QuantLib

Fixed expiration check. The check now uses the passed settlement date instead of...

Mon, 13 Feb 2012 20:48:31 +0000

Commit by lballabio :: r18211 /branches/R01020x-branch/QuantLib/ql/instruments/bond.cpp: (link)

Fixed expiration check.

The check now uses the passed settlement date instead of
today's one.

Thanks to Dagur Gunnarsson for the heads-up.

Fixed a few miscellaneous warnings

Thu, 09 Feb 2012 17:23:15 +0000

Commit by lballabio :: r18210 /branches/R01020x-branch/QuantLib/test-suite/ (3 files): (link)

Fixed a few miscellaneous warnings

Fixed initialization order

Thu, 09 Feb 2012 17:22:52 +0000

Commit by lballabio :: r18209 /branches/R01020x-branch/QuantLib/ql/ (5 files in 5 dirs): (link)

Fixed initialization order

Removed unused variables

Thu, 09 Feb 2012 17:21:09 +0000

Commit by lballabio :: r18208 /branches/R01020x-branch/QuantLib/ (30 files in 17 dirs): (link)

Removed unused variables

use public inheritance

Wed, 08 Feb 2012 23:26:51 +0000

Commit by klausspanderen :: r18207 /trunk/QuantLib/ql/ (2 files in 2 dirs): (link)

use public inheritance

extended error message

Wed, 08 Feb 2012 19:33:52 +0000

Commit by nando :: r18206 /branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp: (link)

extended error message

improved error message

Tue, 07 Feb 2012 22:19:19 +0000

Commit by nando :: r18205 /branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp: (link)

improved error message

exploited put-call parity in order 1) to check for solution existence 2) to...

Tue, 07 Feb 2012 22:16:02 +0000

Commit by nando :: r18204 /branches/R01020x-branch/QuantLib/ql/pricingengines/ (blackformula.cpp blackformula.hpp): (link)

exploited put-call parity in order
1) to check for solution existence
2) to always solve for out-of-the-money options which have greater vega and are numerically more robust to implied vol calculations

review EUR bootstrapping: - included new available market quotes - minimized...

Tue, 07 Feb 2012 15:13:03 +0000

Commit by nando :: r18203 /branches/R01020x-branch/QuantLibXL/ (24 files in 6 dirs): (link)

review EUR bootstrapping:

included new available market quotes
minimized Interpolation usage
added new quadratic synth depo extimation

fixed VBA reference

Tue, 07 Feb 2012 15:09:39 +0000

Commit by nando :: r18202 /branches/R01020x-branch/QuantLibXL/Workbooks/InterestRateDerivatives/VanillaSwap.xls: (link)

fixed VBA reference

added currentCurrency function

Tue, 07 Feb 2012 15:09:04 +0000

Commit by nando :: r18201 /branches/R01020x-branch/QuantLibXL/framework/addin/FixedIncome.xla: (link)

added currentCurrency function

None

Tue, 07 Feb 2012 15:00:47 +0000

Commit by nando :: r18200 /branches/R01020x-branch/QuantLibXL/Workbooks/InterestRateDerivatives/EurDepoSwapPricer.xls: (link)

No log message

in synch with R01020x-branch

Mon, 06 Feb 2012 13:06:06 +0000

Commit by nando :: r18199 /trunk/QuantLib/ql/patterns/lazyobject.hpp: (link)

in synch with R01020x-branch

added Luca Billi's comment about preventing infinite recursion

Mon, 06 Feb 2012 13:04:55 +0000

Commit by nando :: r18198 /branches/R01020x-branch/QuantLib/ql/patterns/lazyobject.hpp: (link)

added Luca Billi's comment about preventing infinite recursion

Mon, 06 Feb 2012 12:56:51 +0000

Commit by nando :: r18197 /trunk/QuantLib/ql/patterns/lazyobject.hpp: (link)

added Luca Billi's comment about preventing infinite recursion

added tolerance for duplicated x values with identical y values

Fri, 03 Feb 2012 18:27:07 +0000

Commit by nando :: r18196 /branches/R01020x-branch/QuantLibAddin/qlo/ (interpolation.cpp interpolation.hpp): (link)

added tolerance for duplicated x values with identical y values

performance improvement

Fri, 03 Feb 2012 18:22:26 +0000

Commit by nando :: r18195 /branches/R01020x-branch/QuantLib/ql/cashflow.cpp: (link)

performance improvement

ooops... fixed typo

Tue, 31 Jan 2012 19:31:02 +0000

Commit by nando :: r18194 /branches/R01020x-branch/QuantLib/ql/settings.hpp: (link)

ooops... fixed typo

renamed includeReferenceDateCashFlows as includeReferenceDateEvents

Tue, 31 Jan 2012 19:15:54 +0000

Commit by nando :: r18193 /branches/R01020x-branch/QuantLib/ (7 files in 5 dirs): (link)

renamed includeReferenceDateCashFlows as includeReferenceDateEvents

cleaned up variable name

Tue, 31 Jan 2012 19:03:00 +0000

Commit by nando :: r18192 /branches/R01020x-branch/QuantLib/ql/event.cpp: (link)

cleaned up variable name