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QuantLib
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A free/open-source library for quantitative finance
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13:55 on Feb 13, 2012
event counters
The last message was received 3.86 days ago at 17:23 on Feb 09, 2012
0 messages so far today, 0 messages yesterday
0 messages so far this week, 14 messages last week
16 messages so far this month, 45 messages last month
11522 messages since the first one, 5.75 years ago, for an average of 4.37 hours between messages
recent messages
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17:23 Thursdayquantlib
Commit by lballabio :: r18210 /branches/R01020x-branch/QuantLib/test-suite/ (3 files): (link)
Fixed a few miscellaneous warnings
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17:22 Thursdayquantlib
Commit by lballabio :: r18209 /branches/R01020x-branch/QuantLib/ql/ (5 files in 5 dirs): (link)
Fixed initialization order
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17:21 Thursdayquantlib
Commit by lballabio :: r18208 /branches/R01020x-branch/QuantLib/ (30 files in 17 dirs): (link)
Removed unused variables
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23:26 Wednesdayquantlib
Commit by klausspanderen :: r18207 /trunk/QuantLib/ql/ (2 files in 2 dirs): (link)
use public inheritance
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19:33 Wednesdayquantlib
Commit by nando :: r18206 /branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp: (link)
extended error message
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22:19 Tuesdayquantlib
Commit by nando :: r18205 /branches/R01020x-branch/QuantLib/ql/pricingengines/blackformula.cpp: (link)
improved error message
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22:16 Tuesdayquantlib
Commit by nando :: r18204 /branches/R01020x-branch/QuantLib/ql/pricingengines/ (blackformula.cpp blackformula.hpp): (link)
exploited put-call parity in order
1) to check for solution existence
2) to always solve for out-of-the-money options which have greater vega and are numerically more robust to implied vol calculations
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15:13 Tuesdayquantlib
Commit by nando :: r18203 /branches/R01020x-branch/QuantLibXL/ (24 files in 6 dirs): (link)

review EUR bootstrapping:

  • included new available market quotes
  • minimized Interpolation usage
  • added new quadratic synth depo extimation
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15:09 Tuesdayquantlib
Commit by nando :: r18202 /branches/R01020x-branch/QuantLibXL/Workbooks/InterestRateDerivatives/VanillaSwap.xls: (link)
fixed VBA reference
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15:09 Tuesdayquantlib
Commit by nando :: r18201 /branches/R01020x-branch/QuantLibXL/framework/addin/FixedIncome.xla: (link)
added currentCurrency function
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15:00 Tuesdayquantlib
Commit by nando :: r18200 /branches/R01020x-branch/QuantLibXL/Workbooks/InterestRateDerivatives/EurDepoSwapPricer.xls: (link)
No log message
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13:06 on Feb 06quantlib
Commit by nando :: r18199 /trunk/QuantLib/ql/patterns/lazyobject.hpp: (link)
in synch with R01020x-branch
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13:04 on Feb 06quantlib
Commit by nando :: r18198 /branches/R01020x-branch/QuantLib/ql/patterns/lazyobject.hpp: (link)
added Luca Billi's comment about preventing infinite recursion
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12:56 on Feb 06quantlib
Commit by nando :: r18197 /trunk/QuantLib/ql/patterns/lazyobject.hpp: (link)
added Luca Billi's comment about preventing infinite recursion
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18:27 on Feb 03quantlib
Commit by nando :: r18196 /branches/R01020x-branch/QuantLibAddin/qlo/ (interpolation.cpp interpolation.hpp): (link)
added tolerance for duplicated x values with identical y values
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18:22 on Feb 03quantlib
Commit by nando :: r18195 /branches/R01020x-branch/QuantLib/ql/cashflow.cpp: (link)
performance improvement
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19:31 on Jan 31quantlib
Commit by nando :: r18194 /branches/R01020x-branch/QuantLib/ql/settings.hpp: (link)
ooops... fixed typo
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19:15 on Jan 31quantlib
Commit by nando :: r18193 /branches/R01020x-branch/QuantLib/ (7 files in 5 dirs): (link)
renamed includeReferenceDateCashFlows as includeReferenceDateEvents
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19:03 on Jan 31quantlib
Commit by nando :: r18192 /branches/R01020x-branch/QuantLib/ql/event.cpp: (link)
cleaned up variable name
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17:44 on Jan 31quantlib
Commit by lballabio :: r18191 /branches/R01020x-branch/QuantLib/ (3 files in 2 dirs): (link)
Don't adjust end date to EOM if Unadjusted convention is given.
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