Prerelease tarballs

[Luigi Ballabio]

Hi all,
        if you have any cycles to spare during the weekend, please download and
try out the tarballs at <http://quantlib.org/prerelease/>.  They're not
yet the final ones, but they're pretty close.  Report here any problems
you may have.  I'd particularly appreciate if you tried the library on
cygwin or mingw, as I don't have a test environment for those platforms.

Thanks,
        Luigi


--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare



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[javit]

It passed all the automated tests in my computer. Details are below.

1>------ Build started: Project: QuantLib, Configuration: Release (static runtime) Win32 ------
1>Compiling...
1>brownianbridge.cpp
1>timegrid.cpp
1>termstructure.cpp
1>stochasticprocess.cpp
1>settings.cpp
1>prices.cpp
1>position.cpp
1>money.cpp
1>interestrate.cpp
1>index.cpp
1>exercise.cpp
1>exchangerate.cpp
1>event.cpp
1>errors.cpp
1>discretizedasset.cpp
1>currency.cpp
1>cashflow.cpp
1>yoyoptionlethelpers.cpp
1>yoycapfloortermpricesurface.cpp
1>compoundoption.cpp
1>Generating Code...
1>Compiling...
1>analyticcompoundoptionengine.cpp
1>perturbativebarrieroptionengine.cpp
1>amortizingfloatingratebond.cpp
1>amortizingfixedratebond.cpp
1>amortizingcmsratebond.cpp
1>unitofmeasureconversionmanager.cpp
1>unitofmeasureconversion.cpp
1>unitofmeasure.cpp
1>quantity.cpp
1>paymentterm.cpp
1>energyvanillaswap.cpp
1>energyswap.cpp
1>energyfuture.cpp
1>energycommodity.cpp
1>energybasisswap.cpp
1>dateinterval.cpp
1>commodityunitcost.cpp
1>commoditytype.cpp
1>commoditysettings.cpp
1>commoditypricinghelpers.cpp
1>Generating Code...
1>Compiling...
1>commodityindex.cpp
1>commoditycurve.cpp
1>commoditycashflow.cpp
1>commodity.cpp
1>extendedbinomialtree.cpp
1>varianceoption.cpp
1>integralhestonvarianceoptionengine.cpp
1>sensitivityanalysis.cpp
1>extendedblackscholesprocess.cpp
1>pathmultiassetoption.cpp
1>mcpathbasketengine.cpp
1>uniformgridmesher.cpp
1>triplebandlinearop.cpp
1>secondordermixedderivativeop.cpp
1>secondderivativeop.cpp
1>ninepointlinearop.cpp
1>modifiedcraigsneydscheme.cpp
1>impliciteulerscheme.cpp
1>hundsdorferscheme.cpp
1>firstderivativeop.cpp
1>Generating Code...
1>Compiling...
1>fdmstepconditioncomposite.cpp
1>fdmsnapshotcondition.cpp
1>fdmsimple2dbssolver.cpp
1>fdmquantohelper.cpp
1>fdmmeshercomposite.cpp
1>fdmlinearoplayout.cpp
1>fdminnervaluecalculator.cpp
1>fdmhullwhitemesher.cpp
1>fdmhestonvariancemesher.cpp
1>fdmhestonsolver.cpp
1>fdmhestonop.cpp
1>fdmhestonhullwhitesolver.cpp
1>fdmhestonhullwhiteop.cpp
1>fdmdividendhandler.cpp
1>fdmdirichletboundary.cpp
1>fdmblackscholessolver.cpp
1>fdmblackscholesop.cpp
1>fdmblackscholesmultistrikemesher.cpp
1>fdmblackscholesmesher.cpp
1>fdmbackwardsolver.cpp
1>Generating Code...
1>Compiling...
1>fdmarithmeticaveragecondition.cpp
1>fdmamericanstepcondition.cpp
1>fdhestonvanillaengine.cpp
1>fdhestonrebateengine.cpp
1>fdhestonhullwhitevanillaengine.cpp
1>fdhestonbarrierengine.cpp
1>fdblackscholesvanillaengine.cpp
1>fdblackscholesrebateengine.cpp
1>fdblackscholesbarrierengine.cpp
1>fdblackscholesasianengine.cpp
1>expliciteulerscheme.cpp
1>douglasscheme.cpp
1>dividendbarrieroption.cpp
1>craigsneydscheme.cpp
1>concentrating1dmesher.cpp
1>bicgstab.cpp
1>syntheticcdoengines.cpp
1>syntheticcdo.cpp
1>riskybond.cpp
1>riskyassetswapoption.cpp
1>Generating Code...
1>Compiling...
1>riskyassetswap.cpp
1>recoveryratequote.cpp
1>recoveryratemodel.cpp
1>randomdefaultmodel.cpp
1>pool.cpp
1>onefactorstudentcopula.cpp
1>onefactorgaussiancopula.cpp
1>onefactorcopula.cpp
1>nthtodefault.cpp
1>lossdistribution.cpp
1>issuer.cpp
1>distribution.cpp
1>defaulttype.cpp
1>defaultprobabilitykey.cpp
1>defaultevent.cpp
1>cdsoption.cpp
1>cdo.cpp
1>blackcdsoptionengine.cpp
1>basket.cpp
1>subperiodcoupons.cpp
1>Generating Code...
1>Compiling...
1>quantocouponpricer.cpp
1>treecallablebondengine.cpp
1>discretizedcallablefixedratebond.cpp
1>callablebondvolstructure.cpp
1>callablebondconstantvol.cpp
1>callablebond.cpp
1>blackcallablebondengine.cpp
1>volcube.cpp
1>sabrvolsurface.cpp
1>interestratevolsurface.cpp
1>extendedblackvariancesurface.cpp
1>extendedblackvariancecurve.cpp
1>equityfxvolsurface.cpp
1>blackvolsurface.cpp
1>blackatmvolcurve.cpp
1>abcdatmvolcurve.cpp
1>lmvolmodel.cpp
1>lmlinexpvolmodel.cpp
1>lmlinexpcorrmodel.cpp
1>lmfixedvolmodel.cpp
1>Generating Code...
1>Compiling...
1>lmextlinexpvolmodel.cpp
1>lmexpcorrmodel.cpp
1>lmcorrmodel.cpp
1>liborforwardmodel.cpp
1>lfmswaptionengine.cpp
1>lfmprocess.cpp
1>lfmhullwhiteparam.cpp
1>lfmcovarproxy.cpp
1>lfmcovarparam.cpp
1>thirty360.cpp
1>simpledaycounter.cpp
1>actualactual.cpp
1>weekendsonly.cpp
1>unitedstates.cpp
1>unitedkingdom.cpp
1>ukraine.cpp
1>turkey.cpp
1>target.cpp
1>taiwan.cpp
1>switzerland.cpp
1>Generating Code...
1>Compiling...
1>sweden.cpp
1>southkorea.cpp
1>southafrica.cpp
1>slovakia.cpp
1>singapore.cpp
1>saudiarabia.cpp
1>poland.cpp
1>norway.cpp
1>newzealand.cpp
1>mexico.cpp
1>jointcalendar.cpp
1>japan.cpp
1>italy.cpp
1>indonesia.cpp
1>india.cpp
1>iceland.cpp
1>hungary.cpp
1>hongkong.cpp
1>germany.cpp
1>finland.cpp
1>Generating Code...
1>Compiling...
1>denmark.cpp
1>czechrepublic.cpp
1>china.cpp
1>canada.cpp
1>brazil.cpp
1>bespokecalendar.cpp
1>australia.cpp
1>argentina.cpp
1>weekday.cpp
1>timeunit.cpp
1>period.cpp
1>imm.cpp
1>ecb.cpp
1>dategenerationrule.cpp
1>lastfixingquote.cpp
1>impliedstddevquote.cpp
1>futuresconvadjustmentquote.cpp
1>forwardvaluequote.cpp
1>forwardswapquote.cpp
1>eurodollarfuturesquote.cpp
1>Generating Code...
1>Compiling...
1>inflationcapfloorengines.cpp
1>midpointcdsengine.cpp
1>integralcdsengine.cpp
1>treeswapengine.cpp
1>discretizedswap.cpp
1>discountingswapengine.cpp
1>discountingbondengine.cpp
1>bondfunctions.cpp
1>analyticcontinuousfloatinglookback.cpp
1>analyticcontinuousfixedlookback.cpp
1>discretizedconvertible.cpp
1>mcperformanceengine.cpp
1>analyticperformanceengine.cpp
1>analyticcliquetengine.cpp
1>treeswaptionengine.cpp
1>jamshidianswaptionengine.cpp
1>discretizedswaption.cpp
1>blackswaptionengine.cpp
1>treecapfloorengine.cpp
1>mchullwhiteengine.cpp
1>Generating Code...
1>Compiling...
1>discretizedcapfloor.cpp
1>blackcapfloorengine.cpp
1>analyticcapfloorengine.cpp
1>mchestonhullwhiteengine.cpp
1>mcamericanengine.cpp
1>juquadraticengine.cpp
1>fdvanillaengine.cpp
1>batesengine.cpp
1>analytichestonhullwhiteengine.cpp
1>analytichestonengine.cpp
1>analyticgjrgarchengine.cpp
1>analyticbsmhullwhiteengine.cpp
1>stulzengine.cpp
1>mcpagodaengine.cpp
1>mchimalayaengine.cpp
1>mceverestengine.cpp
1>mceuropeanbasketengine.cpp
1>mcamericanbasketengine.cpp
1>mc_discr_geom_av_price.cpp
1>mc_discr_arith_av_strike.cpp
1>Generating Code...
1>Compiling...
1>mc_discr_arith_av_price.cpp
1>analytic_discr_geom_av_strike.cpp
1>analytic_discr_geom_av_price.cpp
1>analytic_cont_geom_av_price.cpp
1>greeks.cpp
1>blackscholescalculator.cpp
1>blackcalculator.cpp
1>americanpayoffathit.cpp
1>americanpayoffatexpiry.cpp
1>stochasticprocessarray.cpp
1>squarerootprocess.cpp
1>ornsteinuhlenbeckprocess.cpp
1>merton76process.cpp
1>jointstochasticprocess.cpp
1>hybridhestonhullwhiteprocess.cpp
1>hullwhiteprocess.cpp
1>hestonprocess.cpp
1>gjrgarchprocess.cpp
1>geometricbrownianprocess.cpp
1>g2process.cpp
1>Generating Code...
1>Compiling...
1>forwardmeasureprocess.cpp
1>eulerdiscretization.cpp
1>endeulerdiscretization.cpp
1>blackscholesprocess.cpp
1>batesprocess.cpp
1>exchangeratemanager.cpp
1>tracing.cpp
1>dataparsers.cpp
1>dataformatters.cpp
1>survivalprobabilitystructure.cpp
1>hazardratestructure.cpp
1>flathazardrate.cpp
1>defaultprobabilityhelpers.cpp
1>defaultdensitystructure.cpp
1>seasonality.cpp
1>inflationhelpers.cpp
1>zeroyieldstructure.cpp
1>ratehelpers.cpp
1>oisratehelper.cpp
1>nonlinearfittingmethods.cpp
1>Generating Code...
1>Compiling...
1>forwardstructure.cpp
1>flatforward.cpp
1>fittedbonddiscountcurve.cpp
1>bondhelpers.cpp
1>yoyinflationoptionletvolatilitystructure.cpp
1>swaptionvolstructure.cpp
1>swaptionvolmatrix.cpp
1>swaptionvoldiscrete.cpp
1>swaptionvolcube2.cpp
1>swaptionvolcube1.cpp
1>swaptionvolcube.cpp
1>swaptionconstantvol.cpp
1>spreadedswaptionvol.cpp
1>cmsmarketcalibration.cpp
1>cmsmarket.cpp
1>strippedoptionletadapter.cpp
1>strippedoptionlet.cpp
1>spreadedoptionletvol.cpp
1>optionletvolatilitystructure.cpp
1>optionletstripper2.cpp
1>Generating Code...
1>Compiling...
1>optionletstripper1.cpp
1>optionletstripper.cpp
1>constantoptionletvol.cpp
1>localvoltermstructure.cpp
1>localvolsurface.cpp
1>blackvoltermstructure.cpp
1>blackvariancesurface.cpp
1>blackvariancecurve.cpp
1>constantcapfloortermvol.cpp
1>capfloortermvolsurface.cpp
1>capfloortermvolcurve.cpp
1>capfloortermvolatilitystructure.cpp
1>spreadedsmilesection.cpp
1>smilesection.cpp
1>sabrsmilesection.cpp
1>sabrinterpolatedsmilesection.cpp
1>sabr.cpp
1>flatsmilesection.cpp
1>abcdcalibration.cpp
1>abcd.cpp
1>Generating Code...
1>Compiling...
1>yieldtermstructure.cpp
1>voltermstructure.cpp
1>inflationtermstructure.cpp
1>defaulttermstructure.cpp
1>hestonmodelhelper.cpp
1>hestonmodel.cpp
1>gjrgarchmodel.cpp
1>batesmodel.cpp
1>garch.cpp
1>constantestimator.cpp
1>g2.cpp
1>vasicek.cpp
1>hullwhite.cpp
1>extendedcoxingersollross.cpp
1>coxingersollross.cpp
1>blackkarasinski.cpp
1>swaptionhelper.cpp
1>caphelper.cpp
1>twofactormodel.cpp
1>onefactormodel.cpp
1>Generating Code...
1>Compiling...
1>vegabumpcluster.cpp
1>swaptionpseudojacobian.cpp
1>ratepseudorootjacobian.cpp
1>bumpinstrumentjacobian.cpp
1>triggeredswapexercise.cpp
1>swapbasissystem.cpp
1>timehomogeneousforwardcorrelation.cpp
1>expcorrelations.cpp
1>cotswapfromfwdcorrelation.cpp
1>pathwiseproductswaption.cpp
1>pathwiseproductcaplet.cpp
1>onestepoptionlets.cpp
1>onestepforwards.cpp
1>onestepcoterminalswaps.cpp
1>onestepcoinitialswaps.cpp
1>multistepswaption.cpp
1>multistepswap.cpp
1>multistepratchet.cpp
1>multistepperiodcapletswaptions.cpp
1>multistepoptionlets.cpp
1>Generating Code...
1>Compiling...
1>multistepnothing.cpp
1>multistepforwards.cpp
1>multistepcoterminalswaptions.cpp
1>multistepcoterminalswaps.cpp
1>multistepcoinitialswaps.cpp
1>exerciseadapter.cpp
1>cashrebate.cpp
1>callspecifiedmultiproduct.cpp
1>singleproductcomposite.cpp
1>multiproductonestep.cpp
1>multiproductmultistep.cpp
1>multiproductcomposite.cpp
1>compositeproduct.cpp
1>volatilityinterpolationspecifierabcd.cpp
1>volatilityinterpolationspecifier.cpp
1>pseudorootfacade.cpp
1>piecewiseconstantvariance.cpp
1>piecewiseconstantabcdvariance.cpp
1>fwdtocotswapadapter.cpp
1>fwdperiodadapter.cpp
1>Generating Code...
1>Compiling...
1>flatvol.cpp
1>ctsmmcapletcalibration.cpp
1>cotswaptofwdadapter.cpp
1>capletcoterminalswaptioncalibration.cpp
1>capletcoterminalperiodic.cpp
1>capletcoterminalmaxhomogeneity.cpp
1>capletcoterminalalphacalibration.cpp
1>alphaformconcrete.cpp
1>alphafinder.cpp
1>abcdvol.cpp
1>squarerootandersen.cpp
1>svddfwdratepc.cpp
1>normalfwdratepc.cpp
1>marketmodelvolprocess.cpp
1>lognormalfwdratepc.cpp
1>lognormalfwdrateipc.cpp
1>lognormalfwdrateeulerconstrained.cpp
1>lognormalfwdrateeuler.cpp
1>lognormalfwdrateballand.cpp
1>lognormalcotswapratepc.cpp
1>Generating Code...
1>Compiling...
1>lognormalcmswapratepc.cpp
1>smmdriftcalculator.cpp
1>lmmnormaldriftcalculator.cpp
1>lmmdriftcalculator.cpp
1>cmsmmdriftcalculator.cpp
1>lmmcurvestate.cpp
1>coterminalswapcurvestate.cpp
1>cmswapcurvestate.cpp
1>sobolbrowniangenerator.cpp
1>mtbrowniangenerator.cpp
1>utilities.cpp
1>swapforwardmappings.cpp
1>proxygreekengine.cpp
1>pathwisediscounter.cpp
1>pathwiseaccountingengine.cpp
1>marketmodeldifferences.cpp
1>marketmodel.cpp
1>historicalratesanalysis.cpp
1>forwardforwardmappings.cpp
1>evolutiondescription.cpp
1>Generating Code...
1>Compiling...
1>discounter.cpp
1>curvestate.cpp
1>accountingengine.cpp
1>model.cpp
1>calibrationhelper.cpp
1>mincopula.cpp
1>maxcopula.cpp
1>marshallolkincopula.cpp
1>independentcopula.cpp
1>gumbelcopula.cpp
1>gaussiancopula.cpp
1>frankcopula.cpp
1>farliegumbelmorgensterncopula.cpp
1>claytoncopula.cpp
1>steepestdescent.cpp
1>spherecylinder.cpp
1>simplex.cpp
1>projectedcostfunction.cpp
1>lmdif.cpp
1>linesearchbasedmethod.cpp
1>Generating Code...
1>Compiling...
1>linesearch.cpp
1>levenbergmarquardt.cpp
1>leastsquare.cpp
1>endcriteria.cpp
1>constraint.cpp
1>conjugategradient.cpp
1>bfgs.cpp
1>armijo.cpp
1>sobolrsg.cpp
1>seedgenerator.cpp
1>Generating Code...
1>Compiling...
1>primitivepolynomials.c
1>Generating Code...
1>Compiling...
1>mt19937uniformrng.cpp
1>lecuyeruniformrng.cpp
1>latticerules.cpp
1>latticersg.cpp
1>knuthuniformrng.cpp
1>haltonrsg.cpp
1>faurersg.cpp
1>tqreigendecomposition.cpp
1>tapcorrelations.cpp
1>symmetricschurdecomposition.cpp
1>svd.cpp
1>qrdecomposition.cpp
1>pseudosqrt.cpp
1>factorreduction.cpp
1>choleskydecomposition.cpp
1>basisincompleteordered.cpp
1>segmentintegral.cpp
1>kronrodintegral.cpp
1>integral.cpp
1>gausslobattointegral.cpp
1>Generating Code...
1>Compiling...
1>gaussianquadratures.cpp
1>gaussianorthogonalpolynomial.cpp
1>studenttdistribution.cpp
1>normaldistribution.cpp
1>gammadistribution.cpp
1>chisquaredistribution.cpp
1>bivariatenormaldistribution.cpp
1>incrementalstatistics.cpp
1>histogram.cpp
1>generalstatistics.cpp
1>discrepancystatistics.cpp
1>surface.cpp
1>sampledcurve.cpp
1>rounding.cpp
1>quadratic.cpp
1>matrix.cpp
1>bspline.cpp
1>bernsteinpolynomial.cpp
1>zerocouponbond.cpp
1>floatingratebond.cpp
1>Generating Code...
1>Compiling...
1>fixedratebond.cpp
1>convertiblebond.cpp
1>cmsratebond.cpp
1>zerocouponinflationswap.cpp
1>yearonyearinflationswap.cpp
1>varianceswap.cpp
1>vanillaswap.cpp
1>vanillaoption.cpp
1>swaption.cpp
1>swap.cpp
1>stock.cpp
1>stickyratchet.cpp
1>quantovanillaoption.cpp
1>quantoforwardvanillaoption.cpp
1>quantobarrieroption.cpp
1>payoffs.cpp
1>pagodaoption.cpp
1>overnightindexedswap.cpp
1>oneassetoption.cpp
1>multiassetoption.cpp
1>Generating Code...
1>Compiling...
1>makeyoyinflationcapfloor.cpp
1>makevanillaswap.cpp
1>makeswaption.cpp
1>makeois.cpp
1>makecms.cpp
1>makecapfloor.cpp
1>lookbackoption.cpp
1>inflationcapfloor.cpp
1>impliedvolatility.cpp
1>himalayaoption.cpp
1>forwardvanillaoption.cpp
1>forwardrateagreement.cpp
1>forward.cpp
1>fixedratebondforward.cpp
1>everestoption.cpp
1>europeanoption.cpp
1>dividendvanillaoption.cpp
1>creditdefaultswap.cpp
1>compositeinstrument.cpp
1>cliquetoption.cpp
1>Generating Code...
1>Compiling...
1>claim.cpp
1>capfloor.cpp
1>bond.cpp
1>bmaswap.cpp
1>basketoption.cpp
1>barriertype.cpp
1>barrieroption.cpp
1>averagetype.cpp
1>assetswap.cpp
1>asianoption.cpp
1>usdliborswap.cpp
1>jpyliborswap.cpp
1>gbpliborswap.cpp
1>eurliborswap.cpp
1>euriborswap.cpp
1>chfliborswap.cpp
1>libor.cpp
1>eurlibor.cpp
1>euribor.cpp
1>eonia.cpp
1>Generating Code...
1>Compiling...
1>swapindex.cpp
1>region.cpp
1>interestrateindex.cpp
1>inflationindex.cpp
1>indexmanager.cpp
1>iborindex.cpp
1>bmaindex.cpp
1>yoyinflationcoupon.cpp
1>replication.cpp
1>rangeaccrual.cpp
1>overnightindexedcoupon.cpp
1>inflationcouponpricer.cpp
1>inflationcoupon.cpp
1>indexedcashflow.cpp
1>iborcoupon.cpp
1>floatingratecoupon.cpp
1>fixedratecoupon.cpp
1>duration.cpp
1>dividend.cpp
1>digitaliborcoupon.cpp
1>Generating Code...
1>Compiling...
1>digitalcoupon.cpp
1>digitalcmscoupon.cpp
1>couponpricer.cpp
1>coupon.cpp
1>conundrumpricer.cpp
1>cmscoupon.cpp
1>cashflows.cpp
1>capflooredinflationcoupon.cpp
1>capflooredcoupon.cpp
1>averagebmacoupon.cpp
1>trinomialtree.cpp
1>binomialtree.cpp
1>tridiagonaloperator.cpp
1>bsmoperator.cpp
1>boundarycondition.cpp
1>parametricexercise.cpp
1>lsmbasissystem.cpp
1>genericlsregression.cpp
1>Generating Code...
1>Compiling...
1>mcdigitalengine.cpp
1>jumpdiffusionengine.cpp
1>integralengine.cpp
1>discretizedvanillaoption.cpp
1>bjerksundstenslandengine.cpp
1>baroneadesiwhaleyengine.cpp
1>analyticeuropeanengine.cpp
1>analyticdividendeuropeanengine.cpp
1>analyticdigitalamericanengine.cpp
1>mcbarrierengine.cpp
1>analyticbarrierengine.cpp
1>blackformula.cpp
1>primenumbers.cpp
1>incompletegamma.cpp
1>factorial.cpp
1>errorfunction.cpp
1>beta.cpp
1>timebasket.cpp
1>cashflowvectors.cpp
1>Generating Code...
1>Compiling...
1>schedule.cpp
1>Compiling...
1>frequency.cpp
1>Compiling...
1>date.cpp
1>Compiling...
1>calendar.cpp
1>Compiling...
1>businessdayconvention.cpp
1>Compiling...
1>upperboundengine.cpp
1>Compiling...
1>swapratetrigger.cpp
1>Compiling...
1>parametricexerciseadapter.cpp
1>Compiling...
1>nothingexercisevalue.cpp
1>Compiling...
1>lsstrategy.cpp
1>Compiling...
1>collectnodedata.cpp
1>Compiling...
1>bermudanswaptionexercisevalue.cpp
1>Compiling...
1>getcovariance.cpp
1>Make build directory
1>Creating library...
1>Creating browse information file...
1>Microsoft Browse Information Maintenance Utility Version 9.00.21022
1>Copyright (C) Microsoft Corporation. All rights reserved.
1>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\build\vc90\Release (static runtime)\BuildLog.htm"
1>QuantLib - 0 error(s), 0 warning(s)
2>------ Build started: Project: CallableBonds, Configuration: Release (static runtime) Win32 ------
3>------ Build started: Project: CDS, Configuration: Release (static runtime) Win32 ------
2>Compiling...
3>Compiling...
2>CallableBonds.cpp
3>CDS.cpp
2>Linking...
3>Linking...
2>Creating manifest...
3>Creating manifest...
2>Creating browse information file...
3>Creating browse information file...
2>Microsoft Browse Information Maintenance Utility Version 9.00.21022
2>Copyright (C) Microsoft Corporation. All rights reserved.
3>Microsoft Browse Information Maintenance Utility Version 9.00.21022
3>Copyright (C) Microsoft Corporation. All rights reserved.
2>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\CallableBonds\build\vc90\Release (static runtime)\BuildLog.htm"
2>CallableBonds - 0 error(s), 0 warning(s)
3>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\CDS\build\vc90\Release (static runtime)\BuildLog.htm"
3>CDS - 0 error(s), 0 warning(s)
4>------ Build started: Project: FittedBondCurve, Configuration: Release (static runtime) Win32 ------
4>Compiling...
4>FittedBondCurve.cpp
5>------ Build started: Project: DiscreteHedging, Configuration: Release (static runtime) Win32 ------
5>Compiling...
5>DiscreteHedging.cpp
4>Linking...
5>Linking...
4>Creating manifest...
4>Creating browse information file...
5>Creating manifest...
5>Creating browse information file...
5>Microsoft Browse Information Maintenance Utility Version 9.00.21022
5>Copyright (C) Microsoft Corporation. All rights reserved.
5>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\DiscreteHedging\build\vc90\Release (static runtime)\BuildLog.htm"
5>DiscreteHedging - 0 error(s), 0 warning(s)
6>------ Build started: Project: BermudanSwaption, Configuration: Release (static runtime) Win32 ------
4>Microsoft Browse Information Maintenance Utility Version 9.00.21022
4>Copyright (C) Microsoft Corporation. All rights reserved.
4>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\FittedBondCurve\build\vc90\Release (static runtime)\BuildLog.htm"
4>FittedBondCurve - 0 error(s), 0 warning(s)
6>Compiling...
6>BermudanSwaption.cpp
7>------ Build started: Project: Replication, Configuration: Release (static runtime) Win32 ------
7>Compiling...
7>Replication.cpp
7>Linking...
6>Linking...
7>Creating manifest...
7>Creating browse information file...
6>Creating manifest...
6>Creating browse information file...
7>Microsoft Browse Information Maintenance Utility Version 9.00.21022
7>Copyright (C) Microsoft Corporation. All rights reserved.
7>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Replication\build\vc90\Release (static runtime)\BuildLog.htm"
7>Replication - 0 error(s), 0 warning(s)
8>------ Build started: Project: Repo, Configuration: Release (static runtime) Win32 ------
6>Microsoft Browse Information Maintenance Utility Version 9.00.21022
6>Copyright (C) Microsoft Corporation. All rights reserved.
8>Compiling...
8>Repo.cpp
6>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\BermudanSwaption\build\vc90\Release (static runtime)\BuildLog.htm"
6>BermudanSwaption - 0 error(s), 0 warning(s)
9>------ Build started: Project: FRA, Configuration: Release (static runtime) Win32 ------
9>Compiling...
9>FRA.cpp
8>Linking...
8>Creating manifest...
8>Creating browse information file...
9>Linking...
9>Creating manifest...
9>Creating browse information file...
8>Microsoft Browse Information Maintenance Utility Version 9.00.21022
8>Copyright (C) Microsoft Corporation. All rights reserved.
8>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Repo\build\vc90\Release (static runtime)\BuildLog.htm"
8>Repo - 0 error(s), 0 warning(s)
9>Microsoft Browse Information Maintenance Utility Version 9.00.21022
9>Copyright (C) Microsoft Corporation. All rights reserved.
9>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\FRA\build\vc90\Release (static runtime)\BuildLog.htm"
9>FRA - 0 error(s), 0 warning(s)
10>------ Build started: Project: ConvertibleBonds, Configuration: Release (static runtime) Win32 ------
10>Compiling...
10>ConvertibleBonds.cpp
11>------ Build started: Project: EquityOption, Configuration: Release (static runtime) Win32 ------
11>Compiling...
11>EquityOption.cpp
10>Linking...
11>Linking...
10>Creating manifest...
10>Creating browse information file...
11>Creating manifest...
11>Creating browse information file...
10>Microsoft Browse Information Maintenance Utility Version 9.00.21022
10>Copyright (C) Microsoft Corporation. All rights reserved.
10>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\ConvertibleBonds\build\vc90\Release (static runtime)\BuildLog.htm"
10>ConvertibleBonds - 0 error(s), 0 warning(s)
11>Microsoft Browse Information Maintenance Utility Version 9.00.21022
11>Copyright (C) Microsoft Corporation. All rights reserved.
12>------ Build started: Project: Swap, Configuration: Release (static runtime) Win32 ------
12>Compiling...
12>swapvaluation.cpp
11>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\EquityOption\build\vc90\Release (static runtime)\BuildLog.htm"
11>EquityOption - 0 error(s), 0 warning(s)
13>------ Build started: Project: testsuite, Configuration: Release (static runtime) Win32 ------
13>Compiling...
13>volatilitymodels.cpp
13>varianceswaps.cpp
12>Linking...
12>Creating manifest...
12>Creating browse information file...
13>varianceoption.cpp
13>transformedgrid.cpp
13>tracing.cpp
13>tqreigendecomposition.cpp
13>timeseries.cpp
12>Microsoft Browse Information Maintenance Utility Version 9.00.21022
12>Copyright (C) Microsoft Corporation. All rights reserved.
12>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Swap\build\vc90\Release (static runtime)\BuildLog.htm"
12>Swap - 0 error(s), 0 warning(s)
14>------ Build started: Project: Bonds, Configuration: Release (static runtime) Win32 ------
14>Compiling...
14>Bonds.cpp
13>swaptionvolatilitymatrix.cpp
13>swaptionvolatilitycube.cpp
14>Linking...
14>Creating manifest...
14>Creating browse information file...
13>swapforwardmappings.cpp
13>surface.cpp
13>shortratemodels.cpp
14>Microsoft Browse Information Maintenance Utility Version 9.00.21022
14>Copyright (C) Microsoft Corporation. All rights reserved.
14>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Bonds\build\vc90\Release (static runtime)\BuildLog.htm"
14>Bonds - 0 error(s), 0 warning(s)
13>sampledcurve.cpp
13>rounding.cpp
13>rngtraits.cpp
13>rangeaccrual.cpp
13>quantooption.cpp
13>piecewiseyieldcurve.cpp
13>period.cpp
13>pathgenerator.cpp
13>Generating Code...
13>Compiling...
13>pagodaoption.cpp
13>overnightindexedswap.cpp
13>optionletstripper.cpp
13>optimizers.cpp
13>nthtodefault.cpp
13>money.cpp
13>mclongstaffschwartzengine.cpp
13>marketmodel_smmcaplethomocalibration.cpp
13>marketmodel_smmcapletcalibration.cpp
13>marketmodel_smmcapletalphacalibration.cpp
13>marketmodel_smm.cpp
13>marketmodel_cms.cpp
13>marketmodel.cpp
13>lookbackoptions.cpp
13>linearleastsquaresregression.cpp
13>libormarketmodelprocess.cpp
13>libormarketmodel.cpp
13>interestrates.cpp
13>inflationvolatility.cpp
13>inflationcapflooredcoupon.cpp
13>Generating Code...
13>Compiling...
13>inflationcapfloor.cpp
13>inflation.cpp
13>hybridhestonhullwhiteprocess.cpp
13>himalayaoption.cpp
13>hestonmodel.cpp
13>gjrgarchmodel.cpp
13>gaussianquadratures.cpp
13>forwardoption.cpp
13>fdmlinearop.cpp
13>fdheston.cpp
13>fastfouriertransform.cpp
13>extendedtrees.cpp
13>exchangerate.cpp
13>everestoption.cpp
13>dividendoption.cpp
13>digitalcoupon.cpp
13>defaultprobabilitycurves.cpp
13>curvestates.cpp
13>creditdefaultswap.cpp
13>convertiblebonds.cpp
13>Generating Code...
13>Compiling...
13>compoundoption.cpp
13>cms.cpp
13>cliquetoption.cpp
13>cdsoption.cpp
13>cdo.cpp
13>cashflows.cpp
13>capflooredcoupon.cpp
13>brownianbridge.cpp
13>bonds.cpp
13>bermudanswaption.cpp
13>batesmodel.cpp
13>assetswap.cpp
13>array.cpp
13>Generating Code...
13>Compiling...
13>quantlibtestsuite.cpp
13>utilities.cpp
13>termstructures.cpp
13>swaption.cpp
13>swap.cpp
13>stats.cpp
13>solvers.cpp
13>riskstats.cpp
13>quotes.cpp
13>operators.cpp
13>mersennetwister.cpp
13>matrices.cpp
13>lowdiscrepancysequences.cpp
13>jumpdiffusion.cpp
13>interpolations.cpp
13>integrals.cpp
13>instruments.cpp
13>factorial.cpp
13>europeanoption.cpp
13>distributions.cpp
13>Generating Code...
13>Compiling...
13>digitaloption.cpp
13>daycounters.cpp
13>dates.cpp
13>covariance.cpp
13>capfloor.cpp
13>calendars.cpp
13>basketoption.cpp
13>barrieroption.cpp
13>asianoptions.cpp
13>americanoption.cpp
13>Generating Code...
13>Linking...
13>Creating manifest...
13>Creating browse information file...
13>Microsoft Browse Information Maintenance Utility Version 9.00.21022
13>Copyright (C) Microsoft Corporation. All rights reserved.
13>Auto run test
13>====================================
13>Testing QuantLib-vc90-mt-s-0_9_9.lib
13>====================================
13>Running 444 test cases...
13>Platform: Win32
13>Compiler: Microsoft Visual C++ version 9.0
13>STL     : Dinkumware standard library version 505
13>Boost   : 1.39.0
13>Testing Barone-Adesi and Whaley approximation for American options...
13>Testing Bjerksund and Stensland approximation for American options...
13>Testing Ju approximation for American options...
13>Testing finite-difference engine for American options...
13>Testing finite-differences American option greeks...
13>Testing finite-differences shout option greeks...
13>Testing array construction...
13>Testing analytic continuous geometric average-price Asians...
13>Testing analytic continuous geometric average-price Asian greeks...
13>Testing analytic discrete geometric average-price Asians...
13>Testing analytic discrete geometric average-strike Asians...
13>Testing Monte Carlo discrete geometric average-price Asians...
13>Testing Monte Carlo discrete arithmetic average-price Asians...
13>Testing Monte Carlo discrete arithmetic average-strike Asians...
13>Testing discrete-averaging geometric Asian greeks...
13>Testing use of past fixings in Asian options...
13>Testing consistency between fair price and fair spread...
13>Testing implied bond value against asset-swap fair price with null spread...
13>Testing relationship between market asset swap and par asset swap...
13>Testing clean and dirty price with null Z-spread against theoretical prices...
13>Testing implied generic-bond value against asset-swap fair price with null spread...
13>Testing market asset swap against par asset swap with generic bond...
13>Testing clean and dirty price with null Z-spread against theoretical prices...
13>Testing clean and dirty prices for specialized bond against equivalent generic bond...
13>Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
13>Testing barrier options against Haug's values...
13>Testing barrier options against Babsiri's values...
13>Testing barrier options against Beaglehole's values...
13>Testing perturbative engine for barrier options...
13>Testing local volatility and Heston FD engines for barrier options...
13>Testing two-asset European basket options...
13>Testing three-asset basket options against Barraquand's values...
13>Testing three-asset American basket options against Tavella's values...
13>Testing basket American options against 1-D case...
13>Testing antithetic engine using odd sample number...
13>Testing analytic Bates engine against Black formula...
13>Testing analytic Bates engine against Merton-76 engine...
13>Testing analytic Bates engine against Monte-Carlo engine...
13>Testing Bates model calibration using DAX volatility data...
13>Testing Bermudan swaption against cached values...
13>Testing consistency of bond price/yield calculation...
13>Testing consistency of bond price/z-spread calculation...
13>Testing theoretical bond price/yield calculation...
13>Testing bond price/yield calculation against cached values...
13>Testing zero-coupon bond prices against cached values...
13>Testing fixed-coupon bond prices against cached values...
13>Testing floating-rate bond prices against cached values...
13>Testing Brazilian public bond prices against Andima cached values...
13>Testing Brownian-bridge variates...
13>Testing Brownian-bridge path generation...
13>Testing Brazil holiday list...
13>Testing Milan Stock Exchange holiday list...
13>Testing UK settlement holiday list...
13>Testing London Stock Exchange holiday list...
13>Testing London Metals Exchange holiday list...
13>Testing Frankfurt Stock Exchange holiday list...
13>Testing Xetra holiday list...
13>Testing Eurex holiday list...
13>Testing TARGET holiday list...
13>Testing US settlement holiday list...
13>Testing US government bond market holiday list...
13>Testing New York Stock Exchange holiday list...
13>Testing South-Korean settlement holiday list...
13>Testing Korea Stock Exchange holiday list...
13>Testing calendar modification...
13>Testing joint calendars...
13>Testing bespoke calendars...
13>Testing end-of-month calculation...
13>Testing calculation of business days between dates...
13>Testing cap/floor dependency on strike...
13>Testing consistency between cap, floor and collar...
13>Testing cap/floor parity...
13>Testing cap/floor vega...
13>Testing cap/floor ATM rate...
13>Testing implied term volatility for cap and floor...
13>Testing Black cap/floor price against cached values...
13>Testing degenerate collared coupon...
13>Testing collared coupon against its decomposition...
13>Testing cash-flow settings...
13>Testing CDS-option value against cached values...
13>Testing CDO premiums against Hull-White values...
13>Testing Cliquet option values...
13>Testing Cliquet option greeks...
13>Testing performance option greeks...
13>Testing Monte Carlo performance engine against analytic results...
13>Testing Hagan-pricer flat-vol equivalence for coupons...
13>Testing Hagan-pricer flat-vol equivalence for swaps...
13>Testing put-call parity for capped-floored CMS coupons...
13>Testing compound-option values and greeks...
13>Testing compound-option put-call parity...
13>Testing out-of-the-money convertible bonds against vanilla bonds...
13>Testing zero-coupon convertible bonds against vanilla option...
13>Testing fixed-coupon convertible bond in known regression case...
13>Testing covariance and correlation calculations...
13>Testing positive semi-definiteness salvaging algorithms...
13>Testing matrix rank reduction salvaging algorithms...
13>Testing credit-default swap against cached values...
13>Testing credit-default swap against cached market values...
13>Testing implied hazard-rate for credit-default swaps...
13>Testing fair-spread calculation for credit-default swaps...
13>Testing fair-upfront calculation for credit-default swaps...
13>Testing constant-maturity-swap-market-model curve state...
13>Testing dates...
13>Testing ECB dates...
13>Testing IMM dates...
13>Testing ISO dates...
13>Testing actual/actual day counters...
13>Testing simple day counter...
13>Testing 1/1 day counter...
13>Testing business/252 day counter...
13>Testing default-probability structure...
13>Testing flat hazard rate...
13>Testing piecewise-flat hazard-rate consistency...
13>Testing piecewise-flat default-density consistency...
13>Testing piecewise-linear default-density consistency...
13>Testing log-linear survival-probability consistency...
13>Testing single-instrument curve bootstrap...
13>Testing bootstrap on upfront quotes...
13>Testing European asset-or-nothing digital coupon...
13>Testing European deep in-the-money asset-or-nothing digital coupon...
13>Testing European deep out-the-money asset-or-nothing digital coupon...
13>Testing European cash-or-nothing digital coupon...
13>Testing European deep in-the-money cash-or-nothing digital coupon...
13>Testing European deep out-the-money cash-or-nothing digital coupon...
13>Testing call/put parity for European digital coupon...
13>Testing replication type for European digital coupon...
13>Testing European cash-or-nothing digital option...
13>Testing European asset-or-nothing digital option...
13>Testing European gap digital option...
13>Testing American cash-(at-hit)-or-nothing digital option...
13>Testing American cash-(at-hit)-or-nothing digital option greeks...
13>Testing American asset-(at-hit)-or-nothing digital option...
13>Testing American cash-(at-expiry)-or-nothing digital option...
13>Testing American asset-(at-expiry)-or-nothing digital option...
13>Testing Monte Carlo cash-(at-hit)-or-nothing American engine...
13>Testing normal distributions...
13>Testing bivariate cumulative normal distribution...
13>Testing Poisson distribution...
13>Testing cumulative Poisson distribution...
13>Testing inverse cumulative Poisson distribution...
13>Testing dividend European option values with no dividends...
13>Testing dividend European option with a dividend on today's date...
13>Testing dividend European option greeks...
13>Testing finite-difference dividend European option values...
13>Testing finite-differences dividend European option greeks...
13>Testing finite-differences dividend American option greeks...
13>Testing degenerate finite-differences dividend European option...
13>Testing degenerate finite-differences dividend American option...
13>Testing European option values...
13>Testing European option greek values...
13>Testing analytic European option greeks...
13>Testing European option implied volatility...
13>Testing self-containment of implied volatility calculation...
13>Testing JR binomial European engines against analytic results...
13>Testing CRR binomial European engines against analytic results...
13>Testing EQP binomial European engines against analytic results...
13>Testing TGEO binomial European engines against analytic results...
13>Testing TIAN binomial European engines against analytic results...
13>Testing LR binomial European engines against analytic results...
13>Testing Joshi binomial European engines against analytic results...
13>Testing finite-difference European engines against analytic results...
13>Testing integral engines against analytic results...
13>Testing Monte Carlo European engines against analytic results...
13>Testing Quasi Monte Carlo European engines against analytic results...
13>Testing European price curves...
13>Testing finite-differences with local volatility...
13>Testing Everest option against cached values...
13>Testing direct exchange rates...
13>Testing derived exchange rates...
13>Testing lookup of direct exchange rates...
13>Testing lookup of triangulated exchange rates...
13>Testing lookup of derived exchange rates...
13>Testing time-dependent JR binomial European engines against analytic results...
13>Testing time-dependent CRR binomial European engines against analytic results...
13>Testing time-dependent EQP binomial European engines against analytic results...
13>Testing time-dependent TGEO binomial European engines against analytic results...
13>Testing time-dependent TIAN binomial European engines against analytic results...
13>Testing time-dependent LR binomial European engines against analytic results...
13>Testing time-dependent Joshi binomial European engines against analytic results...
13>Testing factorial numbers...
13>Testing Gamma function...
13>Testing complex direct FFT...
13>Testing convolution via inverse FFT...
13>Testing FDM with barrier option for Heston model vs Black-Scholes model...
13>Testing FDM with barrier option in Heston model...
13>Testing FDM with American option in Heston model...
13>Testing FDM Heston for Ikonen and Toivanen tests...
13>Testing FDM Heston with Black Scholes model...
13>Testing FDM with European option with dividends in Heston model...
13>Testing FDM Heston convergence...
13>Testing indexing of a linear operator...
13>Testing uniform grid mesher...
13>Testing application of first-derivatives map...
13>Testing application of second-derivatives map...
13>Testing application of second-order mixed-derivatives map...
13>Testing triple-band map solution...
13>Testing FDM with Barrier option in Heston model...
13>Testing FDM with American option in Heston model...
13>Testing FDM with express certificate in Heston model...
13>Testing FDM with Heston Hull-White model...
13>Testing BiCGstab with Heston operator...
13>Testing Crank-Nicolson with initial implicit damping steps for a digital option...
13>Testing forward option values...
13>Testing forward option greeks...
13>Testing forward performance option values...
13>Testing forward performance option greeks...
13>Testing Gauss-Jacobi integration...
13>Testing Gauss-Laguerre integration...
13>Testing Gauss-Hermite integration...
13>Testing Gauss hyperbolic integration...
13>Testing tabulated Gauss-Laguerre integration...
13>Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine...
13>Testing GJR-GARCH model calibration using DAX volatility data...
13>Testing Heston model calibration using a flat volatility surface...
13>Testing Heston model calibration using DAX volatility data...
13>Testing analytic Heston engine against Black formula...
13>Testing analytic Heston engine against cached values...
13>Testing MC and FD Heston engines for the Kahl-Jaeckel example...
13>Testing different numerical Heston integration algorithms...
13>Testing FD barrier Heston engine against cached values...
13>Testing FD vanilla Heston engine against cached values...
13>Testing FD vanilla Heston engine for discrete dividends...
13>Testing FD vanilla Heston engine for american exercise...
13>Testing multiple-strikes FD Heston engine...
13>Testing Himalaya option against cached values...
13>Testing European option pricing for a BSM process with one-factor Hull-White model...
13>Comparing European option pricing for a BSM process with one-factor Hull-White model...
13>Testing Monte-Carlo zero bond pricing...
13>Testing Monte-Carlo vanilla option pricing...
13>Testing Monte-Carlo Heston option pricing...
13>Testing analytic Heston Hull-White option pricing...
13>Testing the pricing of a callable equity product...
13>Testing the discretization error of the Heston Hull-White process...
13>Testing the FDM Heston Hull-White engine...
13>Testing the Heston Hull-White calibration...
13>Testing zero inflation indices...
13>Testing zero inflation term structure...
13>Testing year-on-year inflation indices...
13>Testing year-on-year inflation term structure...
13>Testing consistency between yoy inflation cap, floor and collar...
13>Testing yoy inflation cap/floor parity...
13>Testing Black yoy inflation cap/floor price against cached values...
13>Testing collared coupon against its decomposition...
13>Testing inflation capped/floored coupon against inflation capfloor instrument...
13>Testing conversion from YoY cap-floor surface to YoY inflation term structure...
13>Testing conversion from YoY price surface to YoY volatility surface...
13>Testing observability of instruments...
13>Testing segment integration...
13>Testing trapezoid integration...
13>Testing mid-point trapezoid integration...
13>Testing Simpson integration...
13>Testing adaptive Gauss-Kronrod integration...
13>Testing non-adaptive Gauss-Kronrod integration...
13>Testing adaptive Gauss-Lobatto integration...
13>Testing interest-rate conversions...
13>Testing spline interpolation on generic values...
13>Testing symmetry of spline interpolation end-conditions...
13>Testing derivative end-conditions for spline interpolation...
13>Testing non-restrictive Hyman filter...
13>Testing spline interpolation on RPN15A data set...
13>Testing spline interpolation on a Gaussian data set...
13>Testing spline approximation on Gaussian data sets...
13>Testing N-dimensional cubic spline...
13>Testing use of interpolations as functors...
13>Testing backward-flat interpolation...
13>Testing forward-flat interpolation...
13>Testing Sabr interpolation...
13>Testing kernel 1D interpolation...
13>Testing kernel 2D interpolation ...
13>Testing bicubic spline derivatives...
13>Testing Merton 76 jump-diffusion model for European options...
13>Testing jump-diffusion option greeks...
13>Testing linear least-squares regression...
13>Testing linear least-squares regression...
13>Testing 1D simple linear least-squares regression...
13>Testing analytic continuous floating-strike lookback options...
13>Testing analytic continuous fixed-strike lookback options...
13>Testing randomized lattice sequences (A) up to dimension 30...
13>Testing randomized lattice sequences (B) up to dimension 30...
13>Testing randomized lattice sequences (C) up to dimension 30...
13>Testing randomized lattice sequences (D) up to dimension 30...
13>Testing random-seed generator...
13>Testing 21200 primitive polynomials modulo two...
13>Testing Sobol sequences up to dimension 21200...
13>Testing Halton sequences...
13>Testing Faure sequences...
13>Testing Mersenne-twister discrepancy...
13>Testing plain Halton discrepancy...
13>Testing random-start Halton discrepancy...
13>Testing random-shift Halton discrepancy...
13>Testing random-start, random-shift Halton discrepancy...
13>Testing unit Sobol discrepancy...
13>Testing Jaeckel-Sobol discrepancy...
13>Testing Levitan-Sobol discrepancy...
13>Testing Levitan-Lemieux-Sobol discrepancy...
13>Testing Sobol sequence skipping...
13>Testing randomized low-discrepancy sequences up to dimension 21200...
13>Testing exact repricing of forwards and optionlets in a stochastic vol displaced diffusion forward rate market model...
13>Testing pathwise vegas in a lognormal forward rate market model...
13>Testing pathwise market vegas in a lognormal forward rate market model...
13>Testing caplet deltas in a lognormal forward rate market model using pathwise method...
13>Testing exact repricing of all multi-step products in a lognormal forward rate market model...
13>Testing exact repricing of one-step forwards and optionlets in a lognormal forward rate market model...
13>Testing exact repricing of one-step forwards and optionlets in a normal forward rate market model...
13>Pricing callable swap with naif exercise strategy in a LIBOR market model...
13>Pricing callable swap with Longstaff-Schwartz exercise strategy in a LIBOR market model...
13>Pricing callable swap with Anderson exercise strategy in a LIBOR market model...
13>Testing caplet greeks in a lognormal forward rate market model using partial proxy simulation...
13>Testing Abcd-volatility integration...
13>Testing different implementations of Abcd-volatility...
13>Testing Abcd-volatility fit...
13>Testing period-adaptation routines in LIBOR market model...
13>Testing drift calculation...
13>Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...
13>Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...
13>Testing alpha caplet calibration in a lognormal coterminal swap market model...
13>Testing GHLS caplet calibration in a lognormal coterminal swap market model...
13>Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
13>Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
13>Testing sphere-cylinder optimization...
13>Testing orthogonal projections...
13>Testing eigenvalues and eigenvectors calculation...
13>Testing matricial square root...
13>Testing singular value decomposition...
13>Testing Higham matricial square root...
13>Testing QR decomposition...
13>Testing QR solve...
13>Testing LU inverse calculation...
13>Testing LU determinant calculation...
13>Testing Monte-Carlo pricing of American options...
13>Testing Monte-Carlo pricing of American max options...
13>Testing Mersenne twister...
13>Testing money arithmetic without conversions...
13>Testing money arithmetic with conversion to base currency...
13>Testing money arithmetic with automated conversion...
13>Testing nth-to-default against Hull-White values with Gaussian copula...
13>Testing nth-to-default against Hull-White values with Gaussian and Student copula...
13>Testing differential operators...
13>Testing consistency of BSM operators...
13>Testing optimizers...
13>Testing nested optimizations...
13>Testing forward/forward vol stripping from flat term vol surface using optionletstripper1...
13>Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper1...
13>Testing forward/forward vol stripping from flat term vol surface using optionletstripper2...
13>Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper2...
13>Testing Eonia-swap calculation of fair fixed rate...
13>Testing Eonia-swap calculation of fair floating spread...
13>Testing Eonia-swap calculation against cached value...
13>Testing Eonia-swap curve building...
13>Testing pagoda option against cached values...
13>Testing 1-D path generation against cached values...
13>Testing n-D path generation against cached values...
13>Testing period algebra on years/months...
13>Testing period algebra on weeks/days...
13>Testing consistency of piecewise-log-linear discount curve...
13>Testing consistency of piecewise-linear discount curve...
13>Testing consistency of piecewise-log-linear zero-yield curve...
13>Testing consistency of piecewise-linear zero-yield curve...
13>Testing consistency of piecewise-cubic zero-yield curve...
13>Testing consistency of piecewise-linear forward-rate curve...
13>Testing consistency of piecewise-flat forward-rate curve...
13>Testing consistency of convex monotone forward-rate curve...
13>Testing consistency of local-bootstrap algorithm...
13>Testing observability of piecewise yield curve...
13>Testing use of today's LIBOR fixings in swap curve...
13>Testing bootstrap over JPY LIBOR swaps...
13>Testing copying of discount curve...
13>Testing copying of forward-rate curve...
13>Testing copying of zero-rate curve...
13>Testing quanto option values...
13>Testing quanto option greeks...
13>Testing quanto-forward option values...
13>Testing quanto-forward option greeks...
13>Testing quanto-forward-performance option values...
13>Testing quanto-barrier option values...
13>Testing observability of quotes...
13>Testing observability of quote handles...
13>Testing derived quotes...
13>Testing composite quotes...
13>Testing forward-value and implied-standard-deviation quotes...
13>Testing risk measures...
13>Testing Gaussian pseudo-random number generation...
13>Testing Poisson pseudo-random number generation...
13>Testing custom Poisson pseudo-random number generation...
13>Testing closest decimal rounding...
13>Testing upward decimal rounding...
13>Testing downward decimal rounding...
13>Testing floor decimal rounding...
13>Testing ceiling decimal rounding...
13>Testing sampled curve construction...
13>Testing Hull-White calibration against cached values...
13>Testing Hull-White swap pricing against known values...
13>Testing Hull-White futures convexity bias...
13>Testing 1-D solvers...
13>Testing statistics...
13>Testing sequence statistics...
13>Testing convergence statistics...
13>Testing surface...
13>Testing vanilla-swap calculation of fair fixed rate...
13>Testing vanilla-swap calculation of fair floating spread...
13>Testing vanilla-swap dependency on fixed rate...
13>Testing vanilla-swap dependency on floating spread...
13>Testing in-arrears swap calculation...
13>Testing vanilla-swap calculation against cached value...
13>Testing implied swaption vol in LMM using HW approximation...
13>Testing forward-rate coinitial-swap Jacobian...
13>Testing forward-rate constant-maturity swap Jacobian...
13>Testing forward-rate coterminal-swap mappings...
13>Testing cash settled swaptions modified annuity...
13>Testing swaption dependency on strike...
13>Testing swaption dependency on spread...
13>Testing swaption treatment of spread...
13>Testing swaption value against cached value...
13>Testing implied volatility for swaptions...
13>Testing swaption vega...
13>Testing swaption volatility cube (atm vols)...
13>Testing swaption volatility cube (smile)...
13>Testing swaption volatility cube (sabr interpolation)...
13>Testing spreaded swaption volatility cube...
13>Testing volatility cube observability...
13>Testing swaption volatility matrix...
13>Testing swaption volatility matrix observability...
13>Testing term structure against evaluation date change...
13>Testing consistency of implied term structure...
13>Testing observability of implied term structure...
13>Testing consistency of forward-spreaded term structure...
13>Testing observability of forward-spreaded term structure...
13>Testing consistency of zero-spreaded term structure...
13>Testing observability of zero-spreaded term structure...
13>Testing time series construction...
13>Testing time series interval price...
13>Testing TQR eigenvalue decomposition...
13>Testing TQR zero-off-diagonal eigenvalues...
13>Testing TQR eigenvector decomposition...
13>Testing tracing...
13>Testing transformed grid construction...
13>Testing variance option with integral Heston engine...
13>Testing variance swap with replicating cost engine...
13>Testing variance swap with Monte Carlo engine...
13>Testing volatility model construction...
13>Testing simple covariance models...
13>Testing caplet pricing...
13>Testing forward swap and swaption pricing...
13>Testing calibration of a Libor forward model...
13>Testing caplet LMM process initialisation...
13>Testing caplet LMM lambda bootstrapping...
13>Testing caplet LMM Monte-Carlo caplet pricing...
13>
13>Tests completed in 21 m 33 s
13>Test suite "Master Test Suite" passed with:
13>  1687 assertions out of 1687 passed
13>  444 test cases out of 444 passed
13>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\test-suite\build\vc90\Release (static runtime)\BuildLog.htm"
13>testsuite - 0 error(s), 0 warning(s)
========== Build: 14 succeeded, 0 failed, 0 up-to-date, 0 skipped ==========

Luigi Ballabio wrote

Hi all,
        if you have any cycles to spare during the weekend, please download and
try out the tarballs at <http://quantlib.org/prerelease/>.  They're not
yet the final ones, but they're pretty close.  Report here any problems
you may have.  I'd particularly appreciate if you tried the library on
cygwin or mingw, as I don't have a test environment for those platforms.

Thanks,
        Luigi


--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare



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[javit]

I'm currently using 9.7. HestonModelHelper is not working due to code change.

Erase the last variable in your HestonModelHelper and it works fine.

Luigi Ballabio wrote

Hi all,
        if you have any cycles to spare during the weekend, please download and
try out the tarballs at <http://quantlib.org/prerelease/>.  They're not
yet the final ones, but they're pretty close.  Report here any problems
you may have.  I'd particularly appreciate if you tried the library on
cygwin or mingw, as I don't have a test environment for those platforms.

Thanks,
        Luigi


--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare



------------------------------------------------------------------------------
Come build with us! The BlackBerry(R) Developer Conference in SF, CA
is the only developer event you need to attend this year. Jumpstart your
developing skills, take BlackBerry mobile applications to market and stay
ahead of the curve. Join us from November 9 - 12, 2009. Register now!
http://p.sf.net/sfu/devconference
_______________________________________________
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[Luigi Ballabio]

On Tue, 2009-11-10 at 14:02 -0800, javit wrote:
> I'm currently using 9.7. HestonModelHelper is not working due to code change.
>
> Erase the last variable in your HestonModelHelper and it works fine.

I'm confused. Of course code written for 0.9.7 won't work with the
latest tarballs. May you elaborate?

Luigi


--

Hofstadter's Law:
It always takes longer than you expect, even when you take
Hofstadter's Law into account.



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[javit]

I believe you would agree that developers shouldn't rewrite/debug their codes for every new release. Instead of replacing the last variable in HestonModelHelper and changing  it to

      HestonModelHelper(const Period& maturity,
                          const Calendar& calendar,
                          const Real s0,
                          const Real strikePrice,
                          const Handle<Quote>& volatility,
                          const Handle<YieldTermStructure>& riskFreeRate,
                          const Handle<YieldTermStructure>& dividendYield,
                          CalibrationHelper::CalibrationErrorType errorType
                                    = CalibrationHelper::RelativePriceError);

The last variable might very well be added rather than being a replacement. If it were an additional optional variable, then old codes utilizing quantlib may work without adjustments. From your message, I understood that backwards compatibility is not fully-respected by newer quantlib releases. Actually, this is not something new, I observed similar incompabilities in quantlibxl. Maybe, I shouldn't have complained about it now.

Thank you,
Javit

Luigi Ballabio wrote

On Tue, 2009-11-10 at 14:02 -0800, javit wrote:
> I'm currently using 9.7. HestonModelHelper is not working due to code change.
>
> Erase the last variable in your HestonModelHelper and it works fine.

I'm confused. Of course code written for 0.9.7 won't work with the
latest tarballs. May you elaborate?

Luigi


--

Hofstadter's Law:
It always takes longer than you expect, even when you take
Hofstadter's Law into account.



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[Luigi Ballabio]

On Thu, 2009-11-12 at 08:50 -0800, javit wrote:
> I believe you would agree that developers shouldn't rewrite/debug their codes
> for every new release.

Yes, sorry.  But for some reason (probably because I remembered your
name from some previous posts) I assumed you had followed the discussion
here in the past few months.  My mistake.  For this release (the 0.9.9,
leading to 1.0) we decided to leave backward compatibility and to fix a
number of design issues that we felt were just wrong.  From 1.0 onwards,
backward compatibility will be maintained.  Apologies for the problems
this may cause, but as we approached 1.0 we felt it was better not to
take forward too much of our cruft...

Luigi



--

The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes



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