Re: [Quantlib-dev] Prerelease tarballs

[javit <ca...@vi...>]

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 
> 
> 
> 
> ------------------------------------------------------------------------------
> 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
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 


-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
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