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Rev Chgset Date Author Log Message
(edit) @226 [226] 07/16/08 21:44:45 snovik Change: Some minor changes
(edit) @225 [225] 07/15/08 05:45:12 snovik Changes: A bunch of changes as I am getting ready for the next level of …
(edit) @224 [224] 07/06/08 21:06:38 snovik Fix: Monte-carlo (American Option) New: LinearLeastSquaresRegression? and …
(edit) @223 [223] 07/03/08 18:44:06 snovik New: MCAmericanEngine. Ready for the first try of monte-carlo for american …
(edit) @222 [222] 07/02/08 19:42:11 snovik New: lsmbasissystem
(edit) @221 [221] 07/02/08 18:35:41 snovik Change: QL 15147
(edit) @220 [220] 06/28/08 13:41:06 snovik Fix: ConundrumPricer? (please have a look)
(edit) @219 [219] 06/28/08 09:48:23 snovik Change: QL 15124-15125
(edit) @218 [218] 06/28/08 09:41:43 snovik Change: QL 15131 (again)
(edit) @217 [217] 06/28/08 09:30:09 snovik Change: QL 15131, 14090, 14073-14074
(edit) @216 [216] 06/25/08 03:23:40 ToyinA Small updates
(edit) @215 [215] 06/23/08 05:48:37 snovik Change: QL 15108
(edit) @214 [214] 06/18/08 05:53:32 snovik New: ForEach? extension method with iterator. This can simplify lots of …
(edit) @213 [213] 06/17/08 00:39:59 ToyinA More example updates based on curve changes.
(edit) @212 [212] 06/17/08 00:11:48 ToyinA Updated examples to cater for new YieldCurve? constructor.
(edit) @211 [211] 06/16/08 22:54:38 snovik Change: Some code cleansing of bootstrapping
(edit) @210 [210] 06/16/08 22:40:02 snovik ops. Forgot something
(edit) @209 [209] 06/16/08 22:31:33 snovik New: QL 15070 (PiecewiseYieldCurve? with jumps)
(edit) @208 [208] 06/16/08 21:53:12 snovik New: QL 15018 (localbootstrap)
(edit) @207 [207] 06/15/08 22:53:10 snovik Fix: ConvexMonotone? interpolation + test of Bootstrapping with …
(edit) @206 [206] 06/15/08 18:36:53 snovik New: QL 15043
(edit) @205 [205] 06/15/08 18:12:36 snovik New: Added implicit operator overload from Date to DateTime?. Now all Date …
(edit) @204 [204] 06/07/08 18:11:00 snovik New: Tests of Optimization Fix: Optimzations
(edit) @203 [203] 06/05/08 22:08:14 snovik Fix: Observability of Index fixings Change: Some code cleaning in …
(edit) @202 [202] 06/05/08 19:08:46 snovik New: Interpolation tests New: More interpolation methods New: …
(edit) @201 [201] 05/30/08 06:14:31 snovik Changed: Optimisation on option engines
(edit) @200 [200] 05/29/08 20:37:51 snovik Change: Optimisation of PricingEngine? interfaces
(edit) @199 [199] 05/29/08 19:08:45 snovik Changed: Some .NET optimisations for Swap
(edit) @198 [198] 05/29/08 18:13:15 snovik New: Start MC for American Options
(edit) @197 [197] 05/29/08 17:36:15 snovik Fix: Quasi MC (Sobol) for European Option
(edit) @196 [196] 05/29/08 05:38:40 snovik Fix: Beleive it or not but European Option now works in Monte Carlo
(edit) @195 [195] 05/27/08 20:40:06 snovik New: MC, first successful compilation
(edit) @194 [194] 05/27/08 20:20:16 snovik New: More MC classes
(edit) @193 [193] 05/27/08 05:39:00 snovik New: class MonteCarloModel?
(edit) @192 [192] 05/27/08 04:14:16 snovik New: some more MC classes (Path Generators)
(edit) @191 [191] 05/24/08 14:05:58 snovik Change: Sorry, it was a bad try.
(edit) @190 [190] 05/24/08 08:54:19 snovik Changed: This reduces the size of the compiled lib by more than 1Mb
(edit) @189 [189] 05/23/08 11:36:48 Vice Standard: Correcting test class names and code format. For the code …
(edit) @188 [188] 05/23/08 11:22:30 Vice Removed file/folder
(edit) @187 [187] 05/23/08 09:35:28 Vice Updating Project with moved folders.
(edit) @186 [186] 05/23/08 09:13:03 Vice Moved remotely
(edit) @185 [185] 05/23/08 09:12:43 Vice Moved remotely
(edit) @184 [184] 05/23/08 09:12:26 Vice Moved remotely
(edit) @183 [183] 05/23/08 09:12:07 Vice Moved remotely
(edit) @182 [182] 05/23/08 09:11:21 Vice Moved remotely
(edit) @181 [181] 05/23/08 09:11:06 Vice Moving Examples projects.
(edit) @180 [180] 05/22/08 19:23:17 snovik Change: Some .NET specific optimisations for CashFlows?.cs
(edit) @179 [179] 05/22/08 17:36:37 snovik Fix: one more place with wrong daycounter in YieldTermStructure? (tnx Vice)
(edit) @178 [178] 05/22/08 17:13:46 snovik New: RNG traits tests
(edit) @177 [177] 05/22/08 15:21:33 Vice Found a bug in YieldTermStructure?. Created the test that exploit the bug , …
(edit) @176 [176] 05/22/08 13:54:49 snovik Changed: Changed logic of InitializedList?: in case of …
(edit) @175 [175] 05/22/08 13:24:54 snovik New: SequenceStatistics? New: Added some missing Matrix functionality Fix: …
(edit) @174 [174] 05/22/08 10:44:21 snovik New: ConvergenceStatistics?
(edit) @173 [173] 05/22/08 09:30:08 snovik Fix: Risk & Gaussian Statistics New: RiskStat? test
(edit) @172 [172] 05/21/08 17:16:35 snovik New: Sobol RG
(edit) @171 [171] 05/21/08 14:17:53 Vice Cap & Floor Volatility .
(edit) @170 [170] 05/19/08 20:25:13 snovik New: More Monte Carlo (GeneralStatistics?) Change: make_pair to .net …
(edit) @169 [169] 05/19/08 17:30:49 snovik Fix: QL 14949
(edit) @168 [168] 05/16/08 17:52:08 snovik New: Kick off Monte Carlo
(edit) @167 [167] 05/15/08 19:25:12 snovik Change: Update to QL: 14922 & 14934
(edit) @166 [166] 05/13/08 22:09:11 snovik New: Bermuda Option finished
(edit) @165 [165] 05/13/08 21:39:43 snovik New: Testing of FD for American Option is completed
(edit) @164 [164] 05/13/08 20:14:42 snovik Fix: American Option Finite Difference calc finally runs ok on the first …
(edit) @163 [163] 05/13/08 16:29:05 snovik Fix: Fixings based on QL updates
(edit) @162 [162] 05/10/08 13:14:58 snovik Fix: Ready to run first finite differences american option calculation
(edit) @161 [161] 05/10/08 12:40:56 snovik Fix: FD American Option: I believe it looks good now. Only one design …
(edit) @160 [160] 05/10/08 11:07:16 snovik Change: Update of American Options
(edit) @159 [159] 05/09/08 20:08:07 snovik New: More American Option classes
(edit) @158 [158] 05/08/08 22:20:31 snovik New: Started to work on Finite Differences for American Options
(edit) @157 [157] 05/08/08 19:35:44 snovik Fix: Test setup 2
(edit) @156 [156] 05/08/08 19:34:25 snovik Fix: Test Setup
(edit) @155 [155] 05/08/08 19:29:30 snovik Fix: Finite Differences for European Option (I cracked it!!!)
(edit) @154 [154] 05/07/08 06:27:11 ToyinA More updates for Thread safety where one controls the threads being …
(edit) @153 [153] 05/06/08 18:22:46 ToyinA Added [ThreadStatic?] in order to provide Thread-safety.
(edit) @152 [152] 05/06/08 06:11:58 snovik Fix: fix on Vector constructor with increament Fix: CrankNicolson? class is …
(edit) @151 [151] 05/05/08 19:19:21 ToyinA Slight modification to null check
(edit) @150 [150] 05/05/08 17:49:24 Vice Fix Currency & Money comparison . Thanks Toyin.
(edit) @149 [149] 05/05/08 15:45:25 Vice Volatility Cap&Floor test .
(edit) @148 [148] 05/05/08 14:39:01 Vice All Cap&Floor test . Need to fix only the Volatility one.
(edit) @147 [147] 05/05/08 11:53:24 ToyinA More base optimization classes and enhancements
(edit) @146 [146] 05/05/08 10:31:44 ToyinA Bug fix for Simplex
(edit) @145 [145] 05/05/08 07:41:57 ToyinA Added ArmijoLineSearch?, Simplex, ConjugateGradient? and SteepestDescent? …
(edit) @144 [144] 04/30/08 19:46:44 snovik Changed: Updates to the current QL trunk (PiecewiesYieldcurve? test and …
(edit) @143 [143] 04/29/08 21:27:27 snovik New: Test of EuropeanOption? (not finished)
(edit) @142 [142] 04/29/08 20:33:32 snovik Test: SampledCurve?
(edit) @141 [141] 04/29/08 14:35:02 Vice Fixing swapvaluation . Thx Aaron.
(edit) @140 [140] 04/29/08 14:30:03 Vice Cap & Floor another test done.
(edit) @139 [139] 04/29/08 11:20:58 Vice Cap & Floor first test done.
(edit) @138 [138] 04/29/08 08:54:24 Vice Synch Commit
(edit) @137 [137] 04/29/08 05:27:56 snovik Changed: plugged NotImplementedException? instead of comment
(edit) @136 [136] 04/29/08 04:58:11 ToyinA Start of CDS and Inflation curves
(edit) @135 [135] 04/29/08 03:45:02 ToyinA Removed Dispose() method
(edit) @134 [134] 04/28/08 19:00:45 snovik Changed: Optimize CouponPricer?.cs Changed: VanillaSwap? refactored …
(edit) @133 [133] 04/28/08 17:24:48 snovik New: Update from Toyin Akin
(edit) @132 [132] 04/27/08 15:31:07 snovik New: Operator tests
(edit) @131 [131] 04/27/08 13:54:35 snovik New: PDE
(edit) @130 [130] 04/27/08 12:12:49 snovik Changed: PricingEngine? is refactored as interface
(edit) @129 [129] 04/27/08 11:38:42 snovik Fix: Calendar advance function for endOfMonth calculation
(edit) @128 [128] 04/27/08 09:41:15 snovik New: Test config Change: PricingEngine? as interfaces (started)
(edit) @127 [127] 04/27/08 09:09:30 snovik Fix: new constructor for FiniteDifferenceModel?
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