http://cia.vc/stats/project/quantlib1152345171411NoneA free/open-source library for quantitative financeNoneQuantLibhttp://quantlib.orgNonePython Subversion client for CIA1.20from sfp-svn-1.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Mon, 13 Feb 2012 17:21:29 +0000noreply@sourceforge.net<E1Rwzaj-0004Si-PY@sfp-svn-1.v30.ch3.sourceforge.com>Mon, 13 Feb 2012 17:21:29 +0000quantlib18211lballabioFixed expiration check.
The check now uses the passed settlement date instead of
today's one.
Thanks to Dagur Gunnarsson for the heads-up. 33http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18211branches/R01020x-branch/QuantLib/ql/instruments/bond.cpp1329166111Python Subversion client for CIA1.20from sfp-svn-5.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Thu, 09 Feb 2012 13:58:26 +0000noreply@sourceforge.net<E1RvUW2-0002tS-45@sfp-svn-5.v30.ch3.sourceforge.com>Thu, 09 Feb 2012 13:58:26 +0000quantlib18210lballabioFixed a few miscellaneous warnings 49http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18210branches/R01020x-branch/QuantLib/test-suite/blackdeltacalculator.cppbranches/R01020x-branch/QuantLib/test-suite/swingoption.cppbranches/R01020x-branch/QuantLib/test-suite/timeseries.cpp1328808195Python Subversion client for CIA1.20from sfp-svn-5.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Thu, 09 Feb 2012 13:58:12 +0000noreply@sourceforge.net<E1RvUVo-0002sm-NV@sfp-svn-5.v30.ch3.sourceforge.com>Thu, 09 Feb 2012 13:58:12 +0000quantlib18209lballabioFixed initialization order 117http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18209branches/R01020x-branch/QuantLib/ql/experimental/inflation/cpicapfloortermpricesurface.cppbranches/R01020x-branch/QuantLib/ql/indexes/interestrateindex.cppbranches/R01020x-branch/QuantLib/ql/instruments/cpiswap.cppbranches/R01020x-branch/QuantLib/ql/termstructure.cppbranches/R01020x-branch/QuantLib/ql/termstructures/inflationtermstructure.cpp1328808172Python Subversion client for CIA1.20from sfp-svn-3.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Thu, 09 Feb 2012 13:56:29 +0000noreply@sourceforge.net<E1RvUU9-0000R9-UQ@sfp-svn-3.v30.ch3.sourceforge.com>Thu, 09 Feb 2012 13:56:29 +0000quantlib18208lballabioRemoved unused variables 610http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18208branches/R01020x-branch/QuantLib/Examples/MarketModels/MarketModels.cppbranches/R01020x-branch/QuantLib/ql/cashflows/cpicoupon.cppbranches/R01020x-branch/QuantLib/ql/cashflows/yoyinflationcoupon.cppbranches/R01020x-branch/QuantLib/ql/experimental/barrieroption/perturbativebarrieroptionengine.cppbranches/R01020x-branch/QuantLib/ql/experimental/commodities/energybasisswap.cppbranches/R01020x-branch/QuantLib/ql/experimental/commodities/energyvanillaswap.cppbranches/R01020x-branch/QuantLib/ql/experimental/credit/basket.cppbranches/R01020x-branch/QuantLib/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cppbranches/R01020x-branch/QuantLib/ql/experimental/inflation/interpolatedyoyoptionletstripper.hppbranches/R01020x-branch/QuantLib/ql/experimental/variancegamma/fftengine.cppbranches/R01020x-branch/QuantLib/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cppbranches/R01020x-branch/QuantLib/ql/instruments/inflationcapfloor.cppbranches/R01020x-branch/QuantLib/ql/math/optimization/linesearchbasedmethod.cppbranches/R01020x-branch/QuantLib/ql/math/optimization/spherecylinder.cppbranches/R01020x-branch/QuantLib/ql/models/shortrate/calibrationhelpers/swaptionhelper.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/credit/integralcdsengine.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/inflation/inflationcapfloorengines.cppbranches/R01020x-branch/QuantLib/ql/termstructures/inflation/inflationhelpers.cppbranches/R01020x-branch/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.cppbranches/R01020x-branch/QuantLib/test-suite/assetswap.cppbranches/R01020x-branch/QuantLib/test-suite/blackdeltacalculator.cppbranches/R01020x-branch/QuantLib/test-suite/cashflows.cppbranches/R01020x-branch/QuantLib/test-suite/compoundoption.cppbranches/R01020x-branch/QuantLib/test-suite/inflationcapfloor.cppbranches/R01020x-branch/QuantLib/test-suite/inflationcapflooredcoupon.cppbranches/R01020x-branch/QuantLib/test-suite/inflationcpiswap.cppbranches/R01020x-branch/QuantLib/test-suite/inflationvolatility.cppbranches/R01020x-branch/QuantLib/test-suite/margrabeoption.cppbranches/R01020x-branch/QuantLib/test-suite/swaption.cppbranches/R01020x-branch/QuantLib/test-suite/volatilitymodels.cpp1328808069Python Subversion client for CIA1.20from sfp-svn-1.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Wed, 08 Feb 2012 20:02:37 +0000noreply@sourceforge.net<E1RvDiv-0002va-Af@sfp-svn-1.v30.ch3.sourceforge.com>Wed, 08 Feb 2012 20:02:37 +0000quantlib18207klausspanderenuse public inheritance 56http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18207trunk/QuantLib/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpptrunk/QuantLib/ql/pricingengines/vanilla/analytichestonengine.cpp1328743611Python Subversion client for CIA1.20from sfp-svn-2.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Wed, 08 Feb 2012 16:09:44 +0000noreply@sourceforge.net<E1RvA5Y-00063s-2z@sfp-svn-2.v30.ch3.sourceforge.com>Wed, 08 Feb 2012 16:09:44 +0000quantlib18206nandoextended error message 28http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18206branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp1328729632Python Subversion client for CIA1.20from sfp-svn-6.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Tue, 07 Feb 2012 18:55:41 +0000noreply@sourceforge.net<E1RuqCb-0001KO-Jb@sfp-svn-6.v30.ch3.sourceforge.com>Tue, 07 Feb 2012 18:55:41 +0000quantlib18205nandoimproved error message 20http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18205branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp1328653159Python Subversion client for CIA1.20from sfp-svn-6.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Tue, 07 Feb 2012 18:52:24 +0000noreply@sourceforge.net<E1Ruq9Q-0001Gs-Lb@sfp-svn-6.v30.ch3.sourceforge.com>Tue, 07 Feb 2012 18:52:24 +0000quantlib18204nandoexploited 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 85http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18204branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.hpp1328652962Python Subversion client for CIA1.20from sfp-svn-1.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Tue, 07 Feb 2012 11:49:35 +0000noreply@sourceforge.net<E1RujYF-0006IR-5k@sfp-svn-1.v30.ch3.sourceforge.com>Tue, 07 Feb 2012 11:49:35 +0000quantlib18203nandoreview EUR bootstrapping:
- included new available market quotes
- minimized Interpolation usage
- added new quadratic synth depo extimation 97http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18203branches/R01020x-branch/QuantLibXL/Data/XLS/020_YieldCurveBootstrap/010_Quotes/EUR_010_DepoFRAFuturesQuotes.xlsbranches/R01020x-branch/QuantLibXL/Data/XLS/020_YieldCurveBootstrap/010_Quotes/EUR_015_SyntheticQuotes.xlsbranches/R01020x-branch/QuantLibXL/Data/XLS/020_YieldCurveBootstrap/020_RateHelpers/EUR_YCRH_Deposits.xlsbranches/R01020x-branch/QuantLibXL/Data/XLS/020_YieldCurveBootstrap/020_RateHelpers/EUR_YCRH_FRAs.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ManualFeed/EUR_Synth1YFRAQuotesFeed.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ManualFeed/EUR_SynthDepoQuotesFeed.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ManualFeed/EUR_TurnOfYearQuotesFeed.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ManualFeed/EUR_TurnOfYearQuotesFeedON.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ManualFeed/OISextrapolation.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ReutersFeed/EUR_InterestRateQuotesFeed.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketData/ReutersFeed/EUR_MMIndicesAddLastFixing.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC1MBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC1MOLDBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC1YBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC1YOLDBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC3MBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC3MOLDBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC6MBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YC6MOLDBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YCBondItaly.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YCBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YCONBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/MarketMetaData/EUR_YCSTDBootstrapping.xlsbranches/R01020x-branch/QuantLibXL/Workbooks/Tests/EUR_YC_Monitor.xls1328627583Python Subversion client for CIA1.20from sfp-svn-1.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Tue, 31 Jan 2012 15:56:21 +0000noreply@sourceforge.net<E1RsG4D-0002Uj-91@sfp-svn-5.v30.ch3.sourceforge.com>Tue, 31 Jan 2012 15:56:21 +0000quantlib18193nandorenamed includeReferenceDateCashFlows as includeReferenceDateEvents 220http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18193branches/R01020x-branch/QuantLib/ql/event.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/bond/discountingbondengine.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/capfloor/analyticcapfloorengine.cppbranches/R01020x-branch/QuantLib/ql/pricingengines/swap/discountingswapengine.cppbranches/R01020x-branch/QuantLib/ql/settings.cppbranches/R01020x-branch/QuantLib/ql/settings.hppbranches/R01020x-branch/QuantLib/test-suite/cashflows.cpp1328037354Python Subversion client for CIA1.20from sfp-svn-5.v30.ch3.sourceforge.com (ch3.sourceforge.net [216.34.181.60])
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for cia@cia.vc; Tue, 31 Jan 2012 15:43:25 +0000noreply@sourceforge.net<E1RsFrh-0002Gq-Sk@sfp-svn-5.v30.ch3.sourceforge.com>Tue, 31 Jan 2012 15:43:25 +0000quantlib18192nandocleaned up variable name 26http://quantlib.svn.sourceforge.net/quantlib/?view=rev&rev=18192branches/R01020x-branch/QuantLib/ql/event.cpp1328036580