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ChangeLog.txt
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commit 0dfae9dd053d33123e9e1423f0b88a23f59e2220
Author: Luigi Ballabio <[email protected]>
Date: Fri, 29 Apr 2016 11:59:38 +0200
Add a few more holidays for South Korea.
Thanks to Faycal El Karaa.
Docs/pages/history.docs | 2 ++
News.txt | 2 ++
ql/time/calendars/southkorea.cpp | 7 ++++++-
ql/time/calendars/southkorea.hpp | 1 +
4 files changed, 11 insertions(+), 1 deletion(-)
commit 86d1695e93ba789da5c6d1eb3190e34cf75eac82
Merge: 63fd2d2 4653570
Author: Luigi Ballabio <[email protected]>
Date: Wed, 27 Apr 2016 14:43:38 +0200
Merge pull request #83.
commit 4653570196a6977a722b5a033d7e104f82cff1a4
Author: Luigi Ballabio <[email protected]>
Date: Wed, 27 Apr 2016 14:42:58 +0200
Add new files to distribution.
man/Makefile.am | 22 ++++++++++++++++------
1 file changed, 16 insertions(+), 6 deletions(-)
commit 85b713d30d9bb9b587b814a20fc4e428238b0f1f
Author: Dirk Eddelbuettel <[email protected]>
Date: Wed, 27 Apr 2016 06:38:40 -0500
additional stubs for more examples
man/BasketLosses.1 | 37 +++++++++++++++++++++++++++++++++++++
man/Gaussian1dModels.1 | 37 +++++++++++++++++++++++++++++++++++++
man/LatentModel.1 | 37 +++++++++++++++++++++++++++++++++++++
man/MarketModels.1 | 14 ++++++--------
man/MultidimIntegral.1 | 37 +++++++++++++++++++++++++++++++++++++
5 files changed, 154 insertions(+), 8 deletions(-)
commit 9b7a4b77d4b714955b0de80446e30f101545ac12
Author: Dirk Eddelbuettel <[email protected]>
Date: Tue, 26 Apr 2016 21:48:37 -0500
new (stub) CVAIRS manual page
man/CVAIRS.1 | 37 +++++++++++++++++++++++++++++++++++++
1 file changed, 37 insertions(+)
commit 63fd2d236709876b98fe0ce5dc85363a2c8f0a1e
Author: Peter Caspers <[email protected]>
Date: Tue, 26 Apr 2016 11:39:38 +0200
Avoid uses of Boost.Lambda.
This prevents errors on some machines with Boost 1.57 installed.
ql/processes/hestonprocess.cpp | 30 ++++++++++++++++++------------
1 file changed, 18 insertions(+), 12 deletions(-)
commit f526d8a950237b580ad905d9a1c1bbf6fac88fa9
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Apr 2016 14:04:46 +0200
Change forecast for release date.
Docs/pages/history.docs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 20293d9218c4a657e7906c0e9b0849ca66f82994
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Apr 2016 22:52:22 +0200
Update ChangeLog, news and contributor list.
ChangeLog.txt | 3300 ++++++++++++++++++++++++++++++++++++++++++++++-
Contributors.txt | 3 +
Docs/pages/authors.docs | 3 +
Docs/pages/history.docs | 127 +-
News.txt | 133 +-
5 files changed, 3489 insertions(+), 77 deletions(-)
commit c67601fe0c4f44e0f7017a50db4c150027f29dce
Merge: 2cc8cb4 a3e4a63
Author: Luigi Ballabio <[email protected]>
Date: Fri, 15 Apr 2016 10:05:35 +0200
Merge pull request #80.
commit a3e4a637d7480a5c587db79fdd99cf286a67cb69
Author: Peter Caspers <[email protected]>
Date: Wed, 13 Apr 2016 21:42:01 +0200
fix description
ql/cashflow.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 2cc8cb460f316252ddc15ccc2b671d798de5c324
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Apr 2016 11:03:51 +0200
Fix linker flags for broken combination of configure flags.
configure.ac | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 306cf331c6fcfb04f69d97814d761e010c49ddd5
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Apr 2016 15:39:44 +0200
Use correct abs overload.
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 69644dde2221d51668060854743867d9ccab7612
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Apr 2016 08:19:23 +0200
Use local struct to avoid ODR violation.
Solves #78.
ql/experimental/math/laplaceinterpolation.hpp | 22 ++++++++++------------
1 file changed, 10 insertions(+), 12 deletions(-)
commit b9610efc214da69056e4908800c98d373a0968d5
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Apr 2016 13:16:42 +0200
Reformat a few test messages.
test-suite/cdo.cpp | 2 +-
test-suite/optionletstripper.cpp | 2 +-
test-suite/riskneutraldensitycalculator.cpp | 6 +++---
3 files changed, 5 insertions(+), 5 deletions(-)
commit e04ce6d15ba76ce244b53ae8617d0536fdb6610d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Apr 2016 10:34:01 +0200
Avoid a few Doxygen warnings.
ql/experimental/finitedifferences/fdmhestongreensfct.hpp | 2 +-
ql/experimental/finitedifferences/hestonrndcalculator.hpp | 2 +-
ql/experimental/finitedifferences/localvolrndcalculator.hpp | 2 +-
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 6 +++---
ql/experimental/math/moorepenroseinverse.hpp | 2 +-
ql/experimental/models/hestonslvfdmmodel.hpp | 2 +-
6 files changed, 8 insertions(+), 8 deletions(-)
commit e1d2bacc5eafb94b8f0f15c25c8066e58c79942c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Apr 2016 10:15:10 +0200
Update list of copyright owners.
Docs/pages/license.docs | 11 ++++++-----
LICENSE.TXT | 11 ++++++-----
tools/check_copyrights.sh | 2 +-
3 files changed, 13 insertions(+), 11 deletions(-)
commit d43b68d33abbe0b9c835729f29c633fa5a1b9e2b
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Apr 2016 16:55:57 +0200
Avoid a warning on Visual C++ 2015.
test-suite/hestonslvmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 43e90dbb5afeffcc1665837527d1b1b8ef3dd5b4
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Apr 2016 18:05:34 +0200
Remove warnings for clang and -Wall.
.../barrieroption/analyticdoublebarrierbinaryengine.cpp | 5 +----
ql/experimental/catbonds/catrisk.hpp | 2 --
ql/experimental/credit/riskyassetswapoption.cpp | 11 ++++++++++-
ql/experimental/credit/riskyassetswapoption.hpp | 7 ++++++-
ql/experimental/credit/riskybond.cpp | 2 +-
ql/experimental/credit/riskybond.hpp | 4 ++--
ql/experimental/credit/saddlepointlossmodel.hpp | 4 +---
ql/experimental/credit/syntheticcdo.hpp | 1 -
ql/experimental/finitedifferences/fdmsquarerootfwdop.cpp | 1 -
ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp | 1 -
ql/experimental/math/laplaceinterpolation.hpp | 4 ++--
ql/experimental/math/particleswarmoptimization.hpp | 2 +-
ql/math/statistics/incrementalstatistics.hpp | 7 +++++++
.../marketmodels/driftcomputation/cmsmmdriftcalculator.cpp | 1 -
.../marketmodels/driftcomputation/cmsmmdriftcalculator.hpp | 1 -
.../marketmodels/driftcomputation/smmdriftcalculator.cpp | 1 -
.../marketmodels/driftcomputation/smmdriftcalculator.hpp | 1 -
ql/models/marketmodels/evolvers/svddfwdratepc.cpp | 1 -
ql/models/marketmodels/evolvers/svddfwdratepc.hpp | 1 -
ql/pricingengines/swap/cvaswapengine.cpp | 5 -----
20 files changed, 31 insertions(+), 31 deletions(-)
commit 206d30c32c36430e0dadda77ce35b6efe42099b1
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Apr 2016 16:15:58 +0200
Remove warnings for gcc and -Wall.
If OpenMP is not enabled, -Wall will emit an "unknown pragma" warning
when the OMP directives are processed. If that's a problem for your
build, use the -Wno-unknown-pragmas compilation flag.
Examples/CVAIRS/CVAIRS.cpp | 4 ----
ql/experimental/math/numericaldifferentiation.cpp | 7 +++++++
ql/experimental/math/particleswarmoptimization.cpp | 4 ++--
ql/experimental/models/hestonslvmcmodel.cpp | 8 +++++++-
ql/pricingengines/swap/cvaswapengine.cpp | 10 +++++-----
test-suite/hestonslvmodel.cpp | 7 +++++++
6 files changed, 28 insertions(+), 12 deletions(-)
commit 08e86bc4522dce8ebd2cf14239b9b99331231d99
Merge: 0a29eb1 f041ea9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Apr 2016 11:24:01 +0200
Merge pull request #77.
commit 0a29eb1d6bdaf6c940c4efcc1ca4d8038499da12
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Apr 2016 11:22:10 +0200
Remove a few warnings on Visual C++ 2008.
ql/experimental/math/fireflyalgorithm.cpp | 2 +-
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 6 ++++--
ql/math/matrixutilities/qrdecomposition.cpp | 2 +-
ql/pricingengines/vanilla/mcamericanengine.hpp | 2 +-
4 files changed, 7 insertions(+), 5 deletions(-)
commit f041ea9313579915fc04bff8b968d0e9ef2d4eae
Author: Nikolai Nowaczyk <[email protected]>
Date: Thu, 7 Apr 2016 09:49:46 +0100
replaced 1 by static casts
ql/experimental/variancegamma/fftengine.cpp | 2 +-
ql/math/fastfouriertransform.hpp | 8 ++++----
2 files changed, 5 insertions(+), 5 deletions(-)
commit 2bcbf8c2e2a90e952b17ae9ee2c079b81b3d8fe8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Apr 2016 14:56:33 +0200
Require Boost 1.43 as minimum version.
QuantLib.spec.in | 8 ++++----
acinclude.m4 | 4 ++--
2 files changed, 6 insertions(+), 6 deletions(-)
commit 1a46da2533cd322c3c11a6f6e616d0d6d07220af
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Apr 2016 18:05:13 +0200
Disable Boost.Random usage for versions earlier than 1.47.
ql/experimental/math/fireflyalgorithm.cpp | 9 ++++++++-
ql/experimental/math/fireflyalgorithm.hpp | 13 +++++++------
ql/experimental/math/levyflightdistribution.hpp | 8 ++++++++
ql/experimental/math/particleswarmoptimization.cpp | 9 ++++++++-
ql/experimental/math/particleswarmoptimization.hpp | 11 ++++++-----
5 files changed, 37 insertions(+), 13 deletions(-)
commit 6d7b87a9c802556e53354ef59e3d962a70435d1d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Apr 2016 11:49:43 +0200
Ensure self-consistency of headers.
ql/experimental/finitedifferences/bsmrndcalculator.hpp | 1 +
ql/experimental/finitedifferences/hestonrndcalculator.hpp | 1 +
ql/experimental/math/hybridsimulatedannealing.hpp | 1 +
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 1 +
ql/experimental/math/isotropicrandomwalk.hpp | 1 +
ql/pricingengines/swap/cvaswapengine.cpp | 1 -
ql/pricingengines/swap/cvaswapengine.hpp | 2 +-
tools/check_all_headers.sh | 2 +-
8 files changed, 7 insertions(+), 3 deletions(-)
commit 3ce86ac6b26a926400ca3e7ac41bdf1687045044
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Apr 2016 16:59:15 +0200
Reordered a few inclusions.
ql/experimental/finitedifferences/fdmhestonfwdop.cpp | 2 +-
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 12 ++++++------
ql/experimental/math/levyflightdistribution.hpp | 5 ++---
ql/experimental/math/piecewisefunction.hpp | 1 +
ql/pricingengines/swap/cvaswapengine.cpp | 3 +--
ql/time/date.hpp | 5 +++--
tools/check_all_inclusions.sh | 2 +-
7 files changed, 15 insertions(+), 15 deletions(-)
commit d6f5148f1aa10c5d9e2e603958a52b2a676c254a
Merge: 0536892 96d91dc
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Apr 2016 11:08:48 +0200
Merge pull request #74.
commit 96d91dc54c18aff83df286a90f527ce9f84c4898
Author: Peter Caspers <[email protected]>
Date: Fri, 1 Apr 2016 18:34:20 +0200
Read displacement from volatility structure if possible
ql/pricingengines/swaption/blackswaptionengine.cpp | 23 ++++++++++++--
ql/pricingengines/swaption/blackswaptionengine.hpp | 35 ++++++++++++++++++----
2 files changed, 50 insertions(+), 8 deletions(-)
commit 053689252a9d4137d8ac47dbfb88717b0c369d35
Merge: 6dd144f fceaa03
Author: Luigi Ballabio <[email protected]>
Date: Wed, 30 Mar 2016 11:18:39 +0200
Merge pull request #73.
commit fceaa03e16ed966b651577b48f9879b3ab83cd3e
Author: klausspanderen <[email protected]>
Date: Tue, 29 Mar 2016 17:52:57 +0200
use better default number of calibration paths
ql/experimental/models/hestonslvmcmodel.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c2243fe434151b04841212f662450a66a5327406
Author: klausspanderen <[email protected]>
Date: Mon, 28 Mar 2016 21:52:00 +0200
register handles correctly in HestonSLVMCModel
ql/experimental/models/hestonslvfdmmodel.cpp | 14 +++++++-------
ql/experimental/models/hestonslvmcmodel.cpp | 3 +++
2 files changed, 10 insertions(+), 7 deletions(-)
commit 6dd144fe1c2dfda8df0380e9b5d7c6037ff35766
Merge: 295475e 53f2584
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Mar 2016 10:02:59 +0100
Merge pull request #72.
commit 53f2584cfa6e5c45e46d44200cf7dd32f00d900b
Author: Peter Caspers <[email protected]>
Date: Sat, 19 Mar 2016 20:51:36 +0100
use separate RNGs for calibration and pricing
ql/pricingengines/vanilla/mcamericanengine.hpp | 202 ++++++++++++++-----------
1 file changed, 115 insertions(+), 87 deletions(-)
commit 75077ea9c896de54667e320d453add814618c0b2
Author: Peter Caspers <[email protected]>
Date: Sat, 19 Mar 2016 20:50:53 +0100
disentangle calibration and pricing RNGs
ql/pricingengines/mclongstaffschwartzengine.hpp | 115 ++++++++++++++++--------
1 file changed, 79 insertions(+), 36 deletions(-)
commit 295475e73d30aa006fb1c5b0ed9375ce3fee405a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Mar 2016 15:34:02 +0100
Add Boost directory to CMake include path.
CMakeLists.txt | 5 +++++
1 file changed, 5 insertions(+)
commit 7ae4b1299c409d278d7c72d8073d8b0002d51355
Merge: 6ada444 19a06cd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 15 Mar 2016 14:06:51 +0100
Merge pull request #69.
commit 19a06cd8f1edbacd0c29b1b5165f7adcad544450
Author: Peter Caspers <[email protected]>
Date: Tue, 15 Mar 2016 13:08:13 +0100
replace general by incremental statistics
this has both a better memory footprint and a better performance
ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 6ada444773206bb628a21f843eac5f930013a574
Merge: 6ebbfc3 c6a1a8e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 15 Mar 2016 11:36:44 +0100
Merge pull request #68.
commit c6a1a8e74add3b5c6a9ee811170e85c8e1905a72
Author: Peter Caspers <[email protected]>
Date: Mon, 14 Mar 2016 19:14:09 +0100
visit intermediate classes
ql/cashflows/capflooredcoupon.cpp | 1 -
ql/cashflows/couponpricer.cpp | 12 ++++++++++++
2 files changed, 12 insertions(+), 1 deletion(-)
commit 6ebbfc3998c6217e7c19b468c0242f0e17b10422
Merge: 5883dde 3e13b31
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Mar 2016 16:22:15 +0100
Merge pull request #67.
commit 3e13b311d784e4de2fa99a30f2d36e28ebc4ff48
Author: Jose Magana <[email protected]>
Date: Fri, 11 Mar 2016 08:37:27 -0600
Updated LIBOR docs.
Fixes for transfer from BBA LIBOR to ICE LIBOR and discontinuation of NZD, SEK, DKK, AUD and CAD LIBOR as of 2013.
Fixes #66.
ql/indexes/ibor/audlibor.hpp | 4 +---
ql/indexes/ibor/cadlibor.hpp | 5 +----
ql/indexes/ibor/chflibor.hpp | 4 ++--
ql/indexes/ibor/dkklibor.hpp | 4 +---
ql/indexes/ibor/eurlibor.hpp | 18 +++++++++---------
ql/indexes/ibor/gbplibor.hpp | 6 +++---
ql/indexes/ibor/jpylibor.hpp | 8 ++++----
ql/indexes/ibor/libor.hpp | 12 ++++++------
ql/indexes/ibor/nzdlibor.hpp | 4 +---
ql/indexes/ibor/seklibor.hpp | 4 +---
ql/indexes/ibor/trlibor.hpp | 2 +-
ql/indexes/ibor/usdlibor.hpp | 6 +++---
12 files changed, 33 insertions(+), 44 deletions(-)
commit 5883dde55856a6febc9f3c47db304dde62601b54
Merge: 81e59fd 49b46d6
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Mar 2016 14:59:06 +0100
Merge pull request #26.
commit 49b46d6e2f469cc3cfabf07d5fdb4b7992964aa6
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Mar 2016 12:53:42 +0100
Reuse mixed interpolation for log-mixed ones.
ql/math/interpolations/loginterpolation.hpp | 135 ++++++++--------------------
1 file changed, 37 insertions(+), 98 deletions(-)
commit 4cfef98f5a6e4110b81524678a3e520718fa59c2
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Mar 2016 12:18:43 +0100
Add behavior switch to mixed interpolation.
ql/math/interpolations/mixedinterpolation.hpp | 153 ++++++++++++++++++++++----
1 file changed, 132 insertions(+), 21 deletions(-)
commit 81e59fdba269cab0702adb543afdd42ffeaafd83
Merge: 7020e3e 5fc240a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Mar 2016 17:09:08 +0100
Merge pull request #65.
commit 7020e3e71a73fbe15fc7abb39efee8b2ac317940
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Mar 2016 16:43:46 +0100
Renamed engine.
ql/instruments/swaption.cpp | 2 +-
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 2 +-
ql/pricingengines/swaption/blackswaptionengine.cpp | 6 +++---
ql/pricingengines/swaption/blackswaptionengine.hpp | 18 +++++++++---------
4 files changed, 14 insertions(+), 14 deletions(-)
commit 5fc240abeb7096cc73401e6e252562215063ccba
Author: Peter Caspers <[email protected]>
Date: Wed, 9 Mar 2016 16:37:08 +0100
add test case for Cholesky decomposition fix
test-suite/matrices.cpp | 74 +++++++++++++++++++++++++++++++++++++++++++++++++
test-suite/matrices.hpp | 2 ++
2 files changed, 76 insertions(+)
commit f4b257c2995c701ac4df0dcfd89e0fd859d25149
Merge: 7741867 1ab20fa
Author: Luigi Ballabio <[email protected]>
Date: Wed, 9 Mar 2016 15:07:46 +0100
Merge pull request #33.
commit be9a2cf6c8450b4729225e56dbd0088ba9254eda
Author: Peter Caspers <[email protected]>
Date: Wed, 9 Mar 2016 10:12:02 +0100
numerical stabilization
ql/math/matrixutilities/choleskydecomposition.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit 77418675876d76bf9d7feb7c8b03a7dedfdb2c33
Merge: 273c888 c6967c5
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Mar 2016 11:28:42 +0100
Merge pull request #64.
commit 273c888e654500457c67483fffc490c9bfcf88d0
Merge: 774bec5 1f188d8
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Mar 2016 10:54:08 +0100
Merge pull request #63.
commit c6967c56f00614d13cad4522c4c89d4d7620ef7b
Author: klausspanderen <[email protected]>
Date: Mon, 7 Mar 2016 22:48:55 +0100
better threshold for pseudo inverse (taken from Peter's Moore-Penrose
inverse)
ql/math/generallinearleastsquares.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1f188d815e6658ba018600b062b93d366df4375a
Author: klausspanderen <[email protected]>
Date: Mon, 7 Mar 2016 22:16:07 +0100
subdivided long running tests into smaller pieces to allow faster
execution in conjunction with the parallel unit test runner
test-suite/basketoption.cpp | 48 +++---
test-suite/basketoption.hpp | 2 +-
test-suite/cdo.cpp | 390 ++++++++++++++++++++++----------------------
test-suite/cdo.hpp | 2 +-
test-suite/marketmodel.cpp | 276 ++++++++++++++++---------------
test-suite/marketmodel.hpp | 6 +-
6 files changed, 373 insertions(+), 351 deletions(-)
commit 774bec578884207c84a0d8da5bdeef9d41fef11c
Merge: e4d3555 d2d66ef
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Mar 2016 16:57:13 +0100
Merge pull request #62.
commit d2d66efbedc0a447ac42e0823253c8ea8279e2b7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Mar 2016 16:39:18 +0100
Update projects.
QuantLib.dev | 12 +++++++++++-
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
QuantLib_vc8.vcproj | 4 ++++
QuantLib_vc9.vcproj | 4 ++++
ql/experimental/math/Makefile.am | 1 +
ql/experimental/math/all.hpp | 1 +
7 files changed, 25 insertions(+), 1 deletion(-)
commit e4d3555dd0bb146b73319a0028573ea4b3fa2744
Merge: 670e1df 05d5104
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Mar 2016 16:12:34 +0100
Merge pull request #61.
commit 670e1df5721dde9fdb34e9b34e02bc6b4daf6702
Merge: 8fc7c99 8f9507d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Mar 2016 15:43:48 +0100
Merge pull request #60.
commit 8f9507d7616771d8188dff9f2b0fdb9cf702e75d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Mar 2016 15:41:27 +0100
Manage change of internals in Boost.Test 1.60.
test-suite/paralleltestrunner.hpp | 6 +++++-
1 file changed, 5 insertions(+), 1 deletion(-)
commit 1ab8e5df017e1ef42bd25dfeeaad84e6ff1b2686
Author: klausspanderen <[email protected]>
Date: Sun, 6 Mar 2016 17:27:35 +0100
corrected typo
test-suite/riskneutraldensitycalculator.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1032d84486ace5e067c26910cb2e1eb19c76e4d2
Author: Peter Caspers <[email protected]>
Date: Sun, 6 Mar 2016 14:18:16 +0100
add back-substitution test
test-suite/matrices.cpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit 09e65da0131b20ad3475b7ffbd849c36ae6a3745
Author: Peter Caspers <[email protected]>
Date: Sun, 6 Mar 2016 13:49:07 +0100
add Moore-Penrose Inverse and tests
ql/experimental/math/moorepenroseinverse.hpp | 61 ++++++++++++++++++++++++++++
test-suite/matrices.cpp | 35 ++++++++++++++++
test-suite/matrices.hpp | 1 +
3 files changed, 97 insertions(+)
commit 2ef0271a772e7acaf7bfc7d5ba53e6cd5fc2cf73
Author: Peter Caspers <[email protected]>
Date: Sun, 6 Mar 2016 13:44:05 +0100
fix formatting
ql/math/matrix.hpp | 1 +
1 file changed, 1 insertion(+)
commit 05d51041a56d88d5e4da3b37ce20f0dd846e93b5
Author: Peter Caspers <[email protected]>
Date: Sat, 5 Mar 2016 17:03:44 +0100
fix message text
ql/instruments/nonstandardswap.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 35129ed6db835fe6a45a3634a80b9ba4c8064ee4
Author: Peter Caspers <[email protected]>
Date: Sat, 5 Mar 2016 17:00:42 +0100
update copyright
ql/instruments/nonstandardswap.cpp | 2 +-
ql/instruments/nonstandardswap.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 2a4ba481875b24fb5751b53edd748a4f8db9720a
Author: Peter Caspers <[email protected]>
Date: Sat, 5 Mar 2016 16:58:17 +0100
add ctor for non-constant gearings / spreads
ql/instruments/nonstandardswap.cpp | 95 +++++++++++++++++++++++++++-----------
ql/instruments/nonstandardswap.hpp | 39 ++++++++++++++--
2 files changed, 103 insertions(+), 31 deletions(-)
commit 800946d00ff2feaf408038d1850142da410b2cce
Author: klausspanderen <[email protected]>
Date: Fri, 4 Mar 2016 22:32:23 +0100
added test suite return value for parallel test runner
increase test tolerance to incorporate the Monte-Carlo noise
test-suite/hestonslvmodel.cpp | 22 ++++++++++------------
test-suite/paralleltestrunner.hpp | 6 ++++++
2 files changed, 16 insertions(+), 12 deletions(-)
commit b79eca9952a5de6027973bc990a73d7494d944f3
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Mar 2016 13:39:03 +0100
Updated projects.
QuantLib.dev | 83 ++++++++++++++++++++++++++++++++++++++++++++++++++++-
QuantLib_vc8.vcproj | 32 +++++++++++++++++++++
QuantLib_vc9.vcproj | 32 +++++++++++++++++++++
3 files changed, 146 insertions(+), 1 deletion(-)
commit d54aa2ef839c2ce057ab228978d52bd047beceac
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Mar 2016 13:17:54 +0100
Fix compilation issues with g++.
ql/experimental/math/fireflyalgorithm.hpp | 4 ++--
ql/experimental/math/hybridsimulatedannealing.hpp | 3 ++-
ql/experimental/math/isotropicrandomwalk.hpp | 12 ++++++++----
ql/experimental/math/particleswarmoptimization.hpp | 14 +++++++-------
4 files changed, 19 insertions(+), 14 deletions(-)
commit 46604115d532c1b5143cf97dd6a31a5431b6ef68
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Mar 2016 12:56:48 +0100
Update Makefile with correct file list.
ql/experimental/math/Makefile.am | 2 +-
ql/experimental/math/all.hpp | 6 ++++++
2 files changed, 7 insertions(+), 1 deletion(-)
commit 8fc7c99673f8970873c98f56ad37ceb9543bc95e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Mar 2016 10:55:43 +0100
Disable problematic test case.
test-suite/hestonslvmodel.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit f394a05e53504a4784f90022ba7f86e823620151
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 13:24:42 +0100
Fix compilation error with VC++ and make_shared.
ql/cashflows/couponpricer.hpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 7e9871f81a235d85f315df21db8929c7f917b47a
Merge: 8c89b6e c59c985
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 11:32:07 +0100
Merge pull request #29.
commit c59c985bd326bbc3dbe11464bd2eee6dff6ebfdc
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 11:27:46 +0100
Remove reference to missing file.
Examples/CVAIRS/Makefile.am | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 5c48aa41c3f50ad367d40fca32c1b237c6ddb14a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 11:26:54 +0100
Update VC++ and Dev-C++ projects.
QuantLib.dev | 20 ++++++++++++++++++++
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
QuantLib_vc8.vcproj | 8 ++++++++
QuantLib_vc9.vcproj | 8 ++++++++
5 files changed, 44 insertions(+)
commit f77ae2c666782f0807d49819af00777843a246e4
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 11:22:49 +0100
Update CMake lists.
Examples/CMakeLists.txt | 1 +
Examples/CVAIRS/CMakeLists.txt | 2 ++
2 files changed, 3 insertions(+)
commit 3e62de0abb08e773e2b5ed3e388bf9c9fe89a537
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Mar 2016 11:20:26 +0100
Add VC++ and Dev-C++ projects for new example.
.gitignore | 1 +
Examples/CVAIRS/CVAIRS.dev | 59 +++
Examples/CVAIRS/CVAIRS.vcxproj | 544 +++++++++++++++++++++
Examples/CVAIRS/CVAIRS.vcxproj.filters | 22 +
Examples/CVAIRS/CVAIRS_vc8.vcproj | 436 +++++++++++++++++
Examples/CVAIRS/CVAIRS_vc9.vcproj | 834 +++++++++++++++++++++++++++++++++
QuantLib_vc10.sln | 18 +
QuantLib_vc11.sln | 18 +
QuantLib_vc12.sln | 18 +
QuantLib_vc14.sln | 18 +
QuantLib_vc8.sln | 13 +
QuantLib_vc9.sln | 21 +
12 files changed, 2002 insertions(+)
commit 8c89b6ec312721c4eb71ab56ca95efdb2369129f
Merge: 9124e05 147f680
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 17:25:41 +0100
Merge pull request #48.
commit 147f680eb5517ddce4f5fedb3b07f71231749ff8
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 17:23:50 +0100
Remove IO functions.
.../volatility/equityfx/fixedlocalvolsurface.cpp | 44 ----------------------
.../volatility/equityfx/fixedlocalvolsurface.hpp | 4 --
2 files changed, 48 deletions(-)
commit 3b2ded20c57e34cd4ff688cd7ee06670efce6fdc
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 16:26:02 +0100
Update VC++ and Dev-C++ projects.
QuantLib.dev | 66 ++++++++++++++++++++++++++++++++++++--
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 --
QuantLib_vc8.vcproj | 28 ++++++++++++++--
QuantLib_vc9.vcproj | 28 ++++++++++++++--
ql/experimental/models/Makefile.am | 2 +-
6 files changed, 116 insertions(+), 12 deletions(-)
commit 9124e05fdf84dbfbeea569f8a8d067bffdcfbd53
Merge: 28cce6f 8c8b063
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 16:07:42 +0100
Merge pull request #15.
commit 8c8b063ec169c0569e8c4f451bbc5852a466f545
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 16:07:16 +0100
Update VC++ and Dev-C++ projects.
QuantLib.dev | 243 +++++++++++++++++++++++++++++++++++++++-
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 3 +
QuantLib_vc8.vcproj | 100 +++++++++++++++++
QuantLib_vc9.vcproj | 100 +++++++++++++++++
test-suite/testsuite.dev | 42 ++++++-
test-suite/testsuite_vc8.vcproj | 16 +++
test-suite/testsuite_vc9.vcproj | 16 +++
8 files changed, 519 insertions(+), 4 deletions(-)
commit ed8f7cad86110c50b90e9c69e2dd6c98c85d8b4f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 15:16:34 +0100
Fix test message.
test-suite/hestonmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4508993dae7e8d2376358a6183d63ebd4c7f8c44
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Mar 2016 15:14:22 +0100
Make source files non-executable.
ql/experimental/finitedifferences/fdmhestonfwdop.hpp | 0
ql/experimental/finitedifferences/fdmlocalvolfwdop.cpp | 0
ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp | 0
ql/models/model.hpp | 0
ql/patterns/observable.cpp | 0
ql/userconfig.hpp | 0
test-suite/hestonslvmodel.cpp | 0
test-suite/observable.cpp | 0
test-suite/quantlibtestsuite.cpp | 0
test-suite/riskneutraldensitycalculator.cpp | 0
10 files changed, 0 insertions(+), 0 deletions(-)
commit c0585d09e7f6d284451a8d9fee5f2799a5227736
Author: Johannes Göttker-Schnetmann <[email protected]>
Date: Mon, 29 Feb 2016 20:07:14 +0100
restore correct boost message
test-suite/hestonmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e89bff682d36d1f8b12fe796546a6ee34f9b14f0
Author: Johannes Göttker-Schnetmann <[email protected]>
Date: Mon, 29 Feb 2016 18:40:50 +0100
restore README.txt
test-suite/README.txt | 5 +++++
1 file changed, 5 insertions(+)
commit 28cce6fc2f97358b7cad223146bd19745e693d6c
Merge: 78a63f1 4e00212
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 17:10:58 +0100
Merge pull request #14.
commit 4e0021260430ee60574d6eba601af9434e7ac5ff
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 16:35:16 +0100
Use global evaluation date as test date.
test-suite/amortizingbond.cpp | 3 ++-
test-suite/swap.cpp | 3 +--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 703ead17322201b5f616a892aac248d914e82eb1
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 16:17:32 +0100
Add command-line switch to set evaluation date for test suite.
test-suite/quantlibtestsuite.cpp | 49 ++++++++++++++++++++++++++++------------
1 file changed, 35 insertions(+), 14 deletions(-)
commit 2ee92ee89516749e8c21053b6edd757b0adff3e8
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 14:36:15 +0100
Avoid public operator<< for Settings class.
ql/settings.hpp | 12 --------
test-suite/quantlibtestsuite.cpp | 62 +++++++++++++++++++++++-----------------
2 files changed, 36 insertions(+), 38 deletions(-)
commit 78a63f17ddec803a5347d43704f1bc7317e98696
Merge: 65b5bab b267251
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 10:37:51 +0100
Merge pull request #55.
commit b2672510e4120c03e7fdbb07dc8597fc323d9842
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Feb 2016 09:47:27 +0100
Roll back change to protected member.
ql/models/model.cpp | 4 ++--
ql/models/model.hpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit 65b5baba9713d2b6d1b267cc082fb2d046022fec
Merge: b379986 fe71f76
Author: Luigi Ballabio <[email protected]>
Date: Fri, 26 Feb 2016 11:05:46 +0100
Merge pull request #49.
commit fe71f76cd4ee16a9976ea1c59488fd0b8e928b3e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 26 Feb 2016 10:42:36 +0100
Defender's day is a holiday only sincce 2015.
ql/time/calendars/ukraine.cpp | 4 ++--
ql/time/calendars/ukraine.hpp | 3 ++-
2 files changed, 4 insertions(+), 3 deletions(-)
commit b379986948f6eab491d40b99590f262fd0307e28
Merge: 966d6c0 8c24b9f
Author: Luigi Ballabio <[email protected]>
Date: Fri, 26 Feb 2016 09:56:25 +0100
Merge pull request #54.
commit 966d6c0394d61f65b7886fe8c6e6e8ddfb593c5c
Merge: 5e2c0b4 317318b
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Feb 2016 17:32:36 +0100
Merge pull request #44.
commit 5e2c0b4c6212bd406e9293e427f9b58cc7482650
Merge: 2914d47 d6282ca
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Feb 2016 17:16:07 +0100
Merge pull request #42.
commit 2914d47fc816bcfc51373875d08dc61e9e1f22a3
Merge: 2decb98 e9e6922
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Feb 2016 16:33:05 +0100
Merge pull request #51.
commit 2decb98ae6edb2c69480dc6a3003438adcdf939a
Merge: 8211353 e00a593
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Feb 2016 15:44:20 +0100
Merge pull request #17.
commit e00a59373852d5a8ff2d68c9515419b5fc9c9348
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Feb 2016 15:28:06 +0100
Update VC++ and Dev-C++ projects.
QuantLib.dev | 31 +++++++++++++++++++++++++++++++