quantlib-dev

[Quantlib-dev] Prerelease tarballs

[Luigi B. <lui...@gm...>]

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 

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
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7>Compiling...
7>Replication.cpp
7>Linking...
6>Linking...
7>Creating manifest...
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6>Creating manifest...
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7>Microsoft Browse Information Maintenance Utility Version 9.00.21022
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7>Replication - 0 error(s), 0 warning(s)
8>------ Build started: Project: Repo, Configuration: Release (static
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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
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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
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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
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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
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11>Compiling...
11>EquityOption.cpp
10>Linking...
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10>Creating manifest...
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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
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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
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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...
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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
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14>------ Build started: Project: Bonds, Configuration: Release (static
runtime) Win32 ------
14>Compiling...
14>Bonds.cpp
13>swaptionvolatilitymatrix.cpp
13>swaptionvolatilitycube.cpp
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13>swapforwardmappings.cpp
13>surface.cpp
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14>Microsoft Browse Information Maintenance Utility Version 9.00.21022
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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-opt...
 
[truncated message content]

Re: [Quantlib-dev] Prerelease tarballs : Change in HestonModelHelper

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

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 
> 
> 
> 
> ------------------------------------------------------------------------------
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> 
> 


-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
-- 
View this message in context: http://old.nabble.com/Prerelease-tarballs-tp26027318p26292063.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Prerelease tarballs : Change in HestonModelHelper

[Luigi B. <lui...@gm...>]

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. 

Re: [Quantlib-dev] Prerelease tarballs : Change in HestonModelHelper

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

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& 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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> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 


-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
-- 
View this message in context: http://old.nabble.com/Prerelease-tarballs-tp26027318p26322172.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Prerelease tarballs : Change in HestonModelHelper

[Luigi B. <lui...@gm...>]

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