merged branches/R01000x-branch into trunk, respecting ancestry

ChangeLog.txt

@@ -1,3 +1,70 @@
+2010-04-06 13:38  Luigi Ballabio
+
+	* [r17236] ql/patterns/singleton.hpp:
+
+	  Fix: manage Singleton correctly in .Net (thanks to Nathan Abbott.)
+
+2010-03-08 08:59  Luigi Ballabio
+
+	* [r17212] ql/experimental/callablebonds/callablebond.cpp:
+
+	  Bug fix: create exercise-date vector correctly.
+
+	  Previously, the actual exercise dates were stored after a number
+	  of null dates. For most choices of day counter, this resulted in
+	  negative exercise times that were simply discarded. For some
+	  (e.g., ActualActual::Bond) it resulted in an exception instead.
+
+2010-03-08 08:57  Luigi Ballabio
+
+	* [r17211] ql/time/calendars/china.cpp, ql/time/calendars/china.hpp,
+	  ql/time/calendars/hongkong.cpp, ql/time/calendars/hongkong.hpp,
+	  ql/time/calendars/india.cpp, ql/time/calendars/india.hpp,
+	  ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp,
+	  ql/time/calendars/singapore.cpp, ql/time/calendars/singapore.hpp,
+	  ql/time/calendars/southkorea.cpp, ql/time/calendars/taiwan.cpp,
+	  ql/time/calendars/taiwan.hpp, ql/time/calendars/turkey.cpp,
+	  ql/time/calendars/turkey.hpp:
+
+	  Update: added 2010 moving holidays for Eastern calendars.
+
+2010-03-01 09:32  Luigi Ballabio
+
+	* [r17180] ql/instruments/zerocouponinflationswap.cpp,
+	  ql/instruments/zerocouponinflationswap.hpp:
+
+	  Bug fix: added missing method implementations.
+
+2010-03-01 09:32  Luigi Ballabio
+
+	* [r17179] ql/cashflows/indexedcashflow.hpp:
+
+	  Bug fix: let an IndexedCashFlow observe its index.
+
+	  Previously, index changes would not be propagated to the cash flow
+	  and thus to any observers of the latter. This affected zero-coupon
+	  inflation swaps.
+
+2010-02-24 11:22  Luigi Ballabio
+
+	* [r17170] Docs/Makefile.am:
+
+
+
+2010-02-24 11:10  Luigi Ballabio
+
+	* [r17167] Docs/images/QL-small.jpg, Docs/images/QL-title.jpg,
+	  Docs/images/QL.bmp, Docs/images/QL.jpg, Docs/images/favicon.ico,
+	  Docs/quantlibheader.html, Docs/quantlibheaderonline.html:
+
+	  Replaced unlicensed font in logo.
+
+2010-02-23 15:08  Luigi Ballabio
+
+	* [r17153] ChangeLog.txt:
+
+	  Updated ChangeLogs.
+
 2010-02-23 14:33  Luigi Ballabio
 
 	* [r17148] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,

Contributors.txt

@@ -19,10 +19,10 @@ Robert Lopez, Andr
 Mariani, Slava Mazur, Enrico Michelotti, Radu Mondescu, Bart Mosley,
 Tiziano M�ller, Bojan Nikolic, Jean Nkeng, Adrian O'Neill, Andrea
 Odetti, Mike Parker, Guillaume Pealat, Gilbert Peffer, Walter
-Penschke, Adrien Pinatton, Gianni Piolanti, Mario Pucci, J. Erik
-Radmall, Fabio Ramponi, Maria Cristina Recchioni, Dimitri Reiswich,
-Sadruddin Rejeb, Alessandro Roveda, Mohamed Amine Sadaoui, Alpha Sanou
-Toure, Tamas Sashalmi, Peter Schmitteckert, Ralph Schreyer, David
+Penschke, Francesco Perissin, Adrien Pinatton, Gianni Piolanti,
+Mario Pucci, J. Erik Radmall, Fabio Ramponi, Maria Cristina Recchioni,
+Dimitri Reiswich, Sadruddin Rejeb, Alessandro Roveda, Mohamed Amine Sadaoui,
+Alpha Sanou Toure, Tamas Sashalmi, Peter Schmitteckert, Ralph Schreyer, David
 Schwartz, Eugene Shevkoplyas, Enrico Sirola, Maxim Sokolov, Niels
 Elken S�nderby, Andreas Spengler, Roland Stamm, Marco Tarenghi,
 Fran�ois du Vignaud, Charles Whitmore, Bernd Johannes Wuebben, Sun

News.txt

@@ -1,62 +1,39 @@
 
-Notable changes for QuantLib 1.0:
-
-PORTABILITY
-
-- Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
-
-- Enabled language extensions in Visual Studio projects.
-
-- Prevented make errors with older shells (thanks to Walter Eaves.)
-
-DATE/TIME
-
-- Changes to end-of-month adjustment. In a schedule, the Unadjusted
-  convention now supersedes a non-null calendar and causes dates to
-  roll on the unadjusted end of month (possibly a holiday.)
-
-- Added new date-generation rule for CDS (thanks to Jose Aparicio.)
-
-- Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.)
-  Previously, fair-upfront calculation required a non-null upfront
-  to begin with. This is no longer the case.
-
-INSTRUMENTS
-
-- Fixed discounting of dividends on convertible-bond grid (thanks to
-  Benoit Houzelle and Samuel Lerouge.)
-
-CASH FLOWS
-
-- A number of CashFlows methods now return a meaningful result even
-  if the passed leg is empty.
-
-PROCESSES
-
-- Changed default discretization for Heston process.  The new
-  default (giving a better performance) is quadratic exponential
-  with Martingale correction.
-
-TERM STRUCTURES
-
-- Removed ambiguous parRate member functions from YieldTermStructure
-  interface.
-
-EXAMPLES
-
-- Added market-model example.
-
-EXPERIMENTAL FOLDER
-
-The ql/experimental folder contains code which is still not fully
-integrated with the library or even fully tested, but is released in
-order to get user feedback.  Experimental classes are considered
-unstable; their interfaces might change in future releases.
-New contributions for this release were:
-
-- Longstaff-Schwartz algorithm for basket products including coupon
-  payments (thanks to Andrea Odetti;)
-
-- added sparse incomplete LU preconditioner for 2D finite-difference
-  models (thanks to Ralph Schreyer.)
+Changes for QuantLib 1.0.1:
+
+- Added moving holidays for 2010 to Eastern calendars.
+
+- The Singleton class should now work correctly when used on the .Net
+  platform (thanks to Nathan Abbott.)
+
+- Bug fix: let an IndexedCashFlow observe its index.
+  Previously, index changes would not be propagated to the cash flow
+  and thus to any observers of the latter. This affected zero-coupon
+  inflation swaps.
+
+- Bug fix: added missing method implementations to zero-coupon
+  inflation swaps.
+  A couple of methods were declared but not defined.
+
+- Bug fix: create exercise-date vector correctly for callable bonds.
+  Previously, the actual exercise dates were stored after a number
+  of null dates. For most choices of day counter, this resulted in
+  negative exercise times that were harmlessly discarded. For some
+  day counters (e.g., ActualActual::Bond) the null dates caused an
+  exception instead.
+
+- Bug fix: properly account for CDS protection-start date.
+  During bootstrap of the default-probability curve, the
+  protection-start date was taken into account when calculating the
+  coupon schedule of the underlying CDS but not when calculating its
+  value (a few days of protection could be lost.)
+  Also, sometimes the protection-start date was compared incorrectly
+  to the accrual-start date leading to false positives when checking
+  requirements.
+
+- Bug fix: coupon pricers now properly check for the result of the
+  dynamic_cast they perform.
+  Previously, setting a pricer to a coupon of the wrong type would
+  cause an access violation by dereferencing the null pointer
+  returned by the failed cast.
 

ql/cashflows/conundrumpricer.cpp

@@ -78,6 +78,7 @@ namespace QuantLib {
 
     void HaganPricer::initialize(const FloatingRateCoupon& coupon){
         coupon_ =  dynamic_cast<const CmsCoupon*>(&coupon);
+        QL_REQUIRE(coupon_, "CMS coupon needed");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
 

ql/cashflows/couponpricer.cpp

@@ -37,6 +37,7 @@ namespace QuantLib {
 
     void BlackIborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
         coupon_ = dynamic_cast<const IborCoupon*>(&coupon);
+        QL_REQUIRE(coupon_, "Libor coupon required");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
         Date paymentDate = coupon_->date();

ql/cashflows/inflationcouponpricer.cpp

@@ -116,6 +116,7 @@ namespace QuantLib {
 
     void YoYInflationCouponPricer::initialize(const InflationCoupon& coupon) {
         coupon_ = dynamic_cast<const YoYInflationCoupon*>(&coupon);
+        QL_REQUIRE(coupon_, "year-on-year inflation coupon needed");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
         paymentDate_ = coupon_->date();

ql/cashflows/rangeaccrual.cpp

@@ -105,6 +105,7 @@ namespace QuantLib {
 
     void RangeAccrualPricer::initialize(const FloatingRateCoupon& coupon){
         coupon_ =  dynamic_cast<const RangeAccrualFloatersCoupon*>(&coupon);
+        QL_REQUIRE(coupon_, "range-accrual coupon required");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
 

ql/experimental/callablebonds/callablebond.cpp

@@ -187,9 +187,9 @@ namespace QuantLib {
         const Leg& cfs = cashflows();
 
         arguments->couponDates.clear();
-        arguments->couponDates = std::vector<Date>(cfs.size()-1);
+        arguments->couponDates.reserve(cfs.size()-1);
         arguments->couponAmounts.clear();
-        arguments->couponAmounts = std::vector<Real>(cfs.size()-1);
+        arguments->couponAmounts.reserve(cfs.size()-1);
 
         for (Size i=0; i<cfs.size()-1; i++) {
             if (!cfs[i]->hasOccurred(settlement, false)) {

ql/experimental/coupons/subperiodcoupons.cpp

@@ -81,6 +81,7 @@ namespace QuantLib {
 
     void SubPeriodsPricer::initialize(const FloatingRateCoupon& coupon) {
         coupon_ =  dynamic_cast<const SubPeriodsCoupon*>(&coupon);
+        QL_REQUIRE(coupon_, "sub-periods coupon required");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
 

ql/instruments/creditdefaultswap.cpp

@@ -47,7 +47,7 @@ namespace QuantLib {
       paysAtDefaultTime_(paysAtDefaultTime), claim_(claim),
       protectionStart_(protectionStart == Null<Date>() ? schedule[0] :
                                                          protectionStart) {
-        QL_REQUIRE(protectionStart_ >= schedule[0],
+        QL_REQUIRE(protectionStart_ <= schedule[0],
                    "protection can not start after accrual");
         leg_ = FixedRateLeg(schedule)
             .withNotionals(notional)

ql/patterns/singleton.hpp

@@ -31,6 +31,19 @@
 
 namespace QuantLib {
 
+    #if defined(QL_ENABLE_SESSIONS)
+    // definition must be provided by the user
+    Integer sessionId();
+    #endif
+
+    // this is required on VC++ (with a slightly different syntax depending
+    // on the compiler version) when CLR support is enabled
+    #if defined(QL_PATCH_MSVC71)
+        #pragma unmanaged
+    #elif defined(QL_PATCH_MSVC)
+        #pragma managed(push, off)
+    #endif
+
     //! Basic support for the singleton pattern.
     /*! The typical use of this class is:
         \code
@@ -58,17 +71,9 @@ namespace QuantLib {
         Singleton() {}
     };
 
-    #if defined(QL_ENABLE_SESSIONS)
-    // definition must be provided by the user
-    Integer sessionId();
-    #endif
-
     // template definitions
 
     template <class T>
-    #if defined(QL_PATCH_MSVC) && defined(_MANAGED)
-    inline  // this seems to be required when CLR support is enabled
-    #endif
     T& Singleton<T>::instance() {
         static std::map<Integer, boost::shared_ptr<T> > instances_;
         #if defined(QL_ENABLE_SESSIONS)
@@ -82,6 +87,13 @@ namespace QuantLib {
         return *instance;
     }
 
+    // reverts the change above
+    #if defined(QL_PATCH_MSVC71)
+        #pragma managed
+    #elif defined(QL_PATCH_MSVC)
+        #pragma managed(pop)
+    #endif
+
 }
 
 

ql/termstructures/credit/defaultprobabilityhelpers.cpp

@@ -94,7 +94,7 @@ namespace QuantLib {
     }
 
     void CdsHelper::initializeDates() {
-        Date protectionStart_ = evaluationDate_ + settlementDays_;
+        protectionStart_ = evaluationDate_ + settlementDays_;
         Date startDate = calendar_.adjust(protectionStart_,
                                           paymentConvention_);
         Date endDate = evaluationDate_ + tenor_;

ql/time/calendars/china.cpp

@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007, 2009 StatPro Italia srl
+ Copyright (C) 2007, 2009, 2010 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -52,8 +52,7 @@ namespace QuantLib {
             || (y == 2006 && (d == 2 || d == 3) && m == January)
             || (y == 2007 && d <= 3 && m == January)
             || (y == 2007 && d == 31 && m == December)
-            || (y == 2008 && d == 1 && m == January)
-            || (y == 2009 && (d == 1 || d == 2) && m == January)
+            || (y == 2009 && d == 2 && m == January)
             // Chinese New Year
             || (y == 2004 && d >= 19 && d <= 28 && m == January)
             || (y == 2005 && d >=  7 && d <= 15 && m == February)
@@ -62,23 +61,29 @@ namespace QuantLib {
             || (y == 2007 && d >= 17 && d <= 25 && m == February)
             || (y == 2008 && d >= 6 && d <= 12 && m == February)
             || (y == 2009 && d >= 26 && d <= 30 && m == January)
+            || (y == 2010 && d >= 15 && d <= 19 && m == January)
             // Ching Ming Festival
             || (y <= 2008 && d == 4 && m == April)
             || (y == 2009 && d == 6 && m == April)
+            || (y == 2010 && d == 5 && m == April)
             // Labor Day
             || (y <= 2007 && d >= 1 && d <= 7 && m == May)
             || (y == 2008 && d >= 1 && d <= 2 && m == May)
             || (y == 2009 && d == 1 && m == May)
+            || (y == 2010 && d == 3 && m == May)
             // Tuen Ng Festival
             || (y <= 2008 && d == 9 && m == June)
             || (y == 2009 && (d == 28 || d == 29) && m == May)
+            || (y == 2010 && d >= 14 && d <= 16 && m == June)
             // Mid-Autumn Festival
             || (y <= 2008 && d == 15 && m == September)
+            || (y == 2010 && d >= 22 && d <= 24 && m == September)
             // National Day
             || (y <= 2007 && d >= 1 && d <= 7 && m == October)
             || (y == 2008 && ((d >= 29 && m == September) ||
                               (d <= 3 && m == October)))
             || (y == 2009 && d >= 1 && d <= 8 && m == October)
+            || (y == 2010 && d >= 1 && d <= 7 && m == October)
             )
             return false;
         return true;

ql/time/calendars/china.hpp

@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2008, 2009 StatPro Italia srl
+ Copyright (C) 2008, 2009, 2010 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -41,15 +41,15 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given (data available for
-        2004-2009 only):
+        2004-2010 only):
         <ul>
         <li>Chinese New Year</li>
         <li>Ching Ming Festival</li>
         <li>Tuen Ng Festival</li>
         <li>Mid-Autumn Festival</li>
         </ul>
 
-        Data from <http://www.sse.com.cn/sseportal/en_us/ps/home.shtml>
+        Data from <http://www.sse.com.cn/sseportal/en/home/home.shtml>
 
         \ingroup calendars
     */