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ChangeLog.txt
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ChangeLog.txt
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2004-03-15 11:18 Luigi Ballabio <luigi.ballabio AT statpro.com>
* INSTALL.txt (1.1.62.1), News.txt (1.33.2.2), Docs/.cvsignore
(1.3.12.1), Docs/Makefile.am (1.60.2.1), Docs/quantlib.doxy
(1.80.2.1), Docs/quantlibheader.html (1.19.2.1), Docs/userman.tex
(1.5.24.1), Docs/pages/authors.docs (1.25.2.1),
Docs/pages/coreclasses.docs (1.7.4.1), Docs/pages/currencies.docs
(1.6.4.1), Docs/pages/datetime.docs (1.6.4.1),
Docs/pages/findiff.docs (1.8.4.1), Docs/pages/fixedincome.docs
(1.10.4.1), Docs/pages/history.docs (1.13.2.2),
Docs/pages/index.docs (1.8.4.1), Docs/pages/install.docs (1.8.4.2),
Docs/pages/instruments.docs (1.9.4.1), Docs/pages/lattices.docs
(1.5.4.1), Docs/pages/license.docs (1.15.2.1), Docs/pages/math.docs
(1.9.4.1), Docs/pages/mcarlo.docs (1.14.4.1),
Docs/pages/overview.docs (1.8.4.2), Docs/pages/patterns.docs
(1.5.4.1), Docs/pages/platforms.docs (1.10.2.1),
Docs/pages/termstructures.docs (1.5.4.1), Docs/pages/usage.docs
(1.13.2.1), Docs/pages/utilities.docs (1.7.4.1),
Docs/pages/where.docs (1.7.4.1), dev_tools/developers (1.1.2.1),
ql/calendar.cpp (1.17.2.1), ql/calendar.hpp (1.30.2.1),
ql/dataformatters.cpp (1.29.2.1), ql/dataparsers.cpp (1.11.2.1),
ql/date.cpp (1.30.2.1), ql/diffusionprocess.cpp (1.12.2.1),
ql/discretizedasset.cpp (1.4.4.1), ql/exercise.cpp (1.7.2.1),
ql/exercise.hpp (1.29.2.1), ql/grid.cpp (1.12.2.1),
ql/numericalmethod.hpp (1.12.4.1), ql/payoff.hpp (1.9.2.1),
ql/qldefines.hpp (1.66.2.1), ql/relinkablehandle.hpp (1.18.2.1),
ql/scheduler.cpp (1.20.2.1), ql/swaptionvolstructure.hpp (1.9.2.1),
ql/termstructure.hpp (1.37.2.1), ql/voltermstructure.cpp
(1.13.2.1), ql/voltermstructure.hpp (1.20.2.1),
ql/Calendars/budapest.cpp (1.6.2.1), ql/Calendars/copenhagen.cpp
(1.2.2.1), ql/Calendars/frankfurt.cpp (1.15.2.1),
ql/Calendars/helsinki.cpp (1.14.2.1), ql/Calendars/johannesburg.cpp
(1.11.2.1), ql/Calendars/jointcalendar.cpp (1.7.2.1),
ql/Calendars/london.cpp (1.15.2.1), ql/Calendars/london.hpp
(1.15.2.1), ql/Calendars/milan.cpp (1.14.2.1),
ql/Calendars/nullcalendar.hpp (1.3.2.1), ql/Calendars/oslo.cpp
(1.6.2.1), ql/Calendars/stockholm.cpp (1.7.2.1),
ql/Calendars/sydney.cpp (1.7.2.1), ql/Calendars/sydney.hpp
(1.7.2.1), ql/Calendars/target.cpp (1.15.2.1),
ql/Calendars/tokyo.cpp (1.11.2.1), ql/Calendars/toronto.cpp
(1.7.2.1), ql/Calendars/warsaw.cpp (1.6.2.1),
ql/Calendars/wellington.cpp (1.15.2.1), ql/Calendars/zurich.cpp
(1.14.2.1), ql/CashFlows/basispointsensitivity.cpp (1.4.2.1),
ql/CashFlows/cashflowvectors.cpp (1.29.2.1),
ql/CashFlows/fixedratecoupon.hpp (1.20.2.1),
ql/CashFlows/floatingratecoupon.hpp (1.29.2.1),
ql/CashFlows/inarrearindexedcoupon.hpp (1.10.2.1),
ql/CashFlows/indexedcoupon.hpp (1.10.2.1),
ql/CashFlows/parcoupon.cpp (1.7.2.1),
ql/CashFlows/shortfloatingcoupon.cpp (1.14.2.1),
ql/CashFlows/shortfloatingcoupon.hpp (1.15.2.1),
ql/CashFlows/shortindexedcoupon.hpp (1.9.2.1),
ql/CashFlows/timebasket.cpp (1.3.2.1),
ql/DayCounters/actualactual.cpp (1.22.2.1),
ql/DayCounters/simpledaycounter.cpp (1.3.2.1),
ql/DayCounters/thirty360.cpp (1.15.2.1),
ql/FiniteDifferences/americancondition.hpp (1.18.2.1),
ql/FiniteDifferences/boundarycondition.cpp (1.7.2.1),
ql/FiniteDifferences/bsmoperator.cpp (1.14.2.1),
ql/FiniteDifferences/onefactoroperator.cpp (1.17.2.1),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.24.2.1),
ql/FiniteDifferences/valueatcenter.cpp (1.15.2.1),
ql/Indexes/audlibor.hpp (1.12.2.1), ql/Indexes/cadlibor.hpp
(1.12.2.1), ql/Indexes/chflibor.hpp (1.10.2.1),
ql/Indexes/jpylibor.hpp (1.11.2.1), ql/Indexes/xibor.cpp
(1.16.2.1), ql/Indexes/xibormanager.cpp (1.14.2.1),
ql/Indexes/zarlibor.hpp (1.10.2.1), ql/Instruments/asianoption.cpp
(1.9.2.1), ql/Instruments/barrieroption.cpp (1.23.2.1),
ql/Instruments/barrieroption.hpp (1.20.2.1),
ql/Instruments/basketoption.cpp (1.3.2.1),
ql/Instruments/basketoption.hpp (1.3.2.1),
ql/Instruments/capfloor.cpp (1.47.2.1), ql/Instruments/capfloor.hpp
(1.44.2.1), ql/Instruments/cliquetoption.hpp (1.6.2.1),
ql/Instruments/forwardvanillaoption.cpp (1.24.2.1),
ql/Instruments/forwardvanillaoption.hpp (1.21.2.1),
ql/Instruments/multiassetoption.cpp (1.3.2.1),
ql/Instruments/multiassetoption.hpp (1.3.2.1),
ql/Instruments/oneassetoption.cpp (1.5.2.1),
ql/Instruments/oneassetoption.hpp (1.6.2.1),
ql/Instruments/oneassetstrikedoption.cpp (1.10.2.1),
ql/Instruments/payoffs.hpp (1.7.2.1),
ql/Instruments/quantoforwardvanillaoption.cpp (1.19.2.1),
ql/Instruments/quantovanillaoption.cpp (1.26.2.1),
ql/Instruments/quantovanillaoption.hpp (1.22.2.1),
ql/Instruments/simpleswap.cpp (1.38.2.1),
ql/Instruments/simpleswap.hpp (1.37.2.1), ql/Instruments/stock.cpp
(1.15.2.1), ql/Instruments/swap.cpp (1.29.2.1),
ql/Instruments/swaption.cpp (1.39.2.1), ql/Instruments/swaption.hpp
(1.34.2.1), ql/Instruments/vanillaoption.cpp (1.42.2.1),
ql/Lattices/binomialtree.cpp (1.17.2.1),
ql/Lattices/binomialtree.hpp (1.13.2.1), ql/Lattices/bsmlattice.cpp
(1.10.2.1), ql/Lattices/lattice.cpp (1.13.2.1),
ql/Lattices/lattice2d.cpp (1.10.2.1), ql/Lattices/tree.hpp
(1.20.2.1), ql/Lattices/trinomialtree.cpp (1.18.2.1),
ql/Math/beta.cpp (1.3.2.1), ql/Math/binomialdistribution.hpp
(1.4.2.1), ql/Math/bivariatenormaldistribution.cpp (1.5.2.1),
ql/Math/chisquaredistribution.cpp (1.10.2.1),
ql/Math/choleskydecomposition.cpp (1.1.2.1),
ql/Math/discrepancystatistics.cpp (1.6.2.1),
ql/Math/errorfunction.cpp (1.5.2.1), ql/Math/errorfunction.hpp
(1.5.2.1), ql/Math/factorial.cpp (1.3.2.1), ql/Math/factorial.hpp
(1.2.2.1), ql/Math/gammadistribution.cpp (1.9.2.1),
ql/Math/gaussianstatistics.hpp (1.13.2.1),
ql/Math/generalstatistics.cpp (1.10.2.1),
ql/Math/generalstatistics.hpp (1.11.2.1),
ql/Math/incompletegamma.cpp (1.2.2.1),
ql/Math/incrementalstatistics.cpp (1.7.2.1),
ql/Math/incrementalstatistics.hpp (1.6.2.1),
ql/Math/interpolationtraits.hpp (1.9.2.1),
ql/Math/linearinterpolation.hpp (1.22.2.1),
ql/Math/loglinearinterpolation.hpp (1.22.2.1), ql/Math/matrix.hpp
(1.26.2.1), ql/Math/normaldistribution.cpp (1.22.2.1),
ql/Math/primenumbers.cpp (1.11.2.1), ql/Math/pseudosqrt.cpp
(1.1.2.1), ql/Math/simpsonintegral.hpp (1.4.2.1), ql/Math/svd.cpp
(1.6.2.1), ql/Math/svd.hpp (1.7.2.1),
ql/Math/symmetricschurdecomposition.cpp (1.16.2.1),
ql/MonteCarlo/arithmeticapopathpricer.cpp (1.15.2.1),
ql/MonteCarlo/arithmeticasopathpricer.cpp (1.16.2.1),
ql/MonteCarlo/barrierpathpricer.cpp (1.10.2.1),
ql/MonteCarlo/barrierpathpricer.hpp (1.7.2.1),
ql/MonteCarlo/basketpathpricer.cpp (1.27.2.1),
ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.8.2.1),
ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.5.2.1),
ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.18.2.1),
ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.12.2.1),
ql/MonteCarlo/digitalpathpricer.cpp (1.4.2.1),
ql/MonteCarlo/europeanmultipathpricer.cpp (1.2.2.1),
ql/MonteCarlo/europeanmultipathpricer.hpp (1.1.2.1),
ql/MonteCarlo/europeanpathpricer.cpp (1.23.2.1),
ql/MonteCarlo/europeanpathpricer.hpp (1.22.2.1),
ql/MonteCarlo/everestpathpricer.cpp (1.20.2.1),
ql/MonteCarlo/geometricapopathpricer.cpp (1.17.2.1),
ql/MonteCarlo/geometricasopathpricer.cpp (1.19.2.1),
ql/MonteCarlo/himalayapathpricer.cpp (1.25.2.1),
ql/MonteCarlo/maxbasketpathpricer.cpp (1.13.2.1),
ql/MonteCarlo/pagodapathpricer.cpp (1.20.2.1),
ql/MonteCarlo/performanceoptionpathpricer.cpp (1.11.2.1),
ql/Optimization/armijo.cpp (1.17.2.1), ql/Optimization/armijo.hpp
(1.17.2.1), ql/Optimization/conjugategradient.cpp (1.18.2.1),
ql/Optimization/constraint.hpp (1.17.2.1),
ql/Optimization/criteria.hpp (1.15.2.1),
ql/Optimization/leastsquare.hpp (1.24.2.1),
ql/Optimization/method.hpp (1.11.2.1), ql/Optimization/simplex.cpp
(1.10.2.1), ql/Optimization/simplex.hpp (1.14.2.1),
ql/Optimization/steepestdescent.cpp (1.16.2.1),
ql/Patterns/bridge.hpp (1.8.2.1), ql/Patterns/composite.hpp
(1.3.2.1), ql/Patterns/visitor.hpp (1.6.2.1),
ql/Pricers/analyticalcapfloor.cpp (1.23.2.1),
ql/Pricers/blackcapfloor.cpp (1.18.2.1),
ql/Pricers/blackcapfloor.hpp (1.14.2.1),
ql/Pricers/blackswaption.cpp (1.13.2.1),
ql/Pricers/blackswaption.hpp (1.12.2.1),
ql/Pricers/capfloorpricer.cpp (1.12.2.1),
ql/Pricers/cliquetoption.cpp (1.16.2.1),
ql/Pricers/cliquetoption.hpp (1.15.2.1),
ql/Pricers/continuousgeometricapo.hpp (1.11.2.1),
ql/Pricers/discretegeometricapo.cpp (1.15.2.1),
ql/Pricers/discretegeometricapo.hpp (1.12.2.1),
ql/Pricers/discretegeometricaso.cpp (1.15.2.1),
ql/Pricers/discretegeometricaso.hpp (1.12.2.1),
ql/Pricers/europeanoption.cpp (1.17.2.1),
ql/Pricers/fdamericanoption.hpp (1.12.2.1),
ql/Pricers/fdbermudanoption.cpp (1.11.2.1),
ql/Pricers/fdbsmoption.cpp (1.17.2.1),
ql/Pricers/fddividendamericanoption.cpp (1.8.2.1),
ql/Pricers/fddividendamericanoption.hpp (1.9.2.1),
ql/Pricers/fddividendeuropeanoption.cpp (1.9.2.1),
ql/Pricers/fddividendoption.cpp (1.17.2.1),
ql/Pricers/fddividendshoutoption.cpp (1.12.2.1),
ql/Pricers/fdeuropean.cpp (1.15.2.1),
ql/Pricers/fdmultiperiodoption.cpp (1.17.2.1),
ql/Pricers/fdstepconditionoption.cpp (1.14.2.1),
ql/Pricers/jamshidianswaption.cpp (1.22.2.1),
ql/Pricers/mcbasket.cpp (1.22.2.1), ql/Pricers/mccliquetoption.cpp
(1.17.2.1), ql/Pricers/mcdiscretearithmeticapo.cpp (1.20.2.1),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.21.2.1),
ql/Pricers/mceverest.cpp (1.25.2.1), ql/Pricers/mchimalaya.cpp
(1.25.2.1), ql/Pricers/mcmaxbasket.cpp (1.22.2.1),
ql/Pricers/mcpagoda.cpp (1.24.2.1),
ql/Pricers/mcperformanceoption.cpp (1.16.2.1),
ql/Pricers/performanceoption.cpp (1.7.2.1),
ql/Pricers/singleassetoption.cpp (1.25.2.1),
ql/Pricers/swaptionpricer.cpp (1.14.2.1),
ql/Pricers/treecapfloor.cpp (1.30.2.1), ql/Pricers/treecapfloor.hpp
(1.23.2.1), ql/Pricers/treeswaption.cpp (1.38.2.1),
ql/Pricers/treeswaption.hpp (1.26.2.1),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.2.2.1),
ql/PricingEngines/americanpayoffathit.hpp (1.4.2.1),
ql/PricingEngines/genericmodelengine.hpp (1.1.2.1),
ql/PricingEngines/mcsimulation.hpp (1.1.2.1),
ql/PricingEngines/Asian/analyticasianengine.cpp (1.6.2.1),
ql/PricingEngines/Asian/analyticasianengine.hpp (1.1.2.1),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.5.2.1),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.1.2.1),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.3.2.1),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.10.2.1),
ql/PricingEngines/Basket/stulzengine.cpp (1.9.2.1),
ql/PricingEngines/Basket/stulzengine.hpp (1.2.2.1),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp
(1.1.2.1), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp
(1.9.2.1), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp
(1.6.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp
(1.6.2.2), ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp
(1.2.2.2), ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp
(1.3.2.1), ql/PricingEngines/Vanilla/integralengine.cpp (1.1.2.1),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.7.2.1),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.4.2.1),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.6.2.1),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.7.2.1),
ql/RandomNumbers/haltonrsg.cpp (1.12.2.1),
ql/RandomNumbers/knuthuniformrng.cpp (1.10.2.1),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.10.2.1),
ql/RandomNumbers/mt19937uniformrng.cpp (1.8.2.1),
ql/RandomNumbers/sobolrsg.cpp (1.23.2.1),
ql/ShortRateModels/calibrationhelper.cpp (1.8.2.1),
ql/ShortRateModels/model.cpp (1.18.2.1),
ql/ShortRateModels/onefactormodel.cpp (1.14.2.1),
ql/ShortRateModels/parameter.hpp (1.13.2.1),
ql/ShortRateModels/twofactormodel.cpp (1.10.2.1),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.27.2.1),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp
(1.26.2.1), ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp
(1.14.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.cpp
(1.19.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.hpp
(1.15.2.1),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.18.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.cpp
(1.16.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.hpp
(1.15.2.1), ql/ShortRateModels/OneFactorModels/vasicek.cpp
(1.10.2.1), ql/ShortRateModels/OneFactorModels/vasicek.hpp
(1.9.2.1), ql/ShortRateModels/TwoFactorModels/g2.cpp (1.15.2.1),
ql/Solvers1D/bisection.hpp (1.13.2.1), ql/Solvers1D/secant.hpp
(1.13.2.1), ql/TermStructures/affinetermstructure.cpp (1.17.2.1),
ql/TermStructures/compoundforward.cpp (1.30.2.1),
ql/TermStructures/discountcurve.cpp (1.23.2.1),
ql/TermStructures/extendeddiscountcurve.cpp (1.5.2.1),
ql/TermStructures/piecewiseflatforward.cpp (1.38.2.1),
ql/TermStructures/ratehelpers.cpp (1.40.2.1),
ql/TermStructures/ratehelpers.hpp (1.35.2.1),
ql/TermStructures/zerocurve.cpp (1.8.2.1),
ql/Volatilities/blackvariancecurve.cpp (1.8.2.1),
ql/Volatilities/blackvariancesurface.cpp (1.8.2.1),
ql/Volatilities/localvolsurface.cpp (1.7.2.1),
ql/Volatilities/swaptionvolmatrix.hpp (1.19.2.1),
ql/functions/daycounters.cpp (1.8.2.1), ql/functions/mathf.cpp
(1.32.2.1), ql/functions/vols.cpp (1.23.2.1),
test-suite/basketoption.cpp (1.16.2.1):
Documentation clean-up
2004-03-15 11:16 Luigi Ballabio <luigi.ballabio AT statpro.com>
* test-suite/quantlibtestsuite.cpp (1.63.2.1):
Tests reordered for release
2004-03-15 11:16 Luigi Ballabio <luigi.ballabio AT statpro.com>
* test-suite/interpolations.cpp (1.10.2.4):
Re-enabled not-a-knot test
2004-03-15 11:15 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Utilities/: combiningiterator.hpp (1.12.2.1),
filteringiterator.hpp (1.10.2.1), iteratorcategories.hpp
(1.11.2.1), processingiterator.hpp (1.11.2.1), steppingiterator.hpp
(1.13.2.1):
Missing #include
2004-03-15 11:14 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/cubicspline.hpp (1.43.2.4):
Added multiple inheritace magic to retrieve coefficients
2004-03-15 11:12 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Calendars/: newyork.cpp (1.15.2.1), newyork.hpp (1.16.2.1):
Checked New York holidays--used stock exchange schedule
2004-03-15 11:05 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/: core.hpp (1.2.2.1), quantlib.hpp (1.144.2.1):
Moved all base headers into core.hpp
2004-03-14 03:07 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.43.2.3), test-suite/interpolations.cpp
(1.10.2.3), test-suite/interpolations.hpp (1.1.2.2):
fixing first (1983) version of Hyman filter with the
non-restrictive one (1989). Test added
2004-03-14 01:24 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/interpolations.cpp (1.10.2.2):
typo fixed
2004-03-14 00:36 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.43.2.2):
typo fixed
2004-03-14 00:25 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: interpolations.cpp (1.10.2.1), interpolations.hpp
(1.1.2.1):
one more test to check derivative end condition values
2004-03-13 23:45 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.43.2.1):
bug fix
2004-03-13 23:07 Ferdinando Ametrano <nando AT ametrano DOT net>
* BUGS.txt (1.1.2.1), Examples/AmericanOption/AmericanOption.cpp
(1.21.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp
(1.6.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp
(1.2.2.1), test-suite/americanoption.cpp (1.12.2.1):
Bjerksund-Stensland bug fixed
2004-03-12 17:33 Ferdinando Ametrano <nando AT ametrano DOT net>
* Docs/pages/: install.docs (1.8.4.1), overview.docs (1.8.4.1):
updated
2004-03-12 17:22 Ferdinando Ametrano <nando AT ametrano DOT net>
* History.txt (1.20.4.1), News.txt (1.33.2.1),
Docs/pages/history.docs (1.13.2.1):
2004-03-31 fixed as target date for release. First draft of
NEWS.txt: please read/correct/integrate
2004-03-11 11:42 Luigi Ballabio <luigi.ballabio AT statpro.com>
* QuantLib.nsi (1.93), configure.ac (1.32), Docs/quantlib.doxy
(1.80), Examples/AmericanOption/AmericanOption.cpp (1.21),
dev_tools/version_number.txt (1.36), ql/qldefines.hpp (1.66),
ql/Instruments/oneassetstrikedoption.cpp (1.10),
ql/Instruments/oneassetstrikedoption.hpp (1.10),
ql/Math/Makefile.am (1.38), ql/Math/all.hpp (1.2),
ql/Math/choleskydecomposition.cpp (1.1),
ql/Math/choleskydecomposition.hpp (1.1), ql/Math/cubicspline.hpp
(1.43), ql/Math/matrix.cpp (1.24), ql/Math/matrix.hpp (1.26),
ql/Math/pseudosqrt.cpp (1.1), ql/Math/pseudosqrt.hpp (1.1),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.9),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.5),
ql/PricingEngines/Vanilla/Makefile.am (1.11),
ql/PricingEngines/Vanilla/all.hpp (1.3),
ql/PricingEngines/Vanilla/americanmcengines.cpp (1.8),
ql/PricingEngines/Vanilla/americanmcengines.hpp (1.3),
ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.9),
ql/PricingEngines/Vanilla/analyticamericanengine.hpp (1.2),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.1),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.1),
ql/RandomNumbers/randomarraygenerator.hpp (1.23),
test-suite/covariance.cpp (1.16), test-suite/digitaloption.cpp
(1.19), test-suite/matrices.cpp (1.16):
Preparing for branch
2004-03-11 10:52 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.42), test-suite/interpolations.cpp
(1.10):
more references for the spline interpolation
2004-03-10 19:21 Neil Firth <>
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.8):
bug fixes for laguerre and legendre basis functions not in test
cases
2004-03-10 15:22 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/: Math/cubicspline.hpp (1.41), functions/mathf.hpp (1.20):
final touches for (cubic) interpolation
2004-03-09 18:51 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/functions/: mathf.cpp (1.32), mathf.hpp (1.19):
moved to container input
2004-03-09 13:39 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/: Math/bicubicsplineinterpolation.hpp (1.14),
Math/bilinearinterpolation.hpp (1.18), Math/cubicspline.hpp (1.40),
Math/interpolation.hpp (1.25), Math/interpolation2D.hpp (1.15),
Math/interpolationtraits.hpp (1.9), Math/linearinterpolation.hpp
(1.22), Math/loglinearinterpolation.hpp (1.22),
Volatilities/blackvariancesurface.cpp (1.8),
Volatilities/blackvariancesurface.hpp (1.28),
Volatilities/swaptionvolmatrix.hpp (1.19), functions/mathf.cpp
(1.31):
Hidden templatization in 2-D interpolations
2004-03-08 16:45 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/interpolation.hpp (1.23):
Workaround for VC++
2004-03-08 16:27 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.7),
test-suite/basketoption.cpp (1.16):
Fixes for g++
2004-03-08 14:32 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: basketoption.cpp (1.15), interpolations.cpp (1.9):
commenting out unused variable, in order to avoid Borland warning
2004-03-08 14:26 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/linearinterpolation.hpp (1.21):
commenting out unused variable, in order to avoid Borland warning
2004-03-08 13:26 Neil Firth <>
* ql/PricingEngines/Basket/: mcamericanbasketengine.cpp (1.6),
mcamericanbasketengine.hpp (1.4):
simplified class and increased number of types of basis function
2004-03-08 13:21 Neil Firth <>
* test-suite/: basketoption.cpp (1.14), basketoption.hpp (1.4):
included some additional tests
2004-03-08 12:12 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/bicubicsplineinterpolation.hpp (1.13),
ql/Math/cubicspline.hpp (1.39), ql/Math/interpolation.hpp (1.22),
ql/Math/interpolationtraits.hpp (1.8),
ql/Math/linearinterpolation.hpp (1.20),
ql/Math/loglinearinterpolation.hpp (1.21),
ql/Pricers/fddividendoption.cpp (1.17),
ql/TermStructures/compoundforward.cpp (1.30),
ql/TermStructures/compoundforward.hpp (1.23),
ql/TermStructures/discountcurve.cpp (1.23),
ql/TermStructures/discountcurve.hpp (1.23),
ql/TermStructures/extendeddiscountcurve.cpp (1.5),
ql/TermStructures/zerocurve.cpp (1.8),
ql/TermStructures/zerocurve.hpp (1.8),
ql/Volatilities/blackvariancecurve.cpp (1.8),
ql/Volatilities/blackvariancecurve.hpp (1.26),
ql/functions/mathf.cpp (1.30), ql/functions/mathf.hpp (1.18),
test-suite/interpolations.cpp (1.8),
test-suite/quantlibtestsuite.cpp (1.63):
Templatization of interpolation classes is now hidden
2004-03-08 10:08 Ferdinando Ametrano <nando AT ametrano DOT net>
* LICENSE.TXT (1.18):
license's copyright was an early misunderstanding: there is no
point to copyright the license wording (especially since it is not
our own wording!)
2004-03-05 17:36 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/bicubicsplineinterpolation.hpp (1.12),
ql/Math/cubicspline.hpp (1.38), ql/Math/interpolationtraits.hpp
(1.7), ql/Pricers/fddividendoption.cpp (1.16),
ql/functions/mathf.cpp (1.29), ql/functions/mathf.hpp (1.17),
test-suite/interpolations.cpp (1.7):
Spline boundary condition enumeration introduced
2004-03-03 16:33 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.nsi (1.92):
updated
2004-03-03 10:18 Ferdinando Ametrano <nando AT ametrano DOT net>
* TODO.txt (1.133):
updated
2004-03-02 15:23 Luigi Ballabio <luigi.ballabio AT statpro.com>
* BUGS.txt (1.1), ChangeLog.txt (1.41), UFILE (1.4),
dev_tools/developers (1.1), dev_tools/update_changelog.sh (1.1):
Added (bash) script for updating changelog
2004-03-02 15:23 Luigi Ballabio <luigi.ballabio AT statpro.com>
* Makefile.am (1.84), Docs/Makefile.am (1.60):
Doxygen glitch
2004-03-02 15:21 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Pricers/fddividendamericanoption.hpp (1.9):
Flagged as buggy
2004-03-02 15:20 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/: Math/svd.hpp (1.7),
PricingEngines/Basket/mcamericanbasketengine.hpp (1.3):
Flagged as non-buggy
2004-03-02 15:18 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/: matrix.cpp (1.23), matrix.hpp (1.25):
(conditionally) added extra checks
2004-03-01 18:31 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.dsp (1.221):
updated
2004-03-01 18:23 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.nsi (1.91):
updated to NSIS 2.0
2004-03-01 18:19 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/: dataformatters.hpp (1.26), discretizedasset.hpp (1.6),
handle.hpp (1.18), instrument.hpp (1.30), marketelement.hpp (1.19),
Instruments/payoffs.hpp (1.7), Math/generalstatistics.hpp (1.11),
Math/kronrodintegral.hpp (1.7), Math/loglinearinterpolation.hpp
(1.20), Math/trapezoidintegral.hpp (1.5),
MonteCarlo/pathgenerator.hpp (1.50), Pricers/singleassetoption.hpp
(1.32), PricingEngines/Barrier/mcbarrierengine.hpp (1.3),
PricingEngines/Basket/mcbasketengine.hpp (1.6),
PricingEngines/Vanilla/binomialengine.hpp (1.2):
pruned (VC++/Borland) redundant header inclusions
2004-03-01 18:00 Ferdinando Ametrano <nando AT ametrano DOT net>
* LICENSE.TXT (1.17), QuantLib.nsi (1.90):
updated to NSIS 2.0
2004-03-01 17:54 Ferdinando Ametrano <nando AT ametrano DOT net>
* LICENSE.TXT (1.16), QuantLib.nsi (1.89):
updated to NSIS 2.0
2004-03-01 17:48 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.nsi (1.88):
updated to NSIS 2.0
2004-03-01 16:26 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/: Math/cubicspline.hpp (1.37), functions/mathf.cpp (1.28),
functions/mathf.hpp (1.16):
enabling primitive calculation
2004-03-01 10:34 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/basketoption.cpp (1.13):
Borland warning avoided
2004-02-29 13:44 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/cubicspline.hpp (1.36), ql/Math/linearinterpolation.hpp
(1.19), test-suite/interpolations.cpp (1.6):
Fixes for gcc and typo
2004-02-27 18:11 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/kronrodintegral.hpp (1.6):
improved error messages
2004-02-27 18:03 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/: cubicspline.hpp (1.35), linearinterpolation.hpp (1.18):
Numerical Recipies code removed. primitive() methd added improved
error messages
2004-02-27 18:00 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/interpolations.cpp (1.5):
last test added. Monotonicity constraint is OK
2004-02-27 10:45 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/cubicspline.hpp (1.34), test-suite/interpolations.cpp
(1.3):
Fixes for gcc
2004-02-26 19:12 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.33), test-suite/interpolations.cpp
(1.2), test-suite/quantlibtestsuite.cpp (1.62):
Not-a-knot right end condition is now OK
2004-02-26 17:00 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/functions/mathf.cpp (1.27):
catching up with the new spline signature
2004-02-26 16:57 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/: Math/bicubicsplineinterpolation.hpp (1.11),
Math/interpolationtraits.hpp (1.6), Pricers/fddividendoption.cpp
(1.15), functions/mathf.hpp (1.15):
catching up with the new spline signature
2004-02-26 16:55 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/cubicspline.hpp (1.32):
imrpoved spline algorithms now include: clamped, second derivative,
and not-a-knot end condition. Not-a-knot right end condition is to
be fixed
2004-02-26 16:52 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: Makefile.am (1.29), interpolations.cpp (1.1),
interpolations.hpp (1.1), makefile.mak (1.30),
quantlibtestsuite.cpp (1.61), testsuite.dsp (1.29), testsuite.mak
(1.44):
adding (spline) interpolation tests
2004-02-24 13:58 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/matrices.cpp (1.14):
formatting
2004-02-24 13:02 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/Math/interpolation.hpp (1.21):
no message
2004-02-23 18:07 Ferdinando Ametrano <nando AT ametrano DOT net>
* TODO.txt (1.132):
updated (to be re-ordered)
2004-02-23 16:49 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: basketoption.cpp (1.12), factorial.cpp (1.8),
old_pricers.cpp (1.30), quantlibtestsuite.cpp (1.60):
comments added
2004-02-23 16:03 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: europeanoption.cpp (1.49), jumpdiffusion.cpp (1.10),
quantlibtestsuite.cpp (1.59):
comments added
2004-02-23 15:07 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/matrices.cpp (1.13):
fixing the test
2004-02-23 15:02 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/matrices.cpp (1.12):
extended output
2004-02-23 14:49 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/dataformatters.hpp (1.25):
ArrayFormatter::toString fix for multi-row output
2004-02-23 13:09 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/PricingEngines/Basket/: makefile.mak (1.2),
mcamericanbasketengine.cpp (1.5):
Borland integration
2004-02-23 12:33 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/matrix.hpp (1.24), ql/Math/svd.cpp (1.5), ql/Math/svd.hpp
(1.6), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.4),
ql/PricingEngines/Vanilla/americanmcengines.cpp (1.7),
test-suite/matrices.cpp (1.11):
Some work on SVD
2004-02-23 10:59 andrelouw
* ql/Calendars/johannesburg.cpp (1.11):
Fixed compile error
2004-02-23 10:57 andrelouw
* ql/Calendars/johannesburg.cpp (1.10):
Added 14 April 2004 (election day) as a once-off holiday.
2004-02-22 23:18 Neil Firth <>
* test-suite/: matrices.cpp (1.10), matrices.hpp (1.7):
Added test cases for the SVD code, only tests m>=n
2004-02-20 14:59 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/: Math/svd.hpp (1.5),
PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.2):
Tagged a couple of possible bugs
2004-02-18 11:33 Ferdinando Ametrano <nando AT ametrano DOT net>
* ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.6):
small changes
2004-02-16 18:48 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.2):
Interfering include guards
2004-02-16 14:44 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/Math/: generalstatistics.cpp (1.10), generalstatistics.hpp
(1.10):
sorting method exposed
2004-02-16 14:21 Luigi Ballabio <luigi.ballabio AT statpro.com>
* QuantLib.dsp (1.220), QuantLib.mak (1.200),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.3):
Fixes for VC++
2004-02-13 15:48 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/PricingEngines/Basket/: Makefile.am (1.3),
mcamericanbasketengine.cpp (1.2):
Removed miscellaneous inconveniences for gcc
2004-02-13 13:05 Neil Firth <>
* test-suite/: basketoption.cpp (1.11), basketoption.hpp (1.3):
Added test cases for american basket options - not called as the
convergence is not pefect - however the algorithms run without
exception and give answers in the rigth ballpark. Some debugging
still needed! Also, the basis function implementation needs looking
at for performance and memory (use Handles everywhere?)
2004-02-13 13:01 Neil Firth <>
* ql/MonteCarlo/multipathgenerator.hpp (1.40):
Modified MultiPath interface to remove drifts as they are in the
stochastic processes
2004-02-13 13:00 Neil Firth <>
* ql/PricingEngines/Basket/: all.hpp (1.3),
mcamericanbasketengine.cpp (1.1), mcamericanbasketengine.hpp (1.1),
mcbasketengine.hpp (1.5):
Modified MultiPath interface and started implmentation of Longstaff
Schwartz Least Squares Monte Carlo for basket options
2004-02-06 14:54 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/instrument.hpp (1.29), ql/option.hpp (1.25),
ql/Instruments/asianoption.cpp (1.9),
ql/Instruments/asianoption.hpp (1.10),
ql/Instruments/barrieroption.cpp (1.23),
ql/Instruments/barrieroption.hpp (1.20),
ql/Instruments/basketoption.cpp (1.3),
ql/Instruments/basketoption.hpp (1.3),
ql/Instruments/forwardvanillaoption.cpp (1.24),
ql/Instruments/forwardvanillaoption.hpp (1.21),
ql/Instruments/multiassetoption.cpp (1.3),
ql/Instruments/multiassetoption.hpp (1.3),
ql/Instruments/oneassetoption.cpp (1.5),
ql/Instruments/oneassetoption.hpp (1.6),
ql/Instruments/oneassetstrikedoption.cpp (1.9),
ql/Instruments/oneassetstrikedoption.hpp (1.9),
ql/Instruments/quantoforwardvanillaoption.cpp (1.19),
ql/Instruments/quantoforwardvanillaoption.hpp (1.16),
ql/Instruments/quantovanillaoption.cpp (1.26),
ql/Instruments/quantovanillaoption.hpp (1.22),
ql/Instruments/simpleswap.cpp (1.38), ql/Instruments/simpleswap.hpp
(1.37), ql/Instruments/stock.cpp (1.15), ql/Instruments/stock.hpp
(1.14), ql/Instruments/swap.cpp (1.29), ql/Instruments/swap.hpp
(1.25), ql/Instruments/vanillaoption.cpp (1.42),
ql/Instruments/vanillaoption.hpp (1.41), test-suite/instruments.cpp
(1.9):
Removed unused baggage from Instrument class
2004-02-06 12:28 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/history.hpp (1.19):
Post-increment broke stateful iterators
2004-02-04 14:11 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.dsp (1.219), QuantLib.mak (1.199),
ql/Instruments/Makefile.am (1.23), ql/Instruments/all.hpp (1.4),
ql/Instruments/binarybarrieroption.cpp (1.9),
ql/Instruments/binarybarrieroption.hpp (1.8),
ql/Instruments/makefile.mak (1.28), ql/MonteCarlo/Makefile.am
(1.30), ql/MonteCarlo/all.hpp (1.3),
ql/MonteCarlo/binarybarrierpathpricer.cpp (1.6),
ql/MonteCarlo/binarybarrierpathpricer.hpp (1.4),
ql/MonteCarlo/makefile.mak (1.28),
ql/PricingEngines/Barrier/Makefile.am (1.5),
ql/PricingEngines/Barrier/all.hpp (1.2),
ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp
(1.8),
ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp
(1.3),
ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp
(1.8),
ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp
(1.3), ql/PricingEngines/Barrier/makefile.mak (1.3),
ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp (1.4):
removing binary barrier option Instrument, PricingEngine and
PathPricer. Replaced by vanilla option Instrument and
PricingEngine with digital payoff (and digital path pricer)
2004-02-04 13:51 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: Makefile.am (1.28), binarybarrieroption.cpp (1.12),
binarybarrieroption.hpp (1.3), makefile.mak (1.29),
quantlibtestsuite.cpp (1.58), testsuite.dsp (1.28), testsuite.mak
(1.43):
removing binary barrier option tests
2004-02-04 13:45 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/digitaloption.cpp (1.18):
factoring out common code and removing redundant undocumented test
cases
2004-02-04 13:43 Ferdinando Ametrano <nando AT ametrano DOT net>
* test-suite/: utilities.hpp (1.7), europeanoption.cpp (1.48),
utilities.cpp (1.3), americanoption.cpp (1.12), barrieroption.cpp
(1.23), binarybarrieroption.cpp (1.11):
factoring out common code
2004-02-04 12:47 Ferdinando Ametrano <nando AT ametrano DOT net>
* QuantLib.dsp (1.218), QuantLib.mak (1.198),
ql/MonteCarlo/makefile.mak (1.27):
catching up
2004-02-03 16:28 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/calendar.cpp (1.17), ql/cashflow.hpp (1.17),
ql/dataformatters.cpp (1.29), ql/dataparsers.cpp (1.11),
ql/date.cpp (1.30), ql/date.hpp (1.26), ql/errors.hpp (1.16),
ql/grid.cpp (1.12), ql/instrument.hpp (1.28), ql/qldefines.hpp
(1.65), ql/solver1d.hpp (1.19), ql/voltermstructure.hpp (1.20),
ql/Calendars/jointcalendar.cpp (1.7),
ql/CashFlows/shortindexedcoupon.hpp (1.9),
ql/DayCounters/actualactual.cpp (1.22),
ql/DayCounters/thirty360.cpp (1.15),
ql/FiniteDifferences/boundarycondition.cpp (1.7),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.24),
ql/Indexes/xibor.cpp (1.16), ql/Instruments/barrieroption.cpp
(1.22), ql/Instruments/payoffs.hpp (1.6), ql/Math/array.hpp (1.3),
ql/Math/beta.cpp (1.3), ql/Math/bivariatenormaldistribution.cpp
(1.5), ql/Math/chisquaredistribution.cpp (1.10),
ql/Math/gammadistribution.cpp (1.9), ql/Math/incompletegamma.cpp
(1.2), ql/Math/matrix.cpp (1.22), ql/Math/simpsonintegral.hpp
(1.4), ql/Math/trapezoidintegral.hpp (1.4),
ql/MonteCarlo/barrierpathpricer.cpp (1.10),
ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.8),
ql/MonteCarlo/binarybarrierpathpricer.cpp (1.5),
ql/MonteCarlo/digitalpathpricer.cpp (1.4),
ql/MonteCarlo/multipathgenerator.hpp (1.39),
ql/MonteCarlo/pathgenerator.hpp (1.49),
ql/Optimization/conjugategradient.cpp (1.18),
ql/Optimization/constraint.hpp (1.17),
ql/Optimization/linesearch.hpp (1.17),
ql/Optimization/steepestdescent.cpp (1.16),
ql/Pricers/discretegeometricapo.cpp (1.15),
ql/Pricers/discretegeometricaso.cpp (1.15),
ql/Pricers/europeanoption.hpp (1.20),
ql/Pricers/fddividendeuropeanoption.hpp (1.12),
ql/Pricers/fddividendoption.hpp (1.9),
ql/Pricers/fddividendshoutoption.hpp (1.11),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.2),
ql/PricingEngines/americanpayoffathit.hpp (1.4),
ql/PricingEngines/blackformula.hpp (1.11),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.5),
ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp
(1.7), ql/PricingEngines/Basket/stulzengine.cpp (1.9),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.6),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.5),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.3),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.27),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.26),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.11),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.19),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.18), ql/Solvers1D/bisection.hpp (1.13), ql/Solvers1D/brent.hpp
(1.13), ql/Solvers1D/falseposition.hpp (1.13),
ql/Solvers1D/newton.hpp (1.14), ql/Solvers1D/newtonsafe.hpp (1.14),
ql/Solvers1D/ridder.hpp (1.13), ql/Solvers1D/secant.hpp (1.13),
ql/TermStructures/compoundforward.cpp (1.29),
ql/TermStructures/piecewiseflatforward.cpp (1.38),
ql/functions/mathf.cpp (1.26), ql/functions/vols.cpp (1.23),
test-suite/asianoptions.cpp (1.13), test-suite/barrieroption.cpp
(1.22), test-suite/basketoption.cpp (1.10), test-suite/capfloor.cpp
(1.26), test-suite/europeanoption.cpp (1.47),
test-suite/utilities.cpp (1.2):
Introduced QL_FAIL macro (its utility will become clear later)
2004-02-03 16:25 Luigi Ballabio <luigi.ballabio AT statpro.com>
* QuantLib.dsp (1.217), QuantLib.mak (1.197),
ql/MonteCarlo/europeanmultipathpricer.cpp (1.2),
test-suite/testsuite.dsp (1.27), test-suite/testsuite.mak (1.42):
Fixes for VC++
2004-02-03 16:07 Luigi Ballabio <luigi.ballabio AT statpro.com>
* test-suite/: Makefile.am (1.27), americanoption.cpp (1.11),
asianoptions.cpp (1.12), barrieroption.cpp (1.21), basketoption.cpp
(1.9), binarybarrieroption.cpp (1.10), capfloor.cpp (1.25),
compoundforward.cpp (1.9), covariance.cpp (1.15), digitaloption.cpp
(1.17), distributions.cpp (1.13), europeanoption.cpp (1.46),
factorial.cpp (1.7), jumpdiffusion.cpp (1.9), makefile.mak (1.28),
matrices.cpp (1.9), old_pricers.cpp (1.29),
piecewiseflatforward.cpp (1.14), riskstats.cpp (1.30), solvers.cpp
(1.8), stats.cpp (1.20), swap.cpp (1.14), swaption.cpp (1.18),
termstructures.cpp (1.13), utilities.cpp (1.1), utilities.hpp
(1.6):
Collected commonly used functions
2004-02-02 13:31 Luigi Ballabio <luigi.ballabio AT statpro.com>
* ql/PricingEngines/Basket/mcbasketengine.hpp (1.4):