commit 56eb434163d39a4f0a898ce535c2313c6722a0e9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 1 Jul 2013 09:45:30 +0200

    Removed explicit conversions from pointer to shared_ptr.
    
    They're no longer valid on all compilers.

commit 0c659e510ff06ebd0d92809b0ee9864e6e193053
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 28 Jun 2013 10:35:43 +0200

    Added namespace qualification to some math function calls.
    
    These calls were causing compilation errors on Solaris.
    Thanks to Paul Rädle for the heads-up.

commit 000c052c89092f27357fdbe055a1d7bbb93232f7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 28 Jun 2013 10:35:12 +0200

    Avoid exiting upon error.

commit 651de1701da684191e6f6a0dea7a478f2ebdbaf9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Jun 2013 18:22:06 +0200

    Ensure that the correct overload of fabs is used.
    
    Older versions of gcc would pick int abs(int) instead of the
    floating-point overload.

commit 676e31d9b2f86c2907669747c697f0ec6b62ce64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Jun 2013 17:09:38 +0200

    Prevent warnings about unused or uninitialized variables.

commit 48db7277aa62417ee3342c7ea4cd2e90786a7ab6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Jun 2013 17:08:27 +0200

    Fixed order of data member initialization.

commit e133273f2078e5188ab3ff236d7cfcb70e792df3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Jun 2013 14:14:13 +0200

    Updated VC++ and Dev-C++ projects.
    
    A couple of header files were moved around, which didn't affect
    the build but left a couple of dangling file references into
    the projects.

commit 71657da35f71f5b305c5d5d59703aa73f7b8b7b9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 27 Jun 2013 09:23:02 +0200

    Increased tolerance for numerical errors in tests.

commit b30dceb7650dbe8b6e567a2399d73b01e6b5e2fc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 26 Jun 2013 17:51:52 +0200

    Disabled a few test cases when using older Boost versions.
    
    The test cases are using features which are only available in
    newer versions.

commit 0468858c24a240fbc9e459dd9a42e2472086c985
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jun 2013 15:57:30 +0200

    Prevent a few warnings and errors in VC++.
    
    Problems included:
    - math macro redefinitions;
    - suspicious conversions from int to bool;
    - extended scope of for-loop variables;
    - ambiguous resolution of symbols in older Boost versions.

commit c8d3a1599ed9afee48980905d93c9ff81fb9fb80
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 26 Jun 2013 13:42:36 +0200

    Fixed missing spaces in test messages.

commit 6ece64648793897ebba58227826c6c5f24a19431
Merge: 2540ab4 da93efb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 25 Jun 2013 10:31:07 +0200

    Merge pull request #9 from Peter Caspers.
    
    Fixes to experimental Markov functional model.
    Additional fixes in this commit:
    - fixed C++11-only syntax;
    - replaced hard tabs with spaces;
    - reordered included headers.

commit da93efb4ff9c0f51deed79522cf4059907316c12
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 24 Jun 2013 10:06:39 +0200

    adaption to new smile section utils

commit ecfdcb7c96453126a2a12234a29ac976d3196bb2
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Mon, 24 Jun 2013 10:00:46 +0200

    redesign smile section utils and adaption to that in markov model

commit 94a73de4dca5f3905d955e011f0d002423ece532
Merge: 8b70d7b 84643e8
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 16:43:21 +0200

    Merge branch 'vendor' into markovfixes

commit 8b70d7b4b4e58974ebbbd22bef51cf6079a00109
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 13:41:51 +0200

    removed smile pretreatment constants (moved to adjustments)

commit a9f175c9670d5862320f8c1dc576d6ae31504d14
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 12:43:55 +0200

    added test case for Kahale smile section,
    
    removed code for debug outputs

commit 81d593486197f7a671c7262ae8e37bd4d675fe9c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 12:42:13 +0200

    corrected arbitrage check w.r.t. right strike

commit a93d07162d3bb42d9b5f0240905a3f385847b2f7
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 12:41:27 +0200

    trim precondition check

commit 7744ff3eada304df15240e74c7de80221ef79d90
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Sun, 23 Jun 2013 12:40:59 +0200

    adjusted accuracy constants,
    
    relabeled minAfStrike and maxAfStrike to leftCoreStrike and
    rightCoreStrike to reflect that this is the effective
    region outside which extrapolation is done, which may be smaller than
    the actual arbitrage free region,
    
    explicitly call the helper functions after zero search, because it
    may not be ensured by the solver that the last function evaluation is
    done at the solution

commit 4d6854548fe9f087544421e3c0a9506ad1a5fa93
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Jun 2013 13:55:58 +0200

    make moneynessGrid and strikeGrid consistent

commit 44d565027041952fe900cad38ffad367bc3f4e30
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Jun 2013 13:55:22 +0200

    unify model settings, reformat code, reauthor warnings section

commit b66411fa5498b19a0f9927e5770bd80fdcad8840
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Jun 2013 13:54:47 +0200

    adapt code to new handling of model settings

commit b2c2a905930b33c67931a979a50343ab1270299c
Author: Peter Caspers <pcaspers1973@gmail.com>
Date:   Tue, 18 Jun 2013 13:54:19 +0200

    added exponential extrapolation; added option to delete arbitrage points
    from smile and then interpolate instead of cutting the smile at the
    first arbitrage point and extrapolate from this point; make code more robust

commit 44ab690cf56e09a3398485073e27e3d34c0770a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 14 Jun 2013 11:42:16 +0200

    Replaced hard tabs with spaces.

commit 7283a7c7543dc09df26050ee7e559dbb4452003c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 14 Jun 2013 11:20:41 +0200

    Updated list of copyright holders.
    
    Also, a few copyright attributions were cleaned up of typos
    and alternative spellings.

commit 3678f3eafcea5cad6b788ff32eac4fc8db8b299f
Merge: 6db8f1f 4a37ebf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 14 Jun 2013 10:22:53 +0200

    Merged branch heads.

commit 6db8f1feca63585ddb37416e45f879c2090ea625
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 14 Jun 2013 09:28:52 +0200

    Enforce self-consistency of headers.
    
    Headers should compile even when included alone.

commit cfbd9d274137b7ba0d607859108b39ed8fce7e0a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Jun 2013 17:28:28 +0200

    Moved FFT and autocovariance implementations into core library.

commit 4a37ebf4b13be465484faa20677a859d6de0ba3c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Jun 2013 21:52:55 +0200

    Prevented compilation error with old g++ version on Mac OS X.

commit 8f9a70973589dec6cbdb1cc8bae61c322b9eb21c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 13 Jun 2013 17:00:50 +0200

    Changed inclusion order according to project custom.
    
    We usually include QuantLib headers first, then Boost ones, then those
    from the standard library. This is to make sure that macros are properly
    defined before including other stuff.

commit 55d10cba5f23a29da82329ceaae47ab1f8128133
Merge: 596b8c7 2e3ec98
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 11 Jun 2013 17:55:28 +0200

    Merged Jamshidian swaption changes from Peter Caspers.

commit da862212568b8d83b3f3e57244a0619cbe7a0591
Author: peter <peter@peter-ThinkPad-W520.(none)>
Date:   Mon, 10 Jun 2013 21:29:09 +0200

    enable extrapolation in spreaded curve if enabled in discount curve

commit 2e3ec98378bdce3ae6b74a477e52861d87c4a72e
Author: peter <peter@peter-ThinkPad-W520.(none)>
Date:   Sun, 9 Jun 2013 18:33:15 +0200

    added test cases for swaption pricing with underlying start delay

commit 737880a9fb44cfe17d8659e80a6630870823dbfc
Author: peter <peter@peter-ThinkPad-W520.(none)>
Date:   Sun, 9 Jun 2013 18:31:46 +0200

    added discountBondOption with underlying start delay

commit 5bc8951148eca1e1127c1b29ba74134ab30d4fbd
Author: peter <peter@peter-ThinkPad-W520.(none)>
Date:   Sun, 9 Jun 2013 18:31:16 +0200

    respect underlying start delay

commit 6b44d13c789b71e9894c034978fd88a65111e0c5
Author: peter <peter@peter-ThinkPad-W520.(none)>
Date:   Sun, 9 Jun 2013 18:26:45 +0200

    added discountBondOption with underlying start delay

commit 24e80e0b323119c15a7eb9aa4a21d30a87c27099
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 3 Jun 2013 15:21:40 +0000

    Implicit conversions of shared_ptr to bool are now explicit.
    
    The implicit conversion has been removed in C++11.
    Thanks to Scott Condit.

commit fdc78d24c743b36665006d7defd0895b98c5e3cb
Author: Mark Joshi <markjoshi@users.sf.net>
Date:   Fri, 31 May 2013 00:41:37 +0000

    now builds with VC9

commit 413a5c4dcab2d3996c7e3c0ae3087bed84b649c4
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 26 May 2013 12:16:40 +0000

    added further matrix exponential tests

commit 4800f1b349f7a9e746b2ec5df9c4636eff155f05
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 26 May 2013 12:10:00 +0000

    added further matrix exponential tests

commit 5f3313be573ef7f30f3986ade43519d5821976fd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 21 May 2013 09:47:02 +0000

    Prevented macro redefinitions in VC++.
    
    This should be a bit more robust against inclusions of standard
    headers before or after QuantLib headers.

commit 3c584052dfb11be7b2a40ca03684fed773530129
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 21 May 2013 09:46:58 +0000

    Removed another VC++ warning on x64.
    
    Thanks to Johannes Göttker-Schnetmann.

commit 0a2068e678bdb6f1e039372f5f816a4a390352de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 May 2013 14:34:41 +0000

    Removed most warnings for VC++ under x64.
    
    Thanks to Johannes Göttker-Schnetmann.

commit bed8122bca45f27beccc5f276148916df59eeed1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 May 2013 14:34:27 +0000

    Added x64 target to VC++10 and VC++11 projects.
    
    Thanks to Johannes Göttker-Schnetmann.

commit 1764236aa9148e11284b844ea4b513c4b2813d64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 16 May 2013 14:34:15 +0000

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

commit 3ff13ea18232e2aa7e372ec28243183696c5ab7c
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 12 May 2013 11:03:33 +0000

    updated msvc-10 project files

commit 411e9c457d70bad27c8ca0e3dca4e3ae793fc682
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 11 May 2013 20:59:56 +0000

    added matrix exponential

commit b916fd7af241cf70a4efec242ccf6972e1847b95
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 10 May 2013 12:49:58 +0000

    Avoided warnings in VC++ when compiling in x64 configuration.
    
    Thanks to Johannes Göttker-Schnetmann.

commit 28369135a1e61f2a059b6aa141d29f40c19460c0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 10 May 2013 12:49:23 +0000

    Avoid conversion to Array to stream vectors to error messages.
    
    Thanks to Johannes Göttker-Schnetmann for the heads-up.

commit 04738d23290d55f2fee04f41fd511a60e3a4aa44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 May 2013 08:29:48 +0000

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

commit 67f7168851e0bf3dd060e53ced2f082f1cb26197
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 5 May 2013 08:48:31 +0000

    fixed multi dimensional definition of square root Fokker-Planck operator

commit a08d7ff195492135e324279892aba9878cec6048
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 4 May 2013 20:27:52 +0000

    updated vc10 project files

commit 3eedd47bd3fa25b6622be51bf7ba2004c5348928
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 4 May 2013 19:20:55 +0000

    improved boundary conditions for the Fokker-Planck equations

commit 4fc52a1280dab6e63c8ef2dc16b9e671db7be7c5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Apr 2013 16:08:44 +0000

    Prevent out-of-bound access to degenerate schedule.

commit 33977ec100926734f55460c9b6541b6dbc77f248
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 27 Apr 2013 22:15:57 +0000

    fixed g++ warnings (thanks to Peter Caspers)

commit c85ce4f34188ebb6a218f8865592e50104168fb8
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 27 Apr 2013 15:35:16 +0000

    ensure backward compatibility of ublas extension

commit 8c848da73798d101671b19da25c5d6abf32607f6
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 27 Apr 2013 15:08:33 +0000

    fixed g++ warnings

commit 13081d5da9fd30539a50a7d1cbc66614cd7e4872
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 16 Apr 2013 16:22:14 +0000

    Added moving holidays for 2013.

commit fab0164056c89a6d8d9dba7631c656ae4f5b6e4a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 16 Apr 2013 16:22:03 +0000

    Fixed a few Mexican holidays.

commit 9625059d1b82f2d564f86569a2dc2131ec61a30e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:56:12 +0000

    Added experimental Markov functional model (thanks to Peter Caspers).

commit f3faf149d8ef0ead78f6c63022d213215475cece
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:47 +0000

    Filtered out negative strikes (thanks to Peter Caspers).
    
    Also, calibration results were improved by using the functionality
    recently added to SABR interpolation.

commit 46962259cba742aec7ab123562972d9dd0e532ab
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:41 +0000

    Floored the strike at 0.1bp for volatility computation.
    
    This avoids problems for strikes near zero.
    
    Thanks to Peter Caspers.

commit e174fb0da3fc6f2d18de47d33cd705b7d72616a9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:35 +0000

    Added smileSectionImpl() implementation using cubic interpolation.
    
    Thanks to Peter Caspers.

commit 00c75adfeb003dae1322508ede7ff904fb031fe3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:29 +0000

    Replaced update() call during calibration with explicit method calls.
    
    The generateArguments() and notifyObservers() methods are called directly.
    This allows to separate the smile update triggered by market data change
    from the numeraire update triggered by model volatility changes.
    
    Thanks to Peter Caspers.

commit cd25a4f71a7f5a3a5c30767f8e2a75dac458bdd2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:23 +0000

    Inherited CalibrationHelper from LazyObject (thanks to Peter Caspers).

commit 53fab5597420b066e16d50dd9625c9edcd56923f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 15 Apr 2013 11:55:16 +0000

    Improved calibration by allowing different starting points.
    
    A result is returned as soon as the calibration error is below
    the given value; otherwise, the parameters yielding the least
    error are returned.
    
    Thanks to Peter Caspers.

commit c5417136e328ca066f51b9a10e6b86106450507c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 Mar 2013 15:54:50 +0000

    Fixed start and end dates for in-arrears convexity adjustment.
    
    Thanks to Peter Caspers.

commit f5122eca848c724a5772ff40442cc4c67e93f536
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 10:28:51 +0000

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

commit 48e26a40b1f576a12fafeee00f2f21e98bba9f93
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:28:38 +0000

    Enforce static requirement at compile time.
    
    Thanks to Michael Sharpe.

commit 593142a0ebf0e9b623dd40f2943412b978fc03db
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:28:23 +0000

    Avoided warnings for constant conditional expressions in VC++.
    
    Thanks to Michael Sharpe.

commit 273cb02fd5d649bf724b1921c7c7b777cdaae81f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:28:01 +0000

    Removed or commented out unreachable code.
    
    Thanks to Michael Sharpe.

commit 15511eed763bf6c6c9dd70ab9d8f8670e2c796af
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:27:37 +0000

    Prevented uninitialized-variable warning.
    
    Extracted if/else clause in Concentrating1dMesher constructor outside
    the for loop and improved scope of variables so that c1 and c2 are
    initialized at declaration time.
    
    Thanks to Michael Sharpe.

commit a648d0f9b1408803ae385d55dd1fc2462a3919ad
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:27:20 +0000

    Declared a few methods as inline to work around a VC++ bug.
    
    See <http://stackoverflow.com/questions/3051992/compiler-warning-at-c-template-base-class>.
    
    Thanks to Michael Sharpe.

commit 0d2cd3800bee2f4b24885613ecc461135abba277
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:27:01 +0000

    Add explicit static_cast to silence VC++ warning.
    
    Thanks to Michael Sharpe.

commit fad3ff06dfd006636a6cfbd23c65c6cfa62245a3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:26:48 +0000

    Fixed unused-variable warnings in VC++ warning level 4.
    
    Thanks to Michael Sharpe.

commit 646a0fa71b3195cb847614d37ac2c9332771267c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:26:28 +0000

    Fixed uninitialized-variable warnings in VC++ warning level 4.
    
    Thanks to Michael Sharpe.

commit 68b8208624394364881c6569795e971788793d0b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 Mar 2013 09:26:05 +0000

    Fixed unused-parameter warnings for VC++ warning level 4.
    
    Thanks to Michael Sharpe.

commit 62580454e9e57c56663e70031ab54549949876fd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 Mar 2013 14:28:35 +0000

    Increased precision in tail of West's bivariate cumulative normal.
    
    Thanks to Fabien Le Floc'h.

commit ebd2786e06488b99dc73540b3ab33b5d87a95d2e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 Mar 2013 11:58:50 +0000

    Added exogenous discount to OptionletStripper1 (thanks to Peter Caspers).

commit db0bf8b352d2186ad5ba22006313fadb367cf7d9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 Mar 2013 15:16:41 +0000

    Pass correct ATM forward rate to smile section (thanks to Peter Caspers).

commit a9d8ccc912129ac5ca2c00b98e8a6a1bbc94ba5f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 12 Mar 2013 12:44:46 +0000

    Prevented warning in VC++10.

commit 6a9f318dd7ef6b88c7f325f471b250b06acbfb4a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 12 Mar 2013 10:21:52 +0000

    Fixed array access in tests.

commit 89faaabd8f0c35a69eeeab1fb5e87779de4279cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Mar 2013 15:16:58 +0000

    Deprecated features of Boost.Test are no longer used

commit 6be4473fa67df4a19e97ff1e58490ec49e415f1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Mar 2013 15:14:33 +0000

    Moved test from boost::random to our generators.
    
    This prevents results from changing when the Boost implementation
    changes (which I wouldn't have expected, but seems to have happened
    in development after Boost 1.53).

commit 6ce441f1fc35bc833b22c75221784d94b3c7d4a9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 Mar 2013 06:37:10 +0000

    Merged latest changes from 1.2.x branch

commit 0db631f246b3d98cf54f865fbf2396c65278cfc1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Mar 2013 14:07:09 +0000

    Fixed a forward-looking bias issue in Garch11 calculation.
    
    Thanks to Slava Mazur.

commit 9049add6f78da2a89d966d4bd820ed85fb9ace67
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Mar 2013 14:06:45 +0000

    Fixed precision issue in calculation of autocovariances.
    
    Thanks to Slava Mazur.

commit 56f52d34a35f859add9943fdd4c713188ee95b98
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Mar 2013 14:05:51 +0000

    Relaxed extrapolation check for default-probability curves.
    
    When calculating default probabilities between two dates or times,
    allow the first to precede the reference date. This effectively
    assumes that the default probability before the reference is null,
    and helps in cases where a coupon protection extends a couple of
    days before the reference due to adjustments (for instance, when
    the protection starts on a Saturday and the reference is rolled to
    the following Monday).

commit b3839d9863f74c66b4a256e4dc6eca889c146538
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Mar 2013 14:05:36 +0000

    Implemented Lagrange boundary condition for cubic interpolation.
    
    Thanks to Peter Caspers.

commit c14231287287ab160c9368cdb0be92d38e7b00ad
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Mar 2013 14:05:18 +0000

    Yield-based NPV calculation now uses coupon reference dates.
    
    This fixes small discrepancies when using day counters such
    as ISMA act/sact.
    
    Thanks to Henri Gough for the heads-up.

commit 34d82cfc0d05d006ff14311e586f67ca44c5233e
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 2 Mar 2013 18:44:51 +0000

    updated vc10 project file

commit ae090833fff63140d5b3b83d1b1538753520f15c
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 11 Feb 2013 12:28:26 +0000

    updated vc10 project file

commit 8d0aa19e7c16d1cbef3479279f52560e542f2beb
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 2 Feb 2013 23:38:52 +0000

    added Fokker-Planck finite difference operator for BS, square root and Heston processes

commit c9ac134272aa0a76c63eb12c9c2df0511ce9ac77
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Thu, 27 Dec 2012 14:07:47 +0000

    reduce integration order to enable more aggressive compiler optimization flags

commit 14d94f3553e91fad09ca7ba7e09d79846a706a37
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Thu, 27 Dec 2012 13:11:38 +0000

    added sparse matrix assignment tests

commit 5d2f139dc84ae3c4446ae53b37723a8461e5cc42
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 24 Dec 2012 15:55:37 +0000

    fixed order of operators

commit 7e1cd85f2b2783f2ba514b68c61a309b3221983d
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 18 Dec 2012 21:08:51 +0000

    added benchmark results for i7 870

commit 2642193f1e2980eea2ca0cdbe8df7d11aa041cef
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 18 Dec 2012 16:06:57 +0000

    Added missing virtual destructor to base class.

commit fa3976c500e6bee81cf3a0acfb44d574d09c36d5
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 16 Dec 2012 18:30:26 +0000

    do not keep references to shared ptr

commit e787fdf872c30f6592f6d5e5d983cf441d42facb
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 6 Dec 2012 15:11:53 +0000

    avoided warning

commit 00803369b5fad78807554aaf5624a382919e9d98
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Thu, 6 Dec 2012 11:59:47 +0000

    Merging revisions 1-HEAD of branches/R01020x-branch/QuantLib into trunk\QuantLib, respecting ancestry

commit 6d597f7aea8b999e207e7428110d316fe9d72b29
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 6 Dec 2012 07:56:35 +0000

    Ensure that the last function call inside a solver is passed the root.
    
    Thanks to Francis Duffy.

commit afb717af6df6fe1ebe77afc0a16f99a4105211ca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 5 Dec 2012 14:18:55 +0000

    Added VC++11 projects (thanks to Edouard Tallent).

commit f82edb7fa70cdfcf2b8a67ad371605f3eecff9dd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 3 Dec 2012 13:24:04 +0000

    Avoided size mismatch warning (thanks to Marcello Pietrobon).

commit f157baf6f8add49bc42b50cdc7d4213bce101a10
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 3 Dec 2012 11:37:43 +0000

    Prevented warning under VC++10 (thanks to Marcello Pietrobon).

commit 6d9c155b8dd050b52869a77fcee5cf131029aa87
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 30 Nov 2012 14:57:34 +0000

    Avoid invalidating iterators.

commit 54f657197732815c8483a7e451c4982d4ea41cfb
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 27 Nov 2012 21:59:25 +0000

    improved ublas interface for the finite difference operator splitting methods

commit e5c595dcd3db3e89c078812ae9ddddbce7a85742
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 27 Nov 2012 21:46:35 +0000

    improved ublas interface for the finite difference operator splitting methods

commit 27676f97c7f7b4cbd05939541939cea7e1ac7782
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 27 Nov 2012 21:34:21 +0000

    improved ublas interface to the finite difference operator splitting methods

commit 617aeeb7aa9ddbf17b5fe6985e0ce3dd3ac8fafd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 27 Nov 2012 15:44:23 +0000

    Fixed Gamma distribution tail (thanks to Ian Qsong).

commit 9caff7a5f478f60847985885d4a5a6f7bd63c282
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 27 Nov 2012 09:46:46 +0000

    Replaced struct initialization with constructor for compatibility.

commit 09b53851ec49d50b8cf12f087efa8f319c34a058
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 26 Nov 2012 16:58:35 +0000

    Correct limit for stdDev -> 0 (thanks to Peter Caspers).

commit 53b948324ea3824a5630cae6b2556f85e83c5e5f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 21 Nov 2012 09:18:57 +0000

    Added new implementation from Mateusz Kapturski.

commit d87710d879dee5d10269f14f9862ac77d7badc4a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 20 Nov 2012 08:09:39 +0000

    Fixed outdated link to OMG document (thanks to Tawanda Gwena).

commit 0ca5eea60215237e6065a46d487fa1f4af126a38
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 20 Nov 2012 08:09:21 +0000

    Use correct default for evaluation date in a few CashFlows methods.
    
    Thanks to Peter Caspers for the fix.

commit 628238f57a68aaeae6e02e7e10580ead1549fc78
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 16 Nov 2012 14:21:22 +0000

    Updated Windows projects

commit af64e748e7f82b4686fa33a72c279f5c20c75566
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 13 Nov 2012 11:58:51 +0000

    Added calibration to GARCH model (thanks to Slava Mazur).

commit 5c81c18a8159500144dcbc218224ef311aba58eb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 6 Nov 2012 11:33:07 +0000

    Updated South-Korean calendar for 2013 (thanks to Faycal El Karaa).

commit dd6096e791b663aa1760ea54c3190aeb2b0b7054
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 6 Nov 2012 11:29:50 +0000

    Added Epiphany (introduced in 2011) to Polish calendar.
    
    Thanks to katastrofa, whoever that is.

commit 371e23ea838d9262f0548919ba4d98ab94a05a4e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 6 Nov 2012 11:29:30 +0000

    Updated Chinese calendar for 2012 (thanks to Cheng Li).

commit aad2991ce811096da451d3692304a5351f580f38
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 6 Nov 2012 11:29:12 +0000

    Fixed holiday for Japanese calendar (thanks to Sebastien Gurrieri).
    
    When two holidays are on a consecutive Saturday and Sunday, only the
    one falling on Sunday is moved to the following business day.

commit 91e6853a1ac767d36955011612ace75e79d21678
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 15:21:39 +0000

    Fixed degenerate case for ABCD volatility (thanks to Peter Caspers).
    
    Tests added.

commit 5352192c7da8e56cdcc96612dda84e91edc31ea2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 14:47:39 +0000

    Re-enabled test.

commit aa06dce25d1e03c880336b3cf02cdba7076e5924
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 07:57:49 +0000

    Grouped together tests for experimental code

commit c349de399328289b3be2da97e51d4536057adbcd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 07:57:22 +0000

    Added experimental ODE solver (thanks to Peter Caspers).
    
    A few tests are included.

commit 2a254bb81a9d5bccf9a7584884a4b177c2888705
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 07:56:40 +0000

    Added special case to close()/close_enough() when either value is 0.
    
    Previously, they would always return false which could be surprising.
    Thanks to Simon Shakeshaft for the fix.

commit 7d43bb3c143692636fc31ff59faf2373b9571081
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Oct 2012 07:56:24 +0000

    Don't use floating-point comparison to check for Null<Real>.
    
    Thanks to Simon Shakeshaft for the heads-up.

commit 241b14dbcc810649fdb7f6c1274d4ef5c0a20dd2
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 21 Oct 2012 16:45:56 +0000

    refactoring of FdmMesherComposite

commit 3d65113e9b062f36bda045d56585ddbd1d5bc069
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 21 Oct 2012 16:42:00 +0000

    refactoring of FdmMesherComposite

commit d165afbb295bdd55ed2758d1dfd8c30fecf86324
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 21 Oct 2012 15:47:11 +0000

    fixed broken test cases

commit 6a441ef10adcd5011a9415e9c9731bad1d2c490d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 18 Oct 2012 11:18:46 +0000

    Added experimental two-asset barrier option.
    
    Thanks to Qingxiao Wang and Nabila Barkati from
    IMAFA, Polytech'Nice Sophia.

commit 0558b05d986ba04908449db73a8b87965d2ff146
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 3 Oct 2012 20:55:28 +0000

    Merged latest changes from 1.2.x branch into trunk.
    
    QuantLib and QuantLib-SWIG only.  I'll leave the rest to
    more knowledgeable people.

commit 81112885767c2180772f8b784fb3a0acf073d8b0
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 25 Sep 2012 11:10:31 +0000

    added differential evolution optimization (thanks to Ralph Schreyer)

commit c305069ddf4402e2822256534f9c97cff93aba16
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 5 Sep 2012 21:37:10 +0000

    fd black scholes pricing engines are now observers of the BS process.

commit 09ce78ebc5fd540079eb912ad6089ddfad1bfb00
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 3 Sep 2012 11:25:26 +0000

    Fixed build for MinGW (thanks to Bojan Nikolic).

commit 3d29f2fd911b2e8c637b1372846328ea86d1bd91
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 22 Aug 2012 22:25:17 +0000

    removed useless include statement

commit 4fda3afdd36a9b9e8880426321b3ea57272d4a28
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Fri, 10 Aug 2012 22:40:49 +0000

    support g++ version 4.7 with -std=c++11 enabled

commit c80afcdfff4ac22ad4a544cbce4578420ee620dd
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 4 Aug 2012 16:13:16 +0000

    added Heston-Hull-White pricing engine using the H1HW approximation

commit 83f9941390741d92aa1d771755fa04e656115072
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 4 Aug 2012 12:11:15 +0000

    added benchmark result for Raspberry Pi

commit 43529990156a503760ebdab9a97f4e7cc05f8ea9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Jul 2012 12:22:45 +0000

    Added method to clone a swap index with a different discount curve.
    
    Thanks to Peter Caspers.

commit 6cf26fea1a3137ec0f1979bee0b42a13ef9c6e83
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Jul 2012 12:22:31 +0000

    Added inspector for the joint calendar used by Libor indexes.

commit cdc82d15866e54ddc4774b4c056707edfe847c20
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Jul 2012 12:22:15 +0000

    Fixed access specifiers for Calendar::WesternImpl.
    
    Thanks to Mike Jake for the heads-up.

commit 26b5f63cbc95e582c0aaf0037a134085d4d4b319
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 1 Jul 2012 12:34:10 +0000

    improved interface of RichardsonExtrapolation

commit 0e6eb42b3220c414b920f61d4e0d750c6ccbcfe8
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Fri, 29 Jun 2012 21:17:35 +0000

    replaced double with Real to keep header and source files in sync.

commit ca032c4d01c21c18a9e251bd7147c6325e3132ed
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Fri, 29 Jun 2012 21:15:52 +0000

    replaced double with Real to keep header and source files in sync.

commit 691b8d87aa0d559a62aef5f7a1db06de338906f1
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 23 Jun 2012 21:01:58 +0000

    enable g++ -std=c++0x or g++ -std=c++11

commit 012ddcd01be7a9a9b06d67772bad2f860e524bcd
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 18 Jun 2012 19:41:42 +0000

    added time dependent Dirichlet boundary condition (thanks to Peter Caspers)

commit b9450cf6a475fcf68cbf24c68fa941d91283bdb3
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 17 Jun 2012 12:04:24 +0000

    small refactoring of fdm schemes

commit 42162004c9ac3adf6c12296fff64461ebafa7bcc
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 17 Jun 2012 11:49:00 +0000

    removed obsolete includes

commit a462cad032ad3e8f65a090744869c26d677acf2c
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 16 Jun 2012 14:37:20 +0000

    changed type of FdmBoundaryConditionSet to OperatorTraits<FdmLinearOp>::bc_set (thanks to Peter Caspers)

commit 3b894143bf5618a6971ba4ad36eb53dc81bbf917
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 Jun 2012 08:56:09 +0000

    added Richardson extrapolation

commit 42f809aeed446f26ed6f1dbc0bb1ec9f40cfee19
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 30 May 2012 22:32:14 +0000

    added test for Heston Model: compare QL results with Alan Lewis reference results

commit 4bb6ac11093bdbe5d9232768deffe0b9f01c2662
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 30 May 2012 21:00:48 +0000

    fixed MultiCubicSpline boundary issue

commit 2d66db7fce973fb6689b40c5c83f6b11c1f4a8c3
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 23 Apr 2012 11:04:37 +0000

    added Glued1dMesher (thanks to Peter Caspers)

commit b03fdd0f240108f10757d8ec64e490d71fd43e82
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 8 Mar 2012 07:57:18 +0000

    Increased version number to 1.3.

commit dfd83cb5929e6ea8e1cdfe25dddecbbc1e56c07a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 7 Mar 2012 08:27:53 +0000

    Merged R01020x-branch/QuantLib

commit f23dd82d5d681486b1484dbdbc6785de969daba0
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 26 Feb 2012 10:24:13 +0000

    fixed gcc 4.6.2 warnings

commit 0de936ed1a09428cec42c63f20f52599ea6bdd1e
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 26 Feb 2012 10:21:36 +0000

    fixed gcc 4.6.2 warnings

commit 02faf8c5b84e9ea2638f5edc4f64661c54af5a5e
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 25 Feb 2012 21:17:43 +0000

    fixed gcc 4.6.2 warnings

commit e210586e1aa093c34f01e509c436a422094b08a7
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 25 Feb 2012 20:50:45 +0000

    delete circular references in inflation test cases

commit 43cac330058fbf8317060cc986239c1f9bc65170
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 25 Feb 2012 14:09:23 +0000

    reverse inheritance order to avoid g++ linker problem

commit 174c41439c50c23065787f03fdbbc5d9383c3b52
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 8 Feb 2012 20:02:36 +0000

    use public inheritance

commit b3bab5eb383acb3089f8ce9990b45d1a56574c8c
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Mon, 6 Feb 2012 09:43:15 +0000

    in synch with R01020x-branch

commit 7bc21a3c69c7df9cbaead7567795a9a8cdfa6865
Author: Ferdinando Ametrano <nando@ametrano.net>
Date:   Mon, 6 Feb 2012 09:33:50 +0000

    added Luca Billi's comment about preventing infinite recursion

commit c3196cafed442d02b937920264f8d690577a14db
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 24 Jan 2012 22:35:43 +0000

    Updated VC++ 10  projects

commit 477a272783de585b4d4aaa2f43d48076de19bc71
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 24 Jan 2012 22:10:57 +0000

    replaced generalized_vector_of_vector by compressed sparse matrix (vc 10 fix)

commit 34987c47de4fffc13f6d7a37633b1ea11da34981
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 24 Jan 2012 21:37:23 +0000

    replaced generalized_vector_of_vector by SparseMatrix (vc 10 fix)

commit 7a1801388fcacd269634be51f3005644ae3f1cc5
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 24 Jan 2012 21:21:06 +0000

    VC 10 fix

commit 8498a6ff19b31f4f8b4009f240cab048dbd8e2e1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Jan 2012 17:27:11 +0000

    qldefines.hpp must be included before checking QL_NO_UBLAS_SUPPORT.

commit 84a4488ec8fd4ff80584352b07044e43f39d86e5
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 21 Jan 2012 12:57:30 +0000

    added sparse matrix support for finite difference operators

commit 4ebcfe26b318db482186e77aec87b0a36c0fb3fd
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 16 Jan 2012 14:26:22 +0000

    added sobol brownian bridge interface for MC framework

commit 3a790fb80050f9a9d7994fb7de43bb91df92ca3f
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 15 Jan 2012 13:18:10 +0000

    fixed initialization order

commit 957484ac793253141e452cdfaf3ff3b836f14fd9
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Mon, 19 Dec 2011 21:13:19 +0000

    finite difference based Bermudan swaption engines for the G2++ and the Hull-White model

commit b2fa58ae618bb05b67a78bb8de2d64c1c6b3033d
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 18 Dec 2011 20:02:30 +0000

    fixed test suite (removed todaysDate)
