commit 9ce350205de37908259b15250f15a5e7bc901f64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Jul 2015 17:22:41 +0200

    Avoid use of deprecated Boost macro.
    
    BOOST_MESSAGE will disappear in Boost 1.59.

 QuantLib/test-suite/barrieroption.cpp              |  2 +-
 QuantLib/test-suite/binaryoption.cpp               |  4 +--
 QuantLib/test-suite/catbonds.cpp                   | 10 +++---
 QuantLib/test-suite/doublebarrieroption.cpp        |  4 +--
 QuantLib/test-suite/doublebinaryoption.cpp         |  2 +-
 QuantLib/test-suite/gsr.cpp                        |  4 +--
 QuantLib/test-suite/inflation.cpp                  |  2 +-
 QuantLib/test-suite/interpolations.cpp             |  2 +-
 QuantLib/test-suite/markovfunctional.cpp           | 36 +++++++++++-----------
 .../piecewisezerospreadedtermstructure.cpp         | 20 ++++++------
 QuantLib/test-suite/quantooption.cpp               |  2 +-
 11 files changed, 44 insertions(+), 44 deletions(-)

commit dde6aab53c24dd4053e0fe74a6609a0535bad2ff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 7 Jul 2015 15:18:03 +0200

    Add support for VC++ 2015 (VC14).
    
    We had tried to support the next version, but we had assumed that
    the version number would be 13.  Microsoft decided it's 14 instead.

 QuantLib/Makefile.am       |   1 +
 QuantLib/QuantLib.props    |   2 +
 QuantLib/QuantLib_vc14.sln | 363 +++++++++++++++++++++++++++++++++++++++++++++
 QuantLib/ql/auto_link.hpp  |   2 +-
 4 files changed, 367 insertions(+), 1 deletion(-)

commit a36a54ff7b0e8ea41cada5cc3f43f81c05c83783
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 23 Jun 2015 11:37:53 +0200

    Bump version number up to 1.6.1.

 QuantLib/Announce.txt   | 4 ++--
 QuantLib/configure.ac   | 2 +-
 QuantLib/ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

commit 73e19576ed65927efe88e5e6e20052f6b1c7e5b8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 19 Jun 2015 16:05:45 +0200

    Update changelog.

 QuantLib/ChangeLog.txt | 43 +++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 43 insertions(+)

commit e0cd1680e0121dc429f537e2040b987c215e2e16
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Thu, 18 Jun 2015 15:27:22 +0200

    reordered lines

 QuantLib/QuantLib.vcxproj | 20 ++++++++++----------
 1 file changed, 10 insertions(+), 10 deletions(-)

commit be99751b36767f695454bced1ee9a51e57839b74
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Thu, 18 Jun 2015 14:55:09 +0200

    bug fix: correct vcxproj file

 QuantLib/QuantLib.vcxproj | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

commit cc43df511211554d66b5654df0c6575cb42e55eb
Merge: b2df9f9 6cb25f2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 16 Jun 2015 15:47:18 +0200

    Merge pull request #271.

commit 6cb25f2da26101bb13a060309ed5ddc032180554
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 16 Jun 2015 14:58:00 +0200

    fix piecewise yield curve test (fails e.g. on 16-Jun-2015)

 QuantLib/test-suite/piecewiseyieldcurve.cpp | 20 ++++++++++++++++++++
 1 file changed, 20 insertions(+)

commit b2df9f9a2d815a681eca6875d48150679d56e6f2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 12 Jun 2015 18:44:34 +0200

    Update changelog.

 QuantLib/ChangeLog.txt | 134 +++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 134 insertions(+)

commit 13d07bca5ef50f9304d3a82cb6f68691d3c1ca69
Merge: bd3f20d eb96428
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 12 Jun 2015 17:50:15 +0200

    Merge pull request #267.

commit bd3f20d70bc3b07b5eba7132e1bdc6c4c1e025c7
Merge: b69750f 7e752ba
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 12 Jun 2015 17:20:05 +0200

    Merge pull request #266.

commit b69750fac236a62bc7523b10c66e0a0ba67dd190
Merge: 0b992c3 d9b96cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 12 Jun 2015 16:46:54 +0200

    Merge pull request #265.

commit eb964280e763944617ce968d13d78721eb8c3cd5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 12 Jun 2015 16:38:52 +0200

    fix output of exit date (exit refers to the function and throws a warning "the address of 'void exit(int)' will always evaluate as 'true'")

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

commit 7e752bac01ba2940c546634d8827bef4a58fe113
Author: Johannes Göttker-Schnetmann <jschnetm@gmail.com>
Date:   Fri, 12 Jun 2015 16:23:08 +0200

    exponentially weighted Bessel function test did not work under 32 bit Linux

 QuantLib/test-suite/functions.cpp | 62 ++++++++++++++++++++++++---------------
 1 file changed, 38 insertions(+), 24 deletions(-)

commit d9b96cc97b37ce4700335945bc42fecc7edf5647
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 12 Jun 2015 15:19:14 +0200

    Add ad.hpp to distribution.

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

commit 0e019cbf1c2bd3696c8bce7e7328fb588a6d3479
Merge: a323bfe 639c619
Author: CompatibL <team@compatibl.com>
Date:   Fri, 12 Jun 2015 01:12:25 -0400

    Merge remote-tracking branch 'lballabio/master' into master-adjoint-ready

commit a323bfec356c5ade2f9dc31a275b5bab6a3339d7
Author: CompatibL <team@compatibl.com>
Date:   Fri, 12 Jun 2015 01:08:59 -0400

    Optionally define Real as TapeDouble to use TapeScript AAD.

 QuantLib/ql/ad.hpp        | 54 +++++++++++++++++++++++++++++++++++++++++++++++
 QuantLib/ql/qldefines.hpp | 26 ++++++++++++++++++++++-
 2 files changed, 79 insertions(+), 1 deletion(-)

commit 7944ba34356f8d4b2e475119d087e9f27e385b87
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Tue, 9 Jun 2015 17:32:50 +0200

    disabled /SAFESEH in order to avoid warnings with VC12

 QuantLib/Examples/BasketLosses/BasketLosses.vcxproj         | 6 ++++--
 QuantLib/Examples/BermudanSwaption/BermudanSwaption.vcxproj | 6 ++++--
 QuantLib/Examples/Bonds/Bonds.vcxproj                       | 6 ++++--
 QuantLib/Examples/CDS/CDS.vcxproj                           | 6 ++++--
 QuantLib/Examples/CallableBonds/CallableBonds.vcxproj       | 6 ++++--
 QuantLib/Examples/ConvertibleBonds/ConvertibleBonds.vcxproj | 6 ++++--
 QuantLib/Examples/DiscreteHedging/DiscreteHedging.vcxproj   | 6 ++++--
 QuantLib/Examples/EquityOption/EquityOption.vcxproj         | 6 ++++--
 QuantLib/Examples/FRA/FRA.vcxproj                           | 6 ++++--
 QuantLib/Examples/FittedBondCurve/FittedBondCurve.vcxproj   | 6 ++++--
 QuantLib/Examples/Gaussian1dModels/Gaussian1dModels.vcxproj | 6 ++++--
 QuantLib/Examples/LatentModel/LatentModel.vcxproj           | 6 ++++--
 QuantLib/Examples/MarketModels/MarketModels.vcxproj         | 6 ++++--
 QuantLib/Examples/MultidimIntegral/MultidimIntegral.vcxproj | 6 ++++--
 QuantLib/Examples/Replication/Replication.vcxproj           | 6 ++++--
 QuantLib/Examples/Repo/Repo.vcxproj                         | 6 ++++--
 QuantLib/Examples/Swap/Swap.vcxproj                         | 6 ++++--
 QuantLib/test-suite/testsuite.vcxproj                       | 6 ++++--
 18 files changed, 72 insertions(+), 36 deletions(-)

commit 1fdf43436e1aedd708f8430eb23308e9e397bcbd
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 9 Jun 2015 17:29:27 +0200

    fixed wrong trailing comma

 QuantLib/ql/time/calendars/russia.hpp | 5 ++---
 1 file changed, 2 insertions(+), 3 deletions(-)

commit 639c6199baa8c3d90ee8a3f76333df9e55418b44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 9 Jun 2015 09:49:23 +0200

    Update changelog.

 QuantLib/ChangeLog.txt           | 25 +++++++++++++++++++++++++
 QuantLib/Docs/pages/history.docs |  1 +
 QuantLib/News.txt                |  2 ++
 3 files changed, 28 insertions(+)

commit c05d5c942aff8b518ac0ba3756dc6daf8d3731e9
Merge: d8fb96f 8e5ba43
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 9 Jun 2015 09:46:38 +0200

    Merge pull request #259.

commit 8e5ba43a82656ebe875680ef9d617816c699cec0
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Tue, 9 Jun 2015 14:09:39 +0800

    Fix Chinese new year bug in 2010

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

commit d8fb96f759a78f9930fb0d4288ec36068b5e3b76
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 8 Jun 2015 15:42:10 +0200

    Update changelog.

 QuantLib/ChangeLog.txt | 68 ++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 68 insertions(+)

commit 359257290fdc6101c651b7e7cd6284ab100d0cce
Merge: 09b56e5 358f8f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 8 Jun 2015 15:28:34 +0200

    Merge pull request #256.

commit 24f8f913f9bbf6cb79107ab99fbde8c0c870126d
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 8 Jun 2015 12:37:15 +0200

    copyright updated

 QuantLib/ql/instruments/makeois.cpp         | 3 ++-
 QuantLib/ql/instruments/makevanillaswap.cpp | 3 ++-
 2 files changed, 4 insertions(+), 2 deletions(-)

commit 1f59dfc091cf730c269192e89a46881b064cbffd
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 8 Jun 2015 12:33:19 +0200

    fixed two typos and a bug

 QuantLib/ql/instruments/makeois.cpp         | 2 +-
 QuantLib/ql/instruments/makevanillaswap.cpp | 4 ++--
 2 files changed, 3 insertions(+), 3 deletions(-)

commit 2cb0ea614ac3d60e1b7dd944476b735869a20cd6
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 8 Jun 2015 12:27:36 +0200

    explicit handling of fixed leg market convention defaults

 QuantLib/ql/instruments/makevanillaswap.cpp | 49 +++++++++++++++++++----------
 1 file changed, 32 insertions(+), 17 deletions(-)

commit fb1d7376e364f74721bf7bb5b867c307b6f2f386
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 8 Jun 2015 11:43:09 +0200

    EOM Rule: smart default value for OIS, TRUE only if start date is EOM

 QuantLib/ql/instruments/makeois.cpp | 29 +++++++++++++++++------------
 QuantLib/ql/instruments/makeois.hpp |  2 +-
 2 files changed, 18 insertions(+), 13 deletions(-)

commit 358f8f4ee990f28dc3f2eb669895b80cde405b64
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Mon, 8 Jun 2015 11:00:18 +0200

    avoided degenerate schedules; ignored EndOfMonth for tenor below 1M

 QuantLib/ql/time/schedule.cpp | 33 ++++++++++++++++++++++-----------
 1 file changed, 22 insertions(+), 11 deletions(-)

commit fe43575a9858afcb9a154698c5ad5ecdb370e3f3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 4 Jun 2015 13:29:40 +0200

    Update changes and contributors.

 QuantLib/Authors.txt             |    1 +
 QuantLib/ChangeLog.txt           | 7870 +++++++++++++-------------------------
 QuantLib/Contributors.txt        |    5 +-
 QuantLib/Docs/pages/history.docs |  111 +-
 QuantLib/News.txt                |  179 +-
 5 files changed, 2873 insertions(+), 5293 deletions(-)

commit d4972a07b7a4155efe22403602af9c68cd1dd866
Merge: e2c59e9 8640bf8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 3 Jun 2015 11:37:57 +0200

    Merge pull request #252.

commit 8640bf8810b4b28523402ca96c2f17aeee81707e
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 1 Jun 2015 20:09:27 +0200

    bug fix: correct handle of End of Month rule

 QuantLib/ql/instruments/makeois.cpp         | 4 ++--
 QuantLib/ql/instruments/makevanillaswap.cpp | 2 +-
 2 files changed, 3 insertions(+), 3 deletions(-)

commit a450469c814c603dc1f3e6c90f701011b20b9df2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 1 Jun 2015 12:02:42 +0200

    Fix test message.

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

commit fb4a787439b599ffc4dc12a56eccfd95923d7e53
Merge: db783f1 fd9296e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 30 May 2015 22:49:52 +0200

    Merge pull request #251.

commit fd9296ed1113df366dcfb72667fa1d24c9f6f44c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 29 May 2015 21:34:44 +0200

    fix refinement scheme (one point was missing); relax requirement for parameter vector, preparing it to work with the swaption cube 1 which feeds extended vectors to its smile sections

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

commit f257b82bb719a9d9a305c1508469bfb0912a20e4
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 29 May 2015 21:31:30 +0200

    fix case where u0 is zero or one

 .../finitedifferences/meshers/concentrating1dmesher.cpp     | 13 ++++++++++---
 1 file changed, 10 insertions(+), 3 deletions(-)

commit db783f1dd055601cefcb90e7ef45e6a8b73f06e9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 29 May 2015 15:26:55 +0200

    Fix and update copyright notices.

 QuantLib/Docs/pages/license.docs     | 12 +++++++-----
 QuantLib/LICENSE.TXT                 | 12 +++++++-----
 QuantLib/test-suite/quantooption.cpp |  2 +-
 3 files changed, 15 insertions(+), 11 deletions(-)

commit 7ba04f30747dc524cebdc71009c5d58bef440f31
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 28 May 2015 15:04:29 +0200

    Fix a few Doxygen commands.

 QuantLib/ql/experimental/barrieroption/doublebarrieroption.hpp      | 2 +-
 .../ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp  | 2 +-
 QuantLib/ql/experimental/credit/gaussianlhplossmodel.hpp            | 6 +++---
 QuantLib/ql/experimental/credit/saddlepointlossmodel.hpp            | 2 +-
 QuantLib/ql/experimental/finitedifferences/fdmdupire1dop.hpp        | 2 +-
 QuantLib/ql/experimental/volatility/svismilesection.hpp             | 2 +-
 QuantLib/ql/math/integrals/discreteintegrals.hpp                    | 2 +-
 7 files changed, 9 insertions(+), 9 deletions(-)

commit 2088c4a97c86b00321d75e5e559678eb260e33f9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 28 May 2015 12:51:04 +0200

    Prevent warnings on Clang.

 .../barrieroption/analyticdoublebarrierengine.cpp          | 14 ++++++++++++++
 QuantLib/ql/math/integrals/discreteintegrals.cpp           |  7 +++++++
 2 files changed, 21 insertions(+)

commit e50750679c06b8b651f692ca03f74dce54b10e57
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 17:35:12 +0200

    Remove unneeded calculations.

 .../ql/experimental/barrieroption/analyticdoublebarrierengine.cpp   | 6 ------
 1 file changed, 6 deletions(-)

commit d6d33c554d9f57f6494e278405e79c979bd312e0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 13:21:58 +0200

    Ensure that all headers compile on their own.

 QuantLib/ql/experimental/volatility/zabrinterpolatedsmilesection.hpp | 3 +--
 QuantLib/ql/termstructures/volatility/volatilitytype.hpp             | 1 +
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 5cf83a96e5b2d49188b042df650bb0a4ec93a4f2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 26 May 2015 09:50:58 +0200

    Reordered header inclusions.

 QuantLib/ql/experimental/coupons/lognormalcmsspreadpricer.cpp     | 3 +--
 QuantLib/ql/experimental/coupons/strippedcapflooredcoupon.cpp     | 3 +--
 QuantLib/ql/experimental/finitedifferences/fdmextoujumpop.cpp     | 8 +++++---
 QuantLib/ql/experimental/volatility/zabr.cpp                      | 5 ++---
 QuantLib/ql/experimental/volatility/zabr.hpp                      | 2 +-
 QuantLib/ql/instruments/floatfloatswap.cpp                        | 2 +-
 .../swaption/gaussian1dfloatfloatswaptionengine.cpp               | 2 +-
 QuantLib/ql/termstructures/volatility/gaussian1dsmilesection.cpp  | 3 +--
 QuantLib/ql/termstructures/volatility/volatilitytype.hpp          | 2 ++
 9 files changed, 15 insertions(+), 15 deletions(-)

commit 9b9f80efa1ba60f1699d2a0123f9559ad5ecd667
Merge: 2a3bb74 9326048
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 12:00:14 +0200

    Merge pull request #244.

commit 93260482dcc72b02d5e0a7e2cdfe3366700b7857
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 10:42:45 +0200

    Moved futures type enumeration inside Futures struct.
    
    Leaving it at namespace level would have caused an IMM class
    and an IMM enumeration to coexist in the QuantLib namespace.
    (The same goes for ASX.)

 QuantLib/ql/instruments/futures.cpp              | 10 ++--
 QuantLib/ql/instruments/futures.hpp              | 22 ++++-----
 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 62 ++++++++++++------------
 QuantLib/ql/termstructures/yield/ratehelpers.hpp | 12 ++---
 QuantLib/test-suite/piecewiseyieldcurve.cpp      |  4 +-
 5 files changed, 55 insertions(+), 55 deletions(-)

commit 4730b987bacc72f32aa854a2dc03e10a1f74af25
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 10:08:43 +0200

    Update Dev-C++ and VC++8 projects.

 QuantLib/QuantLib.dev        | 42 +++++++++++++++++++++++++++++++++++++++++-
 QuantLib/QuantLib_vc8.vcproj | 16 ++++++++++++++++
 2 files changed, 57 insertions(+), 1 deletion(-)

commit 96b1e952cbad2aaca986cd8a0591f9765b40e12b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2015 10:05:34 +0200

    Update global directory headers.

 QuantLib/ql/instruments/all.hpp | 1 +
 QuantLib/ql/time/all.hpp        | 1 +
 2 files changed, 2 insertions(+)

commit 4e0f02a3a3348a667314969e8561a832c2b54120
Author: Eric Ehlers <eric.ehlers@nazcatech.be>
Date:   Tue, 26 May 2015 10:09:15 +0200

    fix for gcc

 QuantLib/ql/experimental/credit/basecorrelationlossmodel.hpp   |  5 +++--
 QuantLib/ql/experimental/credit/constantlosslatentmodel.hpp    |  7 +++----
 .../ql/experimental/credit/defaultprobabilitylatentmodel.hpp   | 10 +++++-----
 QuantLib/ql/experimental/credit/spotlosslatentmodel.hpp        |  5 +++--
 4 files changed, 14 insertions(+), 13 deletions(-)

commit 51419dec9ebe921aed120a204255bc3ee66208aa
Merge: 7d8ec58 b79f2bc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2015 16:50:28 +0200

    Merge pull request #245.

commit b79f2bcd4edb3d4f3a29020fb1c02aaceba3ff75
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2015 13:02:17 +0200

    Expand shortened variable name.

 QuantLib/ql/instruments/makeois.cpp              |  8 ++++----
 QuantLib/ql/instruments/makeois.hpp              |  4 ++--
 QuantLib/ql/instruments/makevanillaswap.cpp      |  8 ++++----
 QuantLib/ql/instruments/makevanillaswap.hpp      |  4 ++--
 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 18 +++++++++---------
 QuantLib/ql/termstructures/yield/ratehelpers.hpp |  2 +-
 6 files changed, 22 insertions(+), 22 deletions(-)

commit 7d8ec581ae5fac79b2f04e5d2741f74df824297f
Merge: a632737 98a094b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2015 11:24:11 +0200

    Merge pull request #216.

commit 98a094b53b6b837b38585a6b3a11916a7d31ef78
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2015 08:23:29 +0200

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

 QuantLib/QuantLib.dev             | 10 ++++++++++
 QuantLib/QuantLib.vcxproj         |  1 +
 QuantLib/QuantLib.vcxproj.filters |  3 +++
 QuantLib/QuantLib_vc8.vcproj      |  4 ++++
 QuantLib/QuantLib_vc9.vcproj      |  4 ++++
 5 files changed, 22 insertions(+)

commit 1ad12b7567cccb327d762c7518cbc3af7d426577
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2015 08:18:36 +0200

    Rename volatility nature to volatility type.

 .../models/atmadjustedsmilesection.hpp             |  4 +-
 .../ql/experimental/models/atmsmilesection.hpp     |  4 +-
 .../ql/experimental/models/kahalesmilesection.cpp  |  2 +-
 .../ql/experimental/models/kahalesmilesection.hpp  |  4 +-
 QuantLib/ql/termstructures/volatility/Makefile.am  |  2 +-
 QuantLib/ql/termstructures/volatility/all.hpp      |  2 +-
 .../volatility/optionlet/optionletstripper.cpp     | 10 ++---
 .../volatility/optionlet/optionletstripper.hpp     |  8 ++--
 .../volatility/optionlet/optionletstripper1.cpp    | 16 +++----
 .../volatility/optionlet/optionletstripper1.hpp    |  2 +-
 .../volatility/optionlet/optionletstripper2.cpp    |  2 +-
 .../ql/termstructures/volatility/smilesection.cpp  | 23 +++++-----
 .../ql/termstructures/volatility/smilesection.hpp  | 14 ++++---
 .../volatility/spreadedsmilesection.hpp            |  6 +--
 .../termstructures/volatility/volatilitynature.hpp | 49 ----------------------
 .../termstructures/volatility/volatilitytype.hpp   | 46 ++++++++++++++++++++
 16 files changed, 100 insertions(+), 94 deletions(-)

commit 54c3f6574223062beab6cfcddff965dbf39cb762
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 24 May 2015 14:37:16 +0200

    Remove adjusters for the time being.

 .../Examples/Gaussian1dModels/Gaussian1dModels.cpp | 73 +------------------
 QuantLib/ql/experimental/models/Makefile.am        |  2 -
 QuantLib/ql/experimental/models/adjusterhelper.cpp | 66 -----------------
 QuantLib/ql/experimental/models/adjusterhelper.hpp | 85 ----------------------
 QuantLib/ql/experimental/models/all.hpp            |  1 -
 .../models/gaussian1dfloatfloatswaptionengine.cpp  | 11 +--
 .../models/gaussian1dfloatfloatswaptionengine.hpp  | 10 +--
 .../ql/experimental/models/gaussian1dmodel.cpp     | 39 +++++-----
 .../ql/experimental/models/gaussian1dmodel.hpp     | 31 +++-----
 QuantLib/ql/experimental/models/gsr.cpp            | 84 +++++----------------
 QuantLib/ql/experimental/models/gsr.hpp            | 80 +++-----------------
 QuantLib/ql/experimental/models/gsrprocess.cpp     | 14 +---
 QuantLib/ql/experimental/models/gsrprocess.hpp     |  3 +-
 .../ql/experimental/models/markovfunctional.cpp    |  5 +-
 .../ql/experimental/models/markovfunctional.hpp    |  3 +-
 QuantLib/ql/models/calibrationhelper.hpp           | 13 +---
 QuantLib/ql/models/model.cpp                       | 30 +-------
 QuantLib/ql/models/model.hpp                       | 11 ---
 QuantLib/test-suite/gsr.cpp                        |  3 +-
 19 files changed, 78 insertions(+), 486 deletions(-)

commit 8165d5342a857a4d9ff8eaa4c9531cc80f1c78e9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 23 May 2015 20:15:09 +0200

    Remove non-portable calls to make_shared.
    
    When C++03 is used, make_shared accepts at most 9 arguments.
    Also, calls with no arguments sometimes break on VC++.

 QuantLib/Examples/Gaussian1dModels/Gaussian1dModels.cpp | 13 +++++--------
 1 file changed, 5 insertions(+), 8 deletions(-)

commit a632737109a06610936c71b08fc3c116f0af708f
Merge: b774805 0020ae8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2015 15:52:50 +0200

    Merge pull request #246.

commit b774805be5206eaa76460fd01250024ee038d817
Merge: 66a4da1 aad8725
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2015 14:58:43 +0200

    Merge pull request #234.

commit aad8725c3697d4c3957f78fb85c1882fb406430c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2015 14:01:16 +0200

    Try to clarify documentation further.

 QuantLib/ql/processes/blackscholesprocess.hpp | 31 +++++++++++++++++++--------
 1 file changed, 22 insertions(+), 9 deletions(-)

commit 66a4da1f217224be3f35ca8678fbfd4f97ed0a66
Merge: 0e2934f 2b15b95
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2015 13:22:20 +0200

    Merge pull request #230.

commit 0020ae80dbe179d5bf6e590c33805999221a5316
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 21 May 2015 18:09:12 +0200

    fixed unittest regression

 QuantLib/ql/experimental/math/numericaldifferentiation.cpp | 4 ++--
 QuantLib/test-suite/numericaldifferentiation.cpp           | 3 ++-
 2 files changed, 4 insertions(+), 3 deletions(-)

commit f3cd6f7223f2bdc0902a7d0639ed590e0e8f3518
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 21 May 2015 17:26:50 +0200

    fixed compilation error and warnings

 QuantLib/ql/experimental/math/numericaldifferentiation.cpp | 10 +++++-----
 QuantLib/test-suite/numericaldifferentiation.cpp           |  2 +-
 2 files changed, 6 insertions(+), 6 deletions(-)

commit f3fa16a86b1242c866447c8d5c312b43e184c3ca
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 21 May 2015 15:37:36 +0200

    added (new) missing files

 QuantLib/ql/instruments/Makefile.am | 2 ++
 QuantLib/ql/time/Makefile.am        | 2 ++
 2 files changed, 4 insertions(+)

commit 5237835a50e0742af81ccc844b4fbbd11bee603d
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 21 May 2015 15:34:36 +0200

    added (new) missing files

 QuantLib/QuantLib_vc9.vcproj        | 140 ++++++++++++++++++++----------------
 QuantLib/ql/instruments/futures.hpp |   2 +
 2 files changed, 80 insertions(+), 62 deletions(-)

commit 95799c4606cfc47c1be5ec72aac3f62a08d92c4a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2015 15:27:23 +0200

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

 QuantLib/QuantLib.dev                         | 20 ++++++++++++++++++++
 QuantLib/QuantLib.vcxproj                     |  2 ++
 QuantLib/QuantLib.vcxproj.filters             |  6 ++++++
 QuantLib/QuantLib_vc8.vcproj                  |  8 ++++++++
 QuantLib/QuantLib_vc9.vcproj                  |  8 ++++++++
 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 ++++++++
 10 files changed, 89 insertions(+), 1 deletion(-)

commit 0964b1f1510d3083d95670643b6b53358e05b30c
Merge: 3b76394 1d5d7bb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2015 13:12:30 +0200

    Merge latest changes from master.

commit 3b76394e4bbb533a16052d5d59b3421c4bc3e08f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2015 11:24:01 +0200

    Move new feature to experimental folder.

 QuantLib/ql/experimental/math/Makefile.am          |   2 +
 QuantLib/ql/experimental/math/all.hpp              |   1 +
 .../experimental/math/numericaldifferentiation.cpp | 113 +++++++++++++++++++++
 .../experimental/math/numericaldifferentiation.hpp |  86 ++++++++++++++++
 QuantLib/ql/math/Makefile.am                       |   2 -
 QuantLib/ql/math/numericaldifferentiation.cpp      | 113 ---------------------
 QuantLib/ql/math/numericaldifferentiation.hpp      |  86 ----------------
 QuantLib/test-suite/fdmlinearop.cpp                |   2 +-
 QuantLib/test-suite/numericaldifferentiation.cpp   |   2 +-
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +-
 10 files changed, 205 insertions(+), 204 deletions(-)

commit c47bcc5b8d352558778dcb16b128074da1424b6d
Merge: dc7eb82 2c26437
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 May 2015 14:12:52 +0200

    Merge pull request #181.

commit e5f0ff87fa4cb68ad8997fd5cf476078e94a2110
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 May 2015 12:47:50 +0200

    Extract MOEX rules where possible.

 QuantLib/ql/time/calendars/russia.cpp | 237 +++++++++++++++-------------------
 QuantLib/ql/time/calendars/russia.hpp |  29 ++---
 2 files changed, 114 insertions(+), 152 deletions(-)

commit 35a70d1d1d6a2a3ba6484328bbd48ff4095bf64c
Author: CompatibL <team@compatibl.com>
Date:   Sun, 17 May 2015 20:46:31 -0400

    Added 'using std::functioname' for several math functions.

 .../experimental/barrieroption/analyticdoublebarrierbinaryengine.cpp  | 4 +++-
 QuantLib/ql/experimental/coupons/lognormalcmsspreadpricer.cpp         | 2 ++
 QuantLib/ql/experimental/volatility/zabr.cpp                          | 2 ++
 QuantLib/ql/experimental/volatility/zabrsmilesection.hpp              | 2 ++
 QuantLib/ql/termstructures/volatility/gaussian1dsmilesection.cpp      | 3 +++
 5 files changed, 12 insertions(+), 1 deletion(-)

commit 2edc2ea8f80bc8dd8fb30a3b142ec9e0eb6657ed
Author: CompatibL <team@compatibl.com>
Date:   Sun, 17 May 2015 20:39:55 -0400

    Replaced double by Real.

 .../barrieroption/discretizeddoublebarrieroption.cpp         | 12 ++++++------
 QuantLib/ql/pricingengines/americanpayoffatexpiry.cpp        |  2 +-
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 2b15b95533ceca4c880b16151515348bcb5ca029
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 16 May 2015 20:16:31 +0200

    add test case for date constructor

 QuantLib/test-suite/schedule.cpp | 61 ++++++++++++++++++++++++++++++++++++++++
 QuantLib/test-suite/schedule.hpp |  1 +
 2 files changed, 62 insertions(+)

commit cf84f6ad6b14f6a957788ee53ba03ef349b27e88
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 16 May 2015 20:16:01 +0200

    revert change concerning buisness day convention (ensure backward compatibility)

 QuantLib/ql/time/schedule.cpp |  2 +-
 QuantLib/ql/time/schedule.hpp | 10 +++++-----
 2 files changed, 6 insertions(+), 6 deletions(-)

commit 5a7fb7afeb2a35beef76dda63cbb6222a4de9b84
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 15 May 2015 20:50:01 +0200

    remove variance method again

 .../ql/termstructures/volatility/equityfx/localconstantvol.hpp | 10 ----------
 1 file changed, 10 deletions(-)

commit d7de50af0260d05b7edd5cf0f2bd5bc2e4eb7156
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 15 May 2015 20:47:54 +0200

    use blackVolatility_ to compute variances

 QuantLib/ql/processes/blackscholesprocess.cpp      | 23 +++++++++-------------
 QuantLib/ql/processes/blackscholesprocess.hpp      |  4 +---
 .../volatility/equityfx/localvolcurve.hpp          | 13 ------------
 3 files changed, 10 insertions(+), 30 deletions(-)

commit dc7eb82856ed3c3c85d622d5dc4cd785a132eb34
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 May 2015 18:12:18 +0200

    Remove non-ASCII symbol.
    
    Solves #239.

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

commit c33f571bd8bceca2a11ac9683ba3d3822de6e6ab
Merge: 77d8009 52382f2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 May 2015 17:37:41 +0200

    Merge pull request #229.

commit 52382f26083b2c3d6ce685343261998b5b29ad49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 May 2015 16:55:25 +0200

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

 QuantLib/QuantLib.dev             | 218 ++++++++++----------
 QuantLib/QuantLib.vcxproj         |  99 +++++----
 QuantLib/QuantLib.vcxproj.filters | 208 +++++++++----------
 QuantLib/QuantLib_vc8.vcproj      | 408 +++++++++++++++++++-------------------
 QuantLib/QuantLib_vc9.vcproj      | 408 +++++++++++++++++++-------------------
 5 files changed, 652 insertions(+), 689 deletions(-)

commit 051b8be4c5ccc158ceab6d55b7b9796913cd6d89
Author: nesteruk <dmitrinesteruk@gmail.com>
Date:   Wed, 13 May 2015 20:33:03 +0300

    previous commit was wrong

 QuantLib/ql/time/calendars/russia.cpp | 56 +++++++++++++++++------------------
 1 file changed, 27 insertions(+), 29 deletions(-)

commit 59b4638bbc3fa93f1af8f5936f6e7e7c03dd3e1a
Author: nesteruk <dmitrinesteruk@gmail.com>
Date:   Wed, 13 May 2015 20:22:26 +0300

    Russia settlment calendar short-circuits on weekend days

 QuantLib/ql/time/calendars/russia.cpp | 158 +++++++++++++++++++---------------
 QuantLib/ql/time/calendars/russia.hpp |   5 +-
 2 files changed, 93 insertions(+), 70 deletions(-)

commit 7175be0e60624d997b5528daa94b59c90b9cf41c
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Wed, 13 May 2015 19:01:15 +0200

    bug fix: EOM rule must be applied only if instruments start date is EOM

 QuantLib/ql/instruments/makeois.cpp         | 2 +-
 QuantLib/ql/instruments/makevanillaswap.cpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit a5b71bea75b7f85d0e54d3bbf5029fbfdfc04c7d
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Wed, 13 May 2015 17:39:37 +0200

    use OIS EOM rule only if value date is an EOM date

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

commit 3dc3e44e9b54df11b02794fe02516684613574dd
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Wed, 13 May 2015 10:56:49 +0800

    China declares 70th anniversary of anti-Japan war
    
    It will change the China calendar accordingly. (New holiday and working
    weekend have to be added)

 QuantLib/ql/time/calendars/china.cpp | 3 +++
 QuantLib/ql/time/calendars/china.hpp | 1 +
 2 files changed, 4 insertions(+)

commit f5cf85d151bdfe034db0c7400227cc3fb850826f
Merge: b0dc6ea 039be7d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 May 2015 14:15:47 +0200

    Merge pull request #235.

commit 039be7d84db6473e89e5212940b986b8441557bd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 May 2015 13:31:50 +0200

    Restore name of protected data member.

 QuantLib/ql/models/model.cpp | 4 ++--
 QuantLib/ql/models/model.hpp | 6 +++---
 2 files changed, 5 insertions(+), 5 deletions(-)

commit b0dc6eacea16a2a0a3d6f93e1945f9706cc80dc1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 May 2015 12:08:18 +0200

    Add a few missing currencies.
    
    Thanks to Lucy King for the info.
    
    Closes #223.

 QuantLib/ql/currencies/asia.cpp   | 40 +++++++++++++++++++++++++++++++++++++++
 QuantLib/ql/currencies/asia.hpp   | 33 ++++++++++++++++++++++++++++++++
 QuantLib/ql/currencies/europe.cpp | 14 ++++++++++++++
 QuantLib/ql/currencies/europe.hpp | 11 +++++++++++
 4 files changed, 98 insertions(+)

commit 37d39c3f5b44611763c1355dea688f1cae8783e4
Author: maddazanzi <madda.zanzi@gmail.com>
Date:   Fri, 8 May 2015 18:52:38 +0200

    added futures test (both ASX and IMM, which were missing)

 QuantLib/test-suite/piecewiseyieldcurve.cpp | 121 +++++++++++++++++++++++++---
 1 file changed, 111 insertions(+), 10 deletions(-)

commit f98b699795d08ea19aeb2650bdf3c6d148176b8e
Author: maddazanzi <madda.zanzi@gmail.com>
Date:   Fri, 8 May 2015 18:34:48 +0200

    fixed IMM/ASX check bug

 QuantLib/ql/instruments/futures.hpp              |  4 ++--
 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 12 ++++++++++++
 2 files changed, 14 insertions(+), 2 deletions(-)

commit f4d9b5f0a272133ae17ccc0caa0c4d0086b2863b
Author: maddazanzi <madda.zanzi@gmail.com>
Date:   Fri, 8 May 2015 11:53:50 +0200

    added Australian Security Exchange futures

 QuantLib/QuantLib.vcxproj                        |   2 +
 QuantLib/QuantLib.vcxproj.filters                |   6 +
 QuantLib/ql/instruments/futures.cpp              |  38 +++++
 QuantLib/ql/instruments/futures.hpp              |  47 ++++++
 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 205 ++++++++++++++++-------
 QuantLib/ql/termstructures/yield/ratehelpers.hpp |  36 ++--
 6 files changed, 261 insertions(+), 73 deletions(-)

commit a45ab59350d559dcbe104a814f17d78ade3bf176
Author: maddazanzi <madda.zanzi@gmail.com>
Date:   Wed, 6 May 2015 17:20:30 +0200

    Australian Securities Exchange (ASX) date functions

 QuantLib/QuantLib.vcxproj         |   8 +-
 QuantLib/QuantLib.vcxproj.filters |  11 +-
 QuantLib/ql/time/asx.cpp          | 221 ++++++++++++++++++++++++++++++++++++++
 QuantLib/ql/time/asx.hpp          | 100 +++++++++++++++++
 QuantLib/test-suite/dates.cpp     |  75 +++++++++++++
 QuantLib/test-suite/dates.hpp     |   1 +
 6 files changed, 410 insertions(+), 6 deletions(-)

commit dcdba51b7008c70398576eafe3fb702d44353d3e
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 5 May 2015 17:01:07 +0200

    fixed days to spot for IborIndex-based SwapRateHelpers

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 55 +++++++++++++++---------
 QuantLib/ql/termstructures/yield/ratehelpers.hpp | 21 +++++----
 2 files changed, 47 insertions(+), 29 deletions(-)

commit d8bf2622405d4bed7f5e2adfcbdd6abb428d2bf2
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 5 May 2015 17:00:15 +0200

    cleaned up engine default and days to spot date

 QuantLib/ql/instruments/makeois.cpp         | 87 +++++++++++++++++++----------
 QuantLib/ql/instruments/makeois.hpp         | 12 +++-
 QuantLib/ql/instruments/makevanillaswap.cpp | 77 +++++++++++++++++--------
 QuantLib/ql/instruments/makevanillaswap.hpp |  3 +
 4 files changed, 121 insertions(+), 58 deletions(-)

commit 8a4e3ccc5e7e371d8d65120b8c6e7944e93db0e0
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 5 May 2015 16:56:50 +0200

    inlined few moethods

 QuantLib/ql/indexes/iborindex.cpp | 8 --------
 QuantLib/ql/indexes/iborindex.hpp | 9 +++++++++
 2 files changed, 9 insertions(+), 8 deletions(-)

commit e88a40249a710bfe6b2cdaedff01aecad03e250f
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 5 May 2015 11:15:56 +0200

    added constness to inspector

 QuantLib/ql/models/model.cpp | 64 +++++++++++++++++++++-----------------------
 QuantLib/ql/models/model.hpp | 40 ++++++++++++++++-----------
 2 files changed, 56 insertions(+), 48 deletions(-)

commit 0cfdc145ce3d7545d1e2d3f7aa9595ac8e06332c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 3 May 2015 21:39:43 +0200

    change documentation again, now it seems clearer

 QuantLib/ql/processes/blackscholesprocess.hpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 69a1c9047fa3ea7002ec4e5d2d70ccf94da4103a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 3 May 2015 21:22:37 +0200

    use exact drift and variance to evolve process in case of constant or strike independent volatility

 QuantLib/ql/processes/blackscholesprocess.cpp      | 46 +++++++++++++++-------
 QuantLib/ql/processes/blackscholesprocess.hpp      | 26 +++++++-----
 .../volatility/equityfx/localconstantvol.hpp       | 10 +++++
 .../volatility/equityfx/localvolcurve.hpp          | 13 ++++++
 4 files changed, 71 insertions(+), 24 deletions(-)

commit aa7bfa40d6833854e5cc19ead7055ee3156eec5d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 3 May 2015 15:44:06 +0200

    remove fullInterface_ member variable, which is not used any more

 QuantLib/ql/time/schedule.cpp | 6 ++----
 QuantLib/ql/time/schedule.hpp | 1 -
 2 files changed, 2 insertions(+), 5 deletions(-)

commit 022090866e8eada6340ba9d62a4e6b8b00e45c0d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 28 Apr 2015 21:08:07 +0200

    fix basket generation in case the pricing engine is used for several instruments

 QuantLib/ql/instruments/floatfloatswaption.cpp  | 4 +++-
 QuantLib/ql/instruments/nonstandardswaption.cpp | 4 +++-
 2 files changed, 6 insertions(+), 2 deletions(-)

commit 9c69bd9a5b74f173d14c2c80f89be08c2af22351
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 26 Apr 2015 20:10:17 +0200

    extend dates constructor

 QuantLib/ql/time/schedule.cpp | 97 ++++++++++++++++++++++++++-----------------
 QuantLib/ql/time/schedule.hpp | 49 ++++++++++++++--------
 2 files changed, 90 insertions(+), 56 deletions(-)

commit fe7a63170669675460d52f5b19d775652f250387
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Apr 2015 20:53:54 +0200

    move some classes from experimental to core

 QuantLib/configure.ac                              |    5 +-
 QuantLib/ql/Makefile.am                            |    2 +
 QuantLib/ql/cashflows/Makefile.am                  |    2 +
 QuantLib/ql/cashflows/all.hpp                      |    1 +
 QuantLib/ql/cashflows/lineartsrpricer.cpp          |  381 +++++++
 QuantLib/ql/cashflows/lineartsrpricer.hpp          |  190 ++++
 QuantLib/ql/experimental/Makefile.am               |    6 +-
 QuantLib/ql/experimental/all.hpp                   |    2 -
 QuantLib/ql/experimental/coupons/Makefile.am       |    2 -
 QuantLib/ql/experimental/coupons/all.hpp           |    1 -
 .../ql/experimental/coupons/lineartsrpricer.cpp    |  381 -------
 .../ql/experimental/coupons/lineartsrpricer.hpp    |  190 ----
 QuantLib/ql/experimental/exercise/Makefile.am      |   25 -
 QuantLib/ql/experimental/exercise/all.hpp          |    5 -
 .../ql/experimental/exercise/rebatedexercise.cpp   |   56 -
 .../ql/experimental/exercise/rebatedexercise.hpp   |   83 --
 QuantLib/ql/experimental/math/Makefile.am          |    2 -
 .../ql/experimental/math/adaptiverungekutta.hpp    |  261 -----
 QuantLib/ql/experimental/math/all.hpp              |    2 -
 QuantLib/ql/experimental/math/expm.cpp             |    2 +-
 .../ql/experimental/math/simulatedannealing.hpp    |  274 -----
 QuantLib/ql/experimental/models/Makefile.am        |   65 --
 QuantLib/ql/experimental/models/all.hpp            |   25 -
 .../models/atmadjustedsmilesection.cpp             |   52 -
 .../models/atmadjustedsmilesection.hpp             |   82 --
 .../ql/experimental/models/atmsmilesection.cpp     |   33 -
 .../ql/experimental/models/atmsmilesection.hpp     |   60 -
 .../experimental/models/basketgeneratingengine.cpp |  235 ----
 .../experimental/models/basketgeneratingengine.hpp |  234 ----
 QuantLib/ql/experimental/models/floatfloatswap.cpp |  549 ---------
 QuantLib/ql/experimental/models/floatfloatswap.hpp |  262 -----
 .../ql/experimental/models/floatfloatswaption.cpp  |   72 --
 .../ql/experimental/models/floatfloatswaption.hpp  |   86 --
 .../models/gaussian1dcapfloorengine.cpp            |  222 ----
 .../models/gaussian1dcapfloorengine.hpp            |   65 --
 .../models/gaussian1dfloatfloatswaptionengine.cpp  |  503 ---------
 .../models/gaussian1dfloatfloatswaptionengine.hpp  |  117 --
 .../models/gaussian1djamshidianswaptionengine.cpp  |  119 --
 .../models/gaussian1djamshidianswaptionengine.hpp  |   57 -
 .../ql/experimental/models/gaussian1dmodel.cpp     |  293 -----
 .../ql/experimental/models/gaussian1dmodel.hpp     |  287 -----
 .../models/gaussian1dnonstandardswaptionengine.cpp |  345 ------
 .../models/gaussian1dnonstandardswaptionengine.hpp |  102 --
 .../experimental/models/gaussian1dsmilesection.cpp |  110 --
 .../experimental/models/gaussian1dsmilesection.hpp |   76 --
 .../models/gaussian1dswaptionengine.cpp            |  196 ----
 .../models/gaussian1dswaptionengine.hpp            |   76 --
 .../models/gaussian1dswaptionvolatility.cpp        |   73 --
 .../models/gaussian1dswaptionvolatility.hpp        |   93 --
 QuantLib/ql/experimental/models/gsr.cpp            |  219 ----
 QuantLib/ql/experimental/models/gsr.hpp            |  197 ----
 QuantLib/ql/experimental/models/gsrprocess.cpp     |  409 -------
 QuantLib/ql/experimental/models/gsrprocess.hpp     |   92 --
 .../ql/experimental/models/kahalesmilesection.cpp  |  252 -----
 .../ql/experimental/models/kahalesmilesection.hpp  |  174 ---
 .../ql/experimental/models/markovfunctional.cpp    | 1183 --------------------
 .../ql/experimental/models/markovfunctional.hpp    |  479 --------
 QuantLib/ql/experimental/models/mfstateprocess.cpp |  101 --
 QuantLib/ql/experimental/models/mfstateprocess.hpp |   57 -
 .../ql/experimental/models/nonstandardswap.cpp     |  327 ------
 .../ql/experimental/models/nonstandardswap.hpp     |  193 ----
 .../ql/experimental/models/nonstandardswaption.cpp |   85 --
 .../ql/experimental/models/nonstandardswaption.hpp |   93 --
 .../ql/experimental/models/smilesectionutils.cpp   |  197 ----
 .../ql/experimental/models/smilesectionutils.hpp   |   57 -
 QuantLib/ql/experimental/volatility/zabr.cpp       |    2 +-
 .../experimental/volatility/zabrsmilesection.hpp   |    2 +-
 QuantLib/ql/instruments/Makefile.am                |    8 +
 QuantLib/ql/instruments/all.hpp                    |    4 +
 QuantLib/ql/instruments/floatfloatswap.cpp         |  549 +++++++++
 QuantLib/ql/instruments/floatfloatswap.hpp         |  262 +++++
 QuantLib/ql/instruments/floatfloatswaption.cpp     |   72 ++
 QuantLib/ql/instruments/floatfloatswaption.hpp     |   86 ++
 QuantLib/ql/instruments/nonstandardswap.cpp        |  327 ++++++
 QuantLib/ql/instruments/nonstandardswap.hpp        |  193 ++++
 QuantLib/ql/instruments/nonstandardswaption.cpp    |   85 ++
 QuantLib/ql/instruments/nonstandardswaption.hpp    |   93 ++
 QuantLib/ql/math/Makefile.am                       |    2 +-
 QuantLib/ql/math/all.hpp                           |    1 +
 QuantLib/ql/math/ode/Makefile.am                   |   20 +
 QuantLib/ql/math/ode/adaptiverungekutta.hpp        |  261 +++++
 QuantLib/ql/math/ode/all.hpp                       |    5 +
 QuantLib/ql/math/optimization/Makefile.am          |    1 +
 QuantLib/ql/math/optimization/all.hpp              |    1 +
 .../ql/math/optimization/simulatedannealing.hpp    |  274 +++++
 .../models/shortrate/onefactormodels/Makefile.am   |    6 +
 .../ql/models/shortrate/onefactormodels/all.hpp    |    3 +
 .../shortrate/onefactormodels/gaussian1dmodel.cpp  |  293 +++++
 .../shortrate/onefactormodels/gaussian1dmodel.hpp  |  287 +++++
 .../ql/models/shortrate/onefactormodels/gsr.cpp    |  219 ++++
 .../ql/models/shortrate/onefactormodels/gsr.hpp    |  197 ++++
 .../shortrate/onefactormodels/markovfunctional.cpp | 1183 ++++++++++++++++++++
 .../shortrate/onefactormodels/markovfunctional.hpp |  479 ++++++++
 QuantLib/ql/pricingengines/capfloor/Makefile.am    |    2 +
 QuantLib/ql/pricingengines/capfloor/all.hpp        |    1 +
 .../capfloor/gaussian1dcapfloorengine.cpp          |  222 ++++
 .../capfloor/gaussian1dcapfloorengine.hpp          |   65 ++
 QuantLib/ql/pricingengines/swaption/Makefile.am    |   10 +
 QuantLib/ql/pricingengines/swaption/all.hpp        |    5 +
 .../swaption/basketgeneratingengine.cpp            |  235 ++++
 .../swaption/basketgeneratingengine.hpp            |  234 ++++
 .../gaussian1dfloatfloatswaptionengine.cpp         |  503 +++++++++
 .../gaussian1dfloatfloatswaptionengine.hpp         |  117 ++
 .../gaussian1djamshidianswaptionengine.cpp         |  119 ++
 .../gaussian1djamshidianswaptionengine.hpp         |   57 +
 .../gaussian1dnonstandardswaptionengine.cpp        |  345 ++++++
 .../gaussian1dnonstandardswaptionengine.hpp        |  102 ++
 .../swaption/gaussian1dswaptionengine.cpp          |  196 ++++
 .../swaption/gaussian1dswaptionengine.hpp          |   76 ++
 QuantLib/ql/processes/Makefile.am                  |    4 +
 QuantLib/ql/processes/all.hpp                      |    2 +
 QuantLib/ql/processes/gsrprocess.cpp               |  409 +++++++
 QuantLib/ql/processes/gsrprocess.hpp               |   92 ++
 QuantLib/ql/processes/mfstateprocess.cpp           |  101 ++
 QuantLib/ql/processes/mfstateprocess.hpp           |   57 +
 QuantLib/ql/quantlib.hpp                           |    1 +
 QuantLib/ql/rebatedexercise.cpp                    |   56 +
 QuantLib/ql/rebatedexercise.hpp                    |   83 ++
 QuantLib/ql/termstructures/volatility/Makefile.am  |   10 +
 QuantLib/ql/termstructures/volatility/all.hpp      |    5 +
 .../volatility/atmadjustedsmilesection.cpp         |   52 +
 .../volatility/atmadjustedsmilesection.hpp         |   82 ++
 .../termstructures/volatility/atmsmilesection.cpp  |   33 +
 .../termstructures/volatility/atmsmilesection.hpp  |   60 +
 .../volatility/gaussian1dsmilesection.cpp          |  110 ++
 .../volatility/gaussian1dsmilesection.hpp          |   76 ++
 .../volatility/kahalesmilesection.cpp              |  252 +++++
 .../volatility/kahalesmilesection.hpp              |  174 +++
 .../volatility/smilesectionutils.cpp               |  197 ++++
 .../volatility/smilesectionutils.hpp               |   57 +
 .../termstructures/volatility/swaption/Makefile.am |    2 +
 .../ql/termstructures/volatility/swaption/all.hpp  |    1 +
 .../swaption/gaussian1dswaptionvolatility.cpp      |   73 ++
 .../swaption/gaussian1dswaptionvolatility.hpp      |   93 ++
 QuantLib/test-suite/cms.cpp                        |    2 +-
 QuantLib/test-suite/gsr.cpp                        |   14 +-
 QuantLib/test-suite/markovfunctional.cpp           |    8 +-
 QuantLib/test-suite/ode.cpp                        |    2 +-
 QuantLib/test-suite/quantlibtestsuite.cpp          |    6 +-
 139 files changed, 9880 insertions(+), 9915 deletions(-)

commit f37f752e06251a2d97e844901000a9a1834dc328
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Wed, 22 Apr 2015 09:14:55 +0200

    explicit error message

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

commit 836d4e76f07c139eb6f0f1c6dbdfbebac98fde31
Merge: 155da59 725ce18
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 21 Apr 2015 17:15:34 +0200

    Merge latest changes from Eric's tree.

commit 155da59e41c6a1f30fac1d6718fd1b57c72ea5ba
Merge: d24c930 3aaad24
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 21 Apr 2015 15:45:56 +0200

    Merge pull request #221.

commit 3aaad246a17c79a1886e92d8f89130b5a4a1cafa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 21 Apr 2015 15:13:44 +0200

    Add more details in comment.

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 8 +++-----
 1 file changed, 3 insertions(+), 5 deletions(-)

commit 55046ac0901b45c09c5501e80f39531b595bef3f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 20 Apr 2015 09:22:21 +0200

    Avoid compilation errors with Clang 3.5 and Boost 1.58.

 QuantLib/ql/experimental/volatility/zabr.cpp | 23 +++++++++--------------
 QuantLib/test-suite/integrals.cpp            | 18 ++++++++++++------
 2 files changed, 21 insertions(+), 20 deletions(-)

commit d401275a57a8df06af30beaed63ba0bc60808f17
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 18 Apr 2015 22:47:24 +0200

    numerical differentiation of arbitrary order and on irregular grids

 QuantLib/ql/math/Makefile.am                     |   2 +
 QuantLib/ql/math/numericaldifferentiation.cpp    | 113 ++++++++
 QuantLib/ql/math/numericaldifferentiation.hpp    |  86 ++++++
 QuantLib/test-suite/Makefile.am                  |   1 +
 QuantLib/test-suite/fdmlinearop.cpp              | 204 ++++++++++++--
 QuantLib/test-suite/fdmlinearop.hpp              |   3 +-
 QuantLib/test-suite/numericaldifferentiation.cpp | 340 +++++++++++++++++++++++
 QuantLib/test-suite/numericaldifferentiation.hpp |  38 +++
 QuantLib/test-suite/quantlibtestsuite.cpp        |   2 +
 9 files changed, 769 insertions(+), 20 deletions(-)

commit 48d8de81d108141a5e1e8e8232cd1f374bafd54b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Apr 2015 16:29:42 +0200

    Fix for compilation with Boost 1.58.

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

commit f92f906377d42d34429c4521c45bf056f962dc38
Merge: 2232686 890105f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Apr 2015 17:55:23 +0200

    Merge pull request #224.

commit 929cbfe94d4cf28d9463cc01ae291e80be3dfe53
Merge: c71c013 e225d60
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Apr 2015 10:01:22 +0200

    Merge pull request #220.

commit 890105fddfac28345d6f12d5bf2ed5b15e2d1fcc
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 13 Apr 2015 21:26:11 +0200

    fixed compilation bug if QL_NO_UBLAS_SUPPORT is set (thanks to Peter
    Caspers for highlighting the issue)

 QuantLib/ql/experimental/finitedifferences/fdmextoujumpop.cpp | 10 +++++++++-
 1 file changed, 9 insertions(+), 1 deletion(-)

commit c71c0135bfdc2864162492a45f7528cde6217801
Merge: 47e1537 28ae84a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 13 Apr 2015 12:50:26 +0200

    Merge pull request #219.

commit 47e15377dee770bf85231fcc3f7fe17cee9f3050
Merge: 0c8af78 fcd1685
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 13 Apr 2015 12:15:38 +0200

    Merge pull request #218.

commit d8af5f553ee3aa540b29c61cc6b1d471417afc2e
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 16:02:15 +0200

    Formatting cleaned up

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit cb13f7c5d9771d117495b62cb987b0b41252936f
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 15:19:00 +0200

    Convexity adjustment can be negative

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

commit e225d60584e573276698e37a15c26284b35483ad
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 15:17:41 +0200

    Bug fix: stub period in OIS must be upfront

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

commit 74b9ac7d356e8a36142478e3098fa349571236c3
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 16:02:15 +0200

    Formatting cleaned up

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit fea2ffa60306837c5e9b5f82ea262ea51e24e46b
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 15:19:00 +0200

    Convexity adjustment can be negative

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

commit 3577880f73f58eaa5dfc2b0586053bae52105d36
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 15:17:41 +0200

    Bug fix: stub period in OIS must be upfront

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

commit 28ae84aeb734862d43dac3f3496f67a3e1c61bfc
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 10 Apr 2015 17:55:44 +0200

    fixed bug: european bonds are now with 2 settlement days

 QuantLib/ql/instruments/bonds/btp.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 657578c8382ca2f9a09e914f8f30f2a9c1286991
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Apr 2015 17:49:52 +0200

    add adjusters to example, reformat the source code a bit

 .../Examples/Gaussian1dModels/Gaussian1dModels.cpp | 151 ++++++++++++++++-----
 1 file changed, 114 insertions(+), 37 deletions(-)

commit 2e89bee6c471fbd0301e4de564f9d370ac45ed5f
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 10 Apr 2015 17:39:41 +0200

    revert to Luigi's master

 QuantLib/ql/cashflows/cashflows.cpp | 234 +++++++++++++++++-------------------
 QuantLib/ql/cashflows/cashflows.hpp |  26 +---
 2 files changed, 110 insertions(+), 150 deletions(-)

commit 44baca5571565ad225b41f17db02b754b96d5ff4
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Fri, 10 Apr 2015 11:57:48 +0200

    round up size instead of round down

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

commit fcd16850b2d3d2a9231e1caf2b9659c7d96d39f2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 9 Apr 2015 19:05:45 +0200

    add lm with cost function's jacobian to test suite

 QuantLib/test-suite/optimizers.cpp | 12 +++++++++++-
 1 file changed, 11 insertions(+), 1 deletion(-)

commit c0dfd165ad304a01c52314794dc2fef369047fc2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 9 Apr 2015 19:05:20 +0200

    add option to use the cost function's jacobian method

 .../ql/math/optimization/levenbergmarquardt.cpp    | 40 ++++++++++++++++++----
 .../ql/math/optimization/levenbergmarquardt.hpp    | 22 +++++++++++-
 QuantLib/ql/math/optimization/lmdif.cpp            | 10 ++++--
 QuantLib/ql/math/optimization/lmdif.hpp            |  4 ++-
 4 files changed, 65 insertions(+), 11 deletions(-)

commit bb84225724654420cbfc60ed1c9bd8b0de0f153a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 9 Apr 2015 19:04:52 +0200

    add jacobian and jacobianValues methods to cost function, provide a default implementation

 QuantLib/ql/math/optimization/costfunction.hpp | 27 ++++++++++++++++++++++++++
 1 file changed, 27 insertions(+)

commit 033ce68de7f1e267f611643d2416cc10c83ac4c6
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 9 Apr 2015 18:22:17 +0200

    fixed unspecified date bug

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

commit daea7d7e431a71a3dd9f102e90b1212c1e176cc1
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 9 Apr 2015 18:20:20 +0200

    improved comment

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

commit 2e79abf70d0dbb1569e9595935ff0a8f769df364
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 9 Apr 2015 18:19:54 +0200

    give up copyright update

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

commit 1d94a283e573b96c825f4a4993e7e4cae1a07379
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Thu, 9 Apr 2015 18:03:07 +0200

    Warning avoided: using explicit cast

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

commit 382e053e8938026737bd57d2e3b43722b9e4c4fb
Merge: 240c5e2 e8cbb87
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 9 Apr 2015 16:02:07 +0200

    merged luigi's master

commit e8cbb87cdd6ac589c529b10b3cac699b3064a2db
Merge: 71d5e3e 7a7936e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 9 Apr 2015 14:12:02 +0200

    Merge pull request #214.

commit 71d5e3ec3bb02ff771247f2d61e9e2532c8cb9f3
Merge: 00b9e25 fdb55ca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 9 Apr 2015 13:38:21 +0200

    Merge pull request #213.

commit fdb55caa709867146a1aca1189b6e82965ac9a59
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 9 Apr 2015 13:02:35 +0200

    Remove commented-out code.

 QuantLib/ql/time/period.cpp    |  1 -
 QuantLib/test-suite/period.cpp | 13 -------------
 2 files changed, 14 deletions(-)

commit 00b9e2505a31a3ae6fdf22b07532c699d776197c
Merge: dc38601 169f6d2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 9 Apr 2015 11:35:48 +0200

    Merge pull request #211.

commit dc3860132cb496dc0cdfda729fc566f673977f53
Merge: 311f754 3495e02
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 8 Apr 2015 18:23:32 +0200

    Merge pull request #210.

commit 311f754cf5475b524e08dabfea5e2bda80f082e0
Merge: fb22191 6692c08
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 8 Apr 2015 17:11:13 +0200

    Merge latest changes from v1.5.x branch.

commit 6692c08adec7c5ec760fc36fbbe968cd1286f7a1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 8 Apr 2015 17:09:34 +0200

    Fix requirement on time steps.
    
    Closes #205.
    
    Thanks to GitHub user aml3 for the heads-up.

 QuantLib/ql/pricingengines/vanilla/binomialengine.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 0d2d3149c7c1e810d844c244d1a28b83d86e32c5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 3 Apr 2015 19:58:05 +0200

    make the do not throw policy of the optionlet stripper an option which defaults to the old behaviour

 .../volatility/optionlet/optionletstripper1.cpp    | 25 ++++++++++++----------
 .../volatility/optionlet/optionletstripper1.hpp    |  4 +++-
 2 files changed, 17 insertions(+), 12 deletions(-)

commit 90c429008c2245d5bf3f3d48c945733ea1795241
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 3 Apr 2015 19:50:21 +0200

    This adds shifted lognormal swaption volatilities (and making this consistent with Michael's recent contribution for the cap stripper) and some other things
    - add cms spread coupons to float float swap / swaption instrument and pricing engines
    - add new method to determine the integration bounds of the linear tsr pricer (similar to the Murex pricer)
    - add exercise probability computation to g1d swaption engines
    - don't stop the optionlet boostrap if one caplet can no be matched, set the corresponding volatility to zero instead and continue (it seems never desirable to throw, since even for arbitrage free market quotes the
    - allow for zero spread strikes in sabr swaption cube, this can be used to use fixed beta, nu, rho and recalibrate alpha to a realtime atm surface
    - add flat extrapolation option to swaption atm matrix
    - add adjuster to gsr model and corresponding calibration helper

 .../ql/experimental/coupons/lineartsrpricer.cpp    |  47 ++-
 .../ql/experimental/coupons/lineartsrpricer.hpp    |  28 +-
 .../coupons/lognormalcmsspreadpricer.cpp           |  25 +-
 QuantLib/ql/experimental/models/Makefile.am        |   2 +
 QuantLib/ql/experimental/models/adjusterhelper.cpp |  66 ++++
 QuantLib/ql/experimental/models/adjusterhelper.hpp |  85 ++++
 QuantLib/ql/experimental/models/all.hpp            |   1 +
 .../models/atmadjustedsmilesection.hpp             |   2 +
 .../ql/experimental/models/atmsmilesection.hpp     |   2 +
 .../experimental/models/basketgeneratingengine.cpp |  17 +-
 .../experimental/models/basketgeneratingengine.hpp |   5 +-
 QuantLib/ql/experimental/models/floatfloatswap.cpp |  39 +-
 .../models/gaussian1dfloatfloatswaptionengine.cpp  | 282 +++++++++++--
 .../models/gaussian1dfloatfloatswaptionengine.hpp  |  30 +-
 .../ql/experimental/models/gaussian1dmodel.cpp     | 439 ++++++++++-----------
 .../ql/experimental/models/gaussian1dmodel.hpp     | 404 ++++++++++---------
 .../models/gaussian1dnonstandardswaptionengine.cpp | 179 ++++++++-
 .../models/gaussian1dnonstandardswaptionengine.hpp |  13 +-
 .../models/gaussian1dswaptionengine.cpp            | 151 ++++++-
 .../models/gaussian1dswaptionengine.hpp            |  13 +-
 QuantLib/ql/experimental/models/gsr.cpp            | 378 ++++++++++--------
 QuantLib/ql/experimental/models/gsr.hpp            | 330 +++++++++-------
 QuantLib/ql/experimental/models/gsrprocess.cpp     |  20 +-
 QuantLib/ql/experimental/models/gsrprocess.hpp     |   5 +-
 .../ql/experimental/models/kahalesmilesection.cpp  |  66 ++--
 .../ql/experimental/models/kahalesmilesection.hpp  |  14 +-
 .../ql/experimental/models/markovfunctional.cpp    |  84 ++--
 .../ql/experimental/models/markovfunctional.hpp    |  31 +-
 .../ql/experimental/models/smilesectionutils.cpp   |  15 +-
 .../volatility/noarbsabrinterpolation.hpp          |  32 +-
 .../volatility/noarbsabrsmilesection.cpp           |  22 +-
 .../volatility/noarbsabrsmilesection.hpp           |   7 +-
 .../experimental/volatility/sviinterpolation.hpp   |  15 +-
 .../experimental/volatility/zabrinterpolation.hpp  |  11 +-
 .../ql/math/interpolations/sabrinterpolation.hpp   | 379 +++++++++---------
 .../ql/math/interpolations/xabrinterpolation.hpp   |  38 +-
 QuantLib/ql/models/calibrationhelper.hpp           |  15 +-
 QuantLib/ql/models/model.cpp                       |  32 +-
 QuantLib/ql/models/model.hpp                       |  13 +-
 .../calibrationhelpers/swaptionhelper.cpp          |  17 +-
 .../calibrationhelpers/swaptionhelper.hpp          |  11 +-
 QuantLib/ql/termstructures/volatility/Makefile.am  |   3 +-
 QuantLib/ql/termstructures/volatility/all.hpp      |   1 +
 .../termstructures/volatility/flatsmilesection.cpp |  11 +-
 .../termstructures/volatility/flatsmilesection.hpp |  10 +-
 .../volatility/interpolatedsmilesection.hpp        |  33 +-
 .../volatility/optionlet/optionletstripper.cpp     |  20 +-
 .../volatility/optionlet/optionletstripper.hpp     |  11 +-
 .../volatility/optionlet/optionletstripper1.cpp    |  35 +-
 .../volatility/optionlet/optionletstripper1.hpp    |   2 +-
 .../volatility/optionlet/optionletstripper2.cpp    |   2 +-
 QuantLib/ql/termstructures/volatility/sabr.cpp     |  34 ++
 QuantLib/ql/termstructures/volatility/sabr.hpp     |  19 +
 .../volatility/sabrinterpolatedsmilesection.cpp    |  17 +-
 .../volatility/sabrinterpolatedsmilesection.hpp    |  13 +-
 .../termstructures/volatility/sabrsmilesection.cpp |  43 +-
 .../termstructures/volatility/sabrsmilesection.hpp |  15 +-
 .../ql/termstructures/volatility/smilesection.cpp  |  68 +++-
 .../ql/termstructures/volatility/smilesection.hpp  |  16 +-
 .../volatility/spreadedsmilesection.hpp            |  10 +
 .../volatility/swaption/swaptionvolcube.cpp        |   4 +-
 .../volatility/swaption/swaptionvolcube.hpp        |  20 +
 .../volatility/swaption/swaptionvolcube1.hpp       |  42 +-
 .../volatility/swaption/swaptionvolcube2.cpp       |   8 +-
 .../volatility/swaption/swaptionvolmatrix.cpp      | 216 +++++++---
 .../volatility/swaption/swaptionvolmatrix.hpp      |  37 +-
 .../volatility/swaption/swaptionvolstructure.hpp   |   6 +
 .../termstructures/volatility/volatilitynature.hpp |  49 +++
 QuantLib/test-suite/gsr.cpp                        |   3 +-
 69 files changed, 2766 insertions(+), 1347 deletions(-)

commit 7a7936e4f871c3c744b68c8ef4670d148b078791
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 2 Apr 2015 22:09:17 +0200

    reorder members

 QuantLib/ql/termstructures/volatility/optionlet/optionletstripper.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e22167dfa6f6780ff2bb01afbad22f8349ea1b0f
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 18 Nov 2014 15:36:14 +0100

    removed obsolete check

 QuantLib/test-suite/period.cpp | 23 ++++++++++++-----------
 1 file changed, 12 insertions(+), 11 deletions(-)

commit 44ad3323370bc672bb97583bd44f99559f4db953
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 18:48:53 +0200

    updated copyright

 QuantLib/ql/time/period.cpp    | 1 +
 QuantLib/test-suite/period.cpp | 2 +-
 2 files changed, 2 insertions(+), 1 deletion(-)

commit a0b2304d6c90d9b4c6d0cb66d3d0c91b2e0df3d1
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 13 Oct 2014 18:11:05 +0200

    bug fix: 7 business days are not equal to 1 week

 QuantLib/ql/time/period.cpp | 10 +++-------
 1 file changed, 3 insertions(+), 7 deletions(-)

commit 240c5e2419ab57dda652ca704171511b97cc49e2
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 19:19:57 +0200

    reverted mistaken changes

 QuantLib/ql/instruments/bonds/btp.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e1c454067846b83d2d3857162b18cee53da32980
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 19:10:49 +0200

    cleaned up code

 QuantLib/ql/cashflows/cashflows.cpp | 10 ++++------
 1 file changed, 4 insertions(+), 6 deletions(-)

commit fb04b5df7375246e576f77c19d4fc67e9e53ba05
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 18:57:36 +0200

    updated copyright

 QuantLib/ql/cashflows/cashflows.cpp               | 2 +-
 QuantLib/ql/termstructures/iterativebootstrap.hpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 8ba289e6003eabce1b4bb9f3c6e90f1937eb4346
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 18:49:27 +0200

    cleaned up code

 QuantLib/ql/cashflows/cashflows.cpp | 78 +++++++++++++------------------------
 QuantLib/ql/cashflows/cashflows.hpp |  2 +-
 2 files changed, 28 insertions(+), 52 deletions(-)

commit 511b18858dc33d9bede6553e22cc1f0aff3bd9ef
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 18:48:53 +0200

    updated copyright

 QuantLib/ql/time/period.cpp    | 1 +
 QuantLib/test-suite/period.cpp | 2 +-
 2 files changed, 2 insertions(+), 1 deletion(-)

commit f10f4b92ef78292c55dc020d1105762d10fc7ba2
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 18:27:52 +0200

    revert useless and/or mistaken changes

 QuantLib/ql/instruments/bonds/btp.cpp   | 4 ++--
 QuantLib/ql/time/calendars/hongkong.cpp | 1 -
 QuantLib/ql/time/calendars/hongkong.hpp | 1 -
 QuantLib/ql/time/ecb.cpp                | 1 +
 4 files changed, 3 insertions(+), 4 deletions(-)

commit 169f6d29be823415c0a4da847c2396598d94941d
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 28 Nov 2014 19:56:24 +0100

    fixed bug where previous valid curve state is a bad guess for the new curve state, as it can happen in scenario analysis

 QuantLib/ql/termstructures/iterativebootstrap.hpp | 16 +++++++++++-----
 1 file changed, 11 insertions(+), 5 deletions(-)

commit 3495e029d780aa3679be862c074e5475dc594cbe
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 8 Jan 2015 10:56:51 +0100

    fixed bug: avoid to get fixings for dates later than evaluation date

 QuantLib/ql/quotes/lastfixingquote.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit 8c28bcd369dec18b2a3bff9d307a969204edc5a2
Merge: 101b513 9cab0ee
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 15:41:15 +0200

    merged from luigi

commit e0b7d074c9524b0e104858df4a02f1c8b06bfa57
Merge: 9cab0ee 0d91a8b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Apr 2015 13:12:11 +0200

    Merge pull request #207.

commit 6317141c0fdc36f94a4317825288c922f8918236
Merge: e076c35 e3ce55d
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 2 Apr 2015 12:26:29 +0200

    merged from paolo

commit 0d91a8b932559ab69fba92b6f4688ffd3873d855
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Apr 2015 11:23:04 +0200

    Remove unused inclusions.

 QuantLib/ql/cashflows/digitalcmscoupon.hpp                  | 2 --
 QuantLib/ql/cashflows/digitaliborcoupon.hpp                 | 2 --
 QuantLib/ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 2 --
 3 files changed, 6 deletions(-)

commit a89b5aecfe3e6270895ad35794d59263e5bd97ca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 2 Apr 2015 10:22:21 +0200

    Remove unneeded parentheses.

 QuantLib/ql/cashflows/digitalcmscoupon.hpp                  | 9 ++++-----
 QuantLib/ql/cashflows/digitaliborcoupon.hpp                 | 9 ++++-----
 QuantLib/ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 9 ++++-----
 3 files changed, 12 insertions(+), 15 deletions(-)

commit 05b4571a1ab8ac6cbe944f2c450b9b105906a118
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 1 Apr 2015 19:56:23 +0200

    fix default argument for msvc

 QuantLib/ql/cashflows/digitalcmscoupon.hpp         |  27 +--
 QuantLib/ql/cashflows/digitaliborcoupon.hpp        |  29 +--
 .../coupons/digitalcmsspreadcoupon.cpp             | 202 +++++++++++++++++++++
 .../coupons/digitalcmsspreadcoupon.hpp             | 114 ++++++++++++
 4 files changed, 345 insertions(+), 27 deletions(-)

commit 9cab0ee2c7870047da3c002b43e0dd52c171c087
Merge: e5ebb52 953ac87
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Apr 2015 12:41:14 +0200

    Merge pull request #202.

commit 953ac871b35ad431045bf8c0ca3c6aaca88fb128
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Apr 2015 12:06:23 +0200

    Restore anonymous namespaces.

 .../barrieroption/perturbativebarrieroptionengine.cpp            | 9 ++-------
 .../varianceoption/integralhestonvarianceoptionengine.cpp        | 7 +++----
 2 files changed, 5 insertions(+), 11 deletions(-)

commit dd8a7ce6b0b9ea048917f3cb14ce6ac7f39d3849
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Apr 2015 10:06:18 +0200

    Disable as yet unused macro.

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

commit e5ebb52dd00590eda402bde2b0e1238c3615ac85
Merge: 14eebea 4ea3e53
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 18:12:28 +0200

    Merge pull request #208.

commit 4ea3e537a6e367c8838e7fc5bd284df2d07ddd0a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 18:09:53 +0200

    Revert unwanted change.
    
    This reverts commit 8598c2e4fc349fda638a50808f13b0beb67a5004.

 QuantLib/QuantLib.vcxproj             | 16 ++++++++--------
 QuantLib/test-suite/testsuite.vcxproj | 16 ++++++++--------
 2 files changed, 16 insertions(+), 16 deletions(-)

commit 7f094b05a17b1798cd057510fafe95a249255048
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 17:33:55 +0200

    Simplified variable name.
    
    It was difficult to choose a variable name signifying "discount
    from value date to maturity", so I just bailed out. The definition
    and use are close anyway, so it should be clear what the variable is.

 QuantLib/ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 14eebeac8d11d31d9587bc6b6a5718f9125f415f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 15:11:23 +0200

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

 QuantLib/QuantLib.dev                         | 444 +++++++++++++++++++++++++-
 QuantLib/QuantLib.vcxproj                     |  36 ++-
 QuantLib/QuantLib.vcxproj.filters             | 108 ++++++-
 QuantLib/QuantLib_vc8.vcproj                  | 136 ++++++++
 QuantLib/QuantLib_vc9.vcproj                  | 136 ++++++++
 QuantLib/test-suite/testsuite.dev             |  82 ++++-
 QuantLib/test-suite/testsuite.vcxproj         |   4 +-
 QuantLib/test-suite/testsuite.vcxproj.filters |   8 +-
 QuantLib/test-suite/testsuite_vc8.vcproj      |  16 +
 QuantLib/test-suite/testsuite_vc9.vcproj      |  16 +
 10 files changed, 977 insertions(+), 9 deletions(-)

commit 45dfe02b12403d3622a646ac841a0dfd3ec0208c
Merge: e3b5807 edb45f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 12:38:39 +0200

    Merge pull request #199.

commit e3b5807e6c5e3e578e7aa46f75fd2aa1bc0ee6a2
Merge: 70a22fb ca49cdc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 10:44:14 +0200

    Merge pull request #198.

commit ca49cdc941f02321bebe926e2bce82d9985563c1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2015 09:29:43 +0200

    Add new files to autotools build.

 QuantLib/test-suite/Makefile.am | 1 +
 1 file changed, 1 insertion(+)

commit 70a22fb4fd860fb7fb0242a318f86c4859d18eed
Merge: 3090f1e b1fbb08
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 30 Mar 2015 15:44:19 +0200

    Merge pull request #197.

commit 3090f1efd31a4cc31e6106a91fa695de40e8a41f
Merge: b64fd6e 65134e8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 30 Mar 2015 13:46:33 +0200

    Merge pull request #194.

commit b64fd6e67bd5742c0940ba5ac0418b37cdc38082
Merge: 220452e a3fb7c8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 30 Mar 2015 12:26:16 +0200

    Merge pull request #183.

commit a3fb7c8787ec44e492fe489a0dc2b0ba871ddfb4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 30 Mar 2015 10:44:50 +0200

    Group related methods.

 QuantLib/ql/patterns/observable.hpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 12aa936f57e11abf945e41ce50ddf92256426858
Merge: b013903 4137e8b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2015 14:46:43 +0100

    Merge pull request #204.

commit b013903f50efce5a15710fcc91d6d966b675e52e
Merge: be6eaf4 b84e16c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2015 12:13:53 +0100

    Merge pull request #192.

commit be6eaf48b34a887135690918b6920c3bfce8c730
Merge: bcee85c 5648b91
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2015 11:10:32 +0100

    Merge pull request #188.

commit bcee85c90283dee0265fac0eec781dfe9227ef8c
Merge: b611eb0 329287d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2015 09:16:52 +0100

    Merge pull request #182.

commit b611eb0a738bab950d587f9346ffd50287325b4f
Merge: 496155b 9781131
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2015 08:22:53 +0100

    Merge pull request #167.

commit 9781131557ec78d2bd5e0fe0aea3d460743fd188
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 18:24:48 +0100

    Removed unused parameter from engine.

 .../ql/pricingengines/capfloor/bacheliercapfloorengine.cpp  |  9 +++------
 .../ql/pricingengines/capfloor/bacheliercapfloorengine.hpp  | 13 +++++--------
 .../volatility/optionlet/optionletstripper1.cpp             |  2 +-
 3 files changed, 9 insertions(+), 15 deletions(-)

commit c17d013fb95f7391bf33eb1b927466c62829dcde
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 18:05:43 +0100

    Reordered extra parameters for backward compatibility.

 .../volatility/optionlet/optionletstripper.cpp     | 23 +++++++++++++---------
 .../volatility/optionlet/optionletstripper.hpp     | 19 +++++++++---------
 .../volatility/optionlet/optionletstripper1.cpp    | 12 +++++------
 .../volatility/optionlet/optionletstripper1.hpp    |  4 ++--
 .../volatility/optionlet/optionletstripper2.cpp    |  5 +++--
 5 files changed, 33 insertions(+), 30 deletions(-)

commit e3ce55dfd40bd691f8dd9ab76d0010511b2d2a87
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Wed, 25 Mar 2015 15:25:31 +0100

    ECB: add end date for ECB OIS APR16

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

commit 496155b9464b9e3c1e9e18174323cf88420b6f5b
Merge: 8896049 5d8abf7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 15:33:45 +0100

    Merge pull request #152.

commit 5d8abf769e0ce290a31d39e1689595f8a88e6b32
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 14:56:26 +0100

    Moved tests to experimental section.

 QuantLib/test-suite/quantlibtestsuite.cpp | 7 ++++---
 QuantLib/test-suite/quantooption.cpp      | 7 ++++++-
 QuantLib/test-suite/quantooption.hpp      | 1 +
 3 files changed, 11 insertions(+), 4 deletions(-)

commit 8896049e62967ba2679f205d328b0654a38e49ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 14:34:58 +0100

    Increase tolerance in test.
    
    The previous value was slightly exceeded on March 25th, 2015.

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

commit f6d51bf19bc9607529373f4105cea82ddcc37eb8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 12:20:53 +0100

    Update copyright notices.

 .../experimental/barrieroption/analyticdoublebarrierbinaryengine.cpp   | 3 +--
 .../experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp   | 2 +-
 QuantLib/ql/experimental/barrieroption/analyticdoublebarrierengine.cpp | 2 +-
 QuantLib/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp | 2 +-
 QuantLib/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp | 2 +-
 .../ql/experimental/barrieroption/discretizeddoublebarrieroption.cpp   | 2 +-
 .../ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp   | 2 +-
 QuantLib/ql/experimental/barrieroption/doublebarrieroption.cpp         | 2 +-
 QuantLib/ql/experimental/barrieroption/doublebarrieroption.hpp         | 2 +-
 QuantLib/ql/experimental/barrieroption/doublebarriertype.cpp           | 2 +-
 QuantLib/ql/experimental/barrieroption/doublebarriertype.hpp           | 2 +-
 QuantLib/ql/experimental/barrieroption/quantodoublebarrieroption.cpp   | 2 +-
 QuantLib/ql/experimental/barrieroption/quantodoublebarrieroption.hpp   | 2 +-
 QuantLib/test-suite/doublebarrieroption.cpp                            | 2 +-
 QuantLib/test-suite/doublebarrieroption.hpp                            | 2 +-
 QuantLib/test-suite/doublebinaryoption.cpp                             | 2 +-
 QuantLib/test-suite/doublebinaryoption.hpp                             | 2 +-
 17 files changed, 17 insertions(+), 18 deletions(-)

commit 7c3cac5a7bb6b0f326acda839a81c97199005217
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 25 Mar 2015 12:09:13 +0100

    Moved new classes to experimental folder for the time being.

 QuantLib/QuantLib.vcxproj                          |  30 +-
 QuantLib/QuantLib.vcxproj.filters                  |  82 +++---
 QuantLib/QuantLib_vc8.vcproj                       | 108 +++----
 QuantLib/QuantLib_vc9.vcproj                       | 108 +++----
 QuantLib/ql/experimental/barrieroption/Makefile.am |  21 +-
 QuantLib/ql/experimental/barrieroption/all.hpp     |   9 +-
 .../analyticdoublebarrierbinaryengine.cpp          | 309 +++++++++++++++++++++
 .../analyticdoublebarrierbinaryengine.hpp          |  63 +++++
 .../barrieroption/analyticdoublebarrierengine.cpp  | 235 ++++++++++++++++
 .../barrieroption/analyticdoublebarrierengine.hpp  |  84 ++++++
 .../barrieroption/binomialdoublebarrierengine.hpp  | 170 ++++++++++++
 .../discretizeddoublebarrieroption.cpp             | 232 ++++++++++++++++
 .../discretizeddoublebarrieroption.hpp             |  96 +++++++
 .../barrieroption/doublebarrieroption.cpp          | 115 ++++++++
 .../barrieroption/doublebarrieroption.hpp          |  90 ++++++
 .../barrieroption/doublebarriertype.cpp            |  42 +++
 .../barrieroption/doublebarriertype.hpp            |  47 ++++
 .../barrieroption/quantodoublebarrieroption.cpp    |  72 +++++
 .../barrieroption/quantodoublebarrieroption.hpp    |  63 +++++
 .../vannavolgadoublebarrierengine.hpp              |   5 +-
 .../barrieroption/wulinyongdoublebarrierengine.hpp |   2 +-
 QuantLib/ql/instruments/Makefile.am                |   6 -
 QuantLib/ql/instruments/all.hpp                    |   3 -
 QuantLib/ql/instruments/doublebarrieroption.cpp    | 115 --------
 QuantLib/ql/instruments/doublebarrieroption.hpp    |  90 ------
 QuantLib/ql/instruments/doublebarriertype.cpp      |  42 ---
 QuantLib/ql/instruments/doublebarriertype.hpp      |  47 ----
 .../ql/instruments/quantodoublebarrieroption.cpp   |  72 -----
 .../ql/instruments/quantodoublebarrieroption.hpp   |  63 -----
 QuantLib/ql/pricingengines/barrier/Makefile.am     |  87 +++---
 QuantLib/ql/pricingengines/barrier/all.hpp         |  30 +-
 .../barrier/analyticdoublebarrierbinaryengine.cpp  | 309 ---------------------
 .../barrier/analyticdoublebarrierbinaryengine.hpp  |  63 -----
 .../barrier/analyticdoublebarrierengine.cpp        | 235 ----------------
 .../barrier/analyticdoublebarrierengine.hpp        |  84 ------
 .../barrier/binomialdoublebarrierengine.hpp        | 172 ------------
 .../barrier/discretizeddoublebarrieroption.cpp     | 234 ----------------
 .../barrier/discretizeddoublebarrieroption.hpp     |  96 -------
 QuantLib/test-suite/Makefile.am                    |   1 +
 QuantLib/test-suite/doublebarrieroption.cpp        |   7 +-
 QuantLib/test-suite/doublebinaryoption.cpp         |   6 +-
 QuantLib/test-suite/quantooption.cpp               |   4 +-
 42 files changed, 1872 insertions(+), 1877 deletions(-)

commit b637028be1ebe77e43cfb35c5fc94bc74f2f5170
Merge: d6f4c84 3c3828c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2015 18:26:54 +0100

    Merge pull request #195.

commit d6f4c84d6731ab96110370b733f07396d8db6e58
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2015 17:47:02 +0100

    Relax floating-point comparison in test.

 QuantLib/test-suite/swaptionvolatilitycube.cpp | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

commit 8598c2e4fc349fda638a50808f13b0beb67a5004
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Tue, 24 Mar 2015 10:48:24 +0100

    Rollback altra modifica
    
    Rollback altra modifica (confermata per sbaglio su branch principale)

 QuantLib/QuantLib.vcxproj             | 16 ++++++++--------
 QuantLib/test-suite/testsuite.vcxproj | 16 ++++++++--------
 2 files changed, 16 insertions(+), 16 deletions(-)

commit 91fcb9b21cef8401743454f580920ae695ce4e19
Merge: 42cd527 8c5434d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 16:48:38 +0100

    Merge pull request #168.

commit 181bbddb77cec432b4c3d55ed2caf43c7f1f6890
Author: rglarix <rghetta@larix.it>
Date:   Mon, 20 Oct 2014 15:29:18 +0200

    KI + KO (binary and binominal)

 QuantLib/ql/instruments/doublebarrieroption.cpp    |  12 +-
 QuantLib/ql/instruments/doublebarriertype.cpp      |   4 +
 QuantLib/ql/instruments/doublebarriertype.hpp      |   7 +-
 .../barrier/analyticdoublebarrierbinaryengine.cpp  | 231 ++++++++++++++++-----
 .../barrier/discretizeddoublebarrieroption.cpp     |  34 ++-
 QuantLib/test-suite/doublebinaryoption.cpp         | 132 +++++++++---
 6 files changed, 331 insertions(+), 89 deletions(-)

commit 17f91c185e788310625e7d8da514be4b906922f6
Author: rglarix <rghetta@larix.it>
Date:   Mon, 23 Mar 2015 12:10:07 +0100

    Derman-Kani adjustment for double barrier option

 .../barrier/analyticdoublebarrierbinaryengine.hpp  | 15 +++--
 .../barrier/binomialdoublebarrierengine.hpp        | 19 +++---
 .../barrier/discretizeddoublebarrieroption.cpp     | 78 ++++++++++++++++++++++
 .../barrier/discretizeddoublebarrieroption.hpp     | 36 ++++++++++
 QuantLib/test-suite/doublebarrieroption.cpp        | 21 +++++-
 5 files changed, 154 insertions(+), 15 deletions(-)

commit 7b54078748a63bada9d48d6c6ee631977cc406ab
Author: rglarix <rghetta@larix.it>
Date:   Mon, 23 Mar 2015 12:09:44 +0100

    binomial engine for double barriers

 QuantLib/QuantLib.vcxproj                          |   3 +
 QuantLib/QuantLib.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/binomialdoublebarrierengine.hpp        | 169 ++++++++++++++++
 .../barrier/discretizeddoublebarrieroption.cpp     | 124 ++++++++++++
 .../barrier/discretizeddoublebarrieroption.hpp     |  60 ++++++
 QuantLib/test-suite/doublebarrieroption.cpp        | 222 +++++++++++----------
 10 files changed, 515 insertions(+), 101 deletions(-)

commit 94912b9bca408cd4fe44340d70761e95af8ef494
Author: rglarix <rghetta@larix.it>
Date:   Mon, 23 Mar 2015 12:07:47 +0100

    binary/digital double barrier

 QuantLib/QuantLib.vcxproj                          |   2 +
 QuantLib/QuantLib.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/analyticdoublebarrierbinaryengine.cpp  | 180 ++++++++++++++++++++
 .../barrier/analyticdoublebarrierbinaryengine.hpp  |  58 +++++++
 QuantLib/test-suite/Makefile.am                    |   1 +
 QuantLib/test-suite/doublebinaryoption.cpp         | 182 +++++++++++++++++++++
 QuantLib/test-suite/doublebinaryoption.hpp         |  35 ++++
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +
 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 +
 16 files changed, 509 insertions(+)

commit 5ae01c95ed1eef8e94a1b83ffd1e306912c71551
Author: rglarix <rghetta@larix.it>
Date:   Wed, 15 Oct 2014 15:00:05 +0200

    generalize vanna-volga experimental double barrier engine for use with different base engines.
    
    Extends vanna-volga tests to Ikeda/Kunitomo engine.

 QuantLib/QuantLib.vcxproj                          |   1 -
 QuantLib/QuantLib.vcxproj.filters                  |   3 -
 QuantLib/QuantLib_vc8.vcproj                       |   4 -
 QuantLib/QuantLib_vc9.vcproj                       |   4 -
 QuantLib/ql/experimental/barrieroption/Makefile.am |   3 +-
 .../vannavolgadoublebarrierengine.cpp              | 343 -------------------
 .../vannavolgadoublebarrierengine.hpp              | 369 +++++++++++++++++++--
 .../barrieroption/vannavolgainterpolation.hpp      |  12 +-
 QuantLib/test-suite/doublebarrieroption.cpp        |  29 +-
 9 files changed, 373 insertions(+), 395 deletions(-)

commit 4bcfd945bd8adf155bfbbe7cd1c94e3e4c9ce985
Author: rglarix <rghetta@larix.it>
Date:   Sat, 21 Mar 2015 10:11:44 +0100

    fix bug with double Knockin options and rename experimental double barrier engine.
    
    Adds test with Haug values

 QuantLib/QuantLib.vcxproj                          |   6 +-
 QuantLib/QuantLib.vcxproj.filters                  |  10 +-
 QuantLib/QuantLib_vc8.vcproj                       |  12 +-
 QuantLib/QuantLib_vc9.vcproj                       |  12 +-
 QuantLib/ql/experimental/barrieroption/Makefile.am |   6 +-
 QuantLib/ql/experimental/barrieroption/all.hpp     |   3 +-
 .../barrieroption/analyticdoublebarrierengine.cpp  | 181 ----------------
 .../barrieroption/analyticdoublebarrierengine.hpp  |  71 -------
 .../barrieroption/doublebarrieroption.cpp          | 135 ------------
 .../barrieroption/doublebarrieroption.hpp          |  89 --------
 .../vannavolgadoublebarrierengine.cpp              |  27 ++-
 .../vannavolgadoublebarrierengine.hpp              |   4 +-
 .../barrieroption/wulinyongdoublebarrierengine.cpp | 179 ++++++++++++++++
 .../barrieroption/wulinyongdoublebarrierengine.hpp |  71 +++++++
 QuantLib/test-suite/barrieroption.cpp              | 210 ------------------
 QuantLib/test-suite/doublebarrieroption.cpp        | 236 ++++++++++++++++++++-
 QuantLib/test-suite/doublebarrieroption.hpp        |   2 +
 QuantLib/test-suite/quantlibtestsuite.cpp          |   1 +
 18 files changed, 513 insertions(+), 742 deletions(-)

commit 7ac3586b7e8f5a0bbdc9354b56b90961062ae8ae
Author: rglarix <rghetta@larix.it>
Date:   Wed, 15 Oct 2014 14:59:00 +0200

    double barrier options, including quanto, with tests

 QuantLib/QuantLib.vcxproj                          |   8 +
 QuantLib/QuantLib.vcxproj.filters                  |  24 ++
 QuantLib/QuantLib_vc8.vcproj                       |  32 +++
 QuantLib/QuantLib_vc9.vcproj                       |  32 +++
 QuantLib/ql/instruments/Makefile.am                |   6 +
 QuantLib/ql/instruments/all.hpp                    |   3 +
 QuantLib/ql/instruments/doublebarrieroption.cpp    | 117 ++++++++++
 QuantLib/ql/instruments/doublebarrieroption.hpp    |  90 +++++++
 QuantLib/ql/instruments/doublebarriertype.cpp      |  38 +++
 QuantLib/ql/instruments/doublebarriertype.hpp      |  42 ++++
 .../ql/instruments/quantodoublebarrieroption.cpp   |  72 ++++++
 .../ql/instruments/quantodoublebarrieroption.hpp   |  63 +++++
 QuantLib/ql/pricingengines/barrier/Makefile.am     |  82 +++----
 QuantLib/ql/pricingengines/barrier/all.hpp         |  27 +--
 .../barrier/analyticdoublebarrierengine.cpp        | 235 +++++++++++++++++++
 .../barrier/analyticdoublebarrierengine.hpp        |  84 +++++++
 QuantLib/test-suite/Makefile.am                    |   1 +
 QuantLib/test-suite/doublebarrieroption.cpp        | 259 +++++++++++++++++++++
 QuantLib/test-suite/doublebarrieroption.hpp        |  35 +++
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +
 QuantLib/test-suite/quantooption.cpp               | 134 +++++++++++
 QuantLib/test-suite/quantooption.hpp               |   1 +
 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 +
 26 files changed, 1358 insertions(+), 53 deletions(-)

commit 42cd5277c67a399d55756d2caa404e37d4ef57ed
Merge: dd308bf 237fc2e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 15:21:25 +0100

    Merge pull request #153.

commit 237fc2e56f5f870f780d2a8afc18dd70702ac271
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 14:24:20 +0100

    Avoid multiple-definition errors during linking.

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

commit 372cdfaacdeffb70c8e12ea51e404f684a0ec1dc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 13:37:25 +0100

    Removed C++11-ism.

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

commit dd308bf52c04cbc1375556d539fb7918d9cd78bd
Merge: b48b1d7 0b0f6c3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 13:29:46 +0100

    Merge pull request #140.

commit b48b1d78668a63a6d7217e85668f2c1c03fd7e6b
Merge: b2f14e8 e1a3c6f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 12:25:45 +0100

    Merge pull request #88.

commit e1a3c6fa3bb791799f7309a1cddb08578043aa24
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 11:30:27 +0100

    Move experimental pricer with the corresponding coupon.

 QuantLib/ql/cashflows/couponpricer.cpp             |  4 ++--
 QuantLib/ql/cashflows/couponpricer.hpp             | 20 -----------------
 .../ql/experimental/coupons/cmsspreadcoupon.hpp    | 26 ++++++++++++++++++++++
 .../coupons/lognormalcmsspreadpricer.hpp           |  2 +-
 4 files changed, 29 insertions(+), 23 deletions(-)

commit e8f7924424c6de2517a7b07e2142cd04cf1a313f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2015 11:16:54 +0100

    Add non-throwing check for native fixings.

 QuantLib/ql/experimental/coupons/swapspreadindex.hpp |  5 +----
 QuantLib/ql/index.cpp                                |  7 +++++++
 QuantLib/ql/index.hpp                                | 10 ++++++++--
 3 files changed, 16 insertions(+), 6 deletions(-)

commit b2f14e858c547a75787b7ceb2a2632c71d7ce38c
Merge: df2adec d0129f0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 22 Mar 2015 20:42:26 +0100

    Merge pull request #145.

commit 0b0f6c3130a06f30e27551415e2a4edad3c2ad3b
Author: rglarix <rghetta@larix.it>
Date:   Sat, 21 Mar 2015 08:14:09 +0100

    defaults to KI for compatibility with existing code

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

commit d60247e9404c16d97fa7ea9f9a8f858407873286
Author: rglarix <rghetta@larix.it>
Date:   Mon, 29 Sep 2014 16:02:29 +0200

    flag ki/ko on engine

 .../ql/pricingengines/americanpayoffatexpiry.cpp   |  5 +--
 .../ql/pricingengines/americanpayoffatexpiry.hpp   |  3 +-
 .../vanilla/analyticdigitalamericanengine.cpp      |  3 +-
 .../vanilla/analyticdigitalamericanengine.hpp      | 39 +++++++++++++++++++++-
 QuantLib/test-suite/digitaloption.cpp              | 14 +++++---
 5 files changed, 55 insertions(+), 9 deletions(-)

commit c775e3c1f8e7a06c125b41e5edb539c9fbb528a4
Author: rglarix <rghetta@larix.it>
Date:   Mon, 29 Sep 2014 15:59:32 +0200

    digital KO, preliminary

 .../ql/pricingengines/americanpayoffatexpiry.cpp   | 139 +++++++++++++--------
 .../ql/pricingengines/americanpayoffatexpiry.hpp   |  11 +-
 QuantLib/test-suite/digitaloption.cpp              | 101 ++++++++-------
 3 files changed, 147 insertions(+), 104 deletions(-)

commit 18d23294747a0ab176da82fe22cc0c190317f674
Author: CompatibL <team@compatibl.com>
Date:   Fri, 20 Mar 2015 18:00:12 -0400

    Replaced 1.0 by Real(1.0) and similar replacements.

 QuantLib/test-suite/catbonds.cpp                   | 30 +++++++++++-----------
 .../test-suite/linearleastsquaresregression.cpp    |  2 +-
 .../piecewisezerospreadedtermstructure.cpp         |  6 ++---
 QuantLib/test-suite/riskstats.cpp                  |  2 +-
 QuantLib/test-suite/stats.cpp                      |  4 +--
 QuantLib/test-suite/swingoption.cpp                |  2 +-
 QuantLib/test-suite/utilities.hpp                  |  2 +-
 7 files changed, 24 insertions(+), 24 deletions(-)

commit da3f3e1f786764b5b1d9cf4fac05ebfc6994a961
Author: CompatibL <team@compatibl.com>
Date:   Fri, 20 Mar 2015 17:55:36 -0400

    Brought STL math functions to global scope.
    
    This is done to avoid inserting std:: in front of the function
    in the body of QuantLib code.

 QuantLib/test-suite/barrieroption.cpp                        | 2 ++
 QuantLib/test-suite/blackdeltacalculator.cpp                 | 2 ++
 QuantLib/test-suite/functions.cpp                            | 2 ++
 QuantLib/test-suite/gsr.cpp                                  | 2 ++
 QuantLib/test-suite/inflation.cpp                            | 3 +++
 QuantLib/test-suite/inflationcapfloor.cpp                    | 2 ++
 QuantLib/test-suite/inflationcapflooredcoupon.cpp            | 2 ++
 QuantLib/test-suite/inflationcpiswap.cpp                     | 1 +
 QuantLib/test-suite/lowdiscrepancysequences.cpp              | 2 ++
 QuantLib/test-suite/marketmodel.cpp                          | 3 +++
 QuantLib/test-suite/marketmodel_smmcaplethomocalibration.cpp | 3 +++
 QuantLib/test-suite/markovfunctional.cpp                     | 2 ++
 QuantLib/test-suite/matrices.cpp                             | 2 ++
 QuantLib/test-suite/ode.cpp                                  | 3 +++
 QuantLib/test-suite/optimizers.cpp                           | 3 +++
 QuantLib/test-suite/overnightindexedswap.cpp                 | 2 ++
 QuantLib/test-suite/swapforwardmappings.cpp                  | 3 +++
 17 files changed, 39 insertions(+)

commit 8dcde4391dd521f6834ee562e5089ee72748d56a
Author: CompatibL <team@compatibl.com>
Date:   Fri, 20 Mar 2015 17:42:59 -0400

    Replaced if(intercept) by if(intercept != 0.0).
    
    The impact on both forward and reverse mode AD must be evaluated.

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

commit b7d6ad0b73be677a169fada129faf7b7ffe548cf
Author: CompatibL <team@compatibl.com>
Date:   Fri, 20 Mar 2015 17:14:59 -0400

    Replaced 1. by Real(1.) in std::accumulate.

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

commit da2ec82faa0bb6c9c1f6c5099233fc6980402a4d
Author: CompatibL <team@compatibl.com>
Date:   Fri, 20 Mar 2015 17:13:45 -0400

    Fixed error for 'volatile Real dist' by casting to Real.

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

commit b57b7ab9e5c0f9af42848d6d419a0f910e8b5971
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 20 Mar 2015 19:33:27 +0100

    update makefile and all include file

 QuantLib/ql/experimental/coupons/Makefile.am | 2 ++
 QuantLib/ql/experimental/coupons/all.hpp     | 1 +
 2 files changed, 3 insertions(+)

commit 575404aff0e4416d5f3b30c1d84dec5e97a63bc2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 20 Mar 2015 19:31:17 +0100

    add digital cms spread coupon

 QuantLib/ql/cashflows/couponpricer.cpp             |  11 ++
 .../coupons/digitalcmsspreadcoupon.cpp             | 202 +++++++++++++++++++++
 .../coupons/digitalcmsspreadcoupon.hpp             | 112 ++++++++++++
 3 files changed, 325 insertions(+)

commit 65134e81aea56ac962971cfe952e38a909b38475
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 20 Mar 2015 17:31:05 +0100

    fetch required points from underlying interpolation

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

commit df2adec133369af1487fc69b68971f5f6efcc11d
Merge: f344e6f b507868
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Mar 2015 17:26:29 +0100

    Merge changes from v1.5.x branch,

commit 7368ab843681d48e37215d34f42207e235ea79a8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 20 Mar 2015 06:40:22 +0100

    Replace empty shared pointer by default constructed DigitalReplication object. Currently an exception is thrown if this parameter is not given.

 QuantLib/ql/cashflows/digitalcmscoupon.hpp  | 6 ++++--
 QuantLib/ql/cashflows/digitaliborcoupon.hpp | 6 ++++--
 2 files changed, 8 insertions(+), 4 deletions(-)

commit eaf845e104fad1b031067eb36f88551d8f15ecc6
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 16:40:49 +0100

    Update jamshidianswaptionengine.cpp

 QuantLib/ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit e3bd97f27c3332729d0277acd4a107d30c8eb3e3
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 16:37:22 +0100

    Update jamshidianswaptionengine.cpp

 QuantLib/ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 6 ++----
 1 file changed, 2 insertions(+), 4 deletions(-)

commit 4137e8b2ecaed95fe6b79543402b8c7e6cd80d60
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 15:59:59 +0100

    Update jamshidianswaptionengine.cpp

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

commit 77f9a2c722bb801be0b00098b113bc9fd0dcb453
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 15:57:28 +0100

    Update jamshidianswaptionengine.cpp

 QuantLib/ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 6 ++----
 1 file changed, 2 insertions(+), 4 deletions(-)

commit cd862f35602e84fbd8aff6368c8871993a44883a
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 15:56:25 +0100

    Use "MultiProcessorCompilation" instead of /MP
    
    In the visual studio projects of QuantLib and test-suite the parameter
    for multi processor compilation is set using the additional option
    “/MP”. In older visual studio it was mandatory to do so, but in newer
    versions there is the a specific parameter “MultiProcessorCompilation”.
    Resulting command line will be the same as before.

 QuantLib/QuantLib.vcxproj             | 16 ++++++++--------
 QuantLib/test-suite/testsuite.vcxproj | 16 ++++++++--------
 2 files changed, 16 insertions(+), 16 deletions(-)

commit 2c280429275910832de55f055d45d9b20167f155
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Wed, 18 Mar 2015 12:24:56 +0100

    Small enhancemente jamshidian engine
    
    In the swaption jamshidian engine, in a recent implementation by Peter Caspers, there is a discountBond that is evaluated many times inside a loop, but does not depend on the index i.
    It could be evaluated only once.
    
    (open point wich variable name to choose, I proposed "discountBondMaturity", but "discountBond" or "endDiscount" could be more appropriate?)

 QuantLib/ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit b507868b2cd328cdc311e991dc339094f7bfd3b3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Mar 2015 09:46:26 +0100

    Fix day-count convention for Fed Funds rate.

 QuantLib/ql/indexes/ibor/fedfunds.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 8c5434da7f4496e4e4211c1d994df820d6886ee5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 15 Mar 2015 19:07:36 +0100

    limit nu and gamma

 QuantLib/ql/experimental/volatility/zabrinterpolation.hpp | 14 ++++++--------
 1 file changed, 6 insertions(+), 8 deletions(-)

commit afbd85780ed58b3bbd62321186a76bb7233c74fa
Merge: c0a1443 5bf8469
Author: CompatibL <team@compatibl.com>
Date:   Thu, 12 Mar 2015 09:01:43 -0400

    Merge remote-tracking branch 'lballabio/master' into master-adjoint-ready

commit edb45f4324ec25cbaabe19396ddadc23fd6e80d6
Author: Joseph C Wang <joequant@gmail.com>
Date:   Thu, 5 Mar 2015 23:19:42 +0800

    allow non-striked payoffs

 QuantLib/ql/pricingengines/vanilla/fdvanillaengine.cpp | 3 +--
 QuantLib/ql/pricingengines/vanilla/fdvanillaengine.hpp | 1 -
 2 files changed, 1 insertion(+), 3 deletions(-)

commit 3f5b19cd16630a2ef823da7b7bfab257db33aed5
Author: Francois Botha <igitur@gmail.com>
Date:   Fri, 6 Mar 2015 15:54:40 +0200

    Implement Nearest business day convention

 QuantLib/ql/time/businessdayconvention.cpp     |   2 +
 QuantLib/ql/time/businessdayconvention.hpp     |   7 +-
 QuantLib/ql/time/calendar.cpp                  |  11 +++
 QuantLib/test-suite/businessdayconventions.cpp | 129 +++++++++++++++++++++++++
 QuantLib/test-suite/businessdayconventions.hpp |  33 +++++++
 QuantLib/test-suite/quantlibtestsuite.cpp      |   2 +
 QuantLib/test-suite/testsuite.vcxproj          |   4 +-
 QuantLib/test-suite/testsuite.vcxproj.filters  |   8 +-
 8 files changed, 193 insertions(+), 3 deletions(-)

commit 6da0bfe1c2053b00e81081daaeea4aa781bfbdf2
Author: Francois Botha <igitur@gmail.com>
Date:   Thu, 5 Mar 2015 15:04:09 +0200

    Fix indentation

 QuantLib/ql/time/calendar.cpp | 16 ++++++++--------
 1 file changed, 8 insertions(+), 8 deletions(-)

commit 99e4cfbbb06bd6308c06e1cd8215f01e6646ddf8
Merge: 71e0bb1 3b3387e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 3 Mar 2015 17:08:45 +0100

    Merge latest changes from v1.5.x branch.

commit 3b3387e2d38cf60deb0dceb45922ec9de877572c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 3 Mar 2015 14:16:02 +0100

    Ensure that VisualStudioVersion is defined.

 QuantLib/QuantLib.props | 3 +++
 1 file changed, 3 insertions(+)

commit c0a1443c0c798bdee4f49150652b59270eb80003
Author: CompatibL <team@compatibl.com>
Date:   Fri, 27 Feb 2015 00:17:27 -0500

    Added std:: in front of sqrt in header.

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

commit bd6d51f470fee5730f11f7d2b5d3c11079003018
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 23:54:38 -0500

    Added std:: in front of sqrt in .cpp files.

 QuantLib/ql/experimental/barrieroption/vannavolgabarrierengine.cpp      | 1 +
 .../ql/experimental/barrieroption/vannavolgadoublebarrierengine.cpp     | 2 ++
 QuantLib/ql/experimental/credit/gaussianlhplossmodel.cpp                | 2 ++
 QuantLib/ql/experimental/exoticoptions/analyticcomplexchooserengine.cpp | 1 +
 .../experimental/exoticoptions/analyticholderextensibleoptionengine.cpp | 1 +
 QuantLib/ql/experimental/models/gsrprocess.cpp                          | 1 +
 QuantLib/ql/experimental/models/kahalesmilesection.cpp                  | 2 ++
 QuantLib/ql/experimental/risk/creditriskplus.cpp                        | 2 ++
 QuantLib/ql/models/shortrate/onefactormodels/hullwhite.cpp              | 1 +
 QuantLib/ql/pricingengines/vanilla/hestonexpansionengine.cpp            | 1 +
 QuantLib/ql/termstructures/volatility/smilesection.cpp                  | 2 ++
 11 files changed, 16 insertions(+)

commit 2f198e9c57d10d7347ac0ef2d30392664b01ebba
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 23:54:11 -0500

    Added std:: in front of sqrt in header.

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

commit 4e54fba347669e0aacdc52680c62dcd7a04b1e8c
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 18:26:47 -0500

    Inserted std:: in front of log.

 .../experimental/barrieroption/vannavolgainterpolation.hpp   | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit de712da48f0620b8d7902fc131ccbb8b1118646f
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 18:26:08 -0500

    Used Real(0.) to avoid errors in std::accumulate.
    
    Correction is also made in comments.

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

commit 75e2a05f7563cd793ef5e374a4f4b55b54ae549e
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 16:17:31 -0500

    Used Real(0.0) to avoid errors in std::accumulate.

 QuantLib/ql/experimental/credit/binomiallossmodel.hpp               | 6 +++---
 QuantLib/ql/experimental/credit/randomdefaultlatentmodel.hpp        | 2 +-
 QuantLib/ql/math/matrixutilities/pseudosqrt.cpp                     | 2 +-
 QuantLib/ql/models/marketmodels/callability/upperboundengine.cpp    | 2 +-
 .../ql/models/marketmodels/models/piecewiseconstantvariance.cpp     | 2 +-
 QuantLib/ql/pricingengines/asian/analytic_discr_geom_av_price.cpp   | 2 +-
 QuantLib/ql/pricingengines/asian/analytic_discr_geom_av_strike.cpp  | 2 +-
 7 files changed, 9 insertions(+), 9 deletions(-)

commit d0247536c9854e3975b88aa10b527dbb23f062ae
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 16:01:27 -0500

    Inserted std:: in front of pow.

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

commit a2d03d0d7ed8385553d448c72b1b515cc5e3c25a
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 15:34:00 -0500

    Used double instead of Real for constants.

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

commit 0ceba741263bf03e5b4df3963573a9a9d6834c61
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 15:33:48 -0500

    Corrected mismatch of Real/double in hpp vs. cpp.

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

commit 6348932146b03b25c9c87f5e904787069179b17a
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 14:30:33 -0500

    Added using std::exp/log/pow/..., in .cpp only.

 QuantLib/ql/experimental/models/basketgeneratingengine.cpp            | 3 +++
 QuantLib/ql/experimental/models/gaussian1dmodel.cpp                   | 2 ++
 .../ql/experimental/models/gaussian1dnonstandardswaptionengine.cpp    | 2 ++
 QuantLib/ql/experimental/models/gsrprocess.cpp                        | 3 +++
 QuantLib/ql/models/shortrate/onefactormodels/hullwhite.cpp            | 2 ++
 QuantLib/ql/pricingengines/vanilla/analyticgjrgarchengine.cpp         | 3 +++
 QuantLib/ql/pricingengines/vanilla/hestonexpansionengine.cpp          | 4 ++++
 7 files changed, 19 insertions(+)

commit c85a6a066f71b01a2e26081763d24f0a85736ccf
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 14:29:26 -0500

    Inserted std:: prefix in front of math functions.

 QuantLib/ql/experimental/models/basketgeneratingengine.hpp |  4 ++--
 QuantLib/ql/experimental/models/gsr.cpp                    |  2 +-
 QuantLib/ql/experimental/models/kahalesmilesection.hpp     | 12 ++++++------
 QuantLib/ql/experimental/models/markovfunctional.cpp       |  2 +-
 QuantLib/ql/experimental/risk/creditriskplus.cpp           |  2 +-
 QuantLib/ql/math/curve.hpp                                 |  2 +-
 QuantLib/ql/processes/hestonprocess.cpp                    |  2 +-
 QuantLib/ql/termstructures/volatility/smilesection.cpp     |  2 +-
 8 files changed, 14 insertions(+), 14 deletions(-)

commit 40da5b2727afdb87e898b90b8d9485c47513c97e
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 13:45:42 -0500

    Inserted using std::pow/log/exp on top of file.
    
    Math functions were used in global namespace instead of std namespace.

 QuantLib/ql/experimental/barrieroption/vannavolgabarrierengine.cpp    | 3 +++
 .../ql/experimental/exoticoptions/analyticcomplexchooserengine.cpp    | 4 ++++
 .../exoticoptions/analyticholderextensibleoptionengine.cpp            | 4 ++++
 .../experimental/exoticoptions/analytictwoassetcorrelationengine.cpp  | 2 ++
 4 files changed, 13 insertions(+)

commit b7c9d9493a33a179251a1433ff8bff77879ab3b2
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 11:22:49 -0500

    Used if(num != 0.0) in place of if(num) for Real.

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

commit 6188873e1a7e23fd7243d9b52bde0e8a6f4ea828
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:58:26 -0500

    Replaced double by Real.

 QuantLib/ql/math/matrixutilities/qrdecomposition.cpp | 8 ++++----
 QuantLib/ql/models/volatility/garch.cpp              | 6 +++---
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 43839b79134c9829f601e5fbe40b4871eaeb79ad
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:57:41 -0500

    Replaced double with Real in levenbergmarquardt.

 QuantLib/ql/math/optimization/levenbergmarquardt.cpp | 20 ++++++++++----------
 QuantLib/ql/math/optimization/levenbergmarquardt.hpp |  4 ++--
 2 files changed, 12 insertions(+), 12 deletions(-)

commit 24d4a88597aad3182d05775ae937aef4d6a21878
Author: CompatibL <team@compatibl.com>
Date:   Sun, 1 Mar 2015 03:57:35 -0500

    Double->Real in perturbativebarrieroptionengine.

 .../perturbativebarrieroptionengine.cpp            | 275 +++++++++++----------
 1 file changed, 138 insertions(+), 137 deletions(-)

commit 7674d094412495798718a70557f4ff774bd24952
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:56:11 -0500

    Switched from double to Real in lmdif.hpp/cpp.

 QuantLib/ql/math/optimization/lmdif.cpp | 58 ++++++++++++++++-----------------
 QuantLib/ql/math/optimization/lmdif.hpp | 28 ++++++++--------
 2 files changed, 43 insertions(+), 43 deletions(-)

commit 721098412996f4410f0fc25843aae16f3fe083aa
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:55:09 -0500

    Switched from double to Real arithmetics.

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

commit 6a9193148eddecce3df1e273e63c779ba54c6af8
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:54:55 -0500

    Used Real instead of double.

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

commit ab7c81b07fe8e160a09ec5348574d1908e27c3ce
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:54:38 -0500

    Must use Real(0.0) to initialize complex<Real>.

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

commit 93463db5a6639ce95a83bb669b91a055d3c42395
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:54:25 -0500

    Used Time instead of double.

 .../products/multistep/multistepperiodcapletswaptions.cpp             | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit b6281da83f6e91c55ededeea14dbbeed996bdded
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:54:12 -0500

    Added namespace to std::floor.

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

commit 9a265261cde94a38e222b2f423512b788527b903
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:53:58 -0500

    Used Time instead of double.

 .../experimental/varianceoption/integralhestonvarianceoptionengine.cpp  | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit fc0e9a117a88dd5881ef6e62959eb20586d5f4f6
Author: CompatibL <team@compatibl.com>
Date:   Sun, 1 Mar 2015 03:39:21 -0500

    Used Time instead of double.

 QuantLib/ql/experimental/credit/riskyassetswap.cpp                      | 2 +-
 .../experimental/varianceoption/integralhestonvarianceoptionengine.cpp  | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit e46a99fa2e6f98f7a4913ed27b72a28415043951
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:52:49 -0500

    Inserted namespace for std::floor.

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

commit 8ec19613ecca415b7cdfe6c700728374ca8cf0a3
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:52:30 -0500

    Double vs. Real in mcsimulation.hpp + 3 files.

 QuantLib/ql/pricingengines/mcsimulation.hpp | 2 +-
 QuantLib/test-suite/creditdefaultswap.cpp   | 4 ++--
 QuantLib/test-suite/distributions.cpp       | 2 +-
 QuantLib/test-suite/mersennetwister.cpp     | 2 +-
 4 files changed, 5 insertions(+), 5 deletions(-)

commit 5f52366a2921aea18786342c4fecf174c4f386cc
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:51:36 -0500

    Corrected call of MINPACK::lmdif to use Real.

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

commit 6a66781235481c89a8388b4ab1467bbca2bf16c9
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:51:26 -0500

    Namespace std:: is inserted in std::pow.

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

commit 1f492f0ebb7b99610b52747a0fc5dfc2b17bf1f2
Author: CompatibL <team@compatibl.com>
Date:   Sun, 1 Mar 2015 03:30:00 -0500

    Namespace std:: is specified.

 QuantLib/ql/experimental/risk/creditriskplus.cpp | 2 +-
 QuantLib/ql/math/copulas/plackettcopula.cpp      | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 868ebaeef983470c17dac34e505612b3edf68b85
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:48:24 -0500

    Changed double to Real.

 QuantLib/ql/experimental/models/mfstateprocess.cpp                      | 2 +-
 .../models/marketmodels/models/capletcoterminalswaptioncalibration.cpp  | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 1f84833f33228e954b6fff1a7fe9807183740136
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:48:14 -0500

    Double vs. Real in garch.cpp.

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

commit cd1beab57d5c19ad440ff48d976093dcd4df3fc4
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:48:02 -0500

    Double vs. Real in swaptionpseudojacobian.cpp.

 .../ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.cpp    | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 876a7b24a34eb5fea40d8f024c043372f1628961
Author: CompatibL <team@compatibl.com>
Date:   Sun, 1 Mar 2015 03:26:54 -0500

    Double vs. Real changes.

 .../products/multistep/multistepperiodcapletswaptions.cpp    |  2 +-
 .../ql/pricingengines/barrier/discretizedbarrieroption.cpp   | 12 ++++++------
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 50e27f41503402d7aeab0c78cdba6aab8e5924ac
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:47:09 -0500

    Double vs. Real in btp.cpp + 1 file.

 QuantLib/ql/models/calibrationhelper.cpp | 2 +-
 QuantLib/ql/models/volatility/garch.cpp  | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 5ca46d32a5c875e15b5917497e1dd4f0e15a31ef
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:46:54 -0500

    Resolved double vs. Real issues.

 .../marketmodels/products/multistep/multistepcoterminalswaps.cpp    | 2 +-
 .../marketmodels/products/multistep/multistepcoterminalswaps.hpp    | 4 ++--
 QuantLib/ql/pricingengines/mcsimulation.hpp                         | 6 +++---
 3 files changed, 6 insertions(+), 6 deletions(-)

commit 1288afdb611918971cb16b90d6d6fec361f111ae
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:46:32 -0500

    Resolved double vs. Real issues.

 .../ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp   | 6 +++---
 QuantLib/ql/experimental/models/mfstateprocess.cpp                  | 2 +-
 QuantLib/ql/legacy/libormarketmodels/lfmhullwhiteparam.cpp          | 2 +-
 QuantLib/ql/math/optimization/bfgs.cpp                              | 4 ++--
 4 files changed, 7 insertions(+), 7 deletions(-)

commit c378f31c53446b217c40e71187d948d156b0f891
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:46:10 -0500

    Resolved double vs. Real issues and set namespace.
    
    Using anonymous namespace required using namespace prefix for
    Real, instead QuantLib namespace was set. It has no effect
    on externally visible symbols as it is defined inside the
    .cpp file.

 .../integralhestonvarianceoptionengine.cpp         | 40 +++++++++++-----------
 1 file changed, 20 insertions(+), 20 deletions(-)

commit ced523c700b7f316e48c579bd6c6e75651bb5368
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:45:14 -0500

    Added std namespace in front of std::floor/ceil.

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

commit d3e24e446772c278aa8c694327b8fec27274b96c
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:43:35 -0500

    Converted double to Real.

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

commit 4e8b5169526ecad885654b62033cdd2efcbcaa1d
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:42:49 -0500

    More fixes for Real to double conversion.

 .../barrieroption/perturbativebarrieroptionengine.cpp             | 4 ++--
 .../varianceoption/integralhestonvarianceoptionengine.cpp         | 2 +-
 .../models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp | 2 +-
 .../models/marketmodels/driftcomputation/smmdriftcalculator.cpp   | 2 +-
 .../products/multistep/multistepperiodcapletswaptions.cpp         | 8 ++++----
 5 files changed, 9 insertions(+), 9 deletions(-)

commit 60a9da7bd2e2273d1b6b94a1054ee85b9c4a1510
Author: CompatibL <team@compatibl.com>
Date:   Sun, 1 Mar 2015 03:20:41 -0500

    More fixes for Real to double conversion.

 .../ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp | 4 ++--
 QuantLib/ql/experimental/credit/riskyassetswap.cpp                    | 4 ++--
 2 files changed, 4 insertions(+), 4 deletions(-)

commit 19b9c31984aa0f5933fb273b54e38a8963d49335
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:42:08 -0500

    Corrected an error with Real to double conversion.

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

commit c302ca9b49be2f0b3468d667c1354c1eac7d8df4
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:41:55 -0500

    More double to Real conversions.

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

commit 62b4cb9e6c2866887440cda6b23fd2710f322941
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 11:17:16 -0500

    Replaced Real seconds = timer.elapsed() by double.

 QuantLib/Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
 QuantLib/Examples/Bonds/Bonds.cpp                       | 2 +-
 QuantLib/Examples/CallableBonds/CallableBonds.cpp       | 2 +-
 QuantLib/Examples/ConvertibleBonds/ConvertibleBonds.cpp | 2 +-
 QuantLib/Examples/DiscreteHedging/DiscreteHedging.cpp   | 2 +-
 QuantLib/Examples/EquityOption/EquityOption.cpp         | 2 +-
 QuantLib/Examples/FRA/FRA.cpp                           | 2 +-
 QuantLib/Examples/FittedBondCurve/FittedBondCurve.cpp   | 2 +-
 QuantLib/Examples/Replication/Replication.cpp           | 2 +-
 QuantLib/Examples/Repo/Repo.cpp                         | 2 +-
 QuantLib/Examples/Swap/swapvaluation.cpp                | 2 +-
 11 files changed, 11 insertions(+), 11 deletions(-)

commit b55f6d66772f7071cd3a6f9408a4bddbf3a3ddf8
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:41:05 -0500

    Switched std::pair<double, double> to Real.

 QuantLib/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 734f743625352bdfd11d41b218ba8ae958fa59b0
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:39:34 -0500

    Replaced double by Real.

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

commit 53b22481013866daf71060e9f6776e45469107ab
Author: CompatibL <team@compatibl.com>
Date:   Wed, 25 Feb 2015 16:39:17 -0500

    Replaced double in operator()(double strike).
    
    Because strike can be ATM, it may depend on AD variables
    and therefore must be Real.

 QuantLib/ql/experimental/coupons/lineartsrpricer.hpp | 4 ++--
 QuantLib/ql/experimental/models/markovfunctional.hpp | 2 +-
 2 files changed, 3 insertions(+), 3 deletions(-)

commit c45319bbef90e37a965d44f0451781aaaf35573f
Author: CompatibL <team@compatibl.com>
Date:   Thu, 26 Feb 2015 11:14:04 -0500

    Added QL_REAL_VALUE (typedef to double).

 QuantLib/ql/qldefines.hpp | 4 ++++
 1 file changed, 4 insertions(+)

commit b1fbb088d911d6dacabe181ca06f711e58f0fd18
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 22 Feb 2015 18:34:38 +0100

    add Chambers-Nawalkha implied vol approximation

 QuantLib/ql/pricingengines/blackformula.cpp | 99 ++++++++++++++++++++++++++++-
 QuantLib/ql/pricingengines/blackformula.hpp | 55 +++++++++++++++-
 QuantLib/test-suite/blackformula.cpp        | 65 +++++++++++++++++++
 QuantLib/test-suite/blackformula.hpp        |  5 +-
 4 files changed, 220 insertions(+), 4 deletions(-)

commit 3c3828c968674529a25ce8b25f58a0e232b36043
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 16 Feb 2015 18:48:05 +0100

    remove unused parameter

 QuantLib/ql/math/interpolations/xabrinterpolation.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 3421c7ecdacebe8937845137926aa71dda5d7dc7
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 16 Feb 2015 18:43:56 +0100

    fix transformation

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

commit d3d2b835fc6451c9689d59cd96032decea627590
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 14 Feb 2015 19:01:22 +0100

    use required points from factory classes for check in interpolation implementation ctor, reorder code

 .../barrieroption/vannavolgainterpolation.hpp      |  93 ++++----
 .../interpolations/backwardflatinterpolation.hpp   |  59 ++---
 .../interpolations/convexmonotoneinterpolation.hpp | 249 +++++++++++----------
 .../ql/math/interpolations/cubicinterpolation.hpp  |   3 +-
 .../interpolations/forwardflatinterpolation.hpp    |  59 ++---
 .../ql/math/interpolations/linearinterpolation.hpp |  59 ++---
 .../ql/math/interpolations/loginterpolation.hpp    |  87 +++----
 .../ql/math/interpolations/mixedinterpolation.hpp  | 121 +++++-----
 8 files changed, 383 insertions(+), 347 deletions(-)

commit df81da049a5117d1e2975f882638328de9ce9ed8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 14 Feb 2015 19:00:26 +0100

    change required points for xabr to 1

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

commit c435e0726a5c8bdbe6abcebf42402def4e69b008
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 14 Feb 2015 18:58:19 +0100

    parametrize check for required points

 QuantLib/ql/math/interpolation.hpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

commit 71e0bb140765f9dcc242c5827a5d939914b5e32e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 11 Feb 2015 08:48:07 +0100

    Remove features deprecated since version 1.4.

 QuantLib/ql/handle.hpp                             |  6 ---
 QuantLib/ql/math/generallinearleastsquares.hpp     |  4 --
 QuantLib/ql/settings.hpp                           | 11 -----
 .../capfloor/capfloortermvolatilitystructure.cpp   |  8 ----
 .../capfloor/capfloortermvolatilitystructure.hpp   | 10 ----
 .../volatility/equityfx/blackvoltermstructure.cpp  | 23 ----------
 .../volatility/equityfx/blackvoltermstructure.hpp  | 30 ------------
 .../volatility/equityfx/localvoltermstructure.cpp  |  7 ---
 .../volatility/equityfx/localvoltermstructure.hpp  | 10 ----
 .../optionlet/optionletvolatilitystructure.cpp     |  8 ----
 .../optionlet/optionletvolatilitystructure.hpp     | 10 ----
 .../volatility/swaption/swaptionvolstructure.cpp   |  8 ----
 .../volatility/swaption/swaptionvolstructure.hpp   | 10 ----
 QuantLib/ql/termstructures/voltermstructure.cpp    |  7 ---
 QuantLib/ql/termstructures/voltermstructure.hpp    | 11 -----
 .../yield/fittedbonddiscountcurve.cpp              | 53 ----------------------
 .../yield/fittedbonddiscountcurve.hpp              | 25 ----------
 QuantLib/ql/utilities/dataparsers.cpp              | 29 ------------
 QuantLib/ql/utilities/dataparsers.hpp              | 11 ++---
 19 files changed, 4 insertions(+), 277 deletions(-)

commit 361d466557e07000c67fa7b709d226b1fc5250ef
Merge: 2db83b5 485c533
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 10 Feb 2015 12:26:33 +0100

    Merge changes from v1.5.x branch.

commit 485c533364b2d0dceb0ab0de6937facb9fd48ed7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 10 Feb 2015 12:19:40 +0100

    Bumped version number to 1.5.1.

 QuantLib/Announce.txt   | 4 ++--
 QuantLib/configure.ac   | 2 +-
 QuantLib/ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

commit 6f646631b481a7a6e0257af19e0252869d291604
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 9 Feb 2015 17:56:59 +0100

    Bumped version number to 1.6.

 QuantLib/Announce.txt   | 4 ++--
 QuantLib/configure.ac   | 2 +-
 QuantLib/ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

commit 4d49d59f63b097d3328bd83ead7ef6f55ddbbf79
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 9 Feb 2015 14:30:15 +0100

    ECB calendar: add ECB meeting date for april 2016

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

commit b84e16c5a62b7a9b225384fab8d68d8e4db5facf
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Wed, 4 Feb 2015 15:41:19 +0100

    move the cast inside the if block

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

commit e6f8d5746bfc6bd0eda1b7fcf574190732de5a6e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 3 Feb 2015 15:43:16 +0100

    optimize npvbps calculation

 QuantLib/ql/cashflows/cashflows.cpp | 11 ++++++-----
 1 file changed, 6 insertions(+), 5 deletions(-)

commit 049305ed6a7e50c9c69b8bccdb9f0baaae878690
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 3 Feb 2015 15:42:47 +0100

    cache accrual period

 QuantLib/ql/cashflows/coupon.cpp | 11 ++++++-----
 QuantLib/ql/cashflows/coupon.hpp |  1 +
 2 files changed, 7 insertions(+), 5 deletions(-)

commit 5648b9129bdfb17dc8c3ab3729d481802073c4ca
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 22 Jan 2015 17:43:59 +0100

    rename parameter

 QuantLib/ql/experimental/models/gaussian1dsmilesection.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 6071c4898179be8470b6ccf461abb1223e13a265
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 20 Jan 2015 20:51:00 +0100

    fix formatting

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

commit 0ed8bcadc6c7c377a7eda6614abac5665d0d1ebe
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 20 Jan 2015 20:44:47 +0100

    add gaussian1d model implied swaption cube

 QuantLib/ql/experimental/models/Makefile.am        |   4 +
 QuantLib/ql/experimental/models/all.hpp            |   2 +
 .../experimental/models/gaussian1dsmilesection.cpp | 110 +++++++++++++++++++++
 .../experimental/models/gaussian1dsmilesection.hpp |  76 ++++++++++++++
 .../models/gaussian1dswaptionvolatility.cpp        |  73 ++++++++++++++
 .../models/gaussian1dswaptionvolatility.hpp        |  93 +++++++++++++++++
 6 files changed, 358 insertions(+)

commit faa41a45095d8158c9eb0ac9466aec5ddf8c1df6
Merge: d1a614a f7f0b46
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 9 Jan 2015 10:35:23 +0100

    merged Luigi's master origin

commit d1a614ac2d27c4960f41dc19f79dc4778db022d6
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 8 Jan 2015 10:56:51 +0100

    fixed bug: avoid to get fixings for dates later than evaluation date

 QuantLib/ql/quotes/lastfixingquote.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit 329287d8c7f11d3671a514fce0ef69df3fed54c0
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 25 Dec 2014 19:51:14 +0100

    better handling of evaluation dates that are no business days for BMA swaps (cf. pull request 124)

 QuantLib/ql/termstructures/yield/ratehelpers.cpp | 11 ++++++++---
 1 file changed, 8 insertions(+), 3 deletions(-)

commit 02ba7050eb9dbf5a03ce8774fbc60608f9e972fd
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 25 Dec 2014 19:49:14 +0100

    the value date of the last relevant fixing date might be on of after today and before the settlement date of the yield term structure, which leads to an exception (negative time given), for example if the test is run on Dec 23rd, 2014 (thanks to Cheng Li for the heads up)

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

commit 37769989cf6a4149e7903fc30b15ccf47bc6ab40
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 25 Dec 2014 19:45:27 +0100

    register swaptions directly to the underlying's observers, otherwise they might miss notifications in case the underlying is not recalculated itself

 QuantLib/ql/experimental/models/floatfloatswaption.cpp |  1 +
 QuantLib/ql/instruments/swaption.cpp                   |  1 +
 QuantLib/ql/patterns/observable.hpp                    | 13 +++++++++++++
 3 files changed, 15 insertions(+)

commit 7af921c4fce109b8e90b85239a24a76421ff844e
Author: Dmitri Nesteruk <dmitrinesteruk@gmail.com>
Date:   Tue, 23 Dec 2014 22:30:37 +0400

    Moscow Exchange (MOEX) calendar

 QuantLib/ql/time/calendars/russia.cpp | 119 +++++++++++++++++++++++++++++++++-
 QuantLib/ql/time/calendars/russia.hpp |  27 +++++++-
 2 files changed, 141 insertions(+), 5 deletions(-)

commit 65be942cae4afb9efb795f711f34ba2bbdee2a95
Author: Dmitri Nesteruk <dmitrinesteruk@gmail.com>
Date:   Tue, 23 Dec 2014 19:29:21 +0400

    Revert "PERF: faster empty string check"
    
    This reverts commit 180a2c3b42654b1d00e7e8004f768042e8c37046.

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

commit fa1e4ea62ea676a807b3d01a51969979e1404c49
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 29973714ab0d38150c5743744c35d72e21d7cd86
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 180a2c3b42654b1d00e7e8004f768042e8c37046
Author: Dmitri Nesteruk <dmitrinesteruk@gmail.com>
Date:   Mon, 22 Dec 2014 10:41:57 +0400

    PERF: faster empty string check

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

commit fcf3ec51f5d23dad657ceccd37fd8d99161131cf
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 5 Dec 2014 21:55:38 +0100

    remove bc's

 QuantLib/ql/experimental/volatility/zabr.cpp | 9 ---------
 1 file changed, 9 deletions(-)

commit 30864541d04f48f1edc0386dc7e2d50b397c22b0
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 28 Nov 2014 19:57:47 +0100

    resolved ambiguity VC9 error and fixed probable bug: unit test should cover the fixed bug for no regression

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

commit ad010812f2c58b96c9cc8eaa12f341ea1de123b7
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 28 Nov 2014 19:56:24 +0100

    fixed bug where previous valid curve state is a bad guess for the new curve state, as it can happen in scenario analysis

 QuantLib/ql/termstructures/iterativebootstrap.hpp | 16 +++++++++++-----
 1 file changed, 11 insertions(+), 5 deletions(-)

commit e28d177d30a905175e71e418561b55dc55913fc7
Merge: b4e23f0 a100b6d
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 20 Nov 2014 17:01:39 +0100

    optimized npv and other calcution minimizing virtual calls relying on sorted cashflows

commit b4e23f0caa977b691802a77a940e2df1ea2109d3
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 20 Nov 2014 16:41:28 +0100

    optimized npv and other calcution minimizing virtual calls relying on sorted cashflows

 QuantLib/ql/cashflows/cashflows.cpp | 248 +++++++++++++++++++++---------------
 QuantLib/ql/cashflows/cashflows.hpp |  24 ++++
 2 files changed, 168 insertions(+), 104 deletions(-)

commit 52b939ee4d5643cc6415f2b6e31e293b400d34be
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Tue, 18 Nov 2014 15:36:14 +0100

    removed obsolete check

 QuantLib/test-suite/period.cpp | 23 ++++++++++++-----------
 1 file changed, 12 insertions(+), 11 deletions(-)

commit d577f389b200b952ab73964646c170bd1ff37e3a
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 17 Nov 2014 19:17:11 +0100

    Sabr interpolation bug fix

 QuantLib/ql/math/interpolations/sabrinterpolation.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 4548c3dce9aa278aa2d59c40006d1ba20fba390d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 17 Nov 2014 18:36:44 +0100

    formatting

 .../ql/experimental/volatility/zabrinterpolation.hpp | 20 +++++++++++++-------
 1 file changed, 13 insertions(+), 7 deletions(-)

commit b41ca56adec331c3fd876c536a6acfa180bb5884
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 17 Nov 2014 17:43:07 +0100

    fix direct and inverse functions

 .../ql/experimental/volatility/zabrinterpolation.hpp  | 19 ++++++++-----------
 1 file changed, 8 insertions(+), 11 deletions(-)

commit c0ae135f06ffe116e4556d5c3b9eaad90dc45e32
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Nov 2014 20:58:48 +0100

    fix array size

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

commit 7ab7596ce40776b5582c650d0b266211f8fa4859
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Nov 2014 20:54:51 +0100

    add test case

 QuantLib/test-suite/zabr.cpp | 95 ++++++++++++++++++++++++++++++++++++++++++++
 QuantLib/test-suite/zabr.hpp | 35 ++++++++++++++++
 2 files changed, 130 insertions(+)

commit fa9634810afb3c135ea771d56148d5f6f809f6d1
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Nov 2014 20:51:47 +0100

    add ZABR model (Andreasen, Huge: ZABR - Expansions for the masses, 2011)

 .../ql/experimental/finitedifferences/Makefile.am  |   4 +
 QuantLib/ql/experimental/finitedifferences/all.hpp |   2 +
 .../finitedifferences/fdmdupire1dop.cpp            |  76 ++++
 .../finitedifferences/fdmdupire1dop.hpp            |  62 ++++
 .../experimental/finitedifferences/fdmzabrop.cpp   | 119 ++++++
 .../experimental/finitedifferences/fdmzabrop.hpp   | 100 +++++
 QuantLib/ql/experimental/volatility/Makefile.am    |   9 +-
 QuantLib/ql/experimental/volatility/all.hpp        |   4 +
 QuantLib/ql/experimental/volatility/zabr.cpp       | 402 +++++++++++++++++++++
 QuantLib/ql/experimental/volatility/zabr.hpp       |  89 +++++
 .../volatility/zabrinterpolatedsmilesection.hpp    | 291 +++++++++++++++
 .../experimental/volatility/zabrinterpolation.hpp  | 208 +++++++++++
 .../experimental/volatility/zabrsmilesection.hpp   | 328 +++++++++++++++++
 QuantLib/test-suite/Makefile.am                    |   3 +-
 QuantLib/test-suite/quantlibtestsuite.cpp          |   2 +
 15 files changed, 1696 insertions(+), 3 deletions(-)

commit 0b2902537abfb65691ecd94b4648028310b845dd
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Nov 2014 19:17:34 +0100

    avoid c++11

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

commit d92bc5797623d3fb85566bd5bc0e159eaefbaaa7
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Nov 2014 09:58:34 +0100

    add svi interpolated smile section

 QuantLib/ql/experimental/volatility/Makefile.am    |   6 +-
 QuantLib/ql/experimental/volatility/all.hpp        |   5 +-
 .../volatility/sviinterpolatedsmilesection.cpp     | 111 +++++++++++++
 .../volatility/sviinterpolatedsmilesection.hpp     | 184 +++++++++++++++++++++
 4 files changed, 303 insertions(+), 3 deletions(-)

commit f8494aac217ce15417994d67e6ad5c5493e70357
Author: Michael von den Driesch <mdriesch@web.de>
Date:   Sat, 15 Nov 2014 16:26:24 +0100

    Adding cap vol stripping for normal and shifted normal quoted vols.

 QuantLib/ql/pricingengines/blackformula.cpp        |  30 +++++
 QuantLib/ql/pricingengines/blackformula.hpp        |  18 +++
 QuantLib/ql/pricingengines/capfloor/Makefile.am    |   2 +
 QuantLib/ql/pricingengines/capfloor/all.hpp        |   1 +
 .../capfloor/bacheliercapfloorengine.cpp           | 135 +++++++++++++++++++++
 .../capfloor/bacheliercapfloorengine.hpp           |  59 +++++++++
 .../volatility/optionlet/optionletstripper.cpp     |  28 ++++-
 .../volatility/optionlet/optionletstripper.hpp     |  13 +-
 .../volatility/optionlet/optionletstripper1.cpp    |  63 +++++++---
 .../volatility/optionlet/optionletstripper1.hpp    |  13 +-
 .../volatility/optionlet/optionletstripper2.cpp    |   4 +-
 11 files changed, 336 insertions(+), 30 deletions(-)

commit 052adc94764a05c8363c5cf537a53c5afe24df15
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 d0129f0ee36fb8fe24504bb40932c7ac308c0fb3
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 4 Nov 2014 22:39:29 +0100

    removed misleading function name

 .../ql/experimental/exoticoptions/analyticpdfhestonengine.cpp    | 9 ---------
 .../ql/experimental/exoticoptions/analyticpdfhestonengine.hpp    | 3 ---
 2 files changed, 12 deletions(-)

commit d4224eac1008b24b6108f2eeba4ee424eb19acd2
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 4 Nov 2014 11:03:28 +0100

    fixed comment

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

commit cfeb3412a10aa36bb966600198273db27a1fc87a
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 4 Nov 2014 10:57:37 +0100

    fixed integration over the principle branch for the complex logarithm

 .../exoticoptions/analyticpdfhestonengine.cpp      | 142 ++++++++++++++-------
 .../exoticoptions/analyticpdfhestonengine.hpp      |  12 +-
 .../vanilla/analytichestonengine.cpp               |   1 -
 .../vanilla/analytichestonengine.hpp               |   6 +-
 QuantLib/test-suite/hestonmodel.cpp                |  27 +++-
 5 files changed, 125 insertions(+), 63 deletions(-)

commit 29c9ac6ac5307b26c8db2a96e8562256d69b8110
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Oct 2014 20:17:12 +0200

    add SVI interpolation

 QuantLib/ql/experimental/volatility/Makefile.am    |   3 +
 .../experimental/volatility/sviinterpolation.hpp   | 230 +++++++++++++++++++++
 .../ql/experimental/volatility/svismilesection.cpp |  56 +++++
 .../ql/experimental/volatility/svismilesection.hpp |  55 +++++
 4 files changed, 344 insertions(+)

commit 3a14d80201cce3b6e3bf6871ad0326719bce3a2f
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 18 Oct 2014 12:14:43 +0200

    upps.. Boost 1.39 does not support sum_kahan (thanks to Johannes
    Goettker Schnetmann)

 QuantLib/ql/math/integrals/discreteintegrals.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit c176c05285d183d99af02484719c8e82551e9205
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Wed, 15 Oct 2014 10:57:48 +0200

    Hong Kong calendar for 2015

 QuantLib/ql/time/calendars/hongkong.cpp | 14 ++++++++++++++
 QuantLib/ql/time/calendars/hongkong.hpp |  3 ++-
 2 files changed, 16 insertions(+), 1 deletion(-)

commit 21bcfbd37304037aa9cd6e8b294edf37069d65d3
Author: Paolo Mazzocchi <mazzocchip@live.it>
Date:   Mon, 13 Oct 2014 18:11:05 +0200

    bug fix: 7 business days are not equal to 1 week

 QuantLib/ql/time/period.cpp | 10 +++-------
 1 file changed, 3 insertions(+), 7 deletions(-)

commit a70a17b74143c80c78d55f4e85af37b4578cde33
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 11 Oct 2014 16:21:07 +0200

    change tolerance to relative tolerance (thanks to Johannes)

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

commit 05ed8e81295607d5d89c6c5cee4a6b4ba0193c1b
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 11 Oct 2014 16:18:40 +0200

    change tolerance to relative tolerance (thanks to Johannes)

 QuantLib/test-suite/fdmlinearop.cpp | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

commit 86bfbf421d481c624d3a8b62b9d745952a9208af
Merge: 4f1f579 dc05abc
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 6 Oct 2014 22:42:19 +0200

    Merge remote-tracking branch 'upstream/master' into quantlib-merge

commit 4f1f5790dc0efed28f8bda3af0230fd728114584
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 6 Oct 2014 22:28:04 +0200

    change Fokker-Planck test case to Heston model with Feller constraint
    being violated

 .../finitedifferences/fdmhestonfwdop.cpp           |  2 +-
 QuantLib/test-suite/fdheston.cpp                   | 71 +++++++++++-----------
 2 files changed, 38 insertions(+), 35 deletions(-)

commit 5425a546abbd13b1543ed28e98cfbf9344a1ce58
Merge: b071d0b 7597ea9
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 5 Oct 2014 20:32:47 +0200

    Merge remote-tracking branch 'upstream/master' into quantlib-merge

commit b071d0b6f7fe84264ab1ede13514b6696fe23cd8
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 5 Oct 2014 20:11:32 +0200

    added multi-dimensional integration routines based on finite difference
    meshers to allow more efficient pricing using Fokker-Planck equations

 .../finitedifferences/fdmhestonfwdop.cpp           | 54 +++++++++--------
 .../finitedifferences/fdmhestonfwdop.hpp           |  5 +-
 .../finitedifferences/fdmsquarerootfwdop.cpp       | 26 ++++----
 .../finitedifferences/fdmsquarerootfwdop.hpp       |  6 +-
 QuantLib/ql/math/integrals/Makefile.am             |  2 +
 QuantLib/ql/math/integrals/all.hpp                 |  1 +
 QuantLib/ql/math/integrals/discreteintegrals.cpp   | 69 ++++++++++++++++++++++
 QuantLib/ql/math/integrals/discreteintegrals.hpp   | 45 ++++++++++++++
 .../meshers/fdmmeshercomposite.cpp                 |  5 ++
 .../meshers/fdmmeshercomposite.hpp                 |  3 +
 .../finitedifferences/utilities/Makefile.am        |  2 +
 .../ql/methods/finitedifferences/utilities/all.hpp |  1 +
 .../utilities/fdmmesherintegral.cpp                | 60 +++++++++++++++++++
 .../utilities/fdmmesherintegral.hpp                | 46 +++++++++++++++
 QuantLib/test-suite/fdheston.cpp                   | 24 +++-----
 QuantLib/test-suite/fdmlinearop.cpp                | 61 ++++++++++++++++++-
 QuantLib/test-suite/fdmlinearop.hpp                |  2 +
 QuantLib/test-suite/integrals.cpp                  | 44 ++++++++++++++
 QuantLib/test-suite/integrals.hpp                  |  1 +
 19 files changed, 398 insertions(+), 59 deletions(-)

commit 4e7d5cedba2f048aa747fef0bfbf7ac604b70a8a
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 3 Oct 2014 16:51:40 +0200

    fixed settlement days = 2, according to new market conventions

 QuantLib/ql/instruments/bonds/btp.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit aad8a1010d01fcda800631653e8edb6d53a822e9
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 23e5713ffc34d49e49468b349337c0e458fbc5f7
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 d242d8f7d70a5cd36ebd6635b0e6ccca364770a0
Merge: d24877b 467cfef
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Fri, 1 Aug 2014 17:31:40 +0200

    solved merge conflict

commit 8c21b66b896cf81687a152026f0c61cfe53f6214
Merge: bc3e382 7b8e762
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Wed, 30 Jul 2014 15:00:53 +0200

    conflict fixed

commit bd6d11381809b72e0143b7ca7fc6442c8989f9b9
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 10559f8b62770f6c98a2a6d9b4ef5f4cfcd609c8
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 bd97b57c3e547ed13bb28d0b8f8adf1ef0c3f8d3
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 c44d1e3a1c6e89d46cc082b2139afd21f0b5542a
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 4b5aec0225fe6d479dbbc3a2a1cc4ecfa533a510
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Wed, 25 Jun 2014 09:47:32 +0200

    warning avoided

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

commit fa403335cf92fa56eb34873e0a2d106ae46021dd
Merge: a483d6d cf2c0e0
Author: Eric Ehlers <eric.ehlers@nazcatech.be>
Date:   Wed, 18 Jun 2014 00:29:23 +0200

    merge R01040x-branch

commit fb3a9470967405201682b555caf8066b88be28da
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 18 May 2014 10:53:45 +0200

    avoid c++11

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

commit 542d9d9c5a1fcf5874c74abf9200c4e2c6ab070b
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 adbc971d027b178af7f01724bef770d297bad5ae
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 fa7010acdda12f558a59403024a1e7d858dab83a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 31 Mar 2014 19:33:37 +0200

    fix case negative strike and spread not zero,
    use precomputed values where possible,
    reformat code

 .../coupons/lognormalcmsspreadpricer.cpp           | 106 ++++++++++-----------
 .../coupons/lognormalcmsspreadpricer.hpp           |  27 +++---
 2 files changed, 64 insertions(+), 69 deletions(-)

commit eed3c60760f2ef68d010daebbcd80942c220eecb
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 24 Mar 2014 20:24:23 +0100

    fix pricer for the case of a fixed coupon

 .../coupons/lognormalcmsspreadpricer.cpp           | 50 +++++++++++-----------
 1 file changed, 25 insertions(+), 25 deletions(-)

commit dd123f7f7387e0bf850921da9a86b7b5cf7db0aa
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:16:46 +0100

    make member name accessible by implementations

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

commit 386a620d65924acc247a96d2c3642ec4f881bb7d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:12:01 +0100

    add files

 QuantLib/ql/experimental/coupons/Makefile.am | 12 ++++++++++--
 QuantLib/ql/experimental/coupons/all.hpp     |  4 ++++
 2 files changed, 14 insertions(+), 2 deletions(-)

commit e4e21e1216cd629b955e885b38adb028d700f6f2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:11:52 +0100

    add coupon that strips cap and floors from existing coupons

 .../coupons/strippedcapflooredcoupon.cpp           | 128 +++++++++++++++++++++
 .../coupons/strippedcapflooredcoupon.hpp           |  79 +++++++++++++
 2 files changed, 207 insertions(+)

commit 4acbe31c8cee4ae4069e8ac647e15e590008b9a2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:11:16 +0100

    add cms spread coupon pricer

 .../coupons/lognormalcmsspreadpricer.cpp           | 269 +++++++++++++++++++++
 .../coupons/lognormalcmsspreadpricer.hpp           | 116 +++++++++
 2 files changed, 385 insertions(+)

commit 10997d4addf7694ed5f57f791df4c44c6a503626
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:11:01 +0100

    add swap spread index

 .../ql/experimental/coupons/swapspreadindex.cpp    | 88 ++++++++++++++++++++++
 .../ql/experimental/coupons/swapspreadindex.hpp    | 82 ++++++++++++++++++++
 2 files changed, 170 insertions(+)

commit e1186b23b6a94dc1c8f01f3c286701cd73754f7a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:10:43 +0100

    add cms spread coupon

 .../ql/experimental/coupons/cmsspreadcoupon.cpp    | 145 +++++++++++++++++++++
 .../ql/experimental/coupons/cmsspreadcoupon.hpp    | 136 +++++++++++++++++++
 2 files changed, 281 insertions(+)

commit f8dbb5788e6554f626b23a03033a5398fcc7005a
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:00:40 +0100

    add inspector for underlying

 QuantLib/ql/cashflows/capflooredcoupon.hpp | 2 ++
 1 file changed, 2 insertions(+)

commit 0372e1e8b4acbc9d451d8a5f12d44a5574caae38
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:00:28 +0100

    add cms spread coupon

 QuantLib/ql/cashflows/couponpricer.cpp | 21 +++++++++++++++++++++
 QuantLib/ql/cashflows/couponpricer.hpp | 20 ++++++++++++++++++++
 2 files changed, 41 insertions(+)

commit 693a5d47737bc2414894193ab97603e2be3b3b15
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 21 Mar 2014 21:00:07 +0100

    add check for native fixings

 QuantLib/ql/index.cpp | 3 +++
 QuantLib/ql/index.hpp | 3 +++
 2 files changed, 6 insertions(+)
