http://www.mailbucket.org MailBucket http://www.mailbucket.org/quantlib-cvs-6312771.html Revision: 14888 http://quantlib.svn.sourceforge.net/quantlib/?rev=14888&view=rev Author: ericehlers Date: 2008-05-09 07:29:59 -0700 (Fri, 09 May 2008) Log Message: ----------- ignore subdirectory "local" Property Changed: ---------------- branches/serialization_enhancements/Launcher/ Property changes on: branches/serialization_enhancements/Launcher ___________________________________________________________________ Name: svn:ignore - bin obj launcher_vc8.suo launcher_vc8.vbproj.user *.pyc + bin obj launcher_vc8.suo launcher_vc8.vbproj.user *.pyc local This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Fri, 09 May 2008 07:30:26 -0700 http://www.mailbucket.org/quantlib-cvs-6312771.html http://www.mailbucket.org/quantlib-cvs-6312712.html Revision: 14887 http://quantlib.svn.sourceforge.net/quantlib/?rev=14887&view=rev Author: ericehlers Date: 2008-05-09 07:26:57 -0700 (Fri, 09 May 2008) Log Message: ----------- fixes for webserver build Modified Paths: -------------- branches/serialization_enhancements/Launcher/Environments/Environment.vb Modified: branches/serialization_enhancements/Launcher/Environments/Environment.vb =================================================================== --- branches/serialization_enhancements/Launcher/Environments/Environment.vb 2008-05-09 13:51:30 UTC (rev 14886) +++ branches/serialization_enhancements/Launcher/Environments/Environment.vb 2008-05-09 14:26:57 UTC (rev 14887) @@ -351,7 +351,9 @@ End If - validateFile(userConfig_, "user configuration file") + ' FIXME this file is required for fileserver build, not for webserver build. + ' Need a way to differentiate the two and only validate the former. + 'validateFile(userConfig_, "user configuration file") For Each addin As Addin In addinList_.Addins validateFile(addin.Path, "Excel Addin file") @@ -379,7 +381,9 @@ validateExcelPath(excelPath) - authenticateUser() + ' FIXME this function is required for fileserver build, not for webserver build. + ' Need a way to differentiate the two and only call authenticateUser() in the first case. + 'authenticateUser() This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Fri, 09 May 2008 07:27:01 -0700 http://www.mailbucket.org/quantlib-cvs-6312712.html http://www.mailbucket.org/quantlib-cvs-6312479.html Revision: 14886 http://quantlib.svn.sourceforge.net/quantlib/?rev=14886&view=rev Author: lballabio Date: 2008-05-09 06:51:30 -0700 (Fri, 09 May 2008) Log Message: ----------- Updated link to MinGW instructions Modified Paths: -------------- trunk/QuantLib-site/faq.dat Modified: trunk/QuantLib-site/faq.dat =================================================================== --- trunk/QuantLib-site/faq.dat 2008-05-09 13:41:27 UTC (rev 14885) +++ trunk/QuantLib-site/faq.dat 2008-05-09 13:51:30 UTC (rev 14886) @@ -122,8 +122,8 @@ Building QuantLib I'm having trouble building QuantLib with MinGW. Terry August was kind enough to put together detailed instructions - for MinGW users. They can be found here. + for MinGW users. Although a bit outdated, they can be found here. Building QuantLib When building QuantLib, I get a compile error about a missing This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Fri, 09 May 2008 06:51:37 -0700 http://www.mailbucket.org/quantlib-cvs-6312479.html http://www.mailbucket.org/quantlib-cvs-6312044.html Revision: 14885 http://quantlib.svn.sourceforge.net/quantlib/?rev=14885&view=rev Author: lballabio Date: 2008-05-09 06:41:27 -0700 (Fri, 09 May 2008) Log Message: ----------- Added link to Symphony port Modified Paths: -------------- trunk/QuantLib/Docs/quantlib.css trunk/QuantLib-site/extensions.shtml trunk/QuantLib-site/styles/quantlib.css trunk/QuantLib-site/usermenu.inc Modified: trunk/QuantLib/Docs/quantlib.css =================================================================== --- trunk/QuantLib/Docs/quantlib.css 2008-05-09 11:26:49 UTC (rev 14884) +++ trunk/QuantLib/Docs/quantlib.css 2008-05-09 13:41:27 UTC (rev 14885) @@ -13,7 +13,7 @@ #menu { float: right; - width: 11em; + width: 14em; margin: 0; margin-bottom: 1em; padding: 1em; @@ -37,7 +37,7 @@ } #content { - margin-right: 15em; + margin-right: 17em; padding: 1em; vertical-align: top; } Modified: trunk/QuantLib-site/extensions.shtml =================================================================== --- trunk/QuantLib-site/extensions.shtml 2008-05-09 11:26:49 UTC (rev 14884) +++ trunk/QuantLib-site/extensions.shtml 2008-05-09 13:41:27 UTC (rev 14885) @@ -19,7 +19,7 @@ -Other languages +Other languages and platforms QuantLib is available as a C#, Guile, Java, MzScheme, Perl, Python, and Ruby module by means of SWIG. Experimental bindings to @@ -46,6 +46,10 @@ Mathematica project QuantLibMma. +A few QuantLib functions have been ported to the Symphony +grid-computing platform. Details are +available here. + There is a strong interest in having QuantLib available as extension for different platforms. Interested developers can post on the QuantLib-dev mailing list. Modified: trunk/QuantLib-site/styles/quantlib.css =================================================================== --- trunk/QuantLib-site/styles/quantlib.css 2008-05-09 11:26:49 UTC (rev 14884) +++ trunk/QuantLib-site/styles/quantlib.css 2008-05-09 13:41:27 UTC (rev 14885) @@ -13,7 +13,7 @@ #menu { float: right; - width: 11em; + width: 14em; margin: 0; margin-bottom: 1em; padding: 1em; @@ -37,7 +37,7 @@ } #content { - margin-right: 15em; + margin-right: 17em; padding: 1em; vertical-align: top; } Modified: trunk/QuantLib-site/usermenu.inc =================================================================== --- trunk/QuantLib-site/usermenu.inc 2008-05-09 11:26:49 UTC (rev 14884) +++ trunk/QuantLib-site/usermenu.inc 2008-05-09 13:41:27 UTC (rev 14885) @@ -25,7 +25,7 @@ RSS feeds -Other languages +Other languages / platforms This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Fri, 09 May 2008 06:41:41 -0700 http://www.mailbucket.org/quantlib-cvs-6312044.html http://www.mailbucket.org/quantlib-cvs-6310881.html Revision: 14882 http://quantlib.svn.sourceforge.net/quantlib/?rev=14882&view=rev Author: sunquan Date: 2008-05-09 03:38:35 -0700 (Fri, 09 May 2008) Log Message: ----------- change return time type from string to double Modified Paths: -------------- branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc8.vcproj branches/oh_functions/ObjectHandler/Examples/C++/example.cpp branches/oh_functions/ObjectHandler/ObjectHandler_vc8.sln branches/oh_functions/ObjectHandler/gensrc/metadata/functions/objects.xml branches/oh_functions/ObjectHandler/oh/objectwrapper.hpp branches/oh_functions/ObjectHandler/oh/repository.cpp branches/oh_functions/ObjectHandler/oh/repository.hpp branches/oh_functions/log4cxx/msvc/apr_vc9.vcproj branches/oh_functions/log4cxx/msvc/aprutil_vc9.vcproj branches/oh_functions/log4cxx/msvc/log4cxx_vc9.vcproj Modified: branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj =================================================================== --- branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj 2008-05-08 15:34:29 UTC (rev 14881) +++ branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj 2008-05-09 10:38:35 UTC (rev 14882) @@ -22,7 +22,7 @@ Name="VCCLCompilerTool" Optimization="2" InlineFunctionExpansion="1" - AdditionalIncludeDirectories="..\..\..\log4cxx\src\main\include;..;..\.." + AdditionalIncludeDirectories="..;..\.." PreprocessorDefinitions="NDEBUG;_CONSOLE;LOG4CXX_STATIC;WIN32" StringPooling="TRUE" RuntimeLibrary="2" @@ -84,7 +84,7 @@ ]]> Fri, 09 May 2008 03:38:36 -0700 http://www.mailbucket.org/quantlib-cvs-6310881.html http://www.mailbucket.org/quantlib-cvs-6310409.html Revision: 14884 http://quantlib.svn.sourceforge.net/quantlib/?rev=14884&view=rev Author: lballabio Date: 2008-05-09 04:26:49 -0700 (Fri, 09 May 2008) Log Message: ----------- Added callable bonds (thanks to Allen Kuo) Modified Paths: -------------- trunk/QuantLib/Examples/Makefile.am trunk/QuantLib/configure.ac trunk/QuantLib/ql/experimental/Makefile.am trunk/QuantLib/ql/experimental/all.hpp Added Paths: ----------- trunk/QuantLib/Examples/CallableBonds/ trunk/QuantLib/Examples/CallableBonds/CallableBonds.cpp trunk/QuantLib/Examples/CallableBonds/CallableBonds.dev trunk/QuantLib/Examples/CallableBonds/CallableBonds_vc7.vcproj trunk/QuantLib/Examples/CallableBonds/CallableBonds_vc8.vcproj trunk/QuantLib/Examples/CallableBonds/CallableBonds_vc9.vcproj trunk/QuantLib/Examples/CallableBonds/Makefile.am trunk/QuantLib/Examples/CallableBonds/ReadMe.txt trunk/QuantLib/ql/experimental/callablebonds/ trunk/QuantLib/ql/experimental/callablebonds/Makefile.am trunk/QuantLib/ql/experimental/callablebonds/all.hpp trunk/QuantLib/ql/experimental/callablebonds/blackcallablebondengine.cpp trunk/QuantLib/ql/experimental/callablebonds/blackcallablebondengine.hpp trunk/QuantLib/ql/experimental/callablebonds/callablebond.cpp trunk/QuantLib/ql/experimental/callablebonds/callablebond.hpp trunk/QuantLib/ql/experimental/callablebonds/callablebondconstantvol.cpp trunk/QuantLib/ql/experimental/callablebonds/callablebondconstantvol.hpp trunk/QuantLib/ql/experimental/callablebonds/callablebondvolstructure.cpp trunk/QuantLib/ql/experimental/callablebonds/callablebondvolstructure.hpp trunk/QuantLib/ql/experimental/callablebonds/discretizedcallablefixedratebond.cpp trunk/QuantLib/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp trunk/QuantLib/ql/experimental/callablebonds/treecallablebondengine.cpp trunk/QuantLib/ql/experimental/callablebonds/treecallablebondengine.hpp Property changes on: trunk/QuantLib/Examples/CallableBonds ___________________________________________________________________ Name: svn:ignore + *.user *.layout *_private.* Makefile.in Makefile Makefile.win build bin .deps .libs *.plg *.dep *.obj *.mak CallableBonds TAGS Added: trunk/QuantLib/Examples/CallableBonds/CallableBonds.cpp =================================================================== --- trunk/QuantLib/Examples/CallableBonds/CallableBonds.cpp (rev 0) +++ trunk/QuantLib/Examples/CallableBonds/CallableBonds.cpp 2008-05-09 11:26:49 UTC (rev 14884) @@ -0,0 +1,346 @@ +/* This example sets up a callable fixed rate bond with a Hull White pricing + engine and compares to Bloomberg's Hull White price/yield calculations. +*/ + +#ifdef BOOST_MSVC +/* Uncomment the following lines to unmask floating-point + exceptions. Warning: unpredictable results can arise... + + See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481 + Is there anyone with a definitive word about this? +*/ +// #include +// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); } +#endif + +#include +#include +#include +#include +#include +#include + +using namespace std; +using namespace QuantLib; + +#if defined(QL_ENABLE_SESSIONS) +namespace QuantLib { + Integer sessionId() { return 0; } +} +#endif + + +boost::shared_ptr + flatRate(const Date& today, + const boost::shared_ptr& forward, + const DayCounter& dc, + const Compounding& compounding, + const Frequency& frequency) { + return boost::shared_ptr( + new FlatForward(today, + Handle(forward), + dc, + compounding, + frequency)); +} + + +boost::shared_ptr + flatRate(const Date& today, + Rate forward, + const DayCounter& dc, + const Compounding &compounding, + const Frequency &frequency) { + return flatRate(today, + boost::shared_ptr(new SimpleQuote(forward)), + dc, + compounding, + frequency); +} + + +int main(int, char* []) +{ + try { + + boost::timer timer; + + Date today = Date(16,October,2007); + Settings::instance().evaluationDate() = today; + + cout ]]> Fri, 09 May 2008 04:26:52 -0700 http://www.mailbucket.org/quantlib-cvs-6310409.html http://www.mailbucket.org/quantlib-cvs-6309872.html Revision: 14883 http://quantlib.svn.sourceforge.net/quantlib/?rev=14883&view=rev Author: lballabio Date: 2008-05-09 03:40:06 -0700 (Fri, 09 May 2008) Log Message: ----------- Fixed Modified Paths: -------------- trunk/QuantLib/Examples/CDS/ReadMe.txt Modified: trunk/QuantLib/Examples/CDS/ReadMe.txt =================================================================== --- trunk/QuantLib/Examples/CDS/ReadMe.txt 2008-05-09 10:38:35 UTC (rev 14882) +++ trunk/QuantLib/Examples/CDS/ReadMe.txt 2008-05-09 10:40:06 UTC (rev 14883) @@ -1,2 +1,2 @@ -Prices a bermudan swaption using different models calibrated to market -swaptions. +This example bootstraps a default-probability curve over a number of +CDS and reprices them. This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Fri, 09 May 2008 03:40:12 -0700 http://www.mailbucket.org/quantlib-cvs-6309872.html http://www.mailbucket.org/quantlib-cvs-6298151.html Revision: 14881 http://quantlib.svn.sourceforge.net/quantlib/?rev=14881&view=rev Author: lballabio Date: 2008-05-08 08:34:29 -0700 (Thu, 08 May 2008) Log Message: ----------- Added CDS example (thanks to Jose Aparicio) Modified Paths: -------------- trunk/QuantLib/Examples/Makefile.am trunk/QuantLib/configure.ac Added Paths: ----------- trunk/QuantLib/Examples/CDS/ trunk/QuantLib/Examples/CDS/CDS.cpp trunk/QuantLib/Examples/CDS/CDS.dev trunk/QuantLib/Examples/CDS/CDS_vc7.vcproj trunk/QuantLib/Examples/CDS/CDS_vc8.vcproj trunk/QuantLib/Examples/CDS/CDS_vc9.vcproj trunk/QuantLib/Examples/CDS/Makefile.am trunk/QuantLib/Examples/CDS/ReadMe.txt Property changes on: trunk/QuantLib/Examples/CDS ___________________________________________________________________ Name: svn:ignore + *.user *.layout *_private.* Makefile.in Makefile Makefile.win build bin .deps .libs *.plg *.dep *.obj *.mak CDS TAGS Added: trunk/QuantLib/Examples/CDS/CDS.cpp =================================================================== --- trunk/QuantLib/Examples/CDS/CDS.cpp (rev 0) +++ trunk/QuantLib/Examples/CDS/CDS.cpp 2008-05-08 15:34:29 UTC (rev 14881) @@ -0,0 +1,235 @@ +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ + +/* + Copyright (C) 2008 Jose Aparicio + + This file is part of QuantLib, a free-software/open-source library + for financial quantitative analysts and developers - http://quantlib.org/ + + QuantLib is free software: you can redistribute it and/or modify it + under the terms of the QuantLib license. You should have received a + copy of the license along with this program; if not, please email + . The license is also available online at + . + + This program is distributed in the hope that it will be useful, but WITHOUT + ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS + FOR A PARTICULAR PURPOSE. See the license for more details. +*/ + +#include + +#include +#include +#include + +using namespace std; +using namespace QuantLib; + +#if defined(QL_ENABLE_SESSIONS) +namespace QuantLib { + + Integer sessionId() { return 0; } + +} +#endif + +int main(int, char* []) { + + try { + + boost::timer timer; + std::cout ]]> Thu, 08 May 2008 08:34:40 -0700 http://www.mailbucket.org/quantlib-cvs-6298151.html http://www.mailbucket.org/quantlib-cvs-6294212.html Revision: 14880 http://quantlib.svn.sourceforge.net/quantlib/?rev=14880&view=rev Author: ericehlers Date: 2008-05-08 07:14:33 -0700 (Thu, 08 May 2008) Log Message: ----------- Modified Paths: -------------- trunk/ObjectHandler/dev_tools/config Modified: trunk/ObjectHandler/dev_tools/config =================================================================== --- trunk/ObjectHandler/dev_tools/config 2008-05-08 13:40:32 UTC (rev 14879) +++ trunk/ObjectHandler/dev_tools/config 2008-05-08 14:14:33 UTC (rev 14880) @@ -114,6 +114,7 @@ *.dsw = svn:eol-style=CRLF *.dtd = svn:eol-style=native *.el = svn:eol-style=native +*.exe = svn:mime-type=application/octet-stream *.gif = svn:mime-type=image/gif *.h = svn:eol-style=native *.hpp = svn:eol-style=native @@ -149,6 +150,7 @@ *.xla = svn:mime-type=application/vnd.ms-excel;svn:needs-lock *.xll = svn:mime-type=application/vnd.ms-excel;svn:needs-lock *.xls = svn:mime-type=application/vnd.ms-excel;svn:needs-lock +*.xlsx = svn:mime-type=application/vnd.ms-excel;svn:needs-lock *.xml = svn:eol-style=native Makefile = svn:eol-style=native README = svn:eol-style=native This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Thu, 08 May 2008 07:14:35 -0700 http://www.mailbucket.org/quantlib-cvs-6294212.html http://www.mailbucket.org/quantlib-cvs-6293772.html Revision: 14879 http://quantlib.svn.sourceforge.net/quantlib/?rev=14879&view=rev Author: lballabio Date: 2008-05-08 06:40:32 -0700 (Thu, 08 May 2008) Log Message: ----------- Moved experimental volatility classes to own subfolder Modified Paths: -------------- trunk/QuantLib/configure.ac trunk/QuantLib/ql/experimental/Makefile.am trunk/QuantLib/ql/experimental/all.hpp Added Paths: ----------- trunk/QuantLib/ql/experimental/volatility/ trunk/QuantLib/ql/experimental/volatility/Makefile.am trunk/QuantLib/ql/experimental/volatility/abcdatmvolcurve.cpp trunk/QuantLib/ql/experimental/volatility/abcdatmvolcurve.hpp trunk/QuantLib/ql/experimental/volatility/all.hpp trunk/QuantLib/ql/experimental/volatility/blackatmvolcurve.cpp trunk/QuantLib/ql/experimental/volatility/blackatmvolcurve.hpp trunk/QuantLib/ql/experimental/volatility/blackvolsurface.cpp trunk/QuantLib/ql/experimental/volatility/blackvolsurface.hpp trunk/QuantLib/ql/experimental/volatility/equityfxvolsurface.cpp trunk/QuantLib/ql/experimental/volatility/equityfxvolsurface.hpp trunk/QuantLib/ql/experimental/volatility/interestratevolsurface.cpp trunk/QuantLib/ql/experimental/volatility/interestratevolsurface.hpp trunk/QuantLib/ql/experimental/volatility/sabrvolsurface.cpp trunk/QuantLib/ql/experimental/volatility/sabrvolsurface.hpp trunk/QuantLib/ql/experimental/volatility/volcube.cpp trunk/QuantLib/ql/experimental/volatility/volcube.hpp Removed Paths: ------------- trunk/QuantLib/ql/experimental/abcdatmvolcurve.cpp trunk/QuantLib/ql/experimental/abcdatmvolcurve.hpp trunk/QuantLib/ql/experimental/blackatmvolcurve.cpp trunk/QuantLib/ql/experimental/blackatmvolcurve.hpp trunk/QuantLib/ql/experimental/blackvolsurface.cpp trunk/QuantLib/ql/experimental/blackvolsurface.hpp trunk/QuantLib/ql/experimental/equityfxvolsurface.cpp trunk/QuantLib/ql/experimental/equityfxvolsurface.hpp trunk/QuantLib/ql/experimental/interestratevolsurface.cpp trunk/QuantLib/ql/experimental/interestratevolsurface.hpp trunk/QuantLib/ql/experimental/sabrvolsurface.cpp trunk/QuantLib/ql/experimental/sabrvolsurface.hpp trunk/QuantLib/ql/experimental/volcube.cpp trunk/QuantLib/ql/experimental/volcube.hpp Modified: trunk/QuantLib/configure.ac =================================================================== --- trunk/QuantLib/configure.ac 2008-05-08 06:31:30 UTC (rev 14878) +++ trunk/QuantLib/configure.ac 2008-05-08 13:40:32 UTC (rev 14879) @@ -329,6 +329,7 @@ ql/cashflows/Makefile ql/currencies/Makefile ql/experimental/Makefile + ql/experimental/volatility/Makefile ql/indexes/Makefile ql/indexes/ibor/Makefile ql/indexes/inflation/Makefile Modified: trunk/QuantLib/ql/experimental/Makefile.am =================================================================== --- trunk/QuantLib/ql/experimental/Makefile.am 2008-05-08 06:31:30 UTC (rev 14878) +++ trunk/QuantLib/ql/experimental/Makefile.am 2008-05-08 13:40:32 UTC (rev 14879) @@ -1,26 +1,17 @@ +SUBDIRS = volatility + AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir} this_includedir=${includedir}/${subdir} this_include_HEADERS = \ - all.hpp \ - abcdatmvolcurve.hpp \ - blackatmvolcurve.hpp \ - blackvolsurface.hpp \ - equityfxvolsurface.hpp \ - interestratevolsurface.hpp \ - sabrvolsurface.hpp \ - volcube.hpp + all.hpp -libExperimental_la_SOURCES = \ - abcdatmvolcurve.cpp \ - blackatmvolcurve.cpp \ - blackvolsurface.cpp \ - equityfxvolsurface.cpp \ - interestratevolsurface.cpp \ - sabrvolsurface.cpp \ - volcube.cpp +libExperimental_la_SOURCES = +libExperimental_la_LIBADD = \ + volatility/libVolatility.la + noinst_LTLIBRARIES = libExperimental.la all.hpp: Makefile.am Deleted: trunk/QuantLib/ql/experimental/abcdatmvolcurve.cpp =================================================================== --- trunk/QuantLib/ql/experimental/abcdatmvolcurve.cpp 2008-05-08 06:31:30 UTC (rev 14878) +++ trunk/QuantLib/ql/experimental/abcdatmvolcurve.cpp 2008-05-08 13:40:32 UTC (rev 14879) @@ -1,158 +0,0 @@ -/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ - -/* - Copyright (C) 2007 Cristina Duminuco - Copyright (C) 2007 Ferdinando Ametrano - - This file is part of QuantLib, a free-software/open-source library - for financial quantitative analysts and developers - http://quantlib.org/ - - QuantLib is free software: you can redistribute it and/or modify it - under the terms of the QuantLib license. You should have received a - copy of the license along with this program; if not, please email - . The license is also available online at - . - - This program is distributed in the hope that it will be useful, but WITHOUT - ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS - FOR A PARTICULAR PURPOSE Long message truncated by MailBucket.]]> Thu, 08 May 2008 06:40:34 -0700 http://www.mailbucket.org/quantlib-cvs-6293772.html http://www.mailbucket.org/quantlib-cvs-6289103.html Revision: 14878 http://quantlib.svn.sourceforge.net/quantlib/?rev=14878&view=rev Author: sunquan Date: 2008-05-07 23:31:30 -0700 (Wed, 07 May 2008) Log Message: ----------- update all vcprojs(vc7 vc8 vc9) to oh_functions.dec Modified Paths: -------------- branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc8.vcproj branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc9.vcproj branches/oh_functions/ObjectHandler/Examples/ExampleObjects/ExampleObjects_vc9.vcproj branches/oh_functions/ObjectHandler/Examples/xl/ExampleXllDynamic1_vc9.vcproj branches/oh_functions/ObjectHandler/Examples/xl/ExampleXllDynamic2_vc9.vcproj branches/oh_functions/ObjectHandler/Examples/xl/ExampleXllStatic_vc9.vcproj branches/oh_functions/ObjectHandler/ObjectHandler_vc9.sln branches/oh_functions/ObjectHandler/gensrc/ohgensrc_vc7.vcproj branches/oh_functions/ObjectHandler/gensrc/ohgensrc_vc9.vcproj branches/oh_functions/ObjectHandler/ohlib_vc9.vcproj branches/oh_functions/ObjectHandler/ohxl/ohxll/ohxll_vc7.vcproj branches/oh_functions/ObjectHandler/ohxl/ohxll/ohxll_vc9.vcproj branches/oh_functions/ObjectHandler/ohxl/ohxllib/ohxllib_vc7.vcproj branches/oh_functions/ObjectHandler/ohxl/ohxllib/ohxllib_vc9.vcproj Modified: branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj =================================================================== --- branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj 2008-05-08 02:46:55 UTC (rev 14877) +++ branches/oh_functions/ObjectHandler/Examples/C++/ExampleCpp_vc7.vcproj 2008-05-08 06:31:30 UTC (rev 14878) @@ -22,7 +22,7 @@ Name="VCCLCompilerTool" Optimization="2" InlineFunctionExpansion="1" - AdditionalIncludeDirectories="..,..\.." + AdditionalIncludeDirectories="..\..\..\log4cxx\src\main\include;..;..\.." PreprocessorDefinitions="NDEBUG;_CONSOLE;LOG4CXX_STATIC;WIN32" StringPooling="TRUE" RuntimeLibrary="2" @@ -84,7 +84,7 @@ ]]> Wed, 07 May 2008 23:31:30 -0700 http://www.mailbucket.org/quantlib-cvs-6289103.html http://www.mailbucket.org/quantlib-cvs-6286958.html Revision: 14877 http://quantlib.svn.sourceforge.net/quantlib/?rev=14877&view=rev Author: sunquan Date: 2008-05-07 19:46:55 -0700 (Wed, 07 May 2008) Log Message: ----------- Copied remotely Added Paths: ----------- branches/log4cxx_upgrade/ Copied: branches/log4cxx_upgrade (from rev 14876, trunk) This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 19:46:55 -0700 http://www.mailbucket.org/quantlib-cvs-6286958.html http://www.mailbucket.org/quantlib-cvs-6282597.html Revision: 14876 http://quantlib.svn.sourceforge.net/quantlib/?rev=14876&view=rev Author: klausspanderen Date: 2008-05-07 11:59:12 -0700 (Wed, 07 May 2008) Log Message: ----------- JumpDiffusionEngine, don't run away immediately Modified Paths: -------------- trunk/QuantLib/ql/pricingengines/vanilla/jumpdiffusionengine.cpp Modified: trunk/QuantLib/ql/pricingengines/vanilla/jumpdiffusionengine.cpp =================================================================== --- trunk/QuantLib/ql/pricingengines/vanilla/jumpdiffusionengine.cpp 2008-05-07 15:36:43 UTC (rev 14875) +++ trunk/QuantLib/ql/pricingengines/vanilla/jumpdiffusionengine.cpp 2008-05-07 18:59:12 UTC (rev 14876) @@ -106,9 +106,8 @@ Real theta_correction; // Haug arbitrary criterium is: //for (i=0; irelativeAccuracy_ && irelativeAccuracy_ && i]]> Wed, 07 May 2008 11:59:13 -0700 http://www.mailbucket.org/quantlib-cvs-6282597.html http://www.mailbucket.org/quantlib-cvs-6279110.html Revision: 14875 http://quantlib.svn.sourceforge.net/quantlib/?rev=14875&view=rev Author: ericehlers Date: 2008-05-07 08:36:43 -0700 (Wed, 07 May 2008) Log Message: ----------- fix examples Modified Paths: -------------- trunk/ObjectHandler/Examples/xl/exampleDynamic.xls trunk/ObjectHandler/Examples/xl/exampleStatic.xls Modified: trunk/ObjectHandler/Examples/xl/exampleDynamic.xls =================================================================== (Binary files differ) Modified: trunk/ObjectHandler/Examples/xl/exampleStatic.xls =================================================================== (Binary files differ) This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 08:36:44 -0700 http://www.mailbucket.org/quantlib-cvs-6279110.html http://www.mailbucket.org/quantlib-cvs-6278433.html Revision: 14874 http://quantlib.svn.sourceforge.net/quantlib/?rev=14874&view=rev Author: ericehlers Date: 2008-05-07 08:20:47 -0700 (Wed, 07 May 2008) Log Message: ----------- ignore new build files Property Changed: ---------------- trunk/QuantLibXL/ Property changes on: trunk/QuantLibXL ___________________________________________________________________ Name: svn:ignore - *.bak Makefile Makefile.in aclocal.m4 autom4te.cache config.log config.status configure install-sh missing xll QuantLibAllDynamic_vc?.ncb QuantLibAllDynamic_vc?.suo QuantLibAllStatic_vc?.ncb QuantLibAllStatic_vc?.suo QuantLibXL_vc?.ncb QuantLibXL_vc?.suo + Makefile Makefile.in aclocal.m4 autom4te.cache config.log config.status configure install-sh missing xll *.ncb *.suo This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 08:20:48 -0700 http://www.mailbucket.org/quantlib-cvs-6278433.html http://www.mailbucket.org/quantlib-cvs-6278358.html Revision: 14873 http://quantlib.svn.sourceforge.net/quantlib/?rev=14873&view=rev Author: ericehlers Date: 2008-05-07 08:18:54 -0700 (Wed, 07 May 2008) Log Message: ----------- fix examples Modified Paths: -------------- branches/serialization_enhancements2/ObjectHandler/Examples/ExampleObjects/Serialization/creators.cpp branches/serialization_enhancements2/ObjectHandler/Examples/xl/exampleDynamic.xls branches/serialization_enhancements2/ObjectHandler/Examples/xl/exampleStatic.xls Modified: branches/serialization_enhancements2/ObjectHandler/Examples/ExampleObjects/Serialization/creators.cpp =================================================================== --- branches/serialization_enhancements2/ObjectHandler/Examples/ExampleObjects/Serialization/creators.cpp 2008-05-07 15:09:36 UTC (rev 14872) +++ branches/serialization_enhancements2/ObjectHandler/Examples/ExampleObjects/Serialization/creators.cpp 2008-05-07 15:18:54 UTC (rev 14873) @@ -43,9 +43,7 @@ Account::Type typeEnum = ObjectHandler::Create()(type); - /*long accountBalance = ObjectHandler::variantToScalar( - balance, "Balance", 100);*/ - long accountBalance = ObjectHandler::convert2(balance, "Balance", 100); + long accountBalance = static_cast(ObjectHandler::convert2(balance, "Balance", 100.)); boost::shared_ptr object( new AccountObject(valueObject, customerRef, typeEnum, number, accountBalance, permanent)); Modified: branches/serialization_enhancements2/ObjectHandler/Examples/xl/exampleDynamic.xls =================================================================== (Binary files differ) Modified: branches/serialization_enhancements2/ObjectHandler/Examples/xl/exampleStatic.xls =================================================================== (Binary files differ) This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 08:18:54 -0700 http://www.mailbucket.org/quantlib-cvs-6278358.html http://www.mailbucket.org/quantlib-cvs-6277968.html Revision: 14872 http://quantlib.svn.sourceforge.net/quantlib/?rev=14872&view=rev Author: lballabio Date: 2008-05-07 08:09:36 -0700 (Wed, 07 May 2008) Log Message: ----------- Added svn:ignore property Property Changed: ---------------- trunk/QuantLib/ql/math/copulas/ Property changes on: trunk/QuantLib/ql/math/copulas ___________________________________________________________________ Name: svn:ignore + *.obj* *.lib *.lo *.la Makefile.in Makefile .deps .libs TAGS This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 08:09:37 -0700 http://www.mailbucket.org/quantlib-cvs-6277968.html http://www.mailbucket.org/quantlib-cvs-6277961.html Revision: 14871 http://quantlib.svn.sourceforge.net/quantlib/?rev=14871&view=rev Author: lballabio Date: 2008-05-07 08:08:41 -0700 (Wed, 07 May 2008) Log Message: ----------- Fixes for gcc build Modified Paths: -------------- trunk/QuantLib/configure.ac trunk/QuantLib/ql/math/copulas/all.hpp Added Paths: ----------- trunk/QuantLib/ql/math/copulas/Makefile.am Modified: trunk/QuantLib/configure.ac =================================================================== --- trunk/QuantLib/configure.ac 2008-05-07 14:42:58 UTC (rev 14870) +++ trunk/QuantLib/configure.ac 2008-05-07 15:08:41 UTC (rev 14871) @@ -340,6 +340,7 @@ ql/legacy/libormarketmodels/Makefile ql/legacy/termstructures/Makefile ql/math/Makefile + ql/math/copulas/Makefile ql/math/distributions/Makefile ql/math/matrixutilities/Makefile ql/math/integrals/Makefile Added: trunk/QuantLib/ql/math/copulas/Makefile.am =================================================================== --- trunk/QuantLib/ql/math/copulas/Makefile.am (rev 0) +++ trunk/QuantLib/ql/math/copulas/Makefile.am 2008-05-07 15:08:41 UTC (rev 14871) @@ -0,0 +1,40 @@ +AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir} + +this_includedir=${includedir}/${subdir} +this_include_HEADERS = \ + all.hpp \ + claytoncopula.hpp \ + farliegumbelmorgensterncopula.hpp \ + frankcopula.hpp \ + gaussiancopula.hpp \ + gumbelcopula.hpp \ + independentcopula.hpp \ + marshallolkincopula.hpp \ + maxcopula.hpp \ + mincopula.hpp + +libCopulas_la_SOURCES = \ + claytoncopula.cpp \ + farliegumbelmorgensterncopula.cpp \ + frankcopula.cpp \ + gaussiancopula.cpp \ + gumbelcopula.cpp \ + independentcopula.cpp \ + marshallolkincopula.cpp \ + maxcopula.cpp \ + mincopula.cpp + +noinst_LTLIBRARIES = libCopulas.la + +all.hpp: Makefile.am + echo "/* This file is automatically generated; do not edit. */" > $@ + echo "/* Add the files to be included into Makefile.am instead. */" >> $@ + echo >> $@ + for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \ + echo "#include " >> $@; \ + done + echo >> $@ + subdirs='$(SUBDIRS)'; for i in $$subdirs; do \ + echo "#include " >> $@; \ + done + Property changes on: trunk/QuantLib/ql/math/copulas/Makefile.am ___________________________________________________________________ Name: svn:eol-style + LF Modified: trunk/QuantLib/ql/math/copulas/all.hpp =================================================================== --- trunk/QuantLib/ql/math/copulas/all.hpp 2008-05-07 14:42:58 UTC (rev 14870) +++ trunk/QuantLib/ql/math/copulas/all.hpp 2008-05-07 15:08:41 UTC (rev 14871) @@ -1,7 +1,6 @@ /* This file is automatically generated; do not edit. */ /* Add the files to be included into Makefile.am instead. */ - #include #include #include @@ -12,6 +11,3 @@ #include #include - - - This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 08:08:48 -0700 http://www.mailbucket.org/quantlib-cvs-6277961.html http://www.mailbucket.org/quantlib-cvs-6277572.html Revision: 14869 http://quantlib.svn.sourceforge.net/quantlib/?rev=14869&view=rev Author: nando Date: 2008-05-07 07:42:30 -0700 (Wed, 07 May 2008) Log Message: ----------- added copulas (thanks to Marek Glowacki) Modified Paths: -------------- trunk/QuantLib/Contributors.txt trunk/QuantLib/QuantLib_vc7.vcproj trunk/QuantLib/QuantLib_vc8.vcproj trunk/QuantLib/QuantLib_vc9.vcproj trunk/QuantLib/ql/math/Makefile.am trunk/QuantLib/ql/math/all.hpp Added Paths: ----------- trunk/QuantLib/ql/math/copulas/ trunk/QuantLib/ql/math/copulas/all.hpp trunk/QuantLib/ql/math/copulas/claytoncopula.cpp trunk/QuantLib/ql/math/copulas/claytoncopula.hpp trunk/QuantLib/ql/math/copulas/farliegumbelmorgensterncopula.cpp trunk/QuantLib/ql/math/copulas/farliegumbelmorgensterncopula.hpp trunk/QuantLib/ql/math/copulas/frankcopula.cpp trunk/QuantLib/ql/math/copulas/frankcopula.hpp trunk/QuantLib/ql/math/copulas/gaussiancopula.cpp trunk/QuantLib/ql/math/copulas/gaussiancopula.hpp trunk/QuantLib/ql/math/copulas/gumbelcopula.cpp trunk/QuantLib/ql/math/copulas/gumbelcopula.hpp trunk/QuantLib/ql/math/copulas/independentcopula.cpp trunk/QuantLib/ql/math/copulas/independentcopula.hpp trunk/QuantLib/ql/math/copulas/marshallolkincopula.cpp trunk/QuantLib/ql/math/copulas/marshallolkincopula.hpp trunk/QuantLib/ql/math/copulas/maxcopula.cpp trunk/QuantLib/ql/math/copulas/maxcopula.hpp trunk/QuantLib/ql/math/copulas/mincopula.cpp trunk/QuantLib/ql/math/copulas/mincopula.hpp Modified: trunk/QuantLib/Contributors.txt =================================================================== --- trunk/QuantLib/Contributors.txt 2008-05-07 13:16:31 UTC (rev 14868) +++ trunk/QuantLib/Contributors.txt 2008-05-07 14:42:30 UTC (rev 14869) @@ -4,8 +4,8 @@ Adolfo Benin, Luca Berardi, David Binderman, Theo Boafo, Joe Byers, Antoine Cellerier, Aurelien Chanudet, Yiping Chen, Warren Chou, Jon Davidson, Daniele De Francesco, Piter Dias, Silvia Frasson, Matteo -Gallivanoni, Roman Gitlin, Richard Gould, Tomoya Kawanishi, Gary -Kennedy, Chris Kenyon, Allen Kuo, Paul Laderoute, James Lee, Gang +Gallivanoni, Roman Gitlin, Marek Glowacki, Richard Gould, Tomoya Kawanishi, +Gary Kennedy, Chris Kenyon, Allen Kuo, Paul Laderoute, James Lee, Gang Liang, Roland Lichters, Robert Lopez, Andr\xE9 Louw, John Maiden, Enrico Michelotti, Tiziano M\xFCller, Guillaume Pealat, Gilbert Peffer, Walter Penschke, Gianni Piolanti, Fabio Ramponi, Peter Schmitteckert, David Modified: trunk/QuantLib/QuantLib_vc7.vcproj =================================================================== --- trunk/QuantLib/QuantLib_vc7.vcproj 2008-05-07 13:16:31 UTC (rev 14868) +++ trunk/QuantLib/QuantLib_vc7.vcproj 2008-05-07 14:42:30 UTC (rev 14869) @@ -2180,6 +2180,67 @@ RelativePath=".\ql\math\statistics\statistics.hpp"> + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + ]]> Wed, 07 May 2008 07:42:31 -0700 http://www.mailbucket.org/quantlib-cvs-6277572.html http://www.mailbucket.org/quantlib-cvs-6277571.html Revision: 14870 http://quantlib.svn.sourceforge.net/quantlib/?rev=14870&view=rev Author: nando Date: 2008-05-07 07:42:58 -0700 (Wed, 07 May 2008) Log Message: ----------- Modified Paths: -------------- trunk/QuantLib/ql/math/interpolations/cubicinterpolation.hpp Modified: trunk/QuantLib/ql/math/interpolations/cubicinterpolation.hpp =================================================================== --- trunk/QuantLib/ql/math/interpolations/cubicinterpolation.hpp 2008-05-07 14:42:30 UTC (rev 14869) +++ trunk/QuantLib/ql/math/interpolations/cubicinterpolation.hpp 2008-05-07 14:42:58 UTC (rev 14870) @@ -152,12 +152,12 @@ Real rightConditionValue) { impl_ = boost::shared_ptr(new detail::CubicInterpolationImpl(xBegin, xEnd, yBegin, - da, - monotonic, - leftCond, - leftConditionValue, - rightCond, - rightConditionValue)); + da, + monotonic, + leftCond, + leftConditionValue, + rightCond, + rightConditionValue)); impl_->update(); coeffs_ = boost::dynamic_pointer_cast(impl_); This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-cvs mailing list QuantLib-cvs@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-cvs ]]> Wed, 07 May 2008 07:42:58 -0700 http://www.mailbucket.org/quantlib-cvs-6277571.html