commit fb0dec74925297a186816061f80adb4217b076df
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 23 Jan 2015 10:20:48 +0100

    Remove requests for key presses.
    
    Previously we had a command-line argument to switch it off, but
    it cannot be passed when running 'make check' without a number
    of contortions. For now I'll just let it go like the other examples.

 .../Examples/Gaussian1dModels/Gaussian1dModels.cpp | 85 ----------------------
 QuantLib/Examples/Gaussian1dModels/Makefile.am     |  2 +-
 2 files changed, 1 insertion(+), 86 deletions(-)

commit 341ead04a42871b28b567385c92aa4b574ed23ef
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 22 Jan 2015 17:52:55 +0100

    Allow linking with sessions enabled.

 QuantLib/Examples/Gaussian1dModels/Gaussian1dModels.cpp | 8 ++++++++
 QuantLib/Examples/MultidimIntegral/MultidimIntegral.cpp | 8 ++++++++
 2 files changed, 16 insertions(+)

commit 66a47a6d4a861d0f1cba9166572901ccd39e875b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 22 Jan 2015 17:52:24 +0100

    Avoid error in conditionally-compiler code.

 QuantLib/ql/experimental/credit/spotlosslatentmodel.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit c7770b4343809b942b6ce88514a102f1c318cf35
Merge: 1afbd76 42cb297
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 21 Jan 2015 10:46:00 +0100

    Merge pull request #190 into v1.5.x.

commit 42cb29769aeb4f7b283c9a06af2a37ca190f19a3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 21 Jan 2015 10:45:12 +0100

    Fix typo in comments.

 QuantLib/ql/currencies/asia.cpp | 2 +-
 QuantLib/ql/currencies/asia.hpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 7ba364a1af0baf9bf982521e880a1b2a2bc034a4
Author: scchess <support@smallchess.com>
Date:   Wed, 21 Jan 2015 11:24:02 +1100

    Update asia.cpp
    
    Fixed a typo.

 QuantLib/ql/currencies/asia.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit b3ceac3069d88f390b6bca9563b9fd3f3491e0b0
Merge: 39493c7 809f56f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 19 Jan 2015 11:56:14 +0100

    Merge pull request #187 into v1.5.x branch.

commit 39493c73dec09c9428da5af07b2abab9e07ec30d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 19 Jan 2015 10:45:03 +0100

    Allow creating zero-spreaded curve with null underlying.
    
    It can be set later. This was allowed in 1.4, but was raising
    and exception after the latest changes.

 .../yield/zerospreadedtermstructure.hpp            |  9 +++------
 QuantLib/test-suite/termstructures.cpp             | 22 +++++++++++++++++++++-
 QuantLib/test-suite/termstructures.hpp             |  1 +
 3 files changed, 25 insertions(+), 7 deletions(-)

commit 809f56fb877fbcce04964f6c772d5c298d1f2257
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 16 Jan 2015 21:34:23 +0100

    avoid a few warnings

 QuantLib/ql/experimental/models/basketgeneratingengine.cpp | 4 ++--
 QuantLib/ql/experimental/models/gsrprocess.cpp             | 6 +++---
 QuantLib/ql/math/modifiedbessel.cpp                        | 6 ++++--
 3 files changed, 9 insertions(+), 7 deletions(-)

commit 6ec5c0a2543df2bc1eade0023e8392d73c07f8ee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 16 Jan 2015 14:09:28 +0100

    Fix a few test messages.

 QuantLib/test-suite/forwardoption.cpp  | 2 +-
 QuantLib/test-suite/functions.cpp      | 2 +-
 QuantLib/test-suite/hestonmodel.cpp    | 2 +-
 QuantLib/test-suite/interpolations.cpp | 4 ++--
 QuantLib/test-suite/noarbsabr.cpp      | 2 +-
 QuantLib/test-suite/solvers.cpp        | 2 +-
 6 files changed, 7 insertions(+), 7 deletions(-)

commit baaa01dc09d0377db1c98198f95cab0a48cb3ab6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 16 Jan 2015 11:44:21 +0100

    Update list of copyright attributions.

 QuantLib/Docs/pages/license.docs | 18 ++++++++++++------
 QuantLib/LICENSE.TXT             | 18 ++++++++++++------
 2 files changed, 24 insertions(+), 12 deletions(-)

commit 4861b4512a8c34ca7549376c2fcb68dd24a5e5d3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 16 Jan 2015 11:41:29 +0100

    Remove variations in copyright atttributions.

 .../ql/experimental/barrieroption/vannavolgadoublebarrierengine.cpp     | 2 +-
 QuantLib/ql/indexes/ibor/shibor.cpp                                     | 2 +-
 QuantLib/ql/indexes/ibor/shibor.hpp                                     | 2 +-
 3 files changed, 3 insertions(+), 3 deletions(-)

commit 53cd97e03a3565d66e94485e2048579ad5e6dce2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 15 Jan 2015 14:06:36 +0100

    Prevent warnings about conversion from double to integer.

 .../experimental/exoticoptions/continuousarithmeticasianvecerengine.cpp | 2 +-
 QuantLib/test-suite/distributions.cpp                                   | 2 +-
 QuantLib/test-suite/interpolations.cpp                                  | 2 +-
 3 files changed, 3 insertions(+), 3 deletions(-)

commit afea979cf36395d6ad1df16824c5b671b714c528
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 13 Jan 2015 00:14:04 +0100

    Replace hard tabs with spaces.

 QuantLib/ql/currencies/africa.cpp                  |   2 +-
 .../barrieroption/analyticdoublebarrierengine.hpp  |   6 +-
 .../barrieroption/doublebarrieroption.cpp          |  21 ++---
 QuantLib/ql/experimental/catbonds/catbond.hpp      |  13 ++-
 QuantLib/ql/experimental/catbonds/catrisk.cpp      |  29 +++---
 QuantLib/ql/experimental/catbonds/catrisk.hpp      |  32 +++----
 .../catbonds/montecarlocatbondengine.cpp           |   2 +-
 .../ql/experimental/credit/integralntdengine.cpp   |   2 +-
 QuantLib/ql/experimental/credit/nthtodefault.cpp   |   4 +-
 .../credit/randomdefaultlatentmodel.hpp            |  14 +--
 .../ql/experimental/credit/recursivelossmodel.hpp  |   2 +-
 .../exoticoptions/analyticpdfhestonengine.cpp      |   2 +-
 .../continuousarithmeticasianvecerengine.hpp       |  18 ++--
 .../fdsimpleextoujumpswingengine.cpp               |   4 +-
 .../fdsimpleextoustorageengine.cpp                 |   2 +-
 .../fdsimpleextoustorageengine.hpp                 |  12 +--
 QuantLib/ql/experimental/math/latentmodel.hpp      |  54 +++++------
 .../ql/experimental/math/multidimintegrator.hpp    |  14 +--
 QuantLib/ql/math/integrals/filonintegral.cpp       | 102 ++++++++++-----------
 QuantLib/ql/math/integrals/filonintegral.hpp       |  12 +--
 .../matrixutilities/sparseilupreconditioner.cpp    |   6 +-
 .../stepconditions/fdmsimpleswingcondition.cpp     |   2 +-
 .../vanilla/baroneadesiwhaleyengine.cpp            |   4 +-
 .../vanilla/fdsimplebsswingengine.cpp              |   4 +-
 QuantLib/ql/termstructures/yield/zerocurve.hpp     |   2 +-
 QuantLib/ql/time/businessdayconvention.cpp         |   4 +-
 QuantLib/ql/time/calendars/hongkong.cpp            |  33 ++++---
 27 files changed, 199 insertions(+), 203 deletions(-)

commit 6ec0f2c699e24b441462379250a17318b747ab3b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 12 Jan 2015 23:41:53 +0100

    Ensure that the header compiles when included alone.

 QuantLib/ql/experimental/math/latentmodel.hpp | 2 ++
 1 file changed, 2 insertions(+)

commit 4fbaa17422891a4901c2e8cf27f9209de29cea63
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 12 Jan 2015 22:14:31 +0100

    Avoid including experimental from core.
    
    I'll make up for this in next release. Scout's honor.
    I'm not a scout, but still.

 QuantLib/QuantLib.dev                              | 10 +++++
 QuantLib/QuantLib.vcxproj                          |  1 +
 QuantLib/QuantLib.vcxproj.filters                  |  3 ++
 QuantLib/QuantLib_vc8.vcproj                       |  4 ++
 QuantLib/QuantLib_vc9.vcproj                       |  4 ++
 QuantLib/ql/experimental/volatility/Makefile.am    |  1 +
 QuantLib/ql/experimental/volatility/all.hpp        |  1 +
 .../experimental/volatility/swaptionvolcube1a.hpp  | 43 ++++++++++++++++++++++
 .../volatility/swaption/swaptionvolcube1.hpp       | 12 ------
 9 files changed, 67 insertions(+), 12 deletions(-)

commit b434322c96480e3d6a492fd462712b6ca9956687
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 12 Jan 2015 21:06:32 +0100

    Reordered headers.
    
    The lore of old was that by including your own headers first,
    you'd get a more readable error message when you made a mistake
    in one of them. This might be a relic of a time long past, as
    today's compiler's are probably smart enough to figure the error
    out. Oh well, just in case.

 QuantLib/ql/experimental/credit/basket.cpp                |  3 +--
 QuantLib/ql/experimental/credit/binomiallossmodel.hpp     | 13 +++++--------
 .../experimental/credit/defaultprobabilitylatentmodel.hpp |  3 +--
 QuantLib/ql/experimental/credit/gaussianlhplossmodel.hpp  |  9 +++------
 QuantLib/ql/experimental/credit/integralntdengine.cpp     |  3 +--
 QuantLib/ql/experimental/credit/pool.cpp                  |  3 +--
 QuantLib/ql/experimental/credit/pool.hpp                  |  2 +-
 QuantLib/ql/experimental/math/convolvedstudentt.hpp       |  5 ++---
 QuantLib/ql/experimental/math/gaussiancopulapolicy.hpp    |  8 +++-----
 QuantLib/ql/experimental/math/latentmodel.hpp             | 15 ++++++---------
 QuantLib/ql/experimental/math/multidimintegrator.hpp      |  8 +++-----
 QuantLib/ql/experimental/math/multidimquadrature.hpp      |  4 +---
 QuantLib/ql/experimental/math/tcopulapolicy.cpp           |  4 +---
 QuantLib/ql/experimental/math/tcopulapolicy.hpp           |  8 +++-----
 QuantLib/ql/experimental/models/gsr.cpp                   |  2 +-
 QuantLib/ql/experimental/risk/creditriskplus.hpp          |  4 +---
 16 files changed, 34 insertions(+), 60 deletions(-)

commit b95757af91b4b96414400d026ab29bc20a59c97b
Merge: f7f0b46 83e42db
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 11 Jan 2015 22:47:44 +0100

    Merge pull request #185.

commit 83e42db97c28895d5d2dbb97fa81f69d5a373c87
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 11 Jan 2015 20:21:16 +0100

    avoid uninitialized reads in GsrProcess::flushCache(), although not harmful

 QuantLib/ql/experimental/models/gsr.cpp | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

commit f7f0b46487936b1d9c306f1266e035f2f55e2632
Merge: 8fefb7a a0589c0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 23:24:04 +0100

    Merge pull request #184.

commit 8fefb7a5ab227c36485feb8d2f77a530d2f35181
Merge: 1139f75 9f33724
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 22:42:28 +0100

    Merge pull request #180.

commit 1139f75d337551b711010d366b30d9c423498b97
Merge: e411457 b913eae
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 21:18:23 +0100

    Merge pull request #179.

commit b913eaeb4dccf2001725e4aededd32bcc674c392
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 20:53:36 +0100

    Update documentation.

 QuantLib/ql/time/calendars/china.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e411457a0284fd0db39d82a5fce632094b4a13c1
Merge: 2e1d82c 2fb3645
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 20:49:13 +0100

    Merge pull request #175.

commit 2e1d82ce7d5aa2e3885bd208d06920327f11d584
Merge: 72d65a5 95e6340
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jan 2015 20:24:50 +0100

    Merge pull request #174.

commit a0589c034b12e6861f5e9341b75aafdda2fb7f34
Author: Pepe <japari@free.fr>
Date:   Tue, 30 Dec 2014 12:10:12 +0100

    Alternative ESF definition commented out.

 .../credit/randomdefaultlatentmodel.hpp            | 379 +++++++++++----------
 1 file changed, 195 insertions(+), 184 deletions(-)

commit 9f3372427b1518f19ad833d83c62139d72bee7a9
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 22 Dec 2014 18:00:16 +0100

    add end date for OIS ECB JAN16

 QuantLib/ql/time/ecb.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit b72f7ab0b5c38929c47eec9f5788d60c225d5900
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 10 Nov 2014 19:25:13 +0100

    EUR ECB date: add january 2016

 QuantLib/ql/time/ecb.cpp | 1 +
 1 file changed, 1 insertion(+)

commit 42033a0e95e59fdd68a1c4459683992d877eab5a
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 11 Aug 2014 15:08:53 +0200

    Ecb Dates update, new calendar for 2015 with six-weeks interval

 QuantLib/ql/time/ecb.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 8b47f3d4fed7c25077619ad20213907c34e60cd5
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 11 Aug 2014 12:51:04 +0200

    ECB dates for 2014 and 2015

 QuantLib/ql/time/ecb.cpp | 3 +++
 1 file changed, 3 insertions(+)

commit 6b0949e68beb0a21d14dfbb54148016ccdc242c8
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 22 Dec 2014 15:36:05 +0100

    China Calendar for 2015

 QuantLib/ql/time/calendars/china.cpp | 14 +++++++++++++-
 1 file changed, 13 insertions(+), 1 deletion(-)

commit 8ac8fe2bf421a1e0808c56dcf4b2c61ee2b8e6e1
Merge: e098e7e 1ea13ae
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Dec 2014 16:22:32 +0100

    Merge pull request #178.

commit 1ea13ae47d550d39d0e773bd03eff5aa90cc682a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Dec 2014 15:45:45 +0100

    Update documentation.

 QuantLib/ql/time/calendars/hongkong.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 724300fd0832e90a30cba85d0e6ba9ebdceea3fa
Author: Student T <WongMingYin@gmail.com>
Date:   Tue, 23 Dec 2014 01:05:43 +1100

    Updated the HK calendar for 2015. Information from http://www.gov.hk/en/about/abouthk/holiday/.

 QuantLib/ql/time/calendars/hongkong.cpp | 20 ++++++++++++++++++--
 1 file changed, 18 insertions(+), 2 deletions(-)

commit 95e6340cf14bd6ea74860623788cc70d0e44b6e7
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 17 Dec 2014 11:10:55 +0100

    fix model output

 QuantLib/ql/experimental/models/markovfunctional.cpp | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

commit 2fb3645b0298cf0297063fa89967ee63ff85771b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 12 Dec 2014 17:46:03 +0100

    the interpolated date may not be a valid fixing date, so we adjust it accordingly

 .../ql/termstructures/volatility/swaption/swaptionvolcube2.cpp     | 7 +++++++
 1 file changed, 7 insertions(+)

commit e009296b5f37f994288d0d996e8177c743ed7914
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 12 Dec 2014 12:38:06 +0100

    shift central index in case atm is in the arbitrageable area, fix arbitrage check

 QuantLib/ql/experimental/models/smilesectionutils.cpp | 13 ++++++++++++-
 1 file changed, 12 insertions(+), 1 deletion(-)

commit 3931aab05d0bef6bf08364762be2e312b302e0b9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 12 Dec 2014 12:37:33 +0100

    change update method to public

 QuantLib/ql/experimental/models/markovfunctional.hpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit ed85d9f1ee7204661ce8061b15fde8ccfbcf7b3a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 11 Dec 2014 12:56:48 +0100

    Avoid an overload ambiguity on VC++9.

 QuantLib/ql/math/distributions/bivariatestudenttdistribution.cpp | 4 +---
 1 file changed, 1 insertion(+), 3 deletions(-)

commit 28e1b50f19e40d77fd19c7f7b07a3d4473bb9d6a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 10 Dec 2014 12:23:22 +0100

    Include missing header.

 QuantLib/test-suite/asianoptions.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 4d60b69c7f7a25a2f4c367d847254f1b7fb79f92
Merge: c1cebdc 9202ece
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Nov 2014 12:11:16 +0100

    Merge pull request #173.

commit 9202ece4bd5701ea509a6516d45685beaddc2eab
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 26 Nov 2014 19:39:23 +0100

    revert definition of QL_INFINITY (which may be misleading if has_infinity() is false), replace minus infinity by minus maximum real for log 0 (what really matters is only to have a defined value here)

 QuantLib/ql/math/distributions/binomialdistribution.hpp | 4 ++--
 QuantLib/ql/qldefines.hpp                               | 4 ----
 2 files changed, 2 insertions(+), 6 deletions(-)

commit c1cebdcdd97e53a359e3c6ab52377f27ea786ab6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Nov 2014 16:55:54 +0100

    Fix inflation-rate interpolation.
    
    Thanks to Amine Ifri for the heads-up.

 QuantLib/ql/termstructures/inflationtermstructure.cpp | 8 ++++++--
 1 file changed, 6 insertions(+), 2 deletions(-)

commit 308711d5131d488fc905afa1940001c3f15f8bf3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Nov 2014 10:14:05 +0100

    Add Vecer engine for continuous-averaging Asian options.
    
    Thanks to Bernd Lewerenz.

 QuantLib/Contributors.txt                          |   1 +
 QuantLib/Docs/pages/authors.docs                   |   1 +
 QuantLib/QuantLib.dev                              |  22 +-
 QuantLib/QuantLib.vcxproj                          |   2 +
 QuantLib/QuantLib.vcxproj.filters                  |   6 +
 QuantLib/QuantLib_vc8.vcproj                       |   8 +
 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/experimental/exoticoptions/Makefile.am |   2 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |   1 +
 .../continuousarithmeticasianvecerengine.cpp       | 254 +++++++++++++++++++++
 .../continuousarithmeticasianvecerengine.hpp       |  62 +++++
 QuantLib/test-suite/asianoptions.cpp               |  76 ++++++
 QuantLib/test-suite/asianoptions.hpp               |   1 +
 13 files changed, 443 insertions(+), 1 deletion(-)

commit a8a588efe76d89c474c39742c92a38e0bf6e3ce9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Nov 2014 15:56:05 +0100

    fix some garbage / never used values, add infinity

 QuantLib/ql/experimental/models/gaussian1dmodel.cpp     | 6 +++---
 QuantLib/ql/math/distributions/binomialdistribution.hpp | 2 ++
 QuantLib/ql/qldefines.hpp                               | 4 ++++
 3 files changed, 9 insertions(+), 3 deletions(-)

commit 523e7b2eaef409bc2f3291747fd4f5364f2bd5d3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 21 Nov 2014 21:17:24 +0100

    Fix file names in project filters.

 QuantLib/QuantLib.vcxproj.filters | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 2f880dabb3c572ffda7af8b70f7902c7127c8f40
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 21 Nov 2014 14:21:55 +0100

    Add bivariate cumulative student t distribution.
    
    Thanks to Michal Kaut.
    
    Closes #121.

 QuantLib/QuantLib.dev                              |  22 ++-
 QuantLib/QuantLib.vcxproj                          |   2 +
 QuantLib/QuantLib.vcxproj.filters                  |   6 +
 QuantLib/QuantLib_vc8.vcproj                       |   8 +
 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/math/distributions/Makefile.am         |   2 +
 QuantLib/ql/math/distributions/all.hpp             |   1 +
 .../bivariatestudenttdistribution.cpp              | 174 +++++++++++++++++
 .../bivariatestudenttdistribution.hpp              |  55 ++++++
 QuantLib/test-suite/distributions.cpp              | 211 +++++++++++++++++++++
 QuantLib/test-suite/distributions.hpp              |   2 +
 11 files changed, 490 insertions(+), 1 deletion(-)

commit a100b6dc0a1a1d982ec9a691945b87ee6bea268e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 19 Nov 2014 18:13:22 +0100

    Fix expected hash value for 32-bit targets.

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 6 +++++-
 1 file changed, 5 insertions(+), 1 deletion(-)

commit 488eb6e9a0835ee4339a800ce6e4b8a7a2d9d856
Merge: 25b8cfb 28d4043
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 19 Nov 2014 16:24:25 +0100

    Merge development branch: clean up VC++ configuration.

commit 25b8cfb52992edba5691d9fed487ae059e6f483e
Merge: 40cc084 6a820e6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 19 Nov 2014 14:22:56 +0100

    Merge pull request #171.

commit 40cc084f197ec4d9a26354b1c95470d2653182f8
Merge: 3616764 20a54f3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 19 Nov 2014 13:41:14 +0100

    Merge pull request #170.

commit 6a820e6e291a524ea46cc5ccb3b4259071bc1528
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 19 Nov 2014 10:44:34 +0100

    replace macro MINSTRIKE by parameter cutoffStrike in the constructor (with same value as default, no no change of behaviour is implied by this)

 .../volatility/swaption/swaptionvolcube1.hpp            | 17 +++++++++--------
 1 file changed, 9 insertions(+), 8 deletions(-)

commit 20a54f3d39224d302bba1ca295c391f478f850ab
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Nov 2014 21:36:23 +0100

    add test cases

 QuantLib/test-suite/interpolations.cpp | 110 ++++++++++++++++++++++++++++++++-
 QuantLib/test-suite/interpolations.hpp |   2 +
 2 files changed, 110 insertions(+), 2 deletions(-)

commit 18358f27b5176f94a9a35ff2866c9b0ff35e5b09
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 17 Nov 2014 18:35:53 +0100

    formatting

 .../ql/math/interpolations/sabrinterpolation.hpp   | 22 +++++++++++++++-------
 1 file changed, 15 insertions(+), 7 deletions(-)

commit b9140ec813f8b50f32129fba643db1dcaf5f8133
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 17 Nov 2014 18:16:46 +0100

    fix transformation and inverse

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit e330ce94b235914963b1b91c962b8884f02f30f7
Merge: 8c44edd 1cf8b20
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 17 Nov 2014 10:28:48 +0100

    Merge latest changesets from 1.4.x branch.

commit 28d4043e76658254c209e8b5ed58f89bdb8bd725
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 14 Nov 2014 12:02:39 +0100

    Fix configuration of a few VC++9 projects.
    
    Some were missing the x64 target; others were missing a couple
    of Debug/Release configurations.

 .../Examples/BasketLosses/BasketLosses_vc9.vcproj  | 1036 +++++++++++++++----
 .../Examples/LatentModel/LatentModel_vc9.vcproj    | 1039 ++++++++++++++++----
 .../MultidimIntegral/MultidimIntegral_vc9.vcproj   | 1038 +++++++++++++++----
 QuantLib/QuantLib_vc9.sln                          |   84 +-
 4 files changed, 2552 insertions(+), 645 deletions(-)

commit 20b1c4db3d402b5a44bff2ae740d13f9e14cffb0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Nov 2014 11:53:00 +0100

    Consolidate VC++ configuration.

 QuantLib/ql/config.msvc.hpp | 62 +++++++++++++++++----------------------------
 1 file changed, 23 insertions(+), 39 deletions(-)

commit 1cca9792647257073e6abf7f2d8775d1a6921fa8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Nov 2014 11:39:41 +0100

    Prepare VC++ projects for future compiler version.

 QuantLib/QuantLib.props   | 4 +++-
 QuantLib/ql/auto_link.hpp | 4 +++-
 2 files changed, 6 insertions(+), 2 deletions(-)

commit 8c44edd7d2ff358ee4661a3e54d5efed801b815d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Nov 2014 10:56:36 +0100

    Report correct quantities in test message.
    
    Thanks to Stephan Buschmann for the heads-up.

 QuantLib/test-suite/barrieroption.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 427a6be9b2f3ec68a2517ed0db25cf784bb925bb
Merge: 6a58371 86e01dd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 11 Nov 2014 11:43:08 +0100

    Merge pull request #165.

commit 86e01dd815cd596f34a2948481ebf2b670b0da8e
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Tue, 11 Nov 2014 14:44:15 +0800

    Fix a bug when copied iterators became invalid.

 .../ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp     | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 6a58371eec9f1e25af330db1222350f0721f24fc
Merge: c07e1db 14012ab
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 10 Nov 2014 17:57:36 +0100

    Merge pull request #164.

commit 14012abfe6ed7530f84dfe9047a4f5da4d692b41
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 10 Nov 2014 15:52:58 +0100

    Remove unused, commented-out code.

 .../amortizingbonds/amortizingfixedratebond.cpp        | 18 ------------------
 1 file changed, 18 deletions(-)

commit 799d658f267fe12f751363a6253285e622beb843
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 10 Nov 2014 15:51:53 +0100

    Minor formatting issues (indentation etc).

 QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

commit c07e1db436e2ecf2ceaac29cb2f36793758c1c21
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 10 Nov 2014 13:47:49 +0100

    Prevent compilation errors with clang and Boost 1.57.
    
    Apparently, quite a few invocations of boost::lambda::bind broke
    under clang after the Boost 1.57 release. I'm not sure whether Boost
    or clang is to blame for this, but since I can't fix either, for
    the time being I'm replacing the broken lambdas with function objects
    (including some that weren't really readable, so it's not a total
    loss after all).
    
    Closes #163

 .../processes/extendedornsteinuhlenbeckprocess.cpp | 32 +++++-----
 QuantLib/ql/experimental/volatility/noarbsabr.cpp  | 36 ++++++-----
 QuantLib/ql/experimental/volatility/noarbsabr.hpp  |  3 +-
 .../vanilla/analytichestonengine.cpp               | 73 ++++++++++++----------
 QuantLib/ql/processes/hestonprocess.cpp            | 28 +++++----
 QuantLib/test-suite/integrals.cpp                  | 36 ++++++-----
 QuantLib/test-suite/vpp.cpp                        | 22 ++++---
 7 files changed, 129 insertions(+), 101 deletions(-)

commit 778b141ba7e5de3382ea881b4dc1345dfa1b04a5
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Mon, 10 Nov 2014 15:24:33 +0800

    make the error message more clear.

 QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 10e3f22a43ca1476ff002995534a0a3e36591c0d
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Mon, 10 Nov 2014 15:10:05 +0800

    Fix crash when bond tenor length is 0

 QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp | 1 +
 1 file changed, 1 insertion(+)

commit d2fcfd087a2ddf83e3db72214254ba5ed19e55aa
Merge: 79c55b1 a8b3f64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 11:11:09 +0100

    Merge pull request #160.

commit a8b3f645419b29605a74ef33a89eef804d5bd589
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 10:45:07 +0100

    Update Dev-C++ project.

 QuantLib/QuantLib.dev | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit a35668512301ebfdcf547a62acfbbf28f8923336
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 10:44:00 +0100

    Removed .c and .h files.

 .../ql/math/randomnumbers/primitivepolynomials.c   | 21376 -------------------
 .../ql/math/randomnumbers/primitivepolynomials.h   |   269 -
 2 files changed, 21645 deletions(-)

commit 91c3cf28b5c2438b24e3d0e5a5f52fc1a46233b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 10:35:38 +0100

    Add missing inclusion.

 QuantLib/test-suite/amortizingbond.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 0ccbd8ac34ab69f47167ff547a94f335bba9a12e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 10:07:25 +0100

    Add new files to build.

 QuantLib/test-suite/Makefile.am               |  1 +
 QuantLib/test-suite/testsuite.dev             | 22 +++++++++++++++++++++-
 QuantLib/test-suite/testsuite.vcxproj         |  2 ++
 QuantLib/test-suite/testsuite.vcxproj.filters |  6 ++++++
 QuantLib/test-suite/testsuite_vc8.vcproj      |  8 ++++++++
 QuantLib/test-suite/testsuite_vc9.vcproj      |  8 ++++++++
 6 files changed, 46 insertions(+), 1 deletion(-)

commit 345e319310b70b65ee03b206c7d760f911191ac4
Merge: 28cb572 27d7bdc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 10:03:24 +0100

    Merge latest changes from master.

commit 27d7bdc59568c501b529b2d820da6283002f4b91
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Nov 2014 09:54:55 +0100

    Inline template-method specializations.
    
    This avoids double-definition errors on some platforms.

 QuantLib/ql/experimental/credit/basecorrelationlossmodel.hpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 28cb572aa346a3d3a52b9ad6a8b4a85ae2aef940
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Tue, 4 Nov 2014 15:56:27 +0800

    fix denominator

 QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit c15cd662eec15904e93758143c5f4e49255116fe
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Tue, 4 Nov 2014 15:51:04 +0800

    Add test for amortizing bond

 QuantLib/test-suite/amortizingbond.cpp    | 94 +++++++++++++++++++++++++++++++
 QuantLib/test-suite/amortizingbond.hpp    | 32 +++++++++++
 QuantLib/test-suite/quantlibtestsuite.cpp |  2 +
 3 files changed, 128 insertions(+)

commit 018878baf3bf038b6cf60bc68497ed08553d165b
Author: quanttiger <guojie.wang@gmail.com>
Date:   Sat, 1 Nov 2014 16:28:27 -0400

    Rename primitivepolynomials.c to primitivepolynomials.cpp and primitivepolynomials.h to primitivepolynomials.hpp

 QuantLib/QuantLib.vcxproj                          |     4 +-
 QuantLib/QuantLib_vc8.vcproj                       |     4 +-
 QuantLib/QuantLib_vc9.vcproj                       |     4 +-
 QuantLib/ql/math/randomnumbers/Makefile.am         |     4 +-
 QuantLib/ql/math/randomnumbers/all.hpp             |     2 +-
 .../ql/math/randomnumbers/primitivepolynomials.cpp | 21376 +++++++++++++++++++
 .../ql/math/randomnumbers/primitivepolynomials.hpp |   269 +
 QuantLib/ql/math/randomnumbers/sobolrsg.cpp        |     2 +-
 QuantLib/ql/math/randomnumbers/sobolrsg.hpp        |     2 +-
 QuantLib/test-suite/lowdiscrepancysequences.cpp    |     2 +-
 10 files changed, 21657 insertions(+), 12 deletions(-)

commit 6e336f90462e60b333e131a978b9817f2dbe2719
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Oct 2014 13:52:41 +0100

    Prevent a few warnings when using g++ 4.9.

 .../barrieroption/perturbativebarrieroptionengine.cpp    |  6 ------
 QuantLib/ql/experimental/volatility/noarbsabr.cpp        |  2 +-
 QuantLib/ql/math/matrixutilities/pseudosqrt.cpp          |  2 ++
 QuantLib/test-suite/catbonds.cpp                         | 16 ++++++++--------
 4 files changed, 11 insertions(+), 15 deletions(-)

commit 99e04fa0f958978d200ab58905641c7013eb0fca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 29 Oct 2014 16:42:54 +0100

    Fix a new compilation/linking issues with VC++12.

 QuantLib/Examples/MultidimIntegral/MultidimIntegral.cpp   |  3 +--
 QuantLib/ql/auto_link.hpp                                 |  4 +++-
 QuantLib/ql/experimental/credit/binomiallossmodel.hpp     |  2 +-
 .../ql/experimental/credit/randomdefaultlatentmodel.hpp   | 15 ++++++++-------
 QuantLib/ql/experimental/volatility/noarbsabr.cpp         | 14 +++++++-------
 5 files changed, 20 insertions(+), 18 deletions(-)

commit c3849cac19079ffa35df242136437813a0ded660
Merge: 28c9162 eb50b4b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 29 Oct 2014 15:24:06 +0100

    Merge branch for unification of VC++ projects.

commit eb50b4bbb3725fac760cf3b11659e33fa72b0f99
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 29 Oct 2014 12:04:50 +0100

    Add VC12 solution.

 QuantLib/Makefile.am       |   1 +
 QuantLib/QuantLib_vc12.sln | 363 +++++++++++++++++++++++++++++++++++++++++++++
 2 files changed, 364 insertions(+)

commit e7a836c381264b6c408db7a5d0cd8feb088bfb8e
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Wed, 29 Oct 2014 12:26:37 +0800

    modify limiting case

 QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e444cfc45de74e04a8df2132cf09f5d66dde4404
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Wed, 29 Oct 2014 12:17:32 +0800

    Fix a bug when the coupon rate is very near 0
    
    Original implementation of sinkingNotionals will raise singularity when coupon is very near 0. I suggest to add some threshold check on the coupon rate and when it is low change to limitation case.

 .../experimental/amortizingbonds/amortizingfixedratebond.cpp  | 11 +++++++++--
 1 file changed, 9 insertions(+), 2 deletions(-)

commit 28c916265d21ab546e818acf1a65542c7eb700a6
Merge: c484991 8f06c57
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 18:11:26 +0100

    Merge pull request #157.

commit 65c8ba5dc81b140c569d018dff8ff8e86b3d3e0a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 17:23:29 +0100

    Fix solution header.

 QuantLib/QuantLib_vc11.sln | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit dbb0733cfce2ea767b10e53a5896ec993c4979f5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 15:39:03 +0100

    Rename project files to remove explicit version.

 .../Examples/BasketLosses/BasketLosses.vcxproj     |  542 ++
 .../BasketLosses/BasketLosses.vcxproj.filters      |   22 +
 .../BasketLosses/BasketLosses_vc11.vcxproj         |  542 --
 .../BasketLosses/BasketLosses_vc11.vcxproj.filters |   22 -
 QuantLib/Examples/BasketLosses/Makefile.am         |    4 +-
 .../BermudanSwaption/BermudanSwaption.vcxproj      |  546 ++
 .../BermudanSwaption.vcxproj.filters               |   25 +
 .../BermudanSwaption/BermudanSwaption_vc11.vcxproj |  546 --
 .../BermudanSwaption_vc11.vcxproj.filters          |   25 -
 QuantLib/Examples/BermudanSwaption/Makefile.am     |    4 +-
 QuantLib/Examples/Bonds/Bonds.vcxproj              |  546 ++
 QuantLib/Examples/Bonds/Bonds.vcxproj.filters      |   25 +
 QuantLib/Examples/Bonds/Bonds_vc11.vcxproj         |  546 --
 QuantLib/Examples/Bonds/Bonds_vc11.vcxproj.filters |   25 -
 QuantLib/Examples/Bonds/Makefile.am                |    4 +-
 QuantLib/Examples/CDS/CDS.vcxproj                  |  546 ++
 QuantLib/Examples/CDS/CDS.vcxproj.filters          |   25 +
 QuantLib/Examples/CDS/CDS_vc11.vcxproj             |  546 --
 QuantLib/Examples/CDS/CDS_vc11.vcxproj.filters     |   25 -
 QuantLib/Examples/CDS/Makefile.am                  |    4 +-
 .../Examples/CallableBonds/CallableBonds.vcxproj   |  546 ++
 .../CallableBonds/CallableBonds.vcxproj.filters    |   25 +
 .../CallableBonds/CallableBonds_vc11.vcxproj       |  546 --
 .../CallableBonds_vc11.vcxproj.filters             |   25 -
 QuantLib/Examples/CallableBonds/Makefile.am        |    4 +-
 .../ConvertibleBonds/ConvertibleBonds.vcxproj      |  546 ++
 .../ConvertibleBonds.vcxproj.filters               |   25 +
 .../ConvertibleBonds/ConvertibleBonds_vc11.vcxproj |  546 --
 .../ConvertibleBonds_vc11.vcxproj.filters          |   25 -
 QuantLib/Examples/ConvertibleBonds/Makefile.am     |    4 +-
 .../DiscreteHedging/DiscreteHedging.vcxproj        |  546 ++
 .../DiscreteHedging.vcxproj.filters                |   25 +
 .../DiscreteHedging/DiscreteHedging_vc11.vcxproj   |  546 --
 .../DiscreteHedging_vc11.vcxproj.filters           |   25 -
 QuantLib/Examples/DiscreteHedging/Makefile.am      |    4 +-
 .../Examples/EquityOption/EquityOption.vcxproj     |  546 ++
 .../EquityOption/EquityOption.vcxproj.filters      |   25 +
 .../EquityOption/EquityOption_vc11.vcxproj         |  546 --
 .../EquityOption/EquityOption_vc11.vcxproj.filters |   25 -
 QuantLib/Examples/EquityOption/Makefile.am         |    4 +-
 QuantLib/Examples/FRA/FRA.vcxproj                  |  546 ++
 QuantLib/Examples/FRA/FRA.vcxproj.filters          |   25 +
 QuantLib/Examples/FRA/FRA_vc11.vcxproj             |  546 --
 QuantLib/Examples/FRA/FRA_vc11.vcxproj.filters     |   25 -
 QuantLib/Examples/FRA/Makefile.am                  |    4 +-
 .../FittedBondCurve/FittedBondCurve.vcxproj        |  546 ++
 .../FittedBondCurve.vcxproj.filters                |   25 +
 .../FittedBondCurve/FittedBondCurve_vc11.vcxproj   |  546 --
 .../FittedBondCurve_vc11.vcxproj.filters           |   25 -
 QuantLib/Examples/FittedBondCurve/Makefile.am      |    4 +-
 .../Gaussian1dModels/Gaussian1dModels.vcxproj      |  546 ++
 .../Gaussian1dModels.vcxproj.filters               |   25 +
 .../Gaussian1dModels/Gaussian1dModels_vc11.vcxproj |  546 --
 .../Gaussian1dModels_vc11.vcxproj.filters          |   25 -
 QuantLib/Examples/Gaussian1dModels/Makefile.am     |    4 +-
 QuantLib/Examples/LatentModel/LatentModel.vcxproj  |  543 ++
 .../LatentModel/LatentModel.vcxproj.filters        |   22 +
 .../Examples/LatentModel/LatentModel_vc11.vcxproj  |  543 --
 .../LatentModel/LatentModel_vc11.vcxproj.filters   |   22 -
 QuantLib/Examples/LatentModel/Makefile.am          |    4 +-
 QuantLib/Examples/MarketModels/Makefile.am         |    4 +-
 .../Examples/MarketModels/MarketModels.vcxproj     |  546 ++
 .../MarketModels/MarketModels.vcxproj.filters      |   25 +
 .../MarketModels/MarketModels_vc11.vcxproj         |  546 --
 .../MarketModels/MarketModels_vc11.vcxproj.filters |   25 -
 QuantLib/Examples/MultidimIntegral/Makefile.am     |    4 +-
 .../MultidimIntegral/MultidimIntegral.vcxproj      |  543 ++
 .../MultidimIntegral.vcxproj.filters               |   22 +
 .../MultidimIntegral/MultidimIntegral_vc11.vcxproj |  543 --
 .../MultidimIntegral_vc11.vcxproj.filters          |   22 -
 QuantLib/Examples/Replication/Makefile.am          |    4 +-
 QuantLib/Examples/Replication/Replication.vcxproj  |  546 ++
 .../Replication/Replication.vcxproj.filters        |   25 +
 .../Examples/Replication/Replication_vc11.vcxproj  |  546 --
 .../Replication/Replication_vc11.vcxproj.filters   |   25 -
 QuantLib/Examples/Repo/Makefile.am                 |    4 +-
 QuantLib/Examples/Repo/Repo.vcxproj                |  546 ++
 QuantLib/Examples/Repo/Repo.vcxproj.filters        |   25 +
 QuantLib/Examples/Repo/Repo_vc11.vcxproj           |  546 --
 QuantLib/Examples/Repo/Repo_vc11.vcxproj.filters   |   25 -
 QuantLib/Examples/Swap/Makefile.am                 |    4 +-
 QuantLib/Examples/Swap/Swap.vcxproj                |  535 ++
 QuantLib/Examples/Swap/Swap.vcxproj.filters        |   22 +
 QuantLib/Examples/Swap/Swap_vc11.vcxproj           |  535 --
 QuantLib/Examples/Swap/Swap_vc11.vcxproj.filters   |   22 -
 QuantLib/Makefile.am                               |    4 +-
 QuantLib/QuantLib.vcxproj                          | 2503 ++++++++
 QuantLib/QuantLib.vcxproj.filters                  | 6263 ++++++++++++++++++++
 QuantLib/QuantLib_vc10.sln                         |   38 +-
 QuantLib/QuantLib_vc11.sln                         |   38 +-
 QuantLib/QuantLib_vc11.vcxproj                     | 2503 --------
 QuantLib/QuantLib_vc11.vcxproj.filters             | 6263 --------------------
 QuantLib/test-suite/Makefile.am                    |    8 +-
 QuantLib/test-suite/testsuite.vcxproj              |  899 +++
 QuantLib/test-suite/testsuite.vcxproj.filters      |  789 +++
 QuantLib/test-suite/testsuite_vc11.vcxproj         |  899 ---
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  789 ---
 97 files changed, 20206 insertions(+), 20206 deletions(-)

commit c484991bb555485aa7480e778daadc2b4fe02b45
Merge: 659fe5d 5c2cf8b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 16:49:26 +0100

    Merge pull request #154.

commit 8f06c579e1df9c0d5e0148fc9e668dd3ba879bb5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 28 Oct 2014 15:47:05 +0100

    spreaded termstructures should allow for extrapolation if and only if their underlying termstructure does

 .../ql/termstructures/volatility/optionlet/spreadedoptionletvol.cpp  | 5 +++--
 .../ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp    | 1 +
 QuantLib/ql/termstructures/yield/zerospreadedtermstructure.hpp       | 1 +
 3 files changed, 5 insertions(+), 2 deletions(-)

commit 1d87f86868d7c859498736652204076e6d2480ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 14:46:38 +0100

    Let vc10 solution use vc11 projects.

 .../BasketLosses/BasketLosses_vc10.vcxproj         |  541 --
 .../BasketLosses/BasketLosses_vc10.vcxproj.filters |   22 -
 QuantLib/Examples/BasketLosses/Makefile.am         |    2 -
 .../BermudanSwaption/BermudanSwaption_vc10.vcxproj |  544 --
 .../BermudanSwaption_vc10.vcxproj.filters          |   25 -
 QuantLib/Examples/BermudanSwaption/Makefile.am     |    2 -
 QuantLib/Examples/Bonds/Bonds_vc10.vcxproj         |  544 --
 QuantLib/Examples/Bonds/Bonds_vc10.vcxproj.filters |   25 -
 QuantLib/Examples/Bonds/Makefile.am                |    2 -
 QuantLib/Examples/CDS/CDS_vc10.vcxproj             |  544 --
 QuantLib/Examples/CDS/CDS_vc10.vcxproj.filters     |   25 -
 QuantLib/Examples/CDS/Makefile.am                  |    2 -
 .../CallableBonds/CallableBonds_vc10.vcxproj       |  544 --
 .../CallableBonds_vc10.vcxproj.filters             |   25 -
 QuantLib/Examples/CallableBonds/Makefile.am        |    2 -
 .../ConvertibleBonds/ConvertibleBonds_vc10.vcxproj |  544 --
 .../ConvertibleBonds_vc10.vcxproj.filters          |   25 -
 QuantLib/Examples/ConvertibleBonds/Makefile.am     |    2 -
 .../DiscreteHedging/DiscreteHedging_vc10.vcxproj   |  544 --
 .../DiscreteHedging_vc10.vcxproj.filters           |   25 -
 QuantLib/Examples/DiscreteHedging/Makefile.am      |    2 -
 .../EquityOption/EquityOption_vc10.vcxproj         |  544 --
 .../EquityOption/EquityOption_vc10.vcxproj.filters |   25 -
 QuantLib/Examples/EquityOption/Makefile.am         |    2 -
 QuantLib/Examples/FRA/FRA_vc10.vcxproj             |  544 --
 QuantLib/Examples/FRA/FRA_vc10.vcxproj.filters     |   25 -
 QuantLib/Examples/FRA/Makefile.am                  |    2 -
 .../FittedBondCurve/FittedBondCurve_vc10.vcxproj   |  544 --
 .../FittedBondCurve_vc10.vcxproj.filters           |   25 -
 QuantLib/Examples/FittedBondCurve/Makefile.am      |    2 -
 .../Gaussian1dModels/Gaussian1dModels_vc10.vcxproj |  544 --
 .../Gaussian1dModels_vc10.vcxproj.filters          |   25 -
 QuantLib/Examples/Gaussian1dModels/Makefile.am     |    2 -
 .../Examples/LatentModel/LatentModel_vc10.vcxproj  |  541 --
 .../LatentModel/LatentModel_vc10.vcxproj.filters   |   22 -
 QuantLib/Examples/LatentModel/Makefile.am          |    2 -
 QuantLib/Examples/MarketModels/Makefile.am         |    2 -
 .../MarketModels/MarketModels_vc10.vcxproj         |  544 --
 .../MarketModels/MarketModels_vc10.vcxproj.filters |   25 -
 QuantLib/Examples/MultidimIntegral/Makefile.am     |    2 -
 .../MultidimIntegral/MultidimIntegral_vc10.vcxproj |  541 --
 .../MultidimIntegral_vc10.vcxproj.filters          |   22 -
 QuantLib/Examples/Replication/Makefile.am          |    2 -
 .../Examples/Replication/Replication_vc10.vcxproj  |  544 --
 .../Replication/Replication_vc10.vcxproj.filters   |   25 -
 QuantLib/Examples/Repo/Makefile.am                 |    2 -
 QuantLib/Examples/Repo/Repo_vc10.vcxproj           |  544 --
 QuantLib/Examples/Repo/Repo_vc10.vcxproj.filters   |   25 -
 QuantLib/Examples/Swap/Makefile.am                 |    2 -
 QuantLib/Examples/Swap/Swap_vc10.vcxproj           |  533 --
 QuantLib/Examples/Swap/Swap_vc10.vcxproj.filters   |   22 -
 QuantLib/Makefile.am                               |    2 -
 QuantLib/QuantLib_vc10.sln                         |   38 +-
 QuantLib/QuantLib_vc10.vcxproj                     | 2502 --------
 QuantLib/QuantLib_vc10.vcxproj.filters             | 6262 --------------------
 QuantLib/test-suite/Makefile.am                    |    4 -
 QuantLib/test-suite/testsuite_vc10.vcxproj         |  897 ---
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  789 ---
 58 files changed, 19 insertions(+), 20150 deletions(-)

commit fcab5252298b5aa3206c8cabcf50a796f28b2888
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Oct 2014 12:56:16 +0100

    Select toolset and tag via a property file.
    
    This makes project files independent of the compiler version.

 .../BasketLosses/BasketLosses_vc11.vcxproj         | 156 ++++++++++-----------
 .../BermudanSwaption/BermudanSwaption_vc11.vcxproj | 153 ++++++++++----------
 QuantLib/Examples/Bonds/Bonds_vc11.vcxproj         | 153 ++++++++++----------
 QuantLib/Examples/CDS/CDS_vc11.vcxproj             | 153 ++++++++++----------
 .../CallableBonds/CallableBonds_vc11.vcxproj       | 153 ++++++++++----------
 .../ConvertibleBonds/ConvertibleBonds_vc11.vcxproj | 153 ++++++++++----------
 .../DiscreteHedging/DiscreteHedging_vc11.vcxproj   | 153 ++++++++++----------
 .../EquityOption/EquityOption_vc11.vcxproj         | 153 ++++++++++----------
 QuantLib/Examples/FRA/FRA_vc11.vcxproj             | 153 ++++++++++----------
 .../FittedBondCurve/FittedBondCurve_vc11.vcxproj   | 153 ++++++++++----------
 .../Gaussian1dModels/Gaussian1dModels_vc11.vcxproj | 153 ++++++++++----------
 .../Examples/LatentModel/LatentModel_vc11.vcxproj  | 153 ++++++++++----------
 .../MarketModels/MarketModels_vc11.vcxproj         | 153 ++++++++++----------
 .../MultidimIntegral/MultidimIntegral_vc11.vcxproj | 153 ++++++++++----------
 .../Examples/Replication/Replication_vc11.vcxproj  | 153 ++++++++++----------
 QuantLib/Examples/Repo/Repo_vc11.vcxproj           | 153 ++++++++++----------
 QuantLib/Examples/Swap/Swap_vc11.vcxproj           | 153 ++++++++++----------
 QuantLib/Makefile.am                               |   1 +
 QuantLib/QuantLib.props                            |  13 ++
 QuantLib/QuantLib_vc11.vcxproj                     | 122 ++++++++--------
 QuantLib/test-suite/testsuite_vc11.vcxproj         | 137 +++++++++---------
 21 files changed, 1378 insertions(+), 1499 deletions(-)

commit 632483acfc9f1acef7d2b9cccfd0b70aedef3ee1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 27 Oct 2014 18:34:39 +0100

    Fix references to VC10 projects.

 QuantLib/QuantLib_vc11.sln | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 659fe5d602b86e1e4ae908c67ce2e56482ec2edf
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Oct 2014 21:49:52 +0200

    remove type specifiers from std::make_pair to make it c++11 compliant

 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 5 ++---
 1 file changed, 2 insertions(+), 3 deletions(-)

commit 5c2cf8ba50ae6a1ae97137c9d9db4dbbba63e9c3
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Oct 2014 20:31:24 +0200

    fix comparisons betwenn signed and unsigned integers

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 50fb342d88cca3599c064f91c2748504e59f43be
Merge: 9c50058 a26f59d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:49:32 +0200

    Merge pull request #138.

commit a26f59deeb34a51ebf8813c36f5953738d6dc293
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:45:13 +0200

    Remove more unused variables.

 .../ql/pricingengines/barrier/analyticbinarybarrierengine.cpp | 11 -----------
 1 file changed, 11 deletions(-)

commit e5fe1b48c8709cc4322809b6ee31103df31ab740
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:30:12 +0200

    Update Dev-C++ projects.

 QuantLib/QuantLib.dev             | 51 ++++++++++++++++++++++++++++++++++++++-
 QuantLib/test-suite/testsuite.dev | 22 ++++++++++++++++-
 2 files changed, 71 insertions(+), 2 deletions(-)

commit 560d2b8829c96bf2cf0022b020377e8d55b92516
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:27:05 +0200

    Remove unused variable.

 QuantLib/ql/pricingengines/barrier/binomialbarrierengine.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 97b8875aa2d62e8eb30ddfc62b8d3255715f7d4b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:26:34 +0200

    Remove reference to Greeks as they're not calculated.

 QuantLib/ql/pricingengines/barrier/analyticbinarybarrierengine.hpp | 2 --
 1 file changed, 2 deletions(-)

commit a3cc4afda9e9608ba60135102108a16c8cb9e73e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 11:26:06 +0200

    Simplify calculation of eta and phi.

 .../barrier/analyticbinarybarrierengine.cpp        | 49 ++--------------------
 1 file changed, 3 insertions(+), 46 deletions(-)

commit b5823b091b84987f8dc6904e87fe5b8aa23f9ef4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 10:19:00 +0200

    Fix copyright attribution.

 QuantLib/ql/pricingengines/barrier/analyticbinarybarrierengine.cpp | 2 +-
 QuantLib/ql/pricingengines/barrier/analyticbinarybarrierengine.hpp | 2 +-
 QuantLib/ql/pricingengines/barrier/binomialbarrierengine.hpp       | 2 +-
 QuantLib/ql/pricingengines/barrier/discretizedbarrieroption.cpp    | 2 +-
 QuantLib/ql/pricingengines/barrier/discretizedbarrieroption.hpp    | 2 +-
 QuantLib/test-suite/barrieroption.cpp                              | 2 +-
 QuantLib/test-suite/binaryoption.cpp                               | 2 +-
 QuantLib/test-suite/binaryoption.hpp                               | 2 +-
 8 files changed, 8 insertions(+), 8 deletions(-)

commit 09359adae5c263ea6257995ebfc68508231ce6d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 10:16:15 +0200

    Add missing Greeks in degenerate case.

 QuantLib/ql/pricingengines/barrier/analyticbinarybarrierengine.cpp | 2 ++
 1 file changed, 2 insertions(+)

commit 9c50058b56c0e83312f4860212c232286d1066ac
Merge: 3222311 3b0fba2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Oct 2014 08:50:02 +0200

    Merge pull request #150.

commit 32223111850e60d1770c7b3e6dbe843121f9a8ed
Merge: 483ccf8 bae0fac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 17:42:29 +0200

    Merge pull request #125.

commit bae0fac33acfa19a1f2a82065e97c37105e79eed
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 16:22:57 +0200

    Avoid compilation warnings.

 QuantLib/ql/instruments/lookbackoption.cpp                  | 12 ++++++++----
 .../lookback/analyticcontinuouspartialfixedlookback.cpp     | 13 ++-----------
 .../lookback/analyticcontinuouspartialfloatinglookback.cpp  | 11 ++---------
 3 files changed, 12 insertions(+), 24 deletions(-)

commit aa2d3a750e680c1159148511de0a1497bb11b8e1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 16:11:35 +0200

    Include newly added headers in all.hpp.

 QuantLib/ql/pricingengines/lookback/all.hpp | 2 ++
 1 file changed, 2 insertions(+)

commit 45427fb44a000e5f8f8789a7608a91a7c1bcb3ec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 13:41:17 +0200

    Update Dev-C++ project.

 QuantLib/QuantLib.dev | 41 ++++++++++++++++++++++++++++++++++++++++-
 1 file changed, 40 insertions(+), 1 deletion(-)

commit 1ed1873879151643e41776e453dbee2de962b4ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 13:39:12 +0200

    Add new files to Linux build.

 QuantLib/ql/pricingengines/lookback/Makefile.am | 8 ++++++--
 1 file changed, 6 insertions(+), 2 deletions(-)

commit 1cac4e97cefdb09fc8ee8694157ca7876a3ce583
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 13:23:09 +0200

    Remove extra lines in project.

 QuantLib/QuantLib_vc10.vcxproj.filters | 6 ++----
 1 file changed, 2 insertions(+), 4 deletions(-)

commit bee5e4dc351a215b6f903dd38de51361456e08c2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 13:19:01 +0200

    Move descriptions to the corresponding instrument.

 QuantLib/ql/instruments/lookbackoption.hpp         | 35 ++++++++++++++++++++--
 .../analyticcontinuouspartialfixedlookback.hpp     | 15 +---------
 .../analyticcontinuouspartialfloatinglookback.hpp  | 13 +-------
 3 files changed, 35 insertions(+), 28 deletions(-)

commit 8ed74cccefa1183e604e365a45ce8bc7bb965f63
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 Oct 2014 13:18:47 +0200

    Add copyright attribution.

 QuantLib/ql/instruments/lookbackoption.hpp                               | 1 +
 .../pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp   | 1 +
 .../lookback/analyticcontinuouspartialfloatinglookback.hpp               | 1 +
 3 files changed, 3 insertions(+)

commit 3b0fba24fb1792b58c927a6c98171a4e5a224883
Author: Pepe <japari@free.fr>
Date:   Thu, 16 Oct 2014 11:28:08 +0200

    Speed up by integrating with the inverted probabilities. Computation time improves significantly if the copula inversion is expensive.

 .../ql/experimental/credit/binomiallossmodel.hpp   | 30 ++++++++++++----------
 1 file changed, 17 insertions(+), 13 deletions(-)

commit 438ff64cab12591e8e475499436d6fcf91bc55a6
Author: rglarix <rghetta@larix.it>
Date:   Wed, 15 Oct 2014 16:54:36 +0200

    clarify eta and phi

 .../barrier/analyticbinarybarrierengine.cpp        | 71 +++++++++++++++++-----
 1 file changed, 55 insertions(+), 16 deletions(-)

commit 9784532682b8a4e562b0f1a3e35e5bd5442ed7ff
Author: rglarix <rghetta@larix.it>
Date:   Wed, 15 Oct 2014 15:09:40 +0200

    compiling fixes for visual c++ 11/12

 QuantLib/QuantLib_vc10.vcxproj           | 10 +++++-----
 QuantLib/QuantLib_vc10.vcxproj.filters   | 26 +++++++++++++-------------
 QuantLib/QuantLib_vc11.vcxproj           |  8 ++++----
 QuantLib/QuantLib_vc11.vcxproj.filters   | 16 ++++++++--------
 QuantLib/ql/experimental/credit/pool.cpp |  3 +--
 5 files changed, 31 insertions(+), 32 deletions(-)

commit 1562702078ef22879083266df7de31ef25450a26
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 17:04:59 +0200

    Added a few more historical closings for NYSE.
    
    Thanks to silvaac.
    This closes #133.

 QuantLib/ql/time/calendars/unitedstates.cpp | 86 +++++++++++++++++------------
 QuantLib/test-suite/calendars.cpp           | 13 ++++-
 2 files changed, 61 insertions(+), 38 deletions(-)

commit 61278ca9f66eb396e09ddda6543408296d51ff57
Merge: 0d8e5b8 0bfe19d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 15:36:09 +0200

    Merge pull request #136.

commit 0bfe19d21693d17d08a11002b8201b5dc05dd756
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 14:21:00 +0200

    Remove unused variable.

 QuantLib/ql/pricingengines/vanilla/binomialengine.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 0d8e5b8a72018434c31e40eb16ab17b22f6d881d
Merge: 8a94257 96d5a8a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 14:05:39 +0200

    Merge pull request #130.

commit 8a94257be77a6cd52bf8ea36bfd758d4d3743ff2
Merge: 381cf8a 328f977
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 12:57:11 +0200

    Merge pull request #139.

commit 328f97764be6b40006535647721b2a1f8312c50d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Oct 2014 11:51:32 +0200

    Remove empty constructors.
    
    We can safely rely on the default-generated ones.

 QuantLib/ql/option.hpp | 4 ----
 1 file changed, 4 deletions(-)

commit 823f7188b5779408d82f90c75f6c53da270902dc
Author: Pepe <japari@free.fr>
Date:   Wed, 8 Oct 2014 17:53:39 +0200

    Fixed clang compilation. Thanks to Klaus for the tip.

 .../credit/randomdefaultlatentmodel.hpp            | 28 ++------
 .../experimental/credit/randomlosslatentmodel.hpp  | 17 ++---
 .../experimental/credit/saddlepointlossmodel.hpp   |  5 +-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 77 +++++++++++-----------
 4 files changed, 52 insertions(+), 75 deletions(-)

commit e8a9ee3149b966e9adb98fdaff4e502c960ea149
Author: Pepe <japari@free.fr>
Date:   Tue, 7 Oct 2014 21:24:07 +0200

    Implicit types for VC12 compilation, thanks to Cheng Li and Luigi.

 QuantLib/ql/experimental/credit/binomiallossmodel.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 849fc4d8edad651e76469a68ef4494be2c499c23
Author: Pepe <japari@free.fr>
Date:   Tue, 7 Oct 2014 20:51:28 +0200

    Force the gaussian type in BoxMuller case (without spez the outer class) .
    
    Example uses the spez now; making life harder to compilers (and detecting problems earlier).
    Tested ok on VC9 & gcc

 QuantLib/Examples/BasketLosses/BasketLosses.cpp | 18 ++++++++++++++----
 QuantLib/ql/experimental/math/latentmodel.hpp   |  2 +-
 2 files changed, 15 insertions(+), 5 deletions(-)

commit 1fdfe294586c05f45d4463d49661a7cd184f97c4
Author: Pepe <japari@free.fr>
Date:   Tue, 7 Oct 2014 20:22:44 +0200

    Fixed compilation on VC12, thanks to Chen Li for the fix.

 .../credit/randomdefaultlatentmodel.hpp            | 22 ++++++++++++++++------
 .../experimental/credit/randomlosslatentmodel.hpp  | 14 +++++++++-----
 2 files changed, 25 insertions(+), 11 deletions(-)

commit f377e4150503b11c562a1c913dc7590d80302fe6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 7 Oct 2014 09:50:42 +0200

    Fix compilation problem with VC++.

 QuantLib/ql/experimental/math/latentmodel.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e40d00250ce6feb3caf3378e20d3d4c9d3ccebff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 7 Oct 2014 09:11:56 +0200

    Remove commented-out includes

 QuantLib/ql/event.hpp                                       | 1 -
 QuantLib/ql/experimental/risk/sensitivityanalysis.hpp       | 1 -
 QuantLib/ql/instruments/swaption.cpp                        | 1 -
 QuantLib/ql/math/optimization/lmdif.cpp                     | 1 -
 QuantLib/ql/models/marketmodels/historicalratesanalysis.hpp | 1 -
 QuantLib/test-suite/curvestates.cpp                         | 1 -
 QuantLib/test-suite/nthtodefault.cpp                        | 3 ---
 7 files changed, 9 deletions(-)

commit dc05abc9c9d61c277406c64acfdb5534726775e9
Merge: 7597ea9 c4b5fac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 Oct 2014 17:23:10 +0200

    Merge pull request #134.

commit c4b5facf175cebc8fbadcb39a693ed87c203166f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 Oct 2014 17:19:01 +0200

    Remove anonymous namespaces from header files.

 .../ql/experimental/credit/defaultlossmodel.hpp    |  7 ++++---
 QuantLib/ql/experimental/math/latentmodel.hpp      |  4 ++--
 .../ql/experimental/math/multidimquadrature.hpp    | 24 +++++++++++-----------
 3 files changed, 18 insertions(+), 17 deletions(-)

commit 28891a5d944400369f078fdc7648d8ff05c88ab3
Merge: 204050f 4ab0381
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 Oct 2014 13:30:36 +0200

    Merge branch heads

commit 204050f671d6af9003981289814ca33b567dbf64
Author: Pepe <japari@free.fr>
Date:   Sun, 5 Oct 2014 11:39:33 +0200

    Halved the number of simulations, Midpoint engine uses the same relative tolerance as the integration engine, less points in the distribution discretization. Half the number of buckets. Used T_{45} as gaussian (insignificant gain though) Overall speed up: x4 With this T-times per pricing are almost the same as gaussian ones.

 QuantLib/test-suite/cdo.cpp | 58 ++++++++++++++++++++++-----------------------
 1 file changed, 29 insertions(+), 29 deletions(-)

commit ddd2c7c2e9d13dcfd0751dc32fb3a8fc4b77cf73
Author: Pepe <japari@free.fr>
Date:   Sun, 5 Oct 2014 11:33:13 +0200

    CDO engine treating the accrual the same way. A flag to control it pending to be added to the instrument args. Rest of files just fixes tabs.

 .../ql/experimental/credit/integralcdoengine.cpp   | 30 ++++++++++++++++------
 .../ql/experimental/credit/midpointcdoengine.cpp   | 22 +++++++++++++---
 .../experimental/credit/saddlepointlossmodel.hpp   | 22 +++++-----------
 3 files changed, 47 insertions(+), 27 deletions(-)

commit dd15c5946b95d03741a96bd18f2ed001a8e79cc2
Author: Pepe <japari@free.fr>
Date:   Sun, 5 Oct 2014 11:31:52 +0200

    Bucket models integrate with the inverse prob. Pending integration rework.

 QuantLib/ql/experimental/credit/homogeneouspooldef.hpp   | 4 +++-
 QuantLib/ql/experimental/credit/inhomogeneouspooldef.hpp | 4 +++-
 2 files changed, 6 insertions(+), 2 deletions(-)

commit 16c4b2bffce8a111ffa42255d60868add94feda0
Merge: ce3d42c 26d9dc1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 3 Oct 2014 13:06:52 +0200

    Merge pull request #118.

commit 26d9dc154b05034ffa7fda7bc8b95393bab06de5
Merge: 2de19f3 4dcc85b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 3 Oct 2014 12:25:22 +0200

    Merge branch heads.

commit 2de19f3d512a74188b1de7b24caebcf29fc716ff
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 2 Oct 2014 18:15:31 +0200

    add test cases for weighted modified bessel functions of first and second kind

 QuantLib/test-suite/functions.cpp | 73 +++++++++++++++++++++++++++++++++++++--
 QuantLib/test-suite/functions.hpp |  1 +
 2 files changed, 72 insertions(+), 2 deletions(-)

commit 0e60fd6459eb1a9192962675ea3aae47efbf537f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 2 Oct 2014 18:14:28 +0200

    fix call to modified bessel function of first kind

 QuantLib/ql/math/modifiedbessel.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 0113af54f43dc4ccb1eb875d550087d518954603
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 2 Oct 2014 18:13:04 +0200

    fix declaration

 QuantLib/ql/math/modifiedbessel.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 4ab0381ef1bc17aaedb3af3a3ea3f6103528e492
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Oct 2014 16:10:59 +0200

    Add new example projects for other VC++ versions.

 QuantLib/Examples/BasketLosses/BasketLosses.dev    |  59 +++
 .../BasketLosses/BasketLosses_vc10.vcxproj         | 541 ++++++++++++++++++++
 .../BasketLosses/BasketLosses_vc10.vcxproj.filters |  22 +
 .../BasketLosses/BasketLosses_vc11.vcxproj         | 550 +++++++++++++++++++++
 .../BasketLosses/BasketLosses_vc11.vcxproj.filters |  22 +
 .../Examples/BasketLosses/BasketLosses_vc8.vcproj  | 436 ++++++++++++++++
 QuantLib/Examples/BasketLosses/Makefile.am         |  11 +-
 QuantLib/Examples/LatentModel/LatentModel.dev      |  59 +++
 .../Examples/LatentModel/LatentModel_vc10.vcxproj  | 541 ++++++++++++++++++++
 .../LatentModel/LatentModel_vc10.vcxproj.filters   |  22 +
 .../Examples/LatentModel/LatentModel_vc11.vcxproj  | 550 +++++++++++++++++++++
 .../LatentModel/LatentModel_vc11.vcxproj.filters   |  22 +
 .../Examples/LatentModel/LatentModel_vc8.vcproj    | 436 ++++++++++++++++
 QuantLib/Examples/LatentModel/Makefile.am          |  11 +-
 QuantLib/Examples/MultidimIntegral/Makefile.am     |   8 +-
 .../Examples/MultidimIntegral/MultidimIntegral.dev |  59 +++
 .../MultidimIntegral/MultidimIntegral_vc10.vcxproj | 541 ++++++++++++++++++++
 .../MultidimIntegral_vc10.vcxproj.filters          |  22 +
 .../MultidimIntegral/MultidimIntegral_vc11.vcxproj | 550 +++++++++++++++++++++
 .../MultidimIntegral_vc11.vcxproj.filters          |  22 +
 .../MultidimIntegral/MultidimIntegral_vc8.vcproj   | 436 ++++++++++++++++
 QuantLib/QuantLib_vc10.sln                         |  54 ++
 QuantLib/QuantLib_vc11.sln                         |  54 ++
 QuantLib/QuantLib_vc8.sln                          |  39 ++
 24 files changed, 5060 insertions(+), 7 deletions(-)

commit d74a7d9e02f2f629d626c7b314ea18867f0fecf5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Oct 2014 12:47:08 +0200

    Rename VC++9 projects, add dependencies in solution.

 QuantLib/Examples/BasketLosses/BasketLosses.vcproj | 202 --------------------
 .../Examples/BasketLosses/BasketLosses_vc9.vcproj  | 202 ++++++++++++++++++++
 QuantLib/Examples/LatentModel/LatentModel.vcproj   | 205 ---------------------
 .../Examples/LatentModel/LatentModel_vc9.vcproj    | 205 +++++++++++++++++++++
 .../MultidimIntegral/MultidimIntegral.vcproj       | 204 --------------------
 .../MultidimIntegral/MultidimIntegral_vc9.vcproj   | 204 ++++++++++++++++++++
 QuantLib/QuantLib_vc9.sln                          |  17 +-
 7 files changed, 624 insertions(+), 615 deletions(-)

commit f2773019ce4c8bf0c23a91167f41a2b875e14150
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Oct 2014 11:44:57 +0200

    Update VC++ and Dev-C++ projects.

 QuantLib/QuantLib.dev                  | 308 ++++++++++++++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  40 ++++-
 QuantLib/QuantLib_vc10.vcxproj.filters | 108 +++++++++++-
 QuantLib/QuantLib_vc11.vcxproj         |  36 +++-
 QuantLib/QuantLib_vc11.vcxproj.filters | 104 ++++++++++-
 QuantLib/QuantLib_vc8.vcproj           | 132 +++++++++++++-
 6 files changed, 694 insertions(+), 34 deletions(-)

commit ee448b8e8a6475a270bf97b119b59e40f76c167c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Oct 2014 10:03:44 +0200

    Remove unused file, rename header.

 QuantLib/QuantLib_vc9.vcproj                       |   2 +-
 QuantLib/ql/experimental/credit/Makefile.am        |   3 +-
 QuantLib/ql/experimental/credit/all.hpp            |   3 +-
 .../credit/basecorrelationlossmodel.hpp            | 302 +++++++++++++++++++++
 .../ql/experimental/credit/basecorrellossmodel.cpp |   1 -
 .../ql/experimental/credit/basecorrellossmodel.hpp | 302 ---------------------
 6 files changed, 306 insertions(+), 307 deletions(-)

commit a7627ff0157a699b45aa0296d675a61c85a72dab
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Oct 2014 16:34:12 +0200

    Remove double slashes in header paths.

 QuantLib/test-suite/cdo.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 453ddce26b56129d20691ad92752f5637fee88ce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Oct 2014 16:17:24 +0200

    Avoid a number of warnings on gcc -Wall.
    
    The usual stuff: reordered initializations, signed/unsigned
    comparisons, unused variables...

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    |  2 +-
 QuantLib/Examples/LatentModel/LatentModel.cpp      |  2 +-
 .../ql/experimental/credit/basecorrellossmodel.hpp |  2 +-
 QuantLib/ql/experimental/credit/basket.cpp         | 10 +++---
 .../credit/constantlosslatentmodel.hpp             | 10 +++---
 QuantLib/ql/experimental/credit/distribution.cpp   |  4 +--
 .../experimental/credit/gaussianlhplossmodel.cpp   | 39 +++++++++++-----------
 .../ql/experimental/credit/integralcdoengine.hpp   |  4 +--
 QuantLib/ql/experimental/credit/nthtodefault.hpp   |  4 +--
 .../credit/randomdefaultlatentmodel.hpp            | 30 ++++++++---------
 .../experimental/credit/randomlosslatentmodel.hpp  |  6 ++--
 .../ql/experimental/credit/spotlosslatentmodel.hpp |  6 ++--
 QuantLib/ql/experimental/credit/syntheticcdo.cpp   |  9 ++---
 QuantLib/ql/experimental/math/latentmodel.hpp      | 16 ++++-----
 QuantLib/ql/experimental/math/tcopulapolicy.cpp    |  2 --
 QuantLib/test-suite/cdo.cpp                        |  2 +-
 16 files changed, 73 insertions(+), 75 deletions(-)

commit e17c73add5bcd515553387b3f126b39e9f30b5a5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Oct 2014 13:30:13 +0200

    Fix syntax for stricter compilers.

 QuantLib/ql/experimental/credit/inhomogeneouspooldef.hpp   |  2 +-
 .../ql/experimental/credit/randomdefaultlatentmodel.hpp    |  4 ++--
 QuantLib/ql/experimental/credit/randomlosslatentmodel.hpp  |  2 +-
 QuantLib/ql/experimental/credit/spotlosslatentmodel.hpp    | 14 +++++++-------
 QuantLib/ql/experimental/math/latentmodel.hpp              |  3 ++-
 5 files changed, 13 insertions(+), 12 deletions(-)

commit 97a4705cfaa4d241ed095487a9d04f0d535ce557
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Oct 2014 11:45:45 +0200

    Add LatentModel example to autotools build.

 QuantLib/Examples/Makefile.am | 1 +
 1 file changed, 1 insertion(+)

commit 4dcc85bf7bccabe780390eace2b553e7e57328af
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Sep 2014 15:39:01 +0200

    Use template template arg to avoid repeating types.

 QuantLib/ql/math/modifiedbessel.cpp | 30 +++++++++++++++---------------
 1 file changed, 15 insertions(+), 15 deletions(-)

commit 29d01732d3122631d318329b21ee69c90c1c84bb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Sep 2014 15:37:17 +0200

    Restore indentation for easier diffs.

 .../ql/math/interpolations/sabrinterpolation.hpp   | 343 +++++++++++----------
 1 file changed, 178 insertions(+), 165 deletions(-)

commit ce3d42ce6852601b91d017cd30a564d344d57ab3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Sep 2014 14:54:12 +0200

    Fixed repeated-variable error.
    
    Instead of using both variables in a pair, the same one was used twice.

 QuantLib/ql/math/integrals/gausslobattointegral.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 6e9c2896ded57612165103d9cc7a577d34b66467
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Sep 2014 13:23:52 +0200

    Update VC++/Dev-C++ projects.

 QuantLib/QuantLib.dev                              | 86 +++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj                     | 14 +++-
 QuantLib/QuantLib_vc10.vcxproj.filters             | 34 +++++++--
 QuantLib/QuantLib_vc11.vcxproj                     | 10 ++-
 QuantLib/QuantLib_vc11.vcxproj.filters             | 30 +++++++-
 QuantLib/QuantLib_vc8.vcproj                       | 40 +++++++++-
 QuantLib/QuantLib_vc9.vcproj                       | 40 +++++++++-
 QuantLib/test-suite/testsuite.dev                  | 22 +++++-
 QuantLib/test-suite/testsuite_vc10.vcxproj         |  2 +
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  6 ++
 QuantLib/test-suite/testsuite_vc11.vcxproj         |  2 +
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  6 ++
 QuantLib/test-suite/testsuite_vc8.vcproj           |  8 ++
 QuantLib/test-suite/testsuite_vc9.vcproj           |  8 ++
 14 files changed, 284 insertions(+), 24 deletions(-)

commit 196fa65202835e03f4d89efe1c14a42ef32017c5
Author: rglarix <rghetta@larix.it>
Date:   Mon, 29 Sep 2014 15:31:32 +0200

    added test for catching missing initialization

 QuantLib/ql/option.hpp                |   2 -
 QuantLib/test-suite/forwardoption.cpp | 124 ++++++++++++++++++++++++++++++++++
 QuantLib/test-suite/forwardoption.hpp |   1 +
 3 files changed, 125 insertions(+), 2 deletions(-)

commit ec52d9342c4c33a908fbfe9c11fb8585ec5ba75e
Author: rglarix <rghetta@larix.it>
Date:   Wed, 24 Sep 2014 11:39:05 +0200

    Initializes greeks to null values and cheks vanilla values in fwd evaluation.
    
    Greeks and MoreGreeks aren't initialized on construction, leading to errors when using quanto and forward engines.
    Besides, forward engine doesn't check greeks results, returning bogus values when the vanilla engine can't calculate some greeks.

 QuantLib/ql/option.hpp                              |  6 ++++++
 .../ql/pricingengines/forward/forwardengine.hpp     | 21 +++++++++++++++------
 QuantLib/ql/pricingengines/quanto/quantoengine.hpp  |  1 +
 3 files changed, 22 insertions(+), 6 deletions(-)

commit a0062ee111b1530ced6ef85ecf3f0abb5b9f2c9a
Author: rglarix <rghetta@larix.it>
Date:   Tue, 23 Sep 2014 16:15:55 +0200

    Derman-Kani adjustment for single barrier options

 .../barrier/binomialbarrierengine.hpp              |   9 +-
 .../barrier/discretizedbarrieroption.cpp           | 126 +++++++++++++++++----
 .../barrier/discretizedbarrieroption.hpp           |  28 ++++-
 QuantLib/test-suite/barrieroption.cpp              |  18 ++-
 4 files changed, 153 insertions(+), 28 deletions(-)

commit f151c8939f7334f7a1e2cd09babb213699b7b6d8
Author: rglarix <rghetta@larix.it>
Date:   Tue, 23 Sep 2014 16:14:54 +0200

    boyle-lau correction for binomial trees on single barrier options

 .../barrier/binomialbarrierengine.hpp              | 54 +++++++++++++++++++---
 QuantLib/test-suite/barrieroption.cpp              | 45 +++++++++---------
 2 files changed, 71 insertions(+), 28 deletions(-)

commit 0fe46029618bc50eefa1d30b0890cd0b194b676e
Author: rglarix <rghetta@larix.it>
Date:   Mon, 22 Sep 2014 18:02:38 +0200

    binomial evaluation of single barrier options

 QuantLib/QuantLib_vc10.vcxproj                     |   3 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |   9 +
 QuantLib/QuantLib_vc11.vcxproj                     |   3 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |   9 +
 QuantLib/QuantLib_vc8.vcproj                       |  12 +
 QuantLib/QuantLib_vc9.vcproj                       |  12 +
 QuantLib/ql/pricingengines/barrier/Makefile.am     |   3 +
 QuantLib/ql/pricingengines/barrier/all.hpp         |   2 +
 .../barrier/binomialbarrierengine.hpp              | 168 ++++++++++++++
 .../barrier/discretizedbarrieroption.cpp           | 133 +++++++++++
 .../barrier/discretizedbarrieroption.hpp           |  60 +++++
 QuantLib/test-suite/barrieroption.cpp              | 257 +++++++++++++--------
 12 files changed, 572 insertions(+), 99 deletions(-)

commit 8c43625a2e31315aed62167cdb36db8eed492adb
Author: rglarix <rghetta@larix.it>
Date:   Mon, 22 Sep 2014 17:21:51 +0200

    binary barrier (non digital) options

 QuantLib/QuantLib_vc10.vcxproj                     |   2 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |   6 +
 QuantLib/QuantLib_vc11.vcxproj                     |   2 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |   6 +
 QuantLib/QuantLib_vc8.vcproj                       |   8 +
 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/pricingengines/barrier/Makefile.am     |   2 +
 QuantLib/ql/pricingengines/barrier/all.hpp         |   1 +
 .../barrier/analyticbinarybarrierengine.cpp        | 340 +++++++++++++++++++++
 .../barrier/analyticbinarybarrierengine.hpp        |  60 ++++
 QuantLib/test-suite/Makefile.am                    |   1 +
 QuantLib/test-suite/binaryoption.cpp               | 284 +++++++++++++++++
 QuantLib/test-suite/binaryoption.hpp               |  36 +++
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +
 QuantLib/test-suite/testsuite_vc10.vcxproj         |   2 +
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |   6 +
 QuantLib/test-suite/testsuite_vc11.vcxproj         |   2 +
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |   6 +
 QuantLib/test-suite/testsuite_vc8.vcproj           |   8 +
 QuantLib/test-suite/testsuite_vc9.vcproj           |   8 +
 20 files changed, 790 insertions(+)

commit 3742f47bc292be4dced881661d23094d16c59be4
Author: Pepe <japari@free.fr>
Date:   Mon, 22 Sep 2014 09:06:51 +0200

    updated comments, removed commented out code.

 QuantLib/ql/experimental/credit/distribution.cpp | 13 -------------
 1 file changed, 13 deletions(-)

commit eb4097837be26b9a6190ba6fed4feb5d072a3239
Author: Pepe <japari@free.fr>
Date:   Sun, 21 Sep 2014 21:24:00 +0200

    updated comments, removed commented out code.

 .../credit/basecorrelationstructure.hpp            | 20 ++--------
 QuantLib/ql/experimental/credit/distribution.cpp   | 44 +++++++---------------
 .../experimental/credit/saddlepointlossmodel.hpp   |  1 -
 3 files changed, 16 insertions(+), 49 deletions(-)

commit fcf436b13110d56827e21ba4951c0b2560f343a8
Author: rglarix <rghetta@larix.it>
Date:   Fri, 19 Sep 2014 13:10:35 +0200

    Calculate binomial delta/gamma using Hull formulas

 .../ql/pricingengines/vanilla/binomialengine.hpp   | 37 ++++++++++++++--------
 1 file changed, 24 insertions(+), 13 deletions(-)

commit 08c05d6491f825683bdcd72bd387780843fbc921
Merge: b36743e 29b7c2d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Sep 2014 18:00:28 +0200

    Merge pull request #127.

commit 52789ad4d267f1a1c7525c30893ee4b19d05e013
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Sep 2014 11:36:46 +0200

    Remove unneeded method.
    
    It is already inherited from the base class.

 QuantLib/ql/instruments/payoffs.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 4fff0d291cdcdb33d2c64acdc44fef184eb433f2
Merge: dc3d6c3 8412da2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Sep 2014 10:26:49 +0200

    Merge changes from master.

commit dc3d6c357b88c96f5322d12c32c1cb86b438bb0e
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Mon, 15 Sep 2014 14:23:55 +0800

    Update payoffs.hpp

 QuantLib/ql/instruments/payoffs.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 303708f3c4777616b482410a9eb264f07a78c038
Author: Pepe <japari@free.fr>
Date:   Fri, 12 Sep 2014 11:19:49 +0200

    simplify generators

 .../credit/randomdefaultlatentmodel.hpp            | 48 +++++++++------
 .../experimental/credit/randomlosslatentmodel.hpp  | 69 +++++++++++++++-------
 .../ql/experimental/math/gaussiancopulapolicy.hpp  | 16 ++++-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 28 ++++-----
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    |  7 ++-
 5 files changed, 109 insertions(+), 59 deletions(-)

commit edc371ca92c15e701c1686518eec2271db869d8b
Author: Pepe <japari@free.fr>
Date:   Mon, 8 Sep 2014 22:01:16 +0200

    doc

 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 426ab4dece2747befbc772486af0e8ef9fb53c6b
Author: Pepe <japari@free.fr>
Date:   Mon, 8 Sep 2014 21:51:50 +0200

    leftover nonsense

 QuantLib/ql/experimental/credit/defaultlossmodel.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 62d4615b6128c71154a55710167320bc7453db5e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 31 Aug 2014 08:28:09 +0200

    fix unsigned integer overflow runtime errors

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 223ad8528301361c469af85b8864d0023297ace0
Author: Pepe <japari@free.fr>
Date:   Tue, 26 Aug 2014 19:47:26 +0200

    SaddlePt is header only now. Ironically there was a typo.

 QuantLib/ql/experimental/credit/Makefile.am | 1 -
 1 file changed, 1 deletion(-)

commit 33dc6ddfbf8e4b59d7f8dedb5f95d56e9361da2a
Author: Pepe <japari@free.fr>
Date:   Tue, 26 Aug 2014 19:24:51 +0200

    Fixed integration limits (oriented to T, see comment) in LM. Saddle point uses arbitrary copula now. Cosmetics.
    
    cdo in test suite add prose
    Updated VC9 for saddle going header only

 QuantLib/QuantLib_vc9.vcproj                       |   4 -
 .../experimental/credit/saddlepointlossmodel.cpp   | 824 -------------------
 .../experimental/credit/saddlepointlossmodel.hpp   | 884 ++++++++++++++++++++-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 230 +++---
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    |  10 +-
 QuantLib/test-suite/cdo.cpp                        |   4 +
 6 files changed, 964 insertions(+), 992 deletions(-)

commit 96d5a8a7c1a0dc7f324cf3afe955308d59e43351
Merge: 8a4109e 467cfef
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 24 Aug 2014 19:44:44 +0200

    Merge branch 'vendor' into openmp_review

commit 55db045a2d8251edec2c2e33d19dd8d3508d8ac9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 23 Aug 2014 18:21:13 +0200

    simplify definition of constants

 QuantLib/ql/experimental/volatility/noarbsabr.cpp  | 50 ++++++------
 QuantLib/ql/experimental/volatility/noarbsabr.hpp  | 86 ++++++++++----------
 .../volatility/noarbsabrinterpolation.hpp          | 92 +++++++++++-----------
 QuantLib/test-suite/noarbsabr.cpp                  |  7 +-
 4 files changed, 115 insertions(+), 120 deletions(-)

commit bfc082e9e4c3b2419f853328af9baf086efa25b8
Merge: 157a0e4 c0fe7e7
Author: Pepe <japari@free.fr>
Date:   Fri, 22 Aug 2014 11:06:30 +0200

    Merge branch 'master' into LossLatentModels

commit 157a0e40c19095cdf15dcbd6d9084ee6f0f688ed
Author: Pepe <japari@free.fr>
Date:   Thu, 21 Aug 2014 17:17:10 +0200

    Units are absolute now

 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 6 +++++-
 1 file changed, 5 insertions(+), 1 deletion(-)

commit 0df2f09e81cf36ec917ffca574592f5bfcdabceb
Author: Pepe <japari@free.fr>
Date:   Thu, 21 Aug 2014 17:08:15 +0200

    Docs and saddle integration through inverted probs

 .../credit/basecorrelationstructure.cpp            |  17 +-
 .../credit/basecorrelationstructure.hpp            | 103 +---
 .../ql/experimental/credit/basecorrellossmodel.hpp |  39 +-
 QuantLib/ql/experimental/credit/basket.cpp         | 486 +++----------------
 QuantLib/ql/experimental/credit/basket.hpp         |  90 +---
 .../ql/experimental/credit/binomiallossmodel.hpp   |  37 +-
 .../credit/constantlosslatentmodel.hpp             |  10 +-
 .../experimental/credit/correlationstructure.hpp   |   2 +-
 .../ql/experimental/credit/defaultlossmodel.hpp    |   4 +-
 .../experimental/credit/gaussianlhplossmodel.cpp   |   3 -
 .../ql/experimental/credit/integralntdengine.cpp   |  21 +-
 QuantLib/ql/experimental/credit/nthtodefault.cpp   |   2 +-
 .../experimental/credit/saddlepointlossmodel.cpp   | 529 ++++++---------------
 .../experimental/credit/saddlepointlossmodel.hpp   | 292 ++++++------
 .../ql/experimental/credit/spotlosslatentmodel.hpp | 490 +++++++++++--------
 .../ql/experimental/math/gaussiancopulapolicy.cpp  |   3 +-
 .../ql/experimental/math/gaussiancopulapolicy.hpp  |  13 +-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 125 ++---
 18 files changed, 835 insertions(+), 1431 deletions(-)

commit ec3340a79cc591c408e3ac5fa7195e24495afb60
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 19 Aug 2014 18:49:12 +0200

    make sure that the interpolated smiles are build from the new sparse smiles

 QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 7675165080453de437068ef1c2ce33d7e77eb0ec
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 18 Aug 2014 20:44:29 +0200

    add missing notifications

 QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 2 ++
 1 file changed, 2 insertions(+)

commit 3e3b214e5966a90666c13ce67f1786de99a11421
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 13 Aug 2014 19:09:33 +0200

    change member variable from reference to plain

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit ccdaba53f2ed70ddd8c186122c160edb03b6d3f5
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 10 Aug 2014 16:02:53 +0200

    fixed formatting

 QuantLib/ql/math/distributions/normaldistribution.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit 70e4547a19d687f9af510e9ebbb30de93badb46f
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 10 Aug 2014 16:01:33 +0200

    fixed formatting

 QuantLib/ql/math/integrals/gausslobattointegral.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit cf5b85098919ecd042ae75bda01f3ca0eee6c5d2
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 10 Aug 2014 15:58:09 +0200

    fixed Gauss-Lobatto integration for zero function (thanks to Peter
    Caspers)
    added wrapper for boost cumulative normal distribution function

 .../ql/math/distributions/normaldistribution.cpp     |  8 ++++++++
 .../ql/math/distributions/normaldistribution.hpp     | 14 ++++++++++++--
 QuantLib/ql/math/integrals/gausslobattointegral.cpp  | 20 +++++++++++++++-----
 .../pricingengines/vanilla/analytichestonengine.cpp  |  3 +++
 QuantLib/test-suite/integrals.cpp                    |  2 ++
 5 files changed, 40 insertions(+), 7 deletions(-)

commit 990a27cb6bc830f5b4fe05b6a70662f32825f457
Author: Pepe <japari@free.fr>
Date:   Fri, 8 Aug 2014 18:03:44 +0200

    cosmetics, ESF not working

 QuantLib/ql/experimental/credit/saddlepointlossmodel.cpp | 1 +
 QuantLib/ql/experimental/credit/saddlepointlossmodel.hpp | 8 +-------
 2 files changed, 2 insertions(+), 7 deletions(-)

commit 3c8f8240712d8a1447e342ab7ee4941897d83595
Author: Pepe <japari@free.fr>
Date:   Thu, 7 Aug 2014 18:53:53 +0200

    updated models

 .../ql/experimental/credit/binomiallossmodel.hpp   |   4 +-
 .../ql/experimental/credit/recursivelossmodel.hpp  |  58 +++++++-
 .../experimental/credit/saddlepointlossmodel.cpp   |  33 ++++-
 .../experimental/credit/saddlepointlossmodel.hpp   |  12 +-
 .../ql/experimental/credit/spotlosslatentmodel.hpp | 161 +++++++--------------
 QuantLib/ql/experimental/math/latentmodel.hpp      |  23 ++-
 6 files changed, 167 insertions(+), 124 deletions(-)

commit e506d305375f5ac3fab2bb99a49a7f348cb7f0dd
Author: Francois Botha <igitur@gmail.com>
Date:   Wed, 6 Aug 2014 13:35:06 +0200

    Some refactoring. Mainly due to partial-time floating strike lookback options' t1 being time until END of lookback period, which is different to partial-time fixed strike lookback options' t1 being START of lookback period. Found the explanation in Haug's book

 QuantLib/ql/instruments/lookbackoption.cpp         | 16 +++++-----
 QuantLib/ql/instruments/lookbackoption.hpp         | 12 +++----
 .../analyticcontinuouspartialfixedlookback.cpp     | 24 +++++++-------
 .../analyticcontinuouspartialfixedlookback.hpp     | 15 ++++++++-
 .../analyticcontinuouspartialfloatinglookback.cpp  | 37 ++++++++++------------
 .../analyticcontinuouspartialfloatinglookback.hpp  | 13 +++++++-
 QuantLib/test-suite/lookbackoptions.cpp            |  4 +--
 7 files changed, 71 insertions(+), 50 deletions(-)

commit 2a68838242a56b46af5171e719858c2c21a40b16
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 5 Aug 2014 20:31:58 +0200

    improve integration region determination

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 8 ++++++--
 1 file changed, 6 insertions(+), 2 deletions(-)

commit 072c1f541c274dcc1de17cf6dacdb04a15014ead
Merge: ee42cbf 467cfef
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Aug 2014 18:58:52 +0200

    Merge branch 'vendor' into noarbsabr

commit ee42cbfa184b21d564d01d4798c072b25feff8ec
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Aug 2014 18:56:37 +0200

    restore Makefile.am again

 QuantLib/Makefile.am | 1 -
 1 file changed, 1 deletion(-)

commit 5c45a26de00541213e471669d540544416db5638
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Aug 2014 18:55:31 +0200

    restore Makefile.am

 QuantLib/Makefile.am | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit db8498d8b7a5689b59fe708a8556cbbe9cbed55f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Aug 2014 18:51:17 +0200

    update description

 QuantLib/ql/experimental/volatility/noarbsabr.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 660cc4100eaf59d2cde72cbf9a02d8d58416d625
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Aug 2014 18:45:01 +0200

    add warning, increase integral accuracy from 1E-6 to 1E-7 (tau=3, forward=0.01, alpha=0.00376783, beta=0.2, nu=0.01, rho=0.75 has a discontinuity in the call price function with 1E-6 around atm), avoid exception in GaussLobattoIntegral when the density is zero in the integration domain, add constant for density lower bound computation, add inspector for model implied forward, add fall back to smile section if implied vol can not be computed, amend test case due to changed integral accuracy

 QuantLib/ql/experimental/volatility/noarbsabr.cpp  | 97 +++++++++++-----------
 QuantLib/ql/experimental/volatility/noarbsabr.hpp  | 20 ++++-
 .../volatility/noarbsabrsmilesection.cpp           |  8 ++
 QuantLib/test-suite/interpolations.cpp             | 62 +++++++-------
 4 files changed, 104 insertions(+), 83 deletions(-)

commit ac3e0ea5e2e8be5c57f4c64e5c9efbd0d811ccf0
Author: Pepe <japari@free.fr>
Date:   Sat, 2 Aug 2014 17:55:51 +0200

    added recursive model

 QuantLib/QuantLib_vc9.vcproj                       |   2 +-
 QuantLib/ql/experimental/credit/Makefile.am        |   2 +-
 QuantLib/ql/experimental/credit/all.hpp            |   2 +-
 .../credit/constantlosslatentmodel.hpp             |   1 +
 .../credit/defaultprobabilitylatentmodel.hpp       |   3 +
 .../ql/experimental/credit/recursivecdoengine.hpp  | 360 ---------------
 .../ql/experimental/credit/recursivelossmodel.hpp  | 483 +++++++++++++++++++++
 7 files changed, 490 insertions(+), 363 deletions(-)

commit 467cfefdcd336d33e21445136cbb05b1d4d62e67
Merge: ad6e77a d2a8e6c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Aug 2014 16:51:17 +0200

    Merge pull request 124.

commit d2a8e6c301ddf7ed50cc0c408dada39b332f01c1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Aug 2014 16:16:47 +0200

    Give names to intermediate results.
    
    Bytes on the stack are cheap these days, so it's not necessary
    to reuse data members at the expense of clarity.

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 14 ++++++++------
 1 file changed, 8 insertions(+), 6 deletions(-)

commit ad1f48f4c5a5765f759dd42b363e34357b6ecb00
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 1 Aug 2014 16:14:42 +0200

    better handling for absorption matrix array

 QuantLib/Makefile.am                                      |  2 +-
 QuantLib/ql/experimental/volatility/Makefile.am           |  1 +
 QuantLib/ql/experimental/volatility/noarbsabr.cpp         |  2 --
 QuantLib/ql/experimental/volatility/noarbsabr.hpp         |  2 ++
 QuantLib/ql/experimental/volatility/noarbsabrabsprobs.cpp | 10 +++++++++-
 5 files changed, 13 insertions(+), 4 deletions(-)

commit 54ff3ce12a00383c0dd5dd586f5378ecea1e810a
Author: Pepe <japari@free.fr>
Date:   Fri, 1 Aug 2014 09:23:15 +0200

    Added saddle point model.

 QuantLib/QuantLib_vc9.vcproj                       |    8 +
 QuantLib/ql/experimental/credit/Makefile.am        |    2 +
 .../experimental/credit/saddlepointlossmodel.cpp   | 1021 ++++++++++++++++++++
 .../experimental/credit/saddlepointlossmodel.hpp   |  607 ++++++++++++
 4 files changed, 1638 insertions(+)

commit e0522e8a2153a8a5bc0277c072b71063edee773e
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 31 Jul 2014 11:57:13 +0200

    Modify project files

 QuantLib/QuantLib_vc10.vcxproj         |  4 ++++
 QuantLib/QuantLib_vc10.vcxproj.filters | 14 ++++++++++++++
 QuantLib/QuantLib_vc11.vcxproj         |  4 ++++
 QuantLib/QuantLib_vc11.vcxproj.filters | 12 ++++++++++++
 QuantLib/QuantLib_vc8.vcproj           | 16 ++++++++++++++++
 QuantLib/QuantLib_vc9.vcproj           | 16 ++++++++++++++++
 6 files changed, 66 insertions(+)

commit 50099557cb321ea070dce5ee5457bfed675a344c
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 31 Jul 2014 11:41:54 +0200

    Add validation rules

 QuantLib/ql/instruments/lookbackoption.cpp | 20 ++++++++++++++++----
 QuantLib/ql/instruments/lookbackoption.hpp |  1 +
 2 files changed, 17 insertions(+), 4 deletions(-)

commit d25862167f2556ea957ac4feac53db832ffbfb02
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 31 Jul 2014 11:17:08 +0200

    Clean up code

 .../analyticcontinuouspartialfixedlookback.cpp     | 35 +--------
 .../analyticcontinuouspartialfixedlookback.hpp     | 10 +--
 .../analyticcontinuouspartialfloatinglookback.cpp  |  3 +-
 .../analyticcontinuouspartialfloatinglookback.hpp  |  4 +-
 QuantLib/test-suite/lookbackoptions.cpp            | 85 ++++++++++++----------
 5 files changed, 59 insertions(+), 78 deletions(-)

commit 341de3cf2e952995048435ed10daa71ce42f6048
Author: Francois Botha <igitur@gmail.com>
Date:   Wed, 30 Jul 2014 20:18:20 +0200

    Implement Continuous Partial Fixed Strike Lookback Option

 QuantLib/ql/instruments/lookbackoption.cpp         |  31 +++-
 QuantLib/ql/instruments/lookbackoption.hpp         |  29 +++
 .../analyticcontinuouspartialfixedlookback.cpp     | 194 +++++++++++++++++++++
 .../analyticcontinuouspartialfixedlookback.hpp     |  71 ++++++++
 QuantLib/test-suite/lookbackoptions.cpp            |  99 +++++++++++
 QuantLib/test-suite/lookbackoptions.hpp            |   1 +
 6 files changed, 420 insertions(+), 5 deletions(-)

commit f3e4ac95f25b9b76699746534bb5e92698af2827
Author: Pepe <japari@free.fr>
Date:   Wed, 30 Jul 2014 19:04:10 +0200

    warning. Allow integration of random loss model

 .../ql/experimental/credit/basecorrellossmodel.hpp |  3 +
 .../ql/experimental/credit/spotlosslatentmodel.hpp | 95 ++++++++++++++++++++--
 2 files changed, 92 insertions(+), 6 deletions(-)

commit bb2d94143c1a97f97f045a0ab95bad8aa80c6d6a
Author: Francois Botha <igitur@gmail.com>
Date:   Wed, 30 Jul 2014 18:12:23 +0200

    Implement Continuous Partial Floating Strike Lookback Option

 QuantLib/ql/instruments/lookbackoption.cpp         |  34 ++++
 QuantLib/ql/instruments/lookbackoption.hpp         |  32 +++
 .../analyticcontinuouspartialfloatinglookback.cpp  | 187 ++++++++++++++++++
 .../analyticcontinuouspartialfloatinglookback.hpp  |  72 +++++++
 QuantLib/test-suite/lookbackoptions.cpp            | 217 ++++++++++++++++-----
 QuantLib/test-suite/lookbackoptions.hpp            |   1 +
 6 files changed, 495 insertions(+), 48 deletions(-)

commit 523cca72ec477e0a2e6173e9fd2c1cd0ab8e858c
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 29 Apr 2014 12:23:33 +0200

    better handling of evaluation dates which are not business dates

 QuantLib/ql/instruments/makecms.cpp              |  9 ++++++---
 QuantLib/ql/instruments/makeois.cpp              |  9 ++++++---
 QuantLib/ql/instruments/makeswaption.cpp         | 13 ++++++++-----
 QuantLib/ql/instruments/makevanillaswap.cpp      |  9 ++++++---
 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 14 ++++++++++----
 5 files changed, 36 insertions(+), 18 deletions(-)

commit ad6e77ac0e85255af09b5e44c932f5e8952db6b1
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 29 Apr 2014 12:09:51 +0200

    empowered implied vol methods for displaced diffusion

 QuantLib/ql/instruments/capfloor.cpp             | 16 +++++++++-----
 QuantLib/ql/instruments/capfloor.hpp             |  5 +++--
 QuantLib/ql/instruments/swaption.cpp             | 28 ++++++++++++++----------
 QuantLib/ql/instruments/swaption.hpp             |  4 +++-
 QuantLib/test-suite/capfloor.cpp                 |  3 ++-
 QuantLib/test-suite/swaption.cpp                 |  5 ++++-
 QuantLib/test-suite/swaptionvolatilitymatrix.cpp |  3 ++-
 7 files changed, 40 insertions(+), 24 deletions(-)

commit 7b8e7621c5e29a39f32add5ae4e0824e6a40bf0a
Merge: be3d1ca 3b05413
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 29 Jul 2014 15:14:16 +0200

    Merge pull request #119.

commit be3d1cabbe1b7304bd4d45703a04022331161090
Merge: c1093ab 762c4db
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 29 Jul 2014 13:35:06 +0200

    Merge pull request #116.

commit a8967ab0de606bee469c94b1a3ff6bab81278950
Author: Pepe <japari@free.fr>
Date:   Mon, 28 Jul 2014 23:51:29 +0200

    add check

 QuantLib/ql/experimental/credit/constantlosslatentmodel.hpp  | 6 +++++-
 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 3 ++-
 2 files changed, 7 insertions(+), 2 deletions(-)

commit fc8140a6e2aa977ac4d5d1833d86428d00047504
Author: Pepe <japari@free.fr>
Date:   Mon, 28 Jul 2014 17:26:47 +0200

    Allow for BC with inhomogeneous model. Discarded default usage of MT rng

 .../ql/experimental/credit/basecorrellossmodel.hpp | 27 ++++++++++++++++++++++
 .../experimental/credit/inhomogeneouspooldef.hpp   |  3 +++
 .../credit/randomdefaultlatentmodel.hpp            |  6 ++---
 .../experimental/credit/randomlosslatentmodel.hpp  |  4 ++--
 4 files changed, 35 insertions(+), 5 deletions(-)

commit 3b05413841683211a7de3cc3a716e6ec5280e65a
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 28 Jul 2014 14:55:45 +0200

    Add more pay-off types to payoffTypeToString

 QuantLib/test-suite/utilities.cpp | 3 +++
 1 file changed, 3 insertions(+)

commit 2c856418112906a61fd8099f18bf7be3cf4a53a0
Author: Pepe <japari@free.fr>
Date:   Sat, 26 Jul 2014 09:08:07 +0200

    revised basket recalc, not calling for non model dependent magnitudes

 QuantLib/ql/experimental/credit/basket.cpp | 22 ++++++++++++----------
 QuantLib/ql/experimental/credit/basket.hpp | 16 ++++++++--------
 2 files changed, 20 insertions(+), 18 deletions(-)

commit 058583dabd3034925992e42808702378595b49bd
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 21:40:35 +0200

    insert space

 .../ql/experimental/volatility/noarbsabrinterpolatedsmilesection.cpp    | 2 +-
 .../ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp    | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 3673be549e7fed8575c33cb352729d91b1264550
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 21:37:08 +0200

    adapt to current master

 QuantLib/ql/math/modifiedbessel.cpp | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

commit fd5497afe24bc279d609a0a0d9ae3505f5f98a21
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 21:36:44 +0200

    cleanup whitespace

 QuantLib/ql/experimental/volatility/Makefile.am | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

commit c441587db8dafc059078cb30ddbe10caaabb52ae
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 19:39:32 +0200

    use gauss lobatto instead of gauss kronrod, the latter producing non af digitals in some cases

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 10 ++--
 QuantLib/ql/experimental/volatility/noarbsabr.hpp |  6 ++-
 QuantLib/test-suite/interpolations.cpp            | 64 +++++++++++------------
 3 files changed, 43 insertions(+), 37 deletions(-)

commit 9814c92c32bf384c2ba5ac7bb8cd035c6eb893f8
Merge: 34e3306 10bd6e2
Author: Pepe <japari@free.fr>
Date:   Fri, 25 Jul 2014 15:01:39 +0200

    Merge branch 'master' into LossLatentModels
    
    Conflicts:
    	QuantLib/ql/experimental/credit/recursivecdoengine.hpp

commit 5b725979e4107746c9de14736a7161247baadbf0
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 13:31:08 +0200

    whitespace cleanup

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp               | 2 +-
 QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit fa503c051c5c36172b64dd62d6af28df3efef13f
Merge: 3aca758 c1093ab
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 12:59:55 +0200

    Merge branch 'vendor' into noarbsabr
    
    Conflicts:
    	QuantLib/ql/termstructures/volatility/swaption/cmsmarketcalibration.cpp
    	QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.cpp

commit 3aca758e6f5a96011ade9a3e613b3c59b070e3b5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 12:52:18 +0200

    add missing include file, remove unused include files, add some comments

 .../termstructures/volatility/swaption/swaptionvolcube1.hpp   | 11 ++++++-----
 1 file changed, 6 insertions(+), 5 deletions(-)

commit e6f7f9fcf7f02e4d0f9595a4491fb56ca4583e38
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 25 Jul 2014 12:51:22 +0200

    rename variable in inner loop

 .../volatility/swaption/cmsmarketcalibration.cpp             | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit 9376b70fa249054645ee5a0e88a2d1113db2f351
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 24 Jul 2014 23:21:47 +0200

    make vol cube 1 a template class, so that any Sabr implementation can be used with it

 .../termstructures/volatility/swaption/Makefile.am |   1 -
 .../volatility/swaption/swaptionvolcube1.cpp       | 966 --------------------
 .../volatility/swaption/swaptionvolcube1.hpp       | 982 ++++++++++++++++++++-
 3 files changed, 977 insertions(+), 972 deletions(-)

commit 4ce1858002dd9a2fcc93733031605dfc0d794999
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 24 Jul 2014 23:20:59 +0200

    update cut off point

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 2 +-
 QuantLib/ql/experimental/volatility/noarbsabr.hpp | 7 +++----
 2 files changed, 4 insertions(+), 5 deletions(-)

commit 34e3306d097b40c843abd2317313a54768552ff6
Author: Pepe <japari@free.fr>
Date:   Thu, 24 Jul 2014 18:23:35 +0200

    restore tests. Removed code coming from the multithread version

 QuantLib/Examples/BasketLosses/BasketLosses.cpp | 187 +-----------------
 QuantLib/Examples/LatentModel/LatentModel.cpp   |  40 +---
 QuantLib/test-suite/quantlibtestsuite.cpp       | 246 ++++++++++++------------
 3 files changed, 130 insertions(+), 343 deletions(-)

commit ddd71b13c66ca7a1aff7747da2365627750f3df2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 24 Jul 2014 18:08:35 +0200

    add noarb sabr interpolated smile section

 .../noarbsabrinterpolatedsmilesection.cpp          | 126 ++++++++++++++
 .../noarbsabrinterpolatedsmilesection.hpp          | 192 +++++++++++++++++++++
 2 files changed, 318 insertions(+)

commit a483786811f00badbb94ebfe31323de606fc5a9f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 24 Jul 2014 13:22:58 +0200

    add noarb sabr interpolated smile section

 QuantLib/ql/experimental/volatility/Makefile.am                | 2 ++
 QuantLib/ql/experimental/volatility/all.hpp                    | 1 +
 QuantLib/ql/experimental/volatility/noarbsabrinterpolation.hpp | 2 +-
 3 files changed, 4 insertions(+), 1 deletion(-)

commit e007134f57bb00ee39680668f25cfd14b093f1a7
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 22 Jul 2014 22:02:35 +0200

    adjust some parameters, tidy up code

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 83 +++++++++++------------
 QuantLib/ql/experimental/volatility/noarbsabr.hpp | 26 ++++---
 QuantLib/test-suite/interpolations.cpp            | 65 +++++++++---------
 3 files changed, 84 insertions(+), 90 deletions(-)

commit c9dd9bb9148052183f8071844ad900b18461d1a7
Author: Pepe <japari@free.fr>
Date:   Tue, 22 Jul 2014 18:28:47 +0200

    Adapted relevant test-suite cases. Homogenous engine added, corrected date in cdo engines.

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    |  17 +-
 QuantLib/QuantLib_vc9.vcproj                       |   2 +-
 QuantLib/ql/experimental/credit/Makefile.am        |   2 +-
 QuantLib/ql/experimental/credit/all.hpp            |   1 +
 .../credit/constantlosslatentmodel.hpp             |   7 +-
 .../ql/experimental/credit/defaultlossmodel.hpp    |  25 +-
 .../experimental/credit/gaussianlhplossmodel.cpp   |  26 +-
 .../experimental/credit/gaussianlhplossmodel.hpp   |  14 +-
 .../ql/experimental/credit/homogeneouspooldef.hpp  | 162 +++++++
 .../experimental/credit/inhomogeneouspooldef.cpp   |  71 ---
 .../experimental/credit/inhomogeneouspooldef.hpp   | 118 +++--
 .../ql/experimental/credit/integralcdoengine.cpp   |  55 ++-
 .../ql/experimental/credit/midpointcdoengine.cpp   |   9 +-
 .../ql/experimental/credit/midpointcdoengine.hpp   |  13 +-
 .../credit/randomdefaultlatentmodel.hpp            | 191 +++------
 .../experimental/credit/randomlosslatentmodel.hpp  |  56 +--
 QuantLib/ql/experimental/credit/syntheticcdo.cpp   |  57 ++-
 QuantLib/ql/experimental/credit/syntheticcdo.hpp   |   6 +-
 QuantLib/test-suite/cdo.cpp                        | 476 +++++++++++++--------
 QuantLib/test-suite/nthtodefault.cpp               |  30 +-
 20 files changed, 740 insertions(+), 598 deletions(-)

commit cacde2d6567519dc633f01cc60aa7c91618b40b7
Merge: 4840d22 762c4db
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 23:06:25 +0200

    Merge branch 'fixNewton20140721' into noarbsabr

commit 762c4db0c465bacdf632322bf427339aabaaa3f1
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 23:06:08 +0200

    fix situation leading to infinite derivative, add test case

 .../math/solvers1d/finitedifferencenewtonsafe.hpp  | 11 +++++++++--
 QuantLib/test-suite/solvers.cpp                    | 23 ++++++++++++++++++++--
 QuantLib/test-suite/solvers.hpp                    |  1 +
 3 files changed, 31 insertions(+), 4 deletions(-)

commit 4840d22347d56e758c6c40a8df428e019160245d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 22:51:27 +0200

    extend interface for parameters guesses, default values, transformation

 QuantLib/ql/math/interpolations/xabrinterpolation.hpp | 16 ++++++++++------
 1 file changed, 10 insertions(+), 6 deletions(-)

commit 2b25576d097a27bf7894aee6eafcaad4f6a8fe56
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 22:51:00 +0200

    use int instead of long

 QuantLib/test-suite/noarbsabr.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 5712db4c3a283c28633929c6ce9c4510944c263e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 22:50:35 +0200

    add noarb sabr interpolation tests (still failing currently)

 QuantLib/test-suite/interpolations.cpp | 183 ++++++++++++++++++++++++++++++++-
 QuantLib/test-suite/interpolations.hpp |   2 +
 2 files changed, 183 insertions(+), 2 deletions(-)

commit f3e3bafed37d5c4a97088d7df264f2e046305a13
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 22:49:30 +0200

    review parameters transformation, guesses, default values

 .../volatility/noarbsabrinterpolation.hpp          | 132 +++++++++++++++------
 .../ql/math/interpolations/sabrinterpolation.hpp   |  24 ++--
 2 files changed, 109 insertions(+), 47 deletions(-)

commit 9b5dcad207b52d2f6dd3716b3c0acdcfa7476b2e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 21 Jul 2014 22:48:38 +0200

    fix indices to access absorption matrix, use boost's inverse to incomplete gamma function, adjust some constants to make numerics more stable

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 70 +++++++++++++----------
 QuantLib/ql/experimental/volatility/noarbsabr.hpp |  6 +-
 2 files changed, 42 insertions(+), 34 deletions(-)

commit 0dfd6d3494613b83b12d7f25ae9538a6a85e80a0
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 20:40:22 +0200

    add some safety checks

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 26 ++++++++++++++---------
 1 file changed, 16 insertions(+), 10 deletions(-)

commit 478ec6e90288ba99e01e095bb039cd209b1c5bc8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 20:32:16 +0200

    fix some names, add tests for digitals and density

 QuantLib/test-suite/noarbsabr.cpp | 31 +++++++++++++++++++++++--------
 1 file changed, 23 insertions(+), 8 deletions(-)

commit ca86dce949768dc000a3b7a16acc187f19092169
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 19:55:03 +0200

    handling of constexpr

 QuantLib/ql/experimental/volatility/noarbsabr.hpp  |  45 ++++---
 .../experimental/volatility/noarbsabrabsprobs.cpp  |   9 +-
 .../volatility/noarbsabrinterpolation.hpp          | 133 +++++++++++++--------
 3 files changed, 103 insertions(+), 84 deletions(-)

commit 7ca76a9fde58fe59d10aecf93278c7530bcb9821
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 16:56:51 +0200

    fix formatting

 QuantLib/ql/experimental/volatility/noarbsabr.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit f22a905cf6b78ae5531b296bd3111fe05aae15b5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 16:56:25 +0200

    revert logic

 QuantLib/ql/experimental/volatility/noarbsabr.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 21b03c4d219eb9aa82cd1791806394d0d0c8b36d
Merge: f3368b4 8d460c2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 16:54:32 +0200

    Merge remote-tracking branch 'localmaster/noarbsabr' into noarbsabr

commit 8d460c2121c22ffa91269068deeed8e9bee44a4b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 16:53:33 +0200

    add noarb sabr interpolation and smile section, add files to Makefile.am, rename no arb sabr model in test suite

 QuantLib/ql/experimental/volatility/Makefile.am    |   3 +
 QuantLib/ql/experimental/volatility/all.hpp        |   2 +
 .../volatility/noarbsabrinterpolation.hpp          | 190 +++++++++++++++++++++
 .../volatility/noarbsabrsmilesection.cpp           |  85 +++++++++
 .../volatility/noarbsabrsmilesection.hpp           |  64 +++++++
 QuantLib/test-suite/noarbsabr.cpp                  |   2 +-
 6 files changed, 345 insertions(+), 1 deletion(-)

commit f3368b40c6ee825fa6f7e250ce9b66bdd1bc4f6d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 16:50:14 +0200

    c++03 compatibility changes

 QuantLib/ql/experimental/volatility/noarbsabr.hpp    |  2 ++
 .../ql/experimental/volatility/noarbsabrabsprobs.cpp |  2 +-
 QuantLib/ql/math/modifiedbessel.cpp                  | 20 +++++++++++---------
 3 files changed, 14 insertions(+), 10 deletions(-)

commit dd19f7e73caf05e5b87b8435d1a28573541b1501
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 15:28:03 +0200

    add forward as parameter for transformation functions

 .../ql/math/interpolations/sabrinterpolation.hpp     | 20 ++++++++++----------
 .../ql/math/interpolations/xabrinterpolation.hpp     |  8 ++++----
 2 files changed, 14 insertions(+), 14 deletions(-)

commit 08830690e15c8b02217596a6d37ef132df80e485
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 20 Jul 2014 15:26:58 +0200

    rename class (to make room for the interpolation factory)

 QuantLib/ql/experimental/volatility/noarbsabr.cpp | 32 +++++++++++------------
 QuantLib/ql/experimental/volatility/noarbsabr.hpp |  6 ++---
 2 files changed, 19 insertions(+), 19 deletions(-)

commit 78ffbdd6dfa21a6ae89c817640fb6b7bd9acb16a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 19 Jul 2014 23:22:02 +0200

    fix unsigned - signed comparison

 QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 63528717d0ff72e550480c652c8d7c06a41a92c9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 19 Jul 2014 23:21:36 +0200

    add new files

 QuantLib/ql/math/interpolations/Makefile.am | 3 ++-
 QuantLib/ql/math/interpolations/all.hpp     | 1 +
 2 files changed, 3 insertions(+), 1 deletion(-)

commit 7d8f841dac05abe03fa8670fcf69e0c9dca7db6c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 19 Jul 2014 23:20:23 +0200

    fix test cases in that the cases with fixed parameters actually were computed with all parameters free; in addition with the new cases we need an explicit error threshold for the optimization in order to meet the desired test tolerance

 QuantLib/test-suite/interpolations.cpp | 37 ++++++++++++++++++++++------------
 1 file changed, 24 insertions(+), 13 deletions(-)

commit fe33a4e5c251c803c250560664f8d078dd77ed5f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 19 Jul 2014 23:09:57 +0200

    separate sabr interpolation into a model specific and a generic part in order to make it reusable for other models, there should be no functional impact implied by the changes except slight amendments concerning the parameter guesses and the parameter transformations, which seemed reasonable to do at the same time

 .../ql/math/interpolations/sabrinterpolation.hpp   | 622 ++++++---------------
 .../ql/math/interpolations/xabrinterpolation.hpp   | 319 +++++++++++
 2 files changed, 490 insertions(+), 451 deletions(-)

commit c1093abd0e71c97b5f47db657956fb96ca27936b
Merge: 85f4e29 2d9180d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 19 Jul 2014 13:14:59 +0200

    Merge pull request #115 from pcaspers/openmp_g1d
    
    fix struct initialization for msvc

commit d43b569d8e04fad35948e82159ed08d326502709
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 18 Jul 2014 19:18:34 +0200

    use instances instead of static methods

 QuantLib/ql/math/modifiedbessel.cpp | 18 +++++++++---------
 1 file changed, 9 insertions(+), 9 deletions(-)

commit 6201f6122d683fe97c8a92db92152e820b4f7004
Merge: f581a58 2d9180d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 18 Jul 2014 19:13:17 +0200

    Merge branch 'openmp_g1d' into noarbsabr

commit 2d9180d867540757d40f4efceab35e729cf318eb
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 18 Jul 2014 18:44:55 +0200

    fix struct initialization for msvc

 QuantLib/ql/experimental/models/gaussian1dmodel.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit f581a5899005713754b322af98973e2a8fc8a3c6
Merge: 42605f1 8489b9b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 18 Jul 2014 13:50:03 +0200

    Merge branch 'openmp_g1d' into noarbsabr

commit 85f4e294774a8e0d42483a1f93aff8b1024fdf5e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 18 Jul 2014 12:13:06 +0200

    Avoid more warnings.
    
    Mostly, instances of the dreaded "unused local typedef" warnings
    that gcc 4.8 is so fond of emitting.

 QuantLib/ql/experimental/catbonds/catrisk.hpp           |  7 +++++++
 .../ql/experimental/credit/defaultprobabilitykey.cpp    |  7 +++++++
 QuantLib/ql/experimental/credit/recursivecdoengine.hpp  |  7 +++++++
 QuantLib/ql/experimental/math/convolvedstudentt.cpp     | 17 +++++------------
 .../mcbasket/longstaffschwartzmultipathpricer.hpp       |  7 +++++++
 QuantLib/ql/experimental/models/gaussian1dmodel.hpp     |  7 +++++++
 QuantLib/ql/experimental/models/kahalesmilesection.hpp  |  7 +++++++
 .../processes/extendedornsteinuhlenbeckprocess.cpp      |  8 +++++++-
 QuantLib/ql/indexes/indexmanager.cpp                    |  7 +++++++
 QuantLib/ql/math/integrals/twodimensionalintegral.hpp   |  7 +++++++
 QuantLib/ql/math/optimization/levenbergmarquardt.cpp    |  7 +++++++
 QuantLib/ql/math/optimization/spherecylinder.cpp        |  7 +++++++
 .../meshers/exponentialjump1dmesher.cpp                 |  8 +++++++-
 .../finitedifferences/meshers/fdmmeshercomposite.cpp    |  8 +++++++-
 .../finitedifferences/schemes/impliciteulerscheme.cpp   |  8 +++++++-
 QuantLib/ql/pricingengines/blackformula.cpp             |  7 +++++++
 .../ql/pricingengines/vanilla/analytichestonengine.cpp  |  7 +++++++
 .../ql/pricingengines/vanilla/hestonexpansionengine.cpp |  7 +++++++
 QuantLib/ql/processes/hestonprocess.cpp                 |  8 +++++++-
 .../ql/termstructures/credit/hazardratestructure.cpp    |  7 +++++++
 .../volatility/swaption/cmsmarketcalibration.cpp        | 12 ++++++------
 .../volatility/swaption/swaptionvolcube1.cpp            |  2 +-
 QuantLib/ql/time/date.cpp                               |  7 +++++++
 QuantLib/ql/time/ecb.cpp                                |  7 +++++++
 QuantLib/ql/time/imm.cpp                                |  7 +++++++
 QuantLib/ql/utilities/dataparsers.cpp                   |  7 +++++++
 QuantLib/test-suite/fdheston.cpp                        |  8 +++++++-
 QuantLib/test-suite/fdmlinearop.cpp                     |  9 +++++++--
 QuantLib/test-suite/hybridhestonhullwhiteprocess.cpp    |  8 +++++++-
 QuantLib/test-suite/integrals.cpp                       |  8 +++++++-
 QuantLib/test-suite/linearleastsquaresregression.cpp    |  7 +++++++
 QuantLib/test-suite/vpp.cpp                             |  8 +++++++-
 32 files changed, 215 insertions(+), 30 deletions(-)

commit 42605f1fc2ee4bf8efad2b4c0e4b29c5556ec85b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 17 Jul 2014 21:49:10 +0200

    add exponentially weighted versions of the modified bessel functions

 QuantLib/ql/math/modifiedbessel.cpp | 60 ++++++++++++++++++++++++++++++-------
 QuantLib/ql/math/modifiedbessel.hpp | 11 +++++++
 2 files changed, 60 insertions(+), 11 deletions(-)

commit 563429ed29e7820432d9c9b2e7a6e2900740c947
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 17 Jul 2014 21:48:16 +0200

    initial version noarb sabr model

 QuantLib/ql/experimental/volatility/Makefile.am    |     2 +
 QuantLib/ql/experimental/volatility/all.hpp        |     1 +
 QuantLib/ql/experimental/volatility/noarbsabr.cpp  |   313 +
 QuantLib/ql/experimental/volatility/noarbsabr.hpp  |   151 +
 .../experimental/volatility/noarbsabrabsprobs.cpp  | 10114 +++++++++++++++++++
 QuantLib/test-suite/Makefile.am                    |     1 +
 QuantLib/test-suite/noarbsabr.cpp                  |   127 +
 QuantLib/test-suite/noarbsabr.hpp                  |    36 +
 QuantLib/test-suite/quantlibtestsuite.cpp          |     2 +
 9 files changed, 10747 insertions(+)

commit ba830e9d831c88fb79b77b8265372b3b77559ca0
Merge: dde16a5 8489b9b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 17 Jul 2014 17:14:05 +0200

    Merge pull request #101.

commit 7ba2396e84916849854903efa917a399a7ac31e8
Author: Pepe <japari@free.fr>
Date:   Thu, 17 Jul 2014 12:20:51 +0200

    Excluded linker files. Adapted unit test for NTDs. Adapted NTD engines and correl quote notifications. Still pending: heterogeneous ntd pricing. Still pending: other credit unit tests

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    |  12 +-
 QuantLib/Examples/LatentModel/LatentModel.cpp      |  24 +-
 .../MultidimIntegral/MultidimIntegral.vcproj       |   7 +-
 .../ql/experimental/credit/basecorrellossmodel.hpp |   3 +
 QuantLib/ql/experimental/credit/basket.cpp         |  15 +-
 QuantLib/ql/experimental/credit/basket.hpp         |   8 +-
 .../credit/constantlosslatentmodel.hpp             |  64 ++++
 .../ql/experimental/credit/defaultlossmodel.hpp    |  15 +-
 .../credit/defaultprobabilitylatentmodel.hpp       |   6 +-
 .../experimental/credit/gaussianlhplossmodel.hpp   |   8 +-
 .../experimental/credit/inhomogeneouspooldef.hpp   |   2 +-
 .../ql/experimental/credit/integralntdengine.cpp   |  82 +++--
 .../ql/experimental/credit/integralntdengine.hpp   |   1 +
 QuantLib/ql/experimental/credit/nthtodefault.cpp   |   2 +
 .../credit/randomdefaultlatentmodel.hpp            |  49 ++-
 .../experimental/credit/randomlosslatentmodel.hpp  |  26 +-
 .../ql/experimental/credit/spotlosslatentmodel.hpp |   3 +
 QuantLib/ql/experimental/math/latentmodel.hpp      |  17 +-
 QuantLib/test-suite/cdo.cpp                        | 361 ++++++++++-----------
 QuantLib/test-suite/nthtodefault.cpp               | 166 ++++++++--
 QuantLib/test-suite/quantlibtestsuite.cpp          | 246 +++++++-------
 21 files changed, 688 insertions(+), 429 deletions(-)

commit 8489b9bc7c529d0621a2c7a60f4ecbdabccb5363
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 16 Jul 2014 21:24:31 +0200

    remove changes from swapindex again, do the caching in the model class instead

 .../ql/experimental/models/gaussian1dmodel.cpp     |  7 ++-
 .../ql/experimental/models/gaussian1dmodel.hpp     | 58 ++++++++++++++++++++--
 .../ql/experimental/models/markovfunctional.cpp    | 12 ++---
 QuantLib/ql/indexes/swapindex.cpp                  | 42 +++++++++-------
 QuantLib/ql/indexes/swapindex.hpp                  | 13 ++---
 5 files changed, 93 insertions(+), 39 deletions(-)

commit dde16a5e8c7fe2fb3e501dadd063fc790d521f77
Merge: 2125f0a a8aee19
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 16 Jul 2014 12:41:50 +0200

    Merge pull request #114.

commit a8aee19805df83a30905044767d36f2ab8633c79
Author: Student T <WongMingYin@gmail.com>
Date:   Wed, 16 Jul 2014 00:19:37 +1000

    The old link is no longer valid. Instead, there is a new one that works.

 QuantLib/ql/math/randomnumbers/mt19937uniformrng.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 5f025b3aa45d5b5be0e839162502a68fda898765
Author: Pepe <japari@free.fr>
Date:   Sun, 13 Jul 2014 23:42:52 +0200

    working in both systems now. Issues on MS compiler

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    | 97 +++++++++++-----------
 .../credit/randomdefaultlatentmodel.hpp            | 12 ++-
 .../experimental/credit/randomlosslatentmodel.hpp  |  8 +-
 3 files changed, 65 insertions(+), 52 deletions(-)

commit aa2ca5209d7196d546f3bbb1b98cf88c72e744f3
Author: Pepe <japari@free.fr>
Date:   Sun, 13 Jul 2014 19:26:32 +0200

    ports ok to Debian 64 gcc 4.7.2 boost 1.55

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    | 105 +++----
 QuantLib/Examples/Makefile.am                      |   1 +
 QuantLib/configure.ac                              |   1 +
 QuantLib/ql/experimental/credit/Makefile.am        |  27 +-
 QuantLib/ql/experimental/credit/all.hpp            |  15 +-
 .../ql/experimental/credit/basecorrellossmodel.hpp |   7 +-
 .../credit/defaultprobabilitylatentmodel.hpp       |   7 -
 .../credit/randomdefaultlatentmodel.hpp            | 338 +++++++++++++--------
 .../experimental/credit/randomlosslatentmodel.hpp  | 136 +++++----
 .../ql/experimental/credit/recursivecdoengine.hpp  |  17 +-
 .../ql/experimental/credit/spotlosslatentmodel.hpp |  15 +-
 QuantLib/ql/experimental/math/latentmodel.hpp      |  13 +-
 12 files changed, 404 insertions(+), 278 deletions(-)

commit 290539e821bf3c07a582d7a0dd99f23763f62ead
Author: Pepe <japari@free.fr>
Date:   Sat, 12 Jul 2014 10:49:14 +0200

    added statistics methods to MC

 .../credit/randomdefaultlatentmodel.hpp            | 443 +++++++++++++++++++--
 .../experimental/credit/randomlosslatentmodel.hpp  |  52 +--
 2 files changed, 409 insertions(+), 86 deletions(-)

commit 17d3ba214bc59423c8f109384e0af3535d24b874
Merge: 5b3c963 5c30291
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Jul 2014 23:32:12 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit 5c30291ca0080fad094aec20b52fe5cb04e14315
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Jul 2014 23:31:38 +0200

    Wide integration domain, add inspector, doc

 QuantLib/ql/experimental/math/latentmodel.hpp   | 14 +++++++++-----
 QuantLib/ql/experimental/math/tcopulapolicy.hpp |  5 +++--
 2 files changed, 12 insertions(+), 7 deletions(-)

commit 5b3c963c3458d0906ba4147d1b50f44a6e704b36
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Jul 2014 23:28:23 +0200

    adpated BC models to new relationships

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    | 216 +++++++++--
 QuantLib/Examples/BasketLosses/BasketLosses.vcproj |   9 +-
 QuantLib/Examples/LatentModel/LatentModel.cpp      | 269 +++++++-------
 QuantLib/QuantLib_vc9.vcproj                       |   4 -
 QuantLib/ql/experimental/credit/all.hpp            |   3 +
 .../credit/basecorrelationstructure.hpp            |  16 +-
 .../ql/experimental/credit/basecorrellossmodel.hpp | 413 ++++++++-------------
 QuantLib/ql/experimental/credit/basket.cpp         |  11 +-
 QuantLib/ql/experimental/credit/basket.hpp         |  14 +-
 .../ql/experimental/credit/binomiallossmodel.hpp   |  22 +-
 .../ql/experimental/credit/defaultlossmodel.hpp    |  11 +-
 .../experimental/credit/gaussianlhplossmodel.cpp   |  22 +-
 .../experimental/credit/gaussianlhplossmodel.hpp   |  27 +-
 .../experimental/credit/inhomogeneouspooldef.cpp   |  22 +-
 .../experimental/credit/inhomogeneouspooldef.hpp   |  30 +-
 .../credit/randomdefaultlatentmodel.hpp            |  56 ++-
 .../experimental/credit/randomlosslatentmodel.hpp  |  27 +-
 .../ql/experimental/credit/spotlosslatentmodel.hpp | 148 ++++----
 18 files changed, 731 insertions(+), 589 deletions(-)

commit 8de8953744d678a04ae52ded8ff247e6b23baff3
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Jul 2014 09:58:48 +0200

    spot loss prior to modifs

 .../ql/experimental/credit/spotlosslatentmodel.hpp     | 18 ++++++++++++++++++
 1 file changed, 18 insertions(+)

commit 69fdb3149567f93680f7f3600b7823de1503cec7
Author: Pepe <japari@free.fr>
Date:   Sat, 5 Jul 2014 10:06:28 +0200

    catch up with previous modifs (untested)

 QuantLib/QuantLib_vc9.vcproj                       | 32 ++++++++++++++++++++++
 .../ql/experimental/credit/basecorrellossmodel.hpp |  8 +++---
 .../ql/experimental/credit/binomiallossmodel.hpp   |  3 ++
 .../credit/defaultprobabilitylatentmodel.hpp       | 12 ++++++--
 QuantLib/ql/experimental/math/latentmodel.hpp      |  8 ++++--
 5 files changed, 54 insertions(+), 9 deletions(-)

commit 23e2837a787aa2a1138a289e1c2d0464ce41b945
Author: Pepe <japari@free.fr>
Date:   Fri, 4 Jul 2014 22:29:04 +0200

    Revised basket vs Default loss model relationship

 QuantLib/Examples/BasketLosses/BasketLosses.vcproj |   4 +-
 QuantLib/Examples/LatentModel/Debug/BuildLog.htm   | Bin 4052 -> 0 bytes
 QuantLib/Examples/LatentModel/Debug/vc90.idb       | Bin 19456 -> 0 bytes
 QuantLib/Examples/LatentModel/LatentModel.cpp      |  70 +++++-
 QuantLib/Examples/LatentModel/LatentModel.vcproj   |  14 +-
 QuantLib/Examples/LatentModel/Release/BuildLog.htm | Bin 3998 -> 0 bytes
 QuantLib/Examples/LatentModel/Release/vc90.idb     | Bin 11264 -> 0 bytes
 .../MultidimIntegral/MultidimIntegral.vcproj       |   4 +-
 QuantLib/ql/experimental/credit/basket.cpp         | 147 +++++------
 QuantLib/ql/experimental/credit/basket.hpp         |  58 ++++-
 .../ql/experimental/credit/binomiallossmodel.hpp   |  42 ++--
 .../ql/experimental/credit/defaultlossmodel.hpp    | 114 ++++-----
 .../credit/defaultprobabilitylatentmodel.hpp       |  23 +-
 .../experimental/credit/gaussianlhplossmodel.hpp   |  46 +---
 .../credit/randomdefaultlatentmodel.hpp            | 275 +++++++--------------
 .../experimental/credit/randomlosslatentmodel.hpp  |  46 ++--
 16 files changed, 391 insertions(+), 452 deletions(-)

commit e2cc7abdb175cee05a9a3ef1d0b7230e0f185588
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 4 Jul 2014 09:38:53 +0200

    Restored version check on gcc for unused-typedef warning.
    
    This reverts commit f0962d39f1982212017a099f4edd4d6f6d3ba447.

 QuantLib/ql/cashflows/conundrumpricer.cpp                          | 4 ++--
 QuantLib/ql/experimental/exoticoptions/analyticpdfhestonengine.cpp | 4 ++--
 QuantLib/ql/experimental/finitedifferences/fdmextoujumpop.cpp      | 4 ++--
 QuantLib/ql/experimental/finitedifferences/fdmvppstepcondition.cpp | 4 ++--
 QuantLib/ql/experimental/math/convolvedstudentt.cpp                | 4 ++--
 QuantLib/ql/math/distributions/normaldistribution.cpp              | 4 ++--
 QuantLib/ql/math/matrix.cpp                                        | 4 ++--
 QuantLib/ql/math/matrixutilities/sparsematrix.hpp                  | 4 ++--
 QuantLib/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp     | 4 ++--
 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp                  | 5 +++--
 QuantLib/ql/termstructures/credit/defaultdensitystructure.cpp      | 4 ++--
 QuantLib/ql/utilities/null.hpp                                     | 4 ++--
 QuantLib/test-suite/timeseries.cpp                                 | 4 ++--
 13 files changed, 27 insertions(+), 26 deletions(-)

commit 727e35ff854e447b571d333cb67162652137b10e
Merge: ac2bb48 19664fe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 2 Jul 2014 11:32:39 +0200

    Merge pull request #113.

commit 19664feefe5674a9d5adb4e824bede28e286767d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 1 Jul 2014 22:22:28 +0200

    fix primitive

 QuantLib/ql/math/interpolations/mixedinterpolation.hpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

commit ac2bb48eb813031466c1c85f35695ea7e0b3c738
Merge: e3ea99c e795ad4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Jul 2014 12:35:22 +0200

    Merge pull request #112.

commit e3ea99c629e9d50693c7a91eff7ebbb344133638
Merge: 5f2b611 f0962d3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Jul 2014 11:57:11 +0200

    Merge pull request #111.

commit f0962d39f1982212017a099f4edd4d6f6d3ba447
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Jul 2014 10:33:23 +0200

    Removed version check on gcc.
    
    Even if -Wunused-local-typedef was not included in -Wall in previous
    versions of gcc, we still want to silence warnings from Boost when
    the user manually selects a higher warning level.

 QuantLib/ql/cashflows/conundrumpricer.cpp                          | 4 ++--
 QuantLib/ql/experimental/exoticoptions/analyticpdfhestonengine.cpp | 4 ++--
 QuantLib/ql/experimental/finitedifferences/fdmextoujumpop.cpp      | 4 ++--
 QuantLib/ql/experimental/finitedifferences/fdmvppstepcondition.cpp | 4 ++--
 QuantLib/ql/experimental/math/convolvedstudentt.cpp                | 4 ++--
 QuantLib/ql/math/distributions/normaldistribution.cpp              | 4 ++--
 QuantLib/ql/math/matrix.cpp                                        | 4 ++--
 QuantLib/ql/math/matrixutilities/sparsematrix.hpp                  | 4 ++--
 QuantLib/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp     | 4 ++--
 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp                  | 5 ++---
 QuantLib/ql/termstructures/credit/defaultdensitystructure.cpp      | 4 ++--
 QuantLib/ql/utilities/null.hpp                                     | 4 ++--
 QuantLib/test-suite/timeseries.cpp                                 | 4 ++--
 13 files changed, 26 insertions(+), 27 deletions(-)

commit 23dd88589f4d1eb6d69de867950425bbfec9a202
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 30 Jun 2014 11:56:39 +0200

    Reorder enumeration to preserve old values.
    
    Just in case someone is relying on the numerical values of the
    enumeration.

 QuantLib/ql/time/businessdayconvention.hpp | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

commit 0c9c01095c5ce854ded261455dd0be6ffc363eb8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 28 Jun 2014 19:45:35 +0200

    reorder member initialization, whitespace cleanup

 .../ql/experimental/math/convolvedstudentt.cpp     | 55 ++++++-------
 .../ql/experimental/math/convolvedstudentt.hpp     | 94 +++++++++++-----------
 2 files changed, 75 insertions(+), 74 deletions(-)

commit dbaceb0265cdbcb1297b495d0d13496826d8464c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 28 Jun 2014 19:45:18 +0200

    avoid clang warning

 QuantLib/ql/math/matrix.cpp | 10 ++++++++++
 1 file changed, 10 insertions(+)

commit e795ad4597b004f63edb3b5f53c40d534fe4da13
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 28 Jun 2014 12:22:38 +0200

    fix the case where the atm strike can not be implied for intermediate maturities

 QuantLib/ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit 824cea24450dec3d7804aeb43f39da2e973c0300
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 28 Jun 2014 12:20:53 +0200

    avoid gcc warning (which is part of -Wall since 4.8.0)

 QuantLib/ql/cashflows/conundrumpricer.cpp                     |  9 +++++++++
 .../ql/experimental/exoticoptions/analyticpdfhestonengine.cpp | 10 ++++++++++
 QuantLib/ql/experimental/finitedifferences/fdmextoujumpop.cpp |  9 +++++++++
 .../ql/experimental/finitedifferences/fdmvppstepcondition.cpp |  9 +++++++++
 QuantLib/ql/experimental/math/convolvedstudentt.cpp           | 11 +++++++++++
 QuantLib/ql/math/distributions/normaldistribution.cpp         | 10 ++++++++++
 QuantLib/ql/math/matrix.cpp                                   |  9 +++++++++
 QuantLib/ql/math/matrixutilities/sparsematrix.hpp             |  9 +++++++++
 .../ql/methods/montecarlo/longstaffschwartzpathpricer.hpp     | 11 +++++++++++
 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp             | 10 ++++++++++
 QuantLib/ql/termstructures/credit/defaultdensitystructure.cpp | 10 ++++++++++
 QuantLib/ql/utilities/null.hpp                                | 10 ++++++++++
 QuantLib/test-suite/timeseries.cpp                            | 10 ++++++++++
 13 files changed, 127 insertions(+)

commit 7997932d6e65e5014cc45050d039c7430e6ab31e
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 27 Jun 2014 18:24:02 +0200

    fixed Half-Month Modified Following bug

 QuantLib/ql/time/calendar.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit b582d917658046e0bb75e33b8c33cf564bc3bd6a
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 27 Jun 2014 16:41:40 +0200

    HalfMonthModifiedFollowing update

 QuantLib/ql/time/businessdayconvention.cpp |  2 +-
 QuantLib/ql/time/businessdayconvention.hpp | 37 +++++++++++++++---------------
 QuantLib/ql/time/calendar.cpp              | 21 +++++++++--------
 3 files changed, 32 insertions(+), 28 deletions(-)

commit 5e3fc4a5e76e67b04347ec2818743d10b1de7ae1
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 27 Jun 2014 16:05:01 +0200

    Define HalfMonthModifiedFollowing

 QuantLib/ql/time/businessdayconvention.hpp | 40 +++++++++++++++---------------
 1 file changed, 20 insertions(+), 20 deletions(-)

commit 690d6716f58660e523a5c5a7e15d63027b69cf4c
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Thu, 26 Jun 2014 17:34:31 +0200

    Define HalfMonthModifiedFollowing as business day convention

 QuantLib/ql/time/businessdayconvention.cpp |  3 +++
 QuantLib/ql/time/businessdayconvention.hpp | 36 +++++++++++++++++-------------
 QuantLib/ql/time/calendar.cpp              |  7 +++++-
 3 files changed, 30 insertions(+), 16 deletions(-)

commit 3a9e7523aabca3e700b4dd238f5c5dea06d5ab99
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 26 Jun 2014 17:15:06 +0200

    remove underlying swap method with tenor again,
    instead cache swapindex in clone method

 .../ql/experimental/models/gaussian1dmodel.cpp     |  4 +-
 .../ql/experimental/models/markovfunctional.cpp    |  6 +--
 QuantLib/ql/indexes/swapindex.cpp                  | 56 ++++++++--------------
 QuantLib/ql/indexes/swapindex.hpp                  | 10 ++--
 4 files changed, 32 insertions(+), 44 deletions(-)

commit 6087f8a97d4fc765631f007184368bc8948fe622
Merge: e466033 20a7814
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Jun 2014 16:46:22 +0200

    Merge pull request #107.

commit 62268f71dfba948f212a16ba9dfbaa18460eeae1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Jun 2014 16:15:52 +0200

    Update Makefile and Dev-C++ project.

 QuantLib/QuantLib.dev                     | 13 ++++++++++++-
 QuantLib/ql/indexes/inflation/Makefile.am |  3 ++-
 QuantLib/ql/indexes/inflation/all.hpp     |  1 +
 3 files changed, 15 insertions(+), 2 deletions(-)

commit 5fe85603ce9cf302d2745a955b74d88e126f1b9f
Author: Pepe <japari@free.fr>
Date:   Tue, 24 Jun 2014 18:57:51 +0200

    more clean up

 QuantLib/ql/experimental/credit/defaultprobabilitylatentmodel.hpp | 4 +---
 1 file changed, 1 insertion(+), 3 deletions(-)

commit 1f5e89542eac8083f33a693f11921b933e1462d5
Author: Pepe <japari@free.fr>
Date:   Tue, 24 Jun 2014 18:52:17 +0200

    clean up

 QuantLib/ql/experimental/credit/binomiallossmodel.hpp        | 8 ++++----
 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +-
 2 files changed, 5 insertions(+), 5 deletions(-)

commit f630a62c6f5d67c6564e7f7b058e93c8e1736fc9
Merge: 1bbb324 979c790
Author: Pepe <japari@free.fr>
Date:   Tue, 24 Jun 2014 09:57:27 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit 979c7907f48cc2d92c6c959e383558341102d550
Author: Pepe <japari@free.fr>
Date:   Tue, 24 Jun 2014 09:55:13 +0200

    no conversion

 QuantLib/ql/experimental/math/polarstudenttrng.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit b0fa8849219d7b395e84e9b129629dabf1086743
Merge: 3589c8d 7e66ea7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Jun 2014 17:11:03 +0200

    Merge pull request #105.

commit 3589c8db0cc611069afa65917ae4348d221aed51
Merge: 0df5127 4c621cd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Jun 2014 14:40:43 +0200

    Merge pull request #104.

commit 4c621cdd8405ef399942589b6e913d6d687d2e94
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Jun 2014 13:20:30 +0200

    Move calendar creation to initialization list.

 QuantLib/ql/cashflows/cpicoupon.cpp | 5 ++---
 1 file changed, 2 insertions(+), 3 deletions(-)

commit 1bbb3248d0dadee0f00fbbed74d6821a854b245a
Merge: 5d2ac90 ef9a641
Author: Pepe <japari@free.fr>
Date:   Mon, 23 Jun 2014 10:38:02 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit ef9a641ff1a6937565b0c704f1e7af0994ac6764
Merge: b8f4316 ff7699d
Author: Pepe <japari@free.fr>
Date:   Mon, 23 Jun 2014 10:37:36 +0200

    Merge branch 'MultidimIntegrations' into LatentModels

commit ff7699dfe2007a74a2c97b170873fcb99d7f45a7
Author: Pepe <japari@free.fr>
Date:   Mon, 23 Jun 2014 10:36:32 +0200

    safety paranoia

 QuantLib/ql/experimental/math/multidimintegrator.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 5d2ac906237461cf9579542d02753af1efda0696
Author: Pepe <japari@free.fr>
Date:   Mon, 23 Jun 2014 09:31:13 +0200

    monothread, multithread moved to a different branch. Updated example

 QuantLib/Examples/LatentModel/LatentModel.cpp      |  35 ++-
 .../credit/basecorrelationstructure.hpp            |  36 ---
 .../credit/randomdefaultlatentmodel.hpp            | 265 +++++++++++----------
 .../experimental/credit/randomlosslatentmodel.hpp  |  52 ++--
 4 files changed, 184 insertions(+), 204 deletions(-)

commit a468f86abc01f2b3fd1764b938dd973e0e5627f7
Author: Pepe <japari@free.fr>
Date:   Fri, 20 Jun 2014 19:38:22 +0200

    added models

 QuantLib/Examples/BasketLosses/BasketLosses.cpp    | 313 ++++++++++
 QuantLib/Examples/BasketLosses/BasketLosses.vcproj | 199 +++++++
 QuantLib/Examples/BasketLosses/Makefile.am         |  27 +
 QuantLib/Examples/LatentModel/Debug/BuildLog.htm   | Bin 0 -> 4052 bytes
 QuantLib/Examples/LatentModel/Debug/vc90.idb       | Bin 0 -> 19456 bytes
 QuantLib/Examples/LatentModel/LatentModel.cpp      |  62 +-
 QuantLib/QuantLib_vc9.sln                          |  14 +
 QuantLib/QuantLib_vc9.vcproj                       |  52 +-
 QuantLib/ql/experimental/credit/all.hpp            |   5 +-
 .../credit/basecorrelationstructure.cpp            |  50 ++
 .../credit/basecorrelationstructure.hpp            | 308 ++++++++++
 .../ql/experimental/credit/basecorrellossmodel.cpp |   1 +
 .../ql/experimental/credit/basecorrellossmodel.hpp | 396 +++++++++++++
 QuantLib/ql/experimental/credit/basket.cpp         | 343 ++++++++---
 QuantLib/ql/experimental/credit/basket.hpp         | 217 +++----
 .../ql/experimental/credit/binomiallossmodel.hpp   | 466 +++++++++++++++
 .../credit/constantlosslatentmodel.hpp             |  96 ++++
 .../experimental/credit/correlationstructure.cpp   |  39 ++
 .../experimental/credit/correlationstructure.hpp   |  90 +++
 .../ql/experimental/credit/defaultlossmodel.hpp    |  29 +-
 .../credit/defaultprobabilitylatentmodel.hpp       |  48 +-
 QuantLib/ql/experimental/credit/distribution.cpp   |  88 ++-
 QuantLib/ql/experimental/credit/distribution.hpp   |   3 +
 .../experimental/credit/gaussianlhplossmodel.cpp   |  45 +-
 .../experimental/credit/gaussianlhplossmodel.hpp   | 108 ++--
 .../experimental/credit/inhomogeneouspooldef.cpp   |  71 +++
 .../experimental/credit/inhomogeneouspooldef.hpp   | 106 ++++
 .../ql/experimental/credit/integralcdoengine.cpp   | 121 ++++
 .../ql/experimental/credit/integralcdoengine.hpp   |  44 ++
 .../ql/experimental/credit/integralntdengine.cpp   | 139 +++++
 .../ql/experimental/credit/integralntdengine.hpp   |  43 ++
 .../ql/experimental/credit/midpointcdoengine.cpp   | 117 ++++
 .../ql/experimental/credit/midpointcdoengine.hpp   |  55 ++
 QuantLib/ql/experimental/credit/nthtodefault.cpp   | 208 ++++---
 QuantLib/ql/experimental/credit/nthtodefault.hpp   |  90 ++-
 .../credit/randomdefaultlatentmodel.hpp            | 628 +++++++++++++++++++++
 .../experimental/credit/randomlosslatentmodel.hpp  | 284 ++++++++++
 .../ql/experimental/credit/recursivecdoengine.hpp  |   2 +-
 .../ql/experimental/credit/spotlosslatentmodel.hpp | 209 +++++++
 QuantLib/ql/experimental/credit/syntheticcdo.cpp   | 146 ++++-
 QuantLib/ql/experimental/credit/syntheticcdo.hpp   |  82 ++-
 .../ql/experimental/credit/syntheticcdoengines.cpp | 381 -------------
 .../ql/experimental/credit/syntheticcdoengines.hpp | 290 ----------
 43 files changed, 4867 insertions(+), 1148 deletions(-)

commit bd54a460a9cbc8c5471a7621649a48991cfeb1ca
Author: Francois Botha <igitur@gmail.com>
Date:   Fri, 20 Jun 2014 16:22:56 +0200

    Make exCouponPeriod default false for CPI and fixed rate coupons

 QuantLib/ql/cashflows/cpicoupon.hpp       | 2 +-
 QuantLib/ql/cashflows/fixedratecoupon.hpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 0df512755b881be916e88d509e0be3e7f88d2754
Merge: c7e7062 96d491b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Jun 2014 16:22:46 +0200

    Merge pull request #106.

commit c7e7062f2e840913fc04b2061606fcfd0b76529d
Merge: 926de6c f00d75d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Jun 2014 16:19:40 +0200

    Merge pull request #109.

commit dbf48d5b4cba59bad4dae5926f64f9b45f6b92f4
Author: Francois Botha <igitur@gmail.com>
Date:   Fri, 20 Jun 2014 15:44:29 +0200

    Add paymentCalendar initialization to CPILeg constructor; Fix withPaymentCalendar() parameter

 QuantLib/ql/cashflows/cpicoupon.cpp       | 4 +++-
 QuantLib/ql/instruments/bonds/cpibond.cpp | 2 +-
 2 files changed, 4 insertions(+), 2 deletions(-)

commit 8a4109ee4b4405597ef59770c776be29737fce16
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 19 Jun 2014 20:40:58 +0200

    enable omp in lattice again

 QuantLib/ql/methods/lattices/lattice.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit f00d75d1bedac6609b170aa3c87e8cf8deded9d5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 19 Jun 2014 20:34:28 +0200

    initialize member (thanks to Jose Aparicio), use pre-increment instead of post-increment in loops

 QuantLib/ql/experimental/risk/creditriskplus.cpp | 25 ++++++++++++------------
 1 file changed, 13 insertions(+), 12 deletions(-)

commit 700fe5b9b576e71dd414eae6869d98081b4a55a9
Merge: f592851 b8f4316
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 19:55:22 +0200

    Merge branch 'LatentModels' into LossLatentModels
    
    Conflicts:
    	QuantLib/ql/experimental/credit/pool.hpp

commit b8f43161097ae16887474aa78d787e3b9b1b9f2b
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 18:43:25 +0200

    extra method, minor updates

 .../ql/experimental/math/gaussiancopulapolicy.hpp  |   7 +-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 110 ++++++++++++++++++---
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    |  13 ++-
 3 files changed, 114 insertions(+), 16 deletions(-)

commit 607886190998e4657bf206f2bc3110a64f1b8d23
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 18:35:20 +0200

    Moved monte carlo to another branch.

 QuantLib/Examples/LatentModel/LatentModel.cpp      |   2 +-
 QuantLib/QuantLib_vc9.vcproj                       |  52 +-
 QuantLib/ql/experimental/credit/Makefile.am        |   1 -
 QuantLib/ql/experimental/credit/all.hpp            |   1 -
 QuantLib/ql/experimental/credit/pool.hpp           |   3 +-
 .../credit/randomdefaultlatentmodel.hpp            | 539 ---------------------
 6 files changed, 27 insertions(+), 571 deletions(-)

commit 5326535ae9a1024c9c96fe42d09b2db0fe00ab7e
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 16:56:14 +0200

    pool modifs squashed by previous master merge

 QuantLib/Examples/LatentModel/LatentModel.cpp | 41 ++-------------------------
 QuantLib/ql/experimental/credit/pool.cpp      | 20 ++++++++++++-
 QuantLib/ql/experimental/credit/pool.hpp      | 13 +++++++--
 3 files changed, 32 insertions(+), 42 deletions(-)

commit f85b2ada0462eedd96fe784703b5486cf559c51d
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 16:26:20 +0200

    project back in to fix merge

 QuantLib/QuantLib_vc9.sln | 14 ++++++++++++++
 1 file changed, 14 insertions(+)

commit e16cee144ec2f4d198deb45e438ed1f0cd2f75e7
Merge: 3e4272a b872f3b
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 16:00:48 +0200

    Merge branch 'MultidimIntegrations' into LatentModels
    
    Conflicts:
    	.gitignore
    	QuantLib/QuantLib_vc9.sln
    	QuantLib/configure.ac

commit 926de6c44791df8e4de14db0f8d60e22fa88c63b
Merge: a483d6d bfb7e6d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 19 Jun 2014 11:19:15 +0200

    Merge pull request #108.

commit b872f3b250186eae5ce408454218d113887977e5
Merge: cc4949f a483d6d
Author: Pepe <japari@free.fr>
Date:   Thu, 19 Jun 2014 09:39:49 +0200

    Merge git://github.com/lballabio/quantlib into MultidimIntegrations
    
    Conflicts:
    	.gitignore
    	QuantLib/QuantLib_vc9.sln

commit bfb7e6d749602b121fbc83650fbf8adef8e5c8d3
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 18 Jun 2014 20:46:40 +0200

    add nominal

 QuantLib/test-suite/cms.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit a194e28bc14840e56940a2199e835c28af60aeed
Merge: 7fddaa8 a483d6d
Author: Francois Botha <igitur@gmail.com>
Date:   Wed, 18 Jun 2014 09:11:28 +0200

    Merge branch 'master' of https://github.com/lballabio/quantlib into excoupon_and_payment_calendar_parameters_for_cpi_bonds

commit a483d6dfddf9cdfc1fbc4ad577cf70a6b4aab3bf
Merge: b516c43 3f3a19b
Author: Eric Ehlers <eric.ehlers@nazcatech.be>
Date:   Tue, 17 Jun 2014 13:44:57 +0200

    pulled from luigi's master

commit 2cea93834dc4d87aacc79a65c571472349f6ec7a
Merge: f3ec82f 3b85b2f
Author: Eric Ehlers <eric.ehlers@nazcatech.be>
Date:   Tue, 17 Jun 2014 13:29:05 +0200

    merge R01040x-branch to master

commit 6353362897baf56a823b31bfe673cd6a105f68b5
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 16 Jun 2014 17:11:26 +0200

    Rename more old UK stuff to ZA

 QuantLib/ql/indexes/inflation/zacpi.hpp | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

commit aaf4a78c24d7da0154cea1adc9370e80ca67c3e9
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 16 Jun 2014 17:09:06 +0200

    Small little fix in description

 QuantLib/ql/indexes/inflation/zacpi.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit edefae95db52d3a050aa61f0dcae1fba67f55a32
Author: U-MUD\FrancoisBo <FrancoisBo@DST00964.mud.internal.co.za>
Date:   Mon, 16 Jun 2014 17:01:22 +0200

    Add ZACPI inflation index

 QuantLib/QuantLib_vc10.vcxproj          |  5 +-
 QuantLib/QuantLib_vc10.vcxproj.filters  |  7 ++-
 QuantLib/QuantLib_vc11.vcxproj          |  1 +
 QuantLib/QuantLib_vc11.vcxproj.filters  |  3 ++
 QuantLib/QuantLib_vc8.vcproj            |  4 ++
 QuantLib/QuantLib_vc9.vcproj            |  4 ++
 QuantLib/ql/indexes/inflation/zacpi.hpp | 87 +++++++++++++++++++++++++++++++++
 7 files changed, 107 insertions(+), 4 deletions(-)

commit 3bd3e41eeccb75ebb11d951c982420400ba0d030
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 16 Jun 2014 16:02:30 +0200

    Add ZARegion

 QuantLib/ql/indexes/region.cpp | 9 +++++++--
 QuantLib/ql/indexes/region.hpp | 5 +++++
 2 files changed, 12 insertions(+), 2 deletions(-)

commit 64084c4840aeb78fa0704581327eba87c9cac233
Merge: 02b8dab 027f5d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 12 Jun 2014 16:51:33 +0200

    Merge pull request #102.

commit 027f5d511169bc615248e20db80a9a6ac177e46a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 12 Jun 2014 16:50:26 +0200

    Removed unneeded class scope

 QuantLib/ql/pricingengines/bond/bondfunctions.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 611a58e5be988248db2f2d956f0ace382e729639
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 12 Jun 2014 15:14:18 +0200

    Remove duplication in dirtyPrice vs cleanPrice methods

 QuantLib/ql/pricingengines/bond/bondfunctions.cpp | 12 +-----------
 1 file changed, 1 insertion(+), 11 deletions(-)

commit 7e66ea73d8e1522b9e08e611397e30be5e6642a6
Author: Francois Botha <igitur@gmail.com>
Date:   Tue, 10 Jun 2014 13:32:04 +0200

    Add CPIBondHelper

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 39 ++++++++++++++++++++++
 QuantLib/ql/termstructures/yield/bondhelpers.hpp | 41 ++++++++++++++++++++++++
 2 files changed, 80 insertions(+)

commit 7fddaa875b9704806b716cd09945a90f6c5d0598
Author: Francois Botha <igitur@gmail.com>
Date:   Tue, 10 Jun 2014 13:14:37 +0200

    Add withPaymentCalendar

 QuantLib/ql/instruments/bonds/cpibond.cpp | 1 +
 1 file changed, 1 insertion(+)

commit d9c669a2c105902fc52e83d334aff73d2fb26478
Author: Francois Botha <igitur@gmail.com>
Date:   Tue, 10 Jun 2014 13:07:32 +0200

    Implement excoupon parameters and payment calendar for CPIBonds, similar to what is already done in FixedRateBonds

 QuantLib/ql/cashflows/cpicoupon.cpp       | 41 +++++++++++++++++++++++++------
 QuantLib/ql/cashflows/cpicoupon.hpp       | 13 +++++++++-
 QuantLib/ql/cashflows/inflationcoupon.cpp |  5 ++--
 QuantLib/ql/cashflows/inflationcoupon.hpp |  3 ++-
 QuantLib/ql/instruments/bonds/cpibond.cpp | 28 +++++++++++++++------
 QuantLib/ql/instruments/bonds/cpibond.hpp |  7 +++++-
 6 files changed, 77 insertions(+), 20 deletions(-)

commit a3c2bde1e81ec44e6672aa1dff468b0e37278f4c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 8 Jun 2014 20:07:02 +0200

    add tenor parameter to underlyingSwap method in SwapIndex,
    use this in gaussian 1d models,
    replace market cap surface in markov test suite by flat surface if thread safe observable is active

 .../ql/experimental/models/gaussian1dmodel.cpp     | 14 ++------------
 .../ql/experimental/models/markovfunctional.cpp    | 22 +++-------------------
 QuantLib/ql/indexes/swapindex.cpp                  | 14 ++++++++++----
 QuantLib/ql/indexes/swapindex.hpp                  |  7 +++++--
 QuantLib/test-suite/markovfunctional.cpp           |  6 ++++++
 5 files changed, 26 insertions(+), 37 deletions(-)

commit fa34a8b0de54cd25bbe9753f3262f85081f37ea1
Author: Francois Botha <igitur@gmail.com>
Date:   Fri, 6 Jun 2014 12:58:18 +0200

    Implement dirty prices for fixed rate bonds in Addin

 QuantLib/ql/pricingengines/bond/bondfunctions.cpp | 26 +++++++++++++++++++++++
 QuantLib/ql/pricingengines/bond/bondfunctions.hpp |  9 ++++++++
 2 files changed, 35 insertions(+)

commit 02b8dab6bae96badde2d3aa03d4733e3c86590f9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 6 Jun 2014 10:15:28 +0200

    Update VC++/VC#/Dev-C++ projects.

 QuantLib/QuantLib.dev                  | 10 ++++++++++
 QuantLib/QuantLib_vc10.vcxproj         |  1 +
 QuantLib/QuantLib_vc10.vcxproj.filters |  3 +++
 QuantLib/QuantLib_vc11.vcxproj         |  1 +
 QuantLib/QuantLib_vc11.vcxproj.filters |  3 +++
 QuantLib/QuantLib_vc8.vcproj           |  4 ++++
 QuantLib/QuantLib_vc9.vcproj           |  4 ++++
 7 files changed, 26 insertions(+)

commit 27060dd33936004af38c5e4a4bebf52cd17c1b67
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 5 Jun 2014 18:15:02 +0200

    Add FedFunds index.

 QuantLib/QuantLib.dev                  | 22 +++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  2 ++
 QuantLib/QuantLib_vc10.vcxproj.filters |  6 +++++
 QuantLib/QuantLib_vc11.vcxproj         |  2 ++
 QuantLib/QuantLib_vc11.vcxproj.filters |  6 +++++
 QuantLib/QuantLib_vc8.vcproj           |  8 +++++++
 QuantLib/QuantLib_vc9.vcproj           |  8 +++++++
 QuantLib/ql/indexes/ibor/Makefile.am   |  2 ++
 QuantLib/ql/indexes/ibor/all.hpp       |  1 +
 QuantLib/ql/indexes/ibor/fedfunds.cpp  | 33 ++++++++++++++++++++++++++
 QuantLib/ql/indexes/ibor/fedfunds.hpp  | 42 ++++++++++++++++++++++++++++++++++
 11 files changed, 131 insertions(+), 1 deletion(-)

commit dd520c08211fd1d37ed3a2d797345e44587921ae
Merge: 5fd6fd4 57cc09a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 12:14:19 +0200

    Merge pull request #100.

commit 57cc09acf36e3c872e28c0f1427eccd771dbce41
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 11:26:17 +0200

    Updated VC++ and Dev-C++ projects.

 QuantLib/QuantLib.dev                  | 22 +++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  2 ++
 QuantLib/QuantLib_vc10.vcxproj.filters |  6 ++++++
 QuantLib/QuantLib_vc11.vcxproj         |  2 ++
 QuantLib/QuantLib_vc11.vcxproj.filters |  6 ++++++
 QuantLib/QuantLib_vc8.vcproj           |  8 ++++++++
 QuantLib/QuantLib_vc9.vcproj           |  8 ++++++++
 7 files changed, 53 insertions(+), 1 deletion(-)

commit 59b9bfada7bd683914afdf789b2ca146fe213b20
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 11:17:50 +0200

    Removed DailyTenorShibor.
    
    Unlike for Libor, this index doesn't have business logic and won't
    be used as a base class.  If needed, we can add it with its specific
    name instead.

 QuantLib/ql/indexes/ibor/shibor.hpp | 7 -------
 1 file changed, 7 deletions(-)

commit dd6c4aee1a544f761fb4a31a65987373a3d57f12
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 11:15:34 +0200

    Clean up source.
    
    - Renamed header;
    - Converted hard tabs into spaces.

 QuantLib/ql/indexes/ibor/shibor.cpp | 60 ++++++++++++++++---------------------
 QuantLib/ql/indexes/ibor/shibor.h   | 51 -------------------------------
 QuantLib/ql/indexes/ibor/shibor.hpp | 48 +++++++++++++++++++++++++++++
 3 files changed, 74 insertions(+), 85 deletions(-)

commit 5fd6fd461294c68b1862522dd3909606dc918e2d
Merge: 1786984 9d41f8d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 11:03:24 +0200

    Merge pull request #98.

commit 9d41f8d0544133984d87e4acfd022133e4b21612
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Jun 2014 10:27:08 +0200

    Clean up bond helpers.
    
    - Use make_shared where possible (not everywhere, since implementation
      for pre-C++11 compilers takes a maximum of 9 parameters);
    - prevent instantiating two copies of the same bond in fixed-rate helper
      (this also fixes a bug in which only one of the two copies took into
      account the ex-coupon date);
    - group inspectors in interface.

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 33 ++++++++++--------------
 QuantLib/ql/termstructures/yield/bondhelpers.hpp | 14 +++++-----
 2 files changed, 20 insertions(+), 27 deletions(-)

commit f83e06e3e54196f3508efbf31e8f0e8a1d364657
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 1 Jun 2014 19:09:57 +0200

    comment out omp pragmas (they do not seem to help)

 .../finitedifferences/operators/ninepointlinearop.cpp    |  4 ++--
 .../finitedifferences/operators/triplebandlinearop.cpp   | 16 ++++++++--------
 .../ql/methods/finitedifferences/parallelevolver.hpp     |  4 ++--
 QuantLib/ql/methods/finitedifferences/stepcondition.hpp  |  2 +-
 QuantLib/ql/methods/lattices/lattice.hpp                 |  2 +-
 5 files changed, 14 insertions(+), 14 deletions(-)

commit a38e987ac1dd45a41eb3155c6c7748dc6552f88b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 30 May 2014 20:27:27 +0200

    improve / fix update procedures

 .../ql/experimental/models/gaussian1dmodel.cpp     | 14 +++-
 .../ql/experimental/models/gaussian1dmodel.hpp     | 12 ++-
 QuantLib/ql/experimental/models/gsr.cpp            | 47 ++++++------
 QuantLib/ql/experimental/models/gsr.hpp            | 34 +++------
 QuantLib/ql/experimental/models/gsrprocess.hpp     |  4 +
 .../ql/experimental/models/markovfunctional.cpp    | 86 +++++++++++++---------
 .../ql/experimental/models/markovfunctional.hpp    | 14 +++-
 7 files changed, 118 insertions(+), 93 deletions(-)

commit 269f8fde728670e7914b778b145f6daf0ed28454
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 30 May 2014 20:26:30 +0200

    make method virtual

 QuantLib/ql/processes/forwardmeasureprocess.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit d3f8989b08cad495aec3eabcfbc5e641a2c9c21b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 30 May 2014 20:26:17 +0200

    add omp to swaption engine (not to the other engines for the moment)

 .../models/gaussian1dcapfloorengine.cpp            |  3 +++
 .../models/gaussian1dfloatfloatswaptionengine.cpp  | 12 ++---------
 .../models/gaussian1dnonstandardswaptionengine.cpp | 11 ++--------
 .../models/gaussian1dswaptionengine.cpp            | 25 +++++++++++++++++-----
 4 files changed, 27 insertions(+), 24 deletions(-)

commit 1786984f04236f5554e144a8cd803df6ad3c9cd7
Merge: 88aedba 88c9b65
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 28 May 2014 18:34:54 +0200

    Merge pricers by students of Polytech'Nice Sophia.

commit 88c9b65595a99f19787e0e1806b49f601b159ffe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 28 May 2014 14:55:25 +0200

    Clean up compound engine code.

 .../exoticoptions/analyticcompoundoptionengine.cpp | 132 +++++++++++----------
 .../exoticoptions/analyticcompoundoptionengine.hpp |  21 ----
 .../experimental/exoticoptions/compoundoption.cpp  |  27 ++---
 .../experimental/exoticoptions/compoundoption.hpp  |  14 +--
 4 files changed, 85 insertions(+), 109 deletions(-)

commit 7033b196bec321b8eb51b442b59d71f88e1b68db
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Wed, 28 May 2014 18:36:01 +0800

    Added China Shanghai Inter-bank Offering Rate index

 QuantLib/ql/indexes/ibor/Makefile.am |  2 ++
 QuantLib/ql/indexes/ibor/shibor.cpp  | 58 ++++++++++++++++++++++++++++++++++++
 QuantLib/ql/indexes/ibor/shibor.h    | 51 +++++++++++++++++++++++++++++++
 3 files changed, 111 insertions(+)

commit 88aedbaf615de99143c71126dbd92827c3fff96f
Merge: f867953 1b2e5c3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 27 May 2014 16:59:17 +0200

    Merge pull request #99.

commit f867953fb648e9a30ffb6d3f04f568f8908afc13
Merge: 549bbff 714bb76
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 27 May 2014 16:25:55 +0200

    Merge pull request #96.

commit a899b807eb3ec1193669f0e8111cf1926978e20d
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 26 May 2014 12:58:58 +0200

    Rename cleanPrice to price

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit e016623af41241e4e5fc0c33089bac73bb2af284
Merge: e11b7a2 549bbff
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 26 May 2014 11:52:00 +0200

    Merge branch 'master' of https://github.com/lballabio/quantlib into bootstrap_bond_on_dirty_price

commit 753586e46fd38609a7c485ce291c4ce3a4a0f9f6
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 25 May 2014 16:17:05 +0200

    add a comment (yet no solution for now)

 QuantLib/ql/experimental/models/markovfunctional.hpp | 9 +++++++--
 1 file changed, 7 insertions(+), 2 deletions(-)

commit 714c3e495435a6834314f2b223af5e1f9119eabc
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 25 May 2014 16:16:41 +0200

    remove unnecessary qualification

 QuantLib/ql/experimental/models/markovfunctional.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 2a30550d5084632c907145da3c9841fc1745c694
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 25 May 2014 16:16:17 +0200

    fix refresh of reversion zero indicator

 QuantLib/ql/experimental/models/gsrprocess.cpp | 14 ++++++++++----
 QuantLib/ql/experimental/models/gsrprocess.hpp |  2 +-
 2 files changed, 11 insertions(+), 5 deletions(-)

commit 6d0342f3055d237fd90018af596ec6d08ae31fcc
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 25 May 2014 16:15:46 +0200

    add constructors with observable model parameters

 QuantLib/ql/experimental/models/gsr.cpp | 94 +++++++++++++++++++++++++++------
 QuantLib/ql/experimental/models/gsr.hpp | 84 ++++++++++++++++++++++++++---
 2 files changed, 155 insertions(+), 23 deletions(-)

commit 86c68c19f77b27c96b5c95224b64f05e5540c4e1
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 25 May 2014 16:15:15 +0200

    add openmp support to bermudan swaption engines

 .../experimental/models/gaussian1dfloatfloatswaptionengine.cpp   | 9 +++++++++
 .../experimental/models/gaussian1dnonstandardswaptionengine.cpp  | 9 +++++++++
 QuantLib/ql/experimental/models/gaussian1dswaptionengine.cpp     | 9 +++++++++
 3 files changed, 27 insertions(+)

commit 70554823eb3739df3e09930f8bf77a3609ec6f72
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 23 May 2014 23:15:39 +0200

    Added experimental two-asset correlation option.
    
    Thanks to Ilyas Rahbaoui and Driss Aouad from the IMAFA
    program at Polytech'Nice Sophia.

 QuantLib/QuantLib.dev                              | 42 +++++++++-
 QuantLib/QuantLib_vc10.vcxproj                     |  4 +
 QuantLib/QuantLib_vc10.vcxproj.filters             | 12 +++
 QuantLib/QuantLib_vc11.vcxproj                     |  4 +
 QuantLib/QuantLib_vc11.vcxproj.filters             | 12 +++
 QuantLib/QuantLib_vc8.vcproj                       | 16 ++++
 QuantLib/QuantLib_vc9.vcproj                       | 16 ++++
 QuantLib/ql/experimental/exoticoptions/Makefile.am |  4 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |  2 +
 .../analytictwoassetcorrelationengine.cpp          | 81 +++++++++++++++++++
 .../analytictwoassetcorrelationengine.hpp          | 50 ++++++++++++
 .../exoticoptions/twoassetcorrelationoption.cpp    | 45 +++++++++++
 .../exoticoptions/twoassetcorrelationoption.hpp    | 63 +++++++++++++++
 QuantLib/test-suite/Makefile.am                    |  1 +
 QuantLib/test-suite/quantlibtestsuite.cpp          |  2 +
 QuantLib/test-suite/testsuite.dev                  | 20 +++++
 QuantLib/test-suite/testsuite_vc10.vcxproj         |  2 +
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  6 ++
 QuantLib/test-suite/testsuite_vc11.vcxproj         |  2 +
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  6 ++
 QuantLib/test-suite/testsuite_vc8.vcproj           |  8 ++
 QuantLib/test-suite/testsuite_vc9.vcproj           |  8 ++
 QuantLib/test-suite/twoassetcorrelationoption.cpp  | 93 ++++++++++++++++++++++
 QuantLib/test-suite/twoassetcorrelationoption.hpp  | 35 ++++++++
 24 files changed, 533 insertions(+), 1 deletion(-)

commit 099283cf10c26bd97acfb23c0d2d8f0945033c92
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 23 May 2014 13:13:23 +0200

    Moved compound option with other exotic options.

 QuantLib/QuantLib.dev                              |  34 +--
 QuantLib/QuantLib_vc10.vcxproj                     |   9 +-
 QuantLib/QuantLib_vc10.vcxproj.filters             |  22 +-
 QuantLib/QuantLib_vc11.vcxproj                     |   9 +-
 QuantLib/QuantLib_vc11.vcxproj.filters             |  22 +-
 QuantLib/QuantLib_vc8.vcproj                       |  40 ++-
 QuantLib/QuantLib_vc9.vcproj                       |  40 ++-
 QuantLib/configure.ac                              |   1 -
 QuantLib/ql/experimental/Makefile.am               |   5 +-
 QuantLib/ql/experimental/all.hpp                   |   1 -
 .../ql/experimental/compoundoption/Makefile.am     |  27 --
 QuantLib/ql/experimental/compoundoption/all.hpp    |   6 -
 .../analyticcompoundoptionengine.cpp               | 297 ---------------------
 .../analyticcompoundoptionengine.hpp               | 122 ---------
 .../experimental/compoundoption/compoundoption.cpp |  58 ----
 .../experimental/compoundoption/compoundoption.hpp |  66 -----
 QuantLib/ql/experimental/exoticoptions/Makefile.am |   4 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |   2 +
 .../exoticoptions/analyticcompoundoptionengine.cpp | 297 +++++++++++++++++++++
 .../exoticoptions/analyticcompoundoptionengine.hpp | 122 +++++++++
 .../experimental/exoticoptions/compoundoption.cpp  |  58 ++++
 .../experimental/exoticoptions/compoundoption.hpp  |  66 +++++
 QuantLib/test-suite/compoundoption.cpp             |   4 +-
 23 files changed, 621 insertions(+), 691 deletions(-)

commit 1b2e5c30a410ccb3a9b655fba72aca87ed538c1a
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Fri, 23 May 2014 11:13:30 +0800

    Added working weekend in China inter-bank calendar from 2005

 QuantLib/ql/time/calendars/china.cpp | 59 ++++++++++++++++++++++++++++++++++++
 1 file changed, 59 insertions(+)

commit 65af6908fe5c1e639491c97587c510ddabb9e3c7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 22 May 2014 18:24:35 +0200

    Added experimental partial-time barrier option.
    
    Thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA
    program at Polytech'Nice Sophia.

 QuantLib/QuantLib.dev                              |  42 ++-
 QuantLib/QuantLib_vc10.vcxproj                     |   4 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |  12 +
 QuantLib/QuantLib_vc11.vcxproj                     |   4 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |  12 +
 QuantLib/QuantLib_vc8.vcproj                       |  16 +
 QuantLib/QuantLib_vc9.vcproj                       |  16 +
 QuantLib/ql/experimental/exoticoptions/Makefile.am |   4 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |   2 +
 .../analyticpartialtimebarrieroptionengine.cpp     | 346 +++++++++++++++++++++
 .../analyticpartialtimebarrieroptionengine.hpp     |  77 +++++
 .../exoticoptions/partialtimebarrieroption.cpp     |  88 ++++++
 .../exoticoptions/partialtimebarrieroption.hpp     |  81 +++++
 QuantLib/test-suite/Makefile.am                    |   1 +
 QuantLib/test-suite/partialtimebarrieroption.cpp   | 135 ++++++++
 QuantLib/test-suite/partialtimebarrieroption.hpp   |  35 +++
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +
 QuantLib/test-suite/testsuite.dev                  |  22 +-
 QuantLib/test-suite/testsuite_vc10.vcxproj         |   2 +
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |   6 +
 QuantLib/test-suite/testsuite_vc11.vcxproj         |   2 +
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |   6 +
 QuantLib/test-suite/testsuite_vc8.vcproj           |   8 +
 QuantLib/test-suite/testsuite_vc9.vcproj           |   8 +
 24 files changed, 929 insertions(+), 2 deletions(-)

commit b154daa0290b0a05e412a9927690a5d930546a98
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 21 May 2014 12:47:21 +0200

    Added experimental holder-extensible option.
    
    Thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA
    program at Polytech'Nice Sophia.

 QuantLib/QuantLib.dev                              |  42 ++-
 QuantLib/QuantLib_vc10.vcxproj                     |   4 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |  12 +
 QuantLib/QuantLib_vc11.vcxproj                     |   4 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |  12 +
 QuantLib/QuantLib_vc8.vcproj                       |  16 +
 QuantLib/QuantLib_vc9.vcproj                       |  16 +
 QuantLib/ql/experimental/exoticoptions/Makefile.am |   4 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |   2 +
 .../analyticholderextensibleoptionengine.cpp       | 337 +++++++++++++++++++++
 .../analyticholderextensibleoptionengine.hpp       |  66 ++++
 .../exoticoptions/holderextensibleoption.cpp       |  56 ++++
 .../exoticoptions/holderextensibleoption.hpp       |  68 +++++
 QuantLib/test-suite/Makefile.am                    |   4 +-
 QuantLib/test-suite/extensibleoptions.cpp          | 161 ++++++++++
 QuantLib/test-suite/extensibleoptions.hpp          |  36 +++
 QuantLib/test-suite/quantlibtestsuite.cpp          |   4 +-
 QuantLib/test-suite/testsuite.dev                  |   4 +-
 QuantLib/test-suite/testsuite_vc10.vcxproj         |   4 +-
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  12 +-
 QuantLib/test-suite/testsuite_vc11.vcxproj         |   4 +-
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  12 +-
 QuantLib/test-suite/testsuite_vc8.vcproj           |  16 +-
 QuantLib/test-suite/testsuite_vc9.vcproj           |  16 +-
 QuantLib/test-suite/writerextensibleoption.cpp     | 124 --------
 QuantLib/test-suite/writerextensibleoption.hpp     |  35 ---
 26 files changed, 873 insertions(+), 198 deletions(-)

commit e11b7a207bf99ec3cec5083569eca313d8ff8aff
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 22 May 2014 14:55:16 +0200

    Add flag for bond bootstrapping to use clean or dirty price

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 20 ++++++++++++++------
 QuantLib/ql/termstructures/yield/bondhelpers.hpp | 19 +++++++++++++++----
 2 files changed, 29 insertions(+), 10 deletions(-)

commit 549bbff94459491433c77746d2c259ed1070d1fc
Merge: db0990e ecd3b25
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 22 May 2014 14:38:08 +0200

    Merge pull request #81.

commit db0990e9cc2cd4aa9d89b57987c120aaa31b779d
Merge: 30404c9 dc59208
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 22 May 2014 11:49:16 +0200

    Merge pull request #97.

commit dc59208e2d8337a3ae0fa252dcd73e5eae853d6e
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 22 May 2014 09:57:00 +0200

    More tab fixes

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 382f96bb18eaa9c6597853008801265853daaf95
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 22 May 2014 09:29:25 +0200

    Change tabs to spaces

 QuantLib/ql/termstructures/yield/bondhelpers.cpp |  4 ++--
 QuantLib/ql/termstructures/yield/bondhelpers.hpp | 10 +++++-----
 2 files changed, 7 insertions(+), 7 deletions(-)

commit eaadc8ebc1e610ddd9df79588331504fcd1633e6
Author: Francois Botha <igitur@gmail.com>
Date:   Wed, 21 May 2014 16:11:34 +0200

    Add ex-coupon parameters to FixedRateBondHelper

 QuantLib/ql/termstructures/yield/bondhelpers.cpp | 11 +++++++++--
 QuantLib/ql/termstructures/yield/bondhelpers.hpp |  7 ++++++-
 2 files changed, 15 insertions(+), 3 deletions(-)

commit 1b5ca8a5d00d57bca7e25c814297e3e14241ff05
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 21 May 2014 09:33:29 +0200

    Added experimental complex chooser option.
    
    Thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA
    program at Polytech'Nice Sophia.

 QuantLib/QuantLib.dev                              |  42 ++++-
 QuantLib/QuantLib_vc10.vcxproj                     |   4 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |  12 ++
 QuantLib/QuantLib_vc11.vcxproj                     |   4 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |  12 ++
 QuantLib/QuantLib_vc8.vcproj                       |  16 ++
 QuantLib/QuantLib_vc9.vcproj                       |  16 ++
 QuantLib/ql/experimental/exoticoptions/Makefile.am |   4 +
 QuantLib/ql/experimental/exoticoptions/all.hpp     |   2 +
 .../exoticoptions/analyticcomplexchooserengine.cpp | 179 +++++++++++++++++++++
 .../exoticoptions/analyticcomplexchooserengine.hpp |  62 +++++++
 .../exoticoptions/complexchooseroption.cpp         |  64 ++++++++
 .../exoticoptions/complexchooseroption.hpp         |  67 ++++++++
 QuantLib/test-suite/chooseroption.cpp              |  86 ++++++++--
 QuantLib/test-suite/chooseroption.hpp              |   1 +
 15 files changed, 557 insertions(+), 14 deletions(-)

commit 714bb7693335e1cd39a3e1e98f45d15b451f4af6
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 17 May 2014 21:44:19 +0200

    optimize matrix multiplication

 QuantLib/ql/math/matrix.hpp | 14 ++++++++------
 1 file changed, 8 insertions(+), 6 deletions(-)

commit 30404c915f0d9a6df5511cd71147078e647d2004
Merge: d82e723 edc8423
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 14 May 2014 15:53:12 +0200

    Merge pull request #94.

commit edc8423982788333e4b6c7652fb8838b3acf837d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 14 May 2014 15:52:26 +0200

    Add VC++/Dev-C++ projects.

 .../Examples/Gaussian1dModels/Gaussian1dModels.dev |  59 ++
 .../Gaussian1dModels/Gaussian1dModels_vc10.vcxproj | 544 +++++++++++++
 .../Gaussian1dModels_vc10.vcxproj.filters          |  25 +
 .../Gaussian1dModels/Gaussian1dModels_vc11.vcxproj | 553 ++++++++++++++
 .../Gaussian1dModels_vc11.vcxproj.filters          |  25 +
 .../Gaussian1dModels/Gaussian1dModels_vc8.vcproj   | 436 +++++++++++
 .../Gaussian1dModels/Gaussian1dModels_vc9.vcproj   | 838 +++++++++++++++++++++
 QuantLib/Examples/Gaussian1dModels/Makefile.am     |   9 +-
 QuantLib/QuantLib_vc10.sln                         |  18 +
 QuantLib/QuantLib_vc11.sln                         |  18 +
 QuantLib/QuantLib_vc8.sln                          |  13 +
 QuantLib/QuantLib_vc9.sln                          |  21 +
 12 files changed, 2558 insertions(+), 1 deletion(-)

commit d2cc3a82e3b567d917579706bd061a9c927fde93
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 14 May 2014 14:49:39 +0200

    Add possibility to not wait for user input.
    
    This is used in `make check-examples`.

 QuantLib/Examples/Gaussian1dModels/Gaussian1dModels.cpp | 16 +++++++++++++---
 QuantLib/Examples/Gaussian1dModels/Makefile.am          |  2 +-
 2 files changed, 14 insertions(+), 4 deletions(-)

commit 0e6102432d282fb6a9322fec378eaea8f8b25078
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 14 May 2014 14:25:20 +0200

    Use old version of boost::timer.
    
    I'd like to use the new version (in the other examples, too)
    but it was first released in version 1.48, and we're still
    supporting versions from 1.39 onwards.

 .../Examples/Gaussian1dModels/Gaussian1dModels.cpp  | 21 +++++++++++++++------
 1 file changed, 15 insertions(+), 6 deletions(-)

commit 58cb7ecc9e896453755c7bf73189a558873556cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 13 May 2014 10:32:21 +0200

    Avoid unsigned underflow.

 .../ql/experimental/models/gaussian1dnonstandardswaptionengine.cpp    | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 2b5a6b7c4eda650e6cff30801200bc38045a1e6e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 7 May 2014 11:10:33 +0200

    Use explicit conversions to avoid a few warnings in VC++11.

 QuantLib/ql/experimental/models/basketgeneratingengine.cpp        | 2 +-
 .../experimental/models/gaussian1dnonstandardswaptionengine.cpp   | 2 +-
 QuantLib/ql/experimental/models/gsrprocess.cpp                    | 8 ++++----
 QuantLib/ql/experimental/risk/creditriskplus.cpp                  | 2 +-
 QuantLib/ql/math/modifiedbessel.cpp                               | 3 +--
 5 files changed, 8 insertions(+), 9 deletions(-)

commit c967ac83e43b6ad5004def3f0094e13c10e46e12
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 7 May 2014 11:09:35 +0200

    Fix vector access in error message.

 QuantLib/test-suite/daycounters.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 04c3715c3c7c783b8185b235e398c174e310ac58
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 4 May 2014 14:47:59 +0200

    remove debug line

 QuantLib/ql/experimental/models/basketgeneratingengine.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 7384c71a716bc2d75c133693f2916ada055125e9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 3 May 2014 20:46:51 +0200

    fix nominal threshold and guess for calibrating swaption's maturity

 .../ql/experimental/models/gaussian1dnonstandardswaptionengine.cpp   | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

commit 48f0f6fcf6db1311f4af3f43e851b1fa8a05e9ca
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 3 May 2014 20:46:11 +0200

    allow swap engine for float float swap instrument

 QuantLib/ql/experimental/models/floatfloatswap.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 55213058a67e4228a7b1308531a2112279cea31e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 3 May 2014 20:45:56 +0200

    fix member and parameter types

 QuantLib/ql/experimental/models/basketgeneratingengine.hpp | 13 +++++++------
 1 file changed, 7 insertions(+), 6 deletions(-)

commit 3d520d457345becc9cc5eb75cde5e5ecff0d6f9a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 3 May 2014 20:44:40 +0200

    add example for gaussian 1d models

 .../Examples/Gaussian1dModels/Gaussian1dModels.cpp | 733 +++++++++++++++++++++
 QuantLib/Examples/Gaussian1dModels/Makefile.am     |  25 +
 QuantLib/Examples/Makefile.am                      |   1 +
 QuantLib/configure.ac                              |   1 +
 4 files changed, 760 insertions(+)

commit 7839778ee24a261951837defed0f5f16e1960b01
Merge: fa06d41 7a2c175
Author: klausspanderen <klaus@spanderen.de>
Date:   Thu, 1 May 2014 19:11:52 +0200

    Merge branch 'quantlib-merge' of https://github.com/klausspanderen/quantlib.git into quantlib-merge

commit fa06d4187a3a5ffc654f3e62a8356eeee254b250
Author: klausspanderen <klaus@spanderen.de>
Date:   Thu, 1 May 2014 19:08:45 +0200

    formatting

 QuantLib/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit c25981f1ed9f89a0ed4d4db3b7d264721ca57b95
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 28 Apr 2014 12:55:13 +0200

    Hide implementation of working weekends as set.

 QuantLib/ql/time/calendars/china.cpp | 55 ++++++++++++++++++------------------
 QuantLib/ql/time/calendars/china.hpp |  4 ---
 2 files changed, 28 insertions(+), 31 deletions(-)

commit 2817003294ab1ffeae9318b37a6ce0f64ecfa1ce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 28 Apr 2014 11:47:18 +0200

    Rename inner class for consistency.

 QuantLib/ql/time/calendars/china.cpp |  8 ++++----
 QuantLib/ql/time/calendars/china.hpp | 10 +++++-----
 2 files changed, 9 insertions(+), 9 deletions(-)

commit 60d9b33fceeb99a82b577a742a397665f37f8e25
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 28 Apr 2014 11:46:47 +0200

    Include required header only.

 QuantLib/ql/experimental/barrieroption/vannavolgabarrierengine.cpp      | 2 +-
 .../ql/experimental/barrieroption/vannavolgadoublebarrierengine.cpp     | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 73f0c0460f319d59d6bb7cf9b07b8d4929cf8efd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 28 Apr 2014 11:41:41 +0200

    Replace hard tabs with spaces.

 QuantLib/ql/time/calendars/china.cpp | 94 ++++++++++++++++++------------------
 QuantLib/ql/time/calendars/china.hpp | 30 ++++++------
 2 files changed, 61 insertions(+), 63 deletions(-)

commit 686d7c4fa350e7a1f4879ba6bfd1f0e5a5c46d08
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Thu, 24 Apr 2014 16:02:29 +0800

    Added China Inter Bank Holiday calendar
    
    China Inter Bank holidy schedule is different from SSE (Shanghai
    Securities Exchange). Some weekends are good working days for inter bank
    market. Now the working weekends are hard coded for the years 2013 and
    2014

 QuantLib/ql/time/calendars/china.cpp | 48 ++++++++++++++++++++++++++++++++++++
 QuantLib/ql/time/calendars/china.hpp | 24 ++++++++++++++++--
 2 files changed, 70 insertions(+), 2 deletions(-)

commit ecd3b255792ea145ae309034edc34991af53e708
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 23 Apr 2014 10:58:30 +0200

    use previously computed result

 QuantLib/ql/termstructures/volatility/smilesection.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 2825ed9023cd636ed3197d4d1c33e96ccdda8b2e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 23 Apr 2014 10:58:18 +0200

    add inspectors

 QuantLib/ql/experimental/models/atmadjustedsmilesection.hpp | 4 ++++
 QuantLib/ql/experimental/models/atmsmilesection.hpp         | 7 +++++++
 QuantLib/ql/experimental/models/kahalesmilesection.hpp      | 4 ++++
 3 files changed, 15 insertions(+)

commit 74070412e09fae2ca48239211ce23adcd91174dc
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 23 Apr 2014 10:58:06 +0200

    add inspector for reference date

 QuantLib/ql/termstructures/volatility/spreadedsmilesection.hpp | 4 ++++
 1 file changed, 4 insertions(+)

commit b70104b8de6724bb153729aaa58dfd818f5b6e19
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 23 Apr 2014 10:57:45 +0200

    make some inspectors virtual (in order to make the corresponding inspectors work in classes like spreaded smile section)

 QuantLib/ql/termstructures/volatility/smilesection.hpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 88edf70cfa830463d01122c210d070def9ef9d7a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 22 Apr 2014 17:36:51 +0200

    fix beta0, remove leftover fail message

 .../ql/termstructures/volatility/swaption/cmsmarketcalibration.cpp  | 6 ++----
 1 file changed, 2 insertions(+), 4 deletions(-)

commit e7555f3c5e28e09fe9fee3437175e5001ca9edce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 17 Apr 2014 11:14:22 +0200

    Revert changes that break backward compatibility.
    
    This reverts commit cdcc8c30f61d113dd2f2b608417b2a06c5ea9324.

 .../ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp     | 2 +-
 QuantLib/ql/methods/montecarlo/earlyexercisepathpricer.hpp            | 2 +-
 QuantLib/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp        | 2 +-
 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp                     | 4 ++--
 QuantLib/ql/methods/montecarlo/lsmbasissystem.hpp                     | 4 ++--
 QuantLib/ql/pricingengines/basket/mcamericanbasketengine.cpp          | 2 +-
 QuantLib/ql/pricingengines/basket/mcamericanbasketengine.hpp          | 4 ++--
 QuantLib/ql/pricingengines/vanilla/mcamericanengine.cpp               | 2 +-
 QuantLib/ql/pricingengines/vanilla/mcamericanengine.hpp               | 4 ++--
 QuantLib/test-suite/mclongstaffschwartzengine.cpp                     | 2 +-
 QuantLib/test-suite/vpp.cpp                                           | 2 +-
 11 files changed, 15 insertions(+), 15 deletions(-)

commit f59285198924c0ce5c04485f8616cb75d3d9cb90
Merge: b86ff8b 073736e
Author: Pepe <japari@free.fr>
Date:   Thu, 17 Apr 2014 10:31:24 +0200

    Merge branch 'master' into LossLatentModels

commit 3e4272ac22d4e46474d10286b931f9929198da60
Merge: 1004aee 073736e
Author: Pepe <japari@free.fr>
Date:   Thu, 17 Apr 2014 10:28:19 +0200

    Merge branch 'master' into LatentModels

commit cc4949fb0a0a2c9cdf1bda8d063bd51bbdfe577f
Merge: 59411bc 073736e
Author: Pepe <japari@free.fr>
Date:   Thu, 17 Apr 2014 10:25:52 +0200

    Merge branch 'master' into MultidimIntegrations

commit cdcc8c30f61d113dd2f2b608417b2a06c5ea9324
Author: Michael Sharpe <masrtis@gmail.com>
Date:   Wed, 16 Apr 2014 16:24:17 -0700

    Pass state to function object by reference, not by value, to eliminate unnecessary memory allocation stemming from Array copy constructor

 .../ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp     | 2 +-
 QuantLib/ql/methods/montecarlo/earlyexercisepathpricer.hpp            | 2 +-
 QuantLib/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp        | 2 +-
 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp                     | 4 ++--
 QuantLib/ql/methods/montecarlo/lsmbasissystem.hpp                     | 4 ++--
 QuantLib/ql/pricingengines/basket/mcamericanbasketengine.cpp          | 2 +-
 QuantLib/ql/pricingengines/basket/mcamericanbasketengine.hpp          | 4 ++--
 QuantLib/ql/pricingengines/vanilla/mcamericanengine.cpp               | 2 +-
 QuantLib/ql/pricingengines/vanilla/mcamericanengine.hpp               | 4 ++--
 QuantLib/test-suite/mclongstaffschwartzengine.cpp                     | 2 +-
 QuantLib/test-suite/vpp.cpp                                           | 2 +-
 11 files changed, 15 insertions(+), 15 deletions(-)

commit c054164c18244d5c1e13ae72e1d8758a77d7590b
Author: Michael Sharpe <masrtis@gmail.com>
Date:   Wed, 16 Apr 2014 12:09:29 -0700

    Initialize test vectors in initializer lists

 QuantLib/test-suite/capfloor.cpp                  | 4 ++--
 QuantLib/test-suite/inflationcapfloor.cpp         | 4 ++--
 QuantLib/test-suite/inflationcapflooredcoupon.cpp | 4 ++--
 QuantLib/test-suite/inflationcpicapfloor.cpp      | 4 ++--
 QuantLib/test-suite/inflationcpiswap.cpp          | 4 ++--
 5 files changed, 10 insertions(+), 10 deletions(-)

commit b584c699dbd75185d131dffffad31bb2e98dc300
Author: Michael Sharpe <masrtis@gmail.com>
Date:   Wed, 16 Apr 2014 12:07:40 -0700

    Pass vectors by reference to eliminate unnecessary copies

 QuantLib/ql/methods/montecarlo/lsmbasissystem.cpp | 2 +-
 QuantLib/test-suite/capflooredcoupon.cpp          | 4 ++--
 QuantLib/test-suite/inflationcapflooredcoupon.cpp | 4 ++--
 QuantLib/test-suite/swapforwardmappings.cpp       | 2 +-
 4 files changed, 6 insertions(+), 6 deletions(-)

commit b8617579aab1435c5a38294fe73b8db69e605950
Author: Michael Sharpe <masrtis@gmail.com>
Date:   Wed, 16 Apr 2014 12:04:48 -0700

    Prevent reassignment before previous values have been used

 .../perturbativebarrieroptionengine.cpp            | 17 +++++++----------
 .../analyticcompoundoptionengine.cpp               | 22 +++++++---------------
 .../integralhestonvarianceoptionengine.cpp         | 12 ++++++------
 3 files changed, 20 insertions(+), 31 deletions(-)

commit c6c6f3b65cf5fca239783ad2a736f27e1be9f5c1
Author: Michael Sharpe <masrtis@gmail.com>
Date:   Wed, 16 Apr 2014 12:02:09 -0700

    Replaced postfix operators with prefix operators in loops to avoid unnecessary temporaries

 QuantLib/ql/cashflows/dividend.cpp                   |  2 +-
 QuantLib/ql/cashflows/timebasket.cpp                 |  2 +-
 QuantLib/ql/experimental/commodities/commodity.cpp   |  4 ++--
 .../experimental/commodities/commoditycashflow.cpp   |  2 +-
 .../ql/experimental/commodities/commoditycurve.cpp   |  2 +-
 .../ql/experimental/commodities/energybasisswap.cpp  |  6 +++---
 .../ql/experimental/commodities/energycommodity.cpp  |  4 ++--
 .../ql/experimental/commodities/energyfuture.cpp     |  2 +-
 QuantLib/ql/experimental/commodities/energyswap.cpp  |  2 +-
 .../experimental/commodities/energyvanillaswap.cpp   |  6 +++---
 QuantLib/ql/experimental/credit/issuer.cpp           |  4 ++--
 QuantLib/ql/experimental/models/gsr.cpp              |  2 +-
 QuantLib/ql/experimental/models/markovfunctional.cpp | 20 ++++++++++----------
 QuantLib/ql/experimental/variancegamma/fftengine.cpp |  8 ++++----
 QuantLib/ql/math/sampledcurve.cpp                    |  2 +-
 QuantLib/ql/math/statistics/generalstatistics.cpp    |  6 +++---
 QuantLib/ql/prices.cpp                               |  4 ++--
 17 files changed, 39 insertions(+), 39 deletions(-)

commit 073736e7c9d1d757febaddbfd65ee15347cfa243
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 15 Apr 2014 16:14:58 +0200

    Add Heston expansion engine for European options.
    
    Thanks to Fabien Le Floc'h.

 QuantLib/QuantLib.dev                              |  22 +-
 QuantLib/QuantLib_vc10.vcxproj                     |   2 +
 QuantLib/QuantLib_vc10.vcxproj.filters             |   6 +
 QuantLib/QuantLib_vc11.vcxproj                     |   2 +
 QuantLib/QuantLib_vc11.vcxproj.filters             |   6 +
 QuantLib/QuantLib_vc8.vcproj                       |   8 +
 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/pricingengines/vanilla/Makefile.am     |   2 +
 QuantLib/ql/pricingengines/vanilla/all.hpp         |   1 +
 .../vanilla/hestonexpansionengine.cpp              | 746 +++++++++++++++++++++
 .../vanilla/hestonexpansionengine.hpp              | 147 ++++
 QuantLib/test-suite/hestonmodel.cpp                | 165 ++++-
 QuantLib/test-suite/hestonmodel.hpp                |   2 +
 13 files changed, 1114 insertions(+), 3 deletions(-)

commit e7e84a6ef8d7c4028a8f3058d61b3443ae81e704
Merge: d338ce6 ab4858f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 15 Apr 2014 12:21:12 +0200

    Merge pull request #90.

commit ab4858fe331407a46f8b9f4d135ea58efd1b94d8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 14 Apr 2014 21:30:57 +0200

    make correlation observable

 QuantLib/ql/experimental/credit/onefactorcopula.hpp | 1 +
 1 file changed, 1 insertion(+)

commit eff009268ce8310e42a237cd64bc88f22d50ed78
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 14 Apr 2014 21:09:20 +0200

    make correlation an observable

 QuantLib/ql/experimental/credit/randomdefaultmodel.cpp  | 4 +++-
 QuantLib/ql/experimental/credit/randomdefaultmodel.hpp  | 3 ++-
 QuantLib/ql/experimental/credit/syntheticcdoengines.hpp | 4 ++--
 3 files changed, 7 insertions(+), 4 deletions(-)

commit 7a2c17550de4a80d39129a34471900fd65c3e390
Merge: 7689d8f d338ce6
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 12 Apr 2014 17:41:42 +0200

    Merge remote-tracking branch 'upstream/master' into quantlib-merge

commit 7689d8f2c4497e196cefc1078b2588b0238e9ea1
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 12 Apr 2014 17:13:50 +0200

    test commit

 QuantLib/test-suite/quantlibtestsuite.cpp | 1 -
 1 file changed, 1 deletion(-)

commit b86ff8bfd0e75681d0d9434b9fdc4d6ea51eea98
Merge: 5e8b6c9 1004aee
Author: Pepe <japari@free.fr>
Date:   Sat, 12 Apr 2014 11:35:56 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit 1004aeeaefb6aa7b98219d95a3526390758ea526
Author: Pepe <japari@free.fr>
Date:   Sat, 12 Apr 2014 11:35:35 +0200

    updated example

 QuantLib/Examples/LatentModel/LatentModel.cpp | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

commit 5e8b6c9cc1dadaae0778d7cb73d6ab73d69b8ec7
Merge: 85598d6 873155d
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Apr 2014 13:32:45 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit 873155d44dc5687835e8713a8f0e297f6bd218f9
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Apr 2014 13:32:03 +0200

    remove binary

 QuantLib/Examples/LatentModel/LatentModel | Bin 82943858 -> 0 bytes
 1 file changed, 0 insertions(+), 0 deletions(-)

commit 85598d6f4241724e9816bd7729b04c21bf52ad6c
Merge: 0ecdaba 747e56b
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Apr 2014 11:50:17 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit 747e56b5b42f2a2836b6283e029a62b48a53d601
Author: Pepe <japari@free.fr>
Date:   Fri, 11 Apr 2014 11:36:02 +0200

    Added sample case and recode specializations.

 QuantLib/Examples/LatentModel/LatentModel          | Bin 0 -> 82943858 bytes
 QuantLib/Examples/LatentModel/LatentModel.cpp      |  15 +-
 QuantLib/Examples/LatentModel/Makefile.am          |  27 +++
 QuantLib/configure.ac                              |   1 +
 QuantLib/ql/experimental/credit/all.hpp            |   2 +
 .../credit/defaultprobabilitylatentmodel.hpp       |  22 ++-
 .../credit/randomdefaultlatentmodel.hpp            |  47 +++--
 QuantLib/ql/experimental/math/all.hpp              |   4 +
 QuantLib/ql/experimental/math/latentmodel.hpp      | 218 +++++++++++++++------
 9 files changed, 246 insertions(+), 90 deletions(-)

commit 66744ae00c1593d6419d6d63d9b4efd5cf3ffd76
Author: Pepe <japari@free.fr>
Date:   Thu, 10 Apr 2014 23:18:40 +0200

    fixed merge

 QuantLib/QuantLib_vc9.sln                 | 15 +++++++++++++--
 QuantLib/ql/experimental/math/Makefile.am |  1 -
 2 files changed, 13 insertions(+), 3 deletions(-)

commit 4c434e092541d3e55373e9ce78f2abcb10dee817
Merge: f03770d 59411bc
Author: Pepe <japari@free.fr>
Date:   Thu, 10 Apr 2014 22:07:27 +0200

    Merge branch 'MultidimIntegrations' into LatentModels
    
    Conflicts:
    	QuantLib/QuantLib_vc9.sln
    	QuantLib/ql/experimental/math/Makefile.am

commit 59411bc3d62a983f1d1981ea5251d4412d5fe27f
Author: Pepe <japari@free.fr>
Date:   Thu, 10 Apr 2014 19:07:45 +0200

    g++ pointed out incorrect spez ordering overseen by MSVC9. Set up Example. Tested now too on Debian gcc 4.7.2 boost 1.49

 QuantLib/Examples/Makefile.am                      |   1 +
 QuantLib/Examples/MultidimIntegral/Makefile.am     |  26 +++
 .../Examples/MultidimIntegral/MultidimIntegral.cpp |  67 +++++++
 .../MultidimIntegral/MultidimIntegral.vcproj       | 199 +++++++++++++++++++++
 QuantLib/QuantLib_vc9.sln                          |  14 ++
 QuantLib/configure.ac                              |   1 +
 QuantLib/ql/experimental/math/Makefile.am          |   2 +
 QuantLib/ql/experimental/math/all.hpp              |   2 +
 .../ql/experimental/math/multidimintegrator.hpp    |  72 ++++----
 .../ql/experimental/math/multidimquadrature.hpp    |  70 +-------
 10 files changed, 357 insertions(+), 97 deletions(-)

commit d338ce6b5887be02aefda5fe748ea909361d8440
Merge: 799627c 5b44bde
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 9 Apr 2014 12:05:03 +0200

    Merge pull request #86.

commit 5b44bde1bcd27550ca35824c5188b39ad367001a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 9 Apr 2014 11:35:35 +0200

    Update VC++/Dev-C++ projects.

 QuantLib/QuantLib.dev                  | 22 +++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  4 +++-
 QuantLib/QuantLib_vc10.vcxproj.filters |  8 +++++++-
 QuantLib/QuantLib_vc11.vcxproj         |  2 ++
 QuantLib/QuantLib_vc11.vcxproj.filters |  6 ++++++
 QuantLib/QuantLib_vc8.vcproj           |  8 ++++++++
 QuantLib/QuantLib_vc9.vcproj           |  8 ++++++++
 7 files changed, 55 insertions(+), 3 deletions(-)

commit 799627c1aeec061a20443d6e79ab41282c367c6f
Merge: 5661690 b256d38
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 9 Apr 2014 10:00:01 +0200

    Merge pull request #89.

commit b256d384604992c35c2a81718cccb8a437dc7f84
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 9 Apr 2014 09:33:37 +0200

    Update VC++/Dev-C++ projects.

 QuantLib/QuantLib.dev                  | 22 +++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  4 +++-
 QuantLib/QuantLib_vc10.vcxproj.filters |  8 +++++++-
 QuantLib/QuantLib_vc11.vcxproj         |  2 ++
 QuantLib/QuantLib_vc11.vcxproj.filters |  6 ++++++
 QuantLib/QuantLib_vc8.vcproj           |  8 ++++++++
 6 files changed, 47 insertions(+), 3 deletions(-)

commit 8cf4532fae0e844c8033c24a95a09ebc31121724
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 9 Apr 2014 09:25:54 +0200

    Update global header.

 QuantLib/ql/experimental/math/all.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 5cfb6f9abe720a83a090e47dbf2d9d93c4e15622
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 8 Apr 2014 23:52:28 +0200

    added default value for minExercise

 .../experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp   | 3 +--
 .../finitedifferences/stepconditions/fdmsimpleswingcondition.cpp      | 4 ++--
 .../finitedifferences/stepconditions/fdmsimpleswingcondition.hpp      | 4 ++--
 QuantLib/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp          | 3 +--
 4 files changed, 6 insertions(+), 8 deletions(-)

commit 56616907b3f8450425d83ba113c6338f19be8e30
Merge: 475002f 9302a32
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 8 Apr 2014 15:36:18 +0200

    Merge pull request #37.

commit 9302a32f56e139e8b21f95d3360995870cb65d83
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 8 Apr 2014 15:03:07 +0200

    Update VC++/Dev-C++ projects.

 QuantLib/QuantLib.dev                              | 21 ++++++++++++++++++++-
 QuantLib/QuantLib_vc10.vcxproj                     |  2 ++
 QuantLib/QuantLib_vc10.vcxproj.filters             |  6 ++++++
 QuantLib/QuantLib_vc11.vcxproj                     |  2 ++
 QuantLib/QuantLib_vc11.vcxproj.filters             |  6 ++++++
 QuantLib/QuantLib_vc8.vcproj                       |  8 ++++++++
 QuantLib/QuantLib_vc9.vcproj                       |  8 ++++++++
 QuantLib/test-suite/testsuite.dev                  | 22 +++++++++++++++++++++-
 QuantLib/test-suite/testsuite_vc10.vcxproj         |  2 ++
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  6 ++++++
 QuantLib/test-suite/testsuite_vc11.vcxproj         |  2 ++
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  6 ++++++
 QuantLib/test-suite/testsuite_vc8.vcproj           |  8 ++++++++
 QuantLib/test-suite/testsuite_vc9.vcproj           |  8 ++++++++
 14 files changed, 105 insertions(+), 2 deletions(-)

commit 17cd9a76d5af96b1266827274bb92c4225f51fd6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 8 Apr 2014 15:01:03 +0200

    Move files to ql/experimental/risk.

 QuantLib/ql/experimental/models/Makefile.am        |   2 -
 QuantLib/ql/experimental/models/all.hpp            |   1 -
 QuantLib/ql/experimental/models/creditriskplus.cpp | 233 ---------------------
 QuantLib/ql/experimental/models/creditriskplus.hpp |  98 ---------
 QuantLib/ql/experimental/risk/Makefile.am          |   2 +
 QuantLib/ql/experimental/risk/all.hpp              |   1 +
 QuantLib/ql/experimental/risk/creditriskplus.cpp   | 232 ++++++++++++++++++++
 QuantLib/ql/experimental/risk/creditriskplus.hpp   |  98 +++++++++
 QuantLib/test-suite/creditriskplus.cpp             |   3 +-
 9 files changed, 334 insertions(+), 336 deletions(-)

commit 0ecdaba2f540efc1321d985fda543ec0d04b9adc
Merge: 32b6a87 f03770d
Author: Pepe <japari@free.fr>
Date:   Mon, 7 Apr 2014 13:34:04 +0200

    Merge branch 'LatentModels' into LossLatentModels

commit f03770da42387c9f839c77434b2a6cc5bc7772ff
Author: Pepe <japari@free.fr>
Date:   Mon, 7 Apr 2014 13:33:44 +0200

    missing header

 QuantLib/ql/experimental/math/latentmodel.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 32b6a8706451ba298417ef1efa68fcf008a332ea
Author: Pepe <japari@free.fr>
Date:   Sun, 6 Apr 2014 22:44:37 +0200

    new functions

 QuantLib/ql/experimental/credit/basket.cpp | 1 +
 QuantLib/ql/experimental/credit/basket.hpp | 5 +++++
 2 files changed, 6 insertions(+)

commit 33fb37e7f4e8b30dd5127ed59e00dcd6e54b6204
Merge: 280dec1 b6963c9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 2 Apr 2014 17:27:43 +0200

    Merge pull request #87.

commit b6963c9787c79d3cfcce6ddb1e6045afb8f6c6a5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 2 Apr 2014 17:26:59 +0200

    Add comment to document alternative construction.

 QuantLib/Examples/Bonds/Bonds.cpp | 10 ++++++++++
 1 file changed, 10 insertions(+)

commit 208e9b9c343a18aec5a91759199ce21946a0361d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 2 Apr 2014 16:36:05 +0200

    Use specific rate helper.

 QuantLib/Examples/Bonds/Bonds.cpp | 8 +++-----
 1 file changed, 3 insertions(+), 5 deletions(-)

commit 280dec1e43544b0d14d265d2b803b23d9b4102b8
Merge: 68185c6 3b0b64e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Apr 2014 12:05:14 +0200

    Merge pull request #84.

commit 089651db1f5a03be05bd2cbf5320f3cdfdb7f0e2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Apr 2014 11:22:35 +0200

    Avoid double loop to check for negative rates.

 QuantLib/ql/termstructures/yield/zerocurve.hpp | 7 ++-----
 1 file changed, 2 insertions(+), 5 deletions(-)

commit 7cfcf793fc09e2e1b3ef1ec0b40e445e86213016
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Apr 2014 10:55:06 +0200

    Use available convenience method to convert rates.

 QuantLib/ql/termstructures/yield/zerocurve.hpp | 12 ++++--------
 1 file changed, 4 insertions(+), 8 deletions(-)

commit b8b9b0a3a25ebdc560c19fc806a28f6029170464
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Apr 2014 10:35:44 +0200

    Convert also first node to continuous compounding.

 QuantLib/ql/termstructures/yield/zerocurve.hpp | 17 ++++++++++++++++-
 1 file changed, 16 insertions(+), 1 deletion(-)

commit 68185c6beb55e56f97ebfd54c23785d46e3be157
Merge: 64edf66 7edd3c0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 31 Mar 2014 14:54:45 +0200

    Merge pull request #79.

commit 64edf6679387e99f7956519680aef78b91874e8f
Merge: 9a0aa85 6e47003
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 31 Mar 2014 13:38:01 +0200

    Merge pull request #77.

commit 9815d01a25cc9dfbf60b2a4f193b5147bc2ddd36
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 21:59:01 +0100

    added claim

 QuantLib/ql/experimental/credit/basket.cpp | 50 ++++++++++++++++--------------
 QuantLib/ql/experimental/credit/basket.hpp |  9 ++++--
 2 files changed, 33 insertions(+), 26 deletions(-)

commit 99086159ceedd86475f80a68b360fabf23908dff
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 21:14:51 +0100

    new members were missing

 QuantLib/ql/experimental/credit/basket.cpp | 72 +++++++++++++++++++++++++++++-
 QuantLib/ql/experimental/credit/basket.hpp | 23 ++++++++--
 2 files changed, 90 insertions(+), 5 deletions(-)

commit b3624f52065ec2f98eaf4a512821e46db3c59f7a
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:53:15 +0100

    corrected scope

 QuantLib/ql/experimental/credit/basket.hpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit f4885707ddfbfc1a0af78f895b532f378863f1d3
Merge: 10803a1 ebfc469
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:51:43 +0100

    Merge branch 'LatentModels' into LossLatentModels

commit ebfc4696a56fad60cb82ce29291a444476147f7c
Merge: ce68494 541a4a9
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:51:23 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit 541a4a94e93005c596fa68789b92fc059eed800c
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:50:58 +0100

    correct 'order of appearance'

 .../ql/experimental/math/multidimquadrature.hpp    | 22 +++++++++++-----------
 1 file changed, 11 insertions(+), 11 deletions(-)

commit 10803a14c868a7efb1849663168c618c20a1e2b3
Merge: 19e76b7 ce68494
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:41:28 +0100

    Merge branch 'LatentModels' into LossLatentModels

commit ce68494408229f3b418105d9d947892641a95267
Merge: 5754d1c c9a580f
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:41:08 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit c9a580fb36862a568b905586fbae4c8845316377
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:40:33 +0100

    This time is MSVC who gets picky

 QuantLib/ql/experimental/math/multidimquadrature.hpp | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

commit 19e76b79e1608b9d140a51c8961246c5dd76a99e
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 20:29:20 +0100

    updated missing members, still work in progress...

 QuantLib/ql/experimental/credit/basket.cpp | 136 +++++++++++++++++++++++++++++
 QuantLib/ql/experimental/credit/basket.hpp |  36 ++++++++
 2 files changed, 172 insertions(+)

commit 41a4865be71058881b13968662fea6320be5a105
Merge: 520cba3 5754d1c
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 12:06:33 +0100

    Merge branch 'LatentModels' into LossLatentModels

commit 5754d1ccd8abda5692ce416ed55d6927f62fadfd
Merge: 8d66683 4f4051f
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 12:06:04 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit 4f4051fd573e0be7034a59ddb0441efea8301499
Author: Pepe <japari@free.fr>
Date:   Sat, 29 Mar 2014 12:05:29 +0100

    moved specializations outside body

 .../ql/experimental/math/multidimintegrator.hpp    |  37 +++---
 .../ql/experimental/math/multidimquadrature.hpp    | 145 +++++++++++----------
 2 files changed, 96 insertions(+), 86 deletions(-)

commit 0f51f981c9f1b0249bb87f64ed81c5547e9ec385
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 29 Mar 2014 09:26:33 +0100

    reformulate dynamic programming in terms of "exercises used"

 QuantLib/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 81f2215fbb859f5fb201e6eaa2ae6d84f15905cc
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 29 Mar 2014 08:56:19 +0100

    reformulate dynamic programming in terms of "exercises used"

 .../fdsimpleextoujumpswingengine.cpp               | 14 ++---------
 .../stepconditions/fdmsimpleswingcondition.cpp     | 29 +++++++++++-----------
 .../stepconditions/fdmsimpleswingcondition.hpp     |  4 +--
 .../vanilla/fdsimplebsswingengine.cpp              | 20 ++++-----------
 4 files changed, 24 insertions(+), 43 deletions(-)

commit a166f4dc3922b88928da7c29801e86fdb2ad4399
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 27 Mar 2014 18:43:22 +0100

    tighten tolerance after fix in model

 QuantLib/test-suite/creditriskplus.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit f1108cfe0f580e7dd1ba7fb3057e887e18760ebd
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 27 Mar 2014 18:43:03 +0100

    fix relative default variance calculation (thanks to Roland Lichters)

 QuantLib/ql/experimental/models/creditriskplus.cpp | 2 ++
 QuantLib/ql/experimental/models/creditriskplus.hpp | 4 ++--
 2 files changed, 4 insertions(+), 2 deletions(-)

commit 2543712ee8a8e5abff2eaa504519a8ab26adc407
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 26 Mar 2014 20:07:49 +0100

    fix loss quantile calculation (thanks to Roland Lichters)

 QuantLib/ql/experimental/models/creditriskplus.cpp | 13 ++++++++-----
 1 file changed, 8 insertions(+), 5 deletions(-)

commit eb3e1b7fb2cc86a21e9efdc682a778968e9e355f
Merge: a16c89a 2c1db6e
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Mar 2014 10:51:06 +0100

    Merge branch 'T_convolutions' into LossLatentModels

commit 8d66683b00fa807b76bcfe0bc6b4be445687a5bd
Merge: 2560421 2c1db6e
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Mar 2014 10:50:41 +0100

    Merge branch 'T_convolutions' into LatentModels

commit 2c1db6ec48428b382d14263926ec7c036a21f6a3
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Mar 2014 10:48:22 +0100

    g++ requires header (rightly so)

 QuantLib/ql/experimental/math/convolvedstudentt.hpp | 1 +
 1 file changed, 1 insertion(+)

commit a16c89af78a1fee95fa7d55c2ef00d3589d89757
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Mar 2014 14:10:17 +0100

    temporary changes to allow compilation

 QuantLib/ql/experimental/credit/basket.hpp              |  6 ++++++
 QuantLib/ql/experimental/credit/syntheticcdoengines.hpp | 12 ++++++++----
 2 files changed, 14 insertions(+), 4 deletions(-)

commit d546e51f23209c1a2a51c47096899d5ad6a61b99
Merge: 5bef9b4 2560421
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Mar 2014 13:11:27 +0100

    Merge branch 'LatentModels' into LossLatentModels

commit 256042151e59274df8342594d47d7396195353e1
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Mar 2014 13:10:55 +0100

    amend constructor variable

 QuantLib/ql/experimental/math/latentmodel.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 5bef9b42fc247a74d573ae91e6fb6cc660e23abd
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Mar 2014 13:09:31 +0100

    migrating basket...wip

 QuantLib/ql/experimental/credit/basket.cpp         | 143 ++++++++------
 QuantLib/ql/experimental/credit/basket.hpp         | 214 ++++++++++++++++-----
 .../experimental/credit/gaussianlhplossmodel.cpp   |   2 +-
 3 files changed, 246 insertions(+), 113 deletions(-)

commit d4e60da672c1c99f04ad9c731e69d6d5825e9a7e
Author: Pepe <japari@free.fr>
Date:   Sun, 23 Mar 2014 22:30:05 +0100

    again, keys from pool to basket

 QuantLib/ql/experimental/credit/basket.cpp | 48 ++++++++++++++++++------------
 QuantLib/ql/experimental/credit/basket.hpp |  4 +--
 QuantLib/ql/experimental/credit/pool.cpp   |  6 ++--
 QuantLib/ql/experimental/credit/pool.hpp   |  3 +-
 4 files changed, 37 insertions(+), 24 deletions(-)

commit 7cd51cfa55819ff7e88a8a34fab6352722671c08
Author: Pepe <japari@free.fr>
Date:   Sun, 23 Mar 2014 10:15:27 +0100

    Moved default keys to the pool from the basket

 QuantLib/ql/experimental/credit/basket.cpp |  2 --
 QuantLib/ql/experimental/credit/basket.hpp |  4 ----
 QuantLib/ql/experimental/credit/pool.cpp   | 18 +++++++++++++++++-
 QuantLib/ql/experimental/credit/pool.hpp   |  8 +++++++-
 4 files changed, 24 insertions(+), 8 deletions(-)

commit 8526a72a0b0e7a3c85a0d219119709c7b05c8e9e
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 22 Mar 2014 18:15:17 +0100

    added benckmark results for new i7 Haswell cpu

 QuantLib/test-suite/quantlibbenchmark.cpp | 55 ++++++++++++++++---------------
 1 file changed, 29 insertions(+), 26 deletions(-)

commit 25b66e0c233d9d0b9e3e9d63ee64d44560fbe665
Merge: 758ab63 0eb4efe
Author: Pepe <japari@free.fr>
Date:   Sat, 22 Mar 2014 18:12:27 +0100

    Merge branch 'T_convolutions' into LatentModels

commit e374b4ccbc6a08fd7ed711105d204863cf85ec09
Merge: 3b69eae 0eb4efe
Author: Pepe <japari@free.fr>
Date:   Sat, 22 Mar 2014 18:11:50 +0100

    Merge branch 'T_convolutions' into LossLatentModels

commit 0eb4efe215a46399c4132110d2d5980b514d3a7f
Author: Pepe <japari@free.fr>
Date:   Sat, 22 Mar 2014 18:06:53 +0100

    updated doc comment

 QuantLib/ql/experimental/math/convolvedstudentt.hpp | 2 --
 1 file changed, 2 deletions(-)

commit 3b69eae0be67fc8ef74bd54ec539ae6e95d3ac69
Author: Pepe <japari@free.fr>
Date:   Sat, 22 Mar 2014 17:08:23 +0100

    kick start

 QuantLib/QuantLib_vc9.vcproj                       |  12 ++
 QuantLib/ql/experimental/credit/Makefile.am        |   3 +
 QuantLib/ql/experimental/credit/basket.cpp         |   9 +-
 QuantLib/ql/experimental/credit/basket.hpp         |   9 +-
 .../ql/experimental/credit/defaultlossmodel.hpp    | 144 +++++++++++++
 .../experimental/credit/gaussianlhplossmodel.cpp   | 181 +++++++++++++++++
 .../experimental/credit/gaussianlhplossmodel.hpp   | 223 +++++++++++++++++++++
 7 files changed, 573 insertions(+), 8 deletions(-)

commit c17fe28f063fac5b8d2022054039660fbd999835
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 20:25:08 +0100

    add parametric beta termstructure, reformatting

 .../volatility/swaption/cmsmarketcalibration.cpp   | 397 +++++++++++++++------
 .../volatility/swaption/cmsmarketcalibration.hpp   |   7 +
 2 files changed, 297 insertions(+), 107 deletions(-)

commit 758ab630eb47667992ea1e62ff1da440d907bb09
Author: Pepe <japari@free.fr>
Date:   Fri, 21 Mar 2014 10:18:06 +0100

    Added example project

 QuantLib/Examples/LatentModel/LatentModel.cpp      | 260 +++++++++++++++++++++
 QuantLib/Examples/LatentModel/LatentModel.vcproj   | 201 ++++++++++++++++
 QuantLib/Examples/LatentModel/Release/BuildLog.htm | Bin 0 -> 3998 bytes
 QuantLib/Examples/LatentModel/Release/vc90.idb     | Bin 0 -> 11264 bytes
 QuantLib/QuantLib_vc9.sln                          |  29 ++-
 QuantLib/ql/experimental/math/latentmodel.hpp      |   4 +-
 6 files changed, 485 insertions(+), 9 deletions(-)

commit 9b1d554239bba431b791db83af96308cfbc5835d
Author: Dirk Eddelbuettel <edd@debian.org>
Date:   Thu, 20 Mar 2014 18:25:44 -0500

    switched from deprecated FixedRateBondHelper to BondHelper along with FixedRateBond

 QuantLib/Examples/Bonds/Bonds.cpp | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

commit 58702389e56e43b7fab49405c2370ef25c34c961
Author: klausspanderen <klaus@spanderen.de>
Date:   Thu, 20 Mar 2014 21:17:53 +0100

    capacity of a storage does not need to be a multiple of the change rate
    (thanks to Ralph Schreyer)

 .../ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp    | 1 +
 .../ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp    | 1 +
 .../finitedifferences/stepconditions/fdmsimplestoragecondition.cpp      | 1 +
 .../finitedifferences/stepconditions/fdmsimpleswingcondition.cpp        | 2 +-
 4 files changed, 4 insertions(+), 1 deletion(-)

commit 81e202bdee89ce6645227251eeb79a8cd6d84c89
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 20 Mar 2014 20:47:55 +0100

    avoid shadowing of outer loop variable, use preincrement in inner loop

 .../termstructures/volatility/swaption/cmsmarketcalibration.cpp   | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 2af8e27a1ac397663586ca5c62762c70bdc554e0
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 12:09:10 +0100

    add comment

 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp | 4 ++++
 1 file changed, 4 insertions(+)

commit 6e23e3bacbbc2b1bbec852c0f694fae491b2c767
Merge: a63c213 f447d3d
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:39:02 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit a63c213248287f130dc5fb622d097934c0065d09
Merge: 33a788e 9a0aa85
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:38:28 +0100

    Merge branch 'master' into LatentModels

commit 9f358a3ae08598b0eca33182baef118b39aa147d
Merge: 76249d6 9a0aa85
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:35:31 +0100

    Merge branch 'master' into T_convolutions

commit f447d3d6037c69c3ddeae4080e266599bacc6bff
Merge: f6a6494 9a0aa85
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:32:39 +0100

    Merge branch 'master' into MultidimIntegrations

commit f6a64946bcab2eb6daa468f8f348a1d171f00350
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:28:39 +0100

    fix typo in doc

 QuantLib/ql/experimental/math/multidimintegrator.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 33a788e1e9d3220f201a3b62ebb97a77c1c2e825
Author: Pepe <japari@free.fr>
Date:   Wed, 19 Mar 2014 11:07:11 +0100

    Working initial version. Still pending to separate LM simulation and have monothread version.

 QuantLib/QuantLib_vc9.vcproj                       |   4 +
 QuantLib/ql/experimental/credit/Makefile.am        |   1 +
 .../credit/defaultprobabilitylatentmodel.hpp       | 140 +++---
 .../credit/randomdefaultlatentmodel.hpp            | 518 +++++++++++++++++++++
 .../ql/experimental/math/gaussiancopulapolicy.hpp  |   3 +-
 QuantLib/ql/experimental/math/latentmodel.hpp      | 360 +++++++++++---
 QuantLib/ql/experimental/math/tcopulapolicy.cpp    |  11 +-
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    |   5 +-
 8 files changed, 894 insertions(+), 148 deletions(-)

commit d26b8a1de34ad1e4f53930c8225a9bcf4d6c0957
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 17 Mar 2014 20:16:06 +0100

    fixed VC warning

 .../ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp    | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit fd3f07d62c15b43159c3b921915e35a230646c86
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 17 Mar 2014 20:13:16 +0100

    fixed VC warning

 .../ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp   | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 99d35a89ec57fd0ac1671b5aafbdfca5814d8e82
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 16 Mar 2014 20:37:47 +0100

    fixed formatting

 .../fdsimpleextoustorageengine.cpp                 | 32 +++++++++++-----------
 .../stepconditions/fdmsimplestoragecondition.cpp   | 28 +++++++++----------
 2 files changed, 30 insertions(+), 30 deletions(-)

commit de258d11ce2d93e284909ccd695e0fc2ca022b54
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 16 Mar 2014 20:28:54 +0100

    added shape and better capacity/changeRate support for storage engine
    better support of min-take for swing options

 .../fdsimpleextoujumpswingengine.cpp               | 10 ++---
 .../fdsimpleextoustorageengine.cpp                 | 44 +++++++++++++++++++---
 .../fdsimpleextoustorageengine.hpp                 | 15 +++++---
 QuantLib/ql/instruments/vanillaswingoption.hpp     |  2 +-
 .../stepconditions/fdmsimplestoragecondition.cpp   | 33 ++++++++++++----
 .../stepconditions/fdmsimpleswingcondition.cpp     | 12 +++---
 .../stepconditions/fdmsimpleswingcondition.hpp     |  2 +
 .../vanilla/fdsimplebsswingengine.cpp              |  9 +++--
 QuantLib/test-suite/hestonmodel.cpp                |  4 +-
 QuantLib/test-suite/swingoption.cpp                | 38 ++++++++++++++++---
 10 files changed, 128 insertions(+), 41 deletions(-)

commit 425ecb3bfb9cde9c3376ee22fb086f3376bf653a
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 16 Mar 2014 18:25:44 +0100

    fixed accidentally committed versions

 QuantLib/QuantLib_vc10.sln                |  13 ++
 QuantLib/test-suite/quantlibtestsuite.cpp | 260 +++++++++++++++---------------
 2 files changed, 143 insertions(+), 130 deletions(-)

commit 0bfcc3d77b9710f54202ee8bd74ec70328ebed4d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 15 Mar 2014 09:39:27 +0100

    update the cube after parameter guess update

 QuantLib/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 1 +
 1 file changed, 1 insertion(+)

commit c6b3585fc6b7a7ddcb4aa0a387dfea7545d148ff
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 21:27:24 +0100

    simplify formula

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 0b539dd819a90c46146d63a19d523b82a204b493
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 20:01:07 +0100

    add new file to makefile

 QuantLib/ql/math/interpolations/Makefile.am | 1 +
 QuantLib/ql/math/interpolations/all.hpp     | 1 +
 2 files changed, 2 insertions(+)

commit d64b897786fe1da25c48cc3de680dab2fb04e9dc
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 19:56:17 +0100

    add backward flat / linear interpolation

 .../backwardflatlinearinterpolation.hpp            | 101 +++++++++++++++++++++
 1 file changed, 101 insertions(+)

commit 1a2feab68270e8bb217c2bfa79849e0699666e58
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 19:53:37 +0100

    update the parameter guess only if a parameter guess quote changes and not on each notification, because
    otherwise e.g. a calibrated beta structure is lost on each such update,
    add option for backward flat SABR parameters, deduce default acceptance level from max error,
    allow for recalibration with beta termstructure

 .../volatility/swaption/swaptionvolcube1.cpp       | 207 +++++++++++++++------
 .../volatility/swaption/swaptionvolcube1.hpp       |  33 +++-
 2 files changed, 174 insertions(+), 66 deletions(-)

commit 1f46eef52f6cb851b4378ac500e43e41ffe8d46e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 19:45:17 +0100

    add calibration to a termstructure of betas,
    use transformed variables in optimization instead of constraints

 .../volatility/swaption/cmsmarketcalibration.cpp   | 278 ++++++++++++++++-----
 .../volatility/swaption/cmsmarketcalibration.hpp   |  33 ++-
 2 files changed, 244 insertions(+), 67 deletions(-)

commit f6fd911c1e3fda0b29cbc47558faa10173882b98
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 19:41:20 +0100

    fix computation of row index when populating the result matrix,
    add inspector for swap lengths,
    make exception messages more expressive

 .../volatility/swaption/cmsmarket.cpp              | 46 ++++++++++++----------
 .../volatility/swaption/cmsmarket.hpp              |  1 +
 2 files changed, 27 insertions(+), 20 deletions(-)

commit cb47994f8c7e38f7a81fc9e77ed52ab84997f86d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Mar 2014 19:36:59 +0100

    make alpha guess a bit smarter by adapting it to the level of beta,
    lower upper bound for nu guess, remove transformation of guess which
    is wrong here (it rather seems to belong to the code commented out above)

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp | 9 ++++++---
 1 file changed, 6 insertions(+), 3 deletions(-)

commit 803ecba8a28cbebe2ac3dd3268a5e0118bdb76b7
Author: Alexandre Radicchi <alex.radi@gmail.com>
Date:   Tue, 11 Mar 2014 19:02:51 +0100

    moved annual to NoFrequency in continuous compounding conversion

 QuantLib/ql/termstructures/yield/zerocurve.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 45f28068846765c877227c56407610562c8086d4
Author: Alexandre Radicchi <alex.radi@gmail.com>
Date:   Tue, 11 Mar 2014 09:04:20 +0100

    Added zero rates conversion on InterpolatedZeroCurve, exposed some classes
    to SWIG

 QuantLib/ql/termstructures/yield/zerocurve.hpp | 66 ++++++++++++++++++--------
 1 file changed, 46 insertions(+), 20 deletions(-)

commit f513dea604d9ca8bc41c2962e0ded26b04925299
Author: klausspanderen <klaus@spanderen.de>
Date:   Wed, 5 Mar 2014 21:46:16 +0100

    fixed behavior of the Bjerksund Stensland engine for very small
    volatilities

 .../pricingengines/vanilla/bjerksundstenslandengine.cpp   | 11 +++++------
 QuantLib/test-suite/americanoption.cpp                    | 15 +++++++++++++--
 2 files changed, 18 insertions(+), 8 deletions(-)

commit 0ea32adc85239180cb1e292dad96bd3202981c23
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 19:04:29 +0100

    just tidy up

 .../credit/defaultprobabilitylatentmodel.hpp       | 24 +++-------------------
 1 file changed, 3 insertions(+), 21 deletions(-)

commit abc1d645716ac9dcc340c7ae67c5357a03a6b3c0
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 18:59:56 +0100

    added default correl, but going bananas for T copula at some values of the hazard rate

 .../credit/defaultprobabilitylatentmodel.hpp       | 65 +++++++++++++++++-----
 QuantLib/ql/experimental/math/latentmodel.hpp      |  9 ++-
 2 files changed, 56 insertions(+), 18 deletions(-)

commit 0b3b47cb35d9d5140c34fdcdfafee93b8e14962f
Merge: a040596 cea6eb8
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 11:36:51 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit cea6eb810189b847f2f06a5c2694adbe3d6afa4e
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 11:36:35 +0100

    typo

 QuantLib/ql/experimental/math/multidimquadrature.hpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit a040596ea3e0532f98abb96cfd1cf24340b2e733
Merge: 2059bb2 e956b5f
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 10:50:55 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit e956b5fe0e713f6c751b92bc8f8eb18ca967ed82
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 10:50:36 +0100

    made public back

 .../ql/experimental/math/multidimquadrature.hpp    | 85 +++++++++++++---------
 1 file changed, 49 insertions(+), 36 deletions(-)

commit 2059bb269f8bc3b0061dd2d26d55d4f20acf7bee
Author: Pepe <japari@free.fr>
Date:   Mon, 3 Mar 2014 10:41:44 +0100

    init changes for correl

 .../credit/defaultprobabilitylatentmodel.hpp       | 32 ++++++++++++++++++++++
 QuantLib/ql/experimental/math/latentmodel.hpp      |  8 +++---
 2 files changed, 36 insertions(+), 4 deletions(-)

commit 84581f31c2c82d3bafc3a69c4b588f25236d1ce9
Author: Pepe <japari@free.fr>
Date:   Sun, 2 Mar 2014 22:43:30 +0100

    added latent var correl

 QuantLib/ql/experimental/math/latentmodel.hpp | 10 ++++++++--
 1 file changed, 8 insertions(+), 2 deletions(-)

commit 37c71d3f60cac5fc64e042c3879973fc627cf0bc
Author: Pepe <japari@free.fr>
Date:   Sun, 2 Mar 2014 21:12:31 +0100

    removed grid integration, To do: find way to make it parametric, no common base class.

 QuantLib/ql/experimental/math/latentmodel.hpp | 32 +++++++++------------------
 1 file changed, 10 insertions(+), 22 deletions(-)

commit e36ab1f878b0702f79ff03ccb32f5ae14b6dc02c
Merge: 6f5af1b 8969171
Author: Pepe <japari@free.fr>
Date:   Sun, 2 Mar 2014 20:34:50 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit 896917106aa74de32f57bdca138c85a00a29df44
Author: Pepe <japari@free.fr>
Date:   Sun, 2 Mar 2014 11:16:07 +0100

    renamed vars, doc, reorganise index

 .../ql/experimental/math/multidimintegrator.cpp    |   4 +-
 .../ql/experimental/math/multidimintegrator.hpp    |  21 +-
 .../ql/experimental/math/multidimquadrature.cpp    |  13 +-
 .../ql/experimental/math/multidimquadrature.hpp    | 216 ++++++++++++---------
 4 files changed, 142 insertions(+), 112 deletions(-)

commit 6f5af1b9420c07f914c7c0560e837e140bf89e85
Merge: 78ee692 c819308
Author: Pepe <japari@free.fr>
Date:   Sat, 1 Mar 2014 22:23:26 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit c8193080f20a060d34d32461a8357b4ebf9a6d4b
Author: Pepe <japari@free.fr>
Date:   Sat, 1 Mar 2014 22:23:01 +0100

    missing clean up

 QuantLib/ql/experimental/math/multidimquadrature.cpp | 9 +--------
 1 file changed, 1 insertion(+), 8 deletions(-)

commit 78ee69213ac1741bb3c302b4dbefea220e41b13a
Merge: a634bd6 9947e5e
Author: Pepe <japari@free.fr>
Date:   Sat, 1 Mar 2014 22:17:24 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit 9947e5e68cb8042410df11a21fff25e6e85f578a
Author: Pepe <japari@free.fr>
Date:   Sat, 1 Mar 2014 22:16:35 +0100

    Split in files. Clean up.

 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 .../ql/experimental/math/multidimintegrator.cpp    |  40 +--
 .../ql/experimental/math/multidimintegrator.hpp    | 391 ++-------------------
 .../ql/experimental/math/multidimquadrature.cpp    |  44 +++
 .../ql/experimental/math/multidimquadrature.hpp    | 286 +++++++++++++++
 5 files changed, 390 insertions(+), 379 deletions(-)

commit a634bd657aacfac922a02899416ea50d6f09b514
Author: Pepe <japari@free.fr>
Date:   Fri, 28 Feb 2014 20:41:29 +0100

    reinclude file, remove base class

 QuantLib/ql/experimental/math/latentmodel.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 0851557e70a9b773717b1dc65aafeea9af2e8681
Author: Pepe <japari@free.fr>
Date:   Fri, 28 Feb 2014 20:37:39 +0100

    reorganize code, documentation, clean up. Integration pending.

 .../credit/defaultprobabilitylatentmodel.hpp       | 170 ++++------
 .../ql/experimental/math/gaussiancopulapolicy.cpp  |   7 +-
 .../ql/experimental/math/gaussiancopulapolicy.hpp  |  44 +--
 QuantLib/ql/experimental/math/latentmodel.hpp      | 364 ++++++++-------------
 QuantLib/ql/experimental/math/tcopulapolicy.cpp    |  60 ++--
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    |  60 ++--
 6 files changed, 281 insertions(+), 424 deletions(-)

commit b74278108f873566401bf227ccb30e05a389e041
Merge: 630078f 37ed88e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Feb 2014 11:53:41 +0100

    Merge latest changes from R01040x-branch.

commit 8b256c839d81e86151c521ae71184ca614385a27
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 26 Feb 2014 12:20:31 +0100

    Remove deprecated Domain and Surface classes.

 QuantLib/QuantLib.dev                              | 44 ++---------
 QuantLib/QuantLib_vc10.vcxproj                     |  3 -
 QuantLib/QuantLib_vc10.vcxproj.filters             |  9 ---
 QuantLib/QuantLib_vc11.vcxproj                     |  3 -
 QuantLib/QuantLib_vc11.vcxproj.filters             |  9 ---
 QuantLib/QuantLib_vc8.vcproj                       | 12 ---
 QuantLib/QuantLib_vc9.vcproj                       | 12 ---
 QuantLib/ql/math/Makefile.am                       |  5 +-
 QuantLib/ql/math/all.hpp                           |  2 -
 QuantLib/ql/math/domain.hpp                        | 87 ----------------------
 QuantLib/ql/math/surface.cpp                       | 43 -----------
 QuantLib/ql/math/surface.hpp                       | 72 ------------------
 QuantLib/test-suite/Makefile.am                    |  1 -
 QuantLib/test-suite/quantlibtestsuite.cpp          |  2 -
 QuantLib/test-suite/surface.cpp                    | 64 ----------------
 QuantLib/test-suite/surface.hpp                    | 35 ---------
 QuantLib/test-suite/testsuite.dev                  | 26 +------
 QuantLib/test-suite/testsuite_vc10.vcxproj         |  2 -
 QuantLib/test-suite/testsuite_vc10.vcxproj.filters |  6 --
 QuantLib/test-suite/testsuite_vc11.vcxproj         |  2 -
 QuantLib/test-suite/testsuite_vc11.vcxproj.filters |  6 --
 QuantLib/test-suite/testsuite_vc8.vcproj           |  8 --
 QuantLib/test-suite/testsuite_vc9.vcproj           |  8 --
 23 files changed, 11 insertions(+), 450 deletions(-)

commit 09767316025911ece4ba53a0726bb40ec06341ef
Merge: 6afd01d 76249d6
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 12:15:52 +0100

    Merge branch 'T_convolutions' into LatentModels

commit 76249d6f53c95b8ac1665a6bb5b06c19a9dd1fe5
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 12:15:17 +0100

    modify limit normalization

 QuantLib/ql/experimental/math/convolvedstudentt.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 6afd01d918044c10d9ea9e995dd94f0175706d34
Merge: c30feac c062871
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 11:37:28 +0100

    Merge branch 'T_convolutions' into LatentModels

commit c062871b6d1f779800f862715a04cc57265ecc7f
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 11:36:59 +0100

    allow assignment and copy

 QuantLib/ql/experimental/math/convolvedstudentt.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit c30feac5f8bab51823e67f1147d083e964804e3e
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 11:35:41 +0100

    const

 QuantLib/ql/experimental/math/tcopulapolicy.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit b961353e128e0ded9ad64dd4f2f200a4932a2145
Merge: abc0fd3 d912190
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 10:38:52 +0100

    Merge branch 'T_convolutions' into LatentModels

commit d912190095f0b006ecac4e16b7c84e980e176fc9
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 10:38:28 +0100

    removed unused variable

 QuantLib/ql/experimental/math/convolvedstudentt.hpp | 1 -
 1 file changed, 1 deletion(-)

commit abc0fd39241df3ada4596cea6433994e71322ced
Author: Pepe <japari@free.fr>
Date:   Tue, 25 Feb 2014 10:37:16 +0100

    Initial files

 QuantLib/QuantLib_vc9.vcproj                       |  24 +
 QuantLib/ql/experimental/credit/Makefile.am        |   1 +
 .../credit/defaultprobabilitylatentmodel.hpp       | 274 +++++++++++
 QuantLib/ql/experimental/math/Makefile.am          |   5 +
 .../ql/experimental/math/gaussiancopulapolicy.cpp  |  29 ++
 .../ql/experimental/math/gaussiancopulapolicy.hpp  | 105 ++++
 QuantLib/ql/experimental/math/latentmodel.hpp      | 544 +++++++++++++++++++++
 QuantLib/ql/experimental/math/tcopulapolicy.cpp    | 104 ++++
 QuantLib/ql/experimental/math/tcopulapolicy.hpp    | 150 ++++++
 9 files changed, 1236 insertions(+)

commit c9fc367c57c536e38f6295e91495c09c2a6ed10e
Merge: 8c6f844 098a56f
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Feb 2014 21:30:48 +0100

    Merge branch 'MultidimIntegrations' into LatentModels

commit 098a56fa519f37316f367c78c3f01eda98f0f6b1
Author: Pepe <japari@free.fr>
Date:   Mon, 24 Feb 2014 20:52:37 +0100

    Inital version. Functional, clean up pending.

 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/experimental/math/Makefile.am          |   2 +
 .../ql/experimental/math/multidimintegrator.cpp    |  36 ++
 .../ql/experimental/math/multidimintegrator.hpp    | 479 +++++++++++++++++++++
 QuantLib/ql/math/integrals/gaussianquadratures.hpp |   2 +-
 5 files changed, 526 insertions(+), 1 deletion(-)

commit cd800a1090ad320bf41aa8a6d5fe121628f81f9a
Merge: 20ec2e4 1551a64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Feb 2014 15:34:02 +0100

    Merge pull request #82.

commit 1551a648360dc0bec836da5629e325254349c202
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 24 Feb 2014 15:05:03 +0100

    add upper and lower bound to projected constraint

 QuantLib/ql/math/optimization/projectedconstraint.hpp | 6 ++++++
 1 file changed, 6 insertions(+)

commit 20ec2e468cf06f85e0d46e262e075840c274c8ef
Merge: e161241 76bfac4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Feb 2014 12:39:06 +0100

    Merge latest changes from R01040x-branch.

commit ffdaf1d98161e07c9c9867fe423d47284c4b3e2b
Merge: b13cf27 4c0bfd2
Author: Eric Ehlers <eric.ehlers@nazcatech.be>
Date:   Mon, 24 Feb 2014 11:59:50 +0100

    Merge branch 'master' of https://github.com/lballabio/quantlib

commit a3972725cf96f2b7e922ef41c7fd938050d3d42e
Author: Pepe <japari@free.fr>
Date:   Sun, 23 Feb 2014 20:38:00 +0100

    Odd Ts convolution

 QuantLib/QuantLib_vc9.vcproj                       |   8 +
 QuantLib/ql/experimental/math/Makefile.am          |   2 +
 .../ql/experimental/math/convolvedstudentt.cpp     | 192 +++++++++++++++++++++
 .../ql/experimental/math/convolvedstudentt.hpp     | 190 ++++++++++++++++++++
 .../ql/termstructures/defaulttermstructure.hpp     |   5 -
 QuantLib/ql/types.hpp                              |   4 +
 6 files changed, 396 insertions(+), 5 deletions(-)

commit cae794a46c151e5494e64eca39919a614c2b779f
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 22 Feb 2014 19:04:52 +0100

    added Folin's integration metods

 QuantLib/QuantLib_vc10.sln                   |  13 --
 QuantLib/ql/math/integrals/filonintegral.cpp |  87 +++++++++
 QuantLib/ql/math/integrals/filonintegral.hpp |  61 +++++++
 QuantLib/test-suite/quantlibtestsuite.cpp    | 260 +++++++++++++--------------
 4 files changed, 278 insertions(+), 143 deletions(-)

commit 0cc869b839ab7b7dbac9d87747d1d23e73c2cb57
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 22 Feb 2014 19:01:39 +0100

    added Folin's integration methods

 QuantLib/ql/math/integrals/Makefile.am  |  2 ++
 QuantLib/ql/math/integrals/all.hpp      |  1 +
 QuantLib/ql/processes/hestonprocess.cpp | 41 ++++++++++++++++-----------
 QuantLib/ql/processes/hestonprocess.hpp |  2 +-
 QuantLib/test-suite/hestonmodel.cpp     |  2 +-
 QuantLib/test-suite/integrals.cpp       | 50 ++++++++++++++++++++++++++++++++-
 QuantLib/test-suite/integrals.hpp       |  1 +
 7 files changed, 80 insertions(+), 19 deletions(-)

commit 28f7709e11c3b3ab01e1a2cf5b6526d7bc2db66f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 22 Feb 2014 07:56:11 +0100

    fix constraints

 QuantLib/ql/math/optimization/constraint.hpp | 32 +++++++++++---------
 QuantLib/ql/models/model.hpp                 | 44 +++++++++++++++++++++++++++-
 QuantLib/ql/models/parameter.hpp             |  1 +
 3 files changed, 62 insertions(+), 15 deletions(-)

commit 7edd3c0e9d452a11660b7b8651687ac8d44ee50c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Feb 2014 18:02:05 +0100

    fix default value for hard upper limit

 QuantLib/ql/cashflows/conundrumpricer.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit c5160f8268bdb9224e79b1562e3b6b7fe43f7e87
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Feb 2014 17:28:50 +0100

    remove floor from MakeCms,
    add hard upper limit to NumericHaganPricer,
    decrease maximum number of function evaluations in NumericHaganPricer's
    integration to avoid too many recursive calls in GaussKronrodAdaptive

 QuantLib/ql/cashflows/conundrumpricer.cpp | 14 +++++++++-----
 QuantLib/ql/cashflows/conundrumpricer.hpp |  6 ++++--
 QuantLib/ql/instruments/makecms.cpp       |  4 ++--
 3 files changed, 15 insertions(+), 9 deletions(-)

commit 6e4700336dc23dc7169aa978c2b58cfb24a8dc23
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 15 Feb 2014 09:38:26 +0100

    fix error message

 .../models/marketmodels/callability/nothingexercisevalue.cpp   | 10 +++++++---
 1 file changed, 7 insertions(+), 3 deletions(-)

commit 67a8aa0a15046e86ef696b1ef864cefd860bdeec
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 14 Feb 2014 17:47:44 +0100

    fix exercise time handling

 .../marketmodels/callability/collectnodedata.cpp   |  8 +++++---
 .../models/marketmodels/callability/lsstrategy.cpp |  4 ++--
 .../callability/nothingexercisevalue.cpp           | 22 +++++++++++++++++-----
 .../callability/nothingexercisevalue.hpp           |  4 +++-
 4 files changed, 27 insertions(+), 11 deletions(-)

commit 4c0bfd26c8cffd69b4edfd5896448acbb04f48b0
Merge: 9029a42 50e9ff7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 12 Feb 2014 15:08:42 +0100

    Merge pull request #76.

commit 9029a4243d63beeb2f47dc05654d0ece66aedb65
Merge: f8c2eda 15caa26
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 12 Feb 2014 15:08:09 +0100

    Merge pull request #75.

commit f8c2edae7fe15d317d855e65bf837e84857c2c82
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 12 Feb 2014 15:07:48 +0100

    Bump version number to 1.5.

 QuantLib/Announce.txt   | 4 ++--
 QuantLib/configure.ac   | 2 +-
 QuantLib/ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

commit 50e9ff722663416bb9b714961df24ecec38df30e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 12 Feb 2014 15:06:50 +0100

    Update project files.

 QuantLib/QuantLib.dev                  | 12 +++++++++++-
 QuantLib/QuantLib_vc10.vcxproj         |  1 +
 QuantLib/QuantLib_vc10.vcxproj.filters |  3 +++
 QuantLib/QuantLib_vc11.vcxproj         |  1 +
 QuantLib/QuantLib_vc11.vcxproj.filters |  3 +++
 QuantLib/QuantLib_vc8.vcproj           |  4 ++++
 QuantLib/ql/experimental/math/all.hpp  |  1 +
 7 files changed, 24 insertions(+), 1 deletion(-)

commit 4bd9b2c20bb4035430f39084f0f050b34554ab4b
Author: Pepe <japari@free.fr>
Date:   Sun, 9 Feb 2014 08:56:07 +0100

    Polar generation of T distributed random numbers

 QuantLib/QuantLib_vc9.vcproj                       | 26 +++---
 QuantLib/ql/experimental/math/Makefile.am          |  1 +
 QuantLib/ql/experimental/math/polarstudenttrng.hpp | 94 ++++++++++++++++++++++
 3 files changed, 110 insertions(+), 11 deletions(-)

commit 32a7fa39cd592d8614816ee0a3bc35e845b0e1c6
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 8 Feb 2014 15:57:25 +0100

    remove requirement between capacity/load and changeRate for a storage
    option

 .../fdsimpleextoustorageengine.cpp                 |  8 ++++---
 .../fdsimpleextoustorageengine.hpp                 |  4 ++--
 QuantLib/ql/instruments/vanillastorageoption.hpp   |  5 -----
 .../stepconditions/fdmsimplestoragecondition.cpp   | 26 +++++++++-------------
 4 files changed, 18 insertions(+), 25 deletions(-)

commit 15caa2634b9433612052c4d829c2bd15a7f7732d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 8 Feb 2014 08:16:52 +0100

    clean up code

 .../ql/termstructures/volatility/swaption/cmsmarket.cpp   | 15 +++++++++------
 1 file changed, 9 insertions(+), 6 deletions(-)

commit fe4e9f5ed46a88471b687210295ca585d1c3aa40
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 7 Feb 2014 18:30:05 +0100

    update only the relevant part of the parameter guess, add recalibration with termstructure for beta, add updateAfterRecalibration method which ensures correct betas in dense cube

 .../volatility/swaption/swaptionvolcube1.cpp       | 56 +++++++++++++++++-----
 .../volatility/swaption/swaptionvolcube1.hpp       |  3 ++
 2 files changed, 48 insertions(+), 11 deletions(-)

commit 11cf86a11a4c72fbdc642d4b809dc9da624f24eb
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 7 Feb 2014 18:28:36 +0100

    update cube after calibration of swap tenors

 QuantLib/ql/termstructures/volatility/swaption/cmsmarketcalibration.cpp | 1 +
 1 file changed, 1 insertion(+)

commit 185b1ae6d5630b2402cee98ad77a4c29c9997cb8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 5 Feb 2014 20:41:33 +0100

    open CmsMarket to other cms coupon pricers,
    also allow for pricers that do not have a
    mean reversion parameter if this parameter
    is not used for calibration

 QuantLib/ql/cashflows/conundrumpricer.hpp              |  2 +-
 QuantLib/ql/cashflows/couponpricer.hpp                 |  8 ++++++++
 QuantLib/ql/experimental/coupons/lineartsrpricer.cpp   |  2 ++
 QuantLib/ql/experimental/coupons/lineartsrpricer.hpp   |  2 +-
 .../termstructures/volatility/swaption/cmsmarket.cpp   | 18 ++++++++++++------
 .../termstructures/volatility/swaption/cmsmarket.hpp   |  4 ++--
 .../volatility/swaption/cmsmarketcalibration.cpp       | 15 ++++++++++-----
 7 files changed, 36 insertions(+), 15 deletions(-)

commit b237ec6a9e563e055c03bd04ffe6a5b9b7dcfeb7
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 4 Feb 2014 22:13:53 +0100

    improve integration boundaries

 QuantLib/ql/experimental/exoticoptions/analyticpdfhestonengine.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 8264832a9df06353ed516303c465da76c89af150
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 5 Nov 2013 17:08:13 +0100

    rename parameter

 QuantLib/ql/experimental/models/creditriskplus.cpp | 5 +++--
 QuantLib/ql/experimental/models/creditriskplus.hpp | 2 +-
 2 files changed, 4 insertions(+), 3 deletions(-)

commit 95144d939163c21a992291f1cb7880882b1bf253
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 2 Nov 2013 19:13:48 +0100

    replace tabs by spaces

 QuantLib/ql/experimental/models/Makefile.am | 36 ++++++++++++++---------------
 1 file changed, 18 insertions(+), 18 deletions(-)

commit 0816d6dd814427f23f95cd43daf742279eaead19
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 3 Oct 2013 20:03:32 +0200

    added credit risk plus tests

 QuantLib/test-suite/Makefile.am           |   1 +
 QuantLib/test-suite/creditriskplus.cpp    | 127 ++++++++++++++++++++++++++++++
 QuantLib/test-suite/creditriskplus.hpp    |  34 ++++++++
 QuantLib/test-suite/quantlibtestsuite.cpp |   2 +
 4 files changed, 164 insertions(+)

commit c2c69d5ce416dd766d68b99269667da92c6da15b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 3 Oct 2013 20:02:40 +0200

    added credit risk plus model

 QuantLib/ql/experimental/models/Makefile.am        |   2 +
 QuantLib/ql/experimental/models/all.hpp            |   1 +
 QuantLib/ql/experimental/models/creditriskplus.cpp | 227 +++++++++++++++++++++
 QuantLib/ql/experimental/models/creditriskplus.hpp |  98 +++++++++
 4 files changed, 328 insertions(+)
