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Title: Commits · simon-sql/quantlib · GitHub

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Description: Unofficial QuantLib mirror - trunk. Contribute to simon-sql/quantlib development by creating an account on GitHub.

Open Graph Description: Unofficial QuantLib mirror - trunk. Contribute to simon-sql/quantlib development by creating an account on GitHub.

X Description: Unofficial QuantLib mirror - trunk. Contribute to simon-sql/quantlib development by creating an account on GitHub.

Opengraph URL: https://github.com/simon-sql/quantlib

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Merge branch 'master' of https://github.com/lballabio/quantlibhttps://github.com/simon-sql/quantlib/commit/0a703dcb7c4eb12fbeaa54d1c57e722b41035fc7
https://github.com/simon-sql
simon-sqlhttps://github.com/simon-sql/quantlib/commits?author=simon-sql
0a703dchttps://github.com/simon-sql/quantlib/commit/0a703dcb7c4eb12fbeaa54d1c57e722b41035fc7
https://github.com/simon-sql/quantlib/tree/0a703dcb7c4eb12fbeaa54d1c57e722b41035fc7
Corrected flag usage in test-suite/bin/runtest.bat.https://github.com/simon-sql/quantlib/commit/b482cc358835699ca60e1b66573435200976ef9d
https://github.com/simon-sql
simon-sqlhttps://github.com/simon-sql/quantlib/commits?author=simon-sql
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https://github.com/simon-sql/quantlib/tree/b482cc358835699ca60e1b66573435200976ef9d
Added additional test case for Thirty360 daycounter (BondBasis and EurobondBasis).https://github.com/simon-sql/quantlib/commit/c43c5d2002bd71e4611a1e61cbb684efcbf268e2
https://github.com/simon-sql
simon-sqlhttps://github.com/simon-sql/quantlib/commits?author=simon-sql
c43c5d2https://github.com/simon-sql/quantlib/commit/c43c5d2002bd71e4611a1e61cbb684efcbf268e2
https://github.com/simon-sql/quantlib/tree/c43c5d2002bd71e4611a1e61cbb684efcbf268e2
Added 'CLI-safe' versions of singleton.hpp and currency classes to new folder CLI. These files are intended to replace the existing QuantLib where CLI wrappers are being used and avoids issues ass…https://github.com/simon-sql/quantlib/commit/d3af8715c5cac8d6bf51e8094af9d5ccd05adffc
https://github.com/simon-sql
simon-sqlhttps://github.com/simon-sql/quantlib/commits?author=simon-sql
d3af871https://github.com/simon-sql/quantlib/commit/d3af8715c5cac8d6bf51e8094af9d5ccd05adffc
https://github.com/simon-sql/quantlib/tree/d3af8715c5cac8d6bf51e8094af9d5ccd05adffc
Updated Windows projectshttps://github.com/simon-sql/quantlib/commit/c97a4f1ed7a19bd2f275f0d05cbeb633f54147e5
c97a4f1https://github.com/simon-sql/quantlib/commit/c97a4f1ed7a19bd2f275f0d05cbeb633f54147e5
https://github.com/simon-sql/quantlib/tree/c97a4f1ed7a19bd2f275f0d05cbeb633f54147e5
Added calibration to GARCH model (thanks to Slava Mazur).https://github.com/simon-sql/quantlib/commit/d4a33e1c0658530612d077ec45d7763c04da9a5c
d4a33e1https://github.com/simon-sql/quantlib/commit/d4a33e1c0658530612d077ec45d7763c04da9a5c
https://github.com/simon-sql/quantlib/tree/d4a33e1c0658530612d077ec45d7763c04da9a5c
Updated South-Korean calendar for 2013 (thanks to Faycal El Karaa).https://github.com/simon-sql/quantlib/commit/cd1b274cad2b15b13e220f0dfeec5ae975bb5fd7
cd1b274https://github.com/simon-sql/quantlib/commit/cd1b274cad2b15b13e220f0dfeec5ae975bb5fd7
https://github.com/simon-sql/quantlib/tree/cd1b274cad2b15b13e220f0dfeec5ae975bb5fd7
Added Epiphany (introduced in 2011) to Polish calendar.https://github.com/simon-sql/quantlib/commit/87bf173e96e919c05107d0fbc683e446ca0c7077
87bf173https://github.com/simon-sql/quantlib/commit/87bf173e96e919c05107d0fbc683e446ca0c7077
https://github.com/simon-sql/quantlib/tree/87bf173e96e919c05107d0fbc683e446ca0c7077
Updated Chinese calendar for 2012 (thanks to Cheng Li).https://github.com/simon-sql/quantlib/commit/cec1c87fb44dea980094dc9d477f88bf9021d33c
cec1c87https://github.com/simon-sql/quantlib/commit/cec1c87fb44dea980094dc9d477f88bf9021d33c
https://github.com/simon-sql/quantlib/tree/cec1c87fb44dea980094dc9d477f88bf9021d33c
Fixed holiday for Japanese calendar (thanks to Sebastien Gurrieri).https://github.com/simon-sql/quantlib/commit/a388e18dfb36ba67ed68b9754cd8a63bf042b33e
a388e18https://github.com/simon-sql/quantlib/commit/a388e18dfb36ba67ed68b9754cd8a63bf042b33e
https://github.com/simon-sql/quantlib/tree/a388e18dfb36ba67ed68b9754cd8a63bf042b33e
Fixed degenerate case for ABCD volatility (thanks to Peter Caspers).https://github.com/simon-sql/quantlib/commit/1fcc28828e0472402d0943a4ff394a339072a78a
1fcc288https://github.com/simon-sql/quantlib/commit/1fcc28828e0472402d0943a4ff394a339072a78a
https://github.com/simon-sql/quantlib/tree/1fcc28828e0472402d0943a4ff394a339072a78a
Re-enabled test.https://github.com/simon-sql/quantlib/commit/0e2070da8465290484f9d9743bc8a85be5ad08a3
0e2070dhttps://github.com/simon-sql/quantlib/commit/0e2070da8465290484f9d9743bc8a85be5ad08a3
https://github.com/simon-sql/quantlib/tree/0e2070da8465290484f9d9743bc8a85be5ad08a3
Grouped together tests for experimental codehttps://github.com/simon-sql/quantlib/commit/035d8c7b49ac16715e6d47d94ce04f905bd1e7df
035d8c7https://github.com/simon-sql/quantlib/commit/035d8c7b49ac16715e6d47d94ce04f905bd1e7df
https://github.com/simon-sql/quantlib/tree/035d8c7b49ac16715e6d47d94ce04f905bd1e7df
Added experimental ODE solver (thanks to Peter Caspers).https://github.com/simon-sql/quantlib/commit/15124f9b58f7668bff4bd023be749875dbd135c4
15124f9https://github.com/simon-sql/quantlib/commit/15124f9b58f7668bff4bd023be749875dbd135c4
https://github.com/simon-sql/quantlib/tree/15124f9b58f7668bff4bd023be749875dbd135c4
Added special case to close()/close_enough() when either value is 0.https://github.com/simon-sql/quantlib/commit/dd7b00ec2d10db1c3d4195cd60182896536192b1
dd7b00ehttps://github.com/simon-sql/quantlib/commit/dd7b00ec2d10db1c3d4195cd60182896536192b1
https://github.com/simon-sql/quantlib/tree/dd7b00ec2d10db1c3d4195cd60182896536192b1
Don't use floating-point comparison to check for Null.https://github.com/simon-sql/quantlib/commit/4e8f849b6aa72bf3b56df19918fb2c9e8a65651a
4e8f849https://github.com/simon-sql/quantlib/commit/4e8f849b6aa72bf3b56df19918fb2c9e8a65651a
https://github.com/simon-sql/quantlib/tree/4e8f849b6aa72bf3b56df19918fb2c9e8a65651a
refactoring of FdmMesherCompositehttps://github.com/simon-sql/quantlib/commit/d96eb7ca7df48b2103e54f8d9049bfc0bda23b58
d96eb7chttps://github.com/simon-sql/quantlib/commit/d96eb7ca7df48b2103e54f8d9049bfc0bda23b58
https://github.com/simon-sql/quantlib/tree/d96eb7ca7df48b2103e54f8d9049bfc0bda23b58
refactoring of FdmMesherCompositehttps://github.com/simon-sql/quantlib/commit/e6410643dcbeb79e91b8373930b8d16af232d573
e641064https://github.com/simon-sql/quantlib/commit/e6410643dcbeb79e91b8373930b8d16af232d573
https://github.com/simon-sql/quantlib/tree/e6410643dcbeb79e91b8373930b8d16af232d573
fixed broken test caseshttps://github.com/simon-sql/quantlib/commit/5809d5fb8dcbaeb16c2b19cf1f9d3037e75eb9b1
5809d5fhttps://github.com/simon-sql/quantlib/commit/5809d5fb8dcbaeb16c2b19cf1f9d3037e75eb9b1
https://github.com/simon-sql/quantlib/tree/5809d5fb8dcbaeb16c2b19cf1f9d3037e75eb9b1
Added experimental two-asset barrier option.https://github.com/simon-sql/quantlib/commit/124d510b271d94ca868e074e4aada8380032fcff
124d510https://github.com/simon-sql/quantlib/commit/124d510b271d94ca868e074e4aada8380032fcff
https://github.com/simon-sql/quantlib/tree/124d510b271d94ca868e074e4aada8380032fcff
Merged latest changes from 1.2.x branch into trunk.https://github.com/simon-sql/quantlib/commit/dc49bb7275c0b7c7bccae76a9230fd721675d7eb
dc49bb7https://github.com/simon-sql/quantlib/commit/dc49bb7275c0b7c7bccae76a9230fd721675d7eb
https://github.com/simon-sql/quantlib/tree/dc49bb7275c0b7c7bccae76a9230fd721675d7eb
added differential evolution optimization (thanks to Ralph Schreyer)https://github.com/simon-sql/quantlib/commit/30c8314a18994703ba025e91b145cd9984761049
30c8314https://github.com/simon-sql/quantlib/commit/30c8314a18994703ba025e91b145cd9984761049
https://github.com/simon-sql/quantlib/tree/30c8314a18994703ba025e91b145cd9984761049
fd black scholes pricing engines are now observers of the BS process.https://github.com/simon-sql/quantlib/commit/535dbacf3b1a01aa1ab036d78704ee26a5b82dd7
535dbachttps://github.com/simon-sql/quantlib/commit/535dbacf3b1a01aa1ab036d78704ee26a5b82dd7
https://github.com/simon-sql/quantlib/tree/535dbacf3b1a01aa1ab036d78704ee26a5b82dd7
Fixed build for MinGW (thanks to Bojan Nikolic).https://github.com/simon-sql/quantlib/commit/8c5b59eee79cae004f21a411ca280d3b00e7edd4
8c5b59ehttps://github.com/simon-sql/quantlib/commit/8c5b59eee79cae004f21a411ca280d3b00e7edd4
https://github.com/simon-sql/quantlib/tree/8c5b59eee79cae004f21a411ca280d3b00e7edd4
removed useless include statementhttps://github.com/simon-sql/quantlib/commit/ea4de220e1874b58813655e061f3e0fa84aa8e7e
ea4de22https://github.com/simon-sql/quantlib/commit/ea4de220e1874b58813655e061f3e0fa84aa8e7e
https://github.com/simon-sql/quantlib/tree/ea4de220e1874b58813655e061f3e0fa84aa8e7e
support g++ version 4.7 with -std=c++11 enabledhttps://github.com/simon-sql/quantlib/commit/44ff710d3069dd0ffe7c27fb654518f426dc3f1b
44ff710https://github.com/simon-sql/quantlib/commit/44ff710d3069dd0ffe7c27fb654518f426dc3f1b
https://github.com/simon-sql/quantlib/tree/44ff710d3069dd0ffe7c27fb654518f426dc3f1b
added Heston-Hull-White pricing engine using the H1HW approximationhttps://github.com/simon-sql/quantlib/commit/289af4f4c4d86e91250d5bcad43b63d989bffbae
289af4fhttps://github.com/simon-sql/quantlib/commit/289af4f4c4d86e91250d5bcad43b63d989bffbae
https://github.com/simon-sql/quantlib/tree/289af4f4c4d86e91250d5bcad43b63d989bffbae
added benchmark result for Raspberry Pihttps://github.com/simon-sql/quantlib/commit/ead0dfb62c7042660972c835de6763b7b9e547a9
ead0dfbhttps://github.com/simon-sql/quantlib/commit/ead0dfb62c7042660972c835de6763b7b9e547a9
https://github.com/simon-sql/quantlib/tree/ead0dfb62c7042660972c835de6763b7b9e547a9
Added method to clone a swap index with a different discount curve.https://github.com/simon-sql/quantlib/commit/30c3506e2bd8d0ca5dbe5f50fec211f14cd11b20
30c3506https://github.com/simon-sql/quantlib/commit/30c3506e2bd8d0ca5dbe5f50fec211f14cd11b20
https://github.com/simon-sql/quantlib/tree/30c3506e2bd8d0ca5dbe5f50fec211f14cd11b20
Added inspector for the joint calendar used by Libor indexes.https://github.com/simon-sql/quantlib/commit/8563ed8d6381a7f1fecc01aa42e6f41d1c7f79fe
8563ed8https://github.com/simon-sql/quantlib/commit/8563ed8d6381a7f1fecc01aa42e6f41d1c7f79fe
https://github.com/simon-sql/quantlib/tree/8563ed8d6381a7f1fecc01aa42e6f41d1c7f79fe
Fixed access specifiers for Calendar::WesternImpl.https://github.com/simon-sql/quantlib/commit/da9eb438314837caf8aaec8ea587aee4be35ee33
da9eb43https://github.com/simon-sql/quantlib/commit/da9eb438314837caf8aaec8ea587aee4be35ee33
https://github.com/simon-sql/quantlib/tree/da9eb438314837caf8aaec8ea587aee4be35ee33
improved interface of RichardsonExtrapolationhttps://github.com/simon-sql/quantlib/commit/82f3eb0e1047441349d61f2a955e1be26a3b7e21
82f3eb0https://github.com/simon-sql/quantlib/commit/82f3eb0e1047441349d61f2a955e1be26a3b7e21
https://github.com/simon-sql/quantlib/tree/82f3eb0e1047441349d61f2a955e1be26a3b7e21
replaced double with Real to keep header and source files in sync.https://github.com/simon-sql/quantlib/commit/dd20a3b6f5ad9cba587da01a4b1fec9b484d126e
dd20a3bhttps://github.com/simon-sql/quantlib/commit/dd20a3b6f5ad9cba587da01a4b1fec9b484d126e
https://github.com/simon-sql/quantlib/tree/dd20a3b6f5ad9cba587da01a4b1fec9b484d126e
replaced double with Real to keep header and source files in sync.https://github.com/simon-sql/quantlib/commit/7cf601885b790711051c8b30c3f713778ed133f3
7cf6018https://github.com/simon-sql/quantlib/commit/7cf601885b790711051c8b30c3f713778ed133f3
https://github.com/simon-sql/quantlib/tree/7cf601885b790711051c8b30c3f713778ed133f3
enable g++ -std=c++0x or g++ -std=c++11https://github.com/simon-sql/quantlib/commit/577a3b5fec0cd33af85b1b86e70a2914fab52f5b
577a3b5https://github.com/simon-sql/quantlib/commit/577a3b5fec0cd33af85b1b86e70a2914fab52f5b
https://github.com/simon-sql/quantlib/tree/577a3b5fec0cd33af85b1b86e70a2914fab52f5b
Nexthttps://github.com/simon-sql/quantlib/commits/master?after=0a703dcb7c4eb12fbeaa54d1c57e722b41035fc7+34
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