commit affcf873178a13c9109e2143448e10cfdc3dab5e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 26 Sep 2017 14:58:11 +0200

    Let CMake use the dynamic Boost libraries by default.
    
    Fixes #257.

 CMakeLists.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 8285d602c8c3b9e7be5345012c766ff715c5df7e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 20 Sep 2017 16:05:43 +0200

    Don't add test when it's disabled.

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

commit 5df87f7c81b20dc3eece2c698ba6be18367f4c37
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 20 Sep 2017 15:16:36 +0200

    Decrease tolerance when indexed coupons are enabled.

 test-suite/creditdefaultswap.cpp | 10 +++++++++-
 1 file changed, 9 insertions(+), 1 deletion(-)

commit f3ec9351cf187b0c9c9f674601ed493b5459dc0f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 20 Sep 2017 13:38:19 +0200

    Restore intra-day part of year fraction for Act/360.

 ql/time/daycounters/actual360.hpp | 26 ++++++++++++++++----------
 1 file changed, 16 insertions(+), 10 deletions(-)

commit f2e51110521fdb34b33610d495110ad610254eac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 Sep 2017 11:11:22 +0200

    Pass proper bools instead of ints.

 test-suite/hestonslvmodel.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 61049e1b17f635cb8bf5c931349e88496fe4ffa9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 15 Sep 2017 10:30:25 +0200

    Don't distribute generated unity sources.

 ql/cashflows/Makefile.am                                 | 2 +-
 ql/currencies/Makefile.am                                | 2 +-
 ql/experimental/amortizingbonds/Makefile.am              | 2 +-
 ql/experimental/averageois/Makefile.am                   | 2 +-
 ql/experimental/barrieroption/Makefile.am                | 2 +-
 ql/experimental/callablebonds/Makefile.am                | 2 +-
 ql/experimental/catbonds/Makefile.am                     | 2 +-
 ql/experimental/commodities/Makefile.am                  | 2 +-
 ql/experimental/convertiblebonds/Makefile.am             | 2 +-
 ql/experimental/coupons/Makefile.am                      | 2 +-
 ql/experimental/credit/Makefile.am                       | 2 +-
 ql/experimental/exoticoptions/Makefile.am                | 2 +-
 ql/experimental/finitedifferences/Makefile.am            | 2 +-
 ql/experimental/fx/Makefile.am                           | 2 +-
 ql/experimental/inflation/Makefile.am                    | 2 +-
 ql/experimental/lattices/Makefile.am                     | 2 +-
 ql/experimental/math/Makefile.am                         | 2 +-
 ql/experimental/mcbasket/Makefile.am                     | 2 +-
 ql/experimental/models/Makefile.am                       | 2 +-
 ql/experimental/processes/Makefile.am                    | 2 +-
 ql/experimental/risk/Makefile.am                         | 2 +-
 ql/experimental/shortrate/Makefile.am                    | 2 +-
 ql/experimental/swaptions/Makefile.am                    | 2 +-
 ql/experimental/variancegamma/Makefile.am                | 2 +-
 ql/experimental/varianceoption/Makefile.am               | 2 +-
 ql/experimental/volatility/Makefile.am                   | 2 +-
 ql/indexes/Makefile.am                                   | 2 +-
 ql/indexes/ibor/Makefile.am                              | 2 +-
 ql/indexes/swap/Makefile.am                              | 2 +-
 ql/instruments/Makefile.am                               | 2 +-
 ql/instruments/bonds/Makefile.am                         | 2 +-
 ql/legacy/libormarketmodels/Makefile.am                  | 2 +-
 ql/math/Makefile.am                                      | 2 +-
 ql/math/copulas/Makefile.am                              | 2 +-
 ql/math/distributions/Makefile.am                        | 2 +-
 ql/math/integrals/Makefile.am                            | 2 +-
 ql/math/matrixutilities/Makefile.am                      | 2 +-
 ql/math/optimization/Makefile.am                         | 2 +-
 ql/math/randomnumbers/Makefile.am                        | 2 +-
 ql/math/statistics/Makefile.am                           | 2 +-
 ql/methods/finitedifferences/Makefile.am                 | 2 +-
 ql/methods/finitedifferences/meshers/Makefile.am         | 2 +-
 ql/methods/finitedifferences/operators/Makefile.am       | 2 +-
 ql/methods/finitedifferences/schemes/Makefile.am         | 2 +-
 ql/methods/finitedifferences/solvers/Makefile.am         | 2 +-
 ql/methods/finitedifferences/stepconditions/Makefile.am  | 2 +-
 ql/methods/finitedifferences/utilities/Makefile.am       | 2 +-
 ql/methods/lattices/Makefile.am                          | 2 +-
 ql/methods/montecarlo/Makefile.am                        | 2 +-
 ql/models/Makefile.am                                    | 2 +-
 ql/models/equity/Makefile.am                             | 2 +-
 ql/models/marketmodels/Makefile.am                       | 2 +-
 ql/models/marketmodels/browniangenerators/Makefile.am    | 2 +-
 ql/models/marketmodels/callability/Makefile.am           | 2 +-
 ql/models/marketmodels/correlations/Makefile.am          | 2 +-
 ql/models/marketmodels/curvestates/Makefile.am           | 2 +-
 ql/models/marketmodels/driftcomputation/Makefile.am      | 2 +-
 ql/models/marketmodels/evolvers/Makefile.am              | 2 +-
 ql/models/marketmodels/evolvers/volprocesses/Makefile.am | 2 +-
 ql/models/marketmodels/models/Makefile.am                | 2 +-
 ql/models/marketmodels/pathwisegreeks/Makefile.am        | 2 +-
 ql/models/marketmodels/products/Makefile.am              | 2 +-
 ql/models/marketmodels/products/multistep/Makefile.am    | 2 +-
 ql/models/marketmodels/products/onestep/Makefile.am      | 2 +-
 ql/models/marketmodels/products/pathwise/Makefile.am     | 2 +-
 ql/models/shortrate/Makefile.am                          | 2 +-
 ql/models/shortrate/calibrationhelpers/Makefile.am       | 2 +-
 ql/models/shortrate/onefactormodels/Makefile.am          | 2 +-
 ql/models/shortrate/twofactormodels/Makefile.am          | 2 +-
 ql/models/volatility/Makefile.am                         | 2 +-
 ql/patterns/Makefile.am                                  | 2 +-
 ql/pricingengines/Makefile.am                            | 2 +-
 ql/pricingengines/asian/Makefile.am                      | 2 +-
 ql/pricingengines/barrier/Makefile.am                    | 2 +-
 ql/pricingengines/basket/Makefile.am                     | 2 +-
 ql/pricingengines/bond/Makefile.am                       | 2 +-
 ql/pricingengines/capfloor/Makefile.am                   | 2 +-
 ql/pricingengines/cliquet/Makefile.am                    | 2 +-
 ql/pricingengines/credit/Makefile.am                     | 2 +-
 ql/pricingengines/inflation/Makefile.am                  | 2 +-
 ql/pricingengines/lookback/Makefile.am                   | 2 +-
 ql/pricingengines/swap/Makefile.am                       | 2 +-
 ql/pricingengines/swaption/Makefile.am                   | 2 +-
 ql/pricingengines/vanilla/Makefile.am                    | 2 +-
 ql/processes/Makefile.am                                 | 2 +-
 ql/quotes/Makefile.am                                    | 2 +-
 ql/termstructures/Makefile.am                            | 2 +-
 ql/termstructures/credit/Makefile.am                     | 2 +-
 ql/termstructures/inflation/Makefile.am                  | 2 +-
 ql/termstructures/volatility/Makefile.am                 | 2 +-
 ql/termstructures/volatility/capfloor/Makefile.am        | 2 +-
 ql/termstructures/volatility/equityfx/Makefile.am        | 2 +-
 ql/termstructures/volatility/inflation/Makefile.am       | 2 +-
 ql/termstructures/volatility/optionlet/Makefile.am       | 2 +-
 ql/termstructures/volatility/swaption/Makefile.am        | 2 +-
 ql/termstructures/yield/Makefile.am                      | 2 +-
 ql/time/Makefile.am                                      | 2 +-
 ql/time/calendars/Makefile.am                            | 2 +-
 ql/time/daycounters/Makefile.am                          | 2 +-
 ql/utilities/Makefile.am                                 | 2 +-
 100 files changed, 100 insertions(+), 100 deletions(-)

commit 5fbc47df7c439a199bc9ed7c4550010c42062e46
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 Sep 2017 17:34:46 +0200

    Update copyrights.

 Docs/pages/license.docs | 18 ++++++++++++------
 LICENSE.TXT             |  5 +++--
 2 files changed, 15 insertions(+), 8 deletions(-)

commit 06ef94b7cb509889d4107b26ebc44ff660e712b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 Sep 2017 16:01:52 +0200

    Consistent formatting in test messages.

 test-suite/blackformula.cpp         | 3 +--
 test-suite/bonds.cpp                | 7 ++++---
 test-suite/bonds.hpp                | 2 +-
 test-suite/creditdefaultswap.cpp    | 2 +-
 test-suite/fdmlinearop.cpp          | 6 +++---
 test-suite/hestonmodel.cpp          | 8 ++++----
 test-suite/overnightindexedswap.cpp | 4 ++--
 7 files changed, 16 insertions(+), 16 deletions(-)

commit 077058a155248988e76de79a121d8e85f6548d99
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 14 Sep 2017 11:19:31 +0200

    Ensure self-consistency of header file.

 ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 89d920d9eb4bf3c83aa2924310d13186be9b5c87
Merge: a2ea8f01a 792f464c7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 15:20:58 +0200

    Merge pull request #309.

commit a2ea8f01a2ff4b0e9ae4982d037c0025cdaca0ac
Merge: f9d8a9ba5 9c2b1d2f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 15:13:26 +0200

    Merge pull request #308.

commit 792f464c7e85b38091e1fadf716a1ad8c7ef3f28
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 14:19:00 +0200

    Remove obsolete workaround for older versions of Boost.

 acinclude.m4                                       |  18 -
 ql/config.msvc.hpp                                 |   3 -
 test-suite/Makefile.am                             |   2 +-
 test-suite/americanoption.cpp                      |   4 +-
 test-suite/assetswap.cpp                           | 378 ++++++++++-----------
 test-suite/autocovariances.cpp                     |   8 +-
 test-suite/basketoption.cpp                        |   4 +-
 test-suite/batesmodel.cpp                          |  24 +-
 test-suite/bonds.cpp                               |  34 +-
 test-suite/capfloor.cpp                            |   2 +-
 test-suite/covariance.cpp                          |  12 +-
 test-suite/distributions.cpp                       |  20 +-
 test-suite/fastfouriertransform.cpp                |   8 +-
 test-suite/functions.cpp                           |   8 +-
 test-suite/hestonmodel.cpp                         |  28 +-
 test-suite/hestonslvmodel.cpp                      |  43 ++-
 test-suite/inflationcpibond.cpp                    |   2 +-
 test-suite/interpolations.cpp                      |  70 ++--
 test-suite/lowdiscrepancysequences.cpp             |  54 +--
 .../marketmodel_smmcapletalphacalibration.cpp      |   4 +-
 test-suite/marketmodel_smmcapletcalibration.cpp    |   4 +-
 .../marketmodel_smmcaplethomocalibration.cpp       |   8 +-
 test-suite/overnightindexedswap.cpp                |   4 +-
 test-suite/rounding.cpp                            |  10 +-
 test-suite/shortratemodels.cpp                     |   6 +-
 test-suite/swap.cpp                                |   2 +-
 test-suite/swaption.cpp                            |   2 +-
 test-suite/termstructures.cpp                      |   2 +-
 test-suite/utilities.hpp                           |  11 -
 29 files changed, 379 insertions(+), 396 deletions(-)

commit 9c2b1d2f62b59e95960b3813b8f89b65f3287154
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 13:00:42 +0200

    Avoid taking the square root of small negative numbers.

 ql/models/shortrate/onefactormodels/hullwhite.cpp | 14 ++++++++++----
 1 file changed, 10 insertions(+), 4 deletions(-)

commit f9d8a9ba5ca7dc30781bdec98404c7a7cdd8b3c2
Merge: db35c6b73 8126b0a39
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 12:22:48 +0200

    Merge pull request #112.

commit 8126b0a39ec3a18f1860f8f6f17df4bbf1633837
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 10:41:25 +0200

    Use latest ISDA conventions throughout.

 Examples/CDS/CDS.cpp                               |  8 --------
 ql/pricingengines/credit/isdacdsengine.hpp         |  2 +-
 .../credit/defaultprobabilityhelpers.cpp           | 22 ++++++----------------
 .../credit/defaultprobabilityhelpers.hpp           | 10 ----------
 4 files changed, 7 insertions(+), 35 deletions(-)

commit dffd67337e04a1870cfde23a93ae507fe864fb21
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 13 Sep 2017 10:40:49 +0200

    Restore check on upfront.

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

commit 06d181234f95076c6702296689fd3abdbe511b29
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 13:32:48 +0200

    Use settlement days instead of fixed NPV date.

 ql/experimental/credit/riskybond.cpp | 52 +++++++++++++++++++++++-------------
 ql/experimental/credit/riskybond.hpp | 34 ++++++++---------------
 2 files changed, 44 insertions(+), 42 deletions(-)

commit baaea1ad88d170399256deb8769e19914a8267e4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 12:57:32 +0200

    Check for base classes instead of derived.

 ql/pricingengines/credit/isdacdsengine.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 2bd3d6fe68120db2fe0117d235c582f252144a2e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 12:54:50 +0200

    Avoid unnecessary calculations.

 ql/pricingengines/credit/integralcdsengine.cpp | 9 ++++-----
 1 file changed, 4 insertions(+), 5 deletions(-)

commit d87151784f34aa4832599236eee5fe014270e059
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 12:40:46 +0200

    Remove unused data members.

 Examples/CDS/CDS.cpp                                   |  1 +
 ql/pricingengines/credit/isdacdsengine.cpp             |  2 --
 ql/pricingengines/credit/isdacdsengine.hpp             | 11 ++++-------
 ql/termstructures/credit/defaultprobabilityhelpers.cpp |  5 +----
 4 files changed, 6 insertions(+), 13 deletions(-)

commit a4942a0af34e40312b080b79efbd59ffdfc4db55
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 12:07:32 +0200

    Renamed enumeration.

 Examples/CDS/CDS.cpp                               | 20 ++++-----
 ql/instruments/creditdefaultswap.cpp               | 22 +++++++---
 ql/instruments/creditdefaultswap.hpp               | 15 ++++---
 .../credit/defaultprobabilityhelpers.cpp           | 49 ++++++++++++----------
 .../credit/defaultprobabilityhelpers.hpp           | 26 ++++++------
 test-suite/creditdefaultswap.cpp                   |  2 +-
 6 files changed, 75 insertions(+), 59 deletions(-)

commit db35c6b73b711d5ac2256504408c2d3d0e9dc1b5
Merge: c32663cdf 4f9440151
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 11 Sep 2017 11:35:39 +0200

    Merge pull request #305.

commit 4f9440151ad33cb0a9e024a23f381d5b7eed1519
Author: Joseph Jeisman <jeismajo@gmail.com>
Date:   Sun, 3 Sep 2017 20:51:02 +0200

    Changes to FloatingLeg and IborCoupon
    
    Changes to allow for Payment Lag, Payment Adjustment and Payment Calendar on FloatingLeg

 ql/cashflows/cashflowvectors.hpp | 15 +++++++++++----
 ql/cashflows/iborcoupon.cpp      | 15 ++++++++++++++-
 ql/cashflows/iborcoupon.hpp      |  6 ++++++
 3 files changed, 31 insertions(+), 5 deletions(-)

commit c32663cdfda7a286c05f7a805be2f67dde65db40
Merge: 94a87194e 765524a51
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Sep 2017 17:50:38 +0200

    Merge pull request #303.

commit 94a87194ec55988fb8f6f51cbdf53bd7052d4c0e
Merge: 4b5cefb55 f037a8dd5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Sep 2017 15:03:11 +0200

    Merge pull request #304.

commit f037a8dd561e04f2ab9cff7bb4830894721f5ad9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Sep 2017 13:24:33 +0200

    Extend build matrix to cover g++ 7.2.

 .travis.yml | 7 +++++--
 1 file changed, 5 insertions(+), 2 deletions(-)

commit 765524a51070751ae9df7d55f4e45224dc967f9a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Sep 2017 12:37:45 +0200

    Add Act/365 (no leap) to Actual365Fixed class.

 ql/time/daycounters/actual365fixed.cpp | 46 +++++++++++++++++++++++++++++-----
 ql/time/daycounters/actual365fixed.hpp | 22 +++++++++++++---
 ql/time/daycounters/actual365nl.hpp    | 12 +++++----
 3 files changed, 65 insertions(+), 15 deletions(-)

commit 4b5cefb55c5ff4c1524cdbbc83295b70ea23ece6
Merge: 46e7c908f ad8bc4384
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 7 Sep 2017 17:45:01 +0200

    Merge pull request #302.

commit 59aea4017741010a96102c9a1af6d828a5a8ee26
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 7 Sep 2017 11:33:56 -0400

    fix accuracy

 ql/instruments/creditdefaultswap.cpp | 2 +-
 ql/instruments/creditdefaultswap.hpp | 2 +-
 test-suite/creditdefaultswap.cpp     | 2 +-
 3 files changed, 3 insertions(+), 3 deletions(-)

commit 7808f53b7a302d0605e235bc88084d1c6aed27bb
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 7 Sep 2017 10:19:20 -0400

    do not do the search in log space

 ql/instruments/creditdefaultswap.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit 303fca276cc031b2690ff8a4adefe0bbab65b4a1
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 7 Sep 2017 09:46:00 -0400

    Always initialize upfront payment
    
    - set to zero amount cashflow if missing.
    - shortcut computation if amount is 0.

 ql/instruments/creditdefaultswap.cpp           | 39 +++++++++++++-------------
 ql/pricingengines/credit/integralcdsengine.cpp | 27 +++++++++---------
 ql/pricingengines/credit/isdacdsengine.cpp     |  8 ++++--
 ql/pricingengines/credit/midpointcdsengine.cpp | 28 +++++++++---------
 4 files changed, 53 insertions(+), 49 deletions(-)

commit ad8bc4384de922a8ae3e7dcb3d147cf45aa76561
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 7 Sep 2017 10:20:29 +0200

    Remove deprecated NoArbSabrModel::checkAbsorptionMatrix method.
    
    It was deprecated in version 1.8.1.

 ql/experimental/volatility/noarbsabr.cpp | 6 ------
 ql/experimental/volatility/noarbsabr.hpp | 3 ---
 2 files changed, 9 deletions(-)

commit 64b4c7be11815d1fc5be94e12bedd833f2a5f2b5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 7 Sep 2017 10:13:50 +0200

    Remove deprecated CapFloor::impliedVolatility method.
    
    It was deprecated in version 1.9.

 ql/instruments/capfloor.cpp | 14 --------------
 ql/instruments/capfloor.hpp | 11 -----------
 2 files changed, 25 deletions(-)

commit 43afff8d27e35d9c7be8e639cdc92f70c557aaf3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 7 Sep 2017 09:24:03 +0200

    Remove deprecated Swaption::impliedVolatility method.
    
    It was deprecated in version 1.9.

 ql/instruments/swaption.cpp | 14 --------------
 ql/instruments/swaption.hpp | 11 -----------
 2 files changed, 25 deletions(-)

commit d69846c3f9ac7e8232fe62b120036c84520b0ac9
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Sep 2017 16:06:46 -0400

    header cleanup

 Examples/CDS/CDS.cpp | 3 ---
 1 file changed, 3 deletions(-)

commit e5ef38b030cadd20f29487ef3f9950ddc3e4d7cc
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Sep 2017 16:04:39 -0400

    be more lenient in the casting

 ql/pricingengines/credit/isdacdsengine.cpp | 25 ++++++++++++-------------
 1 file changed, 12 insertions(+), 13 deletions(-)

commit 7d16001b8e812c31555cd72c1bf9762cdaddfe0c
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Sep 2017 16:04:19 -0400

    use enum

 Examples/CDS/CDS.cpp                               | 18 +++---
 ql/instruments/creditdefaultswap.cpp               | 69 +++++++++++-----------
 ql/instruments/creditdefaultswap.hpp               |  9 ++-
 ql/instruments/makecds.hpp                         |  2 +-
 .../credit/defaultprobabilityhelpers.cpp           | 37 ++++++------
 .../credit/defaultprobabilityhelpers.hpp           | 22 ++++---
 test-suite/creditdefaultswap.cpp                   |  2 +-
 7 files changed, 85 insertions(+), 74 deletions(-)

commit ee1dfd603e0e85dd6e1b72535cb50c1e0b94e31e
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Sep 2017 13:31:40 -0400

    fix example

 Examples/CDS/CDS.cpp | 26 ++++++++++++--------------
 1 file changed, 12 insertions(+), 14 deletions(-)

commit 53a5e8f8e0886c75fc8bc6db30190871cd63bce7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 18:18:38 +0200

    Remove deprecated MixedLinearCubicInterpolation constructors.
    
    They were deprecated in version 1.8.

 ql/math/interpolations/mixedinterpolation.hpp | 63 ---------------------------
 1 file changed, 63 deletions(-)

commit 5e414fa5b82b897b21b409189f09c6189739b0a2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 18:10:25 +0200

    Remove deprecated HestonExpansionEngine::numberOfEvaluations.
    
    It was deprecated in version 1.9.

 ql/pricingengines/vanilla/hestonexpansionengine.cpp | 4 ----
 ql/pricingengines/vanilla/hestonexpansionengine.hpp | 4 ----
 2 files changed, 8 deletions(-)

commit 277c68b200db3d97537077b5619a2e971b28d215
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Sep 2017 10:31:13 -0400

    reorder initialization

 ql/pricingengines/credit/isdacdsengine.cpp             |  1 -
 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 16 +++++++++-------
 2 files changed, 9 insertions(+), 8 deletions(-)

commit 46e7c908fce7735979993dacaf9c0dc1d80288f1
Merge: 2cce8d5e4 1bcededcb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 12:31:30 +0200

    Merge pull request #292.

commit 2cce8d5e471ce7b1bb19e8917691efecffdf41da
Merge: a5c0c7f0e df9854aba
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 12:01:41 +0200

    Merge pull request #258.

commit df9854aba9482bfbf558e69004ef1cd810dd464e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 11:15:24 +0200

    Separate test cases.

 test-suite/overnightindexedswap.cpp | 34 ++++++++--------------------------
 test-suite/overnightindexedswap.hpp |  1 +
 2 files changed, 9 insertions(+), 26 deletions(-)

commit 093498840de567c657eef42096e4a5e66e68afd1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 11:15:04 +0200

    Add default parameter value.

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

commit a5c0c7f0e520b0c4578278c376bee2c40733f2ed
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 6 Sep 2017 09:55:06 +0200

    Disable tests using negative rates when explicitly disabled.
    
    Fixes #296.

 test-suite/optionletstripper.cpp | 23 +++--------------------
 1 file changed, 3 insertions(+), 20 deletions(-)

commit daab4dc69a18c4dd5e297c9986cf27383103acea
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Tue, 5 Sep 2017 20:04:18 -0400

    wip

 Examples/CDS/CDS.cpp                               | 36 +++++++++++++---------
 ql/instruments/creditdefaultswap.cpp               |  5 ++-
 ql/pricingengines/credit/isdacdsengine.cpp         | 36 ----------------------
 ql/pricingengines/credit/isdacdsengine.hpp         | 20 ------------
 .../credit/defaultprobabilityhelpers.cpp           | 30 +++++++++---------
 .../credit/defaultprobabilityhelpers.hpp           | 23 ++++----------
 test-suite/defaultprobabilitycurves.cpp            |  3 +-
 7 files changed, 45 insertions(+), 108 deletions(-)

commit 5adc8589481644d55c2fd6e261abdc1ddf6cd552
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Mon, 3 Jul 2017 12:40:46 -0400

    fix tests

 ql/instruments/makecds.hpp       |   4 +-
 test-suite/creditdefaultswap.cpp | 110 +++++++++++++++++++--------------------
 2 files changed, 57 insertions(+), 57 deletions(-)

commit 82de7dac7931935ced7589c89e5beb7b2246ced6
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Fri, 30 Jun 2017 11:17:36 -0400

    make_shared takes at most 9 params

 Examples/CDS/CDS.cpp                               | 30 ++++++++++++----------
 .../credit/defaultprobabilityhelpers.cpp           |  8 +++---
 2 files changed, 20 insertions(+), 18 deletions(-)

commit 875d1bba9c8b10655e6ce76d298f541a328f1fac
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 29 Jun 2017 09:53:49 -0400

    use CDS2015 rule

 .../credit/defaultprobabilityhelpers.cpp            | 21 ++++-----------------
 1 file changed, 4 insertions(+), 17 deletions(-)

commit 22dbc90899b624de97fe8824fc0c888416992ab1
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 29 Jun 2017 09:39:46 -0400

    make templates C++98 compatible

 ql/pricingengines/credit/isdacdsengine.cpp | 28 ++++++++++++++--------------
 test-suite/creditdefaultswap.cpp           |  2 +-
 2 files changed, 15 insertions(+), 15 deletions(-)

commit 1e7458b67729cb5e378324c20ed457bd9011bae4
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 28 Jun 2017 17:16:38 -0400

    add missing headers

 Examples/CDS/CDS.cpp | 12 +++++++++++-
 1 file changed, 11 insertions(+), 1 deletion(-)

commit a9f9c023fedc3e10364e4c52946ad1b6a8c31674
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 28 Jun 2017 16:22:18 -0400

    make codacy happy

 ql/time/daycounters/actual360.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit e012f7cefb714b8fd5e2058edb1874ebb6250b97
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Mon, 19 Dec 2016 16:42:59 -0500

    update to serial_type

 ql/time/daycounters/actual360.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 94055d586ad58cffdbbc154e6d818f1363350f50
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 29 Jul 2016 14:41:09 -0400

    Add extra startDate parameters
    
    - if not provided (case of single name cds), the maturity rolls
      every 3 months (or 6 months, see below).
    - if provided, the cds schedule is fixed, only the protection start
      date gets updated when the evaluation date changes.
      (case of CDS index for instance)
    - also take into account the switch to semi annual roll after
      December 10th 2015.

 Examples/CDS/CDS.cpp                               | 14 ++---
 .../credit/defaultprobabilityhelpers.cpp           | 69 +++++++++++++++-------
 .../credit/defaultprobabilityhelpers.hpp           |  7 +++
 test-suite/defaultprobabilitycurves.cpp            |  1 +
 4 files changed, 62 insertions(+), 29 deletions(-)

commit 4ed993948c78149389fb6901e713db113a8061f1
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Thu, 28 Jul 2016 14:33:23 -0400

    apply fix from piecewiseyieldcurve

 ql/termstructures/credit/piecewisedefaultcurve.hpp | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

commit 47c4bcd86ecfb7ddf334bdd77a3c6645dbb1bea9
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Thu, 28 Jul 2016 11:04:08 -0400

    no need to redefine initializeDate()

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 4 ----
 ql/termstructures/credit/defaultprobabilityhelpers.hpp | 3 +--
 2 files changed, 1 insertion(+), 6 deletions(-)

commit 9d9a0263a6857e34e7c60b46c0bbd19ae0cbe1bb
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Wed, 20 Jul 2016 10:14:01 -0400

    improve guess
    
    swith the parameter searh to log space, in order to enforce positivity

 ql/instruments/creditdefaultswap.cpp | 14 +++++++-------
 test-suite/creditdefaultswap.cpp     |  2 +-
 2 files changed, 8 insertions(+), 8 deletions(-)

commit a90f285097e460248222f678452e8a42038718ec
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Mon, 18 Jul 2016 16:11:47 -0400

    add test for the isda engine

 test-suite/creditdefaultswap.cpp | 149 ++++++++++++++++++++++++++++++++++++++-
 test-suite/creditdefaultswap.hpp |   1 +
 2 files changed, 149 insertions(+), 1 deletion(-)

commit 5e82c28cba3dbf71b3f3bc809b959f3ea5e833da
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Tue, 19 Jul 2016 15:04:12 -0400

    fix upfrontDate

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

commit fb0b9aa3551e3c4d2f874bd62d44270a7a2d897d
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Mon, 18 Jul 2016 15:50:31 -0400

    allow to specify termDate

 ql/instruments/makecds.cpp | 13 +++++++++++--
 ql/instruments/makecds.hpp |  5 ++++-
 2 files changed, 15 insertions(+), 3 deletions(-)

commit 85ca9941527eb9cb5757fba679da70919509ae19
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Sat, 16 Jul 2016 14:12:19 -0400

    handle case of empty nodes vector

 ql/pricingengines/credit/isdacdsengine.cpp | 27 ++++++++++++++++-----------
 1 file changed, 16 insertions(+), 11 deletions(-)

commit 0d26b0ed0b044a34ab966095fd83ef39864b80fe
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Sat, 16 Jul 2016 14:11:28 -0400

    rorganize dynamic casting

 ql/pricingengines/credit/isdacdsengine.cpp | 66 +++++++++++++-----------------
 1 file changed, 29 insertions(+), 37 deletions(-)

commit 04e7eb3455c93a65a15b1bbacc02a2e703782cf8
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 15 Jul 2016 17:21:32 -0400

    add option to use isdaengine

 ql/instruments/creditdefaultswap.cpp | 94 +++++++++++++++++++++++-------------
 ql/instruments/creditdefaultswap.hpp |  6 ++-
 2 files changed, 65 insertions(+), 35 deletions(-)

commit 0da26dd52a78b7a27e6c5eef7562b0d3f1a39931
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 15 Jul 2016 16:39:20 -0400

    try one more dynamic cast

 ql/pricingengines/credit/isdacdsengine.cpp | 9 ++++++++-
 1 file changed, 8 insertions(+), 1 deletion(-)

commit ccb4fa95494fd42a84cfe79a439590b9fa46aa8b
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Wed, 13 Jul 2016 18:02:32 -0400

    change the default setting for IsdaEngine

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit ba63dfb6a996cd25d3a54e9ccf4e6b587321087e
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Mon, 11 Jul 2016 14:01:04 -0400

    do not compute each node twice

 ql/pricingengines/credit/isdacdsengine.cpp | 31 +++++++++++++++++-------------
 1 file changed, 18 insertions(+), 13 deletions(-)

commit 547973aa3057ead393f21b145da30ca14f79ef75
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Wed, 6 Jul 2016 16:04:49 -0400

    Fix the coupon leg computation
    
    - the sign for the accrual bias was wrong
    - local nodes generation was incorrect
    very close to isda pricer now

 ql/pricingengines/credit/isdacdsengine.cpp | 43 +++++++++++-------------------
 1 file changed, 15 insertions(+), 28 deletions(-)

commit 8dae5c04f9aedd73e3c3d17533315ccf7319491c
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Wed, 6 Jul 2016 14:59:49 -0400

    Fix default leg computation
    
    - simplify node computation, this is simpler and faster.
    - there is no need to adjust the end of day computation for
    survival probability. default is protection start at beginning of day.
    
    this is much closer to isda engine now.

 ql/pricingengines/credit/isdacdsengine.cpp | 57 ++++++++----------------------
 1 file changed, 14 insertions(+), 43 deletions(-)

commit e5b5db379f48bc71eaeb776430111d3ecebca2cc
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 24 Jun 2016 14:10:06 -0400

    really fix last_period coupon

 ql/cashflows/fixedratecoupon.cpp  | 10 +++++-----
 ql/time/daycounters/actual360.hpp |  2 +-
 2 files changed, 6 insertions(+), 6 deletions(-)

commit 6a773209b488984d5c957daaba10a287d93acd5b
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Tue, 21 Jun 2016 16:19:57 -0400

    add CreditDefaultSwap inspector

 ql/termstructures/credit/defaultprobabilityhelpers.hpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

commit 7350fbeb09aa489411afe4a9e9f8d0ed4517d8eb
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 10 Jun 2016 15:52:35 -0400

    fix whitespace

 ql/cashflows/fixedratecoupon.cpp     |  2 +-
 ql/instruments/creditdefaultswap.cpp | 20 ++++++++++----------
 ql/instruments/creditdefaultswap.hpp | 12 ++++++------
 3 files changed, 17 insertions(+), 17 deletions(-)

commit 1a83341c3eb30cca30aa23872dc07f05a0c23fce
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Tue, 7 Jun 2016 17:08:50 -0400

    run full example

 Examples/CDS/CDS.cpp | 29 +++++++++++++++++------------
 1 file changed, 17 insertions(+), 12 deletions(-)

commit 06a46cebf968b2c689c87f3fa2dcc4bda28f0469
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Mon, 6 Jun 2016 11:26:19 -0400

    remove debug statements

 ql/pricingengines/credit/isdacdsengine.cpp | 23 -----------------------
 1 file changed, 23 deletions(-)

commit f52305df5b7098bdc29f19a43b44e06b0db17c7f
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 27 May 2016 12:44:19 -0400

    rename to be more consitent with other conventions

 ql/time/daycounters/actual360.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 47383936d558cbec8431ffd304752e94f08c4ee1
Author: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date:   Fri, 20 May 2016 16:21:14 -0400

    fix typos

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

commit eb346e415b820ba71a62763501f4ccd16ced25f7
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date:   Thu, 19 May 2016 23:35:44 -0400

    fix preprocessor variable name

 Examples/CDS/CDS.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit 73e6021236cb182b2beb1989dd9d7972afcfe819
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Oct 2014 19:55:41 +0200

    update example

 Examples/CDS/CDS.cpp | 155 +++++++++++++++++++++++++++++++++------------------
 1 file changed, 100 insertions(+), 55 deletions(-)

commit aea83a6c2f76f70be2d6137590108458a7b415eb
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 25 Oct 2014 19:54:49 +0200

    add some debug outputs

 ql/pricingengines/credit/isdacdsengine.cpp | 40 +++++++++++++++++++-----------
 1 file changed, 26 insertions(+), 14 deletions(-)

commit 68792169006c1687b9327cc7375c8133c3e92a91
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 4 May 2014 20:35:01 +0200

    tentative implementation of maturity included in protection

 ql/pricingengines/credit/isdacdsengine.cpp | 20 +++++++++++---------
 1 file changed, 11 insertions(+), 9 deletions(-)

commit edaa603bbdccd74eaf90bca133e6539a08b51fa4
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 5 Apr 2014 12:18:34 +0200

    handle cds maturity date, reformat code, amend copyrights

 ql/pricingengines/credit/isdacdsengine.cpp         | 152 ++++++++++-----------
 ql/pricingengines/credit/isdacdsengine.hpp         |   4 +-
 .../credit/defaultprobabilityhelpers.cpp           |   1 +
 3 files changed, 78 insertions(+), 79 deletions(-)

commit 0603677f1ae946e69b709a9cdb0505afc77ea045
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Mar 2014 20:32:22 +0100

    extend example

 Examples/CDS/CDS.cpp | 63 +++++++++++++++++++++++++++++++++++++++++-----------
 1 file changed, 50 insertions(+), 13 deletions(-)

commit 9ce3ea65bea2f11d5c3e63df072264d9e3503600
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 16 Mar 2014 12:18:59 +0100

    temp changes to the example and the isda engine (add debug outputs)

 Examples/CDS/CDS.cpp                       | 68 +++++++++++++++++++-----------
 ql/pricingengines/credit/isdacdsengine.cpp | 20 ++++++++-
 2 files changed, 62 insertions(+), 26 deletions(-)

commit 1b173997d9c372bf844990a7f38306a2b3771ec4
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 15 Mar 2014 19:03:29 +0100

    fix coupon tenor

 ql/instruments/makecds.cpp | 21 ++++++++++++---------
 ql/instruments/makecds.hpp |  3 ++-
 2 files changed, 14 insertions(+), 10 deletions(-)

commit e35bef531825ec8373b2ebb1501df55646fa1c85
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 20 Jan 2014 21:20:35 +0100

    make use of isda engine a bool

 Examples/CDS/CDS.cpp | 13 +++++++------
 1 file changed, 7 insertions(+), 6 deletions(-)

commit 272ffa69969c42ebbf32890c86fc3809f56fe250
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 18 Jan 2014 19:06:44 +0100

    initialized isda engine parameters in helper constructors

 .../credit/defaultprobabilityhelpers.cpp           | 75 ++++++++++------------
 1 file changed, 34 insertions(+), 41 deletions(-)

commit 9a9d86e0233f1ff351bfbbc84edef4c421190c95
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 18 Jan 2014 19:06:13 +0100

    fix par rates in credit curve, add credit curve output

 Examples/CDS/CDS.cpp | 24 ++++++++++++++++++++----
 1 file changed, 20 insertions(+), 4 deletions(-)

commit 9b2e4621927d585de83cebe9dbb2cebe6562624f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 17 Jan 2014 21:26:04 +0100

    add example 3

 Examples/CDS/CDS.cpp | 174 +++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 174 insertions(+)

commit 4f3e846454b786430e94feffeaa79c8a7b77c014
Author: Pepe <japari@free.fr>
Date:   Fri, 17 Jan 2014 13:47:50 +0100

    Revert some modifs.

 ql/pricingengines/credit/isdacdsengine.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 974fcbe709c5297af26846b766ddc953d2e3effe
Author: pepe <japari@free.fr>
Date:   Thu, 16 Jan 2014 19:12:36 +0100

    some modfis on the default accrual. To be revised by Peter

 ql/pricingengines/credit/isdacdsengine.cpp | 25 +++++++++++++++----------
 1 file changed, 15 insertions(+), 10 deletions(-)

commit 02251155de80c545e68ab7b060aff7730870de52
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 13 Jan 2014 20:08:49 +0100

    remove calcuate invocation which is not needed any more

 ql/pricingengines/credit/isdacdsengine.hpp | 2 --
 1 file changed, 2 deletions(-)

commit 8f50a88b18fd5e0be14b0269edb540190613355e
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 13 Jan 2014 20:08:02 +0100

    move curve construction to second constructor, register on curve level

 ql/pricingengines/credit/isdacdsengine.cpp | 101 ++++++++++++-----------------
 ql/pricingengines/credit/isdacdsengine.hpp |   1 -
 2 files changed, 43 insertions(+), 59 deletions(-)

commit 5285d7282bfbd3a6547addc711cfa854f07a1277
Author: pepe <japari@free.fr>
Date:   Sun, 12 Jan 2014 21:12:10 +0100

    case when both iterators equal. Not very elegant..

 ql/pricingengines/credit/isdacdsengine.cpp | 5 +++++
 1 file changed, 5 insertions(+)

commit dfac85e2fc6d33db5bf957f24c6178f212a46c2b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 12 Jan 2014 18:56:31 +0100

    calculate before returning curve (may be empty otherwise)

 ql/pricingengines/credit/isdacdsengine.hpp | 10 ++++++++--
 1 file changed, 8 insertions(+), 2 deletions(-)

commit 6bb92c13214b2a5b65412552a2cce111ab895ff9
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 12 Jan 2014 18:55:50 +0100

    fix make_shared statements, add output of curves

 Examples/CDS/CDS.cpp | 30 ++++++++++++++++++++++++------
 1 file changed, 24 insertions(+), 6 deletions(-)

commit d38f81633be92e7d3b63bbc0b570514aaacc75c3
Author: pepe <japari@free.fr>
Date:   Sun, 12 Jan 2014 12:33:47 +0100

    renamed index

 ql/pricingengines/credit/isdacdsengine.cpp | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

commit 47ff2faeae53767f3f2bf6840f6154cd6c2fbb17
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 11 Jan 2014 19:29:38 +0100

    fix false make_shared statements

 ql/pricingengines/credit/isdacdsengine.cpp         |  8 ++--
 .../credit/defaultprobabilityhelpers.cpp           | 53 +++++++++-------------
 2 files changed, 24 insertions(+), 37 deletions(-)

commit b41d33c1bae35c93b479cbf988333b976be32723
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 11 Jan 2014 19:27:10 +0100

    correct false make_shared statement

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

commit 7a58cd40733440a9e0df6a6ec5b3d6cb599d9488
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 11 Jan 2014 19:26:39 +0100

    make code c++11 compliant

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

commit fa64aa7e5236ea938ef3d32ee5d39a546b6089ca
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 11 Jan 2014 19:26:12 +0100

    extend cds example

 Examples/CDS/CDS.cpp | 491 ++++++++++++++++++++++++++++++---------------------
 1 file changed, 294 insertions(+), 197 deletions(-)

commit 1e05857e2107805684216cea5669c55ffeedaab7
Author: pepe <japari@free.fr>
Date:   Sat, 11 Jan 2014 16:44:08 +0100

    direction update

 ql/pricingengines/credit/isdacdsengine.cpp | 7 +++++--
 1 file changed, 5 insertions(+), 2 deletions(-)

commit 603fa52974046384b16287afce979d2b2e5599e5
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 18:59:44 +0100

    fix interval tracking

 ql/pricingengines/credit/isdacdsengine.cpp | 1 +
 1 file changed, 1 insertion(+)

commit 5df3f4b9d1192413ab5a33daafb0a66b907d4990
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 18:46:15 +0100

    check flag values, set discount curve in helpers

 ql/pricingengines/credit/isdacdsengine.cpp | 14 ++++++++++++++
 1 file changed, 14 insertions(+)

commit 2490227b31170c189b6180c028464474d18d7d4b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 18:45:50 +0100

    add rebate accrual flag to helper, add flag indicating that isda engine should be used for bootstrapping (instead of mid point engine)

 .../credit/defaultprobabilityhelpers.cpp           | 129 +++++++++++++--------
 .../credit/defaultprobabilityhelpers.hpp           |  59 ++++++++--
 2 files changed, 131 insertions(+), 57 deletions(-)

commit c0f7eb5b09213e7731363deb400ef905caa2413d
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 18:43:21 +0100

    author comments, add inspectors for isda curves

 ql/pricingengines/credit/isdacdsengine.hpp | 13 +++++++++++--
 1 file changed, 11 insertions(+), 2 deletions(-)

commit 0a8b7aad08971727d5bb914117d8dbc50aa2d9d1
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 18:41:38 +0100

    add make cds facility

 ql/instruments/Makefile.am |   2 +
 ql/instruments/all.hpp     |   1 +
 ql/instruments/makecds.cpp | 100 +++++++++++++++++++++++++++++++++++++++++++++
 ql/instruments/makecds.hpp |  66 ++++++++++++++++++++++++++++++
 4 files changed, 169 insertions(+)

commit 08041c4894b2fa6adcdcb39cac9df28ef2a3a15e
Author: pepe <japari@free.fr>
Date:   Fri, 10 Jan 2014 18:19:58 +0100

    modifed default leg loop

 ql/pricingengines/credit/isdacdsengine.cpp | 15 +++++++++++----
 1 file changed, 11 insertions(+), 4 deletions(-)

commit 9e84e44f640b8bff883206fe90452195495b3ede
Author: pepe <japari@free.fr>
Date:   Fri, 10 Jan 2014 18:02:12 +0100

    revert index modif....

 ql/pricingengines/credit/isdacdsengine.cpp | 1 -
 1 file changed, 1 deletion(-)

commit 488c1e2d79b0b88b850f167cd94b6b3b96d32761
Author: pepe <japari@free.fr>
Date:   Fri, 10 Jan 2014 17:57:28 +0100

    Modified dangling iterators and loop index.

 ql/pricingengines/credit/isdacdsengine.cpp | 6 +++++-
 1 file changed, 5 insertions(+), 1 deletion(-)

commit ad8f6d3818045c70adba709dff2b5ba41a4b72c7
Author: pepe <japari@free.fr>
Date:   Fri, 10 Jan 2014 10:23:48 +0100

    Typo

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

commit 5a283f29599074bed154a43dbe1eed516d004e3f
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Fri, 10 Jan 2014 10:10:52 +0100

    cast explicitly for allowed curve types and extract helper maturity dates automatically

 ql/pricingengines/credit/isdacdsengine.cpp | 58 +++++++++++++++++++++---------
 ql/pricingengines/credit/isdacdsengine.hpp | 10 +++---
 2 files changed, 45 insertions(+), 23 deletions(-)

commit 768f5692467808d419a6b032c7e2ad8475dd9ebf
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 9 Jan 2014 11:21:54 +0100

    finish first version (compiles without errors, but no functional tests done yet)

 ql/pricingengines/credit/isdacdsengine.cpp | 355 ++++++++++++++++++++---------
 ql/pricingengines/credit/isdacdsengine.hpp |  55 ++---
 2 files changed, 278 insertions(+), 132 deletions(-)

commit 0e592716a71f78ac5dab3d996d06758433fbc8b4
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 9 Jan 2014 11:20:06 +0100

    add maturity to arguments, clean formatting of some comments, add warning concerning the conventional spread calculation (should be fixed later)

 ql/instruments/creditdefaultswap.cpp | 19 +++++++++++++------
 ql/instruments/creditdefaultswap.hpp |  6 ++++++
 2 files changed, 19 insertions(+), 6 deletions(-)

commit 44093c3bfc55fa573c1f1c11d2676095045d68cd
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 7 Jan 2014 20:19:51 +0100

    fix qualification of enums (in general not allowed)

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

commit f88784c4600f1857775c573c349abcd06cf27177
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 7 Jan 2014 18:42:36 +0100

    authored comments

 ql/pricingengines/credit/isdacdsengine.hpp | 20 +++++++++++---------
 1 file changed, 11 insertions(+), 9 deletions(-)

commit 0f78c54b8d59986cc55d7fc034178a79b29bf2eb
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 7 Jan 2014 18:42:07 +0100

    fix end date calculation also for old styled CDS contracts

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit f087cd3c965027232968d221a048df4ffcfe0fa1
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 6 Jan 2014 19:31:02 +0100

    add references and implementation details flags, add second constructor for curve construction within the engine and remove static utility functions

 ql/pricingengines/credit/isdacdsengine.cpp | 133 ++++++++++++++++-------------
 ql/pricingengines/credit/isdacdsengine.hpp |  92 ++++++++++++++++++--
 2 files changed, 160 insertions(+), 65 deletions(-)

commit b4dda17e8166bdc9d1a21bceea6297cbedd7fa4b
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 6 Jan 2014 17:57:50 +0100

    fix start and end date for standard contracts

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 8 ++++++++
 1 file changed, 8 insertions(+)

commit 7db2ea23df5b88d981e56f6dbb6ee5c739cf0ebc
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 5 Jan 2014 18:56:16 +0100

    add isda engine (just template files, not yet working)

 ql/pricingengines/credit/Makefile.am       |   2 +
 ql/pricingengines/credit/all.hpp           |   1 +
 ql/pricingengines/credit/isdacdsengine.cpp | 214 +++++++++++++++++++++++++++++
 ql/pricingengines/credit/isdacdsengine.hpp |  58 ++++++++
 4 files changed, 275 insertions(+)

commit ac089e86c0141fb312650b2e3364b35297880dd7
Author: Pepe <japari@free.fr>
Date:   Wed, 20 Nov 2013 18:13:04 +0100

    Modified logic as discussed with P. Caspers

 ql/instruments/creditdefaultswap.cpp | 14 +++++---------
 1 file changed, 5 insertions(+), 9 deletions(-)

commit bd34470d1726ef13d80afd30e5a3cc2e782da846
Author: Pepe <japari@free.fr>
Date:   Mon, 4 Nov 2013 12:00:34 +0100

    Accrual rebate in CDS and dependencies (with Peter Caspers). CDS and risky bonds into Add-in. Worksheet demo.

 ql/cashflows/fixedratecoupon.cpp                   |  9 +++
 ql/cashflows/fixedratecoupon.hpp                   |  3 +-
 ql/experimental/credit/riskybond.cpp               | 31 +++++---
 ql/experimental/credit/riskybond.hpp               | 30 +++++++-
 ql/instruments/creditdefaultswap.cpp               | 86 +++++++++++++++++++---
 ql/instruments/creditdefaultswap.hpp               | 46 ++++++++++--
 ql/pricingengines/credit/integralcdsengine.cpp     | 45 ++++++++---
 ql/pricingengines/credit/midpointcdsengine.cpp     | 48 +++++++++---
 .../credit/defaultprobabilityhelpers.cpp           | 41 +++++++----
 .../credit/defaultprobabilityhelpers.hpp           | 32 +++++---
 ql/time/daycounters/actual360.hpp                  | 13 +++-
 test-suite/defaultprobabilitycurves.cpp            | 23 ++++--
 12 files changed, 318 insertions(+), 89 deletions(-)

commit 1bcededcb503d16b5df3c66474f6e3a00a292d1a
Author: f.xue <f.xue@tmcbonds.com>
Date:   Tue, 5 Sep 2017 17:41:21 -0400

    Fixes after code review for #282

 ql/cashflows/cashflows.cpp | 169 ++++++++++++---------------------------------
 test-suite/bonds.cpp       |   2 +-
 2 files changed, 46 insertions(+), 125 deletions(-)

commit cdb9d8eb8dcc679e225b384c2afdd141ec0d8c93
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Tue, 5 Sep 2017 20:32:20 +0200

    telescopic value dates as an option everywhere

 ql/cashflows/overnightindexedcoupon.cpp   |  4 ++--
 ql/cashflows/overnightindexedcoupon.hpp   |  4 ++--
 ql/indexes/swapindex.cpp                  |  7 ++++---
 ql/indexes/swapindex.hpp                  |  4 +++-
 ql/instruments/makeois.hpp                |  2 +-
 ql/termstructures/yield/oisratehelper.cpp | 16 ++++++++++------
 ql/termstructures/yield/oisratehelper.hpp | 10 +++++++---
 test-suite/overnightindexedswap.cpp       | 17 +++++++++++++----
 8 files changed, 42 insertions(+), 22 deletions(-)

commit 5e7b136166862a8cd0204d74901de33cd6deee22
Merge: b05698a40 f7f044a65
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 16:00:30 +0200

    Merge pull request #295.

commit b05698a4012a24478ce2234000ceda97e2560a79
Merge: aafc24d8f 6652309bc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 14:50:18 +0200

    Merge pull request #301.

commit aafc24d8fff60916cb9b3d5a87dc27f64852ee3d
Merge: 1cc18d2ef c8864c38d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 13:05:05 +0200

    Merge pull request #286.

commit 1cc18d2ef5a5e98a7dc84e85c836f2ecf2e231ab
Merge: 6f318d879 3e9dfa58a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 12:11:06 +0200

    Merge pull request #287.

commit 6f318d87998031b45d21c53b4882f5765ad8fcd6
Merge: 98bc0d0df 20ac4b55c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 11:43:54 +0200

    Merge pull request #288.

commit 98bc0d0df5efe20f35839d7f7dcfd0fdae1d423c
Merge: ff5e1f7cc 0e15b7207
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 11:01:41 +0200

    Merge pull request #279.

commit ff5e1f7cc2f8fd61b1ecfbbde27a4b79cdfddf14
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Sep 2017 09:36:07 +0200

    Add expected values for indexed coupons.
    
    Fixes #297.

 test-suite/optionletstripper.cpp | 21 +++++++++++++++++----
 1 file changed, 17 insertions(+), 4 deletions(-)

commit e9ef88d4ff3827a7a79aca4e3c73092f4090525b
Merge: 771ac279c d7b81afed
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 17:17:47 +0200

    Merge pull request #251.

commit 771ac279cdfecfa7d66b8b419ab9702e3d77976b
Merge: e366b68bd 1fe86b99a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 17:14:24 +0200

    Merge pull request #281.

commit 6652309bcd2180a4b1ce32068f8906e6aea43b56
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 14:00:24 +0200

    Add Norm2 function for Array.
    
    It was being implemented (explicitly or implicitly) in a
    few places in the library.  We can as well make it available
    as a function.

 ql/math/array.hpp                                |  9 ++++++++-
 ql/math/interpolations/kernelinterpolation2d.hpp |  6 +-----
 ql/math/matrixutilities/bicgstab.cpp             | 17 +++++++++--------
 ql/math/matrixutilities/bicgstab.hpp             |  6 ++++--
 ql/math/matrixutilities/gmres.cpp                |  9 +++------
 ql/math/matrixutilities/gmres.hpp                |  3 +--
 ql/math/optimization/simplex.cpp                 |  4 ++--
 ql/math/optimization/simulatedannealing.hpp      |  2 +-
 8 files changed, 29 insertions(+), 27 deletions(-)

commit e366b68bdd0ecee84f68da1946570fe839cdd8f9
Merge: 604600ff7 69a445a83
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 11:41:21 +0200

    Merge pull request #205.

commit 604600ff7c58ca2651745969cf3fcde3ce3b14c5
Merge: 91688dcff 810991a46
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 10:34:08 +0200

    Merge pull request #188.

commit 810991a46c46bdb98079df56ccba144cf56b887a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 10:07:04 +0200

    Update remaining projects.

 QuantLib.dev        | 20 +++++++++++++++++++-
 QuantLib_vc9.vcproj |  8 ++++++++
 2 files changed, 27 insertions(+), 1 deletion(-)

commit 91688dcffb5949ad4ebd467dea9686b226d3b66c
Merge: dc76fc7c2 75bb8a5e3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Sep 2017 09:59:04 +0200

    Merge pull request #300.

commit c28d3cba0e20cf02e8530946524b119874c829c1
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 2 Sep 2017 15:00:44 +0200

    added lnChf function to AnalyticHestonEngine

 ql/pricingengines/vanilla/analytichestonengine.cpp | 14 ++++++++------
 ql/pricingengines/vanilla/analytichestonengine.hpp |  2 +-
 2 files changed, 9 insertions(+), 7 deletions(-)

commit c1953720027d5237ef17566dcca5939d37767036
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 2 Sep 2017 14:25:31 +0200

    Do older versins of boost need this include?

 ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp | 1 +
 1 file changed, 1 insertion(+)

commit 3718670593a3f4bb93124f398020b715f97971d9
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 2 Sep 2017 02:09:56 +0200

    removed unused variable

 ql/math/matrixutilities/gmres.cpp | 1 -
 ql/math/matrixutilities/gmres.hpp | 2 +-
 2 files changed, 1 insertion(+), 2 deletions(-)

commit dc76fc7c2b650a0694115f840264b7e2a74401bf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 18:55:25 +0200

    Include header explicitly.
    
    This is needed with older Boost versions, and it's probably
    good practice anyway.

 ql/experimental/finitedifferences/fdmhestonfwdop.cpp              | 1 +
 ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp   | 1 +
 ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp            | 1 +
 ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp  | 2 +-
 ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp            | 1 +
 ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp            | 2 +-
 ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp        | 1 +
 ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp    | 1 +
 ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp | 1 +
 ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp          | 1 +
 ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp       | 1 +
 ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp      | 1 +
 ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp         | 1 +
 ql/pricingengines/barrier/fdhestonbarrierengine.cpp               | 1 +
 14 files changed, 14 insertions(+), 2 deletions(-)

commit 7c9ae7a81c79f62c23dfeb2edd475148e671137d
Merge: d49732163 6baef4593
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 17:30:08 +0200

    Merge pull request #284.

commit d497321635e31bdb954e2bb44c0bbfd1b964ee1c
Merge: 7af1efd8c 6a9985a02
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 15:43:10 +0200

    Merge pull request #273.

commit 7af1efd8c9bbf3509598e4a46e802b7801de525f
Merge: 7c1a53a24 5e4632aa9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 15:14:14 +0200

    Merge pull request #276.

commit 75bb8a5e3a2647dd87f5e200e5b7a54aa10929b5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 14:32:20 +0200

    Move inclusion of specific header from base class to derived.
    
    The header was included in ql/termstructure.hpp but not used
    in the interface of the base class.

 ql/experimental/commodities/commoditycurve.hpp                   | 1 +
 ql/experimental/volatility/abcdatmvolcurve.hpp                   | 1 +
 ql/termstructure.hpp                                             | 2 +-
 ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp   | 1 +
 ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp | 1 +
 ql/termstructures/volatility/interpolatedsmilesection.hpp        | 1 +
 6 files changed, 6 insertions(+), 1 deletion(-)

commit 7c1a53a24808b10bca58a3fd227b3a088a260630
Merge: 4caf4ffa5 676344b57
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 11:46:17 +0200

    Merge pull request #280.

commit 69a445a83505efc1eff9f0095783df12a629208b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 Sep 2017 10:16:58 +0200

    Make constructor explicit.

 ql/time/daycounters/actual365fixed.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 4caf4ffa5efb70d4d3539c7366779698e4408352
Merge: 7b5273e65 dcfb0a3ae
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 31 Aug 2017 17:49:19 +0200

    Merge pull request #277.

commit 7b5273e65050a25bcb2fc4b1052e2fde5149c839
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 31 Aug 2017 16:39:02 +0200

    Avoid including all.hpp headers in library code.
    
    Fixes #298.

 ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 1 -
 ql/experimental/models/hestonslvfdmmodel.cpp                    | 7 ++++++-
 ql/experimental/swaptions/haganirregularswaptionengine.cpp      | 1 -
 tools/check_all_inclusions.sh                                   | 2 +-
 tools/check_inclusions.py                                       | 6 ++++++
 5 files changed, 13 insertions(+), 4 deletions(-)

commit 3ff2b86dacf11b7dc81e49a773b2d345fd8590a0
Merge: 792fe0d8c 9b80786fd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 31 Aug 2017 16:04:12 +0200

    Merge pull request #245.

commit c25b647f3cc1b250d621377e55375f566b5d52e9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 31 Aug 2017 11:59:23 +0200

    Bump version number to 1.10.2.

 Announce.txt   | 2 +-
 configure.ac   | 2 +-
 ql/version.hpp | 8 ++++----
 3 files changed, 6 insertions(+), 6 deletions(-)

commit 2565f48984e9d882ba503c7533c05819c6c92ae0
Merge: 7b3984f38 781a04e71
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Aug 2017 16:52:11 +0200

    Merge pull request #290.

commit 781a04e71940d2a8f5ef7fe19044e116d0b5b4cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Aug 2017 16:14:47 +0200

    Use default permissions for installed libraries.

 ql/CMakeLists.txt | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 7b3984f385066ea9e5982c610d201ef28f2d6688
Merge: 19fd18590 e0ba0d12a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Aug 2017 15:59:23 +0200

    Merge pull request #274.

commit 19fd1859099d0c10b64d2b78922f0eef846a3730
Merge: 212b8cfce 6e0e831dd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Aug 2017 12:51:00 +0200

    Merge pull request #155.

commit 6e0e831dd7c600542ee18fdb2c3fc235bf996c32
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Aug 2017 12:24:03 +0200

    Use existing normal distribution.

 ql/experimental/exoticoptions/kirkspreadoptionengine.cpp | 10 +---------
 1 file changed, 1 insertion(+), 9 deletions(-)

commit f7f044a65f7ecb1cebb4958a5c2363804714aa29
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Mon, 28 Aug 2017 09:56:57 +0200

    Guess what? Same warning

 ql/instruments/overnightindexedswap.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit f75c06b8a48495ff8200ea101c6bb1b89004c12f
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Mon, 28 Aug 2017 09:51:11 +0200

    Removing same warning from a different place

 ql/instruments/makeois.cpp              | 4 ++--
 ql/instruments/makeois.hpp              | 2 +-
 ql/instruments/overnightindexedswap.cpp | 8 ++++----
 ql/instruments/overnightindexedswap.hpp | 4 ++--
 4 files changed, 9 insertions(+), 9 deletions(-)

commit b0287b1f6f4b8689200b75f21f898c95fd93e4b0
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Mon, 28 Aug 2017 09:32:03 +0200

    Fixing a typo causing a compilation error

 ql/cashflows/overnightindexedcoupon.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 597df5bc4f0cfd057af0eaa48674d135b7a4b8d3
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Mon, 28 Aug 2017 09:27:27 +0200

    Removing warning
    
    Another reorder to avoid a CI build failure

 ql/cashflows/overnightindexedcoupon.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 39b32b944f521d169746ffc12a1acbfcd114cced
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Mon, 28 Aug 2017 09:20:34 +0200

    Removing warning
    
    Reordering member variables for the declarations to be in the same order as the instanciations and avoid a warning making a Travis CI fail

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

commit eabdd0194d6234e9e1f2a90fbd0d236429b3bed6
Author: Michael von den Driesch <mdriesch@web.de>
Date:   Sun, 27 Aug 2017 08:10:54 +0200

    Adding static and share lib.
    
    This version fixes naming conflict in CMakeLists.txt

 ql/CMakeLists.txt | 10 +++++++++-
 1 file changed, 9 insertions(+), 1 deletion(-)

commit 86f4752390de001b4c0ad86097baa21a55458e60
Author: f.xue <f.xue@tmcbonds.com>
Date:   Tue, 22 Aug 2017 09:19:11 -0400

    test case for #282

 test-suite/bonds.cpp | 44 ++++++++++++++++++++++++++++++++++++++++++++
 test-suite/bonds.hpp |  1 +
 2 files changed, 45 insertions(+)

commit 04b7d2020e21d63b17b2399e8dbdd974375b94a8
Author: Michael von den Driesch <mdriesch@web.de>
Date:   Mon, 21 Aug 2017 18:39:56 +0200

    Make ql the header install path.

 ql/CMakeLists.txt | 7 +++++--
 1 file changed, 5 insertions(+), 2 deletions(-)

commit bb78ccf58cc3db5faf15c3e8b1d744c6c7143720
Author: Michael von den Driesch <mdriesch@web.de>
Date:   Sat, 19 Aug 2017 22:38:45 +0200

    Adding install feature to CMake.

 ql/CMakeLists.txt | 7 +++++++
 1 file changed, 7 insertions(+)

commit bf5ef20bdd56af478a691a7a4a74eb0fbce3ae5f
Author: fabrice-lecuyer <fabrice.lecuyer@gmail.com>
Date:   Fri, 18 Aug 2017 21:58:11 +0200

    Tab clean, empty calendar check change, and adding copyright
    
    Replacing tabs with spaces, changing the way the calendar is tested for,
    and adding copyrights for Joseph Jeisman and Fabrice Lecuyer after the
    PaymentLag addition.

 ql/cashflows/fixedratecoupon.cpp        | 18 ++++++------
 ql/cashflows/fixedratecoupon.hpp        |  8 ++++--
 ql/cashflows/overnightindexedcoupon.cpp | 25 +++++++++--------
 ql/cashflows/overnightindexedcoupon.hpp | 10 ++++---
 ql/instruments/makeois.cpp              | 38 ++++++++++++++-----------
 ql/instruments/makeois.hpp              | 14 +++++----
 ql/instruments/overnightindexedswap.cpp | 38 +++++++++++++------------
 ql/instruments/overnightindexedswap.hpp | 50 +++++++++++++++++----------------
 8 files changed, 110 insertions(+), 91 deletions(-)

commit 6a9985a02a0f32a83f60e3fa0b3eafb155da3281
Author: alas <alix.lassauzet@derivexperts.com>
Date:   Fri, 18 Aug 2017 11:50:21 +0200

    fix indentation again

 ql/time/calendars/hongkong.cpp | 40 ++++++++++++++++++++--------------------
 1 file changed, 20 insertions(+), 20 deletions(-)

commit 3dedc31583074f454115493d3210af91e9fb9fca
Author: alas <alix.lassauzet@derivexperts.com>
Date:   Fri, 18 Aug 2017 11:47:23 +0200

    fix indentation

 ql/time/calendars/hongkong.cpp | 22 +++++++++++-----------
 1 file changed, 11 insertions(+), 11 deletions(-)

commit e11d679b8bd78dfbb6c0cadbe662c8ca4f451d48
Author: alas <alix.lassauzet@derivexperts.com>
Date:   Thu, 17 Aug 2017 18:03:28 +0200

    merge with Nicholas works

 ql/time/calendars/hongkong.cpp | 50 ++++++++++++++++++++++++++++++++----------
 1 file changed, 39 insertions(+), 11 deletions(-)

commit ef1cbbe3d88cd142371dd495881c5398b7cc9eb2
Author: Joseph Jeisman <jeismajo@gmail.com>
Date:   Sat, 12 Aug 2017 20:38:54 +0100

    Add Payment Lag and Payment Adjustment
    
    Adding two inputs to the OIS instrument to allow for the payment date to lag the period end date
    Providing initial values for the PaymentLag_ and PaymentAdjustment member variables in the constructor in case they aren't subsequently updated

 ql/cashflows/fixedratecoupon.cpp        | 19 ++++++++++--------
 ql/cashflows/fixedratecoupon.hpp        |  4 +++-
 ql/cashflows/overnightindexedcoupon.cpp | 15 +++++++++++++--
 ql/cashflows/overnightindexedcoupon.hpp |  4 ++++
 ql/instruments/makeois.cpp              | 26 ++++++++++++++++++++++---
 ql/instruments/makeois.hpp              |  8 ++++++++
 ql/instruments/overnightindexedswap.cpp | 34 ++++++++++++++++++++++++---------
 ql/instruments/overnightindexedswap.hpp | 18 +++++++++++++++--
 8 files changed, 103 insertions(+), 25 deletions(-)

commit 9809877bf84484bf39ebc99ecee323f88ef0825f
Author: f.xue <f.xue@tmcbonds.com>
Date:   Mon, 14 Aug 2017 11:06:22 -0400

    update yearFraction calculation to next coupon date for #282

 ql/cashflows/cashflows.cpp | 51 +++++++++++++++++++++++++++++++++++++++-------
 1 file changed, 44 insertions(+), 7 deletions(-)

commit 20ac4b55c4d9b8c0a2f515834a18a5c3d23f1b56
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Sun, 13 Aug 2017 18:11:24 +0100

    provide default implementation

 ql/math/optimization/costfunction.hpp | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

commit 3e9dfa58a262ce637b06c0a5dbd09fa51c047cf1
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 13 Aug 2017 15:51:11 +0200

    boost ublas serialization issue has been fixed with boost 1.65

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

commit c8864c38d34357c731b235705ad130062d1bbc12
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 6 Aug 2017 14:51:06 +0200

    finalize test cases

 ql/pricingengines/blackformula.cpp | 114 ++++++++++++++++++++++++++++++++++++-
 ql/pricingengines/blackformula.hpp |  40 ++++++++++++-
 test-suite/blackformula.cpp        |  74 +++++++++++++++++++++++-
 test-suite/blackformula.hpp        |   2 +
 4 files changed, 222 insertions(+), 8 deletions(-)

commit 212b8cfce6c642b15e7770d483958c63b074ae13
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 4 Aug 2017 12:47:27 +0200

    Restore full Travis build.
    
    This reverts commit d9fb64f98e40370b326af80e92e0bab2d3b52d1c.

 .travis.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit d9fb64f98e40370b326af80e92e0bab2d3b52d1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 4 Aug 2017 12:44:22 +0200

    Bootstrap ccache on ql folder to avoid timeouts.

 .travis.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit bd0f2e48c774d291b1378bf35cbb825bcdd2346d
Merge: 20a0edfb6 6d2f1202b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 4 Aug 2017 12:41:00 +0200

    Merge pull request #278.

commit 6baef4593abf116f75175a65ec0d91d86c2e1150
Author: jschnetm <jschnetm@gmail.com>
Date:   Thu, 3 Aug 2017 23:54:14 +0200

    move some boost::shared_ptr construction to boost::make_shared

 .../finitedifferences/fdmhestonfwdop.cpp           |  12 +-
 .../finitedifferences/hestonrndcalculator.cpp      |  11 +-
 .../operators/fdmhestonhullwhiteop.cpp             |   2 +-
 .../finitedifferences/solvers/fdm1dimsolver.cpp    |   7 +-
 .../solvers/fdm2dblackscholessolver.cpp            |   5 +-
 .../finitedifferences/solvers/fdm2dimsolver.cpp    |   7 +-
 .../finitedifferences/solvers/fdm3dimsolver.cpp    |   7 +-
 .../solvers/fdmbackwardsolver.cpp                  |   5 +-
 .../solvers/fdmblackscholessolver.cpp              |   5 +-
 .../solvers/fdmhestonhullwhitesolver.cpp           |   5 +-
 .../finitedifferences/solvers/fdmhestonsolver.cpp  |   5 +-
 .../solvers/fdmhullwhitesolver.cpp                 |   5 +-
 .../solvers/fdmsimple2dbssolver.cpp                |   5 +-
 .../barrier/fdblackscholesbarrierengine.cpp        |  39 ++-
 .../barrier/fdhestonbarrierengine.cpp              |  38 +--
 test-suite/hestonmodel.cpp                         | 305 +++++++++++----------
 test-suite/hestonslvmodel.cpp                      | 177 ++++++------
 17 files changed, 317 insertions(+), 323 deletions(-)

commit 1ae13d831befe935759c3780acf7b993151fffb3
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Tue, 1 Aug 2017 12:55:29 +0200

    allow short index tenor equal to long index tenor

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

commit 676344b576ad67b93f22e9440127cedfef233ebb
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Mon, 31 Jul 2017 08:34:54 +0200

    amend comments
    
    - remove some comments that are outdated since the deprecated methods
    referenced in them are already removed
    - more precise assumption about exercise date and swap start date

 ql/pricingengines/swaption/blackswaptionengine.hpp | 10 ++--------
 1 file changed, 2 insertions(+), 8 deletions(-)

commit 0e15b7207c6f37a285d458a2e1be4f97f3742d4c
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Thu, 27 Jul 2017 11:57:49 +0200

    make past fixing virtual

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

commit dcfb0a3ae297b5fc704684651d378e3c88c8faab
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Wed, 26 Jul 2017 14:53:35 +0200

    make nominal virtual

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

commit 20a0edfb6b606d713c41bde2c4bef36ddef7429e
Merge: 4cf3d80ff 762204a6b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 26 Jul 2017 13:01:33 +0200

    Merge pull request #275.

commit 6d2f1202b45f92ffdfd863ea9e2e810942450999
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jul 2017 17:23:42 +0200

    Change build matrix.

 .travis.yml | 13 +++++++------
 1 file changed, 7 insertions(+), 6 deletions(-)

commit d3d973c3d9d811d811b3c7873a99c90f9a5393e8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jul 2017 16:30:11 +0200

    Fix more misleading-indentation warnings.

 .../averageois/makearithmeticaverageois.cpp        |   3 +-
 .../credit/randomdefaultlatentmodel.hpp            |   2 +-
 ql/math/randomnumbers/faurersg.cpp                 |   4 +-
 ql/math/randomnumbers/sobolrsg.cpp                 |   6 +-
 .../pathwisegreeks/ratepseudorootjacobian.cpp      |  30 +-
 test-suite/marketmodel.cpp                         | 335 ++++++++++-----------
 test-suite/swapforwardmappings.cpp                 |  56 ++--
 7 files changed, 213 insertions(+), 223 deletions(-)

commit 939654223e21b428ef955b6d4c2b9e83d4b16225
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jul 2017 10:06:25 +0200

    Fix misleading indentation.

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

commit 67166fcdf2bf574666c10b1d21f9a5e5e210f039
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jul 2017 09:52:03 +0200

    Disable warning for use of deprecated auto_ptr.

 .travis.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 7dc89db49e280935930cae8d4f75a0b8bfc46430
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 18:31:58 +0200

    Try using a build matrix.

 .travis.yml | 9 ++++++++-
 1 file changed, 8 insertions(+), 1 deletion(-)

commit 5e4632aa949294da74fbc96983aed63dde91c262
Author: Nicholas Bertocchi <nicholas.bertocchi@esternibisp.com>
Date:   Mon, 24 Jul 2017 17:37:23 +0200

    Hong Kong Calendar updating

 ql/time/calendars/hongkong.cpp | 72 ++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 72 insertions(+)

commit 762204a6b750a1b66cf818d15c058ee13c518858
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 15:18:21 +0200

    Ensure C++03 compatibility and warning-free build.

 .travis.yml | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 65a8e44277a6584612ca8a01e4d6e35a0a5f34df
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 14:52:57 +0200

    Show cache size before run.

 .travis.yml | 1 +
 1 file changed, 1 insertion(+)

commit 644be9a7e8c8259e498dca495e0d9a183ada8e56
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 13:56:30 +0200

    Use Docker image with ccache and autotools.

 .travis.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 385dff0ad1aef351c2addfd6ca9bc2963afcfa1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 13:45:33 +0200

    Save common docker options in environment variable.

 .travis.yml | 19 ++++++++++++-------
 1 file changed, 12 insertions(+), 7 deletions(-)

commit 4a17967e35c4fff4ba5896b117ec3018ed82222a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 24 Jul 2017 13:11:06 +0200

    Run Travis build commands inside a Docker container.

 .travis.yml | 22 ++++++++++------------
 1 file changed, 10 insertions(+), 12 deletions(-)

commit 32813a5610d5a410165264874b04f10e1b4b4f0e
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 16 Jul 2017 10:59:05 +0200

    added Radoicic-Stefanica lower bound implied volatility estimator

 ql/pricingengines/blackformula.cpp |  72 ++++++++++++++++++++++++++
 ql/pricingengines/blackformula.hpp |  42 ++++++++++++---
 test-suite/blackformula.cpp        | 101 +++++++++++++++++++++++++++++++++++++
 test-suite/blackformula.hpp        |   3 ++
 4 files changed, 212 insertions(+), 6 deletions(-)

commit e0ba0d12a98be39125c0d7063d6c7baa35175c3c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sat, 15 Jul 2017 19:59:42 +0200

    add benchmark to cmake file

 test-suite/CMakeLists.txt | 8 ++++++++
 1 file changed, 8 insertions(+)

commit 036c7c56e0f880661b0a3476f9d450b02f1500c8
Author: alas <alix.lassauzet@derivexperts.com>
Date:   Thu, 13 Jul 2017 14:49:02 +0200

    fix rule for New Year's Day, Labor Day and National Day

 ql/time/calendars/hongkong.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit a9c3345b4e850adf2ce4ea81974dcfde71efc6d4
Author: alas <alix.lassauzet@derivexperts.com>
Date:   Thu, 13 Jul 2017 10:16:14 +0200

    fix rule of SAR Establishment Day ; add special holidays for 2016/2017/2018

 ql/time/calendars/hongkong.cpp | 48 +++++++++++++++++++++++++++++++++++++++++-
 1 file changed, 47 insertions(+), 1 deletion(-)

commit 09ca69a8a72102e0f87350592999f344a55a0a94
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date:   Thu, 6 Jul 2017 11:37:09 +0200

    Fix calculation.

 ql/time/daycounters/actual365fixed.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 4cf3d80ffc071ae74f026bb25fbb1dd9093e6301
Merge: 7986e11a8 ef4ddd604
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 14:37:13 +0200

    Merge pull request #271.

commit 7986e11a8c05633cefcd949c21ad30a3adb7299a
Merge: 7ca74181e 7eadd6454
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 13:13:09 +0200

    Merge pull request #268.

commit 7ca74181e63d86284f31aa0eda0e3b599c95997f
Merge: 00217289a d66bb65eb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 12:48:58 +0200

    Merge pull request #269.

commit 00217289a4f602be6cd2b08fe62f3637af126ac6
Merge: 5382d39e9 f9da04f2b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 12:22:20 +0200

    Merge pull request #267.

commit 5382d39e94a752ca1c853e2d9e226843b09f4c17
Merge: 0d5b14523 355ff19c8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 11:48:22 +0200

    Merge pull request #261.

commit 0d5b1452366429076e26ce07bdeef0c436a25b9d
Merge: e65dd7b6c a0fabee49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Jul 2017 11:21:27 +0200

    Merge pull request #238.

commit e65dd7b6cbd54bc64f909259ab3311a8a5d006d6
Merge: ce3b65176 c5b2a4dc6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 29 Jun 2017 17:11:39 +0200

    Merge pull request #270.

commit ef4ddd604022a9c8ae1ca0514185ea07699b72a2
Author: amai2012 <amai@users.sf.net>
Date:   Thu, 29 Jun 2017 16:06:25 +0200

    Fix annoying compiler warning about shadow variable.

 ql/math/matrixutilities/tqreigendecomposition.cpp | 7 +++----
 1 file changed, 3 insertions(+), 4 deletions(-)

commit c5b2a4dc6def42ee4ae4c1c07e04a0fd6b72e497
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 29 Jun 2017 14:51:50 +0200

    Remove Codacy warnings in namespace detail.

 ql/event.hpp                                   | 2 +-
 ql/math/interpolations/cubicinterpolation.hpp  | 2 +-
 ql/math/interpolations/xabrinterpolation.hpp   | 2 +-
 ql/math/linearleastsquaresregression.hpp       | 2 +-
 ql/pricingengines/vanilla/fddividendengine.hpp | 4 +---
 ql/time/date.hpp                               | 8 ++++----
 ql/time/period.hpp                             | 4 ++--
 ql/time/weekday.hpp                            | 6 +++---
 ql/utilities/dataformatters.hpp                | 8 ++++----
 9 files changed, 18 insertions(+), 20 deletions(-)

commit 9a2c1f2cab4ebb3cd4941bb89007d19cd865328b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 29 Jun 2017 11:41:41 +0200

    Remove Codacy warnings in cpp files.

 ql/cashflows/cashflows.cpp                              | 2 +-
 ql/cashflows/conundrumpricer.cpp                        | 2 +-
 ql/cashflows/couponpricer.cpp                           | 2 +-
 ql/currencies/exchangeratemanager.cpp                   | 2 +-
 ql/methods/montecarlo/lsmbasissystem.cpp                | 2 +-
 ql/models/marketmodels/callability/upperboundengine.cpp | 2 +-
 ql/models/volatility/garch.cpp                          | 2 +-
 ql/pricingengines/blackcalculator.cpp                   | 2 +-
 ql/termstructures/yield/fittedbonddiscountcurve.cpp     | 3 ++-
 9 files changed, 10 insertions(+), 9 deletions(-)

commit 09b682eb30d5d3ac02fa2601da709893cd3e7d48
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 29 Jun 2017 11:10:02 +0200

    Remove Codacy warnings from tests.

 test-suite/forwardoption.cpp           | 10 +++++-----
 test-suite/lowdiscrepancysequences.cpp |  2 +-
 test-suite/marketmodel.cpp             | 12 ++++++------
 test-suite/paralleltestrunner.hpp      |  2 +-
 test-suite/utilities.hpp               |  4 ++--
 5 files changed, 15 insertions(+), 15 deletions(-)

commit a328bf33ab64f5cd75e2aec031cc848b61be3fd0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 28 Jun 2017 18:23:41 +0200

    Remove Codacy warnings from experimental folder.
    
    This doesn't require analysis, since code in this folder doesn't
    guarantee to be backward compatible between releases.

 .../barrieroption/analyticdoublebarrierbinaryengine.hpp        |  2 +-
 .../barrieroption/perturbativebarrieroptionengine.cpp          | 10 +++++-----
 ql/experimental/catbonds/riskynotional.hpp                     |  2 +-
 ql/experimental/commodities/commodity.hpp                      |  3 ++-
 ql/experimental/coupons/cmsspreadcoupon.hpp                    |  2 +-
 ql/experimental/credit/binomiallossmodel.hpp                   |  2 +-
 ql/experimental/credit/lossdistribution.hpp                    |  6 +++---
 ql/experimental/credit/midpointcdoengine.hpp                   |  2 +-
 ql/experimental/credit/recoveryratemodel.hpp                   |  6 +++---
 ql/experimental/credit/saddlepointlossmodel.hpp                |  2 +-
 ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp |  2 +-
 ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp |  2 +-
 .../exoticoptions/analyticholderextensibleoptionengine.hpp     |  2 +-
 .../exoticoptions/analyticpartialtimebarrieroptionengine.hpp   |  2 +-
 ql/experimental/exoticoptions/analyticsimplechooserengine.hpp  |  2 +-
 .../exoticoptions/analyticwriterextensibleoptionengine.hpp     |  2 +-
 ql/experimental/exoticoptions/mceverestengine.hpp              |  3 ++-
 ql/experimental/exoticoptions/mchimalayaengine.hpp             |  2 +-
 ql/experimental/exoticoptions/mcpagodaengine.hpp               |  3 ++-
 ql/experimental/inflation/cpicapfloorengines.hpp               |  3 ++-
 ql/experimental/math/hybridsimulatedannealingfunctors.hpp      | 10 +++++-----
 ql/experimental/math/zigguratrng.hpp                           |  2 +-
 ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp  |  2 +-
 ql/experimental/mcbasket/mcamericanpathengine.hpp              |  2 +-
 ql/experimental/mcbasket/mcpathbasketengine.hpp                |  3 ++-
 ql/experimental/mcbasket/pathmultiassetoption.hpp              |  5 ++---
 ql/experimental/shortrate/generalizedhullwhite.cpp             |  2 +-
 ql/experimental/termstructures/multicurvesensitivities.hpp     |  2 +-
 ql/experimental/variancegamma/variancegammamodel.hpp           |  3 ++-
 .../varianceoption/integralhestonvarianceoptionengine.cpp      |  2 +-
 .../varianceoption/integralhestonvarianceoptionengine.hpp      |  2 +-
 31 files changed, 50 insertions(+), 45 deletions(-)

commit d66bb65eb113af245212eb50930cc5737dba4a8f
Author: wegamekinglc <scrappedprince.li@gmail.com>
Date:   Wed, 28 Jun 2017 17:23:16 +0800

    added clone method for shibor index

 ql/indexes/ibor/shibor.cpp | 6 +++++-
 ql/indexes/ibor/shibor.hpp | 3 +++
 2 files changed, 8 insertions(+), 1 deletion(-)

commit 7eadd645473e44297945988f848205402b067b76
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 26 Jun 2017 21:49:24 +0200

    added test case for B-Splines

 test-suite/hestonslvmodel.cpp |  4 ----
 test-suite/interpolations.cpp | 51 ++++++++++++++++++++++++++++++++++++++++++-
 test-suite/interpolations.hpp |  1 +
 3 files changed, 51 insertions(+), 5 deletions(-)

commit f9da04f2b81aa7f9b5315ac8d3e9b93efc906a4c
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Mon, 26 Jun 2017 21:31:12 +0200

    check for constraint implementation

 ql/math/optimization/problem.hpp | 7 ++++---
 1 file changed, 4 insertions(+), 3 deletions(-)

commit 480cdc6ed0b0893c424f0cbd82c2c7f91ebee7e2
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Mon, 26 Jun 2017 21:27:52 +0200

    Revert "provide better error message than px != 0"
    
    This reverts commit 0aa29396fbd9fe83773d99c9a5ed4e7cb0cfe7ed.

 ql/math/optimization/constraint.hpp | 11 +++--------
 1 file changed, 3 insertions(+), 8 deletions(-)

commit ce3b651768749e6b1273d746fd6e23464edd2fd6
Merge: 1cf2fbfcd a19bdce62
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 26 Jun 2017 11:12:01 +0200

    Merge pull request #264.

commit 0aa29396fbd9fe83773d99c9a5ed4e7cb0cfe7ed
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Fri, 23 Jun 2017 19:08:49 +0200

    provide better error message than px != 0

 ql/math/optimization/constraint.hpp | 11 ++++++++---
 1 file changed, 8 insertions(+), 3 deletions(-)

commit a19bdce62021630d8e7ed53ac68df97f04c9f040
Author: haozhangphd <haozhangphd@users.noreply.github.com>
Date:   Thu, 15 Jun 2017 10:57:20 -0600

    Fixed a variable name so that the test passes

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

commit 294d75a76922f782623e764d5259c92a0b48a598
Author: haozhangphd <haozhangphd@users.noreply.github.com>
Date:   Thu, 15 Jun 2017 10:53:11 -0600

    Added missing Range Accrual tests

 test-suite/quantlibtestsuite.cpp | 2 ++
 1 file changed, 2 insertions(+)

commit 1cf2fbfcdeb4ed3b802ce8032fd870bdf5dc9253
Merge: 36a8f07cb e512a32dc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 12 Jun 2017 18:01:20 +0200

    Merge pull request #260.

commit e512a32dc00557f8922bf0d637f16bf50030abee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 12 Jun 2017 16:36:09 +0200

    Fixed documentation.

 ql/indexes/ibor/cadlibor.hpp |  8 +++++---
 ql/indexes/ibor/cdor.hpp     | 10 ++++------
 2 files changed, 9 insertions(+), 9 deletions(-)

commit 3110e88c385503c65ee34a54c2191f80f0e718b8
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 5 Jun 2017 18:06:39 +0200

    added Andersen-Piterbarg integration method of the characteristic
    function with control variate for the piecewise constant time dependent
    Heston model

 ql/pricingengines/vanilla/analytichestonengine.cpp |  36 +-
 ql/pricingengines/vanilla/analytichestonengine.hpp |   3 +
 .../vanilla/analyticptdhestonengine.cpp            | 260 +++++++++++--
 .../vanilla/analyticptdhestonengine.hpp            |  24 +-
 test-suite/hestonmodel.cpp                         | 422 +++++++++++++++++++--
 test-suite/hestonmodel.hpp                         |   3 +
 test-suite/riskneutraldensitycalculator.cpp        |   5 +-
 7 files changed, 678 insertions(+), 75 deletions(-)

commit 355ff19c8574427046b2e537fdb30e4687eaca52
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Fri, 2 Jun 2017 21:03:59 +0200

    check volatility type and shift

 ql/cashflows/conundrumpricer.cpp | 3 +++
 1 file changed, 3 insertions(+)

commit 36a8f07cb9d383c76baccb063d9491ac65caec40
Merge: 278db8e58 44bb411bb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jun 2017 16:21:59 +0200

    Merge pull request #248.

commit 278db8e58be8fada7665f7530b7c401500c3f531
Merge: 6db67f002 7a9c03b71
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 1 Jun 2017 13:16:51 +0200

    Merge pull request #259.

commit 9740f89cf9f5040ac0a3910cfce1498c3977ac80
Author: Borgomi42 <oleg.kulkov@gmail.com>
Date:   Sat, 27 May 2017 22:51:38 +0200

    Amendment of day count convention and spot lag by CAD fixings
    
    Regarding to the OpenGamma "Interest Rate Instruments and Market Conventions Guide" as well as market data provider Bloomberg and IKON (Reuters) the convantion should be Act365 F and spot lag should be 0 instead of Act360 and 2 used so far in cdor.hpp and cadlibor.hpp

 ql/indexes/ibor/cadlibor.hpp | 11 +++++++----
 ql/indexes/ibor/cdor.hpp     |  9 ++++++---
 2 files changed, 13 insertions(+), 7 deletions(-)

commit f4d3f0dae43b258e1f490cf709778b4e6a78960d
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Sat, 27 May 2017 20:05:20 +0200

    add comments on what is going on

 ql/cashflows/overnightindexedcoupon.cpp | 14 +++++++++++++-
 1 file changed, 13 insertions(+), 1 deletion(-)

commit 7a9c03b71f1fca2325f0d94f81ba48692e684b63
Author: jwg4 <jwg4@users.noreply.github.com>
Date:   Thu, 25 May 2017 23:21:20 +0000

    Typo: kindgom -> kingdom

 ql/time/calendars/unitedkingdom.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 825b4b15df5fa17828a5a3622971c318dc99365a
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Wed, 24 May 2017 21:38:18 +0200

    better explanation

 ql/cashflows/overnightindexedcoupon.hpp | 8 ++++++--
 1 file changed, 6 insertions(+), 2 deletions(-)

commit dff8552894647fd9b67bec78864211146414b633
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Wed, 24 May 2017 21:24:43 +0200

    whitespace cleanup

 test-suite/overnightindexedswap.cpp | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

commit 384a6917dc31ecda3d8bf6bcb8e8224bf974bf28
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 16 May 2017 11:00:13 +0200

    Bump version number to 1.11.

 Announce.txt   | 2 +-
 configure.ac   | 2 +-
 ql/version.hpp | 8 ++++----
 3 files changed, 6 insertions(+), 6 deletions(-)

commit 9414053be79123979751c1fd356153d9e55c8b92
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 May 2017 14:24:17 +0200

    Restore full Travis build.

 .travis.yml | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 03b45d4e073780e4125dd19dfcc887819e2467b6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 May 2017 14:23:26 +0200

    Bootstrap Travis ccache on ql folder.

 .travis.yml | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

commit ffc5cd0c341b441e245ef8b469bf81fb39eec788
Merge: 39339260b 321ee44fa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 May 2017 09:37:44 +0200

    Merge pull request #253.

commit 1aa68a9f6bd4830c6f912b9fdd849bf97a8549a4
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 7 May 2017 23:12:02 +0200

    add Andersen and Piterbarg to references

 ql/pricingengines/vanilla/analytichestonengine.hpp | 5 +++++
 1 file changed, 5 insertions(+)

commit 44bb411bb5cb5b3c766dc376c79d37c050164665
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Sat, 29 Apr 2017 21:05:40 +0200

    provide missing member function definitions

 .../volatility/swaption/swaptionvolstructure.hpp   | 28 ++++++++++++++++++++++
 1 file changed, 28 insertions(+)

commit 9b80786fd3b5d24243f4adc2b9aa04e5acfc4ee9
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Thu, 27 Apr 2017 15:10:21 +0200

    Additional loop for testing KI and KO starting from the KO expected results

 test-suite/doublebarrieroption.cpp | 233 +++++++++++++++++--------------------
 1 file changed, 107 insertions(+), 126 deletions(-)

commit 2763236603c0ef2a9cab2d345b977cc939bf4f7c
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Thu, 27 Apr 2017 13:14:16 +0200

    check values using vanilla-KO for testing KI price (proposal)

 test-suite/doublebarrieroption.cpp | 51 +++++++++++++++++++++-----------------
 1 file changed, 28 insertions(+), 23 deletions(-)

commit 6ae61604f613447f2ec93fedbe6857fbe4e99280
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Thu, 27 Apr 2017 13:10:59 +0200

    update values in test suite after fix double barrier KI (considering the equivalence KI+KO = vanilla)

 test-suite/doublebarrieroption.cpp | 46 +++++++++++++++++++-------------------
 1 file changed, 23 insertions(+), 23 deletions(-)

commit e455c90de86d1418d47d7e7cee0ebe459c9bbfc8
Author: klausspanderen <klaus@spanderen.de>
Date:   Wed, 26 Apr 2017 23:04:26 +0200

    get back all tests

 test-suite/quantlibtestsuite.cpp | 296 +++++++++++++++++++--------------------
 1 file changed, 148 insertions(+), 148 deletions(-)

commit 321ee44faeac7fd69518f6cb24d9d83f97cfe04e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 26 Apr 2017 12:50:06 +0200

    Avoid ambiguity without explicitly specifying namespaces.

 ql/experimental/credit/defaultprobabilitykey.cpp   |  2 --
 ql/experimental/credit/pool.cpp                    |  3 +--
 ql/experimental/math/gaussiancopulapolicy.hpp      |  6 +++---
 ql/experimental/math/latentmodel.hpp               |  8 ++++----
 ql/experimental/math/multidimintegrator.hpp        |  7 +++----
 ql/experimental/math/multidimquadrature.hpp        | 22 +++++++++++-----------
 ql/experimental/math/tcopulapolicy.hpp             |  2 +-
 .../vanilla/hestonexpansionengine.cpp              |  2 --
 ql/pricingengines/vanilla/mcamericanengine.cpp     |  2 +-
 9 files changed, 24 insertions(+), 30 deletions(-)

commit ef44c541990097dcf9dd58aed7eb1435499c9967
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Tue, 25 Apr 2017 17:25:01 +0200

    fix local variable name

 ql/experimental/barrieroption/vannavolgabarrierengine.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

commit 12e0f386cd2aa844ca214395102bb6bd98636e8c
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Tue, 25 Apr 2017 17:21:04 +0200

    added barrier type check for single barrier engine and fixed some typos

 ql/experimental/barrieroption/vannavolgabarrierengine.cpp     | 11 +++++++----
 .../barrieroption/vannavolgadoublebarrierengine.hpp           | 10 +++++-----
 2 files changed, 12 insertions(+), 9 deletions(-)

commit a1143b9054b0942b5d21fb1c445820259fbf3d94
Author: gpazmandi <g.pazmandi@themaconsulting.ch>
Date:   Tue, 25 Apr 2017 16:01:23 +0200

    fix bug in vanna-volga method for double barrier knock in options

 ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 8b4ec2c42387fd2b13c074efa2f495fd86d4f744
Author: Luigi Ballabio <luigi.ballabio@statpro.com>
Date:   Tue, 25 Apr 2017 14:15:43 +0200

    Disable ccache on Travis, enable unity build.

 .travis.yml | 7 +------
 1 file changed, 1 insertion(+), 6 deletions(-)

commit 32b67393bf6d4189d0386aa400103a6187e3a9c1
Author: Luigi Ballabio <luigi.ballabio@statpro.com>
Date:   Tue, 25 Apr 2017 12:33:06 +0200

    Enable unity build via configure.
    
    If enabled (with ./configure --enable-unity-build) all the .cpp
    files in each subdirectory are included in a single unity.cpp file
    which is then compiled.  This reduces the total number of lines
    compiled (since header files included by multiple files are only
    parsed once) and in turn the compilation time.  On my machine, the
    measured times for compiling the whole ql directory (shared library
    only, static library disabled) were as follows:
    
       configuration   |  time
    -------------------+---------
    single files, -j4  |  11m51
    single files, -j2  |  17m20
    single files, -j1  |  29m28
    unity              |  10m08
    
    (just one run, no real statistics, but still) so this should be a
    clear win if you have just 2 cores.  Of course, we're talking about
    a full build: compiling single files is probably more efficient with
    incremental compilations, especially if you're using ccache.

 .gitignore                                         |  1 +
 configure.ac                                       | 14 +++++
 ql/cashflows/Makefile.am                           | 22 +++++++-
 ql/currencies/Makefile.am                          | 22 +++++++-
 ql/experimental/amortizingbonds/Makefile.am        | 22 +++++++-
 ql/experimental/averageois/Makefile.am             | 22 +++++++-
 ql/experimental/barrieroption/Makefile.am          | 22 +++++++-
 ql/experimental/callablebonds/Makefile.am          | 22 +++++++-
 ql/experimental/catbonds/Makefile.am               | 22 +++++++-
 ql/experimental/commodities/Makefile.am            | 22 +++++++-
 ql/experimental/convertiblebonds/Makefile.am       | 22 +++++++-
 ql/experimental/coupons/Makefile.am                | 22 +++++++-
 ql/experimental/credit/Makefile.am                 | 22 +++++++-
 ql/experimental/credit/defaultprobabilitykey.cpp   |  2 +-
 ql/experimental/credit/pool.cpp                    |  3 +-
 ql/experimental/exoticoptions/Makefile.am          | 22 +++++++-
 ql/experimental/finitedifferences/Makefile.am      | 22 +++++++-
 ql/experimental/fx/Makefile.am                     | 22 +++++++-
 ql/experimental/inflation/Makefile.am              | 22 +++++++-
 ql/experimental/lattices/Makefile.am               | 22 +++++++-
 ql/experimental/math/Makefile.am                   | 22 +++++++-
 ql/experimental/math/gaussiancopulapolicy.hpp      |  6 +--
 ql/experimental/math/latentmodel.hpp               |  8 +--
 ql/experimental/math/multidimintegrator.hpp        |  7 +--
 ql/experimental/math/multidimquadrature.hpp        | 22 ++++----
 ql/experimental/math/tcopulapolicy.hpp             |  2 +-
 ql/experimental/mcbasket/Makefile.am               | 22 +++++++-
 ql/experimental/models/Makefile.am                 | 22 +++++++-
 ql/experimental/processes/Makefile.am              | 22 +++++++-
 ql/experimental/risk/Makefile.am                   | 22 +++++++-
 ql/experimental/shortrate/Makefile.am              | 22 +++++++-
 ql/experimental/swaptions/Makefile.am              | 22 +++++++-
 ql/experimental/variancegamma/Makefile.am          | 22 +++++++-
 ql/experimental/varianceoption/Makefile.am         | 22 +++++++-
 ql/experimental/volatility/Makefile.am             | 22 +++++++-
 ql/indexes/Makefile.am                             | 22 +++++++-
 ql/indexes/ibor/Makefile.am                        | 23 ++++++++-
 ql/indexes/swap/Makefile.am                        | 22 +++++++-
 ql/instruments/Makefile.am                         | 22 +++++++-
 ql/instruments/bonds/Makefile.am                   | 22 +++++++-
 ql/instruments/capfloor.cpp                        | 22 ++++----
 ql/instruments/swaption.cpp                        | 22 ++++----
 ql/legacy/libormarketmodels/Makefile.am            | 22 +++++++-
 ql/math/Makefile.am                                | 22 +++++++-
 ql/math/copulas/Makefile.am                        | 22 +++++++-
 ql/math/distributions/Makefile.am                  | 22 +++++++-
 ql/math/integrals/Makefile.am                      | 22 +++++++-
 ql/math/matrixutilities/Makefile.am                | 22 +++++++-
 ql/math/optimization/Makefile.am                   | 22 +++++++-
 ql/math/randomnumbers/Makefile.am                  | 22 +++++++-
 ql/math/statistics/Makefile.am                     | 22 +++++++-
 ql/methods/finitedifferences/Makefile.am           | 22 +++++++-
 ql/methods/finitedifferences/meshers/Makefile.am   | 22 +++++++-
 ql/methods/finitedifferences/operators/Makefile.am | 22 +++++++-
 ql/methods/finitedifferences/schemes/Makefile.am   | 22 +++++++-
 ql/methods/finitedifferences/solvers/Makefile.am   | 22 +++++++-
 .../finitedifferences/stepconditions/Makefile.am   | 22 +++++++-
 ql/methods/finitedifferences/utilities/Makefile.am | 22 +++++++-
 ql/methods/lattices/Makefile.am                    | 22 +++++++-
 ql/methods/montecarlo/Makefile.am                  | 22 +++++++-
 ql/models/Makefile.am                              | 22 +++++++-
 ql/models/equity/Makefile.am                       | 22 +++++++-
 ql/models/marketmodels/Makefile.am                 | 22 +++++++-
 .../marketmodels/browniangenerators/Makefile.am    | 22 +++++++-
 ql/models/marketmodels/callability/Makefile.am     | 22 +++++++-
 ql/models/marketmodels/correlations/Makefile.am    | 22 +++++++-
 ql/models/marketmodels/curvestates/Makefile.am     | 22 +++++++-
 .../marketmodels/driftcomputation/Makefile.am      | 22 +++++++-
 ql/models/marketmodels/evolvers/Makefile.am        | 22 +++++++-
 .../marketmodels/evolvers/volprocesses/Makefile.am | 22 +++++++-
 ql/models/marketmodels/models/Makefile.am          | 22 +++++++-
 ql/models/marketmodels/pathwisegreeks/Makefile.am  | 22 +++++++-
 ql/models/marketmodels/products/Makefile.am        | 22 +++++++-
 .../marketmodels/products/multistep/Makefile.am    | 22 +++++++-
 .../marketmodels/products/onestep/Makefile.am      | 22 +++++++-
 .../marketmodels/products/pathwise/Makefile.am     | 22 +++++++-
 .../pathwise/pathwiseproductcashrebate.hpp         |  4 +-
 ql/models/shortrate/Makefile.am                    | 22 +++++++-
 ql/models/shortrate/calibrationhelpers/Makefile.am | 22 +++++++-
 ql/models/shortrate/onefactormodels/Makefile.am    | 22 +++++++-
 ql/models/shortrate/twofactormodels/Makefile.am    | 22 +++++++-
 ql/models/volatility/Makefile.am                   | 22 +++++++-
 ql/patterns/Makefile.am                            | 24 ++++++++-
 ql/pricingengines/Makefile.am                      | 22 +++++++-
 ql/pricingengines/asian/Makefile.am                | 22 +++++++-
 ql/pricingengines/barrier/Makefile.am              | 22 +++++++-
 ql/pricingengines/basket/Makefile.am               | 22 +++++++-
 ql/pricingengines/bond/Makefile.am                 | 22 +++++++-
 ql/pricingengines/capfloor/Makefile.am             | 22 +++++++-
 ql/pricingengines/cliquet/Makefile.am              | 22 +++++++-
 ql/pricingengines/credit/Makefile.am               | 22 +++++++-
 ql/pricingengines/inflation/Makefile.am            | 22 +++++++-
 ql/pricingengines/lookback/Makefile.am             | 22 +++++++-
 ql/pricingengines/swap/Makefile.am                 | 22 +++++++-
 ql/pricingengines/swaption/Makefile.am             | 22 +++++++-
 ql/pricingengines/vanilla/Makefile.am              | 22 +++++++-
 .../vanilla/analyticgjrgarchengine.cpp             | 60 +++++++++-------------
 ql/pricingengines/vanilla/mcamericanengine.cpp     |  2 +-
 ql/processes/Makefile.am                           | 22 +++++++-
 ql/quotes/Makefile.am                              | 22 +++++++-
 ql/termstructures/Makefile.am                      | 22 +++++++-
 ql/termstructures/credit/Makefile.am               | 22 +++++++-
 .../credit/defaultdensitystructure.cpp             | 10 ++--
 ql/termstructures/inflation/Makefile.am            | 22 +++++++-
 ql/termstructures/volatility/Makefile.am           | 22 +++++++-
 ql/termstructures/volatility/capfloor/Makefile.am  | 22 +++++++-
 ql/termstructures/volatility/equityfx/Makefile.am  | 22 +++++++-
 ql/termstructures/volatility/inflation/Makefile.am | 22 +++++++-
 ql/termstructures/volatility/optionlet/Makefile.am | 22 +++++++-
 ql/termstructures/volatility/swaption/Makefile.am  | 22 +++++++-
 ql/termstructures/yield/Makefile.am                | 22 +++++++-
 ql/time/Makefile.am                                | 22 +++++++-
 ql/time/calendars/Makefile.am                      | 22 +++++++-
 ql/time/daycounters/Makefile.am                    | 22 +++++++-
 ql/utilities/Makefile.am                           | 22 +++++++-
 115 files changed, 2197 insertions(+), 191 deletions(-)

commit dc30114dac8da1b8043486426f61898a6cd7391b
Author: klausspanderen <klaus@spanderen.de>
Date:   Tue, 25 Apr 2017 01:05:52 +0200

    more test cases for new Heston pricing algorithms

 test-suite/hestonmodel.cpp | 142 ++++++++++++++++++++++++++++++++++++++++++++-
 test-suite/hestonmodel.hpp |   3 +
 2 files changed, 142 insertions(+), 3 deletions(-)

commit 40c350a5f8f1466cb8f4151aa03d4176e642be10
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 24 Apr 2017 22:28:02 +0200

    improved interval boundaries

 ql/pricingengines/vanilla/analytichestonengine.cpp |  3 ++-
 ql/pricingengines/vanilla/coshestonengine.cpp      | 13 ++++++-------
 ql/pricingengines/vanilla/coshestonengine.hpp      |  2 +-
 3 files changed, 9 insertions(+), 9 deletions(-)

commit a6f69ed3f29c1f7b9742996c364586fbcebbda88
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 24 Apr 2017 21:58:22 +0200

    improved interval boundaries

 ql/pricingengines/vanilla/coshestonengine.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit 260e5a3b3903adf48d4b7b1ada2660cfa558dc17
Author: klausspanderen <klaus@spanderen.de>
Date:   Mon, 17 Apr 2017 20:19:37 +0200

    improve Andersen-Piterbarg engine

 ql/pricingengines/vanilla/analytichestonengine.cpp | 144 ++++++++++++++------
 ql/pricingengines/vanilla/analytichestonengine.hpp |  12 +-
 test-suite/hestonmodel.cpp                         | 145 +++++++++++++++------
 3 files changed, 220 insertions(+), 81 deletions(-)

commit a0fabee4977f09bedf945251065e5e79cfaa7cff
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 13 Apr 2017 11:59:39 +0200

    typo

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

commit bdac1ab20bc17333f80dc1a4c24d40761594f9b2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Thu, 13 Apr 2017 11:55:49 +0200

    fix singluar variable scope

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

commit 908e59cff7fd6e0f8dd6c37f606c1bda96a1ad14
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Thu, 13 Apr 2017 09:38:03 +0200

    copy result to return value

 ql/math/matrix.cpp | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

commit c2c879ef93b22541c275b1bdaab758b9116d46b3
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Thu, 13 Apr 2017 09:34:38 +0200

    catch boost exceptions

 ql/math/matrix.cpp | 19 +++++++++++++------
 1 file changed, 13 insertions(+), 6 deletions(-)

commit 39339260b9fe541146aeaa72076d0c430a22c152
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Apr 2017 17:36:17 +0200

    Restore full Travis build.

 .travis.yml | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 4d1b841d48be69aa262932979c736874e7e3a143
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Apr 2017 17:35:25 +0200

    Fix build command in Travis run.

 .travis.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 2e4a6167000497ccdf1d8eba244cf0c90836e3e0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Apr 2017 17:30:16 +0200

    Disable tests in Travis run.

 .travis.yml | 1 -
 1 file changed, 1 deletion(-)

commit c95aa4844137e9be59652b0d48ca6082163d58ce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Apr 2017 17:26:33 +0200

    Don't store debug information during Travis run.
    
    This reduces the size of the compiler cache.
    
    For the time being, only the library will be compiled to
    avoid timing out.

 .travis.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 9855dfb25fc55a7b84d9571f48ed317c2365f6eb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 7 Apr 2017 16:16:29 +0200

    Add machinery to select tests based on recorded speed.
    
    The grouping into speed levels is manual, based on the recorded
    output of a parallel test run.  Excluding about 50 test cases
    out of about 680 brings the time to run the tests down to 3
    minutes on my machine and Travis.

 .travis.yml                                 |  3 +-
 test-suite/Makefile.am                      |  1 +
 test-suite/basketoption.cpp                 | 27 ++++++----
 test-suite/basketoption.hpp                 |  3 +-
 test-suite/bermudanswaption.cpp             | 10 +++-
 test-suite/bermudanswaption.hpp             |  3 +-
 test-suite/cdo.cpp                          | 10 ++--
 test-suite/cdo.hpp                          |  3 +-
 test-suite/dates.cpp                        |  8 ++-
 test-suite/dates.hpp                        |  3 +-
 test-suite/distributions.cpp                | 10 ++--
 test-suite/distributions.hpp                |  3 +-
 test-suite/doublebarrieroption.cpp          |  9 +++-
 test-suite/doublebarrieroption.hpp          |  3 +-
 test-suite/fdheston.cpp                     | 20 +++++--
 test-suite/fdheston.hpp                     |  3 +-
 test-suite/gjrgarchmodel.cpp                | 13 +++--
 test-suite/gjrgarchmodel.hpp                |  3 +-
 test-suite/hestonmodel.cpp                  | 17 +++---
 test-suite/hestonmodel.hpp                  |  3 +-
 test-suite/hestonslvmodel.cpp               | 24 +++++----
 test-suite/hestonslvmodel.hpp               |  3 +-
 test-suite/hybridhestonhullwhiteprocess.cpp | 21 ++++----
 test-suite/hybridhestonhullwhiteprocess.hpp |  3 +-
 test-suite/libormarketmodel.cpp             |  7 ++-
 test-suite/libormarketmodel.hpp             |  3 +-
 test-suite/libormarketmodelprocess.cpp      | 10 ++--
 test-suite/libormarketmodelprocess.hpp      |  3 +-
 test-suite/marketmodel.cpp                  | 46 +++++++++-------
 test-suite/marketmodel.hpp                  |  3 +-
 test-suite/marketmodel_cms.cpp              |  6 ++-
 test-suite/marketmodel_cms.hpp              |  3 +-
 test-suite/marketmodel_smm.cpp              |  8 +--
 test-suite/marketmodel_smm.hpp              |  3 +-
 test-suite/markovfunctional.cpp             | 24 ++++++---
 test-suite/markovfunctional.hpp             |  3 +-
 test-suite/normalclvmodel.cpp               |  8 +--
 test-suite/normalclvmodel.hpp               |  4 +-
 test-suite/nthtodefault.cpp                 |  8 +--
 test-suite/nthtodefault.hpp                 |  3 +-
 test-suite/optimizers.cpp                   | 10 +++-
 test-suite/optimizers.hpp                   |  4 +-
 test-suite/quantlibtestsuite.cpp            | 83 +++++++++++++++++++----------
 test-suite/riskneutraldensitycalculator.cpp | 10 ++--
 test-suite/riskneutraldensitycalculator.hpp |  3 +-
 test-suite/shortratemodels.cpp              |  9 +++-
 test-suite/shortratemodels.hpp              |  3 +-
 test-suite/speedlevel.hpp                   | 30 +++++++++++
 test-suite/swingoption.cpp                  | 14 +++--
 test-suite/swingoption.hpp                  |  3 +-
 test-suite/testsuite.dev                    | 12 ++++-
 test-suite/testsuite.vcxproj                |  3 +-
 test-suite/testsuite.vcxproj.filters        |  5 +-
 test-suite/testsuite_vc9.vcproj             |  4 ++
 test-suite/vpp.cpp                          | 11 ++--
 test-suite/vpp.hpp                          |  3 +-
 test-suite/zabr.cpp                         |  8 ++-
 test-suite/zabr.hpp                         |  3 +-
 58 files changed, 391 insertions(+), 175 deletions(-)

commit ef73bba33333a013d4450d56588ebfe4418d4cb0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 6 Apr 2017 15:27:41 +0200

    Install Boost test framework for Travis run.

 .travis.yml | 1 +
 1 file changed, 1 insertion(+)

commit b5bcd8e1027fec5443185dc01ecd999565590dff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 6 Apr 2017 15:18:58 +0200

    Enable compilation of tests in Travis CI.

 .travis.yml | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

commit 07dba86dc286889fe8613c96162cf54f77aac7fb
Author: klausspanderen <klaus@spanderen.de>
Date:   Wed, 29 Mar 2017 22:52:10 +0200

    exclude Bates model

 ql/pricingengines/vanilla/analytichestonengine.cpp | 12 +++-
 test-suite/hestonmodel.cpp                         | 72 ++++++++++++++++++----
 2 files changed, 70 insertions(+), 14 deletions(-)

commit 6b3a232f6cd62156a511a8785151a0fa19d77b11
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 25 Mar 2017 19:22:15 +0100

    tests for new Andersen-Piterbarg control variate integration method

 ql/pricingengines/vanilla/analytichestonengine.cpp |   1 +
 test-suite/hestonmodel.cpp                         | 133 ++++++++++++++++++++-
 test-suite/hestonmodel.hpp                         |   2 +
 3 files changed, 135 insertions(+), 1 deletion(-)

commit b667b39af9cb7daf8a2a5603e2cda2f0cdaf3af5
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 25 Mar 2017 19:06:55 +0100

    first implementation of the Andersen-Piterbarg control variate for the
    characteristic function

 ql/pricingengines/vanilla/analytichestonengine.cpp | 150 +++++++++++++++++----
 ql/pricingengines/vanilla/analytichestonengine.hpp |   6 +-
 ql/pricingengines/vanilla/coshestonengine.cpp      |  19 +--
 ql/pricingengines/vanilla/coshestonengine.hpp      |   3 +-
 4 files changed, 145 insertions(+), 33 deletions(-)

commit f24833970c1855efa1b3a2ac1f8dc18aba9b669a
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date:   Mon, 27 Feb 2017 17:52:59 +0100

    Canadian Bond Actual365Fixed implementation. This should solve #79.

 QuantLib.vcxproj                       |  3 +-
 QuantLib.vcxproj.filters               |  5 ++-
 ql/time/daycounters/Makefile.am        |  1 +
 ql/time/daycounters/actual365fixed.cpp | 57 ++++++++++++++++++++++++++++++++++
 ql/time/daycounters/actual365fixed.hpp | 18 ++++++++---
 5 files changed, 78 insertions(+), 6 deletions(-)

commit 54b53d8ed7917a71965498a49c3994956d3ec390
Author: klausspanderen <klaus@spanderen.de>
Date:   Thu, 23 Feb 2017 21:55:51 +0100

    mark single argument constructor with "explicit" keyword

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

commit 8c63fab1391aff6b3f37b726933df83d5441bd30
Author: klausspanderen <klaus@spanderen.de>
Date:   Sun, 15 Jan 2017 13:45:51 +0100

    clean-up

 ql/math/matrixutilities/gmres.cpp | 14 ++++++--------
 1 file changed, 6 insertions(+), 8 deletions(-)

commit f3b47444b0fe8a7ce1f8dd734ecd3487927f0d2b
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 14 Jan 2017 21:33:10 +0100

    added test case for GMRES with restarts

 ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp |  4 ++--
 test-suite/fdmlinearop.cpp                                   | 12 +++++++++++-
 2 files changed, 13 insertions(+), 3 deletions(-)

commit 4f0d92dfb1f400aace70a52bcbc4302ac705ca0d
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 14 Jan 2017 17:12:25 +0100

    added GMRES iterative solver for large linear systems

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |   6 +
 ql/math/matrixutilities/Makefile.am                |   2 +
 ql/math/matrixutilities/all.hpp                    |   1 +
 ql/math/matrixutilities/bicgstab.cpp               |   2 +-
 ql/math/matrixutilities/bicgstab.hpp               |   4 +-
 ql/math/matrixutilities/gmres.cpp                  | 157 +++++++++++++++++++++
 ql/math/matrixutilities/gmres.hpp                  |  76 ++++++++++
 .../schemes/impliciteulerscheme.cpp                |  57 ++++++--
 .../schemes/impliciteulerscheme.hpp                |  11 +-
 test-suite/fdmlinearop.cpp                         | 117 +++++++++++----
 test-suite/fdmlinearop.hpp                         |   1 +
 test-suite/hestonslvmodel.cpp                      |   1 -
 test-suite/matrices.cpp                            |  93 +++++++++++-
 test-suite/matrices.hpp                            |   1 +
 15 files changed, 475 insertions(+), 56 deletions(-)

commit d0ec655edb08fa275a6c0909689cd563cba23aeb
Author: Krzysztof Woś <krzysztof.wos@gmail.com>
Date:   Mon, 24 Oct 2016 13:17:15 +0200

    Add theta calculation to Kirk spread option engine

 .../exoticoptions/kirkspreadoptionengine.cpp       | 16 +++++-
 test-suite/spreadoption.cpp                        | 61 +++++++++++++---------
 2 files changed, 51 insertions(+), 26 deletions(-)

commit e64ce291fb627502e155c9311726957fbd613bbc
Author: Krzysztof Woś <krzysztof.wos@gmail.com>
Date:   Fri, 21 Oct 2016 08:54:05 +0200

    Remove trailing spaces

 ql/experimental/exoticoptions/kirkspreadoptionengine.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit e9dc3c3f1cdf0671270bcb772818b5f4d6413390
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Nov 2014 15:06:11 +0100

    better handling of telescopic value dates

 ql/cashflows/overnightindexedcoupon.cpp | 26 ++++++++++++++------------
 1 file changed, 14 insertions(+), 12 deletions(-)

commit cc0e90270bc250adbf8da46c0d719b7b04cd83e6
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Nov 2014 13:12:02 +0100

    ensure two dates at the tail in case of telescopic value dates

 ql/cashflows/overnightindexedcoupon.cpp | 13 +++++++++++--
 1 file changed, 11 insertions(+), 2 deletions(-)

commit 8fa6ab954c159b236f706031156821cb9e4cfc17
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 3 Mar 2014 20:17:13 +0100

    amend test cases for optimized schedule generation,
    add test case for seasoned swap valuation

 test-suite/overnightindexedswap.cpp | 116 ++++++++++++++++++++++++++++++++----
 test-suite/overnightindexedswap.hpp |   2 +
 2 files changed, 105 insertions(+), 13 deletions(-)

commit c0c826d4c81825200c1e0f587797428b6ff63181
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 3 Mar 2014 20:15:45 +0100

    enable optimized schedule for fixing estimation

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

commit 5c83b7471520d3e028d8aba673386546016f4bf6
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 3 Mar 2014 20:15:26 +0100

    add warning and copyright

 ql/cashflows/overnightindexedcoupon.cpp | 1 +
 ql/cashflows/overnightindexedcoupon.hpp | 7 ++++++-
 2 files changed, 7 insertions(+), 1 deletion(-)

commit 3cfe279275b75808e53d9312d9e0152c42e5315c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 3 Mar 2014 14:15:41 +0100

    add telescopic value dates option to speed up OIS curve bootstrapping

 ql/cashflows/overnightindexedcoupon.cpp   | 43 ++++++++++++++++++++++---------
 ql/cashflows/overnightindexedcoupon.hpp   |  5 +++-
 ql/instruments/makeois.cpp                | 39 +++++++++++++++++-----------
 ql/instruments/makeois.hpp                |  5 ++++
 ql/instruments/overnightindexedswap.cpp   | 15 +++++++----
 ql/instruments/overnightindexedswap.hpp   |  7 +++--
 ql/termstructures/yield/oisratehelper.cpp |  6 +++--
 7 files changed, 83 insertions(+), 37 deletions(-)
