Change Log

commit 0dfae9dd053d33123e9e1423f0b88a23f59e2220
Author: Luigi Ballabio <luigi.ballabio@gmail.com>

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
Date: Wed, 27 Apr 2016 14:43:38 +0200
Merge pull request #83.
commit 4653570196a6977a722b5a033d7e104f82cff1a4
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 <edd@debian.org>
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 <edd@debian.org>
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 <peter.caspers@quaternion.com>
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 ++++++++++++++++++------------
commit f526d8a950237b580ad905d9a1c1bbf6fac88fa9
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
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 +-
commit c67601fe0c4f44e0f7017a50db4c150027f29dce
Merge: 2cc8cb4 a3e4a63
Date: Fri, 15 Apr 2016 10:05:35 +0200
commit a3e4a637d7480a5c587db79fdd99cf286a67cb69
Date: Wed, 13 Apr 2016 21:42:01 +0200
fix description
ql/cashflow.hpp | 4 ++--
commit 2cc8cb460f316252ddc15ccc2b671d798de5c324
Date: Wed, 13 Apr 2016 11:03:51 +0200
Fix linker flags for broken combination of configure flags.
configure.ac | 2 +-
commit 306cf331c6fcfb04f69d97814d761e010c49ddd5
Date: Tue, 12 Apr 2016 15:39:44 +0200
Use correct abs overload.
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 5 +++--
commit 69644dde2221d51668060854743867d9ccab7612
Date: Tue, 12 Apr 2016 08:19:23 +0200
Use local struct to avoid ODR violation.
Solves #78.
ql/experimental/math/laplaceinterpolation.hpp | 22 ++++++++++------------
commit b9610efc214da69056e4908800c98d373a0968d5
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 +++---
commit e04ce6d15ba76ce244b53ae8617d0536fdb6610d
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 +-
commit e1d2bacc5eafb94b8f0f15c25c8066e58c79942c
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 +-
commit d43b68d33abbe0b9c835729f29c633fa5a1b9e2b
Date: Fri, 8 Apr 2016 16:55:57 +0200
Avoid a warning on Visual C++ 2015.
test-suite/hestonslvmodel.cpp | 2 +-
commit 43e90dbb5afeffcc1665837527d1b1b8ef3dd5b4
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 -----
commit 206d30c32c36430e0dadda77ce35b6efe42099b1
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 +++++++
commit 08e86bc4522dce8ebd2cf14239b9b99331231d99
Merge: 0a29eb1 f041ea9
Date: Thu, 7 Apr 2016 11:24:01 +0200
commit 0a29eb1d6bdaf6c940c4efcc1ca4d8038499da12
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 +-
commit f041ea9313579915fc04bff8b968d0e9ef2d4eae
Author: Nikolai Nowaczyk <nikolai.nowaczyk@quaternionrisk.com>
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 ++++----
commit 2bcbf8c2e2a90e952b17ae9ee2c079b81b3d8fe8
Date: Wed, 6 Apr 2016 14:56:33 +0200
Require Boost 1.43 as minimum version.
QuantLib.spec.in | 8 ++++----
acinclude.m4 | 4 ++--
commit 1a46da2533cd322c3c11a6f6e616d0d6d07220af
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 ++++++-----
commit 6d7b87a9c802556e53354ef59e3d962a70435d1d
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 +-
commit 3ce86ac6b26a926400ca3e7ac41bdf1687045044
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 +-
commit d6f5148f1aa10c5d9e2e603958a52b2a676c254a
Merge: 0536892 96d91dc
Date: Mon, 4 Apr 2016 11:08:48 +0200
commit 96d91dc54c18aff83df286a90f527ce9f84c4898
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 ++++++++++++++++++----
commit 053689252a9d4137d8ac47dbfb88717b0c369d35
Merge: 6dd144f fceaa03
Date: Wed, 30 Mar 2016 11:18:39 +0200
commit fceaa03e16ed966b651577b48f9879b3ab83cd3e
Author: klausspanderen <klaus@spanderen.de>
Date: Tue, 29 Mar 2016 17:52:57 +0200
use better default number of calibration paths
ql/experimental/models/hestonslvmcmodel.hpp | 2 +-
commit c2243fe434151b04841212f662450a66a5327406
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 +++
commit 6dd144fe1c2dfda8df0380e9b5d7c6037ff35766
Merge: 295475e 53f2584
Date: Fri, 25 Mar 2016 10:02:59 +0100

commit 53f2584cfa6e5c45e46d44200cf7dd32f00d900b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date: Sat, 19 Mar 2016 20:51:36 +0100
use separate RNGs for calibration and pricing
ql/pricingengines/vanilla/mcamericanengine.hpp | 202 ++++++++++++++-----------

commit 75077ea9c896de54667e320d453add814618c0b2
Date: Sat, 19 Mar 2016 20:50:53 +0100
disentangle calibration and pricing RNGs
ql/pricingengines/mclongstaffschwartzengine.hpp | 115 ++++++++++++++++--------

commit 295475e73d30aa006fb1c5b0ed9375ce3fee405a
Date: Wed, 16 Mar 2016 15:34:02 +0100
Add Boost directory to CMake include path.
CMakeLists.txt | 5 +++++
commit 7ae4b1299c409d278d7c72d8073d8b0002d51355
Merge: 6ada444 19a06cd
Date: Tue, 15 Mar 2016 14:06:51 +0100
commit 19a06cd8f1edbacd0c29b1b5165f7adcad544450
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 ++++----
commit 6ada444773206bb628a21f843eac5f930013a574
Merge: 6ebbfc3 c6a1a8e
Date: Tue, 15 Mar 2016 11:36:44 +0100
commit c6a1a8e74add3b5c6a9ee811170e85c8e1905a72
Date: Mon, 14 Mar 2016 19:14:09 +0100
visit intermediate classes
ql/cashflows/capflooredcoupon.cpp | 1 -
ql/cashflows/couponpricer.cpp | 12 ++++++++++++
commit 6ebbfc3998c6217e7c19b468c0242f0e17b10422
Merge: 5883dde 3e13b31
Date: Fri, 11 Mar 2016 16:22:15 +0100
commit 3e13b311d784e4de2fa99a30f2d36e28ebc4ff48
Author: Jose Magana <josemaganadev@gmail.com>
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 +++---
commit 5883dde55856a6febc9f3c47db304dde62601b54
Merge: 81e59fd 49b46d6
Date: Fri, 11 Mar 2016 14:59:06 +0100
commit 49b46d6e2f469cc3cfabf07d5fdb4b7992964aa6
Date: Fri, 11 Mar 2016 12:53:42 +0100
Reuse mixed interpolation for log-mixed ones.
ql/math/interpolations/loginterpolation.hpp | 135 ++++++++--------------------

commit 4cfef98f5a6e4110b81524678a3e520718fa59c2
Date: Fri, 11 Mar 2016 12:18:43 +0100
Add behavior switch to mixed interpolation.
ql/math/interpolations/mixedinterpolation.hpp | 153 ++++++++++++++++++++++----

commit 81e59fdba269cab0702adb543afdd42ffeaafd83
Merge: 7020e3e 5fc240a
Date: Wed, 9 Mar 2016 17:09:08 +0100
commit 7020e3e71a73fbe15fc7abb39efee8b2ac317940
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 +++++++++---------
commit 5fc240abeb7096cc73401e6e252562215063ccba
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
Date: Wed, 9 Mar 2016 15:07:46 +0100
commit be9a2cf6c8450b4729225e56dbd0088ba9254eda
Date: Wed, 9 Mar 2016 10:12:02 +0100
numerical stabilization
ql/math/matrixutilities/choleskydecomposition.cpp | 7 +++++--
commit 77418675876d76bf9d7feb7c8b03a7dedfdb2c33
Merge: 273c888 c6967c5
Date: Tue, 8 Mar 2016 11:28:42 +0100
commit 273c888e654500457c67483fffc490c9bfcf88d0
Merge: 774bec5 1f188d8
Date: Tue, 8 Mar 2016 10:54:08 +0100

commit c6967c56f00614d13cad4522c4c89d4d7620ef7b
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 +-
commit 1f188d815e6658ba018600b062b93d366df4375a
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 +-
commit 774bec578884207c84a0d8da5bdeef9d41fef11c
Merge: e4d3555 d2d66ef
Date: Mon, 7 Mar 2016 16:57:13 +0100
commit d2d66efbedc0a447ac42e0823253c8ea8279e2b7
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 ++++
ql/experimental/math/Makefile.am | 1 +
ql/experimental/math/all.hpp | 1 +
commit e4d3555dd0bb146b73319a0028573ea4b3fa2744
Merge: 670e1df 05d5104
Date: Mon, 7 Mar 2016 16:12:34 +0100
commit 670e1df5721dde9fdb34e9b34e02bc6b4daf6702
Merge: 8fc7c99 8f9507d
Date: Mon, 7 Mar 2016 15:43:48 +0100
commit 8f9507d7616771d8188dff9f2b0fdb9cf702e75d
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
Date: Sun, 6 Mar 2016 17:27:35 +0100
corrected typo
test-suite/riskneutraldensitycalculator.cpp | 2 +-
commit 1032d84486ace5e067c26910cb2e1eb19c76e4d2
Date: Sun, 6 Mar 2016 14:18:16 +0100
add back-substitution test
test-suite/matrices.cpp | 12 ++++++++++++
commit 09e65da0131b20ad3475b7ffbd849c36ae6a3745
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 +
commit 2ef0271a772e7acaf7bfc7d5ba53e6cd5fc2cf73
Date: Sun, 6 Mar 2016 13:44:05 +0100
fix formatting
ql/math/matrix.hpp | 1 +
1 file changed, 1 insertion(+)
commit 05d51041a56d88d5e4da3b37ce20f0dd846e93b5
Date: Sat, 5 Mar 2016 17:03:44 +0100
fix message text
ql/instruments/nonstandardswap.cpp | 4 ++--
commit 35129ed6db835fe6a45a3634a80b9ba4c8064ee4
Date: Sat, 5 Mar 2016 17:00:42 +0100
update copyright
ql/instruments/nonstandardswap.cpp | 2 +-
ql/instruments/nonstandardswap.hpp | 2 +-
commit 2a4ba481875b24fb5751b53edd748a4f8db9720a
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 ++++++++++++++--
commit 800946d00ff2feaf408038d1850142da410b2cce
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 ++++++
commit b79eca9952a5de6027973bc990a73d7494d944f3
Date: Thu, 3 Mar 2016 13:39:03 +0100
Updated projects.
QuantLib.dev | 83 ++++++++++++++++++++++++++++++++++++++++++++++++++++-
QuantLib_vc8.vcproj | 32 +++++++++++++++++++++
QuantLib_vc9.vcproj | 32 +++++++++++++++++++++
commit d54aa2ef839c2ce057ab228978d52bd047beceac
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 +++++++-------
commit 46604115d532c1b5143cf97dd6a31a5431b6ef68
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 ++++++
commit 8fc7c99673f8970873c98f56ad37ceb9543bc95e
Date: Thu, 3 Mar 2016 10:55:43 +0100
Disable problematic test case.
test-suite/hestonslvmodel.cpp | 5 +++--
commit f394a05e53504a4784f90022ba7f86e823620151
Date: Wed, 2 Mar 2016 13:24:42 +0100
Fix compilation error with VC++ and make_shared.
ql/cashflows/couponpricer.hpp | 5 ++---
commit 7e9871f81a235d85f315df21db8929c7f917b47a
Merge: 8c89b6e c59c985
Date: Wed, 2 Mar 2016 11:32:07 +0100
commit c59c985bd326bbc3dbe11464bd2eee6dff6ebfdc
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
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 ++++++++
commit f77ae2c666782f0807d49819af00777843a246e4
Date: Wed, 2 Mar 2016 11:22:49 +0100
Update CMake lists.
Examples/CMakeLists.txt | 1 +
Examples/CVAIRS/CMakeLists.txt | 2 ++
commit 3e62de0abb08e773e2b5ed3e388bf9c9fe89a537
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 +
commit 8c89b6ec312721c4eb71ab56ca95efdb2369129f
Merge: 9124e05 147f680
Date: Tue, 1 Mar 2016 17:25:41 +0100
commit 147f680eb5517ddce4f5fedb3b07f71231749ff8
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
Date: Tue, 1 Mar 2016 16:26:02 +0100
QuantLib.dev | 66 ++++++++++++++++++++++++++++++++++++--
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 --
QuantLib_vc8.vcproj | 28 ++++++++++++++--
QuantLib_vc9.vcproj | 28 ++++++++++++++--
ql/experimental/models/Makefile.am | 2 +-
commit 9124e05fdf84dbfbeea569f8a8d067bffdcfbd53
Merge: 28cce6f 8c8b063
Date: Tue, 1 Mar 2016 16:07:42 +0100
commit 8c8b063ec169c0569e8c4f451bbc5852a466f545
Date: Tue, 1 Mar 2016 16:07:16 +0100
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 +++
commit ed8f7cad86110c50b90e9c69e2dd6c98c85d8b4f
Date: Tue, 1 Mar 2016 15:16:34 +0100
Fix test message.
test-suite/hestonmodel.cpp | 2 +-
commit 4508993dae7e8d2376358a6183d63ebd4c7f8c44
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
commit c0585d09e7f6d284451a8d9fee5f2799a5227736
Author: Johannes Gttker-Schnetmann <jschnetm@gmail.com>
Date: Mon, 29 Feb 2016 20:07:14 +0100
restore correct boost message
commit e89bff682d36d1f8b12fe796546a6ee34f9b14f0
Date: Mon, 29 Feb 2016 18:40:50 +0100
restore README.txt
test-suite/README.txt | 5 +++++
commit 28cce6fc2f97358b7cad223146bd19745e693d6c
Merge: 78a63f1 4e00212
Date: Mon, 29 Feb 2016 17:10:58 +0100
commit 4e0021260430ee60574d6eba601af9434e7ac5ff
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 +--
commit 703ead17322201b5f616a892aac248d914e82eb1
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 ++++++++++++++++++++++++++++------------
commit 2ee92ee89516749e8c21053b6edd757b0adff3e8
Date: Mon, 29 Feb 2016 14:36:15 +0100
Avoid public operator<< for Settings class.
ql/settings.hpp | 12 --------
test-suite/quantlibtestsuite.cpp | 62 +++++++++++++++++++++++-----------------
commit 78a63f17ddec803a5347d43704f1bc7317e98696
Merge: 65b5bab b267251
Date: Mon, 29 Feb 2016 10:37:51 +0100
commit b2672510e4120c03e7fdbb07dc8597fc323d9842
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 ++--
commit 65b5baba9713d2b6d1b267cc082fb2d046022fec
Merge: b379986 fe71f76
Date: Fri, 26 Feb 2016 11:05:46 +0100
commit fe71f76cd4ee16a9976ea1c59488fd0b8e928b3e
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 ++-
commit b379986948f6eab491d40b99590f262fd0307e28
Merge: 966d6c0 8c24b9f
Date: Fri, 26 Feb 2016 09:56:25 +0100
commit 966d6c0394d61f65b7886fe8c6e6e8ddfb593c5c
Merge: 5e2c0b4 317318b
Date: Thu, 25 Feb 2016 17:32:36 +0100
commit 5e2c0b4c6212bd406e9293e427f9b58cc7482650
Merge: 2914d47 d6282ca
Date: Thu, 25 Feb 2016 17:16:07 +0100
commit 2914d47fc816bcfc51373875d08dc61e9e1f22a3
Merge: 2decb98 e9e6922
Date: Thu, 25 Feb 2016 16:33:05 +0100
commit 2decb98ae6edb2c69480dc6a3003438adcdf939a
Merge: 8211353 e00a593
Date: Thu, 25 Feb 2016 15:44:20 +0100
commit e00a59373852d5a8ff2d68c9515419b5fc9c9348
Date: Thu, 25 Feb 2016 15:28:06 +0100
QuantLib.dev | 31 +++++++++++++++++++++++++++++++
QuantLib.vcxproj | 5 ++++-
QuantLib.vcxproj.filters | 13 +++++++++++--
QuantLib_vc8.vcproj | 12 ++++++++++++
QuantLib_vc9.vcproj | 12 ++++++++++++
commit 8211353badd103652918a0ac34043d7929ad2027
Date: Thu, 25 Feb 2016 15:23:38 +0100
Avoid temporary file.
tools/sync_projects.sh | 52 ++++++++++++++++++++++++--------------------------
commit 6db9322aa73aed201e68ea2bf35b384ee537a0d5
Merge: f72cb49 3d8b8fd
Date: Thu, 25 Feb 2016 14:53:14 +0100
commit f72cb493e91f8e4a75964a4b0b13dc43f0ce8149
Merge: 40fdc67 efc3a38
Date: Thu, 25 Feb 2016 14:30:57 +0100
commit 40fdc67dae325737224e47f0f2b58ad363c6a9b5
Merge: 45dbb0f cc85385
Date: Thu, 25 Feb 2016 13:11:58 +0100
commit 45dbb0f0ea96ab8321a3fdb8f71bde8cb000e379
Merge: 58cebf1 19dd1f0
Date: Wed, 24 Feb 2016 15:58:14 +0100
commit 19dd1f049626b19a253ab1b4f6ccef158b9a2683
Date: Wed, 24 Feb 2016 15:55:55 +0100
Avoid 'ignored qualifiers' warning.
ql/termstructures/volatility/optionlet/capletvariancecurve.hpp | 8 ++++----
ql/termstructures/volatility/optionlet/constantoptionletvol.hpp | 8 ++++----
ql/termstructures/volatility/optionlet/optionletstripper.cpp | 6 ++++--
ql/termstructures/volatility/optionlet/optionletstripper.hpp | 4 ++--
.../volatility/optionlet/optionletvolatilitystructure.hpp | 8 ++++----
ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp | 8 ++++----
ql/termstructures/volatility/optionlet/strippedoptionlet.cpp | 7 +++++--
ql/termstructures/volatility/optionlet/strippedoptionlet.hpp | 4 ++--
.../volatility/optionlet/strippedoptionletadapter.cpp | 4 ++--
.../volatility/optionlet/strippedoptionletadapter.hpp | 4 ++--
ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp | 5 +++--
commit 13ad3f7d58ca0ed6ed22a9032df04d139e6b688f
Date: Wed, 24 Feb 2016 15:27:50 +0100
Avoid specific Matrix contructor.
I'd rather not multiply the constructors when an alternative

is available and not so complex.
ql/math/matrix.hpp | 10 ----------
test-suite/optionletstripper.cpp | 4 +++-
commit bc935e28ce9f4bf83f20fc2182382c6e032aafa4
Date: Wed, 24 Feb 2016 15:27:00 +0100
Always register with the correlation handle.
It could be passed as empty and linked afterwards.
ql/cashflows/couponpricer.hpp | 4 +---
commit 077dfaab363778fd27b8094256a16bf4d5cb5580
Date: Wed, 24 Feb 2016 13:38:30 +0100
Avoid output to cout during tests.
test-suite/optionletstripper.cpp | 9 ---------
1 file changed, 9 deletions(-)
commit 58cebf19726eadd16aef6d47d6c15ef7d256f195
Date: Wed, 24 Feb 2016 12:44:16 +0100
Fix test-suite initialization.
test-suite/main.cpp | 15 ++++++++++++++-
commit 5981c0ace1b6e65cbb51280ac59c01fbfbe5bf57
Merge: 09dbce9 f47c098
Author: Michael von den Driesch <mdriesch@web.de>
Date: Wed, 24 Feb 2016 05:40:36 +0100
Merging master
Resolving a few merge conflicts (mostly stemming from the merge of PR#7 into
master).
commit 09dbce9635f45c689a29a22e57a5c324cf4edfc0
Date: Tue, 23 Feb 2016 22:51:38 +0100
Cap normal vol extension

This is the combined PR of the following PRs:
- lballabio/quantlib-old#269
- lballabio/quantlib-old#295
and their corresponding new versions in this repo (#8 & #12).
ql/cashflows/couponpricer.cpp | 54 +++-
ql/cashflows/couponpricer.hpp | 35 ++-
ql/math/matrix.hpp | 12 +-
.../capfloor/bacheliercapfloorengine.cpp | 8 +-
ql/pricingengines/capfloor/blackcapfloorengine.cpp | 23 +-
ql/pricingengines/capfloor/blackcapfloorengine.hpp | 6 +-
ql/termstructures/volatility/flatsmilesection.cpp | 29 +-
ql/termstructures/volatility/flatsmilesection.hpp | 16 +-
.../volatility/interpolatedsmilesection.hpp | 154 +++++------
.../volatility/optionlet/capletvariancecurve.hpp | 35 ++-
.../volatility/optionlet/constantoptionletvol.cpp | 51 ++--
.../volatility/optionlet/constantoptionletvol.hpp | 50 ++--
.../volatility/optionlet/optionletstripper.cpp | 25 +-
.../volatility/optionlet/optionletstripper.hpp | 21 +-
.../volatility/optionlet/optionletstripper1.cpp | 29 +-
.../volatility/optionlet/optionletstripper1.hpp | 19 +-
.../optionlet/optionletvolatilitystructure.hpp | 15 +
.../volatility/optionlet/spreadedoptionletvol.hpp | 15 +
.../volatility/optionlet/strippedoptionlet.cpp | 42 ++-
.../volatility/optionlet/strippedoptionlet.hpp | 22 +-
.../optionlet/strippedoptionletadapter.cpp | 35 ++-
.../optionlet/strippedoptionletadapter.hpp | 10 +
.../volatility/optionlet/strippedoptionletbase.hpp | 5 +
.../volatility/swaption/swaptionvolcube2.cpp | 15 +-
.../volatility/swaption/swaptionvolmatrix.cpp | 8 +-
test-suite/optionletstripper.cpp | 305 ++++++++++++++++++++-
test-suite/optionletstripper.hpp | 3 +
commit 08b306f59ec584bda3e16cb5f009243ae0c944c3
Date: Tue, 23 Feb 2016 19:38:29 +0100
resurrect problem values, rename variables
ql/models/model.cpp | 6 +++---
ql/models/model.hpp | 8 ++++++--
commit f47c09867437659120061908c13cb58872ab05a9
Merge: 8ab3255 e24fa4c
Date: Tue, 23 Feb 2016 17:52:34 +0100
commit 8ab3255fae4cd316da68372f63cfbcac2bdf33de
Merge: b99b5ea e070298
Date: Tue, 23 Feb 2016 17:21:22 +0100
commit e070298789e9120b4bf53bb33806aeb3f0c8856f
Date: Tue, 23 Feb 2016 17:16:25 +0100
Add missing compilation and linking flags.
quantlib.pc.in | 4 ++--
commit b99b5eaf53b9b2e7b605c7dfe880b7cc8fb820fb
Merge: 8ca2f23 c274955
Date: Tue, 23 Feb 2016 16:55:13 +0100
commit c2749551e5e092f55f81da2309ccf9b72d3d3b6f
Date: Tue, 23 Feb 2016 16:44:18 +0100
QuantLib.dev | 12 +++++++++++-
QuantLib.vcxproj.filters | 3 +++
commit 8ca2f2315d022091906c536340811b0d1cdf23af
Merge: 710d53f 3b9dc9e
Date: Tue, 23 Feb 2016 16:14:05 +0100
commit 3b9dc9ee90aa23381c1be001be604505780193a5
Date: Tue, 23 Feb 2016 15:58:16 +0100
Moved template class to namespace detail with specs.
ql/pricingengines/swaption/blackswaptionengine.cpp | 38 +++++++++++++---------
ql/pricingengines/swaption/blackswaptionengine.hpp | 18 ++++++----
commit 710d53f6c7e56ec6939ebb11d17f0b1a3dbc39d3
Date: Tue, 23 Feb 2016 15:42:30 +0100
Remove deprecated DateParser::split method.
ql/utilities/dataparsers.cpp | 14 --------------
ql/utilities/dataparsers.hpp | 9 ---------
2 files changed, 23 deletions(-)
commit 6a7849eb3ef8cd51ad25f5c34bb011b33cbe5474
Date: Tue, 23 Feb 2016 15:35:44 +0100
Restore previous interfaces as deprecated overrides.
ql/models/calibrationhelper.cpp | 7 +-
ql/models/calibrationhelper.hpp | 9 +-
.../calibrationhelpers/swaptionhelper.cpp | 70 ++++++-
.../calibrationhelpers/swaptionhelper.hpp | 51 +++++
ql/termstructures/volatility/flatsmilesection.hpp | 19 ++
.../volatility/interpolatedsmilesection.hpp | 152 +++++++++++++++
.../volatility/swaption/swaptionvolmatrix.cpp | 217 +++++++++++++++++++++
.../volatility/swaption/swaptionvolmatrix.hpp | 72 +++++++
commit 397271b7ebea5b6f29eea6833414606f474d4eca
Date: Tue, 23 Feb 2016 14:49:10 +0100
Don't redeclare inherited data members.
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 6 +++---
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 3 +--
commit 454501d33fa0d1c238e5611d1849785ee35410d7
Merge: 73313d1 f22e769
Date: Tue, 23 Feb 2016 12:24:47 +0100
commit f22e769250b3030a66184dfd66f3fe75031acd1c
Date: Tue, 23 Feb 2016 12:24:31 +0100
Fix a few dates.
ql/time/calendars/saudiarabia.cpp | 29 ++++++++++++++---------------
commit 3689591559d9f7480db6c6319b82291245f0b6c6
Date: Tue, 23 Feb 2016 11:35:52 +0100
Move calculations in separate functions for clarity.
ql/time/calendars/saudiarabia.cpp | 218 ++++++++++++++++++++------------------

commit 73313d1d371849da29da88c064ce21a112870eb5
Merge: a93de0a eaabc38
Date: Tue, 23 Feb 2016 10:54:18 +0100
commit a93de0aa521fea9a819c7319ffe0578e57f20d05
Merge: 94b9bbd 46781f1
Date: Tue, 23 Feb 2016 10:44:14 +0100
commit 8c24b9f99643c71f6d1e6292e07330b2738b5c03
Date: Mon, 22 Feb 2016 22:11:37 +0100
fixed performance issue for QR deomposition if #rows >> #columns
ql/math/matrixutilities/qrdecomposition.cpp | 65 +++++++++++++++++++++--------
test-suite/matrices.cpp | 13 +++++-
commit 94b9bbd6e27bc59987d839f65a3fec2e167b9015
Merge: 5a1a3bf 5923b9b
Date: Mon, 22 Feb 2016 18:15:29 +0100
commit 5923b9b035854698e93b99121d0b57336a73a915
Date: Mon, 22 Feb 2016 17:56:12 +0100
Fix indentations.
ql/cashflows/lineartsrpricer.cpp | 2 +-
.../shortrate/onefactormodels/gaussian1dmodel.cpp | 12 +++++-----
.../shortrate/onefactormodels/gaussian1dmodel.hpp | 12 +++++-----
ql/models/shortrate/onefactormodels/gsr.cpp | 4 ++--
ql/models/shortrate/onefactormodels/gsr.hpp | 4 ++--
.../shortrate/onefactormodels/markovfunctional.cpp | 22 +++++++++---------
.../shortrate/onefactormodels/markovfunctional.hpp | 26 +++++++++++-----------
.../swaption/basketgeneratingengine.hpp | 2 +-
ql/processes/gsrprocesscore.cpp | 8 +++----
ql/processes/gsrprocesscore.hpp | 2 +-
commit 5a1a3bfde84de2dbf5a51e5f9d8b9b4e37b73c17
Merge: 0264195 fd3989f
Date: Mon, 22 Feb 2016 17:47:15 +0100
commit 0264195d503258a5c5c9912a9f5aef4a7c03bf71
Merge: 24ebdd4 6d71313
Date: Mon, 22 Feb 2016 16:12:14 +0100
commit 6d7131387c72ced883e6df2411afca05ba84cc0d
Date: Mon, 22 Feb 2016 15:52:43 +0100
Add cmake option to link to Boost.Test dynamic library.
CMakeLists.txt | 10 ++++++++--
test-suite/CMakeLists.txt | 6 +++++-
commit 3a9ef0704c0fe03be64de3c1e5dac7c4bb575385
Date: Mon, 22 Feb 2016 14:43:33 +0100
Extract main.cpp from test-suite/Makefile.am.
This makes it possible to use it in non-autotools builds, such as

cmake builds.
.gitignore | 1 -
test-suite/Makefile.am | 17 -----------------
test-suite/main.cpp | 7 +++++++
commit 49de99b59fba032c57612cbb85a6226ccac83c68
Date: Mon, 22 Feb 2016 13:40:33 +0100
Add cmake project files to distribution.
Examples/BasketLosses/Makefile.am | 3 ++-
Examples/BermudanSwaption/Makefile.am | 1 +
Examples/Bonds/Makefile.am | 1 +
Examples/CDS/Makefile.am | 1 +
Examples/CallableBonds/Makefile.am | 1 +
Examples/ConvertibleBonds/Makefile.am | 1 +
Examples/DiscreteHedging/Makefile.am | 1 +
Examples/EquityOption/Makefile.am | 1 +
Examples/FRA/Makefile.am | 1 +
Examples/FittedBondCurve/Makefile.am | 1 +
Examples/Gaussian1dModels/Makefile.am | 1 +
Examples/LatentModel/Makefile.am | 1 +
Examples/MarketModels/Makefile.am | 1 +
Examples/MultidimIntegral/Makefile.am | 1 +
Examples/Replication/Makefile.am | 1 +
Examples/Repo/Makefile.am | 1 +
Examples/Swap/Makefile.am | 1 +
Makefile.am | 1 +
ql/Makefile.am | 1 +
test-suite/Makefile.am | 2 ++
commit b2370d2c7877167630b67bfef045c9641a56f714
Date: Mon, 22 Feb 2016 13:34:42 +0100
Rename outputs so that they match the existing names.
Examples/BasketLosses/CMakeLists.txt | 4 ++--
Examples/BermudanSwaption/CMakeLists.txt | 4 ++--
Examples/Bonds/CMakeLists.txt | 4 ++--
Examples/CDS/CMakeLists.txt | 4 ++--
Examples/CallableBonds/CMakeLists.txt | 4 ++--
Examples/ConvertibleBonds/CMakeLists.txt | 4 ++--
Examples/DiscreteHedging/CMakeLists.txt | 4 ++--
Examples/EquityOption/CMakeLists.txt | 4 ++--
Examples/FRA/CMakeLists.txt | 4 ++--
Examples/FittedBondCurve/CMakeLists.txt | 4 ++--
Examples/Gaussian1dModels/CMakeLists.txt | 4 ++--
Examples/LatentModel/CMakeLists.txt | 2 ++
Examples/MarketModels/CMakeLists.txt | 4 ++--
Examples/MultidimIntegral/CMakeLists.txt | 4 ++--
Examples/Replication/CMakeLists.txt | 4 ++--
Examples/Repo/CMakeLists.txt | 4 ++--
Examples/Swap/CMakeLists.txt | 4 ++--
ql/CMakeLists.txt | 2 +-
test-suite/CMakeLists.txt | 4 ++--
commit 5b7ed1ed004b075644011d8666032ef9a548f08c
Date: Mon, 22 Feb 2016 13:32:38 +0100
Let git ignore cmake-related artifacts.
.gitignore | 3 +++
commit 24ebdd4c679475642bda0f2c8e88af358cd08ee2
Merge: da87f17 6e777fc
Date: Sun, 21 Feb 2016 21:19:32 +0100
commit 6e777fc232f0f8ba6efcfd9b2b77e0ee725647ed
Date: Sun, 21 Feb 2016 21:03:09 +0100
Update project files.
test-suite/testsuite.dev | 12 +++++++++++-
test-suite/testsuite.vcxproj.filters | 3 +++
test-suite/testsuite_vc8.vcproj | 4 ++++
test-suite/testsuite_vc9.vcproj | 4 ++++
commit f6a36996343d903f2ed3c9da855b4cb9d43fab30
Date: Sun, 21 Feb 2016 20:56:02 +0100
Add new artifact to .gitignore.
.gitignore | 2 ++
commit e24fa4c78a796724ae35aae7ed384e0a13364b76
Date: Sat, 20 Feb 2016 20:02:15 +0100
add check whether results are available
ql/instruments/swap.hpp | 5 +++++
commit e9e6922b4a58d6dcc9f131bf4959e0361f3880b4
Date: Wed, 17 Feb 2016 13:10:13 +0100
add check for non-empty implementation
ql/time/calendar.cpp | 2 ++
ql/time/calendar.hpp | 4 ++++
commit da87f1735e1cb016dbe046d69533949a00e4c283
Date: Mon, 15 Feb 2016 22:51:29 +0100
Add old dev_tools module as subfolder.
tools/check_all_headers.sh | 9 ++++
tools/check_all_inclusions.sh | 10 ++++
tools/check_all_licenses.sh | 2 +
tools/check_copyrights.sh | 6 +++
tools/check_header.py | 27 +++++++++++
tools/check_inclusions.py | 65 ++++++++++++++++++++++++++
tools/collect_copyrights.py | 40 ++++++++++++++++
tools/sync_projects.sh | 103 ++++++++++++++++++++++++++++++++++++++++++
tools/tgz2zip | 22 +++++++++
tools/version_number.txt | 12 +++++
commit 53f863bcb5e3c6071145a9497cfb257f082ec5ef
Author: Maksym-Studenets <maksym.studenets@gmail.com>
Date: Tue, 9 Feb 2016 21:18:32 +0200
Ukraine holidays updated
Defender's Day (14 October) added as a holiday
ql/time/calendars/ukraine.cpp | 4 +++-
commit c912d71d0caf82a3a3b4563c7bb92349a4d11d57
Date: Tue, 9 Feb 2016 21:12:36 +0200
Ukrainian hryvnia added
ql/currencies/europe.cpp | 13 ++++++++++++-
commit cb10060e595228e549e46eb882e32fc7c9f90aa5
Date: Tue, 9 Feb 2016 21:07:16 +0200
Ukrainian hryvnia added
ql/currencies/europe.hpp | 11 +++++++++++
commit 12c0887803717fc2e1aaa0a104b133d80ffe25e5
Date: Sun, 31 Jan 2016 20:45:35 +0100
fixed HestonSLV test cases, rename HestonSLVModel into HestonSLVFDMModel
QuantLib.vcxproj.filters | 4 +-
ql/experimental/models/all.hpp | 2 +-
ql/experimental/models/hestonslvfdmmodel.cpp | 552 +++++++++++++++++++++
ql/experimental/models/hestonslvfdmmodel.hpp | 112 +++++
ql/experimental/models/hestonslvmodel.cpp | 552 ---------------------
ql/experimental/models/hestonslvmodel.hpp | 112 -----
.../volatility/equityfx/fixedlocalvolsurface.cpp | 7 +-
test-suite/hestonslvmodel.cpp | 317 ++++++------
commit 3d8b8fdcd8b98e87c3f526f9b513cf84a99a72c5
Date: Sun, 31 Jan 2016 16:03:13 +0100
Recompute switchstrike for caplets #328
test-suite/optionletstripper.cpp | 44 +++++++++++++++++++++++++++++++++++++++-
test-suite/optionletstripper.hpp | 2 ++
commit f94a4cec68733f59ae62bfd0949390e84e495e94
Date: Thu, 28 Jan 2016 12:38:18 +0100
avoid a few compiler warnings
ql/cashflows/lineartsrpricer.cpp | 6 ++--
ql/cashflows/lineartsrpricer.hpp | 6 ++--
ql/experimental/catbonds/catrisk.cpp | 2 +-
.../coupons/lognormalcmsspreadpricer.cpp | 2 +-
.../coupons/lognormalcmsspreadpricer.hpp | 2 +-
.../finitedifferences/fdmklugeextouop.cpp | 2 +-
ql/instruments/bonds/cpibond.hpp | 2 +-
ql/instruments/cpicapfloor.hpp | 2 +-
ql/instruments/nonstandardswap.hpp | 8 ++---
.../shortrate/onefactormodels/gaussian1dmodel.cpp | 12 ++++----
.../shortrate/onefactormodels/gaussian1dmodel.hpp | 34 ++++++++++----------
ql/models/shortrate/onefactormodels/gsr.cpp | 4 +--
ql/models/shortrate/onefactormodels/gsr.hpp | 12 ++++----
.../shortrate/onefactormodels/markovfunctional.cpp | 20 ++++++------
.../shortrate/onefactormodels/markovfunctional.hpp | 20 ++++++------
.../swaption/basketgeneratingengine.hpp | 4 +--
.../gaussian1dfloatfloatswaptionengine.cpp | 4 +--
.../gaussian1dfloatfloatswaptionengine.hpp | 4 +--
.../gaussian1dnonstandardswaptionengine.cpp | 4 +--
.../gaussian1dnonstandardswaptionengine.hpp | 4 +--
ql/processes/gsrprocesscore.cpp | 28 ++++++++---------
ql/processes/gsrprocesscore.hpp | 36 +++++++++++-----------
.../volatility/atmadjustedsmilesection.hpp | 4 +--
ql/termstructures/volatility/atmsmilesection.hpp | 4 +--
.../volatility/kahalesmilesection.hpp | 4 +--
ql/termstructures/volatility/smilesection.hpp | 4 +--
ql/termstructures/volatility/smilesectionutils.hpp | 2 +-
.../volatility/spreadedsmilesection.hpp | 8 ++---
.../volatility/swaption/swaptionvolcube.hpp | 2 +-
ql/termstructures/volatility/volatilitytype.hpp | 2 +-
commit 317318bbcb76be052f1951f147899029744cff36
Date: Wed, 27 Jan 2016 10:05:00 +0100
set more appropriate min strike
for shifted lognormal and normal volatilities, zero is no longer

appropriate; since for shifted lognormal volatilities the shift is tenor
dependent we can not set a better value here
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | 2 +-
commit 832ccd8d32c5e3d79fc0502fd61a0265b4b1dac2
Date: Tue, 26 Jan 2016 09:14:27 +0100
expose option date calculation
this is useful not only within the inheritance chain, but also for
client code
ql/termstructures/volatility/swaption/swaptionvolcube2.cpp | 3 +--
ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp | 7 +++++++
commit d6282ca4fee663746bcd11f0802be6f0cd7057d2
Date: Mon, 25 Jan 2016 11:00:16 +0100
fix type
ql/termstructures/volatility/swaption/swaptionvolstructure.hpp | 4 ++--
commit ab1c956fcf577a0a183405c381d0cbc7ec5bb698
Date: Mon, 25 Jan 2016 10:57:19 +0100
use more appropriate default values
ql/termstructures/volatility/swaption/swaptionvolcube.hpp | 4 ++--
commit 19c55d4e42f4a21c9d7754ea92ee6a1a6d59341e
Date: Mon, 25 Jan 2016 10:56:54 +0100
remove local variable, we are using a member here
ql/instruments/swaption.cpp | 2 --
commit 22e83ff06ea1d4aa889b1591994d7d139e7e075f
Date: Sun, 24 Jan 2016 19:26:36 +0100
add implied normal volatility calculation
ql/instruments/swaption.cpp | 31 +++++++++++++++++++++----------
ql/instruments/swaption.hpp | 5 ++++-
commit f2b89fa905bad09f4956070628afa5c2c09fa0da
Date: Sun, 24 Jan 2016 18:51:53 +0100
ongoing work on test cases
test-suite/hestonslvmodel.cpp | 223 ++++++++++++++++++++++++++----------------

test-suite/hestonslvmodel.hpp | 4 +-
commit 2a118faa04c1a24f940ec49d271552fee0e0dc50
Date: Sun, 24 Jan 2016 17:07:37 +0100
test commit to new branch
test-suite/hestonslvmodel.cpp | 4 ++--
commit d83595167bb6e7a4f872a53e0e060d2c4d3101c1
Date: Fri, 22 Jan 2016 21:47:49 +0100
added fix of min take for swing option
.../finitedifferences/stepconditions/fdmsimpleswingcondition.cpp | 2 +-
test-suite/vpp.cpp | 3 ++-
commit 88b316d12376c59778d95ed28342d0300fa0b446
Date: Mon, 18 Jan 2016 13:24:10 +0100
Increase version number on 1.7.x branch.
Announce.txt | 2 +-
configure.ac | 2 +-
ql/version.hpp | 8 ++++----
commit 1e4a1b2158144a8c0449b3b075557e96ea20a239
Date: Sun, 17 Jan 2016 21:08:24 +0100
added forward skew example
test-suite/hestonslvmodel.cpp | 140 +++++++++++++++++++++++++++++++++++++++++-

test-suite/hestonslvmodel.hpp | 1 +
commit d15c0da43e2b53adc59daec77c6e05a4074be399
Date: Sat, 16 Jan 2016 12:19:53 +0100
use boost::interprocess without librt on OSX
acinclude.m4 | 107 ++++-----

test-suite/paralleltestrunner.hpp | 482 +++++++++++++++++++-------------------
commit e59eb77338e8a7c08fa439818e30d442931ca638
Date: Sat, 16 Jan 2016 12:19:53 +0100
formatting
test-suite/paralleltestrunner.hpp | 482 +++++++++++++++++++-------------------

commit 09181962a8a33316f9a0ef335310c0b8ba6a27fd
Date: Sat, 16 Jan 2016 11:54:42 +0100
added parallel unit test runner for Windows and Linux
acinclude.m4 | 121 ++++++++--

configure.ac | 34 ++-
ql/qldefines.hpp | 7 +
ql/userconfig.hpp | 5 +
test-suite/Makefile.am | 4 +-
test-suite/inflationcpibond.cpp | 2 +
test-suite/paralleltestrunner.hpp | 494 ++++++++++++++++++++++++++++++++++++++
test-suite/quantlibtestsuite.cpp | 9 +
test-suite/testsuite.vcxproj | 1 +
commit fce66819ca4e57635e90e68336a769a3578b52ee
Date: Sat, 16 Jan 2016 11:54:42 +0100
added parallel unit test runner for Windows and Linux
acinclude.m4 | 121 +++++++++++++++++++++++++++++++--------

configure.ac | 34 +++++++++--
ql/qldefines.hpp | 7 +++
ql/userconfig.hpp | 5 ++
test-suite/Makefile.am | 4 +-
test-suite/inflationcpibond.cpp | 2 +
test-suite/quantlibtestsuite.cpp | 9 +++
commit 64659ccf700103432a586be530f35be6337a16b8
Author: Dmitri Nesteruk <dmitrinesteruk@gmail.com>
Date: Wed, 13 Jan 2016 02:44:44 +0300
initial cmake support
CMakeLists.txt | 8 ++++++++
Examples/BasketLosses/CMakeLists.txt | 2 ++
Examples/BermudanSwaption/CMakeLists.txt | 2 ++
Examples/Bonds/CMakeLists.txt | 2 ++
Examples/CDS/CMakeLists.txt | 2 ++
Examples/CMakeLists.txt | 17 +++++++++++++++++
Examples/CallableBonds/CMakeLists.txt | 2 ++
Examples/ConvertibleBonds/CMakeLists.txt | 2 ++
Examples/DiscreteHedging/CMakeLists.txt | 2 ++
Examples/EquityOption/CMakeLists.txt | 2 ++
Examples/FRA/CMakeLists.txt | 2 ++
Examples/FittedBondCurve/CMakeLists.txt | 2 ++
Examples/Gaussian1dModels/CMakeLists.txt | 2 ++
Examples/LatentModel/CMakeLists.txt | 0
Examples/MarketModels/CMakeLists.txt | 2 ++
Examples/MultidimIntegral/CMakeLists.txt | 2 ++
Examples/Replication/CMakeLists.txt | 2 ++
Examples/Repo/CMakeLists.txt | 2 ++
Examples/Swap/CMakeLists.txt | 2 ++
ql/CMakeLists.txt | 2 ++
test-suite/CMakeLists.txt | 12 ++++++++++++
commit aaa5deabff86ac2f2c667ef7ce955dca0bc85efa
Date: Sat, 9 Jan 2016 19:09:44 +0100
removed duplicated code
ql/experimental/processes/hestonslvprocess.cpp | 21 ---------------------
commit 77a4dc042870c3cf651b54bfb7ed360d2ac5e4ba
Merge: 72c2cbd 5efed74
Date: Fri, 8 Jan 2016 17:39:41 +0100
commit 72c2cbde987d62e3a8fa281e8da30a8c9d75b238
Merge: f853a8c bbb10f5
Date: Fri, 8 Jan 2016 16:47:05 +0100
commit f853a8cbaf88b2c3d106afb5136e7b6ed5bb4de0
Merge: e6c4cc3 44161f5
Date: Fri, 8 Jan 2016 16:06:38 +0100
commit e6c4cc394718457d852ff95ed0ef9fac2ccf9d42
Merge: dbd3f8d d190959
Date: Fri, 8 Jan 2016 15:38:56 +0100
commit dbd3f8d8c0c4ebe613b03070f99c5a01a83e64ad
Date: Thu, 7 Jan 2016 16:51:30 +0100
Revamp Readme.
Also, add a Markdown version for display on GitHub. Unfortunately,

there's no automatic way to keep the two in sync as far as I know.
README.md | 62 +++++++++++++++++++++++++++++++++++++++++++++++
Readme.txt | 82 +++++++++++++++++++++++++++++++++++---------------------------
commit c3739972ddc6531759bb01b0ac0966c016464599
Date: Sat, 2 Jan 2016 23:55:16 +0100
added Heston stochastic local vol double barrier engine (double no

touch)
ql/experimental/finitedifferences/Makefile.am | 2 +
ql/experimental/finitedifferences/all.hpp | 1 +
.../fdhestondoublebarrierengine.cpp | 120 +++++++++++++
.../fdhestondoublebarrierengine.hpp | 67 +++++++
test-suite/doublebarrieroption.cpp | 28 +++
test-suite/hestonslvmodel.cpp | 195 ++++++++++++++++-----
commit 9e522556893236db780e722ece8274b6707ba09b
Author: Andres-Hernandez <al252130@googlemail.com>
Date: Sat, 2 Jan 2016 21:29:31 +0100
Differential Evolution
At least one dimension needs to be taken from intermediary agent.
ql/experimental/math/fireflyalgorithm.cpp | 4 +++-
commit 2ba8c098be508f76ee59ff99d1db33a4119d7366
Date: Sat, 2 Jan 2016 20:48:52 +0100
vcproj
Added files to QuantLib.vcxproj
QuantLib.vcxproj | 10 +++++++++-
QuantLib.vcxproj.filters | 24 ++++++++++++++++++++++++
commit b6cb031af51fb5fff2148938596315a4cdc5c3e6
Date: Fri, 1 Jan 2016 22:56:05 +0100
Global Optimizers
4 Different Global Optimizers with various flavours: simulated
annealing, particle swarm optimization, firefly algorithm, and
differential evolution.
Hybrid Simulated Annealing: a Boltzmann-like simulated annealing

optimizer, and which also takes a possible local optimizer to run upon
finding a new best solution.
Particle Swarm Optimization (PSO) of different varieties

- Canonical PSO (with constriction factor or inertia factor)
- Three different topologies are provided: global, k-neighbors, and
clubs
- Different inertia implementations are provided: trivial constant
inertia, simple random inertia, decreasing inertia by iteration,
adaptive inertia, and a levy flight inertia.
A hybrid Firefly Algorithm (FA) that mixes FA with a Differential

Evolution (DE) optimizer. The population is divided into two
subpopulations ordered by the value. Each iteration, the population with
the best solutions is evolved according to FA, the other subpopulation
is evolved according to DE. The size of the subpopulations are
controlled parameters, and if the subpopulation of FA is set to 0, then
the optimizer defaults to a fully fledged DE.
- Two different intensities are provided: exponential and inverse square
law
- Three different random walk noises are provided: gaussian random walk,
levy flight random walk, and a gaussian random walk with decreasing step
size as the number of iterations continue.
Two extra files contain helper classes:

-IsotropicRandomWalk is a random walk, whose every step is taken
randomly from a d-dimensional sphere, with the radius of the sphere
sampled from a distribution provided as a template parameter
-LevyFlightDistribution is a distribution that implements a levy flight
distribution, a.k.a. Pareto Type I, and which is fully compatible with
Boost Random.
ql/experimental/math/fireflyalgorithm.cpp | 229 ++++++++++++
ql/experimental/math/fireflyalgorithm.hpp | 277 ++++++++++++++
ql/experimental/math/hybridsimulatedannealing.hpp | 224 +++++++++++
.../math/hybridsimulatedannealingfunctors.hpp | 398 ++++++++++++++++++++
ql/experimental/math/isotropicrandomwalk.hpp | 108 ++++++
ql/experimental/math/levyflightdistribution.hpp | 199 ++++++++++
ql/experimental/math/particleswarmoptimization.cpp | 394 +++++++++++++++++++
ql/experimental/math/particleswarmoptimization.hpp | 415 +++++++++++++++++++++
commit 2ce120eb3c41ba22e92e68ad476e562f00fc0a4f
Author: Nick White <nwhite@palantir.com>
Date: Fri, 1 Jan 2016 00:11:30 +0000
Generate pkg-config File
Installs a metadata file for the pkg-config helper tool.
.gitignore | 1 +
Makefile.am | 3 +++
configure.ac | 1 +
quantlib.pc.in | 10 ++++++++++
commit 5efed7410bb6c0441efa10505ebcaaab090c3497
Date: Thu, 31 Dec 2015 17:40:49 +0100
fix at the money calculation
ql/instruments/makeswaption.cpp | 12 +++++++-----
commit 6cc273dc3a904dab95b30bbe129b7645532a4114
Date: Wed, 30 Dec 2015 21:13:43 +0100
added Monte-Carlo calibration for SLV models
ql/experimental/models/all.hpp | 1 +
ql/experimental/models/hestonslvmcmodel.cpp | 191 +++++++++++++
ql/experimental/models/hestonslvmcmodel.hpp | 76 +++++
ql/experimental/processes/Makefile.am | 2 +
ql/experimental/processes/all.hpp | 1 +
ql/experimental/processes/hestonslvprocess.cpp | 145 ++++++++++
ql/experimental/processes/hestonslvprocess.hpp | 82 ++++++
.../vanilla/mceuropeanhestonengine.hpp | 86 +++---
.../volatility/equityfx/fixedlocalvolsurface.cpp | 45 +++
.../volatility/equityfx/fixedlocalvolsurface.hpp | 4 +
test-suite/README.txt | 5 -
test-suite/hestonslvmodel.cpp | 314 +++++++++++++++++++++
commit e836098f092e342392b3a62b78014799bf4a7836
Author: Pepe <japari@free.fr>
Date: Tue, 22 Dec 2015 18:56:35 +0100
Moved code from old ql fork
.gitignore | 1 +
Examples/CVAIRS/CVAIRS.cpp | 269 +++++++++++++++++++++++++++++++
Examples/CVAIRS/Makefile.am | 31 ++++
Examples/Makefile.am | 1 +
configure.ac | 1 +
ql/pricingengines/swap/Makefile.am | 2 +
ql/pricingengines/swap/all.hpp | 1 +
ql/pricingengines/swap/cvaswapengine.cpp | 222 +++++++++++++++++++++++++
ql/pricingengines/swap/cvaswapengine.hpp | 125 ++++++++++++++
commit bbb10f5dbb5bc918933260f005fef387d19a0301
Author: Cheng Li <scrappedprince.li@gmail.com>
Date: Fri, 18 Dec 2015 10:33:53 +0800
updated china calendar fotr the year 2016

ql/time/calendars/china.cpp | 15 ++++++++++++++-
ql/time/calendars/china.hpp | 2 +-
commit 45b1dece669f0fc156866ed7f9ba4d67e7cc8375
Date: Thu, 17 Dec 2015 18:25:06 +0100
Add .gitignore file after splitting.
.gitignore | 95 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
commit d1909593d9f36c6703966460fb48773792facd7e
Author: Matt <MattPD@users.noreply.github.com>
Date: Mon, 7 Dec 2015 19:29:55 +0100
Remove hardcoded dependence from the FRA sample.
This removes a hardcoded ` -lboost_thread` flag -- which is superfluous due to

the already-present `${BOOST_THREAD_LIB}` and breaks builds where the binary file
for the Boost.Thread library is named differently.
Context: It seems it's been introduced w/ the thread-safe observer:

https://github.com/lballabio/quantlib/blame/master/QuantLib/Examples/FRA/Makefile.a
m#L11
Examples/FRA/Makefile.am | 2 +-
commit 31bbf32a6d65f2f922cca3a593602f8e93af32b7
Author: sfondi <stefanofondi.mail@gmail.com>
Date: Wed, 2 Dec 2015 10:27:12 +0100
LogMixedLinearCubic interpolation added
ql/math/interpolations/loginterpolation.hpp | 142 ++++++++++++++++++++++++++

ql/math/interpolations/mixedinterpolation.hpp | 11 +-
commit 44161f5e16d24e4e8ba00188732202a900dd74b8
Author: nesteruk (Dmitri Nesteruk) <dmitrinesteruk@gmail.com>
Date: Thu, 26 Nov 2015 11:36:52 +0300
fix bugs + 2016 calendar
ql/time/calendars/russia.cpp | 18 ++++++++++++++++--
test-suite/calendars.cpp | 3 ++-
commit 3ed54c86f7df37fd15fee23b4ad5c3d314b22c3f
Author: nesteruk (Dmitri Nesteruk) <dmitrinesteruk@gmail.com>
Date: Thu, 26 Nov 2015 11:19:28 +0300
russian calendar unit tests
ql/time/calendars/russia.cpp | 1 +
test-suite/calendars.cpp | 605 +++++++++++++++++++++++++++++++++++++++++++
test-suite/calendars.hpp | 2 +-
commit b865ec0c1694309c61f067315af0e9300bac6ffa
Date: Wed, 25 Nov 2015 12:41:31 +0100
add Laplace interpolation
ql/experimental/math/laplaceinterpolation.hpp | 170 ++++++++++++++++++++++++++
commit 8704838d303b7f021d389e2e7fd81ed264425ebc
Author: Prof. Jayanth R Varma <jrvarma@gmail.com>
Date: Tue, 24 Nov 2015 17:59:29 +0530
Improved Saudi Arabia calendar (no rename)
The Saudi Arabian (Tadawul Exchange) calendar in QuantLib has not been updated
since 2011 and does not reflect the change in the weekend (from Thu/Fri to Fri/Sat)
that was made in 2013. Also, the data on the Eid holidays (which varies from year
to year) are available sparsely for 2004-2011 only.
This patch is an attempt to improve the QuantLib implementation of the Saudi

calendar. It implements the change in the weekend and also populates the Eid dates
for about 30 years using public sources. This is still imperfect as it assumes that
the Eid holidays are for a fixed number of days around the actual Eid dates, though
in practice the duration of the holidays also varies. Also one-off holidays are
ignored.
The Saudi Arabian (Tadawul Exchange) calendar in QuantLib has not been updated
since 2011 and does not reflect the change in the weekend (from Thu/Fri to Fri/Sat)
that was made in 2013. Also, the data on the Eid holidays (which varies from year
to year) are available sparsely for 2004-2011 only.
This pull request is an attempt to improve the QuantLib implementation of the

Saudi calendar. It implements the change in the weekend and also populates the Eid
dates for about 30 years using public sources. This is still imperfect as it
assumes that the Eid holidays are for a fixed number of days around the actual Eid
dates, though in practice the duration of the holidays also varies. Also one-off
holidays are ignored.
The Saudi calendar is not of much financial importance, but I find it very
useful for educational purposes. I use it as a reminder to my students that even
the most trivial assumptions (like weekend is Sat/Sun) should not be taken for
granted. Hence an updated Saudi calendar even if imperfect would be useful.
ql/time/calendars/saudiarabia.cpp | 122 +++++++++++++++++++++++++++++++++-----

commit 48154521cdd40df515c87b9b72d5bf8a24c76a3d
Date: Mon, 23 Nov 2015 13:41:45 +0100
Bump version number to 1.8.
Announce.txt | 2 +-
configure.ac | 2 +-
ql/version.hpp | 8 ++++----
commit eaabc384e6197e5dced69d6f3be531232cbd30a7
Date: Thu, 19 Nov 2015 16:01:32 +0100
fix error initialization, remove whitespaces
without the error initialization the algorithm might exit throwing a

"could not converge" exception in case the guess already solves the
system, since then rho is zero before error is computed
ql/math/matrixutilities/bicgstab.cpp | 28 ++++++++++++++--------------
commit 46781f1fa4ebcb8540e70c8d90dd7b013c2c5af6
Date: Thu, 19 Nov 2015 12:39:39 +0100
add boost-style element access and size
ql/math/matrix.hpp | 17 ++++++++++++++++-
commit fd3989fdb6042dd7743ec2109677ddb0f9dcdbfd
Date: Tue, 17 Nov 2015 13:11:51 +0100
remove carriage returns
ql/math/optimization/differentialevolution.cpp | 718 ++++++++++++-------------

commit e3564eb266f33d6e148b43876900c13089643a51
Date: Fri, 6 Nov 2015 13:14:55 +0100
add formula reference
ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 2 +-
commit 393caa90399a976c508a1e79ff68c97ed3ca726e
Date: Fri, 6 Nov 2015 13:09:11 +0100
add references
ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 4 ++--
ql/experimental/coupons/lognormalcmsspreadpricer.hpp | 8 ++++++++
commit 0a94c4bcf5cedc8b234e60833fe48ee8b7f47b2d
Merge: 297eaa0 b4e4c40
Date: Tue, 3 Nov 2015 23:19:02 +0100
merge from luigi's master

commit 53e1bb938042878930e5ccbbcbdcfd575523d078
Date: Mon, 2 Nov 2015 15:26:44 +0100
handle shifted lognormal and normal dynamics
.../coupons/lognormalcmsspreadpricer.cpp | 139 +++++++++++++++------

.../coupons/lognormalcmsspreadpricer.hpp | 25 +++-
commit 4735a4a8da0594aad63622360bf56191d6ca4b26
Date: Wed, 28 Oct 2015 22:54:11 +0100
removed redundant std::cout
ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.cpp | 2 --
commit 155f00057cd731037e51214e00381659904109a4
Date: Wed, 28 Oct 2015 22:50:02 +0100
added test case for stochastic local vol calibration and barrier pricing
ql/termstructures/volatility/equityfx/Makefile.am | 4 +
ql/termstructures/volatility/equityfx/all.hpp | 2 +
.../volatility/equityfx/fixedlocalvolsurface.cpp | 6 -
.../volatility/equityfx/fixedlocalvolsurface.hpp | 2 -
.../equityfx/gridmodellocalvolsurface.cpp | 107 +++++++++
.../equityfx/gridmodellocalvolsurface.hpp | 69 ++++++
.../volatility/equityfx/hestonblackvolsurface.cpp | 125 +++++++++++
.../volatility/equityfx/hestonblackvolsurface.hpp | 55 +++++
test-suite/hestonslvmodel.cpp | 241 ++++++++++++++++++++-
commit 4ad29981d29bf1d157b9257bd7b88964eeba5e1d
Date: Tue, 20 Oct 2015 20:47:32 +0200
added Barrier option pricing engine for Heston local Volatility model
ql/pricingengines/barrier/fdhestonbarrierengine.cpp | 9 ++++++---
ql/pricingengines/barrier/fdhestonbarrierengine.hpp | 6 +++++-
ql/pricingengines/barrier/fdhestonrebateengine.cpp | 9 ++++++---
ql/pricingengines/barrier/fdhestonrebateengine.hpp | 6 +++++-
commit 60e0d95a65f2b942783d1a5aced56f039b1fb58c
Merge: 2e06101 0218f68
Date: Tue, 20 Oct 2015 19:23:31 +0200
merge from luigi's master and resolve merge conflict in fdheston.*

commit 661d41923d5233f545643e4a419bf18ad4d9b55e
Date: Sun, 18 Oct 2015 19:11:40 +0200
fix cases that fail on 18-Oct-2015, fix configure
configure should be executed before the output message is generated

since it contains the evaluation date
test-suite/chooseroption.cpp | 2 +-
test-suite/digitalcoupon.cpp | 2 +-
test-suite/quantlibtestsuite.cpp | 4 ++--
commit 090e8d8d44a05dd0c0382e2820e53ae28329590b
Date: Sat, 17 Oct 2015 15:45:58 +0200
fix BSStdDevs option for normal volatility input
ql/cashflows/lineartsrpricer.cpp | 28 ++++++++++++++++++----------
ql/cashflows/lineartsrpricer.hpp | 3 +++
commit 2e06101c63c43ec34aefbdca11c1fc3bbdfa82b5
Merge: 880d3c3 8c2b67d
Date: Thu, 15 Oct 2015 18:55:49 +0200
merge with master
commit efc3a38ad2012c5f65d616fef748468dbd1a2d16
Date: Mon, 5 Oct 2015 21:57:37 +0200
Avoiding additional include ... this time for real.
ql/termstructures/volatility/optionlet/optionletstripper1.hpp | 1 -
1 file changed, 1 deletion(-)
commit bc9a0727e2cca0fd138c4cbd5949aea6c6cb7035
Date: Mon, 5 Oct 2015 20:42:54 +0200
Avoid additional include.
ql/termstructures/volatility/optionlet/optionletstripper1.cpp | 3 ++-
ql/termstructures/volatility/optionlet/optionletstripper1.hpp | 4 +++-
commit eb75341a972884ed3501b6606ad8401f2db7c564
Date: Sun, 4 Oct 2015 11:55:44 +0200
replace tabs by spaces
ql/experimental/math/Makefile.am | 6 +++---
commit 07d583471c18b6017f9384975321724fbdc6800c
Date: Sat, 3 Oct 2015 20:38:49 +0200
Making fix consistent.
Adding copyright note
.../volatility/optionlet/optionletstripper1.cpp | 34 ++++++++++------------
.../volatility/optionlet/optionletstripper1.hpp | 4 ++-
commit 01ec0932848fb296d2794e876d878f5a38810dc5
Date: Sat, 3 Oct 2015 16:37:56 +0200
add piecewise integral and function
ql/experimental/math/piecewisefunction.hpp | 46 +++++++++++++
ql/experimental/math/piecewiseintegral.cpp | 39 +++++++++++
ql/experimental/math/piecewiseintegral.hpp | 107 +++++++++++++++++++++++++++++
test-suite/integrals.cpp | 49 +++++++++++++
test-suite/integrals.hpp | 1 +
commit 267d089cce4a7aa3b5302e0d116827548f7d1c2b
Date: Sat, 3 Oct 2015 10:20:10 +0200
Recompute switchstrike for caplets
Fixing issue with switch strike computation in caplet stripping. Previous

implementation ignored recalculation of the switchstrike in case of a *moving*
forward curve.
ql/termstructures/volatility/optionlet/optionletstripper1.cpp | 2 +-
commit 201a11518094b1a321c51e1f64ba1238a16d7a95
Date: Thu, 24 Sep 2015 20:23:28 +0200
fix date initialization
these dates actually refer to the evaluation date, not the system date
test-suite/asianoptions.cpp | 27 +++++++++++++--------------
test-suite/compoundoption.cpp | 4 ++--
commit 86ea7770217938e6ba46b87ec78260fffd012a0b
Date: Sat, 19 Sep 2015 12:13:49 +0200
change test vol surface to make it more realistic
test-suite/hestonslvmodel.cpp | 14 +++++++-------
commit 6bb56b7b7478d097123e319647abe2a053a5b047
Date: Fri, 18 Sep 2015 14:36:27 +0200
remove tabs
ql/experimental/finitedifferences/fdmhestonfwdop.cpp | 6 +++---
commit ab3b44d4caed0c637053c1dffa12d57c0ddbbb02
Date: Fri, 18 Sep 2015 12:45:18 +0200
remove tabs
.../finitedifferences/fdmhestonfwdop.cpp | 34 +++++++++++-----------
commit 80ff4b78bd255cef6eed5099220ea00726938ff2
Date: Fri, 18 Sep 2015 11:36:04 +0200
enable testsuite
test-suite/quantlibtestsuite.cpp | 286 +++++++++++++++++++--------------------
commit 1a285b6987bf76541ca8bc439ea248636e672170
Date: Sun, 13 Sep 2015 21:01:49 +0200
revert change and back up the settings
test-suite/forwardoption.cpp | 4 +++-
commit c75a07539277b62810106d5dbc73eac8229559f0
Date: Sun, 13 Sep 2015 20:15:58 +0200
freeze evaluation date for test case
test-suite/forwardoption.cpp | 3 +--
commit e399dcd4e4ea3be2d4065cf4aa656d4480309c34
Date: Sun, 13 Sep 2015 20:15:39 +0200
freeze evaluation date, output settings
test-suite/quantlibtestsuite.cpp | 21 ++++++++++++++++++---
commit dd796572405de5436d1302676b92b83b28da01ac
Date: Sun, 13 Sep 2015 20:15:01 +0200
add description for settings
ql/settings.hpp | 12 ++++++++++++
commit 587ae882842fcee0c125629a0fd9cd11dc5d4de1
Date: Wed, 9 Sep 2015 17:39:15 +0200
added include
ql/experimental/models/hestonslvmodel.hpp | 1 +
commit eeb36518485a96210095cb14d19e77dbd5eec734
Date: Tue, 8 Sep 2015 23:18:10 +0200
added noexceptlocalvolsurface to replace illegalvoloverride

added test case for propability logging
.../finitedifferences/fdmlocalvolfwdop.cpp | 15 +-
.../finitedifferences/fdmlocalvolfwdop.hpp | 2 -
.../finitedifferences/localvolrndcalculator.cpp | 20 +--
.../finitedifferences/localvolrndcalculator.hpp | 3 -
ql/experimental/models/hestonslvmodel.cpp | 75 +++++-----
ql/experimental/models/hestonslvmodel.hpp | 3 +-
ql/termstructures/volatility/equityfx/Makefile.am | 3 +-
.../equityfx/noexceptlocalvolsurface.hpp | 67 +++++++++
test-suite/hestonslvmodel.cpp | 164 +++++++++++++++++----
commit a62c4722fd30db6fdbebc2db42d82923f6bd15b1
Date: Sat, 5 Sep 2015 18:28:10 +0200
minor cleanup
.../finitedifferences/fdmsquarerootfwdop.cpp | 33 +-----
.../finitedifferences/fdmsquarerootfwdop.hpp | 2 +-
.../meshers/concentrating1dmesher.cpp | 118 ++++++++++-----------
test-suite/hestonslvmodel.cpp | 12 +--
commit 266318ac33e4e20ab93422a7bdf16abf049b62cd
Date: Sat, 5 Sep 2015 17:58:39 +0200
updated visual studio project files
QuantLib.vcxproj | 18 ++++++++++++
QuantLib.vcxproj.filters | 57 ++++++++++++++++++++++++++++++++++++
test-suite/testsuite.vcxproj | 4 +++
test-suite/testsuite.vcxproj.filters | 16 ++++++++--
commit 524c82fc8a3a2d272415a8757fa0d4462597e07e
Date: Wed, 2 Sep 2015 23:57:13 +0200
applying Peters patch for the concentrated mesher

fixed definition of leverageFct_
.../finitedifferences/fdmhestonfwdop.hpp | 2 +-
.../meshers/concentrating1dmesher.cpp | 132 +++++++++++----------
test-suite/hestonslvmodel.cpp | 27 ++---
commit fc5e1917e753672b3295161325c14eabfe8acf91
Date: Tue, 1 Sep 2015 20:34:13 +0200
cleanup
.../finitedifferences/fdmhestonfwdop.cpp | 2 -
.../riskneutraldensitycalculator.cpp | 1 -
ql/experimental/models/hestonslvmodel.cpp | 46 +++++++--------
ql/experimental/models/hestonslvmodel.hpp | 13 +++++
.../meshers/concentrating1dmesher.cpp | 1 -
test-suite/hestonslvmodel.cpp | 68 ++++++++++------------
commit cf4c27059daf663bc143daeb4cdc7f949b1035fb
Date: Tue, 1 Sep 2015 18:06:18 +0200
suppress vc 2010 warnings
test-suite/hestonslvmodel.cpp | 7 +++----
commit 72e7dd0a47be33aa7172ebe03fedf6f102a563b9
Date: Sun, 30 Aug 2015 17:00:36 +0200
vs 2015 fixes
ql/experimental/finitedifferences/fdmlocalvolfwdop.cpp | 2 +-
ql/models/model.hpp | 0
test-suite/hestonslvmodel.cpp | 10 +++++-----
test-suite/quantlibtestsuite.cpp | 2 +-
commit 9b83e93a5c0b1cccc74077e8aa4413ec4df4e95c
Date: Sat, 29 Aug 2015 20:07:18 +0200
tab formatting
.../exoticoptions/analyticpdfhestonengine.cpp | 16 +-
.../finitedifferences/bsmrndcalculator.cpp | 60 +-
.../finitedifferences/bsmrndcalculator.hpp | 28 +-
.../finitedifferences/fdmblackscholesfwdop.cpp | 76 +-
.../finitedifferences/fdmhestongreensfct.cpp | 158 ++--
.../finitedifferences/fdmhestongreensfct.hpp | 12 +-
.../finitedifferences/fdmlocalvolfwdop.cpp | 62 +-
.../finitedifferences/fdmlocalvolfwdop.hpp | 8 +-
.../finitedifferences/fdmsquarerootfwdop.cpp | 2 +-
.../finitedifferences/hestonrndcalculator.cpp | 252 +++----
.../finitedifferences/hestonrndcalculator.hpp | 36 +-
.../finitedifferences/localvolrndcalculator.cpp | 600 +++++++--------
.../riskneutraldensitycalculator.cpp | 48 +-
.../riskneutraldensitycalculator.hpp | 44 +-
.../squarerootprocessrndcalculator.cpp | 64 +-
.../squarerootprocessrndcalculator.hpp | 34 +-
.../finitedifferences/operators/fdmhestonop.cpp | 42 +-
.../finitedifferences/operators/fdmhestonop.hpp | 4 +-
.../operators/triplebandlinearop.cpp | 12 +-
.../operators/triplebandlinearop.hpp | 4 +-
.../finitedifferences/solvers/fdmhestonsolver.hpp | 2 +-
.../utilities/fdmmesherintegral.hpp | 2 +-
.../vanilla/fdhestonvanillaengine.hpp | 4 +-
.../volatility/equityfx/fixedlocalvolsurface.cpp | 112 +--
.../volatility/equityfx/fixedlocalvolsurface.hpp | 2 +-
test-suite/hestonslvmodel.cpp | 288 ++++----
test-suite/riskneutraldensitycalculator.cpp | 822 ++++++++++-----------
test-suite/riskneutraldensitycalculator.hpp | 8 +-
commit 45b4784cd78c116dcf804ecf2f55e7e241fc7f80
Date: Sat, 29 Aug 2015 19:40:22 +0200
suppress warning
ql/experimental/models/hestonslvmodel.cpp | 5 ++---
commit 7ff23177d3c0135787bcf3dc230aacd091d25a20
Date: Sat, 29 Aug 2015 18:32:34 +0200
fixed test case
test-suite/riskneutraldensitycalculator.cpp | 4 ++--
commit acdbc666395a9a1ddbff5896c404bb68557b8028
Date: Sat, 29 Aug 2015 18:16:18 +0200
fixed some vc15 warnings
.../finitedifferences/localvolrndcalculator.cpp | 2 +-
.../meshers/concentrating1dmesher.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 33 +++++++++++-----------
test-suite/hestonslvmodel.hpp | 1 -
test-suite/riskneutraldensitycalculator.hpp | 2 +-
commit d822d7e7d8af92625a46102e94ea44cc5f9f9528
Date: Sat, 29 Aug 2015 17:29:15 +0200
moved hestonslvmodel to experimental folder
configure.ac | 1 +
ql/experimental/Makefile.am | 3 +-
ql/experimental/all.hpp | 1 +
ql/experimental/models/Makefile.am | 25 ++
ql/experimental/models/all.hpp | 5 +
ql/experimental/models/hestonslvmodel.cpp | 558 ++++++++++++++++++++++++++++++
ql/experimental/models/hestonslvmodel.hpp | 99 ++++++
ql/models/equity/Makefile.am | 2 -
ql/models/equity/all.hpp | 1 -
ql/models/equity/hestonslvmodel.cpp | 558 ------------------------------
ql/models/equity/hestonslvmodel.hpp | 99 ------
commit d296543af923ea82037601a30c351b1b3552a043
Date: Sat, 29 Aug 2015 16:35:01 +0200
added power scheme
ql/models/equity/hestonslvmodel.cpp | 93 ++++++++++++++++++++++++++++---------
ql/models/equity/hestonslvmodel.hpp | 4 +-
test-suite/hestonslvmodel.cpp | 52 +++++++++++++--------
commit b5db272f60c007aedfbe2a5c81ee2ca3f7f45609
Date: Mon, 24 Aug 2015 15:48:34 +0200
improved parameters to cover otm and itm options
.../finitedifferences/localvolrndcalculator.cpp | 30 +-
.../finitedifferences/localvolrndcalculator.hpp | 7 +-
ql/models/equity/hestonslvmodel.cpp | 67 +-
test-suite/hestonslvmodel.cpp | 752 +++------------------
commit e7a64c6adcc5474bc3c6f79910b40017a8ddfd13
Date: Sun, 23 Aug 2015 11:40:50 +0200
align the design
.../volatility/swaption/spreadedswaptionvol.hpp | 6 +-
.../volatility/swaption/swaptionconstantvol.hpp | 20 ++--
.../volatility/swaption/swaptionvolcube.hpp | 16 ++--
.../volatility/swaption/swaptionvolmatrix.hpp | 22 +++--
.../volatility/swaption/swaptionvolstructure.hpp | 102 +++++++++++++++++++--
commit 236be3c55fed6333e9fa1a97785a1564c84ad172
Date: Tue, 18 Aug 2015 02:03:54 +0200
use local vol fokker planck equation estimate important region
.../finitedifferences/localvolrndcalculator.cpp | 24 ++++++++++++++--------
ql/models/equity/hestonslvmodel.cpp | 21 ++++++-------------
commit e830b349f9eee9edfaf0f515007c732b2ece46d6
Date: Sun, 16 Aug 2015 21:14:37 +0200
refactoring
ql/models/equity/hestonslvmodel.cpp | 204 +++++++++++++-----------------------

ql/models/equity/hestonslvmodel.hpp | 4 +
commit 51f064e98633de8d1b76ce24fbc29e79541fa18f
Date: Sat, 15 Aug 2015 20:41:08 +0200
fixed variance mesher rescale bug
ql/models/equity/hestonslvmodel.cpp | 193 ++++++++++++++++--------------------

commit 580b5494f6d5487d7b3c65945d267c673a7b9f65
Date: Thu, 6 Aug 2015 15:15:29 +0200
time dependend \nu-grid
ql/models/equity/hestonslvmodel.cpp | 74 +++++++++++-----------
ql/models/equity/hestonslvmodel.hpp | 1 +
.../volatility/equityfx/fixedlocalvolsurface.cpp | 20 +++---
test-suite/hestonslvmodel.cpp | 25 ++++++--
commit 8b51f6b280baae72a5e1cedafe622296a03b080d
Date: Wed, 5 Aug 2015 08:38:14 +0200
avoid c++11
ql/pricingengines/swaption/blackswaptionengine.hpp | 4 ++--
commit cc85385883b72644d1f7a2452378ce6ba5a6b686
Date: Wed, 29 Jul 2015 19:41:59 +0200
fix variance computation
ql/processes/blackscholesprocess.cpp | 2 +-
commit ba778acc01dca747eccdf41863d7d29c6811c5bb
Date: Wed, 29 Jul 2015 19:38:50 +0200
fix formula for expectation
ql/processes/blackscholesprocess.cpp | 9 +++++----
commit a5303749fd1b96e1d5f4557c25f34faa6079122a
Date: Wed, 29 Jul 2015 09:40:18 +0200
compute standard deviation, variance and expectation in exact terms for curves
ql/processes/blackscholesprocess.cpp | 52 +++++++++++++++++++++++++++++-------
ql/processes/blackscholesprocess.hpp | 8 +++---
commit 593b3f0a18af606f4e17761eff6fc88813956535
Date: Thu, 23 Jul 2015 08:46:22 +0200
experimental linear extension when reshaping
ql/models/equity/hestonslvmodel.cpp | 39 +++++++++++++++++++++++++++++++++++--
commit 36de94352acf98431079999224a073b9b863c590
Date: Thu, 16 Jul 2015 19:57:38 +0200
First version with enabled calibration - not yet optimized
.../finitedifferences/solvers/fdmhestonsolver.cpp | 2 +-
ql/models/equity/hestonslvmodel.cpp | 300 +++++++++++++++---
.../vanilla/fdhestonvanillaengine.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 334 +++++++++++++++++----
commit 51c0aec06d667eb390cf07e5805e48b84a7652e6
Date: Fri, 26 Jun 2015 12:20:53 +0200
change tab to space
ql/models/equity/hestonslvmodel.hpp | 4 ++--
commit dc0d8d5f41373ca68eafa2cb3d723720b02fd1c3
Date: Wed, 24 Jun 2015 00:52:44 +0200
reshaping of two dimensional lattice functions
.../finitedifferences/localvolrndcalculator.cpp | 1 -
ql/models/equity/hestonslvmodel.cpp | 149 ++++++++++++++++++---
.../volatility/equityfx/fixedlocalvolsurface.cpp | 57 +++++++-
.../volatility/equityfx/fixedlocalvolsurface.hpp | 18 ++-
commit 67601034e66fcd69d1733ce90fdd2be0be7271f3
Date: Thu, 18 Jun 2015 07:29:04 +0200
added work to fixedlocalvolsurface.
ql/models/equity/hestonslvmodel.cpp | 7 ++-
.../volatility/equityfx/fixedlocalvolsurface.cpp | 72 ++++++++++++++--------
.../volatility/equityfx/fixedlocalvolsurface.hpp | 20 +++---
commit e6a7ad99b51e43140f09b0c1ce34e639a5f13b02
Date: Sun, 14 Jun 2015 19:16:09 +0200
fixed compilation bug
ql/models/equity/hestonslvmodel.cpp | 12 ++++++------
commit 7b5b513646e1a4535513b40e68c21c415fdbefa2
Date: Sun, 14 Jun 2015 19:11:38 +0200
small incremental step
.../finitedifferences/fdmhestonfwdop.cpp | 6 +-
.../finitedifferences/localvolrndcalculator.cpp | 2 -
ql/models/equity/hestonslvmodel.cpp | 323 +++++++++++----------
ql/models/equity/hestonslvmodel.hpp | 44 +--
test-suite/hestonslvmodel.cpp | 52 ++--
commit f3b5a5601b86ae8178abeeec114cb0c0bc88b8e1
Date: Sun, 14 Jun 2015 03:30:50 +0200
added first version of a variance mesher to HestonSLVModel

bug fix for greens function w/o correlation
.../finitedifferences/fdmhestongreensfct.cpp | 5 +-
.../finitedifferences/localvolrndcalculator.cpp | 21 ++--
.../utilities/fdmmesherintegral.hpp | 4 +-
ql/models/equity/hestonslvmodel.cpp | 112 +++++++++++++++++++--
commit b450ec5941fe074073e901bbd2d8efdf5710ec3e
Date: Thu, 11 Jun 2015 21:30:17 +0200
fix some labels
ql/pricingengines/swaption/blackswaptionengine.cpp | 12 ++++++------
ql/pricingengines/swaption/blackswaptionengine.hpp | 22 +++++++++++-----------
commit 2bcd3c0307e107e732b48b07dd019dfc037f2ab9
Date: Thu, 11 Jun 2015 21:00:34 +0200
add normal volatilities for swaptions
ql/models/calibrationhelper.cpp | 13 +-
ql/models/calibrationhelper.hpp | 14 +-
.../calibrationhelpers/swaptionhelper.cpp | 42 ++--
.../calibrationhelpers/swaptionhelper.hpp | 6 +
.../swaption/basketgeneratingengine.cpp | 7 +-
ql/pricingengines/swaption/blackswaptionengine.cpp | 157 +++-----------
ql/pricingengines/swaption/blackswaptionengine.hpp | 229 ++++++++++++++++++++-
ql/termstructures/volatility/flatsmilesection.hpp | 2 +
.../volatility/interpolatedsmilesection.hpp | 17 +-
.../volatility/swaption/spreadedswaptionvol.hpp | 14 ++
.../volatility/swaption/swaptionconstantvol.cpp | 35 ++--
.../volatility/swaption/swaptionconstantvol.hpp | 28 ++-
.../volatility/swaption/swaptionvolcube.hpp | 4 +
.../volatility/swaption/swaptionvolcube1.hpp | 7 +-
.../volatility/swaption/swaptionvolcube2.cpp | 2 +
.../volatility/swaption/swaptionvolmatrix.cpp | 20 +-
.../volatility/swaption/swaptionvolmatrix.hpp | 19 +-
.../volatility/swaption/swaptionvolstructure.hpp | 9 +
commit a62f48100a5020b1851f78494311b844fe88d6f8
Date: Fri, 5 Jun 2015 00:32:25 +0200
added probability density calculator for square root process
.../finitedifferences/fdmsquarerootfwdop.cpp | 13 --
.../finitedifferences/fdmsquarerootfwdop.hpp | 3 -
.../finitedifferences/localvolrndcalculator.cpp | 27 ++--
.../squarerootprocessrndcalculator.cpp | 88 ++++++++++
.../squarerootprocessrndcalculator.hpp | 50 ++++++
test-suite/hestonslvmodel.cpp | 178 +++++++++------------
test-suite/riskneutraldensitycalculator.cpp | 109 ++++++++++++-
test-suite/riskneutraldensitycalculator.hpp | 1 +
commit 6199d8b1c1d9c882348f36c22b80bf101aae1f9d
Date: Tue, 2 Jun 2015 23:00:30 +0200
first light from hestonslvmodel calibration object
.../finitedifferences/localvolrndcalculator.cpp | 38 +++++++-
.../finitedifferences/localvolrndcalculator.hpp | 2 +
ql/models/equity/hestonslvmodel.cpp | 91 ++++++++++++++++---
ql/models/equity/hestonslvmodel.hpp | 36 ++++++--
test-suite/hestonslvmodel.cpp | 101 ++++++++++++++-------
test-suite/hestonslvmodel.hpp | 3 +-
commit ca0bb91263c031b6c6bec08d93f20d67e008a0f8
Date: Tue, 2 Jun 2015 16:10:59 +0200
correct merge error
ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp | 1 +
commit 4548b8a72c1cf34c3f7ce5e4990493a9efdcc05f
Merge: 8c3c071 367360e
Date: Tue, 2 Jun 2015 10:39:05 +0200
merge from luigi
commit 8c3c071b73374d40f0f87e9e0c20d9162015e173
Date: Sun, 31 May 2015 16:58:37 +0200
improved local vol forward equation solver and more unit tests
.../finitedifferences/localvolrndcalculator.cpp | 171 +++++++++++---

.../riskneutraldensitycalculator.cpp | 8 +-
test-suite/riskneutraldensitycalculator.cpp | 256 ++++++++++++++++++---
commit a7b9628d1185f625817431f4374689ca19c658cf
Date: Wed, 27 May 2015 22:39:53 +0200
improvements for the forward equation
.../finitedifferences/localvolrndcalculator.cpp | 44 +++++++++++++---------
.../finitedifferences/localvolrndcalculator.hpp | 12 ++++--
commit 23a2a52ea0af36b62564465f4f85461bf6c2e075
Date: Wed, 27 May 2015 12:50:30 +0200
clean up quantlibtestsuite after to much automerge
test-suite/quantlibtestsuite.cpp | 3 ---
commit f1d1f6455d1d4842a3b06954f8223811ebfcde57
Date: Wed, 27 May 2015 12:38:17 +0200
fix integrals.cpp again
test-suite/integrals.cpp | 53 +++++++++++++++++++++++++++++-------------------
commit 0e9d0cf6274ad88fd29ccf62b72335c26ca32f91
Date: Wed, 27 May 2015 01:02:15 +0200
changes from Tuesday session
.../finitedifferences/localvolrndcalculator.cpp | 109 +++++++++++++++++++--

commit 5734621f01e039abc2dfaebef4297c493b62e031
Date: Tue, 26 May 2015 20:57:43 +0200
changed towards FdmLocalVolFwdOp
test-suite/hestonslvmodel.cpp | 252 +++++++++++++++++++++---------------------

commit 1527b2c518b38c30b2bb90bbf172d12b9efda425
Date: Tue, 26 May 2015 20:33:53 +0200
risk neutral calculator, local vol unfinished
.../finitedifferences/bsmrndcalculator.cpp | 17 +-
.../finitedifferences/bsmrndcalculator.hpp | 12 +-
.../finitedifferences/fdmblackscholesfwdop.cpp | 1 -
.../finitedifferences/fdmblackscholesfwdop.hpp | 4 +-
.../finitedifferences/fdmlocalvolfwdop.cpp | 122 +++
.../finitedifferences/fdmlocalvolfwdop.hpp | 74 ++
.../finitedifferences/hestonrndcalculator.cpp | 22 +-
.../finitedifferences/localvolrndcalculator.cpp | 142 ++++
.../finitedifferences/localvolrndcalculator.hpp | 79 ++
.../volatility/equityfx/fixedlocalvolsurface.cpp | 1 +
test-suite/hestonslvmodel.cpp | 851 +++++++++++----------
test-suite/quantlibtestsuite.cpp | 280 +++----
test-suite/riskneutraldensitycalculator.cpp | 114 ++-
test-suite/riskneutraldensitycalculator.hpp | 1 +
commit c731e26b87a23e06e3090cb4bfe6248fad335c75
Date: Fri, 22 May 2015 12:22:58 +0200
Try to find a state so that an automatic merge with luigis master is possible
test-suite/quantlibtestsuite.cpp | 284 +++++++++++++++++++--------------------
commit fb2c7f2a1f71e70293f48ee63613079b1c02fe56
Date: Thu, 21 May 2015 13:38:20 +0200
Remove couts
test-suite/hestonslvmodel.cpp | 38 +++++++++++++++++++-------------------
commit 811c3cfd8e13e9c60860e1884342a05fa18caf2c
Date: Thu, 21 May 2015 13:33:08 +0200
Change interpolation to bilinear
ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp | 2 +-
commit 0361b54a3a29c3bf19195637b95156cd813b26ae
Date: Mon, 11 May 2015 12:06:56 +0200
change from interpolation2s to fixedLocalVolSurface for slv surface
test-suite/hestonslvmodel.cpp | 236 ++++++++---------
test-suite/quantlibtestsuite.cpp | 284 ++++++++++-----------
commit 518c5c91030828598d0fcbfa4409f4f71c37b893
Date: Wed, 20 May 2015 01:20:38 +0200
use bilinear interpolation

ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp | 4 ++--
commit d6a33938d412f37522a8e049a79fe2157905a33d
Date: Wed, 20 May 2015 01:07:26 +0200
changed interpolation to bilinear instead of bicubic
ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp | 8 +++++---
commit ba10fc061d23a1e2139e7d2eb2b3174219d0fd4b
Date: Tue, 12 May 2015 22:48:06 +0200
change from interpolation2d to fixedlocalvolsurface for slv surface
.../volatility/equityfx/fixedlocalvolsurface.hpp | 4 +
test-suite/hestonslvmodel.cpp | 2905 ++++++++++----------
commit 5de81e27ce15b029437c39e60f343f36668226b3
Date: Mon, 11 May 2015 12:06:56 +0200
fixed a small bug
commit fa7871c9e045c686cd4db6ca7780a143a8864ac0
Date: Wed, 6 May 2015 00:18:54 +0200
added FixedLocalVolSurface and HestonSLVModel
ql/models/equity/Makefile.am | 2 +
ql/models/equity/all.hpp | 1 +
ql/models/equity/hestonslvmodel.cpp | 57 +++++++++
ql/models/equity/hestonslvmodel.hpp | 57 +++++++++
ql/termstructures/volatility/equityfx/Makefile.am | 2 +
.../volatility/equityfx/fixedlocalvolsurface.cpp | 129 +++++++++++++++++++++
.../volatility/equityfx/fixedlocalvolsurface.hpp | 87 ++++++++++++++
commit 58a92a99af97e9fbf09d66e65b8c73834c3ea4d8
Date: Tue, 5 May 2015 00:31:30 +0200
forgotten commits
.../exoticoptions/analyticpdfhestonengine.cpp | 137 ++++-----------------

.../exoticoptions/analyticpdfhestonengine.hpp | 10 +-
commit b88c605daf89171e4a256cb2b7f2b8f1db38ea82
Date: Tue, 5 May 2015 00:24:39 +0200
fixed compilation
if this merge does not work go back to original state via
git reset --hard
e3c63866aa3a05ac657019c1d71041653a4c2aff
test-suite/fdheston.cpp | 712 +-----------------------------------------------

commit d7458faa7d20e5d43154ea940aa2a8e0230a1844
Date: Sun, 3 May 2015 19:05:50 +0200
refactoring: AnalyticPDFHestonEngine now uses HestonRNDCalculator to

calculate the risk neutral density
Conflicts:
QuantLib/ql/experimental/finitedifferences/hestonrndcalculator.cpp
QuantLib/test-suite/quantlibtestsuite.cpp
.../exoticoptions/analyticpdfhestonengine.cpp | 137 +---

.../meshers/concentrating1dmesher.hpp | 11 +
test-suite/Makefile.am | 2 +
test-suite/fdheston.cpp | 712 +--------------------
test-suite/fdmlinearop.cpp | 75 +++
test-suite/fdmlinearop.hpp | 2 +
test-suite/integrals.cpp | 53 +-
test-suite/quantlibtestsuite.cpp | 6 +
commit 901822ea0c44f8c62bc4f65440af48ff72034911
Date: Sun, 3 May 2015 19:07:12 +0200
fixed compiltion bug
test-suite/quantlibtestsuite.cpp | 1 -
commit 2f34f419e47b7391b137f4ba392b44608f66f1a0
Date: Sun, 3 May 2015 19:07:12 +0200
fixed compiltion bug

test-suite/quantlibtestsuite.cpp | 1 -
commit 32a808472308642f903f87de12975b575d1f894f
Date: Sun, 3 May 2015 19:05:50 +0200
refactoring: AnalyticPDFHestonEngine now uses HestonRNDCalculator to

calculate the risk neutral density
.../exoticoptions/analyticpdfhestonengine.cpp | 137 ++---------

.../finitedifferences/hestonrndcalculator.cpp | 1 -
commit 2288ccb156f22efae0f90b4a8ba5f7c96ac6468b
Date: Sun, 3 May 2015 18:16:17 +0200
added risk neutral density calculators
.../finitedifferences/bsmrndcalculator.cpp | 64 +++++++
.../finitedifferences/bsmrndcalculator.hpp | 57 ++++++
.../finitedifferences/hestonrndcalculator.cpp | 166 +++++++++++++++++
.../finitedifferences/hestonrndcalculator.hpp | 66 +++++++
.../riskneutraldensitycalculator.cpp | 74 ++++++++
.../riskneutraldensitycalculator.hpp | 55 ++++++
test-suite/riskneutraldensitycalculator.cpp | 204 +++++++++++++++++++++
test-suite/riskneutraldensitycalculator.hpp | 36 ++++
commit 898643e77e95a21339b0a8fc0eaef08881116267
Date: Fri, 1 May 2015 14:04:32 +0200
got all test case back working

significant performance improvement of the tests
test-suite/hestonslvmodel.cpp | 77 ++++++++++++++++++++++---------------------
commit 02937d3efdcc441b20ef51e3d19b836b3ce5164e
Date: Tue, 28 Apr 2015 23:55:09 +0200
added prediction-correction step to calibration routine

added trusted region detection
test-suite/hestonslvmodel.cpp | 166 ++++++++++++++++++++++++++++++------------

commit fa2439789b246d4b23f7cdb5a8bba0bf2485e38d
Date: Tue, 21 Apr 2015 20:33:25 +0200
added adaptive time step size
test-suite/hestonslvmodel.cpp | 67 ++++++++++++++++++++++++-------------------
commit cd5391dfaaec6ddc566af7b4acc3b4050e39325e
Date: Tue, 21 Apr 2015 12:24:33 +0200
separated heston slv test from pure fd heston tests
test-suite/fdheston.cpp | 1722 -------------------------------------
test-suite/fdheston.hpp | 12 -
test-suite/hestonslvmodel.cpp | 1758 ++++++++++++++++++++++++++++++++++++++
commit c9ab6bc9f8ce1ab472058ce810ac61dea58f256d
Date: Sun, 19 Apr 2015 21:43:02 +0200
reestabilshed all tests in fdheston.cpp and fdmlinearop.cpp (even though

they take very long to run)
test-suite/fdheston.cpp | 319 ++++++++++++++++++---------------------

commit d484dc6db1b8e5470a10ddc0491716bfada5b39d
Date: Sun, 19 Apr 2015 18:24:21 +0200
added two new test case

FdmLinearOpTest::testFdmConcentratingMesherRequiredPoints();
FdmLinearOpTest::testFdmMultiConcentratingMesherConsistency();
test-suite/fdmlinearop.cpp | 75 ++++++++++++++++++++++++++++++++++++++++++++++
test-suite/fdmlinearop.hpp | 2 ++
commit 0721c77d28441fe6817c83c59c3a22910cf0fde7
Date: Thu, 16 Apr 2015 15:01:43 +0200
make slv calibration test case work again
test-suite/fdheston.cpp | 257 ++++++++++-----------
commit 9e33da3a4de63cb048fa9d0400e084aa611c1af8
Date: Mon, 15 Dec 2014 20:34:45 +0100
replace tab by space

test-suite/fdheston.cpp | 1064 +++++++++++++++++++++++------------------------
commit 2dd2c5ac9f4fa0f94827479b1998594b8cf0b35f
Date: Mon, 15 Dec 2014 00:13:32 +0100
start to clean up fdheston.cpp
test-suite/fdheston.cpp | 1211 ++++++++++++++++++++++++-----------------------

commit a09acbd4c46e3bacaaf578420a5379ad2415cc64
Date: Sun, 30 Nov 2014 01:15:49 +0100
round trip test case for slv
.../finitedifferences/fdmhestongreensfct.hpp | 4 +-
.../finitedifferences/operators/fdmhestonop.cpp | 55 +++++-
test-suite/fdheston.cpp | 197 +++++++++++++++------
commit 19670b506cb8030b27b4b48a516328aa25b486c1
Date: Thu, 27 Nov 2014 11:05:45 +0100
slv test case, feller constraint violated
test-suite/fdheston.cpp | 438 +++++++++++++++++++++++++++++-------------------

commit 564954ed6ed4e5afdc0849e21b55d4223ae0de13
Date: Tue, 25 Nov 2014 23:00:05 +0100
replace tab by space
test-suite/fdheston.cpp | 506 ++++++++++++++++++++++++------------------------

commit d0d237e0e6e7c73c511465e057df9c838a575566
Date: Tue, 25 Nov 2014 22:59:39 +0100
calibration test case updated by Klaus
test-suite/fdheston.cpp | 132 ++++++++++++++++++++++++------------------------

commit 858ffb6102eeae298dbd2a6731780953269e9ad5
Date: Tue, 25 Nov 2014 22:36:01 +0100
change line ends and line lengths
test-suite/fdheston.cpp | 4418 ++++++++++----------
commit 87210e337954bb3b841553b5051f10ccf7fd9f2a
Date: Mon, 17 Nov 2014 20:24:22 +0100
towards slv
.../finitedifferences/fdmblackscholesfwdop.cpp | 44 +-
.../finitedifferences/fdmblackscholesfwdop.hpp | 8 +-
.../finitedifferences/fdmhestonfwdop.cpp | 168 +++-
.../finitedifferences/fdmsquarerootfwdop.cpp | 244 +++--
.../meshers/concentrating1dmesher.cpp | 137 ++-
.../meshers/concentrating1dmesher.hpp | 11 +
.../operators/triplebandlinearop.cpp | 22 +-
.../operators/triplebandlinearop.hpp | 4 +
test-suite/fdheston.cpp | 1061 +++++++++++++++++++-
test-suite/fdheston.hpp | 10 +
test-suite/integrals.cpp | 36 +-
test-suite/quantlibtestsuite.cpp | 270 ++---

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commit 0dfae9dd053d33123e9e1423f0b88a23f59e2220

Author: Luigi Ballabio <luigi.ballabio@gmail.com>

Add a few more holidays for South Korea.

Thanks to Faycal El Karaa.

Merge pull request #83.

Add new files to distribution.

additional stubs for more examples

new (stub) CVAIRS manual page

Avoid uses of Boost.Lambda.

This prevents errors on some machines with Boost 1.57 installed.

Change forecast for release date.

Update ChangeLog, news and contributor list.

ChangeLog.txt | 3300 ++++++++++++++++++++++++++++++++++++++++++++++-

Merge pull request #80.

Fix linker flags for broken combination of configure flags.

Use correct abs overload.

Use local struct to avoid ODR violation.

Reformat a few test messages.

Avoid a few Doxygen warnings.

Update list of copyright owners.

Avoid a warning on Visual C++ 2015.

Remove warnings for clang and -Wall.

Remove warnings for gcc and -Wall.

If OpenMP is not enabled, -Wall will emit an "unknown pragma" warning

Merge pull request #77.

Remove a few warnings on Visual C++ 2008.

replaced 1 by static casts

Require Boost 1.43 as minimum version.

Disable Boost.Random usage for versions earlier than 1.47.

Ensure self-consistency of headers.

Reordered a few inclusions.

Merge pull request #74.

Read displacement from volatility structure if possible

Merge pull request #73.

use better default number of calibration paths

register handles correctly in HestonSLVMCModel

Merge pull request #72.

use separate RNGs for calibration and pricing

ql/pricingengines/vanilla/mcamericanengine.hpp | 202 ++++++++++++++-----------

disentangle calibration and pricing RNGs

ql/pricingengines/mclongstaffschwartzengine.hpp | 115 ++++++++++++++++--------

Add Boost directory to CMake include path.

Merge pull request #69.

replace general by incremental statistics

this has both a better memory footprint and a better performance

Merge pull request #68.

visit intermediate classes

Merge pull request #67.

Updated LIBOR docs.

Merge pull request #26.

Reuse mixed interpolation for log-mixed ones.

ql/math/interpolations/loginterpolation.hpp | 135 ++++++++--------------------

Add behavior switch to mixed interpolation.

ql/math/interpolations/mixedinterpolation.hpp | 153 ++++++++++++++++++++++----

Merge pull request #65.

add test case for Cholesky decomposition fix

Merge pull request #33.

Merge pull request #64.

Merge pull request #63.

better threshold for pseudo inverse (taken from Peter's Moore-Penrose

subdivided long running tests into smaller pieces to allow faster

Merge pull request #62.

Merge pull request #61.