digitaloption.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/factorial.cpp, test-suite/factorial.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.cpp, test-suite/jumpdiffusion.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/makefile.mak, test-suite/marketelements.cpp, test-suite/marketelements.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/qltestlistener.cpp, test-suite/qltestlistener.hpp, test-suite/quantlibtestsuite.cpp, test-suite/quotes.cpp, test-suite/quotes.hpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Migrated test suite to Boost unit-test framework 2004-03-29 10:31 Ferdinando Ametrano * [r4145] ., .cvsignore, Examples/AmericanOption/AmericanOption.vcproj, Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/BermudanSwaption.vcproj, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/DiscreteHedging.vcproj, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/EuropeanOption.vcproj, Examples/EuropeanOption/Makefile.am, Examples/Examples.sln, Examples/Makefile.am, Examples/Swap/Makefile.am, Examples/Swap/Swap.vcproj, Makefile.am, QuantLib.nsi, QuantLib.sln, QuantLib.vcproj, test-suite/Makefile.am, test-suite/testsuite.vcproj: added support for VC 7 2004-03-29 10:13 Ferdinando Ametrano * [r4144] test-suite/interpolations.cpp: higher tolerance required for VC 7 + boost on my dual processor Win2000 2004-03-26 09:59 Luigi Ballabio * [r4142] dev_tools/version_number.txt: Added missing files 2004-03-25 16:52 Luigi Ballabio * [r4140] Docs/pages/coreclasses.docs, Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/EuropeanOption/quanto.leftover, Examples/Swap/swapvaluation.cpp, ql/Calendars/budapest.hpp, ql/Calendars/copenhagen.hpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.hpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.hpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.hpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Indexes/xibor.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/steepestdescent.hpp, ql/Patterns/bridge.hpp, ql/Patterns/composite.hpp, ql/Patterns/observable.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloor.hpp, ql/PricingEngines/CapFloor/capfloorpricer.cpp, ql/PricingEngines/CapFloor/capfloorpricer.hpp, ql/PricingEngines/CapFloor/treecapfloor.cpp, ql/PricingEngines/CapFloor/treecapfloor.hpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Swaption/blackswaption.hpp, ql/PricingEngines/Swaption/jamshidianswaption.cpp, ql/PricingEngines/Swaption/jamshidianswaption.hpp, ql/PricingEngines/Swaption/swaptionpricer.cpp, ql/PricingEngines/Swaption/swaptionpricer.hpp, ql/PricingEngines/Swaption/treeswaption.cpp, ql/PricingEngines/Swaption/treeswaption.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/mcsimulation.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolsurface.cpp, ql/calendar.hpp, ql/daycounter.hpp, ql/diffusionprocess.cpp, ql/discretizedasset.hpp, ql/instrument.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/qldefines.hpp, ql/relinkablehandle.hpp, quantlib.el, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/instruments.cpp, test-suite/jumpdiffusion.cpp, test-suite/marketelements.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: boost::shared_ptr used throughout instead of Handle 2004-03-24 11:55 Ferdinando Ametrano * [r4137] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, test-suite/testsuite.mak: bumping up version number 2004-03-24 10:53 Luigi Ballabio * [r4135] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, acinclude.m4, ql/Instruments/capfloor.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swap.cpp, ql/Math/cubicspline.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/model.cpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/ratehelpers.cpp, ql/diffusionprocess.cpp, ql/errors.cpp, ql/errors.hpp, ql/handle.hpp, ql/qldefines.hpp, ql/userconfig.hpp, test-suite/utilities.cpp: Boost is now mandatory 2004-03-24 10:43 Ferdinando Ametrano * [r4134] Docs/pages/overview.docs: updated 2004-03-24 09:54 Ferdinando Ametrano * [r4133] dev_tools/tgz2zip: doesn't convert Unix files anymore 2004-03-22 09:57 Ferdinando Ametrano * [r4128] ql/Math/pseudosqrt.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/Optimization/method.hpp, ql/ShortRateModels/model.hpp, ql/marketelement.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/userconfig.hpp: removing some deprecated stuff 2004-03-22 09:13 Ferdinando Ametrano * [r4126] dev_tools/branching_and_merging.txt: error fixed 2004-03-22 09:11 Ferdinando Ametrano * [r4125] BUGS.txt, ChangeLog.txt, Docs, Docs/.cvsignore, Docs/Makefile.am, Docs/README.txt, Docs/pages/authors.docs, Docs/pages/coreclasses.docs, Docs/pages/currencies.docs, Docs/pages/datetime.docs, Docs/pages/findiff.docs, Docs/pages/fixedincome.docs, Docs/pages/history.docs, Docs/pages/index.docs, Docs/pages/install.docs, Docs/pages/instruments.docs, Docs/pages/lattices.docs, Docs/pages/license.docs, Docs/pages/math.docs, Docs/pages/mcarlo.docs, Docs/pages/overview.docs, Docs/pages/patterns.docs, Docs/pages/platforms.docs, Docs/pages/resources.docs, Docs/pages/termstructures.docs, Docs/pages/usage.docs, Docs/pages/utilities.docs, Docs/pages/where.docs, Docs/quantlib.doxy, Docs/quantlibheader.html, Docs/userman.tex, Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/EuropeanOption/quanto.leftover, Examples/Swap/swapvaluation.cpp, History.txt, INSTALL.txt, News.txt, QuantLib.dsp, QuantLib.mak, QuantLib.nsi, QuantLib.spec.in, TODO.txt, configure.ac, dev_tools/developers, memo.txt, ql/Calendars/budapest.cpp, ql/Calendars/copenhagen.cpp, ql/Calendars/frankfurt.cpp, ql/Calendars/helsinki.cpp, ql/Calendars/johannesburg.cpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.cpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.cpp, ql/Calendars/stockholm.cpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/target.cpp, ql/Calendars/tokyo.cpp, ql/Calendars/toronto.cpp, ql/Calendars/warsaw.cpp, ql/Calendars/wellington.cpp, ql/Calendars/zurich.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/timebasket.cpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/thirty360.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibormanager.cpp, ql/Indexes/zarlibor.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/payoffs.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/swap.cpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice2d.cpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Makefile.am, ql/Math/beta.cpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/binomialdistribution.hpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/choleskydecomposition.cpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/factorial.cpp, ql/Math/factorial.hpp, ql/Math/gammadistribution.cpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incompletegamma.cpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/interpolationtraits.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/makefile.mak, ql/Math/matrix.hpp, ql/Math/normaldistribution.cpp, ql/Math/primenumbers.cpp, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp, ql/Math/riskstatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/MonteCarlo/digitalpathpricer.cpp, ql/MonteCarlo/digitalpathpricer.hpp, ql/MonteCarlo/europeanmultipathpricer.cpp, ql/MonteCarlo/europeanmultipathpricer.hpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/everestpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/makefile.mak, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/constraint.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/method.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Patterns/bridge.hpp, ql/Patterns/composite.hpp, ql/Patterns/visitor.hpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackmodel.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/core.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/makefile.mak, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/performanceoption.cpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Asian/analyticasianengine.hpp, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Barrier/mcbarrierengine.cpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.cpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Basket/stulzengine.hpp, ql/PricingEngines/CapFloor, ql/PricingEngines/CapFloor/.cvsignore, ql/PricingEngines/CapFloor/Makefile.am, ql/PricingEngines/CapFloor/all.hpp, ql/PricingEngines/CapFloor/analyticalcapfloor.cpp, ql/PricingEngines/CapFloor/analyticalcapfloor.hpp, ql/PricingEngines/CapFloor/blackcapfloor.cpp, ql/PricingEngines/CapFloor/blackcapfloor.hpp, ql/PricingEngines/CapFloor/capfloorpricer.cpp, ql/PricingEngines/CapFloor/capfloorpricer.hpp, ql/PricingEngines/CapFloor/makefile.mak, ql/PricingEngines/CapFloor/treecapfloor.cpp, ql/PricingEngines/CapFloor/treecapfloor.hpp, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Cliquet/mccliquetengine.cpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/Swaption, ql/PricingEngines/Swaption/.cvsignore, ql/PricingEngines/Swaption/Makefile.am, ql/PricingEngines/Swaption/all.hpp, ql/PricingEngines/Swaption/blackswaption.cpp, ql/PricingEngines/Swaption/blackswaption.hpp, ql/PricingEngines/Swaption/jamshidianswaption.cpp, ql/PricingEngines/Swaption/jamshidianswaption.hpp, ql/PricingEngines/Swaption/makefile.mak, ql/PricingEngines/Swaption/swaptionpricer.cpp, ql/PricingEngines/Swaption/swaptionpricer.hpp, ql/PricingEngines/Swaption/treeswaption.cpp, ql/PricingEngines/Swaption/treeswaption.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/Vanilla/mcdigitalengine.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/all.hpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.hpp, ql/PricingEngines/blackmodel.hpp, ql/PricingEngines/core.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/mcsimulation.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/rngtraits.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/core.hpp, ql/dataformatters.cpp, ql/dataparsers.cpp, ql/date.cpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/discretizedasset.cpp, ql/exercise.cpp, ql/exercise.hpp, ql/functions/daycounters.cpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/grid.cpp, ql/makefile.mak, ql/numericalmethod.hpp, ql/option.hpp, ql/payoff.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/relinkablehandle.hpp, ql/scheduler.cpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/americanoption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp, test-suite/jumpdiffusion.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swaption.cpp, test-suite/testsuite.mak: R000305f0-branch-merge1 merged into trunk 2004-03-11 11:06 Luigi Ballabio * [r4013] QuantLib.dsp, QuantLib.mak, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: *** empty log message *** 2004-03-11 10:42 Luigi Ballabio * [r4012] Docs/quantlib.doxy, Examples/AmericanOption/AmericanOption.cpp, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/choleskydecomposition.cpp, ql/Math/choleskydecomposition.hpp, ql/Math/cubicspline.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/pseudosqrt.cpp, ql/Math/pseudosqrt.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/americanmcengines.hpp, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/analyticamericanengine.hpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp, ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/qldefines.hpp, test-suite/covariance.cpp, test-suite/digitaloption.cpp, test-suite/matrices.cpp: Preparing for branch 2004-03-11 09:52 Ferdinando Ametrano * [r4011] ql/Math/cubicspline.hpp, test-suite/interpolations.cpp: more references for the spline interpolation 2004-03-10 18:21 Neil Firth * [r4010] ql/PricingEngines/Basket/mcamericanbasketengine.cpp: bug fixes for laguerre and legendre basis functions not in test cases 2004-03-10 14:22 Ferdinando Ametrano * [r4008] ql/Math/cubicspline.hpp, ql/functions/mathf.hpp: final touches for (cubic) interpolation 2004-03-09 17:51 Ferdinando Ametrano * [r4007] ql/functions/mathf.cpp, ql/functions/mathf.hpp: moved to container input 2004-03-09 12:39 Luigi Ballabio * [r4005] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/interpolationtraits.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/functions/mathf.cpp: Hidden templatization in 2-D interpolations 2004-03-09 09:44 Luigi Ballabio * [r4004] ql/Math/interpolation.hpp, ql/Volatilities/capflatvolvector.hpp: *** empty log message *** 2004-03-08 15:45 Luigi Ballabio * [r4001] ql/Math/interpolation.hpp: Workaround for VC++ 2004-03-08 15:27 Luigi Ballabio * [r4000] ql/PricingEngines/Basket/mcamericanbasketengine.cpp, test-suite/basketoption.cpp: Fixes for g++ 2004-03-08 13:32 Ferdinando Ametrano * [r3999] test-suite/basketoption.cpp, test-suite/interpolations.cpp: commenting out unused variable, in order to avoid Borland warning 2004-03-08 13:26 Ferdinando Ametrano * [r3998] ql/Math/linearinterpolation.hpp: commenting out unused variable, in order to avoid Borland warning 2004-03-08 12:26 Neil Firth * [r3997] ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp: simplified class and increased number of types of basis function 2004-03-08 12:21 Neil Firth * [r3996] test-suite/basketoption.cpp, test-suite/basketoption.hpp: included some additional tests 2004-03-08 11:12 Luigi Ballabio * [r3995] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolation.hpp, ql/Math/interpolationtraits.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Pricers/fddividendoption.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, test-suite/interpolations.cpp, test-suite/quantlibtestsuite.cpp: Templatization of interpolation classes is now hidden 2004-03-08 09:08 Ferdinando Ametrano * [r3994] LICENSE.TXT: license's copyright was an early misunderstanding: there is no point to copyright the license wording (especially since it is not our own wording!) 2004-03-05 16:37 Ferdinando Ametrano * [r3993] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolationtraits.hpp, ql/Pricers/fddividendoption.cpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, test-suite/interpolations.cpp: Spline boundary condition enumeration introduced 2004-03-03 15:33 Ferdinando Ametrano * [r3992] QuantLib.nsi: updated 2004-03-03 11:33 Luigi Ballabio * [r3989] Makefile.am, dev_tools/update_changelog.py, dev_tools/update_changelog.sh, dev_tools/update_copyright: *** empty log message *** 2004-03-03 09:18 Ferdinando Ametrano * [r3988] TODO.txt: updated 2004-03-02 14:28 Luigi Ballabio * [r3987] ChangeLog.txt: *** empty log message *** 2004-03-02 14:23 Luigi Ballabio * [r3986] BUGS.txt, ChangeLog.txt, UFILE, dev_tools/developers, dev_tools/update_changelog.sh: Added (bash) script for updating changelog 2004-03-02 14:23 Luigi Ballabio * [r3985] Docs/Makefile.am, Makefile.am: Doxygen glitch 2004-03-02 14:21 Luigi Ballabio * [r3984] ql/Pricers/fddividendamericanoption.hpp: Flagged as buggy 2004-03-02 14:21 Luigi Ballabio * [r3983] ql/Math/svd.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp: Flagged as non-buggy 2004-03-02 14:18 Luigi Ballabio * [r3982] ql/Math/matrix.cpp, ql/Math/matrix.hpp: (conditionally) added extra checks 2004-03-01 17:31 Ferdinando Ametrano * [r3979] QuantLib.dsp: updated 2004-03-01 17:23 Ferdinando Ametrano * [r3977] QuantLib.nsi: updated to NSIS 2.0 2004-03-01 17:19 Ferdinando Ametrano * [r3976] ql/Instruments/payoffs.hpp, ql/Math/generalstatistics.hpp, ql/Math/kronrodintegral.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/dataformatters.hpp, ql/discretizedasset.hpp, ql/handle.hpp, ql/instrument.hpp, ql/marketelement.hpp: pruned (VC++/Borland) redundant header inclusions 2004-03-01 17:00 Ferdinando Ametrano * [r3975] LICENSE.TXT, QuantLib.nsi: updated to NSIS 2.0 2004-03-01 16:54 Ferdinando Ametrano * [r3974] LICENSE.TXT, QuantLib.nsi: updated to NSIS 2.0 2004-03-01 16:48 Ferdinando Ametrano * [r3973] QuantLib.nsi: updated to NSIS 2.0 2004-03-01 15:28 Ferdinando Ametrano * [r3972] ql/Math/cubicspline.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp: enabling primitive calculation 2004-03-01 09:34 Ferdinando Ametrano * [r3971] test-suite/basketoption.cpp: Borland warning avoided 2004-02-29 12:44 Luigi Ballabio * [r3970] ql/Math/cubicspline.hpp, ql/Math/linearinterpolation.hpp, test-suite/interpolations.cpp: Fixes for gcc and typo 2004-02-27 17:11 Ferdinando Ametrano * [r3968] ql/Math/kronrodintegral.hpp: improved error messages 2004-02-27 17:03 Ferdinando Ametrano * [r3967] ql/Math/cubicspline.hpp, ql/Math/linearinterpolation.hpp: Numerical Recipies code removed. primitive() methd added improved error messages 2004-02-27 17:00 Ferdinando Ametrano * [r3966] test-suite/interpolations.cpp: last test added. Monotonicity constraint is OK 2004-02-27 15:54 Luigi Ballabio * [r3965] ql/Math/svd.cpp: *** empty log message *** 2004-02-27 15:13 Luigi Ballabio * [r3964] test-suite/interpolations.cpp: *** empty log message *** 2004-02-27 09:45 Luigi Ballabio * [r3963] ql/Math/cubicspline.hpp, test-suite/interpolations.cpp: Fixes for gcc 2004-02-26 18:12 Ferdinando Ametrano * [r3962] ql/Math/cubicspline.hpp, test-suite/interpolations.cpp, test-suite/quantlibtestsuite.cpp: Not-a-knot right end condition is now OK 2004-02-26 16:00 Ferdinando Ametrano * [r3960] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/interpolationtraits.hpp, ql/Pricers/fddividendoption.cpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp: catching up with the new spline signature 2004-02-26 15:55 Ferdinando Ametrano * [r3959] ql/Math/cubicspline.hpp: imrpoved spline algorithms now include: clamped, second derivative, and not-a-knot end condition. Not-a-knot right end condition is to be fixed 2004-02-26 15:52 Ferdinando Ametrano * [r3958] test-suite/Makefile.am, test-suite/interpolations.cpp, test-suite/interpolations.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: adding (spline) interpolation tests 2004-02-24 13:10 Luigi Ballabio * [r3957] test-suite/matrices.cpp: *** empty log message *** 2004-02-24 12:58 Ferdinando Ametrano * [r3956] test-suite/matrices.cpp: formatting 2004-02-24 12:02 Ferdinando Ametrano * [r3955] ql/Math/interpolation.hpp: no message 2004-02-23 17:07 Ferdinando Ametrano * [r3954] TODO.txt: updated (to be re-ordered) 2004-02-23 15:49 Ferdinando Ametrano * [r3953] test-suite/basketoption.cpp, test-suite/factorial.cpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp: comments added 2004-02-23 15:03 Ferdinando Ametrano * [r3952] test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/quantlibtestsuite.cpp: comments added 2004-02-23 14:07 Ferdinando Ametrano * [r3951] test-suite/matrices.cpp: fixing the test 2004-02-23 14:02 Ferdinando Ametrano * [r3950] test-suite/matrices.cpp: extended output 2004-02-23 13:49 Ferdinando Ametrano * [r3949] ql/dataformatters.hpp: ArrayFormatter::toString fix for multi-row output 2004-02-23 12:09 Ferdinando Ametrano * [r3948] ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: Borland integration 2004-02-23 11:34 Luigi Ballabio * [r3947] ql/Math/matrix.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Vanilla/americanmcengines.cpp, test-suite/matrices.cpp: Some work on SVD 2004-02-23 09:59 andrelouw * [r3946] ql/Calendars/johannesburg.cpp: Fixed compile error 2004-02-23 09:57 andrelouw * [r3945] ql/Calendars/johannesburg.cpp: Added 14 April 2004 (election day) as a once-off holiday. 2004-02-22 22:18 Neil Firth * [r3944] test-suite/matrices.cpp, test-suite/matrices.hpp: Added test cases for the SVD code, only tests m>=n 2004-02-20 13:59 Luigi Ballabio * [r3942] ql/Math/svd.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp: Tagged a couple of possible bugs 2004-02-18 10:33 Ferdinando Ametrano * [r3941] ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp: small changes 2004-02-16 17:48 Luigi Ballabio * [r3939] ql/PricingEngines/Basket/mcamericanbasketengine.hpp: Interfering include guards 2004-02-16 13:44 Luigi Ballabio * [r3934] ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp: sorting method exposed 2004-02-16 13:21 Luigi Ballabio * [r3933] QuantLib.dsp, QuantLib.mak, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: Fixes for VC++ 2004-02-13 14:48 Luigi Ballabio * [r3930] ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/Basket/mcamericanbasketengine.cpp: Removed miscellaneous inconveniences for gcc 2004-02-13 12:05 Neil Firth * [r3929] test-suite/basketoption.cpp, test-suite/basketoption.hpp: Added test cases for american basket options - not called as the convergence is not pefect - however the algorithms run without exception and give answers in the rigth ballpark. Some debugging still needed! Also, the basis function implementation needs looking at for performance and memory (use Handles everywhere?) 2004-02-13 12:01 Neil Firth * [r3928] ql/MonteCarlo/multipathgenerator.hpp: Modified MultiPath interface to remove drifts as they are in the stochastic processes 2004-02-13 12:00 Neil Firth * [r3927] ql/PricingEngines/Basket/all.hpp, ql/PricingEngines/Basket/mcamericanbasketengine.cpp, ql/PricingEngines/Basket/mcamericanbasketengine.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp: Modified MultiPath interface and started implmentation of Longstaff Schwartz Least Squares Monte Carlo for basket options 2004-02-06 13:55 Luigi Ballabio * [r3926] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/instrument.hpp, ql/option.hpp, test-suite/instruments.cpp: Removed unused baggage from Instrument class 2004-02-06 11:28 Luigi Ballabio * [r3925] ql/history.hpp: Post-increment broke stateful iterators 2004-02-04 13:11 Ferdinando Ametrano * [r3923] QuantLib.dsp, QuantLib.mak, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/makefile.mak, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/binarybarrierpathpricer.cpp, ql/MonteCarlo/binarybarrierpathpricer.hpp, ql/MonteCarlo/makefile.mak, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Barrier/all.hpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp: removing binary barrier option Instrument, PricingEngine and PathPricer. Replaced by vanilla option Instrument and PricingEngine with digital payoff (and digital path pricer) 2004-02-04 12:51 Ferdinando Ametrano * [r3922] test-suite/Makefile.am, test-suite/binarybarrieroption.cpp, test-suite/binarybarrieroption.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: removing binary barrier option tests 2004-02-04 12:45 Ferdinando Ametrano * [r3921] test-suite/digitaloption.cpp: factoring out common code and removing redundant undocumented test cases 2004-02-04 12:43 Ferdinando Ametrano * [r3920] test-suite/americanoption.cpp, test-suite/barrieroption.cpp, test-suite/binarybarrieroption.cpp, test-suite/europeanoption.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: factoring out common code 2004-02-04 11:47 Ferdinando Ametrano * [r3919] QuantLib.dsp, QuantLib.mak, ql/MonteCarlo/makefile.mak: catching up 2004-02-03 15:28 Luigi Ballabio * [r3918] ql/Calendars/jointcalendar.cpp, ql/CashFlows/shortindexedcoupon.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/thirty360.cpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Indexes/xibor.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/payoffs.hpp, ql/Math/array.hpp, ql/Math/beta.cpp, ql/Math/bivariatenormaldistribution.cpp, ql/Math/chisquaredistribution.cpp, ql/Math/gammadistribution.cpp, ql/Math/incompletegamma.cpp, ql/Math/matrix.cpp, ql/Math/simpsonintegral.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/binarybarrierpathpricer.cpp, ql/MonteCarlo/digitalpathpricer.cpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/constraint.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/steepestdescent.cpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/blackformula.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/piecewiseflatforward.cpp, ql/calendar.cpp, ql/cashflow.hpp, ql/dataformatters.cpp, ql/dataparsers.cpp, ql/date.cpp, ql/date.hpp, ql/errors.hpp, ql/functions/mathf.cpp, ql/functions/vols.cpp, ql/grid.cpp, ql/instrument.hpp, ql/qldefines.hpp, ql/solver1d.hpp, ql/voltermstructure.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/capfloor.cpp, test-suite/europeanoption.cpp, test-suite/utilities.cpp: Introduced QL_FAIL macro (its utility will become clear later) 2004-02-03 15:25 Luigi Ballabio * [r3917] QuantLib.dsp, QuantLib.mak, ql/MonteCarlo/europeanmultipathpricer.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Fixes for VC++ 2004-02-03 15:07 Luigi Ballabio * [r3916] test-suite/Makefile.am, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/binarybarrieroption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/covariance.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/europeanoption.cpp, test-suite/factorial.cpp, test-suite/jumpdiffusion.cpp, test-suite/makefile.mak, test-suite/matrices.cpp, test-suite/old_pricers.cpp, test-suite/piecewiseflatforward.cpp, test-suite/riskstats.cpp, test-suite/solvers.cpp, test-suite/stats.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp, test-suite/utilities.cpp, test-suite/utilities.hpp: Collected commonly used functions 2004-02-02 12:31 Luigi Ballabio * [r3915] ql/PricingEngines/Basket/mcbasketengine.hpp: Removed warning 2004-02-02 11:10 Neil Firth * [r3914] test-suite/basketoption.cpp, test-suite/basketoption.hpp: Use correlation Matrix rather than covariance Added tests from Barraquand (1995) 2004-02-02 11:08 Neil Firth * [r3913] ql/PricingEngines/Basket/mcbasketengine.hpp: Use correlation Matrix rather than covariance 2004-02-02 10:52 Neil Firth * [r3912] ql/MonteCarlo/multipathgenerator.hpp, ql/PricingEngines/Basket/stulzengine.cpp: Use correlation Matrix rather than covariance 2004-02-02 10:49 Neil Firth * [r3911] ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp: Include correlation Matrix in arguments 2004-02-02 10:38 Luigi Ballabio * [r3910] ql/MonteCarlo/Makefile.am, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/Basket/mcbasketengine.hpp: Misc fixes for gcc 2004-02-01 13:12 Neil Firth * [r3909] test-suite/basketoption.cpp: Included test for MC pricing engine 2004-02-01 13:09 Neil Firth * [r3908] ql/MonteCarlo/europeanmultipathpricer.cpp, ql/MonteCarlo/europeanmultipathpricer.hpp: MC path pricer for European Basket Options 2004-02-01 13:09 Neil Firth * [r3907] ql/PricingEngines/Basket/all.hpp, ql/PricingEngines/Basket/mcbasketengine.hpp: MC Pricing Engine for European Basket Options 2004-02-01 13:07 Neil Firth * [r3906] ql/MonteCarlo/multipathgenerator.hpp: New style multipathgenerator working with basket option mc engine 2004-01-30 10:06 Ferdinando Ametrano * [r3905] ql/PricingEngines/Basket, ql/PricingEngines/Basket/.cvsignore: no message 2004-01-30 10:02 Ferdinando Ametrano * [r3904] ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/voltermstructure.hpp: comments and formatting 2004-01-27 16:33 Ferdinando Ametrano * [r3903] test-suite/basketoption.cpp: Basket options now handle dividends too 2004-01-27 16:27 Ferdinando Ametrano * [r3902] ql/PricingEngines/Basket/stulzengine.cpp: working on basket options 2004-01-27 16:00 Ferdinando Ametrano * [r3901] test-suite/basketoption.cpp: working on basket options more test cases 2004-01-27 16:00 Ferdinando Ametrano * [r3900] ql/PricingEngines/Basket/stulzengine.cpp: working on basket options 2004-01-27 15:30 Ferdinando Ametrano * [r3899] ql/PricingEngines/Basket/stulzengine.cpp: working on basket options 2004-01-27 14:23 Ferdinando Ametrano * [r3898] test-suite/basketoption.cpp: working on basket options 2004-01-27 14:03 Ferdinando Ametrano * [r3897] test-suite/americanoption.cpp: generic fixes 2004-01-27 11:14 Luigi Ballabio * [r3896] configure.ac, ql/Instruments/binarybarrieroption.cpp, ql/Lattices/lattice2d.cpp, ql/Makefile.am, ql/Math/factorial.cpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Basket/stulzengine.hpp, test-suite/basketoption.cpp: Fixes for Linux build, gcc -Wall warnings, Boost 2004-01-27 10:12 Neil Firth * [r3895] ql/PricingEngines/Basket/stulzengine.cpp, test-suite/basketoption.cpp: Corrected error in equation (11) in Stulz's paper 2004-01-26 18:56 Ferdinando Ametrano * [r3894] QuantLib.dsp, QuantLib.mak, ql/Instruments/Makefile.am, ql/Instruments/makefile.mak, ql/PricingEngines/Basket/Makefile.am, ql/PricingEngines/Basket/makefile.mak, ql/PricingEngines/Makefile.am, ql/makefile.mak, test-suite/Makefile.am, test-suite/makefile.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: integrating multiasset, basket, and stulz files into VC++ project, Borland make, and (hopefully) gcc make 2004-01-26 18:54 Ferdinando Ametrano * [r3893] ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/makefile.mak: catching up with the file reordering 2004-01-26 18:42 Ferdinando Ametrano * [r3892] ql/PricingEngines/Basket/stulzengine.cpp: Borland warnings avoided 2004-01-26 18:04 Neil Firth * [r3891] test-suite/basketoption.cpp, test-suite/basketoption.hpp, test-suite/quantlibtestsuite.cpp: Added test for two asset baskets using the Stulz pricing engine 2004-01-26 18:01 Neil Firth * [r3890] ql/PricingEngines/all.hpp: Added Basket directory 2004-01-26 18:01 Neil Firth * [r3889] ql/PricingEngines/Basket, ql/PricingEngines/Basket/all.hpp, ql/PricingEngines/Basket/stulzengine.cpp, ql/PricingEngines/Basket/stulzengine.hpp: Stulz engine for max and min basket calls and puts on two assets 2004-01-26 17:57 Neil Firth * [r3888] ql/Instruments/all.hpp, ql/Instruments/basketoption.cpp, ql/Instruments/basketoption.hpp, ql/Instruments/multiassetoption.cpp, ql/Instruments/multiassetoption.hpp: First draft for multi-asset options 2004-01-26 16:59 Ferdinando Ametrano * [r3887] ql/FiniteDifferences/mixedscheme.hpp, ql/calendar.hpp, ql/daycounter.hpp: formatting 2004-01-26 16:04 Ferdinando Ametrano * [r3886] ql/Math/array.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp: const enforcement of results, in order to avoid: a+b = c; 2004-01-26 15:38 Ferdinando Ametrano * [r3885] TODO.txt: updated 2004-01-26 15:35 Ferdinando Ametrano * [r3884] ql/qldefines.hpp: don't know where it is used, anyway 2004-01-26 14:42 Ferdinando Ametrano * [r3883] test-suite/digitaloption.cpp: more tests 2004-01-26 14:22 Ferdinando Ametrano * [r3882] ql/Math/bivariatenormaldistribution.cpp: must have been drunk... 2004-01-26 12:07 Ferdinando Ametrano * [r3881] ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp: must have been drunk... 2004-01-21 16:00 Ferdinando Ametrano * [r3880] ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/MonteCarlo/binarybarrierpathpricer.hpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp, test-suite/binarybarrieroption.cpp, test-suite/binarybarrieroption.hpp: deprecations 2004-01-20 15:43 Ferdinando Ametrano * [r3878] ql/MonteCarlo/brownianbridge.hpp: bug fixed 2004-01-20 15:43 Ferdinando Ametrano * [r3877] test-suite/digitaloption.cpp: reactivating removed test 2004-01-20 13:44 Ferdinando Ametrano * [r3876] test-suite/digitaloption.cpp: shorter description 2004-01-20 11:23 Luigi Ballabio * [r3875] test-suite/binarybarrieroption.cpp: Formatting 2004-01-20 11:22 Luigi Ballabio * [r3874] ql/Instruments/oneassetstrikedoption.cpp: Check not needed 2004-01-20 11:22 Luigi Ballabio * [r3873] ql/Instruments/oneassetstrikedoption.hpp: Cloning code would need at least a partial understanding of its semantics :) 2004-01-20 11:20 Luigi Ballabio * [r3872] ql/instrument.hpp: Try blocks no longer needed 2004-01-15 14:00 Luigi Ballabio * [r3871] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2004-01-14 23:30 Ferdinando Ametrano * [r3870] test-suite/digitaloption.cpp, test-suite/jumpdiffusion.cpp: warnings avoided 2004-01-14 23:25 Ferdinando Ametrano * [r3869] ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp: using Brownian Bridge 2004-01-14 23:23 Ferdinando Ametrano * [r3868] test-suite/digitaloption.cpp, test-suite/digitaloption.hpp: MC engine for american cash-at-hit options test added 2004-01-14 18:13 Ferdinando Ametrano * [r3867] ql/PricingEngines/americanpayoffathit.hpp: bug fix 2004-01-14 16:50 Ferdinando Ametrano * [r3866] ql/MonteCarlo/digitalpathpricer.cpp: bug fix and efficiency improvements 2004-01-14 16:28 Ferdinando Ametrano * [r3865] ql/MonteCarlo/binarybarrierpathpricer.cpp: bug fix (this file will be replaced asap by digitalpathpricer.cpp, anyway...) 2004-01-14 16:15 Ferdinando Ametrano * [r3864] ql/MonteCarlo/pathgenerator.hpp: bug fix 2004-01-14 15:43 Ferdinando Ametrano * [r3863] ql/MonteCarlo/brownianbridge.hpp: bug fix 2004-01-12 16:32 Luigi Ballabio * [r3861] ql/MonteCarlo/pathgenerator.hpp: No need for a Handle 2004-01-12 16:05 Luigi Ballabio * [r3860] ql/MonteCarlo/pathgenerator.hpp: How did the test work? 2004-01-12 16:04 Luigi Ballabio * [r3859] ql/MonteCarlo/mctraits.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, test-suite/europeanoption.cpp: Formatting 2004-01-12 11:19 Luigi Ballabio * [r3858] QuantLib.dsp, QuantLib.mak, test-suite/testsuite.mak: *** empty log message *** 2004-01-09 16:41 Ferdinando Ametrano * [r3857] ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: using Brownian Bridge 2004-01-09 16:31 Ferdinando Ametrano * [r3855] ql/MonteCarlo/pathgenerator.hpp: explit selection of incremental or brownian bridge path construction 2004-01-09 16:29 Ferdinando Ametrano * [r3854] test-suite/digitaloption.cpp: working on digitals... 2004-01-09 16:28 Ferdinando Ametrano * [r3853] test-suite/barrieroption.cpp: working on barriers... 2004-01-09 10:35 Ferdinando Ametrano * [r3852] TODO.txt: updated 2004-01-09 09:53 Ferdinando Ametrano * [r3851] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore: ignore *.obj and *.exe 2004-01-09 09:37 Ferdinando Ametrano * [r3850] ql/MonteCarlo/pathgenerator.hpp: Brownian bridge bug fix 2004-01-09 08:35 Luigi Ballabio * [r3849] ql/PricingEngines/Vanilla/Makefile.am: *** empty log message *** 2004-01-08 18:39 Ferdinando Ametrano * [r3848] QuantLib.dsp, QuantLib.mak, ql/PricingEngines/Vanilla/all.hpp: removing non-existing file 2004-01-08 18:23 Ferdinando Ametrano * [r3846] TODO.txt: updated 2004-01-08 18:21 Ferdinando Ametrano * [r3845] test-suite/digitaloption.cpp: commenting out the MC test for the time being 2004-01-08 18:20 Ferdinando Ametrano * [r3844] Examples/EuropeanOption/EuropeanOption.cpp: small changes 2004-01-08 18:07 Luigi Ballabio * [r3843] ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Asian/all.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Asian/analyticasianengine.hpp, ql/PricingEngines/Asian/asianengines.hpp, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Barrier/all.hpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.hpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp, ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Barrier/mcbarrierengine.hpp, ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Cliquet/all.hpp, ql/PricingEngines/Cliquet/cliquetengines.hpp, ql/PricingEngines/Cliquet/mccliquetengine.hpp, ql/PricingEngines/Forward/Makefile.am, ql/PricingEngines/Forward/all.hpp, ql/PricingEngines/Forward/forwardengine.hpp, ql/PricingEngines/Forward/forwardengines.hpp, ql/PricingEngines/Forward/forwardperformanceengine.hpp, ql/PricingEngines/Quanto/Makefile.am, ql/PricingEngines/Quanto/all.hpp, ql/PricingEngines/Quanto/quantoengine.hpp, ql/PricingEngines/Quanto/quantoengines.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/all.hpp, ql/PricingEngines/Vanilla/americanmcengines.hpp, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/analyticamericanengine.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp, ql/PricingEngines/Vanilla/binomialengine.hpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp, ql/PricingEngines/Vanilla/integralengine.cpp, ql/PricingEngines/Vanilla/integralengine.hpp, ql/PricingEngines/Vanilla/integralengines.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/Vanilla/vanillaengines.hpp, ql/PricingEngines/all.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/binarybarrieroption.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp: Reordered headers 2004-01-08 17:41 Ferdinando Ametrano * [r3842] Examples/EuropeanOption/EuropeanOption.cpp: removed unused variable 2004-01-08 17:14 Ferdinando Ametrano * [r3841] ql/MonteCarlo/brownianbridge.hpp: bug fix 2004-01-08 12:07 Ferdinando Ametrano * [r3839] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, test-suite/jumpdiffusion.cpp, test-suite/jumpdiffusion.hpp: jump diffusion greeks tested 2004-01-08 09:25 Ferdinando Ametrano * [r3838] ql/PricingEngines/blackformula.hpp: more informative error messages 2004-01-08 09:23 Ferdinando Ametrano * [r3837] test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/europeanoption.cpp, test-suite/jumpdiffusion.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: small changes 2004-01-07 18:04 Ferdinando Ametrano * [r3836] TODO.txt, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/stochasticprocess.hpp, test-suite/jumpdiffusion.cpp, test-suite/quantlibtestsuite.cpp: jump diffusion succesfully tested 2004-01-07 17:46 Ferdinando Ametrano * [r3835] ql/dataformatters.cpp: 11, 12, and 13 were uncorrectly handled 2004-01-07 09:31 Luigi Ballabio * [r3834] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp: *** empty log message *** 2004-01-05 15:46 Ferdinando Ametrano * [r3832] TODO.txt, ql/MonteCarlo/pathgenerator.hpp, ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: working on BrownianBridge 2004-01-05 14:30 Ferdinando Ametrano * [r3831] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp: working on jump diffudion 2004-01-05 13:47 Ferdinando Ametrano * [r3830] Examples/BermudanSwaption/BermudanSwaption.cpp: Removed unused argument 2004-01-05 12:42 Ferdinando Ametrano * [r3829] ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, test-suite/quantlibtestsuite.cpp: allowing for very short time to expiry 2004-01-05 12:39 Ferdinando Ametrano * [r3828] ql/MonteCarlo/mctypedefs.hpp: working on BrownianBridge 2004-01-05 12:38 Ferdinando Ametrano * [r3827] ql/PricingEngines/Vanilla/mcdigitalengine.hpp: allowing for very short time to maturity 2004-01-05 12:35 Luigi Ballabio * [r3826] test-suite/jumpdiffusion.cpp: *** empty log message *** 2004-01-05 12:30 Luigi Ballabio * [r3825] ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp: Whole calculation does not fail when theta does 2004-01-05 12:21 Ferdinando Ametrano * [r3824] QuantLib.dsp, QuantLib.mak: new files added to the VC project 2004-01-05 12:19 Ferdinando Ametrano * [r3823] ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, test-suite/Makefile.am, test-suite/jumpdiffusion.cpp, test-suite/makefile.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: jumpdiffudion test added (it fails for the time being) 2004-01-05 11:59 Ferdinando Ametrano * [r3822] test-suite/stats.cpp: fix for Borland compiler 2004-01-05 11:14 Luigi Ballabio * [r3820] ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, test-suite/swaption.cpp: Removed unused argument 2004-01-05 11:14 Luigi Ballabio * [r3819] ql/core.hpp, ql/quantlib.hpp: Stochastic process in core header 2004-01-05 11:03 Luigi Ballabio * [r3818] ql/Instruments/oneassetoption.hpp: Default constructors are, well, used by default... 2004-01-05 10:23 Luigi Ballabio * [r3817] test-suite/digitaloption.cpp, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2004-01-05 09:58 Ferdinando Ametrano * [r3816] test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/makefile.mak: fix for Borland compiler 2004-01-05 09:41 Luigi Ballabio * [r3815] ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/binarybarrierpathpricer.cpp, ql/MonteCarlo/digitalpathpricer.cpp, ql/PricingEngines/Vanilla/americanmcengines.cpp: Replaced at() with operator[]() 2004-01-05 09:34 Ferdinando Ametrano * [r3813] test-suite/quantlibtestsuite.cpp: jump diffusion engine test added. As of now it fails 2004-01-05 09:33 Ferdinando Ametrano * [r3812] test-suite/digitaloption.cpp, test-suite/digitaloption.hpp: American payoff paid at Expiry tests added 2004-01-05 09:08 Ferdinando Ametrano * [r3811] ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp: formatting 2004-01-05 09:07 Ferdinando Ametrano * [r3810] ql/PricingEngines/Vanilla/analyticamericanengine.cpp: American payoff paid at Expiry added 2004-01-05 09:06 Ferdinando Ametrano * [r3809] ql/PricingEngines/Vanilla/mceuropeanengine.hpp: allowing for very short time to maturity 2004-01-05 09:04 Luigi Ballabio * [r3808] ql/MonteCarlo/digitapathpricer.cpp: How did this get here? 2004-01-05 08:59 Ferdinando Ametrano * [r3807] ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, test-suite/jumpdiffusion.hpp: copyright years fixed 2004-01-05 08:55 Ferdinando Ametrano * [r3806] test-suite/europeanoption.cpp: formatting 2004-01-05 08:53 Ferdinando Ametrano * [r3805] test-suite/jumpdiffusion.cpp, test-suite/jumpdiffusion.hpp: jump diffusion engine test added. As of now it fails 2004-01-05 08:52 Ferdinando Ametrano * [r3804] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp, ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp, ql/PricingEngines/Vanilla/makefile.mak: jump diffusion engine added. Not succesfully tested yet 2004-01-05 08:51 Ferdinando Ametrano * [r3803] ql/PricingEngines/Makefile.am, ql/PricingEngines/americanpayoffatexpiry.hpp, ql/PricingEngines/core.hpp: American payoff paid at Expiry added 2004-01-05 08:50 Ferdinando Ametrano * [r3802] ql/PricingEngines/americanpayoffathit.hpp: various fixes 2004-01-05 08:48 Ferdinando Ametrano * [r3801] ql/MonteCarlo/brownianbridge.hpp: working on BrownianBridge 2004-01-05 08:46 Ferdinando Ametrano * [r3800] ql/Math/bivariatenormaldistribution.cpp: formatting 2004-01-05 08:46 Ferdinando Ametrano * [r3799] ql/Math/poissondistribution.hpp: typo fixed 2004-01-05 08:44 Ferdinando Ametrano * [r3798] ql/stochasticprocess.hpp: working on Merton76 2004-01-05 07:36 Ferdinando Ametrano * [r3797] Examples/AmericanOption/AmericanOption.cpp: few more digits 2004-01-03 14:49 Luigi Ballabio * [r3795] ql/stochasticprocess.hpp: *** empty log message *** 2004-01-02 17:13 Luigi Ballabio * [r3794] test-suite/americanoption.cpp, test-suite/asianoptions.cpp: Hmm 2004-01-01 22:58 Ferdinando Ametrano * [r3793] test-suite/digitaloption.cpp: more test cases added 2004-01-01 22:57 Ferdinando Ametrano * [r3792] test-suite/digitaloption.hpp: added test for AssetOrNothing payoff with American exercise 2004-01-01 22:50 Ferdinando Ametrano * [r3791] QuantLib.dsp, ql/PricingEngines/Makefile.am, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/americanpayoffathit.hpp, ql/PricingEngines/core.hpp: added American exercise with Payoff at hit analytical formulae 2004-01-01 22:42 Ferdinando Ametrano * [r3790] ql/PricingEngines/blackformula.hpp: small adjustments 2004-01-01 22:40 Ferdinando Ametrano * [r3789] ql/exercise.hpp: commented out code removed 2003-12-31 20:59 Ferdinando Ametrano * [r3788] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, TODO.txt, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Makefile.am, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Forward/forwardengines.hpp, ql/PricingEngines/Quanto/quantoengines.hpp, ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp, ql/PricingEngines/Vanilla/integralengines.cpp, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/Vanilla/vanillaengines.hpp, ql/quantlib.hpp, ql/stochasticprocess.hpp, test-suite/americanoption.cpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/binarybarrieroption.cpp, test-suite/digitaloption.cpp, test-suite/europeanoption.cpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp: first draft of StochasticProcess introduced. 2003-12-31 20:46 Ferdinando Ametrano * [r3787] ql/voltermstructure.cpp: more informative error messages + a small fix 2003-12-31 14:45 Luigi Ballabio * [r3786] ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/mcdigitalengine.hpp, test-suite/americanoption.cpp, test-suite/binarybarrieroption.cpp, test-suite/digitaloption.cpp, test-suite/distributions.cpp, test-suite/europeanoption.cpp: Miscellaneous fixes for the new year 2003-12-29 21:23 Ferdinando Ametrano * [r3785] test-suite/europeanoption.cpp: binary (cash-or-nothing, asset-or-nothing, gap) greeks test and more added 2003-12-29 21:11 Ferdinando Ametrano * [r3784] test-suite/americanoption.cpp: formatting 2003-12-29 20:46 Ferdinando Ametrano * [r3783] test-suite/digitaloption.cpp, test-suite/digitaloption.hpp: tests added for value of Gap, Asset-Or-Nothing, and Asset-Or-Nothing european options 2003-12-29 20:20 Ferdinando Ametrano * [r3782] ql/PricingEngines/blackformula.hpp: delta and gamma with respect to forward added greeks for cash-or-nothing, asset-or-nothing, and gap payoff added 2003-12-29 20:08 Ferdinando Ametrano * [r3781] ql/Instruments/payoffs.hpp: Gap payoff introduced 2003-12-28 22:28 Ferdinando Ametrano * [r3780] test-suite/europeanoption.cpp: more tests added, namely greeks of european options with digital payoff 2003-12-28 21:34 Ferdinando Ametrano * [r3779] test-suite/binarybarrieroption.cpp: explicit engine declaration added instead of using default parameter 2003-12-28 21:29 Ferdinando Ametrano * [r3778] test-suite/quantlibtestsuite.cpp: digital option test added: it is the former binarybarrier option test which will be removed as soon as possible 2003-12-28 21:28 Ferdinando Ametrano * [r3777] test-suite/americanoption.cpp, test-suite/americanoption.hpp: Bjerksund and Stensland test Barone-Adesi and Whaley test 2003-12-28 21:26 Ferdinando Ametrano * [r3776] test-suite/Makefile.am, test-suite/digitaloption.cpp, test-suite/digitaloption.hpp, test-suite/makefile.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: digital option test added: it is the ofrmer binarybarrier option test which will be removed as soon as possible 2003-12-28 21:24 Ferdinando Ametrano * [r3775] QuantLib.dsp, QuantLib.mak: updated 2003-12-28 21:23 Ferdinando Ametrano * [r3774] ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp: minor changes, mainly catching up with BlackFormula new signature 2003-12-28 21:21 Ferdinando Ametrano * [r3773] ql/MonteCarlo/Makefile.am, ql/MonteCarlo/digitalpathpricer.cpp, ql/MonteCarlo/digitalpathpricer.hpp, ql/MonteCarlo/digitapathpricer.cpp, ql/MonteCarlo/makefile.mak: added digitalpathpricer. It will replace binarybarrierpathpricer as soon as possible 2003-12-28 21:10 Ferdinando Ametrano * [r3772] ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp: BinaryBarrierOption will be removed as soon as possible. Replaced by VanillaOption with digital payoffs 2003-12-28 21:08 Ferdinando Ametrano * [r3771] ql/PricingEngines/blackformula.hpp: greek calculation extended to cash-or-nothing payff (tested) and asset-or-nothing payoff (untested yet) Signature changed. 2003-12-28 21:06 Ferdinando Ametrano * [r3770] ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp: minor modifications, mainly catching up with the new Black interface 2003-12-28 21:03 Ferdinando Ametrano * [r3769] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/Vanilla/vanillaengines.hpp, ql/PricingEngines/all.hpp: new engines added 2003-12-28 20:58 Ferdinando Ametrano * [r3768] ql/PricingEngines/Vanilla/mcdigitalengine.hpp: added Monte Carlo digital engine (formerly MC binary barrier engine) 2003-12-28 20:57 Ferdinando Ametrano * [r3767] ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp: added Bjerksund and Stensland approximation for American option. 2003-12-28 20:56 Ferdinando Ametrano * [r3766] ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp: Barone-Adesi and Whaley approximation for American option now successfully tested 2003-12-26 10:10 Ferdinando Ametrano * [r3765] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/MonteCarlo/binarybarrierpathpricer.cpp, ql/MonteCarlo/binarybarrierpathpricer.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treeswaption.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/option.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/binarybarrieroption.cpp, test-suite/europeanoption.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swaption.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Instruments classes (partial) refactoring using Payoff and Exercise 2003-12-26 09:53 Ferdinando Ametrano * [r3764] test-suite/Makefile.am, test-suite/americanoption.cpp, test-suite/americanoption.hpp, test-suite/makefile.mak: added Barone-Adesi and Whaley approximation for American option. Not successfully tested yet 2003-12-26 09:42 Ferdinando Ametrano * [r3763] ql/exercise.hpp: polymorphic Exercise 2003-12-26 09:13 Ferdinando Ametrano * [r3762] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/Vanilla/vanillaengines.hpp: added Barone-Adesi and Whaley approximation for American option. Not tested yet 2003-12-26 09:11 Ferdinando Ametrano * [r3761] ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp: added elasticity, thetaPerDay, deltaFoward, and itmProbability 2003-12-26 09:05 Ferdinando Ametrano * [r3760] test-suite/europeanoption.cpp, test-suite/europeanoption.hpp: more value and greek tests 2003-12-26 08:52 Ferdinando Ametrano * [r3759] ql/PricingEngines/blackformula.hpp: added elasticity, thetaPerDay, deltaFoward 2003-12-26 08:47 Ferdinando Ametrano * [r3758] test-suite/distributions.cpp, test-suite/distributions.hpp: added bivariate cumulative normal distribution test 2003-12-26 08:44 Ferdinando Ametrano * [r3757] ql/Math/Makefile.am, ql/Math/bivariatenormaldistribution.cpp, ql/Math/bivariatenormaldistribution.hpp, ql/Math/makefile.mak: added bivariate cumulative normal distribution 2003-12-23 12:06 Luigi Ballabio * [r3756] test-suite/quantlibtestsuite.cpp, test-suite/stats.cpp, test-suite/stats.hpp: *** empty log message *** 2003-12-23 11:13 Luigi Ballabio * [r3755] ql/Makefile.am, ql/errors.cpp, ql/errors.hpp, ql/qldefines.hpp: Added handler for Boost assertions 2003-12-23 11:13 Luigi Ballabio * [r3754] ql/scheduler.cpp, test-suite/asianoptions.cpp, test-suite/europeanoption.cpp: *** empty log message *** 2003-12-23 00:37 Ferdinando Ametrano * [r3752] test-suite/europeanoption.cpp: more test added 2003-12-23 00:35 Ferdinando Ametrano * [r3751] ql/PricingEngines/blackformula.hpp: elasticity added 2003-12-22 19:54 Ferdinando Ametrano * [r3750] ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/makefile.mak: adding one-touch option, that is american binary options 2003-12-22 19:34 Ferdinando Ametrano * [r3749] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, TODO.txt, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Forward/forwardengines.hpp, ql/PricingEngines/Quanto/quantoengines.hpp, ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/analyticamericanengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/PricingEngines/Vanilla/integralengines.cpp, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/Vanilla/vanillaengines.hpp, ql/PricingEngines/blackformula.hpp, ql/option.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/binarybarrieroption.cpp, test-suite/europeanoption.cpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.mak: using Exercise everywhere 2003-12-22 19:29 Ferdinando Ametrano * [r3748] ql/exercise.cpp: more requirements 2003-12-22 19:09 Ferdinando Ametrano * [r3747] test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/quantlibtestsuite.cpp: quicker test 2003-12-22 14:28 Ferdinando Ametrano * [r3746] ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp: comments 2003-12-22 14:27 Ferdinando Ametrano * [r3745] ql/exercise.cpp, ql/exercise.hpp: introduced intermediate EarlyExercise class 2003-12-22 12:21 Ferdinando Ametrano * [r3744] QuantLib.dsp, QuantLib.mak, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binarybarrieroption.cpp, ql/Instruments/binarybarrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/makefile.mak, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/binarybarrierpathpricer.cpp, ql/MonteCarlo/binarybarrierpathpricer.hpp, ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/binarypathpricer.hpp, ql/MonteCarlo/makefile.mak, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp, ql/PricingEngines/Barrier/binarybarrierengines.hpp, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/analyticamericanbinaryengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/Vanilla/binaryengines.hpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/all.hpp, test-suite/Makefile.am, test-suite/binarybarrieroption.cpp, test-suite/binarybarrieroption.hpp, test-suite/binaryoption.cpp, test-suite/binaryoption.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: (barrier) BinaryOption renamed as BinaryBarrierOption 2003-12-22 10:43 Luigi Ballabio * [r3742] ql/Instruments/payoffs.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp: *** empty log message *** 2003-12-22 09:21 Ferdinando Ametrano * [r3741] Examples/EuropeanOption/EuropeanOption.cpp: using OptionTypeFormatter 2003-12-22 09:13 Ferdinando Ametrano * [r3740] test-suite/binaryoption.cpp, test-suite/europeanoption.cpp, test-suite/old_pricers.cpp: using OptionTypeFormatter 2003-12-22 09:12 Ferdinando Ametrano * [r3739] ql/dataformatters.cpp, ql/dataformatters.hpp: added OptionTypeFormatter 2003-12-21 11:43 Ferdinando Ametrano * [r3738] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, TODO.txt: Payoff as input, instead of (type, strike) couple 2003-12-21 11:38 Ferdinando Ametrano * [r3737] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/europeanoption.cpp: Payoff as input, instead of (type, strike) couple 2003-12-21 11:31 Ferdinando Ametrano * [r3736] ql/PricingEngines/Forward/forwardengines.hpp, ql/PricingEngines/Quanto/quantoengines.hpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp: using new Payoff approach 2003-12-21 11:29 Ferdinando Ametrano * [r3735] ql/PricingEngines/blackformula.hpp: it handles binary Cash-Or-Nothing and Asset-Or-Nothing payoffs too 2003-12-21 11:24 Ferdinando Ametrano * [r3734] ql/Instruments/payoffs.hpp: introduced one more intermediate level of payoff 2003-12-20 10:32 Luigi Ballabio * [r3733] test-suite/asianoptions.cpp: *** empty log message *** 2003-12-19 19:25 Ferdinando Ametrano * [r3732] QuantLib.dsp, QuantLib.mak: updated 2003-12-19 19:22 Ferdinando Ametrano * [r3731] ql/PricingEngines/blackformula.hpp: fixing wrong header gard 2003-12-19 16:44 Ferdinando Ametrano * [r3730] test-suite/asianoptions.cpp, test-suite/asianoptions.hpp: discrete averaging geometric asian option test added 2003-12-19 15:51 Ferdinando Ametrano * [r3729] QuantLib.dsp, QuantLib.mak: updated 2003-12-19 15:51 Ferdinando Ametrano * [r3728] test-suite/Makefile.am, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: discrete averaging geometric asian option test added 2003-12-19 15:49 Ferdinando Ametrano * [r3727] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/makefile.mak: moved to handle fixing dates instead of fixing times 2003-12-19 09:11 Luigi Ballabio * [r3726] configure.ac, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, ql/PricingEngines/core.hpp: *** empty log message *** 2003-12-19 08:57 Luigi Ballabio * [r3725] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-12-18 19:34 Ferdinando Ametrano * [r3724] ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Makefile.am, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Asian/analyticasianengine.cpp, ql/PricingEngines/Asian/asianengines.hpp, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Makefile.am, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/blackformula.hpp, ql/makefile.mak: Discrete geometric asian option moving to the pricing engine framework 2003-12-18 13:30 Luigi Ballabio * [r3721] configure.ac, ql/Makefile.am, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Forward/Makefile.am, ql/PricingEngines/Quanto/Makefile.am, ql/PricingEngines/Vanilla/Makefile.am: *** empty log message *** 2003-12-18 12:32 Luigi Ballabio * [r3720] ql/Calendars/Makefile.am, ql/Calendars/all.hpp, ql/CashFlows/Makefile.am, ql/CashFlows/all.hpp, ql/CashFlows/core.hpp, ql/DayCounters/Makefile.am, ql/DayCounters/all.hpp, ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/all.hpp, ql/FiniteDifferences/core.hpp, ql/Indexes/Makefile.am, ql/Indexes/all.hpp, ql/Indexes/core.hpp, ql/Instruments/Makefile.am, ql/Instruments/all.hpp, ql/Instruments/core.hpp, ql/Lattices/Makefile.am, ql/Lattices/all.hpp, ql/Lattices/core.hpp, ql/Makefile.am, ql/Math/Makefile.am, ql/Math/all.hpp, ql/Math/core.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/all.hpp, ql/MonteCarlo/core.hpp, ql/Optimization/Makefile.am, ql/Optimization/all.hpp, ql/Optimization/core.hpp, ql/Patterns/Makefile.am, ql/Patterns/all.hpp, ql/Pricers/Makefile.am, ql/Pricers/all.hpp, ql/Pricers/core.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/all.hpp, ql/PricingEngines/core.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/all.hpp, ql/RandomNumbers/core.hpp, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/all.hpp, ql/ShortRateModels/core.hpp, ql/Solvers1D/Makefile.am, ql/Solvers1D/all.hpp, ql/TermStructures/Makefile.am, ql/TermStructures/all.hpp, ql/Utilities/Makefile.am, ql/Utilities/all.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/all.hpp, ql/core.hpp, ql/functions/Makefile.am, ql/functions/all.hpp, ql/quantlib.hpp: Finer-grained control on what to include (as opposed to a monolythic quantlib.hpp) 2003-12-18 11:49 Ferdinando Ametrano * [r3719] Examples/AmericanOption/AmericanOption.cpp: OneAssetOption and OneAssetStrikedOption instrumets introduced 2003-12-18 11:47 Ferdinando Ametrano * [r3718] Examples/AmericanOption/AmericanOption.cpp, QuantLib.dsp, QuantLib.mak, TODO.txt, ql/Instruments/Makefile.am, ql/Instruments/asianoption.cpp, ql/Instruments/asianoption.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/makefile.mak, ql/Instruments/oneassetoption.cpp, ql/Instruments/oneassetoption.hpp, ql/Instruments/oneassetstrikedoption.cpp, ql/Instruments/oneassetstrikedoption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/option.hpp: OneAssetOption and OneAssetStrikedOption instrumets introduced 2003-12-18 11:10 Luigi Ballabio * [r3717] QuantLib.dsp, ql/Makefile.am, ql/Pricers/Makefile.am, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackmodel.hpp, ql/Pricers/blackswaption.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/Volatilities/capflatvolvector.hpp, ql/blackmodel.hpp, ql/quantlib.hpp: Moved Black model where it might belong (better than in the root dir anyway) 2003-12-18 09:31 Luigi Ballabio * [r3716] ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Makefile.am, ql/Math/Makefile.am, ql/Math/array.hpp, ql/Math/matrix.hpp, ql/Optimization/constraint.hpp, ql/Optimization/costfunction.hpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/array.hpp, ql/quantlib.hpp: Moved array where it belongs 2003-12-18 08:31 Ferdinando Ametrano * [r3715] ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Lookback/Makefile.am, ql/PricingEngines/Makefile.am: (conceptual) file re-ordering 2003-12-17 16:58 Ferdinando Ametrano * [r3714] QuantLib.dsp, QuantLib.mak, ql/Instruments/barrieroption.cpp, ql/Instruments/binaryoption.cpp, ql/makefile.mak, ql/quantlib.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/europeanoption.cpp, test-suite/testsuite.mak: (conceptual) file re-ordering 2003-12-17 16:52 Ferdinando Ametrano * [r3713] ql/PricingEngines/Asian, ql/PricingEngines/Asian/.cvsignore, ql/PricingEngines/Asian/Makefile.am, ql/PricingEngines/Asian/makefile.mak, ql/PricingEngines/Barrier, ql/PricingEngines/Barrier/.cvsignore, ql/PricingEngines/Barrier/Makefile.am, ql/PricingEngines/Barrier/analyticbarrierengine.cpp, ql/PricingEngines/Barrier/barrierengines.hpp, ql/PricingEngines/Barrier/makefile.mak, ql/PricingEngines/Cliquet, ql/PricingEngines/Cliquet/.cvsignore, ql/PricingEngines/Cliquet/Makefile.am, ql/PricingEngines/Cliquet/cliquetengines.hpp, ql/PricingEngines/Cliquet/makefile.mak, ql/PricingEngines/Forward, ql/PricingEngines/Forward/.cvsignore, ql/PricingEngines/Forward/Makefile.am, ql/PricingEngines/Forward/forwardengines.hpp, ql/PricingEngines/Forward/makefile.mak, ql/PricingEngines/Lookback, ql/PricingEngines/Lookback/.cvsignore, ql/PricingEngines/Lookback/Makefile.am, ql/PricingEngines/Lookback/makefile.mak, ql/PricingEngines/Makefile.am, ql/PricingEngines/Quanto, ql/PricingEngines/Quanto/.cvsignore, ql/PricingEngines/Quanto/Makefile.am, ql/PricingEngines/Quanto/makefile.mak, ql/PricingEngines/Quanto/quantoengines.hpp, ql/PricingEngines/Vanilla, ql/PricingEngines/Vanilla/.cvsignore, ql/PricingEngines/Vanilla/Makefile.am, ql/PricingEngines/Vanilla/americanmcengines.cpp, ql/PricingEngines/Vanilla/americanmcengines.hpp, ql/PricingEngines/Vanilla/analyticamericanbinaryengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp, ql/PricingEngines/Vanilla/binaryengines.hpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp, ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp, ql/PricingEngines/Vanilla/integralengines.cpp, ql/PricingEngines/Vanilla/makefile.mak, ql/PricingEngines/Vanilla/mceuropeanengine.hpp, ql/PricingEngines/Vanilla/mcvanillaengine.hpp, ql/PricingEngines/Vanilla/vanillaengines.hpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/mcsimulation.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp: (conceptual) file re-ordering 2003-12-17 14:20 Ferdinando Ametrano * [r3712] ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp: BarrierOption now uses Payoff 2003-12-17 14:02 Ferdinando Ametrano * [r3711] ql/Instruments/payoffs.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp: VanillaOption now uses Payoff 2003-12-17 12:09 Luigi Ballabio * [r3710] ql/CashFlows/coupon.hpp: Check for null reference dates 2003-12-16 18:04 Luigi Ballabio * [r3709] ql/Instruments/Makefile.am: *** empty log message *** 2003-12-16 18:01 Luigi Ballabio * [r3708] test-suite/factorial.cpp: Fixed random capitals 2003-12-16 18:01 Luigi Ballabio * [r3707] ql/FiniteDifferences/americancondition.hpp, ql/Instruments/payoffs.hpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/vanillaengines.hpp, ql/exercise.hpp, ql/option.hpp, ql/payoff.hpp, ql/quantlib.hpp: Trying to use VanillaOption as a leaf class (well, it's a first step) 2003-12-16 15:03 Luigi Ballabio * [r3706] Docs/Makefile.am, Docs/makefile.mak, Docs/quantlib.doxy, Docs/quantlibheader.html, ql/CashFlows/basispointsensitivity.hpp, ql/Instruments/swap.hpp, ql/PricingEngines/americanmcengines.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp: Bug list added 2003-12-15 17:16 Luigi Ballabio * [r3705] ql/Instruments/barrieroption.cpp, ql/Instruments/binaryoption.cpp: Compiles with Boost 2003-12-15 15:42 Ferdinando Ametrano * [r3704] ql/Lattices/binomialtree.cpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/Pricers/singleassetoption.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp: handling strike=0.0 where possible 2003-12-15 13:51 Ferdinando Ametrano * [r3703] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/vanillaengines.hpp, ql/diffusionprocess.hpp, test-suite/europeanoption.cpp: added Leisen-Reimer binomial tree 2003-12-15 13:33 Ferdinando Ametrano * [r3702] ql/Math/binomialdistribution.hpp: requiring odd n 2003-12-15 11:07 Luigi Ballabio * [r3701] test-suite/factorial.cpp: *** empty log message *** 2003-12-15 10:22 Ferdinando Ametrano * [r3699] ql/Math/binomialdistribution.hpp: typo 2003-12-15 09:36 Luigi Ballabio * [r3697] ql/Math/binomialdistribution.hpp: Grrr 2003-12-15 09:25 Luigi Ballabio * [r3696] ql/Math/poissondistribution.hpp: *** empty log message *** 2003-12-15 09:25 Ferdinando Ametrano * [r3695] QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/beta.cpp, ql/Math/beta.hpp, ql/Math/binomialdistribution.hpp, ql/quantlib.hpp: added binomialCoefficientLn, binomialCoefficient, BinomialDistribution, CumulativeBinomialDistribution, and PeizerPrattMethod2Inversion 2003-12-15 09:17 Luigi Ballabio * [r3694] QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/comparison.hpp, ql/discretizedasset.hpp, ql/grid.cpp: Somewhat better floating-point comparison 2003-12-14 15:31 Ferdinando Ametrano * [r3693] ql/Math/Makefile.am, ql/Math/beta.cpp, ql/Math/beta.hpp, ql/Math/makefile.mak: added beta function(s) 2003-12-12 14:26 Ferdinando Ametrano * [r3692] test-suite/factorial.cpp, test-suite/factorial.hpp: added poisson pdf and cdf tests 2003-12-12 13:13 Luigi Ballabio * [r3691] ql/Math/Makefile.am: *** empty log message *** 2003-12-12 11:44 Ferdinando Ametrano * [r3690] QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/incompletegamma.cpp, ql/Math/incompletegamma.hpp, ql/Math/makefile.mak, ql/Math/poissondistribution.hpp, ql/quantlib.hpp, test-suite/factorial.cpp, test-suite/testsuite.mak: added poisson distribution added cumulativr poisson distribution added incomplete gamma function(s) 2003-12-12 09:27 Luigi Ballabio * [r3689] ql/Patterns/composite.hpp: Convenience typedefs 2003-12-11 17:37 Luigi Ballabio * [r3688] ql/Patterns/Makefile.am, test-suite/factorial.cpp: *** empty log message *** 2003-12-11 17:37 Luigi Ballabio * [r3687] ql/Math/factorial.cpp, ql/Math/factorial.hpp: Just because Size is an unsigned int, it doesn't mean that all unsigned ints are Sizes 2003-12-11 16:56 Ferdinando Ametrano * [r3686] QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/factorial.cpp, ql/Math/factorial.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/makefile.mak, test-suite/Makefile.am, test-suite/factorial.cpp, test-suite/factorial.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: added factorial added factorial and gamma function tests 2003-12-11 12:26 Luigi Ballabio * [r3684] ql/Patterns/composite.hpp: *** empty log message *** 2003-12-11 10:39 Luigi Ballabio * [r3683] ql/Optimization/method.hpp: sigh 2003-12-11 10:24 Ferdinando Ametrano * [r3682] ql/Optimization/method.hpp: deprecated typedef removed 2003-12-11 10:10 Ferdinando Ametrano * [r3681] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/cholesky.cpp, ql/Math/cholesky.hpp, ql/Math/makefile.mak, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/RandomNumbers/randomarraygenerator.hpp, test-suite/covariance.cpp, test-suite/matrices.cpp, test-suite/testsuite.mak: Cholesky as CholeskyDecomposition function SalvagingAlgorithm as structure 2003-12-11 09:53 Luigi Ballabio * [r3680] ql/Patterns/composite.hpp, ql/quantlib.hpp: Composite pattern 2003-12-10 18:24 Ferdinando Ametrano * [r3677] ql/Math/matrix.cpp: bug fixes 2003-12-10 17:18 Ferdinando Ametrano * [r3676] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/errors.hpp, test-suite/old_pricers.cpp, test-suite/testsuite.mak: added rankReducedSqrt improved pseudoSqrt 2003-12-10 17:14 Ferdinando Ametrano * [r3675] ql/Math/symmetricschurdecomposition.cpp: round off errors 2003-12-10 16:20 Ferdinando Ametrano * [r3674] makefile.mak: target added 2003-12-10 16:18 Ferdinando Ametrano * [r3673] ql/RandomNumbers/randomarraygenerator.hpp, test-suite/matrices.cpp: explicit choice of salvaging algorithm 2003-12-10 16:04 Ferdinando Ametrano * [r3672] ql/Math/cholesky.cpp, ql/Math/cholesky.hpp: shorter name 2003-12-10 15:58 Luigi Ballabio * [r3671] ql/scheduler.cpp: Warning avoided 2003-12-10 14:30 Luigi Ballabio * [r3670] Docs/quantlib.doxy: Parsing headers only 2003-12-10 14:29 Luigi Ballabio * [r3669] ql/scheduler.cpp, ql/scheduler.hpp: Added treatment of 'once' frequency 2003-12-10 14:28 Luigi Ballabio * [r3668] ql/Math/cholesky.cpp, ql/Math/cholesky.hpp: Removed warnings 2003-12-10 14:27 Luigi Ballabio * [r3667] ql/date.hpp, quantlib.el: Added frequency enumeration 2003-12-10 13:23 Luigi Ballabio * [r3666] ql/Calendars/Makefile.am, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/Calendars/makefile.mak: Oversight in copyright dates 2003-12-10 13:17 Marco Marchioro * [r3665] QuantLib.dsp, ql/Calendars/copenhagen.cpp, ql/Calendars/copenhagen.hpp, ql/quantlib.hpp: Added calendar for Copenhagen 2003-12-09 16:42 Luigi Ballabio * [r3664] test-suite/covariance.cpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp: tests fixed 2003-12-09 09:43 Ferdinando Ametrano * [r3663] ql/Math/Makefile.am, ql/Math/cholesky.cpp, ql/Math/cholesky.hpp, ql/Math/makefile.mak: added Cholesky decomposition 2003-12-09 09:33 Ferdinando Ametrano * [r3662] ql/Math/symmetricschurdecomposition.cpp: eigenvectors now have the first component always positive, to allow for easy consistent comparison between similar matrices 2003-12-08 15:10 Ferdinando Ametrano * [r3661] ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancesurface.cpp: bug fix for short time (0<=t<=Tmin) interpolation 2003-12-05 16:03 Luigi Ballabio * [r3660] QuantLib.dsp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/swaptionpricer.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/genericmodelengine.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/pricingengine.hpp, ql/quantlib.hpp: moved GenericEngine into pricingengine.hpp (they're strongly coupled anyway) 2003-12-04 13:35 Marco Marchioro * [r3659] Authors.txt: trying to avoid some spam 2003-12-02 11:35 Luigi Ballabio * [r3656] ql/blackmodel.hpp: In-the-money probability 2003-12-01 12:54 Luigi Ballabio * [r3655] ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/vanillaengines.hpp: Unified a few compiler-dependent #if branches 2003-12-01 10:46 Luigi Ballabio * [r3653] ql/marketelement.hpp: *** empty log message *** 2003-12-01 10:39 Luigi Ballabio * [r3651] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/blackmodel.hpp, ql/marketelement.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/capfloor.cpp, test-suite/europeanoption.cpp, test-suite/instruments.cpp, test-suite/marketelements.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: MarketElement renamed to Quote 2003-11-27 16:46 Ferdinando Ametrano * [r3650] ql/qldefines.hpp: checking boost version number 2003-11-27 15:57 Luigi Ballabio * [r3649] QuantLib.dsp: Removed files for other compilers 2003-11-27 15:45 Ferdinando Ametrano * [r3648] dev_tools/tgz2zip: user configurations moved to a single place 2003-11-27 15:41 Luigi Ballabio * [r3647] ql/userconfig.hpp: Added warning for gcc users 2003-11-27 15:32 Luigi Ballabio * [r3646] ql/FiniteDifferences/finitedifferencemodel.hpp: Compiles using boost on Visual 2003-11-27 14:57 Ferdinando Ametrano * [r3645] QuantLib.dsp: user configurations moved to a single place 2003-11-27 14:50 Ferdinando Ametrano * [r3644] ql/Makefile.am, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/userconfig.hpp: user configurations moved to a single place 2003-11-27 14:40 Ferdinando Ametrano * [r3643] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Borland makefiles ready for boost 2003-11-27 12:20 Ferdinando Ametrano * [r3641] test-suite/riskstats.cpp: must be equal! 2003-11-27 10:58 Luigi Ballabio * [r3640] test-suite/europeanoption.cpp: Ouch 2003-11-27 10:46 Luigi Ballabio * [r3638] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, acinclude.m4, configure.ac, ql/CashFlows/parcoupon.cpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/binaryoption.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swap.cpp, ql/Instruments/vanillaoption.cpp, ql/MonteCarlo/montecarlomodel.hpp, ql/Patterns/bridge.hpp, ql/Patterns/observable.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treeswaption.cpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/ratehelpers.cpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/diffusionprocess.cpp, ql/handle.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/option.hpp, ql/pricingengine.hpp, ql/relinkablehandle.hpp, test-suite/capfloor.cpp, test-suite/europeanoption.cpp, test-suite/marketelements.cpp: Use boost::shared_ptr if available 2003-11-24 11:01 Luigi Ballabio * [r3635] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/Optimization/armijo.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp: Model and Method renamed to ShortRateModel and OptimizationMethod, respectively. Typedefs are provided for backward compatibility--they will be removed in subsequent releases. 2003-11-24 10:05 Luigi Ballabio * [r3634] Docs/quantlib.doxy: *** empty log message *** 2003-11-24 08:58 Luigi Ballabio * [r3633] Docs/README.txt: *** empty log message *** 2003-11-24 08:43 Luigi Ballabio * [r3632] ql/Math/gaussianstatistics.hpp: *** empty log message *** 2003-11-21 17:34 Ferdinando Ametrano * [r3630] ql/Math/gaussianstatistics.hpp, test-suite/riskstats.cpp: GaussianStatistics finally works 2003-11-21 16:47 Ferdinando Ametrano * [r3629] ChangeLog.txt: older part of the changelog removed 2003-11-21 16:43 Ferdinando Ametrano * [r3628] ChangeLog.txt: older part of the changelog removed 2003-11-21 14:45 Ferdinando Ametrano * [r3626] ql/Math/gaussianstatistics.hpp, ql/Math/symmetricschurdecomposition.cpp: nothing relevant 2003-11-21 10:13 Marco Marchioro * [r3625] Docs/README.txt: info on downloading fancy_header updated 2003-11-20 18:12 Ferdinando Ametrano * [r3624] ql/Math/gaussianstatistics.hpp: helper class 2003-11-20 17:54 Ferdinando Ametrano * [r3620] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, makefile.mak, ql/Math/Makefile.am, ql/Math/makefile.mak, ql/Math/multivariateaccumulator.cpp, ql/Math/multivariateaccumulator.hpp, ql/Math/sequencestatistics.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/quantlib.hpp, test-suite/covariance.cpp, test-suite/testsuite.mak: The already deprecated MultivariateAccumulator is gone. Use SequenceStatistics instead 2003-11-20 17:03 Ferdinando Ametrano * [r3618] ql/PricingEngines/makefile.mak: Missed in action. Rest in peace 2003-11-20 17:01 Ferdinando Ametrano * [r3617] ql/Pricers/makefile.mak: MIA RIP 2003-11-20 16:53 Luigi Ballabio * [r3616] QuantLib.spec.in: Added Liguo's mods 2003-11-20 16:53 Luigi Ballabio * [r3615] ql/Math/incrementalstatistics.hpp: Typos and minor stuff 2003-11-20 16:52 Luigi Ballabio * [r3614] ql/Math/statistics.hpp, test-suite/riskstats.cpp, test-suite/stats.cpp: Removed unneeded dependencies 2003-11-19 16:11 Ferdinando Ametrano * [r3612] ql/FiniteDifferences/finitedifferencemodel.hpp, ql/Lattices/lattice.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/Optimization/problem.hpp, ql/Patterns/observable.hpp, ql/Pricers/singleassetoption.hpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/ShortRateModels/model.hpp, ql/Utilities/iteratorcategories.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/array.hpp, ql/calendar.hpp, ql/cashflow.hpp, ql/daycounter.hpp, ql/functions/daycounters.hpp, ql/index.hpp, ql/instrument.hpp, ql/pricingengine.hpp, ql/qldefines.hpp, ql/solver1d.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp: deprecated inner namespace definitions moved to a single place, in order to allow easy way to comment them out and check if one's code still rely on them 2003-11-19 12:52 Luigi Ballabio * [r3609] ql/Math/symmetricschurdecomposition.hpp: *** empty log message *** 2003-11-19 10:31 Ferdinando Ametrano * [r3608] ql/functions/daycounters.hpp, ql/quantlib.hpp: Functions namespace deprecated but still supported 2003-11-19 10:07 Ferdinando Ametrano * [r3607] Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.mak, QuantLib.mak, test-suite/testsuite.mak: R000304f0-branch-merge1 merged into trunk 2003-11-19 09:51 Ferdinando Ametrano * [r3606] Authors.txt, Contributors.txt, Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/license.docs, Docs/pages/platforms.docs, Docs/pages/usage.docs, Docs/quantlib.doxy, Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, LICENSE.TXT, News.txt, QuantLib.dsp, QuantLib.nsi, TODO.txt, configure.ac, dev_tools/QLdebugzip.bat, ql/Instruments/capfloor.hpp, ql/Instruments/swap.hpp, ql/Instruments/vanillaoption.hpp, ql/Math/matrix.cpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/Pricers/singleassetoption.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancesurface.cpp, ql/argsandresults.hpp, ql/config.msvc.hpp, ql/diffusionprocess.cpp, ql/voltermstructure.cpp, test-suite/Makefile.am, test-suite/covariance.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: R000304f0-branch-merge1 merged into trunk 2003-11-18 19:52 Ferdinando Ametrano * [r3604] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/Volatilities/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: trying to improve Borland performances 2003-11-11 15:40 Luigi Ballabio * [r3580] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/binaryoption.cpp, ql/Instruments/vanillaoption.cpp, ql/Math/lexicographicalview.hpp, ql/Math/matrix.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/diffusionprocess.cpp, ql/functions/vols.cpp, ql/history.hpp, ql/quantlib.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/europeanoption.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Inner namespaces are gone. Fake aliases are still provided for compatibility. 2003-11-11 08:31 Luigi Ballabio * [r3578] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/vanillaoption.cpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/binarypathpricer.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/functions/mathf.cpp, ql/quantlib.hpp, ql/solver1d.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/mersennetwister.cpp, test-suite/old_pricers.cpp, test-suite/riskstats.cpp, test-suite/solvers.cpp: More inner namespaces are goners 2003-11-10 12:10 Luigi Ballabio * [r3575] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-11-10 11:59 Luigi Ballabio * [r3574] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Indexes/xibor.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/binaryoption.cpp, ql/Instruments/capfloor.cpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp, ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/binarypathpricer.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/everestpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/Optimization/constraint.hpp, ql/Patterns/bridge.hpp, ql/Patterns/curiouslyrecurring.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/visitor.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/binomialvanillaengine.cpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/blackmodel.hpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/daycounter.hpp, ql/functions/daycounters.cpp, ql/functions/daycounters.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/functions/vols.hpp, ql/index.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/pricingengine.hpp, ql/quantlib.hpp, ql/relinkablehandle.hpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/voltermstructure.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/capfloor.cpp, test-suite/covariance.cpp, test-suite/europeanoption.cpp, test-suite/old_pricers.cpp, test-suite/swaption.cpp, test-suite/utilities.hpp: Nuked a few namespaces more 2003-11-07 17:09 Luigi Ballabio * [r3572] Examples/AmericanOption/AmericanOption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/Lattices/lattice2d.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/functional.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/interpolationtraits.hpp, ql/Math/kronrodintegral.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.cpp, ql/Math/multivariateaccumulator.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/riskstatistics.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/statistics.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/Optimization/leastsquare.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/zerocurve.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/array.hpp, ql/blackmodel.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/functions/vols.hpp, ql/quantlib.hpp, test-suite/binaryoption.cpp, test-suite/covariance.cpp, test-suite/distributions.cpp, test-suite/integrals.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/matrices.cpp, test-suite/old_pricers.cpp, test-suite/operators.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp: Removed the Math namespace 2003-11-07 12:52 Luigi Ballabio * [r3567] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/instrument.hpp, ql/quantlib.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/europeanoption.cpp, test-suite/instruments.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: Removed the Instruments namespace 2003-11-07 10:46 Luigi Ballabio * [r3565] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/TermStructures/ratehelpers.cpp, ql/index.hpp, ql/quantlib.hpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: Removed the Indexes namespace 2003-11-07 09:34 Luigi Ballabio * [r3562] ql/Pricers/fdbsmoption.cpp: Fixes (?) for VC++ 2003-11-07 09:15 Luigi Ballabio * [r3561] ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Math/cubicspline.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/quantlib.hpp, test-suite/operators.cpp: Removed the FiniteDifferences namespace 2003-11-06 15:14 Luigi Ballabio * [r3560] Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/zarlibor.hpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/zerocurve.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/daycounter.hpp, ql/quantlib.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/daycounters.cpp, test-suite/europeanoption.cpp, test-suite/piecewiseflatforward.cpp, test-suite/swap.cpp, test-suite/swaption.cpp, test-suite/termstructures.cpp: Removed the DayCounters namespace 2003-11-06 13:04 Luigi Ballabio * [r3558] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/cashflow.hpp, ql/quantlib.hpp, test-suite/capfloor.cpp: Removed the CashFlows namespace 2003-11-06 11:35 Luigi Ballabio * [r3555] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/Swap/swapvaluation.cpp, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.hpp, ql/Indexes/zarlibor.hpp, ql/calendar.hpp, ql/quantlib.hpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/calendars.cpp, test-suite/capfloor.cpp, test-suite/compoundforward.cpp, test-suite/europeanoption.cpp, test-suite/piecewiseflatforward.cpp, test-suite/termstructures.cpp: Removed the Calendars namespace 2003-11-05 13:49 Luigi Ballabio * [r3552] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, test-suite/capfloor.cpp: Removed some more 2003-11-05 11:18 Luigi Ballabio * [r3551] QuantLib.dsp: *** empty log message *** 2003-11-05 10:51 Luigi Ballabio * [r3550] ql/Makefile.am, ql/Math/Makefile.am, ql/Math/riskmeasures.hpp, ql/functions/mathf.cpp, ql/quantlib.hpp, ql/riskstatistics.hpp: More deprecated stuff goes 2003-11-05 09:22 Luigi Ballabio * [r3547] ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, test-suite/barrieroption.cpp, test-suite/binaryoption.cpp: Defaults for barrier and binary engines 2003-11-05 08:13 Luigi Ballabio * [r3546] ql/Instruments/capfloor.hpp, ql/scheduler.hpp: Removed deprecated typedefs 2003-11-04 17:47 Luigi Ballabio * [r3544] ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp: More excess baggage left behind 2003-11-04 17:46 Luigi Ballabio * [r3543] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-11-04 17:31 Luigi Ballabio * [r3542] Examples/EuropeanOption/EuropeanOption.cpp, ql/Pricers/Makefile.am, ql/Pricers/makefile.mak, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/quantlib.hpp, test-suite/old_pricers.cpp: Removed a deprecated pricer 2003-11-04 14:00 Luigi Ballabio * [r3541] ql/Pricers/barrieroptionpricer.cpp, ql/Pricers/barrieroptionpricer.hpp, ql/Pricers/binaryoptionpricer.cpp, ql/Pricers/binaryoptionpricer.hpp, ql/quantlib.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp: Removed a couple of deprecated pricers 2003-11-04 11:54 Luigi Ballabio * [r3540] ql/FiniteDifferences/americancondition.hpp, ql/PricingEngines/analyticeuropeanengine.cpp: *** empty log message *** 2003-11-04 11:42 Luigi Ballabio * [r3539] ql/TermStructures/flatforward.hpp: Added default day counter 2003-11-03 16:41 Luigi Ballabio * [r3535] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp: Bumped version number 2003-11-03 16:09 Luigi Ballabio * [r3531] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp: Bumped version number 2003-11-03 15:52 Luigi Ballabio * [r3530] Docs/pages/history.docs, Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, News.txt: *** empty log message *** 2003-11-03 14:59 Ferdinando Ametrano * [r3528] Docs/pages/history.docs, History.txt, News.txt: let's try for November 21th, QuantLib 3rd anniversary :) 2003-11-03 14:51 Ferdinando Ametrano * [r3527] ChangeLog.txt: updated 2003-11-03 14:48 Ferdinando Ametrano * [r3526] Docs/pages/history.docs, Docs/pages/platforms.docs, Docs/pages/usage.docs, History.txt, News.txt: initial doc update 2003-11-03 13:27 Luigi Ballabio * [r3524] ql/ShortRateModels/model.hpp: Bug fix 2003-11-03 13:27 Ferdinando Ametrano * [r3523] ql/scheduler.hpp: removing Borland warnings 2003-11-03 12:58 Ferdinando Ametrano * [r3522] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore, ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/CashFlows, ql/CashFlows/.cvsignore, ql/DayCounters, ql/DayCounters/.cvsignore, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/Indexes, ql/Indexes/.cvsignore, ql/Instruments, ql/Instruments/.cvsignore, ql/Lattices, ql/Lattices/.cvsignore, ql/Math, ql/Math/.cvsignore, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/Optimization, ql/Optimization/.cvsignore, ql/Pricers, ql/Pricers/.cvsignore, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/Volatilities, ql/Volatilities/.cvsignore, ql/functions, ql/functions/.cvsignore, test-suite, test-suite/.cvsignore: Borland obj files ignored 2003-11-03 12:46 Ferdinando Ametrano * [r3521] ql/CashFlows/basispointsensitivity.cpp, ql/scheduler.hpp: removing Borland warnings 2003-11-03 12:18 Ferdinando Ametrano * [r3520] ChangeLog.txt: updated 2003-11-03 12:00 Ferdinando Ametrano * [r3518] Docs/README.txt, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/swap.cpp, ql/Instruments/vanillaoption.hpp, ql/Math/interpolationtraits.hpp, ql/PricingEngines/binaryengines.hpp, ql/TermStructures/ratehelpers.hpp, test-suite/README.txt: pruned redundant header inclusions 2003-11-03 10:09 Ferdinando Ametrano * [r3517] Authors.txt, Docs/pages/authors.docs, Docs/pages/coreclasses.docs, Docs/pages/currencies.docs, Docs/pages/datetime.docs, Docs/pages/examples.docs, Docs/pages/findiff.docs, Docs/pages/fixedincome.docs, Docs/pages/history.docs, Docs/pages/index.docs, Docs/pages/install.docs, Docs/pages/instruments.docs, Docs/pages/lattices.docs, Docs/pages/math.docs, Docs/pages/mcarlo.docs, Docs/pages/overview.docs, Docs/pages/patterns.docs, Docs/pages/platforms.docs, Docs/pages/resources.docs, Docs/pages/termstructures.docs, Docs/pages/usage.docs, Docs/pages/utilities.docs, Docs/pages/where.docs, Examples/AmericanOption/AmericanOption.cpp, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, Examples/Swap/swapvaluation.cpp, Readme.txt, UFILE, configure.ac, dev_tools/update_copyright, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/nullcalendar.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/simpledaycounter.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.hpp, ql/Math/functional.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/interpolationtraits.hpp, ql/Math/kronrodintegral.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.cpp, ql/Math/multivariateaccumulator.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/riskmeasures.hpp, ql/Math/riskstatistics.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/simpsonintegral.hpp, ql/Math/statistics.hpp, ql/Math/svd.cpp, ql/Math/svd.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/Math/trapezoidintegral.hpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp, ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/binarypathpricer.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/everestpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/Patterns/bridge.hpp, ql/Patterns/curiouslyrecurring.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/visitor.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/barrieroptionpricer.cpp, ql/Pricers/barrieroptionpricer.hpp, ql/Pricers/binaryoptionpricer.cpp, ql/Pricers/binaryoptionpricer.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/binomialvanillaengine.cpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/argsandresults.hpp, ql/array.hpp, ql/blackmodel.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/currency.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/disposable.hpp, ql/errors.hpp, ql/exercise.cpp, ql/exercise.hpp, ql/functions/daycounters.cpp, ql/functions/daycounters.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/functions/vols.hpp, ql/grid.cpp, ql/grid.hpp, ql/handle.hpp, ql/history.hpp, ql/index.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/null.hpp, ql/numericalmethod.hpp, ql/option.hpp, ql/payoff.hpp, ql/pricingengine.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/relinkablehandle.hpp, ql/riskstatistics.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/types.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, quantlib.el, test-suite/barrieroption.cpp, test-suite/barrieroption.hpp, test-suite/binaryoption.cpp, test-suite/binaryoption.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/marketelements.cpp, test-suite/marketelements.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/qltestlistener.cpp, test-suite/qltestlistener.hpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/utilities.hpp: ferdinando@ametrano.net replaced by quantlib-dev@lists.sf.net 2003-10-31 15:20 Ferdinando Ametrano * [r3514] ql/Optimization/conjugategradient.hpp, ql/Optimization/simplex.hpp: typos fixed 2003-10-30 17:07 Luigi Ballabio * [r3512] ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp: An additional constraint can now be passed to the calibration 2003-10-30 17:07 Luigi Ballabio * [r3511] ql/Optimization/constraint.hpp: Added composite constraint 2003-10-30 16:02 Luigi Ballabio * [r3510] test-suite/capfloor.cpp, test-suite/capfloor.hpp: Testing implied term volatility calculation 2003-10-30 16:02 Luigi Ballabio * [r3509] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: Added implied term volatility calculation 2003-10-30 16:01 Luigi Ballabio * [r3508] ql/ShortRateModels/CalibrationHelpers/caphelper.hpp: Header cleanup 2003-10-30 16:00 Luigi Ballabio * [r3507] ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp: Formatting 2003-10-27 08:25 Luigi Ballabio * [r3504] QuantLib.dsp: *** empty log message *** 2003-10-24 15:33 Luigi Ballabio * [r3502] ql/Math/Makefile.am, ql/Math/simpsonintegral.hpp, ql/Math/trapezoidintegral.hpp, ql/quantlib.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/quantlibtestsuite.cpp: Added integration routines contributed by Roman Gitlin 2003-10-24 15:33 Luigi Ballabio * [r3501] ql/Math/kronrodintegral.hpp, ql/Math/segmentintegral.hpp: Relaxed constaints on interval boundaries 2003-10-24 15:32 Luigi Ballabio * [r3500] Contributors.txt: Alphabetic order 2003-10-24 07:26 Luigi Ballabio * [r3499] TODO.txt: *** empty log message *** 2003-10-23 15:58 Luigi Ballabio * [r3496] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/AmericanOption.mak, Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: "Release DLL" and "Debug DLL" configurations added with Multithreaded DLL code generation. Nuked the "On The Edge" configurations. 2003-10-23 14:43 Luigi Ballabio * [r3494] ql/CashFlows/timebasket.hpp: Interface fixes 2003-10-23 14:06 Luigi Ballabio * [r3493] QuantLib.dsp, QuantLib.mak: Files added 2003-10-23 14:06 Luigi Ballabio * [r3492] ql/CashFlows/timebasket.hpp: Fixes for Visual C++ (which as usual, is brain-dead) 2003-10-23 13:58 Luigi Ballabio * [r3491] TODO.txt: Somewhat updated 2003-10-23 13:41 Luigi Ballabio * [r3490] ql/Instruments/simpleswap.cpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: Using the new basis-point sensitivity functions 2003-10-23 13:40 Luigi Ballabio * [r3489] ql/CashFlows/Makefile.am, ql/CashFlows/makefile.mak: Files added 2003-10-23 13:40 Luigi Ballabio * [r3488] ql/CashFlows/basispointsensitivity.cpp, ql/CashFlows/basispointsensitivity.hpp: Some refactoring and convenience functions 2003-10-23 13:39 Luigi Ballabio * [r3487] ql/CashFlows/timebasket.cpp, ql/CashFlows/timebasket.hpp: Leaner and meaner time basket 2003-10-23 13:38 Luigi Ballabio * [r3486] configure.ac, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/qldefines.hpp: Global flag for early/late payments 2003-10-21 09:35 Luigi Ballabio * [r3485] test-suite/binaryoption.cpp: Fixed seed 2003-10-20 10:27 Luigi Ballabio * [r3484] ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/swaptionvolmatrix.hpp: Fixed non-constness of iterators 2003-10-20 10:06 Luigi Ballabio * [r3483] test-suite/binaryoption.cpp: *** empty log message *** 2003-10-17 15:54 Luigi Ballabio * [r3482] ., .cvsignore: *** empty log message *** 2003-10-17 15:53 Luigi Ballabio * [r3481] Makefile.am, QuantLib.dsp, QuantLib.mak, configure.ac, lib: make 'lib' dir if not present 2003-10-17 13:09 Luigi Ballabio * [r3474] QuantLib.dsp, QuantLib.mak: removed empty file 2003-10-17 13:07 Luigi Ballabio * [r3473] ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp: Removed unused methods for derivatives 2003-10-17 13:05 Luigi Ballabio * [r3472] ql/PricingEngines/Makefile.am: *** empty log message *** 2003-10-17 12:43 Luigi Ballabio * [r3471] test-suite/barrieroption.cpp, test-suite/binaryoption.cpp, test-suite/europeanoption.cpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp: Fixed tests 2003-10-17 12:42 Luigi Ballabio * [r3470] ql/PricingEngines/Makefile.am, ql/PricingEngines/makefile.mak, ql/PricingEngines/mcbarrierengine.cpp: removed empty file 2003-10-17 11:08 Ferdinando Ametrano * [r3469] ql/Pricers/mcpricer.hpp, ql/PricingEngines/mcengine.hpp, test-suite/europeanoption.cpp: another Borland 0/0 problem fixed minimum number of MC sample raised up to 1023 (2^10-1) 2003-10-16 10:06 Luigi Ballabio * [r3468] QuantLib.dsp, QuantLib.mak, ql/RandomNumbers/randomsequencegenerator.hpp: *** empty log message *** 2003-10-16 10:05 Luigi Ballabio * [r3467] ql/config.msvc.hpp: New (useless) warning surfaced for some reason 2003-10-15 13:53 Ferdinando Ametrano * [r3466] test-suite, test-suite/.cvsignore, test-suite/binaryoption.cpp, test-suite/europeanoption.cpp: no message 2003-10-15 12:24 Luigi Ballabio * [r3465] ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/Instruments/vanillaoption.hpp, ql/Pricers/binaryoptionpricer.cpp, ql/Pricers/binaryoptionpricer.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/analyticeuropeanbinaryengine.cpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/makefile.mak: Another transplant 2003-10-15 09:15 Ferdinando Ametrano * [r3464] lib/Win32, lib/Win32/.cvsignore, ql/Volatilities, ql/Volatilities/.cvsignore: no message 2003-10-14 16:08 Luigi Ballabio * [r3463] Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, ql/PricingEngines/Makefile.am, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/mceuropeanengine.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/diffusionprocess.cpp, ql/quantlib.hpp, test-suite/europeanoption.cpp, test-suite/testsuite.mak: MC European in one step with strike-independent vol curve (hopefully) 2003-10-14 14:09 Luigi Ballabio * [r3462] Examples/AmericanOption/AmericanOption.cpp, Examples/EuropeanOption/EuropeanOption.cpp: *** empty log message *** 2003-10-14 14:01 Luigi Ballabio * [r3461] ql/Pricers/Makefile.am: *** empty log message *** 2003-10-14 13:51 Ferdinando Ametrano * [r3460] QuantLib.dsp, QuantLib.mak: added missing file 2003-10-14 13:37 Ferdinando Ametrano * [r3459] test-suite/quantlibtestsuite.cpp: MC engines fail with Borland. Comment added 2003-10-14 13:33 Ferdinando Ametrano * [r3458] ql/MonteCarlo/binarypathpricer.cpp: Borland warnings avoided 2003-10-14 13:18 Ferdinando Ametrano * [r3457] ql/PricingEngines/analyticamericanbinaryengine.cpp, test-suite/binaryoption.cpp: Borland warnings avoided 2003-10-14 13:16 Ferdinando Ametrano * [r3456] QuantLib.dsp, QuantLib.mak, ql/Pricers/Makefile.am, ql/Pricers/binaryoption.cpp, ql/Pricers/binaryoption.hpp, ql/Pricers/binaryoptionpricer.cpp, ql/Pricers/binaryoptionpricer.hpp, ql/Pricers/makefile.mak, ql/PricingEngines/binaryengines.hpp, ql/quantlib.hpp, test-suite/old_pricers.cpp: Pricers\binaryoption.* files renamed binaryoptionpricer.* to avoid conflict with Instruments\binaryoption.* 2003-10-14 12:42 Luigi Ballabio * [r3455] ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/voltermstructure.hpp: Visitable vol term structures 2003-10-14 10:32 Luigi Ballabio * [r3454] configure.ac, lib/Win32/Borland, lib/Win32/Makefile.am, ql/Volatilities/makefile.mak, ql/makefile.mak: *** empty log message *** 2003-10-14 09:39 Luigi Ballabio * [r3453] configure.ac, lib/Mac, lib/Makefile.am: *** empty log message *** 2003-10-14 08:15 Luigi Ballabio * [r3451] ., .cvsignore: *** empty log message *** 2003-10-14 08:08 Luigi Ballabio * [r3450] QuantLib.spec, QuantLib.spec.in, configure.ac: Configurable spec file 2003-10-13 16:05 Luigi Ballabio * [r3449] ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: Added Swap::startDate() and maturity() 2003-10-13 15:37 Luigi Ballabio * [r3448] ql/Volatilities/swaptionvolmatrix.hpp: Mea culpa 2003-10-13 15:27 Luigi Ballabio * [r3447] ql/Math/interpolationtraits.hpp: Missing include guard 2003-10-13 15:17 Luigi Ballabio * [r3446] QuantLib.dsp, QuantLib.mak, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp: Workarounds for Visual C++ 2003-10-13 14:48 Luigi Ballabio * [r3445] ql/Math/Makefile.am, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolationtraits.hpp, ql/Pricers/fddividendoption.cpp, ql/Volatilities/Makefile.am, ql/Volatilities/blackvariancecurve.cpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/makefile.mak, ql/Volatilities/swaptionvolmatrix.hpp, ql/functions/mathf.cpp, ql/functions/vols.cpp: Interpolation traits 2003-10-13 11:10 Luigi Ballabio * [r3444] ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/Patterns/visitor.hpp, ql/cashflow.hpp: Visitor, Alexandrescu-style (saves some code duplication) 2003-10-13 10:02 Luigi Ballabio * [r3443] QuantLib.dsp, QuantLib.mak, ql/MonteCarlo/binarypathpricer.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: More misc fixes for binary options 2003-10-13 09:48 Luigi Ballabio * [r3442] ql/Instruments/Makefile.am, ql/Instruments/makefile.mak, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/makefile.mak, ql/PricingEngines/Makefile.am, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/binaryengines.hpp, ql/PricingEngines/makefile.mak, test-suite/Makefile.am, test-suite/binaryoption.cpp, test-suite/makefile.mak: Misc fixes for binary options 2003-10-11 16:19 Neil Firth * [r3441] ql/quantlib.hpp: Binary option Instrument and Pricing Engines 2003-10-11 16:16 Neil Firth * [r3440] ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp, ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/binaryengines.hpp: Fixes for new arguments and results naming scheme 2003-10-11 16:08 Neil Firth * [r3439] test-suite/binaryoption.cpp, test-suite/binaryoption.hpp, test-suite/quantlibtestsuite.cpp: Tests for binary option pricing 2003-10-11 16:05 Neil Firth * [r3438] ql/MonteCarlo/binarypathpricer.cpp, ql/MonteCarlo/binarypathpricer.hpp: Path pricer for Binary options - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 2003-10-11 16:02 Neil Firth * [r3437] ql/PricingEngines/analyticamericanbinaryengine.cpp, ql/PricingEngines/binaryengines.hpp: Pricing Engines for Binary options - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 2003-10-11 15:32 Neil Firth * [r3436] ql/Instruments/binaryoption.cpp, ql/Instruments/binaryoption.hpp: Binary option - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 2003-10-09 16:16 Luigi Ballabio * [r3429] test-suite/quantlibtestsuite.cpp: Picky as an old maid, I know 2003-10-09 15:21 Ferdinando Ametrano * [r3428] QuantLib.dsp, QuantLib.mak, ql/Pricers/Makefile.am, ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/Pricers/barrieroptionpricer.cpp, ql/Pricers/barrieroptionpricer.hpp, ql/Pricers/makefile.mak, ql/quantlib.hpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp: ql/Pricers/barrieroption.* renamed ql/Pricers/barrieroptionpricer.* to avoid Borland conflict with ql/Instruments/barrieroption.* 2003-10-09 14:52 Ferdinando Ametrano * [r3427] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/Optimization/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/functions/makefile.mak: SRCDIR and OBJDIR removed 2003-10-09 14:50 Ferdinando Ametrano * [r3426] test-suite/makefile.mak: added missing file 2003-10-09 14:23 Luigi Ballabio * [r3425] Examples/BermudanSwaption/BermudanSwaption.cpp: Applied patch 811713 2003-10-09 14:23 Luigi Ballabio * [r3424] Examples/EuropeanOption/EuropeanOption.cpp: Sync with new arg names 2003-10-09 14:21 Luigi Ballabio * [r3423] ql/option.hpp: Allowed initialization with null engine 2003-10-09 14:21 Luigi Ballabio * [r3422] ql/Instruments/forwardvanillaoption.hpp: Missing base class 2003-10-09 14:15 Ferdinando Ametrano * [r3421] QuantLib.dsp, QuantLib.mak: added missing file 2003-10-09 14:09 Ferdinando Ametrano * [r3420] ql/Pricers/Makefile.am, ql/Pricers/makefile.mak: added missing file 2003-10-09 13:29 Ferdinando Ametrano * [r3419] ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, test-suite/barrieroption.cpp: avoid Borland warning 2003-10-09 12:02 Luigi Ballabio * [r3418] ql/Pricers/blackswaption.cpp, test-suite/swaption.cpp: Fixed exercise time calculation 2003-10-09 08:06 Luigi Ballabio * [r3417] ql/termstructure.hpp: Possibly fixed the mistery zeroCoupon method 2003-10-08 14:57 Luigi Ballabio * [r3416] ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Pricers/swaptionpricer.hpp: To each one its own 2003-10-07 14:23 Luigi Ballabio * [r3415] ql/Pricers/barrieroption.cpp: Fixed buggy theta 2003-10-07 13:53 Luigi Ballabio * [r3414] ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/PricingEngines/analyticbarrierengine.cpp: Completed transplant 2003-10-07 08:13 Luigi Ballabio * [r3413] makefile.mak, ql/Lattices/lattice.cpp, ql/Pricers/barrieroption.cpp, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Misc. Borland 2003-10-06 15:17 Luigi Ballabio * [r3412] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-10-06 14:27 Luigi Ballabio * [r3411] ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/analyticbarrierengine.cpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/makefile.mak, test-suite/barrieroption.cpp: Code transplant from pricer to pricing engine 2003-10-03 14:32 Luigi Ballabio * [r3410] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-10-03 13:11 Luigi Ballabio * [r3409] ql/Instruments/cliquetoption.hpp: Another VC++ glitch 2003-10-03 12:52 Luigi Ballabio * [r3408] ql/Instruments/barrieroption.hpp: Patch for VC++ bug 2003-10-03 12:08 Luigi Ballabio * [r3407] Docs/images/Makefile.am, ql/Instruments/Makefile.am, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/cliquetoption.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Makefile.am, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, test-suite/capfloor.cpp: Applied the Foo::arguments and Foo::results naming scheme 2003-10-03 07:19 Luigi Ballabio * [r3406] Docs/Makefile.am: Safe dvips call 2003-10-01 13:04 Luigi Ballabio * [r3405] QuantLib.dsp, QuantLib.mak, ql/Makefile.am, ql/Volatilities/Makefile.am, ql/Volatilities/localvolsurface.cpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/makefile.mak, ql/makefile.mak: No longer trying to inline a one-and-half-page method 2003-09-30 14:59 Luigi Ballabio * [r3404] test-suite/testsuite.dsp, test-suite/testsuite.mak: *** empty log message *** 2003-09-30 13:34 Ferdinando Ametrano * [r3403] ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/CashFlows, ql/CashFlows/.cvsignore, ql/DayCounters, ql/DayCounters/.cvsignore, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/Indexes, ql/Indexes/.cvsignore, ql/Instruments, ql/Instruments/.cvsignore, ql/Lattices, ql/Lattices/.cvsignore, ql/Math, ql/Math/.cvsignore, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/Optimization, ql/Optimization/.cvsignore, ql/Pricers, ql/Pricers/.cvsignore, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/PricingEngines/makefile.mak, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/functions, ql/functions/.cvsignore, ql/makefile.mak, test-suite, test-suite/.cvsignore: Borland file dependencies not handled with the OBJDIR approach. Reverting back to Borland object files in the same dir as source files 2003-09-30 13:24 Ferdinando Ametrano * [r3402] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/functions/makefile.mak, test-suite/makefile.mak: Borland file dependencies not handled with the OBJDIR approach. Reverting back to Borland object files in the same dir as source files 2003-09-30 13:00 Ferdinando Ametrano * [r3401] TODO.txt: no message 2003-09-30 12:29 Luigi Ballabio * [r3400] ql/PricingEngines/barrierengines.hpp, test-suite/Makefile.am, test-suite/barrieroption.cpp: Disabled greeks (for the time being?) 2003-09-30 08:44 Neil Firth * [r3399] test-suite/barrieroption.cpp, test-suite/barrieroption.hpp, test-suite/quantlibtestsuite.cpp: Tests for Barrier options in PricingEngine Framework. Some Monte Carlo tests, but not comprehensive. 2003-09-30 08:28 Neil Firth * [r3398] ql/Instruments/barrieroption.hpp, ql/Pricers/barrieroption.cpp: Corrected an error message 2003-09-29 14:25 Luigi Ballabio * [r3397] ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp: setupArguments() starts getting useful 2003-09-29 12:27 Luigi Ballabio * [r3396] Docs/images/Makefile.am, Docs/images/instrument.eps, Docs/images/instrument.pdf, Docs/images/instrument.png, Docs/pages/instruments.docs: New instrument thing explained 2003-09-29 12:11 Luigi Ballabio * [r3395] ql/Math/bicubicsplineinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Utilities/steppingiterator.hpp: Fixes for VC++.Net 2003-09-29 08:43 Luigi Ballabio * [r3394] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-09-29 08:24 Luigi Ballabio * [r3392] ql/Calendars/Makefile.am, ql/Calendars/nullcalendar.hpp, ql/DayCounters/Makefile.am, ql/DayCounters/makefile.mak, ql/DayCounters/simpledaycounter.cpp, ql/DayCounters/simpledaycounter.hpp, ql/quantlib.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/quantlibtestsuite.cpp: Null calendar and simple day counter for reproducing theoretical calculations 2003-09-26 15:00 Luigi Ballabio * [r3390] ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/vanillaengines.hpp, ql/argsandresults.hpp, ql/instrument.hpp, ql/option.hpp, test-suite/riskstats.cpp: Changed setupEngine() into setupArguments(args) 2003-09-25 13:36 Luigi Ballabio * [r3389] Docs/quantlib.doxy: *** empty log message *** 2003-09-25 10:34 Luigi Ballabio * [r3388] Examples/EuropeanOption/EuropeanOption.cpp, ql/Instruments/capfloor.cpp, ql/Instruments/swaption.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/instrument.hpp: Small refinements to Instrument::setPricingEngine() 2003-09-24 12:49 Luigi Ballabio * [r3387] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Pricers/blackcapfloor.cpp, test-suite/capfloor.cpp: Taken fixing days into account 2003-09-24 07:44 Luigi Ballabio * [r3386] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp: Derived from Instrument directly 2003-09-23 16:31 Ferdinando Ametrano * [r3385] Docs/pages/authors.docs: updated 2003-09-23 16:05 Luigi Ballabio * [r3384] ql/instrument.hpp: Fix for VC++ 2003-09-23 16:00 Luigi Ballabio * [r3383] QuantLib.dsp, QuantLib.mak, ql/Makefile.am, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/mcbarrierengine.cpp, ql/instrument.hpp, ql/makefile.mak, ql/option.cpp, ql/option.hpp: Moved pricing-engine machinery up to Instrument class 2003-09-23 15:56 Ferdinando Ametrano * [r3382] ql/instrument.hpp: Borland fix 2003-09-23 14:26 Luigi Ballabio * [r3380] QuantLib.dsp, QuantLib.mak, ql/Instruments/Makefile.am, ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp, ql/Instruments/makefile.mak, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp, ql/MonteCarlo/makefile.mak, ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/Pricers/makefile.mak, ql/PricingEngines/Makefile.am, ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/makefile.mak, ql/PricingEngines/mcbarrierengine.cpp, test-suite/old_pricers.cpp: Miscellaneous fixes for the barrier option code 2003-09-23 10:25 Neil Firth * [r3379] ql/quantlib.hpp: Included headers for BarrierOptions using PricingEngines 2003-09-23 10:16 Neil Firth * [r3378] ql/PricingEngines/barrierengines.hpp, ql/PricingEngines/mcbarrierengine.cpp: PricingEngines for Barrier options - Note the UniformSequenceGenerator for the BarrierPathPricer needs thinking about. It should probably use the same UniformGenerator as the PathGenerator. Must ensure no long term correlations between the PathGenerator and the Brownian Bridge sample for the max or min in the PathPricer. 2003-09-23 10:12 Neil Firth * [r3377] ql/MonteCarlo/barrierpathpricer.cpp, ql/MonteCarlo/barrierpathpricer.hpp, ql/MonteCarlo/biasedbarrierpathpricer.cpp, ql/MonteCarlo/biasedbarrierpathpricer.hpp: Path pricers for barrier options 2003-09-23 10:10 Neil Firth * [r3376] ql/PricingEngines/mcengine.hpp: Added a few comments 2003-09-23 10:00 Neil Firth * [r3375] ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp: Changed Pricer to use BarrierOption types defined in Instruments 2003-09-23 09:59 Neil Firth * [r3374] ql/Instruments/barrieroption.cpp, ql/Instruments/barrieroption.hpp: Instrument to represent a single asset Barrier option 2003-09-23 08:33 Luigi Ballabio * [r3373] ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Patterns/lazyobject.hpp, ql/instrument.hpp, ql/option.cpp: Separated expiration condition from calculation 2003-09-23 08:31 Luigi Ballabio * [r3372] ql/CashFlows/basispointsensitivity.hpp: Couldn't read it with real tabs 2003-09-19 13:06 Luigi Ballabio * [r3370] ql/CashFlows/indexcashflowvectors.hpp: Added overload taking a Schedule and deprecated the old one 2003-09-19 09:18 Luigi Ballabio * [r3369] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp: All FloatingRateCouponVector overloadings but one are now deprecated 2003-09-18 16:28 Luigi Ballabio * [r3368] ql/Instruments/simpleswap.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp: Using the main FixedRateCouponVector 2003-09-18 16:10 Luigi Ballabio * [r3367] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp: Using the new Schedule---and all FixedRateCouponVector overloadings but one are now deprecated 2003-09-18 16:08 Luigi Ballabio * [r3366] ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp: Using the new Schedule class 2003-09-18 16:07 Luigi Ballabio * [r3365] ql/scheduler.cpp, ql/scheduler.hpp: Added std::vector constructor and renamed (in a backward-compatible way) to Schedule 2003-09-18 14:42 Luigi Ballabio * [r3364] ql/scheduler.cpp, ql/scheduler.hpp: Unreadable with real tabs 2003-09-16 09:27 Luigi Ballabio * [r3363] test-suite/quantlibtestsuite.cpp: Yet another strike in the never-ending war to define signal and noise 2003-09-09 16:21 Ferdinando Ametrano * [r3360] Examples/EuropeanOption/makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak, test-suite/makefile.mak: Borland *.obj in build/Borland dir 2003-09-09 15:21 Ferdinando Ametrano * [r3359] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, lib/Win32/Borland, lib/Win32/Borland/.cvsignore, makefile.mak, test-suite, test-suite/.cvsignore, test-suite/makefile.mak: Borland SAFE define propagated 2003-09-09 15:19 Ferdinando Ametrano * [r3358] ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/Calendars/makefile.mak, ql/CashFlows, ql/CashFlows/.cvsignore, ql/CashFlows/makefile.mak, ql/DayCounters, ql/DayCounters/.cvsignore, ql/DayCounters/makefile.mak, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/FiniteDifferences/makefile.mak, ql/Indexes, ql/Indexes/.cvsignore, ql/Indexes/makefile.mak, ql/Instruments, ql/Instruments/.cvsignore, ql/Instruments/makefile.mak, ql/Lattices, ql/Lattices/.cvsignore, ql/Lattices/makefile.mak, ql/Math, ql/Math/.cvsignore, ql/Math/makefile.mak, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/MonteCarlo/makefile.mak, ql/Optimization, ql/Optimization/.cvsignore, ql/Optimization/makefile.mak, ql/Pricers, ql/Pricers/.cvsignore, ql/Pricers/makefile.mak, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/PricingEngines/makefile.mak, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/RandomNumbers/makefile.mak, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/TermStructures/makefile.mak, ql/functions, ql/functions/.cvsignore, ql/functions/makefile.mak, ql/makefile.mak: Borland *.obj in build/Borland dir 2003-09-09 13:17 Ferdinando Ametrano * [r3357] Examples/makefile.mak, makefile.mak, ql/Calendars/makefile.mak, ql/CashFlows/makefile.mak, ql/DayCounters/makefile.mak, ql/FiniteDifferences/makefile.mak, ql/Indexes/makefile.mak, ql/Instruments/makefile.mak, ql/Lattices/makefile.mak, ql/Math/makefile.mak, ql/MonteCarlo/makefile.mak, ql/Optimization/makefile.mak, ql/Pricers/makefile.mak, ql/PricingEngines/makefile.mak, ql/RandomNumbers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/makefile.mak, ql/TermStructures/makefile.mak, ql/functions/makefile.mak, ql/makefile.mak: Borland SAFE define propagated 2003-09-08 17:02 Ferdinando Ametrano * [r3355] test-suite/makefile.mak: Borland *.obj in build/Borland dir 2003-09-08 16:45 Ferdinando Ametrano * [r3354] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/EuropeanOption/makefile.mak, Examples/Swap, Examples/Swap/.cvsignore, Examples/Swap/makefile.mak: Borland *.obj in build/Borland dir 2003-09-08 16:23 Ferdinando Ametrano * [r3353] test-suite/makefile.mak: Borland *.obj in build/Borland dir 2003-09-08 14:28 Ferdinando Ametrano * [r3352] test-suite/README.txt, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp: test-suite does run under Borland (with CppUnit 1.9.10) Few test failures reported 2003-09-08 14:27 Ferdinando Ametrano * [r3351] ql/Math/makefile.mak: added missing file 2003-09-03 10:47 Luigi Ballabio * [r3345] Docs/pages/authors.docs, Docs/pages/history.docs, Docs/pages/usage.docs: *** empty log message *** 2003-09-02 11:03 Ferdinando Ametrano * [r3338] TODO.txt: updated 2003-09-02 11:03 Ferdinando Ametrano * [r3337] Docs/quantlib.css: in synch with the web-site version of the file 2003-09-01 14:27 Luigi Ballabio * [r3327] Makefile.am, QuantLib.spec: Added spec file for rpm 2003-09-01 14:22 Luigi Ballabio * [r3326] Docs/quantlib.doxy, Docs/quantlibfooter.html, Docs/quantlibfooteronline.html, Examples/Examples.dsw, News.txt, QuantLib.nsi, Readme.txt, test-suite/Makefile.am: Final merge from 0.3.3 branch 2003-08-28 15:56 Luigi Ballabio * [r3319] ChangeLog.txt, Docs/Makefile.am, Docs/makefile.mak, Docs/pages/Makefile.am, Docs/pages/authors.docs, Docs/pages/examples.docs, Docs/quantlib.doxy, Docs/quantlibheader.html, Examples/AmericanOption/AmericanOption.cpp, Examples/AmericanOption/AmericanOption.mak, Examples/AmericanOption/Makefile.am, Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Swap/Makefile.am, History.txt, Makefile.am, News.txt, QuantLib.dsp, QuantLib.mak, configure.ac, makefile.mak, man/AmericanOption.1, man/BermudanSwaption.1, man/DiscreteHedging.1, man/EuropeanOption.1, man/Makefile.am, man/SwapValuation.1, man/quantlib-test-suite.1, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/kronrodintegral.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.hpp, ql/Math/primenumbers.cpp, ql/Math/riskmeasures.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/svd.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/barrieroption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/Solvers1D/newton.hpp, ql/TermStructures/Makefile.am, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/extendeddiscountcurve.cpp, ql/TermStructures/extendeddiscountcurve.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/zerocurve.cpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/date.cpp, ql/date.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/functions/mathf.cpp, ql/grid.hpp, ql/handle.hpp, ql/option.cpp, ql/payoff.hpp, ql/quantlib.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/swaptionvolstructure.hpp, test-suite/Makefile.am, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/makefile.mak, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: Merged 0.3.3 branch 2003-08-23 14:19 Luigi Ballabio * [r3315] ql/Optimization/criteria.hpp, ql/ShortRateModels/model.hpp: Pruned unneeded code 2003-07-25 11:05 Luigi Ballabio * [r3256] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp: Bumped version number after branching 2003-07-25 10:51 Luigi Ballabio * [r3254] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp: Bumped version number 2003-07-25 09:09 Luigi Ballabio * [r3253] Examples/EuropeanOption/EuropeanOption.cpp: Bypassed mysterious problem with VC++ 2003-07-25 09:00 Ferdinando Ametrano * [r3252] QuantLib.nsi: AmericanOption example added 2003-07-25 08:59 Luigi Ballabio * [r3251] Examples/AmericanOption/makefile.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, Examples/makefile.mak, makefile.mak: Examples build conditionally with Borland 2003-07-25 08:48 Ferdinando Ametrano * [r3250] ql/CashFlows/basispointsensitivity.hpp, ql/Math/svd.cpp: few more Borland warnings avoided 2003-07-25 08:30 Ferdinando Ametrano * [r3249] Contributors.txt, Docs/pages/authors.docs: David Schwartz's fixes for VC7 2003-07-25 08:19 Luigi Ballabio * [r3248] ql/FiniteDifferences/finitedifferencemodel.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/cubicspline.hpp, ql/Math/loglinearinterpolation.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/processingiterator.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/config.msvc.hpp: Added David Schwartz's fixes for VC7 2003-07-24 18:35 Ferdinando Ametrano * [r3247] Examples/AmericanOption/AmericanOption.cpp, ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp, ql/dataparsers.cpp: few Borland warning avoided 2003-07-24 18:02 Nehal Patel * [r3246] ql/Lattices/lattice2d.cpp: let's keep it clean! -- (added a space) 2003-07-24 17:06 Luigi Ballabio * [r3245] Examples/AmericanOption, Examples/AmericanOption/.cvsignore, QuantLib.dsw: Added project to workspace 2003-07-24 16:48 Luigi Ballabio * [r3244] ql/PricingEngines/americanmcengines.cpp: Now compiling with the current code base 2003-07-24 16:47 Nehal Patel * [r3243] ql/Lattices/lattice2d.cpp: initialize m_ in constructor 2003-07-24 16:43 Luigi Ballabio * [r3242] configure.ac: Some more catching up with Neil 2003-07-24 16:32 Luigi Ballabio * [r3241] ql/Lattices/lattice.cpp: Better error message and less work if not needed 2003-07-24 16:28 Luigi Ballabio * [r3240] ql/dataformatters.hpp: Non case-sensitive operating systems should be taken out and shot... 2003-07-24 16:25 Luigi Ballabio * [r3239] News.txt: Miscellaneous orthography :) 2003-07-24 15:44 Ferdinando Ametrano * [r3238] Examples/AmericanOption/AmericanOption.dsp, Examples/AmericanOption/Makefile.am, Examples/AmericanOption/ReadMe.txt, Examples/AmericanOption/makefile.mak, Examples/EuropeanOption/ReadMe.txt, Examples/Makefile.am, Examples/makefile.mak, History.txt, News.txt, QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/makefile.mak, ql/PricingEngines/Makefile.am, ql/PricingEngines/makefile.mak: catching up with Neil's commit 2003-07-24 15:06 Neil Firth * [r3237] ql/quantlib.hpp: Added svd.hpp and americanmcengines.hpp 2003-07-24 15:05 Neil Firth * [r3236] Examples/AmericanOption, Examples/AmericanOption/AmericanOption.cpp: Examples of use of Pricing Engines for American options 2003-07-24 14:58 Neil Firth * [r3235] ql/PricingEngines/americanmcengines.cpp, ql/PricingEngines/americanmcengines.hpp: First crude implementation of the Longstaff Schwartz Least Squares Monte Carlo algorithm for 1d american options 2003-07-24 14:06 Neil Firth * [r3234] ql/Math/svd.cpp, ql/Math/svd.hpp: Calculate the Singular Value Decomposition of a Matrix 2003-07-24 13:56 Neil Firth * [r3233] ql/dataformatters.cpp, ql/dataformatters.hpp: Overloaded << for the Matrix class 2003-07-24 12:42 Marco Marchioro * [r3232] ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp: Diagonals renamed. Added inspectors for diagonals. 2003-07-24 12:07 Luigi Ballabio * [r3231] ql/Lattices/lattice.cpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp: Added hooks for adjustment before/after exercise 2003-07-24 11:09 Marco Marchioro * [r3230] ql/FiniteDifferences/finitedifferencemodel.hpp: added access to evolver 2003-07-24 10:12 Luigi Ballabio * [r3229] ., .cvsignore, Makefile.am, config, config/.cvsignore, configure.ac, quantlib.el: Emacs macros for QuantLib users/developers 2003-07-24 07:36 Luigi Ballabio * [r3227] Examples/BermudanSwaption/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EuropeanOption/Makefile.am, Examples/Makefile.am, Examples/Swap/Makefile.am, Makefile.am: Examples not in "make all" 2003-07-23 16:22 Luigi Ballabio * [r3226] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-07-23 16:18 Luigi Ballabio * [r3225] ql/solver1d.hpp: Using new pattern 2003-07-23 16:17 Luigi Ballabio * [r3224] ql/Patterns/Makefile.am, ql/Patterns/curiouslyrecurring.hpp: Abstracted another one (which is going to be used quite a bit after next release) 2003-07-23 16:15 Luigi Ballabio * [r3223] ql/PricingEngines/forwardengines.hpp: Any compiler leaving this go unnoticed should be taken out and shot 2003-07-23 15:37 Luigi Ballabio * [r3222] QuantLib.dsw, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treeswaption.cpp, ql/discretizedasset.hpp: Oops, fixed Bermudan swaptions 2003-07-23 13:49 Luigi Ballabio * [r3221] ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/discretizedasset.cpp, ql/numericalmethod.hpp: Added hook for exercise at end of rollback 2003-07-23 13:19 Marco Marchioro * [r3219] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Instruments/vanillaoption.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/payoff.hpp: PlainPayoff divided into two: PlainVanillaPayoff and StrikedTypePayoff 2003-07-23 09:38 Ferdinando Ametrano * [r3218] TODO.txt, ql/Volatilities/localvolsurface.hpp: updated 2003-07-22 16:06 Marco Marchioro * [r3217] QuantLib.dsp, ql/PricingEngines/Makefile.am, ql/PricingEngines/fdvanillaengine.cpp, ql/PricingEngines/makefile.mak: fdvanillaengine.cpp was useless 2003-07-22 16:05 Marco Marchioro * [r3216] ql/TermStructures/discountcurve.hpp, ql/dataparsers.hpp: fixed warning problem 2003-07-22 16:05 Marco Marchioro * [r3215] ql/payoff.hpp: SupersharePayoff is now a PlainPayoff 2003-07-22 16:03 Marco Marchioro * [r3214] ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/vanillaengines.hpp: payoff is now part of Vanilla Option Arguments 2003-07-22 16:01 Marco Marchioro * [r3213] ql/Math/cubicspline.hpp: Added first and second derivatives to CubicSpline 2003-07-22 16:00 Marco Marchioro * [r3212] ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp: payoff is part of the vanilla arguments 2003-07-22 15:59 Marco Marchioro * [r3211] ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp: payoff is part of the arguments 2003-07-22 15:36 Ferdinando Ametrano * [r3210] ChangeLog.txt: updated 2003-07-22 15:35 Ferdinando Ametrano * [r3209] ChangeLog.txt: updated 2003-07-22 15:35 Ferdinando Ametrano * [r3208] ChangeLog.txt: updated 2003-07-22 10:44 andrelouw * [r3195] ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp: Refactoring and simplification. Proper calculation of rates on non compounding boundaries. 2003-07-22 10:40 andrelouw * [r3194] ql/TermStructures/flatforward.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp: Specific implementation of compound forward rate from zero yield. 2003-07-22 10:38 andrelouw * [r3193] ql/termstructure.hpp: Added compound forward and zero coupon implementations. 2003-07-22 10:37 andrelouw * [r3192] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: Added Futures rate helper with specified maturity date. 2003-07-22 10:20 andrelouw * [r3191] ql/Instruments/swap.cpp, ql/Instruments/swap.hpp: Added bucketed bps calculation as well as simple fairRate calculation. 2003-07-22 10:18 andrelouw * [r3190] ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp: Added swap constructor using specified maturity date as well as added functionality in Scheduler. 2003-07-22 10:15 andrelouw * [r3189] ql/CashFlows/basispointsensitivity.hpp: Added date bucketed basis point sensitivity based on 1st derivative of zero coupon rate. 2003-07-22 09:57 andrelouw * [r3188] ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/scheduler.cpp, ql/scheduler.hpp: Added basic date generation starting from the end. Modified cashflowvectors to use this. Also added functionality to create a cashflow vector using specified vectors of nominals,couponRates and dates. 2003-07-22 09:49 andrelouw * [r3187] ql/marketelement.hpp: Only notify observers when value actually changed. 2003-07-22 09:48 andrelouw * [r3186] ql/dataparsers.cpp, ql/dataparsers.hpp, ql/date.cpp, ql/date.hpp: Added parsing of input date string using supplied format string. 2003-07-22 09:45 andrelouw * [r3185] ql/calendar.cpp, ql/calendar.hpp: Added "MonthEndReference" business day rolling convention. Similar to "ModifiedFollowing", unless where original date is last business day of month all resulting dates will also be last business day of month. 2003-07-22 09:31 andrelouw * [r3184] ql/Calendars/johannesburg.cpp: Only if the holiday falls on a Sunday will it move to the Monday. 2003-07-22 09:11 Luigi Ballabio * [r3183] configure.ac, ql/array.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp: Conditionally got some cycles back 2003-07-18 11:27 Luigi Ballabio * [r3182] ql/PricingEngines/discretizedvanillaoption.cpp: Bitwise and between booleans? 2003-07-17 09:10 Luigi Ballabio * [r3181] QuantLib.dsp, QuantLib.mak: Abstracted discretized option 2003-07-17 08:51 Luigi Ballabio * [r3180] ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Lattices/lattice.cpp, ql/Makefile.am, ql/Pricers/capfloorpricer.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/discretizedasset.cpp, ql/discretizedasset.hpp, ql/makefile.mak, ql/numericalmethod.hpp: Abstracted discretized option 2003-07-16 15:12 Luigi Ballabio * [r3179] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/Lattices/lattice.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/swaptionpricer.hpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/numericalmethod.hpp: Minor method cleanup (mostly for my own ease of reading) 2003-07-16 15:11 Luigi Ballabio * [r3178] ql/config.msvc.hpp: Redundant define 2003-07-16 15:10 Luigi Ballabio * [r3177] ql/Math/lexicographicalview.hpp, ql/Utilities/steppingiterator.hpp, ql/array.hpp, ql/scheduler.hpp: Traded a cycle for additional safety 2003-07-16 07:32 Luigi Ballabio * [r3175] ql/MonteCarlo/pathgenerator.hpp: Bug fix 2003-07-15 14:36 Luigi Ballabio * [r3174] ql/CashFlows/indexcashflowvectors.hpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Pricers/blackcapfloor.cpp, ql/config.msvc.hpp: Equal treatment for MS, Solaris and Darwin (fair is fair) 2003-07-15 10:48 Luigi Ballabio * [r3173] ql/Pricers/blackcapfloor.cpp: Fixed test failing on Visual C++ 2003-07-14 16:48 Marco Marchioro * [r3172] ql/PricingEngines/genericengine.hpp, ql/pricingengine.hpp: logical constness of arguments() enforced 2003-07-14 16:23 Luigi Ballabio * [r3171] ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treeswaption.cpp, ql/grid.hpp: Tree swaptions now work even if some exercise dates expired already 2003-07-09 12:46 Enrico Sirola * [r3169] ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp: * RateHelpers::referenceQuote(): method added * RateHelpers::discountGuess(): extrapolation removed 2003-07-08 08:30 Luigi Ballabio * [r3168] Docs/README.txt: Link fixed 2003-07-08 07:20 Marco Marchioro * [r3167] ql/FiniteDifferences/finitedifferencemodel.hpp: Added a new constructor 2003-07-08 07:15 Marco Marchioro * [r3166] ql/Math/linearinterpolation.hpp: Modified in order to compile on Borland C++ 2003-07-08 07:14 Marco Marchioro * [r3165] ql/grid.hpp: Old class Grid no longer exists, use CenteredGrid to obtain the same result. 2003-07-04 20:09 dicesare * [r3164] QuantLib.dsp: add /Oi- compilation flag to avoid internal compiler error messages 2003-06-26 09:24 Luigi Ballabio * [r3163] Docs/quantlibheader.tex, dev_tools/version_number.txt: *** empty log message *** 2003-06-26 08:26 Luigi Ballabio * [r3161] Docs/quantlibheader.tex: Fixed indexes 2003-06-25 14:00 Luigi Ballabio * [r3160] test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/quantlibtestsuite.cpp: Test case for the bug just fixed 2003-06-25 10:02 Luigi Ballabio * [r3159] ql/Patterns/lazyobject.hpp: Documentation added 2003-06-25 10:01 Luigi Ballabio * [r3158] Docs/quantlibheader.tex: *** empty log message *** 2003-06-25 06:57 Luigi Ballabio * [r3157] ql/termstructure.hpp: Diamond inheritance fixed 2003-06-24 08:43 Luigi Ballabio * [r3156] quantlib-config.in: *** empty log message *** 2003-06-24 08:33 Luigi Ballabio * [r3155] ql/Solvers1D/Makefile.am: *** empty log message *** 2003-06-17 13:48 Marco Marchioro * [r3154] ql/date.cpp: space required for a nice formatting 2003-06-11 14:06 Luigi Ballabio * [r3151] Docs/quantlib.doxy, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/qldefines.hpp: Bumped version number 2003-06-06 10:11 Mario Aleppo * [r3147] ql/Lattices/lattice.hpp: Tree properties become public 2003-06-04 12:47 Marco Marchioro * [r3146] QuantLib.dsp: Added configuration "QuantLib - Win32 Intel OnTheEdgeRelease" 2003-05-30 09:51 Luigi Ballabio * [r3144] Examples/BermudanSwaption/BermudanSwaption.cpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp: Unneeded Handle layer removed 2003-05-30 07:29 Luigi Ballabio * [r3143] ql/CashFlows/indexcashflowvectors.hpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp: *** empty log message *** 2003-05-29 15:00 Luigi Ballabio * [r3142] Docs/quantlibheader.tex, test-suite/stats.cpp: *** empty log message *** 2003-05-29 14:59 Luigi Ballabio * [r3141] ql/Math/incrementalstatistics.cpp: Apparently an issue with gcc 3.3 and QL_MIN_DOUBLE 2003-05-28 07:53 Luigi Ballabio * [r3140] ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/upfrontindexedcoupon.hpp: Possibly override day count 2003-05-22 15:29 Luigi Ballabio * [r3138] Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/Instruments/vanillaoption.hpp, ql/Makefile.am, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/singleassetoption.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/onefactormodel.cpp, ql/Solvers1D/Makefile.am, ql/Solvers1D/bisection.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.cpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.cpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/makefile.mak, ql/Solvers1D/newton.cpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.cpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.cpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.cpp, ql/Solvers1D/secant.hpp, ql/TermStructures/piecewiseflatforward.hpp, ql/makefile.mak, ql/solver1d.cpp, ql/solver1d.hpp, test-suite/solvers.cpp: Solvers now take any function (not necessarily and ObjectiveFunction---as a matter of fact the latter disappeared) 2003-05-21 12:02 Luigi Ballabio * [r3137] ql/Instruments/vanillaoption.cpp: Ensured engine initialization before calling impliedVolatility() 2003-05-20 09:50 Luigi Ballabio * [r3136] test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/quantlibtestsuite.cpp: Added MC European test 2003-05-16 16:17 Luigi Ballabio * [r3134] makefile.mak: No CppUnit, No test suite 2003-05-16 16:16 Luigi Ballabio * [r3132] ql/MonteCarlo/montecarlomodel.hpp: Fixed Borland compilation thing 2003-05-16 15:47 Luigi Ballabio * [r3131] Docs/Examples/Makefile.am, Docs/Makefile.am, Docs/README.txt, Docs/images/Makefile.am, Docs/makefile.mak, Docs/pages/Makefile.am, Docs/quantlibfooter.html, Docs/quantlibfooteronline.html, Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/EuropeanOption.cpp, Examples/EuropeanOption/makefile.mak, Examples/Makefile.am, Examples/Swap/makefile.mak, Examples/Swap/swapvaluation.cpp, Examples/makefile.mak, Makefile.am, QuantLib.nsi, config/Makefile.am, dev_tools/backupcvstree.py, dev_tools/downloadrelease.py, lib/Mac/CodeWarrior/Makefile.am, lib/Mac/Makefile.am, lib/Makefile.am, lib/Win32/Borland/Makefile.am, lib/Win32/Makefile.am, lib/Win32/VisualStudio/Makefile.am, makefile.mak, man/Makefile.am, ql/Calendars/Makefile.am, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/makefile.mak, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/CashFlows/Makefile.am, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/makefile.mak, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/DayCounters/Makefile.am, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/makefile.mak, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/Makefile.am, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/makefile.mak, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Indexes/Makefile.am, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/makefile.mak, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/Makefile.am, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/makefile.mak, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/Makefile.am, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/makefile.mak, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Makefile.am, ql/Math/Makefile.am, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/functional.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/makefile.mak, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.cpp, ql/Math/multivariateaccumulator.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/riskmeasures.hpp, ql/Math/riskstatistics.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/everestpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.hpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/makefile.mak, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/Optimization/Makefile.am, ql/Optimization/constraint.hpp, ql/Optimization/makefile.mak, ql/Patterns/Makefile.am, ql/Patterns/bridge.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/visitor.hpp, ql/Pricers/Makefile.am, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/Pricers/binaryoption.cpp, ql/Pricers/binaryoption.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/makefile.mak, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/binomialvanillaengine.cpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/fdvanillaengine.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/makefile.mak, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/Makefile.am, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/makefile.mak, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/Makefile.am, ql/ShortRateModels/OneFactorModels/Makefile.am, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/makefile.mak, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/Makefile.am, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/TwoFactorModels/makefile.mak, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/makefile.mak, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/Makefile.am, ql/Solvers1D/bisection.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.cpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.cpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/makefile.mak, ql/Solvers1D/newton.cpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.cpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.cpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.cpp, ql/Solvers1D/secant.hpp, ql/TermStructures/Makefile.am, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/makefile.mak, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Utilities/Makefile.am, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/Makefile.am, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/argsandresults.hpp, ql/array.hpp, ql/blackmodel.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/currency.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/disposable.hpp, ql/errors.hpp, ql/exercise.cpp, ql/exercise.hpp, ql/functions/Makefile.am, ql/functions/daycounters.cpp, ql/functions/daycounters.hpp, ql/functions/makefile.mak, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/functions/vols.hpp, ql/grid.cpp, ql/grid.hpp, ql/handle.hpp, ql/history.hpp, ql/index.hpp, ql/instrument.hpp, ql/makefile.mak, ql/marketelement.hpp, ql/null.hpp, ql/numericalmethod.hpp, ql/option.cpp, ql/option.hpp, ql/payoff.hpp, ql/pricingengine.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/relinkablehandle.hpp, ql/riskstatistics.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/solver1d.cpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/types.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/makefile.mak, test-suite/marketelements.cpp, test-suite/marketelements.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/qltestlistener.cpp, test-suite/qltestlistener.hpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/utilities.hpp: First tag-free commit. Drink and be merry. 2003-05-15 10:30 Luigi Ballabio * [r3130] ql/Optimization/constraint.hpp, ql/Patterns/bridge.hpp, ql/ShortRateModels/parameter.hpp, ql/calendar.hpp, ql/daycounter.hpp, test-suite/integrals.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: *** empty log message *** 2003-05-13 14:05 Luigi Ballabio * [r3129] ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/sequencestatistics.hpp, ql/Math/symmetriceigenvalues.hpp, ql/MonteCarlo/getcovariance.hpp, ql/array.hpp: Some more discardables 2003-05-12 14:26 Luigi Ballabio * [r3128] ql/PricingEngines/mcengine.hpp: *** empty log message *** 2003-05-12 13:11 Luigi Ballabio * [r3126] Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/mcengine.hpp: Now working with more primitive compilers (such as VC++5) 2003-05-12 10:31 Ferdinando Ametrano * [r3125] ql/Math/normaldistribution.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/mcengine.hpp: typo fixed 2003-05-12 10:11 Ferdinando Ametrano * [r3124] QuantLib.dsp: adding new file 2003-05-12 09:34 Luigi Ballabio * [r3123] Docs/pages/mcarlo.docs, Docs/quantlibheader.tex: *** empty log message *** 2003-05-09 11:22 Luigi Ballabio * [r3121] Docs/pages/mcarlo.docs, Docs/quantlib.doxy, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.nsi, configure.ac, dev_tools/version_number.txt, ql/Math/riskstatistics.hpp, ql/MonteCarlo/Makefile.am, ql/MonteCarlo/mctraits.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/mcengine.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/qldefines.hpp: Re-templatized Monte Carlo model on traits 2003-05-08 10:06 Luigi Ballabio * [r3119] ql/Math/segmentintegral.hpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mceverest.hpp, ql/Pricers/mcmaxbasket.hpp, test-suite/calendars.cpp, test-suite/calendars.hpp, test-suite/capfloor.cpp, test-suite/capfloor.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/dates.cpp, test-suite/dates.hpp, test-suite/daycounters.cpp, test-suite/daycounters.hpp, test-suite/distributions.cpp, test-suite/distributions.hpp, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/instruments.cpp, test-suite/instruments.hpp, test-suite/integrals.cpp, test-suite/integrals.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/marketelements.cpp, test-suite/marketelements.hpp, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/mersennetwister.cpp, test-suite/mersennetwister.hpp, test-suite/old_pricers.cpp, test-suite/old_pricers.hpp, test-suite/operators.cpp, test-suite/operators.hpp, test-suite/piecewiseflatforward.cpp, test-suite/piecewiseflatforward.hpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/solvers.cpp, test-suite/solvers.hpp, test-suite/stats.cpp, test-suite/stats.hpp, test-suite/swap.cpp, test-suite/swap.hpp, test-suite/swaption.cpp, test-suite/swaption.hpp, test-suite/termstructures.cpp, test-suite/termstructures.hpp, test-suite/utilities.hpp: Removed unneeded dependencies (recompiling the whole test suite every time anything changed was a major time waster) 2003-05-07 14:38 Ferdinando Ametrano * [r3118] ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/mersennetwister.cpp: enabled the implicit nextInt32() in Mersenne Twister 2003-05-07 14:05 Luigi Ballabio * [r3117] test-suite, test-suite/.cvsignore: I want to see them, thank you 2003-05-07 14:04 Luigi Ballabio * [r3116] test-suite/lowdiscrepancysequences.cpp, test-suite/mersennetwister.hpp, test-suite/quantlibtestsuite.cpp: You love copying and pasting, don'y you? :) 2003-05-07 13:01 Luigi Ballabio * [r3115] ql/MonteCarlo/path.hpp: Fixed default constructor 2003-05-06 16:53 Ferdinando Ametrano * [r3113] TODO.txt, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/rngtypedefs.hpp, test-suite, test-suite/.cvsignore, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp: added randomized Halton sequences (very interesting results!!) 2003-05-06 15:40 Luigi Ballabio * [r3112] ql/Math/Makefile.am: missing file 2003-05-06 10:04 Enrico Sirola * [r3108] acinclude.m4: QL_CHECK_FUNC fixed 2003-05-06 07:44 Luigi Ballabio * [r3107] Docs/quantlib.doxy: *** empty log message *** 2003-05-05 09:59 Ferdinando Ametrano * [r3106] Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/makefile.mak, Examples/makefile.mak: no message 2003-05-05 09:26 Ferdinando Ametrano * [r3105] ql/RandomNumbers/makefile.mak, ql/makefile.mak: no message 2003-05-05 07:20 Ferdinando Ametrano * [r3104] test-suite/lowdiscrepancysequences.cpp: more discrepancy data (final) 2003-05-02 13:36 Luigi Ballabio * [r3103] ql/Math/riskstatistics.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/dataformatters.cpp: *** empty log message *** 2003-05-02 11:10 Ferdinando Ametrano * [r3102] ql/RandomNumbers/sobolrsg.cpp: comments added 2003-05-02 11:10 Ferdinando Ametrano * [r3101] ql/RandomNumbers/sobolrsg.cpp: comments added 2003-05-02 11:08 Ferdinando Ametrano * [r3100] ql/RandomNumbers/sobolrsg.cpp: comments added 2003-05-02 11:08 Ferdinando Ametrano * [r3099] ql/RandomNumbers/sobolrsg.cpp: comments added 2003-05-02 09:59 Ferdinando Ametrano * [r3098] ql/RandomNumbers/primitivepolynomials.c: drop in replacement files 2003-05-02 09:11 Ferdinando Ametrano * [r3097] ql/Math/gaussianstatistics.hpp, ql/Math/riskstatistics.hpp, test-suite/riskstats.cpp: redefinition of average shorfall (normalization factor now is cumulative(target) instead of 1.0) 2003-05-02 07:42 Ferdinando Ametrano * [r3096] test-suite/lowdiscrepancysequences.cpp: more discrepancy data 2003-05-02 06:55 Luigi Ballabio * [r3095] Docs/quantlibheader.tex, ql/Math/Makefile.am, ql/Math/discrepancystatistics.hpp, ql/Math/functional.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/riskstatistics.hpp, ql/Math/statistics.hpp, ql/disposable.hpp, ql/quantlib.hpp, ql/riskstatistics.hpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/stats.cpp: *** empty log message *** 2003-04-30 15:14 Ferdinando Ametrano * [r3094] ql/RandomNumbers/sobolrsg.cpp: no message 2003-04-30 15:06 Ferdinando Ametrano * [r3093] ql/RandomNumbers/primitivepolynomials.c: drop in replacement files 2003-04-30 14:49 Ferdinando Ametrano * [r3092] TODO.txt: no message 2003-04-30 14:45 Ferdinando Ametrano * [r3091] test-suite/lowdiscrepancysequences.cpp: more data 2003-04-30 14:45 Ferdinando Ametrano * [r3090] ql/RandomNumbers/primitivepolynomials.c: drop in replacement files 2003-04-30 14:32 Ferdinando Ametrano * [r3089] ql/RandomNumbers/primitivepolynomials.h: drop in replacement files 2003-04-30 09:36 Ferdinando Ametrano * [r3088] ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h, ql/RandomNumbers/sobolrsg.cpp, ql/dataformatters.cpp, ql/dataformatters.hpp, test-suite/lowdiscrepancysequences.cpp: bug fixed: Sobol finally works. 2003-04-30 08:29 Ferdinando Ametrano * [r3087] ql/dataformatters.cpp: added power of two formatting 2003-04-30 08:25 Ferdinando Ametrano * [r3086] ql/dataformatters.cpp, ql/dataformatters.hpp: added power of two formatting 2003-04-29 16:06 Ferdinando Ametrano * [r3085] test-suite/lowdiscrepancysequences.cpp: no message 2003-04-29 15:41 Ferdinando Ametrano * [r3084] ql/RandomNumbers/sobolrsg.cpp: no message 2003-04-29 13:27 Ferdinando Ametrano * [r3083] test-suite/lowdiscrepancysequences.cpp: using exponential formatting 2003-04-29 12:46 Luigi Ballabio * [r3082] test-suite/lowdiscrepancysequences.cpp: usual QL_POW stuff 2003-04-29 12:45 Luigi Ballabio * [r3081] test-suite/Makefile.am: Fixed previous fix 2003-04-29 12:45 Luigi Ballabio * [r3080] ql/dataformatters.cpp, ql/dataformatters.hpp: Format double in exp. notation 2003-04-28 16:37 Ferdinando Ametrano * [r3079] TODO.txt: updated 2003-04-28 16:29 Ferdinando Ametrano * [r3078] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak: allowing optimization, enabling profile 2003-04-28 11:21 Ferdinando Ametrano * [r3077] test-suite/testsuite.dsp, test-suite/testsuite.mak: updated 2003-04-28 10:49 Ferdinando Ametrano * [r3076] test-suite/Makefile.am, test-suite/lowdiscrepancysequences.cpp, test-suite/makefile.mak: more data (raise doubts on the Sobol sequences' implementation: see dimensions 5,10,15) 2003-04-28 10:23 Ferdinando Ametrano * [r3075] test-suite/lowdiscrepancysequences.cpp: more data (raise doubts on the Sobol sequences' implementation: see dimensions 5,10,15) 2003-04-28 09:59 Ferdinando Ametrano * [r3074] ql/Math/discrepancystatistics.hpp: bug fix 2003-04-28 09:55 Ferdinando Ametrano * [r3073] ql/Math/discrepancystatistics.hpp, ql/Math/sequencestatistics.hpp: bug fix 2003-04-24 17:26 Ferdinando Ametrano * [r3072] test-suite/lowdiscrepancysequences.cpp: collecting more data 2003-04-24 17:04 Ferdinando Ametrano * [r3071] test-suite/riskstats.cpp: regret and associated measures + tests 2003-04-24 16:57 Ferdinando Ametrano * [r3070] ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp: regret and associated measures + tests 2003-04-24 14:05 Ferdinando Ametrano * [r3069] ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp: downsideDeviation and regret modified 2003-04-24 13:36 Ferdinando Ametrano * [r3068] test-suite/lowdiscrepancysequences.cpp: collecting more data 2003-04-24 13:31 Ferdinando Ametrano * [r3067] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: removed useless data member 2003-04-24 11:24 Ferdinando Ametrano * [r3066] test-suite/lowdiscrepancysequences.cpp: more test 2003-04-24 11:24 Ferdinando Ametrano * [r3065] ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/RandomNumbers/mt19937uniformrng.hpp: small fixes 2003-04-22 16:55 Ferdinando Ametrano * [r3063] ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/sequencestatistics.hpp: introduced semiVariance and regret 2003-04-22 14:57 Ferdinando Ametrano * [r3062] ChangeLog.txt: updated 2003-04-22 14:54 Ferdinando Ametrano * [r3061] Docs, Docs/.cvsignore, Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore: cvs ignore: Makefile.in 2003-04-22 14:38 Ferdinando Ametrano * [r3059] ., .cvsignore, TODO.txt, ql, ql/.cvsignore, ql/Calendars, ql/Calendars/.cvsignore, ql/CashFlows, ql/CashFlows/.cvsignore, ql/DayCounters, ql/DayCounters/.cvsignore, ql/FiniteDifferences, ql/FiniteDifferences/.cvsignore, ql/Indexes, ql/Indexes/.cvsignore, ql/Instruments, ql/Instruments/.cvsignore, ql/Lattices, ql/Lattices/.cvsignore, ql/Math, ql/Math/.cvsignore, ql/MonteCarlo, ql/MonteCarlo/.cvsignore, ql/Optimization, ql/Optimization/.cvsignore, ql/Pricers, ql/Pricers/.cvsignore, ql/PricingEngines, ql/PricingEngines/.cvsignore, ql/RandomNumbers, ql/RandomNumbers/.cvsignore, ql/ShortRateModels, ql/ShortRateModels/.cvsignore, ql/ShortRateModels/CalibrationHelpers, ql/ShortRateModels/CalibrationHelpers/.cvsignore, ql/ShortRateModels/OneFactorModels, ql/ShortRateModels/OneFactorModels/.cvsignore, ql/ShortRateModels/TwoFactorModels, ql/ShortRateModels/TwoFactorModels/.cvsignore, ql/Solvers1D, ql/Solvers1D/.cvsignore, ql/TermStructures, ql/TermStructures/.cvsignore, ql/functions, ql/functions/.cvsignore: cvs ignore: Makefile.in 2003-04-22 13:00 Ferdinando Ametrano * [r3055] TODO.txt: updated 2003-04-19 10:16 Ferdinando Ametrano * [r3051] Docs/pages/authors.docs, QuantLib.dsp, ql/Math/Makefile.am, ql/Math/kronrodintegral.hpp, ql/quantlib.hpp, test-suite/covariance.hpp: added Niels Elken Sonderby's Gauss-Kronrod code 2003-04-18 16:18 Ferdinando Ametrano * [r3050] Examples/BermudanSwaption/BermudanSwaption.cpp: catching up 2003-04-18 16:05 Ferdinando Ametrano * [r3049] ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp: more risk measures with their tests 2003-04-18 11:01 Ferdinando Ametrano * [r3048] QuantLib.dsp, QuantLib.mak, TODO.txt, ql/dataformatters.cpp, ql/dataformatters.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp: 'begin, end' input couple replaced 'const Array&' 2003-04-18 11:01 Ferdinando Ametrano * [r3047] test-suite/covariance.cpp: added covariance/correlation tests 2003-04-18 10:58 Ferdinando Ametrano * [r3046] ql/MonteCarlo/Makefile.am, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/makefile.mak: begin, end input couple replaced const Array& 2003-04-18 07:14 Luigi Ballabio * [r3045] test-suite/quantlibtestsuite.cpp: I figured LDSs are no longer alpha :) 2003-04-18 07:14 Luigi Ballabio * [r3044] test-suite/covariance.cpp: grammar again :) 2003-04-17 16:06 Ferdinando Ametrano * [r3043] ql/Math/sequencestatistics.hpp, test-suite/covariance.cpp, test-suite/covariance.hpp, test-suite/quantlibtestsuite.cpp: added covariance/correlation tests (not finished yet) 2003-04-17 13:17 Luigi Ballabio * [r3042] ql/Math/riskmeasures.hpp: Replacements are hard to get right 2003-04-17 11:07 Ferdinando Ametrano * [r3041] QuantLib.dsp, QuantLib.mak: VC++ catching up with disposable 2003-04-17 10:58 Ferdinando Ametrano * [r3040] ql/Math/sequencestatistics.hpp: bug fix 2003-04-17 10:54 Luigi Ballabio * [r3039] ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Makefile.am, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fdeuropean.hpp, ql/array.hpp, ql/config.ansi.hpp, ql/config.bcc.hpp, ql/config.msvc.hpp, ql/config.mwcw.hpp, ql/disposable.hpp, ql/expressiontemplates.hpp, ql/qldefines.hpp, ql/quantlib.hpp: QuEP 9 implemented 2003-04-17 09:35 Ferdinando Ametrano * [r3036] Examples/EuropeanOption/EuropeanOption.cpp: cleanup 2003-04-17 08:34 Ferdinando Ametrano * [r3035] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.cpp, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, test-suite/testsuite.dsp, test-suite/testsuite.mak: clean up 2003-04-17 08:11 Luigi Ballabio * [r3034] test-suite/stats.hpp: Reverted indiscriminated grep 2003-04-17 07:52 Luigi Ballabio * [r3033] ql/Math/riskmeasures.hpp, ql/Math/sequencestatistics.hpp, ql/riskstatistics.hpp: Compiles with gcc 2003-04-17 07:51 Luigi Ballabio * [r3032] test-suite/lowdiscrepancysequences.cpp, test-suite/riskstats.cpp, test-suite/stats.hpp: Warnings and grammar 2003-04-16 16:28 Ferdinando Ametrano * [r3031] Examples/BermudanSwaption, Examples/BermudanSwaption/.cvsignore, Examples/DiscreteHedging, Examples/DiscreteHedging/.cvsignore, Examples/EuropeanOption, Examples/EuropeanOption/.cvsignore, Examples/Swap, Examples/Swap/.cvsignore, TODO.txt, makefile.mak, ql/Math/matrix.hpp, ql/Math/sequencestatistics.hpp, test-suite, test-suite/.cvsignore, test-suite/makefile.mak: added covariance/correlation (untested yet) 2003-04-16 14:53 Ferdinando Ametrano * [r3030] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/gaussianstatistics.cpp, ql/Math/gaussianstatistics.hpp, ql/Math/generalstatistics.cpp, ql/Math/generalstatistics.hpp, ql/Math/incrementalstatistics.cpp, ql/Math/incrementalstatistics.hpp, ql/Math/makefile.mak, ql/Math/multivariateaccumulator.hpp, ql/Math/riskmeasures.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.cpp, ql/Math/statistics.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/quantlib.hpp, ql/riskstatistics.hpp, test-suite/riskstats.cpp, test-suite/stats.cpp: refactoring the Statistics classes: now there is IncrementalStatistics (based on incremental sums) and Statistics (which stores all samples). GaussianStatistics adds gaussian methods. SequenceStatistics (will) add covariance calculation. DiscrepancyStatistics (not-incremental) adds discrepancy calculation 2003-04-15 16:09 Ferdinando Ametrano * [r3029] ql/Math/riskmeasures.hpp: Statistics renamed GaussianStatistics and replaced by the former HStatistics 2003-04-15 15:25 Ferdinando Ametrano * [r3025] ql/Math/statistics.hpp: Statistics renamed GaussianStatistics and replaced by the former HStatistics 2003-04-15 15:19 Ferdinando Ametrano * [r3024] Docs/Examples/history_iterators.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, makefile.mak, ql/Math/Makefile.am, ql/Math/discrepancystatistics.hpp, ql/Math/gaussianstatistics.cpp, ql/Math/gaussianstatistics.hpp, ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp, ql/Math/makefile.mak, ql/Math/riskmeasures.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.cpp, ql/Math/statistics.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/history.hpp, ql/quantlib.hpp, ql/riskstatistics.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp, test-suite/stats.hpp: Statistics renamed GaussianStatistics and replaced by the former HStatistics 2003-04-15 11:12 Ferdinando Ametrano * [r3023] TODO.txt, ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp, ql/Math/normaldistribution.cpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.hpp, test-suite/mersennetwister.cpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/stats.cpp: 1) HStatistics does not inherit from Statistic (final) 2) added tests for HStatistics 3) warning: Statistics' high moments are numerically unstable for high average/standardDeviation ratios. HStatistics is stable. 2003-04-15 08:58 Luigi Ballabio * [r3022] test-suite/riskstats.cpp: Warnings 2003-04-15 08:40 Ferdinando Ametrano * [r3021] ql/Math/hstatistics.cpp: HStatistics will not inherit from Statistic (Part II) 2003-04-15 08:39 Ferdinando Ametrano * [r3020] ql/Math/hstatistics.cpp, test-suite/riskstats.cpp: HStatistics will not inherit from Statistic (Part II) 2003-04-15 08:33 Ferdinando Ametrano * [r3019] ql/Math/hstatistics.cpp: HStatistics will not inherit from Statistic (Part II) 2003-04-15 08:11 Luigi Ballabio * [r3018] test-suite/riskstats.cpp: How many times again? 2003-04-15 08:09 Luigi Ballabio * [r3017] Docs/README.txt: Doxygen 1.3 released 2003-04-15 06:43 Luigi Ballabio * [r3016] Docs/Makefile.am, Docs/pages/fixedincome.docs, Docs/quantlib.doxy, Docs/quantlibheader.tex, ql/Calendars/budapest.cpp, ql/Calendars/budapest.hpp, ql/Calendars/frankfurt.cpp, ql/Calendars/frankfurt.hpp, ql/Calendars/helsinki.cpp, ql/Calendars/helsinki.hpp, ql/Calendars/johannesburg.cpp, ql/Calendars/johannesburg.hpp, ql/Calendars/jointcalendar.cpp, ql/Calendars/jointcalendar.hpp, ql/Calendars/london.cpp, ql/Calendars/london.hpp, ql/Calendars/milan.cpp, ql/Calendars/milan.hpp, ql/Calendars/newyork.cpp, ql/Calendars/newyork.hpp, ql/Calendars/oslo.cpp, ql/Calendars/oslo.hpp, ql/Calendars/stockholm.cpp, ql/Calendars/stockholm.hpp, ql/Calendars/sydney.cpp, ql/Calendars/sydney.hpp, ql/Calendars/target.cpp, ql/Calendars/target.hpp, ql/Calendars/tokyo.cpp, ql/Calendars/tokyo.hpp, ql/Calendars/toronto.cpp, ql/Calendars/toronto.hpp, ql/Calendars/warsaw.cpp, ql/Calendars/warsaw.hpp, ql/Calendars/wellington.cpp, ql/Calendars/wellington.hpp, ql/Calendars/zurich.cpp, ql/Calendars/zurich.hpp, ql/CashFlows/basispointsensitivity.hpp, ql/CashFlows/cashflowvectors.cpp, ql/CashFlows/cashflowvectors.hpp, ql/CashFlows/coupon.hpp, ql/CashFlows/fixedratecoupon.hpp, ql/CashFlows/floatingratecoupon.hpp, ql/CashFlows/inarrearindexedcoupon.hpp, ql/CashFlows/indexcashflowvectors.hpp, ql/CashFlows/indexedcoupon.hpp, ql/CashFlows/parcoupon.cpp, ql/CashFlows/parcoupon.hpp, ql/CashFlows/shortfloatingcoupon.cpp, ql/CashFlows/shortfloatingcoupon.hpp, ql/CashFlows/shortindexedcoupon.hpp, ql/CashFlows/simplecashflow.hpp, ql/CashFlows/upfrontindexedcoupon.hpp, ql/DayCounters/actual360.hpp, ql/DayCounters/actual365.hpp, ql/DayCounters/actualactual.cpp, ql/DayCounters/actualactual.hpp, ql/DayCounters/thirty360.cpp, ql/DayCounters/thirty360.hpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/boundarycondition.cpp, ql/FiniteDifferences/boundarycondition.hpp, ql/FiniteDifferences/bsmoperator.cpp, ql/FiniteDifferences/bsmoperator.hpp, ql/FiniteDifferences/cranknicolson.hpp, ql/FiniteDifferences/dminus.hpp, ql/FiniteDifferences/dplus.hpp, ql/FiniteDifferences/dplusdminus.hpp, ql/FiniteDifferences/dzero.hpp, ql/FiniteDifferences/expliciteuler.hpp, ql/FiniteDifferences/fdtypedefs.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp, ql/FiniteDifferences/impliciteuler.hpp, ql/FiniteDifferences/mixedscheme.hpp, ql/FiniteDifferences/onefactoroperator.cpp, ql/FiniteDifferences/onefactoroperator.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/FiniteDifferences/stepcondition.hpp, ql/FiniteDifferences/tridiagonaloperator.cpp, ql/FiniteDifferences/tridiagonaloperator.hpp, ql/FiniteDifferences/valueatcenter.cpp, ql/FiniteDifferences/valueatcenter.hpp, ql/Indexes/audlibor.hpp, ql/Indexes/cadlibor.hpp, ql/Indexes/chflibor.hpp, ql/Indexes/euribor.hpp, ql/Indexes/gbplibor.hpp, ql/Indexes/jpylibor.hpp, ql/Indexes/usdlibor.hpp, ql/Indexes/xibor.cpp, ql/Indexes/xibor.hpp, ql/Indexes/xibormanager.cpp, ql/Indexes/xibormanager.hpp, ql/Indexes/zarlibor.hpp, ql/Instruments/capfloor.cpp, ql/Instruments/capfloor.hpp, ql/Instruments/forwardvanillaoption.cpp, ql/Instruments/forwardvanillaoption.hpp, ql/Instruments/quantoforwardvanillaoption.cpp, ql/Instruments/quantoforwardvanillaoption.hpp, ql/Instruments/quantovanillaoption.cpp, ql/Instruments/quantovanillaoption.hpp, ql/Instruments/simpleswap.cpp, ql/Instruments/simpleswap.hpp, ql/Instruments/stock.cpp, ql/Instruments/stock.hpp, ql/Instruments/swap.cpp, ql/Instruments/swap.hpp, ql/Instruments/swaption.cpp, ql/Instruments/swaption.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Lattices/binomialtree.cpp, ql/Lattices/binomialtree.hpp, ql/Lattices/bsmlattice.cpp, ql/Lattices/bsmlattice.hpp, ql/Lattices/lattice.cpp, ql/Lattices/lattice.hpp, ql/Lattices/lattice2d.cpp, ql/Lattices/lattice2d.hpp, ql/Lattices/tree.hpp, ql/Lattices/trinomialtree.cpp, ql/Lattices/trinomialtree.hpp, ql/Math/bicubicsplineinterpolation.hpp, ql/Math/bilinearinterpolation.hpp, ql/Math/chisquaredistribution.cpp, ql/Math/chisquaredistribution.hpp, ql/Math/cubicspline.hpp, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/errorfunction.cpp, ql/Math/errorfunction.hpp, ql/Math/gammadistribution.cpp, ql/Math/gammadistribution.hpp, ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp, ql/Math/interpolation.hpp, ql/Math/interpolation2D.hpp, ql/Math/lexicographicalview.hpp, ql/Math/linearinterpolation.hpp, ql/Math/loglinearinterpolation.hpp, ql/Math/matrix.cpp, ql/Math/matrix.hpp, ql/Math/multivariateaccumulator.cpp, ql/Math/multivariateaccumulator.hpp, ql/Math/normaldistribution.cpp, ql/Math/normaldistribution.hpp, ql/Math/primenumbers.cpp, ql/Math/primenumbers.hpp, ql/Math/riskmeasures.hpp, ql/Math/segmentintegral.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.cpp, ql/Math/statistics.hpp, ql/Math/symmetriceigenvalues.hpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/brownianbridge.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/everestpathpricer.cpp, ql/MonteCarlo/everestpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.hpp, ql/MonteCarlo/getcovariance.cpp, ql/MonteCarlo/getcovariance.hpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/MonteCarlo/montecarlomodel.hpp, ql/MonteCarlo/multipath.hpp, ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/MonteCarlo/pathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/MonteCarlo/sample.hpp, ql/Optimization/armijo.cpp, ql/Optimization/armijo.hpp, ql/Optimization/conjugategradient.cpp, ql/Optimization/conjugategradient.hpp, ql/Optimization/constraint.hpp, ql/Optimization/costfunction.hpp, ql/Optimization/criteria.hpp, ql/Optimization/leastsquare.hpp, ql/Optimization/linesearch.hpp, ql/Optimization/method.hpp, ql/Optimization/problem.hpp, ql/Optimization/simplex.cpp, ql/Optimization/simplex.hpp, ql/Optimization/steepestdescent.cpp, ql/Optimization/steepestdescent.hpp, ql/Patterns/bridge.hpp, ql/Patterns/lazyobject.hpp, ql/Patterns/observable.hpp, ql/Patterns/visitor.hpp, ql/Pricers/analyticalcapfloor.cpp, ql/Pricers/analyticalcapfloor.hpp, ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/Pricers/binaryoption.cpp, ql/Pricers/binaryoption.hpp, ql/Pricers/blackcapfloor.cpp, ql/Pricers/blackcapfloor.hpp, ql/Pricers/blackswaption.cpp, ql/Pricers/blackswaption.hpp, ql/Pricers/capfloorpricer.cpp, ql/Pricers/capfloorpricer.hpp, ql/Pricers/cliquetoption.cpp, ql/Pricers/cliquetoption.hpp, ql/Pricers/continuousgeometricapo.hpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricapo.hpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/discretegeometricaso.hpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdamericanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbermudanoption.hpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fdbsmoption.hpp, ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/fddividendamericanoption.hpp, ql/Pricers/fddividendeuropeanoption.cpp, ql/Pricers/fddividendeuropeanoption.hpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fddividendoption.hpp, ql/Pricers/fddividendshoutoption.cpp, ql/Pricers/fddividendshoutoption.hpp, ql/Pricers/fdeuropean.cpp, ql/Pricers/fdeuropean.hpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdmultiperiodoption.hpp, ql/Pricers/fdshoutoption.hpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/fdstepconditionoption.hpp, ql/Pricers/jamshidianswaption.cpp, ql/Pricers/jamshidianswaption.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/Pricers/performanceoption.cpp, ql/Pricers/performanceoption.hpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/Pricers/swaptionpricer.cpp, ql/Pricers/swaptionpricer.hpp, ql/Pricers/treecapfloor.cpp, ql/Pricers/treecapfloor.hpp, ql/Pricers/treeswaption.cpp, ql/Pricers/treeswaption.hpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/binomialvanillaengine.cpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/discretizedvanillaoption.hpp, ql/PricingEngines/fdvanillaengine.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/genericengine.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/latticeshortratemodelengine.hpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/boxmullergaussianrng.hpp, ql/RandomNumbers/centrallimitgaussianrng.hpp, ql/RandomNumbers/haltonrsg.cpp, ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/inversecumgaussianrng.hpp, ql/RandomNumbers/inversecumgaussianrsg.hpp, ql/RandomNumbers/knuthuniformrng.cpp, ql/RandomNumbers/knuthuniformrng.hpp, ql/RandomNumbers/lecuyeruniformrng.cpp, ql/RandomNumbers/lecuyeruniformrng.hpp, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/RandomNumbers/randomarraygenerator.hpp, ql/RandomNumbers/randomsequencegenerator.hpp, ql/RandomNumbers/rngtypedefs.hpp, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/ShortRateModels/CalibrationHelpers/caphelper.cpp, ql/ShortRateModels/CalibrationHelpers/caphelper.hpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp, ql/ShortRateModels/OneFactorModels/coxingersollross.cpp, ql/ShortRateModels/OneFactorModels/coxingersollross.hpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp, ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp, ql/ShortRateModels/OneFactorModels/hullwhite.cpp, ql/ShortRateModels/OneFactorModels/hullwhite.hpp, ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp, ql/ShortRateModels/TwoFactorModels/g2.hpp, ql/ShortRateModels/calibrationhelper.cpp, ql/ShortRateModels/calibrationhelper.hpp, ql/ShortRateModels/model.cpp, ql/ShortRateModels/model.hpp, ql/ShortRateModels/onefactormodel.cpp, ql/ShortRateModels/onefactormodel.hpp, ql/ShortRateModels/parameter.hpp, ql/ShortRateModels/twofactormodel.cpp, ql/ShortRateModels/twofactormodel.hpp, ql/Solvers1D/bisection.cpp, ql/Solvers1D/bisection.hpp, ql/Solvers1D/brent.cpp, ql/Solvers1D/brent.hpp, ql/Solvers1D/falseposition.cpp, ql/Solvers1D/falseposition.hpp, ql/Solvers1D/newton.cpp, ql/Solvers1D/newton.hpp, ql/Solvers1D/newtonsafe.cpp, ql/Solvers1D/newtonsafe.hpp, ql/Solvers1D/ridder.cpp, ql/Solvers1D/ridder.hpp, ql/Solvers1D/secant.cpp, ql/Solvers1D/secant.hpp, ql/TermStructures/affinetermstructure.cpp, ql/TermStructures/affinetermstructure.hpp, ql/TermStructures/compoundforward.cpp, ql/TermStructures/compoundforward.hpp, ql/TermStructures/discountcurve.cpp, ql/TermStructures/discountcurve.hpp, ql/TermStructures/drifttermstructure.hpp, ql/TermStructures/flatforward.hpp, ql/TermStructures/forwardspreadedtermstructure.hpp, ql/TermStructures/impliedtermstructure.hpp, ql/TermStructures/piecewiseflatforward.cpp, ql/TermStructures/piecewiseflatforward.hpp, ql/TermStructures/quantotermstructure.hpp, ql/TermStructures/ratehelpers.cpp, ql/TermStructures/ratehelpers.hpp, ql/TermStructures/zerocurve.cpp, ql/TermStructures/zerocurve.hpp, ql/TermStructures/zerospreadedtermstructure.hpp, ql/Utilities/combiningiterator.hpp, ql/Utilities/couplingiterator.hpp, ql/Utilities/filteringiterator.hpp, ql/Utilities/iteratorcategories.hpp, ql/Utilities/processingiterator.hpp, ql/Utilities/steppingiterator.hpp, ql/Volatilities/blackconstantvol.hpp, ql/Volatilities/blackvariancecurve.hpp, ql/Volatilities/blackvariancesurface.hpp, ql/Volatilities/capflatvolvector.hpp, ql/Volatilities/impliedvoltermstructure.hpp, ql/Volatilities/localconstantvol.hpp, ql/Volatilities/localvolcurve.hpp, ql/Volatilities/localvolsurface.hpp, ql/Volatilities/swaptionvolmatrix.hpp, ql/argsandresults.hpp, ql/array.hpp, ql/blackmodel.hpp, ql/calendar.cpp, ql/calendar.hpp, ql/capvolstructures.hpp, ql/cashflow.hpp, ql/currency.hpp, ql/dataformatters.cpp, ql/dataformatters.hpp, ql/dataparsers.cpp, ql/dataparsers.hpp, ql/date.cpp, ql/date.hpp, ql/daycounter.hpp, ql/diffusionprocess.cpp, ql/diffusionprocess.hpp, ql/errors.hpp, ql/exercise.cpp, ql/exercise.hpp, ql/expressiontemplates.hpp, ql/functions/daycounters.cpp, ql/functions/daycounters.hpp, ql/functions/mathf.cpp, ql/functions/mathf.hpp, ql/functions/vols.cpp, ql/functions/vols.hpp, ql/grid.cpp, ql/grid.hpp, ql/handle.hpp, ql/history.hpp, ql/index.hpp, ql/instrument.hpp, ql/marketelement.hpp, ql/null.hpp, ql/numericalmethod.hpp, ql/option.cpp, ql/option.hpp, ql/payoff.hpp, ql/pricingengine.hpp, ql/qldefines.hpp, ql/relinkablehandle.hpp, ql/riskstatistics.hpp, ql/scheduler.cpp, ql/scheduler.hpp, ql/solver1d.cpp, ql/solver1d.hpp, ql/swaptionvolstructure.hpp, ql/termstructure.hpp, ql/types.hpp, ql/voltermstructure.cpp, ql/voltermstructure.hpp: Doxygen 1.3 released 2003-04-14 16:51 Ferdinando Ametrano * [r3015] ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp: HStatistics will not inherit from Statistic (Part II) 2003-04-14 16:50 Ferdinando Ametrano * [r3014] ql/Math/statistics.cpp, ql/Math/statistics.hpp: code formatting 2003-04-14 14:25 Ferdinando Ametrano * [r3013] test-suite/riskstats.cpp: nothing relevant 2003-04-14 12:15 Ferdinando Ametrano * [r3012] ql/Calendars/newyork.cpp: Veterans day not holiday 2003-04-14 11:57 Ferdinando Ametrano * [r3011] ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp: HStatistics can avoid Statistics numerical problems ... part 1 2003-04-14 09:07 Sadruddin Rejeb * [r3010] test-suite/stats.cpp: Fixed gcc compilation issue 2003-04-13 07:56 Ferdinando Ametrano * [r3007] ql/Math/normaldistribution.hpp: code formatting 2003-04-13 07:55 Ferdinando Ametrano * [r3006] ql/Math/statistics.cpp, ql/Math/statistics.hpp: bug fixed: it didn't handle correctly large number of samples. kurtosis doc typo fixed 2003-04-12 18:30 Ferdinando Ametrano * [r3004] makefile.mak: fixed 2003-04-12 17:38 Ferdinando Ametrano * [r3003] test-suite/riskstats.cpp, test-suite/stats.cpp: added HStatistics, SequenceStatistics, and SequenceStatistics tests 2003-04-12 17:33 Ferdinando Ametrano * [r3002] test-suite/lowdiscrepancysequences.cpp: added (incomplete and reduced) discrepancy test 2003-04-12 17:29 Ferdinando Ametrano * [r3001] ql/Math/sequencestatistics.hpp: forgotten, but not lost 2003-04-12 17:28 Ferdinando Ametrano * [r3000] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: bug fix. Sobol now works. I will finish the tests next week. Also unit initialization is allowed for study/comparison 2003-04-12 17:21 Ferdinando Ametrano * [r2999] ql/RandomNumbers/makefile.mak: make it work with -DDEBUG 2003-04-11 09:34 Ferdinando Ametrano * [r2998] ql/Math/makefile.mak: grammar rules: back to Statistics, with the final s 2003-04-11 08:13 Luigi Ballabio * [r2997] QuantLib.dsp, QuantLib.mak: *** empty log message *** 2003-04-10 16:19 Luigi Ballabio * [r2994] ql/Math/Makefile.am, ql/Math/discrepancystatistics.cpp, ql/Math/discrepancystatistics.hpp, ql/Math/hstatistics.cpp, ql/Math/sequencestatistics.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/stats.cpp, test-suite/stats.hpp: Grumpf 2003-04-10 15:00 Ferdinando Ametrano * [r2993] ql/riskstatistics.hpp: typo fixed 2003-04-10 11:41 Ferdinando Ametrano * [r2991] Docs/Examples/history_iterators.cpp, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/Math/discrepancystatistic.hpp, ql/Math/discrepancystatistics.hpp, ql/Math/hstatistic.cpp, ql/Math/hstatistic.hpp, ql/Math/hstatistics.cpp, ql/Math/hstatistics.hpp, ql/Math/normaldistribution.hpp, ql/Math/sequencestatistic.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistic.cpp, ql/Math/statistic.hpp, ql/Math/statistics.cpp, ql/Math/statistics.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp, ql/Pricers/mcpricer.hpp, ql/PricingEngines/mcengine.hpp, ql/history.hpp, ql/quantlib.hpp, ql/riskstatistics.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/stats.cpp, test-suite/stats.hpp: grammar rules: back to Statistics, with the final s 2003-04-10 08:17 Ferdinando Ametrano * [r2990] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/quantlibtestsuite.cpp: added discrepancy test (too long in this version to be really added to the suite). Extended Halton/Sobol tests 2003-04-10 08:14 Ferdinando Ametrano * [r2989] test-suite/riskstats.cpp, test-suite/riskstats.hpp, test-suite/stats.cpp, test-suite/stats.hpp: Statistics renamed Statistic 2003-04-10 08:09 Ferdinando Ametrano * [r2988] Docs/Examples/history_iterators.cpp, ql/Math/statistic.cpp, ql/Math/statistic.hpp, ql/Math/statistics.cpp, ql/Math/statistics.hpp, ql/MonteCarlo/mctypedefs.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticapo.hpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mcdiscretearithmeticaso.hpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceuropean.hpp, ql/Pricers/mceverest.cpp, ql/Pricers/mceverest.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, ql/Pricers/mcperformanceoption.cpp, ql/Pricers/mcperformanceoption.hpp: Statistics renamed Statistic 2003-04-10 08:06 Ferdinando Ametrano * [r2987] ql/Math/sequencestatistic.hpp, ql/Math/sequencestatistics.hpp: SequenceStatistics renamed SequenceStatistic 2003-04-10 08:05 Ferdinando Ametrano * [r2986] ql/Math/discrepancystatistic.hpp, ql/Math/hstatistic.cpp, ql/Math/hstatistic.hpp: 1) added HStatistic (for historical and empirical non-gaussian distribution) 2) added DiscrepancyStatistic that inherit from SequenceStatistic and extend it with the calculation of L2-discrepancy 2003-04-10 08:03 Ferdinando Ametrano * [r2985] ql/RandomNumbers/sobolrsg.cpp: added switches for unit initialization (for study and test only) 2003-04-10 07:59 Ferdinando Ametrano * [r2984] QuantLib.dsp, QuantLib.mak, ql/Math/Makefile.am, ql/Math/makefile.mak, ql/quantlib.hpp: 1) added HStatistic (for historical and empirical non-gaussian distribution) 2) added DiscrepancyStatistic that inherit from SequenceStatistic and extend it with the calculation of L2-discrepancy 2003-04-10 07:55 Ferdinando Ametrano * [r2983] ql/riskstatistics.hpp: deprecated 2003-04-10 07:54 Ferdinando Ametrano * [r2982] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp: Statistics renamed Statistic 2003-04-09 12:58 Luigi Ballabio * [r2980] ql/Math/sequencestatistics.hpp, test-suite/lowdiscrepancysequences.cpp: No need to parameterize on sequence type---and it wouldn't have worked with std::list 2003-04-08 16:05 Luigi Ballabio * [r2979] test-suite/lowdiscrepancysequences.cpp: *** empty log message *** 2003-04-08 16:01 Luigi Ballabio * [r2978] ql/Math/sequencestatistics.hpp: HOW could this template method compile? 2003-04-08 13:47 Ferdinando Ametrano * [r2977] QuantLib.dsp, QuantLib.mak, ql/RandomNumbers/makefile.mak, ql/quantlib.hpp: added SequenceStatistics 2003-04-08 13:47 Ferdinando Ametrano * [r2976] test-suite/lowdiscrepancysequences.cpp: testing low discrepancy sequences using SequenceStatistics Sobol might still have some problems (or I am missing something ... ;-) 2003-04-08 13:38 Ferdinando Ametrano * [r2975] ql/Math/Makefile.am, ql/Math/riskmeasures.hpp, ql/Math/sequencestatistics.hpp, ql/Math/statistics.hpp: added SequenceStatistics 2003-04-08 07:57 Luigi Ballabio * [r2972] test-suite/lowdiscrepancysequences.cpp: There was a reason... 2003-04-08 07:57 Luigi Ballabio * [r2971] ql/dataformatters.cpp, ql/dataformatters.hpp: Ordinal numerals 2003-04-07 16:40 Ferdinando Ametrano * [r2970] test-suite/lowdiscrepancysequences.cpp: bug-fix 2003-04-07 16:22 Luigi Ballabio * [r2969] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, test-suite/lowdiscrepancysequences.cpp: *** empty log message *** 2003-04-07 15:37 Ferdinando Ametrano * [r2968] test-suite/lowdiscrepancysequences.cpp: faster test 2003-04-07 15:32 Ferdinando Ametrano * [r2967] ql/RandomNumbers/sobolrsg.cpp: bug-fix (and more comments) 2003-04-07 14:49 Ferdinando Ametrano * [r2966] QuantLib.dsp, QuantLib.mak, ql/RandomNumbers/sobolrsg.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/quantlibtestsuite.cpp: added Sobol/Holton first tests 2003-04-07 12:09 Luigi Ballabio * [r2965] ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/Math/cubicspline.hpp, ql/Math/interpolation.hpp, ql/Math/linearinterpolation.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/PricingEngines/vanillaengines.hpp, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/PrimitivePolynomialsModuloTwoUpToDegree27.c, ql/RandomNumbers/PrimitivePolynomialsModuloTwoUpToDegree27.h, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/primitivepolynomials.c, ql/RandomNumbers/primitivepolynomials.h, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/grid.cpp, ql/quantlib.hpp, test-suite/Makefile.am, test-suite/capfloor.cpp, test-suite/europeanoption.cpp, test-suite/lowdiscrepancysequences.cpp, test-suite/old_pricers.cpp, test-suite/quantlibtestsuite.cpp, test-suite/riskstats.cpp, test-suite/solvers.cpp, test-suite/swap.cpp, test-suite/swaption.cpp: *** empty log message *** 2003-04-07 10:47 Ferdinando Ametrano * [r2964] test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/quantlibtestsuite.cpp: simple test added 2003-04-07 10:45 Ferdinando Ametrano * [r2963] ql/RandomNumbers/sobolrsg.cpp: bug fix 2003-04-07 09:47 Ferdinando Ametrano * [r2962] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, QuantLib.mak, makefile.mak, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/PrimitivePolynomialsModuloTwoUpToDegree27.c, ql/RandomNumbers/PrimitivePolynomialsModuloTwoUpToDegree27.h, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/makefile.mak, ql/quantlib.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: included in QuantLib primitive polynomials modulo two up to dimension 18 2003-04-07 08:03 Ferdinando Ametrano * [r2961] ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp: added Sobol Random Sequence Generator. Untested yet 2003-04-06 00:17 Ferdinando Ametrano * [r2960] QuantLib.dsp, QuantLib.mak, makefile.mak, ql/RandomNumbers/Makefile.am, ql/RandomNumbers/makefile.mak, ql/RandomNumbers/sobolrsg.cpp, ql/RandomNumbers/sobolrsg.hpp, ql/makefile.mak, ql/quantlib.hpp: added Sobol Random Sequence Generator. Untested yet 2003-04-05 23:34 Ferdinando Ametrano * [r2959] ql/RandomNumbers/haltonrsg.hpp, ql/RandomNumbers/mt19937uniformrng.hpp: code formatting 2003-04-04 17:22 Ferdinando Ametrano * [r2958] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak: added primitive polynomial modulo 2 2003-04-04 17:06 Ferdinando Ametrano * [r2956] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, QuantLib.dsp, ql/Math/cubicspline.hpp, ql/Math/interpolation.hpp, ql/RandomNumbers/mt19937uniformrng.hpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: warning avoided 2003-04-04 16:43 Ferdinando Ametrano * [r2955] ql/Math/chisquaredistribution.hpp: typo fixed 2003-04-04 16:33 Ferdinando Ametrano * [r2954] Examples/BermudanSwaption/BermudanSwaption.dsp, Examples/BermudanSwaption/BermudanSwaption.mak, Examples/BermudanSwaption/makefile.mak, Examples/DiscreteHedging/DiscreteHedging.dsp, Examples/DiscreteHedging/DiscreteHedging.mak, Examples/DiscreteHedging/makefile.mak, Examples/EuropeanOption/EuropeanOption.dsp, Examples/EuropeanOption/EuropeanOption.mak, Examples/EuropeanOption/makefile.mak, Examples/Swap/Swap.dsp, Examples/Swap/Swap.mak, Examples/Swap/makefile.mak, Examples/makefile.mak, QuantLib.dsp, QuantLib.mak, makefile.mak, ql/RandomNumbers/mt19937uniformrng.cpp, ql/RandomNumbers/mt19937uniformrng.hpp, ql/qldefines.hpp, ql/quantlib.hpp, test-suite/lowdiscrepancysequences.cpp, test-suite/lowdiscrepancysequences.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: 1) added primitive polynomial modulo 2 (also an unit test) 2) VC++ moved from (Debug) Multithread DLL to (Debug) Multithread 2003-04-02 14:21 Ferdinando Ametrano * [r2953] Examples/DiscreteHedging/DiscreteHedging.cpp: working on payoff classes removed default argument from binary option 2003-04-02 07:48 Ferdinando Ametrano * [r2952] Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/vanillaengines.hpp, ql/payoff.hpp, test-suite/old_pricers.cpp: working on payoff classes removed default argument from binary option 2003-04-01 15:39 Luigi Ballabio * [r2951] Docs/images/Makefile.am, Docs/images/QL-largish.bmp, Docs/images/QL-largish.eps, Docs/images/QL-largish.jpg, Docs/images/QL-largish.pdf, Docs/images/QL-small-notitle.jpg, Docs/images/QL-small.jpg, Docs/images/QL.bmp, Docs/images/QL.eps, Docs/images/QL.jpg, Docs/images/QL.pdf, Docs/pages/index.docs, Docs/quantlib.doxy, Docs/quantlibfooter.html, Docs/quantlibfooteronline.html, Docs/quantlibheader.html, Docs/quantlibheader.tex: *** empty log message *** 2003-04-01 14:43 Ferdinando Ametrano * [r2950] ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/PricingEngines/Makefile.am, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/integralengines.cpp, ql/PricingEngines/integraleuropeanengine.cpp, ql/PricingEngines/makefile.mak, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp: working on Cash-Or-Nothing and Asset-Or-Nothing payoff classes 2003-04-01 11:16 Ferdinando Ametrano * [r2949] ql/Makefile.am, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Pricers/binaryoption.hpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/vanillaengines.hpp, ql/exercise.hpp, ql/payoff.hpp, ql/quantlib.hpp: added payoff file for Payoff classes. Added Cash-Or-Nothing and Asset-Or-Nothing payoff classes 2003-04-01 09:37 Ferdinando Ametrano * [r2948] Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/EuropeanOption/EuropeanOption.cpp, ql/FiniteDifferences/americancondition.hpp, ql/FiniteDifferences/shoutcondition.hpp, ql/Instruments/vanillaoption.cpp, ql/Instruments/vanillaoption.hpp, ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.hpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.hpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.cpp, ql/MonteCarlo/performanceoptionpathpricer.hpp, ql/Pricers/barrieroption.cpp, ql/Pricers/barrieroption.hpp, ql/Pricers/binaryoption.cpp, ql/Pricers/discretegeometricapo.cpp, ql/Pricers/discretegeometricaso.cpp, ql/Pricers/europeanoption.cpp, ql/Pricers/europeanoption.hpp, ql/Pricers/fdbermudanoption.cpp, ql/Pricers/fdbsmoption.cpp, ql/Pricers/fddividendoption.cpp, ql/Pricers/fdmultiperiodoption.cpp, ql/Pricers/fdstepconditionoption.cpp, ql/Pricers/singleassetoption.cpp, ql/Pricers/singleassetoption.hpp, ql/PricingEngines/analyticeuropeanengine.cpp, ql/PricingEngines/discretizedvanillaoption.cpp, ql/PricingEngines/forwardengines.hpp, ql/PricingEngines/integraleuropeanengine.cpp, ql/PricingEngines/mcengine.hpp, ql/PricingEngines/quantoengines.hpp, ql/PricingEngines/vanillaengines.hpp, ql/exercise.cpp, ql/exercise.hpp: ExercisePayoff function became a Payoff class derived from std::unary_funcion. It can be integrated in the Integral engines (only european for the time being, more to follow) 2003-03-31 16:57 Ferdinando Ametrano * [r2947] Examples/EuropeanOption/EuropeanOption.cpp, QuantLib.dsp, QuantLib.mak, TODO.txt, ql/PricingEngines/Makefile.am, ql/PricingEngines/integraleuropeanengine.cpp, ql/PricingEngines/makefile.mak, ql/PricingEngines/vanillaengines.hpp: added Integral (european) pricing engine 2003-03-28 17:33 Luigi Ballabio * [r2946] test-suite/matrices.hpp, test-suite/quantlibtestsuite.cpp: *** empty log message *** 2003-03-28 17:10 Sadruddin Rejeb * [r2944] UFILE: Updated e-mail address (bis) 2003-03-28 17:09 Sadruddin Rejeb * [r2943] Authors.txt: Updated e-mail address (yes, I'm alive... I'll be back soon!) 2003-03-28 10:21 Ferdinando Ametrano * [r2942] ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/himalayapathpricer.hpp, ql/MonteCarlo/maxbasketpathpricer.cpp, ql/MonteCarlo/maxbasketpathpricer.hpp, ql/MonteCarlo/pagodapathpricer.cpp, ql/MonteCarlo/pagodapathpricer.hpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mchimalaya.hpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcmaxbasket.hpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcpagoda.hpp, test-suite/old_pricers.cpp: using std::vector instead of Array 2003-03-27 11:46 Ferdinando Ametrano * [r2941] ql/RandomNumbers/randomarraygenerator.hpp: not using deprecated class anymore 2003-03-27 10:24 Ferdinando Ametrano * [r2938] ql/functions/mathf.cpp, ql/functions/mathf.hpp: Mersenne Twister related functions 2003-03-25 00:00 Ferdinando Ametrano * [r2937] ql/Pricers/mccliquetoption.hpp: no message 2003-03-24 23:14 Ferdinando Ametrano * [r2935] TODO.txt, test-suite/old_pricers.cpp, test-suite/testsuite.dsp, test-suite/testsuite.mak: updated 2003-03-24 23:13 Ferdinando Ametrano * [r2934] ql/MonteCarlo/basketpathpricer.cpp, ql/MonteCarlo/basketpathpricer.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mcbasket.hpp: using std::vector instead of Array 2003-03-24 23:12 Ferdinando Ametrano * [r2933] ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mccliquetoption.hpp: extending functionalities 2003-03-24 23:11 Ferdinando Ametrano * [r2932] ql/RandomNumbers/haltonrsg.cpp: code formatting 2003-03-24 16:37 Luigi Ballabio * [r2930] test-suite/mersennetwister.cpp: Removed warning with gcc 2003-03-24 15:45 Ferdinando Ametrano * [r2928] TODO.txt: updated 2003-03-24 15:45 Ferdinando Ametrano * [r2927] ql/RandomNumbers/Faure2.bas: need to be converted in C++ 2003-03-24 15:39 Ferdinando Ametrano * [r2926] ql/Math/matrix.cpp, ql/Math/symmetricschurdecomposition.cpp, ql/Math/symmetricschurdecomposition.hpp: const-ness fixes 2003-03-24 15:30 Ferdinando Ametrano * [r2925] test-suite/Makefile.am, test-suite/makefile.mak, test-suite/matrices.cpp, test-suite/matrices.hpp, test-suite/quantlibtestsuite.cpp: added matrices test (eigenvectors and pseudoSqrt for the time being) 2003-03-24 14:12 Ferdinando Ametrano * [r2923] TODO.txt, ql/Math/matrix.cpp, ql/Math/matrix.hpp: matrix pseudo square algorithm using salvaging algorithm(s) 2003-03-24 10:53 Ferdinando Ametrano * [r2922] ql/Math/symmetricschurdecomposition.hpp: avoid copying results 2003-03-24 10:52 Ferdinando Ametrano * [r2921] ql/MonteCarlo/multipathgenerator.hpp: code formatting 2003-03-23 23:39 Luigi Ballabio * [r2918] Examples/DiscreteHedging/DiscreteHedging.cpp, ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/mcengine.hpp: Compiles and runs with gcc 2003-03-23 20:14 Luigi Ballabio * [r2917] ql/MonteCarlo/pathgenerator.hpp: Template argument name fixed 2003-03-23 15:15 Ferdinando Ametrano * [r2916] Examples/EuropeanOption/EuropeanOption.cpp: working on cliquet and MC framework 2003-03-23 15:09 Ferdinando Ametrano * [r2915] ql/MonteCarlo/brownianbridge.hpp: avoid warning 2003-03-23 15:06 Ferdinando Ametrano * [r2914] ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.hpp: working on cliquet 2003-03-23 15:05 Ferdinando Ametrano * [r2913] ql/MonteCarlo/montecarlomodel.hpp: in the new framework antithetic variate is handled by MonteCarloModel 2003-03-23 15:05 Ferdinando Ametrano * [r2912] ql/MonteCarlo/multipathgenerator.hpp, ql/MonteCarlo/pathgenerator.hpp, ql/Pricers/mcbasket.cpp, ql/Pricers/mccliquetoption.cpp, ql/Pricers/mcdiscretearithmeticapo.cpp, ql/Pricers/mcdiscretearithmeticaso.cpp, ql/Pricers/mceuropean.cpp, ql/Pricers/mceverest.cpp, ql/Pricers/mchimalaya.cpp, ql/Pricers/mcmaxbasket.cpp, ql/Pricers/mcpagoda.cpp, ql/Pricers/mcperformanceoption.cpp: old pricers don't use new framework's antithetic variate 2003-03-23 14:59 Ferdinando Ametrano * [r2911] ql/PricingEngines/cliquetengines.hpp, ql/PricingEngines/mcengine.hpp: working on cliquet and MC framework 2003-03-23 14:57 Ferdinando Ametrano * [r2910] ql/RandomNumbers/inversecumgaussianrsg.hpp: bug fix 2003-03-22 20:58 Ferdinando Ametrano * [r2909] ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/MonteCarlo/europeanpathpricer.cpp, ql/MonteCarlo/geometricapopathpricer.cpp, ql/MonteCarlo/geometricasopathpricer.cpp, ql/MonteCarlo/himalayapathpricer.cpp, ql/MonteCarlo/path.hpp, ql/MonteCarlo/pathgenerator.hpp: using TimeGrid instead of std::vector