From afbc8d132c9bc2a4e04df382ff75194918a1eb38 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 13 May 2010 22:39:57 +0000
Subject: [PATCH 001/410] fixed equal_with bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17297 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/lsmbasissystem.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/ql/methods/montecarlo/lsmbasissystem.cpp b/ql/methods/montecarlo/lsmbasissystem.cpp
index 8d27c5cfc0..352354f60a 100644
--- a/ql/methods/montecarlo/lsmbasissystem.cpp
+++ b/ql/methods/montecarlo/lsmbasissystem.cpp
@@ -152,7 +152,8 @@ namespace QuantLib {
             // find duplicates
             for (k=0; k<ret.size(); ++k) {
                 if (std::find_if(v.begin(), v.end(),
-                                 bind(equal_within<Real>(10*v[k]*QL_EPSILON),
+                                 bind(equal_within<Real>(
+                                             std::fabs(50*v[k]*QL_EPSILON)),
                                       v[k], _1) )
                     == v.begin() + k) {
 

From 3fa07915f3aca455dd0a147cd26bf98e226e3aff Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 18 May 2010 22:02:05 +0000
Subject: [PATCH 002/410] improved LSM basis system (thanks to Kakhkhor
 Abdijalilov)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17298 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/lsmbasissystem.cpp | 245 +++++++++--------------
 ql/methods/montecarlo/lsmbasissystem.hpp |  14 +-
 2 files changed, 106 insertions(+), 153 deletions(-)

diff --git a/ql/methods/montecarlo/lsmbasissystem.cpp b/ql/methods/montecarlo/lsmbasissystem.cpp
index 352354f60a..64c6b0650f 100644
--- a/ql/methods/montecarlo/lsmbasissystem.cpp
+++ b/ql/methods/montecarlo/lsmbasissystem.cpp
@@ -2,7 +2,8 @@
 
 /*
  Copyright (C) 2006 Klaus Spanderen
-
+ Copyright (C) 2010 Kakhkhor Abdijalilov  
+ 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
 
@@ -20,194 +21,148 @@
 /*! \file lsmbasissystem.cpp
     \brief utility classes for longstaff schwartz early exercise Monte Carlo
 */
+// lsmbasissystem.hpp
 
-#include <ql/methods/montecarlo/lsmbasissystem.hpp>
-#include <ql/math/functional.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
-#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
-#include <boost/bind.hpp>
-#include <boost/lambda/bind.hpp>
-#include <boost/lambda/lambda.hpp>
-#include <deque>
+#include <ql/methods/montecarlo/lsmbasissystem.hpp>
 
-using boost::bind;
+#include <boost/bind.hpp>
+#include <set>
+#include <numeric>
 
 namespace QuantLib {
-
     namespace {
 
+        // makes typing a little easier
+        typedef std::vector<boost::function1<Real, Real> > VF_R;
+        typedef std::vector<boost::function1<Real, Array> > VF_A;
+        typedef std::vector<std::vector<Size> > VV;
+        Real (GaussianOrthogonalPolynomial::*ptr_w)(Size, Real) const =
+            &GaussianOrthogonalPolynomial::weightedValue;
+
+        // pow(x, order)
         class MonomialFct : public std::unary_function<Real, Real> {
           public:
-            MonomialFct(Size order) : order_(order) {}
-
+            MonomialFct(Size order): order_(order) {}
             inline Real operator()(const Real x) const {
                 Real ret = 1.0;
-                for (Size i=0; i<order_; ++i) {
-                    ret*=x;
-                }
-
+                for(Size i=0; i<order_; ++i)
+                    ret *= x;
                 return ret;
             }
-
           private:
             const Size order_;
         };
 
-        inline Real f_workaround(const Array& a, Size i, Size dim) {
-            QL_REQUIRE(a.size() == dim, 
-                       "wrong dimension of the basis system");
-            return a[i];
+        /* multiplies [Real -> Real] functors
+           to create [Array -> Real] functor */
+        class MultiDimFct : public std::unary_function<Real, Array> {
+          public:
+            MultiDimFct(const VF_R b): b_(b) {
+                QL_REQUIRE(b_.size()>0, "zero size basis");
+            }
+            inline Real operator()(const Array& a) const {
+                #if defined(QL_EXTRA_SAFETY_CHECKS)
+                QL_REQUIRE(b_.size()==a.size(), "wrong argument size");
+                #endif
+                Real ret = b_[0].operator()(a[0]);
+                for(Size i=1; i<b_.size(); ++i)
+                    ret *= b_[i].operator()(a[i]);
+                return ret;
+            }
+          private:
+            const VF_R b_;
+        };
+
+        // check size and order of tuples
+        void check_tuples(const VV& v, Size dim, Size order) {
+            for(Size i=0; i<v.size(); ++i) {
+                QL_REQUIRE(dim==v[i].size(), "wrong tuple size");
+                QL_REQUIRE(order==std::accumulate(v[i].begin(), v[i].end(), 0u),
+                    "wrong tuple order");
+            }
         }
-    }
 
-    std::vector<boost::function1<Real, Real> >
-    LsmBasisSystem::pathBasisSystem(Size order, PolynomType polynomType) {
+        // build order N+1 tuples from order N tuples
+        VV next_order_tuples(const VV& v) {
+            const Size order = std::accumulate(v[0].begin(), v[0].end(), 0u);
+            const Size dim = v[0].size();
+
+            check_tuples(v, dim, order);
+
+            // the set of unique tuples
+            std::set<std::vector<Size> > tuples;
+            std::vector<Size> x;
+            for(Size i=0; i<dim; ++i) {
+                // increase i-th value in every tuple by 1
+                for(Size j=0; j<v.size(); ++j) {
+                    x = v[j];
+                    x[i] += 1;
+                    tuples.insert(x);
+                }
+            }
+
+            VV ret(tuples.begin(), tuples.end());
+            return ret;
+        }
+    } 
+
+    // LsmBasisSystem static methods
 
-        std::vector<boost::function1<Real, Real> > ret;
+    VF_R LsmBasisSystem::pathBasisSystem(Size order, PolynomType polyType) {
+        VF_R ret(order+1);
         for (Size i=0; i<=order; ++i) {
-            switch (polynomType) {
+            switch (polyType) {
               case Monomial:
-                  ret.push_back(MonomialFct(i));
+                ret[i] = MonomialFct(i);
                 break;
               case Laguerre:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussLaguerrePolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w, GaussLaguerrePolynomial(), i, _1);
                 break;
               case Hermite:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussHermitePolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w, GaussHermitePolynomial(), i, _1);
                 break;
               case Hyperbolic:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussHyperbolicPolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w, GaussHyperbolicPolynomial(), i, _1);
                 break;
               case Legendre:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussLegendrePolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w, GaussLegendrePolynomial(), i, _1);
                 break;
               case Chebyshev:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussChebyshevPolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w, GaussChebyshevPolynomial(), i, _1);
                 break;
               case Chebyshev2nd:
-                ret.push_back(
-                    bind(&GaussianOrthogonalPolynomial::weightedValue,
-                                GaussChebyshev2ndPolynomial(), i, _1));
+                ret[i] = boost::bind(ptr_w,GaussChebyshev2ndPolynomial(),i, _1);
                 break;
               default:
                 QL_FAIL("unknown regression type");
             }
         }
-
         return ret;
     }
-    
-    std::vector<boost::function1<Real, Array> >
-    LsmBasisSystem::multiPathBasisSystem(Size dim, Size order,
-                                         PolynomType polynomType) {
-
-        const std::vector<boost::function1<Real, Real> > b
-            = pathBasisSystem(order, polynomType);
-
-        std::vector<boost::function1<Real, Array> > ret;
-        ret.push_back(bind(constant<Real, Real>(1.0),
-                           bind(f_workaround, _1, 0, dim)));
 
-        for (Size i=1; i<=order; ++i) {
-            const std::vector<boost::function1<Real, Array> > a
-                = w(dim, i, polynomType, b);
-
-            for (std::vector<boost::function1<Real, Array> >::const_iterator
-                     iter = a.begin(); iter < a.end(); ++iter) {
-                ret.push_back(*iter);
-            }
-        }
-
-        // remove-o-zap: now remove redundant functions.
-        // usually we do have a lot of them due to the construction schema.
-        // We use a more "hands on" method here.
-        std::deque<bool> rm(ret.size(), true);
-
-        Array x(dim), v(ret.size());
-        MersenneTwisterUniformRng rng(1234UL);
-
-        for (Size i=0; i<10; ++i) {
-            Size k;
-
-            // calculate random x vector
-            for (k=0; k<dim; ++k) {
-                x[k] = rng.next().value;
-            }
-
-            // get return values for all basis functions
-            for (k=0; k<ret.size(); ++k) {
-                v[k] = ret[k](x);
-            }
-
-            // find duplicates
-            for (k=0; k<ret.size(); ++k) {
-                if (std::find_if(v.begin(), v.end(),
-                                 bind(equal_within<Real>(
-                                             std::fabs(50*v[k]*QL_EPSILON)),
-                                      v[k], _1) )
-                    == v.begin() + k) {
-
-                    // don't remove this item, it's unique!
-                    rm[k] = false;
-                }
-            }
-        }
-
-        std::vector<boost::function1<Real, Array> >::iterator
-            iter = ret.begin();
-
-        for (Size i=0; i < rm.size(); ++i) {
-            if (rm[i]) {
-                iter = ret.erase(iter);
-            }
-            else {
-                ++iter;
+    VF_A LsmBasisSystem::multiPathBasisSystem(Size dim, Size order,
+                                              PolynomType polyType) {
+        QL_REQUIRE(dim>0, "zero dimension");
+        // get single factor basis
+        VF_R pathBasis = pathBasisSystem(order, polyType);
+        VF_A ret;
+        // 0-th order term
+        VF_R term(dim, pathBasis[0]);
+        ret.push_back(MultiDimFct(term));
+        // start with all 0 tuple
+        VV tuples(1, std::vector<Size>(dim));
+        // add multi-factor terms
+        for(Size i=1; i<=order; ++i) {
+            tuples = next_order_tuples(tuples);
+            // now we have all tuples of order i
+            // for each tuple add the corresponding term
+            for(Size j=0; j<tuples.size(); ++j) {
+                for(Size k=0; k<dim; ++k)
+                    term[k] = pathBasis[tuples[j][k]];
+                ret.push_back(MultiDimFct(term));
             }
         }
-
         return ret;
     }
-
-
-    std::vector<boost::function1<Real, Array> >
-    LsmBasisSystem::w(Size dim, Size order, PolynomType polynomType,
-                      const std::vector<boost::function1<Real, Real> > & b) {
-
-       std::vector<boost::function1<Real, Array> > ret;
-
-       for (Size i=order; i>=1; --i) {
-           const std::vector<boost::function1<Real, Array> > left
-                = w(dim, order-i, polynomType, b);
-
-           for (Size j=0; j<dim; ++j) {
-               const boost::function1<Real, Array> a
-                   = bind(b[i], bind(f_workaround, _1, j, dim));
-
-               if (i == order) {
-                   ret.push_back(a);
-               }
-               else {
-                   // add linear combinations
-                   for (Size j=0; j<left.size(); ++j) {
-                       ret.push_back(
-                            boost::lambda::bind(a,      (boost::lambda::_1))
-                           *boost::lambda::bind(left[j],(boost::lambda::_1)));
-                   }
-               }
-           }
-       }
-
-       return ret;
-    }
-
 }
diff --git a/ql/methods/montecarlo/lsmbasissystem.hpp b/ql/methods/montecarlo/lsmbasissystem.hpp
index a2c0d2e153..6df2a7f453 100644
--- a/ql/methods/montecarlo/lsmbasissystem.hpp
+++ b/ql/methods/montecarlo/lsmbasissystem.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Klaus Spanderen
+ Copyright (C) 2010 Kakhkhor Abdijalilov  
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -21,6 +22,8 @@
     \brief utility classes for Longstaff-Schwartz early-exercise Monte Carlo
 */
 
+// lsmbasissystem.hpp
+
 #ifndef quantlib_lsm_basis_system_hpp
 #define quantlib_lsm_basis_system_hpp
 
@@ -37,18 +40,13 @@ namespace QuantLib {
                            Legendre, Chebyshev, Chebyshev2nd };
 
         static std::vector<boost::function1<Real, Real> >
-            pathBasisSystem(Size order, PolynomType polynomType);
-
-        static std::vector<boost::function1<Real, Array> >
-            multiPathBasisSystem(Size dim, Size order,
-                                 PolynomType polynomType);
+            pathBasisSystem(Size order, PolynomType polyType);
 
-      private:
         static std::vector<boost::function1<Real, Array> >
-            w(Size dim, Size order, PolynomType polynomType,
-              const std::vector<boost::function1<Real, Real> > & basis);
+            multiPathBasisSystem(Size dim, Size order, PolynomType polyType);
     };
 
+
 }
 
 #endif

From d62419755d2d9540ba51a9e630c9e5da30088e09 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 29 May 2010 10:03:35 +0000
Subject: [PATCH 003/410] changed order of member variable initialization

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17305 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/fx/blackdeltacalculator.cpp | 3 ++-
 ql/experimental/fx/deltavolquote.cpp        | 2 +-
 ql/experimental/fx/deltavolquote.hpp        | 2 +-
 3 files changed, 4 insertions(+), 3 deletions(-)

diff --git a/ql/experimental/fx/blackdeltacalculator.cpp b/ql/experimental/fx/blackdeltacalculator.cpp
index 59122fd7b7..8e37c139cd 100644
--- a/ql/experimental/fx/blackdeltacalculator.cpp
+++ b/ql/experimental/fx/blackdeltacalculator.cpp
@@ -28,8 +28,9 @@ namespace QuantLib {
                         DiscountFactor dDiscount,   // domestic discount
                         DiscountFactor fDiscount,   // foreign  discount
                         Real stdDev):
-    dt_(dt), spot_(spot), stdDev_(stdDev), ot_(ot),
+    dt_(dt), ot_(ot),
     dDiscount_(dDiscount), fDiscount_(fDiscount),
+    stdDev_(stdDev), spot_(spot),
     forward_(spot*fDiscount/dDiscount), phi_(Integer(ot)) {
 
         QL_REQUIRE(spot_>0.0,
diff --git a/ql/experimental/fx/deltavolquote.cpp b/ql/experimental/fx/deltavolquote.cpp
index 1892911378..bde5b69590 100644
--- a/ql/experimental/fx/deltavolquote.cpp
+++ b/ql/experimental/fx/deltavolquote.cpp
@@ -36,7 +36,7 @@ namespace QuantLib {
                                  DeltaType deltaType,
                                  Time maturity,
                                  AtmType atmType)
-    : vol_(vol), deltaType_(deltaType), atmType_(atmType), maturity_(maturity) {
+    : vol_(vol), deltaType_(deltaType), maturity_(maturity), atmType_(atmType) {
 
         registerWith(vol_);
 
diff --git a/ql/experimental/fx/deltavolquote.hpp b/ql/experimental/fx/deltavolquote.hpp
index 29927075c5..f37a1fca27 100644
--- a/ql/experimental/fx/deltavolquote.hpp
+++ b/ql/experimental/fx/deltavolquote.hpp
@@ -80,8 +80,8 @@ namespace QuantLib {
           Real delta_;
           Handle<Quote> vol_;
           DeltaType deltaType_;
-          AtmType atmType_;
           Time maturity_;
+          AtmType atmType_;
     };
 
 }

From 81afbe57166f0574bd9c8a10a275c20ac9f7b659 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 7 Jun 2010 12:55:38 +0000
Subject: [PATCH 004/410] Cleaned up a bit doc generation.

The basepath is no longer passed from the top-level makefile.
The online docs are generated in a folder named after the library version.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17306 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Docs/Makefile.am | 16 ++++++++++------
 Makefile.am      | 11 +++++------
 2 files changed, 15 insertions(+), 12 deletions(-)

diff --git a/Docs/Makefile.am b/Docs/Makefile.am
index 88d3f6e160..aa246cdbbd 100644
--- a/Docs/Makefile.am
+++ b/Docs/Makefile.am
@@ -14,6 +14,8 @@ DOXYGEN_CUSTOM := quantlib.css print.css \
 DOXYGEN_INPUT := $(shell find ${top_srcdir} -name *.hpp) \
                  $(wildcard pages/*.docs)
 
+BASEPATH = @abs_top_srcdir@
+
 %.gz: %
 	rm -f $@
 	gzip --best $<
@@ -56,16 +58,17 @@ docs-online: .time-stamp-online
            -e "s/SHOW_FILES             = YES/SHOW_FILES             = NO/" \
            -e "s/INCLUDE_GRAPH          = YES/INCLUDE_GRAPH          = NO/" \
            -e "s/SEARCHENGINE           = NO/SEARCHENGINE           = YES/" \
-           -e "s/HTML_OUTPUT            = html/HTML_OUTPUT            = html-online/" \
+           -e "s/HTML_OUTPUT            = html/HTML_OUTPUT            = reference-$(VERSION)/" \
            -e "s|ql_basepath|${BASEPATH}/|" \
            -e "s|ql_version|$(VERSION)|" \
 	       quantlib.doxy > .quantlib.doxy
 	$(DOXYGEN) .quantlib.doxy
 	rm -f .quantlib.doxy
-	rm -f html-online/*.md5
-	cp -f images/*.jpg html-online
-	cp -f images/*.png html-online
-	cp -f images/*.ico html-online
+	rm -f reference-$(VERSION)/*.md5
+	rm -f reference-$(VERSION)/*.map
+	cp -f images/*.jpg reference-$(VERSION)
+	cp -f images/*.png reference-$(VERSION)
+	cp -f images/*.ico reference-$(VERSION)
 	touch .time-stamp-online
 
 docs-man: .time-stamp-man
@@ -83,7 +86,8 @@ docs-man-dist: docs-man
 
 docs-clean:
 	rm -Rf man
-	rm -Rf html-online html
+	rm -Rf html
+	rm -Rf reference-*
 	rm -f .time-stamp*
 
 
diff --git a/Makefile.am b/Makefile.am
index 9414999524..f2ef2cd1f5 100644
--- a/Makefile.am
+++ b/Makefile.am
@@ -41,17 +41,16 @@ benchmark:
 	$(MAKE) -C test-suite benchmark
 
 .PHONY: docs docs-man docs-online docs-dist docs-clean
-BASEPATH = @abs_top_srcdir@
 docs:
-	BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-all
+	$(MAKE) -C Docs docs-all
 html-local:
-	BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-html
+	$(MAKE) -C Docs docs-html
 docs-man:
-	BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-man
+	$(MAKE) -C Docs docs-man
 docs-online:
-	BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-online
+	$(MAKE) -C Docs docs-online
 docs-dist:
-	BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-dist
+	$(MAKE) -C Docs docs-dist
 docs-clean:
 	$(MAKE) -C Docs docs-clean
 

From 72eb0cbc6b5aa66e25e0f899ffcd21e788643a89 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 8 Jun 2010 08:58:49 +0000
Subject: [PATCH 005/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17309
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/instruments/makevanillaswap.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/instruments/makevanillaswap.cpp b/ql/instruments/makevanillaswap.cpp
index b00e20d0ed..f228300cdf 100644
--- a/ql/instruments/makevanillaswap.cpp
+++ b/ql/instruments/makevanillaswap.cpp
@@ -89,7 +89,7 @@ namespace QuantLib {
                                floatTenor_, floatCalendar_,
                                floatConvention_,
                                floatTerminationDateConvention_,
-                               floatRule_ , floatEndOfMonth_,
+                               floatRule_, floatEndOfMonth_,
                                floatFirstDate_, floatNextToLastDate_);
 
         Rate usedFixedRate = fixedRate_;

From 19bf416c294514b8fc9bcb1af2f42f1cf8758f4c Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 8 Jun 2010 09:01:00 +0000
Subject: [PATCH 006/410] minor changes

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17310 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/solvers1d/bisection.hpp     |  8 ++++----
 ql/math/solvers1d/falseposition.hpp | 16 +++++++---------
 ql/math/solvers1d/newton.hpp        |  2 +-
 ql/math/solvers1d/newtonsafe.hpp    |  2 +-
 4 files changed, 13 insertions(+), 15 deletions(-)

diff --git a/ql/math/solvers1d/bisection.hpp b/ql/math/solvers1d/bisection.hpp
index 9ae5db1534..08610eb852 100644
--- a/ql/math/solvers1d/bisection.hpp
+++ b/ql/math/solvers1d/bisection.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
     class Bisection : public Solver1D<Bisection> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -58,12 +59,11 @@ namespace QuantLib {
                 dx /= 2.0;
                 xMid=root_+dx;
                 fMid=f(xMid);
-                evaluationNumber_++;
+                ++evaluationNumber_;
                 if (fMid <= 0.0)
                     root_=xMid;
-                if (std::fabs(dx) < xAccuracy || fMid == 0.0) {
+                if (std::fabs(dx) < xAccuracy || fMid == 0.0)
                     return root_;
-                }
             }
             QL_FAIL("maximum number of function evaluations ("
                     << maxEvaluations_ << ") exceeded");
diff --git a/ql/math/solvers1d/falseposition.hpp b/ql/math/solvers1d/falseposition.hpp
index cd894af83f..edea9fd749 100644
--- a/ql/math/solvers1d/falseposition.hpp
+++ b/ql/math/solvers1d/falseposition.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
     class FalsePosition : public Solver1D<FalsePosition> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -43,8 +44,7 @@ namespace QuantLib {
                Cambridge University Press
             */
 
-            Real fl, fh, xl, xh, dx, del, froot;
-
+            Real fl, fh, xl, xh;
             // Identify the limits so that xl corresponds to the low side
             if (fxMin_ < 0.0) {
                 xl=xMin_;
@@ -57,13 +57,13 @@ namespace QuantLib {
                 xh=xMin_;
                 fh = fxMin_;
             }
-            dx=xh-xl;
 
+            Real del, froot;
             while (evaluationNumber_<=maxEvaluations_) {
                 // Increment with respect to latest value
-                root_=xl+dx*fl/(fl-fh);
+                root_=xl+(xh-xl)*fl/(fl-fh);
                 froot=f(root_);
-                evaluationNumber_++;
+                ++evaluationNumber_;
                 if (froot < 0.0) {       // Replace appropriate limit
                     del=xl-root_;
                     xl=root_;
@@ -73,11 +73,9 @@ namespace QuantLib {
                     xh=root_;
                     fh=froot;
                 }
-                dx=xh-xl;
                 // Convergence criterion
-                if (std::fabs(del) < xAccuracy || froot == 0.0)  {
+                if (std::fabs(del) < xAccuracy || froot == 0.0)
                     return root_;
-                }
             }
 
             QL_FAIL("maximum number of function evaluations ("
diff --git a/ql/math/solvers1d/newton.hpp b/ql/math/solvers1d/newton.hpp
index 660e99e63f..175a5db22a 100644
--- a/ql/math/solvers1d/newton.hpp
+++ b/ql/math/solvers1d/newton.hpp
@@ -67,7 +67,7 @@ namespace QuantLib {
                     return root_;
                 froot = f(root_);
                 dfroot = f.derivative(root_);
-                evaluationNumber_++;
+                ++evaluationNumber_;
             }
 
             QL_FAIL("maximum number of function evaluations ("
diff --git a/ql/math/solvers1d/newtonsafe.hpp b/ql/math/solvers1d/newtonsafe.hpp
index 271f3a6c63..14e20c563b 100644
--- a/ql/math/solvers1d/newtonsafe.hpp
+++ b/ql/math/solvers1d/newtonsafe.hpp
@@ -91,7 +91,7 @@ namespace QuantLib {
                     return root_;
                 froot = f(root_);
                 dfroot = f.derivative(root_);
-                evaluationNumber_++;
+                ++evaluationNumber_;
                 if (froot < 0.0)
                     xl=root_;
                 else

From 1cc5d6d760250d0ac12681b233ad6ccc122a4e93 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 9 Jun 2010 09:28:08 +0000
Subject: [PATCH 007/410] using close(x, y) instead of x==y

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17314 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/solver1d.hpp                | 15 +++++++-----
 ql/math/solvers1d/bisection.hpp     |  9 ++++----
 ql/math/solvers1d/brent.hpp         | 10 ++++----
 ql/math/solvers1d/falseposition.hpp | 27 +++++++++++-----------
 ql/math/solvers1d/newton.hpp        |  8 +++----
 ql/math/solvers1d/newtonsafe.hpp    | 22 +++++++++---------
 ql/math/solvers1d/ridder.hpp        | 36 ++++++++++++++---------------
 ql/math/solvers1d/secant.hpp        | 32 ++++++++++++-------------
 8 files changed, 80 insertions(+), 79 deletions(-)

diff --git a/ql/math/solver1d.hpp b/ql/math/solver1d.hpp
index 0d8a3ae801..61173087b4 100644
--- a/ql/math/solver1d.hpp
+++ b/ql/math/solver1d.hpp
@@ -24,6 +24,7 @@
 #ifndef quantlib_solver1d_hpp
 #define quantlib_solver1d_hpp
 
+#include <ql/math/comparison.hpp>
 #include <ql/utilities/null.hpp>
 #include <ql/patterns/curiouslyrecurring.hpp>
 #include <ql/errors.hpp>
@@ -98,9 +99,9 @@ namespace QuantLib {
             fxMax_ = f(root_);
 
             // monotonically crescent bias, as in optionValue(volatility)
-            if (fxMax_ == 0.0)
+            if (close(fxMax_,0.0))
                 return root_;
-            else if (fxMax_ > 0.0) {
+            else if (close(fxMax_, 0.0)) {
                 xMin_ = enforceBounds_(root_ - step);
                 fxMin_ = f(xMin_);
                 xMax_ = root_;
@@ -114,8 +115,10 @@ namespace QuantLib {
             evaluationNumber_ = 2;
             while (evaluationNumber_ <= maxEvaluations_) {
                 if (fxMin_*fxMax_ <= 0.0) {
-                    if (fxMin_ == 0.0)    return xMin_;
-                    if (fxMax_ == 0.0)    return xMax_;
+                    if (close(fxMin_, 0.0))
+                        return xMin_;
+                    if (close(fxMax_, 0.0))
+                        return xMax_;
                     root_ = (xMax_+xMin_)/2.0;
                     return this->impl().solveImpl(f, accuracy);
                 }
@@ -183,11 +186,11 @@ namespace QuantLib {
                        << ") > enforced hi bound (" << upperBound_ << ")");
 
             fxMin_ = f(xMin_);
-            if (fxMin_ == 0.0)
+            if (close(fxMin_, 0.0))
                 return xMin_;
 
             fxMax_ = f(xMax_);
-            if (fxMax_ == 0.0)
+            if (close(fxMax_, 0.0))
                 return xMax_;
 
             evaluationNumber_ = 2;
diff --git a/ql/math/solvers1d/bisection.hpp b/ql/math/solvers1d/bisection.hpp
index 08610eb852..843b2d99e9 100644
--- a/ql/math/solvers1d/bisection.hpp
+++ b/ql/math/solvers1d/bisection.hpp
@@ -57,12 +57,12 @@ namespace QuantLib {
 
             while (evaluationNumber_<=maxEvaluations_) {
                 dx /= 2.0;
-                xMid=root_+dx;
-                fMid=f(xMid);
+                xMid = root_+dx;
+                fMid = f(xMid);
                 ++evaluationNumber_;
                 if (fMid <= 0.0)
-                    root_=xMid;
-                if (std::fabs(dx) < xAccuracy || fMid == 0.0)
+                    root_ = xMid;
+                if (std::fabs(dx) < xAccuracy || (close(fMid, 0.0)))
                     return root_;
             }
             QL_FAIL("maximum number of function evaluations ("
@@ -72,5 +72,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/brent.hpp b/ql/math/solvers1d/brent.hpp
index 8c70aa914d..f81c1587c3 100644
--- a/ql/math/solvers1d/brent.hpp
+++ b/ql/math/solvers1d/brent.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
     class Brent : public Solver1D<Brent> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -70,14 +71,14 @@ namespace QuantLib {
                 // Convergence check
                 xAcc1=2.0*QL_EPSILON*std::fabs(root_)+0.5*xAccuracy;
                 xMid=(xMax_-root_)/2.0;
-                if (std::fabs(xMid) <= xAcc1 || froot == 0.0)
+                if (std::fabs(xMid) <= xAcc1 || (close(froot, 0.0)))
                     return root_;
                 if (std::fabs(e) >= xAcc1 &&
                     std::fabs(fxMin_) > std::fabs(froot)) {
 
                     // Attempt inverse quadratic interpolation
                     s=froot/fxMin_;
-                    if (xMin_ == xMax_) {
+                    if (close(xMin_,xMax_)) {
                         p=2.0*xMid*s;
                         q=1.0-s;
                     } else {
@@ -109,7 +110,7 @@ namespace QuantLib {
                 else
                     root_ += sign(xAcc1,xMid);
                 froot=f(root_);
-                evaluationNumber_++;
+                ++evaluationNumber_;
             }
             QL_FAIL("maximum number of function evaluations ("
                     << maxEvaluations_ << ") exceeded");
@@ -122,5 +123,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/falseposition.hpp b/ql/math/solvers1d/falseposition.hpp
index edea9fd749..c5004f2cb7 100644
--- a/ql/math/solvers1d/falseposition.hpp
+++ b/ql/math/solvers1d/falseposition.hpp
@@ -47,34 +47,34 @@ namespace QuantLib {
             Real fl, fh, xl, xh;
             // Identify the limits so that xl corresponds to the low side
             if (fxMin_ < 0.0) {
-                xl=xMin_;
+                xl = xMin_;
                 fl = fxMin_;
-                xh=xMax_;
+                xh = xMax_;
                 fh = fxMax_;
             } else {
-                xl=xMax_;
+                xl = xMax_;
                 fl = fxMax_;
-                xh=xMin_;
+                xh = xMin_;
                 fh = fxMin_;
             }
 
             Real del, froot;
             while (evaluationNumber_<=maxEvaluations_) {
                 // Increment with respect to latest value
-                root_=xl+(xh-xl)*fl/(fl-fh);
-                froot=f(root_);
+                root_ = xl+(xh-xl)*fl/(fl-fh);
+                froot = f(root_);
                 ++evaluationNumber_;
                 if (froot < 0.0) {       // Replace appropriate limit
-                    del=xl-root_;
-                    xl=root_;
-                    fl=froot;
+                    del = xl-root_;
+                    xl = root_;
+                    fl = froot;
                 } else {
-                    del=xh-root_;
-                    xh=root_;
-                    fh=froot;
+                    del = xh-root_;
+                    xh = root_;
+                    fh = froot;
                 }
                 // Convergence criterion
-                if (std::fabs(del) < xAccuracy || froot == 0.0)
+                if (std::fabs(del) < xAccuracy || (close(froot, 0.0)))
                     return root_;
             }
 
@@ -85,5 +85,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/newton.hpp b/ql/math/solvers1d/newton.hpp
index 175a5db22a..40922666cf 100644
--- a/ql/math/solvers1d/newton.hpp
+++ b/ql/math/solvers1d/newton.hpp
@@ -38,7 +38,8 @@ namespace QuantLib {
     class Newton : public Solver1D<Newton> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -52,10 +53,10 @@ namespace QuantLib {
             dfroot = f.derivative(root_);
             QL_REQUIRE(dfroot != Null<Real>(),
                        "Newton requires function's derivative");
-            evaluationNumber_++;
+            ++evaluationNumber_;
 
             while (evaluationNumber_<=maxEvaluations_) {
-                dx=froot/dfroot;
+                dx = froot/dfroot;
                 root_ -= dx;
                 // jumped out of brackets, switch to NewtonSafe
                 if ((xMin_-root_)*(root_-xMax_) < 0.0) {
@@ -77,5 +78,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/newtonsafe.hpp b/ql/math/solvers1d/newtonsafe.hpp
index 14e20c563b..8ee3c9f916 100644
--- a/ql/math/solvers1d/newtonsafe.hpp
+++ b/ql/math/solvers1d/newtonsafe.hpp
@@ -38,7 +38,8 @@ namespace QuantLib {
     class NewtonSafe : public Solver1D<NewtonSafe> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -51,26 +52,26 @@ namespace QuantLib {
 
             // Orient the search so that f(xl) < 0
             if (fxMin_ < 0.0) {
-                xl=xMin_;
-                xh=xMax_;
+                xl = xMin_;
+                xh = xMax_;
             } else {
-                xh=xMin_;
-                xl=xMax_;
+                xh = xMin_;
+                xl = xMax_;
             }
 
             // the "stepsize before last"
-            dxold=xMax_-xMin_;
+            dxold = xMax_-xMin_;
             // it was dxold=std::fabs(xMax_-xMin_); in Numerical Recipes
             // here (xMax_-xMin_ > 0) is verified in the constructor
 
             // and the last step
-            dx=dxold;
+            dx = dxold;
 
             froot = f(root_);
             dfroot = f.derivative(root_);
             QL_REQUIRE(dfroot != Null<Real>(),
                        "NewtonSafe requires function's derivative");
-            evaluationNumber_++;
+            ++evaluationNumber_;
 
             while (evaluationNumber_<=maxEvaluations_) {
                 // Bisect if (out of range || not decreasing fast enough)
@@ -82,8 +83,8 @@ namespace QuantLib {
                     dx = (xh-xl)/2.0;
                     root_=xl+dx;
                 } else {
-                    dxold=dx;
-                    dx=froot/dfroot;
+                    dxold = dx;
+                    dx = froot/dfroot;
                     root_ -= dx;
                 }
                 // Convergence criterion
@@ -105,5 +106,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/ridder.hpp b/ql/math/solvers1d/ridder.hpp
index 9be100c7d4..538f75dd79 100644
--- a/ql/math/solvers1d/ridder.hpp
+++ b/ql/math/solvers1d/ridder.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
     class Ridder : public Solver1D<Ridder> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAcc) const {
+        Real solveImpl(const F& f,
+                       Real xAcc) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -54,12 +55,12 @@ namespace QuantLib {
             root_ = QL_MIN_REAL;
 
             while (evaluationNumber_<=maxEvaluations_) {
-                xMid=0.5*(xMin_+xMax_);
+                xMid = 0.5*(xMin_+xMax_);
                 // First of two function evaluations per iteraton
-                fxMid=f(xMid);
-                evaluationNumber_++;
+                fxMid = f(xMid);
+                ++evaluationNumber_;
                 s = std::sqrt(fxMid*fxMid-fxMin_*fxMax_);
-                if (s == 0.0)
+                if (close(s, 0.0))
                     return root_;
                 // Updating formula
                 nextRoot = xMid + (xMid - xMin_) *
@@ -67,25 +68,25 @@ namespace QuantLib {
                 if (std::fabs(nextRoot-root_) <= xAccuracy)
                     return root_;
 
-                root_=nextRoot;
+                root_ = nextRoot;
                 // Second of two function evaluations per iteration
-                froot=f(root_);
-                evaluationNumber_++;
-                if (froot == 0.0)
+                froot = f(root_);
+                ++evaluationNumber_;
+                if (close(froot, 0.0))
                     return root_;
 
                 // Bookkeeping to keep the root bracketed on next iteration
                 if (sign(fxMid,froot) != fxMid) {
-                    xMin_=xMid;
-                    fxMin_=fxMid;
-                    xMax_=root_;
-                    fxMax_=froot;
+                    xMin_ = xMid;
+                    fxMin_ = fxMid;
+                    xMax_ = root_;
+                    fxMax_ = froot;
                 } else if (sign(fxMin_,froot) != fxMin_) {
-                    xMax_=root_;
-                    fxMax_=froot;
+                    xMax_ = root_;
+                    fxMax_ = froot;
                 } else if (sign(fxMax_,froot) != fxMax_) {
-                    xMin_=root_;
-                    fxMin_=froot;
+                    xMin_ = root_;
+                    fxMin_ = froot;
                 } else {
                     QL_FAIL("never get here.");
                 }
@@ -104,5 +105,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/math/solvers1d/secant.hpp b/ql/math/solvers1d/secant.hpp
index d65a32cef1..06d5e26d24 100644
--- a/ql/math/solvers1d/secant.hpp
+++ b/ql/math/solvers1d/secant.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
     class Secant : public Solver1D<Secant> {
       public:
         template <class F>
-        Real solveImpl(const F& f, Real xAccuracy) const {
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
 
             /* The implementation of the algorithm was inspired by
                Press, Teukolsky, Vetterling, and Flannery,
@@ -48,24 +49,24 @@ namespace QuantLib {
             // Pick the bound with the smaller function value
             // as the most recent guess
             if (std::fabs(fxMin_) < std::fabs(fxMax_)) {
-                root_=xMin_;
-                froot=fxMin_;
-                xl=xMax_;
-                fl=fxMax_;
+                root_ = xMin_;
+                froot = fxMin_;
+                xl = xMax_;
+                fl = fxMax_;
             } else {
-                root_=xMax_;
-                froot=fxMax_;
-                xl=xMin_;
-                fl=fxMin_;
+                root_ = xMax_;
+                froot = fxMax_;
+                xl = xMin_;
+                fl = fxMin_;
             }
             while (evaluationNumber_<=maxEvaluations_) {
-                dx=(xl-root_)*froot/(froot-fl);
-                xl=root_;
-                fl=froot;
+                dx = (xl-root_)*froot/(froot-fl);
+                xl = root_;
+                fl = froot;
                 root_ += dx;
-                froot=f(root_);
-                evaluationNumber_++;
-                if (std::fabs(dx) < xAccuracy || froot == 0.0)
+                froot = f(root_);
+                ++evaluationNumber_;
+                if (std::fabs(dx) < xAccuracy || (close(froot, 0.0)))
                     return root_;
             }
             QL_FAIL("maximum number of function evaluations ("
@@ -75,5 +76,4 @@ namespace QuantLib {
 
 }
 
-
 #endif

From 8dcfe6338e964c02086237bd9d63691800418e09 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 26 Jun 2010 10:46:03 +0000
Subject: [PATCH 008/410] added analytic pricing engine for the piecewise
 constant time dependent heston model (incl. calibration model)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17315 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/equity/Makefile.am                  |   6 +-
 .../piecewisetimedependenthestonmodel.cpp     |  66 ++++
 .../piecewisetimedependenthestonmodel.hpp     |  85 +++++
 ql/pricingengines/vanilla/Makefile.am         |   2 +
 .../vanilla/analyticptdhestonengine.cpp       | 213 +++++++++++++
 .../vanilla/analyticptdhestonengine.hpp       |  81 +++++
 test-suite/hestonmodel.cpp                    | 290 ++++++++++++++----
 test-suite/hestonmodel.hpp                    |   4 +-
 8 files changed, 679 insertions(+), 68 deletions(-)
 create mode 100644 ql/models/equity/piecewisetimedependenthestonmodel.cpp
 create mode 100644 ql/models/equity/piecewisetimedependenthestonmodel.hpp
 create mode 100644 ql/pricingengines/vanilla/analyticptdhestonengine.cpp
 create mode 100644 ql/pricingengines/vanilla/analyticptdhestonengine.hpp

diff --git a/ql/models/equity/Makefile.am b/ql/models/equity/Makefile.am
index a24ab77646..13b2230948 100644
--- a/ql/models/equity/Makefile.am
+++ b/ql/models/equity/Makefile.am
@@ -7,13 +7,15 @@ this_include_HEADERS = \
     batesmodel.hpp \
     gjrgarchmodel.hpp \
     hestonmodel.hpp \
-    hestonmodelhelper.hpp
+    hestonmodelhelper.hpp \
+    piecewisetimedependenthestonmodel.hpp
 
 libEquityModels_la_SOURCES = \
     batesmodel.cpp \
     gjrgarchmodel.cpp \
     hestonmodel.cpp \
-    hestonmodelhelper.cpp
+    hestonmodelhelper.cpp \
+    piecewisetimedependenthestonmodel.cpp
 
 noinst_LTLIBRARIES = libEquityModels.la
 
diff --git a/ql/models/equity/piecewisetimedependenthestonmodel.cpp b/ql/models/equity/piecewisetimedependenthestonmodel.cpp
new file mode 100644
index 0000000000..9305744151
--- /dev/null
+++ b/ql/models/equity/piecewisetimedependenthestonmodel.cpp
@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/quotes/simplequote.hpp>
+#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
+
+namespace QuantLib {
+
+    PiecewiseTimeDependentHestonModel::PiecewiseTimeDependentHestonModel(
+        const Handle<YieldTermStructure>& riskFreeRate,
+        const Handle<YieldTermStructure>& dividendYield,
+        const Handle<Quote>& s0,
+        Real v0,
+        const Parameter& theta,
+        const Parameter& kappa,
+        const Parameter& sigma,
+        const Parameter& rho,
+        const TimeGrid& timeGrid)
+    : CalibratedModel(5), 
+      s0_           (s0),
+      riskFreeRate_ (riskFreeRate),
+      dividendYield_(dividendYield),
+      timeGrid_     (timeGrid) {
+            
+        arguments_[0] = theta;
+        arguments_[1] = kappa;
+        arguments_[2] = sigma;
+        arguments_[3] = rho;
+        arguments_[4] = ConstantParameter(v0, PositiveConstraint());
+
+        registerWith(s0);
+        registerWith(riskFreeRate);
+        registerWith(dividendYield);
+    }
+
+    const TimeGrid& PiecewiseTimeDependentHestonModel::timeGrid() const {
+        return timeGrid_;
+    }
+    
+    const Handle<YieldTermStructure>& 
+    PiecewiseTimeDependentHestonModel::dividendYield() const {
+        return dividendYield_;
+    }
+
+    const Handle<YieldTermStructure>& 
+    PiecewiseTimeDependentHestonModel::riskFreeRate() const {
+        return riskFreeRate_;
+    }
+}
+
diff --git a/ql/models/equity/piecewisetimedependenthestonmodel.hpp b/ql/models/equity/piecewisetimedependenthestonmodel.hpp
new file mode 100644
index 0000000000..f65d73c9f5
--- /dev/null
+++ b/ql/models/equity/piecewisetimedependenthestonmodel.hpp
@@ -0,0 +1,85 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file piecewisetimedependenthestonmodel.hpp
+    \brief piecewise constant time dependent Heston-model
+*/
+
+#ifndef quantlib_piecewise_time_dependent_heston_model_hpp
+#define quantlib_piecewise_time_dependent_heston_model_hpp
+
+#include <ql/timegrid.hpp>
+#include <ql/models/model.hpp>
+
+namespace QuantLib {
+
+    //! Piecewise time dependent Heston model
+    /*! References:
+
+        Heston, Steven L., 1993. A Closed-Form Solution for Options
+        with Stochastic Volatility with Applications to Bond and
+        Currency Options.  The review of Financial Studies, Volume 6,
+        Issue 2, 327-343.
+        
+        A. Elices, Models with time-dependent parameters using 
+        transform methods: application to Heston’s model,
+        http://arxiv.org/pdf/0708.2020
+    */
+    class PiecewiseTimeDependentHestonModel : public CalibratedModel {
+      public:
+          PiecewiseTimeDependentHestonModel(
+              const Handle<YieldTermStructure>& riskFreeRate,
+              const Handle<YieldTermStructure>& dividendYield,
+              const Handle<Quote>& s0,
+              Real v0,
+              const Parameter& theta,
+              const Parameter& kappa,
+              const Parameter& sigma,
+              const Parameter& rho,
+              const TimeGrid& timeGrid);
+
+        // variance mean version level
+        Real theta(Time t) const { return arguments_[0](t); }
+        // variance mean reversion speed
+        Real kappa(Time t) const { return arguments_[1](t); }
+        // volatility of the volatility
+        Real sigma(Time t) const { return arguments_[2](t); }
+        // correlation
+        Real rho(Time t)   const { return arguments_[3](t); }
+        // spot variance
+        Real v0()          const { return arguments_[4](0.0); }
+        // spot
+        Real s0()          const { return s0_->value(); }
+
+        
+        const TimeGrid& timeGrid() const;
+        const Handle<YieldTermStructure>& dividendYield() const;
+        const Handle<YieldTermStructure>& riskFreeRate() const;
+        
+      protected:
+        const Handle<Quote> s0_;
+        const Handle<YieldTermStructure> riskFreeRate_;
+        const Handle<YieldTermStructure> dividendYield_;
+        const TimeGrid timeGrid_;
+    };
+}
+
+
+#endif
+
diff --git a/ql/pricingengines/vanilla/Makefile.am b/ql/pricingengines/vanilla/Makefile.am
index e0c5ca1770..7511eacfec 100644
--- a/ql/pricingengines/vanilla/Makefile.am
+++ b/ql/pricingengines/vanilla/Makefile.am
@@ -11,6 +11,7 @@ this_include_HEADERS = \
     analyticgjrgarchengine.hpp \
     analytichestonengine.hpp \
     analytichestonhullwhiteengine.hpp \
+    analyticptdhestonengine.hpp \
     baroneadesiwhaleyengine.hpp \
     batesengine.hpp \
     binomialengine.hpp \
@@ -47,6 +48,7 @@ libVanillaEngines_la_SOURCES = \
     analyticgjrgarchengine.cpp \
     analytichestonengine.cpp \
     analytichestonhullwhiteengine.cpp \
+    analyticptdhestonengine.cpp \
     baroneadesiwhaleyengine.cpp \
     batesengine.cpp \
     bjerksundstenslandengine.cpp \
diff --git a/ql/pricingengines/vanilla/analyticptdhestonengine.cpp b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
new file mode 100644
index 0000000000..65d129e5d0
--- /dev/null
+++ b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
@@ -0,0 +1,213 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analyticptdhestonengine.cpp
+    \brief analytic piecewise time dependent Heston-model engine
+*/
+
+#include <ql/math/functional.hpp>
+#include <ql/instruments/payoffs.hpp>
+#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
+
+
+namespace QuantLib {
+    // helper class for integration
+    class AnalyticPTDHestonEngine::Fj_Helper
+        : public std::unary_function<Real, Real> {
+            
+      public:
+        Fj_Helper(
+            const Handle<PiecewiseTimeDependentHestonModel>& model,
+            const AnalyticPTDHestonEngine* const engine,
+            Time term, Real strike, Size j);
+    
+        Real operator()(Real phi) const;
+        
+      private:
+        const Size j_;    
+        const Time term_;
+        const Real v0_, x_, sx_;
+        
+        const AnalyticPTDHestonEngine* const engine_;
+        
+        std::vector<Rate> r_, q_;
+        const boost::shared_ptr<YieldTermStructure> qTS_;
+        const Handle<PiecewiseTimeDependentHestonModel> model_;
+        
+        const TimeGrid timeGrid_;
+    };
+        
+    AnalyticPTDHestonEngine::Fj_Helper::Fj_Helper(
+        const Handle<PiecewiseTimeDependentHestonModel>& model,
+        const AnalyticPTDHestonEngine* const engine,
+        Time term, Real strike, Size j)
+    : j_(j),
+      term_(term),
+
+      v0_(model->v0()),
+      x_ (std::log(model->s0())),
+      sx_(std::log(strike)),
+      engine_(engine),
+      r_(model->timeGrid().size()-1),
+      q_(model->timeGrid().size()-1),
+      model_(model),
+      timeGrid_(model->timeGrid()){
+        
+        for (Size i=0; i <timeGrid_.size()-1; ++i) {
+            const Time begin = std::min(term_, timeGrid_[i]);
+            const Time end   = std::min(term_, timeGrid_[i+1]);
+            r_[i] = model->riskFreeRate()
+                    ->forwardRate(begin, end, Continuous, NoFrequency).rate();
+            q_[i] = model->dividendYield()
+                    ->forwardRate(begin, end, Continuous, NoFrequency).rate();
+        }            
+            
+        QL_REQUIRE(term_ < model_->timeGrid().back(), "maturity is too large");
+    }
+        
+    Real AnalyticPTDHestonEngine::Fj_Helper::operator()(Real phi) const {
+
+        // avoid numeric overflow for phi->0. 
+        // todo: use l'Hospital's rule use to get lim_{phi->0}
+        phi = std::max(Real(std::numeric_limits<float>::epsilon()), phi);
+        
+        std::complex<Real> D = 0.0;
+        std::complex<Real> C = 0.0;
+
+        for (Size i=timeGrid_.size(); i > 0; --i) {
+            const Time begin = timeGrid_[i-1];
+            if (begin < term_) {
+                const Time end = std::min(term_, timeGrid_[i]);
+                const Time tau = end-begin;
+                const Time t   = 0.5*(end+begin);
+                
+                const Real rho = model_->rho(t);
+                const Real sigma = model_->sigma(t);
+                const Real kappa = model_->kappa(t);
+                const Real theta = model_->theta(t);
+                
+                const Real sigma2 = sigma*sigma;
+                const Real t0 = kappa - ((j_== 1)? rho*sigma : 0);
+                const Real rpsig = rho*sigma*phi;
+
+                const std::complex<Real> t1 = t0+std::complex<Real>(0, -rpsig);
+                const std::complex<Real> d  = std::sqrt(t1*t1 - sigma2*phi
+                                 *std::complex<Real>(-phi, (j_== 1)? 1 : -1));
+                const std::complex<Real> g = (t1-d)/(t1+d);
+                const std::complex<Real> gt 
+                                       = (t1-d - D*sigma2)/(t1+d - D*sigma2);
+                
+                D = (t1+d)/sigma2*(g-gt*std::exp(-d*tau))
+                    /(1.0-gt*std::exp(-d*tau));
+                
+                const std::complex<Real> lng 
+                    = std::log((1.0 - gt*std::exp(-d*tau))/(1.0 - gt));
+                
+                C =(kappa*theta)/sigma2*((t1-d)*tau-2.0*lng)
+                    + std::complex<Real>(0.0, phi*(r_[i-1]-q_[i-1])*tau) + C;
+            }
+        }
+        return std::exp(v0_*D+C+std::complex<Real>(0.0, phi*(x_ - sx_))).imag()
+                /phi; 
+    }
+
+    AnalyticPTDHestonEngine::AnalyticPTDHestonEngine(
+        const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
+        Size integrationOrder)
+    : GenericModelEngine<PiecewiseTimeDependentHestonModel,
+                         VanillaOption::arguments,
+                         VanillaOption::results>(model),
+      integration_(new AnalyticHestonEngine::Integration(
+        AnalyticHestonEngine::Integration::gaussLaguerre(integrationOrder))) {
+    }
+                         
+    AnalyticPTDHestonEngine::AnalyticPTDHestonEngine(
+        const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
+        Real relTolerance, Size maxEvaluations)
+    : GenericModelEngine<PiecewiseTimeDependentHestonModel,
+                         VanillaOption::arguments,
+                         VanillaOption::results>(model),
+      integration_(new AnalyticHestonEngine::Integration(
+        AnalyticHestonEngine::Integration::gaussLobatto(
+                               relTolerance, Null<Real>(), maxEvaluations))) {
+    }
+
+    void AnalyticPTDHestonEngine::calculate() const {
+        // this is an european option pricer
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
+                "not an European option");
+
+        // plain vanilla
+        boost::shared_ptr<PlainVanillaPayoff> payoff =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff, "non-striked payoff given");
+        
+        const Real v0 = model_->v0();
+        const Real spotPrice = model_->s0();
+        QL_REQUIRE(spotPrice > 0.0, "negative or null underlying given");
+        
+        const Real strike = payoff->strike();
+        const Real term 
+            = model_->riskFreeRate()->dayCounter().yearFraction(
+                                     model_->riskFreeRate()->referenceDate(), 
+                                     arguments_.exercise->lastDate());
+        const Real riskFreeDiscount = model_->riskFreeRate()->discount(
+                                            arguments_.exercise->lastDate());
+        const Real dividendDiscount = model_->dividendYield()->discount(
+                                            arguments_.exercise->lastDate());
+
+        //average values
+        const TimeGrid& timeGrid = model_->timeGrid();
+        const Size n = timeGrid.size()-1;
+        Real kappaAvg = 0.0, thetaAvg = 0.0,  sigmaAvg=0.0, rhoAvg = 0.0;
+
+        for (Size i=1; i <= n; ++i) {
+            const Time t = 0.5*(timeGrid[i-1] + timeGrid[i]);
+            kappaAvg += model_->kappa(t);
+            thetaAvg += model_->theta(t);
+            sigmaAvg += model_->sigma(t);
+            rhoAvg   += model_->rho(t);
+        }
+        kappaAvg/=n; thetaAvg/=n; sigmaAvg/=n; rhoAvg/=n;
+        
+        const Real c_inf = std::min(10.0, std::max(0.0001,
+                std::sqrt(1.0-square<Real>()(rhoAvg))/sigmaAvg))
+                *(v0 + kappaAvg*thetaAvg*term);
+
+        const Real p1 = integration_->calculate(c_inf,
+                                Fj_Helper(model_, this, term, strike, 1))/M_PI;
+
+        const Real p2 = integration_->calculate(c_inf,
+                                Fj_Helper(model_, this, term, strike, 2))/M_PI;
+
+        switch (payoff->optionType())
+        {
+          case Option::Call:
+            results_.value = spotPrice*dividendDiscount*(p1+0.5)
+                            - strike*riskFreeDiscount*(p2+0.5);
+            break;
+          case Option::Put:
+            results_.value = spotPrice*dividendDiscount*(p1-0.5)
+                            - strike*riskFreeDiscount*(p2-0.5);
+            break;
+          default:
+            QL_FAIL("unknown option type");
+        }
+    }
+}
diff --git a/ql/pricingengines/vanilla/analyticptdhestonengine.hpp b/ql/pricingengines/vanilla/analyticptdhestonengine.hpp
new file mode 100644
index 0000000000..1809c1f056
--- /dev/null
+++ b/ql/pricingengines/vanilla/analyticptdhestonengine.hpp
@@ -0,0 +1,81 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analyticptdhestonengine.hpp
+    \brief analytic piecewise time dependent Heston-model engine
+*/
+
+#ifndef quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
+#define quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
+
+#include <ql/instruments/vanillaoption.hpp>
+#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
+#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
+
+
+namespace QuantLib {
+
+    //! analytic piecewise constant time dependent Heston-model engine
+
+    /*! References:
+
+        Heston, Steven L., 1993. A Closed-Form Solution for Options
+        with Stochastic Volatility with Applications to Bond and
+        Currency Options.  The review of Financial Studies, Volume 6,
+        Issue 2, 327-343.
+
+        J. Gatheral, The Volatility Surface: A Practitioner's Guide,
+        Wiley Finance
+
+        A. Elices, Models with time-dependent parameters using 
+        transform methods: application to Heston’s model,
+        http://arxiv.org/pdf/0708.2020
+
+        \ingroup vanillaengines
+    */
+    class AnalyticPTDHestonEngine
+        : public GenericModelEngine<PiecewiseTimeDependentHestonModel,
+                                    VanillaOption::arguments,
+                                    VanillaOption::results> {
+      public:
+        // Simple to use constructor: Using adaptive
+        // Gauss-Lobatto integration and Gatheral's version of complex log.
+        // Be aware: using a too large number for maxEvaluations might result
+        // in a stack overflow as the Lobatto integration is a recursive
+        // algorithm.
+        AnalyticPTDHestonEngine(
+            const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
+            Real relTolerance, Size maxEvaluations);
+
+        // Constructor using Laguerre integration
+        // and Gatheral's version of complex log.
+        AnalyticPTDHestonEngine(
+            const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
+            Size integrationOrder = 144);
+
+        void calculate() const;
+
+      private:
+        class Fj_Helper;
+        
+        const boost::shared_ptr<AnalyticHestonEngine::Integration> integration_;
+    };
+}
+
+#endif
diff --git a/test-suite/hestonmodel.cpp b/test-suite/hestonmodel.cpp
index 7010867a5b..04d0c8d574 100644
--- a/test-suite/hestonmodel.cpp
+++ b/test-suite/hestonmodel.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2009 Klaus Spanderen
+ Copyright (C) 2005, 2007, 2009, 2010 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -24,11 +24,13 @@
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/models/equity/hestonmodelhelper.hpp>
+#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
 #include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/fdamericanengine.hpp>
 #include <ql/pricingengines/vanilla/fddividendeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
+#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
@@ -49,6 +51,90 @@
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
 
+namespace {
+
+    struct CalibrationMarketData {
+        Handle<Quote> s0;
+        Handle<YieldTermStructure> riskFreeTS, dividendYield;
+        std::vector<boost::shared_ptr<CalibrationHelper> > options;
+    };
+
+    CalibrationMarketData getDAXCalibrationMarketData() {
+        /* this example is taken from A. Sepp
+           Pricing European-Style Options under Jump Diffusion Processes
+           with Stochstic Volatility: Applications of Fourier Transform
+           http://math.ut.ee/~spartak/papers/stochjumpvols.pdf
+        */
+
+        Date settlementDate(Settings::instance().evaluationDate());
+        
+        DayCounter dayCounter = Actual365Fixed();
+        Calendar calendar = TARGET();
+        
+        Integer t[] = { 13, 41, 75, 165, 256, 345, 524, 703 };
+        Rate r[] = { 0.0357,0.0349,0.0341,0.0355,0.0359,0.0368,0.0386,0.0401 };
+        
+        std::vector<Date> dates;
+        std::vector<Rate> rates;
+        dates.push_back(settlementDate);
+        rates.push_back(0.0357);
+        Size i;
+        for (i = 0; i < 8; ++i) {
+            dates.push_back(settlementDate + t[i]);
+            rates.push_back(r[i]);
+        }
+        // FLOATING_POINT_EXCEPTION
+        Handle<YieldTermStructure> riskFreeTS(
+                           boost::shared_ptr<YieldTermStructure>(
+                                      new ZeroCurve(dates, rates, dayCounter)));
+        
+        Handle<YieldTermStructure> dividendYield(
+                                    flatRate(settlementDate, 0.0, dayCounter));
+        
+        Volatility v[] =
+          { 0.6625,0.4875,0.4204,0.3667,0.3431,0.3267,0.3121,0.3121,
+            0.6007,0.4543,0.3967,0.3511,0.3279,0.3154,0.2984,0.2921,
+            0.5084,0.4221,0.3718,0.3327,0.3155,0.3027,0.2919,0.2889,
+            0.4541,0.3869,0.3492,0.3149,0.2963,0.2926,0.2819,0.2800,
+            0.4060,0.3607,0.3330,0.2999,0.2887,0.2811,0.2751,0.2775,
+            0.3726,0.3396,0.3108,0.2781,0.2788,0.2722,0.2661,0.2686,
+            0.3550,0.3277,0.3012,0.2781,0.2781,0.2661,0.2661,0.2681,
+            0.3428,0.3209,0.2958,0.2740,0.2688,0.2627,0.2580,0.2620,
+            0.3302,0.3062,0.2799,0.2631,0.2573,0.2533,0.2504,0.2544,
+            0.3343,0.2959,0.2705,0.2540,0.2504,0.2464,0.2448,0.2462,
+            0.3460,0.2845,0.2624,0.2463,0.2425,0.2385,0.2373,0.2422,
+            0.3857,0.2860,0.2578,0.2399,0.2357,0.2327,0.2312,0.2351,
+            0.3976,0.2860,0.2607,0.2356,0.2297,0.2268,0.2241,0.2320 };
+        
+        Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(4468.17)));
+        Real strike[] = { 3400,3600,3800,4000,4200,4400,
+                          4500,4600,4800,5000,5200,5400,5600 };
+        
+        std::vector<boost::shared_ptr<CalibrationHelper> > options;
+        
+        for (Size s = 0; s < 13; ++s) {
+            for (Size m = 0; m < 8; ++m) {
+                Handle<Quote> vol(boost::shared_ptr<Quote>(
+                                                    new SimpleQuote(v[s*8+m])));
+        
+                Period maturity((int)((t[m]+3)/7.), Weeks); // round to weeks
+                options.push_back(boost::shared_ptr<CalibrationHelper>(
+                        new HestonModelHelper(maturity, calendar,
+                                              s0->value(), strike[s], vol,
+                                              riskFreeTS, dividendYield,
+                                          CalibrationHelper::ImpliedVolError)));
+            }
+        }
+        
+        CalibrationMarketData marketData
+                                    ={ s0, riskFreeTS, dividendYield, options };
+        
+        return marketData;
+    }
+        
+}
+
+
 void HestonModelTest::testBlackCalibration() {
     BOOST_MESSAGE(
        "Testing Heston model calibration using a flat volatility surface...");
@@ -148,11 +234,6 @@ void HestonModelTest::testBlackCalibration() {
 
 
 void HestonModelTest::testDAXCalibration() {
-    /* this example is taken from A. Sepp
-       Pricing European-Style Options under Jump Diffusion Processes
-       with Stochstic Volatility: Applications of Fourier Transform
-       http://math.ut.ee/~spartak/papers/stochjumpvols.pdf
-    */
 
     BOOST_MESSAGE(
              "Testing Heston model calibration using DAX volatility data...");
@@ -162,63 +243,14 @@ void HestonModelTest::testDAXCalibration() {
     Date settlementDate(5, July, 2002);
     Settings::instance().evaluationDate() = settlementDate;
 
-    DayCounter dayCounter = Actual365Fixed();
-    Calendar calendar = TARGET();
-
-    Integer t[] = { 13, 41, 75, 165, 256, 345, 524, 703 };
-    Rate r[] = { 0.0357,0.0349,0.0341,0.0355,0.0359,0.0368,0.0386,0.0401 };
-
-    std::vector<Date> dates;
-    std::vector<Rate> rates;
-    dates.push_back(settlementDate);
-    rates.push_back(0.0357);
-    Size i;
-    for (i = 0; i < 8; ++i) {
-        dates.push_back(settlementDate + t[i]);
-        rates.push_back(r[i]);
-    }
-    // FLOATING_POINT_EXCEPTION
-    Handle<YieldTermStructure> riskFreeTS(
-                       boost::shared_ptr<YieldTermStructure>(
-                                    new ZeroCurve(dates, rates, dayCounter)));
-
-    Handle<YieldTermStructure> dividendTS(
-                                   flatRate(settlementDate, 0.0, dayCounter));
-
-    Volatility v[] =
-      { 0.6625,0.4875,0.4204,0.3667,0.3431,0.3267,0.3121,0.3121,
-        0.6007,0.4543,0.3967,0.3511,0.3279,0.3154,0.2984,0.2921,
-        0.5084,0.4221,0.3718,0.3327,0.3155,0.3027,0.2919,0.2889,
-        0.4541,0.3869,0.3492,0.3149,0.2963,0.2926,0.2819,0.2800,
-        0.4060,0.3607,0.3330,0.2999,0.2887,0.2811,0.2751,0.2775,
-        0.3726,0.3396,0.3108,0.2781,0.2788,0.2722,0.2661,0.2686,
-        0.3550,0.3277,0.3012,0.2781,0.2781,0.2661,0.2661,0.2681,
-        0.3428,0.3209,0.2958,0.2740,0.2688,0.2627,0.2580,0.2620,
-        0.3302,0.3062,0.2799,0.2631,0.2573,0.2533,0.2504,0.2544,
-        0.3343,0.2959,0.2705,0.2540,0.2504,0.2464,0.2448,0.2462,
-        0.3460,0.2845,0.2624,0.2463,0.2425,0.2385,0.2373,0.2422,
-        0.3857,0.2860,0.2578,0.2399,0.2357,0.2327,0.2312,0.2351,
-        0.3976,0.2860,0.2607,0.2356,0.2297,0.2268,0.2241,0.2320 };
-
-    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(4468.17)));
-    Real strike[] = { 3400,3600,3800,4000,4200,4400,
-                      4500,4600,4800,5000,5200,5400,5600 };
-
-    std::vector<boost::shared_ptr<CalibrationHelper> > options;
+    CalibrationMarketData marketData = getDAXCalibrationMarketData();
+    
+    const Handle<YieldTermStructure> riskFreeTS = marketData.riskFreeTS;
+    const Handle<YieldTermStructure> dividendTS = marketData.dividendYield;
+    const Handle<Quote> s0 = marketData.s0;
 
-    for (Size s = 0; s < 13; ++s) {
-        for (Size m = 0; m < 8; ++m) {
-            Handle<Quote> vol(boost::shared_ptr<Quote>(
-                                                  new SimpleQuote(v[s*8+m])));
-
-            Period maturity((int)((t[m]+3)/7.), Weeks); // round to weeks
-            options.push_back(boost::shared_ptr<CalibrationHelper>(
-                    new HestonModelHelper(maturity, calendar,
-                                          s0->value(), strike[s], vol,
-                                          riskFreeTS, dividendTS,
-                                          CalibrationHelper::ImpliedVolError)));
-        }
-    }
+    const std::vector<boost::shared_ptr<CalibrationHelper> > options
+                                                    = marketData.options;
 
     const Real v0=0.1;
     const Real kappa=1.0;
@@ -234,14 +266,14 @@ void HestonModelTest::testDAXCalibration() {
     boost::shared_ptr<PricingEngine> engine(
                                          new AnalyticHestonEngine(model, 64));
 
-    for (i = 0; i < options.size(); ++i)
+    for (Size i = 0; i < options.size(); ++i)
         options[i]->setPricingEngine(engine);
 
     LevenbergMarquardt om(1e-8, 1e-8, 1e-8);
     model->calibrate(options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8));
 
     Real sse = 0;
-    for (i = 0; i < 13*8; ++i) {
+    for (Size i = 0; i < 13*8; ++i) {
         const Real diff = options[i]->calibrationError()*100.0;
         sse += diff*diff;
     }
@@ -961,6 +993,131 @@ void HestonModelTest::testMultipleStrikesEngine() {
 }
 
 
+
+void HestonModelTest::testAnalyticPiecewiseTimeDependent() {
+    BOOST_MESSAGE("Testing analytic piecewise time dependent Heston prices...");
+
+    SavedSettings backup;
+
+    Date settlementDate(27, December, 2004);
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date exerciseDate(28, March, 2005);
+
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                  new PlainVanillaPayoff(Option::Call, 1.0));
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
+
+    std::vector<Date> dates; 
+    dates.push_back(settlementDate); dates.push_back(Date(01, January, 2007));
+    std::vector<Rate> irates;
+    irates.push_back(0.0); irates.push_back(0.2);
+    Handle<YieldTermStructure> riskFreeTS(
+            boost::shared_ptr<YieldTermStructure>(
+                                    new ZeroCurve(dates, irates, dayCounter)));
+
+    std::vector<Rate> qrates;
+    qrates.push_back(0.0); qrates.push_back(0.3);
+    Handle<YieldTermStructure> dividendTS(
+            boost::shared_ptr<YieldTermStructure>(
+                                    new ZeroCurve(dates, qrates, dayCounter)));
+    
+
+    const Real v0 = 0.1;
+    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(1.0)));
+
+    ConstantParameter theta(0.09, PositiveConstraint());
+    ConstantParameter kappa(3.16, PositiveConstraint());
+    ConstantParameter sigma(4.40, PositiveConstraint());
+    ConstantParameter rho  (-0.8, BoundaryConstraint(-1.0, 1.0));
+
+    boost::shared_ptr<PiecewiseTimeDependentHestonModel> model(
+        new PiecewiseTimeDependentHestonModel(riskFreeTS, dividendTS,
+                                              s0, v0, theta, kappa, 
+                                              sigma, rho, TimeGrid(20.0, 2)));
+    
+    VanillaOption option(payoff, exercise);
+    option.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                                           new AnalyticPTDHestonEngine(model)));
+
+    const Real calculated = option.NPV();
+    boost::shared_ptr<HestonProcess> hestonProcess(
+        new HestonProcess(riskFreeTS, dividendTS, s0, v0,
+                          kappa(0.0), theta(0.0), sigma(0.0), rho(0.0)));
+    boost::shared_ptr<HestonModel> hestonModel(new HestonModel(hestonProcess));
+    option.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                                    new AnalyticHestonEngine(hestonModel)));
+    
+    const Real expected = option.NPV();
+    
+    if (std::fabs(calculated-expected) > 1e-12) {
+        BOOST_FAIL("failed to reproduce heston prices "
+                   << "\n    calculated: " << calculated
+                   << "\n    expected:   " << expected);
+    }
+}
+
+void HestonModelTest::testDAXCalibrationOfTimeDependentModel() {
+    BOOST_MESSAGE(
+             "Testing Time dependent Heston model calibration ...");
+
+    SavedSettings backup;
+
+    Date settlementDate(5, July, 2002);
+    Settings::instance().evaluationDate() = settlementDate;
+
+    CalibrationMarketData marketData = getDAXCalibrationMarketData();
+    
+    const Handle<YieldTermStructure> riskFreeTS = marketData.riskFreeTS;
+    const Handle<YieldTermStructure> dividendTS = marketData.dividendYield;
+    const Handle<Quote> s0 = marketData.s0;
+
+    const std::vector<boost::shared_ptr<CalibrationHelper> > options
+                                                    = marketData.options;
+
+    std::vector<Time> modelTimes;
+    modelTimes.push_back(0.25);
+    modelTimes.push_back(10.0);
+    const TimeGrid modelGrid(modelTimes.begin(), modelTimes.end());
+
+    const Real v0=0.1;
+    ConstantParameter sigma( 0.5, PositiveConstraint());
+    ConstantParameter theta( 0.1, PositiveConstraint());
+    ConstantParameter rho( -0.5, BoundaryConstraint(-1.0, 1.0));
+   
+    std::vector<Time> pTimes(1, 0.25);
+    PiecewiseConstantParameter kappa(pTimes, PositiveConstraint());
+    
+    for (Size i=0; i < pTimes.size()+1; ++i) {
+        kappa.setParam(i, 10.0);
+    }
+
+    boost::shared_ptr<PiecewiseTimeDependentHestonModel> model(
+        new PiecewiseTimeDependentHestonModel(riskFreeTS, dividendTS,
+                                              s0, v0, theta, kappa, 
+                                              sigma, rho, modelGrid));
+    
+    boost::shared_ptr<PricingEngine> engine(new AnalyticPTDHestonEngine(model));
+    for (Size i = 0; i < options.size(); ++i)
+        options[i]->setPricingEngine(engine);
+
+    LevenbergMarquardt om(1e-8, 1e-8, 1e-8);
+    model->calibrate(options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8));
+
+    Real sse = 0;
+    for (Size i = 0; i < 13*8; ++i) {
+        const Real diff = options[i]->calibrationError()*100.0;
+        sse += diff*diff;
+    }
+    
+    Real expected = 74.4;
+    if (std::fabs(sse - expected) > 1.0) {
+        BOOST_FAIL("Failed to reproduce calibration error"
+                   << "\n    calculated: " << sse
+                   << "\n    expected:   " << expected);
+    }
+}
+
 test_suite* HestonModelTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Heston model tests");
 
@@ -977,7 +1134,10 @@ test_suite* HestonModelTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testFdVanillaVsCached));
     suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testMultipleStrikesEngine));
     suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testMcVsCached));
+    suite->add(QUANTLIB_TEST_CASE(
+                    &HestonModelTest::testAnalyticPiecewiseTimeDependent));
+    suite->add(QUANTLIB_TEST_CASE(
+                    &HestonModelTest::testDAXCalibrationOfTimeDependentModel));
 
     return suite;
 }
-
diff --git a/test-suite/hestonmodel.hpp b/test-suite/hestonmodel.hpp
index 7586226fd7..a11f7baa3c 100644
--- a/test-suite/hestonmodel.hpp
+++ b/test-suite/hestonmodel.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007 Klaus Spanderen
+ Copyright (C) 2005, 2007, 2010 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -37,6 +37,8 @@ class HestonModelTest {
     static void testFdVanillaVsCached();    
     static void testDifferentIntegrals();
     static void testMultipleStrikesEngine();
+    static void testAnalyticPiecewiseTimeDependent();
+    static void testDAXCalibrationOfTimeDependentModel();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From b323bdf8d9324d0cadcdfead1630bbacd5bdbf04 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 28 Jun 2010 16:06:28 +0000
Subject: [PATCH 009/410] Fixed a few Doxygen warnings.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17316 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Docs/pages/history.docs                               | 2 +-
 ql/experimental/commodities/commoditycashflow.hpp     | 2 ++
 ql/experimental/commodities/energycommodity.hpp       | 2 ++
 ql/experimental/exoticoptions/simplechooseroption.hpp | 4 ++--
 4 files changed, 7 insertions(+), 3 deletions(-)

diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
index 67efa4fc01..7e95def81e 100644
--- a/Docs/pages/history.docs
+++ b/Docs/pages/history.docs
@@ -1223,7 +1223,7 @@
     - added discrete time forward methods
     - added DiscountCurve (loglinear interpolated) and CompoundForward term
       structures
-    - ForwardSpreadedTermStructure moved under %QuantLib::TermStructures
+    - ForwardSpreadedTermStructure moved under QuantLib::TermStructures
       namespace
 
     FIXED INCOME
diff --git a/ql/experimental/commodities/commoditycashflow.hpp b/ql/experimental/commodities/commoditycashflow.hpp
index b00092440e..c52ab3b30e 100644
--- a/ql/experimental/commodities/commoditycashflow.hpp
+++ b/ql/experimental/commodities/commoditycashflow.hpp
@@ -86,8 +86,10 @@ namespace QuantLib {
     typedef std::map<Date, boost::shared_ptr<CommodityCashFlow> >
                                                            CommodityCashFlows;
 
+    #ifndef __DOXYGEN__
     std::ostream& operator<<(std::ostream& out,
                              const CommodityCashFlows& cashFlows);
+    #endif
 
 }
 
diff --git a/ql/experimental/commodities/energycommodity.hpp b/ql/experimental/commodities/energycommodity.hpp
index 6fbe784da2..b6ab69ce13 100644
--- a/ql/experimental/commodities/energycommodity.hpp
+++ b/ql/experimental/commodities/energycommodity.hpp
@@ -51,8 +51,10 @@ namespace QuantLib {
 
     typedef std::map<Date, EnergyDailyPosition> EnergyDailyPositions;
 
+    #ifndef __DOXYGEN__
     std::ostream& operator<<(std::ostream& out,
                              const EnergyDailyPositions& dailyPositions);
+    #endif
 
 
 
diff --git a/ql/experimental/exoticoptions/simplechooseroption.hpp b/ql/experimental/exoticoptions/simplechooseroption.hpp
index 5788b8fb91..314524e566 100644
--- a/ql/experimental/exoticoptions/simplechooseroption.hpp
+++ b/ql/experimental/exoticoptions/simplechooseroption.hpp
@@ -17,8 +17,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file chooseroption.hpp
-    \brief Chooser option on a single asset
+/*! \file simplechooseroption.hpp
+    \brief Simple chooser option on a single asset
 */
 
 #ifndef quantlib_simple_chooser_option_hpp

From 0bda412f6fffc6d966ef4fd018d443ce5bda4811 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 28 Jun 2010 16:06:42 +0000
Subject: [PATCH 010/410] Upgraded to Doxygen 1.7.1.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17317 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Docs/Makefile.am   |  1 +
 Docs/quantlib.doxy | 97 +++++++++++++++++++++++++++-------------------
 2 files changed, 59 insertions(+), 39 deletions(-)

diff --git a/Docs/Makefile.am b/Docs/Makefile.am
index aa246cdbbd..cb68f6e5d2 100644
--- a/Docs/Makefile.am
+++ b/Docs/Makefile.am
@@ -58,6 +58,7 @@ docs-online: .time-stamp-online
            -e "s/SHOW_FILES             = YES/SHOW_FILES             = NO/" \
            -e "s/INCLUDE_GRAPH          = YES/INCLUDE_GRAPH          = NO/" \
            -e "s/SEARCHENGINE           = NO/SEARCHENGINE           = YES/" \
+           -e "s/SERVER_BASED_SEARCH    = NO/SERVER_BASED_SEARCH    = YES/" \
            -e "s/HTML_OUTPUT            = html/HTML_OUTPUT            = reference-$(VERSION)/" \
            -e "s|ql_basepath|${BASEPATH}/|" \
            -e "s|ql_version|$(VERSION)|" \
diff --git a/Docs/quantlib.doxy b/Docs/quantlib.doxy
index 1abb221494..bbe48c2107 100644
--- a/Docs/quantlib.doxy
+++ b/Docs/quantlib.doxy
@@ -1,4 +1,4 @@
-# Doxyfile 1.5.7
+# Doxyfile 1.7.1
 
 #---------------------------------------------------------------------------
 # Project related configuration options
@@ -6,12 +6,12 @@
 DOXYFILE_ENCODING      = UTF-8
 PROJECT_NAME           = QuantLib
 PROJECT_NUMBER         = ql_version
-OUTPUT_DIRECTORY       = 
+OUTPUT_DIRECTORY       =
 CREATE_SUBDIRS         = NO
 OUTPUT_LANGUAGE        = English
 BRIEF_MEMBER_DESC      = YES
 REPEAT_BRIEF           = YES
-ABBREVIATE_BRIEF       = 
+ABBREVIATE_BRIEF       =
 ALWAYS_DETAILED_SEC    = NO
 INLINE_INHERITED_MEMB  = NO
 FULL_PATH_NAMES        = YES
@@ -32,6 +32,7 @@ OPTIMIZE_OUTPUT_FOR_C  = NO
 OPTIMIZE_OUTPUT_JAVA   = NO
 OPTIMIZE_FOR_FORTRAN   = NO
 OPTIMIZE_OUTPUT_VHDL   = NO
+EXTENSION_MAPPING      =
 BUILTIN_STL_SUPPORT    = YES
 CPP_CLI_SUPPORT        = NO
 SIP_SUPPORT            = NO
@@ -57,23 +58,25 @@ INTERNAL_DOCS          = NO
 CASE_SENSE_NAMES       = NO
 HIDE_SCOPE_NAMES       = YES
 SHOW_INCLUDE_FILES     = YES
+FORCE_LOCAL_INCLUDES   = NO
 INLINE_INFO            = NO
 SORT_MEMBER_DOCS       = NO
 SORT_BRIEF_DOCS        = NO
+SORT_MEMBERS_CTORS_1ST = YES
 SORT_GROUP_NAMES       = NO
-SORT_BY_SCOPE_NAME     = NO
+SORT_BY_SCOPE_NAME     = YES
 GENERATE_TODOLIST      = YES
 GENERATE_TESTLIST      = YES
 GENERATE_BUGLIST       = YES
 GENERATE_DEPRECATEDLIST= YES
-ENABLED_SECTIONS       = 
+ENABLED_SECTIONS       =
 MAX_INITIALIZER_LINES  = 30
 SHOW_USED_FILES        = NO
 SHOW_DIRECTORIES       = NO
 SHOW_FILES             = YES
 SHOW_NAMESPACES        = NO
-FILE_VERSION_FILTER    = 
-LAYOUT_FILE            = 
+FILE_VERSION_FILTER    =
+LAYOUT_FILE            =
 #---------------------------------------------------------------------------
 # configuration options related to warning and progress messages
 #---------------------------------------------------------------------------
@@ -83,7 +86,7 @@ WARN_IF_UNDOCUMENTED   = NO
 WARN_IF_DOC_ERROR      = YES
 WARN_NO_PARAMDOC       = NO
 WARN_FORMAT            = "$file:$line: $text "
-WARN_LOGFILE           = 
+WARN_LOGFILE           =
 #---------------------------------------------------------------------------
 # configuration options related to the input files
 #---------------------------------------------------------------------------
@@ -102,14 +105,14 @@ EXCLUDE                = ../ql/config.hpp \
                          ../ql/math/interpolations/abcdinterpolation.hpp
 EXCLUDE_SYMLINKS       = NO
 EXCLUDE_PATTERNS       = */all.hpp
-EXCLUDE_SYMBOLS        = 
+EXCLUDE_SYMBOLS        =
 EXAMPLE_PATH           = Examples \
                          ../Examples
 EXAMPLE_PATTERNS       = *.cpp
 EXAMPLE_RECURSIVE      = YES
-IMAGE_PATH             = 
-INPUT_FILTER           = 
-FILTER_PATTERNS        = 
+IMAGE_PATH             =
+INPUT_FILTER           =
+FILTER_PATTERNS        =
 FILTER_SOURCE_FILES    = NO
 #---------------------------------------------------------------------------
 # configuration options related to source browsing
@@ -125,8 +128,9 @@ VERBATIM_HEADERS       = NO
 #---------------------------------------------------------------------------
 # configuration options related to the alphabetical class index
 #---------------------------------------------------------------------------
+ALPHABETICAL_INDEX     = YES
 COLS_IN_ALPHA_INDEX    = 3
-IGNORE_PREFIX          = 
+IGNORE_PREFIX          =
 #---------------------------------------------------------------------------
 # configuration options related to the HTML output
 #---------------------------------------------------------------------------
@@ -136,28 +140,44 @@ HTML_FILE_EXTENSION    = .html
 HTML_HEADER            = quantlibheader.html
 HTML_FOOTER            = quantlibfooter.html
 HTML_STYLESHEET        = quantlib.css
+HTML_COLORSTYLE_HUE    = 220
+HTML_COLORSTYLE_SAT    = 100
+HTML_COLORSTYLE_GAMMA  = 80
+HTML_TIMESTAMP         = NO
 HTML_ALIGN_MEMBERS     = YES
 HTML_DYNAMIC_SECTIONS  = NO
 GENERATE_DOCSET        = NO
 DOCSET_FEEDNAME        = "Doxygen generated docs"
 DOCSET_BUNDLE_ID       = org.doxygen.Project
+DOCSET_PUBLISHER_ID    = org.doxygen.Publisher
+DOCSET_PUBLISHER_NAME  = Publisher
 GENERATE_HTMLHELP      = NO
 CHM_FILE               = ../QuantLib-docs-ql_version.chm
 HHC_LOCATION           = hhc.exe
 GENERATE_CHI           = NO
-CHM_INDEX_ENCODING     = 
+CHM_INDEX_ENCODING     =
 BINARY_TOC             = NO
 TOC_EXPAND             = NO
 GENERATE_QHP           = NO
-QCH_FILE               = 
+QCH_FILE               =
 QHP_NAMESPACE          = org.doxygen.Project
 QHP_VIRTUAL_FOLDER     = doc
-QHG_LOCATION           = 
+QHP_CUST_FILTER_NAME   =
+QHP_CUST_FILTER_ATTRS  =
+QHP_SECT_FILTER_ATTRS  =
+QHG_LOCATION           =
+GENERATE_ECLIPSEHELP   = NO
+ECLIPSE_DOC_ID         = org.doxygen.Project
 DISABLE_INDEX          = YES
 ENUM_VALUES_PER_LINE   = 4
 GENERATE_TREEVIEW      = NO
+USE_INLINE_TREES       = NO
 TREEVIEW_WIDTH         = 250
+EXT_LINKS_IN_WINDOW    = NO
 FORMULA_FONTSIZE       = 12
+FORMULA_TRANSPARENT    = YES
+SEARCHENGINE           = NO
+SERVER_BASED_SEARCH    = NO
 #---------------------------------------------------------------------------
 # configuration options related to the LaTeX output
 #---------------------------------------------------------------------------
@@ -167,12 +187,13 @@ LATEX_CMD_NAME         = latex
 MAKEINDEX_CMD_NAME     = makeindex
 COMPACT_LATEX          = NO
 PAPER_TYPE             = a4wide
-EXTRA_PACKAGES         = 
-LATEX_HEADER           = 
+EXTRA_PACKAGES         =
+LATEX_HEADER           =
 PDF_HYPERLINKS         = YES
 USE_PDFLATEX           = YES
 LATEX_BATCHMODE        = NO
 LATEX_HIDE_INDICES     = NO
+LATEX_SOURCE_CODE      = NO
 #---------------------------------------------------------------------------
 # configuration options related to the RTF output
 #---------------------------------------------------------------------------
@@ -180,8 +201,8 @@ GENERATE_RTF           = NO
 RTF_OUTPUT             = rtf
 COMPACT_RTF            = NO
 RTF_HYPERLINKS         = NO
-RTF_STYLESHEET_FILE    = 
-RTF_EXTENSIONS_FILE    = 
+RTF_STYLESHEET_FILE    =
+RTF_EXTENSIONS_FILE    =
 #---------------------------------------------------------------------------
 # configuration options related to the man page output
 #---------------------------------------------------------------------------
@@ -194,8 +215,8 @@ MAN_LINKS              = YES
 #---------------------------------------------------------------------------
 GENERATE_XML           = NO
 XML_OUTPUT             = xml
-XML_SCHEMA             = 
-XML_DTD                = 
+XML_SCHEMA             =
+XML_DTD                =
 XML_PROGRAMLISTING     = NO
 #---------------------------------------------------------------------------
 # configuration options for the AutoGen Definitions output
@@ -207,36 +228,38 @@ GENERATE_AUTOGEN_DEF   = NO
 GENERATE_PERLMOD       = NO
 PERLMOD_LATEX          = NO
 PERLMOD_PRETTY         = YES
-PERLMOD_MAKEVAR_PREFIX = 
+PERLMOD_MAKEVAR_PREFIX =
 #---------------------------------------------------------------------------
-# Configuration options related to the preprocessor   
+# Configuration options related to the preprocessor
 #---------------------------------------------------------------------------
 ENABLE_PREPROCESSING   = YES
 MACRO_EXPANSION        = YES
 EXPAND_ONLY_PREDEF     = NO
 SEARCH_INCLUDES        = YES
-INCLUDE_PATH           = 
-INCLUDE_FILE_PATTERNS  = 
+INCLUDE_PATH           =
+INCLUDE_FILE_PATTERNS  =
 PREDEFINED             = __DOXYGEN__
-EXPAND_AS_DEFINED      = 
+EXPAND_AS_DEFINED      =
 SKIP_FUNCTION_MACROS   = YES
 #---------------------------------------------------------------------------
-# Configuration::additions related to external references   
+# Configuration::additions related to external references
 #---------------------------------------------------------------------------
-TAGFILES               = 
-GENERATE_TAGFILE       = 
+TAGFILES               =
+GENERATE_TAGFILE       =
 ALLEXTERNALS           = NO
 EXTERNAL_GROUPS        = YES
 PERL_PATH              = /usr/bin/perl
 #---------------------------------------------------------------------------
-# Configuration options related to the dot tool   
+# Configuration options related to the dot tool
 #---------------------------------------------------------------------------
 CLASS_DIAGRAMS         = YES
-MSCGEN_PATH            = 
+MSCGEN_PATH            =
 HIDE_UNDOC_RELATIONS   = NO
 HAVE_DOT               = YES
+DOT_NUM_THREADS        = 0
 DOT_FONTNAME           = FreeSans
-DOT_FONTPATH           = 
+DOT_FONTSIZE           = 10
+DOT_FONTPATH           =
 CLASS_GRAPH            = YES
 COLLABORATION_GRAPH    = NO
 GROUP_GRAPHS           = NO
@@ -249,15 +272,11 @@ CALLER_GRAPH           = NO
 GRAPHICAL_HIERARCHY    = YES
 DIRECTORY_GRAPH        = NO
 DOT_IMAGE_FORMAT       = png
-DOT_PATH               = 
-DOTFILE_DIRS           = 
+DOT_PATH               =
+DOTFILE_DIRS           =
 DOT_GRAPH_MAX_NODES    = 20
 MAX_DOT_GRAPH_DEPTH    = 2
 DOT_TRANSPARENT        = NO
 DOT_MULTI_TARGETS      = NO
 GENERATE_LEGEND        = YES
 DOT_CLEANUP            = YES
-#---------------------------------------------------------------------------
-# Configuration::additions related to the search engine   
-#---------------------------------------------------------------------------
-SEARCHENGINE           = NO

From 1aa1f36f81341c008b409fc2b03fde68cf8b38d2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 28 Jun 2010 16:07:00 +0000
Subject: [PATCH 011/410] Added a few bits of documentation (thanks to Tawanda
 Gwena.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17318 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflow.hpp      | 1 +
 ql/time/schedule.hpp | 1 +
 2 files changed, 2 insertions(+)

diff --git a/ql/cashflow.hpp b/ql/cashflow.hpp
index 6eb506fff9..a206202aa1 100644
--- a/ql/cashflow.hpp
+++ b/ql/cashflow.hpp
@@ -65,6 +65,7 @@ namespace QuantLib {
         //@}
     };
 
+    //! Sequence of cash-flows
     typedef std::vector<boost::shared_ptr<CashFlow> > Leg;
 
     template <>
diff --git a/ql/time/schedule.hpp b/ql/time/schedule.hpp
index aed90dcf22..6e84eb4bab 100644
--- a/ql/time/schedule.hpp
+++ b/ql/time/schedule.hpp
@@ -36,6 +36,7 @@
 namespace QuantLib {
 
     //! Payment schedule
+    /*! \ingroup datetime */
     class Schedule {
       public:
         Schedule(const std::vector<Date>&,

From 720a409b7564b512d58231587a49f20db397db9a Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 15:06:15 +0000
Subject: [PATCH 012/410] fixed documentation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17319 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/iborindex.hpp | 11 +++++++----
 1 file changed, 7 insertions(+), 4 deletions(-)

diff --git a/ql/indexes/iborindex.hpp b/ql/indexes/iborindex.hpp
index 5de6f3d705..724ee49658 100644
--- a/ql/indexes/iborindex.hpp
+++ b/ql/indexes/iborindex.hpp
@@ -44,6 +44,10 @@ namespace QuantLib {
                   const DayCounter& dayCounter,
                   const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        //! \name InterestRateIndex interface
+        //@{
+        Date maturityDate(const Date& valueDate) const;
+        // @}
         //! \name Inspectors
         //@{
         BusinessDayConvention businessDayConvention() const;
@@ -51,10 +55,6 @@ namespace QuantLib {
         //! the curve used to forecast fixings
         Handle<YieldTermStructure> forwardingTermStructure() const;
         //@}
-        //! \name Date calculations
-        //@{
-        Date maturityDate(const Date& valueDate) const;
-        // @}
         //! \name Other methods
         //@{
         //! returns a copy of itself linked to a different forwarding curve
@@ -62,7 +62,10 @@ namespace QuantLib {
                         const Handle<YieldTermStructure>& forwarding) const;
         // @}
       protected:
+        //! \name InterestRateIndex interface
+        //@{
         Rate forecastFixing(const Date& fixingDate) const;
+        // @}
         BusinessDayConvention convention_;
         Handle<YieldTermStructure> termStructure_;
         bool endOfMonth_;

From 32fb804db5d5ec6fb5b6514ce43e38d9a85928ec Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 15:15:30 +0000
Subject: [PATCH 013/410] generalized to BondHelpers instead of
 FixedRateBondHelpers

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17320 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../yield/fittedbonddiscountcurve.cpp         | 34 +++++++++----------
 .../yield/fittedbonddiscountcurve.hpp         | 16 ++++-----
 2 files changed, 24 insertions(+), 26 deletions(-)

diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
index 14df7c69c7..093a4f36a5 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.cpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -48,7 +48,7 @@ namespace QuantLib {
     FittedBondDiscountCurve::FittedBondDiscountCurve (
                  Natural settlementDays,
                  const Calendar& calendar,
-                 const vector<shared_ptr<FixedRateBondHelper> >& instruments,
+                 const vector<shared_ptr<BondHelper> >& bondHelpers,
                  const DayCounter& dayCounter,
                  const FittingMethod& fittingMethod,
                  Real accuracy,
@@ -60,7 +60,7 @@ namespace QuantLib {
       maxEvaluations_(maxEvaluations),
       simplexLambda_(simplexLambda),
       guessSolution_(guess),
-      instruments_(instruments),
+      bondHelpers_(bondHelpers),
       fittingMethod_(fittingMethod) {
 
         fittingMethod_->curve_ = this;
@@ -70,7 +70,7 @@ namespace QuantLib {
 
     FittedBondDiscountCurve::FittedBondDiscountCurve (
                  const Date& referenceDate,
-                 const vector<shared_ptr<FixedRateBondHelper> >& instruments,
+                 const vector<shared_ptr<BondHelper> >& bondHelpers,
                  const DayCounter& dayCounter,
                  const FittingMethod& fittingMethod,
                  Real accuracy,
@@ -82,7 +82,7 @@ namespace QuantLib {
       maxEvaluations_(maxEvaluations),
       simplexLambda_(simplexLambda),
       guessSolution_(guess),
-      instruments_(instruments),
+      bondHelpers_(bondHelpers),
       fittingMethod_(fittingMethod) {
 
         fittingMethod_->curve_ = this;
@@ -92,15 +92,15 @@ namespace QuantLib {
 
     void FittedBondDiscountCurve::performCalculations() const {
 
-        QL_REQUIRE(!instruments_.empty(), "no instruments given");
+        QL_REQUIRE(!bondHelpers_.empty(), "no bondHelpers given");
 
         maxDate_ = Date::minDate();
         Date refDate = referenceDate();
 
         // double check bond quotes still valid and/or instruments not expired
-        for (Size i=0; i<instruments_.size(); ++i) {
-            shared_ptr<Bond> bond = instruments_[i]->bond();
-            QL_REQUIRE(instruments_[i]->quote()->isValid(),
+        for (Size i=0; i<bondHelpers_.size(); ++i) {
+            shared_ptr<Bond> bond = bondHelpers_[i]->bond();
+            QL_REQUIRE(bondHelpers_[i]->quote()->isValid(),
                        io::ordinal(i+1) << " bond (maturity: " <<
                        bond->maturityDate() << ") has an invalid price quote");
             Date bondSettlement = bond->settlementDate();
@@ -112,8 +112,8 @@ namespace QuantLib {
                        io::ordinal(i+1) << " bond non tradable at " <<
                        bondSettlement << " settlement date (maturity"
                        " being " << bond->maturityDate() << ")");
-            maxDate_ = std::max(maxDate_, instruments_[i]->latestDate());
-            instruments_[i]->setTermStructure(
+            maxDate_ = std::max(maxDate_, bondHelpers_[i]->latestDate());
+            bondHelpers_[i]->setTermStructure(
                                   const_cast<FittedBondDiscountCurve*>(this));
         }
 
@@ -135,16 +135,16 @@ namespace QuantLib {
         Compounding yieldComp = Compounded;
         Frequency yieldFreq = Annual;
 
-        Size n = curve_->instruments_.size();
+        Size n = curve_->bondHelpers_.size();
         costFunction_ = shared_ptr<FittingCost>(new FittingCost(this));
         costFunction_->firstCashFlow_.resize(n);
         weights_ = Array(n);
         Real squaredSum = 0.0;
-        for (Size i=0; i<curve_->instruments_.size(); ++i) {
-            shared_ptr<Bond> bond = curve_->instruments_[i]->bond();
+        for (Size i=0; i<curve_->bondHelpers_.size(); ++i) {
+            shared_ptr<Bond> bond = curve_->bondHelpers_[i]->bond();
 
             Leg leg = bond->cashflows();
-            Real cleanPrice = curve_->instruments_[i]->quote()->value();
+            Real cleanPrice = curve_->bondHelpers_[i]->quote()->value();
             
             Date bondSettlement = bond->settlementDate();
             Rate ytm = BondFunctions::yield(*bond, cleanPrice,
@@ -219,11 +219,11 @@ namespace QuantLib {
         const DayCounter& dc = fittingMethod_->curve_->dayCounter();
 
         Real squaredError = 0.0;
-        Size n = fittingMethod_->curve_->instruments_.size();
+        Size n = fittingMethod_->curve_->bondHelpers_.size();
         for (Size i=0; i<n; ++i) {
 
             shared_ptr<Bond> bond =
-                            fittingMethod_->curve_->instruments_[i]->bond();
+                            fittingMethod_->curve_->bondHelpers_[i]->bond();
             Date bondSettlement = bond->settlementDate();
 
             // CleanPrice_i = sum( cf_k * d(t_k) ) - accruedAmount
@@ -241,7 +241,7 @@ namespace QuantLib {
                 modelPrice /= fittingMethod_->discountFunction(x, tenor);
             }
             Real marketPrice =
-                fittingMethod_->curve_->instruments_[i]->quote()->value();
+                fittingMethod_->curve_->bondHelpers_[i]->quote()->value();
             Real error = modelPrice - marketPrice;
             Real weightedError = fittingMethod_->weights_[i] * error;
             squaredError += weightedError * weightedError;
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.hpp b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
index b717a62c4b..7c81fb3704 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.hpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
@@ -19,7 +19,7 @@
 */
 
 /*! \file fittedbonddiscountcurve.hpp
-    \brief discount curve fitted to a set of fixed-coupon bonds
+    \brief discount curve fitted to a set of bonds
 */
 
 #ifndef quantlib_fitted_bond_discount_curve_hpp
@@ -92,8 +92,7 @@ namespace QuantLib {
         FittedBondDiscountCurve(
                  Natural settlementDays,
                  const Calendar& calendar,
-                 const std::vector<boost::shared_ptr<FixedRateBondHelper> >&
-                                                                  instruments,
+                 const std::vector<boost::shared_ptr<BondHelper> >& bonds,
                  const DayCounter& dayCounter,
                  const FittingMethod& fittingMethod,
                  Real accuracy = 1.0e-10,
@@ -103,8 +102,7 @@ namespace QuantLib {
         //! curve reference date fixed for life of curve
         FittedBondDiscountCurve(
                  const Date &referenceDate,
-                 const std::vector<boost::shared_ptr<FixedRateBondHelper> >&
-                                                                  instruments,
+                 const std::vector<boost::shared_ptr<BondHelper> >& bonds,
                  const DayCounter& dayCounter,
                  const FittingMethod& fittingMethod,
                  Real accuracy = 1.0e-10,
@@ -141,7 +139,7 @@ namespace QuantLib {
         // a guess solution may be passed into the constructor to speed calcs
         Array guessSolution_;
         mutable Date maxDate_;
-        std::vector<boost::shared_ptr<FixedRateBondHelper> > instruments_;
+        std::vector<boost::shared_ptr<BondHelper> > bondHelpers_;
         Clone<FittingMethod> fittingMethod_;
     };
 
@@ -229,7 +227,7 @@ namespace QuantLib {
     // inline
 
     inline Size FittedBondDiscountCurve::numberOfBonds() const {
-        return instruments_.size();
+        return bondHelpers_.size();
     }
 
     inline Date FittedBondDiscountCurve::maxDate() const {
@@ -249,8 +247,8 @@ namespace QuantLib {
     }
 
     inline void FittedBondDiscountCurve::setup() {
-        for (Size i=0; i<instruments_.size(); ++i)
-            registerWith(instruments_[i]);
+        for (Size i=0; i<bondHelpers_.size(); ++i)
+            registerWith(bondHelpers_[i]);
     }
 
     inline DiscountFactor FittedBondDiscountCurve::discountImpl(Time t) const {

From a42a2bb99056c9292db3b2b6261bbb743e9af905 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 15:17:09 +0000
Subject: [PATCH 014/410] added new files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17321 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj | 30 +++++++++++++++++++++++++++---
 1 file changed, 27 insertions(+), 3 deletions(-)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 08b0dda8a6..79012b0ca7 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -2612,15 +2612,15 @@
 				Name="copulas"
 				>
 				<File
-					RelativePath=".\ql\math\copulas\all.hpp"
+					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.cpp"
+					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.hpp"
+					RelativePath=".\ql\math\copulas\all.hpp"
 					>
 				</File>
 				<File
@@ -3911,6 +3911,14 @@
 					RelativePath=".\ql\models\equity\hestonmodelhelper.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<Filter
@@ -5075,6 +5083,14 @@
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonhullwhiteengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath="ql\pricingengines\vanilla\baroneadesiwhaleyengine.cpp"
 					>
@@ -6267,6 +6283,14 @@
 					RelativePath=".\ql\experimental\coupons\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\coupons\quantocouponpricer.cpp"
 					>

From a6f206938938908ac5f20bc9b4278b6cfa156c39 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 15:51:51 +0000
Subject: [PATCH 015/410] added ProxyIbor, whose fixing is gearing_ *
 iborIndex_->fixing(fixingDate) * spread_

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17323 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/coupons/proxyibor.cpp | 41 ++++++++++++++++++
 ql/experimental/coupons/proxyibor.hpp | 61 +++++++++++++++++++++++++++
 2 files changed, 102 insertions(+)
 create mode 100644 ql/experimental/coupons/proxyibor.cpp
 create mode 100644 ql/experimental/coupons/proxyibor.hpp

diff --git a/ql/experimental/coupons/proxyibor.cpp b/ql/experimental/coupons/proxyibor.cpp
new file mode 100644
index 0000000000..610de9d7c9
--- /dev/null
+++ b/ql/experimental/coupons/proxyibor.cpp
@@ -0,0 +1,41 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/coupons/proxyibor.hpp>
+
+namespace QuantLib {
+
+    ProxyIbor::ProxyIbor(const std::string& familyName,
+                         const Period& tenor,
+                         Natural settlementDays,
+                         const Currency& currency,
+                         const Calendar& fixingCalendar,
+                         BusinessDayConvention convention,
+                         bool endOfMonth,
+                         const DayCounter& dayCounter,
+                         Real gearing,
+                         const boost::shared_ptr<IborIndex>& iborIndex,
+                         Spread spread)
+    : IborIndex(familyName, tenor, settlementDays, currency,
+                fixingCalendar, convention, endOfMonth, dayCounter),
+      gearing_(gearing), iborIndex_(iborIndex), spread_(spread) {
+        registerWith(iborIndex_);
+      }
+
+}
diff --git a/ql/experimental/coupons/proxyibor.hpp b/ql/experimental/coupons/proxyibor.hpp
new file mode 100644
index 0000000000..c48146e6f0
--- /dev/null
+++ b/ql/experimental/coupons/proxyibor.hpp
@@ -0,0 +1,61 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file proxyibor.hpp
+    \brief IborIndex calculated as proxy of some other IborIndex
+*/
+
+#ifndef quantlib_proxyibor_hpp
+#define quantlib_proxyibor_hpp
+
+#include <ql/indexes/iborindex.hpp>
+
+namespace QuantLib {
+
+    //! IborIndex calculated as proxy of some other IborIndex
+    class ProxyIbor : public IborIndex {
+      public:
+        ProxyIbor(const std::string& familyName,
+                  const Period& tenor,
+                  Natural settlementDays,
+                  const Currency& currency,
+                  const Calendar& fixingCalendar,
+                  BusinessDayConvention convention,
+                  bool endOfMonth,
+                  const DayCounter& dayCounter,
+                  Real gearing,
+                  const boost::shared_ptr<IborIndex>& iborIndex,
+                  Spread spread);
+      private:
+        // overload
+        Rate forecastFixing(const Date& fixingDate) const;
+
+        Real gearing_;
+        boost::shared_ptr<IborIndex> iborIndex_;
+        Spread spread_;
+    };
+
+    inline Rate ProxyIbor::forecastFixing(const Date& fixingDate) const {
+        Rate proxy = iborIndex_->fixing(fixingDate);
+        return gearing_ * proxy * spread_;
+    }
+
+}
+
+#endif

From 2781c8c5ff561e5bda06bc7744bf660c75fc3b26 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 15:55:34 +0000
Subject: [PATCH 016/410] VC8 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17324 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc8.vcproj | 30 +++++++++++++++++++++++++++---
 1 file changed, 27 insertions(+), 3 deletions(-)

diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 16e261b336..472f6a4ac4 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -2263,15 +2263,15 @@
 				Name="copulas"
 				>
 				<File
-					RelativePath=".\ql\math\copulas\all.hpp"
+					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.cpp"
+					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.hpp"
+					RelativePath=".\ql\math\copulas\all.hpp"
 					>
 				</File>
 				<File
@@ -3554,6 +3554,14 @@
 					RelativePath=".\ql\models\equity\hestonmodelhelper.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<Filter
@@ -4718,6 +4726,14 @@
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonhullwhiteengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath="ql\pricingengines\vanilla\baroneadesiwhaleyengine.cpp"
 					>
@@ -6422,6 +6438,14 @@
 					RelativePath=".\ql\experimental\coupons\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\coupons\quantocouponpricer.cpp"
 					>

From 45cc3df7b244ed7ace20fce81eb4b8f4cd583351 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 Jun 2010 17:36:55 +0000
Subject: [PATCH 017/410] exported ProxyIbor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17325 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/coupons/proxyibor.cpp |  4 ++--
 ql/experimental/coupons/proxyibor.hpp | 10 +++++-----
 2 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/ql/experimental/coupons/proxyibor.cpp b/ql/experimental/coupons/proxyibor.cpp
index 610de9d7c9..e0dfd9c4de 100644
--- a/ql/experimental/coupons/proxyibor.cpp
+++ b/ql/experimental/coupons/proxyibor.cpp
@@ -29,9 +29,9 @@ namespace QuantLib {
                          BusinessDayConvention convention,
                          bool endOfMonth,
                          const DayCounter& dayCounter,
-                         Real gearing,
+                         const Handle<Quote>& gearing,
                          const boost::shared_ptr<IborIndex>& iborIndex,
-                         Spread spread)
+                         const Handle<Quote>& spread)
     : IborIndex(familyName, tenor, settlementDays, currency,
                 fixingCalendar, convention, endOfMonth, dayCounter),
       gearing_(gearing), iborIndex_(iborIndex), spread_(spread) {
diff --git a/ql/experimental/coupons/proxyibor.hpp b/ql/experimental/coupons/proxyibor.hpp
index c48146e6f0..1b7b148e0f 100644
--- a/ql/experimental/coupons/proxyibor.hpp
+++ b/ql/experimental/coupons/proxyibor.hpp
@@ -39,21 +39,21 @@ namespace QuantLib {
                   BusinessDayConvention convention,
                   bool endOfMonth,
                   const DayCounter& dayCounter,
-                  Real gearing,
+                  const Handle<Quote>& gearing,
                   const boost::shared_ptr<IborIndex>& iborIndex,
-                  Spread spread);
+                  const Handle<Quote>& spread);
       private:
         // overload
         Rate forecastFixing(const Date& fixingDate) const;
 
-        Real gearing_;
+        Handle<Quote> gearing_;
         boost::shared_ptr<IborIndex> iborIndex_;
-        Spread spread_;
+        Handle<Quote> spread_;
     };
 
     inline Rate ProxyIbor::forecastFixing(const Date& fixingDate) const {
         Rate proxy = iborIndex_->fixing(fixingDate);
-        return gearing_ * proxy * spread_;
+        return gearing_->value() * proxy * spread_->value();
     }
 
 }

From ce55bfed4dd469d61e822d82617a4b3a12b8ddf3 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 1 Jul 2010 09:07:43 +0000
Subject: [PATCH 018/410] - provided (deprecated) FittedBondDiscountCurve
 backward compatible constructors - avoided usage of these deprecated
 constructors in the FittedBondCurve example

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17326 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Examples/FittedBondCurve/FittedBondCurve.cpp  |  4 +-
 .../yield/fittedbonddiscountcurve.cpp         | 53 +++++++++++++++++++
 .../yield/fittedbonddiscountcurve.hpp         | 23 ++++++++
 3 files changed, 78 insertions(+), 2 deletions(-)

diff --git a/Examples/FittedBondCurve/FittedBondCurve.cpp b/Examples/FittedBondCurve/FittedBondCurve.cpp
index 6dfcff3530..b84471f847 100644
--- a/Examples/FittedBondCurve/FittedBondCurve.cpp
+++ b/Examples/FittedBondCurve/FittedBondCurve.cpp
@@ -135,7 +135,7 @@ int main(int, char* []) {
         cout << "Bonds' settlement date: " << bondSettlementDate << endl;
         cout << "Calculating fit for 15 bonds....." << endl << endl;
 
-        std::vector<boost::shared_ptr<FixedRateBondHelper> > instrumentsA;
+        std::vector<boost::shared_ptr<BondHelper> > instrumentsA;
         std::vector<boost::shared_ptr<RateHelper> > instrumentsB;
 
         for (Size j=0; j<LENGTH(lengths); j++) {
@@ -146,7 +146,7 @@ int main(int, char* []) {
                               calendar, accrualConvention, accrualConvention,
                               DateGeneration::Backward, false);
 
-            boost::shared_ptr<FixedRateBondHelper> helperA(
+            boost::shared_ptr<BondHelper> helperA(
                      new FixedRateBondHelper(quoteHandle[j],
                                              bondSettlementDays,
                                              100.0,
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
index 093a4f36a5..86c0e9a2f1 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.cpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -89,6 +89,59 @@ namespace QuantLib {
         setup();
     }
 
+#ifndef QL_DISABLE_DEPRECATED
+    FittedBondDiscountCurve::FittedBondDiscountCurve (
+                 Natural settlementDays,
+                 const Calendar& calendar,
+                 const vector<shared_ptr<FixedRateBondHelper> >& bondHelpers,
+                 const DayCounter& dayCounter,
+                 const FittingMethod& fittingMethod,
+                 Real accuracy,
+                 Size maxEvaluations,
+                 const Array& guess,
+                 Real simplexLambda)
+    : YieldTermStructure(settlementDays, calendar, dayCounter),
+      accuracy_(accuracy),
+      maxEvaluations_(maxEvaluations),
+      simplexLambda_(simplexLambda),
+      guessSolution_(guess),
+      bondHelpers_(bondHelpers.size()),
+      fittingMethod_(fittingMethod) {
+
+        for (Size i=0; i<bondHelpers_.size(); ++i) {
+            bondHelpers_[i] = boost::dynamic_pointer_cast<BondHelper>(bondHelpers[i]);
+        }
+
+        fittingMethod_->curve_ = this;
+        setup();
+    }
+
+
+    FittedBondDiscountCurve::FittedBondDiscountCurve (
+                 const Date& referenceDate,
+                 const vector<shared_ptr<FixedRateBondHelper> >& bondHelpers,
+                 const DayCounter& dayCounter,
+                 const FittingMethod& fittingMethod,
+                 Real accuracy,
+                 Size maxEvaluations,
+                 const Array& guess,
+                 Real simplexLambda)
+    : YieldTermStructure(referenceDate, Calendar(), dayCounter),
+      accuracy_(accuracy),
+      maxEvaluations_(maxEvaluations),
+      simplexLambda_(simplexLambda),
+      guessSolution_(guess),
+      bondHelpers_(bondHelpers.size()),
+      fittingMethod_(fittingMethod) {
+
+        for (Size i=0; i<bondHelpers_.size(); ++i) {
+            bondHelpers_[i] = boost::dynamic_pointer_cast<BondHelper>(bondHelpers[i]);
+        }
+
+        fittingMethod_->curve_ = this;
+        setup();
+    }
+#endif
 
     void FittedBondDiscountCurve::performCalculations() const {
 
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.hpp b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
index 7c81fb3704..90cf441293 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.hpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
@@ -109,6 +109,29 @@ namespace QuantLib {
                  Size maxEvaluations = 10000,
                  const Array &guess = Array(),
                  Real simplexLambda = 1.0);
+#ifndef QL_DISABLE_DEPRECATED
+        //! reference date based on current evaluation date
+        FittedBondDiscountCurve(
+                 Natural settlementDays,
+                 const Calendar& calendar,
+                 const std::vector<boost::shared_ptr<FixedRateBondHelper> >& bonds,
+                 const DayCounter& dayCounter,
+                 const FittingMethod& fittingMethod,
+                 Real accuracy = 1.0e-10,
+                 Size maxEvaluations = 10000,
+                 const Array& guess = Array(),
+                 Real simplexLambda = 1.0);
+        //! curve reference date fixed for life of curve
+        FittedBondDiscountCurve(
+                 const Date &referenceDate,
+                 const std::vector<boost::shared_ptr<FixedRateBondHelper> >& bonds,
+                 const DayCounter& dayCounter,
+                 const FittingMethod& fittingMethod,
+                 Real accuracy = 1.0e-10,
+                 Size maxEvaluations = 10000,
+                 const Array &guess = Array(),
+                 Real simplexLambda = 1.0);
+#endif
         //@}
 
         //! \name Inspectors

From af4dda053556375e5d74023d5e86684e00ee7737 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 12 Jul 2010 16:35:37 +0000
Subject: [PATCH 019/410] Updated all.hpp files.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17327 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/equity/all.hpp          | 1 +
 ql/pricingengines/vanilla/all.hpp | 1 +
 2 files changed, 2 insertions(+)

diff --git a/ql/models/equity/all.hpp b/ql/models/equity/all.hpp
index e43b2074e1..4418b12d64 100644
--- a/ql/models/equity/all.hpp
+++ b/ql/models/equity/all.hpp
@@ -5,4 +5,5 @@
 #include <ql/models/equity/gjrgarchmodel.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/models/equity/hestonmodelhelper.hpp>
+#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
 
diff --git a/ql/pricingengines/vanilla/all.hpp b/ql/pricingengines/vanilla/all.hpp
index d4aee7adf2..8429868ce4 100644
--- a/ql/pricingengines/vanilla/all.hpp
+++ b/ql/pricingengines/vanilla/all.hpp
@@ -8,6 +8,7 @@
 #include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
+#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
 #include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp>
 #include <ql/pricingengines/vanilla/batesengine.hpp>
 #include <ql/pricingengines/vanilla/binomialengine.hpp>

From bf703728ef0782b7ebd5c63e052ac864257f868d Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 12 Jul 2010 16:35:55 +0000
Subject: [PATCH 020/410] Reserved correct number of elements (thanks to
 Kakhkhor Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17328 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Contributors.txt        |  1 +
 Docs/pages/authors.docs | 61 +++++++++++++++++++++--------------------
 ql/timegrid.cpp         |  2 +-
 3 files changed, 33 insertions(+), 31 deletions(-)

diff --git a/Contributors.txt b/Contributors.txt
index 47687c01c1..d6091f414c 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -2,6 +2,7 @@
 We gratefully acknowledge contributions from:
 
 Nathan Abbott
+Kakhkhor Abdijalilov
 Xavier Abulker
 Toyin Akin
 Marius Akre
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index d1542b89e6..a093d8d253 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -38,36 +38,37 @@
     
     \section contributors Contributors
 
-    We gratefully acknowledge contributions from Nathan Abbott, Xavier
-    Abulker, Toyin Akin, Marius Akre, Mario Aleppo, Jose Aparicio,
-    Sercan Atalik, Cl&eacute;ment Barret, Christopher Baus, Thomas
-    Becker, Micha&euml;l Benguigui, HAdolfo Benin, achemi Benyahia,
-    Luca Berardi, Sylvain Bertrand, David Binderman, Theo Boafo,
-    Fakher Braham, Joe Byers, Antoine Cellerier, Yee Man Chan,
-    Aurelien Chanudet, Yiping Chen, Yanice Cherrak, Warren Chou, Jon
-    Davidson, Daniele De Francesco, Fr&eacute;d&eacute;ric Degraeve,
-    Piero Del Boca, Piter Dias, Cristina Duminuco, Dirk Eddelbuettel,
-    Bernd Engelmann, Giorgio Facchinetti, Paul Farrington, Lorella
-    Fatone, Luca Ferraro, Chiara Fornarola, Silvia Frasson, Andreas
-    Gaida, Matteo Gallivanoni, Roman Gitlin, Marek Glowacki, Richard
-    Gomes, Richard Gould, Florent Grenier, Cavit Hafizoglu, Michael
-    Heckl, Laurent Hoffmann, Beno&icirc;t Houzelle, Frank
-    H&ouml;vermann, Charles Chongseok Hyun, Simon Ibbotson, Tomoya
-    Kawanishi, Gary Kennedy, Matt Knox, Andrew Kolesnikov, Silakhdar
-    Krikeb, Yan Kuang, Allen Kuo, Paul Laderoute, James Lee, Samuel
-    Lerouge, Gang Liang, Robert Lopez, Andr&eacute; Louw, John Maiden,
-    Katiuscia Manzoni, Francesca Mariani, Slava Mazur, Enrico
-    Michelotti, Radu Mondescu, Bart Mosley, Tiziano M&uuml;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
-    Schwartz, Eugene Shevkoplyas, Enrico Sirola, Maxim Sokolov, Niels
-    Elken S&oslash;nderby, Andreas Spengler, Roland Stamm, Marco
-    Tarenghi, Fran&ccedil;ois du Vignaud, Charles Whitmore, Bernd
-    Johannes Wuebben, Sun Xiuxin, Jeff Yu, and Francesco Zirilli.
+    We gratefully acknowledge contributions from Nathan Abbott,
+    Kakhkhor Abdijalilov, Xavier Abulker, Toyin Akin, Marius Akre,
+    Mario Aleppo, Jose Aparicio, Sercan Atalik, Cl&eacute;ment Barret,
+    Christopher Baus, Thomas Becker, Micha&euml;l Benguigui, HAdolfo
+    Benin, achemi Benyahia, Luca Berardi, Sylvain Bertrand, David
+    Binderman, Theo Boafo, Fakher Braham, Joe Byers, Antoine
+    Cellerier, Yee Man Chan, Aurelien Chanudet, Yiping Chen, Yanice
+    Cherrak, Warren Chou, Jon Davidson, Daniele De Francesco,
+    Fr&eacute;d&eacute;ric Degraeve, Piero Del Boca, Piter Dias,
+    Cristina Duminuco, Dirk Eddelbuettel, Bernd Engelmann, Giorgio
+    Facchinetti, Paul Farrington, Lorella Fatone, Luca Ferraro, Chiara
+    Fornarola, Silvia Frasson, Andreas Gaida, Matteo Gallivanoni,
+    Roman Gitlin, Marek Glowacki, Richard Gomes, Richard Gould,
+    Florent Grenier, Cavit Hafizoglu, Michael Heckl, Laurent Hoffmann,
+    Beno&icirc;t Houzelle, Frank H&ouml;vermann, Charles Chongseok
+    Hyun, Simon Ibbotson, Tomoya Kawanishi, Gary Kennedy, Matt Knox,
+    Andrew Kolesnikov, Silakhdar Krikeb, Yan Kuang, Allen Kuo, Paul
+    Laderoute, James Lee, Samuel Lerouge, Gang Liang, Robert Lopez,
+    Andr&eacute; Louw, John Maiden, Katiuscia Manzoni, Francesca
+    Mariani, Slava Mazur, Enrico Michelotti, Radu Mondescu, Bart
+    Mosley, Tiziano M&uuml;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 Schwartz, Eugene Shevkoplyas,
+    Enrico Sirola, Maxim Sokolov, Niels Elken S&oslash;nderby, Andreas
+    Spengler, Roland Stamm, Marco Tarenghi, Fran&ccedil;ois du
+    Vignaud, Charles Whitmore, Bernd Johannes Wuebben, Sun Xiuxin,
+    Jeff Yu, and Francesco Zirilli.
 
     %QuantLib also includes code taken from Peter J&auml;ckel's book
     "Monte Carlo Methods in Finance".
diff --git a/ql/timegrid.cpp b/ql/timegrid.cpp
index e117e8ccf7..0fc9293305 100644
--- a/ql/timegrid.cpp
+++ b/ql/timegrid.cpp
@@ -30,7 +30,7 @@ namespace QuantLib {
         QL_REQUIRE(end > 0.0,
                    "negative times not allowed");
         Time dt = end/steps;
-        times_.reserve(steps);
+        times_.reserve(steps+1);
         for (Size i=0; i<=steps; i++)
             times_.push_back(dt*i);
 

From 0c204a8cdd9eef2b38fd5ce8edd3440bd1eed223 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 12 Jul 2010 16:36:12 +0000
Subject: [PATCH 021/410] Inherit privately from boost::noncopyable (thanks to
 Kakhkhor Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17329 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp b/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
index d35d4ee346..590ff8dea0 100644
--- a/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
+++ b/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
@@ -43,7 +43,7 @@ namespace QuantLib {
     */
     class CapFloorTermVolCurve : public CapFloorTermVolatilityStructure,
                                  public LazyObject,
-                                 public boost::noncopyable {
+                                 private boost::noncopyable {
       public:
         //! floating reference date, floating market data
         CapFloorTermVolCurve(Natural settlementDays,

From 77aed31fa470740d8e3a0b050eb70e5008d05524 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 12 Jul 2010 16:36:27 +0000
Subject: [PATCH 022/410] Improvements for Longstaff-Schwarz path pricer.

- cleaner loop code;
- release memory after calibration.

Thanks to Kakhkhor Abdijalilov.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17330 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | 11 +++++------
 1 file changed, 5 insertions(+), 6 deletions(-)

diff --git a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
index 338dda2f34..11bd930a6f 100644
--- a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
+++ b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
@@ -128,10 +128,8 @@ namespace QuantLib {
         Array prices(n), exercise(n);
         const Size len = EarlyExerciseTraits<PathType>::pathLength(paths_[0]);
 
-        std::transform(paths_.begin(), paths_.end(), prices.begin(),
-                       boost::bind(&EarlyExercisePathPricer<PathType>
-                                     ::operator(),
-                                   pathPricer_.get(), _1, len-1));
+        for (Size i=0; i<n; ++i)
+            prices[i] = (*pathPricer_)(paths_[i], len-1);
 
         for (Size i=len-2; i>0; --i) {
             std::vector<Real>      y;
@@ -172,8 +170,9 @@ namespace QuantLib {
             }
         }
 
-        // remove calibration paths
-        paths_.clear();
+        // remove calibration paths and release memory
+        std::vector<PathType> empty;
+        paths_.swap(empty);
         // entering the calculation phase
         calibrationPhase_ = false;
     }

From 91c9bcf8cf58958dc0485c281d672d3ae2e0093a Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 12 Jul 2010 16:36:42 +0000
Subject: [PATCH 023/410] Improved documentation (thanks to Kakhkhor
 Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17331 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/randomnumbers/randomsequencegenerator.hpp | 5 +++++
 1 file changed, 5 insertions(+)

diff --git a/ql/math/randomnumbers/randomsequencegenerator.hpp b/ql/math/randomnumbers/randomsequencegenerator.hpp
index 8526024188..7ae98034fa 100644
--- a/ql/math/randomnumbers/randomsequencegenerator.hpp
+++ b/ql/math/randomnumbers/randomsequencegenerator.hpp
@@ -38,6 +38,11 @@ namespace QuantLib {
         \code
             RNG::sample_type RNG::next() const;
         \endcode
+        If a client of this class wants to use the nextInt32Sequence method,
+        class RNG must also implement
+        \code
+            unsigned long RNG::nextInt32() const;
+        \endcode
 
         \warning do not use with low-discrepancy sequence generator.
     */

From 648ef0be32084c25cb010bb921e2bfe0f93c2184 Mon Sep 17 00:00:00 2001
From: markjoshi <markjoshi@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 27 Jul 2010 03:31:07 +0000
Subject: [PATCH 024/410] cleaning up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17332 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../evolvers/marketmodelvolprocess.hpp         |  1 -
 .../marketmodels/pathwiseaccountingengine.cpp  | 18 +++++++++++++++++-
 .../marketmodels/pathwiseaccountingengine.hpp  |  8 ++++++++
 .../pathwisegreeks/ratepseudorootjacobian.cpp  |  2 ++
 .../products/multistep/multistepratchet.cpp    |  2 +-
 .../products/multistep/multistepratchet.hpp    |  5 ++++-
 6 files changed, 32 insertions(+), 4 deletions(-)

diff --git a/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp b/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp
index ebb6fb30a1..4e6d4a35bf 100644
--- a/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp
+++ b/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp
@@ -19,7 +19,6 @@
 
 #ifndef quantlib_market_model_vol_process_hpp
 #define quantlib_market_model_vol_process_hpp
-
 #include <ql/types.hpp>
 #include <vector>
 
diff --git a/ql/models/marketmodels/pathwiseaccountingengine.cpp b/ql/models/marketmodels/pathwiseaccountingengine.cpp
index a23ea2f4cf..259e6e4303 100644
--- a/ql/models/marketmodels/pathwiseaccountingengine.cpp
+++ b/ql/models/marketmodels/pathwiseaccountingengine.cpp
@@ -24,6 +24,7 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #include <ql/models/marketmodels/curvestate.hpp>
 #include <ql/models/marketmodels/marketmodel.hpp>
 #include <algorithm>
+#include <iostream>
 
 namespace QuantLib {
 
@@ -860,7 +861,12 @@ namespace QuantLib {
         } // modelVegaMatrix destroyed here 
 
         numberElementaryVegas_ = numberSteps_*numberRates_*factors_;
-
+/*
+        gaussians_.resize(numberSteps_);
+        distinguishedFactor_=0;
+        distinguishedRate_=0;
+        distinguishedStep_=0;
+*/
     }
 
     Real PathwiseVegasOuterAccountingEngine::singlePathValues(std::vector<Real>& values)
@@ -925,6 +931,8 @@ namespace QuantLib {
                                          evolver_->browniansThisStep(),
                                          jacobiansThisPaths_[thisStep]);
 
+//            gaussians_[thisStep] = evolver_->browniansThisStep();
+
 
 
             // for each product...
@@ -1074,8 +1082,16 @@ namespace QuantLib {
                                 Real sensitivity =0.0;
 
                                 for (Size r=0; r < numberRates_; ++r)
+                                {
                                         sensitivity += V_[i][nextIndex][r]*jacobiansThisPaths_[j][r][k][f];
 
+                                  }
+/*
+                                  if (j ==distinguishedStep_ && k ==distinguishedRate_ &&f== distinguishedFactor_)
+                                      std::cout << sensitivity << "," <<  jacobiansThisPaths_[j][j][k][f] << "," << gaussians_[j][f] << "," << V_[i][nextIndex][j] << "," << LIBORRates_[nextIndex][j] << "\n";
+  */                
+
+
                                 elementary_vegas_ThisPath_[i][j][k][f] = sensitivity;
                         }
                 }
diff --git a/ql/models/marketmodels/pathwiseaccountingengine.hpp b/ql/models/marketmodels/pathwiseaccountingengine.hpp
index b8c545d36a..d6f98ad602 100644
--- a/ql/models/marketmodels/pathwiseaccountingengine.hpp
+++ b/ql/models/marketmodels/pathwiseaccountingengine.hpp
@@ -261,7 +261,15 @@ namespace QuantLib {
         std::vector<Matrix> totalCashFlowsThisIndex_; // need product cross times cross which sensitivity
 
         std::vector<std::vector<Size> > cashFlowIndicesThisStep_;
+/*
+        // experimental
+
+        std::vector<std::vector<Real> > gaussians_;
+        int distinguishedFactor_;
+        int distinguishedRate_;
+        int  distinguishedStep_;
 
+*/
     };
 
 }
diff --git a/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp b/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp
index fccff84086..c7e22db2c6 100644
--- a/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp
+++ b/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp
@@ -331,6 +331,8 @@ namespace QuantLib
 
             }
     }
+
+    
 }
 
 
diff --git a/ql/models/marketmodels/products/multistep/multistepratchet.cpp b/ql/models/marketmodels/products/multistep/multistepratchet.cpp
index dd3b6de578..79e8218ccb 100644
--- a/ql/models/marketmodels/products/multistep/multistepratchet.cpp
+++ b/ql/models/marketmodels/products/multistep/multistepratchet.cpp
@@ -39,7 +39,7 @@ namespace QuantLib {
       spreadOfFloor_(spreadOfFloor), spreadOfFixing_(spreadOfFixing),
       payer_(payer), multiplier_(payer ? 1.0 : -1.0),
       lastIndex_(rateTimes.size()-1),
-      floor_(initialFloor) {
+      initialFloor_(initialFloor) {
         checkIncreasingTimes(paymentTimes);
     }
 
diff --git a/ql/models/marketmodels/products/multistep/multistepratchet.hpp b/ql/models/marketmodels/products/multistep/multistepratchet.hpp
index 1edb06e53f..7ba3eb987c 100644
--- a/ql/models/marketmodels/products/multistep/multistepratchet.hpp
+++ b/ql/models/marketmodels/products/multistep/multistepratchet.hpp
@@ -55,6 +55,7 @@ namespace QuantLib {
         bool payer_;
         Real multiplier_;
         Size lastIndex_;
+        Real initialFloor_;
         // things that vary in a path
         Real floor_;
         Size currentIndex_;
@@ -77,8 +78,10 @@ namespace QuantLib {
         return 1;
     }
 
-    inline void MultiStepRatchet::reset() {
+    inline void MultiStepRatchet::reset() 
+    {
        currentIndex_=0;
+       floor_ = initialFloor_;
     }
 
 }

From 20839262970817b71f31e65804ffd44c956256b0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 2 Aug 2010 10:44:18 +0000
Subject: [PATCH 025/410] fixed (rare) duplicated date case, generated by
 endofmonth adjustment of near dates when the last period is very short

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17349 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/schedule.cpp | 8 ++++++++
 1 file changed, 8 insertions(+)

diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index d0ef884a08..b960d4e88a 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -352,6 +352,14 @@ namespace QuantLib {
                                                 terminationDateConvention);
             }
         }
+
+        // final safety check to remove duplicated last dates, if any
+        // it can happen if EOM is applied to two near dates
+        if (dates_.back() == dates_[dates_.size()-2]) {
+            dates_.pop_back();
+            isRegular_.pop_back();
+        }
+
     }
 
     std::vector<Date>::const_iterator

From e7b46d05409e4b28e91f75d0dfee2ece693bde45 Mon Sep 17 00:00:00 2001
From: markjoshi <markjoshi@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 25 Aug 2010 03:12:00 +0000
Subject: [PATCH 026/410] added TARN

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17353 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../products/multistep/multisteptarn.cpp      | 116 ++++++++++++++++++
 .../products/multistep/multisteptarn.hpp      |  72 +++++++++++
 2 files changed, 188 insertions(+)
 create mode 100644 ql/models/marketmodels/products/multistep/multisteptarn.cpp
 create mode 100644 ql/models/marketmodels/products/multistep/multisteptarn.hpp

diff --git a/ql/models/marketmodels/products/multistep/multisteptarn.cpp b/ql/models/marketmodels/products/multistep/multisteptarn.cpp
new file mode 100644
index 0000000000..18a8e76023
--- /dev/null
+++ b/ql/models/marketmodels/products/multistep/multisteptarn.cpp
@@ -0,0 +1,116 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Mark Joshi
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+#include <ql/models/marketmodels/products/multistep/multisteptarn.hpp>
+
+#include <ql/models/marketmodels/curvestate.hpp>
+#include <ql/models/marketmodels/utilities.hpp>
+#include <cmath>
+
+namespace QuantLib {
+
+    MultiStepTarn::MultiStepTarn(const std::vector<Time>& rateTimes,
+                         const std::vector<Real>& accruals,
+                         const std::vector<Real>& accrualsFloating,                         
+                         const std::vector<Time>& paymentTimes,
+                         const std::vector<Time>& paymentTimesFloating,
+                         Real totalCoupon,
+                         const std::vector<Real>& strikes,
+                         const std::vector<Real>& multipliers,
+                         const std::vector<Real>& floatingSpreads)
+    : MultiProductMultiStep(rateTimes),
+      accruals_(accruals), accrualsFloating_(accrualsFloating), paymentTimes_(paymentTimes),paymentTimesFloating_(paymentTimesFloating),allPaymentTimes_(paymentTimes),
+      totalCoupon_(totalCoupon), strikes_(strikes), multipliers_(multipliers), floatingSpreads_(floatingSpreads)
+    {
+        QL_REQUIRE(accruals_.size()+1 == rateTimes.size(), "missized accruals in MultiStepTARN");
+        QL_REQUIRE(accrualsFloating.size()+1 == rateTimes.size(), "missized accrualsFloating in MultiStepTARN");
+        QL_REQUIRE(paymentTimes.size()+1 == rateTimes.size(), "missized paymentTimes in MultiStepTARN");
+        QL_REQUIRE(paymentTimesFloating.size()+1 == rateTimes.size(), "missized paymentTimesFloating in MultiStepTARN");
+        QL_REQUIRE(strikes.size()+1 == rateTimes.size(), "missized strikes in MultiStepTARN");
+        QL_REQUIRE(floatingSpreads.size()+1 == rateTimes.size(), "missized floatingSpreads in MultiStepTARN");
+
+        lastIndex_ = accruals.size();
+
+        for (Size i=0; i < paymentTimesFloating_.size(); ++i)
+            allPaymentTimes_.push_back(paymentTimes[i]);
+
+
+    }
+
+    bool MultiStepTarn::nextTimeStep(
+            const CurveState& currentState,
+            std::vector<Size>& numberCashFlowsThisStep,
+            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
+                                                                 genCashFlows)
+    {
+        Rate liborRate = currentState.forwardRate(currentIndex_);
+        
+        numberCashFlowsThisStep[0] =2;
+        
+        genCashFlows[0][0].amount = (liborRate+floatingSpreads_[currentIndex_])*accrualsFloating_[currentIndex_];
+        genCashFlows[0][0].timeIndex = lastIndex_ + currentIndex_;
+
+        genCashFlows[0][1].timeIndex =  currentIndex_;
+
+        Real obviousCoupon = std::max(strikes_[currentIndex_] - multipliers_[currentIndex_]*liborRate,0.0)*accruals_[currentIndex_];
+
+        couponPaid_+= obviousCoupon;
+
+        ++currentIndex_;
+
+        if (couponPaid_ < totalCoupon_ && currentIndex_ < lastIndex_ )
+        {
+              genCashFlows[0][1].amount = -  obviousCoupon;
+              return false;
+        }
+
+        Real coupon = obviousCoupon +(totalCoupon_ -couponPaid_);
+        genCashFlows[0][1].amount = - coupon;
+
+        return true;
+    }
+
+    std::auto_ptr<MarketModelMultiProduct> MultiStepTarn::clone() const {
+        return std::auto_ptr<MarketModelMultiProduct>(
+                                                 new MultiStepTarn(*this));
+    }
+
+
+
+    std::vector<Time>
+    MultiStepTarn::possibleCashFlowTimes() const {
+        return allPaymentTimes_;
+    }
+
+   Size MultiStepTarn::numberOfProducts() const {
+        return 1;
+    }
+
+    Size
+    MultiStepTarn::maxNumberOfCashFlowsPerProductPerStep() const {
+        return 2;
+    }
+
+    void MultiStepTarn::reset() 
+    {
+       currentIndex_=0;
+       couponPaid_ = 0.0;
+    }
+
+}
+
diff --git a/ql/models/marketmodels/products/multistep/multisteptarn.hpp b/ql/models/marketmodels/products/multistep/multisteptarn.hpp
new file mode 100644
index 0000000000..f7fa4aa011
--- /dev/null
+++ b/ql/models/marketmodels/products/multistep/multisteptarn.hpp
@@ -0,0 +1,72 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Mark Joshi
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_multistep_tarn_hpp
+#define quantlib_multistep_tarn_hpp
+
+#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
+
+namespace QuantLib {
+
+    class MultiStepTarn : public MultiProductMultiStep {
+      public:
+        MultiStepTarn(const std::vector<Time>& rateTimes,
+                         const std::vector<Real>& accruals,
+                         const std::vector<Real>& accrualsFloating,                         
+                         const std::vector<Time>& paymentTimes,
+                         const std::vector<Time>& paymentTimesFloating,
+                         Real totalCoupon,
+                         const std::vector<Real>& strikes,
+                         const std::vector<Real>& multipliers,
+                         const std::vector<Real>& floatingSpreads);
+        //! \name MarketModelMultiProduct interface
+        //@{
+        std::vector<Time> possibleCashFlowTimes() const;
+        Size numberOfProducts() const;
+        Size maxNumberOfCashFlowsPerProductPerStep() const;
+        void reset();
+        bool nextTimeStep(
+                     const CurveState& currentState,
+                     std::vector<Size>& numberCashFlowsThisStep,
+                     std::vector<std::vector<CashFlow> >& cashFlowsGenerated);
+        std::auto_ptr<MarketModelMultiProduct> clone() const;
+        //@}
+      private:
+        std::vector<Real> accruals_;
+        std::vector<Real> accrualsFloating_;
+        std::vector<Time> paymentTimes_;
+        std::vector<Time> paymentTimesFloating_;
+        std::vector<Time> allPaymentTimes_;
+        Real totalCoupon_;
+        std::vector<Real> strikes_;
+        std::vector<Real> multipliers_;
+        std::vector<Real> floatingSpreads_;
+        Size lastIndex_;
+      
+        // things that vary in a path
+        Real couponPaid_;
+        Size currentIndex_;
+    };
+
+
+
+
+}
+
+#endif

From 67717027838f80e567bf72103b9331bff735e8d6 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 26 Aug 2010 11:15:56 +0000
Subject: [PATCH 027/410] relaxed constraint on effectiveDate. Note: as of
 today there are 2 optionletstripper tests failing: they are failing
 independently from this commit

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17354 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/schedule.cpp | 21 +++++++++++++++++++--
 ql/time/schedule.hpp |  2 +-
 2 files changed, 20 insertions(+), 3 deletions(-)

diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index b960d4e88a..962af6140e 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -72,7 +72,7 @@ namespace QuantLib {
       finalIsRegular_(true),
       dates_(dates) {}
 
-    Schedule::Schedule(const Date& effectiveDate,
+    Schedule::Schedule(Date effectiveDate,
                        const Date& terminationDate,
                        const Period& tenor,
                        const Calendar& cal,
@@ -92,8 +92,25 @@ namespace QuantLib {
       finalIsRegular_(true)
     {
         // sanity checks
-        QL_REQUIRE(effectiveDate != Date(), "null effective date");
         QL_REQUIRE(terminationDate != Date(), "null termination date");
+
+        // in many cases (e.g. non-expired bonds) the effective date is not
+        // really necessary. In these cases a decent placeholder is enough
+        if (effectiveDate==Date() && first==Date()
+                                  && rule==DateGeneration::Backward) {
+            Date evalDate = Settings::instance().evaluationDate();
+            QL_REQUIRE(evalDate < terminationDate, "null effective date");
+            Natural y;
+            if (nextToLast != Date()) {
+                y = (nextToLast - evalDate)/366 + 1;
+                effectiveDate = nextToLast - y*Years;
+            } else {
+                y = (terminationDate - evalDate)/366 + 1;
+                effectiveDate = terminationDate - y*Years;
+            }
+        } else
+            QL_REQUIRE(effectiveDate != Date(), "null effective date");
+
         QL_REQUIRE(effectiveDate < terminationDate,
                    "effective date (" << effectiveDate
                    << ") later than or equal to termination date ("
diff --git a/ql/time/schedule.hpp b/ql/time/schedule.hpp
index 6e84eb4bab..186ca5663c 100644
--- a/ql/time/schedule.hpp
+++ b/ql/time/schedule.hpp
@@ -42,7 +42,7 @@ namespace QuantLib {
         Schedule(const std::vector<Date>&,
                  const Calendar& calendar = NullCalendar(),
                  BusinessDayConvention convention = Unadjusted);
-        Schedule(const Date& effectiveDate,
+        Schedule(Date effectiveDate,
                  const Date& terminationDate,
                  const Period& tenor,
                  const Calendar& calendar,

From 0ec5570eaaa9139b9d88f0f9b338dc282a44fb06 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 28 Aug 2010 10:47:42 +0000
Subject: [PATCH 028/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17355
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/models/marketmodels/products/multistep/Makefile.am | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

diff --git a/ql/models/marketmodels/products/multistep/Makefile.am b/ql/models/marketmodels/products/multistep/Makefile.am
index 51a0bf4a0a..fceeeaff59 100644
--- a/ql/models/marketmodels/products/multistep/Makefile.am
+++ b/ql/models/marketmodels/products/multistep/Makefile.am
@@ -18,7 +18,8 @@ this_include_HEADERS = \
     multistepperiodcapletswaptions.hpp \
     multistepratchet.hpp \
     multistepswap.hpp \
-    multistepswaption.hpp
+    multistepswaption.hpp \
+    multisteptarn.hpp
 
 libMarketModelsProductsMultiStep_la_SOURCES = \
     callspecifiedmultiproduct.cpp \
@@ -35,7 +36,8 @@ libMarketModelsProductsMultiStep_la_SOURCES = \
     multistepperiodcapletswaptions.cpp \
     multistepratchet.cpp \
     multistepswap.cpp \
-    multistepswaption.cpp
+    multistepswaption.cpp \
+    multisteptarn.cpp
 
 noinst_LTLIBRARIES = libMarketModelsProductsMultiStep.la
 

From 71e00bb02a9799c21e741b1229148b9f790c39b8 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 29 Aug 2010 17:57:42 +0000
Subject: [PATCH 029/410] fixed index access

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17356 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/analyticptdhestonengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/pricingengines/vanilla/analyticptdhestonengine.cpp b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
index 65d129e5d0..fbad24d672 100644
--- a/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
+++ b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
@@ -90,7 +90,7 @@ namespace QuantLib {
         std::complex<Real> D = 0.0;
         std::complex<Real> C = 0.0;
 
-        for (Size i=timeGrid_.size(); i > 0; --i) {
+        for (Size i=timeGrid_.size()-1; i > 0; --i) {
             const Time begin = timeGrid_[i-1];
             if (begin < term_) {
                 const Time end = std::min(term_, timeGrid_[i]);

From 332beea2cd6bf301abec2dcd0473f9377c18075c Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Sep 2010 09:45:04 +0000
Subject: [PATCH 030/410] - added specialized BTP class to help instantiation
 of this type of FixedRateBond - added RendistatoCalculator class

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17360 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc8.vcproj          |   8 ++
 QuantLib_vc9.vcproj          |   8 ++
 ql/instruments/bonds/btp.cpp | 193 +++++++++++++++++++++++++++++++++++
 ql/instruments/bonds/btp.hpp | 193 +++++++++++++++++++++++++++++++++++
 4 files changed, 402 insertions(+)
 create mode 100644 ql/instruments/bonds/btp.cpp
 create mode 100644 ql/instruments/bonds/btp.hpp

diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 472f6a4ac4..f7a18ab86a 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -1450,6 +1450,14 @@
 					RelativePath=".\ql\instruments\bonds\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\cmsratebond.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 79012b0ca7..ef69d73622 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -1795,6 +1795,14 @@
 					RelativePath=".\ql\instruments\bonds\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\cmsratebond.cpp"
 					>
diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
new file mode 100644
index 0000000000..9f8128a0b6
--- /dev/null
+++ b/ql/instruments/bonds/btp.cpp
@@ -0,0 +1,193 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/instruments/bonds/btp.hpp>
+#include <ql/instruments/makevanillaswap.hpp>
+#include <ql/pricingengines/bond/bondfunctions.hpp>
+#include <ql/time/schedule.hpp>
+#include <ql/time/calendars/target.hpp>
+#include <ql/time/calendars/nullcalendar.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/utilities/dataformatters.hpp>
+
+namespace QuantLib {
+
+    BTP::BTP(const Date& maturityDate,
+             Rate fixedRate,
+             Real redemption,
+             const Date& startDate,
+             const Date& issueDate)
+    : FixedRateBond(3, 100.0,
+                    Schedule(startDate,
+                             maturityDate, 6*Months,
+                             NullCalendar(), Unadjusted, Unadjusted,
+                             DateGeneration::Backward, true),
+                    std::vector<Rate>(1, fixedRate),
+                    ActualActual(ActualActual::ISMA),
+                    ModifiedFollowing, redemption, issueDate, TARGET()) {}
+
+    Rate BTP::yield(Real cleanPrice,
+                    Date settlementDate,
+                    Real accuracy,
+                    Size maxEvaluations) const {
+        return Bond::yield(cleanPrice, ActualActual(ActualActual::ISMA),
+                           Compounded, Annual,
+                           settlementDate, accuracy, maxEvaluations);
+    }
+
+
+    RendistatoBasket::RendistatoBasket(
+            const std::vector<boost::shared_ptr<BTP> >& btps,
+            const std::vector<Real>& outstandings,
+            const std::vector<Handle<Quote> >& cleanPriceQuotes)
+    : btps_(btps), outstandings_(outstandings), quotes_(cleanPriceQuotes) {
+
+        QL_REQUIRE(!btps_.empty(), "empty RendistatoCalculator Basket");
+        Size k = btps_.size();
+
+        QL_REQUIRE(outstandings_.size()==k,
+                   "mismatch between number of BTPs (" << k <<
+                   ") and number of outstandings (" <<
+                   outstandings_.size() << ")");
+        QL_REQUIRE(quotes_.size()==k,
+                   "mismatch between number of BTPs (" << k <<
+                   ") and number of clean prices quotes (" <<
+                   quotes_.size() << ")");
+
+        // require non-negative outstanding
+        for (Size i=0; i<k; ++i) {
+            QL_REQUIRE(outstandings[i]>=0,
+                       "negative outstanding for " << io::ordinal(i) <<
+                       " bond, maturity " << btps[i]->maturityDate());
+            // add check for prices ??
+        }
+
+        // TODO: filter out expired bonds, zero outstanding bond, etc
+
+        QL_REQUIRE(!btps_.empty(), "invalid bonds only in RendistatoCalculator Basket");
+        n_ = btps_.size();
+
+        outstanding_ = 0.0;
+        for (Size i=0; i<n_; ++i)
+            outstanding_ += outstandings[i];
+
+        weights_.resize(n_);
+        for (Size i=0; i<n_; ++i) {
+            weights_[i] = outstandings[i]/outstanding_;
+            registerWith(quotes_[i]);
+        }
+
+    }
+
+
+    RendistatoCalculator::RendistatoCalculator(
+                            const boost::shared_ptr<RendistatoBasket>& basket,
+                            const boost::shared_ptr<Euribor>& euriborIndex,
+                            const Handle<YieldTermStructure>& discountCurve)
+    : basket_(basket),
+      euriborIndex_(euriborIndex), discountCurve_(discountCurve),
+      yields_(basket_->size(), 0.05), durations_(basket_->size()) {
+        registerWith(basket_);
+
+        // TODO: generalize number of swaps and their lenghts
+        Rate dummyRate = 0.05;
+        for (Size i=0; i<10; ++i) {
+            Natural lenght = i+2;
+            swapLenghts_.push_back(lenght);
+            boost::shared_ptr<VanillaSwap> swap =
+                MakeVanillaSwap(lenght*Years, euriborIndex_, dummyRate, 1*Days).
+                    withDiscountingTermStructure(discountCurve_);
+            swaps_.push_back(swap);
+        }
+        nSwaps_ = swaps_.size();
+    }
+
+    void RendistatoCalculator::performCalculations() const {
+
+        const std::vector<boost::shared_ptr<BTP> >& btps = basket_->btps();
+        const std::vector<Handle<Quote> >& quotes = basket_->cleanPriceQuotes();
+        for (Size i=0; i<basket_->size(); ++i) {
+            yields_[i] = BondFunctions::yield(
+                *btps[i], quotes[i]->value(),
+                ActualActual(ActualActual::ISMA), Compounded, Annual,
+                // settlementDate, accuracy, maxIterations, guess
+                Date(), 1.0e-10, 100, yields_[i]); 
+            durations_[i] = BondFunctions::duration(
+                *btps[i], yields_[i],
+                ActualActual(ActualActual::ISMA), Compounded, Annual,
+                Duration::Modified, Date()); // settlementDate
+        }
+        duration_ = std::inner_product(basket_->weights().begin(),
+                                       basket_->weights().end(),
+                                       durations_.begin(), 0.0);
+
+        equivalentSwapIndex_=nSwaps_-1;
+        // starting from second swap
+        for (Size i=1; i<nSwaps_; ++i) {
+            Rate swapRate = swaps_[i]->fairRate();
+            FixedRateBond swapBond(btps[i]->settlementDays(),
+                                   100.0, // faceAmount
+                                   swaps_[i]->fixedSchedule(),
+                                   std::vector<Rate>(1, swapRate),
+                                   swaps_[i]->fixedDayCount(),
+                                   Following, 100.0); // paymentConvention, redemption
+            // should be the NPV of the floating leg with end payment
+            Real swapBondPrice = 100.0;
+            Rate swapBondYield = BondFunctions::yield(
+                swapBond, swapBondPrice,
+                ActualActual(ActualActual::ISMA), Compounded, Annual,
+                // settlementDate, accuracy, maxIterations, guess
+                Date(), 1.0e-10, 100, swapRate);
+            Time swapBondDuration = BondFunctions::duration(
+                swapBond, swapBondYield,
+                ActualActual(ActualActual::ISMA), Compounded, Annual,
+                Duration::Modified, Date()); // settlementDate
+            if (swapBondDuration > duration_) {
+                equivalentSwapIndex_ = i-1;
+                continue; // exit the loop
+            }
+        }
+
+        return;
+    }
+
+    RendistatoEquivalentSwapLengthQuote::RendistatoEquivalentSwapLengthQuote(
+        const boost::shared_ptr<RendistatoCalculator>& r) : r_(r) {}
+
+    bool RendistatoEquivalentSwapLengthQuote::isValid() const {
+        try {
+            value();
+            return true;
+        } catch (...) {
+            return false;
+        }
+    }
+
+    RendistatoEquivalentSwapSpreadQuote::RendistatoEquivalentSwapSpreadQuote(
+        const boost::shared_ptr<RendistatoCalculator>& r) : r_(r) {}
+
+    bool RendistatoEquivalentSwapSpreadQuote::isValid() const {
+        try {
+            value();
+            return true;
+        } catch (...) {
+            return false;
+        }
+    }
+}
diff --git a/ql/instruments/bonds/btp.hpp b/ql/instruments/bonds/btp.hpp
new file mode 100644
index 0000000000..e8dd08c7d9
--- /dev/null
+++ b/ql/instruments/bonds/btp.hpp
@@ -0,0 +1,193 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file btp.hpp
+    \brief Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
+*/
+
+#ifndef quantlib_btp_hpp
+#define quantlib_btp_hpp
+
+#include <ql/instruments/bonds/fixedratebond.hpp>
+#include <ql/indexes/ibor/euribor.hpp>
+#include <ql/instruments/vanillaswap.hpp>
+
+#include <numeric>
+
+namespace QuantLib {
+
+    //! Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
+    /*! \ingroup instruments
+
+    */
+    class BTP : public FixedRateBond {
+      public:
+        BTP(const Date& maturityDate,
+            Rate fixedRate,
+            Real redemption = 100.0,
+            const Date& startDate = Date(),
+            const Date& issueDate = Date());
+        //! BTP yield given a (clean) price and settlement date
+        /*! The default BTP conventions are used: Actual/Actual (ISMA),
+            Compounded, Annual.
+            The default bond settlement is used if no date is given. */
+        Rate yield(Real cleanPrice,
+                   Date settlementDate = Date(),
+                   Real accuracy = 1.0e-8,
+                   Size maxEvaluations = 100) const;
+    };
+
+    class RendistatoBasket : public Observer,
+                             public Observable {
+      public:
+        RendistatoBasket(const std::vector<boost::shared_ptr<BTP> >& btps,
+                         const std::vector<Real>& outstandings,
+                         const std::vector<Handle<Quote> >& cleanPriceQuotes);
+        //! \name Inspectors
+        //@{
+        Size size() const { return n_;}
+        const std::vector<boost::shared_ptr<BTP> >& btps() const { return btps_;}
+        const std::vector<Real>& outstandings() const { return outstandings_;}
+        const std::vector<Handle<Quote> >& cleanPriceQuotes() const { return quotes_;}
+        const std::vector<Real>& weights() const { return weights_;}
+        Real outstanding() const { return outstanding_;}
+        //@}
+        //! \name Observer interface
+        //@{
+        void update() { notifyObservers(); }
+        //@}
+      private:
+        std::vector<boost::shared_ptr<BTP> > btps_;
+        std::vector<Real> outstandings_;
+        std::vector<Handle<Quote> > quotes_;
+        Real outstanding_;
+        Size n_;
+        std::vector<Real> weights_;
+    };
+
+    class RendistatoCalculator : LazyObject {
+      public:
+        RendistatoCalculator(const boost::shared_ptr<RendistatoBasket>& basket,
+                             const boost::shared_ptr<Euribor>& euriborIndex,
+                             const Handle<YieldTermStructure>& discountCurve);
+        //! \name Calculations
+        //@{
+        Rate yield() const;
+        const std::vector<Rate>& yields() const;
+        Time duration() const;
+        const std::vector<Time>& durations() const;
+        //@}
+        //! \name Equivalent Swap proxy
+        //@{
+        boost::shared_ptr<VanillaSwap> equivalentSwap() const;
+        Rate equivalentSwapRate() const { return equivalentSwap()->fairRate();}
+        Time equivalentSwapLength() const;
+        Spread equivalentSwapSpread() const;
+        //@}
+      protected:
+        //! \name LazyObject interface
+        //@{
+        void performCalculations() const;
+        //@}
+      private:
+        boost::shared_ptr<RendistatoBasket> basket_;
+        boost::shared_ptr<Euribor> euriborIndex_;
+        Handle<YieldTermStructure> discountCurve_;
+
+        mutable std::vector<Rate> yields_;
+        mutable std::vector<Time> durations_;
+        mutable Time duration_;
+        mutable Size equivalentSwapIndex_;
+
+        std::vector<boost::shared_ptr<VanillaSwap> > swaps_;
+        std::vector<Time> swapLenghts_;
+        Size nSwaps_;
+    };
+
+    //! RendistatoCalculator equivalent swap lenth Quote adapter
+    class RendistatoEquivalentSwapLengthQuote : public Quote {
+      public:
+        RendistatoEquivalentSwapLengthQuote(
+            const boost::shared_ptr<RendistatoCalculator>& r);
+        Real value() const;
+        bool isValid() const;
+      private:
+        boost::shared_ptr<RendistatoCalculator> r_;
+    };
+
+    //! RendistatoCalculator equivalent swap spread Quote adapter
+    class RendistatoEquivalentSwapSpreadQuote : public Quote {
+      public:
+        RendistatoEquivalentSwapSpreadQuote(
+            const boost::shared_ptr<RendistatoCalculator>& r);
+        Real value() const;
+        bool isValid() const;
+      private:
+        boost::shared_ptr<RendistatoCalculator> r_;
+    };
+
+    // inline
+    
+    inline Rate RendistatoCalculator::yield() const {
+        return std::inner_product(basket_->weights().begin(),
+                                  basket_->weights().end(),
+                                  yields().begin(), 0.0);
+    }
+
+    inline const std::vector<Rate>& RendistatoCalculator::yields() const {
+        calculate();
+        return yields_;
+    }
+
+    inline Time RendistatoCalculator::duration() const {
+        calculate();
+        return duration_;
+    }
+
+    inline const std::vector<Time>& RendistatoCalculator::durations() const {
+        calculate();
+        return durations_;
+    }
+
+    inline boost::shared_ptr<VanillaSwap>
+    RendistatoCalculator::equivalentSwap() const {
+        calculate();
+        return swaps_[equivalentSwapIndex_];
+    }
+
+    inline Time RendistatoCalculator::equivalentSwapLength() const {
+        calculate();
+        return swapLenghts_[equivalentSwapIndex_];
+    }
+
+    inline Spread RendistatoCalculator::equivalentSwapSpread() const {
+        return yield() - equivalentSwapRate();
+    }
+
+    inline Real RendistatoEquivalentSwapLengthQuote::value() const {
+        return r_->equivalentSwapLength();
+    }
+
+    inline Real RendistatoEquivalentSwapSpreadQuote::value() const {
+        return r_->equivalentSwapSpread();
+    }
+
+}
+
+#endif

From 9f2d51207cd404c7bb80415d5dfaea338b1f4869 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Sep 2010 11:36:24 +0000
Subject: [PATCH 031/410] VC8/9 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17362 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc8.vcproj | 8 ++++++++
 QuantLib_vc9.vcproj | 8 ++++++++
 2 files changed, 16 insertions(+)

diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index f7a18ab86a..79cb695267 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -3104,6 +3104,14 @@
 							RelativePath=".\ql\models\marketmodels\products\multistep\multistepswaption.hpp"
 							>
 						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.cpp"
+							>
+						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.hpp"
+							>
+						</File>
 					</Filter>
 					<Filter
 						Name="onestep"
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index ef69d73622..43ed52adf7 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -3461,6 +3461,14 @@
 							RelativePath=".\ql\models\marketmodels\products\multistep\multistepswaption.hpp"
 							>
 						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.cpp"
+							>
+						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.hpp"
+							>
+						</File>
 					</Filter>
 					<Filter
 						Name="onestep"

From 67b90d0e70a703750f7f955cf427e2c99d009b70 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Sep 2010 12:41:03 +0000
Subject: [PATCH 032/410] - added specialized BTP class to help instantiation
 of this type of FixedRateBond - added RendistatoCalculator class

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17363 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/Makefile.am | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/ql/instruments/bonds/Makefile.am b/ql/instruments/bonds/Makefile.am
index 217ce35188..776dd5167e 100644
--- a/ql/instruments/bonds/Makefile.am
+++ b/ql/instruments/bonds/Makefile.am
@@ -4,12 +4,14 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    btp.hpp \
     cmsratebond.hpp \
     fixedratebond.hpp \
     floatingratebond.hpp \
     zerocouponbond.hpp
 
 libBonds_la_SOURCES = \
+    btp.cpp \
     cmsratebond.cpp \
     fixedratebond.cpp \
     floatingratebond.cpp \

From a18861d8fa4580b4376b781b5913a5d2d719dbfd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Sep 2010 16:24:57 +0000
Subject: [PATCH 033/410] - fixed RendistatoCalculator bug - added inspectors -
 implemented minor improvements

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17365 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/btp.cpp | 88 +++++++++++++++++++++++-------------
 ql/instruments/bonds/btp.hpp | 76 ++++++++++++++++++++++++++-----
 2 files changed, 121 insertions(+), 43 deletions(-)

diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
index 9f8128a0b6..f972467d1c 100644
--- a/ql/instruments/bonds/btp.cpp
+++ b/ql/instruments/bonds/btp.cpp
@@ -102,65 +102,89 @@ namespace QuantLib {
                             const Handle<YieldTermStructure>& discountCurve)
     : basket_(basket),
       euriborIndex_(euriborIndex), discountCurve_(discountCurve),
-      yields_(basket_->size(), 0.05), durations_(basket_->size()) {
+      yields_(basket_->size(), 0.05), durations_(basket_->size()),
+      nSwaps_(15), // TODO: generalize number of swaps and their lenghts
+      swaps_(nSwaps_),
+      swapLenghts_(nSwaps_), swapBondDurations_(nSwaps_, Null<Time>()),
+      swapBondYields_(nSwaps_, 0.05), swapRates_(nSwaps_, Null<Rate>())
+    {
         registerWith(basket_);
+        registerWith(euriborIndex_);
+        registerWith(discountCurve_);
 
-        // TODO: generalize number of swaps and their lenghts
         Rate dummyRate = 0.05;
-        for (Size i=0; i<10; ++i) {
-            Natural lenght = i+2;
-            swapLenghts_.push_back(lenght);
-            boost::shared_ptr<VanillaSwap> swap =
-                MakeVanillaSwap(lenght*Years, euriborIndex_, dummyRate, 1*Days).
-                    withDiscountingTermStructure(discountCurve_);
-            swaps_.push_back(swap);
+        for (Size i=0; i<nSwaps_; ++i) {
+            swapLenghts_[i] = i+1;
+            swaps_[i] = MakeVanillaSwap(
+                swapLenghts_[i]*Years, euriborIndex_, dummyRate, 1*Days)
+                                .withDiscountingTermStructure(discountCurve_);
         }
-        nSwaps_ = swaps_.size();
     }
 
     void RendistatoCalculator::performCalculations() const {
 
         const std::vector<boost::shared_ptr<BTP> >& btps = basket_->btps();
         const std::vector<Handle<Quote> >& quotes = basket_->cleanPriceQuotes();
+        Date bondSettlementDate = btps[0]->settlementDate();
         for (Size i=0; i<basket_->size(); ++i) {
             yields_[i] = BondFunctions::yield(
                 *btps[i], quotes[i]->value(),
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
-                // settlementDate, accuracy, maxIterations, guess
-                Date(), 1.0e-10, 100, yields_[i]); 
+                bondSettlementDate,
+                // accuracy, maxIterations, guess
+                1.0e-10, 100, yields_[i]);
             durations_[i] = BondFunctions::duration(
                 *btps[i], yields_[i],
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
-                Duration::Modified, Date()); // settlementDate
+                Duration::Modified, bondSettlementDate);
         }
         duration_ = std::inner_product(basket_->weights().begin(),
                                        basket_->weights().end(),
                                        durations_.begin(), 0.0);
 
-        equivalentSwapIndex_=nSwaps_-1;
-        // starting from second swap
+        Natural settlDays = 3;
+        DayCounter fixedDayCount = swaps_[0]->fixedDayCount();
+        equivalentSwapIndex_ = nSwaps_-1;
+        swapRates_[0]= swaps_[0]->fairRate();
+        FixedRateBond swapBond(settlDays,
+                               100.0,      // faceAmount
+                               swaps_[0]->fixedSchedule(),
+                               std::vector<Rate>(1, swapRates_[0]),
+                               fixedDayCount,
+                               Following, // paymentConvention
+                               100.0);    // redemption
+        swapBondYields_[0] = BondFunctions::yield(swapBond,
+            100.0, // floating leg NPV including end payment
+            ActualActual(ActualActual::ISMA), Compounded, Annual,
+            bondSettlementDate,
+            // accuracy, maxIterations, guess
+            1.0e-10, 100, swapBondYields_[0]);
+        swapBondDurations_[0] = BondFunctions::duration(
+            swapBond, swapBondYields_[0],
+            ActualActual(ActualActual::ISMA), Compounded, Annual,
+            Duration::Modified, bondSettlementDate);
         for (Size i=1; i<nSwaps_; ++i) {
-            Rate swapRate = swaps_[i]->fairRate();
-            FixedRateBond swapBond(btps[i]->settlementDays(),
-                                   100.0, // faceAmount
+            swapRates_[i]= swaps_[i]->fairRate();
+            FixedRateBond swapBond(settlDays,
+                                   100.0,      // faceAmount
                                    swaps_[i]->fixedSchedule(),
-                                   std::vector<Rate>(1, swapRate),
-                                   swaps_[i]->fixedDayCount(),
-                                   Following, 100.0); // paymentConvention, redemption
-            // should be the NPV of the floating leg with end payment
-            Real swapBondPrice = 100.0;
-            Rate swapBondYield = BondFunctions::yield(
-                swapBond, swapBondPrice,
+                                   std::vector<Rate>(1, swapRates_[i]),
+                                   fixedDayCount,
+                                   Following, // paymentConvention
+                                   100.0);    // redemption
+            swapBondYields_[i] = BondFunctions::yield(swapBond,
+                100.0, // floating leg NPV including end payment
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
-                // settlementDate, accuracy, maxIterations, guess
-                Date(), 1.0e-10, 100, swapRate);
-            Time swapBondDuration = BondFunctions::duration(
-                swapBond, swapBondYield,
+                bondSettlementDate,
+                // accuracy, maxIterations, guess
+                1.0e-10, 100, swapBondYields_[i]);
+            swapBondDurations_[i] = BondFunctions::duration(
+                swapBond, swapBondYields_[i],
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
-                Duration::Modified, Date()); // settlementDate
-            if (swapBondDuration > duration_) {
+                Duration::Modified, bondSettlementDate);
+            if (swapBondDurations_[i] > duration_) {
                 equivalentSwapIndex_ = i-1;
-                continue; // exit the loop
+                break; // exit the loop
             }
         }
 
diff --git a/ql/instruments/bonds/btp.hpp b/ql/instruments/bonds/btp.hpp
index e8dd08c7d9..561e967576 100644
--- a/ql/instruments/bonds/btp.hpp
+++ b/ql/instruments/bonds/btp.hpp
@@ -62,9 +62,9 @@ namespace QuantLib {
         //! \name Inspectors
         //@{
         Size size() const { return n_;}
-        const std::vector<boost::shared_ptr<BTP> >& btps() const { return btps_;}
+        const std::vector<boost::shared_ptr<BTP> >& btps() const;
+        const std::vector<Handle<Quote> >& cleanPriceQuotes() const;
         const std::vector<Real>& outstandings() const { return outstandings_;}
-        const std::vector<Handle<Quote> >& cleanPriceQuotes() const { return quotes_;}
         const std::vector<Real>& weights() const { return weights_;}
         Real outstanding() const { return outstanding_;}
         //@}
@@ -89,14 +89,22 @@ namespace QuantLib {
         //! \name Calculations
         //@{
         Rate yield() const;
-        const std::vector<Rate>& yields() const;
         Time duration() const;
+        // bonds
+        const std::vector<Rate>& yields() const;
         const std::vector<Time>& durations() const;
+        // swaps
+        const std::vector<Time>& swapLengths() const;
+        const std::vector<Rate>& swapRates() const;
+        const std::vector<Rate>& swapYields() const;
+        const std::vector<Time>& swapDurations() const;
         //@}
         //! \name Equivalent Swap proxy
         //@{
         boost::shared_ptr<VanillaSwap> equivalentSwap() const;
-        Rate equivalentSwapRate() const { return equivalentSwap()->fairRate();}
+        Rate equivalentSwapRate() const;
+        Rate equivalentSwapYield() const;
+        Time equivalentSwapDuration() const;
         Time equivalentSwapLength() const;
         Spread equivalentSwapSpread() const;
         //@}
@@ -115,9 +123,11 @@ namespace QuantLib {
         mutable Time duration_;
         mutable Size equivalentSwapIndex_;
 
-        std::vector<boost::shared_ptr<VanillaSwap> > swaps_;
-        std::vector<Time> swapLenghts_;
         Size nSwaps_;
+        mutable std::vector<boost::shared_ptr<VanillaSwap> > swaps_;
+        std::vector<Time> swapLenghts_;
+        mutable std::vector<Time> swapBondDurations_;
+        mutable std::vector<Rate> swapBondYields_, swapRates_;
     };
 
     //! RendistatoCalculator equivalent swap lenth Quote adapter
@@ -143,21 +153,31 @@ namespace QuantLib {
     };
 
     // inline
-    
+
+    inline const std::vector<boost::shared_ptr<BTP> >&
+    RendistatoBasket::btps() const {
+        return btps_;
+    }
+
+    inline const std::vector<Handle<Quote> >&
+    RendistatoBasket::cleanPriceQuotes() const {
+        return quotes_;
+    }
+
     inline Rate RendistatoCalculator::yield() const {
         return std::inner_product(basket_->weights().begin(),
                                   basket_->weights().end(),
                                   yields().begin(), 0.0);
     }
 
-    inline const std::vector<Rate>& RendistatoCalculator::yields() const {
+    inline Time RendistatoCalculator::duration() const {
         calculate();
-        return yields_;
+        return duration_;
     }
 
-    inline Time RendistatoCalculator::duration() const {
+    inline const std::vector<Rate>& RendistatoCalculator::yields() const {
         calculate();
-        return duration_;
+        return yields_;
     }
 
     inline const std::vector<Time>& RendistatoCalculator::durations() const {
@@ -165,12 +185,46 @@ namespace QuantLib {
         return durations_;
     }
 
+    inline const std::vector<Time>& RendistatoCalculator::swapLengths() const {
+        return swapLenghts_;
+    }
+
+    inline const std::vector<Rate>& RendistatoCalculator::swapRates() const {
+        calculate();
+        return swapRates_;
+    }
+
+    inline const std::vector<Rate>& RendistatoCalculator::swapYields() const {
+        calculate();
+        return swapBondYields_;
+    }
+
+    inline const std::vector<Time>& RendistatoCalculator::swapDurations() const {
+        calculate();
+        return swapBondDurations_;
+    }
+
     inline boost::shared_ptr<VanillaSwap>
     RendistatoCalculator::equivalentSwap() const {
         calculate();
         return swaps_[equivalentSwapIndex_];
     }
 
+    inline Rate RendistatoCalculator::equivalentSwapRate() const {
+        calculate();
+        return swapRates_[equivalentSwapIndex_];
+    }
+
+    inline Rate RendistatoCalculator::equivalentSwapYield() const {
+        calculate();
+        return swapBondYields_[equivalentSwapIndex_];
+    }
+
+    inline Time RendistatoCalculator::equivalentSwapDuration() const {
+        calculate();
+        return swapBondDurations_[equivalentSwapIndex_];
+    }
+
     inline Time RendistatoCalculator::equivalentSwapLength() const {
         calculate();
         return swapLenghts_[equivalentSwapIndex_];

From 93edd8da5c5168c4f8eedb47500c9468021b8857 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Sep 2010 16:27:59 +0000
Subject: [PATCH 034/410] added Quote sensitivities. The function approach will
 be incorporated in a more efficient class based approach later

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17367 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/risk/sensitivityanalysis.cpp | 160 +++++++++++++++++--
 ql/experimental/risk/sensitivityanalysis.hpp |  52 +++++-
 2 files changed, 191 insertions(+), 21 deletions(-)

diff --git a/ql/experimental/risk/sensitivityanalysis.cpp b/ql/experimental/risk/sensitivityanalysis.cpp
index 8a2f56aba0..a74f279ea4 100644
--- a/ql/experimental/risk/sensitivityanalysis.cpp
+++ b/ql/experimental/risk/sensitivityanalysis.cpp
@@ -22,6 +22,7 @@
 #include <ql/instrument.hpp>
 
 using std::vector;
+using std::pair;
 using boost::shared_ptr;
 
 namespace QuantLib {
@@ -55,10 +56,10 @@ namespace QuantLib {
         return npv;
     }
 
-    std::pair<Real, Real>
+    pair<Real, Real>
     parallelAnalysis(const vector<Handle<SimpleQuote> >& quotes,
                      const vector<shared_ptr<Instrument> >& instruments,
-                     const std::vector<Real>& quantities,
+                     const vector<Real>& quantities,
                      Real shift,
                      SensitivityAnalysis type,
                      Real referenceNpv)
@@ -68,7 +69,7 @@ namespace QuantLib {
 
         QL_REQUIRE(shift!=0.0, "zero shift not allowed");
 
-        std::pair<Real, Real> result(0.0, 0.0);
+        pair<Real, Real> result(0.0, 0.0);
         if (instruments.empty()) return result;
 
         if (referenceNpv==Null<Real>())
@@ -115,17 +116,17 @@ namespace QuantLib {
         return result;
     }
 
-    std::pair<Real, Real>
+    pair<Real, Real>
     bucketAnalysis(Handle<SimpleQuote> quote,
                    const vector<shared_ptr<Instrument> >& instruments,
-                   const std::vector<Real>& quantities,
+                   const vector<Real>& quantities,
                    Real shift,
                    SensitivityAnalysis type,
                    Real referenceNpv)
     {
         QL_REQUIRE(shift!=0.0, "zero shift not allowed");
 
-        std::pair<Real, Real> result(0.0, 0.0);
+        pair<Real, Real> result(0.0, 0.0);
         if (instruments.empty()) return result;
 
         if (referenceNpv==Null<Real>())
@@ -163,23 +164,121 @@ namespace QuantLib {
         return result;
     }
 
-    std::pair<vector<Real>, vector<Real> >
+
+    void
+    bucketAnalysis(vector<Real>& deltaVector, // delta result
+                   vector<Real>& gammaVector, // gamma result
+                   Handle<SimpleQuote> quote,
+                   const vector<Handle<Quote> >& params,
+                   Real shift,
+                   SensitivityAnalysis type,
+                   vector<Real>& refVals)
+    {
+        QL_REQUIRE(shift!=0.0, "zero shift not allowed");
+
+        QL_REQUIRE(!params.empty(), "empty parameters vector");
+        Size m = params.size();
+        deltaVector.resize(m);
+        gammaVector.resize(m);
+
+        if (!quote->isValid()) {
+            for (Size j=0; j<m; ++j) {
+                deltaVector[j]=Null<Real>();
+                gammaVector[j]=Null<Real>();
+            }
+            return;
+        }
+        Real quoteValue = quote->value();
+
+        if (!refVals.empty()) {
+            QL_REQUIRE(refVals.size()==m,
+                       "referenceValues has size " <<
+                       refVals.size() << ", instead of " << m);
+        } else {
+            // calculate parameters' reference values
+            refVals = vector<Real>(m, Null<Real>());
+            for (Size j=0; j<m; ++j) {
+                if (params[j]->isValid()) // fault tolerant
+                    refVals[j] = params[j]->value();
+            }
+        }
+
+        try {
+            switch (type) {
+              case OneSide:
+                {
+                    quote->setValue(quoteValue+shift);
+                    for (Size j=0; j<m; ++j) {
+                        gammaVector[j] = Null<Real>();
+                        if (refVals[j] != Null<Real>())
+                            deltaVector[j] = (params[j]->value()-refVals[j])/shift;
+                        else
+                            deltaVector[j] = Null<Real>();
+                    }
+                }
+                break;
+              case Centered:
+                {
+                    quote->setValue(quoteValue+shift);
+                    vector<Real> plus(m);
+                    for (Size j=0; j<m; ++j) {
+                        if (refVals[j] != Null<Real>())
+                            plus[j] = params[j]->value();
+                    }
+                    quote->setValue(quoteValue-shift);
+                    for (Size j=0; j<m; ++j) {
+                        if (refVals[j] != Null<Real>()) {
+                            Real minus = params[j]->value();
+                            deltaVector[j] = (plus[j]-minus)/(2.0*shift);
+                            gammaVector[j] = (plus[j]-2.0*refVals[j]+minus)/(shift*shift);
+                        } else {
+                            deltaVector[j] = Null<Real>();
+                            gammaVector[j] = Null<Real>();
+                        }
+                    }
+                }
+                break;
+              default:
+                  QL_FAIL("unknown SensitivityAnalysis (" <<
+                          Integer(type) << ")");
+            } // end switch
+
+            // restore the quote to its original state
+            quote->setValue(quoteValue);
+
+            return;
+        } catch (std::exception& e) {
+            // restore the quote to its original state
+            quote->setValue(quoteValue);
+            throw e;
+        } catch (...) {
+            // restore the quote to its original state
+            quote->setValue(quoteValue);
+        }
+
+    }
+
+
+
+
+
+    pair<vector<Real>, vector<Real> >
     bucketAnalysis(const vector<Handle<SimpleQuote> >& quotes,
                    const vector<shared_ptr<Instrument> >& instr,
-                   const std::vector<Real>& quant,
+                   const vector<Real>& quant,
                    Real shift,
                    SensitivityAnalysis type)
     {
         QL_REQUIRE(!quotes.empty(), "empty SimpleQuote vector");
         Size n = quotes.size();
-        std::pair<vector<Real>, vector<Real> > result(vector<Real>(n, 0.0),
-                                                      vector<Real>(n, 0.0));
+        pair<vector<Real>, vector<Real> > result(vector<Real>(n, 0.0),
+                                                 vector<Real>(n, 0.0));
 
         if (instr.empty()) return result;
 
         Real npv = aggregateNPV(instr, quant);
 
-        std::pair<Real, Real> tmp;
+        pair<Real, Real> tmp;
         for (Size i=0; i<n; ++i) {
             tmp = bucketAnalysis(quotes[i], instr, quant, shift, type, npv);
             result.first[i] = tmp.first;
@@ -189,10 +288,41 @@ namespace QuantLib {
         return result;
     }
 
-    std::pair<vector<vector<Real> >, vector<vector<Real> > >
+    void
+    bucketAnalysis(std::vector<std::vector<Real> >& deltaMatrix, // result
+                   std::vector<std::vector<Real> >& gammaMatrix, // result
+                   const vector<Handle<SimpleQuote> >& quotes,
+                   const vector<Handle<Quote> >& parameters,
+                   Real shift,
+                   SensitivityAnalysis type)
+    {
+        QL_REQUIRE(!quotes.empty(), "empty SimpleQuote vector");
+        QL_REQUIRE(!parameters.empty(), "empty parameters vector");
+
+        Size n = quotes.size();
+        deltaMatrix.resize(n);
+        gammaMatrix.resize(n);
+
+        Size m = parameters.size();
+        vector<Real> referenceValues(m, Null<Real>());
+        for (Size i=0; i<m; ++i) {
+            if (parameters[i]->isValid())
+                referenceValues[i] = parameters[i]->value();
+        }
+
+        for (Size i=0; i<n; ++i) {
+            bucketAnalysis(deltaMatrix[i], gammaMatrix[i],
+                           quotes[i], parameters, shift, type,
+                           referenceValues);
+        }
+
+        return;
+    }
+
+    pair<vector<vector<Real> >, vector<vector<Real> > >
     bucketAnalysis(const vector<vector<Handle<SimpleQuote> > >& quotes,
                    const vector<shared_ptr<Instrument> >& instr,
-                   const std::vector<Real>& quant,
+                   const vector<Real>& quant,
                    Real shift,
                    SensitivityAnalysis type)
     {
@@ -206,14 +336,14 @@ namespace QuantLib {
             second[i] = vector<Real>(tmp, 0.0);
         }
 
-        std::pair<vector<vector<Real> >, vector<vector<Real> > >
+        pair<vector<vector<Real> >, vector<vector<Real> > >
             result(first, second);
 
         if (instr.empty()) return result;
 
         Real npv = aggregateNPV(instr, quant);
 
-        std::pair<Real, Real> tmp;
+        pair<Real, Real> tmp;
         for (Size i=0; i<n; ++i) {
           for (Size j=0; j<quotes[i].size(); ++j) {
             tmp = bucketAnalysis(quotes[i][j], instr, quant, shift, type, npv);
diff --git a/ql/experimental/risk/sensitivityanalysis.hpp b/ql/experimental/risk/sensitivityanalysis.hpp
index c297697022..4bd986206e 100644
--- a/ql/experimental/risk/sensitivityanalysis.hpp
+++ b/ql/experimental/risk/sensitivityanalysis.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2010 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -24,6 +24,7 @@
 #ifndef quantlib_sensitivity_analysis_hpp
 #define quantlib_sensitivity_analysis_hpp
 
+//#include <ql/math/matrix.hpp>
 #include <ql/types.hpp>
 #include <ql/utilities/null.hpp>
 #include <boost/shared_ptr.hpp>
@@ -33,6 +34,7 @@ namespace QuantLib {
 
     template <class T>
     class Handle;
+    class Quote;
     class SimpleQuote;
     class Instrument;
 
@@ -50,7 +52,7 @@ namespace QuantLib {
     Real aggregateNPV(const std::vector<boost::shared_ptr<Instrument> >&,
                       const std::vector<Real>& quantities);
 
-    //! parallel shift sensitivity analysis for a SimpleQuote vector
+    //! parallel shift PV01 sensitivity analysis for a SimpleQuote vector
     /*! returns a pair of first and second derivative values calculated as
         prescribed by SensitivityAnalysis. Second derivative might not be
         available depending on SensitivityAnalysis value.
@@ -68,7 +70,7 @@ namespace QuantLib {
                      SensitivityAnalysis type = Centered,
                      Real referenceNpv = Null<Real>());
 
-    //! parallel shift sensitivity analysis for a SimpleQuote matrix
+    //! parallel shift PV01 sensitivity analysis for a SimpleQuote matrix
     /*! returns a pair of first and second derivative values calculated as
         prescribed by SensitivityAnalysis. Second derivative might not be
         available depending on SensitivityAnalysis value.
@@ -86,7 +88,7 @@ namespace QuantLib {
                      SensitivityAnalysis type = Centered,
                      Real referenceNpv = Null<Real>());
 
-    //! (bucket) sensitivity analysis for a (single) SimpleQuote
+    //! (bucket) PV01 sensitivity analysis for a (single) SimpleQuote
     /*! returns a pair of first and second derivative values calculated as
         prescribed by SensitivityAnalysis. Second derivative might not be
         available depending on SensitivityAnalysis value.
@@ -102,7 +104,25 @@ namespace QuantLib {
                    SensitivityAnalysis type = Centered,
                    Real referenceNpv = Null<Real>());
 
-    //! bucket sensitivity analysis for a SimpleQuote vector
+    //! (bucket) parameters' sensitivity analysis for a (single) SimpleQuote
+    /*! returns a vector (one element for each paramet) of pair of first and
+        second derivative values calculated as prescribed by
+        SensitivityAnalysis. Second derivative might not be available
+        depending on SensitivityAnalysis value.
+
+        Empty quantities vector is considered as unit vector. The same if
+        the vector is of size one.
+    */
+    void
+    bucketAnalysis(std::vector<Real>& deltaVector, // result
+                   std::vector<Real>& gammaVector, // result
+                   Handle<SimpleQuote> quote,
+                   const std::vector<Handle<Quote> >& parameters,
+                   Real shift = 0.0001,
+                   SensitivityAnalysis type = Centered,
+                   std::vector<Real>& referenceValues = std::vector<Real>());
+
+    //! bucket PV01 sensitivity analysis for a SimpleQuote vector
     /*! returns a pair of first and second derivative vectors calculated as
         prescribed by SensitivityAnalysis. Second derivative might not be
         available depending on SensitivityAnalysis value.
@@ -113,12 +133,32 @@ namespace QuantLib {
         The (bucket) SimpleQuotes are tweaked one by one separately.
     */
     std::pair<std::vector<Real>, std::vector<Real> >
-    bucketAnalysis(const std::vector<Handle<SimpleQuote> >&,
+    bucketAnalysis(const std::vector<Handle<SimpleQuote> >& quotes,
                    const std::vector<boost::shared_ptr<Instrument> >&,
                    const std::vector<Real>& quantities,
                    Real shift = 0.0001,
                    SensitivityAnalysis type = Centered);
 
+    //! bucket parameters' sensitivity analysis for a SimpleQuote vector
+    /*! returns a vector (one element for each paramet) of pair of first and
+        second derivative vectors calculated as prescribed by
+        SensitivityAnalysis. Second derivative might not be available
+        depending on SensitivityAnalysis value.
+
+        Empty quantities vector is considered as unit vector. The same if
+        the vector is of size one.
+
+        The (bucket) SimpleQuotes are tweaked one by one separately.
+    */
+    void
+    bucketAnalysis(std::vector<std::vector<Real> >& deltaMatrix, // result
+                   std::vector<std::vector<Real> >& gammaMatrix, // result
+                   const std::vector<Handle<SimpleQuote> >& quotes,
+                   const std::vector<Handle<Quote> >& parameters,
+                   Real shift = 0.0001,
+                   SensitivityAnalysis type = Centered);
+
+
     //! bucket sensitivity analysis for a SimpleQuote matrix
     /*! returns a pair of first and second derivative metrices calculated as
         prescribed by SensitivityAnalysis. Second derivative might not be

From 4ece6c786aa9069ec989cef3557c6117581a4b59 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:50:22 +0000
Subject: [PATCH 035/410] Reworked Null class template (thanks to Kakhkhor
 Abdijalilov.)

The new implementation avoids the need for a macro on 64-bit systems
and automatically covers all floating-point and integer types.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17370 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/utilities/null.hpp | 109 ++++++++++--------------------------------
 1 file changed, 26 insertions(+), 83 deletions(-)

diff --git a/ql/utilities/null.hpp b/ql/utilities/null.hpp
index ac22519620..0192594678 100644
--- a/ql/utilities/null.hpp
+++ b/ql/utilities/null.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004 StatPro Italia srl
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -26,6 +27,7 @@
 #define quantlib_null_hpp
 
 #include <ql/types.hpp>
+#include <boost/type_traits.hpp>
 
 namespace QuantLib {
 
@@ -34,99 +36,40 @@ namespace QuantLib {
     class Null;
 
 
-#ifdef x64
-    //! template class providing a null value for a given type.
-    template <>
-    class Null<Size> {
-      public:
-        Null() {}
-        operator Size() const { return Size(QL_NULL_INTEGER); }
-    };
-#endif
+    namespace detail {
 
-#if !defined(__DOXYGEN__)
+        template <bool>
+        struct FloatingPointNull;
 
-    /* here we're trying to cover a number of types that one would possibly
-       use as Real, Integer and such. Were one to add his own user-defined
-       type, a suitable Null specialization should be added. */
+        // null value for floating-point types
+        template <>
+        struct FloatingPointNull<true> {
+            static float nullValue() {
+                return QL_NULL_REAL;
+            }
+        };
 
-    template <>
-    class Null<int> {
-      public:
-        Null() {}
-        operator int() const { return int(QL_NULL_INTEGER); }
-    };
-
-    template <>
-    class Null<long> {
-      public:
-        Null() {}
-        operator long() const { return long(QL_NULL_INTEGER); }
-    };
+        // null value for integer types
+        template <>
+        struct FloatingPointNull<false> {
+            static int nullValue() {
+                return QL_NULL_INTEGER;
+            }
+        };
 
-    template <>
-    class Null<unsigned int> {
-      public:
-        Null() {}
-        operator unsigned int() const {
-            return (unsigned int)(QL_NULL_INTEGER);
-        }
-    };
+    }
 
-    template <>
-    class Null<unsigned long> {
+    // default implementation for built-in types
+    template <typename T>
+    class Null {
       public:
         Null() {}
-        operator unsigned long() const {
-            return (unsigned long)(QL_NULL_INTEGER);
+        operator T() const {
+            return T(detail::FloatingPointNull<
+                         boost::is_floating_point<T>::value>::nullValue());
         }
     };
 
-    #if defined(QL_HAVE_LONG_LONG)
-
-    template <>
-    class Null<long long> {
-      public:
-        Null() {}
-        operator long long() const { return (long long)(QL_NULL_INTEGER); }
-    };
-
-    template <>
-    class Null<unsigned long long> {
-      public:
-        Null() {}
-        operator unsigned long long() const {
-            return (unsigned long long)(QL_NULL_INTEGER);
-        }
-    };
-
-    #endif
-
-    template <>
-    class Null<float> {
-      public:
-        Null() {}
-        operator float() const { return float(QL_NULL_REAL); }
-    };
-
-    template <>
-    class Null<double> {
-      public:
-        Null() {}
-        operator double() const { return double(QL_NULL_REAL); }
-    };
-
-    template <>
-    class Null<long double> {
-      public:
-        Null() {}
-        operator long double() const { return (long double)(QL_NULL_REAL); }
-    };
-
-
-
-#endif
-
 }
 
 

From f3b2ca65361ea824430784fa5612938671fb2f84 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:50:40 +0000
Subject: [PATCH 036/410] Updated all.hpp header with new files.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17371 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/marketmodels/products/multistep/all.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/models/marketmodels/products/multistep/all.hpp b/ql/models/marketmodels/products/multistep/all.hpp
index 2167c1fd83..90f0c1d67b 100644
--- a/ql/models/marketmodels/products/multistep/all.hpp
+++ b/ql/models/marketmodels/products/multistep/all.hpp
@@ -16,4 +16,5 @@
 #include <ql/models/marketmodels/products/multistep/multistepratchet.hpp>
 #include <ql/models/marketmodels/products/multistep/multistepswap.hpp>
 #include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>
+#include <ql/models/marketmodels/products/multistep/multisteptarn.hpp>
 

From 61fd6d4f8cb6176b4017690d64090c63bcce7a59 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:50:53 +0000
Subject: [PATCH 037/410] Formatted the contributors list as one name per line.

This makes it easier to perform diffs, and still gives nice HTML
output as the browsers ignore line breaks.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17372 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Docs/pages/authors.docs | 145 +++++++++++++++++++++++++++++++---------
 1 file changed, 114 insertions(+), 31 deletions(-)

diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index a093d8d253..9cc6ce79c1 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -38,37 +38,120 @@
     
     \section contributors Contributors
 
-    We gratefully acknowledge contributions from Nathan Abbott,
-    Kakhkhor Abdijalilov, Xavier Abulker, Toyin Akin, Marius Akre,
-    Mario Aleppo, Jose Aparicio, Sercan Atalik, Cl&eacute;ment Barret,
-    Christopher Baus, Thomas Becker, Micha&euml;l Benguigui, HAdolfo
-    Benin, achemi Benyahia, Luca Berardi, Sylvain Bertrand, David
-    Binderman, Theo Boafo, Fakher Braham, Joe Byers, Antoine
-    Cellerier, Yee Man Chan, Aurelien Chanudet, Yiping Chen, Yanice
-    Cherrak, Warren Chou, Jon Davidson, Daniele De Francesco,
-    Fr&eacute;d&eacute;ric Degraeve, Piero Del Boca, Piter Dias,
-    Cristina Duminuco, Dirk Eddelbuettel, Bernd Engelmann, Giorgio
-    Facchinetti, Paul Farrington, Lorella Fatone, Luca Ferraro, Chiara
-    Fornarola, Silvia Frasson, Andreas Gaida, Matteo Gallivanoni,
-    Roman Gitlin, Marek Glowacki, Richard Gomes, Richard Gould,
-    Florent Grenier, Cavit Hafizoglu, Michael Heckl, Laurent Hoffmann,
-    Beno&icirc;t Houzelle, Frank H&ouml;vermann, Charles Chongseok
-    Hyun, Simon Ibbotson, Tomoya Kawanishi, Gary Kennedy, Matt Knox,
-    Andrew Kolesnikov, Silakhdar Krikeb, Yan Kuang, Allen Kuo, Paul
-    Laderoute, James Lee, Samuel Lerouge, Gang Liang, Robert Lopez,
-    Andr&eacute; Louw, John Maiden, Katiuscia Manzoni, Francesca
-    Mariani, Slava Mazur, Enrico Michelotti, Radu Mondescu, Bart
-    Mosley, Tiziano M&uuml;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 Schwartz, Eugene Shevkoplyas,
-    Enrico Sirola, Maxim Sokolov, Niels Elken S&oslash;nderby, Andreas
-    Spengler, Roland Stamm, Marco Tarenghi, Fran&ccedil;ois du
-    Vignaud, Charles Whitmore, Bernd Johannes Wuebben, Sun Xiuxin,
-    Jeff Yu, and Francesco Zirilli.
+    We gratefully acknowledge contributions from
+    Nathan Abbott,
+    Kakhkhor Abdijalilov,
+    Xavier Abulker,
+    Toyin Akin,
+    Marius Akre,
+    Mario Aleppo,
+    Jose Aparicio,
+    Sercan Atalik,
+    Cl&eacute;ment Barret,
+    Christopher Baus,
+    Thomas Becker,
+    Micha&euml;l Benguigui,
+    Adolfo Benin,
+    Hachemi Benyahia,
+    Luca Berardi,
+    Sylvain Bertrand,
+    David Binderman,
+    Theo Boafo,
+    Fakher Braham,
+    Joe Byers,
+    Antoine Cellerier,
+    Yee Man Chan,
+    Aurelien Chanudet,
+    Yiping Chen,
+    Yanice Cherrak,
+    Warren Chou,
+    Jon Davidson,
+    Daniele De Francesco,
+    Fr&eacute;d&eacute;ric Degraeve,
+    Piero Del Boca,
+    Piter Dias,
+    Cristina Duminuco,
+    Dirk Eddelbuettel,
+    Bernd Engelmann,
+    Giorgio Facchinetti,
+    Paul Farrington,
+    Lorella Fatone,
+    Luca Ferraro,
+    Chiara Fornarola,
+    Silvia Frasson,
+    Andreas Gaida,
+    Matteo Gallivanoni,
+    Roman Gitlin,
+    Marek Glowacki,
+    Richard Gomes,
+    Richard Gould,
+    Florent Grenier,
+    Cavit Hafizoglu,
+    Michael Heckl,
+    Laurent Hoffmann,
+    Beno&icirc;t Houzelle,
+    Frank H&ouml;vermann,
+    Charles Chongseok Hyun,
+    Simon Ibbotson,
+    Norbert Irmer,
+    Tomoya Kawanishi,
+    Gary Kennedy,
+    Matt Knox,
+    Andrew Kolesnikov,
+    Silakhdar Krikeb,
+    Yan Kuang,
+    Allen Kuo,
+    Paul Laderoute,
+    James Lee,
+    Samuel Lerouge,
+    Gang Liang,
+    Robert Lopez,
+    Andr&eacute; Louw,
+    John Maiden,
+    Katiuscia Manzoni,
+    Francesca Mariani,
+    Slava Mazur,
+    Enrico Michelotti,
+    Radu Mondescu,
+    Bart Mosley,
+    Tiziano M&uuml;ller,
+    Bojan Nikolic,
+    Jean Nkeng,
+    Adrian O'Neill,
+    Andrea Odetti,
+    Mike Parker,
+    Guillaume Pealat,
+    Gilbert Peffer,
+    Walter 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&oslash;nderby,
+    Andreas Spengler,
+    Roland Stamm,
+    Marco Tarenghi,
+    Fran&ccedil;ois du Vignaud,
+    Charles Whitmore,
+    Bernd Johannes Wuebben,
+    Sun Xiuxin,
+    Jeff Yu,
+    and Francesco Zirilli.
 
     %QuantLib also includes code taken from Peter J&auml;ckel's book
     "Monte Carlo Methods in Finance".

From a47096d8a9862b6ea36b9d1403492901035cc71b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:51:14 +0000
Subject: [PATCH 038/410] Manage spread with any compounding (thanks to Robert
 Philipp.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17373 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Contributors.txt                              |  1 +
 Docs/pages/authors.docs                       |  1 +
 .../piecewisezerospreadedtermstructure.hpp    | 35 +++++++++++++++----
 3 files changed, 30 insertions(+), 7 deletions(-)

diff --git a/Contributors.txt b/Contributors.txt
index d6091f414c..d763f9620f 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -86,6 +86,7 @@ Guillaume Pealat
 Gilbert Peffer
 Walter Penschke
 Francesco Perissin
+Robert Philipp
 Adrien Pinatton
 Gianni Piolanti
 Mario Pucci
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index 9cc6ce79c1..0047418272 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -124,6 +124,7 @@
     Gilbert Peffer,
     Walter Penschke,
     Francesco Perissin,
+    Robert Philipp,
     Adrien Pinatton,
     Gianni Piolanti,
     Mario Pucci,
diff --git a/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp b/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp
index f89af46577..41527cc55d 100644
--- a/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp
+++ b/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2006 Roland Lichters
  Copyright (C) 2006, 2008 StatPro Italia srl
+ Copyright (C) 2010 Robert Philipp
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -46,7 +47,10 @@ namespace QuantLib {
       PiecewiseZeroSpreadedTermStructure(
                                    const Handle<YieldTermStructure>&,
                                    const std::vector<Handle<Quote> >& spreads,
-                                   const std::vector<Date>& dates);
+                                   const std::vector<Date>& dates,
+                                   Compounding comp = Continuous,
+                                   Frequency freq = NoFrequency,
+                                   const DayCounter& dc = DayCounter());
       //! \name YieldTermStructure interface
       //@{
       DayCounter dayCounter() const;
@@ -61,10 +65,14 @@ namespace QuantLib {
       void update();
     private:
       void updateTimes();
+      Spread calcSpread(Time t) const;
       Handle<YieldTermStructure> originalCurve_;
       std::vector<Handle<Quote> > spreads_;
       std::vector<Date> dates_;
       std::vector<Time> times_;
+      Compounding comp_;
+      Frequency freq_;
+      DayCounter dc_;
   };
 
 
@@ -74,9 +82,12 @@ namespace QuantLib {
     PiecewiseZeroSpreadedTermStructure::PiecewiseZeroSpreadedTermStructure(
                                    const Handle<YieldTermStructure>& h,
                                    const std::vector<Handle<Quote> >& spreads,
-                                   const std::vector<Date>& dates)
+                                   const std::vector<Date>& dates,
+                                   Compounding comp,
+                                   Frequency freq,
+                                   const DayCounter& dc)
     : originalCurve_(h), spreads_(spreads), dates_(dates),
-      times_(dates_.size()) {
+      times_(dates_.size()), comp_(comp), freq_(freq), dc_(dc) {
         QL_REQUIRE(!spreads_.empty(), "no spreads given");
         QL_REQUIRE(spreads_.size() == dates_.size(),
                    "spread and date vector have different sizes");
@@ -109,17 +120,27 @@ namespace QuantLib {
 
     inline Rate
     PiecewiseZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
-        Rate z = originalCurve_->zeroRate(t, Continuous, NoFrequency, true);
+        Spread spread = calcSpread(t);
+        InterestRate zeroRate = originalCurve_->zeroRate(t, comp_, freq_, true);
+        InterestRate spreadedRate(zeroRate + spread,
+                                  zeroRate.dayCounter(),
+                                  zeroRate.compounding(),
+                                  zeroRate.frequency());
+        return spreadedRate.equivalentRate(Continuous, NoFrequency, t);
+    }
+
+    inline Spread
+    PiecewiseZeroSpreadedTermStructure::calcSpread(Time t) const {
         if (t <= times_.front()) {
-            return z + spreads_.front()->value();
+            return spreads_.front()->value();
         } else if (t >= times_.back()) {
-            return z + spreads_.back()->value();
+            return spreads_.back()->value();
         } else {
             Size i;
             for (i = 0; i < times_.size(); i++)
                 if (times_[i] > t) break;
             Time dt = times_[i] - times_[i-1];
-            return z + spreads_[i]->value() * (t - times_[i-1]) / dt
+            return spreads_[i]->value() * (t - times_[i-1]) / dt
                 + spreads_[i-1]->value() * (times_[i] - t) / dt;
         }
     }

From e18121f00edae9e06674c0ad15b60e39122a79a4 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:51:29 +0000
Subject: [PATCH 039/410] Added new files to all.hpp and VC7 project.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17374 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc7.vcproj          | 12 ++++++++++++
 ql/instruments/bonds/all.hpp |  1 +
 2 files changed, 13 insertions(+)

diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index fd4e7f7bfc..77c7f2f039 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -2146,6 +2146,12 @@
 				<File
 					RelativePath=".\ql\instruments\bonds\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\btp.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\cmsratebond.cpp">
 				</File>
@@ -3876,6 +3882,12 @@
 						<File
 							RelativePath=".\ql\models\marketmodels\products\multistep\multistepswaption.hpp">
 						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.cpp">
+						</File>
+						<File
+							RelativePath=".\ql\models\marketmodels\products\multistep\multisteptarn.hpp">
+						</File>
 					</Filter>
 					<Filter
 						Name="pathwise"
diff --git a/ql/instruments/bonds/all.hpp b/ql/instruments/bonds/all.hpp
index 6a45628520..ac61e49656 100644
--- a/ql/instruments/bonds/all.hpp
+++ b/ql/instruments/bonds/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/instruments/bonds/btp.hpp>
 #include <ql/instruments/bonds/cmsratebond.hpp>
 #include <ql/instruments/bonds/fixedratebond.hpp>
 #include <ql/instruments/bonds/floatingratebond.hpp>

From 920219f7d1e64c8ed3cfd6df834b769dd9b38ae2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:51:44 +0000
Subject: [PATCH 040/410] Avoided multiple allocations (thanks to Kakhkhor
 Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17375 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

diff --git a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
index 11bd930a6f..6527868121 100644
--- a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
+++ b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
@@ -131,9 +131,11 @@ namespace QuantLib {
         for (Size i=0; i<n; ++i)
             prices[i] = (*pathPricer_)(paths_[i], len-1);
 
+        std::vector<Real>      y;
+        std::vector<StateType> x;
         for (Size i=len-2; i>0; --i) {
-            std::vector<Real>      y;
-            std::vector<StateType> x;
+            y.clear();
+            x.clear();
 
             //roll back step
             for (Size j=0; j<n; ++j) {

From 2454dfef46a1343488ddd4e22721fadfcdcae5be Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:51:59 +0000
Subject: [PATCH 041/410] Prevented initialization of singleton class
 instances.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17376 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/commodities/unitofmeasureconversionmanager.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/commodities/unitofmeasureconversionmanager.hpp b/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
index 117c7f601e..0437d80d05 100644
--- a/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
+++ b/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
@@ -36,7 +36,6 @@ namespace QuantLib {
         friend class Singleton<UnitOfMeasureConversionManager>;
 
       public:
-        UnitOfMeasureConversionManager();
         UnitOfMeasureConversion lookup(
             const CommodityType& commodityType,
             const UnitOfMeasure&,
@@ -48,6 +47,7 @@ namespace QuantLib {
 
       private:
         std::list<UnitOfMeasureConversion> data_;
+        UnitOfMeasureConversionManager();
         void addKnownConversionFactors();
         UnitOfMeasureConversion directLookup(const CommodityType& commodityType,
                                              const UnitOfMeasure& source,

From 1f45cb62921399c3052c1fdf971e9a8ce639e8e9 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Sep 2010 14:52:15 +0000
Subject: [PATCH 042/410] Reordered parameters.

According to gcc, a temporary cannot be a default value for
a non-const reference. I suppose a temporary is not an lvalue.
Anyway, the default value was removed and the parameter was
moved upwards.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17377 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/risk/sensitivityanalysis.cpp | 9 ++++-----
 ql/experimental/risk/sensitivityanalysis.hpp | 4 ++--
 2 files changed, 6 insertions(+), 7 deletions(-)

diff --git a/ql/experimental/risk/sensitivityanalysis.cpp b/ql/experimental/risk/sensitivityanalysis.cpp
index a74f279ea4..2154343aa6 100644
--- a/ql/experimental/risk/sensitivityanalysis.cpp
+++ b/ql/experimental/risk/sensitivityanalysis.cpp
@@ -168,11 +168,11 @@ namespace QuantLib {
     void
     bucketAnalysis(vector<Real>& deltaVector, // delta result
                    vector<Real>& gammaVector, // gamma result
+                   vector<Real>& refVals,
                    Handle<SimpleQuote> quote,
                    const vector<Handle<Quote> >& params,
                    Real shift,
-                   SensitivityAnalysis type,
-                   vector<Real>& refVals)
+                   SensitivityAnalysis type)
     {
         QL_REQUIRE(shift!=0.0, "zero shift not allowed");
 
@@ -311,9 +311,8 @@ namespace QuantLib {
         }
 
         for (Size i=0; i<n; ++i) {
-            bucketAnalysis(deltaMatrix[i], gammaMatrix[i],
-                           quotes[i], parameters, shift, type,
-                           referenceValues);
+            bucketAnalysis(deltaMatrix[i], gammaMatrix[i], referenceValues,
+                           quotes[i], parameters, shift, type);
         }
 
         return;
diff --git a/ql/experimental/risk/sensitivityanalysis.hpp b/ql/experimental/risk/sensitivityanalysis.hpp
index 4bd986206e..e1883607e2 100644
--- a/ql/experimental/risk/sensitivityanalysis.hpp
+++ b/ql/experimental/risk/sensitivityanalysis.hpp
@@ -116,11 +116,11 @@ namespace QuantLib {
     void
     bucketAnalysis(std::vector<Real>& deltaVector, // result
                    std::vector<Real>& gammaVector, // result
+                   std::vector<Real>& referenceValues,
                    Handle<SimpleQuote> quote,
                    const std::vector<Handle<Quote> >& parameters,
                    Real shift = 0.0001,
-                   SensitivityAnalysis type = Centered,
-                   std::vector<Real>& referenceValues = std::vector<Real>());
+                   SensitivityAnalysis type = Centered);
 
     //! bucket PV01 sensitivity analysis for a SimpleQuote vector
     /*! returns a pair of first and second derivative vectors calculated as

From 04f812d91af4be75285fef9f2257dcbea07fe535 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 16 Sep 2010 13:54:56 +0000
Subject: [PATCH 043/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17384 8618b1d8-e22c-0410-b026-96a5dba3e089

From bf2cabb5d845d632786e1c6c8c90071ad7e0ea8a Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 16 Sep 2010 14:28:37 +0000
Subject: [PATCH 044/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17387 8618b1d8-e22c-0410-b026-96a5dba3e089

From cea53632f7934d349d89cfa451ca48191b36dc54 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 17 Sep 2010 12:56:46 +0000
Subject: [PATCH 045/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17393 8618b1d8-e22c-0410-b026-96a5dba3e089

From 6eabd88980ce31010f4dff43479b8df2b8c1c0a7 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 17 Sep 2010 15:22:02 +0000
Subject: [PATCH 046/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17394 8618b1d8-e22c-0410-b026-96a5dba3e089

From ebfee2056a2e4d9e16bf45064b6b8c00f0a988a1 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 21 Sep 2010 15:59:12 +0000
Subject: [PATCH 047/410] Fixed passing of arguments to FDMultiPeriodEngine
 (thanks to Selene Makarios.)

FDMultiPeriodEngine class was taking and passing the number of
time steps and grid points in the wrong order (the order of the
parameters in the signature is opposite to that in all other FD
classes.  For backward compatibility, this was not changed.)
A couple of dividend-option tests now require more time steps to pass.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17400 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/fdbermudanengine.hpp    | 4 ++--
 ql/pricingengines/vanilla/fddividendengine.hpp    | 4 ++--
 ql/pricingengines/vanilla/fdmultiperiodengine.hpp | 2 +-
 test-suite/dividendoption.cpp                     | 2 +-
 4 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/pricingengines/vanilla/fdbermudanengine.hpp b/ql/pricingengines/vanilla/fdbermudanengine.hpp
index 07b225a0ce..9f9e77f846 100644
--- a/ql/pricingengines/vanilla/fdbermudanengine.hpp
+++ b/ql/pricingengines/vanilla/fdbermudanengine.hpp
@@ -42,8 +42,8 @@ namespace QuantLib {
              Size timeSteps = 100,
              Size gridPoints = 100,
              bool timeDependent = false)
-        : FDMultiPeriodEngine<Scheme>(process, timeSteps,
-                                      gridPoints, timeDependent) {}
+        : FDMultiPeriodEngine<Scheme>(process, gridPoints,
+                                      timeSteps, timeDependent) {}
         void calculate() const {
             this->setupArguments(&arguments_);
             FDMultiPeriodEngine<Scheme>::calculate(&results_);
diff --git a/ql/pricingengines/vanilla/fddividendengine.hpp b/ql/pricingengines/vanilla/fddividendengine.hpp
index 7e25a74ee7..df7ac00b7d 100644
--- a/ql/pricingengines/vanilla/fddividendengine.hpp
+++ b/ql/pricingengines/vanilla/fddividendengine.hpp
@@ -43,8 +43,8 @@ namespace QuantLib {
              Size timeSteps = 100,
              Size gridPoints = 100,
              bool timeDependent = false)
-        : FDMultiPeriodEngine<Scheme>(process, timeSteps,
-                                      gridPoints, timeDependent) {}
+        : FDMultiPeriodEngine<Scheme>(process, gridPoints,
+                                      timeSteps, timeDependent) {}
       protected:
         virtual void setupArguments(const PricingEngine::arguments*) const;
         void setGridLimits() const = 0;
diff --git a/ql/pricingengines/vanilla/fdmultiperiodengine.hpp b/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
index 8a4fabf4a3..7ac1d4b408 100644
--- a/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
+++ b/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
@@ -91,7 +91,7 @@ namespace QuantLib {
     FDMultiPeriodEngine<Scheme>::FDMultiPeriodEngine(
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
              Size gridPoints, Size timeSteps, bool timeDependent)
-    : FDVanillaEngine(process, gridPoints, timeSteps, timeDependent),
+    : FDVanillaEngine(process, timeSteps, gridPoints, timeDependent),
       timeStepPerPeriod_(timeSteps) {}
 
     template <template <class> class Scheme>
diff --git a/test-suite/dividendoption.cpp b/test-suite/dividendoption.cpp
index 018745f86c..be6dd8d071 100644
--- a/test-suite/dividendoption.cpp
+++ b/test-suite/dividendoption.cpp
@@ -847,7 +847,7 @@ namespace {
                             new BlackScholesMertonProcess(Handle<Quote>(spot),
                                                           qTS, rTS, volTS));
 
-        Size timeSteps = 40;
+        Size timeSteps = 300;
         Size gridPoints = 300;
 
         boost::shared_ptr<PricingEngine> engine(

From de68af0148bb8ef3c43e019b603185cd3699f6ee Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 28 Sep 2010 15:03:25 +0000
Subject: [PATCH 048/410] Fixed arguments order in FdMultiPeriodEngine.

Client code will still compile.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17401 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/fdbermudanengine.hpp    | 4 ++--
 ql/pricingengines/vanilla/fddividendengine.hpp    | 4 ++--
 ql/pricingengines/vanilla/fdmultiperiodengine.hpp | 4 ++--
 3 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/pricingengines/vanilla/fdbermudanengine.hpp b/ql/pricingengines/vanilla/fdbermudanengine.hpp
index 9f9e77f846..07b225a0ce 100644
--- a/ql/pricingengines/vanilla/fdbermudanengine.hpp
+++ b/ql/pricingengines/vanilla/fdbermudanengine.hpp
@@ -42,8 +42,8 @@ namespace QuantLib {
              Size timeSteps = 100,
              Size gridPoints = 100,
              bool timeDependent = false)
-        : FDMultiPeriodEngine<Scheme>(process, gridPoints,
-                                      timeSteps, timeDependent) {}
+        : FDMultiPeriodEngine<Scheme>(process, timeSteps,
+                                      gridPoints, timeDependent) {}
         void calculate() const {
             this->setupArguments(&arguments_);
             FDMultiPeriodEngine<Scheme>::calculate(&results_);
diff --git a/ql/pricingengines/vanilla/fddividendengine.hpp b/ql/pricingengines/vanilla/fddividendengine.hpp
index df7ac00b7d..7e25a74ee7 100644
--- a/ql/pricingengines/vanilla/fddividendengine.hpp
+++ b/ql/pricingengines/vanilla/fddividendengine.hpp
@@ -43,8 +43,8 @@ namespace QuantLib {
              Size timeSteps = 100,
              Size gridPoints = 100,
              bool timeDependent = false)
-        : FDMultiPeriodEngine<Scheme>(process, gridPoints,
-                                      timeSteps, timeDependent) {}
+        : FDMultiPeriodEngine<Scheme>(process, timeSteps,
+                                      gridPoints, timeDependent) {}
       protected:
         virtual void setupArguments(const PricingEngine::arguments*) const;
         void setGridLimits() const = 0;
diff --git a/ql/pricingengines/vanilla/fdmultiperiodengine.hpp b/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
index 7ac1d4b408..bca24ccdfc 100644
--- a/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
+++ b/ql/pricingengines/vanilla/fdmultiperiodengine.hpp
@@ -40,7 +40,7 @@ namespace QuantLib {
 
         FDMultiPeriodEngine(
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-             Size gridPoints = 100, Size timeSteps = 100,
+             Size timeSteps = 100, Size gridPoints = 100,
              bool timeDependent = false);
         mutable std::vector<boost::shared_ptr<Event> > events_;
         mutable std::vector<Time> stoppingTimes_;
@@ -90,7 +90,7 @@ namespace QuantLib {
     template <template <class> class Scheme>
     FDMultiPeriodEngine<Scheme>::FDMultiPeriodEngine(
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-             Size gridPoints, Size timeSteps, bool timeDependent)
+             Size timeSteps, Size gridPoints, bool timeDependent)
     : FDVanillaEngine(process, timeSteps, gridPoints, timeDependent),
       timeStepPerPeriod_(timeSteps) {}
 

From e1d62d87da092e28b52c5171ee77dd374aaf4d9b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 28 Sep 2010 15:03:44 +0000
Subject: [PATCH 049/410] Fixed registration of observables in SwaptionVolCube.

Thanks to Selene Makarios.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17402 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/volatility/swaption/swaptionvolcube.cpp | 7 ++-----
 1 file changed, 2 insertions(+), 5 deletions(-)

diff --git a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
index 75cfb07c55..1dde813685 100644
--- a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
+++ b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
@@ -72,11 +72,8 @@ namespace QuantLib {
         registerWith(atmVol_);
         atmVol_->enableExtrapolation();
 
-        // register with SwapIndexBase
-        if (!swapIndexBase_)
-            registerWith(swapIndexBase_);
-        if (!shortSwapIndexBase_)
-            registerWith(swapIndexBase_);
+        registerWith(swapIndexBase_);
+        registerWith(shortSwapIndexBase_);
 
         QL_REQUIRE(shortSwapIndexBase_->tenor()<swapIndexBase_->tenor(),
                    "short index tenor (" << shortSwapIndexBase_->tenor() <<

From 5cd345de306477f37de902a7f8aa6b9231fbcc3b Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Sep 2010 09:21:59 +0000
Subject: [PATCH 050/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17408 8618b1d8-e22c-0410-b026-96a5dba3e089

From 2855ccbfde02fea55b350d4d439751c4217b7285 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Sep 2010 12:50:48 +0000
Subject: [PATCH 051/410] Added a few tests for unit of measures (thanks to
 Manas Bhatt.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17409 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Contributors.txt                              |   1 +
 Docs/pages/authors.docs                       |   1 +
 .../unitofmeasureconversionmanager.hpp        |   2 +
 test-suite/Makefile.am                        |   1 +
 test-suite/commodityunitofmeasure.cpp         | 141 ++++++++++++++++++
 test-suite/commodityunitofmeasure.hpp         |  35 +++++
 test-suite/quantlibtestsuite.cpp              |   2 +
 test-suite/testsuite_vc7.vcproj               |   6 +
 test-suite/testsuite_vc8.vcproj               |   8 +
 test-suite/testsuite_vc9.vcproj               |   8 +
 10 files changed, 205 insertions(+)
 create mode 100644 test-suite/commodityunitofmeasure.cpp
 create mode 100644 test-suite/commodityunitofmeasure.hpp

diff --git a/Contributors.txt b/Contributors.txt
index d763f9620f..d0f329ab1b 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -17,6 +17,7 @@ Adolfo Benin
 Hachemi Benyahia
 Luca Berardi
 Sylvain Bertrand
+Manas Bhatt
 David Binderman
 Theo Boafo
 Fakher Braham
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index 0047418272..cadc333c7f 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -55,6 +55,7 @@
     Hachemi Benyahia,
     Luca Berardi,
     Sylvain Bertrand,
+    Manas Bhatt,
     David Binderman,
     Theo Boafo,
     Fakher Braham,
diff --git a/ql/experimental/commodities/unitofmeasureconversionmanager.hpp b/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
index 0437d80d05..de2fad7bda 100644
--- a/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
+++ b/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
@@ -31,6 +31,8 @@
 
 namespace QuantLib {
 
+    //! repository of conversion factors between units of measure
+    /*! \test lookup of direct unit of measure conversion is tested. */
     class UnitOfMeasureConversionManager
         : public Singleton<UnitOfMeasureConversionManager> {
         friend class Singleton<UnitOfMeasureConversionManager>;
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index ffdf2f93d8..f6c2e2e38c 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -22,6 +22,7 @@ QL_TESTS = \
 	chooseroption.hpp chooseroption.cpp \
 	cliquetoption.hpp cliquetoption.cpp \
 	cms.hpp cms.cpp \
+	commodityunitofmeasure.hpp commodityunitofmeasure.cpp \
 	compoundoption.hpp compoundoption.cpp \
 	convertiblebonds.hpp convertiblebonds.cpp \
 	covariance.hpp covariance.cpp \
diff --git a/test-suite/commodityunitofmeasure.cpp b/test-suite/commodityunitofmeasure.cpp
new file mode 100644
index 0000000000..9bfea5e178
--- /dev/null
+++ b/test-suite/commodityunitofmeasure.cpp
@@ -0,0 +1,141 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Manas Bhatt
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "commodityunitofmeasure.hpp"
+#include "utilities.hpp"
+#include <ql/experimental/commodities/unitofmeasureconversionmanager.hpp>
+#include <ql/experimental/commodities/petroleumunitsofmeasure.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+void CommodityUnitOfMeasureTest::testDirect() {
+
+    BOOST_MESSAGE("Testing direct commodity unit of measure conversions...");
+
+	UnitOfMeasureConversionManager& UOMManager =
+        UnitOfMeasureConversionManager::instance();
+
+	//MB to BBL 
+	Quantity actual =
+        UnitOfMeasureConversion(NullCommodityType(), MBUnitOfMeasure(),
+                                BarrelUnitOfMeasure(), 1000)
+        .convert(Quantity(NullCommodityType(), MBUnitOfMeasure(), 1000));
+    Quantity calc =
+        UOMManager.lookup(NullCommodityType(), BarrelUnitOfMeasure(),
+                          MBUnitOfMeasure(), UnitOfMeasureConversion::Direct)
+        .convert(Quantity(NullCommodityType(), MBUnitOfMeasure(), 1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for MB to BBL Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+    }
+
+     //BBL to Gallon 
+     actual =
+         UnitOfMeasureConversion(NullCommodityType(), BarrelUnitOfMeasure(),
+                                 GallonUnitOfMeasure(), 42)
+         .convert(Quantity(NullCommodityType(), GallonUnitOfMeasure(), 1000));
+     calc =
+         UOMManager.lookup(NullCommodityType(), BarrelUnitOfMeasure(),
+                           GallonUnitOfMeasure(),
+                           UnitOfMeasureConversion::Direct)
+         .convert(Quantity(NullCommodityType(), GallonUnitOfMeasure(), 1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for BBL to Gallon Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+     }
+
+     //BBL to Litre 
+     actual =
+         UnitOfMeasureConversion(NullCommodityType(), BarrelUnitOfMeasure(),
+                                 LitreUnitOfMeasure(), 158.987)
+         .convert(Quantity(NullCommodityType(), LitreUnitOfMeasure(), 1000));
+     calc =
+         UOMManager.lookup(NullCommodityType(),BarrelUnitOfMeasure(),
+                           LitreUnitOfMeasure(),
+                           UnitOfMeasureConversion::Direct)
+         .convert(Quantity(NullCommodityType(), LitreUnitOfMeasure(), 1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for BBL to Litre Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+     }
+
+     //BBL to KL 
+     actual =
+         UnitOfMeasureConversion(NullCommodityType(), KilolitreUnitOfMeasure(),
+                                 BarrelUnitOfMeasure(), 6.28981)
+         .convert(Quantity(NullCommodityType(),KilolitreUnitOfMeasure(),1000));
+     calc =
+         UOMManager.lookup(NullCommodityType(),BarrelUnitOfMeasure(),
+                           KilolitreUnitOfMeasure(),
+                           UnitOfMeasureConversion::Direct)
+         .convert(Quantity(NullCommodityType(),KilolitreUnitOfMeasure(),1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for BBL to KiloLitre Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+     }
+
+     //MB to Gallon 
+     actual =
+         UnitOfMeasureConversion(NullCommodityType(), GallonUnitOfMeasure(),
+                                 MBUnitOfMeasure(), 42000)
+         .convert(Quantity(NullCommodityType(),MBUnitOfMeasure(),1000));
+     calc =
+         UOMManager.lookup(NullCommodityType(),GallonUnitOfMeasure(),
+                           MBUnitOfMeasure(), UnitOfMeasureConversion::Direct)
+         .convert(Quantity(NullCommodityType(),MBUnitOfMeasure(),1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for MB to Gallon Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+     }
+
+     //Gallon to Litre 
+     actual =
+         UnitOfMeasureConversion(NullCommodityType(), LitreUnitOfMeasure(),
+                                 GallonUnitOfMeasure(), 3.78541)
+         .convert(Quantity(NullCommodityType(),LitreUnitOfMeasure(),1000));
+     calc =
+         UOMManager.lookup(NullCommodityType(),GallonUnitOfMeasure(),
+                           LitreUnitOfMeasure(),
+                           UnitOfMeasureConversion::Direct)
+         .convert(Quantity(NullCommodityType(),LitreUnitOfMeasure(),1000));
+
+	 if (!close(calc,actual)) {
+        BOOST_FAIL("Wrong result for Gallon to Litre Conversion: \n"
+                   << "    actual:     " << actual << "\n"
+                   << "    calculated: " << calc);
+     }
+}
+
+test_suite* CommodityUnitOfMeasureTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Commodity Unit Of Measure tests");
+    suite->add(QUANTLIB_TEST_CASE(&CommodityUnitOfMeasureTest::testDirect));
+    return suite;
+}
+
diff --git a/test-suite/commodityunitofmeasure.hpp b/test-suite/commodityunitofmeasure.hpp
new file mode 100644
index 0000000000..b18473e10e
--- /dev/null
+++ b/test-suite/commodityunitofmeasure.hpp
@@ -0,0 +1,35 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Manas Bhatt
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_commodity_unit_of_measure_hpp
+#define quantlib_test_commodity_unit_of_measure_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class CommodityUnitOfMeasureTest {
+  public:
+    static void testDirect();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 0b9c6f4d7e..d0f1a4fee7 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -63,6 +63,7 @@
 #include "chooseroption.hpp"
 #include "cliquetoption.hpp"
 #include "cms.hpp"
+#include "commodityunitofmeasure.hpp"
 #include "compoundoption.hpp"
 #include "convertiblebonds.hpp"
 #include "covariance.hpp"
@@ -238,6 +239,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(ChooserOptionTest::suite());
     test->add(CliquetOptionTest::suite());
     test->add(CmsTest::suite());
+    test->add(CommodityUnitOfMeasureTest::suite());
     test->add(CompoundOptionTest::suite());
     test->add(ConvertibleBondTest::suite());
     test->add(CovarianceTest::suite());
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index 3cbcb91dda..a13877a56b 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -509,6 +509,9 @@
 			<File
 				RelativePath=".\cms.cpp">
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.cpp">
+			</File>
 			<File
 				RelativePath=".\compoundoption.cpp">
 			</File>
@@ -834,6 +837,9 @@
 			<File
 				RelativePath=".\cms.hpp">
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.hpp">
+			</File>
 			<File
 				RelativePath=".\compoundoption.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 5d78f69dc9..2d928837e1 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -522,6 +522,10 @@
 				RelativePath=".\cms.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\compoundoption.cpp"
 				>
@@ -955,6 +959,10 @@
 				RelativePath=".\cms.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\compoundoption.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 490308259e..16e9f1bac5 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -934,6 +934,10 @@
 				RelativePath=".\cms.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\compoundoption.cpp"
 				>
@@ -1367,6 +1371,10 @@
 				RelativePath=".\cms.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\commodityunitofmeasure.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\compoundoption.hpp"
 				>

From f0af0b374522e524355eef00fdff3d517ba374e1 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Sep 2010 20:46:22 +0000
Subject: [PATCH 052/410] fixed default parameter

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17410 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/hybridhestonhullwhiteprocess.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index 046d90db38..a3feb5d3fc 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -1346,7 +1346,7 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
         boost::shared_ptr<FdHestonHullWhiteVanillaEngine> engine(
             new FdHestonHullWhiteVanillaEngine(fdmHestonModel, hwProcess, 
                                                equityShortRateCorr, 
-                                               tGrid, 61, 13, 9, true));
+                                               tGrid, 61, 13, 9, 0, true));
         
         engine->enableMultipleStrikesCaching(
                      std::vector<Real>(strikes, strikes + LENGTH(strikes)));

From 9c15dc89c04c47708cbbb9a9195847db2a222fc2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 30 Sep 2010 09:37:56 +0000
Subject: [PATCH 053/410] Added size_type typedef to Array (thanks to Kim
 Tang.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17411 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/array.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/math/array.hpp b/ql/math/array.hpp
index 2afcff5a75..5ff6ceecf5 100644
--- a/ql/math/array.hpp
+++ b/ql/math/array.hpp
@@ -112,6 +112,7 @@ namespace QuantLib {
         //! whether the array is empty
         bool empty() const;
         //@}
+        typedef Size size_type;
         typedef Real value_type;
         typedef Real* iterator;
         typedef const Real* const_iterator;

From d12abb924bc0af362cd97164ef498e2b6b1738b0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 30 Sep 2010 16:14:48 +0000
Subject: [PATCH 054/410] enabled amortizing OIS

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17412 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/overnightindexedswap.cpp | 38 +++++++++++++++++++------
 ql/instruments/overnightindexedswap.hpp | 22 ++++++++++++--
 2 files changed, 50 insertions(+), 10 deletions(-)

diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
index be80d99861..ca8e97a7f7 100644
--- a/ql/instruments/overnightindexedswap.cpp
+++ b/ql/instruments/overnightindexedswap.cpp
@@ -24,7 +24,7 @@
 
 namespace QuantLib {
 
-  OvernightIndexedSwap::OvernightIndexedSwap(
+    OvernightIndexedSwap::OvernightIndexedSwap(
                     Type type,
                     Real nominal,
                     const Schedule& schedule,
@@ -32,20 +32,42 @@ namespace QuantLib {
                     const DayCounter& fixedDC,
                     const boost::shared_ptr<OvernightIndex>& overnightIndex,
                     Spread spread)
-      : Swap(2), type_(type), nominal_(nominal),
-        paymentFrequency_(schedule.tenor().frequency()),
-        //schedule_(schedule),
-        fixedRate_(fixedRate), fixedDC_(fixedDC),
-        overnightIndex_(overnightIndex), spread_(spread) {
+    : Swap(2), type_(type),
+      nominals_(std::vector<Real>(1, nominal)),
+      paymentFrequency_(schedule.tenor().frequency()),
+      fixedRate_(fixedRate), fixedDC_(fixedDC),
+      overnightIndex_(overnightIndex), spread_(spread) {
 
+          initialize(schedule);
+
+    }
+
+    OvernightIndexedSwap::OvernightIndexedSwap(
+                    Type type,
+                    std::vector<Real> nominals,
+                    const Schedule& schedule,
+                    Rate fixedRate,
+                    const DayCounter& fixedDC,
+                    const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                    Spread spread)
+    : Swap(2), type_(type), nominals_(nominals),
+      paymentFrequency_(schedule.tenor().frequency()),
+      fixedRate_(fixedRate), fixedDC_(fixedDC),
+      overnightIndex_(overnightIndex), spread_(spread) {
+
+          initialize(schedule);
+
+    }
+
+    void OvernightIndexedSwap::initialize(const Schedule& schedule) {
         if (fixedDC_==DayCounter())
             fixedDC_ = overnightIndex_->dayCounter();
         legs_[0] = FixedRateLeg(schedule)
-            .withNotionals(nominal_)
+            .withNotionals(nominals_)
             .withCouponRates(fixedRate_, fixedDC_);
 
         legs_[1] = OvernightLeg(schedule, overnightIndex_)
-            .withNotionals(nominal_)
+            .withNotionals(nominals_)
             .withSpreads(spread_);
 
         for (Size j=0; j<2; ++j) {
diff --git a/ql/instruments/overnightindexedswap.hpp b/ql/instruments/overnightindexedswap.hpp
index 0de6edb0f2..80f6cc3eb8 100644
--- a/ql/instruments/overnightindexedswap.hpp
+++ b/ql/instruments/overnightindexedswap.hpp
@@ -45,10 +45,19 @@ namespace QuantLib {
                     const DayCounter& fixedDC,
                     const boost::shared_ptr<OvernightIndex>& overnightIndex,
                     Spread spread = 0.0);
+        OvernightIndexedSwap(
+                    Type type,
+                    std::vector<Real> nominals,
+                    const Schedule& schedule,
+                    Rate fixedRate,
+                    const DayCounter& fixedDC,
+                    const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                    Spread spread = 0.0);
         //! \name Inspectors
         //@{
         Type type() const { return type_; }
-        Real nominal() const { return nominal_; }
+        Real nominal() const;
+        std::vector<Real> nominals() const { return nominals_; }
 
         //const Schedule& schedule() { return schedule_; }
         Frequency paymentFrequency() { return paymentFrequency_; }
@@ -74,8 +83,9 @@ namespace QuantLib {
         Spread fairSpread() const;
         //@}
       private:
+        void initialize(const Schedule& schedule);
         Type type_;
-        Real nominal_;
+        std::vector<Real> nominals_;
 
         Frequency paymentFrequency_;
         //Schedule schedule_;
@@ -87,6 +97,14 @@ namespace QuantLib {
         Spread spread_;
     };
 
+
+    // inline
+
+    inline Real OvernightIndexedSwap::nominal() const {
+        QL_REQUIRE(nominals_.size()==1, "varying nominals");
+        return nominals_[0];
+    }
+
 }
 
 #endif

From 06270618f01dba41581661ec417f111678ad603f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Oct 2010 10:43:10 +0000
Subject: [PATCH 055/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17415 8618b1d8-e22c-0410-b026-96a5dba3e089

From 69d8bff11894e3e090fe86893ffe8bce565a3449 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Oct 2010 13:09:57 +0000
Subject: [PATCH 056/410] Added experimental copula-based RNGs (thanks to
 Hachemi Benyahia.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17417 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/math/Makefile.am              |  5 +-
 ql/experimental/math/all.hpp                  |  3 +
 ql/experimental/math/claytoncopularng.hpp     | 70 ++++++++++++++++++
 .../math/farliegumbelmorgensterncopularng.hpp | 72 +++++++++++++++++++
 ql/experimental/math/frankcopularng.hpp       | 68 ++++++++++++++++++
 5 files changed, 217 insertions(+), 1 deletion(-)
 create mode 100644 ql/experimental/math/claytoncopularng.hpp
 create mode 100644 ql/experimental/math/farliegumbelmorgensterncopularng.hpp
 create mode 100644 ql/experimental/math/frankcopularng.hpp

diff --git a/ql/experimental/math/Makefile.am b/ql/experimental/math/Makefile.am
index 60610b0691..cf71394055 100644
--- a/ql/experimental/math/Makefile.am
+++ b/ql/experimental/math/Makefile.am
@@ -5,7 +5,10 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     autocovariance.hpp \
-    fastfouriertransform.hpp
+    claytoncopularng.hpp \
+    farliegumbelmorgensterncopularng.hpp \
+    fastfouriertransform.hpp \
+    frankcopularng.hpp
 
 all.hpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > $@
diff --git a/ql/experimental/math/all.hpp b/ql/experimental/math/all.hpp
index 1efd05fe1b..0333e32bb3 100644
--- a/ql/experimental/math/all.hpp
+++ b/ql/experimental/math/all.hpp
@@ -2,5 +2,8 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/experimental/math/autocovariance.hpp>
+#include <ql/experimental/math/claytoncopularng.hpp>
+#include <ql/experimental/math/farliegumbelmorgensterncopularng.hpp>
 #include <ql/experimental/math/fastfouriertransform.hpp>
+#include <ql/experimental/math/frankcopularng.hpp>
 
diff --git a/ql/experimental/math/claytoncopularng.hpp b/ql/experimental/math/claytoncopularng.hpp
new file mode 100644
index 0000000000..6e287278f7
--- /dev/null
+++ b/ql/experimental/math/claytoncopularng.hpp
@@ -0,0 +1,70 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Hachemi Benyahia
+ Copyright (C) 2010 DeriveXperts SAS
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file claytoncopularng.hpp
+    \brief Clayton copula random-number generator
+*/
+
+#ifndef quantlib_clayton_copula_rng_hpp
+#define quantlib_clayton_copula_rng_hpp
+
+#include <ql/methods/montecarlo/sample.hpp>
+
+namespace QuantLib {
+
+    //! Clayton copula random-number generator
+    template <class RNG>
+    class ClaytonCopulaRng {
+      public:
+        typedef Sample<std::vector<Real> > sample_type;
+        typedef RNG urng_type;
+        explicit ClaytonCopulaRng(const RNG& uniformGenerator,Real theta);
+        sample_type next() const;
+      private:
+        Real theta_;
+        RNG uniformGenerator_;
+    };
+
+    template <class RNG>
+    ClaytonCopulaRng<RNG>::ClaytonCopulaRng(const RNG& ug, Real th)
+    : uniformGenerator_(ug), theta_(th) {
+        QL_REQUIRE(th >= -1.0,
+                   "theta (" << th << ") must be greater or equal to -1");
+        QL_REQUIRE(th != 0.0,
+                   "theta (" << th << ") must be different from 0");
+    }
+
+    template <class RNG>
+    inline typename ClaytonCopulaRng<RNG>::sample_type
+    ClaytonCopulaRng<RNG>::next() const {
+        typename RNG::sample_type v1 = uniformGenerator_.next();
+        typename RNG::sample_type v2 = uniformGenerator_.next();
+        Real u1 = v1.value;
+        Real u2 = std::pow(std::pow(v1.value,-theta_)*(std::pow(v2.value,-theta_/(theta_+1.0))-1.0)+1.0,-1.0/theta_);
+        std::vector<Real> u;
+        u.push_back(u1);
+        u.push_back(u2);
+        return sample_type(u,v1.weight*v2.weight);
+    }
+
+}
+
+
+#endif
diff --git a/ql/experimental/math/farliegumbelmorgensterncopularng.hpp b/ql/experimental/math/farliegumbelmorgensterncopularng.hpp
new file mode 100644
index 0000000000..e58baf3675
--- /dev/null
+++ b/ql/experimental/math/farliegumbelmorgensterncopularng.hpp
@@ -0,0 +1,72 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Hachemi Benyahia
+ Copyright (C) 2010 DeriveXperts SAS
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file farliegumbelmorgensterncopularng.hpp
+    \brief Farlie-Gumbel-Morgenstern copula random-number generator
+*/
+
+#ifndef quantlib_farlie_gumbel_morgenstern_copula_rng_hpp
+#define quantlib_farlie_gumbel_morgenstern_copula_rng_hpp
+
+#include <ql/methods/montecarlo/sample.hpp>
+
+namespace QuantLib {
+
+    //! Farlie-Gumbel-Morgenstern copula random-number generator
+    template <class RNG>
+    class FarlieGumbelMorgensternCopulaRng {
+      public:
+        typedef Sample<std::vector<Real> > sample_type;
+        typedef RNG urng_type;
+        explicit FarlieGumbelMorgensternCopulaRng(const RNG& uniformGenerator,
+                                                  Real theta);
+        sample_type next() const;
+      private:
+        Real theta_;
+        RNG uniformGenerator_;
+    };
+
+    template <class RNG>
+    FarlieGumbelMorgensternCopulaRng<RNG>::FarlieGumbelMorgensternCopulaRng(
+                                                       const RNG& ug, Real th)
+    : uniformGenerator_(ug), theta_(th) {
+        QL_REQUIRE(th >= -1.0 && th <= 1.00,
+                   "theta (" << th << ") must be in [-1,1]");
+    }
+
+    template <class RNG>
+    inline typename FarlieGumbelMorgensternCopulaRng<RNG>::sample_type
+    FarlieGumbelMorgensternCopulaRng<RNG>::next() const {
+        typename RNG::sample_type v1 = uniformGenerator_.next();
+        typename RNG::sample_type v2 = uniformGenerator_.next();
+        Real u1 = v1.value;
+        Real a = theta_*(2.0*u1-1.0);
+        Real b = pow(1.0-theta_*(2.0*u1-1.0),2.0)+4.0*theta_*v2.value*(2.0*u1-1.0);
+        Real u2 = (2.0*v2.value)/(sqrt(b)-a);
+        std::vector<Real> u;
+        u.push_back(u1);
+        u.push_back(u2);
+        return sample_type(u,v1.weight*v2.weight);
+    }
+
+}
+
+
+#endif
diff --git a/ql/experimental/math/frankcopularng.hpp b/ql/experimental/math/frankcopularng.hpp
new file mode 100644
index 0000000000..8e95cb6db9
--- /dev/null
+++ b/ql/experimental/math/frankcopularng.hpp
@@ -0,0 +1,68 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Hachemi Benyahia
+ Copyright (C) 2010 DeriveXperts SAS
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file frankcopularng.hpp
+    \brief Frank copula random-number generator
+*/
+
+#ifndef quantlib_frank_copula_rng_hpp
+#define quantlib_frank_copula_rng_hpp
+
+#include <ql/methods/montecarlo/sample.hpp>
+
+namespace QuantLib {
+
+    //! Frank copula random-number generator
+    template <class RNG>
+    class FrankCopulaRng {
+      public:
+        typedef Sample<std::vector<Real> > sample_type;
+        typedef RNG urng_type;
+        explicit FrankCopulaRng(const RNG& uniformGenerator, Real theta);
+        sample_type next() const;
+      private:
+        Real theta_;
+        RNG uniformGenerator_;
+    };
+
+    template <class RNG>
+    FrankCopulaRng<RNG>::FrankCopulaRng(const RNG& ug, Real th)
+    : uniformGenerator_(ug), theta_(th) {
+     QL_REQUIRE(th != 0.0,
+                   "theta (" << th << ") must be different from 0");
+    }
+
+    template <class RNG>
+    inline typename FrankCopulaRng<RNG>::sample_type
+    FrankCopulaRng<RNG>::next() const {
+        typename RNG::sample_type v1 = uniformGenerator_.next();
+        typename RNG::sample_type v2 = uniformGenerator_.next();
+        Real u1 = v1.value;
+        Real u2 = (-1.0/theta_)*log(1.0+(v2.value*(1.0-exp(-theta_)))/(v2.value*(exp(-theta_*v1.value)-1.0)-exp(-theta_*v1.value)));
+        std::vector<Real> u;
+        u.push_back(u1);
+        u.push_back(u2);
+        return sample_type(u,v1.weight*v2.weight);
+    }
+
+}
+
+
+#endif

From 5aa021bfe51e3fe98c024bacd4106085ca3e0bb2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 18 Oct 2010 15:16:45 +0000
Subject: [PATCH 057/410] Added support for VC++2010 to the core library.

The support is still incomplete. On the one hand, not all warnings were removed.
On the other hand, VC10 doesn't compile parts of Boost::uBLAS 1.44.  For the time
being, QL_NO_UBLAS_SUPPORT was defined in config.msvc.hpp (which disables a few
methods and classes.)  The define should be removed once everything works.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17428 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../BermudanSwaption_vc10.vcxproj             |  290 +
 .../BermudanSwaption_vc10.vcxproj.filters     |   25 +
 Examples/Bonds/Bonds_vc10.vcxproj             |  290 +
 Examples/Bonds/Bonds_vc10.vcxproj.filters     |   25 +
 Examples/CDS/CDS_vc10.vcxproj                 |  290 +
 Examples/CDS/CDS_vc10.vcxproj.filters         |   25 +
 Examples/CallableBonds/CallableBonds.cpp      |    2 +-
 .../CallableBonds/CallableBonds_vc10.vcxproj  |  290 +
 .../CallableBonds_vc10.vcxproj.filters        |   25 +
 .../ConvertibleBonds_vc10.vcxproj             |  290 +
 .../ConvertibleBonds_vc10.vcxproj.filters     |   25 +
 .../DiscreteHedging_vc10.vcxproj              |  290 +
 .../DiscreteHedging_vc10.vcxproj.filters      |   25 +
 .../EquityOption/EquityOption_vc10.vcxproj    |  290 +
 .../EquityOption_vc10.vcxproj.filters         |   25 +
 Examples/FRA/FRA_vc10.vcxproj                 |  290 +
 Examples/FRA/FRA_vc10.vcxproj.filters         |   25 +
 .../FittedBondCurve_vc10.vcxproj              |  290 +
 .../FittedBondCurve_vc10.vcxproj.filters      |   25 +
 .../MarketModels/MarketModels_vc10.vcxproj    |  290 +
 .../MarketModels_vc10.vcxproj.filters         |   25 +
 Examples/Replication/Replication_vc10.vcxproj |  290 +
 .../Replication_vc10.vcxproj.filters          |   25 +
 Examples/Repo/Repo_vc10.vcxproj               |  290 +
 Examples/Repo/Repo_vc10.vcxproj.filters       |   25 +
 Examples/Swap/Swap_vc10.vcxproj               |  283 +
 Examples/Swap/Swap_vc10.vcxproj.filters       |   22 +
 QuantLib_vc10.sln                             |  165 +
 QuantLib_vc10.vcxproj                         | 1938 ++++++
 QuantLib_vc10.vcxproj.filters                 | 5239 +++++++++++++++++
 ql/auto_link.hpp                              |    2 +
 ql/config.msvc.hpp                            |    8 +-
 .../sparseilupreconditioner.cpp               |    2 +
 .../sparseilupreconditioner.hpp               |    2 +
 .../vanilla/analytichestonengine.cpp          |    8 +-
 test-suite/inflationvolatility.cpp            |   24 +-
 test-suite/nthtodefault.cpp                   |   24 +-
 test-suite/testsuite_vc10.vcxproj             |  550 ++
 test-suite/testsuite_vc10.vcxproj.filters     |  671 +++
 39 files changed, 12690 insertions(+), 30 deletions(-)
 create mode 100644 Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj
 create mode 100644 Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj.filters
 create mode 100644 Examples/Bonds/Bonds_vc10.vcxproj
 create mode 100644 Examples/Bonds/Bonds_vc10.vcxproj.filters
 create mode 100644 Examples/CDS/CDS_vc10.vcxproj
 create mode 100644 Examples/CDS/CDS_vc10.vcxproj.filters
 create mode 100644 Examples/CallableBonds/CallableBonds_vc10.vcxproj
 create mode 100644 Examples/CallableBonds/CallableBonds_vc10.vcxproj.filters
 create mode 100644 Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj
 create mode 100644 Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj.filters
 create mode 100644 Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj
 create mode 100644 Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj.filters
 create mode 100644 Examples/EquityOption/EquityOption_vc10.vcxproj
 create mode 100644 Examples/EquityOption/EquityOption_vc10.vcxproj.filters
 create mode 100644 Examples/FRA/FRA_vc10.vcxproj
 create mode 100644 Examples/FRA/FRA_vc10.vcxproj.filters
 create mode 100644 Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj
 create mode 100644 Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj.filters
 create mode 100644 Examples/MarketModels/MarketModels_vc10.vcxproj
 create mode 100644 Examples/MarketModels/MarketModels_vc10.vcxproj.filters
 create mode 100644 Examples/Replication/Replication_vc10.vcxproj
 create mode 100644 Examples/Replication/Replication_vc10.vcxproj.filters
 create mode 100644 Examples/Repo/Repo_vc10.vcxproj
 create mode 100644 Examples/Repo/Repo_vc10.vcxproj.filters
 create mode 100644 Examples/Swap/Swap_vc10.vcxproj
 create mode 100644 Examples/Swap/Swap_vc10.vcxproj.filters
 create mode 100644 QuantLib_vc10.sln
 create mode 100644 QuantLib_vc10.vcxproj
 create mode 100644 QuantLib_vc10.vcxproj.filters
 create mode 100644 test-suite/testsuite_vc10.vcxproj
 create mode 100644 test-suite/testsuite_vc10.vcxproj.filters

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new file mode 100644
index 0000000000..0c2bb877ec
--- /dev/null
+++ b/Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj
@@ -0,0 +1,290 @@
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+      <Platform>Win32</Platform>
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+      <Platform>Win32</Platform>
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+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
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new file mode 100644
index 0000000000..40cad38d9c
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diff --git a/Examples/CallableBonds/CallableBonds.cpp b/Examples/CallableBonds/CallableBonds.cpp
index cbc4e77aec..25259a95d8 100644
--- a/Examples/CallableBonds/CallableBonds.cpp
+++ b/Examples/CallableBonds/CallableBonds.cpp
@@ -34,7 +34,7 @@
 
 #include <ql/quantlib.hpp>
 #include <vector>
-#include <math.h>
+#include <cmath>
 #include <iomanip>
 #include <iostream>
 #include <boost/timer.hpp>
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new file mode 100644
index 0000000000..100d1d6897
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+      </PrecompiledHeader>
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+      <PreprocessorDefinitions>_DEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <Culture>0x0409</Culture>
+    </ResourceCompile>
+    <Link>
+      <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
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+      </DataExecutionPrevention>
+      <TargetMachine>MachineX86</TargetMachine>
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+  </ItemDefinitionGroup>
+  <ItemGroup>
+    <ClCompile Include="Repo.cpp" />
+  </ItemGroup>
+  <ItemGroup>
+    <None Include="ReadMe.txt" />
+  </ItemGroup>
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+    <ProjectReference Include="..\..\QuantLib_vc10.vcxproj">
+      <Project>{ad0a27da-91da-46a2-acbd-296c419ed3aa}</Project>
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+  </ItemGroup>
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+  </ImportGroup>
+</Project>
\ No newline at end of file
diff --git a/Examples/Repo/Repo_vc10.vcxproj.filters b/Examples/Repo/Repo_vc10.vcxproj.filters
new file mode 100644
index 0000000000..4acaf8e19f
--- /dev/null
+++ b/Examples/Repo/Repo_vc10.vcxproj.filters
@@ -0,0 +1,25 @@
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+    </ClCompile>
+  </ItemGroup>
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diff --git a/Examples/Swap/Swap_vc10.vcxproj b/Examples/Swap/Swap_vc10.vcxproj
new file mode 100644
index 0000000000..0447a6a8c1
--- /dev/null
+++ b/Examples/Swap/Swap_vc10.vcxproj
@@ -0,0 +1,283 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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+    </ProjectConfiguration>
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+      <Platform>Win32</Platform>
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+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Release|Win32">
+      <Configuration>Release</Configuration>
+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+  </ItemGroup>
+  <PropertyGroup Label="Globals">
+    <ProjectName>Swap</ProjectName>
+    <ProjectGuid>{4EAC6A0E-20F2-4B5A-8250-7E930CCE3AD0}</ProjectGuid>
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+  <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'" Label="Configuration">
+    <ConfigurationType>Application</ConfigurationType>
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+    <CharacterSet>MultiByte</CharacterSet>
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+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'" Label="Configuration">
+    <ConfigurationType>Application</ConfigurationType>
+    <UseOfMfc>false</UseOfMfc>
+    <CharacterSet>MultiByte</CharacterSet>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">
+    <ConfigurationType>Application</ConfigurationType>
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+    <CharacterSet>MultiByte</CharacterSet>
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+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'" Label="Configuration">
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+    <UseOfMfc>false</UseOfMfc>
+    <CharacterSet>MultiByte</CharacterSet>
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+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
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+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
+  </ImportGroup>
+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
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+    <IntDir Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">.\build\vc100\$(Platform)\$(Configuration)\</IntDir>
+    <LinkIncremental Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">true</LinkIncremental>
+    <EmbedManifest Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">false</EmbedManifest>
+    <OutDir Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">.\bin\</OutDir>
+    <IntDir Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">.\build\vc100\$(Platform)\$(Configuration)\</IntDir>
+    <LinkIncremental Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">true</LinkIncremental>
+    <EmbedManifest Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">false</EmbedManifest>
+    <OutDir Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">.\bin\</OutDir>
+    <IntDir Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">.\build\vc100\$(Platform)\$(Configuration)\</IntDir>
+    <LinkIncremental Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">false</LinkIncremental>
+    <EmbedManifest Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">false</EmbedManifest>
+    <OutDir Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">.\bin\</OutDir>
+    <IntDir Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">.\build\vc100\$(Platform)\$(Configuration)\</IntDir>
+    <LinkIncremental Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">false</LinkIncremental>
+    <EmbedManifest Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">false</EmbedManifest>
+    <TargetName Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">SwapValuation-vc100-mt-sgd</TargetName>
+    <TargetName Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">SwapValuation-vc100-mt-gd</TargetName>
+    <TargetName Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">SwapValuation-vc100-mt-s</TargetName>
+    <TargetName Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">SwapValuation-vc100-mt</TargetName>
+  </PropertyGroup>
+  <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug (static runtime)|Win32'">
+    <Midl>
+      <TypeLibraryName>.\build\vc100\$(Platform)\$(Configuration)\Swap.tlb</TypeLibraryName>
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+      </HeaderFileName>
+    </Midl>
+    <ClCompile>
+      <Optimization>Disabled</Optimization>
+      <IntrinsicFunctions>false</IntrinsicFunctions>
+      <AdditionalIncludeDirectories>..\..;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <PreprocessorDefinitions>_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <BasicRuntimeChecks>EnableFastChecks</BasicRuntimeChecks>
+      <RuntimeLibrary>MultiThreadedDebug</RuntimeLibrary>
+      <DisableLanguageExtensions>false</DisableLanguageExtensions>
+      <ForceConformanceInForLoopScope>true</ForceConformanceInForLoopScope>
+      <RuntimeTypeInfo>true</RuntimeTypeInfo>
+      <PrecompiledHeader>
+      </PrecompiledHeader>
+      <PrecompiledHeaderOutputFile>.\build\vc100\$(Platform)\$(Configuration)\Swap.pch</PrecompiledHeaderOutputFile>
+      <AssemblerListingLocation>.\build\vc100\$(Platform)\$(Configuration)\</AssemblerListingLocation>
+      <ObjectFileName>.\build\vc100\$(Platform)\$(Configuration)\</ObjectFileName>
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+      <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
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+      <DebugInformationFormat>EditAndContinue</DebugInformationFormat>
+      <CompileAs>Default</CompileAs>
+    </ClCompile>
+    <ResourceCompile>
+      <PreprocessorDefinitions>_DEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <Culture>0x0409</Culture>
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+    <Link>
+      <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <AdditionalLibraryDirectories>..\..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <GenerateDebugInformation>true</GenerateDebugInformation>
+      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\SwapValuation.pdb</ProgramDatabaseFile>
+      <SubSystem>Console</SubSystem>
+      <RandomizedBaseAddress>false</RandomizedBaseAddress>
+      <DataExecutionPrevention>
+      </DataExecutionPrevention>
+      <TargetMachine>MachineX86</TargetMachine>
+    </Link>
+  </ItemDefinitionGroup>
+  <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
+    <Midl>
+      <TypeLibraryName>.\build\vc100\$(Platform)\$(Configuration)\Swap.tlb</TypeLibraryName>
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+      </HeaderFileName>
+    </Midl>
+    <ClCompile>
+      <Optimization>Disabled</Optimization>
+      <IntrinsicFunctions>false</IntrinsicFunctions>
+      <AdditionalIncludeDirectories>..\..;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <PreprocessorDefinitions>_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <BasicRuntimeChecks>EnableFastChecks</BasicRuntimeChecks>
+      <RuntimeLibrary>MultiThreadedDebugDLL</RuntimeLibrary>
+      <DisableLanguageExtensions>false</DisableLanguageExtensions>
+      <ForceConformanceInForLoopScope>true</ForceConformanceInForLoopScope>
+      <RuntimeTypeInfo>true</RuntimeTypeInfo>
+      <PrecompiledHeader>
+      </PrecompiledHeader>
+      <PrecompiledHeaderOutputFile>.\build\vc100\$(Platform)\$(Configuration)\Swap.pch</PrecompiledHeaderOutputFile>
+      <AssemblerListingLocation>.\build\vc100\$(Platform)\$(Configuration)\</AssemblerListingLocation>
+      <ObjectFileName>.\build\vc100\$(Platform)\$(Configuration)\</ObjectFileName>
+      <ProgramDataBaseFileName>.\build\vc100\$(Platform)\$(Configuration)\</ProgramDataBaseFileName>
+      <BrowseInformation>true</BrowseInformation>
+      <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
+      <WarningLevel>Level3</WarningLevel>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <DebugInformationFormat>EditAndContinue</DebugInformationFormat>
+      <CompileAs>Default</CompileAs>
+    </ClCompile>
+    <ResourceCompile>
+      <PreprocessorDefinitions>_DEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <Culture>0x0409</Culture>
+    </ResourceCompile>
+    <Link>
+      <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <AdditionalLibraryDirectories>..\..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <GenerateDebugInformation>true</GenerateDebugInformation>
+      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\SwapValuation.pdb</ProgramDatabaseFile>
+      <SubSystem>Console</SubSystem>
+      <RandomizedBaseAddress>false</RandomizedBaseAddress>
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+  <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">
+    <Midl>
+      <TypeLibraryName>.\build\vc100\$(Platform)\$(Configuration)\Swap.tlb</TypeLibraryName>
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+    </Midl>
+    <ClCompile>
+      <Optimization>MaxSpeed</Optimization>
+      <InlineFunctionExpansion>AnySuitable</InlineFunctionExpansion>
+      <IntrinsicFunctions>false</IntrinsicFunctions>
+      <FavorSizeOrSpeed>Speed</FavorSizeOrSpeed>
+      <AdditionalIncludeDirectories>..\..;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <PreprocessorDefinitions>NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <StringPooling>true</StringPooling>
+      <RuntimeLibrary>MultiThreadedDLL</RuntimeLibrary>
+      <FunctionLevelLinking>true</FunctionLevelLinking>
+      <DisableLanguageExtensions>false</DisableLanguageExtensions>
+      <ForceConformanceInForLoopScope>true</ForceConformanceInForLoopScope>
+      <RuntimeTypeInfo>true</RuntimeTypeInfo>
+      <PrecompiledHeader>
+      </PrecompiledHeader>
+      <PrecompiledHeaderOutputFile>.\build\vc100\$(Platform)\$(Configuration)\Swap.pch</PrecompiledHeaderOutputFile>
+      <AssemblerListingLocation>.\build\vc100\$(Platform)\$(Configuration)\</AssemblerListingLocation>
+      <ObjectFileName>.\build\vc100\$(Platform)\$(Configuration)\</ObjectFileName>
+      <ProgramDataBaseFileName>.\build\vc100\$(Platform)\$(Configuration)\</ProgramDataBaseFileName>
+      <BrowseInformation>true</BrowseInformation>
+      <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
+      <WarningLevel>Level3</WarningLevel>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <CompileAs>Default</CompileAs>
+    </ClCompile>
+    <ResourceCompile>
+      <PreprocessorDefinitions>NDEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <Culture>0x0409</Culture>
+    </ResourceCompile>
+    <Link>
+      <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <AdditionalLibraryDirectories>..\..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\SwapValuation.pdb</ProgramDatabaseFile>
+      <SubSystem>Console</SubSystem>
+      <RandomizedBaseAddress>false</RandomizedBaseAddress>
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+      <TargetMachine>MachineX86</TargetMachine>
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+  </ItemDefinitionGroup>
+  <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Release (static runtime)|Win32'">
+    <Midl>
+      <TypeLibraryName>.\build\vc100\$(Platform)\$(Configuration)\Swap.tlb</TypeLibraryName>
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+      </HeaderFileName>
+    </Midl>
+    <ClCompile>
+      <Optimization>MaxSpeed</Optimization>
+      <InlineFunctionExpansion>AnySuitable</InlineFunctionExpansion>
+      <IntrinsicFunctions>false</IntrinsicFunctions>
+      <FavorSizeOrSpeed>Speed</FavorSizeOrSpeed>
+      <AdditionalIncludeDirectories>..\..;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <PreprocessorDefinitions>NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <StringPooling>true</StringPooling>
+      <RuntimeLibrary>MultiThreaded</RuntimeLibrary>
+      <FunctionLevelLinking>true</FunctionLevelLinking>
+      <DisableLanguageExtensions>false</DisableLanguageExtensions>
+      <ForceConformanceInForLoopScope>true</ForceConformanceInForLoopScope>
+      <RuntimeTypeInfo>true</RuntimeTypeInfo>
+      <PrecompiledHeader>
+      </PrecompiledHeader>
+      <PrecompiledHeaderOutputFile>.\build\vc100\$(Platform)\$(Configuration)\Swap.pch</PrecompiledHeaderOutputFile>
+      <AssemblerListingLocation>.\build\vc100\$(Platform)\$(Configuration)\</AssemblerListingLocation>
+      <ObjectFileName>.\build\vc100\$(Platform)\$(Configuration)\</ObjectFileName>
+      <ProgramDataBaseFileName>.\build\vc100\$(Platform)\$(Configuration)\</ProgramDataBaseFileName>
+      <BrowseInformation>true</BrowseInformation>
+      <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
+      <WarningLevel>Level3</WarningLevel>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <CompileAs>Default</CompileAs>
+    </ClCompile>
+    <ResourceCompile>
+      <PreprocessorDefinitions>NDEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+      <Culture>0x0409</Culture>
+    </ResourceCompile>
+    <Link>
+      <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
+      <SuppressStartupBanner>true</SuppressStartupBanner>
+      <AdditionalLibraryDirectories>..\..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\SwapValuation.pdb</ProgramDatabaseFile>
+      <SubSystem>Console</SubSystem>
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+      <TargetMachine>MachineX86</TargetMachine>
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+  </ItemDefinitionGroup>
+  <ItemGroup>
+    <ClCompile Include="swapvaluation.cpp" />
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+  <ItemGroup>
+    <ProjectReference Include="..\..\QuantLib_vc10.vcxproj">
+      <Project>{ad0a27da-91da-46a2-acbd-296c419ed3aa}</Project>
+      <ReferenceOutputAssembly>false</ReferenceOutputAssembly>
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+  </ItemGroup>
+  <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
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\ No newline at end of file
diff --git a/Examples/Swap/Swap_vc10.vcxproj.filters b/Examples/Swap/Swap_vc10.vcxproj.filters
new file mode 100644
index 0000000000..3262023f74
--- /dev/null
+++ b/Examples/Swap/Swap_vc10.vcxproj.filters
@@ -0,0 +1,22 @@
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+<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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+    <Filter Include="Header Files">
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\ No newline at end of file
diff --git a/QuantLib_vc10.sln b/QuantLib_vc10.sln
new file mode 100644
index 0000000000..12e79bf2ce
--- /dev/null
+++ b/QuantLib_vc10.sln
@@ -0,0 +1,165 @@
+Microsoft Visual Studio Solution File, Format Version 11.00
+# Visual C++ Express 2010
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLib", "QuantLib_vc10.vcxproj", "{AD0A27DA-91DA-46A2-ACBD-296C419ED3AA}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "testsuite", "test-suite\testsuite_vc10.vcxproj", "{A613045C-34AF-4706-AA3C-730C92524F74}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "Swap", "Examples\Swap\Swap_vc10.vcxproj", "{4EAC6A0E-20F2-4B5A-8250-7E930CCE3AD0}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "EquityOption", "Examples\EquityOption\EquityOption_vc10.vcxproj", "{EF6D982C-CF99-4442-B297-776DBECFAFC9}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ConvertibleBonds", "Examples\ConvertibleBonds\ConvertibleBonds_vc10.vcxproj", "{7C32702E-ED12-49F1-B476-656DD1EBCE66}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "FRA", "Examples\FRA\FRA_vc10.vcxproj", "{B96E9E0A-99DA-4E9F-B8D0-941F46CDF634}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "Repo", "Examples\Repo\Repo_vc10.vcxproj", "{1B660588-A923-4D84-9092-16DA67869773}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "Replication", "Examples\Replication\Replication_vc10.vcxproj", "{7FF22935-8C7D-4903-908C-B77A9CDBA840}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "BermudanSwaption", "Examples\BermudanSwaption\BermudanSwaption_vc10.vcxproj", "{940A0AFC-9F9F-4797-A0FF-99543F67C1D9}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "DiscreteHedging", "Examples\DiscreteHedging\DiscreteHedging_vc10.vcxproj", "{C3E22CAD-0CAF-42DC-ADE0-B2FF4F644BCE}"
+EndProject
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diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
new file mode 100644
index 0000000000..70799a4a0b
--- /dev/null
+++ b/QuantLib_vc10.vcxproj
@@ -0,0 +1,1938 @@
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+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdhestonvanillaengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmamericanstepcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholessolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmdirichletboundary.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmdividendhandler.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonsolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhullwhitemesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdminnervaluecalculator.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmlinearoplayout.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmmeshercomposite.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmquantohelper.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimple2dbssolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsnapshotcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\firstderivativeop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\hundsdorferscheme.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\impliciteulerscheme.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\modifiedcraigsneydscheme.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\ninepointlinearop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\secondderivativeop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\secondordermixedderivativeop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\sparseilupreconditioner.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\triplebandlinearop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\uniformgridmesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\mcbasket\adaptedpathpayoff.cpp">
+      <Filter>experimental\mcbasket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\mcbasket\longstaffschwartzmultipathpricer.cpp">
+      <Filter>experimental\mcbasket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\mcbasket\mcpathbasketengine.cpp">
+      <Filter>experimental\mcbasket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\mcbasket\pathmultiassetoption.cpp">
+      <Filter>experimental\mcbasket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\processes\extendedblackscholesprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\risk\sensitivityanalysis.cpp">
+      <Filter>experimental\risk</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\shortrate\generalizedhullwhite.cpp">
+      <Filter>experimental\shortrate</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.cpp">
+      <Filter>experimental\shortrate</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\varianceoption\integralhestonvarianceoptionengine.cpp">
+      <Filter>experimental\varianceoption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\varianceoption\varianceoption.cpp">
+      <Filter>experimental\varianceoption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\analyticvariancegammaengine.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\fftengine.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\fftvanillaengine.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\fftvariancegammaengine.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\variancegammamodel.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\variancegamma\variancegammaprocess.cpp">
+      <Filter>experimental\variancegamma</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\lattices\extendedbinomialtree.cpp">
+      <Filter>experimental\lattices</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commodity.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commoditycashflow.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commoditycurve.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commodityindex.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commoditypricinghelpers.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commoditysettings.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commoditytype.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\commodityunitcost.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\dateinterval.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\energybasisswap.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\energycommodity.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\energyfuture.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\energyswap.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\energyvanillaswap.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\paymentterm.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\quantity.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\unitofmeasure.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\unitofmeasureconversion.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\commodities\unitofmeasureconversionmanager.cpp">
+      <Filter>experimental\commodities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\amortizingbonds\amortizingcmsratebond.cpp">
+      <Filter>experimental\amortizingbonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfixedratebond.cpp">
+      <Filter>experimental\amortizingbonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfloatingratebond.cpp">
+      <Filter>experimental\amortizingbonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\barrieroption\perturbativebarrieroptionengine.cpp">
+      <Filter>experimental\barrieroption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\convertiblebonds\convertiblebond.cpp">
+      <Filter>experimental\convertiblebonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\convertiblebonds\discretizedconvertible.cpp">
+      <Filter>experimental\convertiblebonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\compoundoption\analyticcompoundoptionengine.cpp">
+      <Filter>experimental\compoundoption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\compoundoption\compoundoption.cpp">
+      <Filter>experimental\compoundoption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\inflation\yoycapfloortermpricesurface.cpp">
+      <Filter>experimental\inflation</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\inflation\yoyoptionlethelpers.cpp">
+      <Filter>experimental\inflation</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\cashflow.cpp" />
+    <ClCompile Include="ql\currency.cpp" />
+    <ClCompile Include="ql\discretizedasset.cpp" />
+    <ClCompile Include="ql\errors.cpp" />
+    <ClCompile Include="ql\event.cpp" />
+    <ClCompile Include="ql\exchangerate.cpp" />
+    <ClCompile Include="ql\exercise.cpp" />
+    <ClCompile Include="ql\index.cpp" />
+    <ClCompile Include="ql\interestrate.cpp" />
+    <ClCompile Include="ql\money.cpp" />
+    <ClCompile Include="ql\position.cpp" />
+    <ClCompile Include="ql\prices.cpp" />
+    <ClCompile Include="ql\settings.cpp" />
+    <ClCompile Include="ql\stochasticprocess.cpp" />
+    <ClCompile Include="ql\termstructure.cpp" />
+    <ClCompile Include="ql\timegrid.cpp" />
+  </ItemGroup>
+</Project>
\ No newline at end of file
diff --git a/ql/auto_link.hpp b/ql/auto_link.hpp
index 84b77fd875..56d68224b4 100644
--- a/ql/auto_link.hpp
+++ b/ql/auto_link.hpp
@@ -36,6 +36,8 @@
 #  else
 #    define QL_LIB_TOOLSET "vc90"
 #  endif
+#elif (_MSC_VER == 1600)
+#  define QL_LIB_TOOLSET "vc100"
 #else
 #  error "unknown Microsoft compiler"
 #endif
diff --git a/ql/config.msvc.hpp b/ql/config.msvc.hpp
index fd1b636fe0..aaa9fd7869 100644
--- a/ql/config.msvc.hpp
+++ b/ql/config.msvc.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
- Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
+ Copyright (C) 2003, 2004, 2005, 2006, 2010 StatPro Italia srl
  Copyright (C) 2004, 2008 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
@@ -89,6 +89,12 @@
 // see the corresponding pragmas in the 7.1 section
 #  pragma warning(disable: 4267)
 #  pragma warning(disable: 4224)
+#elif (_MSC_VER == 1600)
+// move inside here configs specific to VC++ 10 (2010)
+#  define QL_PATCH_MSVC100
+#  define QL_WORKING_BOOST_STREAMS
+// this goes here until we figure out what's wrong with boost::uBLAS
+#  define QL_NO_UBLAS_SUPPORT
 #else
 #  error "unknown Microsoft compiler"
 #endif
diff --git a/ql/experimental/finitedifferences/sparseilupreconditioner.cpp b/ql/experimental/finitedifferences/sparseilupreconditioner.cpp
index d4f925cb72..7539f37555 100644
--- a/ql/experimental/finitedifferences/sparseilupreconditioner.cpp
+++ b/ql/experimental/finitedifferences/sparseilupreconditioner.cpp
@@ -17,6 +17,8 @@ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/qldefines.hpp>
+
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
 #include <ql/experimental/finitedifferences/sparseilupreconditioner.hpp>
diff --git a/ql/experimental/finitedifferences/sparseilupreconditioner.hpp b/ql/experimental/finitedifferences/sparseilupreconditioner.hpp
index f1078b0b32..36963389f6 100644
--- a/ql/experimental/finitedifferences/sparseilupreconditioner.hpp
+++ b/ql/experimental/finitedifferences/sparseilupreconditioner.hpp
@@ -24,6 +24,8 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #ifndef quantlib_sparse_ilu_preconditioner_hpp
 #define quantlib_sparse_ilu_preconditioner_hpp
 
+#include <ql/qldefines.hpp>
+
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
 #include <ql/math/array.hpp>
diff --git a/ql/pricingengines/vanilla/analytichestonengine.cpp b/ql/pricingengines/vanilla/analytichestonengine.cpp
index e57a5eb465..97df6fb4b8 100644
--- a/ql/pricingengines/vanilla/analytichestonengine.cpp
+++ b/ql/pricingengines/vanilla/analytichestonengine.cpp
@@ -533,9 +533,9 @@ namespace QuantLib {
             retVal = gaussianQuadrature_->operator()(
                 boost::function1<Real, Real>(
                     if_then_else_return ( (_1+1.0)*c_inf > QL_EPSILON,
-                        bind(f, -bind(std::ptr_fun<Real,Real>(std::log),
+                        boost::lambda::bind(f, -boost::lambda::bind(std::ptr_fun<Real,Real>(std::log),
                                       0.5*_1+0.5 )/c_inf )/((_1+1.0)*c_inf),
-                        bind(constant<Real, Real>(0.0), _1))));
+                        boost::lambda::bind(constant<Real, Real>(0.0), _1))));
             break;
           case Simpson:
           case Trapezoid:
@@ -544,9 +544,9 @@ namespace QuantLib {
             retVal = integrator_->operator()(
                 boost::function1<Real, Real>(
                     if_then_else_return ( _1*c_inf > QL_EPSILON,
-                        bind(f,-bind(std::ptr_fun<Real,Real>(std::log), _1)
+                        boost::lambda::bind(f,-boost::lambda::bind(std::ptr_fun<Real,Real>(std::log), _1)
                              /c_inf) /(_1*c_inf),
-                        bind(constant<Real, Real>(0.0), _1))),
+                        boost::lambda::bind(constant<Real, Real>(0.0), _1))),
                 0.0, 1.0);
             break;
           default:
diff --git a/test-suite/inflationvolatility.cpp b/test-suite/inflationvolatility.cpp
index 6e5091ce77..aa9c2c8eb5 100644
--- a/test-suite/inflationvolatility.cpp
+++ b/test-suite/inflationvolatility.cpp
@@ -65,19 +65,19 @@ namespace {
     vector<Rate> cStrikesEU;
     vector<Rate> fStrikesEU;
     vector<Period> cfMaturitiesEU;
-    shared_ptr<Matrix> cPriceEU;
-    shared_ptr<Matrix> fPriceEU;
+    boost::shared_ptr<Matrix> cPriceEU;
+    boost::shared_ptr<Matrix> fPriceEU;
 
-    shared_ptr<YoYInflationIndex> yoyIndexUK(new YYUKRPIr(true, yoyUK));
-    shared_ptr<YoYInflationIndex> yoyIndexEU(new YYEUHICPr(true, yoyEU));
+    boost::shared_ptr<YoYInflationIndex> yoyIndexUK(new YYUKRPIr(true, yoyUK));
+    boost::shared_ptr<YoYInflationIndex> yoyIndexEU(new YYEUHICPr(true, yoyEU));
 
     vector<Rate> cStrikesUK;
     vector<Rate> fStrikesUK;
     vector<Period> cfMaturitiesUK;
-    shared_ptr<Matrix> cPriceUK;
-    shared_ptr<Matrix> fPriceUK;
+    boost::shared_ptr<Matrix> cPriceUK;
+    boost::shared_ptr<Matrix> fPriceUK;
 
-    shared_ptr<InterpolatedYoYCapFloorTermPriceSurface<Bicubic,Cubic> > priceSurfEU;
+    boost::shared_ptr<InterpolatedYoYCapFloorTermPriceSurface<Bicubic,Cubic> > priceSurfEU;
 
 
     void setup() {
@@ -123,7 +123,7 @@ namespace {
             d.push_back( dd );
         }
 
-        shared_ptr<InterpolatedZeroCurve<Cubic> >
+        boost::shared_ptr<InterpolatedZeroCurve<Cubic> >
             euriborTS(new InterpolatedZeroCurve<Cubic>(d, r, Actual365Fixed()));
         Handle<YieldTermStructure> nominalHeur(euriborTS, false);
         nominalEUR = nominalHeur;   // copy to global
@@ -138,7 +138,7 @@ namespace {
             d.push_back( dd );
         }
 
-        shared_ptr<InterpolatedZeroCurve<Cubic> >
+        boost::shared_ptr<InterpolatedZeroCurve<Cubic> >
             gbpLiborTS(new InterpolatedZeroCurve<Cubic>(d, r, Actual365Fixed()));
         Handle<YieldTermStructure> nominalHgbp(gbpLiborTS, false);
         nominalGBP = nominalHgbp;   // copy to global
@@ -170,7 +170,7 @@ namespace {
         bool indexIsInterpolated = true;    // actually false for UKRPI but smooth surfaces are
                                             // better for finding intersections etc
 
-        shared_ptr<InterpolatedYoYInflationCurve<Linear> >
+        boost::shared_ptr<InterpolatedYoYInflationCurve<Linear> >
             pYTSEU( new InterpolatedYoYInflationCurve<Linear>(
                     eval, TARGET(), Actual365Fixed(), Period(2,Months), Monthly,
                     indexIsInterpolated, nominalGBP, d, r) );
@@ -207,8 +207,8 @@ namespace {
         for(Size i = 0; i < ncStrikesEU; i++) cStrikesEU.push_back(capStrikesEU[i]);
         for(Size i = 0; i < nfStrikesEU; i++) fStrikesEU.push_back(floorStrikesEU[i]);
         for(Size i = 0; i < ncfMaturitiesEU; i++) cfMaturitiesEU.push_back(capMaturitiesEU[i]);
-        shared_ptr<Matrix> tcPriceEU(new Matrix(ncStrikesEU, ncfMaturitiesEU));
-        shared_ptr<Matrix> tfPriceEU(new Matrix(nfStrikesEU, ncfMaturitiesEU));
+        boost::shared_ptr<Matrix> tcPriceEU(new Matrix(ncStrikesEU, ncfMaturitiesEU));
+        boost::shared_ptr<Matrix> tfPriceEU(new Matrix(nfStrikesEU, ncfMaturitiesEU));
         for(Size i = 0; i < ncStrikesEU; i++) {
             for(Size j = 0; j < ncfMaturitiesEU; j++) {
                 (*tcPriceEU)[i][j] = capPricesEU[i][j];
diff --git a/test-suite/nthtodefault.cpp b/test-suite/nthtodefault.cpp
index 4ce508b093..0962eb4e38 100644
--- a/test-suite/nthtodefault.cpp
+++ b/test-suite/nthtodefault.cpp
@@ -129,23 +129,23 @@ void NthToDefaultTest::testGauss() {
     gridDates.push_back (TARGET().advance (asofDate, Period (5, Years)));
     gridDates.push_back (TARGET().advance (asofDate, Period (7, Years)));
 
-    shared_ptr<YieldTermStructure> yieldPtr (
+    boost::shared_ptr<YieldTermStructure> yieldPtr (
                                    new FlatForward (asofDate, rate, dc, cmp));
     Handle<YieldTermStructure> yieldHandle (yieldPtr);
 
     vector<Handle<DefaultProbabilityTermStructure> > probabilities;
     Period maxTerm (10, Years);
     for (Size i = 0; i < lambda.size(); i++) {
-        Handle<Quote> h(shared_ptr<Quote>(new SimpleQuote(lambda[i])));
-        shared_ptr<DefaultProbabilityTermStructure> ptr (
+        Handle<Quote> h(boost::shared_ptr<Quote>(new SimpleQuote(lambda[i])));
+        boost::shared_ptr<DefaultProbabilityTermStructure> ptr (
                                          new FlatHazardRate(asofDate, h, dc));
         probabilities.push_back(Handle<DefaultProbabilityTermStructure>(ptr));
     }
 
-    shared_ptr<SimpleQuote> simpleQuote (new SimpleQuote(0.0));
+    boost::shared_ptr<SimpleQuote> simpleQuote (new SimpleQuote(0.0));
     Handle<Quote> correlationHandle (simpleQuote);
 
-    shared_ptr<OneFactorCopula> gaussianCopula (
+    boost::shared_ptr<OneFactorCopula> gaussianCopula (
                              new OneFactorGaussianCopula (correlationHandle));
     Handle<OneFactorCopula> copula (gaussianCopula);
 
@@ -154,7 +154,7 @@ void NthToDefaultTest::testGauss() {
 
     CreditDefaultSwap cds (Protection::Seller, 100.0, 0.02,
                            schedule, Following, Actual360());
-    cds.setPricingEngine(shared_ptr<PricingEngine>(
+    cds.setPricingEngine(boost::shared_ptr<PricingEngine>(
                              new IntegralCdsEngine(timeUnit, probabilities[0],
                                                    recovery, yieldHandle)));
 
@@ -241,24 +241,24 @@ void NthToDefaultTest::testGaussStudent() {
     gridDates.push_back (TARGET().advance (asofDate, Period (5, Years)));
     gridDates.push_back (TARGET().advance (asofDate, Period (7, Years)));
 
-    shared_ptr<YieldTermStructure> yieldPtr (new FlatForward (asofDate, rate, dc, cmp));
+    boost::shared_ptr<YieldTermStructure> yieldPtr (new FlatForward (asofDate, rate, dc, cmp));
     Handle<YieldTermStructure> yieldHandle (yieldPtr);
 
     vector<Handle<DefaultProbabilityTermStructure> > probabilities;
     Period maxTerm (10, Years);
     for (Size i = 0; i < lambda.size(); i++) {
-        Handle<Quote> h(shared_ptr<Quote>(new SimpleQuote(lambda[i])));
-        shared_ptr<DefaultProbabilityTermStructure> ptr (
+        Handle<Quote> h(boost::shared_ptr<Quote>(new SimpleQuote(lambda[i])));
+        boost::shared_ptr<DefaultProbabilityTermStructure> ptr (
                                          new FlatHazardRate(asofDate, h, dc));
         probabilities.push_back(Handle<DefaultProbabilityTermStructure>(ptr));
     }
 
-    shared_ptr<SimpleQuote> simpleQuote (new SimpleQuote(0.3));
+    boost::shared_ptr<SimpleQuote> simpleQuote (new SimpleQuote(0.3));
     Handle<Quote> correlationHandle (simpleQuote);
 
-    shared_ptr<OneFactorCopula> gaussianCopula (
+    boost::shared_ptr<OneFactorCopula> gaussianCopula (
                              new OneFactorGaussianCopula (correlationHandle));
-    shared_ptr<OneFactorCopula> studentCopula (
+    boost::shared_ptr<OneFactorCopula> studentCopula (
                         new OneFactorStudentCopula (correlationHandle, 5, 5));
     RelinkableHandle<OneFactorCopula> copula;
 
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
new file mode 100644
index 0000000000..82faec8d07
--- /dev/null
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -0,0 +1,550 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <ItemGroup Label="ProjectConfigurations">
+    <ProjectConfiguration Include="Debug (static runtime)|Win32">
+      <Configuration>Debug (static runtime)</Configuration>
+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Debug|Win32">
+      <Configuration>Debug</Configuration>
+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Release (static runtime)|Win32">
+      <Configuration>Release (static runtime)</Configuration>
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+    <ClInclude Include="rngtraits.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="rounding.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="sampledcurve.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="shortratemodels.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="solvers.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="stats.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="surface.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swap.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swapforwardmappings.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swaption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swaptionvolatilitycube.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swaptionvolatilitymatrix.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="swaptionvolstructuresutilities.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="termstructures.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="timeseries.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="tqreigendecomposition.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="tracing.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="transformedgrid.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="utilities.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="variancegamma.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="varianceoption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="varianceswaps.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="volatilitymodels.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+  </ItemGroup>
+</Project>
\ No newline at end of file

From dd193090b03763b9eb294fdc34975364e86284b2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 19 Oct 2010 08:37:34 +0000
Subject: [PATCH 058/410] More performant mt19937 implementation (thanks to
 Kakhkhor Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17429 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/randomnumbers/mt19937uniformrng.cpp | 55 +++++++--------------
 ql/math/randomnumbers/mt19937uniformrng.hpp | 38 +++++++++-----
 2 files changed, 45 insertions(+), 48 deletions(-)

diff --git a/ql/math/randomnumbers/mt19937uniformrng.cpp b/ql/math/randomnumbers/mt19937uniformrng.cpp
index 7fce860233..96ccba417e 100644
--- a/ql/math/randomnumbers/mt19937uniformrng.cpp
+++ b/ql/math/randomnumbers/mt19937uniformrng.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 Ferdinando Ametrano
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -70,9 +71,6 @@
 
 namespace QuantLib {
 
-    // Period parameters
-    const Size MersenneTwisterUniformRng::N = 624;
-    const Size MersenneTwisterUniformRng::M = 397;
     // constant vector a
     const unsigned long MersenneTwisterUniformRng::MATRIX_A = 0x9908b0dfUL;
     // most significant w-r bits
@@ -81,8 +79,7 @@ namespace QuantLib {
     const unsigned long MersenneTwisterUniformRng::LOWER_MASK=0x7fffffffUL;
 
 
-    MersenneTwisterUniformRng::MersenneTwisterUniformRng(unsigned long seed)
-    : mt(N) {
+    MersenneTwisterUniformRng::MersenneTwisterUniformRng(unsigned long seed) {
         seedInitialization(seed);
     }
 
@@ -103,8 +100,7 @@ namespace QuantLib {
     }
 
     MersenneTwisterUniformRng::MersenneTwisterUniformRng(
-                                      const std::vector<unsigned long>& seeds)
-    : mt(N) {
+                                      const std::vector<unsigned long>& seeds) {
         seedInitialization(19650218UL);
         Size i=1, j=0, k = (N>seeds.size() ? N : seeds.size());
         for (; k; k--) {
@@ -123,42 +119,27 @@ namespace QuantLib {
             if (i>=N) { mt[0] = mt[N-1]; i=1; }
         }
 
-        mt[0] = 0x80000000UL; /*MSB is 1; assuring non-zero initial array*/
+        mt[0] = UPPER_MASK; /*MSB is 1; assuring non-zero initial array*/
     }
 
-
-    unsigned long MersenneTwisterUniformRng::nextInt32() const {
-
-        unsigned long y;
-        static unsigned long mag01[2]={0x0UL, MATRIX_A};
+    void MersenneTwisterUniformRng::twist() const {
+        static const unsigned long mag01[2]={0x0UL, MATRIX_A};
         /* mag01[x] = x * MATRIX_A  for x=0,1 */
+        Size kk;
+        unsigned long y;
 
-        if (mti >= N) { /* generate N words at one time */
-            Size kk;
-
-            for (kk=0;kk<N-M;kk++) {
-                y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
-                mt[kk] = mt[kk+M] ^ (y >> 1) ^ mag01[y & 0x1UL];
-            }
-            for (;kk<N-1;kk++) {
-                y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
-                mt[kk] = mt[kk+(M-N)] ^ (y >> 1) ^ mag01[y & 0x1UL];
-            }
-            y = (mt[N-1]&UPPER_MASK)|(mt[0]&LOWER_MASK);
-            mt[N-1] = mt[M-1] ^ (y >> 1) ^ mag01[y & 0x1UL];
-
-            mti = 0;
+        for (kk=0;kk<N-M;kk++) {
+            y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
+            mt[kk] = mt[kk+M] ^ (y >> 1) ^ mag01[y & 0x1UL];
         }
+        for (;kk<N-1;kk++) {
+            y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
+            mt[kk] = mt[kk+(M-N)] ^ (y >> 1) ^ mag01[y & 0x1UL];
+        }
+        y = (mt[N-1]&UPPER_MASK)|(mt[0]&LOWER_MASK);
+        mt[N-1] = mt[M-1] ^ (y >> 1) ^ mag01[y & 0x1UL];
 
-        y = mt[mti++];
-
-        /* Tempering */
-        y ^= (y >> 11);
-        y ^= (y << 7) & 0x9d2c5680UL;
-        y ^= (y << 15) & 0xefc60000UL;
-        y ^= (y >> 18);
-
-        return y;
+        mti = 0;
     }
 
 }
diff --git a/ql/math/randomnumbers/mt19937uniformrng.hpp b/ql/math/randomnumbers/mt19937uniformrng.hpp
index 9fd41337f9..c108faea97 100644
--- a/ql/math/randomnumbers/mt19937uniformrng.hpp
+++ b/ql/math/randomnumbers/mt19937uniformrng.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 Ferdinando Ametrano
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -21,8 +22,8 @@
     \brief Mersenne Twister uniform random number generator
 */
 
-#ifndef quantlib_mersennetwister_uniform_rng_h
-#define quantlib_mersennetwister_uniform_rng_h
+#ifndef quantlib_mersennetwister_uniform_rng_hpp
+#define quantlib_mersennetwister_uniform_rng_hpp
 
 #include <ql/methods/montecarlo/sample.hpp>
 #include <vector>
@@ -38,6 +39,9 @@ namespace QuantLib {
               checking them against known good results.
     */
     class MersenneTwisterUniformRng {
+      private:
+        static const Size N = 624; // state size
+        static const Size M = 397; // shift size
       public:
         typedef Sample<Real> sample_type;
         /*! if the given seed is 0, a random seed will be chosen
@@ -46,19 +50,31 @@ namespace QuantLib {
         explicit MersenneTwisterUniformRng(
                                      const std::vector<unsigned long>& seeds);
         /*! returns a sample with weight 1.0 containing a random number
-            on (0.0, 1.0)-real-interval  */
-        sample_type next() const {
-            // divide by 2^32
-            Real result = (Real(nextInt32()) + 0.5)/4294967296.0;
-            return sample_type(result,1.0);
+            in the (0.0, 1.0) interval  */
+        sample_type next() const { return sample_type(nextReal(),1.0); }
+        //! return a random number in the (0.0, 1.0)-interval
+        Real nextReal() const {
+            return (Real(nextInt32()) + 0.5)/4294967296.0;
+        }
+        //! return a random integer in the [0,0xffffffff]-interval
+        unsigned long nextInt32() const  {
+            if (mti==N)
+                twist(); /* generate N words at a time */
+
+            unsigned long y = mt[mti++];
+
+            /* Tempering */
+            y ^= (y >> 11);
+            y ^= (y << 7) & 0x9d2c5680UL;
+            y ^= (y << 15) & 0xefc60000UL;
+            y ^= (y >> 18);
+            return y;
         }
-        //! return  a random number on [0,0xffffffff]-interval
-        unsigned long nextInt32() const;
       private:
         void seedInitialization(unsigned long seed);
-        mutable std::vector<unsigned long> mt;
+        void twist() const;
+        mutable unsigned long mt[N];
         mutable Size mti;
-        static const Size N, M;
         static const unsigned long MATRIX_A, UPPER_MASK, LOWER_MASK;
     };
 

From 717ef5c54de3040f9c22fb4e8bfd8ad4062d789c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 19 Oct 2010 08:37:50 +0000
Subject: [PATCH 059/410] More performant inverse cumulative (thanks to
 Kakhkhor Abdijalilov.)

Also, a static standard_value method was added which returns the
distribution value for null mean and unit standard deviation.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17430 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/distributions/normaldistribution.cpp | 27 ++-----------
 ql/math/distributions/normaldistribution.hpp | 40 +++++++++++++++++++-
 2 files changed, 43 insertions(+), 24 deletions(-)

diff --git a/ql/math/distributions/normaldistribution.cpp b/ql/math/distributions/normaldistribution.cpp
index 4bad1dfc1d..2fcf67e64c 100644
--- a/ql/math/distributions/normaldistribution.cpp
+++ b/ql/math/distributions/normaldistribution.cpp
@@ -4,6 +4,7 @@
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2002, 2003 Ferdinando Ametrano
  Copyright (C) 2008 StatPro Italia srl
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -85,7 +86,7 @@ namespace QuantLib {
     const Real InverseCumulativeNormal::x_low_ = 0.02425;
     const Real InverseCumulativeNormal::x_high_= 1.0 - x_low_;
 
-    Real InverseCumulativeNormal::operator()(Real x) const {
+    Real InverseCumulativeNormal::tail_value(Real x) {
         if (x < 0.0 || x > 1.0) {
             // try to recover if due to numerical error
             if (close_enough(x, 1.0)) {
@@ -98,19 +99,12 @@ namespace QuantLib {
             }
         }
 
-        Real z, r;
-
+        Real z;
         if (x < x_low_) {
             // Rational approximation for the lower region 0<x<u_low
             z = std::sqrt(-2.0*std::log(x));
             z = (((((c1_*z+c2_)*z+c3_)*z+c4_)*z+c5_)*z+c6_) /
                 ((((d1_*z+d2_)*z+d3_)*z+d4_)*z+1.0);
-        } else if (x <= x_high_) {
-            // Rational approximation for the central region u_low<=x<=u_high
-            z = x - 0.5;
-            r = z*z;
-            z = (((((a1_*r+a2_)*r+a3_)*r+a4_)*r+a5_)*r+a6_)*z /
-                (((((b1_*r+b2_)*r+b3_)*r+b4_)*r+b5_)*r+1.0);
         } else {
             // Rational approximation for the upper region u_high<x<1
             z = std::sqrt(-2.0*std::log(1.0-x));
@@ -118,22 +112,9 @@ namespace QuantLib {
                 ((((d1_*z+d2_)*z+d3_)*z+d4_)*z+1.0);
         }
 
-
-        // The relative error of the approximation has absolute value less
-        // than 1.15e-9.  One iteration of Halley's rational method (third
-        // order) gives full machine precision.
-        // #define REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD
-        #ifdef  REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD
-        // error (f_(z) - x) divided by the cumulative's derivative
-        r = (f_(z) - x) * M_SQRT2 * M_SQRTPI * exp(0.5 * z*z);
-        //  Halley's method
-        z -= r/(1+0.5*z*r);
-        #endif
-
-        return average_ + z*sigma_;
+        return z;
     }
 
-
     const Real MoroInverseCumulativeNormal::a0_ =  2.50662823884;
     const Real MoroInverseCumulativeNormal::a1_ =-18.61500062529;
     const Real MoroInverseCumulativeNormal::a2_ = 41.39119773534;
diff --git a/ql/math/distributions/normaldistribution.hpp b/ql/math/distributions/normaldistribution.hpp
index fefcca3906..0642df3e66 100644
--- a/ql/math/distributions/normaldistribution.hpp
+++ b/ql/math/distributions/normaldistribution.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2002, 2003 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -103,8 +104,45 @@ namespace QuantLib {
         InverseCumulativeNormal(Real average = 0.0,
                                 Real sigma   = 1.0);
         // function
-        Real operator()(Real x) const;
+        Real operator()(Real x) const {
+            return average_ + sigma_*standard_value(x);
+        }
+        // value for average=0, sigma=1
+        /* Compared to operator(), this method avoids 2 floating point
+           operations (we use average=0 and sigma=1 most of the
+           time). The speed difference is noticeable.
+        */
+        static Real standard_value(Real x) {
+            Real z;
+            if (x < x_low_ || x_high_ < x) {
+                z = tail_value(x);
+            } else {
+                z = x - 0.5;
+                Real r = z*z;
+                z = (((((a1_*r+a2_)*r+a3_)*r+a4_)*r+a5_)*r+a6_)*z /
+                    (((((b1_*r+b2_)*r+b3_)*r+b4_)*r+b5_)*r+1.0);
+            }
+
+            // The relative error of the approximation has absolute value less
+            // than 1.15e-9.  One iteration of Halley's rational method (third
+            // order) gives full machine precision.
+            // #define REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD
+            #ifdef  REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD
+            // error (f_(z) - x) divided by the cumulative's derivative
+            r = (f_(z) - x) * M_SQRT2 * M_SQRTPI * exp(0.5 * z*z);
+            //  Halley's method
+            z -= r/(1+0.5*z*r);
+            #endif
+
+            return z;
+        }
       private:
+        /* Handling tails moved into a separate method, which should
+           make the inlining of operator() and standard_value method
+           easier. tail_value is called rarely and doesn't need to be
+           inlined.
+        */
+        static Real tail_value(Real x);
         #if defined(QL_PATCH_SOLARIS)
         CumulativeNormalDistribution f_;
         #else

From 1e8c2866ee2fe36fdaaf4ccefd3997921cd816ee Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 19 Oct 2010 08:38:06 +0000
Subject: [PATCH 060/410] Better recover for inverse cumulative in case of
 numerical error.

Previously, operator() would check if the passed value were close
to 0 or 1 due to numerical error; but in that case, it set them to
0 or 1 which led to a math exception.  Now, the largest positive and
negative numbers are returned instead.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17431 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/distributions/normaldistribution.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/math/distributions/normaldistribution.cpp b/ql/math/distributions/normaldistribution.cpp
index 2fcf67e64c..b1b8336d99 100644
--- a/ql/math/distributions/normaldistribution.cpp
+++ b/ql/math/distributions/normaldistribution.cpp
@@ -87,12 +87,12 @@ namespace QuantLib {
     const Real InverseCumulativeNormal::x_high_= 1.0 - x_low_;
 
     Real InverseCumulativeNormal::tail_value(Real x) {
-        if (x < 0.0 || x > 1.0) {
+        if (x <= 0.0 || x >= 1.0) {
             // try to recover if due to numerical error
             if (close_enough(x, 1.0)) {
-                x = 1.0;
+                return QL_MAX_REAL; // largest value available
             } else if (std::fabs(x) < QL_EPSILON) {
-                x = 0.0;
+                return QL_MIN_REAL; // largest negative value available
             } else {
                 QL_FAIL("InverseCumulativeNormal(" << x
                         << ") undefined: must be 0 < x < 1");

From cf10337578e857fb31e8d358d391ff302181b92b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 19 Oct 2010 08:38:53 +0000
Subject: [PATCH 061/410] Added VC++10 files to distributed tarballs.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17432 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Examples/BermudanSwaption/Makefile.am | 2 ++
 Examples/Bonds/Makefile.am            | 2 ++
 Examples/CDS/Makefile.am              | 2 ++
 Examples/CallableBonds/Makefile.am    | 2 ++
 Examples/ConvertibleBonds/Makefile.am | 2 ++
 Examples/DiscreteHedging/Makefile.am  | 2 ++
 Examples/EquityOption/Makefile.am     | 2 ++
 Examples/FRA/Makefile.am              | 2 ++
 Examples/FittedBondCurve/Makefile.am  | 2 ++
 Examples/MarketModels/Makefile.am     | 4 +++-
 Examples/Replication/Makefile.am      | 2 ++
 Examples/Repo/Makefile.am             | 2 ++
 Examples/Swap/Makefile.am             | 2 ++
 Makefile.am                           | 3 +++
 test-suite/Makefile.am                | 4 ++++
 15 files changed, 34 insertions(+), 1 deletion(-)

diff --git a/Examples/BermudanSwaption/Makefile.am b/Examples/BermudanSwaption/Makefile.am
index 351fb5fe3b..e1f237dd57 100644
--- a/Examples/BermudanSwaption/Makefile.am
+++ b/Examples/BermudanSwaption/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     BermudanSwaption_vc7.vcproj \
     BermudanSwaption_vc8.vcproj \
     BermudanSwaption_vc9.vcproj \
+    BermudanSwaption_vc10.vcxproj \
+    BermudanSwaption_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/Bonds/Makefile.am b/Examples/Bonds/Makefile.am
index 996007f8d1..88209f20cf 100644
--- a/Examples/Bonds/Makefile.am
+++ b/Examples/Bonds/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     Bonds_vc7.vcproj \
     Bonds_vc8.vcproj \
     Bonds_vc9.vcproj \
+    Bonds_vc10.vcxproj \
+    Bonds_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/CDS/Makefile.am b/Examples/CDS/Makefile.am
index e2d08bd975..673cb7b041 100644
--- a/Examples/CDS/Makefile.am
+++ b/Examples/CDS/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     CDS_vc7.vcproj \
     CDS_vc8.vcproj \
     CDS_vc9.vcproj \
+    CDS_vc10.vcxproj \
+    CDS_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/CallableBonds/Makefile.am b/Examples/CallableBonds/Makefile.am
index 130f623579..66ec9735dd 100644
--- a/Examples/CallableBonds/Makefile.am
+++ b/Examples/CallableBonds/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     CallableBonds_vc7.vcproj \
     CallableBonds_vc8.vcproj \
     CallableBonds_vc9.vcproj \
+    CallableBonds_vc10.vcxproj \
+    CallableBonds_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/ConvertibleBonds/Makefile.am b/Examples/ConvertibleBonds/Makefile.am
index 0aa0af6da4..b9507da5e6 100644
--- a/Examples/ConvertibleBonds/Makefile.am
+++ b/Examples/ConvertibleBonds/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     ConvertibleBonds_vc7.vcproj \
     ConvertibleBonds_vc8.vcproj \
     ConvertibleBonds_vc9.vcproj \
+    ConvertibleBonds_vc10.vcxproj \
+    ConvertibleBonds_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/DiscreteHedging/Makefile.am b/Examples/DiscreteHedging/Makefile.am
index fc40b0db5f..fcc44379fc 100644
--- a/Examples/DiscreteHedging/Makefile.am
+++ b/Examples/DiscreteHedging/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     DiscreteHedging_vc7.vcproj \
     DiscreteHedging_vc8.vcproj \
     DiscreteHedging_vc9.vcproj \
+    DiscreteHedging_vc10.vcxproj \
+    DiscreteHedging_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/EquityOption/Makefile.am b/Examples/EquityOption/Makefile.am
index e19e96b5b8..ccbf4186a2 100644
--- a/Examples/EquityOption/Makefile.am
+++ b/Examples/EquityOption/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     EquityOption_vc7.vcproj \
     EquityOption_vc8.vcproj \
     EquityOption_vc9.vcproj \
+    EquityOption_vc10.vcxproj \
+    EquityOption_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/FRA/Makefile.am b/Examples/FRA/Makefile.am
index 15503594bb..476cc417f7 100644
--- a/Examples/FRA/Makefile.am
+++ b/Examples/FRA/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     FRA_vc7.vcproj \
     FRA_vc8.vcproj \
     FRA_vc9.vcproj \
+    FRA_vc10.vcxproj \
+    FRA_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/FittedBondCurve/Makefile.am b/Examples/FittedBondCurve/Makefile.am
index 22ac9ba903..6ba5a03458 100644
--- a/Examples/FittedBondCurve/Makefile.am
+++ b/Examples/FittedBondCurve/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     FittedBondCurve_vc7.vcproj \
     FittedBondCurve_vc8.vcproj \
     FittedBondCurve_vc9.vcproj \
+    FittedBondCurve_vc10.vcxproj \
+    FittedBondCurve_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/MarketModels/Makefile.am b/Examples/MarketModels/Makefile.am
index 08c0960d95..92626c1cb5 100644
--- a/Examples/MarketModels/Makefile.am
+++ b/Examples/MarketModels/Makefile.am
@@ -14,7 +14,9 @@ EXTRA_DIST = \
     MarketModels.dev \
     MarketModels_vc7.vcproj \
     MarketModels_vc8.vcproj \
-    MarketModels_vc9.vcproj
+    MarketModels_vc9.vcproj \
+    MarketModels_vc10.vcxproj \
+    MarketModels_vc10.vcxproj.filters
 
 .PHONY: examples check-examples
 
diff --git a/Examples/Replication/Makefile.am b/Examples/Replication/Makefile.am
index f248555513..734de8ff91 100644
--- a/Examples/Replication/Makefile.am
+++ b/Examples/Replication/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     Replication_vc7.vcproj \
     Replication_vc8.vcproj \
     Replication_vc9.vcproj \
+    Replication_vc10.vcxproj \
+    Replication_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/Repo/Makefile.am b/Examples/Repo/Makefile.am
index eb0879e614..021549d24c 100644
--- a/Examples/Repo/Makefile.am
+++ b/Examples/Repo/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     Repo_vc7.vcproj \
     Repo_vc8.vcproj \
     Repo_vc9.vcproj \
+    Repo_vc10.vcxproj \
+    Repo_vc10.vcxproj.filters \
     ReadMe.txt
 
 .PHONY: examples check-examples
diff --git a/Examples/Swap/Makefile.am b/Examples/Swap/Makefile.am
index 1f27213267..859b149de1 100644
--- a/Examples/Swap/Makefile.am
+++ b/Examples/Swap/Makefile.am
@@ -15,6 +15,8 @@ EXTRA_DIST = \
     Swap_vc7.vcproj \
     Swap_vc8.vcproj \
     Swap_vc9.vcproj \
+    Swap_vc10.vcxproj \
+    Swap_vc10.vcxproj.filters \
     README.txt
 
 .PHONY: examples check-examples
diff --git a/Makefile.am b/Makefile.am
index f2ef2cd1f5..b3a565fec6 100644
--- a/Makefile.am
+++ b/Makefile.am
@@ -27,6 +27,9 @@ EXTRA_DIST = \
 	QuantLib_vc8.vcproj \
 	QuantLib_vc9.sln \
 	QuantLib_vc9.vcproj \
+	QuantLib_vc10.sln \
+	QuantLib_vc10.vcxproj \
+	QuantLib_vc10.vcxproj.filters \
 	Readme.txt \
 	autogen.sh
 
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index f6c2e2e38c..f11e79f68d 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -191,6 +191,8 @@ EXTRA_DIST = \
 	testsuite_vc7.vcproj \
 	testsuite_vc8.vcproj \
 	testsuite_vc9.vcproj \
+	testsuite_vc10.vcxproj \
+	testsuite_vc10.vcxproj.filters \
 	testsuite.dev
 
 else
@@ -202,6 +204,8 @@ EXTRA_DIST = \
 	testsuite_vc7.vcproj \
 	testsuite_vc8.vcproj \
 	testsuite_vc9.vcproj \
+	testsuite_vc10.vcxproj \
+	testsuite_vc10.vcxproj.filters \
 	testsuite.dev
 
 endif

From 26cd81b86681706b1a69ae57900e3d54c7db2e96 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 21 Oct 2010 15:28:36 +0000
Subject: [PATCH 062/410] Revamped time-series iterators (thanks to Slava
 Mazur.)

Iterators on dates and values were added, as well as C++0X-style
cbegin() and cend() iterators.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17434 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/timeseries.hpp         | 154 +++++++++++++++++++++++++++++++-------
 test-suite/timeseries.cpp | 105 ++++++++++++++++++++++++++
 test-suite/timeseries.hpp |   1 +
 3 files changed, 235 insertions(+), 25 deletions(-)

diff --git a/ql/timeseries.hpp b/ql/timeseries.hpp
index f4eeb1708f..62f4ccc6b3 100644
--- a/ql/timeseries.hpp
+++ b/ql/timeseries.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Joseph Wang
+ Copyright (C) 2010 Liquidnet Holdings Inc.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -27,6 +28,10 @@
 #include <ql/time/date.hpp>
 #include <ql/utilities/null.hpp>
 #include <ql/errors.hpp>
+#include <boost/iterator/transform_iterator.hpp>
+#include <boost/iterator/reverse_iterator.hpp>
+#include <boost/function.hpp>
+#include <boost/utility.hpp>
 #include <map>
 #include <vector>
 
@@ -103,14 +108,117 @@ namespace QuantLib {
         //! \name Iterators
         //@{
         typedef typename Container::const_iterator const_iterator;
-        typedef typename Container::const_reverse_iterator
-                                           const_reverse_iterator;
-        const_iterator begin() const;
-        const_iterator end() const;
-        const_reverse_iterator rbegin() const;
-        const_reverse_iterator rend() const;
+        typedef typename const_iterator::iterator_category iterator_category;
+
+        // Reverse iterators
+        // The following class makes compilation fail for the code
+        // that calls rbegin or rend with a container that does not
+        // support reverse iterators.  All the rest TimeSeries class
+        // features should compile and work for this type of
+        // containers.
+        template <class container, class iterator_category>
+        struct reverse {
+            typedef boost::reverse_iterator<typename container::const_iterator>
+                                                       const_reverse_iterator;
+            reverse(const container& c) : c_(c) {}
+            const_reverse_iterator rbegin() const {
+                return const_reverse_iterator(c_.end());
+            }
+            const_reverse_iterator rend() const {
+                return const_reverse_iterator(c_.begin());
+            }
+            const container& c_;
+        };
+
+        // This class defines reverse iterator features via
+        // container's native calls.
+        template <class container>
+        struct reverse<container, std::bidirectional_iterator_tag> {
+            typedef typename container::const_reverse_iterator
+                                                       const_reverse_iterator;
+            reverse(const container& c) : c_(c) {}
+            const_reverse_iterator rbegin() const { return c_.rbegin(); }
+            const_reverse_iterator rend() const { return c_.rend(); }
+            const container& c_;
+        };
+
+        // The following typedef enables reverse iterators for
+        // bidirectional_iterator_tag category.
+        typedef typename boost::mpl::if_ <
+            boost::mpl::or_ <
+                boost::is_same<iterator_category,
+                               std::bidirectional_iterator_tag>,
+                boost::is_base_of<std::bidirectional_iterator_tag,
+                                  iterator_category> >,
+            std::bidirectional_iterator_tag, 
+            std::input_iterator_tag>::type enable_reverse;
+
+        typedef typename
+        reverse<Container, enable_reverse>::const_reverse_iterator
+                                                       const_reverse_iterator;
+
+        const_iterator cbegin() const;
+        const_iterator cend() const;
+        const_iterator begin() const { return cbegin(); }
+        const_iterator end() const { return cend(); }
+        const_reverse_iterator crbegin() const {
+            return reverse<Container, enable_reverse>(values_).rbegin();
+        }
+        const_reverse_iterator crend() const {
+            return reverse<Container, enable_reverse>(values_).rend();
+        }
+        const_reverse_iterator rbegin() const { return crbegin(); }
+        const_reverse_iterator rend() const { return crend(); }
         //@}
 
+      private:
+        typedef typename Container::value_type container_value_type;
+        typedef boost::function1<Date, const container_value_type&>
+                                                              projection_time;
+        typedef boost::function1<T, const container_value_type&>
+                                                             projection_value;
+
+      public:
+        //! \name Projection iterators
+        //@{
+
+        typedef boost::transform_iterator<projection_time, const_iterator>
+                                                          const_time_iterator;
+        typedef boost::transform_iterator<projection_value, const_iterator>
+                                                         const_value_iterator;
+        typedef boost::transform_iterator<projection_time,
+                                          const_reverse_iterator>
+                                                  const_reverse_time_iterator;
+        typedef boost::transform_iterator<projection_value,
+                                          const_reverse_iterator>
+                                                 const_reverse_value_iterator;
+
+        const_value_iterator cbegin_values() const {
+            return const_value_iterator(cbegin(), get_value);
+        }
+        const_value_iterator cend_values() const {
+            return const_value_iterator(cend(), get_value);
+        }
+        const_reverse_value_iterator crbegin_values() const {
+            return const_reverse_value_iterator(crbegin(), get_value);
+        }
+        const_reverse_value_iterator crend_values() const {
+            return const_reverse_value_iterator(crend(), get_value);
+        }
+
+        const_time_iterator cbegin_time() const {
+            return const_time_iterator(cbegin(), get_time);
+        }
+        const_time_iterator cend_time() const {
+            return const_time_iterator(cend(), get_time);
+        }
+        const_reverse_time_iterator crbegin_time() const {
+            return const_reverse_time_iterator(crbegin(), get_time);
+        }
+        const_reverse_time_iterator crend_time() const {
+            return const_reverse_time_iterator(crend(), get_time);
+        }
+
         //! \name Utilities
         //@{
         const_iterator find(const Date&);
@@ -119,6 +227,14 @@ namespace QuantLib {
         //! returns the historical data
         std::vector<T> values() const;
         //@}
+
+      private:
+        static const Date& get_time (const container_value_type& v) {
+            return v.first;
+        }
+        static const T& get_value (const container_value_type& v) {
+            return v.second;
+        }
     };
 
 
@@ -133,7 +249,7 @@ namespace QuantLib {
     template <class T, class C>
     inline Date TimeSeries<T,C>::lastDate() const {
         QL_REQUIRE(!values_.empty(), "empty timeseries");
-        return values_.rbegin()->first;
+        return rbegin()->first;
     }
 
     template <class T, class C>
@@ -148,28 +264,16 @@ namespace QuantLib {
 
     template <class T, class C>
     inline typename TimeSeries<T,C>::const_iterator
-    TimeSeries<T,C>::begin() const {
+    TimeSeries<T,C>::cbegin() const {
         return values_.begin();
     }
 
     template <class T, class C>
     inline typename TimeSeries<T,C>::const_iterator
-    TimeSeries<T,C>::end() const {
+    TimeSeries<T,C>::cend() const {
         return values_.end();
     }
 
-    template <class T, class C>
-    inline typename TimeSeries<T,C>::const_reverse_iterator
-    TimeSeries<T,C>::rbegin() const {
-        return values_.rbegin();
-    }
-
-    template <class T, class C>
-    inline typename TimeSeries<T,C>::const_reverse_iterator
-    TimeSeries<T,C>::rend() const {
-        return values_.rend();
-    }
-
     template <class T, class C>
     inline typename TimeSeries<T,C>::const_iterator
     TimeSeries<T,C>::find(const Date& d) {
@@ -185,8 +289,8 @@ namespace QuantLib {
     std::vector<Date> TimeSeries<T,C>::dates() const {
         std::vector<Date> v;
         v.reserve(size());
-        for (const_iterator i = begin(); i != end(); ++i)
-            v.push_back(i->first);
+        std::transform(cbegin(), cend(), std::back_inserter(v),
+                       TimeSeries<T,C>::get_time);
         return v;
     }
 
@@ -194,8 +298,8 @@ namespace QuantLib {
     std::vector<T> TimeSeries<T,C>::values() const {
         std::vector<T> v;
         v.reserve(size());
-        for (const_iterator i = begin(); i != end(); ++i)
-            v.push_back(i->second);
+        std::transform(cbegin(), cend(), std::back_inserter(v),
+                       TimeSeries<T,C>::get_value);
         return v;
     }
 
diff --git a/test-suite/timeseries.cpp b/test-suite/timeseries.cpp
index 995a51b883..8ebf87feaf 100644
--- a/test-suite/timeseries.cpp
+++ b/test-suite/timeseries.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Joseph Wang
+ Copyright (C) 2010 Liquidnet Holdings Inc.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -21,6 +22,8 @@
 #include "utilities.hpp"
 #include <ql/timeseries.hpp>
 #include <ql/prices.hpp>
+#include <ql/time/calendars/unitedstates.hpp>
+#include <boost/unordered_map.hpp>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -82,10 +85,112 @@ void TimeSeriesTest::testIntervalPrice() {
                                                                low);
 }
 
+namespace boost {
+
+    template<>
+    struct hash<Date> : std::unary_function<Date, std::size_t> {
+        size_t operator()(const Date& _Keyval) const {
+            return boost::hash<BigInteger>()(_Keyval.serialNumber());
+        }
+    };
+
+}
+
+void TimeSeriesTest::testIterators() {
+    BOOST_MESSAGE("Testing time series iterators...");
+    std::vector<Date> dates;
+    std::vector<Real> prices;
+
+    dates.push_back(Date(25, March, 2005));
+    dates.push_back(Date(29, March, 2005));
+    dates.push_back(Date(15, March, 2005));
+
+    prices.push_back(25);
+    prices.push_back(23);
+    prices.push_back(20);
+
+    TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
+
+    // projection iterators
+
+    std::copy(ts.cbegin_time(), ts.cend_time(), dates.begin());
+    if (dates[0] != Date(15, March, 2005)) {
+        BOOST_ERROR("date does not match");
+    }
+
+    std::copy(ts.cbegin_values(), ts.cend_values(), prices.begin());
+    if (prices[0] != 20) {
+        BOOST_ERROR("value does not match");
+    }
+
+    dates = ts.dates(); 
+    if (dates[0] != Date(15, March, 2005)) {
+        BOOST_ERROR("date does not match");
+    }
+
+    prices = ts.values();
+    if (prices[0] != 20) {
+        BOOST_ERROR("value does not match");
+    }
+
+
+    // unordered container
+
+    typedef TimeSeries<int, boost::unordered_map<Date, int> >
+                                                          TimeSeriesUnordered;
+    TimeSeriesUnordered ts1;
+    Date d0(25, March, 2005), d1(25, April, 2005), d = d0;
+    UnitedStates calendar(UnitedStates::NYSE);
+    for (size_t i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
+        ts1[d] = i;
+    }
+
+    d = d0;
+    for (size_t i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
+        if (ts1[d] != i) {
+            BOOST_ERROR("value does not match");
+        }
+    }
+
+
+    // reverse iterators
+
+    std::vector<std::pair<Date,Real> > data(prices.size());
+    std::copy(ts.crbegin(), ts.crend(), data.begin());
+    if (data[2].second != 20) {
+        BOOST_ERROR("value does not match");
+    }
+    if (data[2].first != Date(15, March, 2005)) {
+        BOOST_ERROR("date does not match");
+    }
+
+    std::copy(ts.crbegin_time(), ts.crend_time(), dates.begin());
+    if (dates[0] != Date(29, March, 2005)) {
+        BOOST_ERROR("date does not match");
+    }
+
+    std::copy(ts.crbegin_values(), ts.crend_values(), prices.begin());
+    if (prices[0] != 23) {
+        BOOST_ERROR("value does not match");
+    }
+
+    // The following should not compile:
+    // std::transform(ts1.crbegin(), ts1.crend(), prices.begin(),
+    //                TimeSeriesUnordered::get_value);
+    // std::copy(ts1.crbegin_values(), ts1.crend_values(), prices.begin());
+    // ts1.lastDate();
+
+    // last date 
+    if (ts.lastDate() != Date(29, March, 2005)) {
+        BOOST_ERROR("lastDate does not match");
+    }
+}
+
 test_suite* TimeSeriesTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("time series tests");
     suite->add(QUANTLIB_TEST_CASE(&TimeSeriesTest::testConstruction));
     suite->add(QUANTLIB_TEST_CASE(&TimeSeriesTest::testIntervalPrice));
+    suite->add(QUANTLIB_TEST_CASE(&TimeSeriesTest::testIterators));
     return suite;
 }
 
diff --git a/test-suite/timeseries.hpp b/test-suite/timeseries.hpp
index 9097ca15a7..49a3fba5ae 100644
--- a/test-suite/timeseries.hpp
+++ b/test-suite/timeseries.hpp
@@ -29,6 +29,7 @@ class TimeSeriesTest {
   public:
     static void testConstruction();
     static void testIntervalPrice();
+    static void testIterators();
     static boost::unit_test_framework::test_suite* suite();
     
 };

From 24fcfbbef621f8c3f9be4cecd496827a9e9e8c79 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 21 Oct 2010 16:14:28 +0000
Subject: [PATCH 063/410] added specialized handling of std::exception

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17435 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/lazyobject.hpp               |  7 +++++++
 ql/termstructures/iterativebootstrap.hpp | 12 +++++++++++-
 2 files changed, 18 insertions(+), 1 deletion(-)

diff --git a/ql/patterns/lazyobject.hpp b/ql/patterns/lazyobject.hpp
index c5b56148df..c475283555 100644
--- a/ql/patterns/lazyobject.hpp
+++ b/ql/patterns/lazyobject.hpp
@@ -113,6 +113,10 @@ namespace QuantLib {
         calculated_ = frozen_ = false;
         try {
             calculate();
+        } catch (std::exception& e) {
+            frozen_ = wasFrozen;
+            notifyObservers();
+            throw e;
         } catch (...) {
             frozen_ = wasFrozen;
             notifyObservers();
@@ -138,6 +142,9 @@ namespace QuantLib {
                                   // case of bootstrapping
             try {
                 performCalculations();
+            } catch (std::exception& e) {
+                calculated_ = false;
+                throw e;
             } catch (...) {
                 calculated_ = false;
                 throw;
diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index f9ec434486..1b0298fe18 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -176,7 +176,17 @@ namespace QuantLib {
                                                       ts_->times_.begin(),
                                                       ts_->times_.begin()+i+1,
                                                       ts_->data_.begin());
-                    } catch(...) {
+                    } catch (std::exception& e) {
+                        if (!Interpolator::global)
+                            throw e; // no chance to fix it in a later iteration
+
+                        // otherwise, if the target interpolation is
+                        // not usable yet
+                        ts_->interpolation_ = Linear().interpolate(
+                                                      ts_->times_.begin(),
+                                                      ts_->times_.begin()+i+1,
+                                                      ts_->data_.begin());
+                    } catch (...) {
                         if (!Interpolator::global)
                             throw; // no chance to fix it in a later iteration
 

From ed26c7c620b626801785d142cab81f531dfa18c9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 21 Oct 2010 16:14:57 +0000
Subject: [PATCH 064/410] catch all exceptions

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17436 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/risk/sensitivityanalysis.cpp | 8 ++++++++
 1 file changed, 8 insertions(+)

diff --git a/ql/experimental/risk/sensitivityanalysis.cpp b/ql/experimental/risk/sensitivityanalysis.cpp
index 2154343aa6..73d3dde98a 100644
--- a/ql/experimental/risk/sensitivityanalysis.cpp
+++ b/ql/experimental/risk/sensitivityanalysis.cpp
@@ -111,6 +111,11 @@ namespace QuantLib {
                 if (quoteValues[i]!=Null<Real>())
                     quotes[i]->setValue(quoteValues[i]);
             throw e;
+        } catch (...) {
+            for (Size i=0; i<n; ++i)
+                if (quoteValues[i]!=Null<Real>())
+                    quotes[i]->setValue(quoteValues[i]);
+            throw;
         }
 
         return result;
@@ -159,6 +164,9 @@ namespace QuantLib {
         } catch (std::exception& e) {
             quote->setValue(quoteValue);
             throw e;
+        } catch (...) {
+            quote->setValue(quoteValue);
+            throw;
         }
 
         return result;

From dd272b3780166ae2501326e1cce70f1484833e2e Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 21 Oct 2010 16:23:46 +0000
Subject: [PATCH 065/410] catch all exceptions

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17437 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/convertiblebonds.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/convertiblebonds.cpp b/test-suite/convertiblebonds.cpp
index 92b6f268ab..2cdb9c47a7 100644
--- a/test-suite/convertiblebonds.cpp
+++ b/test-suite/convertiblebonds.cpp
@@ -444,7 +444,7 @@ void ConvertibleBondTest::testRegression() {
     try {
         Real x = bond.NPV();  // should throw; if not, an INF was not detected.
         BOOST_FAIL("INF result was not detected: " << x << " returned");
-    } catch (Error&) {
+    } catch (...) {
         // as expected. Do nothing.
     }
 }

From 666ccde5c535350105fa3835d02d1d9d85f8f5d4 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 22 Oct 2010 10:14:12 +0000
Subject: [PATCH 066/410] Reverted recent exception-related changes.

Note that for sensitivityanalysis.cpp, I did not entirely revert
the changes, since the original code included the slicing 'throw e'
construct.  That might have been the source of some reported loss
of messages.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17439 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/risk/sensitivityanalysis.cpp | 13 +------------
 ql/patterns/lazyobject.hpp                   |  7 -------
 ql/termstructures/iterativebootstrap.hpp     | 10 ----------
 test-suite/convertiblebonds.cpp              |  6 +++++-
 4 files changed, 6 insertions(+), 30 deletions(-)

diff --git a/ql/experimental/risk/sensitivityanalysis.cpp b/ql/experimental/risk/sensitivityanalysis.cpp
index 73d3dde98a..106e56938d 100644
--- a/ql/experimental/risk/sensitivityanalysis.cpp
+++ b/ql/experimental/risk/sensitivityanalysis.cpp
@@ -106,11 +106,6 @@ namespace QuantLib {
             for (Size i=0; i<n; ++i)
                 if (quotes[i]->isValid())
                     quotes[i]->setValue(quoteValues[i]);
-        } catch (std::exception& e) {
-            for (Size i=0; i<n; ++i)
-                if (quoteValues[i]!=Null<Real>())
-                    quotes[i]->setValue(quoteValues[i]);
-            throw e;
         } catch (...) {
             for (Size i=0; i<n; ++i)
                 if (quoteValues[i]!=Null<Real>())
@@ -161,9 +156,6 @@ namespace QuantLib {
                           Integer(type) << ")");
             }
             quote->setValue(quoteValue);
-        } catch (std::exception& e) {
-            quote->setValue(quoteValue);
-            throw e;
         } catch (...) {
             quote->setValue(quoteValue);
             throw;
@@ -255,13 +247,10 @@ namespace QuantLib {
             quote->setValue(quoteValue);
 
             return;
-        } catch (std::exception& e) {
-            // restore the quote to its original state
-            quote->setValue(quoteValue);
-            throw e;
         } catch (...) {
             // restore the quote to its original state
             quote->setValue(quoteValue);
+            throw;
         }
 
     }
diff --git a/ql/patterns/lazyobject.hpp b/ql/patterns/lazyobject.hpp
index c475283555..c5b56148df 100644
--- a/ql/patterns/lazyobject.hpp
+++ b/ql/patterns/lazyobject.hpp
@@ -113,10 +113,6 @@ namespace QuantLib {
         calculated_ = frozen_ = false;
         try {
             calculate();
-        } catch (std::exception& e) {
-            frozen_ = wasFrozen;
-            notifyObservers();
-            throw e;
         } catch (...) {
             frozen_ = wasFrozen;
             notifyObservers();
@@ -142,9 +138,6 @@ namespace QuantLib {
                                   // case of bootstrapping
             try {
                 performCalculations();
-            } catch (std::exception& e) {
-                calculated_ = false;
-                throw e;
             } catch (...) {
                 calculated_ = false;
                 throw;
diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 1b0298fe18..f3106d61ca 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -176,16 +176,6 @@ namespace QuantLib {
                                                       ts_->times_.begin(),
                                                       ts_->times_.begin()+i+1,
                                                       ts_->data_.begin());
-                    } catch (std::exception& e) {
-                        if (!Interpolator::global)
-                            throw e; // no chance to fix it in a later iteration
-
-                        // otherwise, if the target interpolation is
-                        // not usable yet
-                        ts_->interpolation_ = Linear().interpolate(
-                                                      ts_->times_.begin(),
-                                                      ts_->times_.begin()+i+1,
-                                                      ts_->data_.begin());
                     } catch (...) {
                         if (!Interpolator::global)
                             throw; // no chance to fix it in a later iteration
diff --git a/test-suite/convertiblebonds.cpp b/test-suite/convertiblebonds.cpp
index 2cdb9c47a7..2f6a9661f7 100644
--- a/test-suite/convertiblebonds.cpp
+++ b/test-suite/convertiblebonds.cpp
@@ -444,8 +444,12 @@ void ConvertibleBondTest::testRegression() {
     try {
         Real x = bond.NPV();  // should throw; if not, an INF was not detected.
         BOOST_FAIL("INF result was not detected: " << x << " returned");
-    } catch (...) {
+    } catch (Error&) {
         // as expected. Do nothing.
+
+        // Note: we're expecting an Error we threw, not just any
+        // exception.  If something else is thrown, then there's
+        // another problem and the test must fail.
     }
 }
 

From fcdddce5c4c837de8c8bfa864ebd9a1261c8a48f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 22 Oct 2010 12:34:46 +0000
Subject: [PATCH 067/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17440 8618b1d8-e22c-0410-b026-96a5dba3e089

From ba12c5a4c22ebf8a13d35b43f1613f94ff75a6e1 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 23 Oct 2010 10:53:17 +0000
Subject: [PATCH 068/410] added extended Ornstein-Uhlenbeck process

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17447 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/processes/Makefile.am         |   6 +-
 .../extendedornsteinuhlenbeckprocess.cpp      | 107 ++++++++++++++++++
 .../extendedornsteinuhlenbeckprocess.hpp      |  75 ++++++++++++
 3 files changed, 186 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
 create mode 100644 ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp

diff --git a/ql/experimental/processes/Makefile.am b/ql/experimental/processes/Makefile.am
index 94014537ea..7b63be5015 100644
--- a/ql/experimental/processes/Makefile.am
+++ b/ql/experimental/processes/Makefile.am
@@ -4,10 +4,12 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
-    extendedblackscholesprocess.hpp
+    extendedblackscholesprocess.hpp \
+    extendedornsteinuhlenbeckprocess.hpp
 
 libProcesses_la_SOURCES = \
-    extendedblackscholesprocess.cpp
+    extendedblackscholesprocess.cpp \
+    extendedornsteinuhlenbeckprocess.cpp
 
 noinst_LTLIBRARIES = libProcesses.la
 
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
new file mode 100644
index 0000000000..2885f85537
--- /dev/null
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -0,0 +1,107 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/integrals/gausslobattointegral.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
+#include <boost/lambda/bind.hpp>
+#include <boost/lambda/lambda.hpp>
+
+using namespace boost::lambda;
+
+namespace QuantLib {
+
+    ExtendedOrnsteinUhlenbeckProcess::ExtendedOrnsteinUhlenbeckProcess(
+                                        Real speed, Volatility vol, Real x0,
+                                        const boost::function<Real (Real)>& b,
+										Discretization discretization,
+										Real intEps)
+    : speed_    (speed),
+      vol_      (vol),
+      b_        (b),
+	  intEps_   (intEps),
+      ouProcess_(new OrnsteinUhlenbeckProcess(speed, vol, x0)),
+	  discretization_(discretization) {
+        QL_REQUIRE(speed_ >= 0.0, "negative a given");
+        QL_REQUIRE(vol_ >= 0.0, "negative volatility given");
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::x0() const {
+        return ouProcess_->x0();
+    }
+    
+    Real ExtendedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
+        return ouProcess_->drift(t, x) + speed_*b_(t);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::diffusion(Time t, Real x) const{
+        return ouProcess_->diffusion(t, x);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::stdDeviation(
+										   Time t0, Real x0, Time dt) const{
+        return ouProcess_->stdDeviation(t0, x0, dt);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::variance(
+										   Time t0, Real x0, Time dt) const{
+        return ouProcess_->variance(t0, x0, dt);
+    }
+
+	Real ExtendedOrnsteinUhlenbeckProcess::speed() const {
+        return speed_;
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::volatility() const {
+		return vol_;
+	}
+
+    Real ExtendedOrnsteinUhlenbeckProcess::expectation(
+										  Time t0, Real x0, Time dt) const {
+		switch (discretization_) {
+		  case MidPoint:
+			return ouProcess_->expectation(t0, x0, dt)
+					+ b_(t0+0.5*dt)*(1.0 - std::exp(-speed_*dt));
+			break;
+		  case Trapezodial:
+			{
+		      const Time t = t0+dt;
+			  const Time u = t0;
+			  const Real bt = b_(t);
+			  const Real bu = b_(u);
+			  const Real ex = std::exp(-speed_*dt);
+
+			  return ouProcess_->expectation(t0, x0, dt)
+					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
+			}
+			break;
+		  case GaussLobatto:
+		      return ouProcess_->expectation(t0, x0, dt)
+				  + speed_*std::exp(-speed_*(t0+dt))
+				  * GaussLobattoIntegral(100000, intEps_)(bind(b_, _1)
+									*bind(std::ptr_fun<Real, Real>(std::exp), 
+										  speed_*_1), t0, t0+dt);
+			break;
+		  default:
+			QL_FAIL("unknown discretization scheme");
+		}
+    }
+}
+
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp
new file mode 100644
index 0000000000..79903eba98
--- /dev/null
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp
@@ -0,0 +1,75 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file extendedornsteinuhlenbeckprocess.hpp
+    \brief extended Ornstein-Uhlenbeck process
+*/
+
+#ifndef quantlib_extended_ornstein_uhlenbeck_process_hpp
+#define quantlib_extended_ornstein_uhlenbeck_process_hpp
+
+#include <ql/stochasticprocess.hpp>
+
+#include <boost/function.hpp>
+
+namespace QuantLib {
+
+	class OrnsteinUhlenbeckProcess;
+
+    //! Extended Ornstein-Uhlenbeck process class
+    /*! This class describes the Ornstein-Uhlenbeck process governed by
+        \f[
+            dx = a (b(t) - x_t) dt + \sigma dW_t.
+        \f]
+
+        \ingroup processes
+    */
+    class ExtendedOrnsteinUhlenbeckProcess : public StochasticProcess1D {
+      public:
+        enum Discretization { MidPoint, Trapezodial, GaussLobatto };
+
+        ExtendedOrnsteinUhlenbeckProcess(
+                                Real speed, Volatility sigma, Real x0,
+                                const boost::function<Real (Real)>& b,
+								Discretization discretization = MidPoint,
+								Real intEps = 1e-4);
+
+        //! \name StochasticProcess interface
+        //@{
+        Real x0() const;
+        Real speed() const;
+        Real volatility() const;
+        Real drift(Time t, Real x) const;
+        Real diffusion(Time t, Real x) const;
+        Real expectation(Time t0, Real x0, Time dt) const;
+        Real stdDeviation(Time t0, Real x0, Time dt) const;
+        Real variance(Time t0, Real x0, Time dt) const;
+        //@}
+      private:
+        const Real speed_;
+        const Volatility vol_;
+        const boost::function<Real (Real)> b_;
+		const Real intEps_;
+        const boost::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess_;
+		const Discretization discretization_;
+    };
+}
+
+
+#endif

From 7f2d8855f7842280930126d8ad7dd5fb0e06cf38 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 25 Oct 2010 09:09:14 +0000
Subject: [PATCH 069/410] Updated all.hpp with new files.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17448 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/processes/all.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/processes/all.hpp b/ql/experimental/processes/all.hpp
index b110d6b6e9..2a2dda451a 100644
--- a/ql/experimental/processes/all.hpp
+++ b/ql/experimental/processes/all.hpp
@@ -2,4 +2,5 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/experimental/processes/extendedblackscholesprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 

From 9a3c92d0e06b751b12c5db01f637ddc6f665c52f Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 26 Oct 2010 09:12:33 +0000
Subject: [PATCH 070/410] Added untracked files to autotools build.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17450 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/coupons/Makefile.am | 2 ++
 ql/experimental/coupons/all.hpp     | 1 +
 2 files changed, 3 insertions(+)

diff --git a/ql/experimental/coupons/Makefile.am b/ql/experimental/coupons/Makefile.am
index f1600a4aa1..46cbe998f6 100644
--- a/ql/experimental/coupons/Makefile.am
+++ b/ql/experimental/coupons/Makefile.am
@@ -4,10 +4,12 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    proxyibor.hpp \
     quantocouponpricer.hpp \
     subperiodcoupons.hpp
 
 libCoupons_la_SOURCES = \
+    proxyibor.cpp \
     quantocouponpricer.cpp \
     subperiodcoupons.cpp
 
diff --git a/ql/experimental/coupons/all.hpp b/ql/experimental/coupons/all.hpp
index acdd758221..6eb4eaeaf4 100644
--- a/ql/experimental/coupons/all.hpp
+++ b/ql/experimental/coupons/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/coupons/proxyibor.hpp>
 #include <ql/experimental/coupons/quantocouponpricer.hpp>
 #include <ql/experimental/coupons/subperiodcoupons.hpp>
 

From ed7a1da22ce2ea7406a839ebd957c30406fda848 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 26 Oct 2010 09:12:53 +0000
Subject: [PATCH 071/410] Updated Windows projects.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17451 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 176 +++++++++++++++++++++++++++++++++-
 QuantLib_vc10.vcxproj         |   9 +-
 QuantLib_vc10.vcxproj.filters |  19 +++-
 QuantLib_vc7.vcproj           |  36 +++++++
 QuantLib_vc8.vcproj           |  24 +++++
 QuantLib_vc9.vcproj           |  20 ++++
 test-suite/testsuite.dev      |  20 ++++
 7 files changed, 297 insertions(+), 7 deletions(-)

diff --git a/QuantLib.dev b/QuantLib.dev
index 4abd6cc0e3..b330771860 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1669
+UnitCount=1686
 Type=2
 Ver=1
 ObjFiles=
@@ -16578,7 +16578,7 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1654]
-FileName=ql\experimental\shortrate\generalizedhullwhite.hpp
+FileName=ql\experimental\shortrate\generalizedhullwhite.cpp
 CompileCpp=1
 Folder=experimental/shortrate
 Compile=1
@@ -16598,7 +16598,7 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1656]
-FileName=ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.hpp
+FileName=ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.cpp
 CompileCpp=1
 Folder=experimental/shortrate
 Compile=1
@@ -16736,3 +16736,173 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1670]
+FileName=ql\cashflows\simplecashflow.cpp
+CompileCpp=1
+Folder=cashflows
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1671]
+FileName=ql\experimental\coupons\proxyibor.cpp
+CompileCpp=1
+Folder=experimental/coupons
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1672]
+FileName=ql\experimental\coupons\proxyibor.hpp
+CompileCpp=1
+Folder=experimental/coupons
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1673]
+FileName=ql\experimental\math\claytoncopularng.hpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1674]
+FileName=ql\experimental\math\farliegumbelmorgensterncopularng.hpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1675]
+FileName=ql\experimental\math\frankcopularng.hpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1676]
+FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp
+CompileCpp=1
+Folder=experimental/processes
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1677]
+FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp
+CompileCpp=1
+Folder=experimental/processes
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1678]
+FileName=ql\instruments\bonds\btp.cpp
+CompileCpp=1
+Folder=instruments/bonds
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1679]
+FileName=ql\instruments\bonds\btp.hpp
+CompileCpp=1
+Folder=instruments/bonds
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1680]
+FileName=ql\math\interpolations\mixedinterpolation.hpp
+CompileCpp=1
+Folder=math/interpolations
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1681]
+FileName=ql\models\equity\piecewisetimedependenthestonmodel.cpp
+CompileCpp=1
+Folder=models/equity
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1682]
+FileName=ql\models\equity\piecewisetimedependenthestonmodel.hpp
+CompileCpp=1
+Folder=models/equity
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1683]
+FileName=ql\models\marketmodels\products\multistep\multisteptarn.cpp
+CompileCpp=1
+Folder=models/marketmodels/products/multistep
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1684]
+FileName=ql\models\marketmodels\products\multistep\multisteptarn.hpp
+CompileCpp=1
+Folder=models/marketmodels/products/multistep
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1685]
+FileName=ql\pricingengines\vanilla\analyticptdhestonengine.cpp
+CompileCpp=1
+Folder=pricingengines/vanilla
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1686]
+FileName=ql\pricingengines\vanilla\analyticptdhestonengine.hpp
+CompileCpp=1
+Folder=pricingengines/vanilla
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 70799a4a0b..e8d876dcef 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup Label="ProjectConfigurations">
     <ProjectConfiguration Include="Debug (static runtime)|Win32">
@@ -1166,6 +1166,7 @@
     <ClInclude Include="ql\experimental\mcbasket\pathpayoff.hpp" />
     <ClInclude Include="ql\experimental\processes\all.hpp" />
     <ClInclude Include="ql\experimental\processes\extendedblackscholesprocess.hpp" />
+    <ClInclude Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp" />
     <ClInclude Include="ql\experimental\risk\all.hpp" />
     <ClInclude Include="ql\experimental\risk\sensitivityanalysis.hpp" />
     <ClInclude Include="ql\experimental\shortrate\all.hpp" />
@@ -1232,7 +1233,10 @@
     <ClInclude Include="ql\experimental\inflation\yoyoptionletstripper.hpp" />
     <ClInclude Include="ql\experimental\math\all.hpp" />
     <ClInclude Include="ql\experimental\math\autocovariance.hpp" />
+    <ClInclude Include="ql\experimental\math\claytoncopularng.hpp" />
+    <ClInclude Include="ql\experimental\math\farliegumbelmorgensterncopularng.hpp" />
     <ClInclude Include="ql\experimental\math\fastfouriertransform.hpp" />
+    <ClInclude Include="ql\experimental\math\frankcopularng.hpp" />
     <ClInclude Include="ql\auto_link.hpp" />
     <ClInclude Include="ql\cashflow.hpp" />
     <ClInclude Include="ql\compounding.hpp" />
@@ -1874,6 +1878,7 @@
     <ClCompile Include="ql\experimental\mcbasket\mcpathbasketengine.cpp" />
     <ClCompile Include="ql\experimental\mcbasket\pathmultiassetoption.cpp" />
     <ClCompile Include="ql\experimental\processes\extendedblackscholesprocess.cpp" />
+    <ClCompile Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp" />
     <ClCompile Include="ql\experimental\risk\sensitivityanalysis.cpp" />
     <ClCompile Include="ql\experimental\shortrate\generalizedhullwhite.cpp" />
     <ClCompile Include="ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.cpp" />
@@ -1935,4 +1940,4 @@
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
\ No newline at end of file
+</Project>
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index b9b27d1069..f566b2aa54 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Filter Include="methods">
@@ -3054,6 +3054,9 @@
     <ClInclude Include="ql\experimental\processes\extendedblackscholesprocess.hpp">
       <Filter>experimental\processes</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp">
+      <Filter>experimental\processes</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\risk\all.hpp">
       <Filter>experimental\risk</Filter>
     </ClInclude>
@@ -3252,9 +3255,18 @@
     <ClInclude Include="ql\experimental\math\autocovariance.hpp">
       <Filter>experimental\math</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\math\claytoncopularng.hpp">
+      <Filter>experimental\math</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\math\farliegumbelmorgensterncopularng.hpp">
+      <Filter>experimental\math</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\math\fastfouriertransform.hpp">
       <Filter>experimental\math</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\math\frankcopularng.hpp">
+      <Filter>experimental\math</Filter>
+    </ClInclude>
     <ClInclude Include="ql\auto_link.hpp" />
     <ClInclude Include="ql\cashflow.hpp" />
     <ClInclude Include="ql\compounding.hpp" />
@@ -5096,6 +5108,9 @@
     <ClCompile Include="ql\experimental\processes\extendedblackscholesprocess.cpp">
       <Filter>experimental\processes</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\risk\sensitivityanalysis.cpp">
       <Filter>experimental\risk</Filter>
     </ClCompile>
@@ -5236,4 +5251,4 @@
     <ClCompile Include="ql\termstructure.cpp" />
     <ClCompile Include="ql\timegrid.cpp" />
   </ItemGroup>
-</Project>
\ No newline at end of file
+</Project>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 77c7f2f039..041f3ad8b3 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -845,6 +845,12 @@
 				<File
 					RelativePath=".\ql\experimental\coupons\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\coupons\proxyibor.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\coupons\quantocouponpricer.cpp">
 				</File>
@@ -1470,9 +1476,18 @@
 				<File
 					RelativePath=".\ql\experimental\math\autocovariance.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\claytoncopularng.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\farliegumbelmorgensterncopularng.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\fastfouriertransform.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\frankcopularng.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="mcbasket"
@@ -1526,6 +1541,12 @@
 				<File
 					RelativePath=".\ql\experimental\processes\extendedblackscholesprocess.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="risk"
@@ -2612,6 +2633,9 @@
 				<File
 					RelativePath=".\ql\math\interpolations\loginterpolation.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\math\interpolations\mixedinterpolation.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\math\interpolations\multicubicspline.hpp">
 				</File>
@@ -3202,6 +3226,12 @@
 				<File
 					RelativePath=".\ql\models\equity\hestonmodelhelper.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\models\equity\piecewisetimedependenthestonmodel.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="marketmodels"
@@ -4491,6 +4521,12 @@
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonhullwhiteengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analyticptdhestonengine.hpp">
+				</File>
 				<File
 					RelativePath="ql\pricingengines\vanilla\baroneadesiwhaleyengine.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 79cb695267..b673687fb2 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -1702,6 +1702,10 @@
 					RelativePath=".\ql\math\interpolations\loginterpolation.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\interpolations\mixedinterpolation.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\interpolations\multicubicspline.hpp"
 					>
@@ -6270,6 +6274,14 @@
 					RelativePath=".\ql\experimental\processes\extendedblackscholesprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="exoticoptions"
@@ -7238,10 +7250,22 @@
 					RelativePath=".\ql\experimental\math\autocovariance.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\claytoncopularng.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\farliegumbelmorgensterncopularng.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\fastfouriertransform.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\frankcopularng.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<File
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 43ed52adf7..e79b4dcee5 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7119,6 +7119,14 @@
 					RelativePath=".\ql\experimental\processes\extendedblackscholesprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="risk"
@@ -7595,10 +7603,22 @@
 					RelativePath=".\ql\experimental\math\autocovariance.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\claytoncopularng.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\farliegumbelmorgensterncopularng.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\fastfouriertransform.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\frankcopularng.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<File
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 7cc60c72dc..9cc9f27ad4 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -2206,3 +2206,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit217]
+FileName=commodityunitofmeasure.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit218]
+FileName=commodityunitofmeasure.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=

From a09e1ff0edce9822f57f32fd0654c1f75d670fec Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 28 Oct 2010 10:27:10 +0000
Subject: [PATCH 072/410] added bermudan exercise to multidimensional FD
 framework

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17456 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |  2 +
 ql/experimental/finitedifferences/all.hpp     |  1 +
 .../fdblackscholesvanillaengine.cpp           | 16 ++++-
 .../fdhestonhullwhitevanillaengine.cpp        | 18 ++++-
 .../fdhestonvanillaengine.cpp                 | 18 ++++-
 .../fdmbermudanstepcondition.cpp              | 69 +++++++++++++++++++
 .../fdmbermudanstepcondition.hpp              | 54 +++++++++++++++
 7 files changed, 174 insertions(+), 4 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index a290d83352..c10ecc5061 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -22,6 +22,7 @@ this_include_HEADERS = \
 	fdmamericanstepcondition.hpp \
     fdmarithmeticaveragecondition.hpp \
     fdmbackwardsolver.hpp \
+	fdmbermudanstepcondition.hpp \
 	fdmblackscholesmesher.hpp \
 	fdmblackscholesmultistrikemesher.hpp \
 	fdmblackscholesop.hpp \
@@ -75,6 +76,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmamericanstepcondition.cpp \
     fdmarithmeticaveragecondition.cpp \
     fdmbackwardsolver.cpp \
+	fdmbermudanstepcondition.cpp \
 	fdmblackscholesmesher.cpp \
 	fdmblackscholesmultistrikemesher.cpp \
 	fdmblackscholesop.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index af3c55c60b..4d7b836df7 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -19,6 +19,7 @@
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
index cab3940e59..1f89749cb3 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
@@ -28,6 +28,7 @@
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
 namespace QuantLib {
 
@@ -87,14 +88,25 @@ namespace QuantLib {
             stoppingTimes.push_back(dividendCondition->dividendTimes());
         }
 
-        // 4.2 Step condition if american exercise
+        // 4.2 Step condition if american or bermudan exercise
         QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
-                   || arguments_.exercise->type() == Exercise::European,
+                   || arguments_.exercise->type() == Exercise::European
+                   || arguments_.exercise->type() == Exercise::Bermudan,
                    "exercise type is not supported");
         if (arguments_.exercise->type() == Exercise::American) {
             stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                             new FdmAmericanStepCondition(mesher,calculator)));
         }
+        else if (arguments_.exercise->type() == Exercise::Bermudan) {
+            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
+                new FdmBermudanStepCondition(
+                                    arguments_.exercise->dates(),
+                                    process_->riskFreeRate()->referenceDate(),
+                                    process_->riskFreeRate()->dayCounter(),
+                                    mesher, calculator));
+            stepConditions.push_back(bermudanCondition);
+            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
+        }
 
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
index 6863f21169..7f49c0b255 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
@@ -21,6 +21,7 @@
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
@@ -159,13 +160,28 @@ namespace QuantLib {
             stoppingTimes.push_back(dividendCondition->dividendTimes());
         }
 
-        // 3.2 Step condition if american exercise
+        // 3.2 Step condition if american or bermudan exercise 
+        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
+                   || arguments_.exercise->type() == Exercise::European
+                   || arguments_.exercise->type() == Exercise::Bermudan,
+                   "exercise type is not supported");
+
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
                             new FdmLogInnerValue(arguments_.payoff, mesher, 0));
         if (arguments_.exercise->type() == Exercise::American) {
             stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                             new FdmAmericanStepCondition(mesher, calculator)));
         }
+        else if (arguments_.exercise->type() == Exercise::Bermudan) {
+            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
+                new FdmBermudanStepCondition(
+                                arguments_.exercise->dates(),
+                                hestonProcess->riskFreeRate()->referenceDate(),
+                                hestonProcess->riskFreeRate()->dayCounter(),
+                                mesher, calculator));
+            stepConditions.push_back(bermudanCondition);
+            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
+        }
 
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index 4c6b931bd0..438dd5bb08 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -22,6 +22,7 @@
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
@@ -141,11 +142,26 @@ namespace QuantLib {
             stoppingTimes.push_back(dividendCondition->dividendTimes());
         }
 
-        // 4.2 Step condition if american exercise
+        // 4.2 Step condition if american or bermudan exercise
+        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
+                   || arguments_.exercise->type() == Exercise::European
+                   || arguments_.exercise->type() == Exercise::Bermudan,
+                   "exercise type is not supported");
+
         if (arguments_.exercise->type() == Exercise::American) {
             stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                             new FdmAmericanStepCondition(mesher, calculator)));
         }
+        else if (arguments_.exercise->type() == Exercise::Bermudan) {
+            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
+                new FdmBermudanStepCondition(
+                                    arguments_.exercise->dates(),
+                                    process->riskFreeRate()->referenceDate(),
+                                    process->riskFreeRate()->dayCounter(),
+                                    mesher, calculator));
+            stepConditions.push_back(bermudanCondition);
+            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
+        }
 
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
new file mode 100644
index 0000000000..00d8d3aca0
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
@@ -0,0 +1,69 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+
+namespace QuantLib {
+
+    FdmBermudanStepCondition::FdmBermudanStepCondition(
+            const std::vector<Date>& exerciseDates,
+            const Date& referenceDate,
+            const DayCounter& dayCounter,
+            const boost::shared_ptr<FdmMesher> & mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator> & calculator)
+    : mesher_    (mesher),
+      calculator_(calculator) {
+    
+        exerciseTimes_.reserve(exerciseDates.size());
+        for (std::vector<Date>::const_iterator iter = exerciseDates.begin();
+            iter != exerciseDates.end(); ++iter) {
+            exerciseTimes_.push_back(
+                             dayCounter.yearFraction(referenceDate, *iter));
+        }
+    }
+
+    const std::vector<Time>& FdmBermudanStepCondition::exerciseTimes() const {
+        return exerciseTimes_;
+    }
+    
+    void FdmBermudanStepCondition::applyTo(Array& a, Time t) const {
+        if (std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t) 
+              != exerciseTimes_.end()) {
+            
+            boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+            const FdmLinearOpIterator endIter = layout->end();
+
+            const Size dims = layout->dim().size();
+            Array locations(dims);
+
+            for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+                ++iter) {
+                for (Size i=0; i < dims; ++i)
+                    locations[i] = mesher_->location(iter, i);
+
+                const Real innerValue = calculator_->innerValue(iter);
+                if (innerValue > a[iter.index()]) {
+                    a[iter.index()] = innerValue;
+                }
+            }            
+        }
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp b/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp
new file mode 100644
index 0000000000..006815aa37
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmbermudanstepcondition.hpp
+    \brief bermudan step condition for multi dimensional problems
+*/
+
+#ifndef quantlib_fdm_bermudan_step_condition_hpp
+#define quantlib_fdm_bermudan_step_condition_hpp
+
+#include <ql/time/daycounter.hpp>
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+
+namespace QuantLib {
+
+    class FdmInnerValueCalculator;
+
+    class FdmBermudanStepCondition : public StepCondition<Array> {
+      public:
+        FdmBermudanStepCondition(
+            const std::vector<Date> & exerciseDates,
+            const Date& referenceDate,
+            const DayCounter& dayCounter,
+            const boost::shared_ptr<FdmMesher> & mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator> & calculator);
+
+        void applyTo(Array& a, Time t) const;
+        const std::vector<Time>& exerciseTimes() const;
+
+      private:
+        std::vector<Time> exerciseTimes_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator_;
+    };
+}
+
+#endif

From 50218b08e55f7681a36839b626e0f5739e2f9808 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 2 Nov 2010 22:11:16 +0000
Subject: [PATCH 073/410] patch zeroing of small w(i)'s

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17465 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/linearleastsquaresregression.hpp | 23 +++++++++++------------
 1 file changed, 11 insertions(+), 12 deletions(-)

diff --git a/ql/math/linearleastsquaresregression.hpp b/ql/math/linearleastsquaresregression.hpp
index d0cf458d2d..dbec2a4f78 100644
--- a/ql/math/linearleastsquaresregression.hpp
+++ b/ql/math/linearleastsquaresregression.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2009 Dirk Eddelbuettel
  Copyright (C) 2006, 2009 Klaus Spanderen
+ Copyright (C) 2010 Kakhkhor Abdijalilov
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -113,20 +114,18 @@ namespace QuantLib {
         const Matrix& V = svd.V();
         const Matrix& U = svd.U();
         const Array&  w = svd.singularValues();
-        const Real threshold = n*QL_EPSILON;
-
-        for (i=0; i<m; ++i) {
-            if (w[i] > threshold) {
-                const Real u = std::inner_product(U.column_begin(i),
-                                                  U.column_end(i),
-                                                  y.begin(), 0.0)/w[i];
-
-                for (Size j=0; j<m; ++j) {
-                    a_[j]  +=u*V[j][i];
-                    err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
-                }
+
+        for (i=0; i<svd.rank(); ++i) {
+            const Real u = std::inner_product(U.column_begin(i),
+                                              U.column_end(i),
+                                              y.begin(), 0.0)/w[i];
+
+            for (Size j=0; j<m; ++j) {
+                a_[j]+=u*V[j][i];
+                err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
             }
         }
+
         err_      = Sqrt(err_);
         residuals_= A*a_-Array(y.begin(), y.end());
 

From a45c710f50e9c4e3da7fac6ad35ca632ed5a8da3 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 3 Nov 2010 10:57:20 +0000
Subject: [PATCH 074/410] Added constness to SVD methods.

This fixes a compilation error in Longstaff-Schwartz implementation
where such methods were called on a const SVD instance.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17469 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/matrixutilities/svd.cpp | 6 +++---
 ql/math/matrixutilities/svd.hpp | 6 +++---
 2 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/math/matrixutilities/svd.cpp b/ql/math/matrixutilities/svd.cpp
index fbcb81637a..ac7df953d2 100644
--- a/ql/math/matrixutilities/svd.cpp
+++ b/ql/math/matrixutilities/svd.cpp
@@ -505,15 +505,15 @@ namespace QuantLib {
         return S;
     }
 
-    Real SVD::norm2() {
+    Real SVD::norm2() const {
         return s_[0];
     }
 
-    Real SVD::cond() {
+    Real SVD::cond() const {
         return s_[0]/s_[n_-1];
     }
 
-    Integer SVD::rank() {
+    Integer SVD::rank() const {
         Real eps = std::pow(2.0,-52.0);
         Real tol = m_*s_[0]*eps;
         Integer r = 0;
diff --git a/ql/math/matrixutilities/svd.hpp b/ql/math/matrixutilities/svd.hpp
index e69b5534c6..1889ad5100 100644
--- a/ql/math/matrixutilities/svd.hpp
+++ b/ql/math/matrixutilities/svd.hpp
@@ -60,9 +60,9 @@ namespace QuantLib {
         const Matrix& V() const;
         const Array& singularValues() const;
         Disposable<Matrix> S() const;
-        Real norm2();
-        Real cond();
-        Integer rank();
+        Real norm2() const;
+        Real cond() const;
+        Integer rank() const;
         // utilities
         Disposable<Array> solveFor(const Array&) const;
       private:

From 5eb6460fa3d1a663c69d95e0b6b0217d160c0427 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 4 Nov 2010 09:15:00 +0000
Subject: [PATCH 075/410] zeroing very small w(i)'s in forSolve

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17470 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/matrixutilities/svd.cpp | 9 +++++----
 ql/math/matrixutilities/svd.hpp | 4 ++--
 2 files changed, 7 insertions(+), 6 deletions(-)

diff --git a/ql/math/matrixutilities/svd.cpp b/ql/math/matrixutilities/svd.cpp
index ac7df953d2..4f5c6b0067 100644
--- a/ql/math/matrixutilities/svd.cpp
+++ b/ql/math/matrixutilities/svd.cpp
@@ -513,10 +513,10 @@ namespace QuantLib {
         return s_[0]/s_[n_-1];
     }
 
-    Integer SVD::rank() const {
-        Real eps = std::pow(2.0,-52.0);
+    Size SVD::rank() const {
+        Real eps = QL_EPSILON;
         Real tol = m_*s_[0]*eps;
-        Integer r = 0;
+        Size r = 0;
         for (Size i = 0; i < s_.size(); i++) {
             if (s_[i] > tol) {
                 r++;
@@ -527,7 +527,8 @@ namespace QuantLib {
 
     Disposable<Array> SVD::solveFor(const Array& b) const{
         Matrix W(n_, n_, 0.0);
-        for (Size i=0; i<Size(n_); i++)
+        const Size numericalRank = this->rank();
+        for (Size i=0; i<numericalRank; i++)
             W[i][i] = 1./s_[i];
 
         Matrix inverse = V()* W * transpose(U());
diff --git a/ql/math/matrixutilities/svd.hpp b/ql/math/matrixutilities/svd.hpp
index 1889ad5100..f297e2ff35 100644
--- a/ql/math/matrixutilities/svd.hpp
+++ b/ql/math/matrixutilities/svd.hpp
@@ -61,8 +61,8 @@ namespace QuantLib {
         const Array& singularValues() const;
         Disposable<Matrix> S() const;
         Real norm2() const;
-        Real cond() const;
-        Integer rank() const;
+        Real cond()  const;
+        Size rank()  const;
         // utilities
         Disposable<Array> solveFor(const Array&) const;
       private:

From 3c8b1ac6edd0a62ad634c8b29cb28f33776a1b9b Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 13 Nov 2010 01:11:13 +0000
Subject: [PATCH 076/410] added test interface

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17472 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../sobolbrowniangenerator.cpp                | 37 +++++++++++++++++++
 .../sobolbrowniangenerator.hpp                |  6 +++
 2 files changed, 43 insertions(+)

diff --git a/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp b/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp
index 1d32171be2..118d5e540b 100644
--- a/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp
+++ b/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp
@@ -155,6 +155,43 @@ namespace QuantLib {
         lastStep_ = 0;
         return sample.weight;
     }
+    
+    
+    const std::vector<std::vector<Size> >& 
+    SobolBrownianGenerator::orderedIndices() const {
+        return orderedIndices_;
+    }
+
+    std::vector<std::vector<Real> > SobolBrownianGenerator::transform(
+                            const std::vector<std::vector<Real> >& variates) {
+        
+        QL_REQUIRE(   (variates.size() == factors_*steps_),
+                   "inconsistent variate vector");
+
+        const Size dim    = factors_*steps_;
+        const Size nPaths = variates.front().size();
+        
+        std::vector<std::vector<Real> > 
+                       retVal(factors_, std::vector<Real>(nPaths*steps_));
+        
+        for (Size j=0; j < nPaths; ++j) {
+            std::vector<Real> sample(steps_*factors_);
+            for (Size k=0; k < dim; ++k) {
+                sample[k] = variates[k][j];
+            }
+            for (Size i=0; i<factors_; ++i) {
+                bridge_.transform(boost::make_permutation_iterator(
+                                                  sample.begin(),
+                                                  orderedIndices_[i].begin()),
+                          boost::make_permutation_iterator(
+                                                  sample.begin(),
+                                                  orderedIndices_[i].end()),
+                          retVal[i].begin()+j*steps_);
+            }
+        }
+        
+        return retVal;
+    }
 
     Real SobolBrownianGenerator::nextStep(std::vector<Real>& output) {
         #if defined(QL_EXTRA_SAFETY_CHECKS)
diff --git a/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp b/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp
index d4927a73f4..dc4017a328 100644
--- a/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp
+++ b/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp
@@ -59,6 +59,12 @@ namespace QuantLib {
 
         Size numberOfFactors() const;
         Size numberOfSteps() const;
+        
+        // test interface
+        const std::vector<std::vector<Size> >& orderedIndices() const;
+        std::vector<std::vector<Real> > transform(
+                              const std::vector<std::vector<Real> >& variates);
+
       private:
         Size factors_, steps_;
         Ordering ordering_;

From fc5d66f2a349759d96832bbfc0ffab34fac33682 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 13 Nov 2010 01:12:27 +0000
Subject: [PATCH 077/410] externalize weights for test purpose

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17473 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/integrals/gaussianquadratures.hpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

diff --git a/ql/math/integrals/gaussianquadratures.hpp b/ql/math/integrals/gaussianquadratures.hpp
index 72e5337e3a..7c9cd17805 100644
--- a/ql/math/integrals/gaussianquadratures.hpp
+++ b/ql/math/integrals/gaussianquadratures.hpp
@@ -59,7 +59,9 @@ namespace QuantLib {
         }
 
         Size order() const { return x_.size(); }
-
+        const Array& weights() { return w_; }
+        const Array& x()       { return x_; }
+        
       private:
         Array x_, w_;
     };

From ed8601929d49d77553dae907a6d2a4ce3d438f24 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 13 Nov 2010 01:15:15 +0000
Subject: [PATCH 078/410] set v_min to zero

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17474 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdmhestonvariancemesher.cpp           | 6 ++----
 1 file changed, 2 insertions(+), 4 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp b/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp
index 26a0d1be9c..0e93c95c73 100644
--- a/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp
@@ -50,15 +50,13 @@ namespace QuantLib {
                 const Real k = square<Real>()(process->sigma())
                     *(1-std::exp(-process->kappa()*t))/(4*process->kappa());
 
-                const Real qMin = std::min(process->v0(),
-                    k*InverseNonCentralChiSquareDistribution(
-                                            df, ncp, 1000, 1e-8)(epsilon));
+                const Real qMin = 0.0; // v_min = 0.0;
                 const Real qMax = std::max(process->v0(),
                     k*InverseNonCentralChiSquareDistribution(
                                             df, ncp, 1000,  1e-8)(1-epsilon));
 
                 const Real minVStep=(qMax-qMin)/(50*size);
-                Real ps,p = epsilon;
+                Real ps,p = 0.0;
 
                 Real vTmp = qMin;
                 grid.insert(std::pair<Real, Real>(qMin, epsilon));

From 54132be41dba5edb6f8bd196eb85c42aadfc6ac2 Mon Sep 17 00:00:00 2001
From: chris_kenyon <chris_kenyon@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 14 Nov 2010 14:04:20 +0000
Subject: [PATCH 079/410] Fix for InflationPeriod bug (thanks to Niall
 O'Sullivan) and new test.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17476 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/inflationtermstructure.cpp |  4 +--
 test-suite/inflation.cpp                     | 26 ++++++++++++++++++++
 test-suite/inflation.hpp                     |  1 +
 3 files changed, 29 insertions(+), 2 deletions(-)

diff --git a/ql/termstructures/inflationtermstructure.cpp b/ql/termstructures/inflationtermstructure.cpp
index 54b041f410..cf45dfedd2 100644
--- a/ql/termstructures/inflationtermstructure.cpp
+++ b/ql/termstructures/inflationtermstructure.cpp
@@ -312,11 +312,11 @@ namespace QuantLib {
             endMonth = December;
             break;
           case Semiannual:
-            startMonth = Month(6*(month-1)/6 + 1);
+            startMonth = Month(6*((month-1)/6) + 1);
             endMonth = Month(startMonth + 5);
             break;
           case Quarterly:
-            startMonth = Month(3*(month-1)/3 + 1);
+            startMonth = Month(3*((month-1)/3) + 1);
             endMonth = Month(startMonth + 2);
             break;
           case Monthly:
diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index c05267d2ae..f895a7a51f 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -918,6 +918,32 @@ void InflationTest::testYYTermStructure() {
 
 }
 
+void InflationTest::testPeriod() {
+    BOOST_MESSAGE("Testing inflation period...");
+	
+	Date d;
+	Frequency f;
+	std::pair<Date,Date> res;
+	
+	// fails by crashing out
+	for (Size i=1; i<=12; i++){
+		d = Date(1,Month(i),2009);
+		
+		f = Monthly;
+		res = inflationPeriod (d,f);
+		
+		f = Quarterly;
+		res = inflationPeriod (d,f);
+		
+		f = Semiannual;
+		res = inflationPeriod (d,f);
+		
+		f = Annual;
+		res = inflationPeriod (d,f);
+	}
+}
+
+
 
 
 test_suite* InflationTest::suite() {
diff --git a/test-suite/inflation.hpp b/test-suite/inflation.hpp
index b840f8f1ed..85fc4df483 100644
--- a/test-suite/inflation.hpp
+++ b/test-suite/inflation.hpp
@@ -27,6 +27,7 @@
 
 class InflationTest {
 public:
+	static void testPeriod();
     static void testZeroIndex();
     static void testZeroTermStructure();
     static void testYYIndex();

From 2b87058044410f2b082f5f7db22a5c8169d483b6 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 16 Nov 2010 13:11:42 +0000
Subject: [PATCH 080/410] added Kirk approximation for two asset spread options

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17477 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/basketoption.hpp         | 11 ++++
 ql/pricingengines/basket/Makefile.am    |  2 +
 ql/pricingengines/basket/kirkengine.cpp | 86 +++++++++++++++++++++++++
 ql/pricingengines/basket/kirkengine.hpp | 59 +++++++++++++++++
 test-suite/basketoption.cpp             | 50 ++++++++++++--
 5 files changed, 203 insertions(+), 5 deletions(-)
 create mode 100644 ql/pricingengines/basket/kirkengine.cpp
 create mode 100644 ql/pricingengines/basket/kirkengine.hpp

diff --git a/ql/instruments/basketoption.hpp b/ql/instruments/basketoption.hpp
index e04da6da7b..c1b782e731 100644
--- a/ql/instruments/basketoption.hpp
+++ b/ql/instruments/basketoption.hpp
@@ -87,6 +87,17 @@ namespace QuantLib {
     };
 
 
+    class SpreadBasketPayoff : public BasketPayoff {
+      public:
+          SpreadBasketPayoff(const boost::shared_ptr<Payoff> &p)
+        : BasketPayoff(p) {}
+        Real accumulate (const Array &a) const {
+            QL_REQUIRE(a.size() == 2, 
+                    "payoff is only defined for two underlyings");
+            return a[0]-a[1];
+        }
+    };
+    
     //! Basket option on a number of assets
     /*! \ingroup instruments */
     class BasketOption : public MultiAssetOption {
diff --git a/ql/pricingengines/basket/Makefile.am b/ql/pricingengines/basket/Makefile.am
index fb7c50678d..974dd27c8e 100644
--- a/ql/pricingengines/basket/Makefile.am
+++ b/ql/pricingengines/basket/Makefile.am
@@ -4,11 +4,13 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
+	kirkengine.hpp \
 	mcamericanbasketengine.hpp \
 	mceuropeanbasketengine.hpp \
 	stulzengine.hpp
 
 libBasketEngines_la_SOURCES = \
+	kirkengine.cpp \
 	mcamericanbasketengine.cpp \
 	mceuropeanbasketengine.cpp \
 	stulzengine.cpp
diff --git a/ql/pricingengines/basket/kirkengine.cpp b/ql/pricingengines/basket/kirkengine.cpp
new file mode 100644
index 0000000000..58c02642a3
--- /dev/null
+++ b/ql/pricingengines/basket/kirkengine.cpp
@@ -0,0 +1,86 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/pricingengines/basket/kirkengine.hpp>
+#include <ql/pricingengines/blackcalculator.hpp>
+#include <ql/pricingengines/blackformula.hpp>
+#include <ql/math/functional.hpp>
+#include <ql/exercise.hpp>
+
+namespace QuantLib {
+
+    KirkEngine::KirkEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            Real correlation)
+    : process1_(process1), process2_(process2), rho_(correlation) {
+        registerWith(process1_);
+        registerWith(process2_);
+    }
+
+    void KirkEngine::calculate() const {
+
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
+                   "not an European Option");
+
+        boost::shared_ptr<EuropeanExercise> exercise =
+            boost::dynamic_pointer_cast<EuropeanExercise>(arguments_.exercise);
+        QL_REQUIRE(exercise, "not an European Option");
+
+        boost::shared_ptr<SpreadBasketPayoff> spreadPayoff =
+            boost::dynamic_pointer_cast<SpreadBasketPayoff>(arguments_.payoff);
+        QL_REQUIRE(spreadPayoff," spread payoff expected");
+
+        boost::shared_ptr<PlainVanillaPayoff> payoff =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(
+                                                   spreadPayoff->basePayoff());
+        QL_REQUIRE(payoff, "non-plain payoff given");
+
+        const Real strike = payoff->strike();
+        const Real variance1 = process1_->blackVolatility()->blackVariance(
+                                                exercise->lastDate(), strike);
+        const Real variance2 = process2_->blackVolatility()->blackVariance(
+                                                exercise->lastDate(), strike);
+
+        const DiscountFactor riskFreeDiscount =
+            process1_->riskFreeRate()->discount(exercise->lastDate());
+
+        const Real forward1 = process1_->stateVariable()->value() *
+            process1_->dividendYield()->discount(exercise->lastDate()) 
+            / riskFreeDiscount;
+        const Real forward2 = process2_->stateVariable()->value() *
+            process2_->dividendYield()->discount(exercise->lastDate())
+            / riskFreeDiscount;
+
+        const Real f = forward1/(forward2 + strike);
+        const Real v 
+            = std::sqrt(variance1 
+                        + variance2*square<Real>()(forward2/(forward2+strike))
+                        - 2*rho_*std::sqrt(variance1*variance2)
+                            *(forward2/(forward2+strike)));
+        
+        BlackCalculator black(
+             boost::shared_ptr<PlainVanillaPayoff>(
+                 new PlainVanillaPayoff(payoff->optionType(),1.0)),
+             f, v, riskFreeDiscount);
+        
+        results_.value = (forward2 + payoff->strike())*black.value();
+    }
+}
+
diff --git a/ql/pricingengines/basket/kirkengine.hpp b/ql/pricingengines/basket/kirkengine.hpp
new file mode 100644
index 0000000000..0bab4a1b57
--- /dev/null
+++ b/ql/pricingengines/basket/kirkengine.hpp
@@ -0,0 +1,59 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file kirkengine.hpp
+    \brief kirk formulae, due to Kirk (1995)
+*/
+
+#ifndef quantlib_kirk_engine_hpp
+#define quantlib_kirk_engine_hpp
+
+#include <ql/instruments/basketoption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    //! Pricing engine for spread option
+    /*! This class implements formulae from
+        "Correlation in the Energy Markets", E. Kirk
+        Managing Energy Price Risk. 
+        London: Risk Publications and Enron, pp. 71-78
+
+        \ingroup basketengines
+
+        \test the correctness of the returned value is tested by
+              reproducing results available in literature.
+    */
+    class KirkEngine : public BasketOption::engine {
+      public:
+        KirkEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            Real correlation);
+        void calculate() const;
+      private:
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
+        Real rho_;
+    };
+
+}
+
+
+#endif
diff --git a/test-suite/basketoption.cpp b/test-suite/basketoption.cpp
index 3dcb69cf17..f14833e04d 100644
--- a/test-suite/basketoption.cpp
+++ b/test-suite/basketoption.cpp
@@ -24,6 +24,7 @@
 #include <ql/time/daycounters/actual360.hpp>
 #include <ql/instruments/basketoption.hpp>
 #include <ql/pricingengines/basket/stulzengine.hpp>
+#include <ql/pricingengines/basket/kirkengine.hpp>
 #include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
 #include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
@@ -87,7 +88,7 @@ using namespace boost::unit_test_framework;
 
 namespace {
 
-    enum BasketType { MinBasket, MaxBasket };
+    enum BasketType { MinBasket, MaxBasket, SpreadBasket };
 
     std::string basketTypeToString(BasketType basketType) {
         switch (basketType) {
@@ -95,6 +96,8 @@ namespace {
             return "MinBasket";
           case MaxBasket:
             return "MaxBasket";
+          case SpreadBasket:
+            return "Spread";
         }
         QL_FAIL("unknown basket option type");
     }
@@ -107,6 +110,8 @@ namespace {
             return boost::shared_ptr<BasketPayoff>(new MinBasketPayoff(p));
           case MaxBasket:
             return boost::shared_ptr<BasketPayoff>(new MaxBasketPayoff(p));
+          case SpreadBasket:
+            return boost::shared_ptr<BasketPayoff>(new SpreadBasketPayoff(p));
         }
         QL_FAIL("unknown basket option type");
     }
@@ -220,7 +225,29 @@ void BasketOptionTest::testEuroTwoValues() {
         {MinBasket,  Option::Put,   98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63,  3.5224, 1.0e-4},
         // data from "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 58
         {MaxBasket, Option::Call,   98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63,  8.0701, 1.0e-4},
-        {MaxBasket,  Option::Put,   98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63,  1.2181, 1.0e-4}
+        {MaxBasket,  Option::Put,   98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63,  1.2181, 1.0e-4},
+
+        /* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 59-60
+            Kirk approx. for a european two-asset spread option */
+
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.0, 3.7970, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.5, 2.5537, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.0, 4.3712, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.5, 3.0086, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.0, 4.3451, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.5, 2.9723, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20, -0.5,10.7517, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.0, 8.7020, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.5, 6.0257, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20, -0.5,12.1941, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.0, 9.9340, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.5, 7.0067, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25, -0.5,12.1483, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.0, 9.8780, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.5, 6.9284, 1.0e-3}
     };
 
     DayCounter dc = Actual360();
@@ -285,9 +312,22 @@ void BasketOptionTest::testEuroTwoValues() {
                          new StochasticProcessArray(procs,correlationMatrix));
 
 
-        boost::shared_ptr<PricingEngine> engine(new StulzEngine(stochProcess1,
-                                                                stochProcess2,
-                                                                values[i].rho));
+        boost::shared_ptr<PricingEngine> engine;
+        switch(values[i].basketType) {
+          case MaxBasket: 
+          case MinBasket:
+            engine=boost::shared_ptr<PricingEngine>(
+                new StulzEngine(stochProcess1, stochProcess2, values[i].rho));
+            break;
+          case SpreadBasket:
+            engine=boost::shared_ptr<PricingEngine>(
+                  new KirkEngine(stochProcess1, stochProcess2, values[i].rho));
+            break;
+          default:
+              QL_FAIL("unknown basket type");
+              
+        }
+
         boost::shared_ptr<PricingEngine> mcEngine =
             MakeMCEuropeanBasketEngine<PseudoRandom, Statistics>(process)
             .withStepsPerYear(1)

From 038c4eafefcac579779ef02471d6c14772cc8148 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 16 Nov 2010 17:05:15 +0000
Subject: [PATCH 081/410] narrow interface of KirkEngine towards BlackProcess
 (pricing of spread options on futures)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17478 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/basket/kirkengine.cpp |  29 +++---
 ql/pricingengines/basket/kirkengine.hpp |  10 +-
 test-suite/basketoption.cpp             | 117 +++++++++++++-----------
 3 files changed, 83 insertions(+), 73 deletions(-)

diff --git a/ql/pricingengines/basket/kirkengine.cpp b/ql/pricingengines/basket/kirkengine.cpp
index 58c02642a3..76491760f9 100644
--- a/ql/pricingengines/basket/kirkengine.cpp
+++ b/ql/pricingengines/basket/kirkengine.cpp
@@ -26,8 +26,8 @@
 namespace QuantLib {
 
     KirkEngine::KirkEngine(
-            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
-            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            const boost::shared_ptr<BlackProcess>& process1,
+            const boost::shared_ptr<BlackProcess>& process2,
             Real correlation)
     : process1_(process1), process2_(process2), rho_(correlation) {
         registerWith(process1_);
@@ -51,36 +51,33 @@ namespace QuantLib {
             boost::dynamic_pointer_cast<PlainVanillaPayoff>(
                                                    spreadPayoff->basePayoff());
         QL_REQUIRE(payoff, "non-plain payoff given");
-
         const Real strike = payoff->strike();
+        
+        const Real f1 = process1_->stateVariable()->value();
+        const Real f2 = process2_->stateVariable()->value();
+
+        // use atm vols
         const Real variance1 = process1_->blackVolatility()->blackVariance(
-                                                exercise->lastDate(), strike);
+                                                exercise->lastDate(), f1);
         const Real variance2 = process2_->blackVolatility()->blackVariance(
-                                                exercise->lastDate(), strike);
+                                                exercise->lastDate(), f2);
 
         const DiscountFactor riskFreeDiscount =
             process1_->riskFreeRate()->discount(exercise->lastDate());
 
-        const Real forward1 = process1_->stateVariable()->value() *
-            process1_->dividendYield()->discount(exercise->lastDate()) 
-            / riskFreeDiscount;
-        const Real forward2 = process2_->stateVariable()->value() *
-            process2_->dividendYield()->discount(exercise->lastDate())
-            / riskFreeDiscount;
-
-        const Real f = forward1/(forward2 + strike);
+        const Real f = f1/(f2 + strike);
         const Real v 
             = std::sqrt(variance1 
-                        + variance2*square<Real>()(forward2/(forward2+strike))
+                        + variance2*square<Real>()(f2/(f2+strike))
                         - 2*rho_*std::sqrt(variance1*variance2)
-                            *(forward2/(forward2+strike)));
+                            *(f2/(f2+strike)));
         
         BlackCalculator black(
              boost::shared_ptr<PlainVanillaPayoff>(
                  new PlainVanillaPayoff(payoff->optionType(),1.0)),
              f, v, riskFreeDiscount);
         
-        results_.value = (forward2 + payoff->strike())*black.value();
+        results_.value = (f2 + strike)*black.value();
     }
 }
 
diff --git a/ql/pricingengines/basket/kirkengine.hpp b/ql/pricingengines/basket/kirkengine.hpp
index 0bab4a1b57..cc39c930e6 100644
--- a/ql/pricingengines/basket/kirkengine.hpp
+++ b/ql/pricingengines/basket/kirkengine.hpp
@@ -29,7 +29,7 @@
 
 namespace QuantLib {
 
-    //! Pricing engine for spread option
+    //! Pricing engine for spread option on two futures
     /*! This class implements formulae from
         "Correlation in the Energy Markets", E. Kirk
         Managing Energy Price Risk. 
@@ -43,13 +43,13 @@ namespace QuantLib {
     class KirkEngine : public BasketOption::engine {
       public:
         KirkEngine(
-            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
-            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            const boost::shared_ptr<BlackProcess>& process1,
+            const boost::shared_ptr<BlackProcess>& process2,
             Real correlation);
         void calculate() const;
       private:
-        boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
-        boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
+        boost::shared_ptr<BlackProcess> process1_;
+        boost::shared_ptr<BlackProcess> process2_;
         Real rho_;
     };
 
diff --git a/test-suite/basketoption.cpp b/test-suite/basketoption.cpp
index f14833e04d..374e662197 100644
--- a/test-suite/basketoption.cpp
+++ b/test-suite/basketoption.cpp
@@ -228,26 +228,26 @@ void BasketOptionTest::testEuroTwoValues() {
         {MaxBasket,  Option::Put,   98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63,  1.2181, 1.0e-4},
 
         /* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 59-60
-            Kirk approx. for a european two-asset spread option */
-
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.0, 3.7970, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.5, 2.5537, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.0, 4.3712, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.5, 3.0086, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.0, 4.3451, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  120.786, 118.806, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.5, 2.9723, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20, -0.5,10.7517, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.0, 8.7020, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.5, 6.0257, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20, -0.5,12.1941, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.0, 9.9340, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.5, 7.0067, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25, -0.5,12.1483, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.0, 9.8780, 1.0e-3},
-        {SpreadBasket, Option::Call, 3.0,  116.050, 114.148, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.5, 6.9284, 1.0e-3}
+            Kirk approx. for a european spread option on two futures*/
+
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.0, 3.7970, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.20,  0.5, 2.5537, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.0, 4.3712, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.25, 0.20,  0.5, 3.0086, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.0, 4.3451, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.1, 0.20, 0.25,  0.5, 2.9723, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20, -0.5,10.7517, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.0, 8.7020, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.20,  0.5, 6.0257, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20, -0.5,12.1941, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.0, 9.9340, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.25, 0.20,  0.5, 7.0067, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25, -0.5,12.1483, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.0, 9.8780, 1.0e-3},
+        {SpreadBasket, Option::Call, 3.0,  122.0, 120.0, 0.0, 0.0, 0.10,  0.5, 0.20, 0.25,  0.5, 6.9284, 1.0e-3}
     };
 
     DayCounter dc = Actual360();
@@ -287,46 +287,57 @@ void BasketOptionTest::testEuroTwoValues() {
         vol1  ->setValue(values[i].v1);
         vol2  ->setValue(values[i].v2);
 
-        boost::shared_ptr<BlackScholesMertonProcess> stochProcess1(new
-            BlackScholesMertonProcess(Handle<Quote>(spot1),
-                                      Handle<YieldTermStructure>(qTS1),
-                                      Handle<YieldTermStructure>(rTS),
-                                      Handle<BlackVolTermStructure>(volTS1)));
-
-        boost::shared_ptr<BlackScholesMertonProcess> stochProcess2(new
-            BlackScholesMertonProcess(Handle<Quote>(spot2),
-                                      Handle<YieldTermStructure>(qTS2),
-                                      Handle<YieldTermStructure>(rTS),
-                                      Handle<BlackVolTermStructure>(volTS2)));
-
-        std::vector<boost::shared_ptr<StochasticProcess1D> > procs;
-        procs.push_back(stochProcess1);
-        procs.push_back(stochProcess2);
-
-        Matrix correlationMatrix(2,2, values[i].rho);
-        for (Integer j=0; j < 2; j++) {
-            correlationMatrix[j][j] = 1.0;
-        }
-
-        boost::shared_ptr<StochasticProcessArray> process(
-                         new StochasticProcessArray(procs,correlationMatrix));
-
-
-        boost::shared_ptr<PricingEngine> engine;
+        
+        boost::shared_ptr<PricingEngine> analyticEngine;
+        boost::shared_ptr<GeneralizedBlackScholesProcess> p1, p2;
         switch(values[i].basketType) {
           case MaxBasket: 
           case MinBasket:
-            engine=boost::shared_ptr<PricingEngine>(
-                new StulzEngine(stochProcess1, stochProcess2, values[i].rho));
+            p1 = boost::shared_ptr<GeneralizedBlackScholesProcess>(
+                new BlackScholesMertonProcess(
+                                        Handle<Quote>(spot1),
+                                        Handle<YieldTermStructure>(qTS1),
+                                        Handle<YieldTermStructure>(rTS),
+                                        Handle<BlackVolTermStructure>(volTS1)));
+            p2 = boost::shared_ptr<GeneralizedBlackScholesProcess>(
+                new BlackScholesMertonProcess(
+                                        Handle<Quote>(spot2),
+                                        Handle<YieldTermStructure>(qTS2),
+                                        Handle<YieldTermStructure>(rTS),
+                                        Handle<BlackVolTermStructure>(volTS2)));
+            analyticEngine=boost::shared_ptr<PricingEngine>(
+                new StulzEngine(p1, p2, values[i].rho));
             break;
           case SpreadBasket:
-            engine=boost::shared_ptr<PricingEngine>(
-                  new KirkEngine(stochProcess1, stochProcess2, values[i].rho));
+              p1 = boost::shared_ptr<GeneralizedBlackScholesProcess>(
+                  new BlackProcess(Handle<Quote>(spot1),
+                                   Handle<YieldTermStructure>(rTS),
+                                   Handle<BlackVolTermStructure>(volTS1)));
+              p2 = boost::shared_ptr<GeneralizedBlackScholesProcess>(
+                  new BlackProcess(Handle<Quote>(spot2),
+                                   Handle<YieldTermStructure>(rTS),
+                                   Handle<BlackVolTermStructure>(volTS2)));
+              
+              analyticEngine=boost::shared_ptr<PricingEngine>(
+                  new KirkEngine(boost::dynamic_pointer_cast<BlackProcess>(p1), 
+                                 boost::dynamic_pointer_cast<BlackProcess>(p2), 
+                                 values[i].rho));
             break;
           default:
               QL_FAIL("unknown basket type");
-              
         }
+        
+        std::vector<boost::shared_ptr<StochasticProcess1D> > procs;
+        procs.push_back(p1);
+        procs.push_back(p2);
+
+        Matrix correlationMatrix(2,2, values[i].rho);
+        for (Integer j=0; j < 2; j++) {
+            correlationMatrix[j][j] = 1.0;
+        }
+
+        boost::shared_ptr<StochasticProcessArray> process(
+                         new StochasticProcessArray(procs,correlationMatrix));
 
         boost::shared_ptr<PricingEngine> mcEngine =
             MakeMCEuropeanBasketEngine<PseudoRandom, Statistics>(process)
@@ -339,7 +350,7 @@ void BasketOptionTest::testEuroTwoValues() {
                                   exercise);
 
         // analytic engine
-        basketOption.setPricingEngine(engine);
+        basketOption.setPricingEngine(analyticEngine);
         Real calculated = basketOption.NPV();
         Real expected = values[i].result;
         Real error = std::fabs(calculated-expected);
@@ -916,11 +927,13 @@ void BasketOptionTest::testOddSamples() {
 test_suite* BasketOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Basket option tests");
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testEuroTwoValues));
+    /*
     // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(
                                &BasketOptionTest::testBarraquandThreeValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testTavellaValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOneDAmericanValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOddSamples));
+    */
     return suite;
 }

From 5fbccfc07e1e24addccf557958295beb8807ba47 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 16 Nov 2010 17:11:54 +0000
Subject: [PATCH 082/410] narrow interface of KirkEngine towards BlackProcess
 (pricing of spread options on futures)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17479 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/basketoption.cpp | 2 --
 1 file changed, 2 deletions(-)

diff --git a/test-suite/basketoption.cpp b/test-suite/basketoption.cpp
index 374e662197..1a348adf82 100644
--- a/test-suite/basketoption.cpp
+++ b/test-suite/basketoption.cpp
@@ -927,13 +927,11 @@ void BasketOptionTest::testOddSamples() {
 test_suite* BasketOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Basket option tests");
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testEuroTwoValues));
-    /*
     // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(
                                &BasketOptionTest::testBarraquandThreeValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testTavellaValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOneDAmericanValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOddSamples));
-    */
     return suite;
 }

From 1eb7c3faa34bf900a4de7f397663086a6b644250 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 17 Nov 2010 10:21:39 +0000
Subject: [PATCH 083/410] merged branches/R01000x-branch into trunk, respecting
 ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17480 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/inflation.cpp | 8 ++------
 1 file changed, 2 insertions(+), 6 deletions(-)

diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index f895a7a51f..1b101ac0ba 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -943,12 +943,11 @@ void InflationTest::testPeriod() {
 	}
 }
 
-
-
-
 test_suite* InflationTest::suite() {
 
     test_suite* suite = BOOST_TEST_SUITE("Inflation tests");
+	
+	suite->add(QUANTLIB_TEST_CASE(&InflationTest::testPeriod));
 
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testZeroIndex));
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testZeroTermStructure));
@@ -956,8 +955,5 @@ test_suite* InflationTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testYYIndex));
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testYYTermStructure));
 
-
     return suite;
 }
-
-

From 15666bf383dc2a20a0fde4f4ff7dff68d5aa473b Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 17 Nov 2010 11:29:55 +0000
Subject: [PATCH 084/410] VC9 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17481 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj | 16 ++++++++++++++++
 1 file changed, 16 insertions(+)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index e79b4dcee5..e62a07fbba 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -4975,6 +4975,14 @@
 					RelativePath=".\ql\pricingengines\basket\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\basket\kirkengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\basket\kirkengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\basket\mcamericanbasketengine.cpp"
 					>
@@ -6799,6 +6807,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmesher.cpp"
 					>

From 45510ef00568a44b0873842270abcd445f76bb29 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 18 Nov 2010 16:18:41 +0000
Subject: [PATCH 085/410] fdm code clean-up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17482 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdmblackscholesop.cpp   | 20 +++++++++-------
 .../finitedifferences/fdmblackscholesop.hpp   |  4 +++-
 .../fdmblackscholessolver.cpp                 | 21 ++--------------
 .../fdmhestonhullwhitesolver.cpp              | 21 ++--------------
 .../finitedifferences/fdmhestonsolver.cpp     | 24 ++-----------------
 .../finitedifferences/fdmhestonsolver.hpp     |  1 -
 .../finitedifferences/fdmsimple2dbssolver.cpp | 22 ++---------------
 .../fdmstepconditioncomposite.cpp             | 18 ++++++++++++++
 .../fdmstepconditioncomposite.hpp             |  6 +++++
 9 files changed, 46 insertions(+), 91 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.cpp b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
index 44257d67fb..40e6a84e3a 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
@@ -31,19 +31,21 @@ namespace QuantLib {
         const boost::shared_ptr<GeneralizedBlackScholesProcess> & bsProcess,
         Real strike,
         bool localVol,
-        Real illegalLocalVolOverwrite)
+        Real illegalLocalVolOverwrite,
+        Size direction)
     : mesher_(mesher),
       rTS_   (bsProcess->riskFreeRate().currentLink()),
       qTS_   (bsProcess->dividendYield().currentLink()),
       volTS_ (bsProcess->blackVolatility().currentLink()),
       localVol_((localVol) ? bsProcess->localVolatility().currentLink()
                            : boost::shared_ptr<LocalVolTermStructure>()),
-      x_     ((localVol) ? Array(Exp(mesher->locations(0))) : Array()),
-      dxMap_ (FirstDerivativeOp(0, mesher)),
-      dxxMap_(SecondDerivativeOp(0, mesher)),
-      mapT_  (0, mesher),
+      x_     ((localVol) ? Array(Exp(mesher->locations(direction))) : Array()),
+      dxMap_ (FirstDerivativeOp(direction, mesher)),
+      dxxMap_(SecondDerivativeOp(direction, mesher)),
+      mapT_  (direction, mesher),
       strike_(strike),
-      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
+      illegalLocalVolOverwrite_(illegalLocalVolOverwrite),
+      direction_(direction) {
     }
 
     void FdmBlackScholesOp::setTime(Time t1, Time t2) {
@@ -95,7 +97,7 @@ namespace QuantLib {
 
     Disposable<Array> FdmBlackScholesOp::apply_direction(Size direction,
                                                     const Array& r) const {
-        if (direction == 0)
+        if (direction == direction_)
             return mapT_.apply(r);
         else {
             Array retVal(r.size(), 0.0);
@@ -110,7 +112,7 @@ namespace QuantLib {
 
     Disposable<Array> FdmBlackScholesOp::solve_splitting(Size direction,
                                                 const Array& r, Real dt) const {
-        if (direction == 0)
+        if (direction == direction_)
             return mapT_.solve_splitting(r, dt, 1.0);
         else {
             Array retVal(r);
@@ -120,6 +122,6 @@ namespace QuantLib {
 
     Disposable<Array> FdmBlackScholesOp::preconditioner(const Array& r,
                                                         Real dt) const {
-        return solve_splitting(0, r, dt);
+        return solve_splitting(direction_, r, dt);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.hpp b/ql/experimental/finitedifferences/fdmblackscholesop.hpp
index d7bd3ef858..b757e2e81d 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.hpp
+++ b/ql/experimental/finitedifferences/fdmblackscholesop.hpp
@@ -41,7 +41,8 @@ namespace QuantLib {
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
             Real strike,
             bool localVol = false,
-            Real illegalLocalVolOverwrite = -Null<Real>());
+            Real illegalLocalVolOverwrite = -Null<Real>(),
+            Size direction = 0);
 
         Size size() const;
         void setTime(Time t1, Time t2);
@@ -65,6 +66,7 @@ namespace QuantLib {
         TripleBandLinearOp mapT_;
         const Real strike_;
         const Real illegalLocalVolOverwrite_;
+        const Size direction_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
index 43761e474a..8b5913b641 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
@@ -26,24 +26,6 @@
 
 namespace QuantLib {
 
-    namespace {
-        const boost::shared_ptr<FdmStepConditionComposite> addCondition(
-                     const boost::shared_ptr<FdmSnapshotCondition>& c1,
-                     const boost::shared_ptr<FdmStepConditionComposite>& c2) {
-
-             std::list<std::vector<Time> > stoppingTimes;
-             stoppingTimes.push_back(std::vector<Time>(1, c1->getTime()));
-             stoppingTimes.push_back(c2->stoppingTimes());
-
-             FdmStepConditionComposite::Conditions conditions;
-             conditions.push_back(c1);
-             conditions.push_back(c2);
-
-             return boost::shared_ptr<FdmStepConditionComposite>(
-                 new FdmStepConditionComposite(stoppingTimes, conditions));
-        }
-    }
-
     FdmBlackScholesSolver::FdmBlackScholesSolver(
         const Handle<GeneralizedBlackScholesProcess>& process,
         const boost::shared_ptr<FdmMesher>& mesher,
@@ -64,7 +46,8 @@ namespace QuantLib {
         0.99*std::min(1.0/365.0,
                       condition->stoppingTimes().empty() ? maturity :
                                  condition->stoppingTimes().front()))),
-      condition_(addCondition(thetaCondition_, condition)),
+      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
+                                                           condition)),
       strike_(strike),
       maturity_(maturity),
       timeSteps_(timeSteps),
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
index e6beacf94e..f63f178e21 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
@@ -34,24 +34,6 @@
 
 namespace QuantLib {
 
-    namespace {
-        const boost::shared_ptr<FdmStepConditionComposite> addCondition(
-                     const boost::shared_ptr<FdmSnapshotCondition>& c1,
-                     const boost::shared_ptr<FdmStepConditionComposite>& c2) {
-
-             std::list<std::vector<Time> > stoppingTimes;
-             stoppingTimes.push_back(std::vector<Time>(1, c1->getTime()));
-             stoppingTimes.push_back(c2->stoppingTimes());
-
-             FdmStepConditionComposite::Conditions conditions;
-             conditions.push_back(c1);
-             conditions.push_back(c2);
-
-             return boost::shared_ptr<FdmStepConditionComposite>(
-                 new FdmStepConditionComposite(stoppingTimes, conditions));
-        }
-    }
-
     FdmHestonHullWhiteSolver::FdmHestonHullWhiteSolver(
         const Handle<HestonProcess>& hestonProcess,
         const Handle<HullWhiteProcess>& hwProcess,
@@ -74,7 +56,8 @@ namespace QuantLib {
         0.99*std::min(1.0/365.0,
                       condition->stoppingTimes().empty() ? maturity :
                                  condition->stoppingTimes().front()))),
-      condition_(addCondition(thetaCondition_, condition)),
+      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
+                                                           condition)),
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.cpp b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
index 0fec8da1bf..2ca8fb5243 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
@@ -27,33 +27,12 @@
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 
 
 namespace QuantLib {
 
-    namespace {
-        const boost::shared_ptr<FdmStepConditionComposite> addCondition(
-                     const boost::shared_ptr<FdmSnapshotCondition>& c1,
-                     const boost::shared_ptr<FdmStepConditionComposite>& c2) {
-
-             std::list<std::vector<Time> > stoppingTimes;
-             stoppingTimes.push_back(std::vector<Time>(1, c1->getTime()));
-             stoppingTimes.push_back(c2->stoppingTimes());
-
-             FdmStepConditionComposite::Conditions conditions;
-             conditions.push_back(c1);
-             conditions.push_back(c2);
-
-             return boost::shared_ptr<FdmStepConditionComposite>(
-                 new FdmStepConditionComposite(stoppingTimes, conditions));
-        }
-    }
-
     FdmHestonSolver::FdmHestonSolver(
         const Handle<HestonProcess>& process,
         const boost::shared_ptr<FdmMesher>& mesher,
@@ -73,7 +52,8 @@ namespace QuantLib {
         0.99*std::min(1.0/365.0,
                       condition->stoppingTimes().empty() ? maturity :
                                  condition->stoppingTimes().front()))),
-      condition_(addCondition(thetaCondition_, condition)),
+      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
+                                                           condition)),
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
index 6bc9b18dc6..6d2e5c32b5 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
@@ -34,7 +34,6 @@
 
 namespace QuantLib {
 
-    class FdmDirichletBoundary;
     class FdmInnerValueCalculator;
     class FdmMesher;
     class FdmSnapshotCondition;
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
index 43385e2abf..fa77cca148 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
@@ -25,7 +25,6 @@
 #include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
-
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
@@ -34,24 +33,6 @@
 
 namespace QuantLib {
 
-    namespace {
-        const boost::shared_ptr<FdmStepConditionComposite> addCondition(
-                     const boost::shared_ptr<FdmSnapshotCondition>& c1,
-                     const boost::shared_ptr<FdmStepConditionComposite>& c2) {
-
-             std::list<std::vector<Time> > stoppingTimes;
-             stoppingTimes.push_back(std::vector<Time>(1, c1->getTime()));
-             stoppingTimes.push_back(c2->stoppingTimes());
-
-             FdmStepConditionComposite::Conditions conditions;
-             conditions.push_back(c1);
-             conditions.push_back(c2);
-
-             return boost::shared_ptr<FdmStepConditionComposite>(
-                 new FdmStepConditionComposite(stoppingTimes, conditions));
-        }
-    }
-
     FdmSimple2dBSSolver::FdmSimple2dBSSolver(
         const Handle<GeneralizedBlackScholesProcess>& process,
         const boost::shared_ptr<FdmMesher>& mesher,
@@ -69,7 +50,8 @@ namespace QuantLib {
         0.99*std::min(1.0/365.0,
                       condition->stoppingTimes().empty() ? maturity :
                                  condition->stoppingTimes().front()))),
-      condition_(addCondition(thetaCondition_, condition)),
+      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
+                                                           condition)),
       strike_(strike),
       maturity_(maturity),
       timeSteps_(timeSteps),
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
index fe0277d79a..aa06311eee 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 
 namespace QuantLib {
@@ -53,4 +54,21 @@ namespace QuantLib {
             (*iter)->applyTo(a, t);
         }
     }
+    
+    boost::shared_ptr<FdmStepConditionComposite> 
+    FdmStepConditionComposite::joinConditions(
+                const boost::shared_ptr<FdmSnapshotCondition>& c1,
+                const boost::shared_ptr<FdmStepConditionComposite>& c2) {
+
+        std::list<std::vector<Time> > stoppingTimes;
+        stoppingTimes.push_back(std::vector<Time>(1, c1->getTime()));
+        stoppingTimes.push_back(c2->stoppingTimes());
+
+        FdmStepConditionComposite::Conditions conditions;
+        conditions.push_back(c1);
+        conditions.push_back(c2);
+
+        return boost::shared_ptr<FdmStepConditionComposite>(
+            new FdmStepConditionComposite(stoppingTimes, conditions));
+    }
 }
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
index 62e6f5b00e..f8fc23c55d 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
@@ -31,6 +31,8 @@
 
 namespace QuantLib {
 
+    class FdmSnapshotCondition;
+    
     class FdmStepConditionComposite : public StepCondition<Array> {
     public:
         typedef std::list<boost::shared_ptr<StepCondition<Array> > > Conditions;
@@ -43,6 +45,10 @@ namespace QuantLib {
         const std::vector<Time>& stoppingTimes() const;
         const Conditions& conditions() const;
 
+        static boost::shared_ptr<FdmStepConditionComposite> joinConditions(
+                    const boost::shared_ptr<FdmSnapshotCondition>& c1,
+                    const boost::shared_ptr<FdmStepConditionComposite>& c2);
+        
     private:
         std::vector<Time> stoppingTimes_;
         const Conditions conditions_;

From a06dcc819f5c01b3cd917036e67b6319cf524394 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 19 Nov 2010 14:56:05 +0000
Subject: [PATCH 086/410] Updated all.hpp file

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17483 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/basket/all.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/pricingengines/basket/all.hpp b/ql/pricingengines/basket/all.hpp
index 75e44877f9..8eefbf9070 100644
--- a/ql/pricingengines/basket/all.hpp
+++ b/ql/pricingengines/basket/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/pricingengines/basket/kirkengine.hpp>
 #include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
 #include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
 #include <ql/pricingengines/basket/stulzengine.hpp>

From 1dab9eb0270d8465f070155054c9ae4012491bf9 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 19 Nov 2010 14:56:31 +0000
Subject: [PATCH 087/410] Added experimental Black-Scholes process with support
 for vega stress test.

Thanks to Michael Heckl for the contribution.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17484 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/processes/Makefile.am         |   6 +-
 ql/experimental/processes/all.hpp             |   1 +
 .../vegastressedblackscholesprocess.cpp       | 110 ++++++++++++++++++
 .../vegastressedblackscholesprocess.hpp       |  85 ++++++++++++++
 4 files changed, 200 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/processes/vegastressedblackscholesprocess.cpp
 create mode 100644 ql/experimental/processes/vegastressedblackscholesprocess.hpp

diff --git a/ql/experimental/processes/Makefile.am b/ql/experimental/processes/Makefile.am
index 7b63be5015..f490fbe2f4 100644
--- a/ql/experimental/processes/Makefile.am
+++ b/ql/experimental/processes/Makefile.am
@@ -5,11 +5,13 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     extendedblackscholesprocess.hpp \
-    extendedornsteinuhlenbeckprocess.hpp
+    extendedornsteinuhlenbeckprocess.hpp \
+    vegastressedblackscholesprocess.hpp
 
 libProcesses_la_SOURCES = \
     extendedblackscholesprocess.cpp \
-    extendedornsteinuhlenbeckprocess.cpp
+    extendedornsteinuhlenbeckprocess.cpp \
+    vegastressedblackscholesprocess.cpp
 
 noinst_LTLIBRARIES = libProcesses.la
 
diff --git a/ql/experimental/processes/all.hpp b/ql/experimental/processes/all.hpp
index 2a2dda451a..530afa7c76 100644
--- a/ql/experimental/processes/all.hpp
+++ b/ql/experimental/processes/all.hpp
@@ -3,4 +3,5 @@
 
 #include <ql/experimental/processes/extendedblackscholesprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>
 
diff --git a/ql/experimental/processes/vegastressedblackscholesprocess.cpp b/ql/experimental/processes/vegastressedblackscholesprocess.cpp
new file mode 100644
index 0000000000..818e5db284
--- /dev/null
+++ b/ql/experimental/processes/vegastressedblackscholesprocess.cpp
@@ -0,0 +1,110 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Michael Heckl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    VegaStressedBlackScholesProcess::VegaStressedBlackScholesProcess(
+             const Handle<Quote>& x0,
+             const Handle<YieldTermStructure>& dividendTS,
+             const Handle<YieldTermStructure>& riskFreeTS,
+             const Handle<BlackVolTermStructure>& blackVolTS,
+             Time lowerTimeBorderForStressTest,
+             Time upperTimeBorderForStressTest,
+             Real lowerAssetBorderForStressTest,
+             Real upperAssetBorderForStressTest,
+             Real stressLevel,
+             const boost::shared_ptr<discretization>& disc)
+    : GeneralizedBlackScholesProcess(x0, dividendTS, riskFreeTS,
+                                     blackVolTS, disc),
+      lowerTimeBorderForStressTest_(lowerTimeBorderForStressTest),
+      upperTimeBorderForStressTest_(upperTimeBorderForStressTest), 
+      lowerAssetBorderForStressTest_(lowerAssetBorderForStressTest), 
+      upperAssetBorderForStressTest_(upperAssetBorderForStressTest),
+      stressLevel_(stressLevel) {}
+
+    // returns the lower time border for the stress test
+    Real VegaStressedBlackScholesProcess::getLowerTimeBorderForStressTest() const {
+        return lowerTimeBorderForStressTest_;
+    }
+
+    // returns the upper time border for the stress test
+    Real VegaStressedBlackScholesProcess::getUpperTimeBorderForStressTest() const {
+        return upperTimeBorderForStressTest_;
+    }
+
+    // returns the lower asset border for the stress test
+    Real VegaStressedBlackScholesProcess::getLowerAssetBorderForStressTest() const {
+        return lowerAssetBorderForStressTest_;
+    }
+
+    // returns the upper asset border for the stress test
+    Real VegaStressedBlackScholesProcess::getUpperAssetBorderForStressTest() const {
+        return upperAssetBorderForStressTest_;
+    }
+
+    // returns the stress Level
+    Real VegaStressedBlackScholesProcess::getStressLevel() const {
+        return stressLevel_;
+    }
+
+
+    // set the lower time border for the stress test
+    void VegaStressedBlackScholesProcess::setLowerTimeBorderForStressTest(Time LTB) {
+        lowerTimeBorderForStressTest_ = LTB;
+        update();
+    }
+
+    // set the upper time border for the stress test
+    void VegaStressedBlackScholesProcess::setUpperTimeBorderForStressTest(Time UTB) {
+        upperTimeBorderForStressTest_ = UTB;
+        update();
+    }
+
+    // set the lower asset border for the stress test
+    void VegaStressedBlackScholesProcess::setLowerAssetBorderForStressTest(Real LAB) {
+        lowerAssetBorderForStressTest_ = LAB;
+        update();
+    }
+
+    // set the upper asset border for the stress test
+    void VegaStressedBlackScholesProcess::setUpperAssetBorderForStressTest(Real UBA) {
+        upperAssetBorderForStressTest_ = UBA;
+        update();
+    }
+
+    // set the stress Level
+    void VegaStressedBlackScholesProcess::setStressLevel(Real SL) {
+        stressLevel_ = SL;
+        update();
+    }
+
+
+
+    Real VegaStressedBlackScholesProcess::diffusion(Time t, Real x) const {
+        if (lowerTimeBorderForStressTest_ <= t && t <= upperTimeBorderForStressTest_ 
+            && lowerAssetBorderForStressTest_ <= x && x <= upperAssetBorderForStressTest_) {
+            return GeneralizedBlackScholesProcess::diffusion(t, x)+stressLevel_;
+        } else {
+            return GeneralizedBlackScholesProcess::diffusion(t, x);
+        }
+    }
+
+}
diff --git a/ql/experimental/processes/vegastressedblackscholesprocess.hpp b/ql/experimental/processes/vegastressedblackscholesprocess.hpp
new file mode 100644
index 0000000000..e53df6f96e
--- /dev/null
+++ b/ql/experimental/processes/vegastressedblackscholesprocess.hpp
@@ -0,0 +1,85 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Michael Heckl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vegastressedblackscholesprocess.hpp
+    \brief Black-Scholes process which supports local vega stress tests
+*/
+
+#ifndef quantlib_vega_stressed_black_scholes_process_hpp
+#define quantlib_vega_stressed_black_scholes_process_hpp
+
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    //! Black-Scholes process which supports local vega stress tests
+    class VegaStressedBlackScholesProcess
+        : public GeneralizedBlackScholesProcess {
+      public:
+        VegaStressedBlackScholesProcess(
+            const Handle<Quote>& x0,
+            const Handle<YieldTermStructure>& dividendTS,
+            const Handle<YieldTermStructure>& riskFreeTS,
+            const Handle<BlackVolTermStructure>& blackVolTS,
+            Time lowerTimeBorderForStressTest = 0,
+            Time upperTimeBorderForStressTest = 1000000,
+            Real lowerAssetBorderForStressTest = 0,
+            Real upperAssetBorderForStressTest = 1000000,
+            Real stressLevel = 0,
+            const boost::shared_ptr<discretization>& d =
+                  boost::shared_ptr<discretization>(new EulerDiscretization));
+        //! \name StochasticProcess1D interface
+        //@{
+        Real diffusion(Time t, Real x) const;
+        //@}
+        //! \name interface for vega stress test
+        //@{
+        // give back lower time border for stress test
+        Real getLowerTimeBorderForStressTest() const;
+        // set lower time border for stress test
+        void setLowerTimeBorderForStressTest(Time LTB);
+        // give back upper time border for stress test
+        Real getUpperTimeBorderForStressTest() const;
+        // set upper time border for stress test
+        void setUpperTimeBorderForStressTest(Time UTB);
+        // give back lower asset border for stress test
+        Real getLowerAssetBorderForStressTest() const;
+        // set lower asset border for stress test
+        void setLowerAssetBorderForStressTest(Real LAB);
+        // give back upper asset border for stress test
+        Real getUpperAssetBorderForStressTest() const;
+        // set upper asset border for stress test
+        void setUpperAssetBorderForStressTest(Real UBA);
+        // give back stress level
+        Real getStressLevel() const;
+        // set stress level
+        void setStressLevel(Real SL);
+        //@}
+      private:
+        Real lowerTimeBorderForStressTest_;
+        Real upperTimeBorderForStressTest_;
+        Real lowerAssetBorderForStressTest_;
+        Real upperAssetBorderForStressTest_;
+        Real stressLevel_;
+    };
+
+}
+
+
+#endif

From 08ba139d2e1c1fe1849c4baab17f9fcc1e56acb5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 19 Nov 2010 15:53:36 +0000
Subject: [PATCH 088/410] Knuth RNG is now safely copyable (thanks to Slava
 Mazur.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17485 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/randomnumbers/knuthuniformrng.cpp | 6 +++---
 ql/math/randomnumbers/knuthuniformrng.hpp | 5 ++---
 2 files changed, 5 insertions(+), 6 deletions(-)

diff --git a/ql/math/randomnumbers/knuthuniformrng.cpp b/ql/math/randomnumbers/knuthuniformrng.cpp
index 8eca25ed94..e5a184d8b4 100644
--- a/ql/math/randomnumbers/knuthuniformrng.cpp
+++ b/ql/math/randomnumbers/knuthuniformrng.cpp
@@ -29,7 +29,7 @@ namespace QuantLib {
 
     KnuthUniformRng::KnuthUniformRng(long seed)
     : ranf_arr_buf(QUALITY), ran_u(QUALITY) {
-        ranf_arr_ptr = ranf_arr_sentinel = ranf_arr_buf.end();
+        ranf_arr_ptr = ranf_arr_sentinel = ranf_arr_buf.size();
         ranf_start(seed != 0 ? seed : SeedGenerator::instance().get());
     }
 
@@ -77,8 +77,8 @@ namespace QuantLib {
 
     double KnuthUniformRng::ranf_arr_cycle() const {
         ranf_array(ranf_arr_buf,QUALITY);
-        ranf_arr_ptr=ranf_arr_buf.begin()+1;
-        ranf_arr_sentinel = ranf_arr_buf.begin()+100;
+        ranf_arr_ptr = 1;
+        ranf_arr_sentinel = 100;
         return ranf_arr_buf[0];
     }
 
diff --git a/ql/math/randomnumbers/knuthuniformrng.hpp b/ql/math/randomnumbers/knuthuniformrng.hpp
index 0f6f4cac22..5c1f1ecaa7 100644
--- a/ql/math/randomnumbers/knuthuniformrng.hpp
+++ b/ql/math/randomnumbers/knuthuniformrng.hpp
@@ -53,8 +53,7 @@ namespace QuantLib {
       private:
         static const int KK, LL, TT, QUALITY;
         mutable std::vector<double> ranf_arr_buf;
-        mutable std::vector<double>::const_iterator ranf_arr_ptr,
-            ranf_arr_sentinel;
+        mutable size_t ranf_arr_ptr, ranf_arr_sentinel;
         mutable std::vector<double> ran_u;
         double mod_sum(double x, double y) const;
         bool is_odd(int s) const;
@@ -68,7 +67,7 @@ namespace QuantLib {
 
     inline KnuthUniformRng::sample_type KnuthUniformRng::next() const {
         double result = (ranf_arr_ptr != ranf_arr_sentinel ?
-                         *ranf_arr_ptr++ :
+                         ranf_arr_buf[ranf_arr_ptr++] :
                          ranf_arr_cycle());
         return sample_type(result,1.0);
     }

From c665d61e18fea3e2aab89afcb132cb908c87af12 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 19 Nov 2010 16:23:14 +0000
Subject: [PATCH 089/410] Updated VC++ and Dev-C++ projects.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17486 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 61 +++++++++++++++++++++++++++++++++++
 QuantLib_vc10.vcxproj         |  6 ++++
 QuantLib_vc10.vcxproj.filters | 18 +++++++++++
 QuantLib_vc7.vcproj           | 18 +++++++++++
 QuantLib_vc8.vcproj           | 24 ++++++++++++++
 QuantLib_vc9.vcproj           |  8 +++++
 6 files changed, 135 insertions(+)

diff --git a/QuantLib.dev b/QuantLib.dev
index b330771860..1c05517af2 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -16906,3 +16906,64 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1687]
+FileName=ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1688]
+FileName=ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1689]
+FileName=ql\experimental\processes\vegastressedblackscholesprocess.cpp
+CompileCpp=1
+Folder=experimental/processes
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1690]
+FileName=ql\experimental\processes\vegastressedblackscholesprocess.hpp
+CompileCpp=1
+Folder=experimental/processes
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1691]
+FileName=ql\pricingengines\basket\kirkengine.cpp
+CompileCpp=1
+Folder=pricingengines/basket
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1692]
+FileName=ql\pricingengines\basket\kirkengine.hpp
+CompileCpp=1
+Folder=pricingengines/basket
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index e8d876dcef..27a1005a58 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -877,6 +877,7 @@
     <ClInclude Include="ql\pricingengines\basket\all.hpp" />
     <ClInclude Include="ql\pricingengines\basket\mcamericanbasketengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\mceuropeanbasketengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\kirkengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\stulzengine.hpp" />
     <ClInclude Include="ql\pricingengines\forward\all.hpp" />
     <ClInclude Include="ql\pricingengines\forward\forwardengine.hpp" />
@@ -1122,6 +1123,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmamericanstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesop.hpp" />
@@ -1167,6 +1169,7 @@
     <ClInclude Include="ql\experimental\processes\all.hpp" />
     <ClInclude Include="ql\experimental\processes\extendedblackscholesprocess.hpp" />
     <ClInclude Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp" />
+    <ClInclude Include="ql\experimental\processes\vegastressedblackscholesprocess.hpp" />
     <ClInclude Include="ql\experimental\risk\all.hpp" />
     <ClInclude Include="ql\experimental\risk\sensitivityanalysis.hpp" />
     <ClInclude Include="ql\experimental\shortrate\all.hpp" />
@@ -1662,6 +1665,7 @@
     <ClCompile Include="ql\pricingengines\barrier\mcbarrierengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\mcamericanbasketengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\mceuropeanbasketengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\kirkengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\stulzengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\analyticbsmhullwhiteengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\analyticdigitalamericanengine.cpp" />
@@ -1844,6 +1848,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmamericanstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesop.cpp" />
@@ -1879,6 +1884,7 @@
     <ClCompile Include="ql\experimental\mcbasket\pathmultiassetoption.cpp" />
     <ClCompile Include="ql\experimental\processes\extendedblackscholesprocess.cpp" />
     <ClCompile Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp" />
+    <ClCompile Include="ql\experimental\processes\vegastressedblackscholesprocess.cpp" />
     <ClCompile Include="ql\experimental\risk\sensitivityanalysis.cpp" />
     <ClCompile Include="ql\experimental\shortrate\generalizedhullwhite.cpp" />
     <ClCompile Include="ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index f566b2aa54..3743034ae9 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2187,6 +2187,9 @@
     <ClInclude Include="ql\pricingengines\basket\mceuropeanbasketengine.hpp">
       <Filter>pricingengines\basket</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\kirkengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\basket\stulzengine.hpp">
       <Filter>pricingengines\basket</Filter>
     </ClInclude>
@@ -2922,6 +2925,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmesher.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -3057,6 +3063,9 @@
     <ClInclude Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp">
       <Filter>experimental\processes</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\processes\vegastressedblackscholesprocess.hpp">
+      <Filter>experimental\processes</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\risk\all.hpp">
       <Filter>experimental\risk</Filter>
     </ClInclude>
@@ -4460,6 +4469,9 @@
     <ClCompile Include="ql\pricingengines\basket\mceuropeanbasketengine.cpp">
       <Filter>pricingengines\basket</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\kirkengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\basket\stulzengine.cpp">
       <Filter>pricingengines\basket</Filter>
     </ClCompile>
@@ -5006,6 +5018,9 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmesher.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5111,6 +5126,9 @@
     <ClCompile Include="ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp">
       <Filter>experimental\processes</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\processes\vegastressedblackscholesprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\risk\sensitivityanalysis.cpp">
       <Filter>experimental\risk</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 041f3ad8b3..5386939e6f 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1205,6 +1205,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmesher.cpp">
 				</File>
@@ -1547,6 +1553,12 @@
 				<File
 					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="risk"
@@ -4246,6 +4258,12 @@
 				<File
 					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp">
 				</File>
+				<File
+					RelativePath="ql\pricingengines\basket\kirkengine.cpp">
+				</File>
+				<File
+					RelativePath="ql\pricingengines\basket\kirkengine.hpp">
+				</File>
 				<File
 					RelativePath="ql\pricingengines\basket\stulzengine.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index b673687fb2..f965cdaf5a 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -4638,6 +4638,14 @@
 					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath="ql\pricingengines\basket\kirkengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath="ql\pricingengines\basket\kirkengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath="ql\pricingengines\basket\stulzengine.cpp"
 					>
@@ -6006,6 +6014,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmesher.cpp"
 					>
@@ -6282,6 +6298,14 @@
 					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="exoticoptions"
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index e62a07fbba..81310a3c08 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7143,6 +7143,14 @@
 					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="risk"

From d96ba99d68b57d3196f8376b08661f170c476f52 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Nov 2010 16:56:52 +0000
Subject: [PATCH 090/410] removed useless include

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17487 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdhestonvanillaengine.cpp | 1 +
 ql/experimental/finitedifferences/fdhestonvanillaengine.hpp | 2 +-
 2 files changed, 2 insertions(+), 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index 438dd5bb08..7844721a8c 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -24,6 +24,7 @@
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
index b7981dd728..20503d97a4 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
@@ -29,7 +29,7 @@
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 

From 7f52063339ace36a6a4dc716fdde55460656c469 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Nov 2010 16:59:15 +0000
Subject: [PATCH 091/410] removed useless include

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17488 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp | 3 ---
 ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp      | 2 +-
 2 files changed, 1 insertion(+), 4 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
index f63f178e21..8f2125defc 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
@@ -25,9 +25,6 @@
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
index fa77cca148..595aafd734 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
@@ -22,10 +22,10 @@
 */
 
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>

From 4efa30f409a09b36f468db12b38216b5c6938a3d Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Nov 2010 17:08:07 +0000
Subject: [PATCH 092/410] added 2 dimensional finite difference engine for
 Black-Scholes processes (incl. local vol).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17489 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   7 +-
 ql/experimental/finitedifferences/all.hpp     |   4 +-
 .../fd2dblackscholesvanillaengine.cpp         | 131 +++++++++++++
 .../fd2dblackscholesvanillaengine.hpp         |  68 +++++++
 .../finitedifferences/fdm2dblackscholesop.cpp | 151 +++++++++++++++
 .../finitedifferences/fdm2dblackscholesop.hpp |  71 +++++++
 .../fdm2dblackscholessolver.cpp               | 176 ++++++++++++++++++
 .../fdm2dblackscholessolver.hpp               |  93 +++++++++
 .../fdminnervaluecalculator.cpp               |  21 +++
 .../fdminnervaluecalculator.hpp               |  14 ++
 test-suite/basketoption.cpp                   |  24 ++-
 11 files changed, 756 insertions(+), 4 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dblackscholesop.hpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index c10ecc5061..b4534b01d5 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -10,6 +10,7 @@ this_include_HEADERS = \
 	dividendbarrieroption.hpp \
 	douglasscheme.hpp \
 	expliciteulerscheme.hpp \
+	fd2dblackscholesvanillaengine.hpp \
 	fdblackscholesasianengine.hpp \
 	fdblackscholesbarrierengine.hpp \
 	fdblackscholesrebateengine.hpp \
@@ -19,7 +20,8 @@ this_include_HEADERS = \
 	fdhestonvanillaengine.hpp \
 	fdhestonhullwhitevanillaengine.hpp \
 	fdm1dmesher.hpp \
-	fdmamericanstepcondition.hpp \
+	fdm2dblackscholesop.hpp \
+	fdm2dblackscholessolver.hpp \
     fdmarithmeticaveragecondition.hpp \
     fdmbackwardsolver.hpp \
 	fdmbermudanstepcondition.hpp \
@@ -65,6 +67,7 @@ libMultiDimFDM_la_SOURCES = \
 	dividendbarrieroption.cpp \
 	douglasscheme.cpp \
 	expliciteulerscheme.cpp \
+	fd2dblackscholesvanillaengine.cpp \
 	fdblackscholesasianengine.cpp \
 	fdblackscholesbarrierengine.cpp \
 	fdblackscholesrebateengine.cpp \
@@ -73,6 +76,8 @@ libMultiDimFDM_la_SOURCES = \
 	fdhestonrebateengine.cpp \
 	fdhestonvanillaengine.cpp \
 	fdhestonhullwhitevanillaengine.cpp \
+	fdm2dblackscholesop.cpp \
+	fdm2dblackscholessolver.cpp \
 	fdmamericanstepcondition.cpp \
     fdmarithmeticaveragecondition.cpp \
     fdmbackwardsolver.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 4d7b836df7..0bd5b543d2 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -7,6 +7,7 @@
 #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 #include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
+#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
@@ -16,7 +17,8 @@
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
new file mode 100644
index 0000000000..a2c84b4dc6
--- /dev/null
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
@@ -0,0 +1,131 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/exercise.hpp>
+#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+
+namespace QuantLib {
+
+    Fd2dBlackScholesVanillaEngine::Fd2dBlackScholesVanillaEngine(
+        const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
+        const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
+        Real correlation,
+        Size xGrid, Size yGrid,
+        Size tGrid, Size dampingSteps,
+        FdmBackwardSolver::FdmSchemeType type,
+        Real theta, Real mu)
+    : p1_(p1),
+      p2_(p2),
+      correlation_(correlation),
+      xGrid_(xGrid), yGrid_(yGrid), tGrid_(tGrid),
+      dampingSteps_(dampingSteps),
+      schemeType_(type),
+      theta_(theta), mu_(mu) {
+    }
+
+    void Fd2dBlackScholesVanillaEngine::calculate() const {
+        // 1. Layout
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid_);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                              new FdmLinearOpLayout(dim));
+
+        const boost::shared_ptr<BasketPayoff> payoff =
+            boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
+
+        // 2. Mesher
+        const Time maturity = p1_->time(arguments_.exercise->lastDate());
+        const boost::shared_ptr<Fdm1dMesher> em1(
+            new FdmBlackScholesMesher(
+                    xGrid_, p1_, maturity, p1_->x0(), 
+                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
+                    std::pair<Real, Real>(p1_->x0(), 0.1)));
+
+        const boost::shared_ptr<Fdm1dMesher> em2(
+            new FdmBlackScholesMesher(
+                    xGrid_, p2_, maturity, p2_->x0(), 
+                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
+                    std::pair<Real, Real>(p2_->x0(), 0.1)));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(em1);
+        meshers.push_back(em2);
+        boost::shared_ptr<FdmMesher> mesher (
+                                     new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+                                new FdmLogBasketInnerValue(payoff, mesher));
+
+        // 4. Step conditions
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+        std::list<std::vector<Time> > stoppingTimes;
+
+        // 4.2 Step condition if american or bermudan exercise
+        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
+                   || arguments_.exercise->type() == Exercise::European
+                   || arguments_.exercise->type() == Exercise::Bermudan,
+                   "exercise type is not supported");
+        if (arguments_.exercise->type() == Exercise::American) {
+            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+                            new FdmAmericanStepCondition(mesher,calculator)));
+        }
+        else if (arguments_.exercise->type() == Exercise::Bermudan) {
+            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
+                new FdmBermudanStepCondition(
+                                    arguments_.exercise->dates(),
+                                    p1_->riskFreeRate()->referenceDate(),
+                                    p1_->riskFreeRate()->dayCounter(),
+                                    mesher, calculator));
+            stepConditions.push_back(bermudanCondition);
+            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
+        }
+
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+
+        // 5. Boundary conditions
+        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. Solver
+        boost::shared_ptr<Fdm2dBlackScholesSolver> solver(
+                new Fdm2dBlackScholesSolver(
+                             Handle<GeneralizedBlackScholesProcess>(p1_),
+                             Handle<GeneralizedBlackScholesProcess>(p2_),
+                             correlation_,
+                             mesher, boundaries, conditions, calculator,
+                             maturity, tGrid_, dampingSteps_,
+                             schemeType_, theta_, mu_));
+
+        const Real x = p1_->x0();
+        const Real y = p2_->x0();
+
+        results_.value = solver->valueAt(x, y);
+        results_.theta = solver->thetaAt(x, y);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
new file mode 100644
index 0000000000..1f42b63b3f
--- /dev/null
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
@@ -0,0 +1,68 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fd2dblackscholesvanillaengine.hpp
+    \brief Finite-Differences 2 dim Black Scholes vanilla option engine
+*/
+
+#ifndef quantlib_fd_2d_black_scholes_vanilla_engine_hpp
+#define quantlib_fd_2d_black_scholes_vanilla_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/basketoption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    //! Two dimensional finite-differences Black Scholes vanilla option engine
+
+    /*! \ingroup basketengines
+
+        \test the correctness of the returned value is tested by
+              reproducing results available in web/literature
+              and comparison with Kirk approximation.
+    */
+    class Fd2dBlackScholesVanillaEngine : public BasketOption::engine {
+      public:
+          Fd2dBlackScholesVanillaEngine(
+                const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
+                const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
+                Real correlation,
+                Size xGrid = 100, Size yGrid = 100, 
+                Size tGrid = 50, Size dampingSteps = 0,
+                FdmBackwardSolver::FdmSchemeType type 
+                                            = FdmBackwardSolver::Hundsdorfer,
+                Real theta = 0.5+std::sqrt(3.0)/6,
+                Real mu = 0.5);
+
+        void calculate() const;
+
+      private:
+        const boost::shared_ptr<GeneralizedBlackScholesProcess> p1_;
+        const boost::shared_ptr<GeneralizedBlackScholesProcess> p2_;
+        const Real correlation_;
+        const Size xGrid_, yGrid_, tGrid_;
+        const Size dampingSteps_;
+        const FdmBackwardSolver::FdmSchemeType schemeType_;
+        const Real theta_, mu_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
new file mode 100644
index 0000000000..1268ea2cea
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
@@ -0,0 +1,151 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdm2dblackscholesop.cpp
+*/
+
+
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+
+namespace QuantLib {
+
+    Fdm2dBlackScholesOp::Fdm2dBlackScholesOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
+            Real correlation,
+            Time maturity,
+            bool localVol,
+            Real illegalLocalVolOverwrite)
+    : mesher_(mesher),
+      p1_(p1),
+      p2_(p2),
+      
+      localVol1_((localVol) ? p1->localVolatility().currentLink()
+                            : boost::shared_ptr<LocalVolTermStructure>()),
+      localVol2_((localVol) ? p2->localVolatility().currentLink()
+                            : boost::shared_ptr<LocalVolTermStructure>()),
+                            
+      x_((localVol) ? Array(Exp(mesher->locations(0))) : Array()),
+      y_((localVol) ? Array(Exp(mesher->locations(1))) : Array()),
+
+      opX_(mesher, p1, p1->x0(), localVol, illegalLocalVolOverwrite, 0),
+      opY_(mesher, p2, p2->x0(), localVol, illegalLocalVolOverwrite, 1),
+      
+      corrMapT_(0, 1, mesher),
+      corrMapTemplate_(SecondOrderMixedDerivativeOp(0, 1, mesher)
+                      .mult(Array(mesher->layout()->size(), correlation))),
+                      
+      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) { 
+    }
+           
+    Size Fdm2dBlackScholesOp::size() const {
+        return 2;
+    }
+    
+    void Fdm2dBlackScholesOp::setTime(Time t1, Time t2) {
+        opX_.setTime(t1, t2);
+        opY_.setTime(t1, t2);
+        
+        if (localVol1_) {
+            const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
+            const FdmLinearOpIterator endIter = layout->end();
+
+            Array vol1(layout->size()), vol2(layout->size());
+            for (FdmLinearOpIterator iter = layout->begin();
+                 iter!=endIter; ++iter) {
+                const Size i = iter.index();
+
+                if (illegalLocalVolOverwrite_ < 0.0) {
+                    vol1[i] = localVol1_->localVol(0.5*(t1+t2), x_[i], true);
+                    vol2[i] = localVol2_->localVol(0.5*(t1+t2), y_[i], true);
+                }
+                else {
+                    try {
+                        vol1[i] = localVol1_->localVol(0.5*(t1+t2), x_[i],true);
+                    } catch (Error&) {
+                        vol1[i] = illegalLocalVolOverwrite_;
+                    }
+                    try {
+                        vol2[i] = localVol2_->localVol(0.5*(t1+t2), y_[i],true);
+                    } catch (Error&) {
+                        vol2[i] = illegalLocalVolOverwrite_;
+                    }
+
+                }
+            }
+            corrMapT_ = corrMapTemplate_.mult(vol1*vol2);
+        }
+        else {
+            const Real vol1 = p1_
+                    ->blackVolatility()->blackForwardVol(t1, t2, p1_->x0());
+    
+            const Real vol2 = p2_
+                    ->blackVolatility()->blackForwardVol(t1, t2, p2_->x0());
+            
+            corrMapT_ = corrMapTemplate_
+                      .mult(Array(mesher_->layout()->size(), vol1*vol2));
+        }
+        
+        currentForwardRate_ = p1_->riskFreeRate()
+                                 ->forwardRate(t1, t2, Continuous).rate();
+    }
+
+    Disposable<Array> Fdm2dBlackScholesOp::apply(const Array& x) const {
+        return opX_.apply(x) + opY_.apply(x) + corrMapT_.apply(x) 
+                   + currentForwardRate_*x;
+    }
+    
+    Disposable<Array> Fdm2dBlackScholesOp::apply_mixed(const Array& x) const {
+        return corrMapT_.apply(x) + currentForwardRate_*x;
+    }
+    
+    Disposable<Array> Fdm2dBlackScholesOp::apply_direction(
+                                       Size direction, const Array& x) const {
+        if (direction == 0) {
+            return opX_.apply(x);
+        }
+        else if (direction == 1) {
+            return opY_.apply(x);
+        }
+        else {
+            QL_FAIL("direction is too large");
+        }
+    }
+    
+    Disposable<Array> Fdm2dBlackScholesOp::solve_splitting(Size direction,
+                                               const Array& x, Real s) const {
+        if (direction == 0) {
+            return opX_.solve_splitting(direction, x, s);
+        }
+        else if (direction == 1) {
+            return opY_.solve_splitting(direction, x, s);
+        }
+        else
+            QL_FAIL("direction is too large");
+    }
+    
+    Disposable<Array> Fdm2dBlackScholesOp::preconditioner(const Array& r, 
+                                                          Real dt) const {
+        return solve_splitting(0, r, dt);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.hpp b/ql/experimental/finitedifferences/fdm2dblackscholesop.hpp
new file mode 100644
index 0000000000..b6f8549e25
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dblackscholesop.hpp
@@ -0,0 +1,71 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+/*! \file fdm2dblackscholesop.hpp
+*/
+
+#ifndef quantlib_fdm_2d_black_scholes_op_hpp
+#define quantlib_fdm_2d_black_scholes_op_hpp
+
+#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
+#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class GeneralizedBlackScholesProcess;
+
+    class Fdm2dBlackScholesOp : public FdmLinearOpComposite {
+      public:
+        Fdm2dBlackScholesOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
+            Real correlation,
+            Time maturity,
+            bool localVol = false,
+            Real illegalLocalVolOverwrite = -Null<Real>());
+           
+        Size size() const;
+        void setTime(Time t1, Time t2);    
+        Disposable<Array> apply(const Array& x) const;
+        Disposable<Array> apply_mixed(const Array& x) const;
+    
+        Disposable<Array> apply_direction(Size direction,const Array& x) const;
+        
+        Disposable<Array> solve_splitting(Size direction,
+                                          const Array& x, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+    
+      private:
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<GeneralizedBlackScholesProcess> p1_, p2_;
+        const boost::shared_ptr<LocalVolTermStructure> localVol1_, localVol2_;
+        const Array x_, y_;
+        
+        Real currentForwardRate_;
+        FdmBlackScholesOp opX_, opY_;
+        NinePointLinearOp corrMapT_;
+        const NinePointLinearOp corrMapTemplate_;
+        const Real illegalLocalVolOverwrite_;
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
new file mode 100644
index 0000000000..a73fd24b22
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
@@ -0,0 +1,176 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
+#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+
+
+namespace QuantLib {
+
+    Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(
+        const Handle<GeneralizedBlackScholesProcess>& p1,
+        const Handle<GeneralizedBlackScholesProcess>& p2,
+        const Real correlation,
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const FdmBoundaryConditionSet & bcSet,
+        const boost::shared_ptr<FdmStepConditionComposite> & condition,
+        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+        Time maturity,
+        Size timeSteps,
+        Size dampingSteps,
+        FdmBackwardSolver::FdmSchemeType type,
+        Real theta, Real mu)
+    : p1_(p1),
+      p2_(p2),
+      correlation_(correlation),
+      mesher_(mesher),
+      bcSet_(bcSet),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+                      condition->stoppingTimes().empty() ? maturity :
+                                 condition->stoppingTimes().front()))),
+      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
+                                                           condition)),
+      maturity_(maturity),
+      timeSteps_(timeSteps),
+      dampingSteps_(dampingSteps),
+      schemeType_(type),
+      theta_(theta),
+      mu_(mu),
+      initialValues_(mesher->layout()->size()),
+      resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
+
+        registerWith(p1_);
+        registerWith(p2_);
+
+        x_.reserve(mesher->layout()->dim()[0]);
+        y_.reserve(mesher->layout()->dim()[1]);
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
+
+            if (!iter.coordinates()[1]) {
+                x_.push_back(mesher->location(iter, 0));
+            }
+            if (!iter.coordinates()[0]) {
+                y_.push_back(mesher->location(iter, 1));
+            }
+        }
+    }
+
+        
+    void Fdm2dBlackScholesSolver::performCalculations() const {
+        
+        boost::shared_ptr<Fdm2dBlackScholesOp> map(
+                new Fdm2dBlackScholesOp(mesher_, 
+                                        p1_.currentLink(), 
+                                        p2_.currentLink(), 
+                                        correlation_, maturity_));
+
+        Array rhs(initialValues_.size());
+        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
+
+        FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
+                      .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
+
+        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
+        interpolation_ = boost::shared_ptr<BicubicSpline> (
+            new BicubicSpline(x_.begin(), x_.end(),
+                              y_.begin(), y_.end(),
+                              resultValues_));
+    }
+
+    Real Fdm2dBlackScholesSolver::valueAt(Real u, Real v) const {
+        calculate();
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+
+        return interpolation_->operator()(x, y);
+    }
+    
+    Real Fdm2dBlackScholesSolver::thetaAt(Real u, Real v) const {
+        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
+                   "stopping time at zero-> can't calculate theta");
+
+        calculate();
+        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
+
+        const Array& rhs = thetaCondition_->getValues();
+        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
+
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+
+        return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
+                              thetaValues)(x, y) - valueAt(u, v))
+              / thetaCondition_->getTime();
+    }
+
+
+    Real Fdm2dBlackScholesSolver::deltaXat(Real u, Real v) const {
+        calculate();
+
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+
+        return interpolation_->derivativeX(x, y)/u;
+    }
+
+    Real Fdm2dBlackScholesSolver::deltaYat(Real u, Real v) const {
+        calculate();
+
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+
+        return interpolation_->derivativeY(x, y)/v;
+    }
+
+    Real Fdm2dBlackScholesSolver::gammaXat(Real u, Real v) const {
+        calculate();
+        
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+        
+        return (interpolation_->secondDerivativeX(x, y)
+                -interpolation_->derivativeX(x, y))/(u*u);
+    }
+
+    Real Fdm2dBlackScholesSolver::gammaYat(Real u, Real v) const {
+        calculate();
+        
+        const Real x = std::log(u);
+        const Real y = std::log(v);
+        
+        return (interpolation_->secondDerivativeY(x, y)
+                -interpolation_->derivativeY(x, y))/(v*v);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
new file mode 100644
index 0000000000..05c47117d2
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
@@ -0,0 +1,93 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdm2dblackscholessolver.hpp
+*/
+
+#ifndef quantlib_fdm_2d_black_scholes_solver_hpp
+#define quantlib_fdm_2d_black_scholes_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/math/matrix.hpp>
+#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+namespace QuantLib {
+
+    class FdmDirichletBoundary;
+    class FdmInnerValueCalculator;
+    class FdmMesher;
+    class FdmSnapshotCondition;
+    class FdmStepConditionComposite;
+    class GeneralizedBlackScholesProcess;
+    class BicubicSpline;
+
+    class Fdm2dBlackScholesSolver : public LazyObject {
+      public:
+        Fdm2dBlackScholesSolver(
+            const Handle<GeneralizedBlackScholesProcess>& p1,
+            const Handle<GeneralizedBlackScholesProcess>& p2,
+            const Real correlation,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const FdmBoundaryConditionSet & bcSet,
+            const boost::shared_ptr<FdmStepConditionComposite> & condition,
+            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+            Time maturity,
+            Size timeSteps,
+            Size dampingSteps,
+            FdmBackwardSolver::FdmSchemeType type
+                                        = FdmBackwardSolver::Hundsdorfer,
+            Real theta = 0.5+std::sqrt(3.0)/6,
+            Real mu = 0.5);
+
+        Real valueAt(Real x, Real y) const;
+        Real thetaAt(Real x, Real y) const;
+
+        Real deltaXat(Real x, Real y) const;
+        Real deltaYat(Real x, Real y) const;
+        Real gammaXat(Real x, Real y) const;
+        Real gammaYat(Real x, Real y) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const Handle<GeneralizedBlackScholesProcess> p1_;
+        const Handle<GeneralizedBlackScholesProcess> p2_;
+        const Real correlation_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const FdmBoundaryConditionSet bcSet_;
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> condition_;
+        const Time maturity_;
+        const Size timeSteps_;
+        
+        const Size dampingSteps_;        
+        const FdmBackwardSolver::FdmSchemeType schemeType_;
+        const Real theta_, mu_;
+
+        std::vector<Real> x_, y_, initialValues_;
+        mutable Matrix resultValues_;
+        mutable boost::shared_ptr<BicubicSpline> interpolation_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
index 75eff3b5d8..89a8f79327 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
@@ -26,6 +26,7 @@
 #include <ql/payoff.hpp>
 #include <ql/math/functional.hpp>
 #include <ql/math/integrals/simpsonintegral.hpp>
+#include <ql/instruments/basketoption.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 
@@ -98,4 +99,24 @@ namespace QuantLib {
                     
         return retVal;
     }
+    
+    FdmLogBasketInnerValue::FdmLogBasketInnerValue(
+                                const boost::shared_ptr<BasketPayoff>& payoff,
+                                const boost::shared_ptr<FdmMesher>& mesher)
+    : payoff_(payoff),
+      mesher_(mesher) { }
+
+    Real FdmLogBasketInnerValue::innerValue(const FdmLinearOpIterator& iter) {
+        Array x(mesher_->layout()->dim().size());
+        for (Size i=0; i < x.size(); ++i) {
+            x[i] = std::exp(mesher_->location(iter, i));
+        }
+        
+        return payoff_->operator()(x);
+    }
+    
+    Real 
+    FdmLogBasketInnerValue::avgInnerValue(const FdmLinearOpIterator& iter) {
+        return innerValue(iter);
+    }
 }
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
index 7bcabe6d0b..58930ee72a 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
@@ -33,6 +33,7 @@
 namespace QuantLib {
 
     class Payoff;
+    class BasketPayoff;
     class FdmMesher;
     class FdmLinearOpIterator;
 
@@ -63,6 +64,19 @@ namespace QuantLib {
         const Size direction_;
         std::vector<Real> avgInnerValues_;
     };
+
+    class FdmLogBasketInnerValue : public FdmInnerValueCalculator {
+      public:
+        FdmLogBasketInnerValue(const boost::shared_ptr<BasketPayoff>& payoff,
+                               const boost::shared_ptr<FdmMesher>& mesher);
+
+        Real innerValue(const FdmLinearOpIterator& iter);
+        Real avgInnerValue(const FdmLinearOpIterator& iter);
+
+      private:
+        const boost::shared_ptr<BasketPayoff> payoff_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+    };
 }
 
 #endif
diff --git a/test-suite/basketoption.cpp b/test-suite/basketoption.cpp
index 1a348adf82..c378897787 100644
--- a/test-suite/basketoption.cpp
+++ b/test-suite/basketoption.cpp
@@ -31,6 +31,7 @@
 #include <ql/processes/stochasticprocessarray.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
+#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
 #include <ql/utilities/dataformatters.hpp>
 #include <boost/progress.hpp>
 
@@ -269,7 +270,8 @@ void BasketOptionTest::testEuroTwoValues() {
     boost::shared_ptr<SimpleQuote> vol2(new SimpleQuote(0.0));
     boost::shared_ptr<BlackVolTermStructure> volTS2 = flatVol(today, vol2, dc);
 
-    Real mcRelativeErrorTolerance = 0.01;
+    const Real mcRelativeErrorTolerance = 0.01;
+    const Real fdRelativeErrorTolerance = 0.01;
 
     for (Size i=0; i<LENGTH(values); i++) {
 
@@ -345,6 +347,10 @@ void BasketOptionTest::testEuroTwoValues() {
             .withSamples(10000)
             .withSeed(42);
 
+        boost::shared_ptr<PricingEngine> fdEngine(
+                    new Fd2dBlackScholesVanillaEngine(p1, p2, values[i].rho,
+                                                      50, 50, 15));
+        
         BasketOption basketOption(basketTypeToPayoff(values[i].basketType,
                                                      payoff),
                                   exercise);
@@ -362,10 +368,23 @@ void BasketOptionTest::testEuroTwoValues() {
                              calculated, error, values[i].tol);
         }
 
+        // fd engine
+        basketOption.setPricingEngine(fdEngine);
+        calculated = basketOption.NPV();
+        Real relError = relativeError(calculated, expected, expected);
+        if (relError > mcRelativeErrorTolerance ) {
+            REPORT_FAILURE_2("FD value", values[i].basketType, payoff,
+                             exercise, values[i].s1, values[i].s2,
+                             values[i].q1, values[i].q2, values[i].r,
+                             today, values[i].v1, values[i].v2, values[i].rho,
+                             values[i].result, calculated, relError,
+                             fdRelativeErrorTolerance);
+        }
+
         // mc engine
         basketOption.setPricingEngine(mcEngine);
         calculated = basketOption.NPV();
-        Real relError = relativeError(calculated, expected, values[i].s1);
+        relError = relativeError(calculated, expected, values[i].s1);
         if (relError > mcRelativeErrorTolerance ) {
             REPORT_FAILURE_2("MC value", values[i].basketType, payoff,
                              exercise, values[i].s1, values[i].s2,
@@ -933,5 +952,6 @@ test_suite* BasketOptionTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testTavellaValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOneDAmericanValues));
     suite->add(QUANTLIB_TEST_CASE(&BasketOptionTest::testOddSamples));
+
     return suite;
 }

From b314cba9f039330585306f926aa75ee9df58bb28 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 10:03:50 +0000
Subject: [PATCH 093/410] Removed namespace ambiguity in VC++10

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17490 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../processes/extendedornsteinuhlenbeckprocess.cpp            | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
index 2885f85537..0bd8843198 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -95,8 +95,8 @@ namespace QuantLib {
 		  case GaussLobatto:
 		      return ouProcess_->expectation(t0, x0, dt)
 				  + speed_*std::exp(-speed_*(t0+dt))
-				  * GaussLobattoIntegral(100000, intEps_)(bind(b_, _1)
-									*bind(std::ptr_fun<Real, Real>(std::exp), 
+				  * GaussLobattoIntegral(100000, intEps_)(boost::lambda::bind(b_, _1)
+									*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp), 
 										  speed_*_1), t0, t0+dt);
 			break;
 		  default:

From d3198bba52204c5a9899b046196a0d261a37af47 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 11:11:28 +0000
Subject: [PATCH 094/410] Cleaned up types in vanilla-option FFT engine (thanks
 to Adrian O'Neill.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17492 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/variancegamma/fftengine.cpp | 9 +++++----
 ql/experimental/variancegamma/fftengine.hpp | 5 ++---
 test-suite/variancegamma.cpp                | 4 ++--
 3 files changed, 9 insertions(+), 9 deletions(-)

diff --git a/ql/experimental/variancegamma/fftengine.cpp b/ql/experimental/variancegamma/fftengine.cpp
index 8b62a59430..3afef0a9f2 100644
--- a/ql/experimental/variancegamma/fftengine.cpp
+++ b/ql/experimental/variancegamma/fftengine.cpp
@@ -68,7 +68,7 @@ namespace QuantLib {
         boost::shared_ptr<Exercise> exercise) const
     {
         boost::shared_ptr<VanillaOption> option(new VanillaOption(payoff, exercise));
-        VanillaOptionList optionList;
+        std::vector<boost::shared_ptr<Instrument> > optionList;
         optionList.push_back(option);
 
         boost::shared_ptr<FFTEngine> tempEngine(clone().release());
@@ -77,7 +77,7 @@ namespace QuantLib {
         results_.value = option->NPV();
     }
 
-    void FFTEngine::precalculate(const VanillaOptionList& optionList) {
+    void FFTEngine::precalculate(const std::vector<boost::shared_ptr<Instrument> >& optionList) {
         // Group payoffs by expiry date
         // as with FFT we can compute a bunch of these at once
         resultMap_.clear();
@@ -86,10 +86,11 @@ namespace QuantLib {
         typedef std::map<Date, PayoffList> PayoffMap;
         PayoffMap payoffMap;
         
-        for (VanillaOptionList::const_iterator optIt = optionList.begin();
+        for (std::vector<boost::shared_ptr<Instrument> >::const_iterator optIt = optionList.begin();
             optIt != optionList.end(); optIt++)
         {
-            boost::shared_ptr<VanillaOption> option = *optIt;
+            boost::shared_ptr<VanillaOption> option = boost::dynamic_pointer_cast<VanillaOption>(*optIt);
+            QL_REQUIRE(option, "instrument must be option");
             QL_REQUIRE(option->exercise()->type() == Exercise::European,
                 "not an European Option");
 
diff --git a/ql/experimental/variancegamma/fftengine.hpp b/ql/experimental/variancegamma/fftengine.hpp
index b73dfb8a84..da3e1b8ce6 100644
--- a/ql/experimental/variancegamma/fftengine.hpp
+++ b/ql/experimental/variancegamma/fftengine.hpp
@@ -35,7 +35,7 @@ namespace QuantLib {
     
         The FFT engine calculates the values of all options with the same expiry at the same time.
         For that reason it is very inefficient to price options individually.  When using this engine
-        you should collect all the options you wish to price in a VanillaOptionList and call 
+        you should collect all the options you wish to price in a list and call 
         the engine's precalculate method before calling the NPV method of the option.
 
         References:
@@ -52,8 +52,7 @@ namespace QuantLib {
         void calculate() const;
         void update();
 
-        typedef std::vector<boost::shared_ptr<VanillaOption> > VanillaOptionList;
-        void precalculate(const VanillaOptionList& optionList);
+        void precalculate(const std::vector<boost::shared_ptr<Instrument> >& optionList);
         virtual std::auto_ptr<FFTEngine> clone() const = 0;
 
     protected:
diff --git a/test-suite/variancegamma.cpp b/test-suite/variancegamma.cpp
index 17b2f30561..c1f9642961 100644
--- a/test-suite/variancegamma.cpp
+++ b/test-suite/variancegamma.cpp
@@ -152,7 +152,7 @@ void VarianceGammaTest::testVarianceGamma() {
             new FFTVarianceGammaEngine(stochProcess));
 
         // which requires a list of options
-        FFTEngine::VanillaOptionList optionList;
+        std::vector<boost::shared_ptr<Instrument> > optionList;
 
         std::vector<boost::shared_ptr<StrikedTypePayoff> > payoffs;
         for (Size j=0; j<LENGTH(options); j++)
@@ -187,7 +187,7 @@ void VarianceGammaTest::testVarianceGamma() {
         fftEngine->precalculate(optionList);
         for (Size j=0; j<LENGTH(options); j++)
         {
-            boost::shared_ptr<VanillaOption> option = optionList[j];
+            boost::shared_ptr<VanillaOption> option = boost::static_pointer_cast<VanillaOption>(optionList[j]);
             option->setPricingEngine(fftEngine);
 
             Real calculated = option->NPV();

From 1f4b71abe3c031f774f3dd4b4101322b31a3ad22 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 11:24:54 +0000
Subject: [PATCH 095/410] code refactoring: introduced FdmSchemeDesc to shorten
 the parameter lists

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17493 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fdblackscholesasianengine.cpp             | 11 ++--
 .../fdblackscholesasianengine.hpp             | 10 ++--
 .../fdblackscholesbarrierengine.cpp           | 14 ++---
 .../fdblackscholesbarrierengine.hpp           |  7 +--
 .../fdblackscholesrebateengine.cpp            | 11 ++--
 .../fdblackscholesrebateengine.hpp            |  7 +--
 .../fdblackscholesvanillaengine.cpp           | 13 +++--
 .../fdblackscholesvanillaengine.hpp           |  8 +--
 .../fdhestonbarrierengine.cpp                 | 11 ++--
 .../fdhestonbarrierengine.hpp                 |  8 +--
 .../fdhestonhullwhitevanillaengine.cpp        | 11 ++--
 .../fdhestonhullwhitevanillaengine.hpp        |  9 ++--
 .../fdhestonrebateengine.cpp                  |  6 +--
 .../fdhestonrebateengine.hpp                  | 11 ++--
 .../fdhestonvanillaengine.cpp                 |  6 +--
 .../fdhestonvanillaengine.hpp                 |  8 +--
 .../fdm2dblackscholessolver.cpp               |  9 ++--
 .../finitedifferences/fdmbackwardsolver.cpp   | 51 ++++++++++++-------
 .../fdmblackscholessolver.cpp                 | 15 ++++--
 .../fdmblackscholessolver.hpp                 | 18 ++++---
 .../fdmhestonhullwhitesolver.cpp              | 11 ++--
 .../fdmhestonhullwhitesolver.hpp              |  8 +--
 .../finitedifferences/fdmhestonsolver.cpp     |  9 ++--
 .../finitedifferences/fdmhestonsolver.hpp     |  8 +--
 .../finitedifferences/fdmsimple2dbssolver.cpp | 12 ++---
 test-suite/fdmlinearop.cpp                    |  2 +-
 26 files changed, 151 insertions(+), 143 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp b/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
index 05a91a9433..c2797cb4fa 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
@@ -18,7 +18,9 @@
 */
 
 #include <ql/exercise.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
@@ -27,18 +29,18 @@
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/time/daycounters/actualactual.hpp>
 
 namespace QuantLib {
 
 
     FdBlackScholesAsianEngine::FdBlackScholesAsianEngine(
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-            Size tGrid, Size xGrid, Size aGrid, Real theta)
+            Size tGrid, Size xGrid, Size aGrid, 
+            const FdmSchemeDesc& schemeDesc)
     : GenericEngine<DiscreteAveragingAsianOption::arguments,
                     DiscreteAveragingAsianOption::results>(),
       process_(process), tGrid_(tGrid), xGrid_(xGrid), aGrid_(aGrid),
-      theta_(theta) {}
+      schemeDesc_(schemeDesc) {}
 
 
     void FdBlackScholesAsianEngine::calculate() const {
@@ -107,7 +109,8 @@ namespace QuantLib {
                 new FdmSimple2dBSSolver(
                                 Handle<GeneralizedBlackScholesProcess>(process_),
                                 mesher, boundaries, conditions, calculator,
-                                payoff->strike(), maturity, tGrid_, theta_));
+                                payoff->strike(),maturity, tGrid_,
+                                schemeDesc_));
 
         const Real spot = process_->x0();
         const Real avg = arguments_.runningAccumulator == 0
diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp b/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
index ccbb4fb49d..e8206ba07d 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
@@ -26,15 +26,17 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/asianoption.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
     //! Finite-Differences Black Scholes arithmetic asian option engine
 
     /*! \ingroup vanillaengines
-
     */
+
+    class GeneralizedBlackScholesProcess;
+    
     class FdBlackScholesAsianEngine
         : public GenericEngine<DiscreteAveragingAsianOption::arguments,
                                DiscreteAveragingAsianOption::results> {
@@ -43,14 +45,14 @@ namespace QuantLib {
         FdBlackScholesAsianEngine(
                       const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
                       Size tGrid = 100, Size xGrid = 100, Size aGrid = 50,
-                      Real theta=0.5);
+                      const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas);
 
         void calculate() const;
 
       private:
         const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
         const Size tGrid_, xGrid_, aGrid_;
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
     };
 
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
index d7ef508761..c81395ba03 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
@@ -29,6 +29,7 @@
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
 
@@ -36,12 +37,13 @@ namespace QuantLib {
 
     FdBlackScholesBarrierEngine::FdBlackScholesBarrierEngine(
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-            Size tGrid, Size xGrid, Size dampingSteps, Real theta,
+            Size tGrid, Size xGrid, Size dampingSteps, 
+            const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
     : GenericEngine<DividendBarrierOption::arguments,
                     DividendBarrierOption::results>(),
       process_(process), tGrid_(tGrid), xGrid_(xGrid), 
-      dampingSteps_(dampingSteps), theta_(theta),
+      dampingSteps_(dampingSteps), schemeDesc_(schemeDesc),
       localVol_(localVol), illegalLocalVolOverwrite_(illegalLocalVolOverwrite){
     }
 
@@ -126,8 +128,8 @@ namespace QuantLib {
                                 Handle<GeneralizedBlackScholesProcess>(process_),
                                 mesher, boundaries, conditions, calculator,
                                 payoff->strike(), maturity, tGrid_,
-                                dampingSteps_,
-                                theta_, localVol_, illegalLocalVolOverwrite_));
+                                dampingSteps_, schemeDesc_, 
+                                localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
         results_.value = solver->valueAt(spot);
@@ -153,7 +155,7 @@ namespace QuantLib {
                 new FdBlackScholesVanillaEngine(
                         process_, tGrid_, xGrid_,
                         0, // dampingSteps
-                        theta_, localVol_, illegalLocalVolOverwrite_)));
+                        schemeDesc_, localVol_, illegalLocalVolOverwrite_)));
 
             // Calculate the rebate value
             boost::shared_ptr<DividendBarrierOption> rebateOption(
@@ -171,7 +173,7 @@ namespace QuantLib {
             rebateOption->setPricingEngine(boost::shared_ptr<PricingEngine>(
                     new FdBlackScholesRebateEngine(
                             process_, tGrid_, std::max(min_grid_size, xGrid_/5), 
-                            rebateDampingSteps, theta_, localVol_, 
+                            rebateDampingSteps, schemeDesc_, localVol_, 
                             illegalLocalVolOverwrite_)));
 
             results_.value = vanillaOption->NPV()   + rebateOption->NPV()
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
index 748d0ea97d..45e3d1dddb 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
@@ -26,8 +26,9 @@
 #ifndef quantlib_fd_black_scholes_barrier_engine_hpp
 #define quantlib_fd_black_scholes_barrier_engine_hpp
 
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
@@ -48,7 +49,7 @@ namespace QuantLib {
           FdBlackScholesBarrierEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                Real theta=0.5,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
                 bool localVol = false, 
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
@@ -57,7 +58,7 @@ namespace QuantLib {
       private:
         const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
         const Size tGrid_, xGrid_, dampingSteps_;
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
     };
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
index 7c627c96c4..f989ead893 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
@@ -26,18 +26,21 @@
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 
 namespace QuantLib {
 
     FdBlackScholesRebateEngine::FdBlackScholesRebateEngine(
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-            Size tGrid, Size xGrid, Size dampingSteps, Real theta,
+            Size tGrid, Size xGrid, Size dampingSteps, 
+            const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
     : GenericEngine<DividendBarrierOption::arguments,
                     DividendBarrierOption::results>(),
       process_(process), tGrid_(tGrid), xGrid_(xGrid), 
-      dampingSteps_(dampingSteps), theta_(theta),
+      dampingSteps_(dampingSteps), 
+      schemeDesc_(schemeDesc),
       localVol_(localVol), illegalLocalVolOverwrite_(illegalLocalVolOverwrite){
     }
 
@@ -123,8 +126,8 @@ namespace QuantLib {
                                 Handle<GeneralizedBlackScholesProcess>(process_),
                                 mesher, boundaries, conditions, calculator,
                                 payoff->strike(), maturity, tGrid_,
-                                dampingSteps_,
-                                theta_, localVol_, illegalLocalVolOverwrite_));
+                                dampingSteps_, schemeDesc_,
+                                localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
         results_.value = solver->valueAt(spot);
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
index 43f5a3f47f..827093305c 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
@@ -26,8 +26,9 @@
 #ifndef quantlib_fd_black_scholes_rebate_engine_hpp
 #define quantlib_fd_black_scholes_rebate_engine_hpp
 
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
@@ -44,7 +45,7 @@ namespace QuantLib {
           FdBlackScholesRebateEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                Real theta = 0.5,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
                 bool localVol = false, 
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
@@ -53,7 +54,7 @@ namespace QuantLib {
       private:
         const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
         const Size tGrid_, xGrid_, dampingSteps_;
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
 };
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
index 1f89749cb3..a326125f3b 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
@@ -20,6 +20,7 @@
 */
 
 #include <ql/exercise.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
@@ -28,19 +29,22 @@
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
 namespace QuantLib {
 
     FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
-            Size tGrid, Size xGrid, Size dampingSteps, Real theta,
+            Size tGrid, Size xGrid, Size dampingSteps, 
+            const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
     : GenericEngine<DividendVanillaOption::arguments,
                     DividendVanillaOption::results>(),
       process_(process),
       tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
-      theta_(theta), localVol_(localVol),
+      schemeDesc_(schemeDesc), 
+      localVol_(localVol),
       illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
     }
 
@@ -119,8 +123,9 @@ namespace QuantLib {
                 new FdmBlackScholesSolver(
                              Handle<GeneralizedBlackScholesProcess>(process_),
                              mesher, boundaries, conditions, calculator,
-                             payoff->strike(), maturity, tGrid_, dampingSteps_,
-                             theta_, localVol_, illegalLocalVolOverwrite_));
+                             payoff->strike(), maturity, tGrid_, 
+                             dampingSteps_, schemeDesc_, 
+                             localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
         results_.value = solver->valueAt(spot);
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
index 6b1b3539f4..3b072c559e 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
@@ -40,6 +40,8 @@ namespace QuantLib {
               reproducing results available in web/literature
               and comparison with Black pricing.
     */
+    class GeneralizedBlackScholesProcess;
+
     class FdBlackScholesVanillaEngine
         : public GenericEngine<DividendVanillaOption::arguments,
                                DividendVanillaOption::results> {
@@ -48,7 +50,7 @@ namespace QuantLib {
           FdBlackScholesVanillaEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                Real theta=0.5,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
                 bool localVol = false,
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
@@ -57,7 +59,7 @@ namespace QuantLib {
       private:
         const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
         const Size tGrid_, xGrid_, dampingSteps_;
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
     };
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
index 3ba2c026f5..07bf46bcd9 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
@@ -35,13 +35,13 @@ namespace QuantLib {
     FdHestonBarrierEngine::FdHestonBarrierEngine(
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid, Size xGrid, Size vGrid, Size dampingSteps,
-            FdmBackwardSolver::FdmSchemeType type, Real theta, Real mu)
+            const FdmSchemeDesc& schemeDesc)
     : GenericModelEngine<HestonModel,
                         DividendBarrierOption::arguments,
                         DividendBarrierOption::results>(model),
       tGrid_(tGrid), xGrid_(xGrid), 
       vGrid_(vGrid), dampingSteps_(dampingSteps),
-      type_(type), theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc) {
     }
 
     void FdHestonBarrierEngine::calculate() const {
@@ -138,8 +138,7 @@ namespace QuantLib {
                                         Handle<HestonProcess>(process),
                                         mesher, boundaries, conditions, 
                                         calculator, maturity, tGrid_,
-                                        dampingSteps_,
-                                        type_, theta_, mu_));
+                                        dampingSteps_, schemeDesc_));
 
         const Real spot = process->s0()->value();
         results_.value = solver->valueAt(spot, process->v0());
@@ -162,7 +161,7 @@ namespace QuantLib {
             vanillaOption->setPricingEngine(boost::shared_ptr<PricingEngine>(
                     new FdHestonVanillaEngine(*model_, tGrid_, xGrid_, 
                                               vGrid_, dampingSteps_,
-                                              type_, theta_, mu_)));
+                                              schemeDesc_)));
             // Calculate the rebate value
             boost::shared_ptr<DividendBarrierOption> rebateOption(
                 new DividendBarrierOption(arguments_.barrierType,
@@ -180,7 +179,7 @@ namespace QuantLib {
                                              std::max(xGridMin, xGrid_/4), 
                                              std::max(vGridMin, vGrid_/4),
                                              rebateDampingSteps,
-                                             type_, theta_, mu_)));
+                                             schemeDesc_)));
 
             results_.value = vanillaOption->NPV()   + rebateOption->NPV()
                                                     - results_.value;
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
index 53d2a8e7c0..6d014c755b 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
@@ -54,17 +54,13 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            FdmBackwardSolver::FdmSchemeType type 
-                                    = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         void calculate() const;
 
       private:
         const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
-        const FdmBackwardSolver::FdmSchemeType type_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
     };
 
 
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
index 7f49c0b255..058db5457e 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
@@ -43,8 +43,7 @@ namespace QuantLib {
             Size vGrid, Size rGrid,
             Size dampingSteps,
             bool controlVariate,
-            FdmBackwardSolver::FdmSchemeType type, 
-            Real theta, Real mu)
+            const FdmSchemeDesc& schemeDesc)
     : GenericModelEngine<HestonModel,
                          DividendVanillaOption::arguments,
                          DividendVanillaOption::results>(hestonModel),
@@ -53,8 +52,8 @@ namespace QuantLib {
       tGrid_(tGrid), xGrid_(xGrid), 
       vGrid_(vGrid), rGrid_(rGrid),
       dampingSteps_(dampingSteps),
-      controlVariate_(controlVariate),
-      type_(type), theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc),
+      controlVariate_(controlVariate) {
     }
 
     void FdHestonHullWhiteVanillaEngine::calculate() const {
@@ -197,7 +196,7 @@ namespace QuantLib {
                                          mesher, boundaries, conditions,
                                          calculator, 
                                          maturity, tGrid_, dampingSteps_,
-                                         type_, theta_, mu_));
+                                         schemeDesc_));
 
         const Real spot = hestonProcess->s0()->value();
         const Real v0   = hestonProcess->v0();
@@ -235,7 +234,7 @@ namespace QuantLib {
             boost::shared_ptr<FdHestonVanillaEngine> fdEngine(
                     new FdHestonVanillaEngine(*model_, tGrid_, xGrid_, 
                                               vGrid_, dampingSteps_, 
-                                              type_, theta_, mu_));
+                                              schemeDesc_));
             fdEngine->enableMultipleStrikesCaching(strikes_);
             option.setPricingEngine(fdEngine);
             
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
index 30184ce47e..ee36e99a83 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
@@ -28,6 +28,7 @@
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
 
 namespace QuantLib {
@@ -54,10 +55,7 @@ namespace QuantLib {
             Size vGrid = 40, Size rGrid = 20,
             Size dampingSteps = 0,
             bool controlVariate = true,
-            FdmBackwardSolver::FdmSchemeType type 
-                                    = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         void calculate() const;
 
@@ -70,9 +68,8 @@ namespace QuantLib {
         const Real corrEquityShortRate_;
         const Size tGrid_, xGrid_, vGrid_, rGrid_;
         const Size dampingSteps_;
+        const FdmSchemeDesc schemeDesc_;
         const bool controlVariate_;
-        const FdmBackwardSolver::FdmSchemeType type_;
-        const Real theta_, mu_;
         
         std::vector<Real> strikes_;
         mutable std::vector<std::pair<DividendVanillaOption::arguments,
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
index 7081aeefbf..4dd07af2d6 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
@@ -35,13 +35,13 @@ namespace QuantLib {
     FdHestonRebateEngine::FdHestonRebateEngine(
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid, Size xGrid, Size vGrid, Size dampingSteps,
-            FdmBackwardSolver::FdmSchemeType type, Real theta, Real mu)
+            const FdmSchemeDesc& schemeDesc)
     : GenericModelEngine<HestonModel,
                         DividendBarrierOption::arguments,
                         DividendBarrierOption::results>(model),
       tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), 
       dampingSteps_(dampingSteps),
-      type_(type), theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc) {
     }
 
     void FdHestonRebateEngine::calculate() const {
@@ -141,7 +141,7 @@ namespace QuantLib {
                                         mesher, boundaries, conditions,
                                         calculator, maturity, 
                                         tGrid_, dampingSteps_,
-                                        type_, theta_, mu_));
+                                        schemeDesc_));
 
         const Real spot = process->s0()->value();
         results_.value = solver->valueAt(spot, process->v0());
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp b/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
index 97244a8c64..0b57188bfc 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
@@ -26,10 +26,11 @@
 #ifndef quantlib_fd_heston_rebate_engine_hpp
 #define quantlib_fd_heston_rebate_engine_hpp
 
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
@@ -48,17 +49,13 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            FdmBackwardSolver::FdmSchemeType type 
-                                            = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         void calculate() const;
 
       private:
         const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
-        const FdmBackwardSolver::FdmSchemeType type_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
     };
 
 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index 7844721a8c..513569a4bd 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -37,13 +37,13 @@ namespace QuantLib {
     FdHestonVanillaEngine::FdHestonVanillaEngine(
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid, Size xGrid, Size vGrid, Size dampingSteps,
-            FdmBackwardSolver::FdmSchemeType type, Real theta, Real mu)
+            const FdmSchemeDesc& schemeDesc)
     : GenericModelEngine<HestonModel,
                         DividendVanillaOption::arguments,
                         DividendVanillaOption::results>(model),
       tGrid_(tGrid), xGrid_(xGrid), 
       vGrid_(vGrid), dampingSteps_(dampingSteps),
-      type_(type), theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc) {
     }
 
     void FdHestonVanillaEngine::calculate() const {
@@ -176,7 +176,7 @@ namespace QuantLib {
                                         mesher, boundaries, conditions,
                                         calculator, maturity, 
                                         tGrid_, dampingSteps_,
-                                        type_, theta_, mu_));
+                                        schemeDesc_));
 
         const Real v0   = process->v0();
         const Real spot = process->s0()->value();
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
index 20503d97a4..cf23c68b57 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
@@ -51,10 +51,7 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            FdmBackwardSolver::FdmSchemeType type 
-                                        = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         void calculate() const;
         
@@ -64,8 +61,7 @@ namespace QuantLib {
         
       private:
         const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
-        const FdmBackwardSolver::FdmSchemeType type_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
         
         std::vector<Real> strikes_;
         mutable std::vector<std::pair<DividendVanillaOption::arguments,
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
index a73fd24b22..215e129896 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
@@ -44,8 +44,7 @@ namespace QuantLib {
         Time maturity,
         Size timeSteps,
         Size dampingSteps,
-        FdmBackwardSolver::FdmSchemeType type,
-        Real theta, Real mu)
+        const FdmSchemeDesc& schemeDesc)
     : p1_(p1),
       p2_(p2),
       correlation_(correlation),
@@ -60,9 +59,7 @@ namespace QuantLib {
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
-      schemeType_(type),
-      theta_(theta),
-      mu_(mu),
+      schemeDesc_(schemeDesc),
       initialValues_(mesher->layout()->size()),
       resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
 
@@ -99,7 +96,7 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
+        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
                       .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
 
         std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp b/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
index e6f1dd594e..08f0e2ab30 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
@@ -33,22 +33,34 @@
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 
 namespace QuantLib {
+    
+    FdmSchemeDesc FdmSchemeDesc::Douglas 
+               = { FdmSchemeDesc::DouglasType, 0.5, 0.0 };
+    FdmSchemeDesc FdmSchemeDesc::CraigSneyd
+               = { FdmSchemeDesc::CraigSneydType,0.5, 0.5 };
+    FdmSchemeDesc FdmSchemeDesc::ModifiedCraigSneyd 
+               = { FdmSchemeDesc::ModifiedCraigSneydType, 1.0/3.0, 1.0/3.0 };
+    FdmSchemeDesc FdmSchemeDesc::Hundsdorfer
+               = { FdmSchemeDesc::HundsdorferType, 0.5+std::sqrt(3.0)/6, 0.5 };
+    FdmSchemeDesc FdmSchemeDesc::ModifiedHundsdorfer
+               = { FdmSchemeDesc::HundsdorferType, 1.0-std::sqrt(2.0)/2, 0.5 };
+    FdmSchemeDesc FdmSchemeDesc::ExplicitEuler
+               = { FdmSchemeDesc::ExplicitEulerType, 0.0, 0.0 };
+    FdmSchemeDesc FdmSchemeDesc::ImplicitEuler
+               = { FdmSchemeDesc::ImplicitEulerType, 0.0, 0.0 };
 
     FdmBackwardSolver::FdmBackwardSolver(
         const boost::shared_ptr<FdmLinearOpComposite>& map,
         const FdmBoundaryConditionSet& bcSet,
         const boost::shared_ptr<FdmStepConditionComposite> condition,
-        FdmBackwardSolver::FdmSchemeType schemeType,
-        Real theta, 
-        Real mu)
+        const FdmSchemeDesc& schemeDesc)
     : map_(map), bcSet_(bcSet),
       condition_((condition) ? condition 
                              : boost::shared_ptr<FdmStepConditionComposite>(
                                  new FdmStepConditionComposite(
                                      std::list<std::vector<Time> >(),
                                      FdmStepConditionComposite::Conditions()))),
-      schemeType_(schemeType),
-      theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc) {
      }
         
     void FdmBackwardSolver::rollback(FdmBackwardSolver::array_type& rhs, 
@@ -59,7 +71,8 @@ namespace QuantLib {
         const Size allSteps = steps + dampingSteps;
         const Time dampingTo = from - (deltaT*dampingSteps)/allSteps;
                     
-        if (dampingSteps && schemeType_ != ImplicitEuler) {
+        if (   dampingSteps 
+            && schemeDesc_.type != FdmSchemeDesc::ImplicitEulerType) {
             ImplicitEulerScheme implicitEvolver(map_, bcSet_);    
             FiniteDifferenceModel<ImplicitEulerScheme> 
                     dampingModel(implicitEvolver, condition_->stoppingTimes());
@@ -67,40 +80,44 @@ namespace QuantLib {
                                   dampingSteps, *condition_);
         }
         
-        switch (schemeType_) {
-          case Hundsdorfer:
+        switch (schemeDesc_.type) {
+          case FdmSchemeDesc::HundsdorferType:
             {
-                HundsdorferScheme hsEvolver(theta_, mu_, map_, bcSet_);
+                HundsdorferScheme hsEvolver(schemeDesc_.theta, schemeDesc_.mu, 
+                                            map_, bcSet_);
                 FiniteDifferenceModel<HundsdorferScheme> 
                                hsModel(hsEvolver, condition_->stoppingTimes());
                 hsModel.rollback(rhs, dampingTo, to, steps, *condition_);
             }
             break;
-          case Douglas:
+          case FdmSchemeDesc::DouglasType:
             {
-                DouglasScheme dsEvolver(theta_, map_, bcSet_);
+                DouglasScheme dsEvolver(schemeDesc_.theta, map_, bcSet_);
                 FiniteDifferenceModel<DouglasScheme> 
                                dsModel(dsEvolver, condition_->stoppingTimes());
                 dsModel.rollback(rhs, dampingTo, to, steps, *condition_);
             }
             break;
-          case CraigSneyd:
+          case FdmSchemeDesc::CraigSneydType:
             {
-                CraigSneydScheme csEvolver(theta_, mu_, map_, bcSet_);
+                CraigSneydScheme csEvolver(schemeDesc_.theta, schemeDesc_.mu, 
+                                           map_, bcSet_);
                 FiniteDifferenceModel<CraigSneydScheme> 
                                csModel(csEvolver, condition_->stoppingTimes());
                 csModel.rollback(rhs, dampingTo, to, steps, *condition_);
             }
             break;
-          case ModifiedCraigSneyd:
+          case FdmSchemeDesc::ModifiedCraigSneydType:
             {
-                ModifiedCraigSneydScheme csEvolver(theta_, mu_, map_, bcSet_);
+                ModifiedCraigSneydScheme csEvolver(schemeDesc_.theta, 
+                                                   schemeDesc_.mu,
+                                                   map_, bcSet_);
                 FiniteDifferenceModel<ModifiedCraigSneydScheme> 
                               mcsModel(csEvolver, condition_->stoppingTimes());
                 mcsModel.rollback(rhs, dampingTo, to, steps, *condition_);
             }
             break;
-          case ImplicitEuler:
+          case FdmSchemeDesc::ImplicitEulerType:
             {
                 ImplicitEulerScheme implicitEvolver(map_, bcSet_);
                 FiniteDifferenceModel<ImplicitEulerScheme> 
@@ -108,7 +125,7 @@ namespace QuantLib {
                 implicitModel.rollback(rhs, from, to, allSteps, *condition_);
             }
             break;
-          case ExplicitEuler:
+          case FdmSchemeDesc::ExplicitEulerType:
             {
                 ExplicitEulerScheme explicitEvolver(map_, bcSet_);
                 FiniteDifferenceModel<ExplicitEulerScheme> 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
index 8b5913b641..ec081c36ae 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
@@ -19,7 +19,13 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
@@ -36,7 +42,7 @@ namespace QuantLib {
         Time maturity,
         Size timeSteps,
         Size dampingSteps,
-        Real theta,
+        const FdmSchemeDesc& schemeDesc,
         bool localVol,
         Real illegalLocalVolOverwrite)
     : process_(process),
@@ -52,7 +58,7 @@ namespace QuantLib {
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
-      theta_(theta),
+      schemeDesc_(schemeDesc),
       localVol_(localVol),
       illegalLocalVolOverwrite_(illegalLocalVolOverwrite),
       initialValues_(mesher->layout()->size()),
@@ -78,9 +84,8 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        FdmBackwardSolver(map, bcSet_, condition_, 
-                          FdmBackwardSolver::Douglas, theta_, 0.0)
-            .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
+        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
+                   .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
 
         std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
index ce39625b4e..f35f4a0e3f 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
@@ -27,16 +27,18 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
-#include <ql/math/interpolations/cubicinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 
 namespace QuantLib {
 
+    class FdmMesher;
+    class FdmSnapshotCondition;
+    class FdmInnerValueCalculator;
+    class FdmStepConditionComposite;
+    class CubicInterpolation;
+    class GeneralizedBlackScholesProcess;
+
     class FdmBlackScholesSolver : public LazyObject {
       public:
         typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
@@ -52,7 +54,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            Real theta = 0.5,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
             bool localVol = false,
             Real illegalLocalVolOverwrite = -Null<Real>());
 
@@ -75,7 +77,7 @@ namespace QuantLib {
         const Size timeSteps_;
         const Size dampingSteps_;
 
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
index 8f2125defc..9dc00cdb11 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
@@ -42,8 +42,7 @@ namespace QuantLib {
         Time maturity,
         Size timeSteps,
         Size dampingSteps,
-        FdmBackwardSolver::FdmSchemeType schemeType, 
-        Real theta, Real mu)
+        const FdmSchemeDesc& schemeDesc)
     : hestonProcess_(hestonProcess),
       hwProcess_(hwProcess),
       corrEquityShortRate_(corrEquityShortRate),
@@ -58,9 +57,7 @@ namespace QuantLib {
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
-      schemeType_(schemeType),
-      theta_(theta),
-      mu_(mu),
+      schemeDesc_(schemeDesc),
       initialValues_(mesher->layout()->size()),
       resultValues_(mesher->layout()->dim()[2], 
                     Matrix(mesher->layout()->dim()[1], 
@@ -103,8 +100,8 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
-            .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
+        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
+                   .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
 
         for (Size i=0; i < r_.size(); ++i) {
             std::copy(rhs.begin()+i    *v_.size()*x_.size(), 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
index b3a422c18a..0c5eb2875c 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
@@ -52,10 +52,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            FdmBackwardSolver::FdmSchemeType type 
-                                    = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         Real valueAt(Real s, Real v, Rate r) const;
         Real thetaAt(Real s, Real v, Rate r) const;
@@ -84,8 +81,7 @@ namespace QuantLib {
         const Size timeSteps_;
         const Size dampingSteps_;
 
-        const FdmBackwardSolver::FdmSchemeType schemeType_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
 
         std::vector<Real> x_, v_, r_, initialValues_;
         mutable std::vector<Matrix> resultValues_;
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.cpp b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
index 2ca8fb5243..db9f56e108 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
@@ -42,8 +42,7 @@ namespace QuantLib {
         Time maturity,
         Size timeSteps,
         Size dampingSteps,
-        FdmBackwardSolver::FdmSchemeType schemeType,
-        Real theta, Real mu,
+        const FdmSchemeDesc& schemeDesc,
         const Handle<FdmQuantoHelper>& quantoHelper)
     : process_(process),
       mesher_(mesher),
@@ -57,9 +56,7 @@ namespace QuantLib {
       maturity_(maturity),
       timeSteps_(timeSteps),
       dampingSteps_(dampingSteps),
-      schemeType_(schemeType),
-      theta_(theta),
-      mu_(mu),
+      schemeDesc_(schemeDesc),
       quantoHelper_(quantoHelper),
       initialValues_(mesher->layout()->size()),
       resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
@@ -94,7 +91,7 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
+        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
             .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
 
         std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
index 6d2e5c32b5..da968dc9f7 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
@@ -52,10 +52,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            FdmBackwardSolver::FdmSchemeType type
-                                        = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer,
             const Handle<FdmQuantoHelper>& quantoHelper
                                                 = Handle<FdmQuantoHelper>());
 
@@ -86,8 +83,7 @@ namespace QuantLib {
         const Size timeSteps_;
         const Size dampingSteps_;
 
-        const FdmBackwardSolver::FdmSchemeType schemeType_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
         const Handle<FdmQuantoHelper> quantoHelper_;
 
         std::vector<Real> x_, v_, initialValues_;
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
index 595aafd734..6bdaac07fb 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
@@ -23,7 +23,7 @@
 
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
@@ -42,7 +42,7 @@ namespace QuantLib {
         Real strike,
         Time maturity,
         Size timeSteps,
-        Real theta)
+        const FdmSchemeDesc& schemeDesc)
     : process_(process),
       mesher_(mesher),
       bcSet_(bcSet),
@@ -55,7 +55,7 @@ namespace QuantLib {
       strike_(strike),
       maturity_(maturity),
       timeSteps_(timeSteps),
-      theta_(theta),
+      schemeDesc_(schemeDesc),
       initialValues_(mesher->layout()->size()),
       resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
         registerWith(process_);
@@ -84,10 +84,8 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        DouglasScheme dsEvolver(theta_, map, bcSet_);
-        FiniteDifferenceModel<DouglasScheme> dsModel(
-            dsEvolver, condition_->stoppingTimes());
-        dsModel.rollback(rhs, maturity_, 0.0, timeSteps_, *condition_);
+        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
+                               .rollback(rhs, maturity_, 0.0, timeSteps_, 0);
 
         for (Size j=0; j < a_.size(); ++j)
             std::copy(rhs.begin()+j*x_.size(), rhs.begin()+(j+1)*x_.size(),
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 103dac625b..baa10ad085 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -1126,7 +1126,7 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
 
     FdmBackwardSolver solver(map, FdmBoundaryConditionSet(), 
                              boost::shared_ptr<FdmStepConditionComposite>(),
-                             FdmBackwardSolver::Douglas, 0.5, 0.5);
+                             FdmSchemeDesc::Douglas);
     solver.rollback(rhs, maturity, 0.0, csSteps, dampingSteps);
 
     MonotonicCubicNaturalSpline spline(x.begin(), x.end(), rhs.begin());

From 9129360bbf31e529f8a522e8ba559dfd787debf5 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 11:26:54 +0000
Subject: [PATCH 096/410] code refactoring: introduced FdmSchemeDesc to shorten
 the parameter lists

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17494 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fd2dblackscholesvanillaengine.cpp   | 8 +++-----
 1 file changed, 3 insertions(+), 5 deletions(-)

diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
index a2c84b4dc6..58a2b886a0 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
@@ -36,15 +36,13 @@ namespace QuantLib {
         Real correlation,
         Size xGrid, Size yGrid,
         Size tGrid, Size dampingSteps,
-        FdmBackwardSolver::FdmSchemeType type,
-        Real theta, Real mu)
+        const FdmSchemeDesc& schemeDesc)
     : p1_(p1),
       p2_(p2),
       correlation_(correlation),
       xGrid_(xGrid), yGrid_(yGrid), tGrid_(tGrid),
       dampingSteps_(dampingSteps),
-      schemeType_(type),
-      theta_(theta), mu_(mu) {
+      schemeDesc_(schemeDesc) {
     }
 
     void Fd2dBlackScholesVanillaEngine::calculate() const {
@@ -120,7 +118,7 @@ namespace QuantLib {
                              correlation_,
                              mesher, boundaries, conditions, calculator,
                              maturity, tGrid_, dampingSteps_,
-                             schemeType_, theta_, mu_));
+                             schemeDesc_));
 
         const Real x = p1_->x0();
         const Real y = p2_->x0();

From e04ea4cb0a66b81b8356e0b57af47f4eb16f59c0 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 11:28:20 +0000
Subject: [PATCH 097/410] code refactoring: introduced FdmSchemeDesc to shorten
 the parameter lists

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17495 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fd2dblackscholesvanillaengine.hpp         |  8 ++---
 .../fdm2dblackscholessolver.hpp               | 13 +++-----
 .../finitedifferences/fdmbackwardsolver.hpp   | 23 +++++++++-----
 .../finitedifferences/fdmsimple2dbssolver.hpp |  4 +--
 test-suite/barrieroption.cpp                  |  3 +-
 test-suite/europeanoption.cpp                 |  3 +-
 test-suite/fdheston.cpp                       | 28 +++++------------
 test-suite/hybridhestonhullwhiteprocess.cpp   | 31 +++++++------------
 8 files changed, 47 insertions(+), 66 deletions(-)

diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
index 1f42b63b3f..532bf2cd8a 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
@@ -47,10 +47,7 @@ namespace QuantLib {
                 Real correlation,
                 Size xGrid = 100, Size yGrid = 100, 
                 Size tGrid = 50, Size dampingSteps = 0,
-                FdmBackwardSolver::FdmSchemeType type 
-                                            = FdmBackwardSolver::Hundsdorfer,
-                Real theta = 0.5+std::sqrt(3.0)/6,
-                Real mu = 0.5);
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         void calculate() const;
 
@@ -60,8 +57,7 @@ namespace QuantLib {
         const Real correlation_;
         const Size xGrid_, yGrid_, tGrid_;
         const Size dampingSteps_;
-        const FdmBackwardSolver::FdmSchemeType schemeType_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
index 05c47117d2..727e9ab287 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
@@ -52,11 +52,8 @@ namespace QuantLib {
             const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
             Time maturity,
             Size timeSteps,
-            Size dampingSteps,
-            FdmBackwardSolver::FdmSchemeType type
-                                        = FdmBackwardSolver::Hundsdorfer,
-            Real theta = 0.5+std::sqrt(3.0)/6,
-            Real mu = 0.5);
+            Size dampingSteps = 0,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
 
         Real valueAt(Real x, Real y) const;
         Real thetaAt(Real x, Real y) const;
@@ -79,10 +76,8 @@ namespace QuantLib {
         const boost::shared_ptr<FdmStepConditionComposite> condition_;
         const Time maturity_;
         const Size timeSteps_;
-        
-        const Size dampingSteps_;        
-        const FdmBackwardSolver::FdmSchemeType schemeType_;
-        const Real theta_, mu_;
+        const Size dampingSteps_;
+        const FdmSchemeDesc schemeDesc_;
 
         std::vector<Real> x_, y_, initialValues_;
         mutable Matrix resultValues_;
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp b/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
index 2893cc6fad..7b1d45b407 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
@@ -32,20 +32,28 @@ namespace QuantLib {
     class FdmLinearOpComposite;
     class FdmStepConditionComposite;
 
+    struct FdmSchemeDesc {
+        enum FdmSchemeType { HundsdorferType, DouglasType, 
+                             CraigSneydType, ModifiedCraigSneydType, 
+                             ImplicitEulerType, ExplicitEulerType };
+        const FdmSchemeType type;
+        const Real theta, mu;
+        
+        // some default scheme descriptions
+        static FdmSchemeDesc Douglas, ImplicitEuler, ExplicitEuler,
+                             CraigSneyd, ModifiedCraigSneyd, 
+                             Hundsdorfer, ModifiedHundsdorfer;
+    };
+        
     class FdmBackwardSolver {
       public:
-        enum FdmSchemeType { Hundsdorfer, Douglas, 
-                             CraigSneyd, ModifiedCraigSneyd, 
-                             ImplicitEuler, ExplicitEuler };
         typedef FdmLinearOp::array_type array_type;
         
         FdmBackwardSolver(
           const boost::shared_ptr<FdmLinearOpComposite>& map,
           const FdmBoundaryConditionSet& bcSet,
           const boost::shared_ptr<FdmStepConditionComposite> condition,
-          FdmSchemeType schemeType = Hundsdorfer,
-          Real theta = 0.5+std::sqrt(3.0)/6,
-          Real mu    = 0.5);
+          const FdmSchemeDesc& schemeDesc);
 
         void rollback(array_type& a, 
                       Time from, Time to,
@@ -55,8 +63,7 @@ namespace QuantLib {
         const boost::shared_ptr<FdmLinearOpComposite> map_;
         const FdmBoundaryConditionSet bcSet_;
         const boost::shared_ptr<FdmStepConditionComposite> condition_;
-        const FdmSchemeType schemeType_;
-        const Real theta_, mu_;
+        const FdmSchemeDesc schemeDesc_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
index f89e5358ba..0dbe7142a0 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
@@ -51,7 +51,7 @@ namespace QuantLib {
             Real strike,
             Time maturity,
             Size timeSteps,
-            Real theta = 0.5);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas);
 
         Real valueAt(Real s, Real a) const;
         Real deltaAt(Real s, Real a, Real eps) const;
@@ -71,7 +71,7 @@ namespace QuantLib {
         const Time maturity_;
         const Size timeSteps_;
 
-        const Real theta_;
+        const FdmSchemeDesc schemeDesc_;
 
         std::vector<Real> x_, a_, initialValues_;
         mutable Matrix resultValues_;
diff --git a/test-suite/barrieroption.cpp b/test-suite/barrieroption.cpp
index 281ea46d33..620a2c76df 100644
--- a/test-suite/barrieroption.cpp
+++ b/test-suite/barrieroption.cpp
@@ -652,7 +652,8 @@ void BarrierOptionTest::testLocalVolAndHestonComparison() {
     
     boost::shared_ptr<PricingEngine> fdLocalVolEngine(
                    new FdBlackScholesBarrierEngine(localVolProcess, 100, 400, 0,
-                                                   0.5, true, 0.35));
+                                                   FdmSchemeDesc::Douglas, 
+                                                   true, 0.35));
     
     const Real strike  = s0->value();
     const Real barrier = 3000;
diff --git a/test-suite/europeanoption.cpp b/test-suite/europeanoption.cpp
index 061815037a..4b4a9aab87 100644
--- a/test-suite/europeanoption.cpp
+++ b/test-suite/europeanoption.cpp
@@ -1532,7 +1532,8 @@ void EuropeanOptionTest::testLocalVolatility() {
             // delta/gamma are not the same by definition (model implied greeks)
             option.setPricingEngine(boost::shared_ptr<PricingEngine>(
                     new FdBlackScholesVanillaEngine(process, 25, 400, 0, 
-                                                    0.5, true, 0.35)));
+                                                    FdmSchemeDesc::Douglas, 
+                                                    true, 0.35)));
             calculatedNPV = option.NPV();
             if (std::fabs(expectedNPV - calculatedNPV) > tol*expectedNPV) {
                 BOOST_FAIL("Failed to reproduce local vol option price for "
diff --git a/test-suite/fdheston.cpp b/test-suite/fdheston.cpp
index d90d1b1005..009780dcd4 100644
--- a/test-suite/fdheston.cpp
+++ b/test-suite/fdheston.cpp
@@ -420,7 +420,7 @@ void FdHestonTest::testFdmHestonBlackScholes() {
              new FdHestonVanillaEngine(boost::shared_ptr<HestonModel>(
                                            new HestonModel(hestonProcess)), 
                                        10000, 400, 5, 0, 
-                                       FdmBackwardSolver::ExplicitEuler)));
+                                       FdmSchemeDesc::ExplicitEuler)));
         
         calculated = option.NPV();
         if (std::fabs(calculated - expected) > tol) {
@@ -503,13 +503,7 @@ namespace {
         Real q;
         Real T;
         Real K;
-    };
-    
-    struct SchemeData {
-        FdmBackwardSolver::FdmSchemeType schemeType;
-        Real theta;
-        Real mu;
-    };
+    };    
 }
 
 void FdHestonTest::testFdmHestonConvergence() {
@@ -529,14 +523,11 @@ void FdHestonTest::testFdmHestonConvergence() {
         { 0.6067, 0.0707, 0.2928, -0.7571, 0.03  , 0.0   , 3.0 , 100 },
         { 2.5   , 0.06  , 0.5   , -0.1   , 0.0507, 0.0469, 0.25, 100 }
     };
-    
-    SchemeData schemes[] = {
-        { FdmBackwardSolver::Hundsdorfer, 0.5+std::sqrt(3.0)/6, 0.5 },
-        { FdmBackwardSolver::ModifiedCraigSneyd, 0.3, 0.3 }
-        // runs through but takes too long
-        //{ FdmBackwardSolver::Hundsdorfer, 1.0-std::sqrt(2)/2, 0.5 },
-        //{ FdmBackwardSolver::CraigSneyd, 0.5, 0.5 },
-    };
+
+    FdmSchemeDesc schemes[] = { FdmSchemeDesc::Hundsdorfer, 
+                                FdmSchemeDesc::ModifiedCraigSneyd,
+                                FdmSchemeDesc::ModifiedHundsdorfer, 
+                                FdmSchemeDesc::CraigSneyd };
     
     Size tn[] = { 100 };
     Real v0[] = { 0.04 };
@@ -577,8 +568,7 @@ void FdHestonTest::testFdmHestonConvergence() {
                              boost::shared_ptr<HestonModel>(
                                  new HestonModel(hestonProcess)), 
                              tn[j], 400, 100, 0, 
-                             schemes[l].schemeType,
-                             schemes[l].theta, schemes[l].mu));
+                             schemes[l]));
                     option.setPricingEngine(engine);
                     
                     const Real calculated = option.NPV();
@@ -606,7 +596,6 @@ void FdHestonTest::testFdmHestonConvergence() {
 
 test_suite* FdHestonTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Finite Difference Heston tests");
-
     suite->add(QUANTLIB_TEST_CASE(&FdHestonTest::testFdmHestonBarrier));
     suite->add(QUANTLIB_TEST_CASE(
                          &FdHestonTest::testFdmHestonBarrierVsBlackScholes));
@@ -617,6 +606,5 @@ test_suite* FdHestonTest::suite() {
                     &FdHestonTest::testFdmHestonEuropeanWithDividends));
 
     suite->add(QUANTLIB_TEST_CASE(&FdHestonTest::testFdmHestonConvergence));
-
     return suite;
 }
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index a3feb5d3fc..b46f7b442d 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -987,17 +987,15 @@ namespace {
     
     struct SchemeData {
         const char* const name;
-        FdmBackwardSolver::FdmSchemeType schemeType;
-        Real theta;
-        Real mu;
+        FdmSchemeDesc schemeDesc;
     };
-    
+        
     SchemeData schemes[] = {
-        { "HV2", FdmBackwardSolver::Hundsdorfer, 0.5+std::sqrt(3.0)/6, 0.5 },
-        { "HV1", FdmBackwardSolver::Hundsdorfer, 1.0-std::sqrt(2.0)/2, 0.5 },
-        { "CS" , FdmBackwardSolver::CraigSneyd, 0.5, 0.5 },
-        { "MCS", FdmBackwardSolver::ModifiedCraigSneyd, 0.3, 0.3 },
-        { "DS" , FdmBackwardSolver::Douglas, 0.5, 0.5 }
+        { "HV2", FdmSchemeDesc::Hundsdorfer },
+        { "HV1", FdmSchemeDesc::ModifiedHundsdorfer },
+        { "CS" , FdmSchemeDesc::CraigSneyd },
+        { "MCS", FdmSchemeDesc::ModifiedCraigSneyd },
+        { "DS" , FdmSchemeDesc::Douglas }
     };
 
     struct VanillaOptionData {
@@ -1040,7 +1038,6 @@ namespace {
     }
 }
 
-#include <iostream>
 void HybridHestonHullWhiteProcessTest::testBsmHullWhitePricing() {
     BOOST_MESSAGE("Testing convergence speed of Heston-Hull-White engine...");
     
@@ -1090,14 +1087,12 @@ void HybridHestonHullWhiteProcessTest::testBsmHullWhitePricing() {
                 Size tSteps = Size(maturity*listOfTimeStepsPerYear[u]);
     
                 boost::shared_ptr<FdHestonHullWhiteVanillaEngine> fdEngine(
-                                new FdHestonHullWhiteVanillaEngine(
+                    new FdHestonHullWhiteVanillaEngine(
                                     hestonModel, hwProcess, equityIrCorr,  
                                     tSteps, 400, 2, 10, 0, controlVariate[i],
-                                    scheme.schemeType, 
-                                    scheme.theta, scheme.mu));
+                                    scheme.schemeDesc));
                 fdEngine->enableMultipleStrikesCaching(
-                    std::vector<Real>(strikes, 
-                                      strikes + LENGTH(strikes)));
+                    std::vector<Real>(strikes, strikes + LENGTH(strikes)));
     
                 Real avgPriceDiff = 0.0;
                 for (Size k=0; k < LENGTH(strikes); ++k) {
@@ -1163,11 +1158,9 @@ void HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError() {
                 boost::shared_ptr<FdHestonVanillaEngine> fdEngine(
                     new FdHestonVanillaEngine(
                         hestonModel, tSteps, 200, 40, 0,
-                        schemes[i].schemeType, 
-                        schemes[i].theta,schemes[i].mu));
+                        schemes[i].schemeDesc));
                 fdEngine->enableMultipleStrikesCaching(
-                    std::vector<Real>(strikes, 
-                                      strikes + LENGTH(strikes)));
+                    std::vector<Real>(strikes, strikes + LENGTH(strikes)));
     
                 for (Size k=0; k < LENGTH(strikes); ++k) {
                     VanillaOptionData optionData 

From 7cc696019dc100edeac69f03fc0800126ef6b5b1 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 22 Nov 2010 15:10:16 +0000
Subject: [PATCH 098/410] Exported IborCoupon pricers (thanks to Lluis Pujol
 Bajador.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17500 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Contributors.txt        | 1 +
 Docs/pages/authors.docs | 1 +
 2 files changed, 2 insertions(+)

diff --git a/Contributors.txt b/Contributors.txt
index d0f329ab1b..334b3c4293 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -9,6 +9,7 @@ Marius Akre
 Mario Aleppo
 Jose Aparicio
 Sercan Atalik
+Lluis Pujol Bajador
 Clément Barret
 Christopher Baus
 Thomas Becker
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index cadc333c7f..c0bd1f4481 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -47,6 +47,7 @@
     Mario Aleppo,
     Jose Aparicio,
     Sercan Atalik,
+    Lluis Pujol Bajador,
     Cl&eacute;ment Barret,
     Christopher Baus,
     Thomas Becker,

From c5f9d806f6f2f0567dbb615dd25b165e21be3ac0 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 10:06:54 +0000
Subject: [PATCH 099/410] Avoided forbidden conversion between handles to
 different types.

Thanks to Leon Sit for the heads-up.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17504 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/credit/recursivecdoengine.hpp | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/ql/experimental/credit/recursivecdoengine.hpp b/ql/experimental/credit/recursivecdoengine.hpp
index 5508c90ae5..97183026bb 100644
--- a/ql/experimental/credit/recursivecdoengine.hpp
+++ b/ql/experimental/credit/recursivecdoengine.hpp
@@ -20,7 +20,6 @@
 #ifndef recursive_cdo_engine_hpp
 #define recursive_cdo_engine_hpp
 
-#include <ql/quotes/simplequote.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/matrixutilities/factorreduction.hpp>
@@ -59,7 +58,7 @@ namespace QuantLib {
         }
 
         //! Correlation name to name single factor construction
-        RecursiveCdoEngine(const Handle<SimpleQuote>& correl,
+        RecursiveCdoEngine(const Handle<Quote>& correl,
                            const Matrix& correlMtrx,
                            Size nbuckets  = 1,
                            Size quadOrder = 20)

From 2007b90d2ecb68c168a34be6f145b09d5f68a0ad Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 10:07:15 +0000
Subject: [PATCH 100/410] Pass matrix by copy to avoid modifying the input.

This also solves a problem with passing a temporary as an lvalue.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17505 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/credit/recursivecdoengine.hpp | 2 +-
 ql/math/matrixutilities/factorreduction.cpp   | 2 +-
 ql/math/matrixutilities/factorreduction.hpp   | 2 +-
 3 files changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/experimental/credit/recursivecdoengine.hpp b/ql/experimental/credit/recursivecdoengine.hpp
index 97183026bb..98845d91c7 100644
--- a/ql/experimental/credit/recursivecdoengine.hpp
+++ b/ql/experimental/credit/recursivecdoengine.hpp
@@ -64,7 +64,7 @@ namespace QuantLib {
                            Size quadOrder = 20)
         : correlQuote_(correl), copula_(), nBuckets_(nbuckets),
           integral_(quadOrder), wk_(),
-          oneFactorCorrels_(factorReduction(Matrix(correlMtrx)))
+          oneFactorCorrels_(factorReduction(correlMtrx))
         {
             // at least
             QL_REQUIRE(!oneFactorCorrels_.empty(),
diff --git a/ql/math/matrixutilities/factorreduction.cpp b/ql/math/matrixutilities/factorreduction.cpp
index 9585a5efe0..149135da86 100644
--- a/ql/math/matrixutilities/factorreduction.cpp
+++ b/ql/math/matrixutilities/factorreduction.cpp
@@ -24,7 +24,7 @@
 namespace QuantLib {
 
     Disposable<std::vector<Real> >
-    factorReduction(Matrix& mtrx,
+    factorReduction(Matrix mtrx,
                     Size maxIters) {
         static Real tolerance = 1.e-6;
 
diff --git a/ql/math/matrixutilities/factorreduction.hpp b/ql/math/matrixutilities/factorreduction.hpp
index 482dfd4efe..e5e18220be 100644
--- a/ql/math/matrixutilities/factorreduction.hpp
+++ b/ql/math/matrixutilities/factorreduction.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
           University Of Chicago Press, 1976. Chapter 9 is relevant to
           this context.
     */
-    Disposable<std::vector<Real> > factorReduction(Matrix& mtrx,
+    Disposable<std::vector<Real> > factorReduction(Matrix mtrx,
                                                    Size maxIters = 25);
 
 }

From 6277a1284266048c184fa9beb357d0e35bdef035 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 10:07:30 +0000
Subject: [PATCH 101/410] Removed illegal mutable qualifier from references.

Thanks to Leon Sit for the heads-up.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17506 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/interpolations/multicubicspline.hpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/ql/math/interpolations/multicubicspline.hpp b/ql/math/interpolations/multicubicspline.hpp
index da2cce750b..0268aab9d9 100644
--- a/ql/math/interpolations/multicubicspline.hpp
+++ b/ql/math/interpolations/multicubicspline.hpp
@@ -273,8 +273,8 @@ namespace QuantLib {
           private:
             const data &d_, &d2_;
             const data_table &y_;
-            mutable data_table &y2_;
-            mutable output_data &v_;
+            data_table &y2_;
+            output_data &v_;
         };
 
         class base_cubic_splint : public std::unary_function<base_arg_type,Real> {
@@ -333,8 +333,8 @@ namespace QuantLib {
             const dimensions &i_;
             const data &d_, &d2_;
             const data_table &y_;
-            mutable data_table &y2_;
-            mutable output_data &v_, &v1_, &v2_;
+            data_table &y2_;
+            output_data &v_, &v1_, &v2_;
         };
 
         typedef base_cubic_spline               cubic_spline_01;

From c60c8fc66531e5988b67282cf42ba2cd99aea513 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 10:07:44 +0000
Subject: [PATCH 102/410] Pass arguments to base-class constructor in the
 correct order.

Thanks to Leon Sit for the heads-up.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17507 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../inflation/interpolatedzeroinflationcurve.hpp              | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
index fa5c0f13fa..3a54eb7426 100644
--- a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
@@ -107,8 +107,8 @@ namespace QuantLib {
                                    const std::vector<Date>& dates,
                                    const std::vector<Rate>& rates,
                                    const Interpolator& interpolator)
-    : ZeroInflationTermStructure(referenceDate, calendar, dayCounter,
-                                 lag, frequency, indexIsInterpolated, rates[0], yTS),
+    : ZeroInflationTermStructure(referenceDate, calendar, dayCounter, rates[0],
+                                 lag, frequency, indexIsInterpolated, yTS),
       InterpolatedCurve<Interpolator>(std::vector<Time>(), rates, interpolator),
       dates_(dates) {
 

From 64fe78611d7455f05c39b4fd46b0a02c733a7572 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 15:00:15 +0000
Subject: [PATCH 103/410] Added missing file to Makefile.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17508 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am | 1 +
 ql/experimental/finitedifferences/all.hpp     | 1 +
 2 files changed, 2 insertions(+)

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index b4534b01d5..5adad51d3c 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -22,6 +22,7 @@ this_include_HEADERS = \
 	fdm1dmesher.hpp \
 	fdm2dblackscholesop.hpp \
 	fdm2dblackscholessolver.hpp \
+    fdmamericanstepcondition.hpp \
     fdmarithmeticaveragecondition.hpp \
     fdmbackwardsolver.hpp \
 	fdmbermudanstepcondition.hpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 0bd5b543d2..1998bd2104 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -19,6 +19,7 @@
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
+#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>

From b9af0357ecb10f59ef27615cacd1d3147647b8a7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 23 Nov 2010 15:00:34 +0000
Subject: [PATCH 104/410] Updated Windows projects.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17509 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 61 ++++++++++++++++++++++++++++++++++-
 QuantLib_vc10.vcxproj         |  6 ++++
 QuantLib_vc10.vcxproj.filters | 18 +++++++++++
 QuantLib_vc7.vcproj           | 18 +++++++++++
 QuantLib_vc8.vcproj           | 24 ++++++++++++++
 QuantLib_vc9.vcproj           | 24 ++++++++++++++
 6 files changed, 150 insertions(+), 1 deletion(-)

diff --git a/QuantLib.dev b/QuantLib.dev
index 1c05517af2..6f70fe3f1a 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1686
+UnitCount=1698
 Type=2
 Ver=1
 ObjFiles=
@@ -16967,3 +16967,62 @@ Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
+[Unit1693]
+FileName=ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1694]
+FileName=ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1695]
+FileName=ql\experimental\finitedifferences\fdm2dblackscholesop.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1696]
+FileName=ql\experimental\finitedifferences\fdm2dblackscholesop.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1697]
+FileName=ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1698]
+FileName=ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 27a1005a58..d6d7fa01bd 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1111,6 +1111,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\dividendbarrieroption.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\douglasscheme.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\expliciteulerscheme.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesasianengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesbarrierengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesrebateengine.hpp" />
@@ -1120,6 +1121,8 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdhestonrebateengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdhestonvanillaengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdm1dmesher.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholesop.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmamericanstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp" />
@@ -1837,6 +1840,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\dividendbarrieroption.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\douglasscheme.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\expliciteulerscheme.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesasianengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesbarrierengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesrebateengine.cpp" />
@@ -1845,6 +1849,8 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdhestonhullwhitevanillaengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdhestonrebateengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdhestonvanillaengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dblackscholesop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmamericanstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 3743034ae9..687614e073 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2889,6 +2889,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\expliciteulerscheme.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesasianengine.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -2916,6 +2919,12 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdm1dmesher.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholesop.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdmamericanstepcondition.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -4985,6 +4994,9 @@
     <ClCompile Include="ql\experimental\finitedifferences\expliciteulerscheme.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesasianengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5009,6 +5021,12 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdhestonvanillaengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dblackscholesop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdmamericanstepcondition.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 5386939e6f..03acdf5cba 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1136,6 +1136,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp">
 				</File>
@@ -1187,6 +1193,18 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdm1dmesher.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index f965cdaf5a..4891fd77f8 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -5922,6 +5922,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp"
 					>
@@ -5990,6 +5998,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdm1dmesher.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 81310a3c08..ae001b6d64 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6715,6 +6715,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp"
 					>
@@ -6783,6 +6791,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdm1dmesher.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp"
 					>

From 5956caa2dc3b4284d1376f7c7ee06b99b184aea8 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 28 Nov 2010 18:19:49 +0000
Subject: [PATCH 105/410] code formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17512 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/batesengine.cpp | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

diff --git a/ql/pricingengines/vanilla/batesengine.cpp b/ql/pricingengines/vanilla/batesengine.cpp
index 14aeab1619..0323628b89 100644
--- a/ql/pricingengines/vanilla/batesengine.cpp
+++ b/ql/pricingengines/vanilla/batesengine.cpp
@@ -31,10 +31,11 @@ namespace QuantLib {
                              Real relTolerance, Size maxEvaluations)
     : AnalyticHestonEngine(model, relTolerance, maxEvaluations) { }
 
-    std::complex<Real> BatesEngine::addOnTerm(Real phi,
-                                                      Time t, Size j) const {
+    std::complex<Real> BatesEngine::addOnTerm(
+                                            Real phi, Time t, Size j) const {
+        
         boost::shared_ptr<BatesModel> batesModel =
-            boost::dynamic_pointer_cast<BatesModel>(*model_);
+                            boost::dynamic_pointer_cast<BatesModel>(*model_);
 
         const Real nu_     = batesModel->nu();
         const Real delta2_ = 0.5*batesModel->delta()*batesModel->delta();
@@ -49,7 +50,7 @@ namespace QuantLib {
 
 
     BatesDetJumpEngine::BatesDetJumpEngine(
-        const boost::shared_ptr<BatesDetJumpModel> & model,
+        const boost::shared_ptr<BatesDetJumpModel>& model,
         Size integrationOrder)
     : BatesEngine(model, integrationOrder) { }
 

From 498b07248b90efd056b30a52e99a2a7467f3b149 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:55:16 +0000
Subject: [PATCH 106/410] Added Russian calendar.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17513 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 22 +++++++++++-
 QuantLib_vc10.vcxproj         |  2 ++
 QuantLib_vc10.vcxproj.filters |  6 ++++
 QuantLib_vc7.vcproj           |  6 ++++
 QuantLib_vc8.vcproj           |  8 +++++
 QuantLib_vc9.vcproj           |  8 +++++
 ql/time/calendars/Makefile.am |  2 ++
 ql/time/calendars/all.hpp     |  1 +
 ql/time/calendars/russia.cpp  | 63 +++++++++++++++++++++++++++++++++++
 ql/time/calendars/russia.hpp  | 63 +++++++++++++++++++++++++++++++++++
 10 files changed, 180 insertions(+), 1 deletion(-)
 create mode 100644 ql/time/calendars/russia.cpp
 create mode 100644 ql/time/calendars/russia.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 6f70fe3f1a..3b44ccc200 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1698
+UnitCount=1700
 Type=2
 Ver=1
 ObjFiles=
@@ -17026,3 +17026,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1699]
+FileName=ql\time\calendars\russia.cpp
+CompileCpp=1
+Folder=time/calendars
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1700]
+FileName=ql\time\calendars\russia.hpp
+CompileCpp=1
+Folder=time/calendars
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index d6d7fa01bd..bf9c03264f 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1000,6 +1000,7 @@
     <ClInclude Include="ql\time\calendars\norway.hpp" />
     <ClInclude Include="ql\time\calendars\nullcalendar.hpp" />
     <ClInclude Include="ql\time\calendars\poland.hpp" />
+    <ClInclude Include="ql\time\calendars\russia.hpp" />
     <ClInclude Include="ql\time\calendars\saudiarabia.hpp" />
     <ClInclude Include="ql\time\calendars\singapore.hpp" />
     <ClInclude Include="ql\time\calendars\slovakia.hpp" />
@@ -1750,6 +1751,7 @@
     <ClCompile Include="ql\time\calendars\newzealand.cpp" />
     <ClCompile Include="ql\time\calendars\norway.cpp" />
     <ClCompile Include="ql\time\calendars\poland.cpp" />
+    <ClCompile Include="ql\time\calendars\russia.cpp" />
     <ClCompile Include="ql\time\calendars\saudiarabia.cpp" />
     <ClCompile Include="ql\time\calendars\singapore.cpp" />
     <ClCompile Include="ql\time\calendars\slovakia.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 687614e073..60f56520e2 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2556,6 +2556,9 @@
     <ClInclude Include="ql\time\calendars\poland.hpp">
       <Filter>time\calendars</Filter>
     </ClInclude>
+    <ClInclude Include="ql\time\calendars\russia.hpp">
+      <Filter>time\calendars</Filter>
+    </ClInclude>
     <ClInclude Include="ql\time\calendars\saudiarabia.hpp">
       <Filter>time\calendars</Filter>
     </ClInclude>
@@ -4724,6 +4727,9 @@
     <ClCompile Include="ql\time\calendars\poland.cpp">
       <Filter>time\calendars</Filter>
     </ClCompile>
+    <ClCompile Include="ql\time\calendars\russia.cpp">
+      <Filter>time\calendars</Filter>
+    </ClCompile>
     <ClCompile Include="ql\time\calendars\saudiarabia.cpp">
       <Filter>time\calendars</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 03acdf5cba..ca64e5c9c6 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -5546,6 +5546,12 @@
 				<File
 					RelativePath=".\ql\time\calendars\poland.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\time\calendars\saudiarabia.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 4891fd77f8..ed4caa7263 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -5514,6 +5514,14 @@
 					RelativePath=".\ql\time\calendars\poland.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\time\calendars\saudiarabia.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index ae001b6d64..30620af8b7 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -5867,6 +5867,14 @@
 					RelativePath=".\ql\time\calendars\poland.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\time\calendars\russia.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\time\calendars\saudiarabia.cpp"
 					>
diff --git a/ql/time/calendars/Makefile.am b/ql/time/calendars/Makefile.am
index 68c69f36b4..3106a115fc 100644
--- a/ql/time/calendars/Makefile.am
+++ b/ql/time/calendars/Makefile.am
@@ -27,6 +27,7 @@ this_include_HEADERS = \
 	norway.hpp \
 	nullcalendar.hpp \
 	poland.hpp \
+	russia.hpp \
 	saudiarabia.hpp \
 	singapore.hpp \
 	slovakia.hpp \
@@ -65,6 +66,7 @@ libCalendars_la_SOURCES = \
 	newzealand.cpp \
 	norway.cpp \
 	poland.cpp \
+	russia.cpp \
 	saudiarabia.cpp \
 	singapore.cpp \
 	slovakia.cpp \
diff --git a/ql/time/calendars/all.hpp b/ql/time/calendars/all.hpp
index e31c3e2c04..5f5af92ccb 100644
--- a/ql/time/calendars/all.hpp
+++ b/ql/time/calendars/all.hpp
@@ -24,6 +24,7 @@
 #include <ql/time/calendars/norway.hpp>
 #include <ql/time/calendars/nullcalendar.hpp>
 #include <ql/time/calendars/poland.hpp>
+#include <ql/time/calendars/russia.hpp>
 #include <ql/time/calendars/saudiarabia.hpp>
 #include <ql/time/calendars/singapore.hpp>
 #include <ql/time/calendars/slovakia.hpp>
diff --git a/ql/time/calendars/russia.cpp b/ql/time/calendars/russia.cpp
new file mode 100644
index 0000000000..ea9aeb70af
--- /dev/null
+++ b/ql/time/calendars/russia.cpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 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/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/time/calendars/russia.hpp>
+#include <ql/errors.hpp>
+
+namespace QuantLib {
+
+    Russia::Russia() {
+        // all calendar instances share the same implementation
+        // instance
+        static boost::shared_ptr<Calendar::Impl> settlementImpl(
+                                                  new Russia::SettlementImpl);
+        impl_ = settlementImpl;
+    }
+
+
+    bool Russia::SettlementImpl::isBusinessDay(const Date& date) const {
+        Weekday w = date.weekday();
+        Day d = date.dayOfMonth();
+        Month m = date.month();
+        if (isWeekend(w)
+            // New Year's holidays
+            || (d >= 1 && d <= 10 && m == January)
+            // Defender of the Fatherland Day (possibly moved to Monday)
+            || ((d == 23 || ((d == 24 || d == 25) && w == Monday)) &&
+                m == February)
+            // International Women's Day (possibly moved to Monday)
+            || ((d == 8 || ((d == 9 || d == 10) && w == Monday)) &&
+                m == March)
+            // Labour Day (possibly moved to Monday)
+            || ((d == 1 || ((d == 2 || d == 3) && w == Monday)) &&
+                m == May)
+            // Victory Day (possibly moved to Monday)
+            || ((d == 9 || ((d == 10 || d == 11) && w == Monday)) &&
+                m == May)
+            // Russia Day (possibly moved to Monday)
+            || ((d == 12 || ((d == 13 || d == 14) && w == Monday)) &&
+                m == June)
+            // Unity Day (possibly moved to Monday)
+            || ((d == 4 || ((d == 5 || d == 6) && w == Monday)) &&
+                m == November))
+            return false;
+        return true;
+    }
+
+}
diff --git a/ql/time/calendars/russia.hpp b/ql/time/calendars/russia.hpp
new file mode 100644
index 0000000000..ff7d11dbc5
--- /dev/null
+++ b/ql/time/calendars/russia.hpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 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/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file russia.hpp
+    \brief Russian calendar
+*/
+
+#ifndef quantlib_russia_calendar_hpp
+#define quantlib_russia_calendar_hpp
+
+#include <ql/time/calendar.hpp>
+
+namespace QuantLib {
+
+    //! Russian calendar
+    /*! Public holidays (see <http://www.rts.ru/en/>:):
+        <ul>
+        <li>Saturdays</li>
+        <li>Sundays</li>
+        <li>New Year holidays and Christmas, January 1st to 10th</li>
+        <li>Defender of the Fatherland Day, February 23rd (possibly
+            moved to Monday)</li>
+        <li>International Women's Day, March 8th (possibly moved to
+            Monday)</li>
+        <li>Labour Day, May 1st (possibly moved to Monday)</li>
+        <li>Victory Day, May 9th (possibly moved to Monday)</li>
+        <li>Russia Day, June 12th (possibly moved to Monday)</li>
+        <li>Unity Day, November 4th (possibly moved to Monday)</li>
+        </ul>
+
+        \ingroup calendars
+    */
+    class Russia : public Calendar {
+      private:
+        class SettlementImpl : public Calendar::WesternImpl {
+          public:
+            std::string name() const { return "Russia settlement"; }
+            bool isBusinessDay(const Date&) const;
+        };
+      public:
+        Russia();
+    };
+
+}
+
+
+#endif

From f9ddaf2c10fb842989946b3e5dca85cb470019a7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:55:37 +0000
Subject: [PATCH 107/410] Regenerated all.hpp file with ordered headers.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17514 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/volatility/optionlet/all.hpp | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/ql/termstructures/volatility/optionlet/all.hpp b/ql/termstructures/volatility/optionlet/all.hpp
index 1e552b355e..227e811690 100644
--- a/ql/termstructures/volatility/optionlet/all.hpp
+++ b/ql/termstructures/volatility/optionlet/all.hpp
@@ -4,12 +4,11 @@
 #include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
 #include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
 #include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
-#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
-#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
 #include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>
 #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
 #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
 #include <ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp>
+#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
 #include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
 #include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
 

From 70579407c95f91c6deaa5df25c1d03c607977ee5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:55:57 +0000
Subject: [PATCH 108/410] Added HICPXT indexes.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17515 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/inflation/euhicp.hpp | 34 +++++++++++++++++++++++++++++++++
 1 file changed, 34 insertions(+)

diff --git a/ql/indexes/inflation/euhicp.hpp b/ql/indexes/inflation/euhicp.hpp
index 4e2ae6449b..805fe6fe5a 100644
--- a/ql/indexes/inflation/euhicp.hpp
+++ b/ql/indexes/inflation/euhicp.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2007, 2009 Chris Kenyon
+ Copyright (C) 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/
@@ -45,6 +46,22 @@ namespace QuantLib {
                              ts) {}
     };
 
+    //! EU HICPXT index
+    class EUHICPXT : public ZeroInflationIndex {
+      public:
+        EUHICPXT(bool interpolated,
+                 const Handle<ZeroInflationTermStructure>& ts =
+                                        Handle<ZeroInflationTermStructure>())
+        : ZeroInflationIndex("HICPXT",
+                             EURegion(),
+                             false,
+                             interpolated,
+                             Monthly,
+                             Period(1, Months), // availability
+                             EURCurrency(),
+                             ts) {}
+    };
+
 
     //! Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
     class YYEUHICP : public YoYInflationIndex {
@@ -63,6 +80,23 @@ namespace QuantLib {
                             ts) {}
     };
 
+    //! Genuine year-on-year EU HICPXT
+    class YYEUHICPXT : public YoYInflationIndex {
+      public:
+        YYEUHICPXT(bool interpolated,
+                   const Handle<YoYInflationTermStructure>& ts =
+                                         Handle<YoYInflationTermStructure>())
+        : YoYInflationIndex("YY_HICPXT",
+                            EURegion(),
+                            false,
+                            interpolated,
+                            false,
+                            Monthly,
+                            Period(1, Months),
+                            EURCurrency(),
+                            ts) {}
+    };
+
 
     //! Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
     class YYEUHICPr : public YoYInflationIndex {

From d6f9b1881f0b67a4446f8d9d9581dd779f25cb27 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:56:13 +0000
Subject: [PATCH 109/410] Added public Time-based interface.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17516 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/inflationtermstructure.cpp | 15 ++++++-
 ql/termstructures/inflationtermstructure.hpp | 44 +++++++++++++-------
 2 files changed, 42 insertions(+), 17 deletions(-)

diff --git a/ql/termstructures/inflationtermstructure.cpp b/ql/termstructures/inflationtermstructure.cpp
index cf45dfedd2..ed0ca9075f 100644
--- a/ql/termstructures/inflationtermstructure.cpp
+++ b/ql/termstructures/inflationtermstructure.cpp
@@ -125,7 +125,7 @@ namespace QuantLib {
                    "date (" << d << ") is past max curve date ("
                    << maxDate() << ")");
     }
-/*
+
     void InflationTermStructure::checkRange(Time t,
                                             bool extrapolate) const {
         QL_REQUIRE(t >= timeFromReference(baseDate()),
@@ -134,7 +134,6 @@ namespace QuantLib {
                    "time (" << t << ") is past max curve time ("
                    << maxTime() << ")");
     }
-*/
 
 
     ZeroInflationTermStructure::ZeroInflationTermStructure(
@@ -217,6 +216,12 @@ namespace QuantLib {
         return zeroRate;
     }
 
+    Rate ZeroInflationTermStructure::zeroRate(Time t,
+                                              bool extrapolate) const {
+        checkRange(t, extrapolate);
+        return zeroRateImpl(t);
+    }
+
     YoYInflationTermStructure::YoYInflationTermStructure(
                                     const DayCounter& dayCounter,
                                     Rate baseYoYRate,
@@ -296,6 +301,12 @@ namespace QuantLib {
         return yoyRate;
     }
 
+    Rate YoYInflationTermStructure::yoyRate(Time t,
+                                            bool extrapolate) const {
+        checkRange(t, extrapolate);
+        return yoyRateImpl(t);
+    }
+
 
 
 
diff --git a/ql/termstructures/inflationtermstructure.hpp b/ql/termstructures/inflationtermstructure.hpp
index 997e6a13f7..5c270d8711 100644
--- a/ql/termstructures/inflationtermstructure.hpp
+++ b/ql/termstructures/inflationtermstructure.hpp
@@ -114,8 +114,8 @@ namespace QuantLib {
         // range-checking
         void checkRange(const Date&,
                         bool extrapolate) const;
-        //void checkRange(Time t,
-          //              bool extrapolate) const;
+        void checkRange(Time t,
+                        bool extrapolate) const;
 
         boost::shared_ptr<Seasonality> seasonality_;
     };
@@ -159,14 +159,12 @@ namespace QuantLib {
 
         //! \name Inspectors
         //@{
-        //! zero-coupon inflation rate for an instrument with maturity (pay date) d
-        //! that observes with given lag and interpolation.
-        //! Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc)
-        //! we do NOT provide a "time" version of the rate lookup.
+        //! zero-coupon inflation rate.
         /*! Essentially the fair rate for a zero-coupon inflation swap
             (by definition), i.e. the zero term structure uses yearly
             compounding, which is assumed for ZCIIS instrument quotes.
-            N.B. by default you get the same as lag and interpolation
+
+            \note by default you get the same as lag and interpolation
             as the term structure.
             If you want to get predictions of RPI/CPI/etc then use an
             index.
@@ -174,7 +172,15 @@ namespace QuantLib {
         Rate zeroRate(const Date &d, const Period& instObsLag = Period(-1,Days),
                       bool forceLinearInterpolation = false,
                       bool extrapolate = false) const;
-
+        //! zero-coupon inflation rate.
+        /*! \warning Since inflation is highly linked to dates (lags,
+                     interpolation, months for seasonality, etc) this
+                     method cannot account for all effects.  If you
+                     call it, You'll have to manage lag, seasonality
+                     etc. yourself.
+        */
+        Rate zeroRate(Time t,
+                      bool extrapolate = false) const;
         //@}
       protected:
         //! to be defined in derived classes
@@ -218,16 +224,24 @@ namespace QuantLib {
 
         //! \name Inspectors
         //@{
-        //! year-on-year inflation rate, forceLinearInterpolation
-        //! is relative to the frequency of the TS.
-        //! Since inflation is highly linked to dates (lags, interpolation, months for seasonality etc)
-        //! we do NOT provide a "time" version of the rate lookup.
-        /*! \note this is not the year-on-year swap (YYIIS) rate. */
+        //! year-on-year inflation rate.
+        /*! The forceLinearInterpolation parameter is relative to the
+            frequency of the TS.
+
+            \note this is not the year-on-year swap (YYIIS) rate.
+        */
         Rate yoyRate(const Date &d, const Period& instObsLag = Period(-1,Days),
                      bool forceLinearInterpolation = false,
                      bool extrapolate = false) const;
-
-
+        //! year-on-year inflation rate.
+        /*! \warning Since inflation is highly linked to dates (lags,
+                     interpolation, months for seasonality, etc) this
+                     method cannot account for all effects.  If you
+                     call it, You'll have to manage lag, seasonality
+                     etc. yourself.
+        */
+        Rate yoyRate(Time t,
+                     bool extrapolate = false) const;
         //@}
       protected:
         //! to be defined in derived classes

From 7a6a205520e5bc66249624b0afde412974540785 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:56:28 +0000
Subject: [PATCH 110/410] Added more inspectors for swap data.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17517 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/zerocouponinflationswap.cpp | 23 +++++++++++++---------
 ql/instruments/zerocouponinflationswap.hpp | 23 ++++++++++++++++++++--
 2 files changed, 35 insertions(+), 11 deletions(-)

diff --git a/ql/instruments/zerocouponinflationswap.cpp b/ql/instruments/zerocouponinflationswap.cpp
index 487523f03b..50e15d5522 100644
--- a/ql/instruments/zerocouponinflationswap.cpp
+++ b/ql/instruments/zerocouponinflationswap.cpp
@@ -44,8 +44,13 @@ namespace QuantLib {
         bool adjustInfObsDates,
         Calendar infCalendar,
         BusinessDayConvention infConvention)
-    : Swap(2), type_(type), nominal_(nominal), fixedRate_(fixedRate),
-    infIndex_(infIndex), observationLag_(observationLag), dayCounter_(dayCounter) {
+    : Swap(2), type_(type), nominal_(nominal),
+      startDate_(startDate), maturityDate_(maturity),
+      fixCalendar_(fixCalendar), fixConvention_(fixConvention),
+      fixedRate_(fixedRate), infIndex_(infIndex),
+      observationLag_(observationLag), adjustInfObsDates_(adjustInfObsDates),
+      infCalendar_(infCalendar), infConvention_(infConvention),
+      dayCounter_(dayCounter) {
         // first check compatibility of index and swap definitions
         if (infIndex_->interpolated()) {
             Period pShift(infIndex_->frequency());
@@ -62,19 +67,19 @@ namespace QuantLib {
                        << " versus obs lag = " << observationLag_);
         }
 
-        if (infCalendar==Calendar()) infCalendar = fixCalendar;
-        if (infConvention==BusinessDayConvention()) infConvention = fixConvention;
+        if (infCalendar_==Calendar()) infCalendar_ = fixCalendar_;
+        if (infConvention_==BusinessDayConvention()) infConvention_ = fixConvention_;
 
-        if (adjustInfObsDates) {
-            baseDate_ = infCalendar.adjust(startDate - observationLag_, infConvention);
-            obsDate_ = infCalendar.adjust(maturity - observationLag_, infConvention);
+        if (adjustInfObsDates_) {
+            baseDate_ = infCalendar_.adjust(startDate - observationLag_, infConvention_);
+            obsDate_ = infCalendar_.adjust(maturity - observationLag_, infConvention_);
         } else {
             baseDate_ = startDate - observationLag_;
             obsDate_ = maturity - observationLag_;
         }
 
-        Date infPayDate = infCalendar.adjust(maturity, infConvention);
-        Date fixedPayDate = fixCalendar.adjust(maturity, fixConvention);
+        Date infPayDate = infCalendar_.adjust(maturity, infConvention_);
+        Date fixedPayDate = fixCalendar_.adjust(maturity, fixConvention_);
 
         // At this point the index may not be able to forecast
         // i.e. do not want to force the existence of an inflation
diff --git a/ql/instruments/zerocouponinflationswap.hpp b/ql/instruments/zerocouponinflationswap.hpp
index ce2eb6187b..639dcdb889 100644
--- a/ql/instruments/zerocouponinflationswap.hpp
+++ b/ql/instruments/zerocouponinflationswap.hpp
@@ -87,11 +87,24 @@ namespace QuantLib {
         //! "payer" or "receiver" refer to the inflation-indexed leg
         Type type() const { return type_; }
         Real nominal() const { return nominal_; }
+        Date startDate() const { return startDate_; }
+        Date maturityDate() const { return maturityDate_; }
+        Calendar fixedCalendar() const { return fixCalendar_; }
+        BusinessDayConvention fixedConvention() const {
+            return fixConvention_;
+        }
+        DayCounter dayCounter() const { return dayCounter_; }
         //! \f$ K \f$ in the above formula.
         Rate fixedRate() const { return fixedRate_; }
-        boost::shared_ptr<ZeroInflationIndex> inflationIndex() const { return infIndex_; }
+        boost::shared_ptr<ZeroInflationIndex> inflationIndex() const {
+            return infIndex_;
+        }
         Period observationLag() const { return observationLag_; }
-        DayCounter dayCounter() const { return dayCounter_; }
+        bool adjustObservationDates() const { return adjustInfObsDates_; }
+        Calendar inflationCalendar() const { return infCalendar_; }
+        BusinessDayConvention inflationConvention() const {
+            return infConvention_;
+        }
         //! just one cashflow (that is not a coupon) in each leg
         const Leg& fixedLeg() const;
         //! just one cashflow (that is not a coupon) in each leg
@@ -114,9 +127,15 @@ namespace QuantLib {
     protected:
         Type type_;
         Real nominal_;
+        Date startDate_, maturityDate_;
+        Calendar fixCalendar_;
+        BusinessDayConvention fixConvention_;
         Rate fixedRate_;
         boost::shared_ptr<ZeroInflationIndex> infIndex_;
         Period observationLag_;
+        bool adjustInfObsDates_;
+        Calendar infCalendar_;
+        BusinessDayConvention infConvention_;
         DayCounter dayCounter_;
         Date baseDate_, obsDate_;
     };

From 7d4dae15a95e435635740db933e5a58d46f35f67 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:56:48 +0000
Subject: [PATCH 111/410] Added constructor taking a Handle to a model.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17518 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/latticeshortratemodelengine.hpp | 15 ++++++++++++++-
 ql/pricingengines/swaption/treeswaptionengine.cpp | 12 +++++++++++-
 ql/pricingengines/swaption/treeswaptionengine.hpp |  4 ++++
 3 files changed, 29 insertions(+), 2 deletions(-)

diff --git a/ql/pricingengines/latticeshortratemodelengine.hpp b/ql/pricingengines/latticeshortratemodelengine.hpp
index 9422bfc034..ab9e54aa3f 100644
--- a/ql/pricingengines/latticeshortratemodelengine.hpp
+++ b/ql/pricingengines/latticeshortratemodelengine.hpp
@@ -41,7 +41,9 @@ namespace QuantLib {
         LatticeShortRateModelEngine(
                                const boost::shared_ptr<ShortRateModel>& model,
                                Size timeSteps);
-
+        LatticeShortRateModelEngine(
+                               const Handle<ShortRateModel>& model,
+                               Size timeSteps);
         LatticeShortRateModelEngine(
                                const boost::shared_ptr<ShortRateModel>& model,
                                const TimeGrid& timeGrid);
@@ -63,6 +65,17 @@ namespace QuantLib {
                    " not allowed");
     }
 
+    template <class Arguments, class Results>
+    LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
+            const Handle<ShortRateModel>& model,
+            Size timeSteps)
+    : GenericModelEngine<ShortRateModel, Arguments, Results>(model),
+      timeSteps_(timeSteps) {
+        QL_REQUIRE(timeSteps>0,
+                   "timeSteps must be positive, " << timeSteps <<
+                   " not allowed");
+    }
+
     template <class Arguments, class Results>
     LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
             const boost::shared_ptr<ShortRateModel>& model,
diff --git a/ql/pricingengines/swaption/treeswaptionengine.cpp b/ql/pricingengines/swaption/treeswaptionengine.cpp
index fd816ae1d8..a3a7c0d66d 100644
--- a/ql/pricingengines/swaption/treeswaptionengine.cpp
+++ b/ql/pricingengines/swaption/treeswaptionengine.cpp
@@ -34,7 +34,7 @@ namespace QuantLib {
     }
 
     TreeSwaptionEngine::TreeSwaptionEngine(
-                               const boost::shared_ptr<ShortRateModel>& model,
+                              const boost::shared_ptr<ShortRateModel>& model,
                               const TimeGrid& timeGrid,
                               const Handle<YieldTermStructure>& termStructure)
     : LatticeShortRateModelEngine<Swaption::arguments,
@@ -43,6 +43,16 @@ namespace QuantLib {
         registerWith(termStructure_);
     }
 
+    TreeSwaptionEngine::TreeSwaptionEngine(
+                              const Handle<ShortRateModel>& model,
+                              Size timeSteps,
+                              const Handle<YieldTermStructure>& termStructure)
+    : LatticeShortRateModelEngine<Swaption::arguments,
+                                  Swaption::results>(model, timeSteps),
+      termStructure_(termStructure) {
+        registerWith(termStructure_);
+    }
+
     void TreeSwaptionEngine::calculate() const {
 
         QL_REQUIRE(arguments_.settlementType==Settlement::Physical,
diff --git a/ql/pricingengines/swaption/treeswaptionengine.hpp b/ql/pricingengines/swaption/treeswaptionengine.hpp
index 8afcf6b86d..88c6324e24 100644
--- a/ql/pricingengines/swaption/treeswaptionengine.hpp
+++ b/ql/pricingengines/swaption/treeswaptionengine.hpp
@@ -58,6 +58,10 @@ namespace QuantLib {
                            const TimeGrid& timeGrid,
                            const Handle<YieldTermStructure>& termStructure =
                                                  Handle<YieldTermStructure>());
+        TreeSwaptionEngine(const Handle<ShortRateModel>&,
+                           Size timeSteps,
+                           const Handle<YieldTermStructure>& termStructure =
+                                                 Handle<YieldTermStructure>());
         //@}
         void calculate() const;
       private:

From c420fe334bf7b3062f9b9ab15a8f689644eada5b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 29 Nov 2010 14:58:18 +0000
Subject: [PATCH 112/410] Added check on callability dates.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17519 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/convertiblebonds/convertiblebond.cpp | 8 ++++++++
 1 file changed, 8 insertions(+)

diff --git a/ql/experimental/convertiblebonds/convertiblebond.cpp b/ql/experimental/convertiblebonds/convertiblebond.cpp
index 8e1f652faa..5de42aa2da 100644
--- a/ql/experimental/convertiblebonds/convertiblebond.cpp
+++ b/ql/experimental/convertiblebonds/convertiblebond.cpp
@@ -44,6 +44,14 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
+        if (!callability.empty()) {
+            QL_REQUIRE(callability.back()->date() <= maturityDate_,
+                       "last callability date ("
+                       << callability.back()->date()
+                       << ") later than maturity ("
+                       << maturityDate_ << ")");
+        }
+
         registerWith(creditSpread);
     }
 

From e0298c2ccacd91d4a48590cf66da24f4ce9c05b3 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 30 Nov 2010 10:26:40 +0000
Subject: [PATCH 113/410] Added Ziggurat RNG (thanks to Kakhkhor Abdijalilov.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17524 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                         |  22 ++-
 QuantLib_vc10.vcxproj                |   2 +
 QuantLib_vc10.vcxproj.filters        |   6 +
 QuantLib_vc7.vcproj                  |   6 +
 QuantLib_vc8.vcproj                  |   8 +
 QuantLib_vc9.vcproj                  |   8 +
 ql/experimental/Makefile.am          |   1 +
 ql/experimental/math/Makefile.am     |   8 +-
 ql/experimental/math/all.hpp         |   1 +
 ql/experimental/math/zigguratrng.cpp | 243 +++++++++++++++++++++++++++
 ql/experimental/math/zigguratrng.hpp |  80 +++++++++
 11 files changed, 383 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/math/zigguratrng.cpp
 create mode 100644 ql/experimental/math/zigguratrng.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 3b44ccc200..547c164be3 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1700
+UnitCount=1702
 Type=2
 Ver=1
 ObjFiles=
@@ -17046,3 +17046,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1701]
+FileName=ql\experimental\math\zigguratrng.cpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1702]
+FileName=ql\experimental\math\zigguratrng.hpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index bf9c03264f..46122e6009 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1244,6 +1244,7 @@
     <ClInclude Include="ql\experimental\math\farliegumbelmorgensterncopularng.hpp" />
     <ClInclude Include="ql\experimental\math\fastfouriertransform.hpp" />
     <ClInclude Include="ql\experimental\math\frankcopularng.hpp" />
+    <ClInclude Include="ql\experimental\math\zigguratrng.hpp" />
     <ClInclude Include="ql\auto_link.hpp" />
     <ClInclude Include="ql\cashflow.hpp" />
     <ClInclude Include="ql\compounding.hpp" />
@@ -1934,6 +1935,7 @@
     <ClCompile Include="ql\experimental\compoundoption\compoundoption.cpp" />
     <ClCompile Include="ql\experimental\inflation\yoycapfloortermpricesurface.cpp" />
     <ClCompile Include="ql\experimental\inflation\yoyoptionlethelpers.cpp" />
+    <ClCompile Include="ql\experimental\math\zigguratrng.cpp" />
     <ClCompile Include="ql\cashflow.cpp" />
     <ClCompile Include="ql\currency.cpp" />
     <ClCompile Include="ql\discretizedasset.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 60f56520e2..5317dd7b92 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3288,6 +3288,9 @@
     <ClInclude Include="ql\experimental\math\frankcopularng.hpp">
       <Filter>experimental\math</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\math\zigguratrng.hpp">
+      <Filter>experimental\math</Filter>
+    </ClInclude>
     <ClInclude Include="ql\auto_link.hpp" />
     <ClInclude Include="ql\cashflow.hpp" />
     <ClInclude Include="ql\compounding.hpp" />
@@ -5276,6 +5279,9 @@
     <ClCompile Include="ql\experimental\inflation\yoyoptionlethelpers.cpp">
       <Filter>experimental\inflation</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\math\zigguratrng.cpp">
+      <Filter>experimental\math</Filter>
+    </ClCompile>
     <ClCompile Include="ql\cashflow.cpp" />
     <ClCompile Include="ql\currency.cpp" />
     <ClCompile Include="ql\discretizedasset.cpp" />
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index ca64e5c9c6..3e636c3bec 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1512,6 +1512,12 @@
 				<File
 					RelativePath=".\ql\experimental\math\frankcopularng.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="mcbasket"
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index ed4caa7263..97d2569320 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -7322,6 +7322,14 @@
 					RelativePath=".\ql\experimental\math\frankcopularng.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<File
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 30620af8b7..7731dd3ef5 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7675,6 +7675,14 @@
 					RelativePath=".\ql\experimental\math\frankcopularng.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\math\zigguratrng.hpp"
+					>
+				</File>
 			</Filter>
 		</Filter>
 		<File
diff --git a/ql/experimental/Makefile.am b/ql/experimental/Makefile.am
index ea4a9d9088..9d4e160f64 100644
--- a/ql/experimental/Makefile.am
+++ b/ql/experimental/Makefile.am
@@ -27,6 +27,7 @@ libExperimental_la_LIBADD = \
     fx/libFX.la \
     inflation/libInflation.la \
     lattices/libLattices.la \
+    math/libMath.la \
     mcbasket/libMcBasket.la \
     processes/libProcesses.la \
     risk/libRisk.la \
diff --git a/ql/experimental/math/Makefile.am b/ql/experimental/math/Makefile.am
index cf71394055..6d606c7a25 100644
--- a/ql/experimental/math/Makefile.am
+++ b/ql/experimental/math/Makefile.am
@@ -8,7 +8,13 @@ this_include_HEADERS = \
     claytoncopularng.hpp \
     farliegumbelmorgensterncopularng.hpp \
     fastfouriertransform.hpp \
-    frankcopularng.hpp
+    frankcopularng.hpp \
+    zigguratrng.hpp
+
+libMath_la_SOURCES = \
+    zigguratrng.cpp
+
+noinst_LTLIBRARIES = libMath.la
 
 all.hpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > $@
diff --git a/ql/experimental/math/all.hpp b/ql/experimental/math/all.hpp
index 0333e32bb3..7362f926be 100644
--- a/ql/experimental/math/all.hpp
+++ b/ql/experimental/math/all.hpp
@@ -6,4 +6,5 @@
 #include <ql/experimental/math/farliegumbelmorgensterncopularng.hpp>
 #include <ql/experimental/math/fastfouriertransform.hpp>
 #include <ql/experimental/math/frankcopularng.hpp>
+#include <ql/experimental/math/zigguratrng.hpp>
 
diff --git a/ql/experimental/math/zigguratrng.cpp b/ql/experimental/math/zigguratrng.cpp
new file mode 100644
index 0000000000..ec13520b70
--- /dev/null
+++ b/ql/experimental/math/zigguratrng.cpp
@@ -0,0 +1,243 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Kakhkhor Abdijalilov
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/math/zigguratrng.hpp>
+#include <ql/math/distributions/normaldistribution.hpp>
+#include <cmath>
+
+namespace QuantLib {
+
+    namespace {
+
+        // tail probability
+        const Real p_ = 2.880541027242713E-004;
+        const Real q_ = 1.0 - p_;
+
+        /* The tabulated values were calculated following Marsaglia
+           and Tsang (2000). */
+
+        // values of exp(-0.5*x*x)
+        const Real f_ [128] = {
+            1.000000000000000E+000, 9.635996931557717E-001,
+            9.362826817083744E-001, 9.130436479920410E-001,
+            8.922816508023054E-001, 8.732430489268560E-001,
+            8.555006078850665E-001, 8.387836053106493E-001,
+            8.229072113952640E-001, 8.077382946961230E-001,
+            7.931770117838610E-001, 7.791460859417049E-001,
+            7.655841739092376E-001, 7.524415591857053E-001,
+            7.396772436833397E-001, 7.272569183545073E-001,
+            7.151515074204785E-001, 7.033360990258188E-001,
+            6.917891434460373E-001, 6.804918410064157E-001,
+            6.694276673577075E-001, 6.585820000586550E-001,
+            6.479418211185520E-001, 6.374954773431460E-001,
+            6.272324852578157E-001, 6.171433708265636E-001,
+            6.072195366326060E-001, 5.974531509518134E-001,
+            5.878370544418217E-001, 5.783646811267034E-001,
+            5.690299910747226E-001, 5.598274127106959E-001,
+            5.507517931210564E-001, 5.417983550317252E-001,
+            5.329626593899887E-001, 5.242405726789938E-001,
+            5.156282382498731E-001, 5.071220510813057E-001,
+            4.987186354765854E-001, 4.904148252893227E-001,
+            4.822076463348397E-001, 4.740943006982505E-001,
+            4.660721526945719E-001, 4.581387162728729E-001,
+            4.502916436869279E-001, 4.425287152802475E-001,
+            4.348478302546628E-001, 4.272469983095633E-001,
+            4.197243320540391E-001, 4.122780401070255E-001,
+            4.049064208114891E-001, 3.976078564980433E-001,
+            3.903808082413902E-001, 3.832238110598844E-001,
+            3.761354695144552E-001, 3.691144536682758E-001,
+            3.621594953730338E-001, 3.552693848515477E-001,
+            3.484429675498729E-001, 3.416791412350141E-001,
+            3.349768533169716E-001, 3.283350983761528E-001,
+            3.217529158792090E-001, 3.152293880681579E-001,
+            3.087636380092523E-001, 3.023548277894802E-001,
+            2.960021568498564E-001, 2.897048604458110E-001,
+            2.834622082260129E-001, 2.772735029218981E-001,
+            2.711380791410257E-001, 2.650553022581624E-001,
+            2.590245673987112E-001, 2.530452985097663E-001,
+            2.471169475146971E-001, 2.412389935477517E-001,
+            2.354109422657280E-001, 2.296323252343031E-001,
+            2.239026993871343E-001, 2.182216465563709E-001,
+            2.125887730737364E-001, 2.070037094418741E-001,
+            2.014661100762035E-001, 1.959756531181106E-001,
+            1.905320403209139E-001, 1.851349970107136E-001,
+            1.797842721249623E-001, 1.744796383324025E-001,
+            1.692208922389250E-001, 1.640078546849280E-001,
+            1.588403711409353E-001, 1.537183122095867E-001,
+            1.486415742436971E-001, 1.436100800919331E-001,
+            1.386237799858510E-001, 1.336826525846477E-001,
+            1.287867061971040E-001, 1.239359802039816E-001,
+            1.191305467087186E-001, 1.143705124498883E-001,
+            1.096560210158178E-001, 1.049872554103546E-001,
+            1.003644410295456E-001, 9.578784912257826E-002,
+            9.125780082763474E-002, 8.677467189554304E-002,
+            8.233889824295743E-002, 7.795098251465470E-002,
+            7.361150188475492E-002, 6.932111739418027E-002,
+            6.508058521363191E-002, 6.089077034856640E-002,
+            5.675266348153862E-002, 5.266740190350321E-002,
+            4.863629586028410E-002, 4.466086220087247E-002,
+            4.074286807479065E-002, 3.688438878696881E-002,
+            3.308788614650520E-002, 2.935631744025387E-002,
+            2.569329193614964E-002, 2.210330461611161E-002,
+            1.859210273716583E-002, 1.516729801067205E-002,
+            1.183947865798232E-002, 8.624484412930473E-003,
+            5.548995220816476E-003, 2.669629083902507E-003
+        };
+
+        // acceptance thresholds 2^24*x[i]/x[i+1]. k_[0] is special
+        const Size k_[128] = {
+            15555141,        0, 12590647, 14272656,
+            14988942, 15384587, 15635012, 15807564,
+            15933580, 16029597, 16105158, 16166150,
+            16216402, 16258511, 16294298, 16325081,
+            16351834, 16375294, 16396029, 16414482,
+            16431005, 16445883, 16459346, 16471581,
+            16482747, 16492974, 16502372, 16511034,
+            16519042, 16526462, 16533356, 16539772,
+            16545758, 16551351, 16556587, 16561496,
+            16566104, 16570437, 16574515, 16578357,
+            16581980, 16585401, 16588633, 16591688,
+            16594579, 16597314, 16599905, 16602358,
+            16604682, 16606885, 16608972, 16610949,
+            16612822, 16614597, 16616276, 16617865,
+            16619367, 16620786, 16622125, 16623387,
+            16624575, 16625690, 16626735, 16627713,
+            16628624, 16629470, 16630253, 16630974,
+            16631634, 16632233, 16632773, 16633254,
+            16633677, 16634041, 16634346, 16634593,
+            16634781, 16634910, 16634979, 16634987,
+            16634934, 16634817, 16634637, 16634390,
+            16634075, 16633689, 16633231, 16632698,
+            16632085, 16631390, 16630609, 16629737,
+            16628768, 16627698, 16626520, 16625226,
+            16623808, 16622257, 16620563, 16618714,
+            16616696, 16614494, 16612091, 16609465,
+            16606593, 16603449, 16599999, 16596206,
+            16592025, 16587402, 16582273, 16576559,
+            16570163, 16562965, 16554812, 16545511,
+            16534809, 16522368, 16507733, 16490265,
+            16469045, 16442690, 16409026, 16364394,
+            16302111, 16208408, 16049219, 15707338
+        };
+
+        // values of 2^{-24}*x[i]. w_[0] is special.
+        const Real w_[128] = {
+            2.213171867573477E-007, 1.623158840564778E-008,
+            2.162882274558596E-008, 2.542424120326624E-008,
+            2.845751269184242E-008, 3.103351823837397E-008,
+            3.330064883086164E-008, 3.534334554922425E-008,
+            3.721467240506913E-008, 3.895036212891571E-008,
+            4.057573787247544E-008, 4.210946627340346E-008,
+            4.356574479471913E-008, 4.495565083232566E-008,
+            4.628801273561392E-008, 4.756999377168848E-008,
+            4.880749623079987E-008, 5.000544871575862E-008,
+            5.116801519263080E-008, 5.229875022755345E-008,
+            5.340071633852936E-008, 5.447657412343023E-008,
+            5.552865246542405E-008, 5.655900391923845E-008,
+            5.756944891143612E-008, 5.856161138431779E-008,
+            5.953694781545649E-008, 6.049677105184184E-008,
+            6.144227004387700E-008, 6.237452630714050E-008,
+            6.329452775023089E-008, 6.420318036567782E-008,
+            6.510131817439508E-008, 6.598971173307500E-008,
+            6.686907545162751E-008, 6.774007391947947E-008,
+            6.860332740181531E-008, 6.945941663712532E-008,
+            7.030888704386109E-008, 7.115225242518010E-008,
+            7.198999824564194E-008, 7.282258454149729E-008,
+            7.365044851627824E-008, 7.447400686528278E-008,
+            7.529365786588351E-008, 7.610978326509584E-008,
+            7.692274999129007E-008, 7.773291171314836E-008,
+            7.854061026581177E-008, 7.934617696152180E-008,
+            8.014993379984568E-008, 8.095219459071287E-008,
+            8.175326600192373E-008, 8.255344854147119E-008,
+            8.335303748390705E-008, 8.415232374905104E-008,
+            8.495159474056128E-008, 8.575113515123489E-008,
+            8.655122774137352E-008, 8.735215409611426E-008,
+            8.815419536728245E-008, 8.895763300505963E-008,
+            8.976274948457178E-008, 9.056982903238356E-008,
+            9.137915835783214E-008, 9.219102739414587E-008,
+            9.300573005436895E-008, 9.382356500725440E-008,
+            9.464483647849558E-008, 9.546985508294559E-008,
+            9.629893869382930E-008, 9.713241335539087E-008,
+            9.797061424595009E-008, 9.881388669897357E-008,
+            9.966258729051657E-008, 1.005170850022725E-007,
+            1.013777624705017E-007, 1.022450173323223E-007,
+            1.031192636822607E-007, 1.040009336536155E-007,
+            1.048904791411299E-007, 1.057883736837368E-007,
+            1.066951145288121E-007, 1.076112249025135E-007,
+            1.085372565144899E-007, 1.094737923296323E-007,
+            1.104214496447496E-007, 1.113808835142578E-007,
+            1.123527905763905E-007, 1.133379133403490E-007,
+            1.143370450055439E-007, 1.153510348970830E-007,
+            1.163807946174674E-007, 1.174273050337859E-007,
+            1.184916242434419E-007, 1.195748966907839E-007,
+            1.206783636434635E-007, 1.218033752829236E-007,
+            1.229514047207811E-007, 1.241240643255547E-007,
+            1.253231248369812E-007, 1.265505378645533E-007,
+            1.278084625218070E-007, 1.290992971506620E-007,
+            1.304257173581136E-007, 1.317907219454484E-007,
+            1.331976887933646E-007, 1.346504434266883E-007,
+            1.361533438964878E-007, 1.377113869008423E-007,
+            1.393303418955523E-007, 1.410169225999109E-007,
+            1.427790092234294E-007, 1.446259406525023E-007,
+            1.465689049606532E-007, 1.486214710528821E-007,
+            1.508003278008381E-007, 1.531263366890930E-007,
+            1.556260733859904E-007, 1.583341605221148E-007,
+            1.612969382476045E-007, 1.645785196056458E-007,
+            1.682713836756925E-007, 1.725163463961286E-007,
+            1.775441320326934E-007, 1.837747608550914E-007,
+            1.921108355867039E-007, 2.051961336074264E-007
+        };
+
+    }
+
+    ZigguratRng::ZigguratRng(unsigned long seed)
+    : mt32_(seed) {}
+
+    Real ZigguratRng::nextGaussian() const {
+        static const int c[2] = {-1, 1};
+        unsigned long i, j;
+        int f;
+        Real x;
+
+        do {
+            j = mt32_.nextInt32(); // generate 32 bits of randomness
+            f = j & 1; // 1 bit to choose a tails
+            j >>= 1;
+            i = j & 0x7f; // 7 bits to choose a strip
+            j >>= 7; // the last 24 bits for accepttion/rejection
+            x = (c[f]*static_cast<long>(j))*w_[i]; // x is uniform
+                                                   // within the i-th strip
+            if (j < k_[i]) // if true, accept x
+                break;
+
+            // handle rejections
+            if (i!=0) { // upper strips
+                if ((f_[i-1]-f_[i])*mt32_.nextReal() + f_[i] < exp(-0.5*x*x))
+                    break;
+            } else { // base strip, sample from the tail
+                x = c[f]*InverseCumulativeNormal::standard_value(
+                                                      p_*mt32_.nextReal()+q_);
+                break;
+            }
+        } while (true);
+
+        return x;
+    }
+
+}
diff --git a/ql/experimental/math/zigguratrng.hpp b/ql/experimental/math/zigguratrng.hpp
new file mode 100644
index 0000000000..e0c0dc36b1
--- /dev/null
+++ b/ql/experimental/math/zigguratrng.hpp
@@ -0,0 +1,80 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Kakhkhor Abdijalilov
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file zigguratrng.hpp
+    \brief Ziggurat random-number generator
+*/
+
+#ifndef quantlib_ziggurat_generator_hpp
+#define quantlib_ziggurat_generator_hpp
+
+#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
+#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
+
+namespace QuantLib {
+
+    //! Ziggurat random-number generator
+    /*! This generator returns standard normal variates using the
+        Ziggurat method.  The underlying RNG is mt19937 (32 bit
+        version). The algorithm is described in Marsaglia and Tsang
+        (2000). "The Ziggurat Method for Generating Random
+        Variables". Journal of Statistical Software 5 (8).  Note that
+        step 2 from the above paper reuses the rightmost 8 bits of the
+        random integer, which creates correlation between steps 1 and
+        2.  This implementation was written from scratch, following
+        Marsaglia and Tsang.  It avoids the correlation by using only
+        the leftmost 24 bits of mt19937's output.
+
+        Note that the GNU GSL implementation uses a different value
+        for the right-most step. The GSL value is somewhat different
+        from the one reported by Marsaglia and Tsang because GSL uses
+        a different tail. This implementation uses the same right-most
+        step as reported by Marsaglia and Tsang.  The generator was
+        put through Marsaglia's Diehard battery of tests and didn't
+        exibit any abnormal behavior.
+    */
+    class ZigguratRng {
+      public:
+        typedef Sample<Real> sample_type;
+        ZigguratRng(unsigned long seed = 0);
+        sample_type next() const {
+            return sample_type(nextGaussian(),1.0);
+        }
+      private:
+        mutable MersenneTwisterUniformRng mt32_;
+        Real nextGaussian() const;
+    };
+
+    // RNG traits for Ziggurat generator
+    struct Ziggurat {
+        // typedefs
+        typedef ZigguratRng rng_type;
+        typedef RandomSequenceGenerator<rng_type> rsg_type;
+        // more traits
+        enum { allowsErrorEstimate = 1 };
+        // factory
+        static rsg_type make_sequence_generator(Size dimension,
+                                                BigNatural seed) {
+            return rsg_type(dimension, seed);
+        }
+    };
+
+}
+
+#endif

From 9084c210630a9d736f4c941a8f8dd3f3a1c39061 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 30 Nov 2010 16:45:08 +0000
Subject: [PATCH 114/410] fixed bug in multi dim linear regression object

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17525 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/linearleastsquaresregression.hpp    |  9 ++++++++-
 test-suite/linearleastsquaresregression.cpp | 17 ++++++++++++-----
 2 files changed, 20 insertions(+), 6 deletions(-)

diff --git a/ql/math/linearleastsquaresregression.hpp b/ql/math/linearleastsquaresregression.hpp
index dbec2a4f78..3c950078db 100644
--- a/ql/math/linearleastsquaresregression.hpp
+++ b/ql/math/linearleastsquaresregression.hpp
@@ -177,7 +177,14 @@ namespace QuantLib {
     inline LinearRegression::LinearRegression(
         const std::vector<std::vector<Real> >& x,
         const std::vector<Real>& y)
-    : reg_(x, y, details::linearFcts(x.size())) { }
+    : reg_(x, y, details::linearFcts(x[0].size())) {
+#ifdef QL_EXTRA_SAFETY_CHECKS
+        for (Size i=1; i < x.size(); ++i) {
+            QL_REQUIRE(x[i-1].size() == x[i].size(),
+                        "inconsistent sample size");
+        }
+#endif        
+    }
 
     inline LinearRegression::LinearRegression(
         const std::vector<Real>& x,
diff --git a/test-suite/linearleastsquaresregression.cpp b/test-suite/linearleastsquaresregression.cpp
index b04292e014..ab12ac588f 100644
--- a/test-suite/linearleastsquaresregression.cpp
+++ b/test-suite/linearleastsquaresregression.cpp
@@ -100,7 +100,7 @@ void LinearLeastSquaresRegressionTest::testRegression() {
 }
 
 namespace {
-    Real f(const Array& a, Size i) {
+    Real f(const std::vector<Real>& a, Size i) {
         return a[i];
     }
 }
@@ -116,8 +116,8 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
     const Real tolerance = 0.01;
     PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
 
-    std::vector<boost::function1<Real, Array> > v;
-    v.push_back(constant<Array, Real>(1.0));
+    std::vector<boost::function1<Real, std::vector<Real> > > v;
+    v.push_back(constant<std::vector<Real>, Real>(1.0));
     for (Size i=0; i < dims; ++i) {
         v.push_back(boost::bind(f, _1, i));
     }
@@ -128,7 +128,7 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
     }
     
     std::vector<Real> y(nr, 0.0);
-    std::vector<Array> x(nr, Array(dims));
+    std::vector<std::vector<Real> > x(nr, std::vector<Real>(dims));
     for (Size i=0; i < nr; ++i) {
         for (Size j=0; j < dims; ++j) {
             x[i][j] = rng.next().value;
@@ -140,7 +140,8 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
         y[i] += rng.next().value;
     }
     
-    LinearLeastSquaresRegression<Array> m(x, y, v);
+    LinearRegression reg(x,y);
+    LinearLeastSquaresRegression<std::vector<Real> > m(x, y, v);
     
     for (Size i=0; i < v.size(); ++i) {
         if (m.standardErrors()[i] > tolerance) {
@@ -155,6 +156,12 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
                         << "\n    error:      " << m.standardErrors()[i]
                         << "\n    expected:   " << coeff[i]);
         }
+        if (std::fabs(reg.coefficients()[i]-coeff[i]) > 3*tolerance) {
+            BOOST_ERROR("Failed to reproduce linear regression coef."
+                        << "\n    calculated: " << m.coefficients()[i]
+                        << "\n    error:      " << m.standardErrors()[i]
+                        << "\n    expected:   " << coeff[i]);
+        }
     }
 }
 

From 6313bd7e777cb94ceb3c3a9468f834b3612d5493 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 30 Nov 2010 17:30:08 +0000
Subject: [PATCH 115/410] added Bates engine based on the partial integro
 differential equation.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17526 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   8 +
 .../fdbatesvanillaengine.cpp                  |  62 ++++++
 .../fdbatesvanillaengine.hpp                  |  64 +++++++
 .../fdblackscholesbarrierengine.cpp           |   4 +-
 .../fdblackscholesrebateengine.cpp            |   4 +-
 .../fdhestonbarrierengine.cpp                 |   4 +-
 .../fdhestonrebateengine.cpp                  |   4 +-
 .../fdhestonvanillaengine.cpp                 |  21 ++-
 .../finitedifferences/fdmbatesop.cpp          | 144 ++++++++++++++
 .../finitedifferences/fdmbatesop.hpp          |  85 +++++++++
 .../finitedifferences/fdmbatessolver.cpp      |  65 +++++++
 .../finitedifferences/fdmbatessolver.hpp      |  60 ++++++
 .../fdmdirichletboundary.cpp                  |  41 ++--
 .../fdmdirichletboundary.hpp                  |  21 +--
 .../fdmhestonlikesolverfactory.cpp            |  73 ++++++++
 .../fdmhestonlikesolverfactory.hpp            |  57 ++++++
 .../finitedifferences/fdmhestonop.cpp         |  22 +--
 .../finitedifferences/fdmhestonop.hpp         |   3 -
 .../finitedifferences/fdmhestonsolver.cpp     |  17 +-
 .../finitedifferences/fdmhestonsolver.hpp     |   3 +-
 ql/models/equity/batesmodel.cpp               |  26 ++-
 ql/models/equity/batesmodel.hpp               |  10 +-
 test-suite/batesmodel.cpp                     | 177 ++++++++++++------
 test-suite/fdmlinearop.cpp                    |   2 +-
 24 files changed, 842 insertions(+), 135 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmbatesop.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmbatesop.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmbatessolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmbatessolver.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 5adad51d3c..61e644fdd0 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -11,6 +11,7 @@ this_include_HEADERS = \
 	douglasscheme.hpp \
 	expliciteulerscheme.hpp \
 	fd2dblackscholesvanillaengine.hpp \
+	fdbatesvanillaengine.hpp \
 	fdblackscholesasianengine.hpp \
 	fdblackscholesbarrierengine.hpp \
 	fdblackscholesrebateengine.hpp \
@@ -25,6 +26,8 @@ this_include_HEADERS = \
     fdmamericanstepcondition.hpp \
     fdmarithmeticaveragecondition.hpp \
     fdmbackwardsolver.hpp \
+    fdmbatesop.hpp \
+    fdmbatessolver.hpp \
 	fdmbermudanstepcondition.hpp \
 	fdmblackscholesmesher.hpp \
 	fdmblackscholesmultistrikemesher.hpp \
@@ -34,6 +37,7 @@ this_include_HEADERS = \
 	fdmdividendhandler.hpp \
 	fdmhestonhullwhiteop.hpp \
 	fdmhestonhullwhitesolver.hpp \
+	fdmhestonlikesolverfactory.hpp \
 	fdmhestonop.hpp \
 	fdmhestonsolver.hpp \
 	fdmhestonvariancemesher.hpp \
@@ -69,6 +73,7 @@ libMultiDimFDM_la_SOURCES = \
 	douglasscheme.cpp \
 	expliciteulerscheme.cpp \
 	fd2dblackscholesvanillaengine.cpp \
+	fdbatesvanillaengine.cpp \
 	fdblackscholesasianengine.cpp \
 	fdblackscholesbarrierengine.cpp \
 	fdblackscholesrebateengine.cpp \
@@ -82,6 +87,8 @@ libMultiDimFDM_la_SOURCES = \
 	fdmamericanstepcondition.cpp \
     fdmarithmeticaveragecondition.cpp \
     fdmbackwardsolver.cpp \
+    fdmbatesop.cpp \
+    fdmbatessolver.cpp \
 	fdmbermudanstepcondition.cpp \
 	fdmblackscholesmesher.cpp \
 	fdmblackscholesmultistrikemesher.cpp \
@@ -91,6 +98,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmdividendhandler.cpp \
 	fdmhestonhullwhiteop.cpp \
 	fdmhestonhullwhitesolver.cpp \
+	fdmhestonlikesolverfactory.cpp \
 	fdmhestonop.cpp \
 	fdmhestonsolver.cpp \
 	fdmhestonvariancemesher.cpp \
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp b/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
new file mode 100644
index 0000000000..0196707a41
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
@@ -0,0 +1,62 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdbatesvanillaengine.cpp
+    \brief Partial Integro Finite-Differences Bates vanilla option engine
+*/
+
+
+#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
+
+namespace QuantLib {
+
+    FdBatesVanillaEngine::FdBatesVanillaEngine(
+            const boost::shared_ptr<BatesModel>& model,
+            Size tGrid, Size xGrid, 
+            Size vGrid, Size dampingSteps,
+            const FdmSchemeDesc& schemeDesc)
+    : GenericModelEngine<BatesModel,
+                         DividendVanillaOption::arguments,
+                         DividendVanillaOption::results>(model),
+      hestonEngine_(new FdHestonVanillaEngine(model, tGrid, xGrid, vGrid, 
+                                              dampingSteps, schemeDesc)) {
+    }
+
+    void FdBatesVanillaEngine::calculate() const {
+        hestonEngine_->calculate();
+        
+        results_ = *dynamic_cast<const DividendVanillaOption::results*>(
+                                                hestonEngine_->getResults());
+    }
+    
+    PricingEngine::arguments* FdBatesVanillaEngine::getArguments() const { 
+        return hestonEngine_->getArguments(); 
+    }
+    
+    const PricingEngine::results* FdBatesVanillaEngine::getResults() const {
+        return hestonEngine_->getResults();
+    }
+    
+    void FdBatesVanillaEngine::reset() {
+        hestonEngine_->reset();
+    }
+
+
+}
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
new file mode 100644
index 0000000000..c1bb1037a1
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
@@ -0,0 +1,64 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdbatesvanillaengine.hpp
+    \brief Partial Integro Finite-Differences Bates vanilla option engine
+*/
+
+#ifndef quantlib_fd_bates_vanilla_engine_hpp
+#define quantlib_fd_bates_vanilla_engine_hpp
+
+#include <ql/models/equity/batesmodel.hpp>
+#include <ql/instruments/dividendvanillaoption.hpp>
+#include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class FdHestonVanillaEngine;
+
+    //! Partial Integro FiniteDifferences Bates Vanilla Option engine
+
+    /*! \ingroup vanillaengines
+    */
+    class FdBatesVanillaEngine
+        : public GenericModelEngine<BatesModel,
+                                    DividendVanillaOption::arguments,
+                                    DividendVanillaOption::results> {
+      public:
+        FdBatesVanillaEngine(
+            const boost::shared_ptr<BatesModel>& model,
+            Size tGrid = 100, Size xGrid = 100, 
+            Size vGrid = 50, Size dampingSteps = 0,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+
+        
+        void calculate() const;
+        
+        // deligate rest of the interface
+        arguments* getArguments() const;
+        const results* getResults() const;
+        void reset();
+
+      private:
+        const boost::shared_ptr<FdHestonVanillaEngine> hestonEngine_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
index c81395ba03..8a5b0c1c37 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
@@ -110,7 +110,7 @@ namespace QuantLib {
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
@@ -118,7 +118,7 @@ namespace QuantLib {
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
index f989ead893..b7a4826f97 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
@@ -109,14 +109,14 @@ namespace QuantLib {
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
 
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
index 07bf46bcd9..bef3a23090 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
@@ -122,14 +122,14 @@ namespace QuantLib {
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
 
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
index 4dd07af2d6..9c487c7530 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
@@ -124,14 +124,14 @@ namespace QuantLib {
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
             boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
+                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index 513569a4bd..ef53e68f87 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -19,17 +19,22 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+
+#include <ql/processes/batesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
 
 namespace QuantLib {
@@ -47,7 +52,7 @@ namespace QuantLib {
     }
 
     void FdHestonVanillaEngine::calculate() const {
-        
+
         // cache lookup for precalculated results
         for (Size i=0; i < cachedArgs2results_.size(); ++i) {
             if (   cachedArgs2results_[i].first.exercise->type() 
@@ -171,13 +176,13 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
-        boost::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(
-                                        Handle<HestonProcess>(process),
-                                        mesher, boundaries, conditions,
-                                        calculator, maturity, 
-                                        tGrid_, dampingSteps_,
-                                        schemeDesc_));
-
+        boost::shared_ptr<FdmHestonSolver> solver = 
+            FdmHestonLikeSolverFactory().create(Handle<HestonProcess>(process),
+                                                mesher, boundaries, conditions,
+                                                calculator, maturity, 
+                                                tGrid_, dampingSteps_,
+                                                schemeDesc_, 
+                                                Handle<FdmQuantoHelper>());
         const Real v0   = process->v0();
         const Real spot = process->s0()->value();
 
diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/experimental/finitedifferences/fdmbatesop.cpp
new file mode 100644
index 0000000000..2cfb8eb898
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbatesop.cpp
@@ -0,0 +1,144 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmbatesop.cpp
+    \brief Bates linear operator
+*/
+
+#include <ql/quotes/simplequote.hpp>
+#include <ql/math/matrix.hpp>
+#include <ql/math/interpolations/linearinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
+
+namespace QuantLib {
+
+    FdmBatesOp::FdmBatesOp(
+                    const boost::shared_ptr<FdmMesher>& mesher,
+                    const boost::shared_ptr<BatesProcess>& batesProcess,
+                    const FdmBoundaryConditionSet& bcSet,
+                    const Size integroIntegrationOrder, 
+                    const boost::shared_ptr<FdmQuantoHelper>& quantoHelper)
+    : lambda_(batesProcess->lambda()), 
+      delta_ (batesProcess->delta()), 
+      nu_    (batesProcess->nu()),
+      m_(std::exp(nu_+0.5*delta_*delta_)-1.0),
+      gaussHermiteIntegration_(integroIntegrationOrder),
+      mesher_(mesher),
+      bcSet_(bcSet),
+      hestonOp_(new FdmHestonOp(mesher, 
+           boost::shared_ptr<HestonProcess>(new HestonProcess(
+               batesProcess->riskFreeRate(),  
+               Handle<YieldTermStructure>(
+                   new ZeroSpreadedTermStructure(
+                           batesProcess->dividendYield(),
+                           Handle<Quote>(new SimpleQuote(lambda_*m_)),
+                           Continuous, NoFrequency, 
+                           batesProcess->dividendYield()->dayCounter())),
+               batesProcess->s0(),    batesProcess->v0(),
+               batesProcess->kappa(), batesProcess->theta(),
+               batesProcess->sigma(), batesProcess->rho())), 
+           quantoHelper)) {                        
+    }
+
+    Size FdmBatesOp::size() const {
+        return hestonOp_->size();
+    }
+    
+    void FdmBatesOp::setTime(Time t1, Time t2) {
+        hestonOp_->setTime(t1, t2);
+    }
+    
+    Disposable<Array> FdmBatesOp::apply(const Array& r) const {
+        return hestonOp_->apply(r) + integro(r);
+    }
+    
+    Disposable<Array> FdmBatesOp::apply_mixed(const Array& r) const {
+        return hestonOp_->apply_mixed(r) + integro(r);
+    }
+
+    Disposable<Array> FdmBatesOp::apply_direction(Size direction,
+                                                  const Array& r) const {
+        return hestonOp_->apply_direction(direction, r);
+    }
+
+    Disposable<Array> FdmBatesOp::solve_splitting(Size direction,
+                                                  const Array& r, Real s) const{
+        return hestonOp_->solve_splitting(direction, r, s);
+    }
+ 
+    Disposable<Array> FdmBatesOp::preconditioner(const Array& r, Real s) const {
+        return hestonOp_->preconditioner(r, s);
+    }
+    
+    
+    FdmBatesOp::IntegroIntegrand::IntegroIntegrand(
+                    const boost::shared_ptr<LinearInterpolation>& interpl,
+                    const FdmBoundaryConditionSet& bcSet,
+                    Real x, Real delta, Real nu)
+    : x_(x), delta_(delta), nu_(nu), 
+      bcSet_(bcSet), interpl_(interpl) { }
+                    
+    Real FdmBatesOp::IntegroIntegrand::operator()(Real y) const {
+        const Real x = x_ + M_SQRT2*delta_*y + nu_;
+        Real valueOfDerivative = interpl_->operator()(x, true);
+        
+        for (FdmBoundaryConditionSet::const_iterator iter=bcSet_.begin();
+            iter < bcSet_.end(); ++iter) {
+            valueOfDerivative=(*iter)->applyAfterApplying(x, valueOfDerivative);
+        }
+        
+        return std::exp(-y*y)*valueOfDerivative;
+    }
+    
+    Disposable<Array> FdmBatesOp::integro(const Array& r) const {
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        
+        Array x(layout->dim()[0]);
+        Matrix f(layout->dim()[1], layout->dim()[0]);
+        
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+            ++iter) {
+            const Size i = iter.coordinates()[0];
+            const Size j = iter.coordinates()[1];
+            
+            x[i]    = mesher_->location(iter, 0);
+            f[j][i] = r[iter.index()];
+            
+        }
+        std::vector<boost::shared_ptr<LinearInterpolation> > interpl(f.rows());
+        for (Size i=0; i < f.rows(); ++i) {
+            interpl[i] = boost::shared_ptr<LinearInterpolation>(
+                new LinearInterpolation(x.begin(), x.end(), f.row_begin(i)));
+        }
+        
+        Array integral(r.size());
+        for (FdmLinearOpIterator iter=layout->begin(); iter!=endIter; ++iter) {
+            const Size i = iter.coordinates()[0];
+            const Size j = iter.coordinates()[1];
+
+            integral[iter.index()] = M_1_SQRTPI* 
+                gaussHermiteIntegration_(
+                      IntegroIntegrand(interpl[j], bcSet_, x[i], delta_, nu_));
+        }
+
+        return lambda_*(integral-r);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmbatesop.hpp b/ql/experimental/finitedifferences/fdmbatesop.hpp
new file mode 100644
index 0000000000..be995a7ec2
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbatesop.hpp
@@ -0,0 +1,85 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmbatesop.hpp
+    \brief Bates linear operator
+*/
+
+#ifndef quantlib_fdm_bates_op_hpp
+#define quantlib_fdm_bates_op_hpp
+
+#include <ql/processes/batesprocess.hpp>
+#include <ql/math/integrals/gaussianquadratures.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+namespace QuantLib {
+
+    class LinearInterpolation;
+    
+    class FdmBatesOp : public FdmLinearOpComposite {
+      public:
+        FdmBatesOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<BatesProcess>& batesProcess,
+            const FdmBoundaryConditionSet& bcSet,
+            Size integroIntegrationOrder,
+            const boost::shared_ptr<FdmQuantoHelper>& quantoHelper
+                                        = boost::shared_ptr<FdmQuantoHelper>());
+
+        Size size() const;
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+
+        Disposable<Array> apply_direction(Size direction,
+                                          const Array& r) const;
+        Disposable<Array> solve_splitting(Size direction,
+                                          const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+        class IntegroIntegrand {
+          public:
+            IntegroIntegrand(const boost::shared_ptr<LinearInterpolation>& i,
+                             const FdmBoundaryConditionSet& bcSet,
+                             Real x, Real delta, Real nu);
+            Real operator()(Real y) const;
+            
+          private:
+            const Real x_, delta_, nu_;
+            const FdmBoundaryConditionSet& bcSet_;
+            const boost::shared_ptr<LinearInterpolation>& interpl_;
+        };
+          
+        Disposable<Array> integro(const Array& r) const;  
+        
+        Array x_, weights_;
+        
+        const Real lambda_, delta_, nu_, m_;
+        GaussHermiteIntegration gaussHermiteIntegration_;
+        
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const FdmBoundaryConditionSet bcSet_;
+        const boost::shared_ptr<FdmHestonOp> hestonOp_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.cpp b/ql/experimental/finitedifferences/fdmbatessolver.cpp
new file mode 100644
index 0000000000..faca68e3fb
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbatessolver.cpp
@@ -0,0 +1,65 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmbatessolver.cpp
+*/
+
+#include <ql/processes/batesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
+
+
+namespace QuantLib {
+    
+    FdmBatesSolver::FdmBatesSolver(
+            const Handle<BatesProcess>& process,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const FdmBoundaryConditionSet& bcSet,
+            const boost::shared_ptr<FdmStepConditionComposite> & condition,
+            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+            Time maturity,
+            Size timeSteps,
+            Size dampingSteps,
+            Size integroIntegrationOrder,
+            const FdmSchemeDesc& schemeDesc,
+            const Handle<FdmQuantoHelper>& quantoHelper)
+    : FdmHestonSolver(Handle<HestonProcess>(process.currentLink()),
+                      mesher, bcSet, condition, 
+                      calculator, maturity, timeSteps, 0,
+                      schemeDesc, quantoHelper),
+      integroIntegrationOrder_(integroIntegrationOrder),
+      bcSet_(bcSet),
+      batesProcess_(process),
+      mesher_      (mesher),
+      quantoHelper_(quantoHelper) {
+
+        registerWith(batesProcess_);
+        registerWith(quantoHelper_);
+    }
+          
+    void FdmBatesSolver::performCalculations() const {
+        boost::shared_ptr<FdmLinearOpComposite> map(
+            new FdmBatesOp(mesher_, batesProcess_.currentLink(), bcSet_,
+                           integroIntegrationOrder_, 
+                           (!quantoHelper_.empty()) 
+                                   ? quantoHelper_.currentLink()
+                                   : boost::shared_ptr<FdmQuantoHelper>()));
+        backwardSolve(map);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.hpp b/ql/experimental/finitedifferences/fdmbatessolver.hpp
new file mode 100644
index 0000000000..f384ac3ec2
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmbatessolver.hpp
@@ -0,0 +1,60 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmbatessolver.hpp
+*/
+
+#ifndef quantlib_fdm_bates_solver_hpp
+#define quantlib_fdm_bates_solver_hpp
+
+#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+
+namespace QuantLib {
+    
+    class BatesProcess;
+
+    class FdmBatesSolver : public FdmHestonSolver {
+      public:
+        FdmBatesSolver(
+            const Handle<BatesProcess>& process,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const FdmBoundaryConditionSet & bcSet,
+            const boost::shared_ptr<FdmStepConditionComposite> & condition,
+            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+            Time maturity,
+            Size timeSteps,
+            Size dampingSteps = 0,
+            Size integroIntegrationOrder = 12,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer,
+            const Handle<FdmQuantoHelper>& quantoHelper
+                                                = Handle<FdmQuantoHelper>());
+        
+      protected:
+        void performCalculations() const;
+        
+      private:
+        const Size integroIntegrationOrder_;
+        const FdmBoundaryConditionSet bcSet_;
+        const Handle<BatesProcess> batesProcess_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const Handle<FdmQuantoHelper> quantoHelper_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmdirichletboundary.cpp b/ql/experimental/finitedifferences/fdmdirichletboundary.cpp
index aef219897c..e01b6e5d8f 100644
--- a/ql/experimental/finitedifferences/fdmdirichletboundary.cpp
+++ b/ql/experimental/finitedifferences/fdmdirichletboundary.cpp
@@ -19,19 +19,22 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 
 namespace QuantLib {
 
     FdmDirichletBoundary::FdmDirichletBoundary(
-                            const boost::shared_ptr<FdmLinearOpLayout>& layout,
-                            Real value,
-                            Size direction,
+                            const boost::shared_ptr<FdmMesher>& mesher,
+                            Real valueOnBoundary, Size direction,
                             FdmDirichletBoundary::Side side)
-    : value_(value),
-      layout_(layout) {
-
+    : side_(side),
+      valueOnBoundary_(valueOnBoundary) {
+                                
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
+                                
         std::vector<Size> newDim(layout->dim());
         newDim[direction] = 1;
         const Size hyperSize = std::accumulate(newDim.begin(), newDim.end(),
@@ -42,21 +45,37 @@ namespace QuantLib {
         const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
             ++iter) {
-            if ((side == Lower && iter.coordinates()[direction] == 0)
-                || (side == Upper
-                && iter.coordinates()[direction] == layout->dim()[direction]-1)) {
+            if (   (side == Lower && iter.coordinates()[direction] == 0)
+                || (side == Upper && iter.coordinates()[direction] 
+                                            == layout->dim()[direction]-1)) {
 
                 QL_REQUIRE(hyperSize > i, "index missmatch");
                 indicies_[i++] = iter.index();
             }
         }
+        
+        if (side_ == Lower) {
+            xExtreme_ = mesher->locations(direction)[0];
+        }
+        else if (side_ == Upper) {
+            xExtreme_ 
+                = mesher->locations(direction)[layout->dim()[direction]-1];
+        }
     }
 
     void FdmDirichletBoundary::applyAfterApplying(Array& rhs) const {
         for (std::vector<Size>::const_iterator iter = indicies_.begin();
              iter != indicies_.end(); ++iter) {
-            rhs[*iter] = value_;
+            rhs[*iter] = valueOnBoundary_;
         }
     }
-
+    
+    void FdmDirichletBoundary::applyAfterSolving(Array& rhs) const {
+        this->applyAfterApplying(rhs);
+    }
+    
+    Real FdmDirichletBoundary::applyAfterApplying(Real x, Real value) const {
+        return (   (side_ == Lower && x < xExtreme_) 
+                || (side_ == Upper && x > xExtreme_)) ? valueOnBoundary_ : value;
+    }
 }
diff --git a/ql/experimental/finitedifferences/fdmdirichletboundary.hpp b/ql/experimental/finitedifferences/fdmdirichletboundary.hpp
index 03a8273355..13094e052b 100644
--- a/ql/experimental/finitedifferences/fdmdirichletboundary.hpp
+++ b/ql/experimental/finitedifferences/fdmdirichletboundary.hpp
@@ -32,6 +32,7 @@
 
 namespace QuantLib {
 
+    class FdmMesher;
     class FdmLinearOpLayout;
 
     class FdmDirichletBoundary : public BoundaryCondition<FdmLinearOp> {
@@ -41,32 +42,28 @@ namespace QuantLib {
         typedef FdmLinearOp::array_type array_type;
         typedef BoundaryCondition<FdmLinearOp>::Side Side;
 
-        FdmDirichletBoundary(const boost::shared_ptr<FdmLinearOpLayout>& layout,
-                             Real value,
-                             Size direction,
-                             Side side);
+        FdmDirichletBoundary(const boost::shared_ptr<FdmMesher>& layout,
+                             Real valueOnBoundary, Size direction, Side side);
 
         void applyBeforeApplying(operator_type&) const {}
+        void applyBeforeSolving(operator_type&, array_type&) const {}
         void applyAfterApplying(array_type&) const;
-        void applyBeforeSolving(operator_type&,
-                                array_type&) const {}
         void applyAfterSolving(array_type&) const;
         void setTime(Time) {}
+        
+        Real applyAfterApplying(Real x, Real value) const;
 
       private:
-        const Real value_;
-        const boost::shared_ptr<FdmLinearOpLayout> layout_;
+        const Side side_;  
+        const Real valueOnBoundary_;
 
+        Real xExtreme_;
         std::vector<Size> indicies_;
     };
     
     typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
         FdmBoundaryConditionSet;
 
-    inline void FdmDirichletBoundary::applyAfterSolving(Array& rhs) const {
-        this->applyAfterApplying(rhs);
-    }
-
 }
 
 #endif
diff --git a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
new file mode 100644
index 0000000000..f4e9e30616
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
@@ -0,0 +1,73 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhestonlikesolverfactoray.cpp
+    \brief factory for Heston like solvers aka. processes that are derived 
+           from HestonProcess
+*/
+
+
+#include <ql/processes/batesprocess.hpp>
+#include <ql/processes/hestonprocess.hpp>
+
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
+#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
+
+namespace QuantLib {
+
+    boost::shared_ptr<FdmHestonSolver> FdmHestonLikeSolverFactory::create(
+              const Handle<HestonProcess>& process,
+              const boost::shared_ptr<FdmMesher>& mesher,
+              const FdmBoundaryConditionSet& bcSet,
+              const boost::shared_ptr<FdmStepConditionComposite> & conditions,
+              const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+              Time maturity,
+              Size timeSteps,
+              Size dampingSteps,
+              const FdmSchemeDesc& schemeDesc,
+              const Handle<FdmQuantoHelper>& quantoHelper) {
+        
+        boost::shared_ptr<FdmHestonSolver> retVal;
+        
+        if (boost::dynamic_pointer_cast<BatesProcess>(process.currentLink())) {
+            retVal = boost::shared_ptr<FdmBatesSolver>(new FdmBatesSolver(
+                Handle<BatesProcess>(boost::dynamic_pointer_cast<BatesProcess>(
+                                                        process.currentLink())),
+                mesher, bcSet, conditions,
+                calculator, maturity, 
+                timeSteps, dampingSteps, 16,
+                schemeDesc, quantoHelper));
+        }
+        else {
+            retVal = boost::shared_ptr<FdmHestonSolver>(new FdmHestonSolver(
+                                        process, mesher, bcSet, conditions,
+                                        calculator, maturity, 
+                                        timeSteps, dampingSteps,
+                                        schemeDesc, quantoHelper));
+        }
+        
+        return retVal;
+    };
+}
+
diff --git a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp
new file mode 100644
index 0000000000..afcca77323
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhestonlikesolverfactory.hpp
+    \brief factory for Heston like solvers aka. processes that are derived 
+           from HestonProcess
+*/
+
+#ifndef quantlib_fdm_heston_like_solver_factory_hpp
+#define quantlib_fdm_heston_like_solver_factory_hpp
+
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+namespace QuantLib {
+
+    class HestonProcess;
+    class FdmMesher;
+    class FdmQuantoHelper;
+    class FdmInnerValueCalculator;
+    class FdmStepConditionComposite;
+
+    class FdmHestonLikeSolverFactory {
+      public:
+          FdmHestonLikeSolverFactory() { }
+          
+          boost::shared_ptr<FdmHestonSolver> create(
+              const Handle<HestonProcess>& process,
+              const boost::shared_ptr<FdmMesher>& mesher,
+              const FdmBoundaryConditionSet& bcSet,
+              const boost::shared_ptr<FdmStepConditionComposite> & condition,
+              const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+              Time maturity,
+              Size timeSteps,
+              Size dampingSteps,
+              const FdmSchemeDesc& schemeDesc,
+              const Handle<FdmQuantoHelper>& quantoHelper);
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmhestonop.cpp b/ql/experimental/finitedifferences/fdmhestonop.cpp
index b342970458..1a9eb6ec94 100644
--- a/ql/experimental/finitedifferences/fdmhestonop.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonop.cpp
@@ -98,18 +98,16 @@ namespace QuantLib {
         const boost::shared_ptr<FdmMesher>& mesher,
         const boost::shared_ptr<HestonProcess> & hestonProcess,
         const boost::shared_ptr<FdmQuantoHelper>& quantoHelper)
-    : v0_(hestonProcess->v0()),
-      kappa_(hestonProcess->kappa()),
-      theta_(hestonProcess->theta()),
-      sigma_(hestonProcess->sigma()),
-      rho_  (hestonProcess->rho()),
-      rTS_  (hestonProcess->riskFreeRate().currentLink()),
-      correlationMap_(SecondOrderMixedDerivativeOp(0, 1, mesher)
-                        .mult(rho_*sigma_*mesher->locations(1))),
-      dyMap_(mesher, rTS_,
-             sigma_, kappa_, theta_),
+    : correlationMap_(SecondOrderMixedDerivativeOp(0, 1, mesher)
+                        .mult(hestonProcess->rho()*hestonProcess->sigma()
+                                *mesher->locations(1))),
+      dyMap_(mesher, hestonProcess->riskFreeRate().currentLink(),
+              hestonProcess->sigma(), 
+              hestonProcess->kappa(), 
+              hestonProcess->theta()),
       dxMap_(mesher,
-             rTS_, hestonProcess->dividendYield().currentLink(),
+             hestonProcess->riskFreeRate().currentLink(), 
+             hestonProcess->dividendYield().currentLink(),
              quantoHelper) {
     }
 
@@ -129,7 +127,7 @@ namespace QuantLib {
     }
 
     Disposable<Array> FdmHestonOp::apply_direction(Size direction,
-                                                    const Array& r) const {
+                                                   const Array& r) const {
         if (direction == 0)
             return dxMap_.getMap().apply(r);
         else if (direction == 1)
diff --git a/ql/experimental/finitedifferences/fdmhestonop.hpp b/ql/experimental/finitedifferences/fdmhestonop.hpp
index 3f1aa400b3..089a175ff6 100644
--- a/ql/experimental/finitedifferences/fdmhestonop.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonop.hpp
@@ -96,9 +96,6 @@ namespace QuantLib {
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
       private:
-        const Real v0_, kappa_, theta_, sigma_, rho_;
-        const boost::shared_ptr<YieldTermStructure> rTS_;
-
         NinePointLinearOp correlationMap_;
         FdmHestonVariancePart dyMap_;
         FdmHestonEquityPart dxMap_;
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.cpp b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
index db9f56e108..553e5b803e 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
@@ -81,12 +81,8 @@ namespace QuantLib {
         }
     }
 
-    void FdmHestonSolver::performCalculations() const {
-        boost::shared_ptr<FdmHestonOp> map(
-                new FdmHestonOp(
-                        mesher_, process_.currentLink(),
-                        (!quantoHelper_.empty()) ? quantoHelper_.currentLink()
-                                     : boost::shared_ptr<FdmQuantoHelper>()));
+    void FdmHestonSolver::backwardSolve(
+                       boost::shared_ptr<FdmLinearOpComposite>& map) const {
 
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
@@ -100,6 +96,15 @@ namespace QuantLib {
                               v_.begin(), v_.end(),
                               resultValues_));
     }
+        
+    void FdmHestonSolver::performCalculations() const {
+        boost::shared_ptr<FdmLinearOpComposite> map(
+                new FdmHestonOp(
+                        mesher_, process_.currentLink(),
+                        (!quantoHelper_.empty()) ? quantoHelper_.currentLink()
+                                     : boost::shared_ptr<FdmQuantoHelper>()));
+        this->backwardSolve(map);
+    }
 
     Real FdmHestonSolver::valueAt(Real s, Real v) const {
         calculate();
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
index da968dc9f7..3e6093ce17 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
@@ -72,7 +72,8 @@ namespace QuantLib {
 
       protected:
         void performCalculations() const;
-
+        void backwardSolve(boost::shared_ptr<FdmLinearOpComposite>& map) const;
+        
       private:
         Handle<HestonProcess> process_;
         const boost::shared_ptr<FdmMesher> mesher_;
diff --git a/ql/models/equity/batesmodel.cpp b/ql/models/equity/batesmodel.cpp
index 4bcd2abbe0..7635948c4b 100644
--- a/ql/models/equity/batesmodel.cpp
+++ b/ql/models/equity/batesmodel.cpp
@@ -21,22 +21,32 @@
 
 namespace QuantLib {
 
-    BatesModel::BatesModel(const boost::shared_ptr<HestonProcess> & process,
-                           Real lambda, Real nu, Real delta)
+    BatesModel::BatesModel(const boost::shared_ptr<BatesProcess> & process)
     : HestonModel(process) {
         arguments_.resize(8);
 
-        arguments_[5] = ConstantParameter(nu,     NoConstraint());
-        arguments_[6] = ConstantParameter(delta,  PositiveConstraint());
-        arguments_[7] = ConstantParameter(lambda, PositiveConstraint());
+        arguments_[5] 
+                = ConstantParameter(process->nu(),     NoConstraint());
+        arguments_[6] 
+                = ConstantParameter(process->delta(),  PositiveConstraint());
+        arguments_[7] 
+                = ConstantParameter(process->lambda(), PositiveConstraint());
+        
+        generateArguments();
     }
 
+    void BatesModel::generateArguments() {
+        process_.reset(new BatesProcess(
+             process_->riskFreeRate(), process_->dividendYield(),
+             process_->s0(), v0(), 
+             kappa(), theta(), sigma(), rho(),
+             lambda(), nu(), delta()));
+    }
 
     BatesDetJumpModel::BatesDetJumpModel(
-            const boost::shared_ptr<HestonProcess> & process,
-            Real lambda, Real nu, Real delta,
+            const boost::shared_ptr<BatesProcess> & process,
             Real kappaLambda, Real thetaLambda)
-    : BatesModel(process, lambda, nu, delta) {
+    : BatesModel(process) {
         arguments_.resize(10);
 
         arguments_[8] =
diff --git a/ql/models/equity/batesmodel.hpp b/ql/models/equity/batesmodel.hpp
index 6b57b5d8c6..70f19b9513 100644
--- a/ql/models/equity/batesmodel.hpp
+++ b/ql/models/equity/batesmodel.hpp
@@ -24,6 +24,7 @@
 #ifndef quantlib_bates_model_hpp
 #define quantlib_bates_model_hpp
 
+#include <ql/processes/batesprocess.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 
 namespace QuantLib {
@@ -41,20 +42,21 @@ namespace QuantLib {
     */
     class BatesModel : public HestonModel {
       public:
-        BatesModel(const boost::shared_ptr<HestonProcess> & process,
-                   Real lambda = 0.1, Real nu = 0.0, Real delta = 0.1);
+        BatesModel(const boost::shared_ptr<BatesProcess> & process);
 
         Real nu()     const { return arguments_[5](0.0); }
         Real delta()  const { return arguments_[6](0.0); }
         Real lambda() const { return arguments_[7](0.0); }
+
+      protected:
+        void generateArguments();
     };
 
 
     class BatesDetJumpModel : public BatesModel {
       public:
         BatesDetJumpModel(
-            const boost::shared_ptr<HestonProcess> & process,
-            Real lambda = 0.1, Real nu = 0.0, Real delta = 0.1,
+            const boost::shared_ptr<BatesProcess> & process,
             Real kappaLambda = 1.0, Real thetaLambda = 0.1);
 
         Real kappaLambda() const { return arguments_[8](0.0); }
diff --git a/test-suite/batesmodel.cpp b/test-suite/batesmodel.cpp
index aca52d9987..c1f50dea4a 100644
--- a/test-suite/batesmodel.cpp
+++ b/test-suite/batesmodel.cpp
@@ -33,6 +33,7 @@
 #include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
+#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
 #include <ql/models/equity/batesmodel.hpp>
 #include <ql/models/equity/hestonmodelhelper.hpp>
 #include <ql/time/period.hpp>
@@ -86,15 +87,18 @@ void BatesModelTest::testAnalyticVsBlack() {
     const Real theta = 0.05;
     const Real sigma = 1.0e-4;
     const Real rho = 0.0;
+    const Real lambda = 0.0001;
+    const Real nu = 0.0; 
+    const Real delta = 0.0001;
 
     VanillaOption option(payoff, exercise);
 
-    boost::shared_ptr<HestonProcess> process(new HestonProcess(
-        riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
+    boost::shared_ptr<BatesProcess> process(
+        new BatesProcess(riskFreeTS, dividendTS, s0, v0, 
+                         kappa, theta, sigma, rho, lambda, nu, delta));
 
     boost::shared_ptr<PricingEngine> engine(new BatesEngine(
-        boost::shared_ptr<BatesModel>(
-            new BatesModel(process, 0.0001, 0, 0.0001)), 64));
+        boost::shared_ptr<BatesModel>(new BatesModel(process)), 64));
 
     option.setPricingEngine(engine);
     Real calculated = option.NPV();
@@ -112,8 +116,7 @@ void BatesModelTest::testAnalyticVsBlack() {
 
     engine = boost::shared_ptr<PricingEngine>(new BatesDetJumpEngine(
         boost::shared_ptr<BatesDetJumpModel>(
-            new BatesDetJumpModel(
-                process, 0.0001, 0.0, 0.0001, 1.0, 0.0001)), 64));
+            new BatesDetJumpModel( process, 1.0, 0.0001)), 64));
 
     option.setPricingEngine(engine);
     calculated = option.NPV();
@@ -212,11 +215,7 @@ void BatesModelTest::testAnalyticAndMcVsJumpDiffusion() {
                             Handle<Quote>(jumpVol)));
 
     boost::shared_ptr<PricingEngine> batesEngine(new BatesEngine(
-        boost::shared_ptr<BatesModel>(
-            new BatesModel(batesProcess,
-                           batesProcess->lambda(),
-                           batesProcess->nu(),
-                           batesProcess->delta())), 160));
+        boost::shared_ptr<BatesModel>(new BatesModel(batesProcess)), 160));
 
     const Real mcTol = 0.1;
     boost::shared_ptr<PricingEngine> mcBatesEngine =
@@ -271,6 +270,33 @@ void BatesModelTest::testAnalyticAndMcVsJumpDiffusion() {
     }
 }
 
+namespace {
+    struct HestonModelData {
+        const char* const name;
+        Real v0;
+        Real kappa;
+        Real theta;
+        Real sigma;
+        Real rho;
+        Real r;
+        Real q;
+    };
+    
+    HestonModelData hestonModels[] = {
+        // ADI finite difference schemes for option pricing in the 
+        // Heston model with correlation, K.J. in t'Hout and S. Foulon,
+        {"'t Hout case 1", 0.04, 1.5, 0.04, 0.3, -0.9, 0.025, 0.0},
+        // Efficient numerical methods for pricing American options under 
+        // stochastic volatility, Samuli Ikonen and Jari Toivanen,
+        {"Ikonen-Toivanen", 0.0625, 5, 0.16, 0.9, 0.1, 0.1, 0.0},
+        // Not-so-complex logarithms in the Heston model, 
+        // Christian Kahl and Peter Jäckel
+        {"Kahl-Jaeckel", 0.16, 1.0, 0.16, 2.0, -0.8, 0.0, 0.0},
+        // self defined test cases
+        {"Equity case", 0.07, 2.0, 0.04, 0.55, -0.8, 0.03, 0.035 },
+    };
+}
+
 void BatesModelTest::testAnalyticVsMCPricing() {
     BOOST_MESSAGE("Testing analytic Bates engine against Monte-Carlo "
                   "engine...");
@@ -287,44 +313,68 @@ void BatesModelTest::testAnalyticVsMCPricing() {
                                    new PlainVanillaPayoff(Option::Put, 100));
     boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
 
-    Handle<YieldTermStructure> riskFreeTS(flatRate(0.04, dayCounter));
-    Handle<YieldTermStructure> dividendTS(flatRate(0.0, dayCounter));
-    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100)));
-    boost::shared_ptr<BatesProcess> batesProcess(new BatesProcess(
-                   riskFreeTS, dividendTS, s0,
-                   0.0776, 1.88, 0.0919, 0.6526, -0.9549, 2, -0.2, 0.25));
-
-    const Real tolerance = 0.25;
-    boost::shared_ptr<PricingEngine> mcEngine =
-            MakeMCEuropeanHestonEngine<PseudoRandom>(batesProcess)
-            .withStepsPerYear(10)
-            .withAntitheticVariate()
-            .withAbsoluteTolerance(tolerance)
-            .withSeed(1234);
-
-    boost::shared_ptr<PricingEngine> analyticEngine(new BatesEngine(
-        boost::shared_ptr<BatesModel>(
-            new BatesModel(batesProcess,
-                           batesProcess->lambda(),
-                           batesProcess->nu(),
-                           batesProcess->delta())), 160));
-
-    VanillaOption option(payoff, exercise);
-
-    option.setPricingEngine(mcEngine);
-    const Real calculated = option.NPV();
-
-    option.setPricingEngine(analyticEngine);
-    const Real expected = option.NPV();
-
-    const Real mcError = std::fabs(calculated - expected);
-    if (mcError > 3*tolerance) {
-        BOOST_FAIL("failed to reproduce Monte-Carlo price for BatesEngine"
-                   << QL_FIXED << std::setprecision(8)
-                   << "\n    calculated: " << calculated
-                   << "\n    expected:   " << expected
-                   << "\n    error: "      << mcError
-                   << "\n    tolerance:  " << tolerance);
+    
+    for (Size i=0; i < LENGTH(hestonModels); ++i) { 
+        Handle<YieldTermStructure> riskFreeTS(flatRate(hestonModels[i].r, 
+                                                       dayCounter));
+        Handle<YieldTermStructure> dividendTS(flatRate(hestonModels[i].q, 
+                                                       dayCounter));
+        Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100)));
+
+        boost::shared_ptr<BatesProcess> batesProcess(new BatesProcess(
+                       riskFreeTS, dividendTS, s0,
+                       hestonModels[i].v0, 
+                       hestonModels[i].kappa, 
+                       hestonModels[i].theta, 
+                       hestonModels[i].sigma, 
+                       hestonModels[i].rho, 2.0, -0.2, 0.1));
+    
+        const Real mcTolerance = 0.5;
+        boost::shared_ptr<PricingEngine> mcEngine =
+                MakeMCEuropeanHestonEngine<PseudoRandom>(batesProcess)
+                .withStepsPerYear(20)
+                .withAntitheticVariate()
+                .withAbsoluteTolerance(mcTolerance)
+                .withSeed(1234);
+    
+        boost::shared_ptr<BatesModel> batesModel(new BatesModel(batesProcess));    
+        
+        boost::shared_ptr<PricingEngine> fdEngine(
+                            new FdBatesVanillaEngine(batesModel, 50, 100, 30));
+    
+        boost::shared_ptr<PricingEngine> analyticEngine(
+                                             new BatesEngine(batesModel, 160));
+    
+        VanillaOption option(payoff, exercise);
+    
+        option.setPricingEngine(mcEngine);
+        const Real calculated = option.NPV();
+    
+        option.setPricingEngine(analyticEngine);
+        const Real expected = option.NPV();
+    
+        option.setPricingEngine(fdEngine);
+        const Real fdCalculated = option.NPV();
+        
+        const Real mcError = std::fabs(calculated - expected);
+        if (mcError > 3*mcTolerance) {
+            BOOST_FAIL("failed to reproduce Monte-Carlo price for BatesEngine"
+                       << QL_FIXED << std::setprecision(8)
+                       << "\n    calculated: " << calculated
+                       << "\n    expected:   " << expected
+                       << "\n    error: "      << mcError
+                       << "\n    tolerance:  " << mcTolerance);
+        }
+        const Real fdTolerance = 0.2;
+        const Real fdError = std::fabs(fdCalculated - expected);
+        if (fdError > fdTolerance) {
+            BOOST_FAIL("failed to PIDE price for BatesEngine"
+                       << QL_FIXED << std::setprecision(8)
+                       << "\n    calculated: " << calculated
+                       << "\n    expected:   " << expected
+                       << "\n    error: "      << fdError
+                       << "\n    tolerance:  " << fdTolerance);
+        }
     }
 }
 
@@ -394,12 +444,15 @@ void BatesModelTest::testDAXCalibration() {
     const Real theta = v0;
     const Real sigma = 1.0;
     const Real rho = 0.0;
+    const Real lambda = 1.1098;
+    const Real nu = -0.1285;
+    const Real delta = 0.1702;
 
-    boost::shared_ptr<HestonProcess> process(new HestonProcess(
-        riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
+    boost::shared_ptr<BatesProcess> process(
+        new BatesProcess(riskFreeTS, dividendTS, s0, v0, 
+                         kappa, theta, sigma, rho, lambda, nu, delta));
 
-    boost::shared_ptr<BatesModel> batesModel(
-        new BatesModel(process,1.1098, -0.1285, 0.1702));
+    boost::shared_ptr<BatesModel> batesModel(new BatesModel(process));
 
     boost::shared_ptr<PricingEngine> batesEngine(
                                             new BatesEngine(batesModel, 64));
@@ -438,27 +491,29 @@ void BatesModelTest::testDAXCalibration() {
                     << "\n    expected:   " << expected);
 
     //check pricing of derived engines
-
-    // reset process
-    process = boost::shared_ptr<HestonProcess>(new HestonProcess(
-        riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
-
     std::vector<boost::shared_ptr<PricingEngine> > pricingEngines;
+    
+    process = boost::shared_ptr<BatesProcess>(
+        new BatesProcess(riskFreeTS, dividendTS, s0, v0, 
+                         kappa, theta, sigma, rho, 1.0, -0.1, 0.1));
 
     pricingEngines.push_back(boost::shared_ptr<PricingEngine>(
         new BatesDetJumpEngine(
             boost::shared_ptr<BatesDetJumpModel>(
-                             new BatesDetJumpModel(process, 1, -0.1)), 64)) );
+                             new BatesDetJumpModel(process)), 64)) );
+
+    boost::shared_ptr<HestonProcess> hestonProcess(new HestonProcess(
+                    riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
 
     pricingEngines.push_back(boost::shared_ptr<PricingEngine>(
         new BatesDoubleExpEngine(
             boost::shared_ptr<BatesDoubleExpModel>(
-                               new BatesDoubleExpModel(process, 1.0)), 64)) );
+                         new BatesDoubleExpModel(hestonProcess, 1.0)), 64)) );
 
     pricingEngines.push_back(boost::shared_ptr<PricingEngine>(
         new BatesDoubleExpDetJumpEngine(
             boost::shared_ptr<BatesDoubleExpDetJumpModel>(
-                        new BatesDoubleExpDetJumpModel(process, 1.0)), 64)) );
+                    new BatesDoubleExpDetJumpModel(hestonProcess, 1.0)), 64)) );
 
     Real expectedValues[] = { 5896.37,
                               5499.29,
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index baa10ad085..a4bfabc2e2 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -621,7 +621,7 @@ void FdmLinearOpTest::testFdmHestonBarrier() {
 
     std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet;
     bcSet.push_back(boost::shared_ptr<FdmDirichletBoundary>(
-        new FdmDirichletBoundary(mesher->layout(), 0.0, 0,
+        new FdmDirichletBoundary(mesher, 0.0, 0,
                                  FdmDirichletBoundary::Upper)));
 
     const Real theta=0.5+std::sqrt(3.0)/6.;

From 4a1bc25cea79377cb1795f8b3a411d17335a015d Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 1 Dec 2010 17:14:08 +0000
Subject: [PATCH 116/410] Updated Windows projects.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17527 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 82 ++++++++++++++++++++++++++++++++++-
 QuantLib_vc10.vcxproj         |  8 ++++
 QuantLib_vc10.vcxproj.filters | 24 ++++++++++
 QuantLib_vc7.vcproj           | 24 ++++++++++
 QuantLib_vc8.vcproj           | 32 ++++++++++++++
 QuantLib_vc9.vcproj           | 32 ++++++++++++++
 6 files changed, 201 insertions(+), 1 deletion(-)

diff --git a/QuantLib.dev b/QuantLib.dev
index 547c164be3..c3aa0a52c5 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1702
+UnitCount=1710
 Type=2
 Ver=1
 ObjFiles=
@@ -17066,3 +17066,83 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1703]
+FileName=ql\experimental\finitedifferences\fdbatesvanillaengine.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1704]
+FileName=ql\experimental\finitedifferences\fdbatesvanillaengine.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1705]
+FileName=ql\experimental\finitedifferences\fdmbatesop.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1706]
+FileName=ql\experimental\finitedifferences\fdmbatesop.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1707]
+FileName=ql\experimental\finitedifferences\fdmbatessolver.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1708]
+FileName=ql\experimental\finitedifferences\fdmbatessolver.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1709]
+FileName=ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1710]
+FileName=ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 46122e6009..0657de9f35 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1113,6 +1113,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\douglasscheme.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\expliciteulerscheme.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdbatesvanillaengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesasianengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesbarrierengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesrebateengine.hpp" />
@@ -1127,6 +1128,8 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmamericanstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbatesop.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbatessolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.hpp" />
@@ -1136,6 +1139,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmdividendhandler.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp" />
@@ -1844,6 +1848,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\douglasscheme.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\expliciteulerscheme.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdbatesvanillaengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesasianengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesbarrierengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesrebateengine.cpp" />
@@ -1857,6 +1862,8 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmamericanstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbatesop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbatessolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.cpp" />
@@ -1866,6 +1873,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmdividendhandler.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 5317dd7b92..7dece9f5cc 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2895,6 +2895,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdbatesvanillaengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesasianengine.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -2937,6 +2940,12 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbatesop.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmbatessolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -2964,6 +2973,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonop.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -5006,6 +5018,9 @@
     <ClCompile Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdbatesvanillaengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdblackscholesasianengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5045,6 +5060,12 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmbackwardsolver.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbatesop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmbatessolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5072,6 +5093,9 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonop.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 3e636c3bec..5bad71c075 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1142,6 +1142,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp">
 				</File>
@@ -1223,6 +1229,18 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp">
 				</File>
@@ -1277,6 +1295,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 97d2569320..fff1e7b0cd 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -5938,6 +5938,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp"
 					>
@@ -6046,6 +6054,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp"
 					>
@@ -6118,6 +6142,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 7731dd3ef5..defb689033 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6731,6 +6731,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp"
 					>
@@ -6839,6 +6847,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp"
 					>
@@ -6911,6 +6935,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
 					>

From 3e3965f42b8ecc42d08cbbcefe6529454054ba53 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 2 Dec 2010 11:52:43 +0000
Subject: [PATCH 117/410] Updated all.hpp file.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17528 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/all.hpp | 4 ++++
 1 file changed, 4 insertions(+)

diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 1998bd2104..93d8df7181 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -8,6 +8,7 @@
 #include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
 #include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
@@ -22,6 +23,8 @@
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
@@ -31,6 +34,7 @@
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>

From 5d1bb6beafce1912a6674be0640263a5dd16ea58 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 2 Dec 2010 11:52:58 +0000
Subject: [PATCH 118/410] Replaced previous formula with simpler Taylor
 expansion.

The new formula is more easily verifiable and yields values
which are not noticeably different.

Thanks to Eduardo Alonso for the contribution.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17529 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/volatility/sabr.cpp | 5 +----
 1 file changed, 1 insertion(+), 4 deletions(-)

diff --git a/ql/termstructures/volatility/sabr.cpp b/ql/termstructures/volatility/sabr.cpp
index 68a9941c73..0161bbe2ae 100644
--- a/ql/termstructures/volatility/sabr.cpp
+++ b/ql/termstructures/volatility/sabr.cpp
@@ -61,10 +61,7 @@ namespace QuantLib {
         if (std::fabs(z*z)>QL_EPSILON * m)
             multiplier = z/xx;
         else {
-            Real alpha = (0.5-rho*rho)/(1.0-rho);
-            Real beta = alpha - .5;
-            Real gamma = rho/(1-rho);
-            multiplier = 1.0 - beta*z + (gamma - alpha + beta*beta*.5)*z*z;
+            multiplier = 1.0 - 0.5*rho*z - (3.0*rho*rho-2.0)*z*z/12.0;
         }
         return (alpha/D)*multiplier*d;
     }

From a6a9f4802c79a88af3d07ab664d4c900e225c193 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 2 Dec 2010 17:31:25 +0000
Subject: [PATCH 119/410] fixed default floatingDayCounter handling

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17531 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 16 +++++++++++-----
 1 file changed, 11 insertions(+), 5 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 271b490a19..723ff000b3 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -82,11 +82,17 @@ namespace QuantLib {
         if (!parSwap_)
             notional *= dirtyPrice/100.0;
 
-        legs_[1] = IborLeg(schedule, index)
-            .withNotionals(notional)
-            .withPaymentDayCounter(floatingDayCounter)
-            .withPaymentAdjustment(paymentAdjustment)
-            .withSpreads(spread);
+        if (floatingDayCounter==DayCounter())
+            legs_[1] = IborLeg(schedule, index)
+                .withNotionals(notional)
+                .withPaymentAdjustment(paymentAdjustment)
+                .withSpreads(spread);
+        else
+            legs_[1] = IborLeg(schedule, index)
+                .withNotionals(notional)
+                .withPaymentDayCounter(floatingDayCounter)
+                .withPaymentAdjustment(paymentAdjustment)
+                .withSpreads(spread);
 
         for (Leg::const_iterator i=legs_[1].begin(); i<legs_[1].end(); ++i)
             registerWith(*i);

From 1e900fc3fa7ade7386f092da2fc79dd5df0de02d Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 3 Dec 2010 16:38:00 +0000
Subject: [PATCH 120/410] Added inspector for discounting curve (thanks to
 Peter Caspers.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17532 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Contributors.txt         | 1 +
 Docs/pages/authors.docs  | 1 +
 ql/indexes/swapindex.cpp | 4 ++++
 ql/indexes/swapindex.hpp | 1 +
 4 files changed, 7 insertions(+)

diff --git a/Contributors.txt b/Contributors.txt
index 334b3c4293..4d09f8c6e9 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -23,6 +23,7 @@ David Binderman
 Theo Boafo
 Fakher Braham
 Joe Byers
+Peter Caspers
 Antoine Cellerier
 Yee Man Chan
 Aurelien Chanudet
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index c0bd1f4481..36b4e0e4d8 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -61,6 +61,7 @@
     Theo Boafo,
     Fakher Braham,
     Joe Byers,
+    Peter Caspers,
     Antoine Cellerier,
     Yee Man Chan,
     Aurelien Chanudet,
diff --git a/ql/indexes/swapindex.cpp b/ql/indexes/swapindex.cpp
index c444a8556b..19694d0b59 100644
--- a/ql/indexes/swapindex.cpp
+++ b/ql/indexes/swapindex.cpp
@@ -71,6 +71,10 @@ namespace QuantLib {
         return iborIndex_->forwardingTermStructure();
     }
 
+    Handle<YieldTermStructure> SwapIndex::discountingTermStructure() const {
+        return discount_;  // empty if not exogenous
+    }
+
     Rate SwapIndex::forecastFixing(const Date& fixingDate) const {
         return underlyingSwap(fixingDate)->fairRate();
     }
diff --git a/ql/indexes/swapindex.hpp b/ql/indexes/swapindex.hpp
index 91b84b4abb..929d60fe37 100644
--- a/ql/indexes/swapindex.hpp
+++ b/ql/indexes/swapindex.hpp
@@ -68,6 +68,7 @@ namespace QuantLib {
         BusinessDayConvention fixedLegConvention() const;
         boost::shared_ptr<IborIndex> iborIndex() const { return iborIndex_; }
         Handle<YieldTermStructure> forwardingTermStructure() const;
+        Handle<YieldTermStructure> discountingTermStructure() const;
         bool exogenousDiscount() const;
         /*! \warning Relinking the term structure underlying the index will
                      not have effect on the returned swap.

From c13eb3f63f1a55324212bf178a791cb726672084 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 3 Dec 2010 16:38:20 +0000
Subject: [PATCH 121/410] If available, use discounting curve when creating
 indexes.

Thanks to Peter Caspers.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17533 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../volatility/swaption/swaptionvolcube.cpp   | 71 +++++++++++++------
 1 file changed, 51 insertions(+), 20 deletions(-)

diff --git a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
index 1dde813685..784477787e 100644
--- a/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
+++ b/ql/termstructures/volatility/swaption/swaptionvolcube.cpp
@@ -97,26 +97,57 @@ namespace QuantLib {
                                            const Period& swapTenor) const {
 
         // FIXME use a familyName-based index factory
-        if (swapTenor>shortSwapIndexBase_->tenor())
-            return SwapIndex(swapIndexBase_->familyName(),
-                             swapTenor,
-                             swapIndexBase_->fixingDays(),
-                             swapIndexBase_->currency(),
-                             swapIndexBase_->fixingCalendar(),
-                             swapIndexBase_->fixedLegTenor(),
-                             swapIndexBase_->fixedLegConvention(),
-                             swapIndexBase_->dayCounter(),
-                             swapIndexBase_->iborIndex()).fixing(optionD);
-        else
-            return SwapIndex(shortSwapIndexBase_->familyName(),
-                             swapTenor,
-                             shortSwapIndexBase_->fixingDays(),
-                             shortSwapIndexBase_->currency(),
-                             shortSwapIndexBase_->fixingCalendar(),
-                             shortSwapIndexBase_->fixedLegTenor(),
-                             shortSwapIndexBase_->fixedLegConvention(),
-                             shortSwapIndexBase_->dayCounter(),
-                             shortSwapIndexBase_->iborIndex()).fixing(optionD);
+        if (swapTenor > shortSwapIndexBase_->tenor()) {
+            if (swapIndexBase_->exogenousDiscount()) {
+                return SwapIndex(swapIndexBase_->familyName(),
+                                 swapTenor,
+                                 swapIndexBase_->fixingDays(),
+                                 swapIndexBase_->currency(),
+                                 swapIndexBase_->fixingCalendar(),
+                                 swapIndexBase_->fixedLegTenor(),
+                                 swapIndexBase_->fixedLegConvention(),
+                                 swapIndexBase_->dayCounter(),
+                                 swapIndexBase_->iborIndex(),
+                                 swapIndexBase_->discountingTermStructure())
+                    .fixing(optionD);
+            } else {
+                return SwapIndex(swapIndexBase_->familyName(),
+                                 swapTenor,
+                                 swapIndexBase_->fixingDays(),
+                                 swapIndexBase_->currency(),
+                                 swapIndexBase_->fixingCalendar(),
+                                 swapIndexBase_->fixedLegTenor(),
+                                 swapIndexBase_->fixedLegConvention(),
+                                 swapIndexBase_->dayCounter(),
+                                 swapIndexBase_->iborIndex())
+                    .fixing(optionD);
+            }
+        } else {
+            if (shortSwapIndexBase_->exogenousDiscount()) {
+                return SwapIndex(shortSwapIndexBase_->familyName(),
+                                 swapTenor,
+                                 shortSwapIndexBase_->fixingDays(),
+                                 shortSwapIndexBase_->currency(),
+                                 shortSwapIndexBase_->fixingCalendar(),
+                                 shortSwapIndexBase_->fixedLegTenor(),
+                                 shortSwapIndexBase_->fixedLegConvention(),
+                                 shortSwapIndexBase_->dayCounter(),
+                                 shortSwapIndexBase_->iborIndex(),
+                                 shortSwapIndexBase_->discountingTermStructure())
+                    .fixing(optionD);
+            } else {
+                return SwapIndex(shortSwapIndexBase_->familyName(),
+                                 swapTenor,
+                                 shortSwapIndexBase_->fixingDays(),
+                                 shortSwapIndexBase_->currency(),
+                                 shortSwapIndexBase_->fixingCalendar(),
+                                 shortSwapIndexBase_->fixedLegTenor(),
+                                 shortSwapIndexBase_->fixedLegConvention(),
+                                 shortSwapIndexBase_->dayCounter(),
+                                 shortSwapIndexBase_->iborIndex())
+                    .fixing(optionD);
+            }
+        }
     }
 
 }

From 0b7e77f035e41ca19b598551b75e262c60477300 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Dec 2010 10:49:54 +0000
Subject: [PATCH 122/410] Fixed SVN properties

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17541 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../products/multistep/multisteptarn.cpp      | 232 +++++++++---------
 .../products/multistep/multisteptarn.hpp      | 144 +++++------
 2 files changed, 188 insertions(+), 188 deletions(-)

diff --git a/ql/models/marketmodels/products/multistep/multisteptarn.cpp b/ql/models/marketmodels/products/multistep/multisteptarn.cpp
index 18a8e76023..780eed3cf3 100644
--- a/ql/models/marketmodels/products/multistep/multisteptarn.cpp
+++ b/ql/models/marketmodels/products/multistep/multisteptarn.cpp
@@ -1,116 +1,116 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Mark Joshi
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-#include <ql/models/marketmodels/products/multistep/multisteptarn.hpp>
-
-#include <ql/models/marketmodels/curvestate.hpp>
-#include <ql/models/marketmodels/utilities.hpp>
-#include <cmath>
-
-namespace QuantLib {
-
-    MultiStepTarn::MultiStepTarn(const std::vector<Time>& rateTimes,
-                         const std::vector<Real>& accruals,
-                         const std::vector<Real>& accrualsFloating,                         
-                         const std::vector<Time>& paymentTimes,
-                         const std::vector<Time>& paymentTimesFloating,
-                         Real totalCoupon,
-                         const std::vector<Real>& strikes,
-                         const std::vector<Real>& multipliers,
-                         const std::vector<Real>& floatingSpreads)
-    : MultiProductMultiStep(rateTimes),
-      accruals_(accruals), accrualsFloating_(accrualsFloating), paymentTimes_(paymentTimes),paymentTimesFloating_(paymentTimesFloating),allPaymentTimes_(paymentTimes),
-      totalCoupon_(totalCoupon), strikes_(strikes), multipliers_(multipliers), floatingSpreads_(floatingSpreads)
-    {
-        QL_REQUIRE(accruals_.size()+1 == rateTimes.size(), "missized accruals in MultiStepTARN");
-        QL_REQUIRE(accrualsFloating.size()+1 == rateTimes.size(), "missized accrualsFloating in MultiStepTARN");
-        QL_REQUIRE(paymentTimes.size()+1 == rateTimes.size(), "missized paymentTimes in MultiStepTARN");
-        QL_REQUIRE(paymentTimesFloating.size()+1 == rateTimes.size(), "missized paymentTimesFloating in MultiStepTARN");
-        QL_REQUIRE(strikes.size()+1 == rateTimes.size(), "missized strikes in MultiStepTARN");
-        QL_REQUIRE(floatingSpreads.size()+1 == rateTimes.size(), "missized floatingSpreads in MultiStepTARN");
-
-        lastIndex_ = accruals.size();
-
-        for (Size i=0; i < paymentTimesFloating_.size(); ++i)
-            allPaymentTimes_.push_back(paymentTimes[i]);
-
-
-    }
-
-    bool MultiStepTarn::nextTimeStep(
-            const CurveState& currentState,
-            std::vector<Size>& numberCashFlowsThisStep,
-            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
-                                                                 genCashFlows)
-    {
-        Rate liborRate = currentState.forwardRate(currentIndex_);
-        
-        numberCashFlowsThisStep[0] =2;
-        
-        genCashFlows[0][0].amount = (liborRate+floatingSpreads_[currentIndex_])*accrualsFloating_[currentIndex_];
-        genCashFlows[0][0].timeIndex = lastIndex_ + currentIndex_;
-
-        genCashFlows[0][1].timeIndex =  currentIndex_;
-
-        Real obviousCoupon = std::max(strikes_[currentIndex_] - multipliers_[currentIndex_]*liborRate,0.0)*accruals_[currentIndex_];
-
-        couponPaid_+= obviousCoupon;
-
-        ++currentIndex_;
-
-        if (couponPaid_ < totalCoupon_ && currentIndex_ < lastIndex_ )
-        {
-              genCashFlows[0][1].amount = -  obviousCoupon;
-              return false;
-        }
-
-        Real coupon = obviousCoupon +(totalCoupon_ -couponPaid_);
-        genCashFlows[0][1].amount = - coupon;
-
-        return true;
-    }
-
-    std::auto_ptr<MarketModelMultiProduct> MultiStepTarn::clone() const {
-        return std::auto_ptr<MarketModelMultiProduct>(
-                                                 new MultiStepTarn(*this));
-    }
-
-
-
-    std::vector<Time>
-    MultiStepTarn::possibleCashFlowTimes() const {
-        return allPaymentTimes_;
-    }
-
-   Size MultiStepTarn::numberOfProducts() const {
-        return 1;
-    }
-
-    Size
-    MultiStepTarn::maxNumberOfCashFlowsPerProductPerStep() const {
-        return 2;
-    }
-
-    void MultiStepTarn::reset() 
-    {
-       currentIndex_=0;
-       couponPaid_ = 0.0;
-    }
-
-}
-
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Mark Joshi
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+#include <ql/models/marketmodels/products/multistep/multisteptarn.hpp>
+
+#include <ql/models/marketmodels/curvestate.hpp>
+#include <ql/models/marketmodels/utilities.hpp>
+#include <cmath>
+
+namespace QuantLib {
+
+    MultiStepTarn::MultiStepTarn(const std::vector<Time>& rateTimes,
+                         const std::vector<Real>& accruals,
+                         const std::vector<Real>& accrualsFloating,                         
+                         const std::vector<Time>& paymentTimes,
+                         const std::vector<Time>& paymentTimesFloating,
+                         Real totalCoupon,
+                         const std::vector<Real>& strikes,
+                         const std::vector<Real>& multipliers,
+                         const std::vector<Real>& floatingSpreads)
+    : MultiProductMultiStep(rateTimes),
+      accruals_(accruals), accrualsFloating_(accrualsFloating), paymentTimes_(paymentTimes),paymentTimesFloating_(paymentTimesFloating),allPaymentTimes_(paymentTimes),
+      totalCoupon_(totalCoupon), strikes_(strikes), multipliers_(multipliers), floatingSpreads_(floatingSpreads)
+    {
+        QL_REQUIRE(accruals_.size()+1 == rateTimes.size(), "missized accruals in MultiStepTARN");
+        QL_REQUIRE(accrualsFloating.size()+1 == rateTimes.size(), "missized accrualsFloating in MultiStepTARN");
+        QL_REQUIRE(paymentTimes.size()+1 == rateTimes.size(), "missized paymentTimes in MultiStepTARN");
+        QL_REQUIRE(paymentTimesFloating.size()+1 == rateTimes.size(), "missized paymentTimesFloating in MultiStepTARN");
+        QL_REQUIRE(strikes.size()+1 == rateTimes.size(), "missized strikes in MultiStepTARN");
+        QL_REQUIRE(floatingSpreads.size()+1 == rateTimes.size(), "missized floatingSpreads in MultiStepTARN");
+
+        lastIndex_ = accruals.size();
+
+        for (Size i=0; i < paymentTimesFloating_.size(); ++i)
+            allPaymentTimes_.push_back(paymentTimes[i]);
+
+
+    }
+
+    bool MultiStepTarn::nextTimeStep(
+            const CurveState& currentState,
+            std::vector<Size>& numberCashFlowsThisStep,
+            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
+                                                                 genCashFlows)
+    {
+        Rate liborRate = currentState.forwardRate(currentIndex_);
+        
+        numberCashFlowsThisStep[0] =2;
+        
+        genCashFlows[0][0].amount = (liborRate+floatingSpreads_[currentIndex_])*accrualsFloating_[currentIndex_];
+        genCashFlows[0][0].timeIndex = lastIndex_ + currentIndex_;
+
+        genCashFlows[0][1].timeIndex =  currentIndex_;
+
+        Real obviousCoupon = std::max(strikes_[currentIndex_] - multipliers_[currentIndex_]*liborRate,0.0)*accruals_[currentIndex_];
+
+        couponPaid_+= obviousCoupon;
+
+        ++currentIndex_;
+
+        if (couponPaid_ < totalCoupon_ && currentIndex_ < lastIndex_ )
+        {
+              genCashFlows[0][1].amount = -  obviousCoupon;
+              return false;
+        }
+
+        Real coupon = obviousCoupon +(totalCoupon_ -couponPaid_);
+        genCashFlows[0][1].amount = - coupon;
+
+        return true;
+    }
+
+    std::auto_ptr<MarketModelMultiProduct> MultiStepTarn::clone() const {
+        return std::auto_ptr<MarketModelMultiProduct>(
+                                                 new MultiStepTarn(*this));
+    }
+
+
+
+    std::vector<Time>
+    MultiStepTarn::possibleCashFlowTimes() const {
+        return allPaymentTimes_;
+    }
+
+   Size MultiStepTarn::numberOfProducts() const {
+        return 1;
+    }
+
+    Size
+    MultiStepTarn::maxNumberOfCashFlowsPerProductPerStep() const {
+        return 2;
+    }
+
+    void MultiStepTarn::reset() 
+    {
+       currentIndex_=0;
+       couponPaid_ = 0.0;
+    }
+
+}
+
diff --git a/ql/models/marketmodels/products/multistep/multisteptarn.hpp b/ql/models/marketmodels/products/multistep/multisteptarn.hpp
index f7fa4aa011..e08cc02743 100644
--- a/ql/models/marketmodels/products/multistep/multisteptarn.hpp
+++ b/ql/models/marketmodels/products/multistep/multisteptarn.hpp
@@ -1,72 +1,72 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Mark Joshi
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-#ifndef quantlib_multistep_tarn_hpp
-#define quantlib_multistep_tarn_hpp
-
-#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
-
-namespace QuantLib {
-
-    class MultiStepTarn : public MultiProductMultiStep {
-      public:
-        MultiStepTarn(const std::vector<Time>& rateTimes,
-                         const std::vector<Real>& accruals,
-                         const std::vector<Real>& accrualsFloating,                         
-                         const std::vector<Time>& paymentTimes,
-                         const std::vector<Time>& paymentTimesFloating,
-                         Real totalCoupon,
-                         const std::vector<Real>& strikes,
-                         const std::vector<Real>& multipliers,
-                         const std::vector<Real>& floatingSpreads);
-        //! \name MarketModelMultiProduct interface
-        //@{
-        std::vector<Time> possibleCashFlowTimes() const;
-        Size numberOfProducts() const;
-        Size maxNumberOfCashFlowsPerProductPerStep() const;
-        void reset();
-        bool nextTimeStep(
-                     const CurveState& currentState,
-                     std::vector<Size>& numberCashFlowsThisStep,
-                     std::vector<std::vector<CashFlow> >& cashFlowsGenerated);
-        std::auto_ptr<MarketModelMultiProduct> clone() const;
-        //@}
-      private:
-        std::vector<Real> accruals_;
-        std::vector<Real> accrualsFloating_;
-        std::vector<Time> paymentTimes_;
-        std::vector<Time> paymentTimesFloating_;
-        std::vector<Time> allPaymentTimes_;
-        Real totalCoupon_;
-        std::vector<Real> strikes_;
-        std::vector<Real> multipliers_;
-        std::vector<Real> floatingSpreads_;
-        Size lastIndex_;
-      
-        // things that vary in a path
-        Real couponPaid_;
-        Size currentIndex_;
-    };
-
-
-
-
-}
-
-#endif
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Mark Joshi
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_multistep_tarn_hpp
+#define quantlib_multistep_tarn_hpp
+
+#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
+
+namespace QuantLib {
+
+    class MultiStepTarn : public MultiProductMultiStep {
+      public:
+        MultiStepTarn(const std::vector<Time>& rateTimes,
+                         const std::vector<Real>& accruals,
+                         const std::vector<Real>& accrualsFloating,                         
+                         const std::vector<Time>& paymentTimes,
+                         const std::vector<Time>& paymentTimesFloating,
+                         Real totalCoupon,
+                         const std::vector<Real>& strikes,
+                         const std::vector<Real>& multipliers,
+                         const std::vector<Real>& floatingSpreads);
+        //! \name MarketModelMultiProduct interface
+        //@{
+        std::vector<Time> possibleCashFlowTimes() const;
+        Size numberOfProducts() const;
+        Size maxNumberOfCashFlowsPerProductPerStep() const;
+        void reset();
+        bool nextTimeStep(
+                     const CurveState& currentState,
+                     std::vector<Size>& numberCashFlowsThisStep,
+                     std::vector<std::vector<CashFlow> >& cashFlowsGenerated);
+        std::auto_ptr<MarketModelMultiProduct> clone() const;
+        //@}
+      private:
+        std::vector<Real> accruals_;
+        std::vector<Real> accrualsFloating_;
+        std::vector<Time> paymentTimes_;
+        std::vector<Time> paymentTimesFloating_;
+        std::vector<Time> allPaymentTimes_;
+        Real totalCoupon_;
+        std::vector<Real> strikes_;
+        std::vector<Real> multipliers_;
+        std::vector<Real> floatingSpreads_;
+        Size lastIndex_;
+      
+        // things that vary in a path
+        Real couponPaid_;
+        Size currentIndex_;
+    };
+
+
+
+
+}
+
+#endif

From ec956c4fdcb22b53ed680699817b4587ae0100ae Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 12 Dec 2010 09:39:37 +0000
Subject: [PATCH 123/410] removed obsolete typedef

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17543 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp | 2 +-
 ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp | 8 +++-----
 2 files changed, 4 insertions(+), 6 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
index 6bdaac07fb..9643551a11 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
@@ -36,7 +36,7 @@ namespace QuantLib {
     FdmSimple2dBSSolver::FdmSimple2dBSSolver(
         const Handle<GeneralizedBlackScholesProcess>& process,
         const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmSimple2dBSSolver::BoundaryConditionSet& bcSet,
+        const FdmBoundaryConditionSet& bcSet,
         const boost::shared_ptr<FdmStepConditionComposite> & condition,
         const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
         Real strike,
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
index 0dbe7142a0..6b38b5f73b 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
@@ -27,6 +27,7 @@
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
@@ -39,13 +40,10 @@ namespace QuantLib {
 
     class FdmSimple2dBSSolver : LazyObject {
       public:
-        typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
-            BoundaryConditionSet;
-
         FdmSimple2dBSSolver(
             const Handle<GeneralizedBlackScholesProcess>& process,
             const boost::shared_ptr<FdmMesher>& mesher,
-            const BoundaryConditionSet & bcSet,
+            const FdmBoundaryConditionSet & bcSet,
             const boost::shared_ptr<FdmStepConditionComposite> & condition,
             const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
             Real strike,
@@ -64,7 +62,7 @@ namespace QuantLib {
       private:
         Handle<GeneralizedBlackScholesProcess> process_;
         const boost::shared_ptr<FdmMesher> mesher_;
-        const BoundaryConditionSet bcSet_;
+        const FdmBoundaryConditionSet bcSet_;
         const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
         const boost::shared_ptr<FdmStepConditionComposite> condition_;
         const Real strike_;

From cc682cd633bd2ee468e97dc8c15b62e200d08e26 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 12 Dec 2010 10:15:45 +0000
Subject: [PATCH 124/410] removed obsolete benchmark

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17544 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 6 ------
 1 file changed, 6 deletions(-)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index 17a9e9b420..a5a71bf68b 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -230,8 +230,6 @@ test_suite* init_unit_test_suite(int, char*[]) {
         &ConvertibleBondTest::testBond, 159.85));
     bm.push_back(Benchmark("DigitalOption::MCCashAtHit",
         &DigitalOptionTest::testMCCashAtHit,995.87));
-    bm.push_back(Benchmark("DividendOption::FdEuropeanValues",
-        &DividendOptionTest::testFdEuropeanValues, 992.12));
     bm.push_back(Benchmark("DividendOption::FdEuropeanGreeks",
         &DividendOptionTest::testFdEuropeanGreeks, 949.52));
     bm.push_back(Benchmark("DividendOption::FdAmericanGreeks",
@@ -246,10 +244,6 @@ test_suite* init_unit_test_suite(int, char*[]) {
         &EuropeanOptionTest::testPriceCurve, 414.76));
     bm.push_back(Benchmark("FdHestonTest::testFdmHestonAmerican",
         &FdHestonTest::testFdmHestonAmerican, 234.21));
-    bm.push_back(Benchmark("HestonModel::DAXCalibration",
-        &HestonModelTest::testDAXCalibration, 555.19));
-    bm.push_back(Benchmark("HestonModel::McVsCached",
-        &HestonModelTest::testMcVsCached, 150.04));
     bm.push_back(Benchmark("InterpolationTest::testSabrInterpolation",
         &InterpolationTest::testSabrInterpolation, 2266.06));
     bm.push_back(Benchmark("JumpDiffusion::Greeks",

From a79e98c764987797bcd4889441ead3791a32753f Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 12 Dec 2010 10:23:46 +0000
Subject: [PATCH 125/410] added Heston model calibration

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17545 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index a5a71bf68b..40dc94e69c 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -244,6 +244,8 @@ test_suite* init_unit_test_suite(int, char*[]) {
         &EuropeanOptionTest::testPriceCurve, 414.76));
     bm.push_back(Benchmark("FdHestonTest::testFdmHestonAmerican",
         &FdHestonTest::testFdmHestonAmerican, 234.21));
+    bm.push_back(Benchmark("HestonModel::DAXCalibration",
+        &HestonModelTest::testDAXCalibration, 555.19));
     bm.push_back(Benchmark("InterpolationTest::testSabrInterpolation",
         &InterpolationTest::testSabrInterpolation, 2266.06));
     bm.push_back(Benchmark("JumpDiffusion::Greeks",

From 9562c2d29ea15066613f232bef41b40260e3dfe5 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 12 Dec 2010 10:31:33 +0000
Subject: [PATCH 126/410] removed obsolete #include <iostream>

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17546 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/marketmodels/pathwiseaccountingengine.cpp | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/models/marketmodels/pathwiseaccountingengine.cpp b/ql/models/marketmodels/pathwiseaccountingengine.cpp
index 259e6e4303..095e0d0b46 100644
--- a/ql/models/marketmodels/pathwiseaccountingengine.cpp
+++ b/ql/models/marketmodels/pathwiseaccountingengine.cpp
@@ -24,7 +24,6 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #include <ql/models/marketmodels/curvestate.hpp>
 #include <ql/models/marketmodels/marketmodel.hpp>
 #include <algorithm>
-#include <iostream>
 
 namespace QuantLib {
 

From 1cf78b0ea9b5b7a412f7dee1e932cafd16e449c3 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Dec 2010 17:01:01 +0000
Subject: [PATCH 127/410] expanded error message

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17547 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/hybridhestonhullwhiteprocess.cpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index b46f7b442d..8f624f691d 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -1178,9 +1178,11 @@ void HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError() {
                 }
     
                 if (avgPriceDiff > tol[i]) {
-                     BOOST_ERROR("Failed to reproduce Heston prices"
-                             << "\n   scheme       : " << schemes[i].name
-                             << "\n   model        : " << hestonModels[j].name);                     
+                    BOOST_ERROR("\nFailed to reproduce Heston prices" <<
+                        "\n scheme    : " << schemes[i].name <<
+                        "\n model     : " << hestonModels[j].name <<
+                        "\n error     : " << avgPriceDiff <<
+                        "\n tolerance : " << tol[i]);
                 }
             }
         }

From 9b39a7fcf19972e82ab8b0106bce7562a0417d93 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Dec 2010 13:12:30 +0000
Subject: [PATCH 128/410] removed static data member of FdmSchemeDesc to avoid
 initialization hassle

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17548 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fd2dblackscholesvanillaengine.hpp         |  2 +-
 .../fdbatesvanillaengine.hpp                  |  2 +-
 .../fdblackscholesasianengine.hpp             |  2 +-
 .../fdblackscholesbarrierengine.hpp           |  2 +-
 .../fdblackscholesrebateengine.hpp            |  2 +-
 .../fdblackscholesvanillaengine.hpp           |  2 +-
 .../fdhestonbarrierengine.hpp                 |  2 +-
 .../fdhestonhullwhitevanillaengine.hpp        |  2 +-
 .../fdhestonrebateengine.hpp                  |  2 +-
 .../fdhestonvanillaengine.hpp                 |  2 +-
 .../fdm2dblackscholessolver.hpp               |  2 +-
 .../finitedifferences/fdmbackwardsolver.cpp   | 47 +++++++++++++------
 .../finitedifferences/fdmbackwardsolver.hpp   | 15 ++++--
 .../finitedifferences/fdmbatessolver.hpp      |  2 +-
 .../fdmblackscholessolver.hpp                 |  2 +-
 .../fdmhestonhullwhitesolver.hpp              |  2 +-
 .../finitedifferences/fdmhestonsolver.hpp     |  2 +-
 .../finitedifferences/fdmsimple2dbssolver.hpp |  2 +-
 test-suite/barrieroption.cpp                  |  2 +-
 test-suite/europeanoption.cpp                 |  2 +-
 test-suite/fdheston.cpp                       | 10 ++--
 test-suite/fdmlinearop.cpp                    |  2 +-
 test-suite/hybridhestonhullwhiteprocess.cpp   | 15 ++----
 23 files changed, 73 insertions(+), 52 deletions(-)

diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
index 532bf2cd8a..fe2d894847 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
@@ -47,7 +47,7 @@ namespace QuantLib {
                 Real correlation,
                 Size xGrid = 100, Size yGrid = 100, 
                 Size tGrid = 50, Size dampingSteps = 0,
-                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
index c1bb1037a1..8373cb5b9e 100644
--- a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
@@ -46,7 +46,7 @@ namespace QuantLib {
             const boost::shared_ptr<BatesModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         
         void calculate() const;
diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp b/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
index e8206ba07d..aed3cc583b 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
@@ -45,7 +45,7 @@ namespace QuantLib {
         FdBlackScholesAsianEngine(
                       const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
                       Size tGrid = 100, Size xGrid = 100, Size aGrid = 50,
-                      const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas);
+                      const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Douglas());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
index 45e3d1dddb..3f40e77386 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
@@ -49,7 +49,7 @@ namespace QuantLib {
           FdBlackScholesBarrierEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
                 bool localVol = false, 
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
index 827093305c..db89448084 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
@@ -45,7 +45,7 @@ namespace QuantLib {
           FdBlackScholesRebateEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
                 bool localVol = false, 
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
index 3b072c559e..ef5e3d6cdb 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
@@ -50,7 +50,7 @@ namespace QuantLib {
           FdBlackScholesVanillaEngine(
                 const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
                 Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
-                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
+                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
                 bool localVol = false,
                 Real illegalLocalVolOverwrite = -Null<Real>());
 
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
index 6d014c755b..209b90a41e 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
@@ -54,7 +54,7 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
index ee36e99a83..a3fd7ada30 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
@@ -55,7 +55,7 @@ namespace QuantLib {
             Size vGrid = 40, Size rGrid = 20,
             Size dampingSteps = 0,
             bool controlVariate = true,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp b/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
index 0b57188bfc..df72be014f 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
@@ -49,7 +49,7 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
index cf23c68b57..33b9acb7e0 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
@@ -51,7 +51,7 @@ namespace QuantLib {
             const boost::shared_ptr<HestonModel>& model,
             Size tGrid = 100, Size xGrid = 100, 
             Size vGrid = 50, Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
         
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
index 727e9ab287..06c359fe0a 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
@@ -53,7 +53,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         Real valueAt(Real x, Real y) const;
         Real thetaAt(Real x, Real y) const;
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp b/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
index 08f0e2ab30..b8484d20ce 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
@@ -34,20 +34,39 @@
 
 namespace QuantLib {
     
-    FdmSchemeDesc FdmSchemeDesc::Douglas 
-               = { FdmSchemeDesc::DouglasType, 0.5, 0.0 };
-    FdmSchemeDesc FdmSchemeDesc::CraigSneyd
-               = { FdmSchemeDesc::CraigSneydType,0.5, 0.5 };
-    FdmSchemeDesc FdmSchemeDesc::ModifiedCraigSneyd 
-               = { FdmSchemeDesc::ModifiedCraigSneydType, 1.0/3.0, 1.0/3.0 };
-    FdmSchemeDesc FdmSchemeDesc::Hundsdorfer
-               = { FdmSchemeDesc::HundsdorferType, 0.5+std::sqrt(3.0)/6, 0.5 };
-    FdmSchemeDesc FdmSchemeDesc::ModifiedHundsdorfer
-               = { FdmSchemeDesc::HundsdorferType, 1.0-std::sqrt(2.0)/2, 0.5 };
-    FdmSchemeDesc FdmSchemeDesc::ExplicitEuler
-               = { FdmSchemeDesc::ExplicitEulerType, 0.0, 0.0 };
-    FdmSchemeDesc FdmSchemeDesc::ImplicitEuler
-               = { FdmSchemeDesc::ImplicitEulerType, 0.0, 0.0 };
+    FdmSchemeDesc::FdmSchemeDesc(FdmSchemeType aType, Real aTheta, Real aMu)
+    : type(aType), theta(aTheta), mu(aMu) { }
+
+    FdmSchemeDesc FdmSchemeDesc::Douglas() { 
+        return FdmSchemeDesc(FdmSchemeDesc::DouglasType, 0.5, 0.0);
+    }
+    
+    FdmSchemeDesc FdmSchemeDesc::CraigSneyd() {
+        return FdmSchemeDesc(FdmSchemeDesc::CraigSneydType,0.5, 0.5);
+    }
+    
+    FdmSchemeDesc FdmSchemeDesc::ModifiedCraigSneyd() { 
+        return FdmSchemeDesc(FdmSchemeDesc::ModifiedCraigSneydType, 
+                             1.0/3.0, 1.0/3.0);
+    }
+    
+    FdmSchemeDesc FdmSchemeDesc::Hundsdorfer() {
+        return FdmSchemeDesc(FdmSchemeDesc::HundsdorferType, 
+                             0.5+std::sqrt(3.0)/6, 0.5);
+    }
+    
+    FdmSchemeDesc FdmSchemeDesc::ModifiedHundsdorfer() {
+        return FdmSchemeDesc(FdmSchemeDesc::HundsdorferType, 
+                             1.0-std::sqrt(2.0)/2, 0.5);
+    }
+    
+    FdmSchemeDesc FdmSchemeDesc::ExplicitEuler() {
+        return FdmSchemeDesc(FdmSchemeDesc::ExplicitEulerType, 0.0, 0.0);
+    }
+
+    FdmSchemeDesc FdmSchemeDesc::ImplicitEuler() {
+        return FdmSchemeDesc(FdmSchemeDesc::ImplicitEulerType, 0.0, 0.0);
+    }
 
     FdmBackwardSolver::FdmBackwardSolver(
         const boost::shared_ptr<FdmLinearOpComposite>& map,
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp b/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
index 7b1d45b407..49af1b6cfe 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
@@ -36,13 +36,20 @@ namespace QuantLib {
         enum FdmSchemeType { HundsdorferType, DouglasType, 
                              CraigSneydType, ModifiedCraigSneydType, 
                              ImplicitEulerType, ExplicitEulerType };
+
+        FdmSchemeDesc(FdmSchemeType type, Real theta, Real mu);
+
         const FdmSchemeType type;
         const Real theta, mu;
-        
+
         // some default scheme descriptions
-        static FdmSchemeDesc Douglas, ImplicitEuler, ExplicitEuler,
-                             CraigSneyd, ModifiedCraigSneyd, 
-                             Hundsdorfer, ModifiedHundsdorfer;
+        static FdmSchemeDesc Douglas();
+        static FdmSchemeDesc ImplicitEuler();
+        static FdmSchemeDesc ExplicitEuler();
+        static FdmSchemeDesc CraigSneyd();
+        static FdmSchemeDesc ModifiedCraigSneyd(); 
+        static FdmSchemeDesc Hundsdorfer();
+        static FdmSchemeDesc ModifiedHundsdorfer();
     };
         
     class FdmBackwardSolver {
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.hpp b/ql/experimental/finitedifferences/fdmbatessolver.hpp
index f384ac3ec2..f568f98106 100644
--- a/ql/experimental/finitedifferences/fdmbatessolver.hpp
+++ b/ql/experimental/finitedifferences/fdmbatessolver.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
             Size timeSteps,
             Size dampingSteps = 0,
             Size integroIntegrationOrder = 12,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
             const Handle<FdmQuantoHelper>& quantoHelper
                                                 = Handle<FdmQuantoHelper>());
         
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
index f35f4a0e3f..4d9c5b61c7 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
@@ -54,7 +54,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
             bool localVol = false,
             Real illegalLocalVolOverwrite = -Null<Real>());
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
index 0c5eb2875c..e52a54fa76 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
@@ -52,7 +52,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         Real valueAt(Real s, Real v, Rate r) const;
         Real thetaAt(Real s, Real v, Rate r) const;
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
index 3e6093ce17..61a3083981 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
@@ -52,7 +52,7 @@ namespace QuantLib {
             Time maturity,
             Size timeSteps,
             Size dampingSteps = 0,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
             const Handle<FdmQuantoHelper>& quantoHelper
                                                 = Handle<FdmQuantoHelper>());
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
index 6b38b5f73b..c4dd2fb9a2 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
@@ -49,7 +49,7 @@ namespace QuantLib {
             Real strike,
             Time maturity,
             Size timeSteps,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas);
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
 
         Real valueAt(Real s, Real a) const;
         Real deltaAt(Real s, Real a, Real eps) const;
diff --git a/test-suite/barrieroption.cpp b/test-suite/barrieroption.cpp
index 620a2c76df..98458423b2 100644
--- a/test-suite/barrieroption.cpp
+++ b/test-suite/barrieroption.cpp
@@ -652,7 +652,7 @@ void BarrierOptionTest::testLocalVolAndHestonComparison() {
     
     boost::shared_ptr<PricingEngine> fdLocalVolEngine(
                    new FdBlackScholesBarrierEngine(localVolProcess, 100, 400, 0,
-                                                   FdmSchemeDesc::Douglas, 
+                                                   FdmSchemeDesc::Douglas(), 
                                                    true, 0.35));
     
     const Real strike  = s0->value();
diff --git a/test-suite/europeanoption.cpp b/test-suite/europeanoption.cpp
index 4b4a9aab87..f09d4c2176 100644
--- a/test-suite/europeanoption.cpp
+++ b/test-suite/europeanoption.cpp
@@ -1532,7 +1532,7 @@ void EuropeanOptionTest::testLocalVolatility() {
             // delta/gamma are not the same by definition (model implied greeks)
             option.setPricingEngine(boost::shared_ptr<PricingEngine>(
                     new FdBlackScholesVanillaEngine(process, 25, 400, 0, 
-                                                    FdmSchemeDesc::Douglas, 
+                                                    FdmSchemeDesc::Douglas(), 
                                                     true, 0.35)));
             calculatedNPV = option.NPV();
             if (std::fabs(expectedNPV - calculatedNPV) > tol*expectedNPV) {
diff --git a/test-suite/fdheston.cpp b/test-suite/fdheston.cpp
index 009780dcd4..fa48fd4f36 100644
--- a/test-suite/fdheston.cpp
+++ b/test-suite/fdheston.cpp
@@ -420,7 +420,7 @@ void FdHestonTest::testFdmHestonBlackScholes() {
              new FdHestonVanillaEngine(boost::shared_ptr<HestonModel>(
                                            new HestonModel(hestonProcess)), 
                                        10000, 400, 5, 0, 
-                                       FdmSchemeDesc::ExplicitEuler)));
+                                       FdmSchemeDesc::ExplicitEuler())));
         
         calculated = option.NPV();
         if (std::fabs(calculated - expected) > tol) {
@@ -524,10 +524,10 @@ void FdHestonTest::testFdmHestonConvergence() {
         { 2.5   , 0.06  , 0.5   , -0.1   , 0.0507, 0.0469, 0.25, 100 }
     };
 
-    FdmSchemeDesc schemes[] = { FdmSchemeDesc::Hundsdorfer, 
-                                FdmSchemeDesc::ModifiedCraigSneyd,
-                                FdmSchemeDesc::ModifiedHundsdorfer, 
-                                FdmSchemeDesc::CraigSneyd };
+    FdmSchemeDesc schemes[] = { FdmSchemeDesc::Hundsdorfer(), 
+                                FdmSchemeDesc::ModifiedCraigSneyd(),
+                                FdmSchemeDesc::ModifiedHundsdorfer(), 
+                                FdmSchemeDesc::CraigSneyd() };
     
     Size tn[] = { 100 };
     Real v0[] = { 0.04 };
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index a4bfabc2e2..3389ebd551 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -1126,7 +1126,7 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
 
     FdmBackwardSolver solver(map, FdmBoundaryConditionSet(), 
                              boost::shared_ptr<FdmStepConditionComposite>(),
-                             FdmSchemeDesc::Douglas);
+                             FdmSchemeDesc::Douglas());
     solver.rollback(rhs, maturity, 0.0, csSteps, dampingSteps);
 
     MonotonicCubicNaturalSpline spline(x.begin(), x.end(), rhs.begin());
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index 8f624f691d..62c90117cb 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -991,11 +991,11 @@ namespace {
     };
         
     SchemeData schemes[] = {
-        { "HV2", FdmSchemeDesc::Hundsdorfer },
-        { "HV1", FdmSchemeDesc::ModifiedHundsdorfer },
-        { "CS" , FdmSchemeDesc::CraigSneyd },
-        { "MCS", FdmSchemeDesc::ModifiedCraigSneyd },
-        { "DS" , FdmSchemeDesc::Douglas }
+        { "HV2", FdmSchemeDesc::Hundsdorfer() },
+        { "HV1", FdmSchemeDesc::ModifiedHundsdorfer() },
+        { "CS" , FdmSchemeDesc::CraigSneyd() },
+        { "MCS", FdmSchemeDesc::ModifiedCraigSneyd() },
+        { "DS" , FdmSchemeDesc::Douglas() }
     };
 
     struct VanillaOptionData {
@@ -1004,11 +1004,6 @@ namespace {
         Option::Type optionType;
     };
 
-    struct FdHestonHullWhiteGrid {
-        const char* const name;
-        Size timeStepsPerYear, xGrid, vGrid, rGrid, dampingSteps;
-    };
-
     boost::shared_ptr<HestonProcess> makeHestonProcess(
                                              const HestonModelData& params) {
 

From 860c1e54250b2ad2674b3cb66e07ce19b227c271 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 16 Dec 2010 10:25:36 +0000
Subject: [PATCH 129/410] added finite difference pricing engine for a simple
 swing option based on the BS model.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17557 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   4 +
 ql/experimental/finitedifferences/all.hpp     |   2 +
 .../fdmsimpleswingcondition.cpp               |  77 +++++++++++
 .../fdmsimpleswingcondition.hpp               |  51 +++++++
 .../fdsimplebsswingengine.cpp                 | 127 ++++++++++++++++++
 .../fdsimplebsswingengine.hpp                 |  55 ++++++++
 ql/instruments/Makefile.am                    |   1 +
 ql/instruments/all.hpp                        |   1 +
 ql/instruments/vanillaswingoption.hpp         |  87 ++++++++++++
 9 files changed, 405 insertions(+)
 create mode 100644 ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
 create mode 100644 ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdsimplebsswingengine.hpp
 create mode 100644 ql/instruments/vanillaswingoption.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 61e644fdd0..86e683db56 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -20,6 +20,7 @@ this_include_HEADERS = \
 	fdhestonrebateengine.hpp \
 	fdhestonvanillaengine.hpp \
 	fdhestonhullwhitevanillaengine.hpp \
+    fdsimplebsswingengine.hpp \
 	fdm1dmesher.hpp \
 	fdm2dblackscholesop.hpp \
 	fdm2dblackscholessolver.hpp \
@@ -51,6 +52,7 @@ this_include_HEADERS = \
 	fdmmeshercomposite.hpp \
 	fdmquantohelper.hpp \
     fdmsimple2dbssolver.hpp \
+    fdmsimpleswingcondition.hpp \
 	fdmsnapshotcondition.hpp \
 	fdmstepconditioncomposite.hpp \
 	firstderivativeop.hpp \
@@ -82,6 +84,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdhestonrebateengine.cpp \
 	fdhestonvanillaengine.cpp \
 	fdhestonhullwhitevanillaengine.cpp \
+    fdsimplebsswingengine.cpp \
 	fdm2dblackscholesop.cpp \
 	fdm2dblackscholessolver.cpp \
 	fdmamericanstepcondition.cpp \
@@ -108,6 +111,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmmeshercomposite.cpp \
 	fdmquantohelper.cpp \
     fdmsimple2dbssolver.cpp \
+    fdmsimpleswingcondition.cpp \
 	fdmsnapshotcondition.cpp \
 	fdmstepconditioncomposite.cpp \
 	firstderivativeop.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 93d8df7181..900f612e43 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -17,6 +17,7 @@
 #include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
@@ -48,6 +49,7 @@
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
new file mode 100644
index 0000000000..99bea8de0b
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -0,0 +1,77 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
+
+namespace QuantLib {
+
+    FdmSimpleSwingCondition::FdmSimpleSwingCondition(
+            const std::vector<Time> & exerciseTimes,
+            const boost::shared_ptr<FdmMesher> & mesher,
+            const boost::shared_ptr<Payoff> & payoff,
+            Size equityDirection,
+            Size swingDirection)
+    : x_(mesher->layout()->dim()[0]),
+      exerciseTimes_(exerciseTimes), 
+      mesher_(mesher),
+      payoff_(payoff),
+      equityDirection_(equityDirection),
+      swingDirection_(swingDirection) {
+                
+        const Size xSpacing = mesher_->layout()->spacing()[equityDirection_];
+        Array tmp = mesher_->locations(equityDirection_);
+        for (Size i = 0; i < x_.size(); ++i) {
+            x_[i] = std::exp(tmp[i*xSpacing]);
+        }
+    }
+    
+    void FdmSimpleSwingCondition::applyTo(Array& a, Time t) const {
+        Array retVal = a;
+        
+        const std::vector<Time>::const_iterator iter
+            = std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
+        
+        if (iter != exerciseTimes_.end()) {    
+            const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
+            const FdmLinearOpIterator endIter = layout->end();
+            
+            for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+                 ++iter) {
+                
+                const std::vector<Size>& coor = iter.coordinates();
+                
+                const Real x = x_[coor[equityDirection_]];
+                const Size exerciseValue = coor[swingDirection_];
+                
+                if (exerciseValue > 0) {
+                    const Real cashflow = (*payoff_)(x);
+                    const Real currentValue = a[iter.index()];
+                    const Real valueMinusOneExRight 
+                         = a[layout->neighbourhood(iter, swingDirection_, -1)];
+                    
+                    if (currentValue < cashflow + valueMinusOneExRight) {
+                        retVal[iter.index()] = cashflow + valueMinusOneExRight;
+                    }
+                }
+            }
+        }
+            
+        a = retVal;
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
new file mode 100644
index 0000000000..d96d436075
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
@@ -0,0 +1,51 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmsimpleswingcondition.hpp
+    \brief simple swing step condition
+*/
+
+#ifndef quantlib_fdm_simple_swing_condition_hpp
+#define quantlib_fdm_simple_swing_condition_hpp
+
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+
+namespace QuantLib {
+
+    class FdmSimpleSwingCondition : public StepCondition<Array> {
+      public:
+          FdmSimpleSwingCondition(const std::vector<Time> & exerciseTimes,
+                                  const boost::shared_ptr<FdmMesher> & mesher,
+                                  const boost::shared_ptr<Payoff> & payoff,
+                                  Size equityDirection,
+                                  Size swingDirection);
+    
+        void applyTo(Array& a, Time t) const;
+    
+      private:
+        Array x_; // grid-equity values in physical units
+    
+        const std::vector<Time> exerciseTimes_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<Payoff> payoff_;
+        const Size equityDirection_, swingDirection_;
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
new file mode 100644
index 0000000000..74803ee6ed
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -0,0 +1,127 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimplebsswingengine.cpp
+    \brief Finite Differences Black-Scholes engine for simple swing options
+*/
+
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+
+namespace QuantLib {
+
+    namespace {
+        class FdmZeroInnerValue : public FdmInnerValueCalculator {
+          public:
+            Real innerValue(const FdmLinearOpIterator&)    { return 0.0; }
+            Real avgInnerValue(const FdmLinearOpIterator&) { return 0.0; }
+        };
+    }
+    
+    FdSimpleBSSwingEngine::FdSimpleBSSwingEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
+            Size tGrid, Size xGrid,
+            const FdmSchemeDesc& schemeDesc)
+    : process_(process),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      schemeDesc_(schemeDesc) { 
+    }
+            
+    void FdSimpleBSSwingEngine::calculate() const {
+
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
+                   "Bermudan exercise supported only");
+        
+        // 1. Layout
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(arguments_.exerciseRights+1);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                              new FdmLinearOpLayout(dim));
+        
+        // 2. Mesher
+        const boost::shared_ptr<StrikedTypePayoff> payoff =
+            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
+        const Time maturity = process_->time(arguments_.exercise->lastDate());
+        const boost::shared_ptr<Fdm1dMesher> equityMesher(
+            new FdmBlackScholesMesher(xGrid_, process_,
+                                      maturity, payoff->strike()));
+        
+        const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
+                 new Uniform1dMesher(0, arguments_.exerciseRights, 
+                                        arguments_.exerciseRights+1));
+        
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(equityMesher);
+        meshers.push_back(exerciseMesher);
+        boost::shared_ptr<FdmMesher> mesher (
+                                     new FdmMesherComposite(layout, meshers));
+        
+        // 3. Calculator
+        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+                                                    new FdmZeroInnerValue());
+        
+        // 4. Step conditions
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+        std::list<std::vector<Time> > stoppingTimes;
+        
+        // 4.1 Bermudan step conditions
+        std::vector<Time> exerciseTimes;
+        for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
+            Time t = process_->time(arguments_.exercise->dates()[i]);
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+            exerciseTimes.push_back(t);
+        }
+        stoppingTimes.push_back(exerciseTimes);
+        
+        stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+            new FdmSimpleSwingCondition(exerciseTimes, mesher, payoff, 0, 1)));
+        
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        
+        // 5. Boundary conditions
+        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        
+        // 6. Solver
+        boost::shared_ptr<FdmSimple2dBSSolver> solver(
+                new FdmSimple2dBSSolver(
+                               Handle<GeneralizedBlackScholesProcess>(process_),
+                               mesher, boundaries, conditions, calculator,
+                               payoff->strike(),maturity, tGrid_,
+                               schemeDesc_));
+    
+        const Real spot = process_->x0();
+        const Real y = std::exp(arguments_.exerciseRights);
+        
+        results_.value = solver->valueAt(spot, y);
+        results_.delta = solver->deltaAt(spot, y, spot*0.01);
+        results_.gamma = solver->gammaAt(spot, y, spot*0.01);
+        results_.theta = solver->thetaAt(spot, y);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.hpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.hpp
new file mode 100644
index 0000000000..ce9560644c
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.hpp
@@ -0,0 +1,55 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimplebsswingengine.hpp
+    \brief Finite Differences Black-Scholes engine for simple swing options
+*/
+
+#ifndef quantlib_fd_simple_bs_swing_engine_hpp
+#define quantlib_fd_simple_bs_swing_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    //! Finite-Differences Black Scholes engine for simple swing options
+
+    class GeneralizedBlackScholesProcess;
+
+    class FdSimpleBSSwingEngine
+        : public GenericEngine<VanillaSwingOption::arguments,
+                               VanillaSwingOption::results> {
+      public:
+          FdSimpleBSSwingEngine(
+                  const boost::shared_ptr<GeneralizedBlackScholesProcess>& p,
+                  Size tGrid = 50, Size xGrid = 100,
+                  const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
+    
+        void calculate() const;
+    
+      private:
+        const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
+        const Size tGrid_, xGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index 13c8c7fb59..e7ca59477c 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -48,6 +48,7 @@ this_include_HEADERS = \
     swap.hpp \
     swaption.hpp \
     vanillaoption.hpp \
+	vanillaswingoption.hpp \
     vanillaswap.hpp \
     varianceswap.hpp \
     yearonyearinflationswap.hpp \
diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index f34c6f2599..caf2c5b3a4 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -43,6 +43,7 @@
 #include <ql/instruments/swap.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/instruments/vanillaoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/instruments/vanillaswap.hpp>
 #include <ql/instruments/varianceswap.hpp>
 #include <ql/instruments/yearonyearinflationswap.hpp>
diff --git a/ql/instruments/vanillaswingoption.hpp b/ql/instruments/vanillaswingoption.hpp
new file mode 100644
index 0000000000..562b96e55a
--- /dev/null
+++ b/ql/instruments/vanillaswingoption.hpp
@@ -0,0 +1,87 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vanillaswingoption.hpp
+    \brief vanilla swing option class
+*/
+
+#ifndef quantlib_vanilla_swing_option_hpp
+#define quantlib_vanilla_swing_option_hpp
+
+#include <ql/event.hpp>
+#include <ql/exercise.hpp>
+#include <ql/instruments/payoffs.hpp>
+#include <ql/instruments/oneassetoption.hpp>
+
+namespace QuantLib {
+
+    //! base option class
+    class VanillaSwingOption : public OneAssetOption {
+      public:
+          class arguments;
+          VanillaSwingOption(const boost::shared_ptr<StrikedTypePayoff>& payoff,
+                             const boost::shared_ptr<BermudanExercise>& ex,
+                             Size exerciseRights)
+        : OneAssetOption(payoff, ex),
+          exerciseRights_(exerciseRights) {}
+
+        bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+        
+      private:
+        const Size exerciseRights_;
+    };
+
+    class VanillaSwingOption::arguments 
+        : public virtual PricingEngine::arguments {
+      public:
+        arguments() {}
+        void validate() const {
+            QL_REQUIRE(payoff, "no payoff given");
+            QL_REQUIRE(exercise, "no exercise given");
+
+            QL_REQUIRE(exercise->dates().size() >= exerciseRights,
+                       "number of exercise rights exceeds "
+                       "number of exercise dates");
+        }
+
+        Size exerciseRights;
+        boost::shared_ptr<StrikedTypePayoff> payoff;
+        boost::shared_ptr<BermudanExercise> exercise;
+    };
+
+    inline void VanillaSwingOption::setupArguments(
+                                PricingEngine::arguments* args) const {
+        VanillaSwingOption::arguments* arguments =
+            dynamic_cast<VanillaSwingOption::arguments*>(args);
+        QL_REQUIRE(arguments != 0, "wrong argument type");
+        
+        arguments->payoff 
+            = boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
+        arguments->exercise 
+            = boost::dynamic_pointer_cast<BermudanExercise>(exercise_);
+        arguments->exerciseRights = exerciseRights_;
+    }
+    
+    inline bool VanillaSwingOption::isExpired() const {
+        return detail::simple_event(exercise_->lastDate()).hasOccurred();
+    }
+}
+
+#endif

From d3949e58fb26deed67dc7aa0fa41cc0925ea49a6 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 18 Dec 2010 17:18:34 +0000
Subject: [PATCH 130/410] fixed vs 10 bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17559 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdsimplebsswingengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
index 74803ee6ed..c3c517ba52 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -117,7 +117,7 @@ namespace QuantLib {
                                schemeDesc_));
     
         const Real spot = process_->x0();
-        const Real y = std::exp(arguments_.exerciseRights);
+        const Real y = std::exp(Real(arguments_.exerciseRights));
         
         results_.value = solver->valueAt(spot, y);
         results_.delta = solver->deltaAt(spot, y, spot*0.01);

From 2ca48ec1deb652574d006bb6be969fcc0a08b823 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 19 Dec 2010 00:44:27 +0000
Subject: [PATCH 131/410] fix visual studio compile bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17560 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 9 ++++++++-
 1 file changed, 8 insertions(+), 1 deletion(-)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index 40dc94e69c..f0d3656b97 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -81,11 +81,18 @@
    for example) also #define _MSC_VER
 */
 #ifdef BOOST_MSVC
+#  include <ql/auto_link.hpp>
 #  define BOOST_LIB_NAME boost_unit_test_framework
 #  include <boost/config/auto_link.hpp>
 #  undef BOOST_LIB_NAME
-#endif
 
+/* uncomment the following lines to unmask floating-point exceptions.
+   See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481
+*/
+//#  include <float.h>
+//   namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }
+
+#endif
 #include "utilities.hpp"
 
 #include "americanoption.hpp"

From aaf8338ede487d6bcac9a820613f32c7e7a7505c Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 20 Dec 2010 07:16:16 +0000
Subject: [PATCH 132/410] fixed misleading comment

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17561 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/batesengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/pricingengines/vanilla/batesengine.hpp b/ql/pricingengines/vanilla/batesengine.hpp
index dafc7c8729..6419f9a8e1 100644
--- a/ql/pricingengines/vanilla/batesengine.hpp
+++ b/ql/pricingengines/vanilla/batesengine.hpp
@@ -46,7 +46,7 @@ namespace QuantLib {
 
         N is a Poisson process with the intensity \f$ \lambda
         \f$. When a jump occurs the magnitude J has the probability
-        distribution function \f$ \omega(J) \f$.
+        density function \f$ \omega(J) \f$.
 
         1.1 Log-Normal Jump Diffusion: BatesEngine
 

From f8a8a7b5f302356eda815f9b41e1be0434688ba5 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 26 Dec 2010 20:05:50 +0000
Subject: [PATCH 133/410] clean-up include order

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17566 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmblackscholesop.cpp  | 1 +
 ql/experimental/finitedifferences/firstderivativeop.cpp  | 1 +
 ql/experimental/finitedifferences/secondderivativeop.cpp | 1 +
 ql/experimental/finitedifferences/triplebandlinearop.cpp | 5 +----
 ql/experimental/finitedifferences/triplebandlinearop.hpp | 4 ++--
 5 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.cpp b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
index 40e6a84e3a..a3a696d3f6 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
@@ -21,6 +21,7 @@
 
 #include <ql/math/functional.hpp>
 #include <ql/instruments/payoffs.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 
diff --git a/ql/experimental/finitedifferences/firstderivativeop.cpp b/ql/experimental/finitedifferences/firstderivativeop.cpp
index c5cfee0ad3..13e5f71ae2 100644
--- a/ql/experimental/finitedifferences/firstderivativeop.cpp
+++ b/ql/experimental/finitedifferences/firstderivativeop.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/secondderivativeop.cpp b/ql/experimental/finitedifferences/secondderivativeop.cpp
index 2adf7393b5..35973218ab 100644
--- a/ql/experimental/finitedifferences/secondderivativeop.cpp
+++ b/ql/experimental/finitedifferences/secondderivativeop.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/triplebandlinearop.cpp b/ql/experimental/finitedifferences/triplebandlinearop.cpp
index eb7f8c3186..c6ddce50bb 100644
--- a/ql/experimental/finitedifferences/triplebandlinearop.cpp
+++ b/ql/experimental/finitedifferences/triplebandlinearop.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
 #include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
 
@@ -55,10 +56,6 @@ namespace QuantLib {
                   std::inner_product(coordinates.begin(), coordinates.end(),
                                      newSpacing.begin(), Size(0));
             reverseIndex_[newIndex] = i;
-
-            //lowerEdge_[newIndex] = (coordinates[direction_] != 0);
-            //upperEdge_[newIndex] =
-            //    (coordinates[direction_] != layout->dim()[direction_]-1);
         }
     }
 
diff --git a/ql/experimental/finitedifferences/triplebandlinearop.hpp b/ql/experimental/finitedifferences/triplebandlinearop.hpp
index e657349ea1..204c7c19e5 100644
--- a/ql/experimental/finitedifferences/triplebandlinearop.hpp
+++ b/ql/experimental/finitedifferences/triplebandlinearop.hpp
@@ -30,13 +30,13 @@
 #ifndef quantlib_triple_band_linear_op_hpp
 #define quantlib_triple_band_linear_op_hpp
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <boost/shared_array.hpp>
-#include <deque>
 
 namespace QuantLib {
 
+    class FdmMesher;
+    
     class TripleBandLinearOp : public FdmLinearOp {
       public:
         TripleBandLinearOp(Size direction,

From 89793e4d2baaad789b9ff84d40f702184c5eee5c Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 28 Dec 2010 12:57:47 +0000
Subject: [PATCH 134/410] added template constructors plus redesign (thanks to
 Slava Mazur)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17567 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/linearleastsquaresregression.hpp    | 293 ++++++++++++--------
 test-suite/linearleastsquaresregression.cpp | 133 +++++----
 2 files changed, 267 insertions(+), 159 deletions(-)

diff --git a/ql/math/linearleastsquaresregression.hpp b/ql/math/linearleastsquaresregression.hpp
index 3c950078db..0fe3e10c1d 100644
--- a/ql/math/linearleastsquaresregression.hpp
+++ b/ql/math/linearleastsquaresregression.hpp
@@ -4,6 +4,7 @@
  Copyright (C) 2009 Dirk Eddelbuettel
  Copyright (C) 2006, 2009 Klaus Spanderen
  Copyright (C) 2010 Kakhkhor Abdijalilov
+ Copyright (C) 2010 Slava Mazur
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -31,25 +32,31 @@
 #include <ql/math/array.hpp>
 #include <ql/math/functional.hpp>
 #include <boost/function.hpp>
+#include <boost/type_traits.hpp>
 #include <vector>
 
 namespace QuantLib {
 
     //! general linear least squares regression
     /*! References:
-       "Numerical Recipes in C", 2nd edition,
-        Press, Teukolsky, Vetterling, Flannery,
+    "Numerical Recipes in C", 2nd edition,
+    Press, Teukolsky, Vetterling, Flannery,
 
-        \test the correctness of the returned values is tested by
-              checking their properties.
+    \test the correctness of the returned values is tested by
+    checking their properties.
     */
     template <class ArgumentType = Real>
     class LinearLeastSquaresRegression {
-      public:
+    public:
+        template <class xContainer, class yContainer, class vContainer>
+        LinearLeastSquaresRegression(const xContainer & x, 
+                                     const yContainer &y, const vContainer & v);
+
+        template<class xIterator, class yIterator, class vIterator>
         LinearLeastSquaresRegression(
-            const std::vector<ArgumentType> & x,
-            const std::vector<Real> &         y,
-            const std::vector<boost::function1<Real, ArgumentType> > & v);
+            xIterator xBegin, xIterator xEnd,
+            yIterator yBegin, yIterator yEnd,
+            vIterator vBegin, vIterator vEnd);
 
         const Array& coefficients()   const { return a_; }
         const Array& residuals()      const { return residuals_; }
@@ -59,136 +66,204 @@ namespace QuantLib {
         //! modeling uncertainty as definied in Numerical Recipes
         const Array& error()          const { return err_;}
 
+        template <class OtherLinearLeastSquaresRegression>
+        void swap (OtherLinearLeastSquaresRegression &other);
+
 #ifndef QL_DISABLE_DEPRECATED
         const Array& a() const     { return a_;  }
 #endif
+        Size size() const { return residuals_.size(); }
 
-      private:
-        Array a_, err_, residuals_, standardErrors_;
-    };
-
-    //! linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
-    class LinearRegression {
-      public:
-        //! one dimensional linear regression
-        LinearRegression(const std::vector<Real>& x,
-                         const std::vector<Real>& y);
+        Size dim() const { return a_.size(); }
 
-        //! multi dimensional linear regression
-        LinearRegression(const std::vector<std::vector<Real> >& x,
-                         const std::vector<Real>& y);
-
-        //! returns paramters {a_0, a_1, ..., a_n}
-        const Array& coefficients()   const { return reg_.coefficients(); }
+    protected:
+        Array a_, err_, residuals_, standardErrors_;
 
-        const Array& residuals()      const { return reg_.residuals(); }
-        const Array& standardErrors() const { return reg_.standardErrors(); }
+        LinearLeastSquaresRegression(Size n, Size m) 
+        : a_(m, 0), err_(m, 0), residuals_(n, 0), standardErrors_(m, 0) {
+        }
 
-      private:
-        LinearLeastSquaresRegression<std::vector<Real> > reg_;
+        template <class xIterator, class yIterator, class vIterator>
+        void calculate(
+            xIterator xBegin, xIterator xEnd,
+            yIterator yBegin, yIterator yEnd,
+            vIterator vBegin, vIterator vEnd);
     };
 
-    template <class ArgumentType> inline
-    LinearLeastSquaresRegression<ArgumentType>::LinearLeastSquaresRegression(
-        const std::vector<ArgumentType> & x,
-        const std::vector<Real> &         y,
-        const std::vector<boost::function1<Real, ArgumentType> > & v)
-    : a_             (v.size(), 0.0),
-      err_           (v.size(), 0.0),
-      residuals_     (x.size()),
-      standardErrors_(v.size()) {
-
-        QL_REQUIRE(x.size() == y.size(),
-                   "sample set need to be of the same size");
-        QL_REQUIRE(x.size() >= v.size(), "sample set is too small");
-
-        Size i;
-        const Size n = x.size();
-        const Size m = v.size();
-
-        Matrix A(n, m);
-        for (i=0; i<m; ++i)
-            std::transform(x.begin(), x.end(), A.column_begin(i), v[i]);
-
-        const SVD svd(A);
-        const Matrix& V = svd.V();
-        const Matrix& U = svd.U();
-        const Array&  w = svd.singularValues();
-
-        for (i=0; i<svd.rank(); ++i) {
-            const Real u = std::inner_product(U.column_begin(i),
-                                              U.column_end(i),
-                                              y.begin(), 0.0)/w[i];
-
-            for (Size j=0; j<m; ++j) {
-                a_[j]+=u*V[j][i];
-                err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
-            }
-        }
-
-        err_      = Sqrt(err_);
-        residuals_= A*a_-Array(y.begin(), y.end());
+    class LinearRegression : public LinearLeastSquaresRegression<Real> {
+    public:
+        //! linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
+        template <class xContainer, class yContainer>
+        LinearRegression(const xContainer& x, 
+                         const yContainer& y, Real intercept = 1.0);
 
-        const Real chiSq
-            = std::inner_product(residuals_.begin(), residuals_.end(),
-                                 residuals_.begin(), 0.0);
-        std::transform(err_.begin(), err_.end(), standardErrors_.begin(),
-                       std::bind1st(std::multiplies<Real>(),
-                                    std::sqrt(chiSq/(n-2))));
-    }
+        template <class xContainer, class yContainer, class vContainer>
+        LinearRegression(const xContainer& x, 
+                         const yContainer& y, const vContainer &v);
+    };
 
     namespace details {
-        class LinearFct : public std::unary_function<Real, std::vector<Real> >{
-          public:
+        template <class Container>
+        class LinearFct : public std::unary_function<Real, Container > {
+        public:
             LinearFct(Size i) : i_(i) {}
 
-            inline Real operator()(const std::vector<Real>& x) const {
+            inline Real operator()(const Container& x) const {
                 return x[i_];
             }
 
-          private:
+        private:
             const Size i_;
         };
 
-        inline std::vector<boost::function1<Real, std::vector<Real> > >
-        linearFcts(Size dims) {
-            std::vector<boost::function1<Real, std::vector<Real> > > retVal;
-            retVal.push_back(constant<std::vector<Real>, Real>(1.0));
+        // 1d implementation (arithmetic types)
+        template <class xContainer, class yContainer, bool>
+        class LinearFcts  
+        : public LinearLeastSquaresRegression<typename xContainer::value_type> {
+        public:
+            typedef typename xContainer::value_type ArgumentType;
+            typedef LinearLeastSquaresRegression<ArgumentType> Super;
+            LinearFcts (const xContainer &x, 
+                        const yContainer &y, Real intercept) : 
+            Super(y.size(), (intercept ? 2 : 1)) {
+                if (intercept)
+                    v.push_back(constant<ArgumentType, Real>(intercept));
+                v.push_back(identity<ArgumentType>());
+                calculate(x.begin(), x.end(), 
+                          y.begin(), y.end(), v.begin(), v.end());
+            }
+
+            std::vector< boost::function1<Real, ArgumentType> > v;
+        };
 
-            for (Size i=0; i < dims; ++i) {
-                retVal.push_back(LinearFct(i));
+        // multi-dimensional implementation (container types)
+        template <class xContainer, class yContainer>
+        class LinearFcts<xContainer, yContainer, false> 
+            : public LinearLeastSquaresRegression<
+                                            typename xContainer::value_type> {
+        public:
+            typedef typename xContainer::value_type ArgumentType;
+            typedef LinearLeastSquaresRegression<ArgumentType> Super;
+            LinearFcts (const xContainer &x, const yContainer &y,Real intercept) : 
+            Super(y.size(),(intercept ? x.begin()->size()+1 : x.begin()->size())) {
+                if (intercept)
+                    v.push_back(constant<ArgumentType, Real>(intercept));
+                Size m = x.begin()->size();
+                for (Size i = 0; i < m; ++i)
+                    v.push_back(LinearFct<ArgumentType>(i));
+                calculate(x.begin(), x.end(), 
+                          y.begin(), y.end(), v.begin(), v.end());
             }
 
-            return retVal;
-        }
+            std::vector< boost::function1<Real, ArgumentType> > v;
+        };
+    }
 
-        inline std::vector<std::vector<Real> > argumentWrapper(
-            const std::vector<Real>& x) {
-            std::vector<std::vector<Real> > retVal;
-            for (std::vector<Real>::const_iterator iter = x.begin();
-                 iter != x.end(); ++iter) {
-                retVal.push_back(std::vector<Real>(1, *iter));
+    template <class ArgumentType>
+    template <class xIterator, class yIterator, class vIterator>
+    void LinearLeastSquaresRegression<ArgumentType>::calculate(
+        xIterator xBegin, xIterator xEnd,
+        yIterator yBegin, yIterator yEnd,
+        vIterator vBegin, vIterator vEnd) {
+
+            const Size n = residuals_.size();
+            const Size m = err_.size();
+
+            QL_REQUIRE( n == Size(std::distance(yBegin, yEnd)),
+                "sample set need to be of the same size");
+            QL_REQUIRE(n >= m, "sample set is too small");
+
+            Size i;
+
+            Matrix A(n, m);
+            for (i=0; i<m; ++i)
+                std::transform(xBegin, xEnd, A.column_begin(i), *vBegin++);
+
+            const SVD svd(A);
+            const Matrix& V = svd.V();
+            const Matrix& U = svd.U();
+            const Array& w = svd.singularValues();
+            const Real threshold = n*QL_EPSILON;
+
+            for (i=0; i<m; ++i) {
+                if (w[i] > threshold) {
+                    const Real u = std::inner_product(U.column_begin(i),
+                        U.column_end(i),
+                        yBegin, 0.0)/w[i];
+
+                    for (Size j=0; j<m; ++j) {
+                        a_[j]  +=u*V[j][i];
+                        err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
+                    }
+                }
             }
+            err_      = Sqrt(err_);
+            Array tmp = A*a_;
+            std::transform(tmp.begin(), tmp.end(), 
+                           yBegin, residuals_.begin(), std::minus<Real>());
+
+            const Real chiSq
+                = std::inner_product(residuals_.begin(), residuals_.end(),
+                residuals_.begin(), 0.0);
+            std::transform(err_.begin(), err_.end(), standardErrors_.begin(),
+                std::bind1st(std::multiplies<Real>(),
+                std::sqrt(chiSq/(n-2))));
+    }
 
-            return retVal;
-        }
+    template <class ArgumentType>
+    template <class xContainer, class yContainer, class vContainer> inline
+        LinearLeastSquaresRegression<ArgumentType>::LinearLeastSquaresRegression(
+            const xContainer & x, 
+            const yContainer &y, const vContainer & v) 
+    : a_(v.size(), 0.0), 
+      err_(v.size(), 0.0), 
+      residuals_(y.size()), 
+      standardErrors_(v.size()) {
+        calculate(x.begin(), x.end(), y.begin(), y.end(), v.begin(), v.end());
     }
 
-    inline LinearRegression::LinearRegression(
-        const std::vector<std::vector<Real> >& x,
-        const std::vector<Real>& y)
-    : reg_(x, y, details::linearFcts(x[0].size())) {
-#ifdef QL_EXTRA_SAFETY_CHECKS
-        for (Size i=1; i < x.size(); ++i) {
-            QL_REQUIRE(x[i-1].size() == x[i].size(),
-                        "inconsistent sample size");
-        }
-#endif        
+    template <class ArgumentType>
+    template<class xIterator, class yIterator, class vIterator> inline
+        LinearLeastSquaresRegression<ArgumentType>::LinearLeastSquaresRegression(
+        xIterator xBegin, xIterator xEnd,
+        yIterator yBegin, yIterator yEnd,
+        vIterator vBegin, vIterator vEnd) : 
+    a_(std::distance(vBegin, vEnd), 0.0),
+        err_(a_.size(), 0.0),
+        residuals_(std::distance(yBegin, yEnd)),
+        standardErrors_(a_.size()) {
+            calculate(xBegin, xEnd, yBegin, yEnd, vBegin, vEnd);
+    }
+
+    template <class ArgumentType>
+    template <class OtherLinearLeastSquaresRegression> inline
+        void LinearLeastSquaresRegression<ArgumentType>::swap
+                                (OtherLinearLeastSquaresRegression &other) {
+            LinearLeastSquaresRegression<ArgumentType> &tmp 
+                = (LinearLeastSquaresRegression<ArgumentType> &)(other);
+            a_.swap(tmp.a_);
+            err_.swap(tmp.err_);
+            residuals_.swap(tmp.residuals_);
+            standardErrors_.swap(tmp.standardErrors_);
+    }
+
+    template <class xContainer, class yContainer> inline
+        LinearRegression::LinearRegression(const xContainer& x, 
+                                           const yContainer& y, Real intercept) 
+    : LinearLeastSquaresRegression<Real> (1, 1) {
+        typedef typename xContainer::value_type ArgumentType;
+        details::LinearFcts<xContainer, yContainer, 
+                            boost::is_arithmetic<ArgumentType>::value> 
+                                                          lfs(x, y, intercept);
+                                                          
+        lfs.swap(static_cast<LinearLeastSquaresRegression<Real>&>(*this));
     }
 
-    inline LinearRegression::LinearRegression(
-        const std::vector<Real>& x,
-        const std::vector<Real>& y)
-    : reg_(details::argumentWrapper(x), y, details::linearFcts(1)) { }
+    template <class xContainer, class yContainer, class vContainer> inline
+        LinearRegression::LinearRegression(const xContainer& x, 
+                                           const yContainer& y, 
+                                           const vContainer &v) 
+    : LinearLeastSquaresRegression<Real> (x, y, v) {
+    }
 }
 #endif
diff --git a/test-suite/linearleastsquaresregression.cpp b/test-suite/linearleastsquaresregression.cpp
index ab12ac588f..463cfe45bc 100644
--- a/test-suite/linearleastsquaresregression.cpp
+++ b/test-suite/linearleastsquaresregression.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Klaus Spanderen
+ Copyright (C) 2010 Slava Mazur
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -23,6 +24,7 @@
 #include <ql/math/randomnumbers/rngtraits.hpp>
 #include <ql/math/linearleastsquaresregression.hpp>
 #include <boost/bind.hpp>
+#include <boost/circular_buffer.hpp>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -50,9 +52,9 @@ void LinearLeastSquaresRegressionTest::testRegression() {
     for (Size k=0; k<3; ++k) {
         Size i;
         const Real a[] = {rng.next().value,
-                          rng.next().value,
-                          rng.next().value,
-                          rng.next().value};
+            rng.next().value,
+            rng.next().value,
+            rng.next().value};
 
         std::vector<Real> x(nr), y(nr);
         for (i=0; i<nr; ++i) {
@@ -60,47 +62,47 @@ void LinearLeastSquaresRegressionTest::testRegression() {
 
             // regression in y = a_1 + a_2*x + a_3*x^2 + a_4*sin(x) + eps
             y[i] =  a[0]*v[0](x[i]) + a[1]*v[1](x[i]) + a[2]*v[2](x[i])
-                  + a[3]*v[3](x[i]) + rng.next().value;
+                + a[3]*v[3](x[i]) + rng.next().value;
         }
 
-        LinearLeastSquaresRegression<> m(x, y, v);
+        LinearRegression m(x, y, v);
 
         for (i=0; i<v.size(); ++i) {
             if (m.standardErrors()[i] > tolerance) {
                 BOOST_ERROR("Failed to reproduce linear regression coef."
-                            << "\n    error:     " << m.standardErrors()[i]
-                            << "\n    tolerance: " << tolerance);
+                    << "\n    error:     " << m.standardErrors()[i]
+                << "\n    tolerance: " << tolerance);
             }
             if (std::fabs(m.coefficients()[i]-a[i]) > 3*m.standardErrors()[i]) {
                 BOOST_ERROR("Failed to reproduce linear regression coef."
-                            << "\n    calculated: " << m.coefficients()[i]
-                            << "\n    error:      " << m.standardErrors()[i]
-                            << "\n    expected:   " << a[i]);
+                    << "\n    calculated: " << m.coefficients()[i]
+                << "\n    error:      " << m.standardErrors()[i]
+                << "\n    expected:   " << a[i]);
             }
         }
 
-        m = LinearLeastSquaresRegression<>(x, y, w);
+        m = LinearRegression(x, y, w);
 
         const Real ma[] = {m.coefficients()[0], m.coefficients()[1], 
-                           m.coefficients()[2]+m.coefficients()[4],
-                           m.coefficients()[3]};
+            m.coefficients()[2]+m.coefficients()[4],
+            m.coefficients()[3]};
         const Real err[] = {m.standardErrors()[0], m.standardErrors()[1],
-                        std::sqrt( m.standardErrors()[2]*m.standardErrors()[2]
-                                  +m.standardErrors()[4]*m.standardErrors()[4]),
-                            m.standardErrors()[3]};
+            std::sqrt( m.standardErrors()[2]*m.standardErrors()[2]
+        +m.standardErrors()[4]*m.standardErrors()[4]),
+            m.standardErrors()[3]};
         for (i=0; i<v.size(); ++i) {
             if (std::fabs(ma[i] - a[i]) > 3*err[i]) {
                 BOOST_ERROR("Failed to reproduce linear regression coef."
-                            << "\n    calculated: " << ma[i]
-                            << "\n    error:      " << err[i]
-                            << "\n    expected:   " << a[i]);
+                    << "\n    calculated: " << ma[i]
+                << "\n    error:      " << err[i]
+                << "\n    expected:   " << a[i]);
             }
         }
     }
 }
 
 namespace {
-    Real f(const std::vector<Real>& a, Size i) {
+    Real f(const Array& a, Size i) {
         return a[i];
     }
 }
@@ -116,8 +118,8 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
     const Real tolerance = 0.01;
     PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
 
-    std::vector<boost::function1<Real, std::vector<Real> > > v;
-    v.push_back(constant<std::vector<Real>, Real>(1.0));
+    std::vector<boost::function1<Real, Array> > v;
+    v.push_back(constant<Array, Real>(1.0));
     for (Size i=0; i < dims; ++i) {
         v.push_back(boost::bind(f, _1, i));
     }
@@ -126,41 +128,52 @@ void LinearLeastSquaresRegressionTest::testMultiDimRegression() {
     for (Size i=0; i < v.size(); ++i) {
         coeff[i] = rng.next().value;
     }
-    
+
     std::vector<Real> y(nr, 0.0);
-    std::vector<std::vector<Real> > x(nr, std::vector<Real>(dims));
+    std::vector<Array> x(nr, Array(dims));
     for (Size i=0; i < nr; ++i) {
         for (Size j=0; j < dims; ++j) {
             x[i][j] = rng.next().value;
         }
-        
+
         for (Size j=0; j < v.size(); ++j) {
             y[i] += coeff[j]*v[j](x[i]);
         }
         y[i] += rng.next().value;
     }
-    
-    LinearRegression reg(x,y);
-    LinearLeastSquaresRegression<std::vector<Real> > m(x, y, v);
-    
+
+    LinearRegression m(x, y, v);
+
     for (Size i=0; i < v.size(); ++i) {
         if (m.standardErrors()[i] > tolerance) {
             BOOST_ERROR("Failed to reproduce linear regression coef."
-                        << "\n    error:     " << m.standardErrors()[i]
-                        << "\n    tolerance: " << tolerance);
+                << "\n    error:     " << m.standardErrors()[i]
+            << "\n    tolerance: " << tolerance);
         }
-        
+
         if (std::fabs(m.coefficients()[i]-coeff[i]) > 3*tolerance) {
             BOOST_ERROR("Failed to reproduce linear regression coef."
-                        << "\n    calculated: " << m.coefficients()[i]
-                        << "\n    error:      " << m.standardErrors()[i]
-                        << "\n    expected:   " << coeff[i]);
+                << "\n    calculated: " << m.coefficients()[i]
+            << "\n    error:      " << m.standardErrors()[i]
+            << "\n    expected:   " << coeff[i]);
+        }
+    }
+
+    // much simpler
+    LinearRegression m1(x, y, 1.0);
+
+    for (Size i=0; i < m1.dim(); ++i) {
+        if (m1.standardErrors()[i] > tolerance) {
+            BOOST_ERROR("Failed to reproduce linear regression coef."
+                << "\n    error:     " << m1.standardErrors()[i]
+            << "\n    tolerance: " << tolerance);
         }
-        if (std::fabs(reg.coefficients()[i]-coeff[i]) > 3*tolerance) {
+
+        if (std::fabs(m1.coefficients()[i]-coeff[i]) > 3*tolerance) {
             BOOST_ERROR("Failed to reproduce linear regression coef."
-                        << "\n    calculated: " << m.coefficients()[i]
-                        << "\n    error:      " << m.standardErrors()[i]
-                        << "\n    expected:   " << coeff[i]);
+                << "\n    calculated: " << m1.coefficients()[i]
+            << "\n    error:      " << m1.standardErrors()[i]
+            << "\n    expected:   " << coeff[i]);
         }
     }
 }
@@ -170,10 +183,10 @@ void LinearLeastSquaresRegressionTest::test1dLinearRegression() {
     BOOST_MESSAGE("Testing 1D simple linear least-squares regression...");
 
     /* Example taken from the QuantLib-User list, see posting
-     * Multiple linear regression/weighted regression, Boris Skorodumov */
-    
+    * Multiple linear regression/weighted regression, Boris Skorodumov */
+
     SavedSettings backup;
-    
+
     std::vector<Real> x(9),y(9);
     x[0]=2.4; x[1]=1.8; x[2]=2.5; x[3]=3.0; 
     x[4]=2.1; x[5]=1.2; x[6]=2.0; x[7]=2.7; x[8]=3.6;
@@ -186,7 +199,7 @@ void LinearLeastSquaresRegressionTest::test1dLinearRegression() {
     v.push_back(identity<Real>());
 
     LinearRegression m(x, y);
-    
+
     const Real tol = 0.0002;
     const Real coeffExpected[]  = { 0.9448, 2.6853 };
     const Real errorsExpected[] = { 0.3654, 0.1487 };
@@ -194,16 +207,36 @@ void LinearLeastSquaresRegressionTest::test1dLinearRegression() {
     for (Size i=0; i < 2; ++i) {
         if (std::fabs(m.standardErrors()[i]-errorsExpected[i]) > tol) {
             BOOST_ERROR("Failed to reproduce linear regression standard errors"
-                        << "\n    calculated: " << m.standardErrors()[i]
-                        << "\n    expected:   " << errorsExpected[i]                                          
-                        << "\n    tolerance:  " << tol);
+                << "\n    calculated: " << m.standardErrors()[i]
+            << "\n    expected:   " << errorsExpected[i]                                          
+            << "\n    tolerance:  " << tol);
         }
-        
+
         if (std::fabs(m.coefficients()[i]-coeffExpected[i]) > tol) {
             BOOST_ERROR("Failed to reproduce linear regression coef."
-                        << "\n    calculated: " << m.coefficients()[i]
-                        << "\n    expected:   " << coeffExpected[i]
-                        << "\n    tolerance:  " << tol);
+                << "\n    calculated: " << m.coefficients()[i]
+            << "\n    expected:   " << coeffExpected[i]
+            << "\n    tolerance:  " << tol);
+        }
+    }    
+
+    // an alternative container type 
+    boost::circular_buffer<Real> cx(x.begin(), x.end()), cy(y.begin(), y.end());
+    LinearRegression m1(cx, cy);
+
+    for (Size i=0; i < m1.dim(); ++i) {
+        if (std::fabs(m1.standardErrors()[i]-errorsExpected[i]) > tol) {
+            BOOST_ERROR("Failed to reproduce linear regression standard errors"
+                << "\n    calculated: " << m1.standardErrors()[i]
+            << "\n    expected:   " << errorsExpected[i]                                          
+            << "\n    tolerance:  " << tol);
+        }
+
+        if (std::fabs(m1.coefficients()[i]-coeffExpected[i]) > tol) {
+            BOOST_ERROR("Failed to reproduce linear regression coef."
+                << "\n    calculated: " << m1.coefficients()[i]
+            << "\n    expected:   " << coeffExpected[i]
+            << "\n    tolerance:  " << tol);
         }
     }    
 }

From adbad679d4ac944edadd5714dca23f6227f01959 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 28 Dec 2010 14:55:28 +0000
Subject: [PATCH 135/410] removed swap method from LinearLeastSquaresRegression

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17568 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/linearleastsquaresregression.hpp | 69 ++++++++----------------
 1 file changed, 23 insertions(+), 46 deletions(-)

diff --git a/ql/math/linearleastsquaresregression.hpp b/ql/math/linearleastsquaresregression.hpp
index 0fe3e10c1d..ec021a53a8 100644
--- a/ql/math/linearleastsquaresregression.hpp
+++ b/ql/math/linearleastsquaresregression.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2009 Dirk Eddelbuettel
- Copyright (C) 2006, 2009 Klaus Spanderen
+ Copyright (C) 2006, 2009, 2010 Klaus Spanderen
  Copyright (C) 2010 Kakhkhor Abdijalilov
  Copyright (C) 2010 Slava Mazur
 
@@ -66,9 +66,6 @@ namespace QuantLib {
         //! modeling uncertainty as definied in Numerical Recipes
         const Array& error()          const { return err_;}
 
-        template <class OtherLinearLeastSquaresRegression>
-        void swap (OtherLinearLeastSquaresRegression &other);
-
 #ifndef QL_DISABLE_DEPRECATED
         const Array& a() const     { return a_;  }
 #endif
@@ -79,10 +76,6 @@ namespace QuantLib {
     protected:
         Array a_, err_, residuals_, standardErrors_;
 
-        LinearLeastSquaresRegression(Size n, Size m) 
-        : a_(m, 0), err_(m, 0), residuals_(n, 0), standardErrors_(m, 0) {
-        }
-
         template <class xIterator, class yIterator, class vIterator>
         void calculate(
             xIterator xBegin, xIterator xEnd,
@@ -103,6 +96,7 @@ namespace QuantLib {
     };
 
     namespace details {
+        
         template <class Container>
         class LinearFct : public std::unary_function<Real, Container > {
         public:
@@ -117,44 +111,42 @@ namespace QuantLib {
         };
 
         // 1d implementation (arithmetic types)
-        template <class xContainer, class yContainer, bool>
-        class LinearFcts  
-        : public LinearLeastSquaresRegression<typename xContainer::value_type> {
+        template <class xContainer, bool>
+        class LinearFcts {
         public:
             typedef typename xContainer::value_type ArgumentType;
-            typedef LinearLeastSquaresRegression<ArgumentType> Super;
-            LinearFcts (const xContainer &x, 
-                        const yContainer &y, Real intercept) : 
-            Super(y.size(), (intercept ? 2 : 1)) {
+            LinearFcts (const xContainer &x, Real intercept) {
                 if (intercept)
                     v.push_back(constant<ArgumentType, Real>(intercept));
                 v.push_back(identity<ArgumentType>());
-                calculate(x.begin(), x.end(), 
-                          y.begin(), y.end(), v.begin(), v.end());
             }
 
+            const std::vector< boost::function1<Real, ArgumentType> > & fcts() {
+                return v;
+            }
+
+        private:
             std::vector< boost::function1<Real, ArgumentType> > v;
         };
 
         // multi-dimensional implementation (container types)
-        template <class xContainer, class yContainer>
-        class LinearFcts<xContainer, yContainer, false> 
-            : public LinearLeastSquaresRegression<
-                                            typename xContainer::value_type> {
+        template <class xContainer>
+        class LinearFcts<xContainer, false>  {
         public:
             typedef typename xContainer::value_type ArgumentType;
-            typedef LinearLeastSquaresRegression<ArgumentType> Super;
-            LinearFcts (const xContainer &x, const yContainer &y,Real intercept) : 
-            Super(y.size(),(intercept ? x.begin()->size()+1 : x.begin()->size())) {
+            LinearFcts (const xContainer &x, Real intercept)
+            {
                 if (intercept)
                     v.push_back(constant<ArgumentType, Real>(intercept));
                 Size m = x.begin()->size();
                 for (Size i = 0; i < m; ++i)
                     v.push_back(LinearFct<ArgumentType>(i));
-                calculate(x.begin(), x.end(), 
-                          y.begin(), y.end(), v.begin(), v.end());
             }
-
+            
+            const std::vector< boost::function1<Real, ArgumentType> > & fcts() {
+                return v;
+            }
+        private:
             std::vector< boost::function1<Real, ArgumentType> > v;
         };
     }
@@ -235,28 +227,13 @@ namespace QuantLib {
             calculate(xBegin, xEnd, yBegin, yEnd, vBegin, vEnd);
     }
 
-    template <class ArgumentType>
-    template <class OtherLinearLeastSquaresRegression> inline
-        void LinearLeastSquaresRegression<ArgumentType>::swap
-                                (OtherLinearLeastSquaresRegression &other) {
-            LinearLeastSquaresRegression<ArgumentType> &tmp 
-                = (LinearLeastSquaresRegression<ArgumentType> &)(other);
-            a_.swap(tmp.a_);
-            err_.swap(tmp.err_);
-            residuals_.swap(tmp.residuals_);
-            standardErrors_.swap(tmp.standardErrors_);
-    }
-
     template <class xContainer, class yContainer> inline
         LinearRegression::LinearRegression(const xContainer& x, 
                                            const yContainer& y, Real intercept) 
-    : LinearLeastSquaresRegression<Real> (1, 1) {
-        typedef typename xContainer::value_type ArgumentType;
-        details::LinearFcts<xContainer, yContainer, 
-                            boost::is_arithmetic<ArgumentType>::value> 
-                                                          lfs(x, y, intercept);
-                                                          
-        lfs.swap(static_cast<LinearLeastSquaresRegression<Real>&>(*this));
+    : LinearLeastSquaresRegression<Real>(x, y, 
+          details::LinearFcts<xContainer, 
+              boost::is_arithmetic<typename xContainer::value_type>::value>
+                                                        (x, intercept).fcts()) {
     }
 
     template <class xContainer, class yContainer, class vContainer> inline

From b26ae3099dcf0ec0fdf86e8ad2caa0de68e7a979 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Dec 2010 08:53:36 +0000
Subject: [PATCH 136/410] FDM code refactoring (removed redundant code): new
 step condition composite constructor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17569 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fd2dblackscholesvanillaengine.cpp         | 40 +++---------
 .../fdblackscholesrebateengine.cpp            | 42 +++++--------
 .../fdblackscholesvanillaengine.cpp           | 63 ++++---------------
 .../fdhestonbarrierengine.cpp                 |  5 +-
 .../fdhestonrebateengine.cpp                  | 33 +++-------
 .../fdhestonvanillaengine.cpp                 | 57 ++++-------------
 .../fdmstepconditioncomposite.cpp             | 51 +++++++++++++++
 .../fdmstepconditioncomposite.hpp             | 15 +++++
 8 files changed, 125 insertions(+), 181 deletions(-)

diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
index 58a2b886a0..d37601f81c 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
@@ -18,15 +18,13 @@
 */
 
 #include <ql/exercise.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
 namespace QuantLib {
 
@@ -50,8 +48,7 @@ namespace QuantLib {
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(yGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         const boost::shared_ptr<BasketPayoff> payoff =
             boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
@@ -73,39 +70,20 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(em1);
         meshers.push_back(em2);
-        boost::shared_ptr<FdmMesher> mesher (
+        const boost::shared_ptr<FdmMesher> mesher (
                                      new FdmMesherComposite(layout, meshers));
 
         // 3. Calculator
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogBasketInnerValue(payoff, mesher));
 
         // 4. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 4.2 Step condition if american or bermudan exercise
-        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
-                   || arguments_.exercise->type() == Exercise::European
-                   || arguments_.exercise->type() == Exercise::Bermudan,
-                   "exercise type is not supported");
-        if (arguments_.exercise->type() == Exercise::American) {
-            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-                            new FdmAmericanStepCondition(mesher,calculator)));
-        }
-        else if (arguments_.exercise->type() == Exercise::Bermudan) {
-            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
-                new FdmBermudanStepCondition(
-                                    arguments_.exercise->dates(),
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+            FdmStepConditionComposite::vanillaComposite(
+                                    DividendSchedule(), arguments_.exercise, 
+                                    mesher, calculator, 
                                     p1_->riskFreeRate()->referenceDate(),
-                                    p1_->riskFreeRate()->dayCounter(),
-                                    mesher, calculator));
-            stepConditions.push_back(bermudanCondition);
-            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
-        }
-
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+                                    p1_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
index b7a4826f97..a18e64c27c 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
@@ -21,7 +21,6 @@
 
 #include <ql/exercise.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
@@ -47,10 +46,8 @@ namespace QuantLib {
     void FdBlackScholesRebateEngine::calculate() const {
 
         // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        std::vector<Size> dim(1, xGrid_);
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         // 2. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
@@ -72,37 +69,26 @@ namespace QuantLib {
             new FdmBlackScholesMesher(xGrid_, process_, maturity,
                                       payoff->strike(), xMin, xMax));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        boost::shared_ptr<FdmMesher> mesher (
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers(1, equityMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
                                      new FdmMesherComposite(layout, meshers));
         
         // 3. Calculator
-        boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
+        const boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
                 new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(rebatePayoff, mesher, 0));
 
         // 4. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 4.1 Step condition if discrete dividends
-        boost::shared_ptr<FdmDividendHandler> dividendCondition(
-            new FdmDividendHandler(arguments_.cashFlow, mesher,
-                                   process_->riskFreeRate()->referenceDate(),
-                                   process_->riskFreeRate()->dayCounter(), 0));
-
-        if(!arguments_.cashFlow.empty()) {
-            stepConditions.push_back(dividendCondition);
-            stoppingTimes.push_back(dividendCondition->dividendTimes());
-        }
-
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "only european style option are supported");
-
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+            FdmStepConditionComposite::vanillaComposite(
+                                arguments_.cashFlow, arguments_.exercise, 
+                                mesher, calculator, 
+                                process_->riskFreeRate()->referenceDate(),
+                                process_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
@@ -121,7 +107,7 @@ namespace QuantLib {
         }
 
         // 6. Solver
-        boost::shared_ptr<FdmBlackScholesSolver> solver(
+        const boost::shared_ptr<FdmBlackScholesSolver> solver(
                 new FdmBlackScholesSolver(
                                 Handle<GeneralizedBlackScholesProcess>(process_),
                                 mesher, boundaries, conditions, calculator,
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
index a326125f3b..0d59f8c541 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
@@ -21,8 +21,6 @@
 
 #include <ql/exercise.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
@@ -30,7 +28,6 @@
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
 namespace QuantLib {
 
@@ -51,15 +48,13 @@ namespace QuantLib {
     void FdBlackScholesVanillaEngine::calculate() const {
 
         // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        std::vector<Size> dim(1, xGrid_);
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
+        // 2. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
 
-        // 2. Mesher
         const Time maturity = process_->time(arguments_.exercise->lastDate());
         const boost::shared_ptr<Fdm1dMesher> equityMesher(
             new FdmBlackScholesMesher(
@@ -67,59 +62,27 @@ namespace QuantLib {
                     Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                     std::pair<Real, Real>(payoff->strike(), 0.1)));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        boost::shared_ptr<FdmMesher> mesher (
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers(1, equityMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
                                      new FdmMesherComposite(layout, meshers));
         
-
         // 3. Calculator
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                       new FdmLogInnerValue(payoff, mesher, 0));
 
         // 4. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 4.1 Step condition if discrete dividends
-        if(!arguments_.cashFlow.empty()) {
-            boost::shared_ptr<FdmDividendHandler> dividendCondition(
-                new FdmDividendHandler(arguments_.cashFlow, mesher,
-                                       process_->riskFreeRate()->referenceDate(),
-                                       process_->riskFreeRate()->dayCounter(),
-                                       0));
-            stepConditions.push_back(dividendCondition);
-            stoppingTimes.push_back(dividendCondition->dividendTimes());
-        }
-
-        // 4.2 Step condition if american or bermudan exercise
-        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
-                   || arguments_.exercise->type() == Exercise::European
-                   || arguments_.exercise->type() == Exercise::Bermudan,
-                   "exercise type is not supported");
-        if (arguments_.exercise->type() == Exercise::American) {
-            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-                            new FdmAmericanStepCondition(mesher,calculator)));
-        }
-        else if (arguments_.exercise->type() == Exercise::Bermudan) {
-            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
-                new FdmBermudanStepCondition(
-                                    arguments_.exercise->dates(),
+        const boost::shared_ptr<FdmStepConditionComposite> conditions = 
+            FdmStepConditionComposite::vanillaComposite(
+                                    arguments_.cashFlow, arguments_.exercise, 
+                                    mesher, calculator, 
                                     process_->riskFreeRate()->referenceDate(),
-                                    process_->riskFreeRate()->dayCounter(),
-                                    mesher, calculator));
-            stepConditions.push_back(bermudanCondition);
-            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
-        }
-
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+                                    process_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
-        boost::shared_ptr<FdmBlackScholesSolver> solver(
+        const boost::shared_ptr<FdmBlackScholesSolver> solver(
                 new FdmBlackScholesSolver(
                              Handle<GeneralizedBlackScholesProcess>(process_),
                              mesher, boundaries, conditions, calculator,
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
index bef3a23090..71db0d42eb 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
@@ -50,8 +50,7 @@ namespace QuantLib {
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(vGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         // 2. Mesher
         const boost::shared_ptr<HestonProcess>& process = model_->process();
@@ -89,7 +88,7 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
         meshers.push_back(varianceMesher);
-        boost::shared_ptr<FdmMesher> mesher (
+        const boost::shared_ptr<FdmMesher> mesher (
                                      new FdmMesherComposite(layout, meshers));
 
         // 3. Calculator
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
index 9c487c7530..f2921f2564 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
@@ -21,9 +21,7 @@
 
 #include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
@@ -50,8 +48,7 @@ namespace QuantLib {
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(vGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         // 2. Mesher
         const boost::shared_ptr<HestonProcess>& process = model_->process();
@@ -89,35 +86,25 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
         meshers.push_back(varianceMesher);
-        boost::shared_ptr<FdmMesher> mesher (
+        const boost::shared_ptr<FdmMesher> mesher (
                                      new FdmMesherComposite(layout, meshers));
 
         // 3. Calculator
-        boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
+        const boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
                 new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(rebatePayoff, mesher, 0));
 
         // 4. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 4.1 Step condition if discrete dividends
-        boost::shared_ptr<FdmDividendHandler> dividendCondition(
-            new FdmDividendHandler(arguments_.cashFlow, mesher,
-                                   process->riskFreeRate()->referenceDate(),
-                                   process->riskFreeRate()->dayCounter(), 0));
-
-        if(!arguments_.cashFlow.empty()) {
-            stepConditions.push_back(dividendCondition);
-            stoppingTimes.push_back(dividendCondition->dividendTimes());
-        }
-
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "only european style option are supported");
 
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        const boost::shared_ptr<FdmStepConditionComposite> conditions = 
+             FdmStepConditionComposite::vanillaComposite(
+                                 arguments_.cashFlow, arguments_.exercise, 
+                                 mesher, calculator, 
+                                 process->riskFreeRate()->referenceDate(),
+                                 process->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index ef53e68f87..3bb12af9c9 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -24,9 +24,6 @@
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
@@ -81,8 +78,7 @@ namespace QuantLib {
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(vGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         // 2. Mesher
         const boost::shared_ptr<HestonProcess> process = model_->process();
@@ -126,57 +122,26 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
         meshers.push_back(varianceMesher);
-        boost::shared_ptr<FdmMesher> mesher(
+        const boost::shared_ptr<FdmMesher> mesher(
                                      new FdmMesherComposite(layout, meshers));
 
         // 3. Calculator
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                           new FdmLogInnerValue(arguments_.payoff, mesher, 0));
 
         // 4. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 4.1 Step condition if discrete dividends
-        if(!arguments_.cashFlow.empty()) {
-            boost::shared_ptr<FdmDividendHandler> dividendCondition(
-                new FdmDividendHandler(arguments_.cashFlow, mesher,
-                                       process->riskFreeRate()->referenceDate(),
-                                       process->riskFreeRate()->dayCounter(),
-                                       0));
-            stepConditions.push_back(dividendCondition);
-            stoppingTimes.push_back(dividendCondition->dividendTimes());
-        }
-
-        // 4.2 Step condition if american or bermudan exercise
-        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
-                   || arguments_.exercise->type() == Exercise::European
-                   || arguments_.exercise->type() == Exercise::Bermudan,
-                   "exercise type is not supported");
-
-        if (arguments_.exercise->type() == Exercise::American) {
-            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-                            new FdmAmericanStepCondition(mesher, calculator)));
-        }
-        else if (arguments_.exercise->type() == Exercise::Bermudan) {
-            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
-                new FdmBermudanStepCondition(
-                                    arguments_.exercise->dates(),
-                                    process->riskFreeRate()->referenceDate(),
-                                    process->riskFreeRate()->dayCounter(),
-                                    mesher, calculator));
-            stepConditions.push_back(bermudanCondition);
-            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
-        }
-
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        const boost::shared_ptr<FdmStepConditionComposite> conditions = 
+             FdmStepConditionComposite::vanillaComposite(
+                                 arguments_.cashFlow, arguments_.exercise, 
+                                 mesher, calculator, 
+                                 process->riskFreeRate()->referenceDate(),
+                                 process->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
-        boost::shared_ptr<FdmHestonSolver> solver = 
+        const boost::shared_ptr<FdmHestonSolver> solver = 
             FdmHestonLikeSolverFactory().create(Handle<HestonProcess>(process),
                                                 mesher, boundaries, conditions,
                                                 calculator, maturity, 
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
index aa06311eee..c39a5c1978 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
@@ -19,8 +19,16 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+
+#include <ql/exercise.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+
 
 namespace QuantLib {
 
@@ -71,4 +79,47 @@ namespace QuantLib {
         return boost::shared_ptr<FdmStepConditionComposite>(
             new FdmStepConditionComposite(stoppingTimes, conditions));
     }
+
+    boost::shared_ptr<FdmStepConditionComposite> 
+    FdmStepConditionComposite::vanillaComposite(
+                 const DividendSchedule& cashFlow,
+                 const boost::shared_ptr<Exercise>& exercise,
+                 const boost::shared_ptr<FdmMesher>& mesher,
+                 const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+                 const Date& refDate,
+                 const DayCounter& dayCounter) {
+        
+        std::list<std::vector<Time> > stoppingTimes;
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+
+        if(!cashFlow.empty()) {
+            boost::shared_ptr<FdmDividendHandler> dividendCondition(
+                new FdmDividendHandler(cashFlow, mesher,
+                                       refDate, dayCounter, 0));
+            stepConditions.push_back(dividendCondition);
+            stoppingTimes.push_back(dividendCondition->dividendTimes());
+        }
+
+        QL_REQUIRE(   exercise->type() == Exercise::American
+                   || exercise->type() == Exercise::European
+                   || exercise->type() == Exercise::Bermudan,
+                   "exercise type is not supported");
+        if (exercise->type() == Exercise::American) {
+            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+                          new FdmAmericanStepCondition(mesher,calculator)));
+        }
+        else if (exercise->type() == Exercise::Bermudan) {
+            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
+                new FdmBermudanStepCondition(exercise->dates(),
+                                             refDate, dayCounter,
+                                             mesher, calculator));
+            stepConditions.push_back(bermudanCondition);
+            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
+        }
+        
+        return boost::shared_ptr<FdmStepConditionComposite>(
+            new FdmStepConditionComposite(stoppingTimes, stepConditions));
+
+    }
+
 }
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
index f8fc23c55d..ad951409e4 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
@@ -26,12 +26,19 @@
 #ifndef quantlib_fdm_step_condition_composite_hpp
 #define quantlib_fdm_step_condition_composite_hpp
 
+#include <ql/time/date.hpp>
+#include <ql/time/daycounter.hpp>
+#include <ql/instruments/dividendschedule.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
+
 #include <set>
 
 namespace QuantLib {
 
+    class FdmMesher;
+    class Exercise;
     class FdmSnapshotCondition;
+    class FdmInnerValueCalculator;
     
     class FdmStepConditionComposite : public StepCondition<Array> {
     public:
@@ -48,6 +55,14 @@ namespace QuantLib {
         static boost::shared_ptr<FdmStepConditionComposite> joinConditions(
                     const boost::shared_ptr<FdmSnapshotCondition>& c1,
                     const boost::shared_ptr<FdmStepConditionComposite>& c2);
+
+        static boost::shared_ptr<FdmStepConditionComposite> vanillaComposite(
+             const DividendSchedule& schedule,
+             const boost::shared_ptr<Exercise>& exercise,
+             const boost::shared_ptr<FdmMesher>& mesher,
+             const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+             const Date& refDate,
+             const DayCounter& dayCounter);
         
     private:
         std::vector<Time> stoppingTimes_;

From 7364dec12baaa62e649abf0adc67a08b6789a658 Mon Sep 17 00:00:00 2001
From: markjoshi <markjoshi@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 11 Jan 2011 03:10:33 +0000
Subject: [PATCH 137/410] fixed size of deflator and derivates vector

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17571 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/marketmodels/pathwiseaccountingengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/models/marketmodels/pathwiseaccountingengine.cpp b/ql/models/marketmodels/pathwiseaccountingengine.cpp
index 095e0d0b46..d39595c031 100644
--- a/ql/models/marketmodels/pathwiseaccountingengine.cpp
+++ b/ql/models/marketmodels/pathwiseaccountingengine.cpp
@@ -38,7 +38,7 @@ namespace QuantLib {
         numerairesHeld_(product->numberOfProducts()),
         numberCashFlowsThisStep_(product->numberOfProducts()),
         cashFlowsGenerated_(product->numberOfProducts()) ,
-        deflatorAndDerivatives_(product->numberOfProducts()+1)
+        deflatorAndDerivatives_(pseudoRootStructure_->numberOfRates()+1)
     {
 
         numberRates_ = pseudoRootStructure_->numberOfRates();

From 90b3a06f0435cc0275a142fb11c9273010aa3c9c Mon Sep 17 00:00:00 2001
From: chris_kenyon <chris_kenyon@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 16 Jan 2011 18:39:57 +0000
Subject: [PATCH 138/410] New inflation functionality: CPI-linked swaps, bonds,
 and cap/floors.  These complement the existing year-on-year inflation
 functionality.  N.B. capped and floored coupons/pricers are not implemented
 TODO.  The tests check, carefully, for consistency, especially w.r.t.
 already-existing zero coupon inflation indexed swap Instruments.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17580 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/Makefile.am                      |   6 +
 ql/cashflows/all.hpp                          |   3 +
 ql/cashflows/baseindexedcashflow.cpp          |  79 +++
 ql/cashflows/baseindexedcashflow.hpp          |  95 ++++
 ql/cashflows/cpicoupon.cpp                    | 284 ++++++++++
 ql/cashflows/cpicoupon.hpp                    | 183 +++++++
 ql/cashflows/cpicouponpricer.cpp              | 159 ++++++
 ql/cashflows/cpicouponpricer.hpp              |  91 ++++
 ql/experimental/inflation/Makefile.am         |   4 +
 ql/experimental/inflation/all.hpp             |   2 +
 .../inflation/cpicapfloortermpricesurface.cpp | 135 +++++
 .../inflation/cpicapfloortermpricesurface.hpp | 361 +++++++++++++
 .../cpioptionletvolatilitystructure.cpp       | 198 +++++++
 .../cpioptionletvolatilitystructure.hpp       | 185 +++++++
 ql/instruments/Makefile.am                    |   4 +
 ql/instruments/all.hpp                        |   2 +
 ql/instruments/bonds/Makefile.am              |   2 +
 ql/instruments/bonds/all.hpp                  |   1 +
 ql/instruments/bonds/cpibond.cpp              |  82 +++
 ql/instruments/bonds/cpibond.hpp              |  88 +++
 ql/instruments/cpicapfloor.cpp                | 136 +++++
 ql/instruments/cpicapfloor.hpp                | 152 ++++++
 ql/instruments/cpiswap.cpp                    | 238 ++++++++
 ql/instruments/cpiswap.hpp                    | 226 ++++++++
 ql/pricingengines/inflation/Makefile.am       |   2 +
 ql/pricingengines/inflation/all.hpp           |   1 +
 .../inflation/cpicapfloorengines.cpp          | 110 ++++
 .../inflation/cpicapfloorengines.hpp          |  64 +++
 test-suite/Makefile.am                        |   2 +
 test-suite/inflationcpicapfloor.cpp           | 461 ++++++++++++++++
 test-suite/inflationcpicapfloor.hpp           |  43 ++
 test-suite/inflationcpiswap.cpp               | 508 ++++++++++++++++++
 test-suite/inflationcpiswap.hpp               |  39 ++
 test-suite/quantlibtestsuite.cpp              |   4 +
 34 files changed, 3950 insertions(+)
 create mode 100755 ql/cashflows/baseindexedcashflow.cpp
 create mode 100755 ql/cashflows/baseindexedcashflow.hpp
 create mode 100755 ql/cashflows/cpicoupon.cpp
 create mode 100755 ql/cashflows/cpicoupon.hpp
 create mode 100755 ql/cashflows/cpicouponpricer.cpp
 create mode 100755 ql/cashflows/cpicouponpricer.hpp
 create mode 100755 ql/experimental/inflation/cpicapfloortermpricesurface.cpp
 create mode 100755 ql/experimental/inflation/cpicapfloortermpricesurface.hpp
 create mode 100755 ql/experimental/inflation/cpioptionletvolatilitystructure.cpp
 create mode 100755 ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
 create mode 100755 ql/instruments/bonds/cpibond.cpp
 create mode 100755 ql/instruments/bonds/cpibond.hpp
 create mode 100755 ql/instruments/cpicapfloor.cpp
 create mode 100755 ql/instruments/cpicapfloor.hpp
 create mode 100755 ql/instruments/cpiswap.cpp
 create mode 100755 ql/instruments/cpiswap.hpp
 create mode 100755 ql/pricingengines/inflation/cpicapfloorengines.cpp
 create mode 100755 ql/pricingengines/inflation/cpicapfloorengines.hpp
 create mode 100755 test-suite/inflationcpicapfloor.cpp
 create mode 100755 test-suite/inflationcpicapfloor.hpp
 create mode 100755 test-suite/inflationcpiswap.cpp
 create mode 100755 test-suite/inflationcpiswap.hpp

diff --git a/ql/cashflows/Makefile.am b/ql/cashflows/Makefile.am
index d50ce0f92c..7830c22b63 100644
--- a/ql/cashflows/Makefile.am
+++ b/ql/cashflows/Makefile.am
@@ -5,6 +5,7 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     averagebmacoupon.hpp \
+    baseindexedcashflow.hpp \
     capflooredcoupon.hpp \
     capflooredinflationcoupon.hpp \
     cashflows.hpp \
@@ -13,6 +14,8 @@ this_include_HEADERS = \
     conundrumpricer.hpp \
     coupon.hpp \
     couponpricer.hpp \
+    cpicoupon.hpp \
+    cpicouponpricer.hpp \
     digitalcmscoupon.hpp \
     digitalcoupon.hpp \
     digitaliborcoupon.hpp \
@@ -33,6 +36,7 @@ this_include_HEADERS = \
 
 libCashFlows_la_SOURCES = \
     averagebmacoupon.cpp \
+    baseindexedcashflow.cpp \
     capflooredcoupon.cpp \
     capflooredinflationcoupon.cpp \
     cashflows.cpp \
@@ -41,6 +45,8 @@ libCashFlows_la_SOURCES = \
     conundrumpricer.cpp \
     coupon.cpp \
     couponpricer.cpp \
+    cpicoupon.cpp \
+    cpicouponpricer.cpp \
     digitalcmscoupon.cpp \
     digitalcoupon.cpp \
     digitaliborcoupon.cpp \
diff --git a/ql/cashflows/all.hpp b/ql/cashflows/all.hpp
index 738d2f9e5c..ac8232fc50 100644
--- a/ql/cashflows/all.hpp
+++ b/ql/cashflows/all.hpp
@@ -2,6 +2,7 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/cashflows/averagebmacoupon.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
 #include <ql/cashflows/capflooredcoupon.hpp>
 #include <ql/cashflows/capflooredinflationcoupon.hpp>
 #include <ql/cashflows/cashflows.hpp>
@@ -10,6 +11,8 @@
 #include <ql/cashflows/conundrumpricer.hpp>
 #include <ql/cashflows/coupon.hpp>
 #include <ql/cashflows/couponpricer.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/cpicouponpricer.hpp>
 #include <ql/cashflows/digitalcmscoupon.hpp>
 #include <ql/cashflows/digitalcoupon.hpp>
 #include <ql/cashflows/digitaliborcoupon.hpp>
diff --git a/ql/cashflows/baseindexedcashflow.cpp b/ql/cashflows/baseindexedcashflow.cpp
new file mode 100755
index 0000000000..48ce67f924
--- /dev/null
+++ b/ql/cashflows/baseindexedcashflow.cpp
@@ -0,0 +1,79 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+
+
+#include <ql/cashflows/baseindexedcashflow.hpp>
+#include <ql/index.hpp>
+#include <ql/indexes/inflationindex.hpp>
+
+ 
+namespace QuantLib {
+
+	
+	Date BaseIndexedCashFlow::baseDate() const {
+		// you may not have a valid date
+		exit(-1);
+	}
+	
+	Real BaseIndexedCashFlow::baseFixing() const {
+		return baseFixing_;
+	}
+	
+	Real BaseIndexedCashFlow::amount() const {
+        Real I0 = baseFixing();
+        Real I1;
+		
+		// what interpolation do we use? Index / flat / linear
+		if (interpolation() == iiINDEX ) {
+			I1 = index()->fixing(fixingDate()); 
+		} else {
+			// work out what it should be
+			//std::cout << fixingDate() << " and " << frequency() << std::endl;
+			//std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+			//std::cout << fixingDate() << " and " << dd.first << " " << dd.second << std::endl;
+			// work out what it should be
+			std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+			Real indexStart = index()->fixing(dd.first);
+			if (interpolation() == iiLINEAR) {
+				Real indexEnd = index()->fixing(dd.second+Period(1,Days));
+				// linear interpolation 
+				//std::cout << indexStart << " and " << indexEnd << std::endl;
+				I1 = indexStart + (indexEnd - indexStart) * (fixingDate() - dd.first) 
+				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
+			} else {
+				// no interpolation, i.e. flat = constant, so use start-of-period value
+				I1 = indexStart;
+			}
+			
+		}
+		
+		
+        if (growthOnly())
+            return notional() * (I1 / I0 - 1.0);
+        else
+            return notional() * (I1 / I0);
+    }
+	
+
+}
+
+
+
+
diff --git a/ql/cashflows/baseindexedcashflow.hpp b/ql/cashflows/baseindexedcashflow.hpp
new file mode 100755
index 0000000000..f0793398b0
--- /dev/null
+++ b/ql/cashflows/baseindexedcashflow.hpp
@@ -0,0 +1,95 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file baseindexedcashflow.hpp
+ \brief Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
+ */
+
+#ifndef quantlib_baseindexed_cash_flow_hpp
+#define quantlib_baseindexed_cash_flow_hpp
+
+#include <ql/cashflow.hpp>
+#include <ql/cashflows/indexedcashflow.hpp>
+#include <ql/index.hpp>
+
+namespace QuantLib {
+
+    class QuantLib::Index;
+
+	//! when you observe an index, how do you interpolate between fixings?
+	//! \enum as the index, keep flat, or linear
+	enum indexInterpolationType {
+		iiINDEX = 0, iiFLAT = 1, iiLINEAR = 2
+	};
+	
+    //! Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
+    /*! As index cashflow but also is relative to a fixed value which is not the index,
+	    basically just an additional constructor.
+     */
+    class BaseIndexedCashFlow : public IndexedCashFlow {
+      public:
+        BaseIndexedCashFlow(Real notional,
+							const boost::shared_ptr<Index> &index,
+							const Date& baseDate,
+							Real baseFixing, 
+							const Date& fixingDate,
+							const Date& paymentDate,
+							bool growthOnly = false,
+							indexInterpolationType interpolation = iiINDEX, 
+							const Frequency &frequency = QuantLib::NoFrequency
+							)
+        : IndexedCashFlow(notional, index, baseDate, fixingDate, paymentDate, growthOnly),
+		  baseFixing_(baseFixing), interpolation_(interpolation), frequency_(frequency)
+		{
+			QL_REQUIRE(fabs(baseFixing_)>1e-16,"|baseFixing|<1e-16, future divide-by-zero error");
+			if(interpolation_ != iiINDEX){
+				QL_REQUIRE(frequency_ != QuantLib::NoFrequency,"non-index interpolation w/o frequency");
+			}
+				
+			indexInterpolationType hi;
+			hi = iiINDEX;
+		}
+		
+		//! value used for index on base date - does not have to agree with index on that date
+		virtual Real baseFixing() const;
+		//! you may not have a valid date
+		virtual Date baseDate() const;
+		
+		//! do you want linear/constant/as-index interpolation of future data?  
+		virtual indexInterpolationType interpolation() const { return interpolation_; }
+		virtual Frequency frequency() const { return frequency_; }
+        
+		//! redefine to use baseFixing() and interpolation
+		virtual Real amount() const;
+		
+	protected:
+		Real baseFixing_;
+		indexInterpolationType interpolation_;
+		Frequency frequency_;
+	};
+
+}
+
+
+
+
+
+
+
+#endif
diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
new file mode 100755
index 0000000000..9a16ef9bd9
--- /dev/null
+++ b/ql/cashflows/cpicoupon.cpp
@@ -0,0 +1,284 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+
+
+#include <ql/cashflows/inflationcoupon.hpp>
+#include <ql/cashflows/cashflowvectors.hpp>
+#include <ql/time/daycounters/thirty360.hpp>
+
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/cpicouponpricer.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+
+namespace QuantLib {
+    
+	CPICoupon::
+    CPICoupon(
+			  const Real baseCPI,	// user provided
+			  const Date& paymentDate,
+			  Real nominal,
+			  const Date& startDate,
+			  const Date& endDate,
+			  Natural fixingDays,
+			  const boost::shared_ptr<ZeroInflationIndex>& zeroIndex,
+			  const Period& observationLag,
+			  indexInterpolationType observationInterpolation,
+			  const DayCounter& dayCounter,
+			  Real fixedRate, // aka gearing
+			  Spread spread,
+			  const Date& refPeriodStart,
+			  const Date& refPeriodEnd)
+    : InflationCoupon(paymentDate, nominal, startDate, endDate,
+					  fixingDays, zeroIndex, observationLag,
+					  dayCounter, refPeriodStart, refPeriodEnd),
+		baseCPI_(baseCPI), fixedRate_(fixedRate), spread_(spread), 
+		observationInterpolation_(observationInterpolation) {
+		
+			QL_REQUIRE(fabs(baseCPI_) > 1e-16,
+					   "|baseCPI_| < 1e-16, future divide-by-zero problem");
+		}
+
+	
+    void CPICoupon::accept(AcyclicVisitor& v) {
+        Visitor<CPICoupon>* v1 =
+        dynamic_cast<Visitor<CPICoupon>*>(&v);
+        if (v1 != 0)
+            v1->visit(*this);
+        else
+            InflationCoupon::accept(v);
+    }
+
+
+    bool CPICoupon::checkPricerImpl(
+        const boost::shared_ptr<InflationCouponPricer>&pricer) const {
+        return boost::dynamic_pointer_cast<CPICouponPricer>(pricer);
+    }
+	
+	
+	Rate CPICoupon::indexFixing(const Date &d) const {
+		// you may want to modify the interpolation of the index
+		// this gives you the chance
+		
+		Rate I1;
+		// what interpolation do we use? Index / flat / linear
+		if (observationInterpolation() == iiINDEX ) {
+			I1 = cpiIndex()->fixing(d); 
+			
+		} else {
+			// work out what it should be
+			std::pair<Date,Date> dd = inflationPeriod(d, cpiIndex()->frequency());
+			Real indexStart = cpiIndex()->fixing(dd.first);
+			if (observationInterpolation() == iiLINEAR) {
+				Real indexEnd = cpiIndex()->fixing(dd.second+Period(1,Days));
+				// linear interpolation 
+				I1 = indexStart + (indexEnd - indexStart) * (d - dd.first) 
+				/ (Real)( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
+			} else {
+				// no interpolation, i.e. flat = constant, so use start-of-period value
+				I1 = indexStart;
+			}
+			
+		}
+		return I1;
+	}
+	
+	
+	CPILeg::CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
+			 	   const Real baseCPI, const Period& observationLag) : 
+	schedule_(schedule), index_(index),
+	baseCPI_(baseCPI), observationLag_(observationLag),
+	paymentDayCounter_(Thirty360()),
+	paymentAdjustment_(ModifiedFollowing),
+	fixingDays_(std::vector<Natural>(1,0)),
+	observationInterpolation_(iiINDEX),
+	subtractInflationNominal_(true),
+	spreads_(std::vector<Real>(1,0))
+	{}
+	
+	
+	CPILeg& CPILeg::withObservationInterplation(indexInterpolationType interp) {
+        observationInterpolation_ = interp;
+        return *this;
+    }
+	
+	
+	CPILeg& CPILeg::withFixedRates(Real fixedRate) {
+        fixedRates_ = std::vector<Real>(1,fixedRate);
+        return *this;
+    }
+	
+    CPILeg& CPILeg::withFixedRates(const std::vector<Real>& fixedRates) {
+		fixedRates_ =	fixedRates;
+		return *this;
+	}
+
+    CPILeg& CPILeg::withNotionals(Real notional) {
+        notionals_ = std::vector<Real>(1,notional);
+        return *this;
+    }
+
+    CPILeg& CPILeg::withNotionals(const std::vector<Real>& notionals) {
+        notionals_ = notionals;
+        return *this;
+    }
+
+	CPILeg& CPILeg::withSubtractInflationNominal(bool growthOnly) {
+        subtractInflationNominal_ = growthOnly;
+        return *this;
+    }
+	
+    CPILeg& CPILeg::withPaymentDayCounter(const DayCounter& dayCounter) {
+        paymentDayCounter_ = dayCounter;
+        return *this;
+    }
+
+    CPILeg& CPILeg::withPaymentAdjustment(BusinessDayConvention convention) {
+        paymentAdjustment_ = convention;
+        return *this;
+    }
+
+	CPILeg& CPILeg::withFixingDays(Natural fixingDays) {
+        fixingDays_ = std::vector<Natural>(1,fixingDays);
+        return *this;
+    }
+	
+    CPILeg& CPILeg::withFixingDays(const std::vector<Natural>& fixingDays) {
+        fixingDays_ = fixingDays;
+        return *this;
+    }
+	
+    CPILeg& CPILeg::withSpreads(Spread spread) {
+        spreads_ = std::vector<Spread>(1,spread);
+        return *this;
+    }
+
+    CPILeg& CPILeg::withSpreads(const std::vector<Spread>& spreads) {
+        spreads_ = spreads;
+        return *this;
+    }
+
+    CPILeg& CPILeg::withCaps(Rate cap) {
+        caps_ = std::vector<Rate>(1,cap);
+        return *this;
+    }
+
+    CPILeg& CPILeg::withCaps(const std::vector<Rate>& caps) {
+        caps_ = caps;
+        return *this;
+    }
+
+    CPILeg& CPILeg::withFloors(Rate floor) {
+        floors_ = std::vector<Rate>(1,floor);
+        return *this;
+    }
+
+    CPILeg& CPILeg::withFloors(const std::vector<Rate>& floors) {
+        floors_ = floors;
+        return *this;
+    }
+
+
+    CPILeg::operator Leg() const {
+		
+		QL_REQUIRE(!notionals_.empty(), "no notional given");
+        Size n = schedule_.size()-1;
+		Calendar calendar = schedule_.calendar();
+		Leg leg; 
+		leg.reserve(n+1);	// +1 for notional, we always have some sort ...
+		if (n>0) {
+			QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(), 
+					   "no fixedRates or spreads given");
+	
+			Date refStart, start, refEnd, end;
+			Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
+			
+			for (Size i=0; i<n; ++i) {
+				refStart = start = schedule_.date(i);
+				refEnd   =   end = schedule_.date(i+1);
+				Date paymentDate = calendar.adjust(end, paymentAdjustment_);
+				if (i==0   && !schedule_.isRegular(i+1)) {
+					BusinessDayConvention bdc = schedule_.businessDayConvention();
+					refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
+				}
+				if (i==n-1 && !schedule_.isRegular(i+1)) {
+					BusinessDayConvention bdc = schedule_.businessDayConvention();
+					refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
+				}
+				if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
+					leg.push_back(boost::shared_ptr<CashFlow>
+								  (new FixedRateCoupon
+								   (paymentDate, detail::get(notionals_, i, 0.0),
+									detail::effectiveFixedRate(spreads_,caps_,floors_,i),
+									paymentDayCounter_, start, end, refStart, refEnd)));
+				} else { // zero inflation coupon
+					if (detail::noOption(caps_, floors_, i)) { // just swaplet
+						boost::shared_ptr<CPICoupon> coup;
+						
+						coup = boost::shared_ptr<CPICoupon>
+							(new CPICoupon(baseCPI_,	// all have same base for ratio
+									 paymentDate,
+									 detail::get(notionals_, i, 0.0),
+									 start, end,
+									 detail::get(fixingDays_, i, 0.0),
+									 index_, observationLag_,
+									 observationInterpolation_,
+									 paymentDayCounter_,
+									 detail::get(fixedRates_, i, 0.0),
+									 detail::get(spreads_, i, 0.0),
+									 refStart, refEnd));
+						
+						// in this case you can set a pricer
+						// straight away because it only provides computation - not data
+						boost::shared_ptr<CPICouponPricer> pricer
+							(new CPICouponPricer);
+						coup->setPricer(pricer);
+						leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
+			
+					} else  {     // cap/floorlet        
+						QL_FAIL("caps/floors on CPI coupons not implemented.");
+					}
+				}
+			}
+		}
+		
+		// in CPI legs you always have a notional flow of some sort
+		Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
+		Date fixingDate = paymentDate - observationLag_;
+		boost::shared_ptr<CashFlow> xnl(new BaseIndexedCashFlow
+						  (detail::get(notionals_, n, 0.0), index_,
+						   Date(), // is fake, i.e. you do not have one
+						   baseCPI_, fixingDate, paymentDate,
+						   subtractInflationNominal_, observationInterpolation_, 
+						   index_->frequency())
+						 );
+		leg.push_back(xnl);
+        
+
+        return leg;
+    }
+
+
+
+
+
+
+} // namespace RiskLib
+
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
new file mode 100755
index 0000000000..152c258e14
--- /dev/null
+++ b/ql/cashflows/cpicoupon.hpp
@@ -0,0 +1,183 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file cpicoupon.hpp
+ \brief Coupon paying a zero inflation index
+ */
+
+#ifndef quantlib_cpicoupon_hpp
+#define quantlib_cpicoupon_hpp
+
+#include <boost/shared_ptr.hpp>
+#include <ql/cashflows/inflationcoupon.hpp>
+#include <ql/indexes/inflationindex.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
+#include <ql/time/schedule.hpp>
+
+
+namespace QuantLib {
+	
+    class CPICouponPricer;
+
+    //! %Coupon paying a cpi aka zero-inflation type index relative to an index value on the baseDate
+	//! This is more sophisticated than an %IndexedCashFlow because it does date calculations
+	//! itself.  
+	//!
+	//! \todo N.B. we do not do any convexity adjustment for lags different to the natural ZCIIS
+	//! lag that was used to create the forward inflation curve.
+	//!
+	//! The other inflation value is taken from the refPeriodEnd date with observation lag,
+	//! so any roll/callendar etc will be built in by the caller.  By default this is done
+	//! in the InflationCoupon which uses ModifiedPreceeding with fixing days assumed positive
+	//! meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).
+    class CPICoupon : public InflationCoupon {
+    public:
+		CPICoupon(const Real baseCPI,	// user provided, could be arbitrary
+							const Date& paymentDate,
+							Real nominal,
+							const Date& startDate,
+							const Date& endDate,
+							Natural fixingDays,
+							const boost::shared_ptr<ZeroInflationIndex>& index,
+							const Period& observationLag,
+							indexInterpolationType observationInterpolation,
+							const DayCounter& dayCounter,
+							Real fixedRate, // aka gearing
+							Spread spread = 0.0,
+							const Date& refPeriodStart = Date(),
+							const Date& refPeriodEnd = Date()
+							);
+		
+		
+        //! \name Inspectors
+        //@{
+        //! fixed rate that will be inflated by the index ratio
+        Real fixedRate() const;
+        //! spread paid over the fixing of the underlying index
+        Spread spread() const;
+
+		//! adjusted fixing has already divided by the baseFixing() from the baseDate
+        Rate adjustedFixing() const;
+		//! you may want a different interpolation from the index, so reimplement here
+		Rate indexFixing() const;
+		//! \wrning make sure that the interpolation used to create this is what you 
+		//! are using for the fixing, i.e. the observationInterpolation.
+		Rate baseCPI() const;
+		//! how do you observe the index?  as-is, flat, linear?
+		indexInterpolationType observationInterpolation() const;
+		//! utility method, calls indexFixing
+		Rate indexObservation(const Date& onDate) const;
+		//! index used (cannot be a reference type because uses a dynamic_pointer_cast)
+        boost::shared_ptr<ZeroInflationIndex> cpiIndex() const;
+        //@}
+		
+        //! \name Visitability
+        //@{
+        virtual void accept(AcyclicVisitor&);
+        //@}
+		
+    protected:
+		Real baseCPI_;
+		indexInterpolationType observationInterpolation_;
+        Real fixedRate_;
+        Spread spread_;
+        
+		bool checkPricerImpl(const boost::shared_ptr<InflationCouponPricer>&) const;
+		
+		//! use to calculate for fixing date, allows change of interpolation w.r.t. index
+		//! can also be used ahead of time
+		Rate indexFixing(const Date &) const;
+    };
+
+	
+	inline Real CPICoupon::fixedRate() const 
+	{ return fixedRate_; }
+	
+	inline Real CPICoupon::spread() const 
+	{ return spread_; }
+	
+    inline Rate CPICoupon::adjustedFixing() const 
+	{ return (rate()-spread())/fixedRate(); }
+
+	inline Rate CPICoupon::indexFixing() const 
+	{ return indexFixing(fixingDate()); }
+	
+	inline Rate CPICoupon::baseCPI() const
+	{ return baseCPI_; }
+	
+	inline indexInterpolationType CPICoupon::observationInterpolation() const 
+	{ return observationInterpolation_; }
+	
+	inline Rate CPICoupon::indexObservation(const Date& onDate) const 
+	{ return indexFixing(onDate); }
+	
+    inline boost::shared_ptr<ZeroInflationIndex> CPICoupon::cpiIndex() const 
+	{ return boost::dynamic_pointer_cast<ZeroInflationIndex>(index()); }
+	
+	
+	
+    //! Helper class building a sequence of capped/floored zero inflation coupons
+	//! also allowing for the inflated notional at the end ... especially if there is 
+	//! only one date in the schedule.  If a fixedRate is zero you get a FixedRateCoupon
+	//! otherwise you get a ZeroInflationCoupon.
+    //! payoff is: spread + fixedRate x index
+    class CPILeg {
+    public:
+		CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
+			   const Real baseCPI, const Period& observationLag);
+        CPILeg& withNotionals(Real notional);
+        CPILeg& withNotionals(const std::vector<Real>& notionals);
+		CPILeg& withFixedRates(Real fixedRate);
+		CPILeg& withFixedRates(const std::vector<Real>& fixedRates);
+        CPILeg& withPaymentDayCounter(const DayCounter&);
+        CPILeg& withPaymentAdjustment(BusinessDayConvention);
+		CPILeg& withFixingDays(Natural fixingDays);
+		CPILeg& withFixingDays(const std::vector<Natural>& fixingDays);
+		CPILeg& withObservationInterplation(indexInterpolationType);
+		CPILeg& withSubtractInflationNominal(bool);
+        CPILeg& withSpreads(Spread spread);
+        CPILeg& withSpreads(const std::vector<Spread>& spreads);
+        CPILeg& withCaps(Rate cap);
+        CPILeg& withCaps(const std::vector<Rate>& caps);
+        CPILeg& withFloors(Rate floor);
+        CPILeg& withFloors(const std::vector<Rate>& floors);
+        operator Leg() const;
+
+    private:
+		Schedule schedule_;
+		boost::shared_ptr<ZeroInflationIndex> index_;
+		Real baseCPI_;
+        Period observationLag_;
+		std::vector<Real> notionals_;
+		std::vector<Real> fixedRates_;	// aka gearing
+		DayCounter paymentDayCounter_;
+        BusinessDayConvention paymentAdjustment_;
+		std::vector<Natural> fixingDays_;
+		indexInterpolationType observationInterpolation_;
+		bool subtractInflationNominal_;
+        std::vector<Spread> spreads_;
+        std::vector<Rate> caps_, floors_;
+    };
+
+
+
+}
+
+#endif
+
diff --git a/ql/cashflows/cpicouponpricer.cpp b/ql/cashflows/cpicouponpricer.cpp
new file mode 100755
index 0000000000..d6fee26d81
--- /dev/null
+++ b/ql/cashflows/cpicouponpricer.cpp
@@ -0,0 +1,159 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#include <ql/cashflows/cpicouponpricer.hpp>
+#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
+
+
+namespace QuantLib {
+	
+    CPICouponPricer::
+    CPICouponPricer(const Handle<CPIOptionletVolatilitySurface>& capletVol)
+    : capletVol_(capletVol) {
+
+        if( !capletVol_.empty() ) registerWith(capletVol_);
+    }
+
+
+    void CPICouponPricer::setCapletVolatility(
+       const Handle<CPIOptionletVolatilitySurface>& capletVol) {
+        QL_REQUIRE(!capletVol.empty(),"empty capletVol handle")
+        capletVol_ = capletVol;
+        registerWith(capletVol_);
+    }
+
+
+    Real CPICouponPricer::floorletPrice(Rate effectiveFloor) const{
+        Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
+        return gearing_ * floorletPrice;
+    }
+
+    Real CPICouponPricer::capletPrice(Rate effectiveCap) const{
+        Real capletPrice = optionletPrice(Option::Call, effectiveCap);
+        return gearing_ * capletPrice;
+    }
+
+
+    Rate CPICouponPricer::floorletRate(Rate effectiveFloor) const{
+        return floorletPrice(effectiveFloor)/
+        (coupon_->accrualPeriod()*discount_);
+    }
+
+    Rate CPICouponPricer::capletRate(Rate effectiveCap) const{
+        return capletPrice(effectiveCap)/(coupon_->accrualPeriod()*discount_);
+    }
+
+
+    Real CPICouponPricer::optionletPriceImp(Option::Type optionType,
+                                                     Real effStrike,
+                                                     Real forward,
+                                                     Real stdDev
+                                   ) const {
+        QL_FAIL("you must implement this to get a vol-dependent price");
+        return effStrike*forward*stdDev*optionType;
+    }
+
+
+    Real CPICouponPricer::optionletPrice(Option::Type optionType,
+                                                  Real effStrike) const {
+        Date fixingDate = coupon_->fixingDate();
+        if (fixingDate <= Settings::instance().evaluationDate()) {
+            // the amount is determined
+            Real a, b;
+            if (optionType==Option::Call) {
+                a = coupon_->indexFixing();
+                b = effStrike;
+            } else {
+                a = effStrike;
+                b = coupon_->indexFixing();
+            }
+            return std::max(a - b, 0.0)* coupon_->accrualPeriod()*discount_;
+        } else {
+            // not yet determined, use Black/DD1/Bachelier/whatever from Impl
+            QL_REQUIRE(!capletVolatility().empty(),
+                       "missing optionlet volatility");
+            Real stdDev =
+            std::sqrt(capletVolatility()->totalVariance(fixingDate,
+                                                        effStrike));
+            Rate fixing = optionletPriceImp(optionType,
+                                            effStrike,
+                                            adjustedFixing(),
+                                            stdDev);
+            return fixing * coupon_->accrualPeriod() * discount_;
+        }
+    }
+
+
+    Rate CPICouponPricer::adjustedFixing(Rate fixing) const {
+
+        if (fixing == Null<Rate>())
+            fixing = coupon_->indexFixing() / coupon_->baseCPI();
+		//std::cout << " adjustedFixing " << fixing << std::endl;
+        // no adjustment
+        return fixing;
+    }
+
+
+    void CPICouponPricer::initialize(const InflationCoupon& coupon) {
+        coupon_ = dynamic_cast<const CPICoupon*>(&coupon);
+        gearing_ = coupon_->fixedRate();
+        spread_ = coupon_->spread();
+        paymentDate_ = coupon_->date();
+        rateCurve_ = boost::dynamic_pointer_cast<ZeroInflationIndex>(coupon.index())
+            ->zeroInflationTermStructure()
+            ->nominalTermStructure();
+
+        // past or future fixing is managed in YoYInflationIndex::fixing()
+        // use yield curve from index (which sets discount)
+
+        discount_ = 1.0;
+        if (paymentDate_ > rateCurve_->referenceDate())
+            discount_ = rateCurve_->discount(paymentDate_);
+
+        spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
+
+    }
+
+
+    Real CPICouponPricer::swapletPrice() const {
+
+        Real swapletPrice = adjustedFixing() * coupon_->accrualPeriod() * discount_;
+		//std::cout << swapletPrice << " SWAPLET price" << std::endl;
+        return gearing_ * swapletPrice + spreadLegValue_;
+    }
+
+
+    Rate CPICouponPricer::swapletRate() const {
+        // This way we do not require the index to have
+        // a yield curve, i.e. we do not get the problem
+        // that a discounting-instrument-pricer is used
+        // with a different yield curve
+		//std::cout << (gearing_ * adjustedFixing() + spread_) << " SWAPLET rate" << gearing_ << " " << spread_ << std::endl;
+        return gearing_ * adjustedFixing() + spread_;
+    }
+
+    //=========================================================================
+    // vol-dependent pricers, note that these do not discount
+    //=========================================================================
+
+/*
+    NOT IMPLEMENTED
+*/
+
+}
diff --git a/ql/cashflows/cpicouponpricer.hpp b/ql/cashflows/cpicouponpricer.hpp
new file mode 100755
index 0000000000..c6136b8e37
--- /dev/null
+++ b/ql/cashflows/cpicouponpricer.hpp
@@ -0,0 +1,91 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file zeroinflationcouponpricer.hpp
+ \brief zero inflation-coupon pricer
+ */
+
+#ifndef quantlib_cpicouponpricer_hpp
+#define quantlib_cpicouponpricer_hpp
+
+#include <ql/cashflow.hpp>
+#include <ql/option.hpp>
+#include <ql/cashflows/inflationcouponpricer.hpp>
+
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
+
+namespace QuantLib {
+
+    //! base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
+    /*! \note this pricer can already do swaplets but to get
+              volatility-dependent coupons you need to implement the descendents.
+    */
+    class CPICouponPricer : public InflationCouponPricer {
+    public:
+        CPICouponPricer(const Handle<CPIOptionletVolatilitySurface>& capletVol
+                                 = Handle<CPIOptionletVolatilitySurface>());
+
+        virtual Handle<CPIOptionletVolatilitySurface> capletVolatility() const{
+            return capletVol_;
+        }
+
+        virtual void setCapletVolatility(
+            const Handle<CPIOptionletVolatilitySurface>& capletVol);
+
+
+        //! \name InflationCouponPricer interface
+        //@{
+        virtual Real swapletPrice() const;
+        virtual Rate swapletRate() const;
+        virtual Real capletPrice(Rate effectiveCap) const;
+        virtual Rate capletRate(Rate effectiveCap) const;
+        virtual Real floorletPrice(Rate effectiveFloor) const;
+        virtual Rate floorletRate(Rate effectiveFloor) const;
+        virtual void initialize(const InflationCoupon&);
+        //@}
+
+
+    protected:
+        //! can replace this if really required
+        virtual Real optionletPrice(Option::Type optionType,
+                                    Real effStrike) const;
+
+        //! usually only need implement this (of course they may need
+        //! to re-implement initialize too ...)
+        virtual Real optionletPriceImp(Option::Type, Real strike,
+                                       Real forward, Real stdDev) const;
+        virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
+
+        //! data
+        Handle<CPIOptionletVolatilitySurface> capletVol_;
+        const CPICoupon* coupon_;
+        Real gearing_;
+        Spread spread_;
+        Real discount_;
+        Real spreadLegValue_;
+    };
+
+	
+}	// namespace QuantLib
+
+
+#endif
+
+
diff --git a/ql/experimental/inflation/Makefile.am b/ql/experimental/inflation/Makefile.am
index af92254f55..5acaaff4fe 100644
--- a/ql/experimental/inflation/Makefile.am
+++ b/ql/experimental/inflation/Makefile.am
@@ -4,6 +4,8 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    cpicapfloortermpricesurface.hpp \
+    cpioptionletvolatilitystructure.hpp \
     genericindexes.hpp \
     interpolatedyoyoptionletstripper.hpp \
     kinterpolatedyoyoptionletvolatilitysurface.hpp \
@@ -15,6 +17,8 @@ this_include_HEADERS = \
     yoyinflationoptionletvolatilitystructure2.hpp
 
 libInflation_la_SOURCES = \
+    cpicapfloortermpricesurface.cpp \
+    cpioptionletvolatilitystructure.cpp \
     yoycapfloortermpricesurface.cpp \
     yoyoptionlethelpers.cpp
 
diff --git a/ql/experimental/inflation/all.hpp b/ql/experimental/inflation/all.hpp
index 86c78242eb..3e4167dfeb 100644
--- a/ql/experimental/inflation/all.hpp
+++ b/ql/experimental/inflation/all.hpp
@@ -1,6 +1,8 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
+#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
 #include <ql/experimental/inflation/genericindexes.hpp>
 #include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>
 #include <ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp>
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
new file mode 100755
index 0000000000..eccfe95207
--- /dev/null
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
@@ -0,0 +1,135 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
+
+
+namespace QuantLib {
+
+    CPICapFloorTermPriceSurface::
+    CPICapFloorTermPriceSurface(Real nominal, 
+								Real baseRate,						// avoids an uncontrolled crash if index has no TS
+								const Period &observationLag,
+								const Calendar &cal,				// calendar in index may not be useful
+								const BusinessDayConvention &bdc,
+								const DayCounter &dc,
+								const Handle<ZeroInflationIndex>& zii,
+								const Handle<YieldTermStructure>& yts,
+								const std::vector<Rate> &cStrikes,
+								const std::vector<Rate> &fStrikes,
+								const std::vector<Period> &cfMaturities,
+								const Matrix &cPrice,
+								const Matrix &fPrice)
+    : InflationTermStructure(0, cal, baseRate, observationLag, zii->frequency(), 
+							 zii->interpolated(), yts, dc),
+      bdc_(bdc), zii_(zii),
+      cStrikes_(cStrikes), fStrikes_(fStrikes),
+      cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice) {
+
+		  // does the index have a TS?
+		  QL_REQUIRE(!zii_->zeroInflationTermStructure().empty(),"ZITS missing from index");
+		  QL_REQUIRE(!this->nominalTermStructure().empty(),"nominal TS missing");
+		  	  
+        // data consistency checking, enough data?
+        QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");
+        QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");
+        QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");
+        QL_REQUIRE(fStrikes_.size() == fPrice.rows(),
+                   "floor strikes vs floor price rows not equal");
+        QL_REQUIRE(cStrikes_.size() == cPrice.rows(),
+                   "cap strikes vs cap price rows not equal");
+        QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),
+                   "maturities vs floor price columns not equal");
+        QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),
+                   "maturities vs cap price columns not equal");
+
+        // data has correct properties (positive, monotonic)?
+        for(Size j = 0; j <cfMaturities_.size(); j++) {
+            QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");
+            if(j>0) {
+                QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],
+                            "non-increasing maturities");
+            }
+            for(Size i = 0; i <fPrice_.rows(); i++) {
+                QL_REQUIRE( fPrice_[i][j] > 0.0,
+                            "non-positive floor price: " << fPrice_[i][j] );
+                if(i>0) {
+                    QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],
+                                "non-increasing floor prices");
+                }
+            }
+            for(Size i = 0; i <cPrice_.rows(); i++) {
+                QL_REQUIRE( cPrice_[i][j] > 0.0,
+                            "non-positive cap price: " << cPrice_[i][j] );
+                if(i>0) {
+                    QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],
+                                "non-decreasing cap prices: " 
+							   << cPrice_[i][j] << " then " << cPrice_[i-1][j]);
+                }
+            }
+        }
+
+
+        // Get the set of strikes, noting that repeats, overlaps are
+        // expected between caps and floors but that no overlap in the
+        // output is allowed so no repeats or overlaps are used
+        cfStrikes_ = std::vector<Rate>();
+        for(Size i = 0; i <fStrikes_.size(); i++)
+            cfStrikes_.push_back( fStrikes[i] );
+        Real eps = 0.0000001;
+        Rate maxFstrike = fStrikes_.back();
+        for(Size i = 0; i < cStrikes_.size(); i++) {
+            Rate k = cStrikes[i];
+            if (k > maxFstrike + eps) cfStrikes_.push_back(k);
+        }
+
+        // final consistency checking
+        QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");
+        for (Size i = 1; i < cfStrikes_.size(); i++)
+            QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],
+                        "cfStrikes not increasing");
+    }
+
+	
+    Date CPICapFloorTermPriceSurface::cpiOptionDateFromTenor(const Period& p) const
+    {
+        return Date(calendar().adjust(referenceDate() + p, businessDayConvention()));
+    }
+
+	
+	Real CPICapFloorTermPriceSurface::price(const Period &d, Rate k) const {
+        return this->price(cpiOptionDateFromTenor(d), k);
+    }
+	
+
+    Real CPICapFloorTermPriceSurface::capPrice(const Period &d, Rate k) const {
+        return this->capPrice(cpiOptionDateFromTenor(d), k);
+    }
+	
+
+    Real CPICapFloorTermPriceSurface::floorPrice(const Period &d, Rate k) const {
+        return this->floorPrice(cpiOptionDateFromTenor(d), k);
+    }
+	
+	
+    
+
+}
+
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
new file mode 100755
index 0000000000..8ab93b70a9
--- /dev/null
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
@@ -0,0 +1,361 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file cpicapfloortermpricesurface.hpp
+    \brief cpi inflation cap and floor term price structure.  N.B. 
+		   cpi cap/floors have a single (one) flow (unlike nominal
+		   caps) because they observe cumulative inflation up to
+		   their maturity.  Options are on CPI(T)/CPI(0) but strikes
+		   are quoted for yearly average inflation, so require transformation
+		   via (1+quote)^T to obtain actual strikes.  These are consistent
+		   with ZCIIS quoting conventions.
+ 
+	The single-flow property of CPI cap/floors means that no stripping
+	is required.  Additionally CPI swaps, i.e. ZCIIS zero coupon inflation
+	indexed swaps are usually the most liquid of all the inflation products.
+	These two facts mean that we can use a Zero Inflation term structure to
+	give ATM.
+ 
+*/
+
+#ifndef quantlib_cpi_capfloor_term_price_surface_hpp
+#define quantlib_cpi_capfloor_term_price_surface_hpp
+
+#include <ql/termstructures/inflationtermstructure.hpp>
+#include <ql/math/interpolation.hpp>
+#include <ql/math/interpolations/interpolation2d.hpp>
+#include <ql/experimental/inflation/polynomial2Dspline.hpp>
+#include <ql/indexes/inflationindex.hpp>
+
+
+namespace QuantLib {
+
+    //! Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).
+    /*! 
+		The inflation index MUST contain a ZeroInflationTermStructure as
+		this is used to create ATM.  Unlike YoY price surfaces we
+		assume that 1) an ATM ZeroInflationTermStructure is available
+		and 2) that it is safe to use it.  This is supported by the 
+		fact that no stripping is required for CPI cap/floors as they
+		only give one flow.
+
+		cpi cap/floors have a single (one) flow (unlike nominal
+		caps) because they observe cumulative inflation up to
+		their maturity.  Options are on CPI(T)/CPI(0) but strikes
+		are quoted for yearly average inflation, so require transformation
+		via (1+quote)^T to obtain actual strikes.  These are consistent
+		with ZCIIS quoting conventions.
+	 
+        The observationLag is that for the referenced instrument prices.
+		Strikes are as-quoted not as-used. 
+    */    
+    class CPICapFloorTermPriceSurface : public InflationTermStructure {
+      public:
+        CPICapFloorTermPriceSurface(Real nominal, 
+									Real baseRate,					// avoids an uncontrolled crash if index has no TS
+									const Period &observationLag,	
+									const Calendar &cal,				// calendar in index may not be useful
+									const BusinessDayConvention &bdc,
+									const DayCounter &dc,
+									const Handle<ZeroInflationIndex>& zii,
+									const Handle<YieldTermStructure>& yts,
+									const std::vector<Rate> &cStrikes,
+                                    const std::vector<Rate> &fStrikes,
+                                    const std::vector<Period> &cfMaturities,
+                                    const Matrix &cPrice,
+                                    const Matrix &fPrice);
+ 
+        //! is based on
+        Handle<ZeroInflationIndex> zeroInflationIndex() const { return zii_; }
+
+        //! inspectors
+        /*! \note you don't know if price() is a cap or a floor
+                  without checking the ZeroInflation ATM level.
+        */
+        //@{
+		virtual Real nominal() const { return nominal_; }
+		virtual Date baseDate() const { return zeroInflationIndex()->zeroInflationTermStructure()->baseDate(); }
+		virtual Rate baseRate() const { return baseRate_; }
+		virtual Period observationLag() const { return zeroInflationIndex()->zeroInflationTermStructure()->observationLag(); }
+		virtual BusinessDayConvention businessDayConvention() const { return bdc_; }
+
+		//! \warning you MUST remind the compiler in any descendants with the using:: mechanism 
+		//!          because you overload the names
+		//! remember that the strikes use the quoting convention
+		//@{
+		virtual Real price(const Period &d, Rate k) const;
+        virtual Real capPrice(const Period &d, Rate k) const;
+        virtual Real floorPrice(const Period &d, Rate k) const;
+		virtual Real price(const Date &d, Rate k) const = 0;
+		virtual Real capPrice(const Date &d, Rate k) const = 0;
+        virtual Real floorPrice(const Date &d, Rate k) const = 0;
+		//@}
+		
+        virtual std::vector<Rate> strikes() const {return cfStrikes_;}
+        virtual std::vector<Rate> capStrikes() const {return cStrikes_;}
+        virtual std::vector<Rate> floorStrikes() const {return fStrikes_;}
+        virtual std::vector<Period> maturities() const {return cfMaturities_;}
+		
+		virtual const Matrix &capPrices() const { return cPrice_; }
+		virtual const Matrix &floorPrices() const { return fPrice_; }
+		
+        virtual Rate minStrike() const {return cfStrikes_.front();};
+        virtual Rate maxStrike() const {return cfStrikes_.back();};
+        virtual Date minDate() const {return referenceDate()+cfMaturities_.front();}// \TODO deal with index interpolation
+        virtual Date maxDate() const {return referenceDate()+cfMaturities_.back();}
+        //@}
+
+		
+        virtual Date cpiOptionDateFromTenor(const Period& p) const;
+
+      protected:
+        virtual bool checkStrike(Rate K) {
+            return ( minStrike() <= K && K <= maxStrike() );
+        }
+        virtual bool checkMaturity(const Date& d) {
+            return ( minDate() <= d && d <= maxDate() );
+        }
+		
+		
+
+        Real nominal_;
+        BusinessDayConvention bdc_;
+        Handle<ZeroInflationIndex> zii_;
+        // data
+        std::vector<Rate> cStrikes_;
+        std::vector<Rate> fStrikes_;
+        std::vector<Period> cfMaturities_;
+        mutable std::vector<Real> cfMaturityTimes_;
+        Matrix cPrice_;
+        Matrix fPrice_;
+        // constructed
+        mutable std::vector<Rate> cfStrikes_;
+    };
+
+		
+
+    template<class Interpolator2D>
+    class InterpolatedCPICapFloorTermPriceSurface
+        : public CPICapFloorTermPriceSurface {
+			public:
+			InterpolatedCPICapFloorTermPriceSurface(Real nominal, 
+												Rate startRate,
+												const Period &observationLag,
+												const Calendar &cal,
+												const BusinessDayConvention &bdc,
+												const DayCounter &dc,
+												const Handle<ZeroInflationIndex>& zii,
+												const Handle<YieldTermStructure>& yts,
+												const std::vector<Rate> &cStrikes,
+												const std::vector<Rate> &fStrikes,
+												const std::vector<Period> &cfMaturities,
+												const Matrix &cPrice,
+												const Matrix &fPrice,
+												const Interpolator2D &interpolator2d = Interpolator2D());
+
+			//! \name LazyObject interface
+			//@{
+			void update();
+			void performCalculations() const;
+			//@}
+			
+			//! required to allow for method hiding
+			//@{
+			using CPICapFloorTermPriceSurface::price;
+			using CPICapFloorTermPriceSurface::capPrice;
+			using CPICapFloorTermPriceSurface::floorPrice;
+			//@}
+			
+			//! remember that the strikes use the quoting convention
+			//@{
+			virtual Real price(const Date &d, const Rate k) const;
+			virtual Real capPrice(const Date &d, Rate k) const;
+			virtual Real floorPrice(const Date &d, Rate k) const;
+			//@}
+			
+		protected:
+        
+			// data for surfaces and curve
+			mutable std::vector<Rate> allStrikes_;
+			mutable Matrix cPriceB_;
+			mutable Matrix fPriceB_;
+			mutable Interpolation2D capPrice_, floorPrice_;
+			mutable Interpolator2D interpolator2d_;
+    };
+
+
+
+    // template definitions, for some reason DOXYGEN doesn't like the first one
+
+    #ifndef __DOXYGEN__
+
+    template<class Interpolator2D>
+    InterpolatedCPICapFloorTermPriceSurface<Interpolator2D>::
+    InterpolatedCPICapFloorTermPriceSurface(Real nominal, 
+											Rate startRate,
+											const Period &observationLag,	
+											const Calendar &cal,
+											const BusinessDayConvention &bdc,
+											const DayCounter &dc,
+											const Handle<ZeroInflationIndex>& zii,
+											const Handle<YieldTermStructure>& yts,
+											const std::vector<Rate> &cStrikes,
+											const std::vector<Rate> &fStrikes,
+											const std::vector<Period> &cfMaturities,
+											const Matrix &cPrice,
+											const Matrix &fPrice,
+											const Interpolator2D &interpolator2d)
+    : CPICapFloorTermPriceSurface(nominal, startRate, observationLag, cal, bdc, dc,
+								  zii, yts, cStrikes, fStrikes, cfMaturities, cPrice, fPrice),
+      interpolator2d_(interpolator2d) {
+        performCalculations();
+    }
+
+    #endif
+
+	
+	
+    template<class I2D>
+    void InterpolatedCPICapFloorTermPriceSurface<I2D>::
+    update() {
+        notifyObservers();
+    }
+
+
+	//! set up the interpolations for capPrice_ and floorPrice_
+	//! since we know ATM, and we have single flows,
+	//! we can use put/call parity to extend the surfaces
+	//! across all strikes
+    template<class I2D>
+    void InterpolatedCPICapFloorTermPriceSurface<I2D>::
+    performCalculations() const {
+        
+		
+		Size nMat = cfMaturities_.size(), ncK = cStrikes_.size(), nfK = fStrikes_.size(),
+			nK = ncK + nfK;
+		Matrix cP(nK, nMat), fP(nK, nMat);
+		Handle<ZeroInflationTermStructure> zts = zii_->zeroInflationTermStructure();
+		Handle<YieldTermStructure> yts = this->nominalTermStructure();
+		QL_REQUIRE(!zts.empty(),"Zts is empty!!!");
+		QL_REQUIRE(!yts.empty(),"Yts is empty!!!");
+		
+		for (Size i =0; i<nfK; i++){
+			allStrikes_.push_back(fStrikes_[i]);
+			for (Size j=0; j<nMat; j++) {
+				Period mat = cfMaturities_[j];
+				Real df = yts->discount(cpiOptionDateFromTenor(mat));
+				Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
+				Real atm = pow(1.0+atm_quote, mat.length());
+				Real S = atm * df;
+				Real K_quote = fStrikes_[i]/100.0;
+				Real K = pow(1.0+K_quote, mat.length());
+				cP[i][j] = fPrice_[i][j] + S - K * df;
+				fP[i][j] = fPrice_[i][j];
+			}
+		}
+		for (Size i =0; i<ncK; i++){
+			allStrikes_.push_back(cStrikes_[i]);
+			for (Size j=0; j<nMat; j++) {
+				Period mat = cfMaturities_[j];
+				Real df = yts->discount(cpiOptionDateFromTenor(mat));
+				Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
+				Real atm = pow(1.0+atm_quote, mat.length());
+				Real S = atm * df;
+				Real K_quote = cStrikes_[i]/100.0;
+				Real K = pow(1.0+K_quote, mat.length());
+				cP[i+nfK][j] = cPrice_[i][j];
+				fP[i+nfK][j] = cPrice_[i][j] + K * df - S;
+			}
+		}
+		
+		// copy to store		
+		cPriceB_ = cP;
+		fPriceB_ = fP;
+		
+		cfMaturityTimes_.clear();
+        for (Size i=0; i<cfMaturities_.size();i++) {
+            cfMaturityTimes_.push_back(timeFromReference(cpiOptionDateFromTenor(cfMaturities_[i])));
+        }
+		
+        capPrice_ = interpolator2d_.interpolate(cfMaturityTimes_.begin(),cfMaturityTimes_.end(),
+												allStrikes_.begin(), allStrikes_.end(),
+												cPriceB_
+												);
+        capPrice_.enableExtrapolation();
+		
+        floorPrice_ = interpolator2d_.interpolate(cfMaturityTimes_.begin(),cfMaturityTimes_.end(),
+												  allStrikes_.begin(), allStrikes_.end(),
+												  fPriceB_
+												  );
+        floorPrice_.enableExtrapolation();
+		
+		/* test code - note order of indices
+		for (Size i =0; i<nK; i++){
+			std::cout << allStrikes_[i] << ":  ";
+			Real qK = allStrikes_[i];
+			for (Size j=0; j<nMat; j++) {
+				Real t = cfMaturityTimes_[j];
+				std::cout << fP[i][j] << "," << floorPrice_(t,qK) << " | " ;
+			}
+			std::cout << std::endl;
+		}
+		
+		for (Size i =0; i<nK; i++){
+			std::cout << allStrikes_[i] << ":  ";
+			Real qK = allStrikes_[i];
+			for (Size j=0; j<nMat; j++) {
+				Real t = cfMaturityTimes_[j];
+				std::cout << cP[i][j] << "," << capPrice_(t,qK) << " | " ;
+			}
+			std::cout << std::endl;
+		}
+		*/
+    }
+
+	//! remember that the strike uses the quoting convention
+    template<class I2D>
+    Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
+    price(const Date &d, Rate k) const {
+		
+        Rate atm = zeroInflationIndex()->zeroInflationTermStructure()->zeroRate(d);
+        return k > atm ? capPrice(d,k): floorPrice(d,k);
+    }
+
+	//! remember that the strike uses the quoting convention
+    template<class I2D>
+    Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
+    capPrice(const Date &d, Rate k) const {
+        Time t = timeFromReference(d);
+        return capPrice_(t,k);
+    }
+
+	//! remember that the strike uses the quoting convention
+    template<class I2D>
+    Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
+    floorPrice(const Date &d, Rate k) const {
+        Time t = timeFromReference(d);
+        return floorPrice_(t,k);
+    }
+ 
+ 
+}
+
+
+#endif
+
diff --git a/ql/experimental/inflation/cpioptionletvolatilitystructure.cpp b/ql/experimental/inflation/cpioptionletvolatilitystructure.cpp
new file mode 100755
index 0000000000..7b188366f9
--- /dev/null
+++ b/ql/experimental/inflation/cpioptionletvolatilitystructure.cpp
@@ -0,0 +1,198 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file yoyoptionletvolatilitystructures.cpp
+ \brief yoy inflation volatility structures
+ */
+
+#include <ql/termstructures/inflationtermstructure.hpp>
+#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
+
+namespace QuantLib {
+
+    CPIOptionletVolatilitySurface::
+    CPIOptionletVolatilitySurface(Natural settlementDays,
+                                  const Calendar &cal,
+                                  BusinessDayConvention bdc,
+                                  const DayCounter& dc,
+                                  const Period& observationLag,
+                                  Frequency frequency,
+                                  bool indexIsInterpolated)
+    : VolatilityTermStructure(settlementDays, cal, bdc, dc),
+      baseLevel_(Null<Volatility>()), observationLag_(observationLag),
+      frequency_(frequency), indexIsInterpolated_(indexIsInterpolated)
+    {}
+
+
+    Date
+    CPIOptionletVolatilitySurface::baseDate() const {
+
+        // Depends on interpolation, or not, of observed index
+        // and observation lag with which it was built.
+        // We want this to work even if the index does not
+        // have a yoy term structure.
+        if (indexIsInterpolated()) {
+            return referenceDate() - observationLag();
+        } else {
+            return inflationPeriod(referenceDate() - observationLag(),
+                                   frequency()).first;
+        }
+    }
+
+
+    void CPIOptionletVolatilitySurface::checkRange(const Date& d, Rate strike,
+                                            bool extrapolate) const {
+        QL_REQUIRE(d >= baseDate(),
+                   "date (" << d << ") is before base date");
+        QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
+                   "date (" << d << ") is past max curve date ("
+                   << maxDate() << ")");
+        QL_REQUIRE(extrapolate || allowsExtrapolation() ||
+                   (strike >= minStrike() && strike <= maxStrike()),
+                   "strike (" << strike << ") is outside the curve domain ["
+                   << minStrike() << "," << maxStrike()<< "]] at date = " << d);
+    }
+
+
+    void CPIOptionletVolatilitySurface::checkRange(Time t, Rate strike,
+                                            bool extrapolate) const {
+        QL_REQUIRE(t >= timeFromReference(baseDate()),
+                   "time (" << t << ") is before base date");
+        QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
+                   "time (" << t << ") is past max curve time ("
+                   << maxTime() << ")");
+        QL_REQUIRE(extrapolate || allowsExtrapolation() ||
+                   (strike >= minStrike() && strike <= maxStrike()),
+                   "strike (" << strike << ") is outside the curve domain ["
+                   << minStrike() << "," << maxStrike()<< "] at time = " << t);
+    }
+
+
+    Volatility
+    CPIOptionletVolatilitySurface::volatility(const Date& maturityDate,
+                                              Rate strike,
+                                              const Period &obsLag,
+                                              bool extrapolate) const {
+
+        Period useLag = obsLag;
+        if (obsLag==Period(-1,Days)) {
+            useLag = observationLag();
+        }
+
+        if (indexIsInterpolated()) {
+            CPIOptionletVolatilitySurface::checkRange(maturityDate-useLag, strike, extrapolate);
+            Time t = timeFromReference(maturityDate-useLag);
+            return volatilityImpl(t,strike);
+        } else {
+            std::pair<Date,Date> dd = inflationPeriod(maturityDate-useLag, frequency());
+            CPIOptionletVolatilitySurface::checkRange(dd.first, strike, extrapolate);
+            Time t = timeFromReference(dd.first);
+            return volatilityImpl(t,strike);
+        }
+    }
+
+
+    Volatility
+    CPIOptionletVolatilitySurface::volatility(const Period& optionTenor,
+                                              Rate strike,
+                                              const Period &obsLag,
+                                              bool extrapolate) const {
+        Date maturityDate = optionDateFromTenor(optionTenor);
+        return volatility(maturityDate, strike, obsLag, extrapolate);
+    }
+
+
+    //! needed for total variance calculations
+    Time
+    CPIOptionletVolatilitySurface::timeFromBase(const Date &maturityDate,
+                                                const Period& obsLag) const {
+
+        Period useLag = obsLag;
+        if (obsLag==Period(-1,Days)) {
+            useLag = observationLag();
+        }
+
+        Date useDate;
+        if (indexIsInterpolated()) {
+            useDate = maturityDate - useLag;
+        } else {
+            useDate = inflationPeriod(maturityDate - useLag,
+                                      frequency()).first;
+        }
+
+        // This assumes that the inflation term structure starts
+        // as late as possible given the inflation index definition,
+        // which is the usual case.
+        return dayCounter().yearFraction(baseDate(), useDate);
+    }
+
+
+    Volatility
+    CPIOptionletVolatilitySurface::totalVariance(const Date& maturityDate,
+                                                 Rate strike,
+                                                 const Period &obsLag,
+                                                 bool extrapolate) const {
+
+        Volatility vol = volatility(maturityDate, strike, obsLag, extrapolate);
+        Time t = timeFromBase(maturityDate, obsLag);
+        return vol*vol*t;
+    }
+
+
+    Volatility
+    CPIOptionletVolatilitySurface::totalVariance(const Period& tenor,
+                                                 Rate strike,
+                                                 const Period &obsLag,
+                                                 bool extrap) const {
+        Date maturityDate = optionDateFromTenor(tenor);
+        return totalVariance(maturityDate, strike, obsLag, extrap);
+    }
+
+
+
+    //========================================================================
+    // constant CPI vol surface
+    //========================================================================
+
+    ConstantCPIOptionletVolatility::
+    ConstantCPIOptionletVolatility(const Volatility v,
+                                   Natural settlementDays,
+                                   const Calendar& cal,
+                                   BusinessDayConvention bdc,
+                                   const DayCounter& dc,
+                                   const Period &observationLag,
+                                   Frequency frequency,
+                                   bool indexIsInterpolated,
+                                   Rate minStrike,
+                                   Rate maxStrike)
+    : CPIOptionletVolatilitySurface(settlementDays, cal, bdc, dc,
+                                    observationLag, frequency, indexIsInterpolated),
+      volatility_(v), minStrike_(minStrike), maxStrike_(maxStrike) {}
+
+
+    Volatility ConstantCPIOptionletVolatility::
+    volatilityImpl(const Time t, Rate strike) const {
+        return volatility_;
+    }
+
+
+
+
+
+} // namespace QuantLib
diff --git a/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp b/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
new file mode 100755
index 0000000000..6105573166
--- /dev/null
+++ b/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
@@ -0,0 +1,185 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file zeroinflationoptionletvolatilitystructure.hpp
+    \brief zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
+ */
+
+#ifndef quantlib_cpioptionletvolatilitystructures_hpp
+#define quantlib_cpioptionletvolatilitystructures_hpp
+
+#include <ql/termstructures/voltermstructure.hpp>
+#include <ql/math/interpolation.hpp>
+#include <ql/time/calendars/target.hpp>
+
+namespace QuantLib {
+
+    /*! Abstract interface ... no data, only results, CPI volatility is always w.r.t. 
+	    some base date.
+
+        Basically used to change the BlackVariance() methods to
+        totalVariance.  Also deal with lagged observations of an index
+        with a (usually different) availability lag.
+	 
+		\FIXME so far is exact copy of yoy inflation vol code
+		- at least for the constant version.
+    */
+    class CPIOptionletVolatilitySurface : public VolatilityTermStructure {
+    public:
+        //! \name Constructor
+        //! calculate the reference date based on the global evaluation date
+        CPIOptionletVolatilitySurface(Natural settlementDays,
+                                      const Calendar&,
+                                      BusinessDayConvention bdc,
+                                      const DayCounter& dc,
+                                      const Period& observationLag,
+                                      Frequency frequency,
+                                      bool indexIsInterpolated);
+
+        virtual ~CPIOptionletVolatilitySurface() {}
+
+        //! \name Volatility (only)
+        //@{
+        //! Returns the volatility for a given maturity date and strike rate
+        //! that observes inflation, by default, with the observation lag
+        //! of the term structure.
+        //! Because inflation is highly linked to dates (for interpolation, periods, etc)
+        //! we do NOT provide a time version.
+        Volatility volatility(const Date& maturityDate,
+                              Rate strike,
+                              const Period &obsLag = Period(-1,Days),
+                              bool extrapolate = false) const;
+        //! returns the volatility for a given option tenor and strike rate
+        Volatility volatility(const Period& optionTenor,
+                              Rate strike,
+                              const Period &obsLag = Period(-1,Days),
+                              bool extrapolate = false) const;
+
+        //! Returns the total integrated variance for a given exercise date and strike rate.
+        /*! Total integrated variance is useful because it scales out
+         t for the optionlet pricing formulae.  Note that it is
+         called "total" because the surface does not know whether
+         it represents Black, Bachelier or Displaced Diffusion
+         variance.  These are virtual so alternate connections
+         between const vol and total var are possible.
+
+         Because inflation is highly linked to dates (for interpolation, periods, etc)
+         we do NOT provide a time version
+         */
+        virtual Volatility totalVariance(const Date& exerciseDate,
+                                         Rate strike,
+                                         const Period &obsLag = Period(-1,Days),
+                                         bool extrapolate = false) const;
+        //! returns the total integrated variance for a given option tenor and strike rate
+        virtual Volatility totalVariance(const Period& optionTenor,
+                                         Rate strike,
+                                         const Period &obsLag = Period(-1,Days),
+                                         bool extrapolate = false) const;
+
+        //! The TS observes with a lag that is usually different from the
+        //! availability lag of the index.  An inflation rate is given,
+        //! by default, for the maturity requested assuming this lag.
+        virtual Period observationLag() const { return observationLag_; }
+        virtual Frequency frequency() const { return frequency_; }
+        virtual bool indexIsInterpolated() const { return indexIsInterpolated_; }
+        virtual Date baseDate() const;
+        //! base date will be in the past because of observation lag
+        virtual Time timeFromBase(const Date &date,
+                                  const Period& obsLag = Period(-1,Days)) const;
+        //@}
+
+        //! \name Limits
+        //@{
+        //! the minimum strike for which the term structure can return vols
+        virtual Real minStrike() const = 0;
+        //! the maximum strike for which the term structure can return vols
+        virtual Real maxStrike() const = 0;
+        //@}
+
+        // acts as zero time value for boostrapping
+        virtual Volatility baseLevel() const {
+            QL_REQUIRE(baseLevel_ != Null<Volatility>(),
+                       "Base volatility, for baseDate(), not set.");
+            return baseLevel_;
+        }
+
+    protected:
+        virtual void checkRange(const Date &, Rate strike, bool extrapolate) const;
+        virtual void checkRange(Time, Rate strike, bool extrapolate) const;
+
+        //! Implements the actual volatility surface calculation in
+        //! derived classes e.g. bilinear interpolation.  N.B. does
+        //! not derive the surface.
+        virtual Volatility volatilityImpl(Time length,
+                                          Rate strike) const = 0;
+
+        // acts as zero time value for boostrapping
+        virtual void setBaseLevel(Volatility v) { baseLevel_ = v; }
+        mutable Volatility baseLevel_;
+
+        // so you do not need an index
+        Period observationLag_;
+        Frequency frequency_;
+        bool indexIsInterpolated_;
+    };
+
+
+    //! Constant surface, no K or T dependence.
+    class ConstantCPIOptionletVolatility
+    : public CPIOptionletVolatilitySurface {
+    public:
+        //! \name Constructor
+        //@{
+        //! calculate the reference date based on the global evaluation date
+        ConstantCPIOptionletVolatility(const Volatility v,
+                                       Natural settlementDays,
+                                       const Calendar&,
+                                       BusinessDayConvention bdc,
+                                       const DayCounter& dc,
+                                       const Period &observationLag,
+                                       Frequency frequency,
+                                       bool indexIsInterpolated,
+                                       Rate minStrike = -1.0,  // -100%
+                                       Rate maxStrike = 100.0);  // +10,000%
+        //@}
+        virtual ~ConstantCPIOptionletVolatility() {}
+
+        //! \name Limits
+        //@{
+        virtual Date maxDate() const { return Date::maxDate(); }
+        //! the minimum strike for which the term structure can return vols
+        virtual Real minStrike() const { return minStrike_; }
+        //! the maximum strike for which the term structure can return vols
+        virtual Real maxStrike() const { return maxStrike_; }
+        //@}
+
+    protected:
+        //! implements the actual volatility calculation in derived classes
+        virtual Volatility volatilityImpl(Time length, Rate strike) const;
+
+        Volatility volatility_;
+        Rate minStrike_, maxStrike_;
+    };
+
+
+
+} // namespace QuantLib
+
+#endif
+
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index e7ca59477c..e71613c387 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -19,6 +19,8 @@ this_include_HEADERS = \
     claim.hpp \
     cliquetoption.hpp \
     compositeinstrument.hpp \
+    cpiswap.hpp \
+    cpicapfloor.hpp \
     creditdefaultswap.hpp \
     dividendschedule.hpp \
     dividendvanillaoption.hpp \
@@ -67,6 +69,8 @@ libInstruments_la_SOURCES = \
     claim.cpp \
     cliquetoption.cpp \
     compositeinstrument.cpp \
+    cpiswap.cpp \
+    cpicapfloor.cpp \
     creditdefaultswap.cpp \
     dividendvanillaoption.cpp \
     europeanoption.cpp \
diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index caf2c5b3a4..e5ba405402 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -14,6 +14,8 @@
 #include <ql/instruments/claim.hpp>
 #include <ql/instruments/cliquetoption.hpp>
 #include <ql/instruments/compositeinstrument.hpp>
+#include <ql/instruments/cpiswap.hpp>
+#include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
diff --git a/ql/instruments/bonds/Makefile.am b/ql/instruments/bonds/Makefile.am
index 776dd5167e..9beec0200e 100644
--- a/ql/instruments/bonds/Makefile.am
+++ b/ql/instruments/bonds/Makefile.am
@@ -6,6 +6,7 @@ this_include_HEADERS = \
     all.hpp \
     btp.hpp \
     cmsratebond.hpp \
+    cpibond.hpp \
     fixedratebond.hpp \
     floatingratebond.hpp \
     zerocouponbond.hpp
@@ -13,6 +14,7 @@ this_include_HEADERS = \
 libBonds_la_SOURCES = \
     btp.cpp \
     cmsratebond.cpp \
+    cpibond.cpp \
     fixedratebond.cpp \
     floatingratebond.cpp \
     zerocouponbond.cpp
diff --git a/ql/instruments/bonds/all.hpp b/ql/instruments/bonds/all.hpp
index ac61e49656..7875ecc3c3 100644
--- a/ql/instruments/bonds/all.hpp
+++ b/ql/instruments/bonds/all.hpp
@@ -3,6 +3,7 @@
 
 #include <ql/instruments/bonds/btp.hpp>
 #include <ql/instruments/bonds/cmsratebond.hpp>
+#include <ql/instruments/bonds/cpibond.hpp>
 #include <ql/instruments/bonds/fixedratebond.hpp>
 #include <ql/instruments/bonds/floatingratebond.hpp>
 #include <ql/instruments/bonds/zerocouponbond.hpp>
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
new file mode 100755
index 0000000000..3bfebfde4f
--- /dev/null
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -0,0 +1,82 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#include <ql/time/schedule.hpp>
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/cashflowvectors.hpp>
+#include <ql/cashflows/cashflows.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/couponpricer.hpp>
+#include <ql/indexes/inflationindex.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+
+#include <ql/instruments/bonds/cpibond.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+
+namespace QuantLib {
+
+    CPIbond::CPIbond(Natural settlementDays,
+					 Real faceAmount,
+					 bool growthOnly,
+					 Real baseCPI,
+					 const Period& observationLag,
+					 const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
+					 indexInterpolationType observationInterpolation,
+					 const Schedule& schedule,
+					 const std::vector<Rate>& fixedRate,
+					 const DayCounter& accrualDayCounter,
+					 BusinessDayConvention paymentConvention,
+					 const Date& issueDate)
+    : Bond(settlementDays, schedule.calendar(), issueDate),
+	frequency_(schedule.tenor().frequency()),
+	dayCounter_(accrualDayCounter),
+	growthOnly_(growthOnly),
+	baseCPI_(baseCPI),
+	observationLag_(observationLag),
+	cpiIndex_(cpiIndex),
+	observationInterpolation_(observationInterpolation) 
+	{
+		
+        maturityDate_ = schedule.endDate();
+		
+        // a CPIleg know about zero legs and inclusion of base inflation notional
+		cashflows_ = CPILeg(schedule, cpiIndex_,  
+							baseCPI_, observationLag_)
+		.withNotionals(faceAmount)
+		.withFixedRates(fixedRate)
+		.withPaymentDayCounter(accrualDayCounter)
+		.withPaymentAdjustment(paymentConvention)
+		.withObservationInterplation(observationInterpolation_)
+		.withSubtractInflationNominal(growthOnly_);
+		
+		registerWith(cpiIndex_);
+        Leg::const_iterator i;
+        for (i = cashflows_.begin(); i < cashflows_.end(); ++i) {
+            registerWith(*i);
+		}
+    };
+
+	
+	
+
+};
+
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
new file mode 100755
index 0000000000..66664943ff
--- /dev/null
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -0,0 +1,88 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file cpibond.hpp
+ \brief zero-inflation-indexed-ratio-with-base bond
+ */
+
+#ifndef quantlib_cpibond_hpp
+#define quantlib_cpibond_hpp
+
+
+#include <ql/instruments/bond.hpp>
+#include <ql/time/dategenerationrule.hpp>
+#include <ql/time/daycounter.hpp>
+#include <ql/interestrate.hpp>
+
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+namespace QuantLib {
+	
+    class QuantLib::Schedule;
+	
+    //! cpi bond; if there is only one date in the schedule it 
+	//! is a zero bond returning an inflated notional.
+    /*! \ingroup instruments
+	 
+	 */
+    class CPIbond : public Bond {
+	public:
+        CPIbond(Natural settlementDays,
+				Real faceAmount,
+				bool growthOnly,
+				Real baseCPI,
+				const Period& observationLag,
+				const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
+				indexInterpolationType observationInterpolation,
+                const Schedule& schedule,
+                const std::vector<Rate>& coupons,
+                const DayCounter& accrualDayCounter,
+                BusinessDayConvention paymentConvention = ModifiedFollowing,
+				const Date& issueDate = Date());
+        
+        Frequency frequency() const { return frequency_; }
+        const DayCounter& dayCounter() const { return dayCounter_; }
+		bool growthOnly() const { return growthOnly_; }
+		Real baseCPI() const { return baseCPI_; }
+		Period observationLag() const { return observationLag_; }
+		const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
+		indexInterpolationType observationInterpolation() const { return observationInterpolation_; }
+		
+		// other
+        virtual ~CPIbond() {}
+		
+	protected:
+        Frequency frequency_;
+        DayCounter dayCounter_;
+		bool growthOnly_;
+		Real baseCPI_;
+		Period observationLag_;
+		boost::shared_ptr<ZeroInflationIndex> cpiIndex_;
+		indexInterpolationType observationInterpolation_;
+    };
+	
+	
+};
+
+
+
+
+
+
+#endif
diff --git a/ql/instruments/cpicapfloor.cpp b/ql/instruments/cpicapfloor.cpp
new file mode 100755
index 0000000000..2ac6710e4d
--- /dev/null
+++ b/ql/instruments/cpicapfloor.cpp
@@ -0,0 +1,136 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+
+#include <ql/time/schedule.hpp>
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/cashflowvectors.hpp>
+#include <ql/cashflows/cashflows.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/couponpricer.hpp>
+#include <ql/indexes/inflationindex.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+
+#include <ql/instruments/cpicapfloor.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+
+namespace QuantLib {
+
+	CPICapFloor::CPICapFloor(Option::Type type,
+				Real nominal,
+				const Date& startDate,   // start date of contract (only)
+				Real baseCPI,
+				const Date& maturity,    // this is pre-adjustment!
+				const Calendar& fixCalendar,
+				BusinessDayConvention fixConvention,
+				const Calendar& payCalendar,
+				BusinessDayConvention payConvention,
+				Rate strike,
+				const Handle<ZeroInflationIndex> &infIndex,
+				const Period& observationLag,
+				indexInterpolationType observationInterpolation)
+	: type_(type), startDate_(startDate), baseCPI_(baseCPI),
+	maturity_(maturity), fixCalendar_(fixCalendar), fixConvention_(fixConvention),
+	payCalendar_(payCalendar), payConvention_(payConvention),
+	strike_(strike), infIndex_(infIndex), observationLag_(observationLag),
+	observationInterpolation_(observationInterpolation) 
+	{
+		QL_REQUIRE(fixCalendar_ != Calendar(),"CPICapFloor: fixing calendar may not be null.");
+		QL_REQUIRE(payCalendar_ != Calendar(),"CPICapFloor: payment calendar may not be null.");
+	
+		if (observationInterpolation_ == iiFLAT  || 
+			(observationInterpolation_ ==iiINDEX && !infIndex_->interpolated())
+			) {
+			QL_REQUIRE(observationLag_ >= infIndex_->availabilityLag(),
+					   "CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
+					   <<"when the observation is effectively flat"
+					   << observationLag_ << " vs " << infIndex_->availabilityLag());
+		}
+		if (observationInterpolation_ == iiLINEAR ||
+			(observationInterpolation_ ==iiINDEX && infIndex_->interpolated())
+			) {
+			QL_REQUIRE(observationLag_ > infIndex_->availabilityLag(),
+					   "CPIcapfloor's observationLag must be greater then availabilityLag of inflation index: "
+					   <<"when the observation is effectively linear"
+					   << observationLag_ << " vs " << infIndex_->availabilityLag());
+		}
+	}
+	
+	
+	//! when you fix - but remember that there is an observation interpolation factor as well
+	Date CPICapFloor::fixingDate() const {
+		return fixCalendar_.adjust(maturity_ - observationLag_, fixConvention_);
+	}
+	
+	
+	Date CPICapFloor::payDate() const {
+		return payCalendar_.adjust(maturity_, payConvention_);
+	}
+	
+
+	bool CPICapFloor::isExpired() const {
+		return (Settings::instance().evaluationDate() > maturity_);
+	}
+	
+	
+	void CPICapFloor::arguments::validate() const {
+		// nothing yet
+	}
+	
+	
+	void CPICapFloor::setupArguments(PricingEngine::arguments* args) const {
+		
+		// correct PricingEngine?
+		CPICapFloor::arguments* arguments =	dynamic_cast<CPICapFloor::arguments*>(args);
+		QL_REQUIRE(arguments != 0, "wrong argument type, not CPICapFloor::arguments*");
+		
+		// data move
+		arguments->type = type_;
+        arguments->nominal = nominal_;
+		arguments->startDate = startDate_;
+		arguments->baseCPI = baseCPI_;
+		arguments->maturity = maturity_;
+		arguments->fixCalendar = fixCalendar_;
+		arguments->fixConvention = fixConvention_;
+		arguments->payCalendar = fixCalendar_;
+		arguments->payConvention = payConvention_;
+		arguments->fixDate = fixingDate();
+		arguments->payDate = payDate();
+        arguments->strike = strike_;
+        arguments->infIndex = infIndex_;
+        arguments->observationLag = observationLag_;
+		arguments->observationInterpolation = observationInterpolation_;
+		
+	}
+	
+	
+	void CPICapFloor::results::reset() {
+		Instrument::results::reset();
+	}
+	
+	
+	void CPICapFloor::fetchResults(const PricingEngine::results* r) const {
+		Instrument::fetchResults(r);
+	}
+	
+	
+	
+}
diff --git a/ql/instruments/cpicapfloor.hpp b/ql/instruments/cpicapfloor.hpp
new file mode 100755
index 0000000000..e584af30ee
--- /dev/null
+++ b/ql/instruments/cpicapfloor.hpp
@@ -0,0 +1,152 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file cpicapfloor.hpp
+ \brief zero-inflation-indexed-ratio-with-base option
+ */
+
+
+#ifndef quantlib_cpicapfloor_hpp
+#define quantlib_cpicapfloor_hpp
+
+#include <ql/instrument.hpp>
+#include <ql/option.hpp>
+#include <ql/time/calendar.hpp>
+#include <ql/time/daycounter.hpp>
+#include <ql/indexes/inflationindex.hpp>
+
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+namespace QuantLib {
+	
+    class QuantLib::ZeroInflationIndex;
+	
+    //! CPI cap or floor
+    /*! Quoted as a fixed strike rate \f$ K \f$.  Payoff:
+	 \f[
+	 P_n(0,T) \max(y (N [(1+K)^{T}-1] -
+	             N \left[ \frac{I(T)}{I(0)} -1 \right]), 0)
+	 \f]
+	 where \f$ T \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
+	 nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
+	 notional, and \f$ I(t) \f$ is the inflation index value at
+	 time \f$ t \f$.
+	 
+	 Inflation is generally available on every day, including
+	 holidays and weekends.  Hence there is a variable to state
+	 whether the observe/fix dates for inflation are adjusted or
+	 not.  The default is not to adjust.
+	 
+	 N.B. a cpi cap or floor is an option, not a cap or floor on a coupon.
+	 Thus this is very similar to a ZCIIS and has a single flow, this is
+	 as usual for cpi because it is cumulative up to option maturity from base
+	 date.
+	 
+	 We do not inherit from Option, although this would be reasonable,
+	 because we do not have that degree of generality.
+	 
+	 */
+    class CPICapFloor : public Instrument {
+    public:
+        class arguments;
+		class results;
+        class engine;
+        CPICapFloor(Option::Type type,
+					Real nominal,
+					const Date& startDate,   // start date of contract (only)
+					Real baseCPI,
+					const Date& maturity,    // this is pre-adjustment!
+					const Calendar& fixCalendar,
+					BusinessDayConvention fixConvention,
+					const Calendar& payCalendar,
+					BusinessDayConvention payConvention,
+					Rate strike,
+					const Handle<ZeroInflationIndex> &infIndex,
+					const Period& observationLag,
+					indexInterpolationType observationInterpolation = iiINDEX);
+		
+        //! \name Inspectors
+        //@{
+        Option::Type type() const { return type_; }
+        Real nominal() const { return nominal_; }
+        //! \f$ K \f$ in the above formula.
+        Rate strike() const { return strike_; }
+		Date fixingDate() const;
+		Date payDate() const;
+        Handle<ZeroInflationIndex> inflationIndex() const { return infIndex_; }
+        Period observationLag() const { return observationLag_; }
+        //@}
+		
+        //! \name Instrument interface
+        //@{
+		bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+        void fetchResults(const PricingEngine::results* r) const;
+        //@}
+		
+    protected:
+        Option::Type type_;
+        Real nominal_;
+		Date startDate_, fixDate_, payDate_;
+		Real baseCPI_;
+		Date maturity_;
+		Calendar fixCalendar_;
+		BusinessDayConvention fixConvention_;
+		Calendar payCalendar_;
+		BusinessDayConvention payConvention_;
+        Rate strike_;
+        Handle<ZeroInflationIndex> infIndex_;
+        Period observationLag_;
+		indexInterpolationType observationInterpolation_;
+    };
+	
+	
+    class CPICapFloor::arguments : public virtual PricingEngine::arguments{
+    public:
+		Option::Type type;
+        Real nominal;
+		Date startDate, fixDate, payDate;
+		Real baseCPI;
+		Date maturity;
+		Calendar fixCalendar, payCalendar;
+		BusinessDayConvention fixConvention, payConvention;
+        Rate strike;
+        Handle<ZeroInflationIndex> infIndex;
+        Period observationLag;
+		indexInterpolationType observationInterpolation;
+		
+        void validate() const;
+    };
+	
+	
+	class CPICapFloor::results : public Instrument::results {
+	public:
+		void reset();
+	};
+	
+	
+    class CPICapFloor::engine : public GenericEngine<CPICapFloor::arguments,
+													 CPICapFloor::results> {
+	};
+	
+};
+
+
+#endif
+
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
new file mode 100755
index 0000000000..c747eef534
--- /dev/null
+++ b/ql/instruments/cpiswap.cpp
@@ -0,0 +1,238 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2007, 2009, 2011 Chris Kenyon
+ Copyright (C) 2009 StatPro Italia srl
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#include <ql/time/schedule.hpp>
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/cashflowvectors.hpp>
+#include <ql/cashflows/cashflows.hpp>
+#include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/couponpricer.hpp>
+#include <ql/indexes/inflationindex.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+
+#include <ql/instruments/cpiswap.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+#include<iostream>
+
+namespace QuantLib {
+	
+	// accrual adjustment is already in the schedules, as are calendars
+	CPIswap::
+    CPIswap(Type type,
+			Real nominal,
+			bool subtractInflationNominal,
+			// float + spread leg
+			Spread spread,
+			const DayCounter& floatDayCount,
+			const Schedule& floatSchedule,
+			const BusinessDayConvention& floatPaymentRoll,
+			Natural fixingDays,
+			const boost::shared_ptr<IborIndex>& floatIndex,
+			// fixed x inflation leg
+			Rate fixedRate,
+			Real baseCPI,	
+			const DayCounter& fixedDayCount,
+			const Schedule& fixedSchedule,
+			const BusinessDayConvention& fixedPaymentRoll,
+			const Period& observationLag,
+			const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
+			indexInterpolationType observationInterpolation,
+			Real inflationNominal
+			)
+    : Swap(2), type_(type), nominal_(nominal), subtractInflationNominal_(subtractInflationNominal),
+	spread_(spread), floatDayCount_(floatDayCount), floatSchedule_(floatSchedule),
+	floatPaymentRoll_(floatPaymentRoll), fixingDays_(fixingDays),
+	floatIndex_(floatIndex),
+	fixedRate_(fixedRate), baseCPI_(baseCPI), fixedDayCount_(fixedDayCount), fixedSchedule_(fixedSchedule), 
+	fixedPaymentRoll_(fixedPaymentRoll), observationLag_(observationLag), 
+	fixedIndex_(fixedIndex), observationInterpolation_(observationInterpolation)
+    {
+		QL_REQUIRE(floatSchedule_.size()>0,"empty float schedule");
+		QL_REQUIRE(fixedSchedule_.size()>0,"empty fixed schedule");
+		// \todo if roll!=unadjusted then need calendars ... 
+		
+		if (inflationNominal==Null<Real>()) inflationNominal_ = nominal_;
+		else inflationNominal_ = inflationNominal; 
+		
+		Leg floatingLeg; 
+		if (floatSchedule_.size() > 1) {
+			floatingLeg = IborLeg(floatSchedule_, floatIndex_)
+			.withNotionals(nominal_)
+			.withSpreads(spread_)
+			.withPaymentDayCounter(floatDayCount_)
+			.withPaymentAdjustment(floatPaymentRoll_)
+			.withFixingDays(fixingDays_);
+		}
+			
+		if (floatSchedule_.size()==1 || 
+			!subtractInflationNominal_ ||
+			(subtractInflationNominal && fabs(nominal_-inflationNominal_)>0.00001)
+			)
+		{
+			Date payNotional;
+			if (floatSchedule_.size()==1) { // no coupons
+				payNotional = floatSchedule_[0];
+				payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
+			} else { // use the pay date of the last coupon
+				payNotional = floatingLeg.back()->date();
+			}
+
+			Real floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
+			boost::shared_ptr<CashFlow> nf(new SimpleCashFlow(floatAmount, payNotional));
+			floatingLeg.push_back(nf);	
+		}
+		
+		// a CPIleg know about zero legs and inclusion of base inflation notional
+		Leg cpiLeg = CPILeg(fixedSchedule_, fixedIndex_,  
+							baseCPI_, observationLag_)
+		.withNotionals(inflationNominal_)
+		.withFixedRates(fixedRate_)
+		.withPaymentDayCounter(fixedDayCount_)
+		.withPaymentAdjustment(fixedPaymentRoll_)
+		.withObservationInterplation(observationInterpolation_)
+		.withSubtractInflationNominal(subtractInflationNominal_);
+				 
+							 
+        Leg::const_iterator i;
+        for (i = cpiLeg.begin(); i < cpiLeg.end(); ++i) {
+            registerWith(*i);
+		}
+		
+		for (i = floatingLeg.begin(); i < floatingLeg.end(); ++i) {
+            registerWith(*i);
+		}
+		
+        legs_[0] = cpiLeg;
+        legs_[1] = floatingLeg;
+		
+        if (type_==Payer) {
+            payer_[0] = 1.0;
+            payer_[1] = -1.0;
+        } else {
+            payer_[0] = -1.0;
+            payer_[1] = 1.0;
+        }
+		
+    }
+	
+	
+	
+	//! for simple case sufficient to copy base class
+	void CPIswap::setupArguments(PricingEngine::arguments* args) const {
+		
+        Swap::setupArguments(args);
+		
+        CPIswap::arguments* arguments =
+        dynamic_cast<CPIswap::arguments*>(args);
+		
+        if (!arguments) return; // it's a swap engine...
+    }
+	
+	
+    Rate CPIswap::fairRate() const {
+        calculate();
+        QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
+        return fairRate_;
+    }
+	
+    Spread CPIswap::fairSpread() const {
+        calculate();
+        QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
+        return fairSpread_;
+    }
+	
+	
+    Real CPIswap::fixedLegNPV() const {//FIXME
+        calculate();
+        QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
+        return legNPV_[0];
+    }
+	
+    Real CPIswap::floatLegNPV() const {//FIXME
+        calculate();
+        QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
+        return legNPV_[1];
+    }
+	
+    void CPIswap::setupExpired() const {
+        Swap::setupExpired();
+        legBPS_[0] = legBPS_[1] = 0.0;
+        fairRate_ = Null<Rate>();
+        fairSpread_ = Null<Spread>();
+    }
+	
+    void CPIswap::fetchResults(const PricingEngine::results* r) const {
+        static const Spread basisPoint = 1.0e-4;
+		
+        // copy from VanillaSwap
+        // works because similarly simple instrument
+        // that we always expect to be priced with a swap engine
+		
+        Swap::fetchResults(r);
+		
+        const CPIswap::results* results = dynamic_cast<const CPIswap::results*>(r);
+        if (results) { // might be a swap engine, so no error is thrown
+            fairRate_ = results->fairRate;
+            fairSpread_ = results->fairSpread;
+        } else {
+            fairRate_ = Null<Rate>();
+            fairSpread_ = Null<Spread>();
+        }
+		
+        if (fairRate_ == Null<Rate>()) {
+            // calculate it from other results
+            if (legBPS_[0] != Null<Real>())
+                fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint);
+        }
+        if (fairSpread_ == Null<Spread>()) {
+            // ditto
+            if (legBPS_[1] != Null<Real>())
+                fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);
+        }
+		
+    }
+	
+    void CPIswap::arguments::validate() const {
+        Swap::arguments::validate();
+    }
+	
+    void CPIswap::results::reset() {
+        Swap::results::reset();
+        fairRate = Null<Rate>();
+        fairSpread = Null<Spread>();
+    }
+	
+    std::ostream& operator<<(std::ostream& out,
+                             CPIswap::Type t) {
+        switch (t) {
+            case CPIswap::Payer:
+                return out << "Payer";
+            case CPIswap::Receiver:
+                return out << "Receiver";
+            default:
+                QL_FAIL("unknown CPIswap::Type(" << Integer(t) << ")");
+        }
+    }
+	
+}
+
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
new file mode 100755
index 0000000000..181893e46c
--- /dev/null
+++ b/ql/instruments/cpiswap.hpp
@@ -0,0 +1,226 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2007, 2009, 2011 Chris Kenyon
+ Copyright (C) 2009 StatPro Italia srl
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file cpiswap.hpp
+ \brief zero-inflation-indexed-ratio-with-base swap
+ */
+
+#ifndef quantlib_zeroinflationswap_hpp
+#define quantlib_zeroinflationswap_hpp
+
+#include <ql/instruments/swap.hpp>
+#include <ql/time/calendar.hpp>
+#include <ql/time/daycounter.hpp>
+#include <ql/time/schedule.hpp>
+#include <ql/indexes/iborindex.hpp>
+
+#include <ql/cashflows/baseindexedcashflow.hpp>
+
+namespace QuantLib {
+	
+    class QuantLib::ZeroInflationIndex;
+	
+    //! zero-inflation-indexed swap, 
+    /*! fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base)
+	    versus 
+		floating + spread
+	 
+		Note that this does ony the inflation-vs-floating-leg.  Extension to inflation-vs-fixed-leg.  
+		is simple - just replace the floating leg with a fixed leg.  We leave this as an exercise
+		for the reader in the interests of simplicity.
+	 
+		Typically there are notional exchanges at the end: either inflated-notional vs notional;
+		or just (inflated-notional - notional) vs zero.  The latter is perhaphs more typical.
+		\warning Setting subtractInflationNominal to true means that the original inflation nominal 
+		is subtracted from both nominals before they are exchanged, even if they are different.
+	 
+		This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1),
+		by using differnt nominals on each leg and setting subtractInflationNominal to true.
+		ALSO - there must be just one date in each schedule.
+	 
+		The two legs can have different schedules, fixing (days vs lag), settlement, and roll
+		conventions.  N.B. accrual adjustment periods are already in the schedules.  Trade date 
+		and swap settlement date are outside the scope of the instrument.
+	 */
+    class CPIswap : public Swap {
+    public:
+        enum Type { Receiver = -1, Payer = 1 };
+        class arguments;
+        class results;
+        class engine;
+		
+		CPIswap(Type type,
+				Real nominal,
+				bool subtractInflationNominal,
+				// float+spread leg
+				Spread spread,
+				const DayCounter& floatDayCount,
+				const Schedule& floatSchedule,
+				const BusinessDayConvention& floatRoll,
+				Natural fixingDays,
+				const boost::shared_ptr<IborIndex>& floatIndex,
+				// fixed x inflation leg
+				Rate fixedRate,
+				Real baseCPI,	
+				const DayCounter& fixedDayCount,
+				const Schedule& fixedSchedule,
+				const BusinessDayConvention& fixedRoll,
+				const Period& observationLag,
+				const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
+				indexInterpolationType observationInterpolation = iiINDEX,
+				Real inflationNominal = Null<Real>()
+				);
+		
+        // results
+		// float+spread
+        virtual Real floatLegNPV() const;
+		virtual Spread fairSpread() const;
+		// fixed rate x inflation
+        virtual Real fixedLegNPV() const;
+        virtual Rate fairRate() const;
+        
+		// inspectors
+        virtual Type type() const;
+        virtual Real nominal() const;
+		virtual bool subtractInflationNominal() const;
+		
+		// float+spread
+		virtual Spread spread() const;
+		virtual const DayCounter& floatDayCount() const;
+		virtual const Schedule& floatSchedule() const;
+		virtual const BusinessDayConvention& floatPaymentRoll() const;
+		virtual Natural fixingDays() const;
+		virtual const boost::shared_ptr<IborIndex>& floatIndex() const;
+		
+		// fixed rate x inflation
+		virtual Rate fixedRate() const;
+		virtual Real baseCPI() const;
+		virtual const DayCounter& fixedDayCount() const;
+        virtual const Schedule& fixedSchedule() const;
+        virtual const BusinessDayConvention& fixedPaymentRoll() const;
+		virtual Period observationLag() const;
+        virtual const boost::shared_ptr<ZeroInflationIndex>& fixedIndex() const;
+		virtual indexInterpolationType observationInterpolation() const;
+		virtual Real inflationNominal() const;
+		
+		// legs
+        virtual const Leg& cpiLeg() const;
+        virtual const Leg& floatLeg() const;
+		
+        // other
+        void setupArguments(PricingEngine::arguments* args) const;
+        void fetchResults(const PricingEngine::results*) const;
+        virtual ~CPIswap() {}
+		
+    private:
+        void setupExpired() const;
+		
+        Type type_;
+		Real nominal_;
+		bool subtractInflationNominal_;
+		
+		// float+spread leg
+		Spread spread_;
+		DayCounter floatDayCount_;
+		Schedule floatSchedule_;
+		BusinessDayConvention floatPaymentRoll_;
+		Natural fixingDays_;
+		boost::shared_ptr<IborIndex> floatIndex_;
+		
+		// fixed x inflation leg
+		Rate fixedRate_;
+		Real baseCPI_;
+		DayCounter fixedDayCount_;
+		Schedule fixedSchedule_;
+		BusinessDayConvention fixedPaymentRoll_; 
+		boost::shared_ptr<ZeroInflationIndex> fixedIndex_;
+		Period observationLag_;
+		indexInterpolationType observationInterpolation_;
+		Real inflationNominal_;
+        // results
+        mutable Spread fairSpread_;
+		mutable Rate fairRate_;
+        
+    };
+	
+	
+    //! %Arguments for swap calculation
+    class CPIswap::arguments : public Swap::arguments {
+    public:
+        arguments() : type(Receiver),
+        nominal(Null<Real>()) {}
+        Type type;
+        Real nominal;
+		
+        void validate() const;
+    };
+	
+    //! %Results from swap calculation
+    class CPIswap::results : public Swap::results {
+    public:
+        Rate fairRate;
+        Spread fairSpread;
+        void reset();
+    };
+	
+    class CPIswap::engine : public GenericEngine<CPIswap::arguments,
+    CPIswap::results> {};
+	
+	
+    // inline definitions
+	
+	// inspectors
+	inline 	CPIswap::Type CPIswap::type() const { return type_; }
+	inline 	Real CPIswap::nominal() const { return nominal_; }
+	inline 	bool CPIswap::subtractInflationNominal() const { return subtractInflationNominal_; }
+	
+	// float+spread
+	inline Spread CPIswap::spread() const { return spread_; }
+	inline const DayCounter& CPIswap::floatDayCount() const { return floatDayCount_; }
+	inline const Schedule& CPIswap::floatSchedule() const { return floatSchedule_; }
+	inline const BusinessDayConvention& CPIswap::floatPaymentRoll() const { return floatPaymentRoll_; }
+	inline Natural CPIswap::fixingDays() const { return fixingDays_; }
+	inline const boost::shared_ptr<IborIndex>& CPIswap::floatIndex() const { return floatIndex_; }
+	
+	// fixed rate x inflation
+	inline Rate CPIswap::fixedRate() const { return fixedRate_; }
+	inline Real CPIswap::baseCPI() const { return baseCPI_; }
+	inline const DayCounter& CPIswap::fixedDayCount() const { return fixedDayCount_; }
+	inline const Schedule& CPIswap::fixedSchedule() const { return fixedSchedule_; }
+	inline const BusinessDayConvention& CPIswap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
+	inline Period CPIswap::observationLag() const { return observationLag_; }
+	inline const boost::shared_ptr<ZeroInflationIndex>& CPIswap::fixedIndex() const { return fixedIndex_; }
+	inline indexInterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
+	inline Real CPIswap::inflationNominal() const { return inflationNominal_; }
+	
+    inline const Leg& CPIswap::cpiLeg() const {//inflation indexed
+        return legs_[0];
+    }
+	
+    inline const Leg& CPIswap::floatLeg() const {
+        return legs_[1];
+    }
+	
+    std::ostream& operator<<(std::ostream& out, CPIswap::Type t);
+	
+}
+
+#endif
+
diff --git a/ql/pricingengines/inflation/Makefile.am b/ql/pricingengines/inflation/Makefile.am
index d87849a358..d20d931896 100644
--- a/ql/pricingengines/inflation/Makefile.am
+++ b/ql/pricingengines/inflation/Makefile.am
@@ -4,9 +4,11 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    cpicapfloorengines.hpp \
     inflationcapfloorengines.hpp
 
 libInflationEngines_la_SOURCES = \
+    cpicapfloorengines.cpp \
     inflationcapfloorengines.cpp
 
 noinst_LTLIBRARIES = libInflationEngines.la
diff --git a/ql/pricingengines/inflation/all.hpp b/ql/pricingengines/inflation/all.hpp
index c089a1a3a8..ab6f9e84dc 100644
--- a/ql/pricingengines/inflation/all.hpp
+++ b/ql/pricingengines/inflation/all.hpp
@@ -1,5 +1,6 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
 #include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
 
diff --git a/ql/pricingengines/inflation/cpicapfloorengines.cpp b/ql/pricingengines/inflation/cpicapfloorengines.cpp
new file mode 100755
index 0000000000..35ad8bb0f9
--- /dev/null
+++ b/ql/pricingengines/inflation/cpicapfloorengines.cpp
@@ -0,0 +1,110 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! 
+ \file cpicapfloorengines.cpp  
+ \brief Engines for CPI options
+ \ingroup PricingEngines
+ */
+
+
+#include <ql/time/daycounters/actualactual.hpp>
+
+#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
+#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
+
+
+namespace QuantLib {
+	
+
+	InterpolatingCPICapFloorEngine::InterpolatingCPICapFloorEngine
+	(const Handle<CPICapFloorTermPriceSurface> &priceSurf)
+    : priceSurf_(priceSurf)
+	{
+		registerWith(priceSurf_);
+	}
+	
+	
+	void InterpolatingCPICapFloorEngine::calculate() const
+	{
+		Real npv = 0.0;
+		
+		// what is the difference between the observationLag of the surface
+		// and the observationLag of the cap/floor?
+		// \TODO next line will fail if units are different
+		Period lagDiff = arguments_.observationLag - priceSurf_->observationLag();
+		// next line will fail if units are different if Period() is not well written
+		QL_REQUIRE(lagDiff >= Period(0, Months), "InterpolatingCPICapFloorEngine: "
+				   "lag difference must be non-negative: " << lagDiff);
+		
+		// we now need an effective maturity to use in the price surface because this uses 
+		// maturity of calibration instruments as its time axis, N.B. this must also
+		// use the roll because the surface does
+		Date effectiveMaturity = arguments_.payDate - lagDiff;
+		
+		
+		// what interpolation do we use? Index / flat / linear
+		if (arguments_.observationInterpolation == iiINDEX ) {
+			// same as index means we can just use the price surface
+			// since this uses the index
+			if (arguments_.type == Option::Call) {
+				npv = priceSurf_->capPrice(effectiveMaturity, arguments_.strike);
+			} else {
+				npv = priceSurf_->floorPrice(effectiveMaturity, arguments_.strike);
+			}
+			
+			
+		} else {
+			std::pair<Date,Date> dd = inflationPeriod(effectiveMaturity, arguments_.infIndex->frequency());
+			Real priceStart = 0.0;
+			
+			if (arguments_.type == Option::Call) {
+				priceStart = priceSurf_->capPrice(dd.first, arguments_.strike);
+			} else {
+				priceStart = priceSurf_->floorPrice(dd.first, arguments_.strike);
+			}
+			
+			// if we use a flat index vs the interpolated one ...
+			if (arguments_.observationInterpolation == iiFLAT) {
+				// then use the price for the first day in the period because the value cannot change after then
+				npv = priceStart;
+				
+			} else {
+				// linear interpolation will be very close
+				Real priceEnd = 0.0;
+				if (arguments_.type == Option::Call) {
+					priceEnd = priceSurf_->capPrice((dd.second+Period(1,Days)), arguments_.strike);
+				} else {
+					priceEnd = priceSurf_->floorPrice((dd.second+Period(1,Days)), arguments_.strike);
+				}
+				
+				npv = priceStart + (priceEnd - priceStart) * (effectiveMaturity - dd.first) 
+				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period'
+			}
+			
+		}
+		results_.value = npv;
+	}
+	
+
+	
+	
+
+} // namespace QuantLib
diff --git a/ql/pricingengines/inflation/cpicapfloorengines.hpp b/ql/pricingengines/inflation/cpicapfloorengines.hpp
new file mode 100755
index 0000000000..72d75fb8b8
--- /dev/null
+++ b/ql/pricingengines/inflation/cpicapfloorengines.hpp
@@ -0,0 +1,64 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! 
+	\file cpicapfloorengines.hpp  
+	\brief Engines for CPI options
+	\ingroup PricingEngines
+*/
+
+#ifndef quantlib_cpicapfloorengines_hpp
+#define quantlib_cpicapfloorengines_hpp
+
+#include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/instruments/cpicapfloor.hpp>
+
+
+namespace QuantLib {
+
+
+	class CPICapFloorTermPriceSurface;
+
+
+	//! This engine only adds timing functionality (e.g. different lag) 
+	//! w.r.t. an existing interpolated price surface.
+	class InterpolatingCPICapFloorEngine : public CPICapFloor::engine {
+		public:
+		InterpolatingCPICapFloorEngine(const Handle<CPICapFloorTermPriceSurface>&);
+    
+		virtual void calculate() const;
+		virtual std::string name() const { return "InterpolatingCPICapFloorEngine"; }
+      
+		virtual ~InterpolatingCPICapFloorEngine() {}
+
+	protected:
+		Handle<CPICapFloorTermPriceSurface> priceSurf_;
+	};
+
+
+		
+	
+	
+	
+	
+
+} // namespace QuantLib
+
+#endif // cpicapfloorengines_hpp
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index f11e79f68d..9f0c588b4a 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -52,6 +52,8 @@ QL_TESTS = \
 	inflation.hpp inflation.cpp \
 	inflationcapfloor.hpp inflationcapfloor.cpp \
 	inflationcapflooredcoupon.hpp inflationcapflooredcoupon.cpp \
+        inflationcpicapfloor.hpp inflationcpicapfloor.cpp \
+	inflationcpiswap.hpp inflationcpiswap.cpp \
 	inflationvolatility.hpp inflationvolatility.cpp \
 	instruments.hpp instruments.cpp \
 	integrals.hpp integrals.cpp \
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
new file mode 100755
index 0000000000..a2036e32c6
--- /dev/null
+++ b/test-suite/inflationcpicapfloor.cpp
@@ -0,0 +1,461 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+#include <ql/types.hpp>
+#include <ql/indexes/inflation/ukrpi.hpp>
+#include <ql/termstructures/bootstraphelper.hpp>
+#include <ql/time/calendars/unitedkingdom.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/actual365fixed.hpp>
+#include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/indexes/ibor/gbplibor.hpp>
+#include <ql/termstructures/inflation/inflationhelpers.hpp>
+#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
+#include <ql/cashflows/indexedcashflow.hpp>
+#include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/instruments/zerocouponinflationswap.hpp>
+#include <ql/pricingengines/bond/discountingbondengine.hpp>
+#include <ql/math/interpolations/bilinearinterpolation.hpp>
+
+#include "utilities.hpp"
+
+#include "inflationcpicapfloor.hpp"
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/cpicouponpricer.hpp>
+#include <ql/instruments/cpiswap.hpp>
+#include <ql/instruments/bonds/cpibond.hpp>
+#include <ql/instruments/cpicapfloor.hpp>
+
+#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
+#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
+
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+using namespace std;
+
+#include <iostream>
+
+
+namespace {
+    struct Datum {
+        Date date;
+        Rate rate;
+    };
+	
+    template <class T, class U, class I>
+    std::vector<boost::shared_ptr<BootstrapHelper<T> > > makeHelpers(
+		Datum iiData[], Size N,
+		const boost::shared_ptr<I> &ii, const Period &observationLag,
+		const Calendar &calendar,
+		const BusinessDayConvention &bdc,
+		const DayCounter &dc) {
+		
+        std::vector<boost::shared_ptr<BootstrapHelper<T> > > instruments;
+        for (Size i=0; i<N; i++) {
+            Date maturity = iiData[i].date;
+            Handle<Quote> quote(boost::shared_ptr<Quote>(
+								new SimpleQuote(iiData[i].rate/100.0)));
+            boost::shared_ptr<BootstrapHelper<T> > anInstrument(new U(
+								quote, observationLag, maturity,
+								calendar, bdc, dc, ii));
+            instruments.push_back(anInstrument);
+        }
+		
+        return instruments;
+    }
+	
+	
+	struct CommonVars {
+        // common data
+		
+        Size length;
+        Date startDate;
+		Rate baseZeroRate;
+        Real volatility;
+		
+        Frequency frequency;
+        std::vector<Real> nominals;
+        Calendar calendar;
+        BusinessDayConvention convention;
+        Natural fixingDays;
+        Date evaluationDate;
+        Natural settlementDays;
+        Date settlement;
+        Period observationLag, contractObservationLag;
+		indexInterpolationType contractObservationInterpolation;
+        DayCounter dcZCIIS,dcNominal;
+		std::vector<Date> zciisD;
+		std::vector<Rate> zciisR;
+        boost::shared_ptr<UKRPI> ii;
+		RelinkableHandle<ZeroInflationIndex> hii;
+		Size zciisDataLength;
+		
+        RelinkableHandle<YieldTermStructure> nominalUK;
+        RelinkableHandle<ZeroInflationTermStructure> cpiUK;
+		
+		vector<Rate> cStrikesUK;
+		vector<Rate> fStrikesUK;
+		vector<Period> cfMaturitiesUK;
+		boost::shared_ptr<Matrix> cPriceUK;
+		boost::shared_ptr<Matrix> fPriceUK;
+		
+		boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFsurfUK;
+		
+        // cleanup
+		
+        SavedSettings backup;
+		
+        // setup
+        CommonVars() {
+			//std::cout <<"CommonVars" << std::endl;
+            // option variables
+            nominals = std::vector<Real>(1,1000000);  // 1M
+            frequency = Annual;
+            // usual setup
+            volatility = 0.01;
+            length = 7;
+            calendar = UnitedKingdom();
+            convention = ModifiedFollowing;
+            Date today(1, June, 2010);
+            evaluationDate = calendar.adjust(today);
+            Settings::instance().evaluationDate() = evaluationDate;
+            settlementDays = 0;
+            fixingDays = 0;
+            settlement = calendar.advance(today,settlementDays,Days);
+            startDate = settlement;
+            dcZCIIS = ActualActual();
+			dcNominal = ActualActual();
+			
+            // uk rpi index
+            //      fixing data
+            Date from(1, July, 2007);
+			Date to(1, June, 2010);
+            Schedule rpiSchedule = MakeSchedule().from(from).to(to)
+            .withTenor(1*Months)
+            .withCalendar(UnitedKingdom())
+            .withConvention(ModifiedFollowing);
+            Real fixData[] = { 
+				206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
+				209.8, 211.4, 212.1, 214.0, 215.1, 216.8,	//	2008
+				216.5, 217.2, 218.4, 217.7, 216.0, 212.9, 
+				210.1, 211.4, 211.3, 211.5,	212.8, 213.4,	//	2009
+				213.4, 214.4, 215.3, 216.0, 216.6, 218.0, 
+				217.9, 219.2, 220.7, 222.8, -999, -999,		//	2010
+				-999};
+			
+            // link from cpi index to cpi TS
+            RelinkableHandle<ZeroInflationTermStructure> hcpi;
+            bool interp = false;// this MUST be false because the observation lag is only 2 months
+								// for ZCIIS; but not for contract if the contract uses a bigger lag.
+            ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
+            for (Size i=0; i<rpiSchedule.size();i++) {
+                ii->addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use
+			};
+			
+			
+			Datum nominalData[] = {
+				{ Date( 2, June, 2010), 0.499997 },
+				{ Date( 3, June, 2010), 0.524992 },
+				{ Date( 8, June, 2010), 0.524974 },
+				{ Date( 15, June, 2010), 0.549942 },
+				{ Date( 22, June, 2010), 0.549913 },
+				{ Date( 1, July, 2010), 0.574864 },
+				{ Date( 2, August, 2010), 0.624668 },
+				{ Date( 1, September, 2010), 0.724338 },
+				{ Date( 16, September, 2010), 0.769461 },
+				{ Date( 1, December, 2010), 0.997501 },
+				//{ Date( 16, December, 2010), 0.838164 },
+				{ Date( 17, March, 2011), 0.916996 },
+				{ Date( 16, June, 2011), 0.984339 },
+				{ Date( 22, September, 2011), 1.06085 },
+				{ Date( 22, December, 2011), 1.141788 },
+				{ Date( 1, June, 2012), 1.504426 },
+				{ Date( 3, June, 2013), 1.92064 },
+				{ Date( 2, June, 2014), 2.290824 },
+				{ Date( 1, June, 2015), 2.614394 },
+				{ Date( 1, June, 2016), 2.887445 },
+				{ Date( 1, June, 2017), 3.122128 },
+				{ Date( 1, June, 2018), 3.322511 },
+				{ Date( 3, June, 2019), 3.483997 },
+				{ Date( 1, June, 2020), 3.616896 },
+				{ Date( 1, June, 2022), 3.8281 },
+				{ Date( 2, June, 2025), 4.0341 },
+				{ Date( 3, June, 2030), 4.070854 },
+				{ Date( 1, June, 2035), 4.023202 },
+				{ Date( 1, June, 2040), 3.954748 },
+				{ Date( 1, June, 2050), 3.870953 },
+				{ Date( 1, June, 2060), 3.85298 },
+				{ Date( 2, June, 2070), 3.757542 },
+				{ Date( 3, June, 2080), 3.651379 }
+			};
+			const Size nominalDataLength = 33-1;
+			
+			std::vector<Date> nomD;
+			std::vector<Rate> nomR;
+			for (Size i = 0; i < nominalDataLength; i++) {
+				nomD.push_back(nominalData[i].date);
+				nomR.push_back(nominalData[i].rate/100.0);
+			}
+			boost::shared_ptr<YieldTermStructure>	nominalTS 
+			=	boost::shared_ptr<InterpolatedZeroCurve<Linear> 
+			>(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
+			
+			
+			nominalUK.linkTo(nominalTS);
+			
+			
+            // now build the zero inflation curve
+            observationLag = Period(2,Months);
+			contractObservationLag = Period(3,Months);
+			contractObservationInterpolation = iiFLAT;
+			
+            Datum zciisData[] = {
+                { Date(1, June, 2011), 3.087 },
+                { Date(1, June, 2012), 3.12 },
+                { Date(1, June, 2013), 3.059 },
+                { Date(1, June, 2014), 3.11 },
+				{ Date(1, June, 2015), 3.15 },
+                { Date(1, June, 2016), 3.207 },
+				{ Date(1, June, 2017), 3.253 },
+				{ Date(1, June, 2018), 3.288 },
+                { Date(1, June, 2019), 3.314 },
+                { Date(1, June, 2020), 3.401 },
+                { Date(1, June, 2022), 3.458 },  
+                { Date(1, June, 2025), 3.52 },  
+                { Date(1, June, 2030), 3.655 },  
+                { Date(1, June, 2035), 3.668 },  
+                { Date(1, June, 2040), 3.695 },
+                { Date(1, June, 2050), 3.634 },
+				{ Date(1, June, 2060), 3.629 },
+            };
+			zciisDataLength = 17;
+			for (Size i = 0; i < zciisDataLength; i++) {
+				zciisD.push_back(zciisData[i].date);
+				zciisR.push_back(zciisData[i].rate);
+			}
+			
+            // now build the helpers ...
+            std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
+			makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
+			ZeroInflationIndex>(zciisData, zciisDataLength, ii,
+								observationLag,
+								calendar, convention, dcZCIIS);
+			
+			// we can use historical or first ZCIIS for this
+			// we know historical is WAY off market-implied, so use market implied flat.
+            baseZeroRate = zciisData[0].rate/100.0;
+            boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pCPIts(
+								new PiecewiseZeroInflationCurve<Linear>(
+									evaluationDate, calendar, dcZCIIS, observationLag,
+									ii->frequency(),ii->interpolated(), baseZeroRate,
+									Handle<YieldTermStructure>(nominalTS), helpers));
+            pCPIts->recalculate();
+            cpiUK.linkTo(pCPIts);
+			hii.linkTo(ii);
+			
+            // make sure that the index has the latest zero inflation term structure
+            hcpi.linkTo(pCPIts);
+			
+			// cpi CF price surf data
+			Period cfMat[] = {3*Years, 5*Years, 7*Years, 10*Years, 15*Years, 20*Years, 30*Years};
+			Real cStrike[] = {3, 4, 5, 6};
+			Real fStrike[] = {-1, 0, 1, 2};
+			Size ncStrikes = 4, nfStrikes = 4, ncfMaturities = 7;
+			
+			Real cPrice[7][4] = {
+				{227.6, 100.27, 38.8, 14.94}, 
+				{345.32, 127.9, 40.59, 14.11}, 
+				{477.95, 170.19, 50.62, 16.88}, 
+				{757.81, 303.95, 107.62, 43.61}, 
+				{1140.73, 481.89, 168.4, 63.65}, 
+				{1537.6, 607.72, 172.27, 54.87}, 
+				{2211.67, 839.24, 184.75, 45.03}};
+			Real fPrice[7][4] = {
+				{15.62, 28.38, 53.61, 104.6}, 
+				{21.45, 36.73, 66.66, 129.6}, 
+				{24.45, 42.08, 77.04, 152.24}, 
+				{39.25, 63.52, 109.2, 203.44}, 
+				{36.82, 63.62, 116.97, 232.73}, 
+				{39.7, 67.47, 121.79, 238.56}, 
+				{41.48, 73.9, 139.75, 286.75}};
+			
+			// now load the data into vector and Matrix classes
+			cStrikesUK.clear();
+			fStrikesUK.clear();
+			cfMaturitiesUK.clear();
+			for(Size i = 0; i < ncStrikes; i++) cStrikesUK.push_back(cStrike[i]);
+			for(Size i = 0; i < nfStrikes; i++) fStrikesUK.push_back(fStrike[i]);
+			for(Size i = 0; i < ncfMaturities; i++) cfMaturitiesUK.push_back(cfMat[i]);
+			cPriceUK = boost::shared_ptr<Matrix>(new Matrix(ncStrikes, ncfMaturities));
+			fPriceUK = boost::shared_ptr<Matrix>(new Matrix(nfStrikes, ncfMaturities));
+			for(Size i = 0; i < ncStrikes; i++) {
+				for(Size j = 0; j < ncfMaturities; j++) {
+					(*cPriceUK)[i][j] = cPrice[j][i]/10000.0;
+				}
+			}
+			for(Size i = 0; i < nfStrikes; i++) {
+				for(Size j = 0; j < ncfMaturities; j++) {
+					(*fPriceUK)[i][j] = fPrice[j][i]/10000.0;
+				}
+			}
+			
+			
+			
+        }
+		
+		
+    };
+	
+    bool checkAbsError(Real x1, Real x2, Real tolerance){
+        return std::fabs(x1 - x2) < tolerance;
+    }
+}
+
+	
+	
+void InflationCPICapFloorTest::cpicapfloorpricesurface() {
+	
+	// check inflation leg vs calculation directly from inflation TS
+	CommonVars common;
+
+	
+	Real nominal = 1.0;
+	InterpolatedCPICapFloorTermPriceSurface
+	<Bilinear> cpiSurf(nominal, 
+					   common.baseZeroRate,
+					   common.observationLag,
+					   common.calendar,
+					   common.convention,
+					   common.dcZCIIS,
+					   common.hii,
+					   common.nominalUK,
+					   common.cStrikesUK,
+					   common.fStrikesUK,
+					   common.cfMaturitiesUK,
+					   *(common.cPriceUK),
+					   *(common.fPriceUK));
+	
+	// test code - note order of indices
+	 for (Size i =0; i<common.fStrikesUK.size(); i++){
+		 
+		 Real qK = common.fStrikesUK[i];
+		 Size nMat = common.cfMaturitiesUK.size();
+		 for (Size j=0; j<nMat; j++) {
+			 Period t = common.cfMaturitiesUK[j];
+			 Real a = (*(common.fPriceUK))[i][j];
+			 Real b = cpiSurf.floorPrice(t,qK);
+			 
+			 QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi floor data from surface: "
+						<< a << " vs constructed = " << b);
+		 }
+		 
+	 }
+	 
+	for (Size i =0; i<common.cStrikesUK.size(); i++){
+		
+		Real qK = common.cStrikesUK[i];
+		Size nMat = common.cfMaturitiesUK.size();
+		for (Size j=0; j<nMat; j++) {
+			Period t = common.cfMaturitiesUK[j];
+			Real a = (*(common.cPriceUK))[i][j];
+			Real b = cpiSurf.capPrice(t,qK);
+			
+			QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi cap data from surface: "
+					   << a << " vs constructed = " << b);
+		}
+	}
+	
+			
+		
+}
+
+
+void InflationCPICapFloorTest::cpicapfloorpricer() {
+
+	CommonVars common;
+	Real nominal = 1.0;
+	boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFpriceSurf(new InterpolatedCPICapFloorTermPriceSurface
+													<Bilinear>(nominal, 
+															   common.baseZeroRate,
+															   common.observationLag,
+															   common.calendar,
+															   common.convention,
+															   common.dcZCIIS,
+															   common.hii,
+															   common.nominalUK,
+															   common.cStrikesUK,
+															   common.fStrikesUK,
+															   common.cfMaturitiesUK,
+															   *(common.cPriceUK),
+															   *(common.fPriceUK)));
+	
+	common.cpiCFsurfUK = cpiCFpriceSurf;
+	
+	// interpolation pricer first
+	// N.B. no new instrument required but we do need a new pricer
+	
+	Date startDate = Settings::instance().evaluationDate();
+	Date maturity(startDate + Period(3,Years));
+	Calendar fixCalendar = UnitedKingdom(), payCalendar = UnitedKingdom();
+	BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
+	Rate strike(0.03);
+	Real baseCPI = common.hii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
+	indexInterpolationType observationInterpolation = iiINDEX;
+	CPICapFloor aCap(Option::Call,
+					 nominal,
+					 startDate,   // start date of contract (only)
+					 baseCPI,
+					 maturity,    // this is pre-adjustment!
+					 fixCalendar,
+					 fixConvention,
+					 payCalendar,
+					 payConvention,
+					 strike,
+					 common.hii,
+					 common.observationLag,
+					 observationInterpolation);
+	
+	Handle<CPICapFloorTermPriceSurface> cpiCFsurfUKh(common.cpiCFsurfUK);
+	boost::shared_ptr<PricingEngine>engine(new InterpolatingCPICapFloorEngine(cpiCFsurfUKh));
+	
+	aCap.setPricingEngine(engine);
+	
+	Date d = common.cpiCFsurfUK->cpiOptionDateFromTenor(Period(3,Years));
+	
+	
+	Real cached = cpiCFsurfUKh->capPrice(d, strike);
+	QL_REQUIRE(fabs(cached - aCap.NPV())<1e-10,"InterpolatingCPICapFloorEngine does not reproduce cached price: "
+			   << cached << " vs " << aCap.NPV());
+}
+
+
+
+
+test_suite* InflationCPICapFloorTest::suite() {
+	test_suite* suite = BOOST_TEST_SUITE("CPIswaption tests");
+	
+	suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricesurface));
+	suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricer));
+	
+	return suite;
+}
+
diff --git a/test-suite/inflationcpicapfloor.hpp b/test-suite/inflationcpicapfloor.hpp
new file mode 100755
index 0000000000..39c845c070
--- /dev/null
+++ b/test-suite/inflationcpicapfloor.hpp
@@ -0,0 +1,43 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+
+#ifndef quantlib_inflationcpicapfloor_test_hpp
+#define quantlib_inflationcpicapfloor_test_hpp
+
+
+// Boost.Test
+#include <boost/test/unit_test.hpp>
+
+//! Tests cpi cap/floor price data
+//! N.B. a cpi cap produces ONE flow only - because inflation is cumulative.
+class InflationCPICapFloorTest {
+public:
+	//! tests CPI price surface reproduction
+	static void cpicapfloorpricesurface();
+	//! tests interpolation pricer
+	static void cpicapfloorpricer();
+	
+	static boost::unit_test_framework::test_suite* suite();
+};
+
+
+
+#endif
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
new file mode 100755
index 0000000000..589613baef
--- /dev/null
+++ b/test-suite/inflationcpiswap.cpp
@@ -0,0 +1,508 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+#include <ql/types.hpp>
+#include <ql/indexes/inflation/ukrpi.hpp>
+#include <ql/termstructures/bootstraphelper.hpp>
+#include <ql/time/calendars/unitedkingdom.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/actual365fixed.hpp>
+#include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/indexes/ibor/gbplibor.hpp>
+#include <ql/termstructures/inflation/inflationhelpers.hpp>
+#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
+#include <ql/cashflows/indexedcashflow.hpp>
+#include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/instruments/zerocouponinflationswap.hpp>
+#include <ql/pricingengines/bond/discountingbondengine.hpp>
+
+#include "utilities.hpp"
+
+#include "inflationcpiswap.hpp"
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/cpicouponpricer.hpp>
+#include <ql/instruments/cpiswap.hpp>
+#include <ql/instruments/bonds/cpibond.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+#include <iostream>
+
+
+namespace {
+    struct Datum {
+        Date date;
+        Rate rate;
+    };
+	
+    template <class T, class U, class I>
+    std::vector<boost::shared_ptr<BootstrapHelper<T> > > makeHelpers(
+		Datum iiData[], Size N,
+		const boost::shared_ptr<I> &ii, const Period &observationLag,
+		const Calendar &calendar,
+		const BusinessDayConvention &bdc,
+		const DayCounter &dc) {
+		
+        std::vector<boost::shared_ptr<BootstrapHelper<T> > > instruments;
+        for (Size i=0; i<N; i++) {
+            Date maturity = iiData[i].date;
+            Handle<Quote> quote(boost::shared_ptr<Quote>(
+								new SimpleQuote(iiData[i].rate/100.0)));
+            boost::shared_ptr<BootstrapHelper<T> > anInstrument(new U(
+								quote, observationLag, maturity,
+								calendar, bdc, dc, ii));
+            instruments.push_back(anInstrument);
+        }
+		
+        return instruments;
+    }
+	
+	
+	struct CommonVars {
+        // common data
+		
+        Size length;
+        Date startDate;
+        Real volatility;
+		
+        Frequency frequency;
+        std::vector<Real> nominals;
+        Calendar calendar;
+        BusinessDayConvention convention;
+        Natural fixingDays;
+        Date evaluationDate;
+        Natural settlementDays;
+        Date settlement;
+        Period observationLag, contractObservationLag;
+		indexInterpolationType contractObservationInterpolation;
+        DayCounter dcZCIIS,dcNominal;
+		std::vector<Date> zciisD;
+		std::vector<Rate> zciisR;
+        boost::shared_ptr<UKRPI> ii;
+		Size zciisDataLength;
+		
+        RelinkableHandle<YieldTermStructure> nominalTS;
+        boost::shared_ptr<ZeroInflationTermStructure> cpiTS;
+		
+        // cleanup
+		
+        SavedSettings backup;
+		
+        // setup
+        CommonVars() {
+
+            // option variables
+            nominals = std::vector<Real>(1,1000000);  // 1M
+            frequency = Annual;
+            // usual setup
+            volatility = 0.01;
+            length = 7;
+            calendar = UnitedKingdom();
+            convention = ModifiedFollowing;
+            Date today(25, November, 2009);
+            evaluationDate = calendar.adjust(today);
+            Settings::instance().evaluationDate() = evaluationDate;
+            settlementDays = 0;
+            fixingDays = 0;
+            settlement = calendar.advance(today,settlementDays,Days);
+            startDate = settlement;
+            dcZCIIS = ActualActual();
+			dcNominal = ActualActual();
+			
+            // uk rpi index
+            //      fixing data
+            Date from(20, July, 2007);
+			//Date from(20, July, 2008);
+            Date to(20, November, 2009);
+            Schedule rpiSchedule = MakeSchedule().from(from).to(to)
+            .withTenor(1*Months)
+            .withCalendar(UnitedKingdom())
+            .withConvention(ModifiedFollowing);
+            Real fixData[] = { 
+				206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
+				209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
+				216.5, 217.2, 218.4, 217.7, 216,
+				212.9, 210.1, 211.4, 211.3, 211.5,
+				212.8, 213.4, 213.4, 213.4, 214.4,
+				-999.0, -999.0 };
+			
+            // link from cpi index to cpi TS
+            RelinkableHandle<ZeroInflationTermStructure> hcpi;
+            bool interp = false;// this MUST be false because the observation lag is only 2 months
+								// for ZCIIS; but not for contract if the contract uses a bigger lag.
+            ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
+            for (Size i=0; i<rpiSchedule.size();i++) {
+                ii->addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use
+			};
+			
+			
+			Datum nominalData[] = {
+				{ Date(26, November, 2009), 0.475 },
+				{ Date(2, December, 2009), 0.47498 },
+				{ Date(29, December, 2009), 0.49988 },
+				{ Date(25, February, 2010), 0.59955 },
+				{ Date(18, March, 2010), 0.65361 },
+				{ Date(25, May, 2010), 0.82830 },
+				//	{ Date(17, June, 2010), 0.7 },	// can't boostrap with this data point
+				{ Date(16, September, 2010), 0.78960 },
+				{ Date(16, December, 2010), 0.93762 },
+				{ Date(17, March, 2011), 1.12037 },
+				{ Date(16, June, 2011), 1.31308 },
+				{ Date(22, September, 2011),1.52011 },
+				{ Date(25, November, 2011),	1.78399 },
+				{ Date(26, November, 2012),	2.41170 },
+				{ Date(25, November, 2013),	2.83935 },
+				{ Date(25, November, 2014),	3.12888 },
+				{ Date(25, November, 2015),	3.34298 },
+				{ Date(25, November, 2016),	3.50632 },
+				{ Date(27, November, 2017),	3.63666 },
+				{ Date(26, November, 2018),	3.74723 },
+				{ Date(25, November, 2019),	3.83988 },
+				{ Date(25, November, 2021),	4.00508 },
+				{ Date(25, November, 2024),	4.16042 },
+				{ Date(26, November, 2029),	4.15577 },
+				{ Date(27, November, 2034),	4.04933 },
+				{ Date(25, November, 2039),	3.95217 },
+				{ Date(25, November, 2049),	3.80932 },
+				{ Date(25, November, 2059),	3.80849 },
+				{ Date(25, November, 2069),	3.72677 },
+				{ Date(27, November, 2079),	3.63082 }
+			};
+			const Size nominalDataLength = 30-1;
+			
+			std::vector<Date> nomD;
+			std::vector<Rate> nomR;
+			for (Size i = 0; i < nominalDataLength; i++) {
+				nomD.push_back(nominalData[i].date);
+				nomR.push_back(nominalData[i].rate/100.0);
+			}
+			boost::shared_ptr<YieldTermStructure> nominal =
+			boost::shared_ptr<InterpolatedZeroCurve<Linear> 
+			>(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
+			
+			
+			nominalTS.linkTo(nominal);
+			
+            // now build the zero inflation curve
+            observationLag = Period(2,Months);
+			contractObservationLag = Period(3,Months);
+			contractObservationInterpolation = iiFLAT;
+			
+            Datum zciisData[] = {
+                { Date(25, November, 2010), 3.0495 },
+                { Date(25, November, 2011), 2.93 },
+                { Date(26, November, 2012), 2.9795 },
+                { Date(25, November, 2013), 3.029 },
+                { Date(25, November, 2014), 3.1425 },
+				{ Date(25, November, 2015), 3.211 },
+                { Date(25, November, 2016), 3.2675 },
+				{ Date(25, November, 2017), 3.3625 },
+				{ Date(25, November, 2018), 3.405 },
+                { Date(25, November, 2019), 3.48 },
+                { Date(25, November, 2021), 3.576 },
+                { Date(25, November, 2024), 3.649 },  
+                { Date(26, November, 2029), 3.751 },  
+                { Date(27, November, 2034), 3.77225 },  
+                { Date(25, November, 2039), 3.77 },  
+                { Date(25, November, 2049), 3.734 },
+                { Date(25, November, 2059), 3.714 },
+            };
+			zciisDataLength = 17;
+			for (Size i = 0; i < zciisDataLength; i++) {
+				zciisD.push_back(zciisData[i].date);
+				zciisR.push_back(zciisData[i].rate);
+			}
+			
+            // now build the helpers ...
+            std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
+			makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
+			ZeroInflationIndex>(zciisData, zciisDataLength, ii,
+								observationLag,
+								calendar, convention, dcZCIIS);
+			
+			// we can use historical or first ZCIIS for this
+			// we know historical is WAY off market-implied, so use market implied flat.
+            Rate baseZeroRate = zciisData[0].rate/100.0;
+            boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pCPIts(
+								new PiecewiseZeroInflationCurve<Linear>(
+									evaluationDate, calendar, dcZCIIS, observationLag,
+									ii->frequency(),ii->interpolated(), baseZeroRate,
+									Handle<YieldTermStructure>(nominalTS), helpers));
+            pCPIts->recalculate();
+            cpiTS = boost::dynamic_pointer_cast<ZeroInflationTermStructure>(pCPIts);
+			
+			
+            // make sure that the index has the latest zero inflation term structure
+            hcpi.linkTo(pCPIts);
+        }
+		
+		
+    };
+	
+    bool checkAbsError(Real x1, Real x2, Real tolerance){
+        return std::fabs(x1 - x2) < tolerance;
+    }
+}
+
+	
+	
+void CPISwapTest::consistency() {
+	
+	// check inflation leg vs calculation directly from inflation TS
+	CommonVars common;
+
+	// ZeroInflationSwap aka CPISwap
+	
+	CPIswap::Type type = CPIswap::Payer;
+	Real nominal = 1000000.0;
+	bool subtractInflationNominal = true;
+	// float+spread leg
+	Spread spread = 0.0;
+	DayCounter floatDayCount = Actual365Fixed();
+	BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
+	Natural fixingDays = 0;
+	boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months), 
+														 common.nominalTS));
+	
+	// fixed x inflation leg
+	Rate fixedRate = 0.1;//1% would be 0.01
+	Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
+	DayCounter fixedDayCount = Actual365Fixed();
+	BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
+	Calendar fixedPaymentCalendar = UnitedKingdom();
+	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
+	Period contractObservationLag = common.contractObservationLag;
+	indexInterpolationType observationInterpolation = common.contractObservationInterpolation;
+	
+	// set the schedules
+	Date startDate(2, October, 2007);
+	Date endDate(2, October, 2052);
+	Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
+	.withTenor(Period(6,Months))
+	.withCalendar(UnitedKingdom())
+	.withConvention(floatPaymentConvention)
+	.backwards()
+	;
+	Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
+	.withTenor(Period(6,Months))
+	.withCalendar(UnitedKingdom())
+	.withConvention(Unadjusted)
+	.backwards()
+	;
+	
+	
+	CPIswap zisV(type, nominal, subtractInflationNominal,
+				 spread, floatDayCount, floatSchedule,
+				 floatPaymentConvention, fixingDays, floatIndex,
+				 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
+				 fixedPaymentConvention, contractObservationLag, 
+				 fixedIndex, observationInterpolation);
+	Date baseDate = floatSchedule[0] - contractObservationLag;
+	Date asofDate = Settings::instance().evaluationDate();	
+
+	float floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+	float cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+	for(Size i=0;i<floatSchedule.size(); i++){
+		if (floatSchedule[i] < common.evaluationDate) {
+			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
+		}
+		
+		boost::shared_ptr<CPICoupon> 
+		zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+		if (zic) {
+			if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
+				fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
+			}
+		}
+	}
+	
+	
+	// simple structure so simple pricing engine - most work done by index 
+	boost::shared_ptr<DiscountingSwapEngine> 
+		dse(new DiscountingSwapEngine(common.nominalTS));
+	
+	zisV.setPricingEngine(dse);
+	
+	// get float+spread & fixed*inflation leg prices separately
+	Real testInfLegNPV = 0.0;
+	for(Size i=0;i<zisV.leg(0).size(); i++){
+		 
+		Date zicPayDate = (zisV.leg(0))[i]->date();
+		if(zicPayDate > asofDate) {
+			testInfLegNPV += (zisV.leg(0))[i]->amount()*common.nominalTS->discount(zicPayDate);
+		}
+		
+		boost::shared_ptr<CPICoupon>
+			zicV = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+		if (zicV) {
+			Real diff = fabs( zicV->rate() - (fixedRate*(zicV->indexFixing()/baseCPI)) );
+			QL_REQUIRE(diff<1e-8,"failed "<<i<<"th coupon reconstruction as " 
+					   << (fixedRate*(zicV->indexFixing()/baseCPI)) << " vs rate = "
+					   <<zicV->rate() << ", with difference: " << diff);
+		} 
+	}
+	
+	
+	QL_REQUIRE(fabs(testInfLegNPV - zisV.legNPV(0)) <1e-5,"failed manual inf leg NPV calc vs pricing engine: "
+			   << testInfLegNPV << " vs " << zisV.legNPV(0));
+	
+	Real diff = fabs(1-zisV.NPV()/4191660.0);
+	QL_REQUIRE(diff<1e-5,"failed stored consistency value test, ratio = " << diff);
+}
+
+
+void CPISwapTest::zciisconsistency() {
+	CommonVars common;
+
+	ZeroCouponInflationSwap::Type ztype = ZeroCouponInflationSwap::Payer;
+	Real  nominal = 1000000.0;
+	Date startDate(common.evaluationDate);
+	Date endDate(25, November, 2059);
+	Calendar cal = UnitedKingdom();
+	BusinessDayConvention paymentConvention = ModifiedFollowing;
+	DayCounter dummyDC, dc = ActualActual();
+	Period observationLag(2,Months);
+	
+	Rate quote = 0.03714;
+	ZeroCouponInflationSwap zciis(ztype, nominal, startDate, endDate, cal, 
+								  paymentConvention, dc, quote, common.ii, 
+								  observationLag);
+	
+	// simple structure so simple pricing engine - most work done by index 
+	boost::shared_ptr<DiscountingSwapEngine> 
+	dse(new DiscountingSwapEngine(common.nominalTS));
+	
+	zciis.setPricingEngine(dse);
+	QL_REQUIRE(fabs(zciis.NPV())<1e-3,"zciis does not reprice to zero");
+	
+	std::vector<Date> oneDate;
+	oneDate.push_back(endDate);
+	Schedule schOneDate(oneDate, cal, paymentConvention);
+	
+	CPIswap::Type stype = CPIswap::Payer;
+	Real inflationNominal = nominal;
+	Real floatNominal = inflationNominal * std::pow(1.0+quote,50);
+	bool subtractInflationNominal = true;
+	Real dummySpread, dummyFixedRate;
+	Natural fixingDays = 0;
+	Date baseDate = startDate - observationLag;
+	Real baseCPI = common.ii->fixing(baseDate);
+	 
+	boost::shared_ptr<IborIndex> dummyFloatIndex;
+	  
+	CPIswap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
+			   paymentConvention, fixingDays, dummyFloatIndex, 
+			   dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
+			   common.ii, iiINDEX, inflationNominal);
+	
+	cS.setPricingEngine(dse);
+	QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPIswap as ZCIIS does not reprice to zero");
+
+	for (Size i=0; i<2; i++) {
+		QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPIswap leg");
+	}
+}
+
+
+void CPISwapTest::cpibondconsistency() {
+	CommonVars common;
+	
+	// ZeroInflationSwap aka CPISwap
+	
+	CPIswap::Type type = CPIswap::Payer;
+	Real nominal = 1000000.0;
+	bool subtractInflationNominal = true;
+	// float+spread leg
+	Spread spread = 0.0;
+	DayCounter floatDayCount = Actual365Fixed();
+	BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
+	Natural fixingDays = 0;
+	boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months), 
+														 common.nominalTS));
+	
+	// fixed x inflation leg
+	Rate fixedRate = 0.1;//1% would be 0.01
+	Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
+	DayCounter fixedDayCount = Actual365Fixed();
+	BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
+	Calendar fixedPaymentCalendar = UnitedKingdom();
+	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
+	Period contractObservationLag = common.contractObservationLag;
+	indexInterpolationType observationInterpolation = common.contractObservationInterpolation;
+	
+	// set the schedules
+	Date startDate(2, October, 2007);
+	Date endDate(2, October, 2052);
+	Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
+	.withTenor(Period(6,Months))
+	.withCalendar(UnitedKingdom())
+	.withConvention(floatPaymentConvention)
+	.backwards()
+	;
+	Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
+	.withTenor(Period(6,Months))
+	.withCalendar(UnitedKingdom())
+	.withConvention(Unadjusted)
+	.backwards()
+	;
+	
+	
+	CPIswap zisV(type, nominal, subtractInflationNominal,
+				 spread, floatDayCount, floatSchedule,
+				 floatPaymentConvention, fixingDays, floatIndex,
+				 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
+				 fixedPaymentConvention, contractObservationLag, 
+				 fixedIndex, observationInterpolation);
+	Date baseDate = floatSchedule[0] - contractObservationLag;
+	Date asofDate = Settings::instance().evaluationDate();	
+	
+	float floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+	float cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+	for(Size i=0;i<floatSchedule.size(); i++){
+		if (floatSchedule[i] < common.evaluationDate) {
+			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
+		}
+		
+		boost::shared_ptr<CPICoupon> 
+		zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+		if (zic) {
+			if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
+				fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
+			}
+		}
+	}
+	
+	
+	// simple structure so simple pricing engine - most work done by index 
+	boost::shared_ptr<DiscountingSwapEngine> 
+	dse(new DiscountingSwapEngine(common.nominalTS));
+	
+	zisV.setPricingEngine(dse);
+	
+	// now do the bond equivalent
+	std::vector<Rate> fixedRates(1,fixedRate);
+	Natural settlementDays = 1;// cannot be zero!
+	bool growthOnly = true;
+	CPIbond cpiB(settlementDays, nominal, growthOnly,
+				 baseCPI, contractObservationLag, fixedIndex,
+				 observationInterpolation, fixedSchedule,
+				 fixedRates, fixedDayCount, fixedPaymentConvention);
+	
+	boost::shared_ptr<DiscountingBondEngine> 
+	dbe(new DiscountingBondEngine(common.nominalTS));
+	cpiB.setPricingEngine(dbe);
+	
+	QL_REQUIRE(fabs(cpiB.NPV() - zisV.legNPV(0))<1e-5,"cpi bond does not equal equivalent cpi swap leg");
+}
+
+
+test_suite* CPISwapTest::suite() {
+	test_suite* suite = BOOST_TEST_SUITE("CPIswap tests");
+	
+	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::consistency));
+	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::zciisconsistency));
+	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::cpibondconsistency));
+	
+	return suite;
+}
+
diff --git a/test-suite/inflationcpiswap.hpp b/test-suite/inflationcpiswap.hpp
new file mode 100755
index 0000000000..6101333e94
--- /dev/null
+++ b/test-suite/inflationcpiswap.hpp
@@ -0,0 +1,39 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#ifndef quantlib_test_inflationcpiswap_hpp
+#define quantlib_test_inflationcpiswap_hpp
+
+#include <boost/test/unit_test.hpp>
+
+//! Classic inflation index ratio-from-base products.  Always have some "notional" flow.
+class CPISwapTest {
+public:
+	//! consistency test w.r.t. manual build-up of calculatons
+	static void consistency();
+	//! a CPI swap can look like a Zero Coupon Inflation Inedex Swap, check it gies same prices
+	static void zciisconsistency();
+	//! one leg of a CPI swap looks like a CPI bond with growthOnly=true
+	static void cpibondconsistency();
+	static boost::unit_test_framework::test_suite* suite();
+};
+
+
+
+#endif
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index d0f1a4fee7..98e04b8249 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -93,6 +93,8 @@
 #include "inflation.hpp"
 #include "inflationcapfloor.hpp"
 #include "inflationcapflooredcoupon.hpp"
+#include "inflationcpicapfloor.hpp"
+#include "inflationcpiswap.hpp"
 #include "inflationvolatility.hpp"
 #include "instruments.hpp"
 #include "integrals.hpp"
@@ -269,6 +271,8 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(InflationTest::suite());                  // in general inflation & tests
     test->add(InflationCapFloorTest::suite());          // use indexed coupons, i.e.
     test->add(InflationCapFlooredCouponTest::suite());  // QL_USE_INDEXED_COUPON has no effect
+	test->add(CPISwapTest::suite());					//
+	test->add(InflationCPICapFloorTest::suite());		//
     test->add(InflationVolTest::suite());               //
     test->add(InstrumentTest::suite());
     test->add(IntegralTest::suite());

From a6bdb216227f31dfbbcd0f9a2633706bff4eab5c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Jan 2011 12:21:30 +0000
Subject: [PATCH 139/410] Added semi-analytic Heston and Bates methods to
 example.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17585 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Examples/EquityOption/EquityOption.cpp | 34 ++++++++++++++++++++++++++
 1 file changed, 34 insertions(+)

diff --git a/Examples/EquityOption/EquityOption.cpp b/Examples/EquityOption/EquityOption.cpp
index ca7e4e279c..fc87897c40 100644
--- a/Examples/EquityOption/EquityOption.cpp
+++ b/Examples/EquityOption/EquityOption.cpp
@@ -143,6 +143,40 @@ int main(int, char* []) {
                   << std::setw(widths[3]) << std::left << "N/A"
                   << std::endl;
 
+        // semi-analytic Heston for European
+        method = "Heston semi-analytic";
+        boost::shared_ptr<HestonProcess> hestonProcess(
+            new HestonProcess(flatTermStructure, flatDividendTS,
+                              underlyingH, volatility*volatility,
+                              1.0, volatility*volatility, 0.001, 0.0));
+        boost::shared_ptr<HestonModel> hestonModel(
+                                              new HestonModel(hestonProcess));
+        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                                     new AnalyticHestonEngine(hestonModel)));
+        std::cout << std::setw(widths[0]) << std::left << method
+                  << std::fixed
+                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
+                  << std::setw(widths[2]) << std::left << "N/A"
+                  << std::setw(widths[3]) << std::left << "N/A"
+                  << std::endl;
+
+        // semi-analytic Bates for European
+        method = "Bates semi-analytic";
+        boost::shared_ptr<BatesProcess> batesProcess(
+            new BatesProcess(flatTermStructure, flatDividendTS,
+                             underlyingH, volatility*volatility,
+                             1.0, volatility*volatility, 0.001, 0.0,
+                             1e-14, 1e-14, 1e-14));
+        boost::shared_ptr<BatesModel> batesModel(new BatesModel(batesProcess));
+        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                                                new BatesEngine(batesModel)));
+        std::cout << std::setw(widths[0]) << std::left << method
+                  << std::fixed
+                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
+                  << std::setw(widths[2]) << std::left << "N/A"
+                  << std::setw(widths[3]) << std::left << "N/A"
+                  << std::endl;
+
         // Barone-Adesi and Whaley approximation for American
         method = "Barone-Adesi/Whaley";
         americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(

From c40d499ea23a88604f0207def78205b41d9f9fce Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Jan 2011 12:22:09 +0000
Subject: [PATCH 140/410] Increased version number to 1.2.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17586 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Announce.txt   | 4 ++--
 configure.ac   | 2 +-
 ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/Announce.txt b/Announce.txt
index d7dbf41342..5c8b28988f 100644
--- a/Announce.txt
+++ b/Announce.txt
@@ -2,13 +2,13 @@
 QuantLib is a cross-platform, free/open-source quantitative finance C++
 library for modeling, pricing, trading, and risk management in real-life.
 
-Version 1.1 has been released and is available for download at
+Version 1.2 has been released and is available for download at
 <http://quantlib.org/download.shtml>.
 
 Please log any problems you have with this release in the SourceForge
 bug tracker at
 <http://sourceforge.net/tracker/?group_id=12740&atid=112740>
-specifying that you're using QuantLib 1.1.
+specifying that you're using QuantLib 1.2.
 
         The QuantLib group
 
diff --git a/configure.ac b/configure.ac
index 6d8acce80b..e6ec38d210 100644
--- a/configure.ac
+++ b/configure.ac
@@ -1,5 +1,5 @@
 # Process this file with autoconf to produce a configure script.
-AC_INIT([QuantLib], [1.1],
+AC_INIT([QuantLib], [1.2],
         [quantlib-dev@lists.sourceforge.net],
         [QuantLib])
 AC_PREREQ(2.50)
diff --git a/ql/version.hpp b/ql/version.hpp
index cce701fcca..65c160f5cb 100644
--- a/ql/version.hpp
+++ b/ql/version.hpp
@@ -31,15 +31,15 @@
 
 //! version string
 #ifdef QL_DEBUG
-    #define QL_VERSION "1.1-debug"
+    #define QL_VERSION "1.2-debug"
 #else
-    #define QL_VERSION "1.1"
+    #define QL_VERSION "1.2"
 #endif
 
 //! version hexadecimal number
-#define QL_HEX_VERSION 0x010100f0
+#define QL_HEX_VERSION 0x010200f0
 //! version string for output lib name
-#define QL_LIB_VERSION "1_1"
+#define QL_LIB_VERSION "1_2"
 
 /*! @}  */
 

From 1f8d2cbd0fc8cc3a1dd90b1f0ef5e4492aba6085 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Jan 2011 12:56:42 +0000
Subject: [PATCH 141/410] corrected typo

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17591 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/batesmodel.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/test-suite/batesmodel.cpp b/test-suite/batesmodel.cpp
index c1f50dea4a..eebeda43ad 100644
--- a/test-suite/batesmodel.cpp
+++ b/test-suite/batesmodel.cpp
@@ -368,9 +368,9 @@ void BatesModelTest::testAnalyticVsMCPricing() {
         const Real fdTolerance = 0.2;
         const Real fdError = std::fabs(fdCalculated - expected);
         if (fdError > fdTolerance) {
-            BOOST_FAIL("failed to PIDE price for BatesEngine"
+            BOOST_FAIL("failed to reproduce PIDE price for BatesEngine"
                        << QL_FIXED << std::setprecision(8)
-                       << "\n    calculated: " << calculated
+                       << "\n    calculated: " << fdCalculated
                        << "\n    expected:   " << expected
                        << "\n    error: "      << fdError
                        << "\n    tolerance:  " << fdTolerance);

From bebfe4af846325da4e111bb3ff50d9be33c2e6e5 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Jan 2011 15:45:07 +0000
Subject: [PATCH 142/410] include delta and gamma values to test case

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17592 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/hybridhestonhullwhiteprocess.cpp | 28 ++++++++++++++++++---
 1 file changed, 24 insertions(+), 4 deletions(-)

diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index 62c90117cb..db574934aa 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -922,15 +922,35 @@ void HybridHestonHullWhiteProcessTest::testFdmHestonHullWhiteEngine() {
                              new HestonModel(hestonProcess)),
                                        hwProcess, corr[i], 50, 200, 10, 15)));    
             const Real calculated = option.NPV();
+            const Real calculatedDelta = option.delta();
+            const Real calculatedGamma = option.gamma();
             
             option.setPricingEngine(boost::shared_ptr<PricingEngine>(
                 new AnalyticBSMHullWhiteEngine(corr[i],
                                                stochProcess, hwModel)));
             const Real expected = option.NPV();
+            const Real expectedDelta = option.delta();
+            const Real expectedGamma = option.gamma();
 
-            const Real tol = 0.01;
-            if (std::fabs(calculated - expected) > tol) {
-                 BOOST_ERROR("Failed to reproduce analytic values"
+            const Real npvTol = 0.01;
+            if (std::fabs(calculated - expected) > npvTol) {
+                 BOOST_ERROR("Failed to reproduce analytic npv values"
+                         << "\n   corr:       " << corr[i]
+                         << "\n   strike:     " << strike[j]
+                         << "\n   calculated: " << calculated
+                         << "\n   expected:   " << expected);
+            }
+            const Real deltaTol = 0.001;
+            if (std::fabs(calculatedDelta - expectedDelta) > deltaTol) {
+                 BOOST_ERROR("Failed to reproduce analytic delta values"
+                         << "\n   corr:       " << corr[i]
+                         << "\n   strike:     " << strike[j]
+                         << "\n   calculated: " << calculated
+                         << "\n   expected:   " << expected);
+            }
+            const Real gammaTol = 0.001;
+            if (std::fabs(calculatedGamma - expectedGamma) > gammaTol) {
+                 BOOST_ERROR("Failed to reproduce analytic gamma values"
                          << "\n   corr:       " << corr[i]
                          << "\n   strike:     " << strike[j]
                          << "\n   calculated: " << calculated
@@ -1413,7 +1433,7 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
     
 test_suite* HybridHestonHullWhiteProcessTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Hybrid Heston-HullWhite tests");
-    
+
     // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(
         &HybridHestonHullWhiteProcessTest::testBsmHullWhiteEngine));

From d4491ef0d556894195060ea29a835ce7962c4b33 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Jan 2011 15:50:37 +0000
Subject: [PATCH 143/410] added vanilla and swing option finite difference
 pricer for Kluge model (plus further refactoring of the multi dimensinal
 finite difference code)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17593 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |  27 +-
 ql/experimental/finitedifferences/all.hpp     |  15 +-
 .../exponentialjump1dmesher.cpp               |  97 ++++
 .../exponentialjump1dmesher.hpp               |  65 +++
 .../fd2dblackscholesvanillaengine.cpp         |   9 +-
 .../fdbatesvanillaengine.cpp                  |  46 +-
 .../fdbatesvanillaengine.hpp                  |   9 +-
 .../fdblackscholesasianengine.cpp             |  12 +-
 .../fdblackscholesbarrierengine.cpp           |  11 +-
 .../fdblackscholesrebateengine.cpp            |   7 +-
 .../fdblackscholesvanillaengine.cpp           |   7 +-
 .../fdextoujumpvanillaengine.cpp              | 111 ++++
 .../fdextoujumpvanillaengine.hpp              |  57 ++
 .../fdhestonbarrierengine.cpp                 |   9 +-
 .../fdhestonhullwhitevanillaengine.cpp        |  74 +--
 .../fdhestonrebateengine.cpp                  |  10 +-
 .../fdhestonvanillaengine.cpp                 |  79 +--
 .../fdhestonvanillaengine.hpp                 |   4 +
 .../fdm2dblackscholessolver.cpp               |  99 +---
 .../fdm2dblackscholessolver.hpp               |  31 +-
 .../finitedifferences/fdm2dimsolver.cpp       | 130 +++++
 .../finitedifferences/fdm2dimsolver.hpp       |  71 +++
 .../finitedifferences/fdm3dimsolver.cpp       | 131 +++++
 .../finitedifferences/fdm3dimsolver.hpp       |  63 +++
 .../finitedifferences/fdmbatesop.cpp          |   2 +
 .../finitedifferences/fdmbatessolver.cpp      |  58 +-
 .../finitedifferences/fdmbatessolver.hpp      |  36 +-
 .../fdmblackscholessolver.cpp                 |  49 +-
 .../fdmblackscholessolver.hpp                 |  27 +-
 .../fdmextoujumpmodelinnervalue.hpp           |  58 ++
 .../finitedifferences/fdmextoujumpop.cpp      | 181 ++++++
 .../finitedifferences/fdmextoujumpop.hpp      |  96 ++++
 .../finitedifferences/fdmextoujumpsolver.cpp  |  57 ++
 .../finitedifferences/fdmextoujumpsolver.hpp  |  59 ++
 .../fdmhestonhullwhitesolver.cpp              | 113 +---
 .../fdmhestonhullwhitesolver.hpp              |  28 +-
 .../fdmhestonlikesolverfactory.cpp            |  73 ---
 .../fdmhestonlikesolverfactory.hpp            |  57 --
 .../finitedifferences/fdmhestonsolver.cpp     | 109 +---
 .../finitedifferences/fdmhestonsolver.hpp     |  34 +-
 .../fdminnervaluecalculator.hpp               |   6 +
 .../finitedifferences/fdmsimple2dbssolver.cpp |  83 +--
 .../finitedifferences/fdmsimple2dbssolver.hpp |  29 +-
 .../fdmsimple3dextoujumpsolver.hpp            |  77 +++
 ...esher.cpp => fdmsimpleprocess1dmesher.cpp} |  12 +-
 ...esher.hpp => fdmsimpleprocess1dmesher.hpp} |  18 +-
 .../fdmsimpleswingcondition.cpp               |  22 +-
 .../fdmsimpleswingcondition.hpp               |  17 +-
 .../finitedifferences/fdmsolverdesc.hpp       |  46 ++
 .../fdsimplebsswingengine.cpp                 |  20 +-
 .../fdsimpleextoujumpswingengine.cpp          | 141 +++++
 .../fdsimpleextoujumpswingengine.hpp          |  58 ++
 ql/experimental/processes/Makefile.am         |   4 +
 ql/experimental/processes/all.hpp             |   2 +
 .../extendedornsteinuhlenbeckprocess.cpp      |   7 +-
 .../processes/extouwithjumpsprocess.cpp       | 100 ++++
 .../processes/extouwithjumpsprocess.hpp       |  88 +++
 .../processes/gemanroncoroniprocess.cpp       | 117 ++++
 .../processes/gemanroncoroniprocess.hpp       |  78 +++
 test-suite/Makefile.am                        |   3 +-
 test-suite/fdmlinearop.cpp                    |   5 +-
 test-suite/quantlibtestsuite.cpp              |   2 +
 test-suite/swingoption.cpp                    | 521 ++++++++++++++++++
 test-suite/swingoption.hpp                    |  39 ++
 64 files changed, 2842 insertions(+), 864 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/exponentialjump1dmesher.cpp
 create mode 100644 ql/experimental/finitedifferences/exponentialjump1dmesher.hpp
 create mode 100644 ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dimsolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdm2dimsolver.hpp
 create mode 100644 ql/experimental/finitedifferences/fdm3dimsolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdm3dimsolver.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmextoujumpop.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmextoujumpop.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
 delete mode 100644 ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
 delete mode 100644 ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
 rename ql/experimental/finitedifferences/{fdmhullwhitemesher.cpp => fdmsimpleprocess1dmesher.cpp} (86%)
 rename ql/experimental/finitedifferences/{fdmhullwhitemesher.hpp => fdmsimpleprocess1dmesher.hpp} (71%)
 create mode 100644 ql/experimental/finitedifferences/fdmsolverdesc.hpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
 create mode 100644 ql/experimental/processes/extouwithjumpsprocess.cpp
 create mode 100644 ql/experimental/processes/extouwithjumpsprocess.hpp
 create mode 100755 ql/experimental/processes/gemanroncoroniprocess.cpp
 create mode 100755 ql/experimental/processes/gemanroncoroniprocess.hpp
 create mode 100755 test-suite/swingoption.cpp
 create mode 100755 test-suite/swingoption.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 86e683db56..2911da8e0d 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -10,20 +10,23 @@ this_include_HEADERS = \
 	dividendbarrieroption.hpp \
 	douglasscheme.hpp \
 	expliciteulerscheme.hpp \
+	exponentialjump1dmesher.hpp \
 	fd2dblackscholesvanillaengine.hpp \
 	fdbatesvanillaengine.hpp \
 	fdblackscholesasianengine.hpp \
 	fdblackscholesbarrierengine.hpp \
 	fdblackscholesrebateengine.hpp \
 	fdblackscholesvanillaengine.hpp \
+    fdextoujumpvanillaengine.hpp \
 	fdhestonbarrierengine.hpp \
 	fdhestonrebateengine.hpp \
 	fdhestonvanillaengine.hpp \
 	fdhestonhullwhitevanillaengine.hpp \
-    fdsimplebsswingengine.hpp \
 	fdm1dmesher.hpp \
 	fdm2dblackscholesop.hpp \
 	fdm2dblackscholessolver.hpp \
+	fdm2dimsolver.hpp \
+	fdm3dimsolver.hpp \
     fdmamericanstepcondition.hpp \
     fdmarithmeticaveragecondition.hpp \
     fdmbackwardsolver.hpp \
@@ -36,13 +39,14 @@ this_include_HEADERS = \
 	fdmblackscholessolver.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
+	fdmextoujumpmodelinnervalue.hpp \
+	fdmextoujumpop.hpp \
+	fdmextoujumpsolver.hpp \
 	fdmhestonhullwhiteop.hpp \
 	fdmhestonhullwhitesolver.hpp \
-	fdmhestonlikesolverfactory.hpp \
 	fdmhestonop.hpp \
 	fdmhestonsolver.hpp \
 	fdmhestonvariancemesher.hpp \
-	fdmhullwhitemesher.hpp \
 	fdminnervaluecalculator.hpp \
 	fdmlinearop.hpp \
 	fdmlinearopcomposite.hpp \
@@ -52,9 +56,14 @@ this_include_HEADERS = \
 	fdmmeshercomposite.hpp \
 	fdmquantohelper.hpp \
     fdmsimple2dbssolver.hpp \
+    fdmsimple3dextoujumpsolver.hpp \
+    fdmsimpleprocess1dmesher.hpp \
     fdmsimpleswingcondition.hpp \
 	fdmsnapshotcondition.hpp \
+	fdmsolverdesc.hpp \
 	fdmstepconditioncomposite.hpp \
+    fdsimplebsswingengine.hpp \
+	fdsimpleextoujumpswingengine.hpp \
 	firstderivativeop.hpp \
 	hundsdorferscheme.hpp \
 	impliciteulerscheme.hpp \
@@ -74,19 +83,22 @@ libMultiDimFDM_la_SOURCES = \
 	dividendbarrieroption.cpp \
 	douglasscheme.cpp \
 	expliciteulerscheme.cpp \
+	exponentialjump1dmesher.cpp \
 	fd2dblackscholesvanillaengine.cpp \
 	fdbatesvanillaengine.cpp \
 	fdblackscholesasianengine.cpp \
 	fdblackscholesbarrierengine.cpp \
 	fdblackscholesrebateengine.cpp \
 	fdblackscholesvanillaengine.cpp \
+    fdextoujumpvanillaengine.cpp \
 	fdhestonbarrierengine.cpp \
 	fdhestonrebateengine.cpp \
 	fdhestonvanillaengine.cpp \
 	fdhestonhullwhitevanillaengine.cpp \
-    fdsimplebsswingengine.cpp \
 	fdm2dblackscholesop.cpp \
 	fdm2dblackscholessolver.cpp \
+	fdm2dimsolver.cpp \
+	fdm3dimsolver.cpp \
 	fdmamericanstepcondition.cpp \
     fdmarithmeticaveragecondition.cpp \
     fdmbackwardsolver.cpp \
@@ -99,21 +111,24 @@ libMultiDimFDM_la_SOURCES = \
 	fdmblackscholessolver.cpp \
 	fdmdirichletboundary.cpp \
 	fdmdividendhandler.cpp \
+	fdmextoujumpop.cpp \
+	fdmextoujumpsolver.cpp \
 	fdmhestonhullwhiteop.cpp \
 	fdmhestonhullwhitesolver.cpp \
-	fdmhestonlikesolverfactory.cpp \
 	fdmhestonop.cpp \
 	fdmhestonsolver.cpp \
 	fdmhestonvariancemesher.cpp \
-	fdmhullwhitemesher.cpp \
 	fdminnervaluecalculator.cpp \
 	fdmlinearoplayout.cpp \
 	fdmmeshercomposite.cpp \
 	fdmquantohelper.cpp \
     fdmsimple2dbssolver.cpp \
+    fdmsimpleprocess1dmesher.cpp \
     fdmsimpleswingcondition.cpp \
 	fdmsnapshotcondition.cpp \
 	fdmstepconditioncomposite.cpp \
+    fdsimplebsswingengine.cpp \
+	fdsimpleextoujumpswingengine.cpp \
 	firstderivativeop.cpp \
 	hundsdorferscheme.cpp \
 	impliciteulerscheme.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 900f612e43..d115bd4e2b 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -7,20 +7,23 @@
 #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
 #include <ql/experimental/finitedifferences/douglasscheme.hpp>
 #include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
@@ -33,13 +36,14 @@
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhullwhitemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
@@ -49,9 +53,14 @@
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
 #include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
 #include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
diff --git a/ql/experimental/finitedifferences/exponentialjump1dmesher.cpp b/ql/experimental/finitedifferences/exponentialjump1dmesher.cpp
new file mode 100644
index 0000000000..f4a9c84f0a
--- /dev/null
+++ b/ql/experimental/finitedifferences/exponentialjump1dmesher.cpp
@@ -0,0 +1,97 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file exponentialjump1dmesher.cpp
+    \brief mesher for a exponential jump mesher with high 
+           mean reversion rate and low jump intensity
+*/
+
+#include <ql/math/incompletegamma.hpp>
+#include <ql/math/integrals/gausslobattointegral.hpp>
+#include <ql/math/distributions/gammadistribution.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+
+#include <boost/bind.hpp>
+
+namespace QuantLib {
+    ExponentialJump1dMesher::ExponentialJump1dMesher(
+          Size steps, Real beta, Real jumpIntensity, Real eta, Real eps)
+    : Fdm1dMesher(steps),
+      beta_(beta), jumpIntensity_(jumpIntensity), eta_(eta)
+   {
+        QL_REQUIRE(eps > 0.0 && eps < 1.0, "eps > 0.0 and eps < 1.0");
+        QL_REQUIRE(steps > 1, "minimum number of steps is two");
+        
+        const Real start = 0.0;
+        const Real end   = 1.0-eps;    
+        const Real dx    = (end-start)/(steps-1);
+    
+        for (Size i=0; i < steps; ++i) {
+            const Real p = start + i*dx;
+            locations_[i] = -1.0/eta*std::log(1.0-p);
+        }
+        for (Size i=0; i < steps-1; ++i) {
+            dminus_[i+1] = dplus_[i] = locations_[i+1]-locations_[i];
+        }
+        dplus_.back() = dminus_.front() = Null<Real>();
+    }
+                                    
+                                    
+    Real ExponentialJump1dMesher::jumpSizeDensity(Real x, Time t) const {
+        const Real a    = 1.0-jumpIntensity_/beta_;
+        const Real norm = 1.0-std::exp(-jumpIntensity_*t);
+        const Real gammaValue 
+            = std::exp(GammaFunction().logValue(1.0-jumpIntensity_/beta_));
+        return jumpIntensity_*gammaValue/norm
+                    *( incompleteGammaFunction(a, x*std::exp(beta_*t)*eta_)
+                      -incompleteGammaFunction(a, x*eta_))
+                    *std::pow(eta_, jumpIntensity_/beta_)
+                    /(beta_*std::pow(x, a));
+    }
+    
+    Real ExponentialJump1dMesher::jumpSizeDensity(Real x) const {
+        const Real a = 1.0-jumpIntensity_/beta_;
+        const Real gammaValue 
+                = std::exp(GammaFunction().logValue(jumpIntensity_/beta_));
+        return std::exp(-x*eta_)*std::pow(x, -a) * std::pow(eta_, 1.0-a) 
+                / gammaValue;
+    }
+
+    Real ExponentialJump1dMesher::jumpSizeDistribution(Real x, Time t) const {
+        const Real xmin = std::min(x, 1.0e-100);
+        
+        return GaussLobattoIntegral(1000000, 1e-12)(
+            boost::bind(&ExponentialJump1dMesher::jumpSizeDensity, this, _1, t),
+            xmin, std::max(x, xmin));
+    }
+
+    Real ExponentialJump1dMesher::jumpSizeDistribution(Real x) const {
+        const Real a    = jumpIntensity_/beta_;
+        const Real xmin = std::min(x, QL_EPSILON);
+        const Real gammaValue 
+                = std::exp(GammaFunction().logValue(jumpIntensity_/beta_));
+        
+        const Real lowerEps = 
+            (std::pow(xmin, a)/a - std::pow(xmin, a+1)/(a+1))/gammaValue;
+        
+        return lowerEps + GaussLobattoIntegral(10000, 1e-12)(
+            boost::bind(&ExponentialJump1dMesher::jumpSizeDensity, this, _1),
+            xmin/eta_, std::max(x, xmin/eta_));
+    }
+}
diff --git a/ql/experimental/finitedifferences/exponentialjump1dmesher.hpp b/ql/experimental/finitedifferences/exponentialjump1dmesher.hpp
new file mode 100644
index 0000000000..15a3cf0791
--- /dev/null
+++ b/ql/experimental/finitedifferences/exponentialjump1dmesher.hpp
@@ -0,0 +1,65 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file exponentialjump1dmesher.hpp
+    \brief mesher for a exponential jump mesher with high 
+           mean reversion rate and low jump intensity
+*/
+
+#ifndef quantlib_exponential_jump_1d_mesher_hpp
+#define quantlib_exponential_jump_1d_mesher_hpp
+
+#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+
+namespace QuantLib {
+
+    /*! Mesher for a exponential jump process with high 
+        mean reversion rate and low jump intensity
+        \f[
+        \begin{array}{rcl}
+        dY_t  &=& -\beta Y_{t-}dt + J_tdN_t \\
+        \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J}
+        \end{array}
+        \f]
+    */
+
+    /*! References:
+        B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing 
+        swing options in electricity markets,
+        http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
+    */
+
+    class ExponentialJump1dMesher : public Fdm1dMesher {
+      public:
+        ExponentialJump1dMesher(Size steps, Real beta, Real jumpIntensity, 
+                                Real eta, Real eps = 1e-3);
+        
+        // approximation. see Hambly et.al.
+        Real jumpSizeDensity(Real x) const; // t->\inf
+        Real jumpSizeDensity(Real x, Time t) const;
+        Real jumpSizeDistribution(Real x) const; // t->\inf
+        Real jumpSizeDistribution(Real x, Time t) const;
+        
+      private:
+        const Real beta_, jumpIntensity_, eta_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
index d37601f81c..044a9eeb07 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
@@ -89,14 +89,15 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
+        const FdmSolverDesc solverDesc = { mesher, boundaries,
+                                           conditions, calculator,
+                                           maturity, tGrid_, dampingSteps_ };
+
         boost::shared_ptr<Fdm2dBlackScholesSolver> solver(
                 new Fdm2dBlackScholesSolver(
                              Handle<GeneralizedBlackScholesProcess>(p1_),
                              Handle<GeneralizedBlackScholesProcess>(p2_),
-                             correlation_,
-                             mesher, boundaries, conditions, calculator,
-                             maturity, tGrid_, dampingSteps_,
-                             schemeDesc_));
+                             correlation_, solverDesc, schemeDesc_));
 
         const Real x = p1_->x0();
         const Real y = p2_->x0();
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp b/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
index 0196707a41..aeb283dab5 100644
--- a/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
@@ -21,7 +21,9 @@
     \brief Partial Integro Finite-Differences Bates vanilla option engine
 */
 
+#include <ql/processes/batesprocess.hpp>
 
+#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 #include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 
@@ -35,28 +37,34 @@ namespace QuantLib {
     : GenericModelEngine<BatesModel,
                          DividendVanillaOption::arguments,
                          DividendVanillaOption::results>(model),
-      hestonEngine_(new FdHestonVanillaEngine(model, tGrid, xGrid, vGrid, 
-                                              dampingSteps, schemeDesc)) {
+       tGrid_(tGrid), xGrid_(xGrid),
+       vGrid_(vGrid), dampingSteps_(dampingSteps),
+       schemeDesc_(schemeDesc) {
     }
 
     void FdBatesVanillaEngine::calculate() const {
-        hestonEngine_->calculate();
-        
-        results_ = *dynamic_cast<const DividendVanillaOption::results*>(
-                                                hestonEngine_->getResults());
-    }
-    
-    PricingEngine::arguments* FdBatesVanillaEngine::getArguments() const { 
-        return hestonEngine_->getArguments(); 
-    }
-    
-    const PricingEngine::results* FdBatesVanillaEngine::getResults() const {
-        return hestonEngine_->getResults();
-    }
-    
-    void FdBatesVanillaEngine::reset() {
-        hestonEngine_->reset();
-    }
+        FdHestonVanillaEngine helperEngine(model_.currentLink(),
+                                           tGrid_, xGrid_, vGrid_,
+                                           dampingSteps_, schemeDesc_);
+
+        *dynamic_cast<DividendVanillaOption::arguments*>(
+                               helperEngine.getArguments()) = arguments_;
 
+        FdmSolverDesc solverDesc = helperEngine.getSolverDesc(2.0);
 
+        const boost::shared_ptr<BatesProcess> process =
+                boost::dynamic_pointer_cast<BatesProcess>(model_->process());
+
+        boost::shared_ptr<FdmBatesSolver> solver(
+            new FdmBatesSolver(Handle<BatesProcess>(process),
+                               solverDesc, schemeDesc_));
+
+        const Real v0   = process->v0();
+        const Real spot = process->s0()->value();
+
+        results_.value = solver->valueAt(spot, v0);
+        results_.delta = solver->deltaAt(spot, v0);
+        results_.gamma = solver->gammaAt(spot, v0);
+        results_.theta = solver->thetaAt(spot, v0);
+    }
 }
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
index 8373cb5b9e..51f00ef9be 100644
--- a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
@@ -31,7 +31,6 @@
 
 namespace QuantLib {
 
-    class FdHestonVanillaEngine;
 
     //! Partial Integro FiniteDifferences Bates Vanilla Option engine
 
@@ -51,13 +50,9 @@ namespace QuantLib {
         
         void calculate() const;
         
-        // deligate rest of the interface
-        arguments* getArguments() const;
-        const results* getResults() const;
-        void reset();
-
       private:
-        const boost::shared_ptr<FdHestonVanillaEngine> hestonEngine_;
+        const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
+        const FdmSchemeDesc schemeDesc_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp b/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
index c2797cb4fa..1acbdb61b3 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
@@ -18,8 +18,6 @@
 */
 
 #include <ql/exercise.hpp>
-#include <ql/time/daycounters/actualactual.hpp>
-#include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
@@ -105,12 +103,12 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity, tGrid_, 0 };
         boost::shared_ptr<FdmSimple2dBSSolver> solver(
-                new FdmSimple2dBSSolver(
-                                Handle<GeneralizedBlackScholesProcess>(process_),
-                                mesher, boundaries, conditions, calculator,
-                                payoff->strike(),maturity, tGrid_,
-                                schemeDesc_));
+              new FdmSimple2dBSSolver(
+                              Handle<GeneralizedBlackScholesProcess>(process_),
+                              payoff->strike(), solverDesc, schemeDesc_));
 
         const Real spot = process_->x0();
         const Real avg = arguments_.runningAccumulator == 0
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
index 8a5b0c1c37..50fb3fe9d9 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
@@ -123,13 +123,14 @@ namespace QuantLib {
         }
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
+                                     maturity, tGrid_, dampingSteps_ };
+
         boost::shared_ptr<FdmBlackScholesSolver> solver(
                 new FdmBlackScholesSolver(
-                                Handle<GeneralizedBlackScholesProcess>(process_),
-                                mesher, boundaries, conditions, calculator,
-                                payoff->strike(), maturity, tGrid_,
-                                dampingSteps_, schemeDesc_, 
-                                localVol_, illegalLocalVolOverwrite_));
+                               Handle<GeneralizedBlackScholesProcess>(process_),
+                               payoff->strike(), solverDesc, schemeDesc_,
+                               localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
         results_.value = solver->valueAt(spot);
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
index a18e64c27c..dd51601a1d 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
@@ -107,12 +107,13 @@ namespace QuantLib {
         }
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
+                                     maturity, tGrid_, dampingSteps_ };
+
         const boost::shared_ptr<FdmBlackScholesSolver> solver(
                 new FdmBlackScholesSolver(
                                 Handle<GeneralizedBlackScholesProcess>(process_),
-                                mesher, boundaries, conditions, calculator,
-                                payoff->strike(), maturity, tGrid_,
-                                dampingSteps_, schemeDesc_,
+                                payoff->strike(), solverDesc, schemeDesc_,
                                 localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
index 0d59f8c541..1c272bcf38 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
@@ -82,12 +82,13 @@ namespace QuantLib {
         const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
+                                     maturity, tGrid_, dampingSteps_ };
+
         const boost::shared_ptr<FdmBlackScholesSolver> solver(
                 new FdmBlackScholesSolver(
                              Handle<GeneralizedBlackScholesProcess>(process_),
-                             mesher, boundaries, conditions, calculator,
-                             payoff->strike(), maturity, tGrid_, 
-                             dampingSteps_, schemeDesc_, 
+                             payoff->strike(), solverDesc, schemeDesc_,
                              localVol_, illegalLocalVolOverwrite_));
 
         const Real spot = process_->x0();
diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
new file mode 100644
index 0000000000..94a9ba984c
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
@@ -0,0 +1,111 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdoujumpvanillaengine.cpp
+    \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine 
+           for simple swing options
+*/
+
+#include <ql/exercise.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
+
+namespace QuantLib {
+
+    FdExtOUJumpVanillaEngine::FdExtOUJumpVanillaEngine(
+                      const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
+                      const boost::shared_ptr<YieldTermStructure>& rTS,
+                      Size tGrid, Size xGrid, Size yGrid,
+                      const FdmSchemeDesc& schemeDesc)
+    : process_(process),
+      rTS_(rTS),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      yGrid_(yGrid),
+      schemeDesc_(schemeDesc) {
+    }
+                      
+    void FdExtOUJumpVanillaEngine::calculate() const {
+        // 1. Layout
+
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid_);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                            new FdmLinearOpLayout(dim));
+
+        // 2. Mesher
+        const Time maturity 
+            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                              arguments_.exercise->lastDate());
+        const boost::shared_ptr<StochasticProcess1D> ouProcess(
+                              process_->getExtendedOrnsteinUhlenbeckProcess());
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+                     new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> yMesher(
+            new ExponentialJump1dMesher(yGrid_, 
+                                        process_->beta(), 
+                                        process_->jumpIntensity(),
+                                        process_->eta()));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(yMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
+                                   new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
+                    new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher));
+
+        // 4. Step conditions
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+            FdmStepConditionComposite::vanillaComposite(
+                                DividendSchedule(), arguments_.exercise, 
+                                mesher, calculator, 
+                                rTS_->referenceDate(), rTS_->dayCounter());
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        
+        // 6. set-up solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                    calculator, maturity, tGrid_, 0 };
+
+        const boost::shared_ptr<FdmExtOUJumpSolver> solver(
+            new FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess>(process_), 
+                                   rTS_, solverDesc, schemeDesc_));
+      
+        const Real x = process_->initialValues()[0];
+        const Real y = process_->initialValues()[1];
+        results_.value = solver->valueAt(x, y);      
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
new file mode 100644
index 0000000000..3db32b88d7
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimplebsswingengine.hpp
+    \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine 
+           for vanilla options
+*/
+
+#ifndef quantlib_fd_simple_ou_jump_swing_engine_hpp
+#define quantlib_fd_simple_ou_jump_swing_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/vanillaoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class YieldTermStructure;
+    class ExtOUWithJumpsProcess;
+
+    class FdExtOUJumpVanillaEngine
+        : public GenericEngine<VanillaOption::arguments,
+                               VanillaOption::results> {
+      public:
+          FdExtOUJumpVanillaEngine(
+                  const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
+                  const boost::shared_ptr<YieldTermStructure>& rTS,
+                  Size tGrid = 50, Size xGrid = 200, Size yGrid = 50,
+                  const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Hundsdorfer());
+    
+        void calculate() const;
+    
+      private:
+        const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const Size tGrid_, xGrid_, yGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
index 71db0d42eb..0bf7dae1ad 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
@@ -133,11 +133,12 @@ namespace QuantLib {
         }
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity,
+                                     tGrid_, dampingSteps_ };
+
         boost::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(
-                                        Handle<HestonProcess>(process),
-                                        mesher, boundaries, conditions, 
-                                        calculator, maturity, tGrid_,
-                                        dampingSteps_, schemeDesc_));
+                    Handle<HestonProcess>(process), solverDesc, schemeDesc_));
 
         const Real spot = process->s0()->value();
         results_.value = solver->valueAt(spot, process->v0());
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
index 058db5457e..1dbe2af09a 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
@@ -20,13 +20,10 @@
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhullwhitemesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
@@ -87,8 +84,7 @@ namespace QuantLib {
         dim.push_back(xGrid_);
         dim.push_back(vGrid_);
         dim.push_back(rGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
 
         // 2. Mesher
         const boost::shared_ptr<HestonProcess> hestonProcess=model_->process();
@@ -135,68 +131,40 @@ namespace QuantLib {
         //2.3 The short rate mesher        
         const Rate r0 = hwProcess_->x0();
         const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
-                        new FdmHullWhiteMesher(rGrid_, hwProcess_, maturity));
+                     new FdmSimpleProcess1dMesher(rGrid_, hwProcess_, maturity));
         
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
         meshers.push_back(varianceMesher);
         meshers.push_back(shortRateMesher);
-        boost::shared_ptr<FdmMesher> mesher(
+        const boost::shared_ptr<FdmMesher> mesher(
                                      new FdmMesherComposite(layout, meshers));
 
-        // 3. Step conditions
-        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
-        std::list<std::vector<Time> > stoppingTimes;
-
-        // 3.1 Step condition if discrete dividends
-        if(!arguments_.cashFlow.empty()) {
-            boost::shared_ptr<FdmDividendHandler> dividendCondition(
-                new FdmDividendHandler(
-                    arguments_.cashFlow, mesher,
-                    hestonProcess->riskFreeRate()->referenceDate(),
-                    hestonProcess->riskFreeRate()->dayCounter(), 0));
-            stepConditions.push_back(dividendCondition);
-            stoppingTimes.push_back(dividendCondition->dividendTimes());
-        }
-
-        // 3.2 Step condition if american or bermudan exercise 
-        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
-                   || arguments_.exercise->type() == Exercise::European
-                   || arguments_.exercise->type() == Exercise::Bermudan,
-                   "exercise type is not supported");
-
-        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+        // 3. Calculator
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                             new FdmLogInnerValue(arguments_.payoff, mesher, 0));
-        if (arguments_.exercise->type() == Exercise::American) {
-            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-                            new FdmAmericanStepCondition(mesher, calculator)));
-        }
-        else if (arguments_.exercise->type() == Exercise::Bermudan) {
-            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
-                new FdmBermudanStepCondition(
-                                arguments_.exercise->dates(),
+
+        // 4. Step conditions
+        const boost::shared_ptr<FdmStepConditionComposite> conditions = 
+            FdmStepConditionComposite::vanillaComposite(
+                                arguments_.cashFlow, arguments_.exercise, 
+                                mesher, calculator, 
                                 hestonProcess->riskFreeRate()->referenceDate(),
-                                hestonProcess->riskFreeRate()->dayCounter(),
-                                mesher, calculator));
-            stepConditions.push_back(bermudanCondition);
-            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
-        }
+                                hestonProcess->riskFreeRate()->dayCounter());
 
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
-        // 4. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        // 6. Solver
+        const FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                           calculator, maturity,
+                                           tGrid_, dampingSteps_ };
 
-        // 5. Solver
-        boost::shared_ptr<FdmHestonHullWhiteSolver> solver(
+        const boost::shared_ptr<FdmHestonHullWhiteSolver> solver(
             new FdmHestonHullWhiteSolver(Handle<HestonProcess>(hestonProcess),
                                          Handle<HullWhiteProcess>(hwProcess_),
                                          corrEquityShortRate_,
-                                         mesher, boundaries, conditions,
-                                         calculator, 
-                                         maturity, tGrid_, dampingSteps_,
-                                         schemeDesc_));
+                                         solverDesc, schemeDesc_));
 
         const Real spot = hestonProcess->s0()->value();
         const Real v0   = hestonProcess->v0();
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
index f2921f2564..487e664149 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
@@ -123,12 +123,12 @@ namespace QuantLib {
         }
 
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity,
+                                     tGrid_, dampingSteps_ };
+
         boost::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(
-                                        Handle<HestonProcess>(process),
-                                        mesher, boundaries, conditions,
-                                        calculator, maturity, 
-                                        tGrid_, dampingSteps_,
-                                        schemeDesc_));
+                    Handle<HestonProcess>(process), solverDesc, schemeDesc_));
 
         const Real spot = process->s0()->value();
         results_.value = solver->valueAt(spot, process->v0());
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
index 3bb12af9c9..3540a395ee 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
@@ -21,17 +21,14 @@
 
 
 #include <ql/processes/batesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
 
 namespace QuantLib {
@@ -48,32 +45,8 @@ namespace QuantLib {
       schemeDesc_(schemeDesc) {
     }
 
-    void FdHestonVanillaEngine::calculate() const {
-
-        // cache lookup for precalculated results
-        for (Size i=0; i < cachedArgs2results_.size(); ++i) {
-            if (   cachedArgs2results_[i].first.exercise->type() 
-                        == arguments_.exercise->type()
-                && cachedArgs2results_[i].first.exercise->dates()
-                        == arguments_.exercise->dates()) {
-                boost::shared_ptr<PlainVanillaPayoff> p1 =
-                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
-                                                            arguments_.payoff);
-                boost::shared_ptr<PlainVanillaPayoff> p2 =
-                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
-                                          cachedArgs2results_[i].first.payoff);
-                
-                if (p1 && p1->strike()     == p2->strike() 
-                       && p1->optionType() == p2->optionType()) {
-                    QL_REQUIRE(arguments_.cashFlow.empty(),
-                               "multiple strikes engine does "
-                               "not work with discrete dividends");
-                    results_ = cachedArgs2results_[i].second;
-                    return;
-                }
-            }
-        }
 
+    FdmSolverDesc FdHestonVanillaEngine::getSolverDesc(Real scaleFactor) const {
         // 1. Layout
         std::vector<Size> dim;
         dim.push_back(xGrid_);
@@ -141,13 +114,45 @@ namespace QuantLib {
         const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
 
         // 6. Solver
-        const boost::shared_ptr<FdmHestonSolver> solver = 
-            FdmHestonLikeSolverFactory().create(Handle<HestonProcess>(process),
-                                                mesher, boundaries, conditions,
-                                                calculator, maturity, 
-                                                tGrid_, dampingSteps_,
-                                                schemeDesc_, 
-                                                Handle<FdmQuantoHelper>());
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity,
+                                     tGrid_, dampingSteps_ };
+
+       return solverDesc;
+    }
+
+    void FdHestonVanillaEngine::calculate() const {
+
+        // cache lookup for precalculated results
+        for (Size i=0; i < cachedArgs2results_.size(); ++i) {
+            if (   cachedArgs2results_[i].first.exercise->type()
+                        == arguments_.exercise->type()
+                && cachedArgs2results_[i].first.exercise->dates()
+                        == arguments_.exercise->dates()) {
+                boost::shared_ptr<PlainVanillaPayoff> p1 =
+                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
+                                                            arguments_.payoff);
+                boost::shared_ptr<PlainVanillaPayoff> p2 =
+                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
+                                          cachedArgs2results_[i].first.payoff);
+
+                if (p1 && p1->strike()     == p2->strike()
+                       && p1->optionType() == p2->optionType()) {
+                    QL_REQUIRE(arguments_.cashFlow.empty(),
+                               "multiple strikes engine does "
+                               "not work with discrete dividends");
+                    results_ = cachedArgs2results_[i].second;
+                    return;
+                }
+            }
+        }
+
+        const boost::shared_ptr<HestonProcess> process = model_->process();
+
+        boost::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(
+                    Handle<HestonProcess>(process),
+                    getSolverDesc(1.5), schemeDesc_));
+
         const Real v0   = process->v0();
         const Real spot = process->s0()->value();
 
@@ -156,7 +161,9 @@ namespace QuantLib {
         results_.gamma = solver->gammaAt(spot, v0);
         results_.theta = solver->thetaAt(spot, v0);
         
-        cachedArgs2results_.resize(strikes_.size());        
+        cachedArgs2results_.resize(strikes_.size());
+        const boost::shared_ptr<StrikedTypePayoff> payoff =
+            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         for (Size i=0; i < strikes_.size(); ++i) {
             cachedArgs2results_[i].first.exercise = arguments_.exercise;
             cachedArgs2results_[i].first.payoff = 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
index 33b9acb7e0..93ddbe67f9 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
@@ -29,6 +29,7 @@
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
@@ -59,6 +60,9 @@ namespace QuantLib {
         void update();
         void enableMultipleStrikesCaching(const std::vector<Real>& strikes);
         
+        // helper method for Heston like engines
+        FdmSolverDesc getSolverDesc(Real equityScaleFactor) const;
+
       private:
         const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
         const FdmSchemeDesc schemeDesc_;
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
index 215e129896..e087a8726f 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
@@ -18,17 +18,9 @@
 */
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
-#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 
 
 namespace QuantLib {
@@ -37,73 +29,29 @@ namespace QuantLib {
         const Handle<GeneralizedBlackScholesProcess>& p1,
         const Handle<GeneralizedBlackScholesProcess>& p2,
         const Real correlation,
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmBoundaryConditionSet & bcSet,
-        const boost::shared_ptr<FdmStepConditionComposite> & condition,
-        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-        Time maturity,
-        Size timeSteps,
-        Size dampingSteps,
+        const FdmSolverDesc& solverDesc,
         const FdmSchemeDesc& schemeDesc)
     : p1_(p1),
       p2_(p2),
       correlation_(correlation),
-      mesher_(mesher),
-      bcSet_(bcSet),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                      condition->stoppingTimes().empty() ? maturity :
-                                 condition->stoppingTimes().front()))),
-      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
-                                                           condition)),
-      maturity_(maturity),
-      timeSteps_(timeSteps),
-      dampingSteps_(dampingSteps),
-      schemeDesc_(schemeDesc),
-      initialValues_(mesher->layout()->size()),
-      resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
-
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc) {
         registerWith(p1_);
         registerWith(p2_);
-
-        x_.reserve(mesher->layout()->dim()[0]);
-        y_.reserve(mesher->layout()->dim()[1]);
-
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-             ++iter) {
-            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
-
-            if (!iter.coordinates()[1]) {
-                x_.push_back(mesher->location(iter, 0));
-            }
-            if (!iter.coordinates()[0]) {
-                y_.push_back(mesher->location(iter, 1));
-            }
-        }
     }
 
         
     void Fdm2dBlackScholesSolver::performCalculations() const {
         
-        boost::shared_ptr<Fdm2dBlackScholesOp> map(
-                new Fdm2dBlackScholesOp(mesher_, 
+        boost::shared_ptr<Fdm2dBlackScholesOp> op(
+                new Fdm2dBlackScholesOp(solverDesc_.mesher,
                                         p1_.currentLink(), 
                                         p2_.currentLink(), 
-                                        correlation_, maturity_));
-
-        Array rhs(initialValues_.size());
-        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
-
-        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
-                      .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
+                                        correlation_,
+                                        solverDesc_.maturity));
 
-        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
-        interpolation_ = boost::shared_ptr<BicubicSpline> (
-            new BicubicSpline(x_.begin(), x_.end(),
-                              y_.begin(), y_.end(),
-                              resultValues_));
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                            new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
     }
 
     Real Fdm2dBlackScholesSolver::valueAt(Real u, Real v) const {
@@ -111,25 +59,14 @@ namespace QuantLib {
         const Real x = std::log(u);
         const Real y = std::log(v);
 
-        return interpolation_->operator()(x, y);
+        return solver_->interpolateAt(x, y);
     }
     
     Real Fdm2dBlackScholesSolver::thetaAt(Real u, Real v) const {
-        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
-                   "stopping time at zero-> can't calculate theta");
-
         calculate();
-        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
-
-        const Array& rhs = thetaCondition_->getValues();
-        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
-
         const Real x = std::log(u);
         const Real y = std::log(v);
-
-        return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
-                              thetaValues)(x, y) - valueAt(u, v))
-              / thetaCondition_->getTime();
+        return solver_->thetaAt(x, y);
     }
 
 
@@ -139,7 +76,7 @@ namespace QuantLib {
         const Real x = std::log(u);
         const Real y = std::log(v);
 
-        return interpolation_->derivativeX(x, y)/u;
+        return solver_->derivativeX(x, y)/u;
     }
 
     Real Fdm2dBlackScholesSolver::deltaYat(Real u, Real v) const {
@@ -148,7 +85,7 @@ namespace QuantLib {
         const Real x = std::log(u);
         const Real y = std::log(v);
 
-        return interpolation_->derivativeY(x, y)/v;
+        return solver_->derivativeY(x, y)/v;
     }
 
     Real Fdm2dBlackScholesSolver::gammaXat(Real u, Real v) const {
@@ -157,8 +94,8 @@ namespace QuantLib {
         const Real x = std::log(u);
         const Real y = std::log(v);
         
-        return (interpolation_->secondDerivativeX(x, y)
-                -interpolation_->derivativeX(x, y))/(u*u);
+        return (solver_->derivativeXX(x, y)
+                -solver_->derivativeX(x, y))/(u*u);
     }
 
     Real Fdm2dBlackScholesSolver::gammaYat(Real u, Real v) const {
@@ -167,7 +104,7 @@ namespace QuantLib {
         const Real x = std::log(u);
         const Real y = std::log(v);
         
-        return (interpolation_->secondDerivativeY(x, y)
-                -interpolation_->derivativeY(x, y))/(v*v);
+        return (solver_->derivativeYY(x, y)
+                -solver_->derivativeY(x, y))/(v*v);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
index 06c359fe0a..006f82a2bb 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
@@ -25,20 +25,13 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/math/matrix.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
-    class FdmDirichletBoundary;
-    class FdmInnerValueCalculator;
-    class FdmMesher;
-    class FdmSnapshotCondition;
-    class FdmStepConditionComposite;
+    class Fdm2DimSolver;
     class GeneralizedBlackScholesProcess;
-    class BicubicSpline;
 
     class Fdm2dBlackScholesSolver : public LazyObject {
       public:
@@ -46,13 +39,7 @@ namespace QuantLib {
             const Handle<GeneralizedBlackScholesProcess>& p1,
             const Handle<GeneralizedBlackScholesProcess>& p2,
             const Real correlation,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet & bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps = 0,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         Real valueAt(Real x, Real y) const;
@@ -70,18 +57,10 @@ namespace QuantLib {
         const Handle<GeneralizedBlackScholesProcess> p1_;
         const Handle<GeneralizedBlackScholesProcess> p2_;
         const Real correlation_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const FdmBoundaryConditionSet bcSet_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> condition_;
-        const Time maturity_;
-        const Size timeSteps_;
-        const Size dampingSteps_;
+        const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
 
-        std::vector<Real> x_, y_, initialValues_;
-        mutable Matrix resultValues_;
-        mutable boost::shared_ptr<BicubicSpline> interpolation_;
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
new file mode 100644
index 0000000000..b3bb84e2d8
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
@@ -0,0 +1,130 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+
+namespace QuantLib {
+
+    Fdm2DimSolver::Fdm2DimSolver(
+                             const FdmSolverDesc& solverDesc,
+                             const FdmSchemeDesc& schemeDesc,
+                             const boost::shared_ptr<FdmLinearOpComposite>& op)
+    : solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc),
+      op_(op),
+      mesher_(solverDesc.mesher),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+           solverDesc.condition->stoppingTimes().empty()
+                    ? solverDesc.maturity
+                    : solverDesc.condition->stoppingTimes().front()))),
+      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
+                                                         solverDesc.condition)),
+      initialValues_(mesher_->layout()->size()),
+      resultValues_(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]) {
+
+        x_.reserve(mesher_->layout()->dim()[0]);
+        y_.reserve(mesher_->layout()->dim()[1]);
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            initialValues_[iter.index()]
+                               = solverDesc_.calculator->avgInnerValue(iter);
+
+            if (!iter.coordinates()[1]) {
+                x_.push_back(mesher_->location(iter, 0));
+            }
+            if (!iter.coordinates()[0]) {
+                y_.push_back(mesher_->location(iter, 1));
+            }
+        }
+    }
+
+
+    void Fdm2DimSolver::performCalculations() const {
+        Array rhs(initialValues_.size());
+        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
+
+        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
+            .rollback(rhs, solverDesc_.maturity, 0.0,
+                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
+
+        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
+        interpolation_ = boost::shared_ptr<BicubicSpline> (
+            new BicubicSpline(x_.begin(), x_.end(),
+                              y_.begin(), y_.end(),
+                              resultValues_));
+    }
+
+    Real Fdm2DimSolver::interpolateAt(Real x, Real y) const {
+        calculate();
+        return interpolation_->operator()(x, y);
+    }
+
+    Real Fdm2DimSolver::thetaAt(Real x, Real y) const {
+        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
+                   "stopping time at zero-> can't calculate theta");
+
+        calculate();
+        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
+
+        const Array& rhs = thetaCondition_->getValues();
+        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
+
+        return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
+                              thetaValues)(x, y) - interpolateAt(x, y))
+              / thetaCondition_->getTime();
+    }
+
+
+    Real Fdm2DimSolver::derivativeX(Real x, Real y) const {
+        calculate();
+        return interpolation_->derivativeX(x, y);
+    }
+
+    Real Fdm2DimSolver::derivativeY(Real x, Real y) const {
+        calculate();
+        return interpolation_->derivativeY(x, y);
+    }
+
+    Real Fdm2DimSolver::derivativeXX(Real x, Real y) const {
+        calculate();
+        return interpolation_->secondDerivativeX(x, y);
+    }
+
+    Real Fdm2DimSolver::derivativeYY(Real x, Real y) const {
+        calculate();
+        return interpolation_->secondDerivativeY(x, y);
+    }
+
+    Real Fdm2DimSolver::derivativeXY(Real x, Real y) const {
+        calculate();
+        return interpolation_->derivativeXY(x, y);
+    }
+
+}
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.hpp b/ql/experimental/finitedifferences/fdm2dimsolver.hpp
new file mode 100644
index 0000000000..f81a9feb66
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.hpp
@@ -0,0 +1,71 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdm2dimsolver.hpp
+*/
+
+#ifndef quantlib_fdm_2_dim_solver_hpp
+#define quantlib_fdm_2_dim_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/math/matrix.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+
+namespace QuantLib {
+
+    class BicubicSpline;
+    class FdmSnapshotCondition;
+
+    class Fdm2DimSolver : public LazyObject {
+      public:
+        Fdm2DimSolver(const FdmSolverDesc& solverDesc,
+                      const FdmSchemeDesc& schemeDesc,
+                      const boost::shared_ptr<FdmLinearOpComposite>& op);
+
+        Real interpolateAt(Real x, Real y) const;
+        Real thetaAt(Real x, Real y) const;
+
+        Real derivativeX(Real x, Real y) const;
+        Real derivativeY(Real x, Real y) const;
+        Real derivativeXX(Real x, Real y) const;
+        Real derivativeYY(Real x, Real y) const;
+        Real derivativeXY(Real x, Real y) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+        const boost::shared_ptr<FdmLinearOpComposite> op_;
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
+
+        std::vector<Real> x_, y_, initialValues_;
+        mutable Matrix resultValues_;
+        mutable boost::shared_ptr<BicubicSpline> interpolation_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
new file mode 100644
index 0000000000..9366ce2a7a
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
@@ -0,0 +1,131 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/interpolations/cubicinterpolation.hpp>
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+
+namespace QuantLib {
+
+    Fdm3DimSolver::Fdm3DimSolver(
+                        const FdmSolverDesc& solverDesc,
+                        const FdmSchemeDesc& schemeDesc,
+                        const boost::shared_ptr<FdmLinearOpComposite>& op)
+    : solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc),
+      op_(op),
+      mesher_(solverDesc.mesher),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+                solverDesc.condition->stoppingTimes().empty()
+                ? solverDesc.maturity :
+                  solverDesc.condition->stoppingTimes().front()))),
+      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
+                                                         solverDesc.condition)),
+      initialValues_(mesher_->layout()->size()),
+      resultValues_(mesher_->layout()->dim()[2],
+                    Matrix(mesher_->layout()->dim()[1],
+                           mesher_->layout()->dim()[0])),
+      interpolation_(mesher_->layout()->dim()[2]) {
+
+        x_.reserve(mesher_->layout()->dim()[0]);
+        y_.reserve(mesher_->layout()->dim()[1]);
+        z_.reserve(mesher_->layout()->dim()[2]);
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            initialValues_[iter.index()]
+                           = solverDesc.calculator->avgInnerValue(iter);
+
+
+            if (!iter.coordinates()[1] && !iter.coordinates()[2]) {
+                x_.push_back(mesher_->location(iter, 0));
+            }
+            if (!iter.coordinates()[0] && !iter.coordinates()[2]) {
+                y_.push_back(mesher_->location(iter, 1));
+            }
+            if (!iter.coordinates()[0] && !iter.coordinates()[1]) {
+                z_.push_back(mesher_->location(iter, 2));
+            }
+        }
+    }
+
+    void Fdm3DimSolver::performCalculations() const {
+        Array rhs(initialValues_.size());
+        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
+
+        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
+             .rollback(rhs, solverDesc_.maturity, 0.0,
+                       solverDesc_.timeSteps, solverDesc_.dampingSteps);
+
+        for (Size i=0; i < z_.size(); ++i) {
+            std::copy(rhs.begin()+i    *y_.size()*x_.size(),
+                      rhs.begin()+(i+1)*y_.size()*x_.size(),
+                      resultValues_[i].begin());
+
+            interpolation_[i] = boost::shared_ptr<BicubicSpline> (
+                new BicubicSpline(x_.begin(), x_.end(),
+                                  y_.begin(), y_.end(),
+                                  resultValues_[i]));
+        }
+    }
+
+    Real Fdm3DimSolver::interpolateAt(Real x, Real y, Rate z) const {
+        calculate();
+
+        Array zArray(z_.size());
+        for (Size i=0; i < z_.size(); ++i) {
+            zArray[i] = interpolation_[i]->operator()(x, y);
+        }
+        return MonotonicCubicNaturalSpline(z_.begin(), z_.end(),
+                                           zArray.begin())(z);
+    }
+
+    Real Fdm3DimSolver::thetaAt(Real x, Real y, Rate z) const {
+        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
+                   "stopping time at zero-> can't calculate theta");
+        calculate();
+
+        const Array& rhs = thetaCondition_->getValues();
+        std::vector<Matrix> thetaValues(z_.size(), Matrix(y_.size(),x_.size()));
+        for (Size i=0; i < z_.size(); ++i) {
+            std::copy(rhs.begin()+i    *y_.size()*x_.size(),
+                      rhs.begin()+(i+1)*y_.size()*x_.size(),
+                      thetaValues[i].begin());
+        }
+
+        Array zArray(z_.size());
+        for (Size i=0; i < z_.size(); ++i) {
+            zArray[i] = BicubicSpline(x_.begin(),x_.end(),
+                                      y_.begin(),y_.end(), thetaValues[i])(x,y);
+        }
+
+        return (MonotonicCubicNaturalSpline(z_.begin(), z_.end(),
+                                            zArray.begin())(z)
+                - interpolateAt(x, y, z)) / thetaCondition_->getTime();
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.hpp b/ql/experimental/finitedifferences/fdm3dimsolver.hpp
new file mode 100644
index 0000000000..1ca9c59ff3
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.hpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdm3dimsolver.hpp
+*/
+
+#ifndef quantlib_fdm_3_dim_solver_hpp
+#define quantlib_fdm_3_dim_solver_hpp
+
+#include <ql/math/matrix.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+
+namespace QuantLib {
+
+    class BicubicSpline;
+    class FdmSnapshotCondition;
+
+    class Fdm3DimSolver : public LazyObject {
+      public:
+        Fdm3DimSolver(const FdmSolverDesc& solverDesc,
+                      const FdmSchemeDesc& schemeDesc,
+                      const boost::shared_ptr<FdmLinearOpComposite>& op);
+
+        void performCalculations() const;
+
+        Real interpolateAt(Real x, Real y, Rate z) const;
+        Real thetaAt(Real x, Real y, Rate z) const;
+
+      private:
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+        const boost::shared_ptr<FdmLinearOpComposite> op_;
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
+
+        std::vector<Real> x_, y_, z_, initialValues_;
+        mutable std::vector<Matrix> resultValues_;
+        mutable std::vector<boost::shared_ptr<BicubicSpline> > interpolation_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/experimental/finitedifferences/fdmbatesop.cpp
index 2cfb8eb898..b26bcb049a 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.cpp
+++ b/ql/experimental/finitedifferences/fdmbatesop.cpp
@@ -110,6 +110,8 @@ namespace QuantLib {
     Disposable<Array> FdmBatesOp::integro(const Array& r) const {
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         
+        QL_REQUIRE(layout->dim().size() == 2, "invalid layout dimension");
+
         Array x(layout->dim()[0]);
         Matrix f(layout->dim()[1], layout->dim()[0]);
         
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.cpp b/ql/experimental/finitedifferences/fdmbatessolver.cpp
index faca68e3fb..971b2695cb 100644
--- a/ql/experimental/finitedifferences/fdmbatessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmbatessolver.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2010 Klaus Spanderen
+ Copyright (C) 2010, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -22,6 +22,7 @@
 
 #include <ql/processes/batesprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
 
 
@@ -29,37 +30,50 @@ namespace QuantLib {
     
     FdmBatesSolver::FdmBatesSolver(
             const Handle<BatesProcess>& process,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet& bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps,
-            Size integroIntegrationOrder,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc,
+            Size integroIntegrationOrder,
             const Handle<FdmQuantoHelper>& quantoHelper)
-    : FdmHestonSolver(Handle<HestonProcess>(process.currentLink()),
-                      mesher, bcSet, condition, 
-                      calculator, maturity, timeSteps, 0,
-                      schemeDesc, quantoHelper),
+    : process_(process),
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc),
       integroIntegrationOrder_(integroIntegrationOrder),
-      bcSet_(bcSet),
-      batesProcess_(process),
-      mesher_      (mesher),
       quantoHelper_(quantoHelper) {
-
-        registerWith(batesProcess_);
+        registerWith(process_);
         registerWith(quantoHelper_);
     }
           
     void FdmBatesSolver::performCalculations() const {
-        boost::shared_ptr<FdmLinearOpComposite> map(
-            new FdmBatesOp(mesher_, batesProcess_.currentLink(), bcSet_,
-                           integroIntegrationOrder_, 
+        boost::shared_ptr<FdmLinearOpComposite> op(
+            new FdmBatesOp(solverDesc_.mesher, process_.currentLink(),
+                           solverDesc_.bcSet, integroIntegrationOrder_,
                            (!quantoHelper_.empty()) 
                                    ? quantoHelper_.currentLink()
                                    : boost::shared_ptr<FdmQuantoHelper>()));
-        backwardSolve(map);
+
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                               new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
     }
+
+    Real FdmBatesSolver::valueAt(Real s, Real v) const {
+        calculate();
+        return solver_->interpolateAt(std::log(s), v);
+    }
+
+    Real FdmBatesSolver::deltaAt(Real s, Real v) const {
+        calculate();
+        return solver_->derivativeX(std::log(s), v)/s;
+    }
+
+    Real FdmBatesSolver::gammaAt(Real s, Real v) const {
+        calculate();
+        const Real x = std::log(s);
+        return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s);
+    }
+
+    Real FdmBatesSolver::thetaAt(Real s, Real v) const {
+        calculate();
+        return solver_->thetaAt(std::log(s), v);
+    }
+
 }
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.hpp b/ql/experimental/finitedifferences/fdmbatessolver.hpp
index f568f98106..7ff6b832ed 100644
--- a/ql/experimental/finitedifferences/fdmbatessolver.hpp
+++ b/ql/experimental/finitedifferences/fdmbatessolver.hpp
@@ -23,37 +23,49 @@
 #ifndef quantlib_fdm_bates_solver_hpp
 #define quantlib_fdm_bates_solver_hpp
 
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
     
     class BatesProcess;
 
-    class FdmBatesSolver : public FdmHestonSolver {
+    class FdmBatesSolver : public LazyObject {
       public:
         FdmBatesSolver(
             const Handle<BatesProcess>& process,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet & bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps = 0,
-            Size integroIntegrationOrder = 12,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
+            Size integroIntegrationOrder = 12,
             const Handle<FdmQuantoHelper>& quantoHelper
                                                 = Handle<FdmQuantoHelper>());
         
+        Real valueAt(Real s, Real v) const;
+        Real thetaAt(Real s, Real v) const;
+
+        // First and second order derivative with respect to S_t.
+        // Please note that this is not the "model implied" delta or gamma.
+        // E.g. see Fabio Mercurio, Massimo Morini
+        // "A Note on Hedging with Local and Stochastic Volatility Models",
+        // http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1294284
+        Real deltaAt(Real s, Real v) const;
+        Real gammaAt(Real s, Real v) const;
+
       protected:
         void performCalculations() const;
         
       private:
+        const Handle<BatesProcess> process_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
         const Size integroIntegrationOrder_;
-        const FdmBoundaryConditionSet bcSet_;
-        const Handle<BatesProcess> batesProcess_;
-        const boost::shared_ptr<FdmMesher> mesher_;
         const Handle<FdmQuantoHelper> quantoHelper_;
+
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
index ec081c36ae..95ed31750c 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
@@ -34,45 +34,39 @@ namespace QuantLib {
 
     FdmBlackScholesSolver::FdmBlackScholesSolver(
         const Handle<GeneralizedBlackScholesProcess>& process,
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmBlackScholesSolver::BoundaryConditionSet& bcSet,
-        const boost::shared_ptr<FdmStepConditionComposite> & condition,
-        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
         Real strike,
-        Time maturity,
-        Size timeSteps,
-        Size dampingSteps,
+        const FdmSolverDesc& solverDesc,
         const FdmSchemeDesc& schemeDesc,
         bool localVol,
         Real illegalLocalVolOverwrite)
     : process_(process),
-      mesher_(mesher),
-      bcSet_(bcSet),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                      condition->stoppingTimes().empty() ? maturity :
-                                 condition->stoppingTimes().front()))),
-      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
-                                                           condition)),
       strike_(strike),
-      maturity_(maturity),
-      timeSteps_(timeSteps),
-      dampingSteps_(dampingSteps),
+      solverDesc_(solverDesc),
       schemeDesc_(schemeDesc),
+      mesher_(solverDesc.mesher),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+                   solverDesc.condition->stoppingTimes().empty()
+                       ? solverDesc.maturity
+                       : solverDesc.condition->stoppingTimes().front()))),
+      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
+                                                      solverDesc.condition)),
       localVol_(localVol),
       illegalLocalVolOverwrite_(illegalLocalVolOverwrite),
-      initialValues_(mesher->layout()->size()),
-      resultValues_(mesher->layout()->dim()[0]) {
+      initialValues_(mesher_->layout()->size()),
+      resultValues_(mesher_->layout()->dim()[0]) {
+
         registerWith(process_);
 
-        x_.reserve(mesher->layout()->dim()[0]);
+        x_.reserve(mesher_->layout()->dim()[0]);
 
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
-            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
-            x_.push_back(mesher->location(iter, 0));
+            initialValues_[iter.index()]
+                               = solverDesc.calculator->avgInnerValue(iter);
+            x_.push_back(mesher_->location(iter, 0));
         }
     }
 
@@ -84,8 +78,9 @@ namespace QuantLib {
         Array rhs(initialValues_.size());
         std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
-        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
-                   .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
+        FdmBackwardSolver(map, solverDesc_.bcSet, conditions_, schemeDesc_)
+            .rollback(rhs, solverDesc_.maturity, 0.0,
+                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
 
         std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
 
@@ -111,7 +106,7 @@ namespace QuantLib {
     }
 
     Real FdmBlackScholesSolver::thetaAt(Real s) const {
-        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
+        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
                    "stopping time at zero-> can't calculate theta");
 
         calculate();
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
index 4d9c5b61c7..2f979ee9a6 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
@@ -27,16 +27,13 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
-    class FdmMesher;
-    class FdmSnapshotCondition;
-    class FdmInnerValueCalculator;
-    class FdmStepConditionComposite;
     class CubicInterpolation;
+    class FdmSnapshotCondition;
     class GeneralizedBlackScholesProcess;
 
     class FdmBlackScholesSolver : public LazyObject {
@@ -46,14 +43,8 @@ namespace QuantLib {
 
         FdmBlackScholesSolver(
             const Handle<GeneralizedBlackScholesProcess>& process,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const BoundaryConditionSet & bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
             Real strike,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps = 0,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
             bool localVol = false,
             Real illegalLocalVolOverwrite = -Null<Real>());
@@ -68,16 +59,12 @@ namespace QuantLib {
 
       private:
         Handle<GeneralizedBlackScholesProcess> process_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const BoundaryConditionSet bcSet_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> condition_;
         const Real strike_;
-        const Time maturity_;
-        const Size timeSteps_;
-        const Size dampingSteps_;
-
+        const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
new file mode 100644
index 0000000000..cf4e9c5ad8
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
@@ -0,0 +1,58 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdoujumpmodelinnervalue.hpp
+    \brief inner value calculator for the Ornstein Uhlenbeck
+           plus exponential jumps model (Kluge Model)
+*/
+
+#ifndef quantlib_fdm_ext_ou_jump_model_inner_value_hpp
+#define quantlib_fdm_ext_ou_jump_model_inner_value_hpp
+
+#include <ql/payoff.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+namespace QuantLib {
+
+    class FdmExtOUJumpModelInnerValue : public FdmInnerValueCalculator {
+      public:
+        FdmExtOUJumpModelInnerValue(const boost::shared_ptr<Payoff>& payoff,
+                                    const boost::shared_ptr<FdmMesher>& mesher)
+        : payoff_(payoff),
+          mesher_(mesher) { }
+
+        Real innerValue(const FdmLinearOpIterator& iter) {
+            const Real x = mesher_->location(iter, 0);
+            const Real y = mesher_->location(iter, 1);
+
+            return payoff_->operator()(std::exp(x+y));
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter) {
+            return innerValue(iter);
+        }
+
+      private:
+        const boost::shared_ptr<Payoff> payoff_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
new file mode 100644
index 0000000000..3826aaeb60
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -0,0 +1,181 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmexpoujumpop.cpp
+    \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
+*/
+
+#include <ql/math/functional.hpp>
+#include <ql/math/interpolations/linearinterpolation.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+
+namespace QuantLib {
+
+    FdmExtOUJumpOp::FdmExtOUJumpOp(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
+        const boost::shared_ptr<YieldTermStructure>& rTS,
+        const FdmBoundaryConditionSet& bcSet,
+        Size integroIntegrationOrder)
+    : mesher_ (mesher),
+      process_(process),
+      rTS_    (rTS),
+      bcSet_  (bcSet),
+      gaussLaguerreIntegration_(integroIntegrationOrder),
+      x_      (mesher->locations(0)),
+      dxMap_  (0, mesher),
+      dxxMap_ (SecondDerivativeOp(0, mesher)
+          .mult(0.5*square<Real>()(
+                  process->getExtendedOrnsteinUhlenbeckProcess()->volatility())
+                *Array(mesher->layout()->size(), 1.))),
+      dyMap_  (FirstDerivativeOp(1, mesher)
+                .mult(-process->beta()*mesher->locations(1))),
+      mapX_   (0, mesher),
+      mapY_   (1, mesher) {
+    }
+        
+    Size FdmExtOUJumpOp::size() const {
+        return 2;
+    }
+    
+    void FdmExtOUJumpOp::setTime(Time t1, Time t2) {
+        const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
+        
+        const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+
+        Array drift(layout->size());
+        for (FdmLinearOpIterator iter = layout->begin();
+             iter!=endIter; ++iter) {
+            const Size i = iter.index();
+            drift[i] = process_->drift(0.5*(t1+t2), Array(2, x_[i]))[0];
+        }
+        mapX_.axpyb(drift, dxMap_, dxxMap_, Array(1, -0.5*r));
+        mapY_ = dyMap_.add(Array(mesher_->layout()->size(), -0.5*r));
+    }
+    
+    Disposable<Array> FdmExtOUJumpOp::apply(const Array& r) const {
+        return apply_direction(0, r) + apply_direction(1, r) + integro(r);
+    }
+    
+    Disposable<Array> FdmExtOUJumpOp::apply_mixed(const Array& r) const {
+        return  integro(r);
+    }
+    
+    Disposable<Array> FdmExtOUJumpOp::apply_direction(Size direction,
+                                                      const Array& r) const {
+        if (direction == 0)
+            return mapX_.apply(r);
+        else if (direction == 1)
+            return mapY_.apply(r);
+        else
+            QL_FAIL("direction too large");
+    }
+
+    Disposable<Array> 
+        FdmExtOUJumpOp::solve_splitting(Size direction, 
+                                        const Array& r, Real a) const {
+        if (direction == 0) {
+            return mapX_.solve_splitting(r, a, 1.0);
+        }
+        else if (direction == 1) {
+            return mapY_.solve_splitting(r, a, 1.0);
+        }
+        else
+            QL_FAIL("direction too large");
+    }
+    
+    Disposable<Array>
+        FdmExtOUJumpOp::preconditioner(const Array& r, Real dt) const {
+
+        return solve_splitting(0, r, dt);
+    }
+    
+    FdmExtOUJumpOp::IntegroIntegrand::IntegroIntegrand(
+                    const boost::shared_ptr<LinearInterpolation>& interpl,
+                    const FdmBoundaryConditionSet& bcSet,
+                    Real y, Real eta)
+    : y_      (y), 
+      eta_    (eta), 
+      bcSet_  (bcSet), 
+      interpl_(interpl) { }
+                    
+    Real FdmExtOUJumpOp::IntegroIntegrand::operator()(Real u) const {
+        const Real y = y_ + u/eta_;
+        Real valueOfDerivative = interpl_->operator()(y, true);
+        
+        for (FdmBoundaryConditionSet::const_iterator iter=bcSet_.begin();
+            iter < bcSet_.end(); ++iter) {
+            valueOfDerivative=(*iter)->applyAfterApplying(y, valueOfDerivative);
+        }
+        
+        return std::exp(-u)*valueOfDerivative;
+    }
+    
+    Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
+        Array integral(r.size());
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const Size extraDims=layout->size()/(layout->dim()[0]*layout->dim()[1]);
+
+        std::vector<Array>  y(extraDims, Array(layout->dim()[1]));
+        std::vector<Matrix> f(extraDims,
+                              Matrix(layout->dim()[1], layout->dim()[0]));
+        
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+            ++iter) {
+            const Size i = iter.coordinates()[0];
+            const Size j = iter.coordinates()[1];
+            const Size k = iter.index() / (layout->dim()[0]*layout->dim()[1]);
+
+            y[k][j]    = mesher_->location(iter, 1);
+            f[k][j][i] = r[iter.index()];
+        }
+        std::vector<std::vector<boost::shared_ptr<LinearInterpolation> > >
+            interpl(extraDims, std::vector<
+                     boost::shared_ptr<LinearInterpolation> >(f[0].columns()));
+
+        for (Size k=0; k < extraDims; ++k) {
+            for (Size i=0; i < f[k].columns(); ++i) {
+                interpl[k][i] = boost::shared_ptr<LinearInterpolation>(
+                    new LinearInterpolation(y[k].begin(), y[k].end(),
+                                            f[k].column_begin(i)));
+            }
+        }
+
+        const Real eta = process_->eta();
+        
+        for (FdmLinearOpIterator iter=layout->begin(); iter!=endIter; ++iter) {
+            const Size i = iter.coordinates()[0];
+            const Size j = iter.coordinates()[1];
+            const Size k = iter.index() / (layout->dim()[0]*layout->dim()[1]);
+
+            integral[iter.index()] = gaussLaguerreIntegration_(
+                        IntegroIntegrand(interpl[k][i], bcSet_, y[k][j], eta));
+        }
+
+        return process_->jumpIntensity()*(integral-r);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.hpp b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
new file mode 100644
index 0000000000..e1fd65e682
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
@@ -0,0 +1,96 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmexpoujumpop.hpp
+    \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
+*/
+
+#ifndef quantlib_fdm_ext_ou_jump_op_hpp
+#define quantlib_fdm_ext_ou_jump_op_hpp
+
+#include <ql/math/integrals/gaussianquadratures.hpp>
+#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
+#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+
+namespace QuantLib {
+    
+    class FdmMesher;
+    class YieldTermStructure;
+    class LinearInterpolation;
+    class ExtOUWithJumpsProcess;
+
+    
+    /*! References:
+        Kluge, Timo L., 2008. Pricing Swing Options and other 
+        Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
+    */
+
+    class FdmExtOUJumpOp : public FdmLinearOpComposite {
+      public:
+        FdmExtOUJumpOp(const boost::shared_ptr<FdmMesher>& mesher,
+                       const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
+                       const boost::shared_ptr<YieldTermStructure>& rTS,
+                       const FdmBoundaryConditionSet& bcSet,
+                       Size integroIntegrationOrder);
+
+        Size size() const;
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+
+        Disposable<Array> apply_direction(Size direction,
+                                          const Array& r) const;
+        Disposable<Array> solve_splitting(Size direction,
+                                          const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+        class IntegroIntegrand {
+          public:
+            IntegroIntegrand(const boost::shared_ptr<LinearInterpolation>& i,
+                             const FdmBoundaryConditionSet& bcSet,
+                             Real y, Real eta);
+            Real operator()(Real u) const;
+            
+          private:
+            const Real y_, eta_;
+            const FdmBoundaryConditionSet& bcSet_;
+            const boost::shared_ptr<LinearInterpolation>& interpl_;
+        };
+            
+        Disposable<Array> integro(const Array& r) const;  
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmBoundaryConditionSet bcSet_;
+        GaussLaguerreIntegration gaussLaguerreIntegration_;
+        
+        const Array x_;
+        const FirstDerivativeOp dxMap_;
+        const TripleBandLinearOp dxxMap_, dyMap_;
+        TripleBandLinearOp mapX_, mapY_;
+        
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp b/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
new file mode 100644
index 0000000000..84520204ed
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmextoujumpsolver.cpp
+*/
+
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
+
+namespace QuantLib {
+
+    FdmExtOUJumpSolver::FdmExtOUJumpSolver(
+            const Handle<ExtOUWithJumpsProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc) 
+    : process_     (process),
+      rTS_         (rTS),
+      solverDesc_  (solverDesc),
+      schemeDesc_  (schemeDesc) {
+                
+        registerWith(process_);
+    }
+            
+    void FdmExtOUJumpSolver::performCalculations() const {
+        boost::shared_ptr<FdmLinearOpComposite>op(
+            new FdmExtOUJumpOp(solverDesc_.mesher, process_.currentLink(),
+                               rTS_, solverDesc_.bcSet, 32));
+        
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                              new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
+    }
+    
+    Real FdmExtOUJumpSolver::valueAt(Real x, Real y) const {
+        calculate();
+        return solver_->interpolateAt(x, y);
+    }
+}
+
diff --git a/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
new file mode 100644
index 0000000000..eacd223e9d
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
@@ -0,0 +1,59 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmextoujumpsolver.hpp
+*/
+
+#ifndef quantlib_fdm_ext_ou_jump_solver_hpp
+#define quantlib_fdm_ext_ou_jump_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class Fdm2DimSolver;
+    class ExtOUWithJumpsProcess;
+
+    class FdmExtOUJumpSolver : public LazyObject {
+      public:
+          FdmExtOUJumpSolver(
+            const Handle<ExtOUWithJumpsProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        Real valueAt(Real x, Real y) const;
+        
+      protected:
+        void performCalculations() const;
+
+      private:
+        const Handle<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
index 9dc00cdb11..a6b56aa200 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
@@ -17,17 +17,10 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/math/interpolations/cubicinterpolation.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
-#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-
+#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
 
 namespace QuantLib {
 
@@ -35,96 +28,34 @@ namespace QuantLib {
         const Handle<HestonProcess>& hestonProcess,
         const Handle<HullWhiteProcess>& hwProcess,
         Rate corrEquityShortRate,
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmBoundaryConditionSet& bcSet,
-        const boost::shared_ptr<FdmStepConditionComposite> & condition,
-        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-        Time maturity,
-        Size timeSteps,
-        Size dampingSteps,
+        const FdmSolverDesc& solverDesc,
         const FdmSchemeDesc& schemeDesc)
     : hestonProcess_(hestonProcess),
       hwProcess_(hwProcess),
       corrEquityShortRate_(corrEquityShortRate),
-      mesher_(mesher),
-      bcSet_(bcSet),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                      condition->stoppingTimes().empty() ? maturity :
-                                 condition->stoppingTimes().front()))),
-      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
-                                                           condition)),
-      maturity_(maturity),
-      timeSteps_(timeSteps),
-      dampingSteps_(dampingSteps),
-      schemeDesc_(schemeDesc),
-      initialValues_(mesher->layout()->size()),
-      resultValues_(mesher->layout()->dim()[2], 
-                    Matrix(mesher->layout()->dim()[1], 
-                           mesher->layout()->dim()[0])),
-      interpolation_(mesher->layout()->dim()[2]) {
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc) {
 
         registerWith(hestonProcess);
         registerWith(hwProcess);
-        
-        x_.reserve(mesher->layout()->dim()[0]);
-        v_.reserve(mesher->layout()->dim()[1]);
-        r_.reserve(mesher->layout()->dim()[2]);
-
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-             ++iter) {
-            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
-
-
-            if (!iter.coordinates()[1] && !iter.coordinates()[2]) {
-                x_.push_back(mesher->location(iter, 0));
-            }
-            if (!iter.coordinates()[0] && !iter.coordinates()[2]) {
-                v_.push_back(mesher->location(iter, 1));
-            }
-            if (!iter.coordinates()[0] && !iter.coordinates()[1]) {
-                r_.push_back(mesher->location(iter, 2));
-            }
-        }
     }
 
     void FdmHestonHullWhiteSolver::performCalculations() const {
-        boost::shared_ptr<FdmLinearOpComposite> map(
-            new FdmHestonHullWhiteOp(mesher_, 
-                                     hestonProcess_.currentLink(), 
+        const boost::shared_ptr<FdmLinearOpComposite> op(
+            new FdmHestonHullWhiteOp(solverDesc_.mesher,
+                                     hestonProcess_.currentLink(),
                                      hwProcess_.currentLink(), 
                                      corrEquityShortRate_));
 
-        Array rhs(initialValues_.size());
-        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
-
-        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
-                   .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
-
-        for (Size i=0; i < r_.size(); ++i) {
-            std::copy(rhs.begin()+i    *v_.size()*x_.size(), 
-                      rhs.begin()+(i+1)*v_.size()*x_.size(),
-                      resultValues_[i].begin());
-
-            interpolation_[i] = boost::shared_ptr<BicubicSpline> (
-                new BicubicSpline(x_.begin(), x_.end(),
-                                  v_.begin(), v_.end(),
-                                  resultValues_[i]));
-        }
+        solver_ = boost::shared_ptr<Fdm3DimSolver>(
+                                new Fdm3DimSolver(solverDesc_, schemeDesc_, op));
     }
 
     Real FdmHestonHullWhiteSolver::valueAt(Real s, Real v, Rate r) const {
-        
         calculate();
-        
-        Array y(r_.size());
+
         const Real x = std::log(s);
-        for (Size i=0; i < r_.size(); ++i) {
-            y[i] = interpolation_[i]->operator()(x, v);
-        }
-        return MonotonicCubicNaturalSpline(r_.begin(), r_.end(), y.begin())(r);
+        return solver_->interpolateAt(x, v, r);
     }
 
     Real FdmHestonHullWhiteSolver::deltaAt(Real s, Real v, Rate r, Real eps) 
@@ -139,27 +70,9 @@ namespace QuantLib {
     }
 
     Real FdmHestonHullWhiteSolver::thetaAt(Real s, Real v, Rate r) const {
-        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
-                   "stopping time at zero-> can't calculate theta");
-
         calculate();
 
-        const Array& rhs = thetaCondition_->getValues();
-        std::vector<Matrix> thetaValues(r_.size(), Matrix(v_.size(),x_.size()));
-        for (Size i=0; i < r_.size(); ++i) {
-            std::copy(rhs.begin()+i    *v_.size()*x_.size(), 
-                      rhs.begin()+(i+1)*v_.size()*x_.size(),
-                      thetaValues[i].begin());
-        }
-
-        Array y(r_.size());
         const Real x = std::log(s);
-        for (Size i=0; i < r_.size(); ++i) {
-            y[i] = BicubicSpline(x_.begin(), x_.end(),
-                                 v_.begin(), v_.end(), thetaValues[i])(x, v);
-        }
-                
-        return (MonotonicCubicNaturalSpline(r_.begin(), r_.end(), y.begin())(r)
-                - valueAt(s, v, r)) / thetaCondition_->getTime();
+        return solver_->thetaAt(x, v, r);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
index e52a54fa76..ba42a1f35a 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
@@ -27,17 +27,14 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 
 namespace QuantLib {
 
-    class FdmMesher;
-    class FdmInnerValueCalculator;
-    class FdmSnapshotCondition;
-    class FdmStepConditionComposite;
-    class BicubicSpline;
+    class Fdm3DimSolver;
 
     class FdmHestonHullWhiteSolver : public LazyObject {
       public:
@@ -45,13 +42,7 @@ namespace QuantLib {
             const Handle<HestonProcess>& hestonProcess,
             const Handle<HullWhiteProcess>& hwProcess,
             Rate corrEquityShortRate,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet& bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps = 0,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         Real valueAt(Real s, Real v, Rate r) const;
@@ -73,19 +64,10 @@ namespace QuantLib {
         const Handle<HullWhiteProcess> hwProcess_;
         const Real corrEquityShortRate_;
         
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const FdmBoundaryConditionSet bcSet_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> condition_;
-        const Time maturity_;
-        const Size timeSteps_;
-        const Size dampingSteps_;
-
+        const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
 
-        std::vector<Real> x_, v_, r_, initialValues_;
-        mutable std::vector<Matrix> resultValues_;
-        mutable std::vector<boost::shared_ptr<BicubicSpline> > interpolation_;
+        mutable boost::shared_ptr<Fdm3DimSolver> solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
deleted file mode 100644
index f4e9e30616..0000000000
--- a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp
+++ /dev/null
@@ -1,73 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file fdmhestonlikesolverfactoray.cpp
-    \brief factory for Heston like solvers aka. processes that are derived 
-           from HestonProcess
-*/
-
-
-#include <ql/processes/batesprocess.hpp>
-#include <ql/processes/hestonprocess.hpp>
-
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp>
-
-namespace QuantLib {
-
-    boost::shared_ptr<FdmHestonSolver> FdmHestonLikeSolverFactory::create(
-              const Handle<HestonProcess>& process,
-              const boost::shared_ptr<FdmMesher>& mesher,
-              const FdmBoundaryConditionSet& bcSet,
-              const boost::shared_ptr<FdmStepConditionComposite> & conditions,
-              const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-              Time maturity,
-              Size timeSteps,
-              Size dampingSteps,
-              const FdmSchemeDesc& schemeDesc,
-              const Handle<FdmQuantoHelper>& quantoHelper) {
-        
-        boost::shared_ptr<FdmHestonSolver> retVal;
-        
-        if (boost::dynamic_pointer_cast<BatesProcess>(process.currentLink())) {
-            retVal = boost::shared_ptr<FdmBatesSolver>(new FdmBatesSolver(
-                Handle<BatesProcess>(boost::dynamic_pointer_cast<BatesProcess>(
-                                                        process.currentLink())),
-                mesher, bcSet, conditions,
-                calculator, maturity, 
-                timeSteps, dampingSteps, 16,
-                schemeDesc, quantoHelper));
-        }
-        else {
-            retVal = boost::shared_ptr<FdmHestonSolver>(new FdmHestonSolver(
-                                        process, mesher, bcSet, conditions,
-                                        calculator, maturity, 
-                                        timeSteps, dampingSteps,
-                                        schemeDesc, quantoHelper));
-        }
-        
-        return retVal;
-    };
-}
-
diff --git a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp b/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp
deleted file mode 100644
index afcca77323..0000000000
--- a/ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp
+++ /dev/null
@@ -1,57 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file fdmhestonlikesolverfactory.hpp
-    \brief factory for Heston like solvers aka. processes that are derived 
-           from HestonProcess
-*/
-
-#ifndef quantlib_fdm_heston_like_solver_factory_hpp
-#define quantlib_fdm_heston_like_solver_factory_hpp
-
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-
-namespace QuantLib {
-
-    class HestonProcess;
-    class FdmMesher;
-    class FdmQuantoHelper;
-    class FdmInnerValueCalculator;
-    class FdmStepConditionComposite;
-
-    class FdmHestonLikeSolverFactory {
-      public:
-          FdmHestonLikeSolverFactory() { }
-          
-          boost::shared_ptr<FdmHestonSolver> create(
-              const Handle<HestonProcess>& process,
-              const boost::shared_ptr<FdmMesher>& mesher,
-              const FdmBoundaryConditionSet& bcSet,
-              const boost::shared_ptr<FdmStepConditionComposite> & condition,
-              const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-              Time maturity,
-              Size timeSteps,
-              Size dampingSteps,
-              const FdmSchemeDesc& schemeDesc,
-              const Handle<FdmQuantoHelper>& quantoHelper);
-    };
-}
-
-#endif
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.cpp b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
index 553e5b803e..3b2289a839 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2008 Andreas Gaida
  Copyright (C) 2008, 2009 Ralph Schreyer
- Copyright (C) 2008, 2009 Klaus Spanderen
+ Copyright (C) 2008, 2009, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -20,139 +20,72 @@
 */
 
 #include <ql/processes/hestonprocess.hpp>
-#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
-
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 
 namespace QuantLib {
 
     FdmHestonSolver::FdmHestonSolver(
         const Handle<HestonProcess>& process,
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmBoundaryConditionSet& bcSet,
-        const boost::shared_ptr<FdmStepConditionComposite> & condition,
-        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-        Time maturity,
-        Size timeSteps,
-        Size dampingSteps,
+        const FdmSolverDesc& solverDesc,
         const FdmSchemeDesc& schemeDesc,
         const Handle<FdmQuantoHelper>& quantoHelper)
     : process_(process),
-      mesher_(mesher),
-      bcSet_(bcSet),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                      condition->stoppingTimes().empty() ? maturity :
-                                 condition->stoppingTimes().front()))),
-      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
-                                                           condition)),
-      maturity_(maturity),
-      timeSteps_(timeSteps),
-      dampingSteps_(dampingSteps),
+      solverDesc_(solverDesc),
       schemeDesc_(schemeDesc),
-      quantoHelper_(quantoHelper),
-      initialValues_(mesher->layout()->size()),
-      resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
+      quantoHelper_(quantoHelper) {
+
         registerWith(process_);
         registerWith(quantoHelper_);
-
-        x_.reserve(mesher->layout()->dim()[0]);
-        v_.reserve(mesher->layout()->dim()[1]);
-
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-             ++iter) {
-            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
-
-            if (!iter.coordinates()[1]) {
-                x_.push_back(mesher->location(iter, 0));
-            }
-            if (!iter.coordinates()[0]) {
-                v_.push_back(mesher->location(iter, 1));
-            }
-        }
     }
 
-    void FdmHestonSolver::backwardSolve(
-                       boost::shared_ptr<FdmLinearOpComposite>& map) const {
-
-        Array rhs(initialValues_.size());
-        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
-
-        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
-            .rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
-
-        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
-        interpolation_ = boost::shared_ptr<BicubicSpline> (
-            new BicubicSpline(x_.begin(), x_.end(),
-                              v_.begin(), v_.end(),
-                              resultValues_));
-    }
-        
     void FdmHestonSolver::performCalculations() const {
-        boost::shared_ptr<FdmLinearOpComposite> map(
+        boost::shared_ptr<FdmLinearOpComposite> op(
                 new FdmHestonOp(
-                        mesher_, process_.currentLink(),
+                        solverDesc_.mesher, process_.currentLink(),
                         (!quantoHelper_.empty()) ? quantoHelper_.currentLink()
                                      : boost::shared_ptr<FdmQuantoHelper>()));
-        this->backwardSolve(map);
+
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                               new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
     }
 
     Real FdmHestonSolver::valueAt(Real s, Real v) const {
         calculate();
-        const Real x = std::log(s);
-        return interpolation_->operator()(x, v);
+        return solver_->interpolateAt(std::log(s), v);
     }
 
     Real FdmHestonSolver::deltaAt(Real s, Real v) const {
         calculate();
-        const Real x = std::log(s);
-        return interpolation_->derivativeX(x, v)/s;
+        return solver_->derivativeX(std::log(s), v)/s;
     }
 
     Real FdmHestonSolver::gammaAt(Real s, Real v) const {
         calculate();
         const Real x = std::log(s);
-        return (interpolation_->secondDerivativeX(x, v)
-                -interpolation_->derivativeX(x, v))/(s*s);
+        return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s);
     }
 
     Real FdmHestonSolver::meanVarianceDeltaAt(Real s, Real v) const {
         calculate();
-        const Real x = std::log(s);
+
         const Real alpha = process_->rho()*process_->sigma()/s;
-        return deltaAt(s, v) + alpha*interpolation_->derivativeY(x, v);
+        return deltaAt(s, v) + alpha*solver_->derivativeY(std::log(s), v);
     }
 
     Real FdmHestonSolver::meanVarianceGammaAt(Real s, Real v) const {
         calculate();
+
         const Real x = std::log(s);
         const Real alpha = process_->rho()*process_->sigma()/s;
         return gammaAt(s, v)
-                +  interpolation_->secondDerivativeY(x, v)*alpha*alpha
-                +2*interpolation_->derivativeXY(x, v)*alpha/s;
+                +  solver_->derivativeYY(x, v)*alpha*alpha
+                +2*solver_->derivativeXY(x, v)*alpha/s;
     }
 
     Real FdmHestonSolver::thetaAt(Real s, Real v) const {
-        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
-                   "stopping time at zero-> can't calculate theta");
-
         calculate();
-        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
-
-        const Array& rhs = thetaCondition_->getValues();
-        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
-
-        return (BicubicSpline(x_.begin(), x_.end(), v_.begin(), v_.end(),
-                              thetaValues)(std::log(s), v) - valueAt(s, v))
-              / thetaCondition_->getTime();
+        return solver_->thetaAt(std::log(s), v);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
index 61a3083981..0fb12bc419 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmhestonsolver.hpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2008 Andreas Gaida
  Copyright (C) 2008, 2009 Ralph Schreyer
- Copyright (C) 2008, 2009 Klaus Spanderen
+ Copyright (C) 2008, 2009, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -27,31 +27,21 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/math/matrix.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
-    class FdmInnerValueCalculator;
-    class FdmMesher;
-    class FdmSnapshotCondition;
-    class FdmStepConditionComposite;
     class HestonProcess;
-    class BicubicSpline;
+    class Fdm2DimSolver;
 
     class FdmHestonSolver : public LazyObject {
       public:
         FdmHestonSolver(
             const Handle<HestonProcess>& process,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet & bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
-            Time maturity,
-            Size timeSteps,
-            Size dampingSteps = 0,
+            const FdmSolverDesc& solverDesc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
             const Handle<FdmQuantoHelper>& quantoHelper
                                                 = Handle<FdmQuantoHelper>());
@@ -72,24 +62,14 @@ namespace QuantLib {
 
       protected:
         void performCalculations() const;
-        void backwardSolve(boost::shared_ptr<FdmLinearOpComposite>& map) const;
         
       private:
-        Handle<HestonProcess> process_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const FdmBoundaryConditionSet bcSet_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> condition_;
-        const Time maturity_;
-        const Size timeSteps_;
-        const Size dampingSteps_;
-
+        const Handle<HestonProcess> process_;
+        const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
         const Handle<FdmQuantoHelper> quantoHelper_;
 
-        std::vector<Real> x_, v_, initialValues_;
-        mutable Matrix resultValues_;
-        mutable boost::shared_ptr<BicubicSpline> interpolation_;
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
index 58930ee72a..f7bd9bdb86 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
@@ -77,6 +77,12 @@ namespace QuantLib {
         const boost::shared_ptr<BasketPayoff> payoff_;
         const boost::shared_ptr<FdmMesher> mesher_;
     };
+
+    class FdmZeroInnerValue : public FdmInnerValueCalculator {
+      public:
+        Real innerValue(const FdmLinearOpIterator&)    { return 0.0; }
+        Real avgInnerValue(const FdmLinearOpIterator&) { return 0.0; }
+    };
 }
 
 #endif
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
index 9643551a11..78f3004469 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
@@ -21,85 +21,36 @@
  * \file fdmsimple2dbssolver.cpp
 */
 
-#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 
 namespace QuantLib {
 
     FdmSimple2dBSSolver::FdmSimple2dBSSolver(
         const Handle<GeneralizedBlackScholesProcess>& process,
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const FdmBoundaryConditionSet& bcSet,
-        const boost::shared_ptr<FdmStepConditionComposite> & condition,
-        const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
         Real strike,
-        Time maturity,
-        Size timeSteps,
+        const FdmSolverDesc& solverDesc,
         const FdmSchemeDesc& schemeDesc)
     : process_(process),
-      mesher_(mesher),
-      bcSet_(bcSet),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                      condition->stoppingTimes().empty() ? maturity :
-                                 condition->stoppingTimes().front()))),
-      condition_(FdmStepConditionComposite::joinConditions(thetaCondition_, 
-                                                           condition)),
       strike_(strike),
-      maturity_(maturity),
-      timeSteps_(timeSteps),
-      schemeDesc_(schemeDesc),
-      initialValues_(mesher->layout()->size()),
-      resultValues_(mesher->layout()->dim()[1], mesher->layout()->dim()[0]) {
-        registerWith(process_);
-
-        x_.reserve(mesher->layout()->dim()[0]);
-        a_.reserve(mesher->layout()->dim()[1]);
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc) {
 
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-             ++iter) {
-            initialValues_[iter.index()] = calculator->avgInnerValue(iter);
-            if (!iter.coordinates()[1]) {
-                x_.push_back(mesher->location(iter, 0));
-            }
-            if (!iter.coordinates()[0]) {
-                a_.push_back(mesher->location(iter, 1));
-            }
-        }
+        registerWith(process_);
     }
 
     void FdmSimple2dBSSolver::performCalculations() const {
-        boost::shared_ptr<FdmBlackScholesOp> map(new FdmBlackScholesOp(
-                mesher_, process_.currentLink(), strike_));
-
-        Array rhs(initialValues_.size());
-        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
-
-        FdmBackwardSolver(map, bcSet_, condition_, schemeDesc_)
-                               .rollback(rhs, maturity_, 0.0, timeSteps_, 0);
+        boost::shared_ptr<FdmBlackScholesOp> op(new FdmBlackScholesOp(
+                solverDesc_.mesher, process_.currentLink(), strike_));
 
-        for (Size j=0; j < a_.size(); ++j)
-            std::copy(rhs.begin()+j*x_.size(), rhs.begin()+(j+1)*x_.size(),
-                      resultValues_.row_begin(j));
-
-        interpolation_ = boost::shared_ptr<BicubicSpline> (
-            new BicubicSpline(x_.begin(), x_.end(),
-                              a_.begin(), a_.end(),
-                              resultValues_));
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                            new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
     }
 
     Real FdmSimple2dBSSolver::valueAt(Real s, Real a) const {
         calculate();
-        return interpolation_->operator()(std::log(s), std::log(a));
+        return solver_->interpolateAt(std::log(s), std::log(a));
     }
 
     Real FdmSimple2dBSSolver::deltaAt(Real s, Real a, Real eps) const {
@@ -111,19 +62,7 @@ namespace QuantLib {
     }
 
     Real FdmSimple2dBSSolver::thetaAt(Real s, Real a) const {
-        QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
-                   "stopping time at zero-> can't calculate theta");
-
         calculate();
-        Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
-
-        const Array& rhs = thetaCondition_->getValues();
-        for (Size j=0; j < a_.size(); ++j)
-            std::copy(rhs.begin()+j*x_.size(), rhs.begin()+(j+1)*x_.size(),
-                      thetaValues.row_begin(j));
-
-        return (BicubicSpline(x_.begin(), x_.end(), a_.begin(), a_.end(),
-                              thetaValues)(std::log(s), std::log(a)) - valueAt(s, a))
-              / thetaCondition_->getTime();
+        return solver_->thetaAt(std::log(s), std::log(a));
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
index c4dd2fb9a2..f758820c65 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
@@ -26,29 +26,20 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
-    class FdmInnerValueCalculator;
-    class FdmMesher;
-    class FdmSnapshotCondition;
-    class FdmStepConditionComposite;
-    class BicubicSpline;
+    class Fdm2DimSolver;
+    class GeneralizedBlackScholesProcess;
 
     class FdmSimple2dBSSolver : LazyObject {
       public:
         FdmSimple2dBSSolver(
             const Handle<GeneralizedBlackScholesProcess>& process,
-            const boost::shared_ptr<FdmMesher>& mesher,
-            const FdmBoundaryConditionSet & bcSet,
-            const boost::shared_ptr<FdmStepConditionComposite> & condition,
-            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
             Real strike,
-            Time maturity,
-            Size timeSteps,
+            const FdmSolverDesc& desc,
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
 
         Real valueAt(Real s, Real a) const;
@@ -61,19 +52,11 @@ namespace QuantLib {
 
       private:
         Handle<GeneralizedBlackScholesProcess> process_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const FdmBoundaryConditionSet bcSet_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> condition_;
         const Real strike_;
-        const Time maturity_;
-        const Size timeSteps_;
-
+        const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
 
-        std::vector<Real> x_, a_, initialValues_;
-        mutable Matrix resultValues_;
-        mutable boost::shared_ptr<BicubicSpline> interpolation_;
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp b/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
new file mode 100644
index 0000000000..9074d133f2
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
@@ -0,0 +1,77 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmsimple3dextoujumpsolver.hpp
+    \brief solver for simple swing options based on ext OU-Jump (Kluge) Model
+*/
+
+
+#ifndef quantlib_fdm_3d_ext_ou_jump_solver_hpp
+#define quantlib_fdm_3d_ext_ou_jump_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class FdmSimple3dExtOUJumpSolver : public LazyObject {
+      public:
+        FdmSimple3dExtOUJumpSolver(
+            const Handle<ExtOUWithJumpsProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc  = FdmSchemeDesc::Hundsdorfer())
+        : process_(process), rTS_(rTS),
+          solverDesc_(solverDesc), schemeDesc_(schemeDesc) {
+            registerWith(process);
+        }
+
+        Real valueAt(Real x, Real y, Real z) const {
+            calculate();
+            return solver_->interpolateAt(x, y, z);
+        }
+
+      protected:
+        void performCalculations() const {
+            boost::shared_ptr<FdmLinearOpComposite>op(
+                new FdmExtOUJumpOp(solverDesc_.mesher,
+                                   process_.currentLink(),
+                                   rTS_, solverDesc_.bcSet, 32));
+
+            solver_ = boost::shared_ptr<Fdm3DimSolver>(
+                          new Fdm3DimSolver(solverDesc_, schemeDesc_, op));
+        }
+
+      private:
+        const Handle<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<Fdm3DimSolver> solver_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmhullwhitemesher.cpp b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
similarity index 86%
rename from ql/experimental/finitedifferences/fdmhullwhitemesher.cpp
rename to ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
index 1166992495..09371c3134 100644
--- a/ql/experimental/finitedifferences/fdmhullwhitemesher.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2009 Klaus Spanderen
+ Copyright (C) 2009, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,15 +18,15 @@
 */
 
 #include <ql/math/functional.hpp>
-#include <ql/processes/hullwhiteprocess.hpp>
+#include <ql/stochasticprocess.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/experimental/finitedifferences/fdmhullwhitemesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
 
 namespace QuantLib {
 
-    FdmHullWhiteMesher::FdmHullWhiteMesher(
+    FdmSimpleProcess1dMesher::FdmSimpleProcess1dMesher(
         Size size,
-        const boost::shared_ptr<HullWhiteProcess>& process,
+        const boost::shared_ptr<StochasticProcess1D>& process,
         Time maturity, Size tAvgSteps, Real eps)
         : Fdm1dMesher(size) {
             
@@ -57,6 +57,6 @@ namespace QuantLib {
         for (Size i=0; i < size-1; ++i) {
             dminus_[i+1] = dplus_[i] = locations_[i+1] - locations_[i];
         }
-        dplus_.back() = dminus_.front() = Null<Real>();
+        dplus_.back() = dminus_.front() = Null<Real>();        
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmhullwhitemesher.hpp b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
similarity index 71%
rename from ql/experimental/finitedifferences/fdmhullwhitemesher.hpp
rename to ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
index d256edda4f..5714823e82 100644
--- a/ql/experimental/finitedifferences/fdmhullwhitemesher.hpp
+++ b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2009 Klaus Spanderen
+ Copyright (C) 2009, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -17,25 +17,25 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmhullwhitemesher.hpp
-    \brief One-dimensional grid mesher for the Hull-White short rate process
+/*! \file fdmsimpleprocess1dmesher.hpp
+    \brief One-dimensional grid mesher
 */
 
-#ifndef quantlib_fdm_hull_white_mesher_hpp
-#define quantlib_fdm_hull_white_mesher_hpp
+#ifndef quantlib_fdm_simple_process_1d_mesher_hpp
+#define quantlib_fdm_simple_process_1d_mesher_hpp
 
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
 #include <boost/shared_ptr.hpp>
 
 namespace QuantLib {
 
-    class HullWhiteProcess;
+    class StochasticProcess1D;
 
-    class FdmHullWhiteMesher : public Fdm1dMesher {
+    class FdmSimpleProcess1dMesher : public Fdm1dMesher {
       public:
-        FdmHullWhiteMesher(
+          FdmSimpleProcess1dMesher(
             Size size,
-            const boost::shared_ptr<HullWhiteProcess>& process,
+            const boost::shared_ptr<StochasticProcess1D>& process,
             Time maturity, Size tAvgSteps = 10, Real epsilon = 0.0001);
     };
 
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
index 99bea8de0b..ef4ee7ab10 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -23,22 +23,13 @@ namespace QuantLib {
 
     FdmSimpleSwingCondition::FdmSimpleSwingCondition(
             const std::vector<Time> & exerciseTimes,
-            const boost::shared_ptr<FdmMesher> & mesher,
-            const boost::shared_ptr<Payoff> & payoff,
-            Size equityDirection,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
             Size swingDirection)
-    : x_(mesher->layout()->dim()[0]),
-      exerciseTimes_(exerciseTimes), 
-      mesher_(mesher),
-      payoff_(payoff),
-      equityDirection_(equityDirection),
+    : exerciseTimes_ (exerciseTimes),
+      mesher_        (mesher),
+      calculator_    (calculator),
       swingDirection_(swingDirection) {
-                
-        const Size xSpacing = mesher_->layout()->spacing()[equityDirection_];
-        Array tmp = mesher_->locations(equityDirection_);
-        for (Size i = 0; i < x_.size(); ++i) {
-            x_[i] = std::exp(tmp[i*xSpacing]);
-        }
     }
     
     void FdmSimpleSwingCondition::applyTo(Array& a, Time t) const {
@@ -56,11 +47,10 @@ namespace QuantLib {
                 
                 const std::vector<Size>& coor = iter.coordinates();
                 
-                const Real x = x_[coor[equityDirection_]];
                 const Size exerciseValue = coor[swingDirection_];
                 
                 if (exerciseValue > 0) {
-                    const Real cashflow = (*payoff_)(x);
+                    const Real cashflow = calculator_->innerValue(iter);
                     const Real currentValue = a[iter.index()];
                     const Real valueMinusOneExRight 
                          = a[layout->neighbourhood(iter, swingDirection_, -1)];
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
index d96d436075..662977944a 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
@@ -26,26 +26,25 @@
 
 #include <ql/methods/finitedifferences/stepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
     class FdmSimpleSwingCondition : public StepCondition<Array> {
       public:
-          FdmSimpleSwingCondition(const std::vector<Time> & exerciseTimes,
-                                  const boost::shared_ptr<FdmMesher> & mesher,
-                                  const boost::shared_ptr<Payoff> & payoff,
-                                  Size equityDirection,
-                                  Size swingDirection);
+          FdmSimpleSwingCondition(
+                  const std::vector<Time> & exerciseTimes,
+                  const boost::shared_ptr<FdmMesher>& mesher,
+                  const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+                  Size swingDirection);
     
         void applyTo(Array& a, Time t) const;
     
       private:
-        Array x_; // grid-equity values in physical units
-    
         const std::vector<Time> exerciseTimes_;
         const boost::shared_ptr<FdmMesher> mesher_;
-        const boost::shared_ptr<Payoff> payoff_;
-        const Size equityDirection_, swingDirection_;
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator_;
+        const Size swingDirection_;
     };
 }
 #endif
diff --git a/ql/experimental/finitedifferences/fdmsolverdesc.hpp b/ql/experimental/finitedifferences/fdmsolverdesc.hpp
new file mode 100644
index 0000000000..6318e06d95
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsolverdesc.hpp
@@ -0,0 +1,46 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmsolverdesc.hpp
+*/
+
+#ifndef quantlib_fdm_solver_desc_hpp
+#define quantlib_fdm_solver_desc_hpp
+
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class FdmInnerValueCalculator;
+    class FdmStepConditionComposite;
+    class FdmInnerValueCalculator;
+
+    struct FdmSolverDesc {
+        const boost::shared_ptr<FdmMesher> mesher;
+        const FdmBoundaryConditionSet bcSet;
+        const boost::shared_ptr<FdmStepConditionComposite> condition;
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator;
+        const Time maturity;
+        const Size timeSteps;
+        const Size dampingSteps;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
index c3c517ba52..1ad5f64a04 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -33,14 +33,6 @@
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
 
 namespace QuantLib {
-
-    namespace {
-        class FdmZeroInnerValue : public FdmInnerValueCalculator {
-          public:
-            Real innerValue(const FdmLinearOpIterator&)    { return 0.0; }
-            Real avgInnerValue(const FdmLinearOpIterator&) { return 0.0; }
-        };
-    }
     
     FdSimpleBSSwingEngine::FdSimpleBSSwingEngine(
             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -99,8 +91,12 @@ namespace QuantLib {
         }
         stoppingTimes.push_back(exerciseTimes);
         
+        boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
+                                    new FdmLogInnerValue(payoff, mesher, 0));
+
         stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-            new FdmSimpleSwingCondition(exerciseTimes, mesher, payoff, 0, 1)));
+            new FdmSimpleSwingCondition(exerciseTimes,
+                                        mesher, exerciseCalculator, 1)));
         
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
@@ -109,12 +105,12 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
         
         // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity, tGrid_, 0 };
         boost::shared_ptr<FdmSimple2dBSSolver> solver(
                 new FdmSimple2dBSSolver(
                                Handle<GeneralizedBlackScholesProcess>(process_),
-                               mesher, boundaries, conditions, calculator,
-                               payoff->strike(),maturity, tGrid_,
-                               schemeDesc_));
+                               payoff->strike(), solverDesc, schemeDesc_));
     
         const Real spot = process_->x0();
         const Real y = std::exp(Real(arguments_.exerciseRights));
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
new file mode 100644
index 0000000000..3a8960ae19
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -0,0 +1,141 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleextoujumpswingengine.cpp
+    \brief Finite Differences engine for simple swing options
+*/
+
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+
+namespace QuantLib {
+
+    FdSimpleExtOUJumpSwingEngine::FdSimpleExtOUJumpSwingEngine(
+              const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
+              const boost::shared_ptr<YieldTermStructure>& rTS,
+              Size tGrid, Size xGrid, Size yGrid,
+              const FdmSchemeDesc& schemeDesc)
+    : process_(process),
+      rTS_(rTS),
+      tGrid_(tGrid), xGrid_(xGrid), yGrid_(yGrid),
+      schemeDesc_(schemeDesc) {
+    }
+
+    void FdSimpleExtOUJumpSwingEngine::calculate() const {
+
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
+                   "Bermudan exercise supported only");
+
+        // 1. Layout
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid_);
+        dim.push_back(arguments_.exerciseRights+1);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                            new FdmLinearOpLayout(dim));
+
+        // 2. Mesher
+        const Time maturity
+            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                              arguments_.exercise->lastDate());
+        const boost::shared_ptr<StochasticProcess1D> ouProcess(
+                              process_->getExtendedOrnsteinUhlenbeckProcess());
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+                     new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> yMesher(
+                        new ExponentialJump1dMesher(yGrid_,
+                                                    process_->beta(),
+                                                    process_->jumpIntensity(),
+                                                    process_->eta()));
+        const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
+                         new Uniform1dMesher(0, arguments_.exerciseRights,
+                                                arguments_.exerciseRights+1));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(yMesher);
+        meshers.push_back(exerciseMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
+                                   new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+                                                    new FdmZeroInnerValue());
+        // 4. Step conditions
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+        std::list<std::vector<Time> > stoppingTimes;
+
+        // 4.1 Bermudan step conditions
+        std::vector<Time> exerciseTimes;
+        for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
+            Time t = rTS_->dayCounter()
+                           .yearFraction(rTS_->referenceDate(),
+                                         arguments_.exercise->dates()[i]);
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+            exerciseTimes.push_back(t);
+        }
+        stoppingTimes.push_back(exerciseTimes);
+
+        const boost::shared_ptr<StrikedTypePayoff> payoff =
+            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
+        boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
+                           new FdmExtOUJumpModelInnerValue(payoff, mesher));
+
+        stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+                new FdmSimpleSwingCondition(exerciseTimes,
+                                            mesher, exerciseCalculator, 2)));
+
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. set-up solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity, tGrid_, 0 };
+
+        const boost::shared_ptr<FdmSimple3dExtOUJumpSolver> solver(
+            new FdmSimple3dExtOUJumpSolver(
+                                    Handle<ExtOUWithJumpsProcess>(process_),
+                                    rTS_, solverDesc, schemeDesc_));
+
+        const Real x = process_->initialValues()[0];
+        const Real y = process_->initialValues()[1];
+        const Real z = Real(arguments_.exerciseRights);
+
+        results_.value = solver->valueAt(x, y, z);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
new file mode 100644
index 0000000000..db7133ef05
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -0,0 +1,58 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleextoujumpswingengine.hpp
+    \brief Finite Differences engine for simple swing options
+*/
+
+#ifndef quantlib_fd_simple_ext_ou_jump_swing_engine_hpp
+#define quantlib_fd_simple_ext_ou_jump_swing_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    //! Finite-Differences engine for simple swing options
+
+    class ExtOUWithJumpsProcess;
+
+    class FdSimpleExtOUJumpSwingEngine
+        : public GenericEngine<VanillaSwingOption::arguments,
+                               VanillaSwingOption::results> {
+      public:
+            FdSimpleExtOUJumpSwingEngine(
+              const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
+              const boost::shared_ptr<YieldTermStructure>& rTS,
+              Size tGrid = 50, Size xGrid = 100, Size yGrid=50,
+              const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        void calculate() const;
+
+      private:
+        const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const Size tGrid_, xGrid_, yGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
+
diff --git a/ql/experimental/processes/Makefile.am b/ql/experimental/processes/Makefile.am
index f490fbe2f4..86b7ec8396 100644
--- a/ql/experimental/processes/Makefile.am
+++ b/ql/experimental/processes/Makefile.am
@@ -4,13 +4,17 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    extouwithjumpsprocess.hpp \
     extendedblackscholesprocess.hpp \
     extendedornsteinuhlenbeckprocess.hpp \
+    gemanroncoroniprocess.hpp \
     vegastressedblackscholesprocess.hpp
 
 libProcesses_la_SOURCES = \
+	extouwithjumpsprocess.cpp \
     extendedblackscholesprocess.cpp \
     extendedornsteinuhlenbeckprocess.cpp \
+    gemanroncoroniprocess.cpp \
     vegastressedblackscholesprocess.cpp
 
 noinst_LTLIBRARIES = libProcesses.la
diff --git a/ql/experimental/processes/all.hpp b/ql/experimental/processes/all.hpp
index 530afa7c76..6d6b6ca662 100644
--- a/ql/experimental/processes/all.hpp
+++ b/ql/experimental/processes/all.hpp
@@ -1,7 +1,9 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedblackscholesprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
 #include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>
 
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
index 0bd8843198..1402f8a824 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -95,9 +95,10 @@ namespace QuantLib {
 		  case GaussLobatto:
 		      return ouProcess_->expectation(t0, x0, dt)
 				  + speed_*std::exp(-speed_*(t0+dt))
-				  * GaussLobattoIntegral(100000, intEps_)(boost::lambda::bind(b_, _1)
-									*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp), 
-										  speed_*_1), t0, t0+dt);
+				  * GaussLobattoIntegral(100000, intEps_)(
+				         boost::lambda::bind(b_, boost::lambda::_1)
+						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
+										  speed_*boost::lambda::_1), t0, t0+dt);
 			break;
 		  default:
 			QL_FAIL("unknown discretization scheme");
diff --git a/ql/experimental/processes/extouwithjumpsprocess.cpp b/ql/experimental/processes/extouwithjumpsprocess.cpp
new file mode 100644
index 0000000000..8dde1b3b1a
--- /dev/null
+++ b/ql/experimental/processes/extouwithjumpsprocess.cpp
@@ -0,0 +1,100 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file expouwithjumpsprocess.cpp
+    \brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
+*/
+
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
+namespace QuantLib {
+
+    ExtOUWithJumpsProcess::ExtOUWithJumpsProcess(
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
+            Real Y0, Real beta, Real jumpIntensity, Real eta)
+    : Y0_(Y0), 
+      beta_(beta), 
+      jumpIntensity_(jumpIntensity), eta_(eta),
+      ouProcess_(process) { }
+            
+    Size ExtOUWithJumpsProcess::size() const {
+        return 2;
+    }    
+    Size ExtOUWithJumpsProcess::factors() const {
+        return 3;
+    }
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
+        ExtOUWithJumpsProcess::getExtendedOrnsteinUhlenbeckProcess() const {
+        return ouProcess_;
+    }
+    Real ExtOUWithJumpsProcess::beta() const {
+        return beta_;
+    }
+    Real ExtOUWithJumpsProcess::jumpIntensity() const {
+        return jumpIntensity_;
+    }
+    Real ExtOUWithJumpsProcess::eta() const {
+        return eta_;
+    }
+
+    Disposable<Array> ExtOUWithJumpsProcess::initialValues() const {
+        Array retVal(2);
+        retVal[0] = ouProcess_->x0();
+        retVal[1] = Y0_;
+        
+        return retVal;
+    }
+    
+    Disposable<Array> ExtOUWithJumpsProcess::drift(Time t, const Array& x) const {
+        Array retVal(2);
+        retVal[0] = ouProcess_->drift(t, x[0]);
+        retVal[1] = -beta_*x[1];
+        
+        return retVal;
+    }
+
+    Disposable<Matrix> 
+    ExtOUWithJumpsProcess::diffusion(Time t, const Array& x) const {
+        Matrix retVal(2, 2, 0.0);    
+        retVal[0][0] = ouProcess_->diffusion(t, x[0]);
+        
+        return retVal;
+    }
+
+    Disposable<Array> ExtOUWithJumpsProcess::evolve(
+        Time t0, const Array& x0, Time dt, const Array& dw) const {
+        
+        Array retVal(2);
+        retVal[0] = ouProcess_->evolve(t0, x0[0], dt, dw[0]);
+        retVal[1] = x0[1]*std::exp(-beta_*dt);
+                
+        const Real u1 = std::max(QL_EPSILON, std::min(cumNormalDist_(dw[1]), 
+                                                      1.0-QL_EPSILON));
+
+        const Time interarrival = -1.0/jumpIntensity_*std::log(u1);
+        if (interarrival < dt) {
+            const Real u2 = std::max(QL_EPSILON, std::min(cumNormalDist_(dw[2]), 
+                                                          1.0-QL_EPSILON));
+            const Real jumpSize = -1.0/eta_*std::log(u2);
+            retVal[1] += jumpSize;
+        }
+        return retVal;
+    }
+}
diff --git a/ql/experimental/processes/extouwithjumpsprocess.hpp b/ql/experimental/processes/extouwithjumpsprocess.hpp
new file mode 100644
index 0000000000..074ec3dda0
--- /dev/null
+++ b/ql/experimental/processes/extouwithjumpsprocess.hpp
@@ -0,0 +1,88 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file expouwithjumpsprocess.hpp
+    \brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
+*/
+
+#ifndef quantlib_ext_ou_with_jumps_process_hpp
+#define quantlib_ext_ou_with_jumps_process_hpp
+
+#include <ql/stochasticprocess.hpp>
+#include <ql/math/distributions/normaldistribution.hpp>
+
+namespace QuantLib {
+
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    /*! This class describes a Ornstein Uhlenbeck model plus exp jump, 
+        an extension of the Lucia and Schwartz model
+        \f[
+        \begin{array}{rcl}
+        S = exp(X_t + Y_t)
+        dX_t  &=& \alpha(\mu(t)-X_t)dt + \sigmga dW_t \\
+        dY_t  &=& -\beta Y_{t-}dt + J_tdN_t \\
+        \omega(J)&=& \eta_u e^{-\eta_u J}
+        \end{array}
+        \f]
+        
+        \ingroup processes
+    */
+
+
+    /*! References:
+        T. Kluge, 2008. Pricing Swing Options and other 
+        Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
+        
+        B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing 
+        swing options in electricity markets,
+        http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
+    */
+        
+
+    class ExtOUWithJumpsProcess : public StochasticProcess {
+      public:
+        ExtOUWithJumpsProcess(
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
+            Real Y0, Real beta, Real jumpIntensity, Real eta);
+        
+        Size size() const;
+        Size factors() const;
+
+        Disposable<Array> initialValues() const;
+        Disposable<Array> drift(Time t, const Array& x) const;
+        Disposable<Matrix> diffusion(Time t, const Array& x) const;
+        Disposable<Array> evolve(Time t0, const Array& x0,
+                                 Time dt, const Array& dw) const;
+
+        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
+                                 getExtendedOrnsteinUhlenbeckProcess() const;
+
+        Real beta()          const;
+        Real eta()           const;
+        Real jumpIntensity() const;
+
+      private:
+        const Real Y0_, beta_, jumpIntensity_, eta_;
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
+        
+        const CumulativeNormalDistribution cumNormalDist_;
+    };
+}
+#endif
diff --git a/ql/experimental/processes/gemanroncoroniprocess.cpp b/ql/experimental/processes/gemanroncoroniprocess.cpp
new file mode 100755
index 0000000000..050fd2f768
--- /dev/null
+++ b/ql/experimental/processes/gemanroncoroniprocess.cpp
@@ -0,0 +1,117 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file gemanroncoroniprocess.cpp
+    \brief Geman-Roncoroni process
+*/
+
+#include <ql/math/functional.hpp>
+#include <ql/processes/eulerdiscretization.hpp>
+#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
+
+
+namespace QuantLib {
+
+	GemanRoncoroniProcess::GemanRoncoroniProcess(
+									  Real x0, 
+									  Real alpha, Real beta, 
+									  Real gamma, Real delta, 
+									  Real eps, Real zeta, Real d, 
+									  Real k,  Real tau,
+									  Real sig2, Real a, Real b,
+									  Real theta1, Real theta2, Real theta3,
+									  Real psi)
+	: StochasticProcess1D(boost::shared_ptr<discretization>(
+                                                    new EulerDiscretization)),
+	  x0_(x0),
+	  alpha_(alpha), beta_(beta),
+	  gamma_(gamma), delta_(delta),
+	  eps_(eps), zeta_(zeta), d_(d), 
+	  k_(k), tau_(tau),
+	  sig2_(sig2), a_(a), b_(b),
+	  theta1_(theta1), theta2_(theta2), theta3_(theta3),
+	  psi_(psi) {  
+    }
+
+	Real GemanRoncoroniProcess::x0() const {
+		return x0_;
+	}
+
+	Real GemanRoncoroniProcess::drift(Time t, Real x) const {
+		const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_+2*M_PI*t)
+										 + delta_*std::cos(zeta_+4*M_PI*t);
+		const Real muPrime = beta_ - gamma_*2*M_PI*std::sin(eps_+2*M_PI*t)
+							       - delta_*4*M_PI*std::sin(zeta_+4*M_PI*t);
+
+		return muPrime + theta1_*(mu-x);
+	}
+	
+	Real GemanRoncoroniProcess::diffusion(Time t, Real x) const {
+		return std::sqrt(sig2_ + a_*square<Real>()(std::cos(M_PI*t+b_)));
+	}
+
+	Real GemanRoncoroniProcess::stdDeviation(Time t0, Real x0, Time dt) const {
+		const Volatility sig2t = sig2_+a_*square<Real>()(std::cos(M_PI*t0+b_));
+		
+		return std::sqrt(sig2t/(2*theta1_)*(1.0-std::exp(-2*theta1_*dt)));
+	}
+
+	Real GemanRoncoroniProcess::evolve(Time t0, Real x0, 
+									   Time dt, Real dw) const {
+	    // random number generator for the jump part 
+		if (!urng_) {
+		    typedef PseudoRandom::urng_type urng_type;
+			urng_ = boost::shared_ptr<urng_type>(
+			         new urng_type((unsigned long)(1234ul*dw+56789ul)));
+		}
+		Array du(3); 
+		du[0] = urng_->next().value; 
+		du[1] = urng_->next().value;
+
+		return evolve(t0, x0, dt, dw, du);
+	}
+
+	Real GemanRoncoroniProcess::evolve(Time t0, Real x0, Time dt, 
+									   Real dw, const Array& du) const {
+	    Real retVal;
+		const Time t = t0 + 0.5*dt;
+		const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_ +2*M_PI*t)
+									     + delta_*std::cos(zeta_+4*M_PI*t);
+		
+		const Real j = -1.0/theta3_
+						*std::log(1.0+du[1]*(std::exp(-theta3_*psi_)-1.0));
+
+		if (x0 <= mu+d_) {
+			retVal = StochasticProcess1D::evolve(t, x0, dt, dw);
+			
+			const Real jumpIntensity
+			    = theta2_*(2.0/(1+std::fabs(std::sin(M_PI*(t-tau_)/k_)))-1);			
+            const Time interarrival = -1.0/jumpIntensity*std::log(du[0]);
+
+			if (interarrival < dt) {
+		        retVal += j;
+			}
+		}
+		else {
+			retVal = x0-j;
+		}
+
+		return retVal;
+	}
+}
diff --git a/ql/experimental/processes/gemanroncoroniprocess.hpp b/ql/experimental/processes/gemanroncoroniprocess.hpp
new file mode 100755
index 0000000000..66a49ba94c
--- /dev/null
+++ b/ql/experimental/processes/gemanroncoroniprocess.hpp
@@ -0,0 +1,78 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file gemanroncoroniprocess.hpp
+    \brief Geman-Roncoroni process
+*/
+
+#ifndef quantlib_geman_roncoroni_process_hpp
+#define quantlib_geman_roncoroni_process_hpp
+
+#include <ql/stochasticprocess.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+
+namespace QuantLib {
+
+    //! Geman-Roncoroni process class
+    /*! This class describes the Geman-Roncoroni process governed by
+        \f[
+        \begin{array}{rcl}
+            dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
+				+\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
+				+\sigma dW(t) + h(E(t^-))dJ(t) 
+			\mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
+				+\delta \cos(\zeta + 4\pi t)
+		\end{array}
+        \f]
+
+        \ingroup processes
+    */
+    class GemanRoncoroniProcess : public StochasticProcess1D {
+      public:
+        GemanRoncoroniProcess(Real x0, 
+							  Real alpha, Real beta, 
+							  Real gamma, Real delta, 
+							  Real eps, Real zeta, Real d, 
+							  Real k, Real tau,
+							  Real sig2, Real a, Real b,
+							  Real theta1, Real theta2, Real theta3,
+							  Real psi);
+
+        Real x0() const;
+        Real drift(Time t, Real x)     const;
+        Real diffusion(Time t, Real x) const;
+		Real stdDeviation(Time t0, Real x0, Time dt)    const;
+        Real evolve(Time t0, Real x0, Time dt, Real dw) const;
+
+		Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
+        
+	private:
+		const Real x0_;
+		const Real alpha_, beta_, gamma_, delta_;
+		const Real eps_, zeta_, d_; 
+		const Real k_, tau_;
+		const Real sig2_, a_, b_;
+		const Real theta1_, theta2_, theta3_;
+		const Real psi_;
+		mutable boost::shared_ptr<PseudoRandom::urng_type> urng_;
+    };
+}
+
+
+#endif
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 9f0c588b4a..de4e245355 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -52,7 +52,7 @@ QL_TESTS = \
 	inflation.hpp inflation.cpp \
 	inflationcapfloor.hpp inflationcapfloor.cpp \
 	inflationcapflooredcoupon.hpp inflationcapflooredcoupon.cpp \
-        inflationcpicapfloor.hpp inflationcpicapfloor.cpp \
+    inflationcpicapfloor.hpp inflationcpicapfloor.cpp \
 	inflationcpiswap.hpp inflationcpiswap.cpp \
 	inflationvolatility.hpp inflationvolatility.cpp \
 	instruments.hpp instruments.cpp \
@@ -102,6 +102,7 @@ QL_TESTS = \
 	swaptionvolatilitycube.hpp swaptionvolatilitycube.cpp \
 	swaptionvolatilitymatrix.hpp swaptionvolatilitymatrix.cpp \
 	swaptionvolstructuresutilities.hpp \
+	swingoption.hpp swingoption.cpp \
 	termstructures.hpp termstructures.cpp \
 	timeseries.hpp timeseries.cpp \
 	transformedgrid.hpp transformedgrid.cpp \
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 3389ebd551..5689ed5950 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -818,8 +818,9 @@ void FdmLinearOpTest::testFdmHestonExpress() {
                                     new FdmLogInnerValue(payoff, mesher, 0));
 
     std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet;
-    FdmHestonSolver solver(hestonProcess,
-                           mesher, bcSet, condition, calculator, 1.0, 50);
+    const FdmSolverDesc solverDesc = { mesher, bcSet,
+                                       condition, calculator, 1.0, 50, 0 };
+    FdmHestonSolver solver(hestonProcess, solverDesc);
 
     const Real s = s0->value();
     const Real v0 = 0.04;
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 98e04b8249..dac46c10ee 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -134,6 +134,7 @@
 #include "sampledcurve.hpp"
 #include "shortratemodels.hpp"
 #include "solvers.hpp"
+#include "swingoption.hpp"
 #include "surface.hpp"
 #include "stats.hpp"
 #include "swap.hpp"
@@ -310,6 +311,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(SampledCurveTest::suite());
     test->add(ShortRateModelTest::suite()); // fails with QL_USE_INDEXED_COUPON
     test->add(Solver1DTest::suite());
+    test->add(SwingOptionTest::suite());
     test->add(StatisticsTest::suite());
     test->add(SurfaceTest::suite());
     test->add(SwapTest::suite());
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
new file mode 100755
index 0000000000..dfd85d337f
--- /dev/null
+++ b/test-suite/swingoption.cpp
@@ -0,0 +1,521 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "swingoption.hpp"
+#include "utilities.hpp"
+
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/math/functional.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/instruments/vanillaoption.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/math/distributions/gammadistribution.hpp>
+#include <ql/math/statistics/generalstatistics.hpp>
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
+#include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/processes/stochasticprocessarray.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/methods/montecarlo/multipathgenerator.hpp>
+#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
+#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+
+#include <boost/lambda/lambda.hpp>
+#include <deque>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+
+void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
+
+    BOOST_MESSAGE("Testing extended Ornstein-Uhlenbeck process...");
+
+    SavedSettings backup;
+
+	const Real speed = 2.5;
+	const Volatility vol = 0.70;
+	const Real level = 1.43;
+
+	ExtendedOrnsteinUhlenbeckProcess::Discretization discr[] = {
+		ExtendedOrnsteinUhlenbeckProcess::MidPoint,
+		ExtendedOrnsteinUhlenbeckProcess::Trapezodial,
+		ExtendedOrnsteinUhlenbeckProcess::GaussLobatto};
+
+	boost::function<Real (Real)> f[] 
+		= { constant<Real, Real>(level),
+			std::bind1st(std::plus<Real>(), 1.0),
+			std::ptr_fun<Real, Real>(std::sin) }; 
+
+	for (Size n=0; n < LENGTH(f); ++n) {
+		ExtendedOrnsteinUhlenbeckProcess refProcess(
+			speed, vol, 0.0, f[n], 
+			ExtendedOrnsteinUhlenbeckProcess::GaussLobatto, 1e-6);
+
+		for (Size i=0; i < LENGTH(discr)-1; ++i) {
+			ExtendedOrnsteinUhlenbeckProcess eouProcess(
+									  speed, vol, 0.0, f[n], discr[i]);
+
+			const Time T = 10;
+			const Size nTimeSteps = 10000;
+
+			const Time dt = T/nTimeSteps;
+			Time t  = 0.0;
+			Real q = 0.0;
+			Real p = 0.0;
+			
+			PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
+
+			for (Size j=0; j < nTimeSteps; ++j) {
+				const Real dw = rng.next().value;
+				q=eouProcess.evolve(t,q,dt,dw);
+				p=refProcess.evolve(t,p,dt,dw);
+
+				if (std::fabs(q-p) > 1e-6) {
+					BOOST_FAIL("invalid process evaluation " 
+					            << n << " " << i << " " << j << " " << q-p);
+				}
+				t+=dt;
+			}
+		}
+	}
+}
+
+
+void SwingOptionTest::testGemanRoncoroniProcess() {
+
+    BOOST_MESSAGE("Testing Geman Roncoroni process...");
+
+    /* Example induced by H. Geman, A. Roncoroni,
+       "Understanding the Fine Structure of Electricity Prices",
+       http://papers.ssrn.com/sol3/papers.cfm?abstract_id=638322
+       Results are verified against the authors MatLab-Code.
+       http://semeq.unipmn.it/files/Ch19_spark_spread.zip
+    */
+
+    SavedSettings backup;
+
+    const Date today = Date::todaysDate();
+    Settings::instance().evaluationDate() = today;
+    const DayCounter dc = ActualActual();
+    
+    boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, 0.03, dc);
+        
+	const Real x0     = 3.3;
+	const Real beta   = 0.05;
+    const Real alpha  = 3.1;
+	const Real gamma  = -0.09;
+	const Real delta  = 0.07;
+	const Real eps    = -0.40;
+	const Real zeta   = -0.40;
+	const Real d      = 1.6;
+	const Real k      = 1.0;
+	const Real tau    = 0.5;
+	const Real sig2   = 10.0;
+	const Real a      =-7.0;
+	const Real b      =-0.3;
+	const Real theta1 = 35.0;
+	const Real theta2 = 9.0;
+	const Real theta3 = 0.10;
+	const Real psi    = 1.9;
+
+    boost::shared_ptr<GemanRoncoroniProcess> grProcess(
+                new GemanRoncoroniProcess(x0, alpha, beta, gamma, delta,
+        								  eps, zeta, d, k, tau, sig2, a, b, 
+        								  theta1, theta2, theta3, psi));
+
+    const Real speed     = 5.0;
+    const Volatility vol = std::sqrt(1.4);    
+    const Real betaG     = 0.08;
+    const Real alphaG    = 1.0;
+    const Real x0G       = 1.1;
+
+    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
+
+    boost::shared_ptr<StochasticProcess1D> eouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
+                               ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
+
+    std::vector<boost::shared_ptr<StochasticProcess1D> > processes;
+    processes.push_back(grProcess);
+    processes.push_back(eouProcess);
+    
+    Matrix correlation(2, 2, 1.0);
+    correlation[0][1] = correlation[1][0] = 0.25;
+    
+    boost::shared_ptr<StochasticProcess> pArray(
+                           new StochasticProcessArray(processes, correlation));
+    
+    const Time T = 10.0;
+    const Size stepsPerYear = 250;
+    const Size steps = T*stepsPerYear;
+    
+    TimeGrid grid(T, steps);
+
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                               pArray->size()*(grid.size()-1), BigNatural(421));
+
+    GeneralStatistics npv, onTime;    
+    MultiPathGenerator<rsg_type> generator(pArray, grid, rsg, false);
+        
+    const Real heatRate = 8.0;
+    const Size nrTrails = 250;
+    
+    for (Size n=0; n < nrTrails; ++n) {
+        Real plantValue = 0.0;
+        sample_type path = generator.next();
+
+        for (Size i=1; i <= steps; ++i) {
+            const Time t = Real(i)/stepsPerYear;
+            const DiscountFactor df = rTS->discount(t);
+            
+            const Real gasPrice         = std::exp(path.value[1][i]);
+            const Real electricityPrice = std::exp(path.value[0][i]);
+            
+            const Real sparkSpread = electricityPrice - heatRate*gasPrice;
+            plantValue += std::max(0.0, sparkSpread)*df;
+            onTime.add((sparkSpread > 0.0) ? 1.0 : 0.0);            
+        }
+                
+        npv.add(plantValue);
+    }
+    
+    const Real expectedNPV = 12500;
+    const Real calculatedNPV = npv.mean();
+    const Real errorEstimateNPV = npv.errorEstimate();
+    
+    if (std::fabs(calculatedNPV - expectedNPV) > 3.0*errorEstimateNPV) {
+        BOOST_ERROR("Failed to reproduce cached price with MC engine"
+                    << "\n    calculated: " << calculatedNPV
+                    << "\n    expected:   " << expectedNPV
+                    << " +/- " << errorEstimateNPV);
+    }
+    
+    const Real expectedOnTime = 0.43;
+    const Real calculatedOnTime = onTime.mean();
+    const Real errorEstimateOnTime 
+        = std::sqrt(calculatedOnTime*(1-calculatedOnTime))/nrTrails;
+    
+    if (std::fabs(calculatedOnTime - expectedOnTime)>3.0*errorEstimateOnTime) {
+        BOOST_ERROR("Failed to reproduce cached price with MC engine"
+                    << "\n    calculated: " << calculatedNPV
+                    << "\n    expected:   " << expectedNPV
+                    << " +/- " << errorEstimateNPV);
+    }
+}
+
+void SwingOptionTest::testFdmExponentialJump1dMesher() {
+
+    BOOST_MESSAGE("Testing finite difference mesher for the Kluge model ...");
+
+    Array x(2, 1.0);
+    const Real beta = 100.0;
+    const Real eta  = 1.0/0.4;
+    const Real jumpIntensity = 4.0;
+    const Size dummySteps  = 2;
+
+    ExponentialJump1dMesher mesher(dummySteps, beta, jumpIntensity, eta);
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(1.0, 1.0, x[0],
+                                             constant<Real, Real>(1.0)));
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
+        new ExtOUWithJumpsProcess(ouProcess, x[1], beta, jumpIntensity, eta));
+
+    const Time dt = 1.0/(10.0*beta);
+    const Size n = 1000000;
+
+    std::vector<Real> path(n);
+    PseudoRandom::rng_type mt(PseudoRandom::urng_type(123));
+    Array dw(3);
+    for (Size i=0; i < n; ++i) {
+        dw[0] = mt.next().value;
+        dw[1] = mt.next().value;
+        dw[2] = mt.next().value;
+        path[i] = (x = jumpProcess->evolve(0.0, x, dt, dw))[1];
+    }
+    std::sort(path.begin(), path.end());
+
+    const Real relTol1 = 2e-3;
+    const Real relTol2 = 2e-2;
+    const Real threshold = 0.9;
+
+    for (Real x=1e-12; x < 1.0; x*=10) {
+        const Real v = mesher.jumpSizeDistribution(x);
+
+        std::vector<Real>::iterator iter
+            = std::lower_bound(path.begin(), path.end(), x);
+        const Real q = std::distance(path.begin(), iter)/Real(n);
+        QL_REQUIRE(std::fabs(q - v) < relTol1
+                    || (v < threshold) && std::fabs(q-v) < relTol2,
+                    "can not reproduce jump distribution");
+    }
+}
+
+void SwingOptionTest::testExtOUJumpVanillaEngine() {
+
+    BOOST_MESSAGE("Testing finite difference pricer for the Kluge model ...");
+
+    Array x0(2);
+    x0[0] = 3.0; x0[1] = 0.0;
+
+    const Real beta = 5.0;
+    const Real eta  = 2.0;
+    const Real jumpIntensity = 1.0;
+    const Real speed = 1.0;
+    const Real volatility = 2.0;
+    const Rate irRate = 0.10;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
+                                             constant<Real, Real>(x0[0])));
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
+        new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, jumpIntensity, eta));
+
+
+    const Date today = Date::todaysDate();
+    Settings::instance().evaluationDate() = today;
+    const DayCounter dc = ActualActual();
+    const Date maturityDate = today + Period(12, Months);
+    const Time maturity = dc.yearFraction(today, maturityDate);
+
+    boost::shared_ptr<YieldTermStructure> rTS(flatRate(today, irRate, dc));
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Call, 30));
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
+
+    boost::shared_ptr<PricingEngine> engine(
+                 new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 200, 50));
+
+    VanillaOption option(payoff, exercise);
+    option.setPricingEngine(engine);
+    const Real fdNPV = option.NPV();
+
+    const Size steps = 100;
+    const Size nrTrails = 200000;
+    TimeGrid grid(maturity, steps);
+
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
+
+    GeneralStatistics npv;
+    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
+
+    for (Size n=0; n < nrTrails; ++n) {
+        sample_type path = generator.next();
+
+        const Real x = path.value[0].back();
+        const Real y = path.value[1].back();
+
+        const Real cashflow = (*payoff)(std::exp(x+y));
+        npv.add(cashflow*rTS->discount(maturity));
+    }
+
+    const Real mcNPV = npv.mean();
+    const Real mcError = npv.errorEstimate();
+
+    if ( std::fabs(fdNPV - mcNPV) > 3.0*mcError) {
+        BOOST_ERROR("Failed to reproduce FD and MC prices"
+                    << "\n    FD NPV: " << fdNPV
+                    << "\n    MC NPV: " << mcNPV
+                    << " +/- " << mcError);
+    }
+}
+
+void SwingOptionTest::testFdBSSwingOption() {
+
+    BOOST_MESSAGE("Testing Black-Scholes Vanilla Swing option pricing ...");
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Put, 30));
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
+    }
+    boost::shared_ptr<BermudanExercise> bermudanExercise(
+                                        new BermudanExercise(exerciseDates));
+
+    Handle<YieldTermStructure> riskFreeTS(flatRate(0.14, dayCounter));
+    Handle<YieldTermStructure> dividendTS(flatRate(0.02, dayCounter));
+    Handle<BlackVolTermStructure> volTS(
+                                    flatVol(settlementDate, 0.4, dayCounter));
+
+    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(30.0)));
+
+    boost::shared_ptr<BlackScholesMertonProcess> process(
+            new BlackScholesMertonProcess(s0, dividendTS, riskFreeTS, volTS));
+    boost::shared_ptr<PricingEngine> engine(
+                                new FdSimpleBSSwingEngine(process, 50, 200));
+    
+    VanillaOption bermudanOption(payoff, bermudanExercise);
+    bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                          new FdBlackScholesVanillaEngine(process, 50, 200)));
+    const Real bermudanOptionPrices = bermudanOption.NPV();
+    
+    for (Size i=0; i < exerciseDates.size(); ++i) {
+        const Size exerciseRights = i+1;
+        
+        VanillaSwingOption swingOption(payoff, bermudanExercise,exerciseRights);
+        swingOption.setPricingEngine(engine);
+        const Real swingOptionPrice = swingOption.NPV();
+
+        const Real upperBound = exerciseRights*bermudanOptionPrices;
+
+        if (swingOptionPrice - upperBound > 2e-2) {
+            BOOST_ERROR("Failed to reproduce upper bounds"
+                        << "\n    upper Bound: " << upperBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+        
+        Real lowerBound = 0.0;
+        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
+            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
+                                     new EuropeanExercise(exerciseDates[j])));
+            europeanOption.setPricingEngine(
+                boost::shared_ptr<PricingEngine>(
+                                          new AnalyticEuropeanEngine(process)));
+            lowerBound += europeanOption.NPV();
+        }
+
+        if (lowerBound - swingOptionPrice > 2e-2) {
+            BOOST_ERROR("Failed to reproduce lower bounds"
+                        << "\n    lower Bound: " << lowerBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+    }
+}
+
+
+void SwingOptionTest::testExtOUJumpSwingOption() {
+
+    BOOST_MESSAGE("Testing Simple Swing option pricing for Kluge model...");
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Put, 30));
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
+    }
+    boost::shared_ptr<BermudanExercise> bermudanExercise(
+                                        new BermudanExercise(exerciseDates));
+
+    Array x0(2);
+    x0[0] = 3.0; x0[1] = 0.0;
+
+    const Real beta = 5.0;
+    const Real eta  = 2.0;
+    const Real jumpIntensity = 1.0;
+    const Real speed = 1.0;
+    const Real volatility = 2.0;
+    const Rate irRate = 0.10;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
+                                             constant<Real, Real>(x0[0])));
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
+        new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, jumpIntensity, eta));
+
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<PricingEngine> swingEngine(
+                new FdSimpleExtOUJumpSwingEngine(jumpProcess, rTS, 25, 50, 25));
+
+    boost::shared_ptr<PricingEngine> vanillaEngine(
+                new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 50, 25));
+
+    VanillaOption bermudanOption(payoff, bermudanExercise);
+    bermudanOption.setPricingEngine(vanillaEngine);
+    const Real bermudanOptionPrices = bermudanOption.NPV();
+
+    for (Size i=0; i < exerciseDates.size(); ++i) {
+        const Size exerciseRights = i+1;
+
+        VanillaSwingOption swingOption(payoff, bermudanExercise,exerciseRights);
+        swingOption.setPricingEngine(swingEngine);
+        const Real swingOptionPrice = swingOption.NPV();
+
+        const Real upperBound = exerciseRights*bermudanOptionPrices;
+
+        if (swingOptionPrice - upperBound > 2e-2) {
+            BOOST_ERROR("Failed to reproduce upper bounds"
+                        << "\n    upper Bound: " << upperBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+
+        Real lowerBound = 0.0;
+        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
+            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
+                                     new EuropeanExercise(exerciseDates[j])));
+            europeanOption.setPricingEngine(
+                boost::shared_ptr<PricingEngine>(vanillaEngine));
+            lowerBound += europeanOption.NPV();
+        }
+
+        if (lowerBound - swingOptionPrice > 2e-2) {
+            BOOST_ERROR("Failed to reproduce lower bounds"
+                       << "\n    lower Bound: " << lowerBound
+                       << "\n    Price:       " << swingOptionPrice);
+        }
+    }
+}
+
+
+
+test_suite* SwingOptionTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Spark-Option Test");
+    suite->add(QUANTLIB_TEST_CASE(
+		&SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
+	suite->add(QUANTLIB_TEST_CASE(
+		&SwingOptionTest::testGemanRoncoroniProcess));
+    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
+    suite->add(QUANTLIB_TEST_CASE(
+                          &SwingOptionTest::testFdmExponentialJump1dMesher));
+
+    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
+    suite->add(QUANTLIB_TEST_CASE(
+                            &SwingOptionTest::testExtOUJumpSwingOption));
+    
+    return suite;
+}
+
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
new file mode 100755
index 0000000000..ca0b2a92d6
--- /dev/null
+++ b/test-suite/swingoption.hpp
@@ -0,0 +1,39 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_swing_option_hpp
+#define quantlib_test_swing_option_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class SwingOptionTest {
+  public:
+    static void testExtendedOrnsteinUhlenbeckProcess();
+	static void testGemanRoncoroniProcess();
+	static void testFdBSSwingOption();
+    static void testExtOUJumpSwingOption();
+	static void testFdmExponentialJump1dMesher();
+	static void testExtOUJumpVanillaEngine();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+#endif

From 42662586b5b7ea57c9fc629506df0042587a2236 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 29 Jan 2011 14:57:54 +0000
Subject: [PATCH 144/410] removed useless template parameter from
 LinearLeastSquaresRegression

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17607 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../longstaffschwartzmultipathpricer.cpp      |   4 +-
 .../longstaffschwartzmultipathpricer.hpp      |   1 -
 ql/math/Makefile.am                           |   1 +
 ql/math/all.hpp                               |   1 +
 ql/math/generallinearleastsquares.hpp         | 158 +++++++++++++++
 ql/math/linearleastsquaresregression.hpp      | 190 ++++--------------
 .../longstaffschwartzpathpricer.hpp           |   5 +-
 7 files changed, 202 insertions(+), 158 deletions(-)
 create mode 100644 ql/math/generallinearleastsquares.hpp

diff --git a/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp b/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp
index 04d35bf891..ebe69ce3a8 100644
--- a/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp
+++ b/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp
@@ -17,6 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/math/generallinearleastsquares.hpp>
 #include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>
 #include <ql/utilities/tracing.hpp>
 
@@ -215,8 +216,7 @@ namespace QuantLib {
             }
 
             if (v_.size() <=  x.size()) {
-                coeff_[i] = LinearLeastSquaresRegression<Array>(x, y, v_)
-                                                            .coefficients();
+                coeff_[i] = GeneralLinearLeastSquares(x, y, v_).coefficients();
             }
             else {
             // if number of itm paths is smaller then the number of
diff --git a/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp b/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp
index 9131b275a3..9ced3e7e6a 100644
--- a/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp
+++ b/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp
@@ -22,7 +22,6 @@
 
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/math/functional.hpp>
-#include <ql/math/linearleastsquaresregression.hpp>
 #include <ql/methods/montecarlo/pathpricer.hpp>
 #include <ql/methods/montecarlo/multipath.hpp>
 #include <ql/methods/montecarlo/lsmbasissystem.hpp>
diff --git a/ql/math/Makefile.am b/ql/math/Makefile.am
index ccc1591147..da77ded82b 100644
--- a/ql/math/Makefile.am
+++ b/ql/math/Makefile.am
@@ -18,6 +18,7 @@ this_include_HEADERS = \
 	errorfunction.hpp \
 	factorial.hpp \
 	functional.hpp \
+	generallinearleastsquares.hpp \
 	kernelfunctions.hpp \
 	incompletegamma.hpp \
 	interpolation.hpp \
diff --git a/ql/math/all.hpp b/ql/math/all.hpp
index 69daf68478..84783a9787 100644
--- a/ql/math/all.hpp
+++ b/ql/math/all.hpp
@@ -11,6 +11,7 @@
 #include <ql/math/errorfunction.hpp>
 #include <ql/math/factorial.hpp>
 #include <ql/math/functional.hpp>
+#include <ql/math/generallinearleastsquares.hpp>
 #include <ql/math/kernelfunctions.hpp>
 #include <ql/math/incompletegamma.hpp>
 #include <ql/math/interpolation.hpp>
diff --git a/ql/math/generallinearleastsquares.hpp b/ql/math/generallinearleastsquares.hpp
new file mode 100644
index 0000000000..935d2fb335
--- /dev/null
+++ b/ql/math/generallinearleastsquares.hpp
@@ -0,0 +1,158 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009 Dirk Eddelbuettel
+ Copyright (C) 2006, 2009, 2010 Klaus Spanderen
+ Copyright (C) 2010 Kakhkhor Abdijalilov
+ Copyright (C) 2010 Slava Mazur
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file linearleastsquaresregression.hpp
+    \brief general linear least square regression
+*/
+
+#ifndef quantlib_general_linear_least_squares_hpp
+#define quantlib_general_linear_least_squares_hpp
+
+#include <ql/qldefines.hpp>
+#include <ql/math/matrixutilities/svd.hpp>
+#include <ql/math/array.hpp>
+#include <ql/math/functional.hpp>
+#include <boost/function.hpp>
+#include <boost/type_traits.hpp>
+#include <vector>
+
+namespace QuantLib {
+
+    //! general linear least squares regression
+    /*! References:
+    "Numerical Recipes in C", 2nd edition,
+    Press, Teukolsky, Vetterling, Flannery,
+
+    \test the correctness of the returned values is tested by
+    checking their properties.
+    */
+    class GeneralLinearLeastSquares {
+    public:
+        template <class xContainer, class yContainer, class vContainer>
+        GeneralLinearLeastSquares(const xContainer & x,
+                                  const yContainer &y, const vContainer & v);
+
+        template<class xIterator, class yIterator, class vIterator>
+        GeneralLinearLeastSquares(xIterator xBegin, xIterator xEnd,
+                                  yIterator yBegin, yIterator yEnd,
+                                  vIterator vBegin, vIterator vEnd);
+
+        const Array& coefficients()   const { return a_; }
+        const Array& residuals()      const { return residuals_; }
+
+        //! standard parameter errors as given by Excel, R etc.
+        const Array& standardErrors() const { return standardErrors_; }
+        //! modeling uncertainty as definied in Numerical Recipes
+        const Array& error()          const { return err_;}
+
+#ifndef QL_DISABLE_DEPRECATED
+        const Array& a() const     { return a_;  }
+#endif
+        Size size() const { return residuals_.size(); }
+
+        Size dim() const { return a_.size(); }
+
+    protected:
+        Array a_, err_, residuals_, standardErrors_;
+
+        template <class xIterator, class yIterator, class vIterator>
+        void calculate(
+            xIterator xBegin, xIterator xEnd,
+            yIterator yBegin, yIterator yEnd,
+            vIterator vBegin, vIterator vEnd);
+    };
+
+    template <class xContainer, class yContainer, class vContainer> inline
+    GeneralLinearLeastSquares::GeneralLinearLeastSquares(const xContainer & x,
+                                                         const yContainer &y,
+                                                         const vContainer & v)
+    : a_(v.size(), 0.0),
+      err_(v.size(), 0.0),
+      residuals_(y.size()),
+      standardErrors_(v.size()) {
+        calculate(x.begin(), x.end(), y.begin(), y.end(), v.begin(), v.end());
+    }
+
+    template<class xIterator, class yIterator, class vIterator> inline
+    GeneralLinearLeastSquares::GeneralLinearLeastSquares(
+                                            xIterator xBegin, xIterator xEnd,
+                                            yIterator yBegin, yIterator yEnd,
+                                            vIterator vBegin, vIterator vEnd)
+    : a_(std::distance(vBegin, vEnd), 0.0),
+      err_(a_.size(), 0.0),
+      residuals_(std::distance(yBegin, yEnd)),
+      standardErrors_(a_.size()) {
+        calculate(xBegin, xEnd, yBegin, yEnd, vBegin, vEnd);
+    }
+
+
+    template <class xIterator, class yIterator, class vIterator>
+    void GeneralLinearLeastSquares::calculate(xIterator xBegin, xIterator xEnd,
+                                              yIterator yBegin, yIterator yEnd,
+                                              vIterator vBegin, vIterator vEnd) {
+
+        const Size n = residuals_.size();
+        const Size m = err_.size();
+
+        QL_REQUIRE( n == Size(std::distance(yBegin, yEnd)),
+            "sample set need to be of the same size");
+        QL_REQUIRE(n >= m, "sample set is too small");
+
+        Size i;
+
+        Matrix A(n, m);
+        for (i=0; i<m; ++i)
+            std::transform(xBegin, xEnd, A.column_begin(i), *vBegin++);
+
+        const SVD svd(A);
+        const Matrix& V = svd.V();
+        const Matrix& U = svd.U();
+        const Array& w = svd.singularValues();
+        const Real threshold = n*QL_EPSILON;
+
+        for (i=0; i<m; ++i) {
+            if (w[i] > threshold) {
+                const Real u = std::inner_product(U.column_begin(i),
+                    U.column_end(i),
+                    yBegin, 0.0)/w[i];
+
+                for (Size j=0; j<m; ++j) {
+                    a_[j]  +=u*V[j][i];
+                    err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
+                }
+            }
+        }
+        err_      = Sqrt(err_);
+        Array tmp = A*a_;
+        std::transform(tmp.begin(), tmp.end(),
+                       yBegin, residuals_.begin(), std::minus<Real>());
+
+        const Real chiSq
+            = std::inner_product(residuals_.begin(), residuals_.end(),
+            residuals_.begin(), 0.0);
+        std::transform(err_.begin(), err_.end(), standardErrors_.begin(),
+            std::bind1st(std::multiplies<Real>(),
+            std::sqrt(chiSq/(n-2))));
+    }
+}
+
+#endif
diff --git a/ql/math/linearleastsquaresregression.hpp b/ql/math/linearleastsquaresregression.hpp
index ec021a53a8..6b9e234687 100644
--- a/ql/math/linearleastsquaresregression.hpp
+++ b/ql/math/linearleastsquaresregression.hpp
@@ -27,93 +27,29 @@
 #ifndef quantlib_linear_least_squares_regression_hpp
 #define quantlib_linear_least_squares_regression_hpp
 
-#include <ql/qldefines.hpp>
-#include <ql/math/matrixutilities/svd.hpp>
-#include <ql/math/array.hpp>
-#include <ql/math/functional.hpp>
-#include <boost/function.hpp>
-#include <boost/type_traits.hpp>
-#include <vector>
+#include <ql/math/generallinearleastsquares.hpp>
 
 namespace QuantLib {
 
-    //! general linear least squares regression
-    /*! References:
-    "Numerical Recipes in C", 2nd edition,
-    Press, Teukolsky, Vetterling, Flannery,
-
-    \test the correctness of the returned values is tested by
-    checking their properties.
-    */
-    template <class ArgumentType = Real>
-    class LinearLeastSquaresRegression {
-    public:
-        template <class xContainer, class yContainer, class vContainer>
-        LinearLeastSquaresRegression(const xContainer & x, 
-                                     const yContainer &y, const vContainer & v);
-
-        template<class xIterator, class yIterator, class vIterator>
-        LinearLeastSquaresRegression(
-            xIterator xBegin, xIterator xEnd,
-            yIterator yBegin, yIterator yEnd,
-            vIterator vBegin, vIterator vEnd);
-
-        const Array& coefficients()   const { return a_; }
-        const Array& residuals()      const { return residuals_; }
-
-        //! standard parameter errors as given by Excel, R etc.
-        const Array& standardErrors() const { return standardErrors_; }
-        //! modeling uncertainty as definied in Numerical Recipes
-        const Array& error()          const { return err_;}
-
-#ifndef QL_DISABLE_DEPRECATED
-        const Array& a() const     { return a_;  }
-#endif
-        Size size() const { return residuals_.size(); }
-
-        Size dim() const { return a_.size(); }
-
-    protected:
-        Array a_, err_, residuals_, standardErrors_;
-
-        template <class xIterator, class yIterator, class vIterator>
-        void calculate(
-            xIterator xBegin, xIterator xEnd,
-            yIterator yBegin, yIterator yEnd,
-            vIterator vBegin, vIterator vEnd);
-    };
-
-    class LinearRegression : public LinearLeastSquaresRegression<Real> {
-    public:
-        //! linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
-        template <class xContainer, class yContainer>
-        LinearRegression(const xContainer& x, 
-                         const yContainer& y, Real intercept = 1.0);
-
-        template <class xContainer, class yContainer, class vContainer>
-        LinearRegression(const xContainer& x, 
-                         const yContainer& y, const vContainer &v);
-    };
-
     namespace details {
-        
+
         template <class Container>
         class LinearFct : public std::unary_function<Real, Container > {
-        public:
+          public:
             LinearFct(Size i) : i_(i) {}
 
             inline Real operator()(const Container& x) const {
                 return x[i_];
             }
 
-        private:
+          private:
             const Size i_;
-        };
+       };
 
         // 1d implementation (arithmetic types)
         template <class xContainer, bool>
         class LinearFcts {
-        public:
+          public:
             typedef typename xContainer::value_type ArgumentType;
             LinearFcts (const xContainer &x, Real intercept) {
                 if (intercept)
@@ -125,112 +61,48 @@ namespace QuantLib {
                 return v;
             }
 
-        private:
+          private:
             std::vector< boost::function1<Real, ArgumentType> > v;
         };
 
         // multi-dimensional implementation (container types)
         template <class xContainer>
         class LinearFcts<xContainer, false>  {
-        public:
+          public:
             typedef typename xContainer::value_type ArgumentType;
-            LinearFcts (const xContainer &x, Real intercept)
-            {
+            LinearFcts (const xContainer &x, Real intercept) {
                 if (intercept)
                     v.push_back(constant<ArgumentType, Real>(intercept));
                 Size m = x.begin()->size();
                 for (Size i = 0; i < m; ++i)
                     v.push_back(LinearFct<ArgumentType>(i));
             }
-            
+
             const std::vector< boost::function1<Real, ArgumentType> > & fcts() {
-                return v;
+               return v;
             }
-        private:
+          private:
             std::vector< boost::function1<Real, ArgumentType> > v;
         };
     }
 
-    template <class ArgumentType>
-    template <class xIterator, class yIterator, class vIterator>
-    void LinearLeastSquaresRegression<ArgumentType>::calculate(
-        xIterator xBegin, xIterator xEnd,
-        yIterator yBegin, yIterator yEnd,
-        vIterator vBegin, vIterator vEnd) {
-
-            const Size n = residuals_.size();
-            const Size m = err_.size();
-
-            QL_REQUIRE( n == Size(std::distance(yBegin, yEnd)),
-                "sample set need to be of the same size");
-            QL_REQUIRE(n >= m, "sample set is too small");
-
-            Size i;
-
-            Matrix A(n, m);
-            for (i=0; i<m; ++i)
-                std::transform(xBegin, xEnd, A.column_begin(i), *vBegin++);
-
-            const SVD svd(A);
-            const Matrix& V = svd.V();
-            const Matrix& U = svd.U();
-            const Array& w = svd.singularValues();
-            const Real threshold = n*QL_EPSILON;
-
-            for (i=0; i<m; ++i) {
-                if (w[i] > threshold) {
-                    const Real u = std::inner_product(U.column_begin(i),
-                        U.column_end(i),
-                        yBegin, 0.0)/w[i];
-
-                    for (Size j=0; j<m; ++j) {
-                        a_[j]  +=u*V[j][i];
-                        err_[j]+=V[j][i]*V[j][i]/(w[i]*w[i]);
-                    }
-                }
-            }
-            err_      = Sqrt(err_);
-            Array tmp = A*a_;
-            std::transform(tmp.begin(), tmp.end(), 
-                           yBegin, residuals_.begin(), std::minus<Real>());
-
-            const Real chiSq
-                = std::inner_product(residuals_.begin(), residuals_.end(),
-                residuals_.begin(), 0.0);
-            std::transform(err_.begin(), err_.end(), standardErrors_.begin(),
-                std::bind1st(std::multiplies<Real>(),
-                std::sqrt(chiSq/(n-2))));
-    }
+    class LinearRegression : public GeneralLinearLeastSquares {
+    public:
+        //! linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
+        template <class xContainer, class yContainer>
+        LinearRegression(const xContainer& x, 
+                         const yContainer& y, Real intercept = 1.0);
 
-    template <class ArgumentType>
-    template <class xContainer, class yContainer, class vContainer> inline
-        LinearLeastSquaresRegression<ArgumentType>::LinearLeastSquaresRegression(
-            const xContainer & x, 
-            const yContainer &y, const vContainer & v) 
-    : a_(v.size(), 0.0), 
-      err_(v.size(), 0.0), 
-      residuals_(y.size()), 
-      standardErrors_(v.size()) {
-        calculate(x.begin(), x.end(), y.begin(), y.end(), v.begin(), v.end());
-    }
+        template <class xContainer, class yContainer, class vContainer>
+        LinearRegression(const xContainer& x, 
+                         const yContainer& y, const vContainer &v);
+    };
 
-    template <class ArgumentType>
-    template<class xIterator, class yIterator, class vIterator> inline
-        LinearLeastSquaresRegression<ArgumentType>::LinearLeastSquaresRegression(
-        xIterator xBegin, xIterator xEnd,
-        yIterator yBegin, yIterator yEnd,
-        vIterator vBegin, vIterator vEnd) : 
-    a_(std::distance(vBegin, vEnd), 0.0),
-        err_(a_.size(), 0.0),
-        residuals_(std::distance(yBegin, yEnd)),
-        standardErrors_(a_.size()) {
-            calculate(xBegin, xEnd, yBegin, yEnd, vBegin, vEnd);
-    }
 
     template <class xContainer, class yContainer> inline
         LinearRegression::LinearRegression(const xContainer& x, 
                                            const yContainer& y, Real intercept) 
-    : LinearLeastSquaresRegression<Real>(x, y, 
+    : GeneralLinearLeastSquares(x, y,
           details::LinearFcts<xContainer, 
               boost::is_arithmetic<typename xContainer::value_type>::value>
                                                         (x, intercept).fcts()) {
@@ -240,7 +112,21 @@ namespace QuantLib {
         LinearRegression::LinearRegression(const xContainer& x, 
                                            const yContainer& y, 
                                            const vContainer &v) 
-    : LinearLeastSquaresRegression<Real> (x, y, v) {
+    : GeneralLinearLeastSquares(x, y, v) {
     }
+
+    // general linear least squares regression
+    // this interface is support for backward compatibility only
+    // please use GeneralLinearLeastSquares directly
+    template <class ArgumentType = Real>
+    class LinearLeastSquaresRegression : public GeneralLinearLeastSquares {
+      public:
+        LinearLeastSquaresRegression(
+            const std::vector<ArgumentType> & x,
+            const std::vector<Real> &         y,
+            const std::vector<boost::function1<Real, ArgumentType> > & v)
+        : GeneralLinearLeastSquares(x, y, v) {
+        }
+    };
 }
 #endif
diff --git a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
index 6527868121..b44e279805 100644
--- a/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
+++ b/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/math/functional.hpp>
-#include <ql/math/linearleastsquaresregression.hpp>
+#include <ql/math/generallinearleastsquares.hpp>
 #include <ql/methods/montecarlo/pathpricer.hpp>
 #include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
 #include <boost/bind.hpp>
@@ -148,8 +148,7 @@ namespace QuantLib {
             }
 
             if (v_.size() <=  x.size()) {
-                coeff_[i] = LinearLeastSquaresRegression<StateType>(x, y, v_)
-                                .coefficients();
+                coeff_[i] = GeneralLinearLeastSquares(x, y, v_).coefficients();
             }
             else {
             // if number of itm paths is smaller then the number of

From 4792c4cc7d91b6e13d3b95d00e7054abc4663639 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 6 Feb 2011 10:07:58 +0000
Subject: [PATCH 145/410] minor code clean-up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17613 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdm2dimsolver.cpp       |  7 +--
 .../finitedifferences/fdm3dimsolver.cpp       |  9 ++--
 .../finitedifferences/fdmextoujumpop.cpp      | 53 ++++++++-----------
 .../finitedifferences/fdmextoujumpop.hpp      | 12 ++---
 .../fdmsimpleswingcondition.cpp               |  9 ++--
 .../fdsimpleextoujumpswingengine.cpp          |  2 +-
 6 files changed, 40 insertions(+), 52 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
index b3bb84e2d8..1aac8be22e 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
@@ -46,10 +46,11 @@ namespace QuantLib {
       initialValues_(mesher_->layout()->size()),
       resultValues_(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]) {
 
-        x_.reserve(mesher_->layout()->dim()[0]);
-        y_.reserve(mesher_->layout()->dim()[1]);
-
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+
+        x_.reserve(layout->dim()[0]);
+        y_.reserve(layout->dim()[1]);
+
         const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
index 9366ce2a7a..ae0358da02 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
@@ -50,11 +50,12 @@ namespace QuantLib {
                            mesher_->layout()->dim()[0])),
       interpolation_(mesher_->layout()->dim()[2]) {
 
-        x_.reserve(mesher_->layout()->dim()[0]);
-        y_.reserve(mesher_->layout()->dim()[1]);
-        z_.reserve(mesher_->layout()->dim()[2]);
-
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+
+        x_.reserve(layout->dim()[0]);
+        y_.reserve(layout->dim()[1]);
+        z_.reserve(layout->dim()[2]);
+
         const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
index 3826aaeb60..1c6ec50276 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -28,6 +28,7 @@
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 
 namespace QuantLib {
@@ -44,39 +45,23 @@ namespace QuantLib {
       bcSet_  (bcSet),
       gaussLaguerreIntegration_(integroIntegrationOrder),
       x_      (mesher->locations(0)),
-      dxMap_  (0, mesher),
-      dxxMap_ (SecondDerivativeOp(0, mesher)
-          .mult(0.5*square<Real>()(
-                  process->getExtendedOrnsteinUhlenbeckProcess()->volatility())
-                *Array(mesher->layout()->size(), 1.))),
+      ouOp_   (new FdmExtendedOrnsteinUhlenbackOp(
+                   mesher,
+                   process->getExtendedOrnsteinUhlenbeckProcess(), rTS, bcSet)),
       dyMap_  (FirstDerivativeOp(1, mesher)
-                .mult(-process->beta()*mesher->locations(1))),
-      mapX_   (0, mesher),
-      mapY_   (1, mesher) {
+                .mult(-process->beta()*mesher->locations(1))) {
     }
         
     Size FdmExtOUJumpOp::size() const {
-        return 2;
+        return mesher_->layout()->dim().size();;
     }
     
     void FdmExtOUJumpOp::setTime(Time t1, Time t2) {
-        const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
-        
-        const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-
-        Array drift(layout->size());
-        for (FdmLinearOpIterator iter = layout->begin();
-             iter!=endIter; ++iter) {
-            const Size i = iter.index();
-            drift[i] = process_->drift(0.5*(t1+t2), Array(2, x_[i]))[0];
-        }
-        mapX_.axpyb(drift, dxMap_, dxxMap_, Array(1, -0.5*r));
-        mapY_ = dyMap_.add(Array(mesher_->layout()->size(), -0.5*r));
+        ouOp_->setTime(t1, t2);
     }
     
     Disposable<Array> FdmExtOUJumpOp::apply(const Array& r) const {
-        return apply_direction(0, r) + apply_direction(1, r) + integro(r);
+        return ouOp_->apply(r) + apply_direction(1, r) + integro(r);
     }
     
     Disposable<Array> FdmExtOUJumpOp::apply_mixed(const Array& r) const {
@@ -86,30 +71,34 @@ namespace QuantLib {
     Disposable<Array> FdmExtOUJumpOp::apply_direction(Size direction,
                                                       const Array& r) const {
         if (direction == 0)
-            return mapX_.apply(r);
+            return ouOp_->apply_direction(direction, r);
         else if (direction == 1)
-            return mapY_.apply(r);
-        else
-            QL_FAIL("direction too large");
+            return dyMap_.apply(r);
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
     }
 
     Disposable<Array> 
         FdmExtOUJumpOp::solve_splitting(Size direction, 
                                         const Array& r, Real a) const {
         if (direction == 0) {
-            return mapX_.solve_splitting(r, a, 1.0);
+            return ouOp_->solve_splitting(direction, r, a);
         }
         else if (direction == 1) {
-            return mapY_.solve_splitting(r, a, 1.0);
+            return dyMap_.solve_splitting(r, a, 1.0);
+        }
+        else {
+            Array retVal(r);
+            return retVal;
         }
-        else
-            QL_FAIL("direction too large");
     }
     
     Disposable<Array>
         FdmExtOUJumpOp::preconditioner(const Array& r, Real dt) const {
 
-        return solve_splitting(0, r, dt);
+        return ouOp_->solve_splitting(0, r, dt);
     }
     
     FdmExtOUJumpOp::IntegroIntegrand::IntegroIntegrand(
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.hpp b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
index e1fd65e682..bb1556f7b7 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmexpoujumpop.hpp
+/*! \file fdmextoujumpop.hpp
     \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
 */
 
@@ -25,7 +25,6 @@
 #define quantlib_fdm_ext_ou_jump_op_hpp
 
 #include <ql/math/integrals/gaussianquadratures.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
 #include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
@@ -37,7 +36,7 @@ namespace QuantLib {
     class YieldTermStructure;
     class LinearInterpolation;
     class ExtOUWithJumpsProcess;
-
+    class FdmExtendedOrnsteinUhlenbackOp;
     
     /*! References:
         Kluge, Timo L., 2008. Pricing Swing Options and other 
@@ -87,10 +86,9 @@ namespace QuantLib {
         GaussLaguerreIntegration gaussLaguerreIntegration_;
         
         const Array x_;
-        const FirstDerivativeOp dxMap_;
-        const TripleBandLinearOp dxxMap_, dyMap_;
-        TripleBandLinearOp mapX_, mapY_;
-        
+        const boost::shared_ptr<FdmExtendedOrnsteinUhlenbackOp> ouOp_;
+
+        const TripleBandLinearOp dyMap_;
     };
 }
 #endif
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
index ef4ee7ab10..8e9d08d916 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -33,12 +33,12 @@ namespace QuantLib {
     }
     
     void FdmSimpleSwingCondition::applyTo(Array& a, Time t) const {
-        Array retVal = a;
-        
         const std::vector<Time>::const_iterator iter
             = std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
         
-        if (iter != exerciseTimes_.end()) {    
+        if (iter != exerciseTimes_.end()) {
+            Array retVal= a;
+
             const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
             const FdmLinearOpIterator endIter = layout->end();
             
@@ -60,8 +60,7 @@ namespace QuantLib {
                     }
                 }
             }
+            a = retVal;
         }
-            
-        a = retVal;
     }
 }
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index 3a8960ae19..bc3dbb2714 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -99,7 +99,7 @@ namespace QuantLib {
         // 4.1 Bermudan step conditions
         std::vector<Time> exerciseTimes;
         for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
-            Time t = rTS_->dayCounter()
+            const Time t = rTS_->dayCounter()
                            .yearFraction(rTS_->referenceDate(),
                                          arguments_.exercise->dates()[i]);
             QL_REQUIRE(t >= 0, "exercise dates must not contain past date");

From ae5cc39f7decbd21bbe9233e1f3ea562e4c82b50 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 6 Feb 2011 10:10:01 +0000
Subject: [PATCH 146/410] added fdm pricing engine for a simple storage option
 based on a exponential Ornstein Uhlenbeck process

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17614 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   6 +
 ql/experimental/finitedifferences/all.hpp     |   3 +
 .../fdmextendedornsteinuhlenbeckop.cpp        | 106 +++++++++++
 .../fdmextendedornsteinuhlenbeckop.hpp        |  72 ++++++++
 .../fdmsimple2dextousolver.hpp                |  78 ++++++++
 .../fdmsimplestoragecondition.cpp             |  95 ++++++++++
 .../fdmsimplestoragecondition.hpp             |  53 ++++++
 .../fdsimpleextoustorageengine.cpp            | 170 ++++++++++++++++++
 .../fdsimpleextoustorageengine.hpp            |  55 ++++++
 ql/instruments/Makefile.am                    |   1 +
 ql/instruments/all.hpp                        |   1 +
 ql/instruments/vanillastorageoption.hpp       | 100 +++++++++++
 test-suite/swingoption.cpp                    |  44 ++++-
 test-suite/swingoption.hpp                    |   1 +
 14 files changed, 784 insertions(+), 1 deletion(-)
 create mode 100644 ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
 create mode 100644 ql/instruments/vanillastorageoption.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 2911da8e0d..9bd442591d 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -39,6 +39,7 @@ this_include_HEADERS = \
 	fdmblackscholessolver.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
+	fdmextendedornsteinuhlenbeckop.hpp \
 	fdmextoujumpmodelinnervalue.hpp \
 	fdmextoujumpop.hpp \
 	fdmextoujumpsolver.hpp \
@@ -56,8 +57,10 @@ this_include_HEADERS = \
 	fdmmeshercomposite.hpp \
 	fdmquantohelper.hpp \
     fdmsimple2dbssolver.hpp \
+	fdmsimple2dextousolver.hpp \
     fdmsimple3dextoujumpsolver.hpp \
     fdmsimpleprocess1dmesher.hpp \
+    fdmsimplestoragecondition.hpp \
     fdmsimpleswingcondition.hpp \
 	fdmsnapshotcondition.hpp \
 	fdmsolverdesc.hpp \
@@ -111,6 +114,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmblackscholessolver.cpp \
 	fdmdirichletboundary.cpp \
 	fdmdividendhandler.cpp \
+	fdmextendedornsteinuhlenbeckop.cpp \
 	fdmextoujumpop.cpp \
 	fdmextoujumpsolver.cpp \
 	fdmhestonhullwhiteop.cpp \
@@ -124,11 +128,13 @@ libMultiDimFDM_la_SOURCES = \
 	fdmquantohelper.cpp \
     fdmsimple2dbssolver.cpp \
     fdmsimpleprocess1dmesher.cpp \
+    fdmsimplestoragecondition.cpp \
     fdmsimpleswingcondition.cpp \
 	fdmsnapshotcondition.cpp \
 	fdmstepconditioncomposite.cpp \
     fdsimplebsswingengine.cpp \
 	fdsimpleextoujumpswingengine.cpp \
+    fdsimpleextoustorageengine.cpp \
 	firstderivativeop.cpp \
 	hundsdorferscheme.cpp \
 	impliciteulerscheme.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index d115bd4e2b..44a131b8b1 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -36,6 +36,7 @@
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
@@ -53,8 +54,10 @@
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
new file mode 100644
index 0000000000..5a9561adc9
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -0,0 +1,106 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmextendedornsteinuhlenbeckop.cpp
+*/
+
+#include <ql/math/functional.hpp>
+#include <ql/math/interpolations/linearinterpolation.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
+#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+
+namespace QuantLib {
+
+    FdmExtendedOrnsteinUhlenbackOp::FdmExtendedOrnsteinUhlenbackOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmBoundaryConditionSet& bcSet)
+    : mesher_ (mesher),
+      process_(process),
+      rTS_    (rTS),
+      bcSet_  (bcSet),
+      x_      (mesher->locations(0)),
+      dxMap_  (0, mesher),
+      dxxMap_ (SecondDerivativeOp(0, mesher)
+              .mult(0.5*square<Real>()(process_->volatility())
+                *Array(mesher->layout()->size(), 1.))),
+      mapX_   (0, mesher) {
+    }
+
+    Size FdmExtendedOrnsteinUhlenbackOp::size() const {
+        return mesher_->layout()->dim().size();;
+    }
+
+    void FdmExtendedOrnsteinUhlenbackOp::setTime(Time t1, Time t2) {
+        const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+
+        Array drift(layout->size());
+        for (FdmLinearOpIterator iter = layout->begin();
+             iter!=endIter; ++iter) {
+            const Size i = iter.index();
+            drift[i] = process_->drift(0.5*(t1+t2), x_[i]);
+        }
+        mapX_.axpyb(drift, dxMap_, dxxMap_, Array(1, -r));
+    }
+
+    Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply(
+                                                    const Array& r) const {
+        return mapX_.apply(r);
+    }
+
+    Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply_mixed(
+                                                    const Array& r) const {
+        Array retVal(r.size(), 0.0);
+        return  retVal;
+    }
+
+    Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply_direction(
+                                    Size direction, const Array& r) const {
+        if (direction == 0) {
+            return mapX_.apply(r);
+        }
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
+    }
+
+    Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::solve_splitting(
+                            Size direction, const Array& r, Real a) const {
+        if (direction == 0) {
+            return mapX_.solve_splitting(r, a, 1.0);
+        }
+        else {
+            Array retVal(r);
+            return retVal;
+        }
+    }
+
+    Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::preconditioner(
+                                            const Array& r, Real dt) const {
+        return solve_splitting(0, r, dt);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
new file mode 100644
index 0000000000..26db61e78f
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -0,0 +1,72 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmexpoujumpop.hpp
+    \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
+*/
+
+#ifndef quantlib_fdm_extended_ornsteinuhlenback_op_hpp
+#define quantlib_fdm_extended_ornsteinuhlenback_op_hpp
+
+#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
+#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class YieldTermStructure;
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    class FdmExtendedOrnsteinUhlenbackOp : public FdmLinearOpComposite {
+      public:
+        FdmExtendedOrnsteinUhlenbackOp(
+               const boost::shared_ptr<FdmMesher>& mesher,
+               const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& p,
+               const boost::shared_ptr<YieldTermStructure>& rTS,
+               const FdmBoundaryConditionSet& bcSet);
+
+        Size size() const;
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+
+        Disposable<Array> apply_direction(Size direction,
+                                          const Array& r) const;
+        Disposable<Array> solve_splitting(Size direction,
+                                          const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmBoundaryConditionSet bcSet_;
+
+        const Array x_;
+        const FirstDerivativeOp dxMap_;
+        const TripleBandLinearOp dxxMap_;
+        TripleBandLinearOp mapX_;
+
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
new file mode 100644
index 0000000000..a07a1c47b2
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
@@ -0,0 +1,78 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmsimple2dextousolver.hpp
+    \brief solver for simple swing options based on ext OU process
+*/
+
+
+#ifndef quantlib_fdm_2d_ext_ou_solver_hpp
+#define quantlib_fdm_2d_ext_ou_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
+
+namespace QuantLib {
+
+    class FdmSimple2dExtOUSolver : public LazyObject {
+      public:
+        FdmSimple2dExtOUSolver(
+            const Handle<ExtendedOrnsteinUhlenbeckProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc  = FdmSchemeDesc::Hundsdorfer())
+        : process_(process), rTS_(rTS),
+          solverDesc_(solverDesc), schemeDesc_(schemeDesc) {
+            registerWith(process);
+        }
+
+        Real valueAt(Real x, Real y) const {
+            calculate();
+            return solver_->interpolateAt(x, y);
+        }
+
+      protected:
+        void performCalculations() const {
+            boost::shared_ptr<FdmLinearOpComposite>op(
+                new FdmExtendedOrnsteinUhlenbackOp(
+                                solverDesc_.mesher, process_.currentLink(),
+                                rTS_, solverDesc_.bcSet));
+
+            solver_ = boost::shared_ptr<Fdm2DimSolver>(
+                          new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
+        }
+
+      private:
+        const Handle<ExtendedOrnsteinUhlenbeckProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
+    };
+}
+
+#endif
+
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
new file mode 100644
index 0000000000..f023a1fc50
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
@@ -0,0 +1,95 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/interpolations/bilinearinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
+
+namespace QuantLib {
+
+    FdmSimpleStorageCondition::FdmSimpleStorageCondition(
+            const std::vector<Time> & exerciseTimes,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+            Real changeRate)
+    : exerciseTimes_(exerciseTimes),
+      mesher_       (mesher),
+      calculator_   (calculator),
+      changeRate_   (changeRate) {
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+
+        x_.reserve(layout->dim()[0]);
+        y_.reserve(layout->dim()[1]);
+
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            if (!iter.coordinates()[1]) {
+                x_.push_back(mesher_->location(iter, 0));
+            }
+            if (!iter.coordinates()[0]) {
+                y_.push_back(mesher_->location(iter, 1));
+            }
+        }
+
+    }
+
+    void FdmSimpleStorageCondition::applyTo(Array& a, Time t) const {
+        const std::vector<Time>::const_iterator iter
+            = std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
+
+        if (iter != exerciseTimes_.end()) {
+            Array retVal(a.size());
+
+            Matrix m(y_.size(), x_.size());
+            std::copy(a.begin(), a.end(), m.begin());
+            BilinearInterpolation interpl(x_.begin(), x_.end(),
+                                          y_.begin(), y_.end(), m);
+
+            const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
+            const FdmLinearOpIterator endIter = layout->end();
+
+            for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+                 ++iter) {
+
+                const std::vector<Size>& coor = iter.coordinates();
+                const Real x = x_[coor[0]];
+                const Real y = y_[coor[1]];
+
+                const Real price = calculator_->innerValue(iter);
+                Real currentValue = a[iter.index()];
+
+                // sell
+                if (coor[1] > 0) {
+                    const Real sellPrice = interpl(x, y-changeRate_);
+                    currentValue
+                        = std::max(currentValue, sellPrice + price*changeRate_);
+                }
+                // buy
+                if (coor[1] < y_.size()-1) {
+                    const Real buyPrice = interpl(x, y+changeRate_);
+                    currentValue
+                        = std::max(currentValue, buyPrice - price*changeRate_);
+                }
+                retVal[iter.index()] = currentValue;
+            }
+            a = retVal;
+        }
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp b/ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp
new file mode 100644
index 0000000000..ba000d0d41
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp
@@ -0,0 +1,53 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmsimplestoragecondition.hpp
+    \brief simple storage step condition
+*/
+
+#ifndef quantlib_fdm_simple_storage_condition_hpp
+#define quantlib_fdm_simple_storage_condition_hpp
+
+#include <ql/math/matrix.hpp>
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+namespace QuantLib {
+
+    class FdmSimpleStorageCondition : public StepCondition<Array> {
+      public:
+          FdmSimpleStorageCondition(
+                  const std::vector<Time> & exerciseTimes,
+                  const boost::shared_ptr<FdmMesher>& mesher,
+                  const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
+                  Real changeRate);
+
+        void applyTo(Array& a, Time t) const;
+
+      private:
+        const std::vector<Time> exerciseTimes_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator_;
+        const Real changeRate_;
+
+        std::vector<Real> x_, y_;
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
new file mode 100644
index 0000000000..4afb5c7fda
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -0,0 +1,170 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleextoustorageengine.cpp
+    \brief Finite Differences extended OU engine for simple storage options
+*/
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
+
+
+namespace QuantLib {
+
+    namespace {
+        class FdmUnderlyingValue : public FdmInnerValueCalculator {
+          public:
+            FdmUnderlyingValue(const boost::shared_ptr<FdmMesher>& mesher)
+            : mesher_(mesher) { }
+
+            Real innerValue(const FdmLinearOpIterator& iter) {
+                return std::exp(mesher_->location(iter, 0));
+            }
+            Real avgInnerValue(const FdmLinearOpIterator& iter) {
+                return innerValue(iter);
+            }
+          private:
+            const boost::shared_ptr<FdmMesher> mesher_;
+        };
+
+        class FdmStorageValue : public FdmInnerValueCalculator {
+          public:
+            FdmStorageValue(const boost::shared_ptr<FdmMesher>& mesher)
+            : mesher_(mesher) { }
+
+            Real innerValue(const FdmLinearOpIterator& iter) {
+                const Real s = std::exp(mesher_->location(iter, 0));
+                const Real v = mesher_->location(iter, 1);
+                return s*v;
+            }
+            Real avgInnerValue(const FdmLinearOpIterator& iter) {
+                return innerValue(iter);
+            }
+          private:
+            const boost::shared_ptr<FdmMesher> mesher_;
+
+        };
+    }
+
+    FdSimpleExtOUStorageEngine::FdSimpleExtOUStorageEngine(
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            Size tGrid, Size xGrid,
+            const FdmSchemeDesc& schemeDesc)
+    : process_(process),
+      rTS_  (rTS),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      schemeDesc_(schemeDesc) {
+    }
+
+    void FdSimpleExtOUStorageEngine::calculate() const {
+
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
+                   "Bermudan exercise supported only");
+
+        // 1. Layout
+        const Size yGrid = arguments_.capacity/arguments_.changeRate+1;
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid);
+        printf("yGrid is %i\n",yGrid);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                              new FdmLinearOpLayout(dim));
+
+        // 2. Mesher
+        const Time maturity
+            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                              arguments_.exercise->lastDate());
+
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+                     new FdmSimpleProcess1dMesher(xGrid_, process_, maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> storageMesher(
+            new Uniform1dMesher(0, arguments_.capacity,
+                                arguments_.capacity/arguments_.changeRate+1));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(storageMesher);
+        boost::shared_ptr<FdmMesher> mesher (
+                                     new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        boost::shared_ptr<FdmInnerValueCalculator> storageCalculator(
+                                                  new FdmStorageValue(mesher));
+
+        // 4. Step conditions
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+        std::list<std::vector<Time> > stoppingTimes;
+
+        // 4.1 Bermudan step conditions
+        std::vector<Time> exerciseTimes;
+        for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
+            const Time t = rTS_->dayCounter()
+                           .yearFraction(rTS_->referenceDate(),
+                                         arguments_.exercise->dates()[i]);
+
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+            exerciseTimes.push_back(t);
+        }
+        stoppingTimes.push_back(exerciseTimes);
+        printf("number of exervise times are %i\n",exerciseTimes.size());
+
+        boost::shared_ptr<FdmInnerValueCalculator> underlyingCalculator(
+                                               new FdmUnderlyingValue(mesher));
+
+        stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+            new FdmSimpleStorageCondition(exerciseTimes,
+                                          mesher, underlyingCalculator,
+                                          arguments_.changeRate)));
+
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+
+        // 5. Boundary conditions
+        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     storageCalculator, maturity, tGrid_, 0 };
+
+        boost::shared_ptr<FdmSimple2dExtOUSolver> solver(
+                new FdmSimple2dExtOUSolver(
+                           Handle<ExtendedOrnsteinUhlenbeckProcess>(process_),
+                           rTS_, solverDesc, schemeDesc_));
+
+        const Real x = process_->x0();
+        const Real y = arguments_.load;
+
+        results_.value = solver->valueAt(x, y);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
new file mode 100644
index 0000000000..6ab4999d60
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
@@ -0,0 +1,55 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleextoustorageengine.hpp
+    \brief Finite Differences extended OU engine for simple storage options
+*/
+
+#ifndef quantlib_fd_simple_ext_ou_storage_engine_hpp
+#define quantlib_fd_simple_ext_ou_storage_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/vanillastorageoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    class FdSimpleExtOUStorageEngine
+        : public GenericEngine<VanillaStorageOption::arguments,
+                               VanillaStorageOption::results> {
+      public:
+          FdSimpleExtOUStorageEngine(
+                  const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& p,
+                  const boost::shared_ptr<YieldTermStructure>& rTS,
+                  Size tGrid = 50, Size xGrid = 100,
+                  const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
+
+        void calculate() const;
+
+      private:
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const Size tGrid_, xGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index e71613c387..2cdd2aabf5 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -50,6 +50,7 @@ this_include_HEADERS = \
     swap.hpp \
     swaption.hpp \
     vanillaoption.hpp \
+	vanillastorageoption.hpp \
 	vanillaswingoption.hpp \
     vanillaswap.hpp \
     varianceswap.hpp \
diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index e5ba405402..bee1392f8a 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -45,6 +45,7 @@
 #include <ql/instruments/swap.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/instruments/vanillaoption.hpp>
+#include <ql/instruments/vanillastorageoption.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/instruments/vanillaswap.hpp>
 #include <ql/instruments/varianceswap.hpp>
diff --git a/ql/instruments/vanillastorageoption.hpp b/ql/instruments/vanillastorageoption.hpp
new file mode 100644
index 0000000000..bed499728a
--- /dev/null
+++ b/ql/instruments/vanillastorageoption.hpp
@@ -0,0 +1,100 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vanillastorageoption.hpp
+    \brief vanilla storage option class
+*/
+
+#ifndef quantlib_vanilla_storage_option_hpp
+#define quantlib_vanilla_storage_option_hpp
+
+#include <ql/event.hpp>
+#include <ql/exercise.hpp>
+#include <ql/instruments/payoffs.hpp>
+#include <ql/instruments/oneassetoption.hpp>
+
+namespace QuantLib {
+
+    //! base option class
+    class VanillaStorageOption : public OneAssetOption {
+      public:
+          class arguments;
+          VanillaStorageOption(const boost::shared_ptr<BermudanExercise>& ex,
+                               Real capacity, Real load, Real changeRate)
+        : OneAssetOption(boost::shared_ptr<Payoff>(new NullPayoff), ex),
+          capacity_  (capacity),
+          load_      (load),
+          changeRate_(changeRate) {}
+
+        bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+
+      private:
+        const Real capacity_;
+        const Real load_;
+        const Real changeRate_;
+    };
+
+    class VanillaStorageOption::arguments
+        : public virtual PricingEngine::arguments {
+      public:
+        arguments() {}
+        void validate() const {
+            QL_REQUIRE(payoff, "no payoff given");
+            QL_REQUIRE(exercise, "no exercise given");
+
+            QL_REQUIRE(capacity > 0.0 && changeRate > 0.0 && load >= 0.0,
+                      "positive capacity, load and change rate required");
+            QL_REQUIRE(load <= capacity && changeRate <= capacity,
+                        "illegal values load of changeRate");
+            QL_REQUIRE(   std::fabs(capacity/changeRate
+                           - std::floor(capacity/changeRate+0.5)) < QL_EPSILON
+                       && std::fabs(load/changeRate
+                               - std::floor(load/changeRate+0.5)) < QL_EPSILON,
+                       "load and capacity must be multiple of changeRate");
+        }
+
+        Real capacity;
+        Real load;
+        Real changeRate;
+        boost::shared_ptr<NullPayoff> payoff;
+        boost::shared_ptr<BermudanExercise> exercise;
+    };
+
+    inline void VanillaStorageOption::setupArguments(
+                                PricingEngine::arguments* args) const {
+        VanillaStorageOption::arguments* arguments =
+            dynamic_cast<VanillaStorageOption::arguments*>(args);
+        QL_REQUIRE(arguments != 0, "wrong argument type");
+
+        arguments->payoff
+            = boost::dynamic_pointer_cast<NullPayoff>(payoff_);
+        arguments->exercise
+            = boost::dynamic_pointer_cast<BermudanExercise>(exercise_);
+        arguments->capacity   = capacity_;
+        arguments->load       = load_;
+        arguments->changeRate = changeRate_;
+    }
+
+    inline bool VanillaStorageOption::isExpired() const {
+        return detail::simple_event(exercise_->lastDate()).hasOccurred();
+    }
+}
+
+#endif
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index dfd85d337f..baa6f1c3e6 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -24,6 +24,8 @@
 #include <ql/math/functional.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/instruments/vanillaoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/instruments/vanillastorageoption.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
 #include <ql/math/distributions/gammadistribution.hpp>
 #include <ql/math/statistics/generalstatistics.hpp>
@@ -39,10 +41,10 @@
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
-#include <ql/instruments/vanillaswingoption.hpp>
 
 #include <boost/lambda/lambda.hpp>
 #include <deque>
@@ -500,6 +502,44 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     }
 }
 
+void SwingOptionTest::testSimpleExtOUStorageEngine() {
+
+    BOOST_MESSAGE("Testing Simple Storage option based on ext. OU  model...");
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Days));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Days));
+    }
+    boost::shared_ptr<BermudanExercise> bermudanExercise(
+                                        new BermudanExercise(exerciseDates));
+
+    const Real x0 = 3.0;
+    const Real speed = 1.0;
+    const Real volatility = 0.5;
+    const Rate irRate = 0.1;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0,
+                                             constant<Real, Real>(x0)));
+
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<PricingEngine> storageEngine(
+               new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 100));
+
+    VanillaStorageOption storageOption(bermudanExercise, 50, 0, 1);
+
+    storageOption.setPricingEngine(storageEngine);
+    const Real storageOptionPrice = storageOption.NPV();
+
+    printf("storage value is %f\n", storageOptionPrice);
+}
 
 
 test_suite* SwingOptionTest::suite() {
@@ -515,6 +555,8 @@ test_suite* SwingOptionTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
     suite->add(QUANTLIB_TEST_CASE(
                             &SwingOptionTest::testExtOUJumpSwingOption));
+    suite->add(QUANTLIB_TEST_CASE(
+                            &SwingOptionTest::testSimpleExtOUStorageEngine));
     
     return suite;
 }
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
index ca0b2a92d6..2313d23b37 100755
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -33,6 +33,7 @@ class SwingOptionTest {
     static void testExtOUJumpSwingOption();
 	static void testFdmExponentialJump1dMesher();
 	static void testExtOUJumpVanillaEngine();
+    static void testSimpleExtOUStorageEngine();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From 5da398fac1b0bccfc13535139f4374d4361e8680 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 8 Feb 2011 20:19:26 +0000
Subject: [PATCH 147/410] removed ugly printf statements

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17615 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdsimpleextoustorageengine.cpp   |  6 ++----
 test-suite/swingoption.cpp                             | 10 ++++++++--
 2 files changed, 10 insertions(+), 6 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index 4afb5c7fda..bae0242380 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -92,11 +92,10 @@ namespace QuantLib {
                    "Bermudan exercise supported only");
 
         // 1. Layout
-        const Size yGrid = arguments_.capacity/arguments_.changeRate+1;
+        const Size yGrid = Size(arguments_.capacity/arguments_.changeRate+1);
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(yGrid);
-        printf("yGrid is %i\n",yGrid);
         const boost::shared_ptr<FdmLinearOpLayout> layout(
                                               new FdmLinearOpLayout(dim));
 
@@ -110,7 +109,7 @@ namespace QuantLib {
 
         const boost::shared_ptr<Fdm1dMesher> storageMesher(
             new Uniform1dMesher(0, arguments_.capacity,
-                                arguments_.capacity/arguments_.changeRate+1));
+                                Size(arguments_.capacity/arguments_.changeRate+1)));
 
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(xMesher);
@@ -137,7 +136,6 @@ namespace QuantLib {
             exerciseTimes.push_back(t);
         }
         stoppingTimes.push_back(exerciseTimes);
-        printf("number of exervise times are %i\n",exerciseTimes.size());
 
         boost::shared_ptr<FdmInnerValueCalculator> underlyingCalculator(
                                                new FdmUnderlyingValue(mesher));
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index baa6f1c3e6..c2b7e7374e 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -536,9 +536,15 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
     VanillaStorageOption storageOption(bermudanExercise, 50, 0, 1);
 
     storageOption.setPricingEngine(storageEngine);
-    const Real storageOptionPrice = storageOption.NPV();
 
-    printf("storage value is %f\n", storageOptionPrice);
+    const Real expected = 69.729589;
+    const Real calculated = storageOption.NPV();
+
+    if (std::fabs(expected - calculated) > 2e-2) {
+        BOOST_ERROR("Failed to reproduce cached values"
+                   << "\n    calculated: " << calculated
+                   << "\n    expected:   " << expected);
+    }
 }
 
 

From 65deb68714658d1a87a09911e6f48b14ee9a2936 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 23 Feb 2011 17:38:37 +0000
Subject: [PATCH 148/410] Fixed forward declarations (thanks to Bojan Nikolic.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17632 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/baseindexedcashflow.hpp | 2 --
 ql/instruments/bonds/cpibond.hpp     | 2 +-
 ql/instruments/cpicapfloor.hpp       | 2 --
 ql/instruments/cpiswap.hpp           | 2 +-
 4 files changed, 2 insertions(+), 6 deletions(-)

diff --git a/ql/cashflows/baseindexedcashflow.hpp b/ql/cashflows/baseindexedcashflow.hpp
index f0793398b0..e37e6f9552 100755
--- a/ql/cashflows/baseindexedcashflow.hpp
+++ b/ql/cashflows/baseindexedcashflow.hpp
@@ -30,8 +30,6 @@
 
 namespace QuantLib {
 
-    class QuantLib::Index;
-
 	//! when you observe an index, how do you interpolate between fixings?
 	//! \enum as the index, keep flat, or linear
 	enum indexInterpolationType {
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
index 66664943ff..2540cf3c07 100755
--- a/ql/instruments/bonds/cpibond.hpp
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -34,7 +34,7 @@
 
 namespace QuantLib {
 	
-    class QuantLib::Schedule;
+    class Schedule;
 	
     //! cpi bond; if there is only one date in the schedule it 
 	//! is a zero bond returning an inflated notional.
diff --git a/ql/instruments/cpicapfloor.hpp b/ql/instruments/cpicapfloor.hpp
index e584af30ee..2dcc2c2350 100755
--- a/ql/instruments/cpicapfloor.hpp
+++ b/ql/instruments/cpicapfloor.hpp
@@ -35,8 +35,6 @@
 
 namespace QuantLib {
 	
-    class QuantLib::ZeroInflationIndex;
-	
     //! CPI cap or floor
     /*! Quoted as a fixed strike rate \f$ K \f$.  Payoff:
 	 \f[
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
index 181893e46c..3cd9536a07 100755
--- a/ql/instruments/cpiswap.hpp
+++ b/ql/instruments/cpiswap.hpp
@@ -35,7 +35,7 @@
 
 namespace QuantLib {
 	
-    class QuantLib::ZeroInflationIndex;
+    class ZeroInflationIndex;
 	
     //! zero-inflation-indexed swap, 
     /*! fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base)

From 94efc5befdcaf44621e892231393ebacd182ddb4 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 26 Feb 2011 13:59:14 +0000
Subject: [PATCH 149/410] avoid g++ warnings

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17636 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cpicoupon.hpp      | 2 +-
 test-suite/inflationcpiswap.cpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index 152c258e14..223721a08f 100755
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -94,9 +94,9 @@ namespace QuantLib {
 		
     protected:
 		Real baseCPI_;
-		indexInterpolationType observationInterpolation_;
         Real fixedRate_;
         Spread spread_;
+        indexInterpolationType observationInterpolation_;
         
 		bool checkPricerImpl(const boost::shared_ptr<InflationCouponPricer>&) const;
 		
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 589613baef..4d72292520 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -383,7 +383,7 @@ void CPISwapTest::zciisconsistency() {
 	Real inflationNominal = nominal;
 	Real floatNominal = inflationNominal * std::pow(1.0+quote,50);
 	bool subtractInflationNominal = true;
-	Real dummySpread, dummyFixedRate;
+	Real dummySpread=0.0, dummyFixedRate=0.0;
 	Natural fixingDays = 0;
 	Date baseDate = startDate - observationLag;
 	Real baseCPI = common.ii->fixing(baseDate);

From 0b1581c8a8f6ebe9c74a4018a5fc5a97a3df84ab Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 9 Mar 2011 22:40:41 +0000
Subject: [PATCH 150/410] fixed bug in SwingOption (VanillaStorageOption) test
 case

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17670 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index c2b7e7374e..4e6883897e 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -531,13 +531,13 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
                                 flatRate(settlementDate, irRate, dayCounter));
 
     boost::shared_ptr<PricingEngine> storageEngine(
-               new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 100));
+               new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 25));
 
     VanillaStorageOption storageOption(bermudanExercise, 50, 0, 1);
 
     storageOption.setPricingEngine(storageEngine);
 
-    const Real expected = 69.729589;
+    const Real expected = 69.731711;
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 2e-2) {

From 613e02fb1dd68d4490c0ffc0ee3bc8f5df5d8101 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 27 Mar 2011 19:20:15 +0000
Subject: [PATCH 151/410] added new benchmark result

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17679 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 35 +++++++++++++++++---------------
 1 file changed, 19 insertions(+), 16 deletions(-)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index f0d3656b97..780e29a0a4 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -31,34 +31,37 @@
 
  Example results: 1. Core2 Q9300@2.5Ghz  :2272.6 mflops
                   2. Core2 Q6600@2.4Ghz  :1984.0 mflops
-                  3. Core2 Dual@2.0Ghz   : 835.9 mflops
-                  4. Athlon 64 X2 4400+  : 824.2 mflops
-                  5. Core2 Dual@2.0Ghz   : 754.1 mflops
-                  6. Pentium4 Dual@2.8Ghz: 423.8 mflops
-                  7. Pentium4@3.0Ghz     : 266.3 mflops
-                  8. PentiumIII@1.1Ghz   : 146.2 mflops
-                  9. Alpha 2xEV68@833Mhz : 184.6 mflops
-                 10. Strong ARM@206Mhz   :   1.4 mflops
+                  3. i3 540@3.1Ghz       :1755.3 mflops
+                  4. Core2 Dual@2.0Ghz   : 835.9 mflops
+                  5. Athlon 64 X2 4400+  : 824.2 mflops
+                  6. Core2 Dual@2.0Ghz   : 754.1 mflops
+                  7. Pentium4 Dual@2.8Ghz: 423.8 mflops
+                  8. Pentium4@3.0Ghz     : 266.3 mflops
+                  9. PentiumIII@1.1Ghz   : 146.2 mflops
+                 10. Alpha 2xEV68@833Mhz : 184.6 mflops
+                 11. Strong ARM@206Mhz   :   1.4 mflops
 
  Remarks: OS: Linux, static libs
   1. icc-11.0,  -gcc-version=420 -fast -fp-model fast=2 -ipo-jobs2
       Remark: four processes
   2. icc-11.0,  -gcc-version=420 -fast -fp-model fast=2 -ipo-jobs2
       Remark: four processes
-  3. icc-11.0,  -gcc-version=420 -fast -fp-model fast=2 -ipo-jobs2
+  3. gcc-4.4.5, -O3 -ffast-math -mfpmath=sse,387 -msse4.2 -march=core2
+      Remark: four processes
+  4. icc-11.0,  -gcc-version=420 -fast -fp-model fast=2 -ipo-jobs2
       Remark: two processes
-  4. icc-11.0,  -gcc-version=420 -xSSSE3 -O3 -ipo -no-prec-div -static
+  5. icc-11.0,  -gcc-version=420 -xSSSE3 -O3 -ipo -no-prec-div -static
                 -fp-model fast=2 -ipo-jobs2, Remark: two processes
-  5. gcc-4.2.1, -O3 -ffast-math -mfpmath=sse,387 -msse3 -funroll-all-loops
+  6. gcc-4.2.1, -O3 -ffast-math -mfpmath=sse,387 -msse3 -funroll-all-loops
       Remark: two processes
-  6. gcc-4.0.1, -O3 -march=pentium4 -ffast-math
-      -mfpmath=sse,387 -msse2 -funroll-all-loops, Remark: two processes
   7. gcc-4.0.1, -O3 -march=pentium4 -ffast-math
+      -mfpmath=sse,387 -msse2 -funroll-all-loops, Remark: two processes
+  8. gcc-4.0.1, -O3 -march=pentium4 -ffast-math
                 -mfpmath=sse,387 -msse2 -funroll-all-loops
-  8. gcc-4.1.1, -O3 -march=pentium3 -ffast-math
+  9. gcc-4.1.1, -O3 -march=pentium3 -ffast-math
                 -mfpmath=sse,387 -msse -funroll-all-loops
-  9. gcc-3.3.5, -O3 -mcpu=e67 -funroll-all-loops, Remark: two processes
- 10. gcc-3.4.3, -O2 -g on a Zaurus PDA
+ 10. gcc-3.3.5, -O3 -mcpu=e67 -funroll-all-loops, Remark: two processes
+ 11. gcc-3.4.3, -O2 -g on a Zaurus PDA
 
   This benchmark is derived from quantlibtestsuite.cpp. Please see the
   copyrights therein.

From f965da4357e935d806b64ca88fca3270bb274cfc Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 16 Apr 2011 14:21:43 +0000
Subject: [PATCH 152/410] corrected papi comment

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17714 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index 780e29a0a4..593a45e470 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -77,6 +77,7 @@
 #include <string>
 
 /* PAPI code
+#include <stdio.h
 #include <papi.h>
 */
 
@@ -152,7 +153,7 @@ namespace {
 
     /* PAPI code
     float real_time, proc_time, mflops;
-    long_long lflops, flop=0;
+    long_long lflop, flop=0;
     */
 
     void startTimer() {

From 7ca3257e6c9ef1b42e1d7f419af298781435ea43 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 18 Apr 2011 08:38:16 +0000
Subject: [PATCH 153/410] removed useless namespace

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17716 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/quotes/impliedstddevquote.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/quotes/impliedstddevquote.cpp b/ql/quotes/impliedstddevquote.cpp
index 443022c8a7..28bd423280 100644
--- a/ql/quotes/impliedstddevquote.cpp
+++ b/ql/quotes/impliedstddevquote.cpp
@@ -58,7 +58,7 @@ namespace QuantLib {
                                                       discount, displacement,
                                                       impliedStdev_,
                                                       accuracy_, maxIter_);
-        } catch(QuantLib::Error&) {
+        } catch(Error&) {
             impliedStdev_ = 0.0;
         }
     }

From 5c5cd6d02069177e0550e80dd9439090758edd9f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 18 Apr 2011 08:38:39 +0000
Subject: [PATCH 154/410] removed useless namespace

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17717 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/ecb.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/time/ecb.cpp b/ql/time/ecb.cpp
index 0673dff38a..dbf6922b43 100644
--- a/ql/time/ecb.cpp
+++ b/ql/time/ecb.cpp
@@ -69,7 +69,7 @@ namespace QuantLib {
 
         string code = to_upper_copy(ecbCode);
         string monthString = code.substr(0, 3);
-        QuantLib::Month m;
+        Month m;
         if (monthString=="JAN")      m = January;
         else if (monthString=="FEB") m = February;
         else if (monthString=="MAR") m = March;

From d6240564535ca64381f4f7b92318748d6623c638 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 18 May 2011 11:43:25 +0000
Subject: [PATCH 155/410] add test case on upper bound for swing option prices
 based on Monte-Carlo

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17733 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 47 ++++++++++++++++++++++++++++++++++++++
 1 file changed, 47 insertions(+)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 4e6883897e..440faeaf07 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -441,6 +441,18 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     boost::shared_ptr<BermudanExercise> bermudanExercise(
                                         new BermudanExercise(exerciseDates));
 
+    std::vector<Time> exerciseTimes(exerciseDates.size());
+    for (Size i=0; i < exerciseTimes.size(); ++i) {
+        exerciseTimes[i]
+                 = dayCounter.yearFraction(settlementDate, exerciseDates[i]);
+    }
+
+    TimeGrid grid(exerciseTimes.begin(), exerciseTimes.end(), 60);
+    std::vector<Time> exerciseIndex(exerciseDates.size());
+    for (Size i=0; i < exerciseIndex.size(); ++i) {
+        exerciseIndex[i] = grid.closestIndex(exerciseTimes[i]);
+    }
+
     Array x0(2);
     x0[0] = 3.0; x0[1] = 0.0;
 
@@ -470,6 +482,15 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     bermudanOption.setPricingEngine(vanillaEngine);
     const Real bermudanOptionPrices = bermudanOption.NPV();
 
+    const Size nrTrails = 100;
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
+
+    GeneralStatistics npv;
+    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
+
     for (Size i=0; i < exerciseDates.size(); ++i) {
         const Size exerciseRights = i+1;
 
@@ -499,6 +520,32 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
                        << "\n    lower Bound: " << lowerBound
                        << "\n    Price:       " << swingOptionPrice);
         }
+
+        // use MC plus perfect forecast to find an upper bound
+        for (Size n=0; n < nrTrails; ++n) {
+            sample_type path = generator.next();
+
+            std::vector<Real> exerciseValues(exerciseTimes.size());
+            for (Size k=0; k < exerciseTimes.size(); ++k) {
+                exerciseValues[k] = (*payoff)(path.value[0][exerciseIndex[k]])
+                                               *rTS->discount(exerciseDates[k]);
+            }
+            std::sort(exerciseValues.begin(), exerciseValues.end(),
+                      std::greater<Real>());
+
+            Real npCashFlows
+                = std::accumulate(exerciseValues.begin(),
+                                  exerciseValues.begin()+exerciseRights, 0.0);
+            npv.add(npCashFlows);
+        }
+
+        const Real mcUpperBound = npv.mean();
+        const Real mcErrorUpperBound = npv.errorEstimate();
+        if (swingOptionPrice - mcUpperBound > 2.36*mcErrorUpperBound) {
+            BOOST_ERROR("Failed to reproduce mc upper bounds"
+                       << "\n    mc upper Bound: " << mcUpperBound
+                       << "\n    Price:          " << swingOptionPrice);
+        }
     }
 }
 

From 0e64baaa6b97241607bf31395904aa79f3c42e31 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 18 May 2011 20:33:38 +0000
Subject: [PATCH 156/410] improve test case on upper bound for swing option
 prices based on Monte-Carlo

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17734 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 17 ++++++++++-------
 1 file changed, 10 insertions(+), 7 deletions(-)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 440faeaf07..d5b5cdef9d 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -448,7 +448,7 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     }
 
     TimeGrid grid(exerciseTimes.begin(), exerciseTimes.end(), 60);
-    std::vector<Time> exerciseIndex(exerciseDates.size());
+    std::vector<Size> exerciseIndex(exerciseDates.size());
     for (Size i=0; i < exerciseIndex.size(); ++i) {
         exerciseIndex[i] = grid.closestIndex(exerciseTimes[i]);
     }
@@ -461,7 +461,7 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     const Real jumpIntensity = 1.0;
     const Real speed = 1.0;
     const Real volatility = 2.0;
-    const Rate irRate = 0.10;
+    const Rate irRate = 0.1;
 
     boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
         new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
@@ -482,13 +482,12 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     bermudanOption.setPricingEngine(vanillaEngine);
     const Real bermudanOptionPrices = bermudanOption.NPV();
 
-    const Size nrTrails = 100;
+    const Size nrTrails = 16000;
     typedef PseudoRandom::rsg_type rsg_type;
     typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
     rsg_type rsg = PseudoRandom::make_sequence_generator(
                     jumpProcess->factors()*(grid.size()-1), BigNatural(421));
 
-    GeneralStatistics npv;
     MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
 
     for (Size i=0; i < exerciseDates.size(); ++i) {
@@ -522,13 +521,17 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
         }
 
         // use MC plus perfect forecast to find an upper bound
+        GeneralStatistics npv;
         for (Size n=0; n < nrTrails; ++n) {
             sample_type path = generator.next();
 
             std::vector<Real> exerciseValues(exerciseTimes.size());
             for (Size k=0; k < exerciseTimes.size(); ++k) {
-                exerciseValues[k] = (*payoff)(path.value[0][exerciseIndex[k]])
-                                               *rTS->discount(exerciseDates[k]);
+                const Real x = path.value[0][exerciseIndex[k]];
+                const Real y = path.value[1][exerciseIndex[k]];
+                const Real s = std::exp(x+y);
+
+                exerciseValues[k] =(*payoff)(s)*rTS->discount(exerciseDates[k]);
             }
             std::sort(exerciseValues.begin(), exerciseValues.end(),
                       std::greater<Real>());
@@ -584,7 +587,7 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
 
     storageOption.setPricingEngine(storageEngine);
 
-    const Real expected = 69.731711;
+    const Real expected = 69.6914;
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 2e-2) {

From b9dfd600aeda164dc9803607347712b45a284baf Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 22 May 2011 06:32:48 +0000
Subject: [PATCH 157/410] added min/maxExerciseRights to SwingOption

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17738 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdsimplebsswingengine.cpp | 17 +++++++++++++----
 .../fdsimpleextoujumpswingengine.cpp            | 17 +++++++++++++----
 ql/instruments/vanillaswingoption.hpp           | 16 ++++++++++------
 test-suite/swingoption.cpp                      | 10 +++++-----
 4 files changed, 41 insertions(+), 19 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
index 1ad5f64a04..9deaa2e7ae 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -52,7 +52,7 @@ namespace QuantLib {
         // 1. Layout
         std::vector<Size> dim;
         dim.push_back(xGrid_);
-        dim.push_back(arguments_.exerciseRights+1);
+        dim.push_back(arguments_.maxExerciseRights+1);
         const boost::shared_ptr<FdmLinearOpLayout> layout(
                                               new FdmLinearOpLayout(dim));
         
@@ -65,8 +65,8 @@ namespace QuantLib {
                                       maturity, payoff->strike()));
         
         const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
-                 new Uniform1dMesher(0, arguments_.exerciseRights, 
-                                        arguments_.exerciseRights+1));
+                 new Uniform1dMesher(0, arguments_.maxExerciseRights,
+                                        arguments_.maxExerciseRights+1));
         
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
@@ -113,8 +113,17 @@ namespace QuantLib {
                                payoff->strike(), solverDesc, schemeDesc_));
     
         const Real spot = process_->x0();
-        const Real y = std::exp(Real(arguments_.exerciseRights));
         
+        std::vector< std::pair<Real, Real> > exerciseValues;
+        for (Size i=arguments_.minExerciseRights;
+             i <= arguments_.maxExerciseRights; ++i) {
+            const Real y = std::exp(i);
+            exerciseValues.push_back(
+                           std::pair<Real, Real>(solver->valueAt(spot, y), y));
+        }
+        const Real y = std::max_element(exerciseValues.begin(),
+                                        exerciseValues.end())->second;
+
         results_.value = solver->valueAt(spot, y);
         results_.delta = solver->deltaAt(spot, y, spot*0.01);
         results_.gamma = solver->gammaAt(spot, y, spot*0.01);
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index bc3dbb2714..0d4b0060e3 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -60,7 +60,7 @@ namespace QuantLib {
         std::vector<Size> dim;
         dim.push_back(xGrid_);
         dim.push_back(yGrid_);
-        dim.push_back(arguments_.exerciseRights+1);
+        dim.push_back(arguments_.maxExerciseRights+1);
         const boost::shared_ptr<FdmLinearOpLayout> layout(
                                             new FdmLinearOpLayout(dim));
 
@@ -79,8 +79,8 @@ namespace QuantLib {
                                                     process_->jumpIntensity(),
                                                     process_->eta()));
         const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
-                         new Uniform1dMesher(0, arguments_.exerciseRights,
-                                                arguments_.exerciseRights+1));
+                       new Uniform1dMesher(0, arguments_.maxExerciseRights,
+                                              arguments_.maxExerciseRights+1));
 
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(xMesher);
@@ -134,7 +134,16 @@ namespace QuantLib {
 
         const Real x = process_->initialValues()[0];
         const Real y = process_->initialValues()[1];
-        const Real z = Real(arguments_.exerciseRights);
+
+        std::vector< std::pair<Real, Real> > exerciseValues;
+        for (Size i=arguments_.minExerciseRights;
+             i <= arguments_.maxExerciseRights; ++i) {
+            const Real z = Real(i);
+            exerciseValues.push_back(std::pair<Real, Real>(
+                                       solver->valueAt(x, y, z), z));
+        }
+        const Real z = std::max_element(exerciseValues.begin(),
+                                        exerciseValues.end())->second;
 
         results_.value = solver->valueAt(x, y, z);
     }
diff --git a/ql/instruments/vanillaswingoption.hpp b/ql/instruments/vanillaswingoption.hpp
index 562b96e55a..482efc1e50 100644
--- a/ql/instruments/vanillaswingoption.hpp
+++ b/ql/instruments/vanillaswingoption.hpp
@@ -37,15 +37,16 @@ namespace QuantLib {
           class arguments;
           VanillaSwingOption(const boost::shared_ptr<StrikedTypePayoff>& payoff,
                              const boost::shared_ptr<BermudanExercise>& ex,
-                             Size exerciseRights)
+                             Size minExerciseRights, Size maxExerciseRights)
         : OneAssetOption(payoff, ex),
-          exerciseRights_(exerciseRights) {}
+          minExerciseRights_(minExerciseRights),
+          maxExerciseRights_(maxExerciseRights) {}
 
         bool isExpired() const;
         void setupArguments(PricingEngine::arguments*) const;
         
       private:
-        const Size exerciseRights_;
+        const Size minExerciseRights_, maxExerciseRights_;
     };
 
     class VanillaSwingOption::arguments 
@@ -56,12 +57,14 @@ namespace QuantLib {
             QL_REQUIRE(payoff, "no payoff given");
             QL_REQUIRE(exercise, "no exercise given");
 
-            QL_REQUIRE(exercise->dates().size() >= exerciseRights,
+            QL_REQUIRE(minExerciseRights <= maxExerciseRights,
+                       "minExerciseRights <= maxExerciseRights")
+            QL_REQUIRE(exercise->dates().size() >= maxExerciseRights,
                        "number of exercise rights exceeds "
                        "number of exercise dates");
         }
 
-        Size exerciseRights;
+        Size minExerciseRights, maxExerciseRights;
         boost::shared_ptr<StrikedTypePayoff> payoff;
         boost::shared_ptr<BermudanExercise> exercise;
     };
@@ -76,7 +79,8 @@ namespace QuantLib {
             = boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
         arguments->exercise 
             = boost::dynamic_pointer_cast<BermudanExercise>(exercise_);
-        arguments->exerciseRights = exerciseRights_;
+        arguments->minExerciseRights = minExerciseRights_;
+        arguments->maxExerciseRights = maxExerciseRights_;
     }
     
     inline bool VanillaSwingOption::isExpired() const {
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index d5b5cdef9d..9acce6b90f 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -20,16 +20,14 @@
 #include "swingoption.hpp"
 #include "utilities.hpp"
 
-#include <ql/time/daycounters/actualactual.hpp>
 #include <ql/math/functional.hpp>
 #include <ql/quotes/simplequote.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
 #include <ql/instruments/vanillaoption.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/instruments/vanillastorageoption.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
-#include <ql/math/distributions/gammadistribution.hpp>
 #include <ql/math/statistics/generalstatistics.hpp>
-#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
 #include <ql/processes/ornsteinuhlenbeckprocess.hpp>
 #include <ql/processes/stochasticprocessarray.hpp>
@@ -391,7 +389,8 @@ void SwingOptionTest::testFdBSSwingOption() {
     for (Size i=0; i < exerciseDates.size(); ++i) {
         const Size exerciseRights = i+1;
         
-        VanillaSwingOption swingOption(payoff, bermudanExercise,exerciseRights);
+        VanillaSwingOption swingOption(payoff, bermudanExercise,
+                                       exerciseRights, exerciseRights);
         swingOption.setPricingEngine(engine);
         const Real swingOptionPrice = swingOption.NPV();
 
@@ -493,7 +492,8 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     for (Size i=0; i < exerciseDates.size(); ++i) {
         const Size exerciseRights = i+1;
 
-        VanillaSwingOption swingOption(payoff, bermudanExercise,exerciseRights);
+        VanillaSwingOption swingOption(payoff, bermudanExercise,
+                                       exerciseRights, exerciseRights);
         swingOption.setPricingEngine(swingEngine);
         const Real swingOptionPrice = swingOption.NPV();
 

From f29d75cdbc41aaee88cf826305a48bf707dceecd Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 May 2011 12:09:58 +0000
Subject: [PATCH 158/410] Added rule for new css class

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17741 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Docs/quantlib.css | 6 ++++++
 1 file changed, 6 insertions(+)

diff --git a/Docs/quantlib.css b/Docs/quantlib.css
index cd07858894..c23e852c56 100644
--- a/Docs/quantlib.css
+++ b/Docs/quantlib.css
@@ -42,6 +42,12 @@ ul#profiles li {
     vertical-align: top;
 }
 
+div.textblock {
+    margin-right: 17em;
+    padding: 1em;
+    vertical-align: top;
+}
+
 #header {
     margin-left: 1em;
     text-align: left;

From 3de23e64d37c81cc33a417d3f9f72556ff388df2 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 29 May 2011 00:20:02 +0000
Subject: [PATCH 159/410] removed latex syntax error

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17747 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/processes/extouwithjumpsprocess.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/experimental/processes/extouwithjumpsprocess.hpp b/ql/experimental/processes/extouwithjumpsprocess.hpp
index 074ec3dda0..3665cb8969 100644
--- a/ql/experimental/processes/extouwithjumpsprocess.hpp
+++ b/ql/experimental/processes/extouwithjumpsprocess.hpp
@@ -35,8 +35,8 @@ namespace QuantLib {
         an extension of the Lucia and Schwartz model
         \f[
         \begin{array}{rcl}
-        S = exp(X_t + Y_t)
-        dX_t  &=& \alpha(\mu(t)-X_t)dt + \sigmga dW_t \\
+        S &=& exp(X_t + Y_t) \\
+        dX_t  &=& \alpha(\mu(t)-X_t)dt + \sigma dW_t \\
         dY_t  &=& -\beta Y_{t-}dt + J_tdN_t \\
         \omega(J)&=& \eta_u e^{-\eta_u J}
         \end{array}

From c24f94d092af5d03a5143daa27f80fc36d59c8a6 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 29 May 2011 00:20:56 +0000
Subject: [PATCH 160/410] allow negative payoff in swing condition

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17748 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdmsimpleswingcondition.cpp            | 5 ++++-
 .../finitedifferences/fdsimpleextoujumpswingengine.hpp       | 2 +-
 2 files changed, 5 insertions(+), 2 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
index 8e9d08d916..c79267439d 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -39,6 +39,8 @@ namespace QuantLib {
         if (iter != exerciseTimes_.end()) {
             Array retVal= a;
 
+            const Size d = std::distance(iter, exerciseTimes_.end());
+
             const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
             const FdmLinearOpIterator endIter = layout->end();
             
@@ -55,7 +57,8 @@ namespace QuantLib {
                     const Real valueMinusOneExRight 
                          = a[layout->neighbourhood(iter, swingDirection_, -1)];
                     
-                    if (currentValue < cashflow + valueMinusOneExRight) {
+                    if (   currentValue < cashflow + valueMinusOneExRight
+                        || exerciseValue >= d ) {
                         retVal[iter.index()] = cashflow + valueMinusOneExRight;
                     }
                 }
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
index db7133ef05..97d5ab9c9f 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
             FdSimpleExtOUJumpSwingEngine(
               const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
               const boost::shared_ptr<YieldTermStructure>& rTS,
-              Size tGrid = 50, Size xGrid = 100, Size yGrid=50,
+              Size tGrid = 50, Size xGrid = 200, Size yGrid=50,
               const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;

From 2292b27850dd4fe80f6632ec80804d40febc2079 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 30 May 2011 20:48:28 +0000
Subject: [PATCH 161/410] removed tabs

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17757 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../processes/gemanroncoroniprocess.cpp       | 160 +++++++++---------
 .../processes/gemanroncoroniprocess.hpp       |  46 ++---
 2 files changed, 103 insertions(+), 103 deletions(-)

diff --git a/ql/experimental/processes/gemanroncoroniprocess.cpp b/ql/experimental/processes/gemanroncoroniprocess.cpp
index 050fd2f768..32de170dac 100755
--- a/ql/experimental/processes/gemanroncoroniprocess.cpp
+++ b/ql/experimental/processes/gemanroncoroniprocess.cpp
@@ -28,90 +28,90 @@
 
 namespace QuantLib {
 
-	GemanRoncoroniProcess::GemanRoncoroniProcess(
-									  Real x0, 
-									  Real alpha, Real beta, 
-									  Real gamma, Real delta, 
-									  Real eps, Real zeta, Real d, 
-									  Real k,  Real tau,
-									  Real sig2, Real a, Real b,
-									  Real theta1, Real theta2, Real theta3,
-									  Real psi)
-	: StochasticProcess1D(boost::shared_ptr<discretization>(
+    GemanRoncoroniProcess::GemanRoncoroniProcess(
+                                      Real x0, 
+                                      Real alpha, Real beta, 
+                                      Real gamma, Real delta, 
+                                      Real eps, Real zeta, Real d, 
+                                      Real k,  Real tau,
+                                      Real sig2, Real a, Real b,
+                                      Real theta1, Real theta2, Real theta3,
+                                      Real psi)
+    : StochasticProcess1D(boost::shared_ptr<discretization>(
                                                     new EulerDiscretization)),
-	  x0_(x0),
-	  alpha_(alpha), beta_(beta),
-	  gamma_(gamma), delta_(delta),
-	  eps_(eps), zeta_(zeta), d_(d), 
-	  k_(k), tau_(tau),
-	  sig2_(sig2), a_(a), b_(b),
-	  theta1_(theta1), theta2_(theta2), theta3_(theta3),
-	  psi_(psi) {  
+      x0_(x0),
+      alpha_(alpha), beta_(beta),
+      gamma_(gamma), delta_(delta),
+      eps_(eps), zeta_(zeta), d_(d), 
+      k_(k), tau_(tau),
+      sig2_(sig2), a_(a), b_(b),
+      theta1_(theta1), theta2_(theta2), theta3_(theta3),
+      psi_(psi) {  
     }
 
-	Real GemanRoncoroniProcess::x0() const {
-		return x0_;
-	}
-
-	Real GemanRoncoroniProcess::drift(Time t, Real x) const {
-		const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_+2*M_PI*t)
-										 + delta_*std::cos(zeta_+4*M_PI*t);
-		const Real muPrime = beta_ - gamma_*2*M_PI*std::sin(eps_+2*M_PI*t)
-							       - delta_*4*M_PI*std::sin(zeta_+4*M_PI*t);
-
-		return muPrime + theta1_*(mu-x);
-	}
-	
-	Real GemanRoncoroniProcess::diffusion(Time t, Real x) const {
-		return std::sqrt(sig2_ + a_*square<Real>()(std::cos(M_PI*t+b_)));
-	}
-
-	Real GemanRoncoroniProcess::stdDeviation(Time t0, Real x0, Time dt) const {
-		const Volatility sig2t = sig2_+a_*square<Real>()(std::cos(M_PI*t0+b_));
-		
-		return std::sqrt(sig2t/(2*theta1_)*(1.0-std::exp(-2*theta1_*dt)));
-	}
-
-	Real GemanRoncoroniProcess::evolve(Time t0, Real x0, 
-									   Time dt, Real dw) const {
-	    // random number generator for the jump part 
-		if (!urng_) {
-		    typedef PseudoRandom::urng_type urng_type;
-			urng_ = boost::shared_ptr<urng_type>(
-			         new urng_type((unsigned long)(1234ul*dw+56789ul)));
-		}
-		Array du(3); 
-		du[0] = urng_->next().value; 
-		du[1] = urng_->next().value;
-
-		return evolve(t0, x0, dt, dw, du);
-	}
-
-	Real GemanRoncoroniProcess::evolve(Time t0, Real x0, Time dt, 
-									   Real dw, const Array& du) const {
-	    Real retVal;
-		const Time t = t0 + 0.5*dt;
-		const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_ +2*M_PI*t)
-									     + delta_*std::cos(zeta_+4*M_PI*t);
-		
-		const Real j = -1.0/theta3_
-						*std::log(1.0+du[1]*(std::exp(-theta3_*psi_)-1.0));
-
-		if (x0 <= mu+d_) {
-			retVal = StochasticProcess1D::evolve(t, x0, dt, dw);
-			
-			const Real jumpIntensity
-			    = theta2_*(2.0/(1+std::fabs(std::sin(M_PI*(t-tau_)/k_)))-1);			
+    Real GemanRoncoroniProcess::x0() const {
+        return x0_;
+    }
+
+    Real GemanRoncoroniProcess::drift(Time t, Real x) const {
+        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_+2*M_PI*t)
+                                         + delta_*std::cos(zeta_+4*M_PI*t);
+        const Real muPrime = beta_ - gamma_*2*M_PI*std::sin(eps_+2*M_PI*t)
+                                   - delta_*4*M_PI*std::sin(zeta_+4*M_PI*t);
+
+        return muPrime + theta1_*(mu-x);
+    }
+    
+    Real GemanRoncoroniProcess::diffusion(Time t, Real x) const {
+        return std::sqrt(sig2_ + a_*square<Real>()(std::cos(M_PI*t+b_)));
+    }
+
+    Real GemanRoncoroniProcess::stdDeviation(Time t0, Real x0, Time dt) const {
+        const Volatility sig2t = sig2_+a_*square<Real>()(std::cos(M_PI*t0+b_));
+        
+        return std::sqrt(sig2t/(2*theta1_)*(1.0-std::exp(-2*theta1_*dt)));
+    }
+
+    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, 
+                                       Time dt, Real dw) const {
+        // random number generator for the jump part 
+        if (!urng_) {
+            typedef PseudoRandom::urng_type urng_type;
+            urng_ = boost::shared_ptr<urng_type>(
+                     new urng_type((unsigned long)(1234ul*dw+56789ul)));
+        }
+        Array du(3); 
+        du[0] = urng_->next().value; 
+        du[1] = urng_->next().value;
+
+        return evolve(t0, x0, dt, dw, du);
+    }
+
+    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, Time dt, 
+                                       Real dw, const Array& du) const {
+        Real retVal;
+        const Time t = t0 + 0.5*dt;
+        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_ +2*M_PI*t)
+                                         + delta_*std::cos(zeta_+4*M_PI*t);
+        
+        const Real j = -1.0/theta3_
+                        *std::log(1.0+du[1]*(std::exp(-theta3_*psi_)-1.0));
+
+        if (x0 <= mu+d_) {
+            retVal = StochasticProcess1D::evolve(t, x0, dt, dw);
+            
+            const Real jumpIntensity
+                = theta2_*(2.0/(1+std::fabs(std::sin(M_PI*(t-tau_)/k_)))-1);            
             const Time interarrival = -1.0/jumpIntensity*std::log(du[0]);
 
-			if (interarrival < dt) {
-		        retVal += j;
-			}
-		}
-		else {
-			retVal = x0-j;
-		}
+            if (interarrival < dt) {
+                retVal += j;
+            }
+        }
+        else {
+            retVal = x0-j;
+        }
 
-		return retVal;
-	}
+        return retVal;
+    }
 }
diff --git a/ql/experimental/processes/gemanroncoroniprocess.hpp b/ql/experimental/processes/gemanroncoroniprocess.hpp
index 66a49ba94c..5ef4f95a7e 100755
--- a/ql/experimental/processes/gemanroncoroniprocess.hpp
+++ b/ql/experimental/processes/gemanroncoroniprocess.hpp
@@ -34,11 +34,11 @@ namespace QuantLib {
         \f[
         \begin{array}{rcl}
             dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
-				+\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
-				+\sigma dW(t) + h(E(t^-))dJ(t) 
-			\mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
-				+\delta \cos(\zeta + 4\pi t)
-		\end{array}
+                +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
+                +\sigma dW(t) + h(E(t^-))dJ(t) 
+            \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
+                +\delta \cos(\zeta + 4\pi t)
+        \end{array}
         \f]
 
         \ingroup processes
@@ -46,31 +46,31 @@ namespace QuantLib {
     class GemanRoncoroniProcess : public StochasticProcess1D {
       public:
         GemanRoncoroniProcess(Real x0, 
-							  Real alpha, Real beta, 
-							  Real gamma, Real delta, 
-							  Real eps, Real zeta, Real d, 
-							  Real k, Real tau,
-							  Real sig2, Real a, Real b,
-							  Real theta1, Real theta2, Real theta3,
-							  Real psi);
+                              Real alpha, Real beta, 
+                              Real gamma, Real delta, 
+                              Real eps, Real zeta, Real d, 
+                              Real k, Real tau,
+                              Real sig2, Real a, Real b,
+                              Real theta1, Real theta2, Real theta3,
+                              Real psi);
 
         Real x0() const;
         Real drift(Time t, Real x)     const;
         Real diffusion(Time t, Real x) const;
-		Real stdDeviation(Time t0, Real x0, Time dt)    const;
+        Real stdDeviation(Time t0, Real x0, Time dt)    const;
         Real evolve(Time t0, Real x0, Time dt, Real dw) const;
 
-		Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
+        Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
         
-	private:
-		const Real x0_;
-		const Real alpha_, beta_, gamma_, delta_;
-		const Real eps_, zeta_, d_; 
-		const Real k_, tau_;
-		const Real sig2_, a_, b_;
-		const Real theta1_, theta2_, theta3_;
-		const Real psi_;
-		mutable boost::shared_ptr<PseudoRandom::urng_type> urng_;
+    private:
+        const Real x0_;
+        const Real alpha_, beta_, gamma_, delta_;
+        const Real eps_, zeta_, d_; 
+        const Real k_, tau_;
+        const Real sig2_, a_, b_;
+        const Real theta1_, theta2_, theta3_;
+        const Real psi_;
+        mutable boost::shared_ptr<PseudoRandom::urng_type> urng_;
     };
 }
 

From 94b3f3051991df309b7e27d0e21676b38b0e6cf0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 31 May 2011 16:12:43 +0000
Subject: [PATCH 162/410] Merged revisions 1-HEAD of
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R01010x-branch
 into C:\Projects\QuantLib\trunk, respecting ancestry

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17760 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ChangeLog.txt                                 | 3009 ++++++++++++-----
 Docs/pages/history.docs                       |  105 +-
 Docs/pages/license.docs                       |   26 +-
 LICENSE.TXT                                   |   26 +-
 News.txt                                      |  180 +-
 QuantLib.dev                                  |   23 +-
 QuantLib_vc10.vcxproj                         |    2 +
 QuantLib_vc10.vcxproj.filters                 |    6 +
 QuantLib_vc7.vcproj                           |    6 +
 QuantLib_vc8.vcproj                           |    8 +
 QuantLib_vc9.vcproj                           |   24 +-
 ql/cashflows/simplecashflow.hpp               |   50 +
 ql/experimental/credit/riskybond.cpp          |    8 +-
 .../finitedifferences/fdmsimple2dbssolver.hpp |    1 +
 ql/experimental/math/claytoncopularng.hpp     |    2 +
 .../math/farliegumbelmorgensterncopularng.hpp |    2 +
 ql/experimental/math/frankcopularng.hpp       |    2 +
 .../extendedornsteinuhlenbeckprocess.cpp      |  204 +-
 .../extendedornsteinuhlenbeckprocess.hpp      |   10 +-
 .../shortrate/generalizedhullwhite.cpp        |  170 +-
 .../generalizedornsteinuhlenbeckprocess.cpp   |   62 +-
 .../generalizedornsteinuhlenbeckprocess.hpp   |    6 +-
 ql/experimental/variancegamma/fftengine.hpp   |    2 +-
 .../variancegamma/variancegammamodel.cpp      |   46 +-
 .../variancegamma/variancegammamodel.hpp      |   50 +-
 ql/indexes/ibor/Makefile.am                   |    4 +-
 ql/indexes/ibor/all.hpp                       |    1 +
 ql/indexes/ibor/sonia.cpp                     |   32 +
 ql/indexes/ibor/sonia.hpp                     |   40 +
 ql/indexes/swap/chfliborswap.cpp              |   30 +-
 ql/indexes/swap/chfliborswap.hpp              |    5 +-
 ql/indexes/swap/gbpliborswap.cpp              |   33 +-
 ql/indexes/swap/gbpliborswap.hpp              |    5 +-
 ql/indexes/swap/jpyliborswap.cpp              |   44 +-
 ql/indexes/swap/jpyliborswap.hpp              |    8 +-
 ql/indexes/swap/usdliborswap.cpp              |   42 +-
 ql/indexes/swap/usdliborswap.hpp              |    8 +-
 ql/instruments/bond.cpp                       |   14 +-
 ql/instruments/makevanillaswap.cpp            |   38 +-
 ql/math/array.hpp                             |    6 +
 ql/math/interpolations/cubicinterpolation.hpp |   14 +-
 ql/math/matrix.hpp                            |    6 +
 .../evolvers/lognormalfwdrateiballand.cpp     |    2 +-
 .../evolvers/lognormalfwdrateiballand.hpp     |    2 +-
 ql/termstructures/yield/ratehelpers.cpp       |   54 +
 ql/termstructures/yield/ratehelpers.hpp       |   10 +
 ql/userconfig.hpp                             |    2 +-
 ql/utilities/dataformatters.cpp               |    2 +-
 test-suite/cashflows.cpp                      |   34 +-
 test-suite/commodityunitofmeasure.cpp         |   18 +-
 test-suite/inflation.cpp                      |   46 +-
 test-suite/inflation.hpp                      |    2 +-
 test-suite/testsuite.dev                      |    2 +-
 test-suite/timeseries.cpp                     |   11 +-
 54 files changed, 3201 insertions(+), 1344 deletions(-)
 create mode 100644 ql/indexes/ibor/sonia.cpp
 create mode 100644 ql/indexes/ibor/sonia.hpp

diff --git a/ChangeLog.txt b/ChangeLog.txt
index 99ad4b3c7d..7e4af2c6eb 100644
--- a/ChangeLog.txt
+++ b/ChangeLog.txt
@@ -1,1406 +1,2639 @@
-2010-04-16 13:27  Luigi Ballabio
+2011-03-22 11:33  Ferdinando Ametrano
 
-	* [r17251] ql/Makefile.am, ql/quantlib.hpp:
+	* [r17672] ql/termstructures/yield/ratehelpers.cpp,
+	  ql/termstructures/yield/ratehelpers.hpp:
 	  
-	  Amendment of revision 17249: fixed name of newly-added file in
-	  Makefile.
+	  added IMM-start IMM-end FutureRateHelper constructors
 
-2010-04-16 12:24  Luigi Ballabio
+2011-03-02 18:35  Ferdinando Ametrano
 
-	* [r17250] Contributors.txt, News.txt, QuantLib.dev,
-	  QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
-	  ql/Makefile.am, ql/config.sun.hpp, ql/instruments/makecapfloor.cpp,
-	  ql/instruments/makeyoyinflationcapfloor.cpp, ql/qldefines.hpp,
-	  ql/termstructures/inflation/seasonality.cpp:
-	  
-	  Bug fix: QuantLib now compiles with Sun Studio on Solaris.
+	* [r17657] ql/instruments/makevanillaswap.cpp:
 	  
-	  Unlike gcc and VC++, Sun Studio does not make math functions
-	  available
-	  in the global namespace when including the <cmath> header. Now we
-	  added
-	  a few using directives for them, thus reproducing the other
-	  compilers'
-	  bad behavior. Not extremely clean, but it sure beats hunting the
-	  sources
-	  for all instances of unqualified math functions before each release.
-	  
-	  Other minor fixes include reordering a couple of expressions so that
-	  they're more palatable to Sun Studio (for which v.end(), where v is
-	  a std::vector, is not an lvalue) and adding the std:: qualification
-	  to a function call.
-	  
-	  Thanks to Norbert Irmer for the report and for testing the changes.
+	  avoided hard-coded EUR conventions
 
-2010-04-16 12:24  Luigi Ballabio
+2011-03-02 13:02  Luigi Ballabio
 
-	* [r17249] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
-	  QuantLib_vc9.vcproj, acinclude.m4, configure.ac, ql/Makefile.am,
-	  ql/config.ansi.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp,
-	  ql/mathconstants.hpp, ql/qldefines.hpp, ql/quantlib.hpp:
+	* [r17652] ChangeLog.txt, Docs/pages/history.docs, News.txt:
 	  
-	  Update: unified treatment of missing math constants.
-	  
-	  Previously, the presence of needed constants such as M_PI was
-	  checked
-	  in ./configure as well as in several compiler-specific configuration
-	  files (sometimes without even including the <cmath> header first.)
-	  It is now checked in a single header file.
+	  Updated changelog and news
 
-2010-04-16 12:21  Luigi Ballabio
+2011-03-02 12:44  Luigi Ballabio
 
-	* [r17248] ql/instruments/forwardvanillaoption.hpp,
-	  ql/pricingengines/forward/forwardengine.hpp:
+	* [r17651] ql/cashflows/simplecashflow.hpp,
+	  ql/experimental/credit/riskybond.cpp, ql/instruments/bond.cpp:
 	  
-	  Bug fix: moved method definition to correct header file.
+	  Added specialized cash flow classes.
 	  
-	  Although ForwardOptionArguments<A> was declared in the header
-	  forwardvanillaoption.hpp, its validate method was defined in
-	  forwardengine.hpp. The definition is now in the correct file.
-	  Thanks to Norbert Irmer for the bug report.
+	  The new classes have the same functionality of SimpleCashFlow
+	  (from which they inherit) but make it easier for visitors to
+	  distinguish cash flows.
 
-2010-04-16 12:20  Luigi Ballabio
+2011-03-02 11:51  Ferdinando Ametrano
 
-	* [r17247] ql/experimental/credit/defaultevent.cpp,
-	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
-	  ql/experimental/finitedifferences/fdmhestonsolver.cpp:
-	  
-	  Bug fix: corrected wrong constructor signatures in cpp files.
+	* [r17649] ql/indexes/swap/chfliborswap.cpp,
+	  ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/gbpliborswap.cpp,
+	  ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.cpp,
+	  ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.cpp,
+	  ql/indexes/swap/usdliborswap.hpp:
 	  
-	  A few constructors were declared as taking doubles and defined as
-	  taking const doubles. Strangely enough, neither gcc nor VC++ had
-	  anything to say about that.
-	  Thanks to Norbert Irmer for the bug report.
+	  added exogenous discounting in swap indexes
 
-2010-04-13 08:50  Luigi Ballabio
+2011-03-02 09:49  Ferdinando Ametrano
 
-	* [r17244] Contributors.txt, News.txt,
-	  ql/cashflows/conundrumpricer.cpp, ql/cashflows/couponpricer.cpp,
-	  ql/cashflows/inflationcouponpricer.cpp,
-	  ql/cashflows/rangeaccrual.cpp,
-	  ql/experimental/coupons/subperiodcoupons.cpp,
-	  test-suite/cashflows.cpp, test-suite/cashflows.hpp:
-	  
-	  Bug fix: checked dynamic_cast result to preven access violation.
+	* [r17647] ql/indexes/swap/gbpliborswap.cpp:
 	  
-	  Regression test added.
-	  Thanks to Francesco Perissin for the bug report.
+	  fixed bug
 
-2010-04-09 16:07  Luigi Ballabio
+2011-03-01 12:19  Luigi Ballabio
 
-	* [r17242] test-suite/creditdefaultswap.cpp:
+	* [r17644] ql/math/array.hpp, ql/math/matrix.hpp:
 	  
-	  Test fix: ensure that today's date is a business day.
+	  Prevented assertion error in VC++10 debug mode.
 	  
-	  Thanks to Gary Kennedy for reporting the issue.
+	  VC++10 checks the destination of a std::copy even if nothing
+	  will be copied (as in copy(begin, begin+0, NULL).)
 
-2010-04-09 13:19  Luigi Ballabio
+2011-02-28 14:26  Luigi Ballabio
 
-	* [r17241] News.txt,
-	  ql/termstructures/credit/defaultprobabilityhelpers.cpp,
-	  test-suite/defaultprobabilitycurves.cpp:
-	  
-	  Bug fix: properly account for protection-start date.
+	* [r17640] ChangeLog.txt:
 	  
-	  Previously, the protection-start date was taken into account when
-	  calculating the CDS coupon schedule, but not when calculating its
-	  value (a few days of protection could be lost.)
+	  Updated changelog
 
-2010-04-09 13:17  Luigi Ballabio
+2011-02-28 12:58  Luigi Ballabio
 
-	* [r17240] ql/instruments/creditdefaultswap.cpp:
+	* [r17639] Docs/pages/history.docs:
 	  
-	  Bug fix: comparison between protection start and accrual start was
-	  incorrect.
+	  Updated release date.
 
-2010-04-09 13:15  Luigi Ballabio
+2011-02-28 12:57  Luigi Ballabio
 
-	* [r17239] test-suite/defaultprobabilitycurves.cpp:
+	* [r17638] Docs/pages/history.docs, News.txt:
 	  
-	  Test fix: correct schedule calculation for the repriced CDS.
-	  
-	  Thanks to Kevin Kim for reporting the issue.
+	  Updated news.
 
-2010-04-07 13:12  Luigi Ballabio
+2011-02-28 12:56  Luigi Ballabio
 
-	* [r17238] Announce.txt, configure.ac, ql/version.hpp:
+	* [r17637] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, ql/indexes/ibor/all.hpp:
 	  
-	  Increased version number to 1.0.1.
+	  Added new files to all projects.
 
-2010-04-07 08:02  Luigi Ballabio
+2011-02-25 18:42  Ferdinando Ametrano
 
-	* [r17237] ChangeLog.txt, News.txt:
+	* [r17635] ql/indexes/ibor/Makefile.am:
 	  
-	  Updated ChangeLog and News.
+	  added Sonia class
 
-2010-04-06 13:38  Luigi Ballabio
+2011-02-25 18:40  Ferdinando Ametrano
 
-	* [r17236] ql/patterns/singleton.hpp:
+	* [r17634] QuantLib_vc9.vcproj, ql/indexes/ibor/sonia.cpp,
+	  ql/indexes/ibor/sonia.hpp:
 	  
-	  Fix: manage Singleton correctly in .Net (thanks to Nathan Abbott.)
+	  added Sonia class
 
-2010-03-08 08:59  Luigi Ballabio
+2011-02-17 15:09  Ferdinando Ametrano
 
-	* [r17212] ql/experimental/callablebonds/callablebond.cpp:
-	  
-	  Bug fix: create exercise-date vector correctly.
+	* [r17622] ql/math/interpolations/cubicinterpolation.hpp:
 	  
-	  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.
+	  fixed (ignorance) typo
 
-2010-03-08 08:57  Luigi Ballabio
+2011-01-31 10:38  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:
+	* [r17608] ChangeLog.txt, Docs/pages/history.docs, News.txt:
 	  
-	  Update: added 2010 moving holidays for Eastern calendars.
+	  Updated changelog and news.
 
-2010-03-01 09:32  Luigi Ballabio
+2011-01-26 09:00  Ferdinando Ametrano
 
-	* [r17180] ql/instruments/zerocouponinflationswap.cpp,
-	  ql/instruments/zerocouponinflationswap.hpp:
+	* [r17600] ql/math/interpolations/cubicinterpolation.hpp:
 	  
-	  Bug fix: added missing method implementations.
+	  fixed typos
 
-2010-03-01 09:32  Luigi Ballabio
+2011-01-25 12:23  Luigi Ballabio
 
-	* [r17179] ql/cashflows/indexedcashflow.hpp:
-	  
-	  Bug fix: let an IndexedCashFlow observe its index.
+	* [r17590] test-suite/testsuite.dev:
 	  
-	  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.
+	  Fixed Dev-C++ project.
 
-2010-02-24 11:22  Luigi Ballabio
+2010-12-20 09:41  Luigi Ballabio
 
-	* [r17170] Docs/Makefile.am:
-	  
+	* [r17562] test-suite/quantlibbenchmark.cpp:
 	  
+	  Backported revision 17560 from trunk.
 
-2010-02-24 11:10  Luigi Ballabio
+2010-12-15 16:29  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:
+	* [r17556] ql/userconfig.hpp:
 	  
-	  Replaced unlicensed font in logo.
+	  Reverted macro to default value
 
-2010-02-23 15:08  Luigi Ballabio
+2010-12-15 16:28  Luigi Ballabio
 
-	* [r17153] ChangeLog.txt:
+	* [r17555] ql/utilities/dataformatters.cpp:
 	  
-	  Updated ChangeLogs.
+	  Avoided warning on VC++2010
 
-2010-02-23 14:33  Luigi Ballabio
+2010-12-15 16:27  Luigi Ballabio
 
-	* [r17148] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,
-	  ql/pricingengines/bond/bondfunctions.cpp,
-	  ql/pricingengines/bond/bondfunctions.hpp:
-	  
-	  Backported revision 17145 from trunk.
+	* [r17554] test-suite/timeseries.cpp:
 	  
-	  - fixed bug in the previousAmount and previousRate functions;
-	  - switched to reverse iterator signature for previousXXX functions.
+	  Disable test for older Boost versions that don't support it
 
-2010-02-23 14:33  Luigi Ballabio
+2010-12-14 16:10  Luigi Ballabio
 
-	* [r17147] ql/pricingengines/bond/bondfunctions.cpp:
-	  
-	  Backported revision 17144 from trunk.
+	* [r17553]
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.cpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.hpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  test-suite/barrieroption.cpp, test-suite/europeanoption.cpp,
+	  test-suite/fdheston.cpp, test-suite/fdmlinearop.cpp,
+	  test-suite/hybridhestonhullwhiteprocess.cpp:
 	  
-	  Removed tradability requirement for next/previous inspectors.
+	  Backported bug fix from revision 17548 to 1.1.x branch.
 
-2010-02-23 14:33  Luigi Ballabio
+2010-12-14 14:17  Luigi Ballabio
 
-	* [r17146] ql/instruments/bond.cpp:
-	  
-	  Backported revision 17143 from trunk.
+	* [r17552]
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp,
+	  ql/experimental/shortrate/generalizedhullwhite.cpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp,
+	  ql/experimental/variancegamma/fftengine.hpp,
+	  ql/experimental/variancegamma/variancegammamodel.cpp,
+	  ql/experimental/variancegamma/variancegammamodel.hpp,
+	  test-suite/cashflows.cpp, test-suite/commodityunitofmeasure.cpp,
+	  test-suite/inflation.cpp, test-suite/inflation.hpp:
 	  
-	  Fixed "null maturity date" wrong behavior.
+	  Replaced hard tabs with spaces.
 
-2010-02-17 15:32  Luigi Ballabio
+2010-12-14 14:17  Luigi Ballabio
 
-	* [r17115] ChangeLog.txt:
+	* [r17551] Docs/pages/license.docs, LICENSE.TXT:
 	  
-	  Updated ChangeLog
+	  Updated list of copyright holders
 
-2010-02-17 15:09  Luigi Ballabio
+2010-12-14 14:16  Luigi Ballabio
 
-	* [r17114] ql/cashflows/cashflows.cpp:
-	  
-	  Backported revision 17112 from trunk.
+	* [r17550]
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp:
 	  
-	  Cash flows on the same date should be aggregated in the return
-	  value of CashFlows::nextCashFlowAmount and previous CashFlowAmount.
+	  Fixed format of copyright attribution.
 
-2010-02-10 09:09  Luigi Ballabio
+2010-12-14 14:16  Luigi Ballabio
 
-	* [r17087] Examples/MarketModels/MarketModels.cpp:
-	  
-	  Added sessionId() implementation (thanks to Nathan Abbott.)
+	* [r17549]
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  ql/experimental/math/claytoncopularng.hpp,
+	  ql/experimental/math/farliegumbelmorgensterncopularng.hpp,
+	  ql/experimental/math/frankcopularng.hpp:
+	  
+	  Ensured self-consistency of headers.
+
+2010-12-10 10:58  Luigi Ballabio
+
+	* [r17542]
+	  
+	  Release branch for the 1.1.x series.
+
+2010-12-10 10:49  Luigi Ballabio
+
+	* [r17541] Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj,
+	  Examples/Bonds/Bonds_vc10.vcxproj, Examples/CDS/CDS_vc10.vcxproj,
+	  Examples/CallableBonds/CallableBonds_vc10.vcxproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj,
+	  Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj,
+	  Examples/EquityOption/EquityOption_vc10.vcxproj,
+	  Examples/FRA/FRA_vc10.vcxproj,
+	  Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj,
+	  Examples/MarketModels/MarketModels_vc10.vcxproj,
+	  Examples/Replication/Replication_vc10.vcxproj,
+	  Examples/Repo/Repo_vc10.vcxproj, Examples/Swap/Swap_vc10.vcxproj,
+	  QuantLib_vc10.sln, QuantLib_vc10.vcxproj, man/MarketModels.1,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.hpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.cpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.hpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp,
+	  ql/models/equity/piecewisetimedependenthestonmodel.cpp,
+	  ql/models/equity/piecewisetimedependenthestonmodel.hpp,
+	  ql/models/marketmodels/products/multistep/multisteptarn.cpp,
+	  ql/models/marketmodels/products/multistep/multisteptarn.hpp,
+	  ql/pricingengines/basket/kirkengine.cpp,
+	  ql/pricingengines/basket/kirkengine.hpp,
+	  ql/pricingengines/vanilla/analyticptdhestonengine.cpp,
+	  ql/pricingengines/vanilla/analyticptdhestonengine.hpp,
+	  test-suite/testsuite_vc10.vcxproj:
 	  
-	  The function is required when QL_ENABLE_SESSIONS is defined.
+	  Fixed SVN properties
 
-2010-02-10 09:09  Luigi Ballabio
+2010-12-03 16:38  Luigi Ballabio
 
-	* [r17086] Announce.txt, configure.ac, ql/version.hpp:
+	* [r17533] ql/termstructures/volatility/swaption/swaptionvolcube.cpp:
 	  
-	  Increased version number to 1.0.
-
-2010-02-03 13:42  Ferdinando Ametrano
-
-	* [r17060] ql/instruments/makeois.cpp:
+	  If available, use discounting curve when creating indexes.
 	  
-	  fixed bug
+	  Thanks to Peter Caspers.
 
-2010-02-02 16:44  Luigi Ballabio
+2010-12-03 16:38  Luigi Ballabio
 
-	* [r17058] ql/termstructures/inflation/inflationhelpers.cpp,
-	  ql/termstructures/inflation/inflationhelpers.hpp:
+	* [r17532] Contributors.txt, Docs/pages/authors.docs,
+	  ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp:
 	  
-	  Correctly pass the arguments as const references.
+	  Added inspector for discounting curve (thanks to Peter Caspers.)
 
-2010-01-29 15:17  Luigi Ballabio
+2010-12-02 17:31  Ferdinando Ametrano
 
-	* [r17056] ql/instruments/zerocouponinflationswap.cpp,
-	  ql/instruments/zerocouponinflationswap.hpp:
+	* [r17531] ql/instruments/assetswap.cpp:
 	  
-	  Passing argument by const reference.
+	  fixed default floatingDayCounter handling
 
-2010-01-27 18:37  Ferdinando Ametrano
+2010-12-02 11:52  Luigi Ballabio
 
-	* [r17051] ql/instruments/makeois.cpp:
+	* [r17529] ql/termstructures/volatility/sabr.cpp:
 	  
-	  fixed bug: standard EONIA OIS swap EOM convention is not enforced
-	  for tenor longer than 2Y, and it was poorly enforced for shorter
-	  tenor
-
-2010-01-27 17:53  Ferdinando Ametrano
-
-	* [r17050] ql/termstructures/yield/oisratehelper.cpp:
+	  Replaced previous formula with simpler Taylor expansion.
 	  
-	  fixed indentation
-
-2010-01-27 13:00  Luigi Ballabio
-
-	* [r17048] Announce.txt, configure.ac, ql/version.hpp:
+	  The new formula is more easily verifiable and yields values
+	  which are not noticeably different.
 	  
-	  Increased version number to 1.0b3.
+	  Thanks to Eduardo Alonso for the contribution.
 
-2010-01-27 12:58  Luigi Ballabio
+2010-12-02 11:52  Luigi Ballabio
 
-	* [r17047] ql/instruments/bond.cpp:
+	* [r17528] ql/experimental/finitedifferences/all.hpp:
 	  
-	  Added guards against division by null notional.
+	  Updated all.hpp file.
 
-2010-01-27 12:58  Luigi Ballabio
+2010-12-01 17:14  Luigi Ballabio
 
-	* [r17046] ql/math/distributions/normaldistribution.cpp:
+	* [r17527] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj:
 	  
-	  Fixed indentation.
+	  Updated Windows projects.
 
-2010-01-26 11:52  Ferdinando Ametrano
+2010-11-30 17:30  Klaus Spanderen
 
-	* [r17041]
-	  ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp:
+	* [r17526] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.hpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.cpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.hpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.cpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.hpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp,
+	  ql/experimental/finitedifferences/fdmhestonop.cpp,
+	  ql/experimental/finitedifferences/fdmhestonop.hpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/models/equity/batesmodel.cpp, ql/models/equity/batesmodel.hpp,
+	  test-suite/batesmodel.cpp, test-suite/fdmlinearop.cpp:
 	  
-	  forwarded missing virtual method
+	  added Bates engine based on the partial integro differential
+	  equation.
 
-2010-01-22 10:12  Luigi Ballabio
+2010-11-30 16:45  Klaus Spanderen
 
-	* [r17026] Readme.txt:
+	* [r17525] ql/math/linearleastsquaresregression.hpp,
+	  test-suite/linearleastsquaresregression.cpp:
 	  
-	  Updated ReadMe.
+	  fixed bug in multi dim linear regression object
 
-2010-01-22 10:11  Luigi Ballabio
+2010-11-30 10:26  Luigi Ballabio
 
-	* [r17025] ql/models/marketmodels/products/multiproductcomposite.cpp:
+	* [r17524] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/Makefile.am, ql/experimental/math/Makefile.am,
+	  ql/experimental/math/all.hpp, ql/experimental/math/zigguratrng.cpp,
+	  ql/experimental/math/zigguratrng.hpp:
 	  
-	  Backported revision 17024 from trunk.
+	  Added Ziggurat RNG (thanks to Kakhkhor Abdijalilov.)
 
-2010-01-21 13:56  Luigi Ballabio
+2010-11-29 14:58  Luigi Ballabio
 
-	* [r17020] ChangeLog.txt, Docs/pages/history.docs, News.txt:
+	* [r17519] ql/experimental/convertiblebonds/convertiblebond.cpp:
 	  
-	  Updated ChangeLog and News
+	  Added check on callability dates.
 
-2010-01-14 11:45  Luigi Ballabio
+2010-11-29 14:56  Luigi Ballabio
 
-	* [r17011] man/BermudanSwaption.1, man/Bonds.1, man/CDS.1,
-	  man/CallableBonds.1, man/ConvertibleBonds.1, man/DiscreteHedging.1,
-	  man/EquityOption.1, man/FRA.1, man/FittedBondCurve.1,
-	  man/Makefile.am, man/MarketModels.1, man/Replication.1, man/Repo.1,
-	  man/SwapValuation.1:
+	* [r17518] ql/pricingengines/latticeshortratemodelengine.hpp,
+	  ql/pricingengines/swaption/treeswaptionengine.cpp,
+	  ql/pricingengines/swaption/treeswaptionengine.hpp:
 	  
-	  Backported revision 17004 from trunk.
+	  Added constructor taking a Handle to a model.
 
-2010-01-14 11:44  Luigi Ballabio
+2010-11-29 14:56  Luigi Ballabio
 
-	* [r17010]
-	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp:
+	* [r17517] ql/instruments/zerocouponinflationswap.cpp,
+	  ql/instruments/zerocouponinflationswap.hpp:
 	  
-	  Backported revisions 17008/17009 from trunk.
+	  Added more inspectors for swap data.
 
-2010-01-13 12:37  Ferdinando Ametrano
+2010-11-29 14:56  Luigi Ballabio
 
-	* [r16997] QuantLib.dev:
+	* [r17516] ql/termstructures/inflationtermstructure.cpp,
+	  ql/termstructures/inflationtermstructure.hpp:
 	  
-	  updated version number
+	  Added public Time-based interface.
 
-2010-01-13 11:54  Luigi Ballabio
+2010-11-29 14:55  Luigi Ballabio
 
-	* [r16996] Announce.txt, configure.ac, ql/version.hpp:
+	* [r17515] ql/indexes/inflation/euhicp.hpp:
 	  
-	  Increased version number to 1.0b2.
+	  Added HICPXT indexes.
 
-2010-01-12 11:31  Luigi Ballabio
+2010-11-29 14:55  Luigi Ballabio
 
-	* [r16992]
-	  ql/models/marketmodels/callability/swapforwardbasissystem.hpp:
+	* [r17514] ql/termstructures/volatility/optionlet/all.hpp:
 	  
-	  Fixed include guard (thanks to Leibniz777.)
+	  Regenerated all.hpp file with ordered headers.
 
-2010-01-08 15:53  Luigi Ballabio
+2010-11-29 14:55  Luigi Ballabio
 
-	* [r16991] ChangeLog.txt:
+	* [r17513] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/time/calendars/Makefile.am, ql/time/calendars/all.hpp,
+	  ql/time/calendars/russia.cpp, ql/time/calendars/russia.hpp:
 	  
-	  Disabled keyword substitution.
+	  Added Russian calendar.
 
-2010-01-08 15:01  Luigi Ballabio
+2010-11-28 18:19  Klaus Spanderen
 
-	* [r16990] ql/processes/hybridhestonhullwhiteprocess.cpp:
+	* [r17512] ql/pricingengines/vanilla/batesengine.cpp:
 	  
-	  Backported revision 16989 from trunk.
+	  code formatting
 
-2010-01-07 17:21  Luigi Ballabio
+2010-11-23 15:00  Luigi Ballabio
 
-	* [r16988] Examples/MarketModels/Makefile.am:
+	* [r17509] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj:
 	  
-	  Added projects for MarketModels example to distributed tarball.
+	  Updated Windows projects.
 
-2010-01-07 14:05  Luigi Ballabio
+2010-11-23 15:00  Luigi Ballabio
 
-	* [r16985] test-suite/testsuite_vc9.vcproj:
+	* [r17508] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp:
 	  
-	  reset warning level back to regular level 3 and re-enabled
-	  4512,4511,4505 warnings
+	  Added missing file to Makefile.
 
-2010-01-07 13:47  Ferdinando Ametrano
+2010-11-23 10:07  Luigi Ballabio
 
-	* [r16984] QuantLib_vc9.vcproj:
+	* [r17507]
+	  ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp:
 	  
-	  reset warning level back to regular level 3 and re-enabled
-	  4512,4511,4505 warnings
+	  Pass arguments to base-class constructor in the correct order.
+	  
+	  Thanks to Leon Sit for the heads-up.
 
-2010-01-07 11:07  Luigi Ballabio
+2010-11-23 10:07  Luigi Ballabio
 
-	* [r16983] ql/termstructures/inflation/seasonality.cpp,
-	  ql/termstructures/inflation/seasonality.hpp,
-	  ql/termstructures/inflationtermstructure.cpp:
+	* [r17506] ql/math/interpolations/multicubicspline.hpp:
 	  
-	  Replaced raw pointers with references in Seasonality interface.
+	  Removed illegal mutable qualifier from references.
 	  
-	  This might make it easier to use with shared pointers.
+	  Thanks to Leon Sit for the heads-up.
 
-2010-01-07 11:07  Luigi Ballabio
+2010-11-23 10:07  Luigi Ballabio
 
-	* [r16982] ql/experimental/inflation/yoycapfloortermpricesurface.hpp,
-	  ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp,
-	  ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp:
-	  
-	  Avoided a few more warnings on VC9.
+	* [r17505] ql/experimental/credit/recursivecdoengine.hpp,
+	  ql/math/matrixutilities/factorreduction.cpp,
+	  ql/math/matrixutilities/factorreduction.hpp:
 	  
-	  The inflation-index fixings should eventually take care of their
-	  boolean argument, but that can wait. The issue was documented.
+	  Pass matrix by copy to avoid modifying the input.
 	  
-	  The other warnings were due to unused arguments in inherited
-	  interfaces or to the compiler being unable to follow a loop logic.
-	  The code was correct.
+	  This also solves a problem with passing a temporary as an lvalue.
 
-2009-12-30 16:28  Luigi Ballabio
+2010-11-23 10:06  Luigi Ballabio
 
-	* [r16975] ql/experimental/convertiblebonds/tflattice.hpp:
+	* [r17504] ql/experimental/credit/recursivecdoengine.hpp:
 	  
-	  Fixed parameter types.
+	  Avoided forbidden conversion between handles to different types.
 	  
-	  The function definition used a different typedef.
+	  Thanks to Leon Sit for the heads-up.
 
-2009-12-30 13:16  Luigi Ballabio
+2010-11-22 15:10  Luigi Ballabio
 
-	* [r16966] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,
-	  ql/pricingengines/bond/bondfunctions.cpp,
-	  ql/pricingengines/bond/bondfunctions.hpp:
+	* [r17500] Contributors.txt, Docs/pages/authors.docs:
 	  
-	  Reverted revision 16952.
-	  
-	  We don't need to introduce this on the 1.0 branch.
+	  Exported IborCoupon pricers (thanks to Lluis Pujol Bajador.)
 
-2009-12-29 11:31  Ferdinando Ametrano
+2010-11-22 11:28  Klaus Spanderen
 
-	* [r16952] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,
-	  ql/pricingengines/bond/bondfunctions.cpp,
-	  ql/pricingengines/bond/bondfunctions.hpp:
+	* [r17495]
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  test-suite/barrieroption.cpp, test-suite/europeanoption.cpp,
+	  test-suite/fdheston.cpp,
+	  test-suite/hybridhestonhullwhiteprocess.cpp:
 	  
-	  exposed accrualDays interface
+	  code refactoring: introduced FdmSchemeDesc to shorten the parameter
+	  lists
 
-2009-12-29 11:24  Ferdinando Ametrano
+2010-11-22 11:26  Klaus Spanderen
 
-	* [r16951] ql/cashflows/coupon.cpp, ql/cashflows/coupon.hpp:
+	* [r17494]
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp:
 	  
-	  fixed return value
+	  code refactoring: introduced FdmSchemeDesc to shorten the parameter
+	  lists
 
-2009-12-29 11:24  Luigi Ballabio
+2010-11-22 11:24  Klaus Spanderen
 
-	* [r16950]
-	  ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp:
+	* [r17493]
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp,
+	  test-suite/fdmlinearop.cpp:
 	  
-	  Fixed initialization order.
+	  code refactoring: introduced FdmSchemeDesc to shorten the parameter
+	  lists
 
-2009-12-28 15:14  Luigi Ballabio
+2010-11-22 11:11  Luigi Ballabio
 
-	* [r16947] test-suite/interpolations.cpp:
+	* [r17492] ql/experimental/variancegamma/fftengine.cpp,
+	  ql/experimental/variancegamma/fftengine.hpp,
+	  test-suite/variancegamma.cpp:
 	  
-	  Fixed test-case output.
+	  Cleaned up types in vanilla-option FFT engine (thanks to Adrian
+	  O'Neill.)
 
-2009-12-28 15:14  Luigi Ballabio
+2010-11-22 10:03  Luigi Ballabio
 
-	* [r16946]
-	  ql/experimental/finitedifferences/sparseilupreconditioner.cpp,
-	  ql/experimental/mcbasket/adaptedpathpayoff.cpp,
-	  ql/experimental/mcbasket/pathmultiassetoption.hpp,
-	  ql/models/marketmodels/curvestates/lmmcurvestate.cpp,
-	  ql/models/marketmodels/curvestates/lmmcurvestate.hpp,
-	  ql/models/marketmodels/proxygreekengine.cpp:
+	* [r17490]
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp:
 	  
-	  Fixed hard tabs and other whitespace.
+	  Removed namespace ambiguity in VC++10
 
-2009-12-28 15:14  Luigi Ballabio
+2010-11-21 17:08  Klaus Spanderen
 
-	* [r16945] Docs/pages/license.docs, LICENSE.TXT:
+	* [r17489] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.cpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.hpp,
+	  test-suite/basketoption.cpp:
 	  
-	  Updated list of copyright holders.
+	  added 2 dimensional finite difference engine for Black-Scholes
+	  processes (incl. local vol).
 
-2009-12-28 15:14  Luigi Ballabio
+2010-11-21 16:59  Klaus Spanderen
 
-	* [r16944]
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp:
+	* [r17488]
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp:
 	  
-	  Reordeded inclusions.
+	  removed useless include
 
-2009-12-28 10:48  Luigi Ballabio
+2010-11-21 16:56  Klaus Spanderen
 
-	* [r16942] Examples/MarketModels/MarketModels.cpp,
-	  Examples/MarketModels/MarketModels.dev,
-	  Examples/MarketModels/MarketModels_vc7.vcproj,
-	  Examples/MarketModels/MarketModels_vc8.vcproj,
-	  Examples/MarketModels/MarketModels_vc9.vcproj,
-	  ql/experimental/finitedifferences/sparseilupreconditioner.hpp,
-	  ql/experimental/mcbasket/adaptedpathpayoff.cpp,
-	  ql/experimental/mcbasket/adaptedpathpayoff.hpp,
-	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp,
-	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp,
-	  ql/experimental/mcbasket/mcamericanpathengine.hpp,
-	  ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp,
-	  ql/models/marketmodels/callability/swapforwardbasissystem.cpp,
-	  ql/models/marketmodels/callability/swapforwardbasissystem.hpp,
-	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp,
-	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp,
-	  ql/models/marketmodels/products/multistep/multistepinversefloater.cpp,
-	  ql/models/marketmodels/products/multistep/multistepinversefloater.hpp,
-	  ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp,
-	  ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.cpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.cpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp:
+	* [r17487]
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.hpp:
 	  
-	  Fixed svn properties.
+	  removed useless include
 
-2009-12-24 12:15  Luigi Ballabio
+2010-11-19 16:23  Luigi Ballabio
 
-	* [r16939] ql/pricingengines/credit/integralcdsengine.cpp,
-	  ql/pricingengines/credit/midpointcdsengine.cpp,
-	  test-suite/creditdefaultswap.cpp:
+	* [r17486] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj:
 	  
-	  Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.)
+	  Updated VC++ and Dev-C++ projects.
+
+2010-11-19 15:53  Luigi Ballabio
+
+	* [r17485] ql/math/randomnumbers/knuthuniformrng.cpp,
+	  ql/math/randomnumbers/knuthuniformrng.hpp:
 	  
-	  Previously, fair-upfront calculation required a non-null upfront
-	  to begin with. This is no longer the case.
+	  Knuth RNG is now safely copyable (thanks to Slava Mazur.)
 
-2009-12-24 12:15  Luigi Ballabio
+2010-11-19 14:56  Luigi Ballabio
 
-	* [r16938] ql/time/dategenerationrule.cpp,
-	  ql/time/dategenerationrule.hpp, ql/time/schedule.cpp:
+	* [r17484] ql/experimental/processes/Makefile.am,
+	  ql/experimental/processes/all.hpp,
+	  ql/experimental/processes/vegastressedblackscholesprocess.cpp,
+	  ql/experimental/processes/vegastressedblackscholesprocess.hpp:
 	  
-	  Added new date-generation rule for CDS (thanks to Jose Aparicio.)
+	  Added experimental Black-Scholes process with support for vega
+	  stress test.
 	  
-	  With the new rule, the Schedule constructor computes the correct
-	  start date as per Big Bang conventions.
+	  Thanks to Michael Heckl for the contribution.
 
-2009-12-22 15:17  Luigi Ballabio
+2010-11-19 14:56  Luigi Ballabio
 
-	* [r16931] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
-	  QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am,
-	  ql/experimental/all.hpp, ql/experimental/exoticoptions,
-	  ql/experimental/exoticoptions/Makefile.am,
-	  ql/experimental/exoticoptions/all.hpp,
-	  ql/experimental/exoticoptions/everestoption.cpp,
-	  ql/experimental/exoticoptions/everestoption.hpp,
-	  ql/experimental/exoticoptions/himalayaoption.cpp,
-	  ql/experimental/exoticoptions/himalayaoption.hpp,
-	  ql/experimental/exoticoptions/mceverestengine.cpp,
-	  ql/experimental/exoticoptions/mceverestengine.hpp,
-	  ql/experimental/exoticoptions/mchimalayaengine.cpp,
-	  ql/experimental/exoticoptions/mchimalayaengine.hpp,
-	  ql/experimental/exoticoptions/mcpagodaengine.cpp,
-	  ql/experimental/exoticoptions/mcpagodaengine.hpp,
-	  ql/experimental/exoticoptions/pagodaoption.cpp,
-	  ql/experimental/exoticoptions/pagodaoption.hpp,
-	  ql/instruments/Makefile.am, ql/instruments/all.hpp,
-	  ql/instruments/everestoption.cpp, ql/instruments/everestoption.hpp,
-	  ql/instruments/himalayaoption.cpp,
-	  ql/instruments/himalayaoption.hpp, ql/instruments/pagodaoption.cpp,
-	  ql/instruments/pagodaoption.hpp,
-	  ql/pricingengines/basket/Makefile.am,
-	  ql/pricingengines/basket/all.hpp,
-	  ql/pricingengines/basket/mceverestengine.cpp,
-	  ql/pricingengines/basket/mceverestengine.hpp,
-	  ql/pricingengines/basket/mchimalayaengine.cpp,
-	  ql/pricingengines/basket/mchimalayaengine.hpp,
-	  ql/pricingengines/basket/mcpagodaengine.cpp,
-	  ql/pricingengines/basket/mcpagodaengine.hpp,
-	  test-suite/everestoption.cpp, test-suite/himalayaoption.cpp,
-	  test-suite/pagodaoption.cpp:
+	* [r17483] ql/pricingengines/basket/all.hpp:
 	  
-	  Moved a few exotic options to experimental tree.
+	  Updated all.hpp file
 
-2009-12-22 10:09  Luigi Ballabio
+2010-11-18 16:18  Klaus Spanderen
 
-	* [r16930] ql/processes/hestonprocess.hpp:
-	  
-	  Changed default discretization for Heston process.
+	* [r17482] ql/experimental/finitedifferences/fdmblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholesop.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp:
 	  
-	  The new default (giving a better performance) is quadratic
-	  exponential with Martingale correction.
+	  fdm code clean-up
 
-2009-12-21 12:11  Luigi Ballabio
+2010-11-17 11:29  Ferdinando Ametrano
 
-	* [r16923] ql/time/schedule.cpp:
+	* [r17481] QuantLib_vc9.vcproj:
 	  
-	  Changes to end-of-month adjustment.
-	  
-	  The logic was made more explicit. Also, the Unadjusted convention
-	  now supersedes a non-null calendar.
+	  VC9 catching up
 
-2009-12-21 12:10  Luigi Ballabio
+2010-11-17 10:21  Ferdinando Ametrano
 
-	* [r16922] ql/termstructures/interpolatedcurve.hpp:
+	* [r17480] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite,
+	  test-suite/inflation.cpp:
 	  
-	  Added missing return statement.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-17 12:58  Luigi Ballabio
+2010-11-16 17:11  Klaus Spanderen
 
-	* [r16921] ql/processes/hestonprocess.cpp,
-	  ql/processes/hestonprocess.hpp, test-suite/hestonmodel.cpp:
+	* [r17479] test-suite/basketoption.cpp:
 	  
-	  Backported revisions 16863 and 16865 to 1.0.x branch.
+	  narrow interface of KirkEngine towards BlackProcess (pricing of
+	  spread options on futures)
 
-2009-12-17 12:57  Luigi Ballabio
+2010-11-16 17:05  Klaus Spanderen
 
-	* [r16920] ql/cashflows/indexedcashflow.cpp,
-	  ql/cashflows/indexedcashflow.hpp,
-	  ql/instruments/zerocouponinflationswap.cpp:
+	* [r17478] ql/pricingengines/basket/kirkengine.cpp,
+	  ql/pricingengines/basket/kirkengine.hpp,
+	  test-suite/basketoption.cpp:
 	  
-	  Ported revision 16918 to 1.0.x branch.
+	  narrow interface of KirkEngine towards BlackProcess (pricing of
+	  spread options on futures)
 
-2009-12-16 15:29  Ferdinando Ametrano
+2010-11-16 13:11  Klaus Spanderen
 
-	* [r16919] Examples/FittedBondCurve/FittedBondCurve.cpp:
+	* [r17477] ql/instruments/basketoption.hpp,
+	  ql/pricingengines/basket/Makefile.am,
+	  ql/pricingengines/basket/kirkengine.cpp,
+	  ql/pricingengines/basket/kirkengine.hpp,
+	  test-suite/basketoption.cpp:
 	  
-	  fixed keyDates calculation when
-	  bondSettlementDays!=curveSettlementDays
+	  added Kirk approximation for two asset spread options
 
-2009-12-16 12:34  Ferdinando Ametrano
+2010-11-14 14:04  Chris Kenyon
 
-	* [r16917] Examples/FittedBondCurve/FittedBondCurve.cpp:
+	* [r17476] ql/termstructures/inflationtermstructure.cpp,
+	  test-suite/inflation.cpp, test-suite/inflation.hpp:
 	  
-	  cosmetic changes
+	  Fix for InflationPeriod bug (thanks to Niall O'Sullivan) and new
+	  test.
 
-2009-12-16 12:32  Ferdinando Ametrano
+2010-11-13 01:15  Klaus Spanderen
 
-	* [r16916] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17474]
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp:
 	  
-	  generalized yield calculation removing dependency from FixedBond
+	  set v_min to zero
 
-2009-12-16 11:53  Ferdinando Ametrano
+2010-11-13 01:12  Klaus Spanderen
 
-	* [r16915] Examples/FittedBondCurve/FittedBondCurve.cpp:
+	* [r17473] ql/math/integrals/gaussianquadratures.hpp:
 	  
-	  - parametrized different DayCounter (bond, yield, curve)
-	  - fixed rolling today calculation
-	  - improved yield/duration price shift calculation
+	  externalize weights for test purpose
 
-2009-12-16 11:51  Ferdinando Ametrano
+2010-11-13 01:11  Klaus Spanderen
 
-	* [r16914] ql/pricingengines/bond/bondfunctions.cpp:
+	* [r17472]
+	  ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp,
+	  ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp:
 	  
-	  enriched error message
+	  added test interface
 
-2009-12-16 10:57  Ferdinando Ametrano
+2010-11-04 09:15  Klaus Spanderen
 
-	* [r16913] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17470] ql/math/matrixutilities/svd.cpp,
+	  ql/math/matrixutilities/svd.hpp:
 	  
-	  used bond settlement date instead of the curve reference date where
-	  needed
+	  zeroing very small w(i)'s in forSolve
 
-2009-12-16 10:50  Ferdinando Ametrano
+2010-11-03 10:57  Luigi Ballabio
 
-	* [r16912] ql/termstructures/yield/fittedbonddiscountcurve.cpp,
-	  ql/termstructures/yield/fittedbonddiscountcurve.hpp:
+	* [r17469] ql/math/matrixutilities/svd.cpp,
+	  ql/math/matrixutilities/svd.hpp:
 	  
-	  added check for bondSettlementDate >= curveReferenceDate
+	  Added constness to SVD methods.
+	  
+	  This fixes a compilation error in Longstaff-Schwartz implementation
+	  where such methods were called on a const SVD instance.
 
-2009-12-16 10:22  Ferdinando Ametrano
+2010-11-02 22:11  Klaus Spanderen
 
-	* [r16911] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17465] ql/math/linearleastsquaresregression.hpp:
 	  
-	  - fixed yield calculation on the bond settlement date instaed of the
-	  curve reference date
-	  - checked isTradable instead of isExpired
+	  patch zeroing of small w(i)'s
 
-2009-12-15 18:44  Ferdinando Ametrano
+2010-10-28 10:27  Klaus Spanderen
 
-	* [r16910] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17456] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp:
 	  
-	  renamed variable, avoided push_back
+	  added bermudan exercise to multidimensional FD framework
 
-2009-12-15 18:15  Ferdinando Ametrano
+2010-10-26 09:12  Luigi Ballabio
 
-	* [r16909] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17451] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite.dev:
 	  
-	  removed unused variable, avoided useless cashflow vector copy
+	  Updated Windows projects.
 
-2009-12-15 17:53  Ferdinando Ametrano
+2010-10-26 09:12  Luigi Ballabio
 
-	* [r16908] ql/termstructures/yield/fittedbonddiscountcurve.cpp,
-	  ql/termstructures/yield/fittedbonddiscountcurve.hpp:
+	* [r17450] ql/experimental/coupons/Makefile.am,
+	  ql/experimental/coupons/all.hpp:
 	  
-	  inlined functions, renamed variables, enriched error messages
+	  Added untracked files to autotools build.
 
-2009-12-15 17:20  Ferdinando Ametrano
+2010-10-25 09:09  Luigi Ballabio
 
-	* [r16907] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17448] ql/experimental/processes/all.hpp:
 	  
-	  improved performance avoiding useless cashflow vector copy and model
-	  price vector allocation
+	  Updated all.hpp with new files.
 
-2009-12-15 14:55  Ferdinando Ametrano
+2010-10-23 10:53  Klaus Spanderen
 
-	* [r16906] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17447] ql/experimental/processes/Makefile.am,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp:
 	  
-	  minimized clean price error instead of dirty price error
+	  added extended Ornstein-Uhlenbeck process
 
-2009-12-15 14:42  Ferdinando Ametrano
+2010-10-22 12:34  Ferdinando Ametrano
 
-	* [r16905] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17440] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  fixed bug: TermStructure's DayCounter must be used in order to
-	  discount bonds' cashflows
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-15 09:23  Luigi Ballabio
+2010-10-22 10:14  Luigi Ballabio
 
-	* [r16902] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17439] ql/experimental/risk/sensitivityanalysis.cpp,
+	  ql/patterns/lazyobject.hpp,
+	  ql/termstructures/iterativebootstrap.hpp,
+	  test-suite/convertiblebonds.cpp:
 	  
-	  Don't store the original index to avoid circular references.
+	  Reverted recent exception-related changes.
 	  
-	  Spurious notifications during bootstrap are avoided by having
-	  the copied index unregister with the term structure handle.
+	  Note that for sensitivityanalysis.cpp, I did not entirely revert
+	  the changes, since the original code included the slicing 'throw e'
+	  construct. That might have been the source of some reported loss
+	  of messages.
 
-2009-12-14 15:26  Luigi Ballabio
+2010-10-21 16:23  Ferdinando Ametrano
 
-	* [r16901] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17437] test-suite/convertiblebonds.cpp:
 	  
-	  Fixed registration issues.
-	  
-	  Registering a helper with its cloned index would cause a curve to
-	  notify itself during bootstrap.
+	  catch all exceptions
 
-2009-12-14 15:00  Luigi Ballabio
+2010-10-21 16:14  Ferdinando Ametrano
 
-	* [r16900] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17436] ql/experimental/risk/sensitivityanalysis.cpp:
 	  
-	  Reverted revision 16896.
+	  catch all exceptions
 
-2009-12-14 14:50  Ferdinando Ametrano
+2010-10-21 16:14  Ferdinando Ametrano
 
-	* [r16899] ql/termstructures/yield/bondhelpers.cpp,
-	  ql/termstructures/yield/bondhelpers.hpp:
+	* [r17435] ql/patterns/lazyobject.hpp,
+	  ql/termstructures/iterativebootstrap.hpp:
 	  
-	  - fixed bug in BondHelper (missing Bond copy)
-	  - getting ready to get rid of FixedRateBondHelper::fixedRateBond()
-	  method, so that FittedBondDiscountCurve can be used with any bond
+	  added specialized handling of std::exception
 
-2009-12-14 14:50  Ferdinando Ametrano
+2010-10-21 15:28  Luigi Ballabio
 
-	* [r16898] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17434] ql/timeseries.hpp, test-suite/timeseries.cpp,
+	  test-suite/timeseries.hpp:
 	  
-	  "fixed" commented out code
+	  Revamped time-series iterators (thanks to Slava Mazur.)
+	  
+	  Iterators on dates and values were added, as well as C++0X-style
+	  cbegin() and cend() iterators.
 
-2009-12-14 14:44  Ferdinando Ametrano
+2010-10-19 08:38  Luigi Ballabio
 
-	* [r16897] ql/indexes/swapindex.hpp:
-	  
-	  added inspector
+	* [r17432] Examples/BermudanSwaption/Makefile.am,
+	  Examples/Bonds/Makefile.am, Examples/CDS/Makefile.am,
+	  Examples/CallableBonds/Makefile.am,
+	  Examples/ConvertibleBonds/Makefile.am,
+	  Examples/DiscreteHedging/Makefile.am,
+	  Examples/EquityOption/Makefile.am, Examples/FRA/Makefile.am,
+	  Examples/FittedBondCurve/Makefile.am,
+	  Examples/MarketModels/Makefile.am, Examples/Replication/Makefile.am,
+	  Examples/Repo/Makefile.am, Examples/Swap/Makefile.am, Makefile.am,
+	  test-suite/Makefile.am:
+	  
+	  Added VC++10 files to distributed tarballs.
 
-2009-12-14 14:31  Ferdinando Ametrano
+2010-10-19 08:38  Luigi Ballabio
 
-	* [r16896] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17431] ql/math/distributions/normaldistribution.cpp:
+	  
+	  Better recover for inverse cumulative in case of numerical error.
 	  
-	  - partially reverted Rev16893 and Rev16895 for SwapHelper, since
-	  they broke the testsuite. Under investigation...
+	  Previously, operator() would check if the passed value were close
+	  to 0 or 1 due to numerical error; but in that case, it set them to
+	  0 or 1 which led to a math exception. Now, the largest positive and
+	  negative numbers are returned instead.
 
-2009-12-14 10:08  Ferdinando Ametrano
+2010-10-19 08:37  Luigi Ballabio
 
-	* [r16895] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17430] ql/math/distributions/normaldistribution.cpp,
+	  ql/math/distributions/normaldistribution.hpp:
 	  
-	  removed leftover
+	  More performant inverse cumulative (thanks to Kakhkhor Abdijalilov.)
+	  
+	  Also, a static standard_value method was added which returns the
+	  distribution value for null mean and unit standard deviation.
 
-2009-12-14 09:49  Ferdinando Ametrano
+2010-10-19 08:37  Luigi Ballabio
 
-	* [r16894] ql/math/interpolations/sabrinterpolation.hpp:
+	* [r17429] ql/math/randomnumbers/mt19937uniformrng.cpp,
+	  ql/math/randomnumbers/mt19937uniformrng.hpp:
 	  
-	  more reasonable default value
+	  More performant mt19937 implementation (thanks to Kakhkhor
+	  Abdijalilov.)
 
-2009-12-14 09:46  Ferdinando Ametrano
+2010-10-18 15:16  Luigi Ballabio
 
-	* [r16893] ql/termstructures/yield/ratehelpers.cpp:
+	* [r17428] ., Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj,
+	  Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj.filters,
+	  Examples/Bonds/Bonds_vc10.vcxproj,
+	  Examples/Bonds/Bonds_vc10.vcxproj.filters,
+	  Examples/CDS/CDS_vc10.vcxproj,
+	  Examples/CDS/CDS_vc10.vcxproj.filters,
+	  Examples/CallableBonds/CallableBonds.cpp,
+	  Examples/CallableBonds/CallableBonds_vc10.vcxproj,
+	  Examples/CallableBonds/CallableBonds_vc10.vcxproj.filters,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj.filters,
+	  Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj,
+	  Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj.filters,
+	  Examples/EquityOption/EquityOption_vc10.vcxproj,
+	  Examples/EquityOption/EquityOption_vc10.vcxproj.filters,
+	  Examples/FRA/FRA_vc10.vcxproj,
+	  Examples/FRA/FRA_vc10.vcxproj.filters,
+	  Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj,
+	  Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj.filters,
+	  Examples/MarketModels/MarketModels_vc10.vcxproj,
+	  Examples/MarketModels/MarketModels_vc10.vcxproj.filters,
+	  Examples/Replication/Replication_vc10.vcxproj,
+	  Examples/Replication/Replication_vc10.vcxproj.filters,
+	  Examples/Repo/Repo_vc10.vcxproj,
+	  Examples/Repo/Repo_vc10.vcxproj.filters,
+	  Examples/Swap/Swap_vc10.vcxproj,
+	  Examples/Swap/Swap_vc10.vcxproj.filters, QuantLib_vc10.sln,
+	  QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters,
+	  ql/auto_link.hpp, ql/config.msvc.hpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.cpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.hpp,
+	  ql/pricingengines/vanilla/analytichestonengine.cpp,
+	  test-suite/inflationvolatility.cpp, test-suite/nthtodefault.cpp,
+	  test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters:
+	  
+	  Added support for VC++2010 to the core library.
 	  
-	  - fixed bug (keeping copy of original IborIndex could lead to
-	  infinite recursion if the curve is later assigned to that index)
-	  - improved error messages
-	  - added comments
+	  The support is still incomplete. On the one hand, not all warnings
+	  were removed.
+	  On the other hand, VC10 doesn't compile parts of Boost::uBLAS 1.44.
+	  For the time
+	  being, QL_NO_UBLAS_SUPPORT was defined in config.msvc.hpp (which
+	  disables a few
+	  methods and classes.) The define should be removed once everything
+	  works.
 
-2009-12-14 09:15  Luigi Ballabio
+2010-10-06 13:09  Luigi Ballabio
 
-	* [r16892] ql/termstructure.cpp:
+	* [r17417] ql/experimental/math/Makefile.am,
+	  ql/experimental/math/all.hpp,
+	  ql/experimental/math/claytoncopularng.hpp,
+	  ql/experimental/math/farliegumbelmorgensterncopularng.hpp,
+	  ql/experimental/math/frankcopularng.hpp:
 	  
-	  Removed early check.
+	  Added experimental copula-based RNGs (thanks to Hachemi Benyahia.)
+
+2010-10-06 10:43  Ferdinando Ametrano
+
+	* [r17415] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  On the one hand, it was calling virtual methods from the base-class
-	  constructor, which often doesn't do what one intended. On the other
-	  hand, it might have prevented building an instance of a class that
-	  could have fixed calendar and settlement days later on.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-11 17:06  Luigi Ballabio
+2010-09-30 16:14  Ferdinando Ametrano
 
-	* [r16891] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
-	  QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am,
-	  ql/experimental/all.hpp, ql/experimental/convertiblebonds,
-	  ql/experimental/convertiblebonds/Makefile.am,
-	  ql/experimental/convertiblebonds/all.hpp,
-	  ql/experimental/convertiblebonds/binomialconvertibleengine.hpp,
-	  ql/experimental/convertiblebonds/convertiblebond.cpp,
-	  ql/experimental/convertiblebonds/convertiblebond.hpp,
-	  ql/experimental/convertiblebonds/discretizedconvertible.cpp,
-	  ql/experimental/convertiblebonds/discretizedconvertible.hpp,
-	  ql/experimental/convertiblebonds/tflattice.hpp,
-	  ql/instruments/bonds/Makefile.am, ql/instruments/bonds/all.hpp,
-	  ql/instruments/bonds/convertiblebond.cpp,
-	  ql/instruments/bonds/convertiblebond.hpp,
-	  ql/methods/lattices/Makefile.am, ql/methods/lattices/all.hpp,
-	  ql/methods/lattices/tflattice.hpp, ql/pricingengines/Makefile.am,
-	  ql/pricingengines/all.hpp, ql/pricingengines/hybrid,
-	  test-suite/convertiblebonds.cpp:
+	* [r17412] ql/instruments/overnightindexedswap.cpp,
+	  ql/instruments/overnightindexedswap.hpp:
+	  
+	  enabled amortizing OIS
+
+2010-09-30 09:37  Luigi Ballabio
+
+	* [r17411] ql/math/array.hpp:
+	  
+	  Added size_type typedef to Array (thanks to Kim Tang.)
+
+2010-09-29 20:46  Klaus Spanderen
+
+	* [r17410] test-suite/hybridhestonhullwhiteprocess.cpp:
+	  
+	  fixed default parameter
+
+2010-09-29 12:50  Luigi Ballabio
+
+	* [r17409] Contributors.txt, Docs/pages/authors.docs,
+	  ql/experimental/commodities/unitofmeasureconversionmanager.hpp,
+	  test-suite/Makefile.am, test-suite/commodityunitofmeasure.cpp,
+	  test-suite/commodityunitofmeasure.hpp,
+	  test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc7.vcproj,
+	  test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj:
 	  
-	  Moved ConvertibleBond to experimental tree.
+	  Added a few tests for unit of measures (thanks to Manas Bhatt.)
+
+2010-09-29 09:21  Ferdinando Ametrano
+
+	* [r17408] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-09-28 15:03  Luigi Ballabio
+
+	* [r17402] ql/termstructures/volatility/swaption/swaptionvolcube.cpp:
+	  
+	  Fixed registration of observables in SwaptionVolCube.
 	  
-	  The current implementation using an inner option class should
-	  be reviewed.
+	  Thanks to Selene Makarios.
 
-2009-12-11 11:20  Luigi Ballabio
+2010-09-28 15:03  Luigi Ballabio
 
-	* [r16890] Contributors.txt, Docs/pages/authors.docs,
-	  ql/pricingengines/hybrid/discretizedconvertible.cpp:
+	* [r17401] ql/pricingengines/vanilla/fdbermudanengine.hpp,
+	  ql/pricingengines/vanilla/fddividendengine.hpp,
+	  ql/pricingengines/vanilla/fdmultiperiodengine.hpp:
 	  
-	  Fixed discounting of dividends on convertible-bond grid.
+	  Fixed arguments order in FdMultiPeriodEngine.
 	  
-	  Thanks to Benoit Houzelle and Samuel Lerouge.
+	  Client code will still compile.
 
-2009-12-10 18:55  Ferdinando Ametrano
+2010-09-21 15:59  Luigi Ballabio
 
-	* [r16889] ql/termstructures/yield/fittedbonddiscountcurve.cpp:
+	* [r17400] ql/pricingengines/vanilla/fdbermudanengine.hpp,
+	  ql/pricingengines/vanilla/fddividendengine.hpp,
+	  ql/pricingengines/vanilla/fdmultiperiodengine.hpp,
+	  test-suite/dividendoption.cpp:
 	  
-	  cleaned up code avoiding InterestRate constructor
+	  Fixed passing of arguments to FDMultiPeriodEngine (thanks to Selene
+	  Makarios.)
+	  
+	  FDMultiPeriodEngine class was taking and passing the number of
+	  time steps and grid points in the wrong order (the order of the
+	  parameters in the signature is opposite to that in all other FD
+	  classes. For backward compatibility, this was not changed.)
+	  A couple of dividend-option tests now require more time steps to
+	  pass.
 
-2009-12-09 18:41  Ferdinando Ametrano
+2010-09-17 15:22  Ferdinando Ametrano
 
-	* [r16883] ., ql/experimental/credit/issuer.cpp,
+	* [r17394] ., ql, ql/experimental/credit/issuer.cpp,
 	  ql/experimental/credit/issuer.hpp,
 	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
 	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
 	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
-	  ql/pricingengines/basket/mceuropeanbasketengine.hpp:
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  merged r116727 through r16882 of quantlib/branches/R000909-branch
-	  into quantlib/branches/R01000x-branch respecting ancestry
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-09 17:11  Ferdinando Ametrano
+2010-09-17 12:56  Ferdinando Ametrano
 
-	* [r16882] ql/time/schedule.cpp:
+	* [r17393] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  avoided warning
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-09 15:40  Luigi Ballabio
+2010-09-16 14:28  Ferdinando Ametrano
 
-	* [r16881] Examples/BermudanSwaption/BermudanSwaption.cpp,
-	  Examples/Bonds/Bonds.cpp, Examples/CDS/CDS.cpp,
-	  Examples/CallableBonds/CallableBonds.cpp,
-	  Examples/ConvertibleBonds/ConvertibleBonds.cpp,
-	  Examples/DiscreteHedging/DiscreteHedging.cpp,
-	  Examples/EquityOption/EquityOption.cpp, Examples/FRA/FRA.cpp,
-	  Examples/FittedBondCurve/FittedBondCurve.cpp,
-	  Examples/MarketModels/MarketModels.cpp,
-	  Examples/Replication/Replication.cpp, Examples/Repo/Repo.cpp,
-	  Examples/Swap/swapvaluation.cpp:
+	* [r17387] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  Write error messages to cerr instead of cout.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-09 14:06  Luigi Ballabio
+2010-09-16 13:54  Ferdinando Ametrano
 
-	* [r16880]
-	  ql/experimental/commodities/unitofmeasureconversionmanager.cpp:
+	* [r17384] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  Fixed inverted conversion factors and removed redundant conversions.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-12-09 14:02  Luigi Ballabio
+2010-09-14 14:52  Luigi Ballabio
 
-	* [r16879] ql/experimental/commodities/unitofmeasureconversion.cpp,
-	  ql/experimental/commodities/unitofmeasureconversion.hpp:
+	* [r17377] ql/experimental/risk/sensitivityanalysis.cpp,
+	  ql/experimental/risk/sensitivityanalysis.hpp:
 	  
-	  Fixed conversions between commodity quantities.
+	  Reordered parameters.
 	  
-	  Fixes included removing overly aggressive caching, setting the
-	  right units to converted quantities, and reporting the correct
-	  conversion factor for derived rates.
+	  According to gcc, a temporary cannot be a default value for
+	  a non-const reference. I suppose a temporary is not an lvalue.
+	  Anyway, the default value was removed and the parameter was
+	  moved upwards.
 
-2009-12-09 13:58  Luigi Ballabio
+2010-09-14 14:51  Luigi Ballabio
 
-	* [r16878]
-	  ql/experimental/commodities/unitofmeasureconversionmanager.cpp,
+	* [r17376]
 	  ql/experimental/commodities/unitofmeasureconversionmanager.hpp:
 	  
-	  Reworked and simplified unit-conversion manager.
+	  Prevented initialization of singleton class instances.
+
+2010-09-14 14:51  Luigi Ballabio
+
+	* [r17375] ql/methods/montecarlo/longstaffschwartzpathpricer.hpp:
 	  
-	  This class was originally cloned from the exchange-rate manager, but
-	  it doesn't need all the stuff it copied. The unnecessary parts have
-	  been trimmed.
-	  Also, the smart lookup should work now.
+	  Avoided multiple allocations (thanks to Kakhkhor Abdijalilov.)
 
-2009-12-09 11:05  Luigi Ballabio
+2010-09-14 14:51  Luigi Ballabio
 
-	* [r16877] ql/methods/lattices/tflattice.hpp:
+	* [r17374] QuantLib_vc7.vcproj, ql/instruments/bonds/all.hpp:
 	  
-	  Fixed access to data members inherited from template base class.
+	  Added new files to all.hpp and VC7 project.
 
-2009-12-08 17:33  Ferdinando Ametrano
+2010-09-14 14:51  Luigi Ballabio
 
-	* [r16872] ql/pricingengines/swap/discountingswapengine.cpp:
+	* [r17373] Contributors.txt, Docs/pages/authors.docs,
+	  ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp:
 	  
-	  added try-catch block in order to enrich error message
+	  Manage spread with any compounding (thanks to Robert Philipp.)
 
-2009-12-08 17:17  Ferdinando Ametrano
+2010-09-14 14:50  Luigi Ballabio
 
-	* [r16869] ql/termstructure.cpp:
+	* [r17372] Docs/pages/authors.docs:
 	  
-	  oops... fixed name clashing
+	  Formatted the contributors list as one name per line.
+	  
+	  This makes it easier to perform diffs, and still gives nice HTML
+	  output as the browsers ignore line breaks.
 
-2009-12-08 16:35  Ferdinando Ametrano
+2010-09-14 14:50  Luigi Ballabio
 
-	* [r16868] ql/termstructure.cpp:
+	* [r17371] ql/models/marketmodels/products/multistep/all.hpp:
 	  
-	  fixed bug (settlementDays must be accessed though inspector) and one
-	  initialization
+	  Updated all.hpp header with new files.
 
-2009-12-08 16:34  Ferdinando Ametrano
+2010-09-14 14:50  Luigi Ballabio
 
-	* [r16867] ql/termstructure.hpp:
+	* [r17370] ql/utilities/null.hpp:
+	  
+	  Reworked Null class template (thanks to Kakhkhor Abdijalilov.)
 	  
-	  added check
+	  The new implementation avoids the need for a macro on 64-bit systems
+	  and automatically covers all floating-point and integer types.
 
-2009-12-03 18:17  Ferdinando Ametrano
+2010-09-13 16:27  Ferdinando Ametrano
 
-	* [r16862]
-	  ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp,
-	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp,
-	  ql/termstructures/credit/probabilitytraits.hpp:
+	* [r17367] ql/experimental/risk/sensitivityanalysis.cpp,
+	  ql/experimental/risk/sensitivityanalysis.hpp:
 	  
-	  - improved formatting
-	  - muted unreferenced formal parameters
+	  added Quote sensitivities. The function approach will be
+	  incorporated in a more efficient class based approach later
 
-2009-12-03 16:15  Ferdinando Ametrano
+2010-09-13 16:24  Ferdinando Ametrano
 
-	* [r16861] ql/models/marketmodels/utilities.cpp:
+	* [r17365] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp:
 	  
-	  avoided warning
+	  - fixed RendistatoCalculator bug
+	  - added inspectors
+	  - implemented minor improvements
 
-2009-12-03 16:14  Ferdinando Ametrano
+2010-09-09 12:41  Ferdinando Ametrano
 
-	* [r16860] ql/instruments/bonds/convertiblebond.cpp,
-	  ql/instruments/bonds/convertiblebond.hpp:
+	* [r17363] ql/instruments/bonds/Makefile.am:
 	  
-	  removed unused parameter in base class private constructor
+	  - added specialized BTP class to help instantiation of this type of
+	  FixedRateBond
+	  - added RendistatoCalculator class
 
-2009-12-03 15:44  Ferdinando Ametrano
+2010-09-09 11:36  Ferdinando Ametrano
 
-	* [r16859] ql/methods/lattices/bsmlattice.hpp,
-	  ql/methods/lattices/tflattice.hpp:
+	* [r17362] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj:
 	  
-	  declared BlackScholesLattice's data members as protected instead of
-	  private, avoiding duplication in TsiveriotisFernandesLattice. Also
-	  moved few inspectors from TsiveriotisFernandesLattice to
-	  BlackScholesLattice
+	  VC8/9 catching up
 
-2009-12-03 14:38  Ferdinando Ametrano
+2010-09-09 09:45  Ferdinando Ametrano
 
-	* [r16858] ql/experimental/commodities/unitofmeasureconversion.cpp,
-	  ql/experimental/commodities/unitofmeasureconversionmanager.cpp,
-	  ql/experimental/commodities/unitofmeasureconversionmanager.hpp:
+	* [r17360] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp:
 	  
-	  - fixed (probable) bug in UnitOfMeasureConversion
-	  - consolidated UnitOfMeasureConversionManager::directLookup and
-	  UnitOfMeasureConversionManager::smartLookup into
-	  UnitOfMeasureConversionManager::lookupImpl, enabling smartLookup
-	  which might now work because of the UnitOfMeasureConversion bug fix
+	  - added specialized BTP class to help instantiation of this type of
+	  FixedRateBond
+	  - added RendistatoCalculator class
 
-2009-12-03 14:16  Ferdinando Ametrano
+2010-08-29 17:57  Klaus Spanderen
 
-	* [r16857] ql/experimental/commodities/unitofmeasureconversion.cpp:
+	* [r17356] ql/pricingengines/vanilla/analyticptdhestonengine.cpp:
 	  
-	  fixed formatting
+	  fixed index access
 
-2009-12-03 14:12  Ferdinando Ametrano
+2010-08-28 10:47  Klaus Spanderen
 
-	* [r16856] ql/experimental/commodities/unitofmeasureconversion.hpp,
-	  ql/experimental/commodities/unitofmeasureconversionmanager.hpp:
+	* [r17355] ql/models/marketmodels/products/multistep/Makefile.am:
+	  
 	  
-	  fixed formatting
 
-2009-12-03 11:06  Ferdinando Ametrano
+2010-08-26 11:15  Ferdinando Ametrano
 
-	* [r16855] ql/experimental/credit/onefactorcopula.hpp,
-	  ql/experimental/credit/syntheticcdoengines.hpp:
+	* [r17354] ql/time/schedule.cpp, ql/time/schedule.hpp:
 	  
-	  muted unreferenced formal parameters
+	  relaxed constraint on effectiveDate.
+	  Note: as of today there are 2 optionletstripper tests failing: they
+	  are failing independently from this commit
 
-2009-12-03 10:59  Luigi Ballabio
+2010-08-25 03:12  Mark Joshi
 
-	* [r16854] ql/experimental/credit/distribution.cpp,
-	  ql/experimental/credit/distribution.hpp,
-	  ql/experimental/credit/riskyassetswap.cpp,
-	  ql/experimental/credit/riskybond.cpp,
-	  ql/experimental/credit/riskybond.hpp,
-	  ql/experimental/credit/syntheticcdoengines.hpp, test-suite/cdo.cpp:
+	* [r17353]
+	  ql/models/marketmodels/products/multistep/multisteptarn.cpp,
+	  ql/models/marketmodels/products/multistep/multisteptarn.hpp:
 	  
-	  Backported revision 16852 from trunk.
+	  added TARN
 
-2009-12-02 09:29  Luigi Ballabio
+2010-08-02 10:44  Ferdinando Ametrano
 
-	* [r16850] ql/instruments/bonds/convertiblebond.cpp,
-	  ql/math/randomnumbers/lecuyeruniformrng.cpp:
+	* [r17349] ql/time/schedule.cpp:
 	  
-	  Removed a couple more warnings.
+	  fixed (rare) duplicated date case, generated by endofmonth
+	  adjustment of near dates when the last period is very short
 
-2009-12-01 14:36  Luigi Ballabio
+2010-07-27 03:31  Mark Joshi
 
-	* [r16849] ql/cashflows/cashflows.cpp:
+	* [r17332] ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp,
+	  ql/models/marketmodels/pathwiseaccountingengine.cpp,
+	  ql/models/marketmodels/pathwiseaccountingengine.hpp,
+	  ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp,
+	  ql/models/marketmodels/products/multistep/multistepratchet.cpp,
+	  ql/models/marketmodels/products/multistep/multistepratchet.hpp:
 	  
-	  Relaxed requirements for a number of CashFlows methods.
+	  cleaning up
+
+2010-07-12 16:36  Luigi Ballabio
+
+	* [r17331] ql/math/randomnumbers/randomsequencegenerator.hpp:
 	  
-	  The functions interested by this change can return a meaningful
-	  result even if the leg is empty (e.g., NPV = 0.)
+	  Improved documentation (thanks to Kakhkhor Abdijalilov.)
 
-2009-12-01 13:44  Luigi Ballabio
+2010-07-12 16:36  Luigi Ballabio
 
-	* [r16844] quantlib-config.in:
+	* [r17330] ql/methods/montecarlo/longstaffschwartzpathpricer.hpp:
+	  
+	  Improvements for Longstaff-Schwarz path pricer.
 	  
-	  Report correct library name.
+	  - cleaner loop code;
+	  - release memory after calibration.
+	  
+	  Thanks to Kakhkhor Abdijalilov.
 
-2009-12-01 13:44  Luigi Ballabio
+2010-07-12 16:36  Luigi Ballabio
 
-	* [r16843] ql/experimental/mcbasket/mcamericanpathengine.hpp:
+	* [r17329]
+	  ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp:
 	  
-	  Enforced self-consistency of header files.
+	  Inherit privately from boost::noncopyable (thanks to Kakhkhor
+	  Abdijalilov.)
 
-2009-12-01 13:44  Luigi Ballabio
+2010-07-12 16:35  Luigi Ballabio
 
-	* [r16842] ql/termstructures/yield/discountcurve.hpp,
-	  ql/termstructures/yield/forwardcurve.hpp,
-	  ql/termstructures/yield/zerocurve.hpp:
+	* [r17328] Contributors.txt, Docs/pages/authors.docs, ql/timegrid.cpp:
 	  
-	  Fixed calls to modified private functions.
+	  Reserved correct number of elements (thanks to Kakhkhor
+	  Abdijalilov.)
 
-2009-11-30 09:54  Ferdinando Ametrano
+2010-07-12 16:35  Luigi Ballabio
 
-	* [r16841] ql/experimental/callablebonds/callablebond.cpp,
-	  ql/experimental/callablebonds/callablebond.hpp:
+	* [r17327] ql/models/equity/all.hpp,
+	  ql/pricingengines/vanilla/all.hpp:
 	  
-	  removed unused parameters
+	  Updated all.hpp files.
 
-2009-11-30 09:46  Ferdinando Ametrano
+2010-07-01 09:07  Ferdinando Ametrano
 
-	* [r16840]
-	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
-	  ql/experimental/finitedifferences/fdmamericanstepcondition.hpp,
-	  ql/experimental/finitedifferences/fdmdirichletboundary.cpp,
-	  ql/experimental/finitedifferences/fdmdirichletboundary.hpp,
-	  ql/pricingengines/vanilla/analytichestonengine.cpp,
-	  ql/pricingengines/vanilla/analytichestonengine.hpp,
-	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp,
-	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp:
+	* [r17326] Examples/FittedBondCurve/FittedBondCurve.cpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.cpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.hpp:
 	  
-	  muted unreferenced formal parameters (equivalent to Rev16389)
+	  - provided (deprecated) FittedBondDiscountCurve backward compatible
+	  constructors
+	  - avoided usage of these deprecated constructors in the
+	  FittedBondCurve example
 
-2009-11-27 16:41  Ferdinando Ametrano
+2010-06-30 17:36  Ferdinando Ametrano
 
-	* [r16838] ql/pricingengines/vanilla/analyticgjrgarchengine.cpp:
+	* [r17325] ql/experimental/coupons/proxyibor.cpp,
+	  ql/experimental/coupons/proxyibor.hpp:
 	  
-	  cleaner if else constructs
+	  exported ProxyIbor
 
-2009-11-27 16:40  Ferdinando Ametrano
+2010-06-30 15:55  Ferdinando Ametrano
 
-	* [r16837] ql/math/optimization/bfgs.cpp,
-	  ql/math/optimization/bfgs.hpp,
-	  ql/math/optimization/conjugategradient.cpp,
-	  ql/math/optimization/conjugategradient.hpp,
-	  ql/math/optimization/linesearchbasedmethod.cpp,
-	  ql/math/optimization/linesearchbasedmethod.hpp,
-	  ql/math/optimization/steepestdescent.cpp,
-	  ql/math/optimization/steepestdescent.hpp:
+	* [r17324] QuantLib_vc8.vcproj:
 	  
-	  declared getUpdatedDirection as protected and removed unused
-	  parameter from its signature
+	  VC8 catching up
 
-2009-11-27 12:03  Ferdinando Ametrano
+2010-06-30 15:51  Ferdinando Ametrano
 
-	* [r16833] test-suite/extendedtrees.cpp:
+	* [r17323] ql/experimental/coupons/proxyibor.cpp,
+	  ql/experimental/coupons/proxyibor.hpp:
 	  
-	  removed unused parameter
+	  added ProxyIbor, whose fixing is gearing_ *
+	  iborIndex_->fixing(fixingDate) * spread_
 
-2009-11-27 12:00  Ferdinando Ametrano
+2010-06-30 15:17  Ferdinando Ametrano
 
-	* [r16832] ql/termstructures/credit/interpolatedhazardratecurve.hpp:
+	* [r17321] QuantLib_vc9.vcproj:
 	  
-	  removed unused input variables from private member function
+	  added new files
 
-2009-11-27 11:59  Ferdinando Ametrano
+2010-06-30 15:15  Ferdinando Ametrano
 
-	* [r16831] ql/models/marketmodels/models/capletcoterminalperiodic.cpp:
+	* [r17320] ql/termstructures/yield/fittedbonddiscountcurve.cpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.hpp:
 	  
-	  muted unreferenced formal parameter
+	  generalized to BondHelpers instead of FixedRateBondHelpers
 
-2009-11-27 11:47  Ferdinando Ametrano
+2010-06-30 15:06  Ferdinando Ametrano
 
-	* [r16830] test-suite/inflationcapfloor.cpp,
-	  test-suite/inflationcapflooredcoupon.cpp:
+	* [r17319] ql/indexes/iborindex.hpp:
 	  
-	  avoided warning
+	  fixed documentation
 
-2009-11-27 11:44  Ferdinando Ametrano
+2010-06-28 16:07  Luigi Ballabio
 
-	* [r16829] ql/methods/lattices/tflattice.hpp:
+	* [r17318] ql/cashflow.hpp, ql/time/schedule.hpp:
 	  
-	  improved formatting
+	  Added a few bits of documentation (thanks to Tawanda Gwena.)
 
-2009-11-27 11:37  Ferdinando Ametrano
+2010-06-28 16:06  Luigi Ballabio
 
-	* [r16828] ql/models/marketmodels/pathwisediscounter.cpp:
+	* [r17317] Docs/Makefile.am, Docs/quantlib.doxy:
 	  
-	  fixed typo
+	  Upgraded to Doxygen 1.7.1.
 
-2009-11-27 11:35  Ferdinando Ametrano
+2010-06-28 16:06  Luigi Ballabio
 
-	* [r16827] ql/math/interpolations/convexmonotoneinterpolation.hpp,
-	  ql/math/interpolations/kernelinterpolation.hpp:
+	* [r17316] Docs/pages/history.docs,
+	  ql/experimental/commodities/commoditycashflow.hpp,
+	  ql/experimental/commodities/energycommodity.hpp,
+	  ql/experimental/exoticoptions/simplechooseroption.hpp:
 	  
-	  muted useless unreferenced formal parameters
+	  Fixed a few Doxygen warnings.
 
-2009-11-27 11:33  Ferdinando Ametrano
+2010-06-26 10:46  Klaus Spanderen
 
-	* [r16826]
-	  ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp:
+	* [r17315] ql/models/equity/Makefile.am,
+	  ql/models/equity/piecewisetimedependenthestonmodel.cpp,
+	  ql/models/equity/piecewisetimedependenthestonmodel.hpp,
+	  ql/pricingengines/vanilla/Makefile.am,
+	  ql/pricingengines/vanilla/analyticptdhestonengine.cpp,
+	  ql/pricingengines/vanilla/analyticptdhestonengine.hpp,
+	  test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp:
 	  
-	  improved formatting
+	  added analytic pricing engine for the piecewise constant time
+	  dependent heston model (incl. calibration model)
 
-2009-11-27 10:52  Ferdinando Ametrano
+2010-06-09 09:28  Ferdinando Ametrano
 
-	* [r16825] ql/models/marketmodels/models/capletcoterminalperiodic.cpp,
-	  ql/models/marketmodels/models/capletcoterminalperiodic.hpp,
-	  ql/models/marketmodels/pathwisediscounter.cpp,
-	  ql/models/marketmodels/pathwisediscounter.hpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp,
-	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp:
+	* [r17314] ql/math/solver1d.hpp, ql/math/solvers1d/bisection.hpp,
+	  ql/math/solvers1d/brent.hpp, ql/math/solvers1d/falseposition.hpp,
+	  ql/math/solvers1d/newton.hpp, ql/math/solvers1d/newtonsafe.hpp,
+	  ql/math/solvers1d/ridder.hpp, ql/math/solvers1d/secant.hpp:
 	  
-	  muted unreferenced formal parameters
+	  using close(x, y) instead of x==y
 
-2009-11-25 18:18  Ferdinando Ametrano
+2010-06-08 09:01  Ferdinando Ametrano
 
-	* [r16821] test-suite/hybridhestonhullwhiteprocess.cpp:
+	* [r17310] ql/math/solvers1d/bisection.hpp,
+	  ql/math/solvers1d/falseposition.hpp, ql/math/solvers1d/newton.hpp,
+	  ql/math/solvers1d/newtonsafe.hpp:
 	  
-	  avoided warning
+	  minor changes
 
-2009-11-25 17:10  Luigi Ballabio
+2010-06-08 08:58  Ferdinando Ametrano
 
-	* [r16820] Examples/MarketModels:
+	* [r17309] ql/instruments/makevanillaswap.cpp:
+	  
 	  
-	  Updated svn:ignore property.
 
-2009-11-25 17:07  Luigi Ballabio
+2010-06-07 12:55  Luigi Ballabio
 
-	* [r16819] Examples/MarketModels/MarketModels.dev:
+	* [r17306] Docs/Makefile.am, Makefile.am:
 	  
-	  Added Dev-C++ project for market-model example.
+	  Cleaned up a bit doc generation.
+	  
+	  The basepath is no longer passed from the top-level makefile.
+	  The online docs are generated in a folder named after the library
+	  version.
 
-2009-11-25 16:52  Luigi Ballabio
+2010-05-29 10:03  Klaus Spanderen
 
-	* [r16818] Examples/MarketModels/MarketModels_vc7.vcproj,
-	  QuantLib_vc7.sln:
+	* [r17305] ql/experimental/fx/blackdeltacalculator.cpp,
+	  ql/experimental/fx/deltavolquote.cpp,
+	  ql/experimental/fx/deltavolquote.hpp:
 	  
-	  Added market-model example to VC7 solution.
+	  changed order of member variable initialization
 
-2009-11-25 16:46  Luigi Ballabio
+2010-05-18 22:02  Klaus Spanderen
 
-	* [r16817] Examples/MarketModels/MarketModels_vc8.vcproj,
-	  QuantLib_vc8.sln:
+	* [r17298] ql/methods/montecarlo/lsmbasissystem.cpp,
+	  ql/methods/montecarlo/lsmbasissystem.hpp:
 	  
-	  Added market-model example to VC8 solution.
+	  improved LSM basis system (thanks to Kakhkhor Abdijalilov)
 
-2009-11-25 16:19  Luigi Ballabio
+2010-05-13 22:39  Klaus Spanderen
 
-	* [r16816] Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj,
-	  Examples/Bonds/Bonds_vc7.vcproj, Examples/CDS/CDS_vc7.vcproj,
-	  Examples/CallableBonds/CallableBonds_vc7.vcproj,
-	  Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj,
-	  Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj,
-	  Examples/EquityOption/EquityOption_vc7.vcproj,
-	  Examples/FRA/FRA_vc7.vcproj,
-	  Examples/FittedBondCurve/FittedBondCurve_vc7.vcproj,
-	  Examples/Replication/Replication_vc7.vcproj,
-	  Examples/Repo/Repo_vc7.vcproj, Examples/Swap/Swap_vc7.vcproj:
+	* [r17297] ql/methods/montecarlo/lsmbasissystem.cpp:
 	  
-	  Increased compilation-memory limit.
+	  fixed equal_with bug
 
-2009-11-25 16:12  Luigi Ballabio
+2010-04-26 16:04  Ferdinando Ametrano
 
-	* [r16815] QuantLib_vc7.vcproj, QuantLib_vc8.vcproj:
+	* [r17271] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp, ql/instruments/makeois.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  Removed FileConfiguration sections.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-11-25 14:51  Luigi Ballabio
+2010-04-22 17:21  Ferdinando Ametrano
 
-	* [r16814] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
-	  QuantLib_vc9.vcproj:
+	* [r17269] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Updated VC++ and Dev-C++ projects.
+	  ooops... fixed bug
 
-2009-11-25 13:51  Luigi Ballabio
+2010-04-22 16:45  Ferdinando Ametrano
 
-	* [r16813] Examples/FittedBondCurve/FittedBondCurve.cpp:
+	* [r17268] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Fix for missing parRate method.
+	  skipped expired instruments without throwing exception
 
-2009-11-25 13:51  Luigi Ballabio
+2010-04-22 16:35  Ferdinando Ametrano
 
-	* [r16812] Examples/MarketModels/MarketModels.cpp:
+	* [r17267] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Cleaned up inclusions.
 	  
-	  auto_link is now only included with VC++.
-	  marketmodels/all.hpp replaces a few dozens of inclusions.
 
-2009-11-25 13:50  Luigi Ballabio
+2010-04-22 13:39  Ferdinando Ametrano
 
-	* [r16811] Examples/Makefile.am, Examples/MarketModels/Makefile.am,
-	  configure.ac:
+	* [r17266] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Added market-model example to autotools build.
+	  - added specific expired instrument exception. Nicer skipping of
+	  expired instruments will be added later
+	  - avoided recreation of internal vectors
 
-2009-11-25 13:50  Luigi Ballabio
+2010-04-21 15:35  Luigi Ballabio
 
-	* [r16810] ql/models/marketmodels/products/pathwise/Makefile.am,
-	  ql/models/marketmodels/products/pathwise/all.hpp:
+	* [r17265] quantlib.m4:
+	  
+	  Fixed m4 macro for QuantLib detection.
 	  
-	  Added missing files to autotools build.
+	  It now works also when asked for versions such as 1.1 (as opposed
+	  to 1.1.0). The macro was somewhat simplified in the process.
 
-2009-11-25 13:50  Luigi Ballabio
+2010-04-20 18:07  Ferdinando Ametrano
 
-	* [r16809] ql/time/daycounters/actualactual.cpp:
+	* [r17260] ., ChangeLog.txt, ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
 	  
-	  Rewritten loop.
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-04-19 10:09  Luigi Ballabio
+
+	* [r17256] QuantLib.dev:
 	  
-	  The for (;;) avoids having to introduce an exit flag, and at the
-	  same time might be more palatable than the do while (true) for VC++.
+	  Manually merged changes from 1.0.x branch.
 
-2009-11-25 11:33  Ferdinando Ametrano
+2010-04-19 09:41  Ferdinando Ametrano
 
-	* [r16808] ql/math/matrixutilities/tapcorrelations.cpp,
-	  ql/math/matrixutilities/tapcorrelations.hpp:
+	* [r17255] ., Contributors.txt, News.txt, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, acinclude.m4,
+	  configure.ac, ql, ql/Makefile.am, ql/config.ansi.hpp,
+	  ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.sun.hpp,
+	  ql/experimental/credit/defaultevent.cpp,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/instruments/forwardvanillaoption.hpp,
+	  ql/instruments/makecapfloor.cpp,
+	  ql/instruments/makeyoyinflationcapfloor.cpp, ql/mathconstants.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/pricingengines/forward/forwardengine.hpp, ql/qldefines.hpp,
+	  ql/termstructures/inflation/seasonality.cpp, test-suite:
 	  
-	  removed unreferenced formal parameters (first pass)
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-11-25 11:31  Ferdinando Ametrano
+2010-04-13 09:23  Ferdinando Ametrano
 
-	* [r16807] ql/cashflows/rangeaccrual.cpp,
-	  ql/cashflows/rangeaccrual.hpp:
+	* [r17245] ., ChangeLog.txt, Contributors.txt, News.txt, ql,
+	  ql/cashflows/conundrumpricer.cpp, ql/cashflows/couponpricer.cpp,
+	  ql/cashflows/inflationcouponpricer.cpp,
+	  ql/cashflows/rangeaccrual.cpp,
+	  ql/experimental/callablebonds/callablebond.cpp,
+	  ql/experimental/coupons/subperiodcoupons.cpp,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/instruments/creditdefaultswap.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/patterns/singleton.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/credit/defaultprobabilityhelpers.cpp,
+	  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, test-suite, test-suite/cashflows.cpp,
+	  test-suite/cashflows.hpp, test-suite/creditdefaultswap.cpp,
+	  test-suite/defaultprobabilitycurves.cpp:
 	  
-	  removed unreferenced formal parameters from private function members
+	  merged branches/R01000x-branch into trunk, respecting ancestry
 
-2009-11-25 11:13  Ferdinando Ametrano
+2010-04-12 19:08  Klaus Spanderen
 
-	* [r16806] ql/math/matrixutilities/getcovariance.cpp,
-	  ql/math/matrixutilities/getcovariance.hpp:
+	* [r17243]
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp:
 	  
-	  removed unused (and unwanted) input parameter
+	  corrected constructor definition
 
-2009-11-25 11:08  Ferdinando Ametrano
+2010-03-29 12:48  Ferdinando Ametrano
 
-	* [r16805] ql/termstructures/yieldtermstructure.cpp,
-	  ql/termstructures/yieldtermstructure.hpp:
+	* [r17232]
+	  ql/termstructures/volatility/optionlet/strippedoptionletadapter.cpp:
+	  
 	  
-	  removed ambiguous parRate member functions
-	  Their implementations were flawed: the freq parameter was present
-	  even where it didn't make sense, and it was not used where it made
-	  sense). We have decided not to fix them, and have opted to remove
-	  them: their little theoretical appeal is overwhelmed by their
-	  misleading usage as swap proxy
 
-2009-11-24 18:07  Ferdinando Ametrano
+2010-03-19 08:34  Luigi Ballabio
 
-	* [r16803] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj,
-	  Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj,
-	  Examples/CallableBonds/CallableBonds_vc9.vcproj,
-	  Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj,
-	  Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj,
-	  Examples/EquityOption/EquityOption_vc9.vcproj,
-	  Examples/FRA/FRA_vc9.vcproj,
-	  Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj,
-	  Examples/MarketModels/MarketModels_vc9.vcproj,
-	  Examples/Replication/Replication_vc9.vcproj,
-	  Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj:
+	* [r17230] test-suite/testsuite.dev:
 	  
-	  removed useless disabling of warning 4819
+	  Removed obsolete include directory.
 
-2009-11-24 18:00  Ferdinando Ametrano
+2010-03-19 08:34  Luigi Ballabio
 
-	* [r16802] QuantLib_vc9.vcproj:
+	* [r17229] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev,
+	  QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/analyticamericanmargrabeengine.cpp,
+	  ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp,
+	  ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.cpp,
+	  ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp,
+	  ql/experimental/exoticoptions/margrabeoption.cpp,
+	  ql/experimental/exoticoptions/margrabeoption.hpp,
+	  test-suite/Makefile.am, test-suite/margrabeoption.cpp,
+	  test-suite/margrabeoption.hpp, test-suite/quantlibtestsuite.cpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj,
+	  test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj:
 	  
-	  temporary change (will be reverted before release):
-	  WarningLevel="4"
-	  DisableSpecificWarnings="4512;4511;4505"
+	  Added experimental Margrabe option.
 	  
-	  this will help the lint activity in the next weeks
+	  Thanks to IMAFA/Polytech'Nice students Marius Akre, Michael
+	  Benguigui,
+	  and Yanice Cherrak.
 
-2009-11-24 17:56  Ferdinando Ametrano
+2010-03-19 08:33  Luigi Ballabio
 
-	* [r16801] ql/time/daycounters/actualactual.cpp,
-	  test-suite/testsuite_vc9.vcproj:
+	* [r17228] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev,
+	  QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/analyticsimplechooserengine.cpp,
+	  ql/experimental/exoticoptions/analyticsimplechooserengine.hpp,
+	  ql/experimental/exoticoptions/simplechooseroption.cpp,
+	  ql/experimental/exoticoptions/simplechooseroption.hpp,
+	  test-suite/Makefile.am, test-suite/chooseroption.cpp,
+	  test-suite/chooseroption.hpp, test-suite/quantlibtestsuite.cpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj,
+	  test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj:
 	  
-	  avoided warning
+	  Added experimental simple chooser option.
+	  
+	  Thanks to IMAFA/Polytech'Nice students Clement Barret, Fakher
+	  Braham,
+	  and Mohamed Amine Sadaoui.
 
-2009-11-24 17:21  Ferdinando Ametrano
+2010-03-18 12:11  Luigi Ballabio
 
-	* [r16800] ql/math/statistics/sequencestatistics.hpp:
+	* [r17227] Contributors.txt, Docs/pages/authors.docs:
 	  
-	  avoided warning
+	  Acknowledged forgotten contributor.
 
-2009-11-24 16:33  Luigi Ballabio
+2010-03-16 13:37  Luigi Ballabio
 
-	* [r16799] ql/experimental/Makefile.am, ql/experimental/all.hpp,
-	  ql/legacy/Makefile.am, ql/legacy/all.hpp, ql/methods/Makefile.am,
-	  ql/methods/all.hpp:
+	* [r17226] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
+	  QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am,
+	  ql/experimental/all.hpp, ql/experimental/shortrate,
+	  ql/experimental/shortrate/Makefile.am,
+	  ql/experimental/shortrate/all.hpp,
+	  ql/experimental/shortrate/generalizedhullwhite.cpp,
+	  ql/experimental/shortrate/generalizedhullwhite.hpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp:
 	  
-	  Prevented errors with older shells (thanks to Walter Eaves.)
+	  Added experimental generalized Hull-White model (thanks to Cavit
+	  Hafizoglu.)
 	  
-	  Older bash versions balk at running a for-loop with an empty list
-	  (which happens when generating all.hpp if there's no other header
-	  files in the directory.) The problem is prevented by manually
-	  removing the for-loop on a per-directory basis.
+	  The generalized model can take piecewise-constant parameters instead
+	  of constant ones. A matching generalized Ornstein-Uhlenbeck process
+	  was also added.
 
-2009-11-24 16:32  Luigi Ballabio
+2010-03-16 13:19  Luigi Ballabio
 
-	* [r16798] Bugs.txt:
+	* [r17225] ql/math/optimization/levenbergmarquardt.cpp:
 	  
-	  Removed reference to legacy class.
+	  Added precondition checks before calling external optimization
+	  routine.
 
-2009-11-24 16:32  Luigi Ballabio
+2010-03-16 12:30  Luigi Ballabio
 
-	* [r16797] ql/math/distributions/poissondistribution.hpp:
+	* [r17224] ql/models/parameter.hpp:
 	  
-	  Documentation fix (thanks to Jose Aparicio.)
+	  Allowed optional constraint in piecewise-constant parameter.
 
-2009-11-24 16:32  Luigi Ballabio
+2010-03-15 16:19  Luigi Ballabio
 
-	* [r16796] Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj,
-	  Examples/Bonds/Bonds_vc7.vcproj, Examples/CDS/CDS_vc7.vcproj,
+	* [r17222] Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj,
+	  Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj,
+	  Examples/Bonds/Bonds_vc7.vcproj, Examples/Bonds/Bonds_vc8.vcproj,
+	  Examples/CDS/CDS_vc7.vcproj, Examples/CDS/CDS_vc8.vcproj,
 	  Examples/CallableBonds/CallableBonds_vc7.vcproj,
+	  Examples/CallableBonds/CallableBonds_vc8.vcproj,
 	  Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj,
 	  Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj,
+	  Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj,
 	  Examples/EquityOption/EquityOption_vc7.vcproj,
-	  Examples/FRA/FRA_vc7.vcproj,
+	  Examples/EquityOption/EquityOption_vc8.vcproj,
+	  Examples/FRA/FRA_vc7.vcproj, Examples/FRA/FRA_vc8.vcproj,
 	  Examples/FittedBondCurve/FittedBondCurve_vc7.vcproj,
+	  Examples/FittedBondCurve/FittedBondCurve_vc8.vcproj,
+	  Examples/MarketModels/MarketModels_vc7.vcproj,
+	  Examples/MarketModels/MarketModels_vc8.vcproj,
 	  Examples/Replication/Replication_vc7.vcproj,
-	  Examples/Repo/Repo_vc7.vcproj, Examples/Swap/Swap_vc7.vcproj,
-	  QuantLib_vc7.vcproj:
+	  Examples/Replication/Replication_vc8.vcproj,
+	  Examples/Repo/Repo_vc7.vcproj, Examples/Repo/Repo_vc8.vcproj,
+	  Examples/Swap/Swap_vc7.vcproj, Examples/Swap/Swap_vc8.vcproj,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj:
 	  
-	  Enabled language extensions in VC7 projects.
+	  Removed FileConfiguration sections from projects.
 
-2009-11-24 16:31  Luigi Ballabio
+2010-03-12 16:21  Luigi Ballabio
 
-	* [r16795] Announce.txt, configure.ac, ql/version.hpp:
+	* [r17221] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
+	  QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am,
+	  ql/experimental/all.hpp, ql/experimental/variancegamma,
+	  ql/experimental/variancegamma/Makefile.am,
+	  ql/experimental/variancegamma/all.hpp,
+	  ql/experimental/variancegamma/analyticvariancegammaengine.cpp,
+	  ql/experimental/variancegamma/analyticvariancegammaengine.hpp,
+	  ql/experimental/variancegamma/fftengine.cpp,
+	  ql/experimental/variancegamma/fftengine.hpp,
+	  ql/experimental/variancegamma/fftvanillaengine.cpp,
+	  ql/experimental/variancegamma/fftvanillaengine.hpp,
+	  ql/experimental/variancegamma/fftvariancegammaengine.cpp,
+	  ql/experimental/variancegamma/fftvariancegammaengine.hpp,
+	  ql/experimental/variancegamma/variancegammamodel.cpp,
+	  ql/experimental/variancegamma/variancegammamodel.hpp,
+	  ql/experimental/variancegamma/variancegammaprocess.cpp,
+	  ql/experimental/variancegamma/variancegammaprocess.hpp,
+	  test-suite/Makefile.am, test-suite/europeanoption.cpp,
+	  test-suite/europeanoption.hpp, test-suite/quantlibtestsuite.cpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj,
+	  test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj,
+	  test-suite/variancegamma.cpp, test-suite/variancegamma.hpp:
 	  
-	  Increased version number.
+	  Added experimental variance-gamma classes (thanks to Adrian
+	  O'Neill.)
+	  
+	  Contributed classes include a variance-gamma process and model (with
+	  data but no behavior at this time) and a couple of working engines
+	  for European options.
+
+2010-03-12 14:47  Luigi Ballabio
+
+	* [r17220] ql/experimental/fx:
+	  
+	  Added svn:ignore property.
+
+2010-03-09 15:42  Luigi Ballabio
+
+	* [r17218]
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp,
+	  ql/experimental/mcbasket/mcpathbasketengine.cpp,
+	  ql/experimental/mcbasket/pathpayoff.hpp:
+	  
+	  Fixes for McBasket Longstaff-Schwartz (thanks to Andrea Odetti.)
+	  
+	  - arrays did not initialise their entries; this is now fixed.
+	  - changed behaviour when there are not ITM paths to run the
+	  least-squares regression; in that case, we never exercise.
+	  - conditional exercise is now enabled. If on a path, exercise is
+	  not allowed, leave the states empty. Alternatively, one could
+	  set an exercise value to -DBL_MAX.
+	  - canExercise was not honoured at maturity during pricing.
+
+2010-03-09 15:41  Luigi Ballabio
+
+	* [r17217] ql/experimental/mcbasket/adaptedpathpayoff.cpp,
+	  ql/experimental/mcbasket/adaptedpathpayoff.hpp,
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp,
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp,
+	  ql/experimental/mcbasket/mcamericanpathengine.hpp,
+	  ql/experimental/mcbasket/mcpathbasketengine.cpp,
+	  ql/experimental/mcbasket/mcpathbasketengine.hpp,
+	  ql/experimental/mcbasket/pathpayoff.hpp:
+	  
+	  Allow hybrid products in the McBasket framework (thanks to Andrea
+	  Odetti.)
+	  
+	  Path pricers now take a vector of YieldTermStructures that contains
+	  the
+	  (possibly stochastic) yield curves.
+
+2010-03-09 13:56  Luigi Ballabio
+
+	* [r17216] ql/experimental/mcbasket/mcamericanpathengine.hpp,
+	  ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp,
+	  ql/experimental/mcbasket/mcpathbasketengine.hpp:
+	  
+	  Added arguments similar to the other engines (thanks to Andrea
+	  Odetti.)
+	  
+	  Control variate and time steps per year are now supported.
+
+2010-03-09 08:27  Luigi Ballabio
+
+	* [r17215] ql/math/copulas/alimikhailhaqcopula.hpp,
+	  ql/math/copulas/claytoncopula.hpp,
+	  ql/math/copulas/farliegumbelmorgensterncopula.hpp,
+	  ql/math/copulas/frankcopula.hpp, ql/math/copulas/galamboscopula.hpp,
+	  ql/math/copulas/gaussiancopula.hpp,
+	  ql/math/copulas/gumbelcopula.hpp,
+	  ql/math/copulas/huslerreisscopula.hpp,
+	  ql/math/copulas/independentcopula.hpp,
+	  ql/math/copulas/marshallolkincopula.hpp,
+	  ql/math/copulas/maxcopula.hpp, ql/math/copulas/mincopula.hpp,
+	  ql/math/copulas/plackettcopula.hpp:
+	  
+	  Added classes to HTML docs.
+
+2010-03-09 08:26  Luigi Ballabio
+
+	* [r17214] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev,
+	  QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/math/copulas/Makefile.am,
+	  ql/math/copulas/alimikhailhaqcopula.cpp,
+	  ql/math/copulas/alimikhailhaqcopula.hpp, ql/math/copulas/all.hpp,
+	  ql/math/copulas/galamboscopula.cpp,
+	  ql/math/copulas/galamboscopula.hpp,
+	  ql/math/copulas/huslerreisscopula.cpp,
+	  ql/math/copulas/huslerreisscopula.hpp,
+	  ql/math/copulas/plackettcopula.cpp,
+	  ql/math/copulas/plackettcopula.hpp:
+	  
+	  Added more copulas (thanks to Hachemi Benyahia.)
+	  
+	  The new formulas are for Ali-Mikhail-Haq copula, Galambos copula,
+	  Husler-Reiss copula, and Plackett copula.
+
+2010-03-05 16:05  Luigi Ballabio
+
+	* [r17210] Examples/FittedBondCurve/FittedBondCurve.cpp:
+	  
+	  Formatted output and comments.
+
+2010-03-05 16:05  Luigi Ballabio
+
+	* [r17209] Contributors.txt, Docs/pages/authors.docs,
+	  Examples/FittedBondCurve/FittedBondCurve.cpp,
+	  ql/termstructures/yield/nonlinearfittingmethods.cpp,
+	  ql/termstructures/yield/nonlinearfittingmethods.hpp:
+	  
+	  Added Svensson curve-fitting method (thanks to Alessandro Roveda.)
+
+2010-03-03 16:46  Luigi Ballabio
+
+	* [r17207] ql/indexes/indexmanager.cpp:
+	  
+	  Cleaner deletion of histories from IndexManager.
+	  
+	  Previously, cleanHistory(name) and cleanHistories() would replace
+	  the existing time series with an empty one. Now, the relevant
+	  histories are actually deleted from the underlying map.
+
+2010-03-03 11:56  Ferdinando Ametrano
+
+	* [r17206]
+	  ql/termstructures/volatility/optionlet/optionletstripper.hpp,
+	  ql/termstructures/volatility/optionlet/optionletstripper1.hpp,
+	  ql/termstructures/volatility/optionlet/optionletstripper2.hpp:
+	  
+	  - added documentation
+	  - made OptionletStripper constructor protected
+
+2010-03-03 11:32  Ferdinando Ametrano
+
+	* [r17205]
+	  ql/termstructures/volatility/optionlet/optionletstripper2.cpp,
+	  ql/termstructures/volatility/optionlet/optionletstripper2.hpp:
+	  
+	  optimized calculation
+
+2010-03-03 11:12  Ferdinando Ametrano
+
+	* [r17204]
+	  ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp,
+	  ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp:
+	  
+	  
+
+2010-03-03 11:11  Ferdinando Ametrano
+
+	* [r17203]
+	  ql/termstructures/volatility/optionlet/optionletstripper2.cpp:
+	  
+	  reordered computations. The atm calculation is wrong and should be
+	  fixed
+
+2010-03-03 08:36  Luigi Ballabio
+
+	* [r17202] Docs/quantlib.css:
+	  
+	  Sync with the main site css.
+
+2010-03-03 08:35  Luigi Ballabio
+
+	* [r17200] Docs/images/QL-title.jpg:
+	  
+	  Better antialiasing.
+
+2010-03-02 19:35  Ferdinando Ametrano
+
+	* [r17198] ., ql, ql/cashflows/indexedcashflow.hpp,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/instruments/zerocouponinflationswap.cpp,
+	  ql/instruments/zerocouponinflationswap.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-03-02 19:23  Ferdinando Ametrano
+
+	* [r17197] ql/instruments/makecapfloor.cpp:
+	  
+	  temporary patch to get the correct ATM when discounting is different
+	  from forwarding
+
+2010-03-02 18:11  Ferdinando Ametrano
+
+	* [r17190] ql/pricingengines/capfloor/blackcapfloorengine.cpp,
+	  ql/pricingengines/capfloor/blackcapfloorengine.hpp,
+	  ql/pricingengines/swaption/blackswaptionengine.cpp,
+	  ql/pricingengines/swaption/blackswaptionengine.hpp:
+	  
+	  renamed variables and added comments
+
+2010-03-02 17:55  Ferdinando Ametrano
+
+	* [r17189] ql/instruments/makevanillaswap.cpp,
+	  ql/instruments/makevanillaswap.hpp:
+	  
+	  - added withPricingEngine method (similar to the one already
+	  available for MakeCapFloor and MakeSwaption
+	  - fixed ATM calculation bug
+
+2010-03-02 16:10  Ferdinando Ametrano
+
+	* [r17186] ql/instruments/capfloor.hpp:
+	  
+	  improved formatting
+
+2010-03-02 16:09  Ferdinando Ametrano
+
+	* [r17185] ql/instruments/capfloor.cpp, ql/instruments/swaption.cpp:
+	  
+	  commented out useless calculate() calls. If I'm missing their
+	  usefulness, please un-comment them back in documenting their
+	  rationale
+
+2010-03-01 19:13  Ferdinando Ametrano
+
+	* [r17184] ql/instruments/makecapfloor.hpp:
+	  
+	  
+
+2010-03-01 15:44  Ferdinando Ametrano
+
+	* [r17183] ql/instruments/payoffs.hpp:
+	  
+	  made base-class constructors protected
+
+2010-03-01 15:43  Ferdinando Ametrano
+
+	* [r17182] ql/pricingengines/blackcalculator.cpp,
+	  ql/pricingengines/blackcalculator.hpp,
+	  ql/pricingengines/blackscholescalculator.cpp,
+	  ql/pricingengines/blackscholescalculator.hpp:
+	  
+	  added simpler constructors and inlined few methods
+
+2010-02-26 09:37  Ferdinando Ametrano
+
+	* [r17176] ql/math/interpolations/mixedinterpolation.hpp:
+	  
+	  avoided VC9 warning
+
+2010-02-24 11:58  Ferdinando Ametrano
+
+	* [r17173] ., ChangeLog.txt, Docs/Makefile.am,
+	  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, ql,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-02-23 17:03  Ferdinando Ametrano
+
+	* [r17160] QuantLib_vc7.vcproj:
+	  
+	  VC7 catching up
+
+2010-02-23 16:37  Ferdinando Ametrano
+
+	* [r17159] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/cashflows/Makefile.am, ql/cashflows/simplecashflow.cpp,
+	  ql/cashflows/simplecashflow.hpp:
+	  
+	  required non-null date and amount in SimpleCashFlow constructor
+
+2010-02-23 12:03  Ferdinando Ametrano
+
+	* [r17145] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,
+	  ql/pricingengines/bond/bondfunctions.cpp,
+	  ql/pricingengines/bond/bondfunctions.hpp:
+	  
+	  - fixed bug in the previousAmount and previousRate functions
+	  - switched to reverse iterator signature for previousXXX functions
+
+2010-02-22 17:54  Ferdinando Ametrano
+
+	* [r17144] ql/pricingengines/bond/bondfunctions.cpp:
+	  
+	  removed tradability requirement for next/previous inspectors
+
+2010-02-22 17:34  Ferdinando Ametrano
+
+	* [r17143] ql/instruments/bond.cpp:
+	  
+	  fixed "null maturity date" wrong behavior
+
+2010-02-22 15:06  Ferdinando Ametrano
+
+	* [r17139] ql/pricingengines/bond/discountingbondengine.cpp:
+	  
+	  avoided usage of CashFlows::NPV default values
+
+2010-02-21 17:17  Klaus Spanderen
+
+	* [r17135] test-suite/hybridhestonhullwhiteprocess.cpp,
+	  test-suite/hybridhestonhullwhiteprocess.hpp:
+	  
+	  added new test cases for hybrid Heston-Hull-White model
+
+2010-02-19 15:57  Ferdinando Ametrano
+
+	* [r17134] ql/time/schedule.cpp:
+	  
+	  added tolerance for firstDate==effectiveDate and
+	  nextToLastDate==terminationDate
+
+2010-02-19 15:21  Ferdinando Ametrano
+
+	* [r17132] ql/instruments/bonds/fixedratebond.hpp:
+	  
+	  added comments
+
+2010-02-19 14:49  Ferdinando Ametrano
+
+	* [r17129] ql/cashflows/fixedratecoupon.cpp,
+	  ql/cashflows/fixedratecoupon.hpp,
+	  ql/instruments/bonds/fixedratebond.cpp,
+	  ql/instruments/bonds/fixedratebond.hpp:
+	  
+	  added paymentCalendar to FixedRateBond, a possibly different
+	  calendar than the one used for schedule (accrual dates) calculation
+
+2010-02-19 11:36  Ferdinando Ametrano
+
+	* [r17128] ql/cashflows/cashflows.cpp:
+	  
+	  ugly unreasonable patch, help would be appreciated
+
+2010-02-18 16:10  Ferdinando Ametrano
+
+	* [r17121] ., ChangeLog.txt, ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/userconfig.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-02-18 10:53  Ferdinando Ametrano
+
+	* [r17118] ql/cashflows/fixedratecoupon.cpp:
+	  
+	  
+
+2010-02-17 14:26  Ferdinando Ametrano
+
+	* [r17113] ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp,
+	  ql/cashflows/digitalcmscoupon.cpp,
+	  ql/cashflows/digitalcmscoupon.hpp,
+	  ql/cashflows/digitaliborcoupon.cpp,
+	  ql/cashflows/digitaliborcoupon.hpp,
+	  ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp,
+	  ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp,
+	  ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp:
+	  
+	  reverted Rev17107
+
+2010-02-17 13:38  Ferdinando Ametrano
+
+	* [r17112] ql/cashflows/cashflows.cpp:
+	  
+	  fixed bug (maybe worth porting on 1.0 branch too)
+
+2010-02-17 09:36  Luigi Ballabio
+
+	* [r17110] ql/math/interpolations/mixedinterpolation.hpp:
+	  
+	  Avoided g++ error.
+	  
+	  I have no idea what VC9 complains about, but the 'this->' is
+	  required by the C++ standard.
+
+2010-02-17 08:23  Ferdinando Ametrano
+
+	* [r17109] ql/math/interpolations/mixedinterpolation.hpp:
+	  
+	  avoided VC9 warning
+
+2010-02-17 08:23  Ferdinando Ametrano
+
+	* [r17108] ql/cashflows/cmscoupon.cpp,
+	  ql/cashflows/digitalcmscoupon.cpp,
+	  ql/cashflows/digitaliborcoupon.cpp,
+	  ql/cashflows/fixedratecoupon.cpp, ql/cashflows/iborcoupon.cpp,
+	  ql/cashflows/rangeaccrual.cpp:
+	  
+	  fixed bug
+
+2010-02-16 19:20  Ferdinando Ametrano
+
+	* [r17107] ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp,
+	  ql/cashflows/digitalcmscoupon.cpp,
+	  ql/cashflows/digitalcmscoupon.hpp,
+	  ql/cashflows/digitaliborcoupon.cpp,
+	  ql/cashflows/digitaliborcoupon.hpp,
+	  ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp,
+	  ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp,
+	  ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp:
+	  
+	  added XXX::operator boost::shared_ptr<Leg>() const
+
+2010-02-16 19:10  Ferdinando Ametrano
+
+	* [r17106] ql/pricingengines/bond/bondfunctions.cpp,
+	  ql/pricingengines/bond/bondfunctions.hpp:
+	  
+	  added more Coupon inspectors
+
+2010-02-16 19:09  Ferdinando Ametrano
+
+	* [r17105] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp:
+	  
+	  added more Coupon inspectors
+
+2010-02-16 19:06  Ferdinando Ametrano
+
+	* [r17104] ql/instruments/makevanillaswap.hpp:
+	  
+	  
+
+2010-02-12 15:44  Luigi Ballabio
+
+	* [r17098] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
+	  QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am,
+	  ql/experimental/all.hpp, ql/experimental/fx,
+	  ql/experimental/fx/Makefile.am, ql/experimental/fx/all.hpp,
+	  ql/experimental/fx/blackdeltacalculator.cpp,
+	  ql/experimental/fx/blackdeltacalculator.hpp,
+	  ql/experimental/fx/deltavolquote.cpp,
+	  ql/experimental/fx/deltavolquote.hpp, test-suite/Makefile.am,
+	  test-suite/blackdeltacalculator.cpp,
+	  test-suite/blackdeltacalculator.hpp,
+	  test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  Added experimental delta calculator (thanks to Dimitri Reiswich.)
+
+2010-02-11 11:31  Luigi Ballabio
+
+	* [r17095] Announce.txt, configure.ac, ql/version.hpp:
+	  
+	  Increased version number to 1.1.
+
+2010-02-10 14:03  Ferdinando Ametrano
+
+	* [r17088] ., Announce.txt, Examples/MarketModels/MarketModels.cpp,
+	  configure.ac, ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/version.hpp,
+	  test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-02-09 16:53  Luigi Ballabio
+
+	* [r17085] ql/math/interpolations/Makefile.am,
+	  ql/math/interpolations/all.hpp:
+	  
+	  Added new file to autotools build.
+
+2010-02-09 16:52  Luigi Ballabio
+
+	* [r17084] ql/math/interpolations/mixedinterpolation.hpp:
+	  
+	  Fixed access to data members of template base class.
+
+2010-02-09 16:47  Ferdinando Ametrano
+
+	* [r17083] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-02-09 09:40  Ferdinando Ametrano
+
+	* [r17075] QuantLib_vc9.vcproj,
+	  ql/math/interpolations/mixedinterpolation.hpp:
+	  
+	  added MixedInterpolation
+
+2010-02-08 10:50  Ferdinando Ametrano
+
+	* [r17069] ql/instruments/assetswap.cpp:
+	  
+	  added comments
+
+2010-02-08 10:47  Ferdinando Ametrano
+
+	* [r17068] ql/math/interpolations/loginterpolation.hpp:
+	  
+	  formatting
+
+2010-02-04 09:54  Ferdinando Ametrano
+
+	* [r17064] Examples/Swap/swapvaluation.cpp:
+	  
+	  removed spurious commit
+
+2010-02-03 16:54  Ferdinando Ametrano
+
+	* [r17061] ., Examples/Swap/swapvaluation.cpp, ql,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp, ql/instruments/makeois.cpp,
+	  ql/instruments/zerocouponinflationswap.cpp,
+	  ql/instruments/zerocouponinflationswap.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/inflation/inflationhelpers.cpp,
+	  ql/termstructures/inflation/inflationhelpers.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-01-31 10:13  Klaus Spanderen
+
+	* [r17057] test-suite/quantlibbenchmark.cpp:
+	  
+	  updated mflop values, use PAPI_flops
+
+2010-01-29 13:45  Luigi Ballabio
+
+	* [r17055] ql/experimental/inflation/polynomial2Dspline.hpp:
+	  
+	  Renamed helper namespace.
+
+2010-01-29 13:44  Luigi Ballabio
+
+	* [r17054] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj,
+	  QuantLib_vc9.vcproj, ql/experimental/math/Makefile.am,
+	  ql/experimental/math/all.hpp,
+	  ql/experimental/math/autocovariance.hpp, test-suite/Makefile.am,
+	  test-suite/autocovariances.cpp, test-suite/autocovariances.hpp,
+	  test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  Added autocovariance calculation (thanks to Slava Mazur.)
+
+2010-01-28 09:17  Ferdinando Ametrano
+
+	* [r17053] ., Announce.txt, configure.ac, ql,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp, ql/instruments/bond.cpp,
+	  ql/instruments/makeois.cpp,
+	  ql/math/distributions/normaldistribution.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/yield/oisratehelper.cpp, ql/version.hpp,
+	  test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-01-26 14:08  Ferdinando Ametrano
+
+	* [r17043] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp,
+	  test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-01-26 11:50  Ferdinando Ametrano
+
+	* [r17040]
+	  ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp,
+	  ql/termstructures/volatility/optionlet/spreadedoptionletvol.cpp:
+	  
+	  added OptionletVolatilityStructure default constructor
+
+2010-01-26 11:47  Ferdinando Ametrano
+
+	* [r17039] ql/termstructures/yield/forwardspreadedtermstructure.hpp:
+	  
+	  fixed comment
+
+2010-01-25 14:13  Luigi Ballabio
+
+	* [r17037] man/MarketModels.1:
+	  
+	  Ported changes from 1.0.x branch.
+
+2010-01-25 11:44  Ferdinando Ametrano
+
+	* [r17034] ., ChangeLog.txt, Docs/pages/history.docs, News.txt,
+	  Readme.txt, ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/models/marketmodels/products/multiproductcomposite.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged branches/R01000x-branch into trunk, respecting ancestry
+
+2010-01-24 13:41  Klaus Spanderen
+
+	* [r17030] ql/pricingengines/vanilla/analytichestonengine.cpp,
+	  ql/pricingengines/vanilla/analytichestonengine.hpp:
+	  
+	  removed obsolete code (thanks to Toyin for the hint)
+
+2010-01-22 04:00  Mark Joshi
+
+	* [r17024] ql/models/marketmodels/products/multiproductcomposite.cpp:
+	  
+	  bug fix for multproductcomposite
+
+2010-01-14 00:16  Klaus Spanderen
+
+	* [r17009]
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp:
+	  
+	  ensure monotony of pGrid
+
+2010-01-13 23:33  Klaus Spanderen
+
+	* [r17008]
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp:
+	  
+	  ensure monotony of pGrid
+
+2010-01-13 18:13  Ferdinando Ametrano
 
-2009-11-24 16:31  Luigi Ballabio
+	* [r17007] ., ql, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite:
+	  
+	  merged up to r17006 of branches/R01000x-branch into trunk,
+	  respecting ancestry
 
-	* [r16794] Examples/BermudanSwaption/BermudanSwaption.dev,
-	  Examples/Bonds/Bonds.dev, Examples/CDS/CDS.dev,
+2010-01-13 17:52  Dirk Eddelbuettel
+
+	* [r17004] man/BermudanSwaption.1, man/Bonds.1, man/CDS.1,
+	  man/CallableBonds.1, man/ConvertibleBonds.1, man/DiscreteHedging.1,
+	  man/EquityOption.1, man/FRA.1, man/FittedBondCurve.1,
+	  man/Makefile.am, man/MarketModels.1, man/Replication.1, man/Repo.1,
+	  man/SwapValuation.1:
+	  
+	  added man/MarketModels.1, updated man/Makefile.am, updated See Also
+	  for other man/*1.
+
+2010-01-13 17:38  Ferdinando Ametrano
+
+	* [r17000] ., Announce.txt, ChangeLog.txt,
+	  Examples/MarketModels/Makefile.am, QuantLib.dev, configure.ac, ql,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/models/marketmodels/callability/swapforwardbasissystem.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/processes/hybridhestonhullwhiteprocess.cpp, ql/version.hpp,
+	  test-suite:
+	  
+	  merged up to r16999 of branches/R01000x-branch into trunk,
+	  respecting ancestry
+
+2010-01-07 22:17  Klaus Spanderen
+
+	* [r16989] ql/processes/hybridhestonhullwhiteprocess.cpp:
+	  
+	  use "full truncation" scheme for the variance process
+
+2010-01-07 16:59  Ferdinando Ametrano
+
+	* [r16987] ., QuantLib_vc9.vcproj, ql, ql/cashflows/cashflows.cpp,
+	  ql/experimental/convertiblebonds/tflattice.hpp,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/experimental/inflation/yoycapfloortermpricesurface.hpp,
+	  ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp,
+	  ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/inflation/seasonality.cpp,
+	  ql/termstructures/inflation/seasonality.hpp,
+	  ql/termstructures/inflationtermstructure.cpp, test-suite,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  
+
+2010-01-04 15:18  Klaus Spanderen
+
+	* [r16981] test-suite/fdmlinearop.cpp:
+	  
+	  BiCGstab test case now includes sparse ILU preconditioner
+
+2009-12-30 11:02  Ferdinando Ametrano
+
+	* [r16961] ., Announce.txt, Bugs.txt, Contributors.txt,
+	  Docs/pages/authors.docs, Docs/pages/license.docs, LICENSE.TXT,
+	  QuantLib.dev, QuantLib_vc7.sln, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.sln, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  configure.ac, quantlib-config.in, test-suite, test-suite/cdo.cpp,
+	  test-suite/convertiblebonds.cpp, test-suite/creditdefaultswap.cpp,
+	  test-suite/everestoption.cpp, test-suite/extendedtrees.cpp,
+	  test-suite/hestonmodel.cpp, test-suite/himalayaoption.cpp,
+	  test-suite/hybridhestonhullwhiteprocess.cpp,
+	  test-suite/inflationcapfloor.cpp,
+	  test-suite/inflationcapflooredcoupon.cpp,
+	  test-suite/interpolations.cpp, test-suite/pagodaoption.cpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj,
+	  test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj:
+	  
+	  merged changeset up to Rev16952 from branches/R01000x-branch to
+	  trunk
+
+2009-12-30 11:00  Ferdinando Ametrano
+
+	* [r16960] Examples/BermudanSwaption/BermudanSwaption.cpp,
+	  Examples/BermudanSwaption/BermudanSwaption.dev,
+	  Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj,
+	  Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj,
+	  Examples/Bonds/Bonds.cpp, Examples/Bonds/Bonds.dev,
+	  Examples/Bonds/Bonds_vc7.vcproj, Examples/Bonds/Bonds_vc9.vcproj,
+	  Examples/CDS/CDS.cpp, Examples/CDS/CDS.dev,
+	  Examples/CDS/CDS_vc7.vcproj, Examples/CDS/CDS_vc9.vcproj,
+	  Examples/CallableBonds/CallableBonds.cpp,
 	  Examples/CallableBonds/CallableBonds.dev,
+	  Examples/CallableBonds/CallableBonds_vc7.vcproj,
+	  Examples/CallableBonds/CallableBonds_vc9.vcproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds.cpp,
 	  Examples/ConvertibleBonds/ConvertibleBonds.dev,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj,
+	  Examples/DiscreteHedging/DiscreteHedging.cpp,
 	  Examples/DiscreteHedging/DiscreteHedging.dev,
-	  Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev,
+	  Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj,
+	  Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj,
+	  Examples/EquityOption/EquityOption.cpp,
+	  Examples/EquityOption/EquityOption.dev,
+	  Examples/EquityOption/EquityOption_vc7.vcproj,
+	  Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA.cpp,
+	  Examples/FRA/FRA.dev, Examples/FRA/FRA_vc7.vcproj,
+	  Examples/FRA/FRA_vc9.vcproj,
+	  Examples/FittedBondCurve/FittedBondCurve.cpp,
 	  Examples/FittedBondCurve/FittedBondCurve.dev,
-	  Examples/Replication/Replication.dev, Examples/Repo/Repo.dev,
-	  Examples/Swap/Swap.dev, QuantLib.dev, QuantLib_vc7.vcproj,
-	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/Makefile.am,
-	  ql/auto_link.hpp, test-suite/testsuite.dev,
-	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
-	  test-suite/testsuite_vc9.vcproj:
+	  Examples/FittedBondCurve/FittedBondCurve_vc7.vcproj,
+	  Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj,
+	  Examples/Makefile.am, Examples/MarketModels,
+	  Examples/MarketModels/Makefile.am,
+	  Examples/MarketModels/MarketModels.cpp,
+	  Examples/MarketModels/MarketModels.dev,
+	  Examples/MarketModels/MarketModels_vc7.vcproj,
+	  Examples/MarketModels/MarketModels_vc8.vcproj,
+	  Examples/MarketModels/MarketModels_vc9.vcproj,
+	  Examples/Replication/Replication.cpp,
+	  Examples/Replication/Replication.dev,
+	  Examples/Replication/Replication_vc7.vcproj,
+	  Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo.cpp,
+	  Examples/Repo/Repo.dev, Examples/Repo/Repo_vc7.vcproj,
+	  Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap.dev,
+	  Examples/Swap/Swap_vc7.vcproj, Examples/Swap/Swap_vc9.vcproj,
+	  Examples/Swap/swapvaluation.cpp:
+	  
+	  merged changeset up to Rev16952 from branches/R01000x-branch to
+	  trunk
+
+2009-12-30 10:57  Ferdinando Ametrano
+
+	* [r16959] ql, ql/Makefile.am, ql/auto_link.hpp,
+	  ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp,
+	  ql/cashflows/coupon.cpp, ql/cashflows/coupon.hpp,
+	  ql/cashflows/indexedcashflow.cpp, ql/cashflows/indexedcashflow.hpp,
+	  ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp,
+	  ql/experimental/Makefile.am, ql/experimental/all.hpp,
+	  ql/experimental/callablebonds/callablebond.cpp,
+	  ql/experimental/callablebonds/callablebond.hpp,
+	  ql/experimental/commodities/unitofmeasureconversion.cpp,
+	  ql/experimental/commodities/unitofmeasureconversion.hpp,
+	  ql/experimental/commodities/unitofmeasureconversionmanager.cpp,
+	  ql/experimental/commodities/unitofmeasureconversionmanager.hpp,
+	  ql/experimental/convertiblebonds,
+	  ql/experimental/convertiblebonds/Makefile.am,
+	  ql/experimental/convertiblebonds/all.hpp,
+	  ql/experimental/convertiblebonds/binomialconvertibleengine.hpp,
+	  ql/experimental/convertiblebonds/convertiblebond.cpp,
+	  ql/experimental/convertiblebonds/convertiblebond.hpp,
+	  ql/experimental/convertiblebonds/discretizedconvertible.cpp,
+	  ql/experimental/convertiblebonds/discretizedconvertible.hpp,
+	  ql/experimental/convertiblebonds/tflattice.hpp,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/experimental/credit/onefactorcopula.hpp,
+	  ql/experimental/credit/syntheticcdoengines.hpp,
+	  ql/experimental/exoticoptions,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/everestoption.cpp,
+	  ql/experimental/exoticoptions/everestoption.hpp,
+	  ql/experimental/exoticoptions/himalayaoption.cpp,
+	  ql/experimental/exoticoptions/himalayaoption.hpp,
+	  ql/experimental/exoticoptions/mceverestengine.cpp,
+	  ql/experimental/exoticoptions/mceverestengine.hpp,
+	  ql/experimental/exoticoptions/mchimalayaengine.cpp,
+	  ql/experimental/exoticoptions/mchimalayaengine.hpp,
+	  ql/experimental/exoticoptions/mcpagodaengine.cpp,
+	  ql/experimental/exoticoptions/mcpagodaengine.hpp,
+	  ql/experimental/exoticoptions/pagodaoption.cpp,
+	  ql/experimental/exoticoptions/pagodaoption.hpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.cpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.hpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.cpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.hpp,
+	  ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp,
+	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp,
+	  ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp,
+	  ql/experimental/mcbasket/adaptedpathpayoff.cpp,
+	  ql/experimental/mcbasket/adaptedpathpayoff.hpp,
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp,
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp,
+	  ql/experimental/mcbasket/mcamericanpathengine.hpp,
+	  ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp,
+	  ql/experimental/mcbasket/pathmultiassetoption.hpp,
+	  ql/indexes/swapindex.hpp, ql/instruments/Makefile.am,
+	  ql/instruments/all.hpp, ql/instruments/bonds/Makefile.am,
+	  ql/instruments/bonds/all.hpp,
+	  ql/instruments/bonds/convertiblebond.cpp,
+	  ql/instruments/bonds/convertiblebond.hpp,
+	  ql/instruments/everestoption.cpp, ql/instruments/everestoption.hpp,
+	  ql/instruments/himalayaoption.cpp,
+	  ql/instruments/himalayaoption.hpp, ql/instruments/pagodaoption.cpp,
+	  ql/instruments/pagodaoption.hpp,
+	  ql/instruments/zerocouponinflationswap.cpp, ql/legacy/Makefile.am,
+	  ql/legacy/all.hpp, ql/math/distributions/poissondistribution.hpp,
+	  ql/math/interpolations/convexmonotoneinterpolation.hpp,
+	  ql/math/interpolations/kernelinterpolation.hpp,
+	  ql/math/interpolations/sabrinterpolation.hpp,
+	  ql/math/matrixutilities/getcovariance.cpp,
+	  ql/math/matrixutilities/getcovariance.hpp,
+	  ql/math/matrixutilities/tapcorrelations.cpp,
+	  ql/math/matrixutilities/tapcorrelations.hpp,
+	  ql/math/optimization/bfgs.cpp, ql/math/optimization/bfgs.hpp,
+	  ql/math/optimization/conjugategradient.cpp,
+	  ql/math/optimization/conjugategradient.hpp,
+	  ql/math/optimization/linesearchbasedmethod.cpp,
+	  ql/math/optimization/linesearchbasedmethod.hpp,
+	  ql/math/optimization/steepestdescent.cpp,
+	  ql/math/optimization/steepestdescent.hpp,
+	  ql/math/randomnumbers/lecuyeruniformrng.cpp, ql/methods/Makefile.am,
+	  ql/methods/all.hpp, ql/methods/lattices/Makefile.am,
+	  ql/methods/lattices/all.hpp, ql/methods/lattices/bsmlattice.hpp,
+	  ql/methods/lattices/tflattice.hpp,
+	  ql/models/marketmodels/callability/swapforwardbasissystem.cpp,
+	  ql/models/marketmodels/callability/swapforwardbasissystem.hpp,
+	  ql/models/marketmodels/curvestates/lmmcurvestate.cpp,
+	  ql/models/marketmodels/curvestates/lmmcurvestate.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp,
+	  ql/models/marketmodels/models/capletcoterminalperiodic.cpp,
+	  ql/models/marketmodels/models/capletcoterminalperiodic.hpp,
+	  ql/models/marketmodels/pathwisediscounter.cpp,
+	  ql/models/marketmodels/pathwisediscounter.hpp,
+	  ql/models/marketmodels/products/multistep/multistepinversefloater.cpp,
+	  ql/models/marketmodels/products/multistep/multistepinversefloater.hpp,
+	  ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp,
+	  ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp,
+	  ql/models/marketmodels/products/pathwise/Makefile.am,
+	  ql/models/marketmodels/products/pathwise/all.hpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.cpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.cpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp,
+	  ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp,
+	  ql/models/marketmodels/proxygreekengine.cpp,
+	  ql/models/marketmodels/utilities.cpp, ql/pricingengines/Makefile.am,
+	  ql/pricingengines/all.hpp, ql/pricingengines/basket/Makefile.am,
+	  ql/pricingengines/basket/all.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/pricingengines/basket/mceverestengine.cpp,
+	  ql/pricingengines/basket/mceverestengine.hpp,
+	  ql/pricingengines/basket/mchimalayaengine.cpp,
+	  ql/pricingengines/basket/mchimalayaengine.hpp,
+	  ql/pricingengines/basket/mcpagodaengine.cpp,
+	  ql/pricingengines/basket/mcpagodaengine.hpp,
+	  ql/pricingengines/bond/bondfunctions.cpp,
+	  ql/pricingengines/bond/bondfunctions.hpp,
+	  ql/pricingengines/credit/integralcdsengine.cpp,
+	  ql/pricingengines/credit/midpointcdsengine.cpp,
+	  ql/pricingengines/hybrid,
+	  ql/pricingengines/swap/discountingswapengine.cpp,
+	  ql/pricingengines/vanilla/analyticgjrgarchengine.cpp,
+	  ql/pricingengines/vanilla/analytichestonengine.cpp,
+	  ql/pricingengines/vanilla/analytichestonengine.hpp,
+	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp,
+	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp,
+	  ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp,
+	  ql/quotes/compositequote.hpp, ql/termstructure.cpp,
+	  ql/termstructure.hpp,
+	  ql/termstructures/credit/interpolatedhazardratecurve.hpp,
+	  ql/termstructures/credit/probabilitytraits.hpp,
+	  ql/termstructures/interpolatedcurve.hpp,
+	  ql/termstructures/yield/bondhelpers.cpp,
+	  ql/termstructures/yield/bondhelpers.hpp,
+	  ql/termstructures/yield/discountcurve.hpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.cpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.hpp,
+	  ql/termstructures/yield/forwardcurve.hpp,
+	  ql/termstructures/yield/ratehelpers.cpp,
+	  ql/termstructures/yield/zerocurve.hpp,
+	  ql/termstructures/yieldtermstructure.cpp,
+	  ql/termstructures/yieldtermstructure.hpp,
+	  ql/time/dategenerationrule.cpp, ql/time/dategenerationrule.hpp,
+	  ql/time/daycounters/actualactual.cpp, ql/time/schedule.cpp,
+	  ql/version.hpp:
+	  
+	  merged changeset up to Rev16952 from branches/R01000x-branch to
+	  trunk
+
+2009-12-28 13:25  Klaus Spanderen
+
+	* [r16943] ql/processes/hestonprocess.cpp:
+	  
+	  avoid underrun problem in conjunction with the error function
+
+2009-12-06 10:49  Klaus Spanderen
+
+	* [r16865] test-suite/hestonmodel.cpp:
+	  
+	  speed-up Heston test cases by using QE-M discretization
+
+2009-12-05 14:16  Roland Lichters
+
+	* [r16864] ql/experimental/credit/syntheticcdoengines.hpp:
+	  
+	  reverted clean up of MidPointCDOEngine
+
+2009-12-03 20:15  Klaus Spanderen
+
+	* [r16863] ql/processes/hestonprocess.cpp,
+	  ql/processes/hestonprocess.hpp:
 	  
-	  Removed version number from built output.
+	  added Quadratic Exponential discretization scheme for the Heston
+	  process incl. martingale correction
+
+2009-12-02 16:22  Roland Lichters
+
+	* [r16852] ql/experimental/credit/distribution.cpp,
+	  ql/experimental/credit/distribution.hpp,
+	  ql/experimental/credit/riskyassetswap.cpp,
+	  ql/experimental/credit/riskybond.cpp,
+	  ql/experimental/credit/riskybond.hpp,
+	  ql/experimental/credit/syntheticcdoengines.hpp:
+	  
+	  fixed Nando's lint warnings
+
+2009-11-27 20:22  Klaus Spanderen
+
+	* [r16839]
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.cpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.hpp,
+	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp,
+	  ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp:
 	  
-	  The idea is that, due to backward compatibility, one should be
-	  able to just drop the new library in place of the old one without
-	  having to change the link argument. True, this already kind of
-	  happened with symbolic links and auto_link, but let's make it
-	  even more explicit.
+	  fixed lint warnings (using Nando's alternative 1)
 
-2009-11-24 14:36  Luigi Ballabio
+2009-11-25 02:59  Mark Joshi
 
-	* [r16793]
+	* [r16804] ql/math/statistics/sequencestatistics.hpp:
 	  
-	  Created branch for 1.0.x releases.
+	  fixed x64 warning
 
 2009-11-24 11:33  Ferdinando Ametrano
 
diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
index 7e95def81e..4e4a4d2a2d 100644
--- a/Docs/pages/history.docs
+++ b/Docs/pages/history.docs
@@ -1,6 +1,6 @@
 
 /*
- Copyright (C) 2000-2009 StatPro Italia srl
+ Copyright (C) 2000-2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,7 +18,108 @@
 
 /*! \page history Version history
 
-    <strong>Release 1.0 - February 2010</strong>
+    <strong>Release 1.1 - May 2011</strong>
+
+    PORTABILITY
+    - Added support for Microsoft Visual C++ 2010.
+    - Fixed m4 macro for QuantLib detection.  It now works also when asked
+      for versions such as 1.1 (as opposed to 1.1.0).
+
+    DATE/TIME
+    - Added Russian calendar.
+    - Revamped time-series iterators (thanks to Slava Mazur.)  Iterators
+      on dates and values were added, as well as C++0X-style cbegin() and
+      cend() iterators.
+
+    INSTRUMENTS
+    - Added a few inspectors to zero-coupon inflation swaps.
+    - Added Kirk approximation for two-asset spread options.
+    - Added specialized BTP class (Italian government bonds) and related
+      RendistatoCalculator class to help instantiation of this type of
+      FixedRateBond.
+    - Added analytic pricing engine for the piecewise-constant
+      time-dependent Heston model.
+    - Added paymentCalendar to FixedRateBond, possibly different
+      than the one used for accrual-date calculation.
+
+    PROCESSES
+    - Added Quadratic Exponential discretization scheme for the Heston
+      process, including martingale correction.
+
+    INDEXES
+    - Added inspector for discounting curve to swap index (thanks to Peter
+      Caspers.)
+    - Added exogenous discounting to all swap indexes.
+    - Added SONIA index.
+    - Added HICPXT indexes.
+
+    TERM STRUCTURES
+    - Added time-based interface to inflation curves.
+    - Piecewise zero-spreaded term structure can now manage spread with
+      any compounding (thanks to Robert Philipp.)
+    - FittedBondDiscountCurve now works with any BondHelpers, not only
+      FixedRateBondHelpers.
+    - Added Svensson curve-fitting method (thanks to Alessandro Roveda.)
+
+    MATH
+    - Added Ziggurat random-number generator (thanks to Kakhkhor
+      Abdijalilov.)
+    - Added experimental copula-based random-number generators (thanks to
+      Hachemi Benyahia.)
+    - More performant implementation of inverse cumulative distribution
+      (thanks to Kakhkhor Abdijalilov.)
+    - More performant mt19937 implementation (thanks to Kakhkhor
+      Abdijalilov.)
+    - Added more copulas (thanks to Hachemi Benyahia.)  The new formulas
+      are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss
+      copula, and Plackett copula.
+    - Added autocovariance calculation (thanks to Slava Mazur.)
+
+    MONTE CARLO
+    - Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)
+
+    UTILITIES
+    - Reworked Null class template (thanks to Kakhkhor Abdijalilov.)  The
+      new implementation avoids the need for a macro on 64-bit systems and
+      automatically covers all floating-point and integer types.
+
+    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:
+    - 2D finite-difference Bates engine based on the partial integro
+      differential equation.
+    - 2D finite-difference engine for Black-Scholes processes (including
+      local volatility.)
+    - Black-Scholes process with support for vega stress test (thanks to
+      Michael Heckl.)
+    - Extended Ornstein-Uhlenbeck process.
+    - Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre,
+      Michael Benguigui, and Yanice Cherrak.)
+    - Simple chooser option (thanks to IMAFA/Polytech'Nice students
+      Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
+    - Generalized Hull-White model (thanks to Cavit Hafizoglu.)  The
+      generalized model can take piecewise-constant parameters instead of
+      constant ones. A matching generalized Ornstein-Uhlenbeck process was
+      also added.
+    - Variance-gamma implementation (thanks to Adrian O'Neill.)
+      Contributed classes include a variance-gamma process and model (with
+      data but no behavior at this time) and a couple of working engines
+      for European options.
+    - Hybrid products in the McBasket framework (thanks to Andrea Odetti.)
+      Path pricers now take a vector of YieldTermStructures that contains
+      the (possibly stochastic) yield curves.
+    - Delta calculator for FX options (thanks to Dimitri Reiswich.)
+
+    <strong>Release 1.0.1 - September 17th, 2010</strong>
+
+    Bug-fix release.
+
+    <strong>Release 1.0 - February 24th, 2010</strong>
 
     PORTABILITY
     - Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
diff --git a/Docs/pages/license.docs b/Docs/pages/license.docs
index 6fa75b03e3..87cb10f625 100644
--- a/Docs/pages/license.docs
+++ b/Docs/pages/license.docs
@@ -8,9 +8,9 @@
     Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
     Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
-    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009 Ferdinando Ametrano
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 Ferdinando Ametrano
 
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
     Copyright (C) 2003, 2004 Roman Gitlin
     Copyright (C) 2003 Niels Elken Sønderby
@@ -21,7 +21,7 @@
     Copyright (C) 2004 Mike Parker
     Copyright (C) 2004 Walter Penschke
     Copyright (C) 2004 Gianni Piolanti
-    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009 Klaus Spanderen
+    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010 Klaus Spanderen
     Copyright (C) 2004 Jeff Yu
 
     Copyright (C) 2005, 2006, 2008 Toyin Akin
@@ -41,7 +41,7 @@
     Copyright (C) 2006, 2007 Chiara Fornarola
     Copyright (C) 2006 Silvia Frasson
     Copyright (C) 2006 Richard Gould
-    Copyright (C) 2006, 2007, 2008, 2009 Mark Joshi
+    Copyright (C) 2006, 2007, 2008, 2009, 2010 Mark Joshi
     Copyright (C) 2006, 2007, 2008 Allen Kuo
     Copyright (C) 2006, 2007, 2008, 2009 Roland Lichters
     Copyright (C) 2006, 2007 Katiuscia Manzoni
@@ -67,7 +67,7 @@
     Copyright (C) 2008 Simon Ibbotson
     Copyright (C) 2008 John Maiden
     Copyright (C) 2008 Francesca Mariani
-    Copyright (C) 2008, 2009 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+    Copyright (C) 2008, 2009, 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
     Copyright (C) 2008, 2009 Andrea Odetti
     Copyright (C) 2008 J. Erik Radmall
     Copyright (C) 2008 Maria Cristina Recchioni
@@ -80,11 +80,23 @@
     Copyright (C) 2009 Frédéric Degraeve
     Copyright (C) 2009 Dirk Eddelbuettel
     Copyright (C) 2009 Bernd Engelmann
-    Copyright (C) 2009 Liquidnet Holdings, Inc.
+    Copyright (C) 2009, 2010 Liquidnet Holdings, Inc.
     Copyright (C) 2009 Bojan Nikolic
-    Copyright (C) 2009 Dimitri Reiswich
+    Copyright (C) 2009, 2010 Dimitri Reiswich
     Copyright (C) 2009 Sun Xiuxin
 
+    Copyright (C) 2010 Kakhkhor Abdijalilov
+    Copyright (C) 2010 Hachemi Benyahia
+    Copyright (C) 2010 Manas Bhatt
+    Copyright (C) 2010 DeriveXperts SAS
+    Copyright (C) 2010 Cavit Hafizoglu
+    Copyright (C) 2010 Michael Heckl
+    Copyright (C) 2010 Liquidnet Holdings Inc.
+    Copyright (C) 2010 Adrian O' Neill
+    Copyright (C) 2010 Robert Philipp
+    Copyright (C) 2010 Alessandro Roveda
+    Copyright (C) 2010 SunTrust Bank
+
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
 Methods in Finance".
 
diff --git a/LICENSE.TXT b/LICENSE.TXT
index 24618fb47f..34094af794 100644
--- a/LICENSE.TXT
+++ b/LICENSE.TXT
@@ -5,9 +5,9 @@ QuantLib is
     Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
     Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
-    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009 Ferdinando Ametrano
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 Ferdinando Ametrano
 
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
     Copyright (C) 2003, 2004 Roman Gitlin
     Copyright (C) 2003 Niels Elken Sønderby
@@ -18,7 +18,7 @@ QuantLib is
     Copyright (C) 2004 Mike Parker
     Copyright (C) 2004 Walter Penschke
     Copyright (C) 2004 Gianni Piolanti
-    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009 Klaus Spanderen
+    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010 Klaus Spanderen
     Copyright (C) 2004 Jeff Yu
 
     Copyright (C) 2005, 2006, 2008 Toyin Akin
@@ -38,7 +38,7 @@ QuantLib is
     Copyright (C) 2006, 2007 Chiara Fornarola
     Copyright (C) 2006 Silvia Frasson
     Copyright (C) 2006 Richard Gould
-    Copyright (C) 2006, 2007, 2008, 2009 Mark Joshi
+    Copyright (C) 2006, 2007, 2008, 2009, 2010 Mark Joshi
     Copyright (C) 2006, 2007, 2008 Allen Kuo
     Copyright (C) 2006, 2007, 2008, 2009 Roland Lichters
     Copyright (C) 2006, 2007 Katiuscia Manzoni
@@ -64,7 +64,7 @@ QuantLib is
     Copyright (C) 2008 Simon Ibbotson
     Copyright (C) 2008 John Maiden
     Copyright (C) 2008 Francesca Mariani
-    Copyright (C) 2008, 2009 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+    Copyright (C) 2008, 2009, 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
     Copyright (C) 2008, 2009 Andrea Odetti
     Copyright (C) 2008 J. Erik Radmall
     Copyright (C) 2008 Maria Cristina Recchioni
@@ -77,11 +77,23 @@ QuantLib is
     Copyright (C) 2009 Frédéric Degraeve
     Copyright (C) 2009 Dirk Eddelbuettel
     Copyright (C) 2009 Bernd Engelmann
-    Copyright (C) 2009 Liquidnet Holdings, Inc.
+    Copyright (C) 2009, 2010 Liquidnet Holdings, Inc.
     Copyright (C) 2009 Bojan Nikolic
-    Copyright (C) 2009 Dimitri Reiswich
+    Copyright (C) 2009, 2010 Dimitri Reiswich
     Copyright (C) 2009 Sun Xiuxin
 
+    Copyright (C) 2010 Kakhkhor Abdijalilov
+    Copyright (C) 2010 Hachemi Benyahia
+    Copyright (C) 2010 Manas Bhatt
+    Copyright (C) 2010 DeriveXperts SAS
+    Copyright (C) 2010 Cavit Hafizoglu
+    Copyright (C) 2010 Michael Heckl
+    Copyright (C) 2010 Liquidnet Holdings Inc.
+    Copyright (C) 2010 Adrian O' Neill
+    Copyright (C) 2010 Robert Philipp
+    Copyright (C) 2010 Alessandro Roveda
+    Copyright (C) 2010 SunTrust Bank
+
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
 Methods in Finance".
 
diff --git a/News.txt b/News.txt
index a43070a913..93a83d9bdd 100644
--- a/News.txt
+++ b/News.txt
@@ -1,42 +1,142 @@
 
-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.)
-
-- QuantLib now compiles with the Sun Studio compiler on the Solaris
-  platform (thanks to Norbert Irmer for the report and for testing.)
-
-- 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.
+Notable changes for QuantLib 1.1:
 
+PORTABILITY
+
+- Added support for Microsoft Visual C++ 2010.
+
+- Fixed m4 macro for QuantLib detection.  It now works also when asked
+  for versions such as 1.1 (as opposed to 1.1.0).
+
+
+DATE/TIME
+
+- Added Russian calendar.
+
+- Revamped time-series iterators (thanks to Slava Mazur.)  Iterators
+  on dates and values were added, as well as C++0X-style cbegin() and
+  cend() iterators.
+
+
+INSTRUMENTS
+
+- Added a few inspectors to zero-coupon inflation swaps.
+
+- Added Kirk approximation for two-asset spread options.
+
+- Added specialized BTP class (Italian government bonds) and related
+  RendistatoCalculator class to help instantiation of this type of
+  FixedRateBond.
+
+- Added analytic pricing engine for the piecewise-constant
+  time-dependent Heston model.
+
+- Added paymentCalendar to FixedRateBond, possibly different
+  than the one used for accrual-date calculation.
+
+
+PROCESSES
+
+- Added Quadratic Exponential discretization scheme for the Heston
+  process, including martingale correction.
+
+
+INDEXES
+
+- Added inspector for discounting curve to swap index (thanks to Peter
+  Caspers.)
+
+- Added exogenous discounting to all swap indexes.
+
+- Added SONIA index.
+
+- Added HICPXT indexes.
+
+
+TERM STRUCTURES
+
+- Added time-based interface to inflation curves.
+
+- Piecewise zero-spreaded term structure can now manage spread with
+  any compounding (thanks to Robert Philipp.)
+
+- FittedBondDiscountCurve now works with any BondHelpers, not only
+  FixedRateBondHelpers.
+
+- Added Svensson curve-fitting method (thanks to Alessandro Roveda.)
+
+
+MATH
+
+- Added Ziggurat random-number generator (thanks to Kakhkhor
+  Abdijalilov.)
+
+- Added experimental copula-based random-number generators (thanks to
+  Hachemi Benyahia.)
+
+- More performant implementation of inverse cumulative distribution
+  (thanks to Kakhkhor Abdijalilov.)
+
+- More performant mt19937 implementation (thanks to Kakhkhor
+  Abdijalilov.)
+
+- Added more copulas (thanks to Hachemi Benyahia.)  The new formulas
+  are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss
+  copula, and Plackett copula.
+
+- Added autocovariance calculation (thanks to Slava Mazur.)
+
+
+MONTE CARLO
+
+- Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)
+
+
+UTILITIES
+
+- Reworked Null class template (thanks to Kakhkhor Abdijalilov.)  The
+  new implementation avoids the need for a macro on 64-bit systems and
+  automatically covers all floating-point and integer types.
+
+
+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:
+
+- 2D finite-difference Bates engine based on the partial integro
+  differential equation.
+
+- 2D finite-difference engine for Black-Scholes processes (including
+  local volatility.)
+
+- Black-Scholes process with support for vega stress test (thanks to
+  Michael Heckl.)
+
+- Extended Ornstein-Uhlenbeck process.
+
+- Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre,
+  Michael Benguigui, and Yanice Cherrak.)
+
+- Simple chooser option (thanks to IMAFA/Polytech'Nice students
+  Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
+
+- Generalized Hull-White model (thanks to Cavit Hafizoglu.)  The
+  generalized model can take piecewise-constant parameters instead of
+  constant ones. A matching generalized Ornstein-Uhlenbeck process was
+  also added.
+
+- Variance-gamma implementation (thanks to Adrian O'Neill.)
+  Contributed classes include a variance-gamma process and model (with
+  data but no behavior at this time) and a couple of working engines
+  for European options.
+
+- Hybrid products in the McBasket framework (thanks to Andrea Odetti.)
+  Path pricers now take a vector of YieldTermStructures that contains
+  the (possibly stochastic) yield curves.
+
+- Delta calculator for FX options (thanks to Dimitri Reiswich.)
diff --git a/QuantLib.dev b/QuantLib.dev
index c3aa0a52c5..6c78d2d185 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1710
+UnitCount=1712
 Type=2
 Ver=1
 ObjFiles=
@@ -17146,3 +17146,24 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1711]
+FileName=ql\indexes\ibor\sonia.hpp
+CompileCpp=1
+Folder=indexes/ibor
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1712]
+FileName=ql\indexes\ibor\sonia.cpp
+CompileCpp=1
+Folder=indexes/ibor
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 0657de9f35..cbd2118cb9 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -350,6 +350,7 @@
     <ClInclude Include="ql\indexes\ibor\libor.hpp" />
     <ClInclude Include="ql\indexes\ibor\nzdlibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\seklibor.hpp" />
+    <ClInclude Include="ql\indexes\ibor\sonia.hpp" />
     <ClInclude Include="ql\indexes\ibor\tibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\trlibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\usdlibor.hpp" />
@@ -1336,6 +1337,7 @@
     <ClCompile Include="ql\indexes\ibor\euribor.cpp" />
     <ClCompile Include="ql\indexes\ibor\eurlibor.cpp" />
     <ClCompile Include="ql\indexes\ibor\libor.cpp" />
+    <ClCompile Include="ql\indexes\ibor\sonia.cpp" />
     <ClCompile Include="ql\indexes\swap\chfliborswap.cpp" />
     <ClCompile Include="ql\indexes\swap\euriborswap.cpp" />
     <ClCompile Include="ql\indexes\swap\eurliborswap.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 7dece9f5cc..53f6cd30b8 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -606,6 +606,9 @@
     <ClInclude Include="ql\indexes\ibor\seklibor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
+    <ClInclude Include="ql\indexes\ibor\sonia.hpp">
+      <Filter>indexes\ibor</Filter>
+    </ClInclude>
     <ClInclude Include="ql\indexes\ibor\tibor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
@@ -3482,6 +3485,9 @@
     <ClCompile Include="ql\indexes\ibor\libor.cpp">
       <Filter>indexes\ibor</Filter>
     </ClCompile>
+    <ClCompile Include="ql\indexes\ibor\sonia.cpp">
+      <Filter>indexes\ibor</Filter>
+    </ClCompile>
     <ClCompile Include="ql\indexes\swap\chfliborswap.cpp">
       <Filter>indexes\swap</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 5bad71c075..5a6f3f00ff 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1872,6 +1872,12 @@
 				<File
 					RelativePath=".\ql\indexes\ibor\seklibor.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\indexes\ibor\tibor.hpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index fff1e7b0cd..f0272b37f6 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -974,6 +974,14 @@
 					RelativePath=".\ql\indexes\ibor\seklibor.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\indexes\ibor\tibor.hpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index defb689033..43cd01f9d2 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -1319,6 +1319,14 @@
 					RelativePath=".\ql\indexes\ibor\seklibor.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\indexes\ibor\sonia.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\indexes\ibor\tibor.hpp"
 					>
@@ -6935,14 +6943,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
 					>
@@ -6967,14 +6967,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdminnervaluecalculator.cpp"
 					>
diff --git a/ql/cashflows/simplecashflow.hpp b/ql/cashflows/simplecashflow.hpp
index a083e18a3f..bf40fff694 100644
--- a/ql/cashflows/simplecashflow.hpp
+++ b/ql/cashflows/simplecashflow.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
+ Copyright (C) 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/
@@ -52,6 +53,37 @@ namespace QuantLib {
     };
 
 
+    //! Bond redemption
+    /*! This class specializes SimpleCashFlow so that visitors
+        can perform more detailed cash-flow analysis.
+    */
+    class Redemption : public SimpleCashFlow {
+      public:
+        Redemption(Real amount,
+                   const Date& date)
+        : SimpleCashFlow(amount, date) {}
+        //! \name Visitability
+        //@{
+        virtual void accept(AcyclicVisitor&);
+        //@}
+    };
+
+    //! Amortizing payment
+    /*! This class specializes SimpleCashFlow so that visitors
+        can perform more detailed cash-flow analysis.
+    */
+    class AmortizingPayment : public SimpleCashFlow {
+      public:
+        AmortizingPayment(Real amount,
+                          const Date& date)
+        : SimpleCashFlow(amount, date) {}
+        //! \name Visitability
+        //@{
+        virtual void accept(AcyclicVisitor&);
+        //@}
+    };
+
+
     // inline definitions
 
     inline void SimpleCashFlow::accept(AcyclicVisitor& v) {
@@ -63,6 +95,24 @@ namespace QuantLib {
             CashFlow::accept(v);
     }
 
+    inline void Redemption::accept(AcyclicVisitor& v) {
+        Visitor<Redemption>* v1 =
+            dynamic_cast<Visitor<Redemption>*>(&v);
+        if (v1 != 0)
+            v1->visit(*this);
+        else
+            SimpleCashFlow::accept(v);
+    }
+
+    inline void AmortizingPayment::accept(AcyclicVisitor& v) {
+        Visitor<AmortizingPayment>* v1 =
+            dynamic_cast<Visitor<AmortizingPayment>*>(&v);
+        if (v1 != 0)
+            v1->visit(*this);
+        else
+            SimpleCashFlow::accept(v);
+    }
+
 }
 
 #endif
diff --git a/ql/experimental/credit/riskybond.cpp b/ql/experimental/credit/riskybond.cpp
index 5d40b26ddd..5abe00d14a 100644
--- a/ql/experimental/credit/riskybond.cpp
+++ b/ql/experimental/credit/riskybond.cpp
@@ -142,7 +142,7 @@ namespace QuantLib {
                    FixedRateCoupon(dates[i], previousNotional,
                                    rate_, dayCounter_, dates[i-1], dates[i]));
             boost::shared_ptr<CashFlow> amortization(new
-                 SimpleCashFlow(previousNotional - currentNotional, dates[i]));
+                 AmortizingPayment(previousNotional - currentNotional, dates[i]));
             previousNotional = currentNotional;
 
             leg_.push_back(interest);
@@ -154,7 +154,7 @@ namespace QuantLib {
         }
 
         boost::shared_ptr<CashFlow> redemption(new
-                 SimpleCashFlow(previousNotional, schedule_.dates().back()));
+                 Redemption(previousNotional, schedule_.dates().back()));
         leg_.push_back(redemption);
         redemptionLeg_.push_back(redemption);
     }
@@ -220,7 +220,7 @@ namespace QuantLib {
                    IborCoupon(dates[i], previousNotional, dates[i-1], dates[i],
                               fixingDays_, index_, 1.0, spread_));
             boost::shared_ptr<CashFlow> amortization(new
-                 SimpleCashFlow(previousNotional - currentNotional, dates[i]));
+                 AmortizingPayment(previousNotional - currentNotional, dates[i]));
             previousNotional = currentNotional;
 
             leg_.push_back(interest);
@@ -232,7 +232,7 @@ namespace QuantLib {
         }
 
         boost::shared_ptr<CashFlow> redemption(new
-                 SimpleCashFlow(previousNotional, schedule_.dates().back()));
+                 Redemption(previousNotional, schedule_.dates().back()));
         leg_.push_back(redemption);
         redemptionLeg_.push_back(redemption);
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
index f758820c65..358f9c8329 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
@@ -28,6 +28,7 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/math/claytoncopularng.hpp b/ql/experimental/math/claytoncopularng.hpp
index 6e287278f7..013fe29440 100644
--- a/ql/experimental/math/claytoncopularng.hpp
+++ b/ql/experimental/math/claytoncopularng.hpp
@@ -26,6 +26,8 @@
 #define quantlib_clayton_copula_rng_hpp
 
 #include <ql/methods/montecarlo/sample.hpp>
+#include <ql/errors.hpp>
+#include <vector>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/math/farliegumbelmorgensterncopularng.hpp b/ql/experimental/math/farliegumbelmorgensterncopularng.hpp
index e58baf3675..ab57bb290d 100644
--- a/ql/experimental/math/farliegumbelmorgensterncopularng.hpp
+++ b/ql/experimental/math/farliegumbelmorgensterncopularng.hpp
@@ -26,6 +26,8 @@
 #define quantlib_farlie_gumbel_morgenstern_copula_rng_hpp
 
 #include <ql/methods/montecarlo/sample.hpp>
+#include <ql/errors.hpp>
+#include <vector>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/math/frankcopularng.hpp b/ql/experimental/math/frankcopularng.hpp
index 8e95cb6db9..93feef3087 100644
--- a/ql/experimental/math/frankcopularng.hpp
+++ b/ql/experimental/math/frankcopularng.hpp
@@ -26,6 +26,8 @@
 #define quantlib_frank_copula_rng_hpp
 
 #include <ql/methods/montecarlo/sample.hpp>
+#include <ql/errors.hpp>
+#include <vector>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
index 1402f8a824..60fe826275 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -1,108 +1,108 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-#include <ql/math/integrals/gausslobattointegral.hpp>
-#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/integrals/gausslobattointegral.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
 #include <boost/lambda/bind.hpp>
 #include <boost/lambda/lambda.hpp>
-
-using namespace boost::lambda;
-
-namespace QuantLib {
-
-    ExtendedOrnsteinUhlenbeckProcess::ExtendedOrnsteinUhlenbeckProcess(
-                                        Real speed, Volatility vol, Real x0,
-                                        const boost::function<Real (Real)>& b,
-										Discretization discretization,
-										Real intEps)
-    : speed_    (speed),
-      vol_      (vol),
-      b_        (b),
-	  intEps_   (intEps),
-      ouProcess_(new OrnsteinUhlenbeckProcess(speed, vol, x0)),
-	  discretization_(discretization) {
-        QL_REQUIRE(speed_ >= 0.0, "negative a given");
-        QL_REQUIRE(vol_ >= 0.0, "negative volatility given");
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::x0() const {
-        return ouProcess_->x0();
-    }
-    
-    Real ExtendedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
-        return ouProcess_->drift(t, x) + speed_*b_(t);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::diffusion(Time t, Real x) const{
-        return ouProcess_->diffusion(t, x);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::stdDeviation(
-										   Time t0, Real x0, Time dt) const{
-        return ouProcess_->stdDeviation(t0, x0, dt);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::variance(
-										   Time t0, Real x0, Time dt) const{
-        return ouProcess_->variance(t0, x0, dt);
-    }
-
-	Real ExtendedOrnsteinUhlenbeckProcess::speed() const {
+
+using namespace boost::lambda;
+
+namespace QuantLib {
+
+    ExtendedOrnsteinUhlenbeckProcess::ExtendedOrnsteinUhlenbeckProcess(
+                                        Real speed, Volatility vol, Real x0,
+                                        const boost::function<Real (Real)>& b,
+                                        Discretization discretization,
+                                        Real intEps)
+    : speed_    (speed),
+      vol_      (vol),
+      b_        (b),
+      intEps_   (intEps),
+      ouProcess_(new OrnsteinUhlenbeckProcess(speed, vol, x0)),
+      discretization_(discretization) {
+        QL_REQUIRE(speed_ >= 0.0, "negative a given");
+        QL_REQUIRE(vol_ >= 0.0, "negative volatility given");
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::x0() const {
+        return ouProcess_->x0();
+    }
+    
+    Real ExtendedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
+        return ouProcess_->drift(t, x) + speed_*b_(t);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::diffusion(Time t, Real x) const{
+        return ouProcess_->diffusion(t, x);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::stdDeviation(
+                                           Time t0, Real x0, Time dt) const{
+        return ouProcess_->stdDeviation(t0, x0, dt);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::variance(
+                                           Time t0, Real x0, Time dt) const{
+        return ouProcess_->variance(t0, x0, dt);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::speed() const {
         return speed_;
     }
 
     Real ExtendedOrnsteinUhlenbeckProcess::volatility() const {
-		return vol_;
-	}
-
-    Real ExtendedOrnsteinUhlenbeckProcess::expectation(
-										  Time t0, Real x0, Time dt) const {
-		switch (discretization_) {
-		  case MidPoint:
-			return ouProcess_->expectation(t0, x0, dt)
-					+ b_(t0+0.5*dt)*(1.0 - std::exp(-speed_*dt));
-			break;
-		  case Trapezodial:
-			{
-		      const Time t = t0+dt;
-			  const Time u = t0;
-			  const Real bt = b_(t);
-			  const Real bu = b_(u);
-			  const Real ex = std::exp(-speed_*dt);
-
-			  return ouProcess_->expectation(t0, x0, dt)
-					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
-			}
-			break;
-		  case GaussLobatto:
-		      return ouProcess_->expectation(t0, x0, dt)
-				  + speed_*std::exp(-speed_*(t0+dt))
-				  * GaussLobattoIntegral(100000, intEps_)(
-				         boost::lambda::bind(b_, boost::lambda::_1)
-						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
-										  speed_*boost::lambda::_1), t0, t0+dt);
-			break;
-		  default:
-			QL_FAIL("unknown discretization scheme");
-		}
-    }
-}
-
+        return vol_;
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::expectation(
+                                          Time t0, Real x0, Time dt) const {
+        switch (discretization_) {
+          case MidPoint:
+            return ouProcess_->expectation(t0, x0, dt)
+                    + b_(t0+0.5*dt)*(1.0 - std::exp(-speed_*dt));
+            break;
+          case Trapezodial:
+            {
+              const Time t = t0+dt;
+              const Time u = t0;
+              const Real bt = b_(t);
+              const Real bu = b_(u);
+              const Real ex = std::exp(-speed_*dt);
+
+			  return ouProcess_->expectation(t0, x0, dt)
+					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
+			}
+			break;
+		  case GaussLobatto:
+		      return ouProcess_->expectation(t0, x0, dt)
+				  + speed_*std::exp(-speed_*(t0+dt))
+				  * GaussLobattoIntegral(100000, intEps_)(
+				         boost::lambda::bind(b_, boost::lambda::_1)
+						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
+										  speed_*boost::lambda::_1), t0, t0+dt);
+			break;
+		  default:
+			QL_FAIL("unknown discretization scheme");
+		}
+    }
+}
+
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp
index 79903eba98..282d9aed41 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp
@@ -30,7 +30,7 @@
 
 namespace QuantLib {
 
-	class OrnsteinUhlenbeckProcess;
+    class OrnsteinUhlenbeckProcess;
 
     //! Extended Ornstein-Uhlenbeck process class
     /*! This class describes the Ornstein-Uhlenbeck process governed by
@@ -47,8 +47,8 @@ namespace QuantLib {
         ExtendedOrnsteinUhlenbeckProcess(
                                 Real speed, Volatility sigma, Real x0,
                                 const boost::function<Real (Real)>& b,
-								Discretization discretization = MidPoint,
-								Real intEps = 1e-4);
+                                Discretization discretization = MidPoint,
+                                Real intEps = 1e-4);
 
         //! \name StochasticProcess interface
         //@{
@@ -65,9 +65,9 @@ namespace QuantLib {
         const Real speed_;
         const Volatility vol_;
         const boost::function<Real (Real)> b_;
-		const Real intEps_;
+        const Real intEps_;
         const boost::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess_;
-		const Discretization discretization_;
+        const Discretization discretization_;
     };
 }
 
diff --git a/ql/experimental/shortrate/generalizedhullwhite.cpp b/ql/experimental/shortrate/generalizedhullwhite.cpp
index c58ccef5a3..31cf3e5243 100644
--- a/ql/experimental/shortrate/generalizedhullwhite.cpp
+++ b/ql/experimental/shortrate/generalizedhullwhite.cpp
@@ -44,22 +44,22 @@ namespace QuantLib {
     }
 
 
-	/* Private function used by solver to determine time-dependent parameter
+    /* Private function used by solver to determine time-dependent parameter
        df(r) = [theta(t) - a(t) f(r)]dt + sigma(t) dz
        dg = [theta(t) - a(t) g(t)] dt
        dx = -a(t) x dt + sigma(t) dz
        x = f(r) - g(t)
-	*/
-	// Change the overloaded operator to change the model by changing
-	// the function below
+    */
+    // Change the overloaded operator to change the model by changing
+    // the function below
 
-	Real fInverse_(Real x) {
-		return std::exp(x);
-	}
+    Real fInverse_(Real x) {
+        return std::exp(x);
+    }
 
-	class GeneralizedHullWhite::Helper {
+    class GeneralizedHullWhite::Helper {
       public:
-		Helper(const Size i, const Real xMin, const Real dx,
+        Helper(const Size i, const Real xMin, const Real dx,
                const Real discountBondPrice,
                const boost::shared_ptr<ShortRateTree>& tree)
         : size_(tree->size(i)),
@@ -68,30 +68,30 @@ namespace QuantLib {
           statePrices_(tree->statePrices(i)),
           discountBondPrice_(discountBondPrice){}
 
-		Real operator()(const Real theta) const {
-			Real value = discountBondPrice_;
-			Real x = xMin_;
-			for (Size j=0; j<size_; j++) {
-				Real discount = std::exp(- fInverse_(theta+x)*dt_);
-				value -= statePrices_[j]*discount;
-				x += dx_;
-			}
+        Real operator()(const Real theta) const {
+            Real value = discountBondPrice_;
+            Real x = xMin_;
+            for (Size j=0; j<size_; j++) {
+                Real discount = std::exp(- fInverse_(theta+x)*dt_);
+                value -= statePrices_[j]*discount;
+                x += dx_;
+            }
 
-			return value;
-		}
+            return value;
+        }
 
       private:
-		Size size_;
-		Time dt_;
-		Real xMin_, dx_;
-		const Array& statePrices_;
-		Real discountBondPrice_;
-	};
-
-	GeneralizedHullWhite::GeneralizedHullWhite(
-		const Handle<YieldTermStructure>& yieldtermStructure,
-		const std::vector<Date>& speedstructure,
-		const std::vector<Date>& volstructure)
+        Size size_;
+        Time dt_;
+        Real xMin_, dx_;
+        const Array& statePrices_;
+        Real discountBondPrice_;
+    };
+
+    GeneralizedHullWhite::GeneralizedHullWhite(
+        const Handle<YieldTermStructure>& yieldtermStructure,
+        const std::vector<Date>& speedstructure,
+        const std::vector<Date>& volstructure)
     : OneFactorModel(2), TermStructureConsistentModel(yieldtermStructure),
       speedstructure_(speedstructure), volstructure_(volstructure),
       a_(arguments_[0]), sigma_(arguments_[1]) {
@@ -124,14 +124,14 @@ namespace QuantLib {
         }
 
         registerWith(yieldtermStructure);
-	}
+    }
 
-	GeneralizedHullWhite::GeneralizedHullWhite(
+    GeneralizedHullWhite::GeneralizedHullWhite(
         const Handle<YieldTermStructure>& yieldtermStructure,
-		const std::vector<Date>& speedstructure,
-		const std::vector<Date>& volstructure,
-		const std::vector<Real>& speed,
-		const std::vector<Real>& vol)
+        const std::vector<Date>& speedstructure,
+        const std::vector<Date>& volstructure,
+        const std::vector<Real>& speed,
+        const std::vector<Real>& vol)
   : OneFactorModel(2), TermStructureConsistentModel(yieldtermStructure),
     speedstructure_(speedstructure),
     volstructure_(volstructure),
@@ -164,65 +164,65 @@ namespace QuantLib {
         }
 
         registerWith(yieldtermStructure);
-	}
+    }
 
-	boost::shared_ptr<Lattice> GeneralizedHullWhite::tree(
+    boost::shared_ptr<Lattice> GeneralizedHullWhite::tree(
                                                   const TimeGrid& grid) const{
 
-		TermStructureFittingParameter phi(termStructure());
-		boost::shared_ptr<ShortRateDynamics> numericDynamics(
-			new Dynamics(phi, speed(), vol()));
-		boost::shared_ptr<TrinomialTree> trinomial(
-			new TrinomialTree(numericDynamics->process(), grid));
-		boost::shared_ptr<ShortRateTree> numericTree(
-			new ShortRateTree(trinomial, numericDynamics, grid));
-		typedef TermStructureFittingParameter::NumericalImpl NumericalImpl;
-		boost::shared_ptr<NumericalImpl> impl =
-			boost::dynamic_pointer_cast<NumericalImpl>(phi.implementation());
-
-		impl->reset();
-		Real value = 1.0;
-		Real vMin = -50.0;
-		Real vMax = 50.0;
-
-		for (Size i=0; i<(grid.size() - 1); i++) {
-			Real discountBond = termStructure()->discount(grid[i+1]);
-			Real xMin = trinomial->underlying(i, 0);
-			Real dx = trinomial->dx(i);
-			Helper finder(i, xMin, dx, discountBond, numericTree);
-			Brent s1d;
-			s1d.setMaxEvaluations(1000);
-			value = s1d.solve(finder, 1e-7, value, vMin, vMax);
-			impl->set(grid[i], value);
-		}
-
-		return numericTree;
-	}
+        TermStructureFittingParameter phi(termStructure());
+        boost::shared_ptr<ShortRateDynamics> numericDynamics(
+            new Dynamics(phi, speed(), vol()));
+        boost::shared_ptr<TrinomialTree> trinomial(
+            new TrinomialTree(numericDynamics->process(), grid));
+        boost::shared_ptr<ShortRateTree> numericTree(
+            new ShortRateTree(trinomial, numericDynamics, grid));
+        typedef TermStructureFittingParameter::NumericalImpl NumericalImpl;
+        boost::shared_ptr<NumericalImpl> impl =
+            boost::dynamic_pointer_cast<NumericalImpl>(phi.implementation());
+
+        impl->reset();
+        Real value = 1.0;
+        Real vMin = -50.0;
+        Real vMax = 50.0;
+
+        for (Size i=0; i<(grid.size() - 1); i++) {
+            Real discountBond = termStructure()->discount(grid[i+1]);
+            Real xMin = trinomial->underlying(i, 0);
+            Real dx = trinomial->dx(i);
+            Helper finder(i, xMin, dx, discountBond, numericTree);
+            Brent s1d;
+            s1d.setMaxEvaluations(1000);
+            value = s1d.solve(finder, 1e-7, value, vMin, vMax);
+            impl->set(grid[i], value);
+        }
+
+        return numericTree;
+    }
 
     boost::function<Real (Time)> GeneralizedHullWhite::speed() const {
 
-		std::vector<Real> speedvals;
-		speedvals.push_back(a_(0.0001));
-		for (Size i=0;i<a_.size()-1;i++)
-			speedvals.push_back(
-			a_(
-			(speedstructure_[i+1]-speedstructure_[0])/365.0
-			- 0.00001));
+        std::vector<Real> speedvals;
+        speedvals.push_back(a_(0.0001));
+        for (Size i=0;i<a_.size()-1;i++)
+            speedvals.push_back(
+            a_(
+            (speedstructure_[i+1]-speedstructure_[0])/365.0
+            - 0.00001));
 
-		return PiecewiseLinearCurve(speedperiods_, speedvals);
-	}
+        return PiecewiseLinearCurve(speedperiods_, speedvals);
+    }
 
     boost::function<Real (Time)> GeneralizedHullWhite::vol() const {
 
-		std::vector<Real> volvals;
-		volvals.push_back(sigma_(0.0001));
-		for (Size i=0;i<sigma_.size()-1;i++)
-			volvals.push_back(
-			sigma_(
-			(speedstructure_[i+1]-speedstructure_[0])/365.0
-			- 0.00001));
+        std::vector<Real> volvals;
+        volvals.push_back(sigma_(0.0001));
+        for (Size i=0;i<sigma_.size()-1;i++)
+            volvals.push_back(
+            sigma_(
+            (speedstructure_[i+1]-speedstructure_[0])/365.0
+            - 0.00001));
 
-		return PiecewiseLinearCurve(volperiods_, volvals);
-	}
+        return PiecewiseLinearCurve(volperiods_, volvals);
+    }
 
 }
diff --git a/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp b/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp
index 905cf0f9c3..3f2b6d5d5b 100644
--- a/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp
@@ -22,64 +22,64 @@
 
 namespace QuantLib {
 
-	GeneralizedOrnsteinUhlenbeckProcess::GeneralizedOrnsteinUhlenbeckProcess(
+    GeneralizedOrnsteinUhlenbeckProcess::GeneralizedOrnsteinUhlenbeckProcess(
         const boost::function<Real (Time)>& speed,
-		const boost::function<Real (Time)>& vol,
-		Real x0,
-		Real level)
+        const boost::function<Real (Time)>& vol,
+        Real x0,
+        Real level)
     : x0_(x0), level_(level), speed_(speed), volatility_(vol) {
 
         QL_REQUIRE(x0 >= 0.0, "negative initial data given");
         QL_REQUIRE(level >= 0.0, "negative level given");
-	}
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::x0() const {
-		return x0_;
-	}
+    Real GeneralizedOrnsteinUhlenbeckProcess::x0() const {
+        return x0_;
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
+    Real GeneralizedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
         return speed_(t) * (level_ - x);;
     }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::diffusion(Time t, Real) const {
+    Real GeneralizedOrnsteinUhlenbeckProcess::diffusion(Time t, Real) const {
         return volatility_(t);
     }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::expectation(
+    Real GeneralizedOrnsteinUhlenbeckProcess::expectation(
                                              Time t, Real x0, Time dt) const {
         return level_ + (x0 - level_) * std::exp(-speed_(t)*dt);
-	}
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::stdDeviation(
+    Real GeneralizedOrnsteinUhlenbeckProcess::stdDeviation(
                                              Time t, Real x0, Time dt) const {
         return std::sqrt(variance(t,x0,dt));
-	}
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::variance(
+    Real GeneralizedOrnsteinUhlenbeckProcess::variance(
                                               Time t, Real x, Time dt) const {
         Real speed = speed_(t);
         Volatility vol = volatility_(t);
 
-		if (speed < std::sqrt(QL_EPSILON)) {
-			// algebraic limit for small speed
-			return vol*vol*dt;
-		} else {
-			return 0.5*vol*vol/speed*(1.0 - std::exp(-2.0*speed*dt));
-		}
-	}
+        if (speed < std::sqrt(QL_EPSILON)) {
+            // algebraic limit for small speed
+            return vol*vol*dt;
+        } else {
+            return 0.5*vol*vol/speed*(1.0 - std::exp(-2.0*speed*dt));
+        }
+    }
 
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::speed(Time t) const {
-		return speed_(t);
-	}
+    Real GeneralizedOrnsteinUhlenbeckProcess::speed(Time t) const {
+        return speed_(t);
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::volatility(Time t) const {
-		return volatility_(t);
-	}
+    Real GeneralizedOrnsteinUhlenbeckProcess::volatility(Time t) const {
+        return volatility_(t);
+    }
 
-	Real GeneralizedOrnsteinUhlenbeckProcess::level() const {
-		return level_;
-	}
+    Real GeneralizedOrnsteinUhlenbeckProcess::level() const {
+        return level_;
+    }
 
 }
 
diff --git a/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp b/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp
index b223ee027f..8b4909fb18 100644
--- a/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp
+++ b/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp
@@ -38,15 +38,15 @@ namespace QuantLib {
 
         \ingroup processes
 
-		where the coefficients a and sigma are piecewise linear.
+        where the coefficients a and sigma are piecewise linear.
     */
     class GeneralizedOrnsteinUhlenbeckProcess : public StochasticProcess1D {
       public:
         GeneralizedOrnsteinUhlenbeckProcess(
               const boost::function<Real (Time)>& speed,
               const boost::function<Real (Time)>& vol,
-			  Real x0 = 0.0,
-			  Real level = 0.0);
+              Real x0 = 0.0,
+              Real level = 0.0);
         //! \name StochasticProcess1D interface
         //@{
         Real x0() const;
diff --git a/ql/experimental/variancegamma/fftengine.hpp b/ql/experimental/variancegamma/fftengine.hpp
index da3e1b8ce6..e7d9e2371c 100644
--- a/ql/experimental/variancegamma/fftengine.hpp
+++ b/ql/experimental/variancegamma/fftengine.hpp
@@ -64,7 +64,7 @@ namespace QuantLib {
             boost::shared_ptr<Exercise> exercise) const;
 
         boost::shared_ptr<StochasticProcess1D> process_;
-        Real lambda_;	// Log strike spacing
+        Real lambda_;   // Log strike spacing
 
     private:
         typedef std::map<boost::shared_ptr<StrikedTypePayoff>, Real> PayoffResultMap;
diff --git a/ql/experimental/variancegamma/variancegammamodel.cpp b/ql/experimental/variancegamma/variancegammamodel.cpp
index d378ccc3cd..eae85d1cce 100644
--- a/ql/experimental/variancegamma/variancegammamodel.cpp
+++ b/ql/experimental/variancegamma/variancegammamodel.cpp
@@ -22,29 +22,29 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 
 namespace QuantLib {
 
-	VarianceGammaModel::VarianceGammaModel(
-		const boost::shared_ptr<VarianceGammaProcess> & process)
-		: CalibratedModel(3), process_(process) {
-			arguments_[0] = ConstantParameter(process->sigma(),
-				PositiveConstraint());
-			arguments_[1] = ConstantParameter(process->nu(),
-				PositiveConstraint());
-			arguments_[2] = ConstantParameter(process->theta(),
-				NoConstraint());
-
-			generateArguments();
-
-			registerWith(process_->riskFreeRate());
-			registerWith(process_->dividendYield());
-			registerWith(process_->s0());
-	}
-
-	void VarianceGammaModel::generateArguments() {
-		process_.reset(new VarianceGammaProcess(process_->s0(),
-			process_->dividendYield(),
-			process_->riskFreeRate(),
-			sigma(), nu(), theta()));
-	}
+    VarianceGammaModel::VarianceGammaModel(
+        const boost::shared_ptr<VarianceGammaProcess> & process)
+        : CalibratedModel(3), process_(process) {
+            arguments_[0] = ConstantParameter(process->sigma(),
+                PositiveConstraint());
+            arguments_[1] = ConstantParameter(process->nu(),
+                PositiveConstraint());
+            arguments_[2] = ConstantParameter(process->theta(),
+                NoConstraint());
+
+            generateArguments();
+
+            registerWith(process_->riskFreeRate());
+            registerWith(process_->dividendYield());
+            registerWith(process_->s0());
+    }
+
+    void VarianceGammaModel::generateArguments() {
+        process_.reset(new VarianceGammaProcess(process_->s0(),
+            process_->dividendYield(),
+            process_->riskFreeRate(),
+            sigma(), nu(), theta()));
+    }
 
 }
 
diff --git a/ql/experimental/variancegamma/variancegammamodel.hpp b/ql/experimental/variancegamma/variancegammamodel.hpp
index fd571ebc8d..e905085bc7 100644
--- a/ql/experimental/variancegamma/variancegammamodel.hpp
+++ b/ql/experimental/variancegamma/variancegammamodel.hpp
@@ -18,7 +18,7 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
 /*! \file variancegammamodel.hpp
-	\brief Variance Gamma model
+    \brief Variance Gamma model
 */
 
 #ifndef quantlib_variance_gamma_model_hpp
@@ -29,33 +29,33 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 
 namespace QuantLib {
 
-	//! Variance Gamma model
-	/*! References:
+    //! Variance Gamma model
+    /*! References:
 
-		Dilip B. Madan, Peter Carr, Eric C. Chang (1998)
-		"The variance gamma process and option pricing,"
-		European Finance Review, 2, 79-105
+        Dilip B. Madan, Peter Carr, Eric C. Chang (1998)
+        "The variance gamma process and option pricing,"
+        European Finance Review, 2, 79-105
 
-		\warning calibration is not implemented for VG
-	*/
-	class VarianceGammaModel : public CalibratedModel {
+        \warning calibration is not implemented for VG
+    */
+    class VarianceGammaModel : public CalibratedModel {
       public:
-		VarianceGammaModel(const boost::shared_ptr<VarianceGammaProcess>& process);
-
-		// sigma
-		Real sigma() const { return arguments_[0](0.0); }
-		// nu
-		Real nu() const { return arguments_[1](0.0); }
-		// theta
-		Real theta() const { return arguments_[2](0.0); }
-
-		// underlying process
-		boost::shared_ptr<VarianceGammaProcess> process() const { return process_; }
-
-	protected:
-		void generateArguments();
-		boost::shared_ptr<VarianceGammaProcess> process_;
-	};
+        VarianceGammaModel(const boost::shared_ptr<VarianceGammaProcess>& process);
+
+        // sigma
+        Real sigma() const { return arguments_[0](0.0); }
+        // nu
+        Real nu() const { return arguments_[1](0.0); }
+        // theta
+        Real theta() const { return arguments_[2](0.0); }
+
+        // underlying process
+        boost::shared_ptr<VarianceGammaProcess> process() const { return process_; }
+
+    protected:
+        void generateArguments();
+        boost::shared_ptr<VarianceGammaProcess> process_;
+    };
 
 }
 
diff --git a/ql/indexes/ibor/Makefile.am b/ql/indexes/ibor/Makefile.am
index 5e0d81f6ae..4246d871cd 100644
--- a/ql/indexes/ibor/Makefile.am
+++ b/ql/indexes/ibor/Makefile.am
@@ -18,6 +18,7 @@ this_include_HEADERS = \
     libor.hpp \
     nzdlibor.hpp \
     seklibor.hpp \
+    sonia.hpp \
     tibor.hpp \
     trlibor.hpp \
     usdlibor.hpp \
@@ -27,7 +28,8 @@ libIborIndexes_la_SOURCES = \
     eonia.cpp \
     euribor.cpp \
     eurlibor.cpp \
-    libor.cpp
+    libor.cpp \
+    sonia.cpp
 
 noinst_LTLIBRARIES = libIborIndexes.la
 
diff --git a/ql/indexes/ibor/all.hpp b/ql/indexes/ibor/all.hpp
index 80c4a14041..da45378f6e 100644
--- a/ql/indexes/ibor/all.hpp
+++ b/ql/indexes/ibor/all.hpp
@@ -15,6 +15,7 @@
 #include <ql/indexes/ibor/libor.hpp>
 #include <ql/indexes/ibor/nzdlibor.hpp>
 #include <ql/indexes/ibor/seklibor.hpp>
+#include <ql/indexes/ibor/sonia.hpp>
 #include <ql/indexes/ibor/tibor.hpp>
 #include <ql/indexes/ibor/trlibor.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
diff --git a/ql/indexes/ibor/sonia.cpp b/ql/indexes/ibor/sonia.cpp
new file mode 100644
index 0000000000..b489fb4202
--- /dev/null
+++ b/ql/indexes/ibor/sonia.cpp
@@ -0,0 +1,32 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/indexes/ibor/sonia.hpp>
+#include <ql/time/calendars/unitedkingdom.hpp>
+#include <ql/time/daycounters/actual365fixed.hpp>
+#include <ql/currencies/europe.hpp>
+
+namespace QuantLib {
+
+    Sonia::Sonia(const Handle<YieldTermStructure>& h)
+    : OvernightIndex("Sonia", 0, GBPCurrency(),
+                     UnitedKingdom(UnitedKingdom::Exchange),
+                     Actual365Fixed(), h) {}
+
+}
diff --git a/ql/indexes/ibor/sonia.hpp b/ql/indexes/ibor/sonia.hpp
new file mode 100644
index 0000000000..fd8fb675b5
--- /dev/null
+++ b/ql/indexes/ibor/sonia.hpp
@@ -0,0 +1,40 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file eonia.hpp
+    \brief %Eonia index
+*/
+
+#ifndef quantlib_sonia_hpp
+#define quantlib_sonia_hpp
+
+#include <ql/indexes/iborindex.hpp>
+
+namespace QuantLib {
+
+    //! %Sonia (Sterling Overnight Index Average) rate.
+    class Sonia : public OvernightIndex {
+      public:
+        Sonia(const Handle<YieldTermStructure>& h =
+                                    Handle<YieldTermStructure>());
+    };
+
+}
+
+#endif
diff --git a/ql/indexes/swap/chfliborswap.cpp b/ql/indexes/swap/chfliborswap.cpp
index 57c6ead325..1c283e9a32 100644
--- a/ql/indexes/swap/chfliborswap.cpp
+++ b/ql/indexes/swap/chfliborswap.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
+ Copyright (C) 2006, 2007, 2008, 2011 Ferdinando Ametrano
  Copyright (C) 2006 Chiara Fornarola
 
  This file is part of QuantLib, a free-software/open-source library
@@ -24,10 +24,29 @@
 #include <ql/time/daycounters/thirty360.hpp>
 #include <ql/currencies/europe.hpp>
 
+using boost::shared_ptr;
+
 namespace QuantLib {
 
-    ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix(const Period& tenor,
-                                             const Handle<YieldTermStructure>& h)
+    ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& h)
+    : SwapIndex("ChfLiborSwapIsdaFix", // familyName
+                tenor,
+                2, // settlementDays
+                CHFCurrency(),
+                TARGET(),
+                1*Years, // fixedLegTenor
+                ModifiedFollowing, // fixedLegConvention
+                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
+                tenor > 1*Years ?
+                    shared_ptr<IborIndex>(new CHFLibor(6*Months, h)) :
+                    shared_ptr<IborIndex>(new CHFLibor(3*Months, h))) {}
+
+    ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& forwarding,
+                                const Handle<YieldTermStructure>& discounting)
     : SwapIndex("ChfLiborSwapIsdaFix", // familyName
                 tenor,
                 2, // settlementDays
@@ -37,7 +56,8 @@ namespace QuantLib {
                 ModifiedFollowing, // fixedLegConvention
                 Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
                 tenor > 1*Years ?
-                    boost::shared_ptr<IborIndex>(new CHFLibor(6*Months, h)) :
-                    boost::shared_ptr<IborIndex>(new CHFLibor(3*Months, h))) {}
+                    shared_ptr<IborIndex>(new CHFLibor(6*Months, forwarding)) :
+                    shared_ptr<IborIndex>(new CHFLibor(3*Months, forwarding)),
+                discounting) {}
 
 }
diff --git a/ql/indexes/swap/chfliborswap.hpp b/ql/indexes/swap/chfliborswap.hpp
index 8d635bd3dc..560dd1c433 100644
--- a/ql/indexes/swap/chfliborswap.hpp
+++ b/ql/indexes/swap/chfliborswap.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -43,6 +43,9 @@ namespace QuantLib {
         ChfLiborSwapIsdaFix(const Period& tenor,
                             const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        ChfLiborSwapIsdaFix(const Period& tenor,
+                            const Handle<YieldTermStructure>& forwarding,
+                            const Handle<YieldTermStructure>& discounting);
     };
 
 }
diff --git a/ql/indexes/swap/gbpliborswap.cpp b/ql/indexes/swap/gbpliborswap.cpp
index 970b1eb50a..00b80ea617 100644
--- a/ql/indexes/swap/gbpliborswap.cpp
+++ b/ql/indexes/swap/gbpliborswap.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
+ Copyright (C) 2006, 2007, 2008, 2011 Ferdinando Ametrano
  Copyright (C) 2006 Chiara Fornarola
 
  This file is part of QuantLib, a free-software/open-source library
@@ -24,13 +24,33 @@
 #include <ql/time/daycounters/actual365fixed.hpp>
 #include <ql/currencies/europe.hpp>
 
+using boost::shared_ptr;
+
 namespace QuantLib {
 
-    GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(const Period& tenor,
-                                             const Handle<YieldTermStructure>& h)
+    GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
+                            const Period& tenor,
+                            const Handle<YieldTermStructure>& h)
+    : SwapIndex("GbpLiborSwapIsdaFix", // familyName
+                tenor,
+                0, // settlementDays
+                GBPCurrency(),
+                TARGET(),
+                tenor > 1*Years ? // fixedLegTenor
+                    6*Months : 1*Years,
+                ModifiedFollowing, // fixedLegConvention
+                Actual365Fixed(), // fixedLegDaycounter
+                tenor > 1*Years ?
+                    shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
+                    shared_ptr<IborIndex>(new GBPLibor(3*Months, h))) {}
+
+    GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
+                            const Period& tenor,
+                            const Handle<YieldTermStructure>& forwarding,
+                            const Handle<YieldTermStructure>& discounting)
     : SwapIndex("GbpLiborSwapIsdaFix", // familyName
                 tenor,
-                2, // settlementDays
+                0, // settlementDays
                 GBPCurrency(),
                 TARGET(),
                 tenor > 1*Years ? // fixedLegTenor
@@ -38,7 +58,8 @@ namespace QuantLib {
                 ModifiedFollowing, // fixedLegConvention
                 Actual365Fixed(), // fixedLegDaycounter
                 tenor > 1*Years ?
-                    boost::shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
-                    boost::shared_ptr<IborIndex>(new GBPLibor(3*Months, h))) {}
+                    shared_ptr<IborIndex>(new GBPLibor(6*Months, forwarding)) :
+                    shared_ptr<IborIndex>(new GBPLibor(3*Months, forwarding)),
+                discounting) {}
 
 }
diff --git a/ql/indexes/swap/gbpliborswap.hpp b/ql/indexes/swap/gbpliborswap.hpp
index 72a7229dfe..a1d633325a 100644
--- a/ql/indexes/swap/gbpliborswap.hpp
+++ b/ql/indexes/swap/gbpliborswap.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -43,6 +43,9 @@ namespace QuantLib {
         GbpLiborSwapIsdaFix(const Period& tenor,
                             const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        GbpLiborSwapIsdaFix(const Period& tenor,
+                            const Handle<YieldTermStructure>& forwarding,
+                            const Handle<YieldTermStructure>& discounting);
     };
 
 }
diff --git a/ql/indexes/swap/jpyliborswap.cpp b/ql/indexes/swap/jpyliborswap.cpp
index 55f00b5ff7..8d155a727f 100644
--- a/ql/indexes/swap/jpyliborswap.cpp
+++ b/ql/indexes/swap/jpyliborswap.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -23,10 +23,13 @@
 #include <ql/time/daycounters/actualactual.hpp>
 #include <ql/currencies/asia.hpp>
 
+using boost::shared_ptr;
+
 namespace QuantLib {
 
-    JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm(const Period& tenor,
-                                                 const Handle<YieldTermStructure>& h)
+    JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& h)
     : SwapIndex("JpyLiborSwapIsdaFixAm", // familyName
                 tenor,
                 2, // settlementDays
@@ -37,8 +40,24 @@ namespace QuantLib {
                 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
                 boost::shared_ptr<IborIndex>(new JPYLibor(6*Months, h))) {}
 
-    JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm(const Period& tenor,
-                                                 const Handle<YieldTermStructure>& h)
+    JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& forwarding,
+                                const Handle<YieldTermStructure>& discounting)
+    : SwapIndex("JpyLiborSwapIsdaFixAm", // familyName
+                tenor,
+                2, // settlementDays
+                JPYCurrency(),
+                TARGET(),
+                6*Months, // fixedLegTenor
+                ModifiedFollowing, // fixedLegConvention
+                ActualActual(ActualActual::ISDA), // fixedLegDaycounter
+                shared_ptr<IborIndex>(new JPYLibor(6*Months, forwarding)),
+                discounting) {}
+
+    JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& h)
     : SwapIndex("JpyLiborSwapIsdaFixPm", // familyName
                 tenor,
                 2, // settlementDays
@@ -49,4 +68,19 @@ namespace QuantLib {
                 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
                 boost::shared_ptr<IborIndex>(new JPYLibor(6*Months, h))) {}
 
+    JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& forwarding,
+                                const Handle<YieldTermStructure>& discounting)
+    : SwapIndex("JpyLiborSwapIsdaFixPm", // familyName
+                tenor,
+                2, // settlementDays
+                JPYCurrency(),
+                TARGET(),
+                6*Months, // fixedLegTenor
+                ModifiedFollowing, // fixedLegConvention
+                ActualActual(ActualActual::ISDA), // fixedLegDaycounter
+                shared_ptr<IborIndex>(new JPYLibor(6*Months, forwarding)),
+                discounting) {}
+
 }
diff --git a/ql/indexes/swap/jpyliborswap.hpp b/ql/indexes/swap/jpyliborswap.hpp
index cfca898826..892ee6ef0a 100644
--- a/ql/indexes/swap/jpyliborswap.hpp
+++ b/ql/indexes/swap/jpyliborswap.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -42,6 +42,9 @@ namespace QuantLib {
         JpyLiborSwapIsdaFixAm(const Period& tenor,
                               const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        JpyLiborSwapIsdaFixAm(const Period& tenor,
+                              const Handle<YieldTermStructure>& forwarding,
+                             const Handle<YieldTermStructure>& discounting);
     };
 
     //! %JpyLiborSwapIsdaFixPm index base class
@@ -58,6 +61,9 @@ namespace QuantLib {
         JpyLiborSwapIsdaFixPm(const Period& tenor,
                               const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        JpyLiborSwapIsdaFixPm(const Period& tenor,
+                              const Handle<YieldTermStructure>& forwarding,
+                             const Handle<YieldTermStructure>& discounting);
     };
 
 }
diff --git a/ql/indexes/swap/usdliborswap.cpp b/ql/indexes/swap/usdliborswap.cpp
index c9d79fd5cd..358b5bf20d 100644
--- a/ql/indexes/swap/usdliborswap.cpp
+++ b/ql/indexes/swap/usdliborswap.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -25,8 +25,9 @@
 
 namespace QuantLib {
 
-    UsdLiborSwapIsdaFixAm::UsdLiborSwapIsdaFixAm(const Period& tenor,
-                                                 const Handle<YieldTermStructure>& h)
+    UsdLiborSwapIsdaFixAm::UsdLiborSwapIsdaFixAm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& h)
     : SwapIndex("UsdLiborSwapIsdaFixAm", // familyName
                 tenor,
                 2, // settlementDays
@@ -37,8 +38,24 @@ namespace QuantLib {
                 Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
                 boost::shared_ptr<IborIndex>(new USDLibor(3*Months, h))) {}
 
-    UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(const Period& tenor,
-                                                 const Handle<YieldTermStructure>& h)
+    UsdLiborSwapIsdaFixAm::UsdLiborSwapIsdaFixAm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& forwarding,
+                                const Handle<YieldTermStructure>& discounting)
+    : SwapIndex("UsdLiborSwapIsdaFixAm", // familyName
+                tenor,
+                2, // settlementDays
+                USDCurrency(),
+                TARGET(),
+                6*Months, // fixedLegTenor
+                ModifiedFollowing, // fixedLegConvention
+                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
+                boost::shared_ptr<IborIndex>(new USDLibor(3*Months, forwarding)),
+                discounting) {}
+
+    UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& h)
     : SwapIndex("UsdLiborSwapIsdaFixPm", // familyName
                 tenor,
                 2, // settlementDays
@@ -49,4 +66,19 @@ namespace QuantLib {
                 Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
                 boost::shared_ptr<IborIndex>(new USDLibor(3*Months, h))) {}
 
+    UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(
+                                const Period& tenor,
+                                const Handle<YieldTermStructure>& forwarding,
+                                const Handle<YieldTermStructure>& discounting)
+    : SwapIndex("UsdLiborSwapIsdaFixPm", // familyName
+                tenor,
+                2, // settlementDays
+                USDCurrency(),
+                TARGET(),
+                6*Months, // fixedLegTenor
+                ModifiedFollowing, // fixedLegConvention
+                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
+                boost::shared_ptr<IborIndex>(new USDLibor(3*Months, forwarding)),
+                discounting) {}
+
 }
diff --git a/ql/indexes/swap/usdliborswap.hpp b/ql/indexes/swap/usdliborswap.hpp
index 0cf7304a1e..1effa3e5bf 100644
--- a/ql/indexes/swap/usdliborswap.hpp
+++ b/ql/indexes/swap/usdliborswap.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -42,6 +42,9 @@ namespace QuantLib {
         UsdLiborSwapIsdaFixAm(const Period& tenor,
                               const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        UsdLiborSwapIsdaFixAm(const Period& tenor,
+                              const Handle<YieldTermStructure>& forwarding,
+                              const Handle<YieldTermStructure>& discounting);
     };
 
     //! %UsdLiborSwapIsdaFixPm index base class
@@ -58,6 +61,9 @@ namespace QuantLib {
         UsdLiborSwapIsdaFixPm(const Period& tenor,
                               const Handle<YieldTermStructure>& h =
                                     Handle<YieldTermStructure>());
+        UsdLiborSwapIsdaFixPm(const Period& tenor,
+                              const Handle<YieldTermStructure>& forwarding,
+                              const Handle<YieldTermStructure>& discounting);
     };
 
 }
diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index 2f2e19cb70..edc073c77d 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -305,10 +305,14 @@ namespace QuantLib {
                      !redemptions.empty()   ? redemptions.back() :
                                               100.0;
             Real amount = (R/100.0)*(notionals_[i-1]-notionals_[i]);
-            boost::shared_ptr<CashFlow> redemption(
-                            new SimpleCashFlow(amount, notionalSchedule_[i]));
-            cashflows_.push_back(redemption);
-            redemptions_.push_back(redemption);
+            boost::shared_ptr<CashFlow> payment;
+            if (i < notionalSchedule_.size()-1)
+                payment.reset(new AmortizingPayment(amount,
+                                                    notionalSchedule_[i]));
+            else
+                payment.reset(new Redemption(amount, notionalSchedule_[i]));
+            cashflows_.push_back(payment);
+            redemptions_.push_back(payment);
         }
         // stable_sort now moves the redemptions to the right places
         // while ensuring that they follow coupons with the same date.
@@ -321,7 +325,7 @@ namespace QuantLib {
                                    const Date& date) {
 
         boost::shared_ptr<CashFlow> redemptionCashflow(
-                         new SimpleCashFlow(notional*redemption/100.0, date));
+                         new Redemption(notional*redemption/100.0, date));
         setSingleRedemption(notional, redemptionCashflow);
     }
 
diff --git a/ql/instruments/makevanillaswap.cpp b/ql/instruments/makevanillaswap.cpp
index f228300cdf..98354780d8 100644
--- a/ql/instruments/makevanillaswap.cpp
+++ b/ql/instruments/makevanillaswap.cpp
@@ -24,6 +24,7 @@
 #include <ql/time/daycounters/thirty360.hpp>
 #include <ql/indexes/iborindex.hpp>
 #include <ql/time/schedule.hpp>
+#include <ql/currencies/europe.hpp>
 
 namespace QuantLib {
 
@@ -37,7 +38,7 @@ namespace QuantLib {
       fixedCalendar_(index->fixingCalendar()),
       floatCalendar_(index->fixingCalendar()),
       type_(VanillaSwap::Payer), nominal_(1.0),
-      fixedTenor_(Period(1, Years)), floatTenor_(index->tenor()),
+      floatTenor_(index->tenor()),
       fixedConvention_(ModifiedFollowing),
       fixedTerminationDateConvention_(ModifiedFollowing),
       floatConvention_(index->businessDayConvention()),
@@ -47,7 +48,6 @@ namespace QuantLib {
       fixedFirstDate_(Date()), fixedNextToLastDate_(Date()),
       floatFirstDate_(Date()), floatNextToLastDate_(Date()),
       floatSpread_(0.0),
-      fixedDayCount_(Thirty360(Thirty360::BondBasis)),
       floatDayCount_(index->dayCounter()),
       engine_(new DiscountingSwapEngine(iborIndex_->forwardingTermStructure(),
                                         false))
@@ -78,8 +78,21 @@ namespace QuantLib {
         else
             endDate = startDate+swapTenor_;
 
+        Period fixedTenor;
+        if (fixedTenor_ != Period())
+            fixedTenor = fixedTenor_;
+        else {
+            const Currency& curr = iborIndex_->currency();
+            if (curr == EURCurrency())
+                fixedTenor = Period(1, Years);
+            else if (curr == GBPCurrency())
+                fixedTenor = Period(6, Months);
+            else
+                fixedTenor = Period(1, Years);
+        }
+
         Schedule fixedSchedule(startDate, endDate,
-                               fixedTenor_, fixedCalendar_,
+                               fixedTenor, fixedCalendar_,
                                fixedConvention_,
                                fixedTerminationDateConvention_,
                                fixedRule_, fixedEndOfMonth_,
@@ -92,6 +105,19 @@ namespace QuantLib {
                                floatRule_, floatEndOfMonth_,
                                floatFirstDate_, floatNextToLastDate_);
 
+        DayCounter fixedDayCount;
+        if (fixedDayCount_ != DayCounter())
+            fixedDayCount = fixedDayCount_;
+        else {
+            const Currency& curr = iborIndex_->currency();
+            if (curr == EURCurrency())
+                fixedDayCount = Thirty360(Thirty360::BondBasis);
+            else if (curr == GBPCurrency())
+                fixedDayCount = Actual365Fixed();
+            else
+                fixedDayCount = Thirty360(Thirty360::BondBasis);
+        }
+
         Rate usedFixedRate = fixedRate_;
         if (fixedRate_ == Null<Rate>()) {
             QL_REQUIRE(!iborIndex_->forwardingTermStructure().empty(),
@@ -100,7 +126,7 @@ namespace QuantLib {
             VanillaSwap temp(type_, nominal_,
                              fixedSchedule,
                              0.0, // fixed rate
-                             fixedDayCount_,
+                             fixedDayCount,
                              floatSchedule, iborIndex_,
                              floatSpread_, floatDayCount_);
             temp.setPricingEngine(engine_);
@@ -110,7 +136,7 @@ namespace QuantLib {
         boost::shared_ptr<VanillaSwap> swap(new
             VanillaSwap(type_, nominal_,
                         fixedSchedule,
-                        usedFixedRate, fixedDayCount_,
+                        usedFixedRate, fixedDayCount,
                         floatSchedule,
                         iborIndex_, floatSpread_, floatDayCount_));
         swap->setPricingEngine(engine_);
@@ -147,9 +173,7 @@ namespace QuantLib {
 
     MakeVanillaSwap& MakeVanillaSwap::withRule(DateGeneration::Rule r) {
         fixedRule_ = r;
-        // fixedTenor_ = ??
         floatRule_ = r;
-        // floatTenor_ = ??
         return *this;
     }
 
diff --git a/ql/math/array.hpp b/ql/math/array.hpp
index 5ff6ceecf5..467025a458 100644
--- a/ql/math/array.hpp
+++ b/ql/math/array.hpp
@@ -221,6 +221,9 @@ namespace QuantLib {
 
     inline Array::Array(const Array& from)
     : data_(from.n_ ? new Real[from.n_] : (Real*)(0)), n_(from.n_) {
+        #if defined(QL_PATCH_MSVC) && defined(QL_DEBUG)
+        if (n_)
+        #endif
         std::copy(from.begin(),from.end(),begin());
     }
 
@@ -258,6 +261,9 @@ namespace QuantLib {
             Size n = std::distance(begin, end);
             data_.reset(n ? new Real[n] : (Real*)(0));
             n_ = n;
+            #if defined(QL_PATCH_MSVC) && defined(QL_DEBUG)
+            if (n_)
+            #endif
             std::copy(begin, end, a.begin());
         }
 
diff --git a/ql/math/interpolations/cubicinterpolation.hpp b/ql/math/interpolations/cubicinterpolation.hpp
index 2425eaf78f..9c49e1799b 100644
--- a/ql/math/interpolations/cubicinterpolation.hpp
+++ b/ql/math/interpolations/cubicinterpolation.hpp
@@ -82,7 +82,7 @@ namespace QuantLib {
         been applied.
 
         While some non-linear schemes (Modified Parabolic, Fritsch-Butland,
-        Kruger) are guaranteed to be locally monotone in their original
+        Kruger) are guaranteed to be locally monotonic in their original
         approximation, all other schemes must be filtered according to the
         Hyman criteria at the expense of their linearity.
 
@@ -100,7 +100,7 @@ namespace QuantLib {
     class CubicInterpolation : public Interpolation {
       public:
         enum DerivativeApprox {
-            /*! Spline approximation (non-local, non-monotone, linear[?]).
+            /*! Spline approximation (non-local, non-monotonic, linear[?]).
                 Different boundary conditions can be used on the left and right
                 boundaries: see BoundaryCondition.
             */
@@ -112,19 +112,19 @@ namespace QuantLib {
             //! Overshooting minimization 2nd derivative
             SplineOM2,
 
-            //! Fourth-order approximation (local, non-monotone, linear)
+            //! Fourth-order approximation (local, non-monotonic, linear)
             FourthOrder,
 
-            //! Parabolic approximation (local, non-monotone, linear)
+            //! Parabolic approximation (local, non-monotonic, linear)
             Parabolic,
 
-            //! Fritsch-Butland approximation (local, monotone, non-linear)
+            //! Fritsch-Butland approximation (local, monotonic, non-linear)
             FritschButland,
 
-            //! Akima approximation (local, non-monotone, non-linear)
+            //! Akima approximation (local, non-monotonic, non-linear)
             Akima,
 
-            //! Kruger approximation (local, monotone, non-linear)
+            //! Kruger approximation (local, monotonic, non-linear)
             Kruger
         };
         enum BoundaryCondition {
diff --git a/ql/math/matrix.hpp b/ql/math/matrix.hpp
index ae78c52c37..5b445784c6 100644
--- a/ql/math/matrix.hpp
+++ b/ql/math/matrix.hpp
@@ -197,6 +197,9 @@ namespace QuantLib {
     inline Matrix::Matrix(const Matrix& from)
     : data_(!from.empty() ? new Real[from.rows_*from.columns_] : (Real*)(0)),
       rows_(from.rows_), columns_(from.columns_) {
+        #if defined(QL_PATCH_MSVC) && defined(QL_DEBUG)
+        if (!from.empty())
+        #endif
         std::copy(from.begin(),from.end(),begin());
     }
 
@@ -535,6 +538,9 @@ namespace QuantLib {
 
     inline const Disposable<Matrix> transpose(const Matrix& m) {
         Matrix result(m.columns(),m.rows());
+        #if defined(QL_PATCH_MSVC) && defined(QL_DEBUG)
+        if (!m.empty())
+        #endif
         for (Size i=0; i<m.rows(); i++)
             std::copy(m.row_begin(i),m.row_end(i),result.column_begin(i));
         return result;
diff --git a/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp b/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp
index cb1eb482f2..d242db22aa 100644
--- a/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp
+++ b/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) Sun Xiuxin 2009
+ Copyright (C) 2009 Sun Xiuxin
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
diff --git a/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp b/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp
index e9cab43e5d..eb9317cca1 100644
--- a/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp
+++ b/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) Sun Xiuxin 2009
+ Copyright (C) 2009 Sun Xiuxin
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index e9cdd170aa..bd859e5307 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -77,6 +77,60 @@ namespace QuantLib {
         yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
     }
 
+    FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
+                                         const Date& immDate,
+                                         const Date& endDate,
+                                         const DayCounter& dayCounter,
+                                         const Handle<Quote>& convAdj)
+    : RateHelper(price), convAdj_(convAdj) {
+        QL_REQUIRE(IMM::isIMMdate(immDate, false),
+                   immDate << " is not a valid IMM date");
+        earliestDate_ = immDate;
+
+        if (endDate==Date()) {
+            latestDate_ = IMM::nextDate(immDate, false);
+            latestDate_ = IMM::nextDate(latestDate_, false);
+            latestDate_ = IMM::nextDate(latestDate_, false);
+        } else { 
+            QL_REQUIRE(endDate>immDate,
+                       "end date (" << endDate <<
+                       ") must be greater than IMM start date (" <<
+                       immDate << ")");
+            latestDate_ = endDate;
+        }
+
+        yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
+
+        registerWith(convAdj_);
+    }
+
+    FuturesRateHelper::FuturesRateHelper(Real price,
+                                         const Date& immDate,
+                                         const Date& endDate,
+                                         const DayCounter& dayCounter,
+                                         Rate convAdj)
+    : RateHelper(price),
+      convAdj_(Handle<Quote>(shared_ptr<Quote>(new SimpleQuote(convAdj))))
+    {
+        QL_REQUIRE(IMM::isIMMdate(immDate, false),
+                   immDate << "is not a valid IMM date");
+        earliestDate_ = immDate;
+        
+        if (endDate==Date()) {
+            latestDate_ = IMM::nextDate(immDate, false);
+            latestDate_ = IMM::nextDate(latestDate_, false);
+            latestDate_ = IMM::nextDate(latestDate_, false);
+        } else { 
+            QL_REQUIRE(endDate>immDate,
+                       "end date (" << endDate <<
+                       ") must be greater than IMM start date (" <<
+                       immDate << ")");
+            latestDate_ = endDate;
+        }
+
+        yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
+    }
+
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& immDate,
                                          const shared_ptr<IborIndex>& i,
diff --git a/ql/termstructures/yield/ratehelpers.hpp b/ql/termstructures/yield/ratehelpers.hpp
index afb018dd2e..b564356667 100644
--- a/ql/termstructures/yield/ratehelpers.hpp
+++ b/ql/termstructures/yield/ratehelpers.hpp
@@ -61,6 +61,16 @@ namespace QuantLib {
                           bool endOfMonth,
                           const DayCounter& dayCounter,
                           Rate convexityAdjustment = 0.0);
+        FuturesRateHelper(const Handle<Quote>& price,
+                          const Date& immStartDate,
+                          const Date& endDate,
+                          const DayCounter& dayCounter,
+                          const Handle<Quote>& convexityAdjustment = Handle<Quote>());
+        FuturesRateHelper(Real price,
+                          const Date& immStartDate,
+                          const Date& endDate,
+                          const DayCounter& dayCounter,
+                          Rate convexityAdjustment = 0.0);
         FuturesRateHelper(const Handle<Quote>& price,
                           const Date& immDate,
                           const boost::shared_ptr<IborIndex>& iborIndex,
diff --git a/ql/userconfig.hpp b/ql/userconfig.hpp
index 452d99071e..d8d7762adc 100644
--- a/ql/userconfig.hpp
+++ b/ql/userconfig.hpp
@@ -61,7 +61,7 @@
 
 /* Define this if you want to disable deprecated code. */
 #ifndef QL_DISABLE_DEPRECATED
-#   define QL_DISABLE_DEPRECATED
+//#   define QL_DISABLE_DEPRECATED
 #endif
 
 /* Define this to use indexed coupons instead of par coupons in floating
diff --git a/ql/utilities/dataformatters.cpp b/ql/utilities/dataformatters.cpp
index 0c5c78bd9d..26d3485e6a 100644
--- a/ql/utilities/dataformatters.cpp
+++ b/ql/utilities/dataformatters.cpp
@@ -43,7 +43,7 @@ namespace QuantLib {
         std::ostream& operator<<(std::ostream& out,
                                  const percent_holder& holder) {
             std::ios::fmtflags flags = out.flags();
-            Size width = out.width();
+            Size width = (Size)out.width();
             if (width > 2)
                 out.width(width-2); // eat space used by percent sign
             out << std::fixed;
diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index ba7cd2913c..201e9a0d1e 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -180,33 +180,33 @@ void CashFlowsTest::testAccessViolation() {
     Handle<YieldTermStructure> rhTermStructure(
         flatRate(settlementDate, 0.04875825, Actual365Fixed()));
 
-	Volatility volatility = 0.10;
-	Handle<OptionletVolatilityStructure> vol;
-	vol = Handle<OptionletVolatilityStructure>(
-			 boost::shared_ptr<OptionletVolatilityStructure>(
+    Volatility volatility = 0.10;
+    Handle<OptionletVolatilityStructure> vol;
+    vol = Handle<OptionletVolatilityStructure>(
+             boost::shared_ptr<OptionletVolatilityStructure>(
                  new ConstantOptionletVolatility(
-							 2,
-							 calendar,
-							 ModifiedFollowing,
-							 volatility,
-							 Actual365Fixed())));
+                             2,
+                             calendar,
+                             ModifiedFollowing,
+                             volatility,
+                             Actual365Fixed())));
 
-	boost::shared_ptr<IborIndex> index3m (new USDLibor(3*Months,
+    boost::shared_ptr<IborIndex> index3m (new USDLibor(3*Months,
                                                        rhTermStructure));
 
-	Date payDate(20, December, 2013);
-	Date startDate(20, September, 2013);
-	Date endDate(20, December, 2013);
-	Rate spread = 0.0115;
-	boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer(vol));
+    Date payDate(20, December, 2013);
+    Date startDate(20, September, 2013);
+    Date endDate(20, December, 2013);
+    Rate spread = 0.0115;
+    boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer(vol));
     boost::shared_ptr<FloatingRateCoupon> coupon(
         new FloatingRateCoupon(payDate,100, startDate, endDate, 2,
                                index3m, 1.0 , spread / 100));
-	coupon->setPricer(pricer);
+    coupon->setPricer(pricer);
 
     try {
         // this caused an access violation in version 1.0
-    	Real amount = coupon->amount();
+        Real amount = coupon->amount();
     } catch (Error&) {
         // ok; proper exception thrown
     }
diff --git a/test-suite/commodityunitofmeasure.cpp b/test-suite/commodityunitofmeasure.cpp
index 9bfea5e178..d601002bcd 100644
--- a/test-suite/commodityunitofmeasure.cpp
+++ b/test-suite/commodityunitofmeasure.cpp
@@ -29,11 +29,11 @@ void CommodityUnitOfMeasureTest::testDirect() {
 
     BOOST_MESSAGE("Testing direct commodity unit of measure conversions...");
 
-	UnitOfMeasureConversionManager& UOMManager =
+    UnitOfMeasureConversionManager& UOMManager =
         UnitOfMeasureConversionManager::instance();
 
-	//MB to BBL 
-	Quantity actual =
+    //MB to BBL
+    Quantity actual =
         UnitOfMeasureConversion(NullCommodityType(), MBUnitOfMeasure(),
                                 BarrelUnitOfMeasure(), 1000)
         .convert(Quantity(NullCommodityType(), MBUnitOfMeasure(), 1000));
@@ -42,7 +42,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                           MBUnitOfMeasure(), UnitOfMeasureConversion::Direct)
         .convert(Quantity(NullCommodityType(), MBUnitOfMeasure(), 1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for MB to BBL Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
@@ -59,7 +59,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                            UnitOfMeasureConversion::Direct)
          .convert(Quantity(NullCommodityType(), GallonUnitOfMeasure(), 1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for BBL to Gallon Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
@@ -76,7 +76,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                            UnitOfMeasureConversion::Direct)
          .convert(Quantity(NullCommodityType(), LitreUnitOfMeasure(), 1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for BBL to Litre Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
@@ -93,7 +93,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                            UnitOfMeasureConversion::Direct)
          .convert(Quantity(NullCommodityType(),KilolitreUnitOfMeasure(),1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for BBL to KiloLitre Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
@@ -109,7 +109,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                            MBUnitOfMeasure(), UnitOfMeasureConversion::Direct)
          .convert(Quantity(NullCommodityType(),MBUnitOfMeasure(),1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for MB to Gallon Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
@@ -126,7 +126,7 @@ void CommodityUnitOfMeasureTest::testDirect() {
                            UnitOfMeasureConversion::Direct)
          .convert(Quantity(NullCommodityType(),LitreUnitOfMeasure(),1000));
 
-	 if (!close(calc,actual)) {
+     if (!close(calc,actual)) {
         BOOST_FAIL("Wrong result for Gallon to Litre Conversion: \n"
                    << "    actual:     " << actual << "\n"
                    << "    calculated: " << calc);
diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index 1b101ac0ba..c1b6b9dab5 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -920,34 +920,34 @@ void InflationTest::testYYTermStructure() {
 
 void InflationTest::testPeriod() {
     BOOST_MESSAGE("Testing inflation period...");
-	
-	Date d;
-	Frequency f;
-	std::pair<Date,Date> res;
-	
-	// fails by crashing out
-	for (Size i=1; i<=12; i++){
-		d = Date(1,Month(i),2009);
-		
-		f = Monthly;
-		res = inflationPeriod (d,f);
-		
-		f = Quarterly;
-		res = inflationPeriod (d,f);
-		
-		f = Semiannual;
-		res = inflationPeriod (d,f);
-		
-		f = Annual;
-		res = inflationPeriod (d,f);
-	}
+
+    Date d;
+    Frequency f;
+    std::pair<Date,Date> res;
+
+    // fails by crashing out
+    for (Size i=1; i<=12; i++){
+        d = Date(1,Month(i),2009);
+
+        f = Monthly;
+        res = inflationPeriod (d,f);
+
+        f = Quarterly;
+        res = inflationPeriod (d,f);
+
+        f = Semiannual;
+        res = inflationPeriod (d,f);
+
+        f = Annual;
+        res = inflationPeriod (d,f);
+    }
 }
 
 test_suite* InflationTest::suite() {
 
     test_suite* suite = BOOST_TEST_SUITE("Inflation tests");
-	
-	suite->add(QUANTLIB_TEST_CASE(&InflationTest::testPeriod));
+
+    suite->add(QUANTLIB_TEST_CASE(&InflationTest::testPeriod));
 
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testZeroIndex));
     suite->add(QUANTLIB_TEST_CASE(&InflationTest::testZeroTermStructure));
diff --git a/test-suite/inflation.hpp b/test-suite/inflation.hpp
index 85fc4df483..69acb00848 100644
--- a/test-suite/inflation.hpp
+++ b/test-suite/inflation.hpp
@@ -27,7 +27,7 @@
 
 class InflationTest {
 public:
-	static void testPeriod();
+    static void testPeriod();
     static void testZeroIndex();
     static void testZeroTermStructure();
     static void testYYIndex();
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 9cc9f27ad4..8b8dc236fd 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=216
+UnitCount=218
 Type=1
 Ver=1
 ObjFiles=
diff --git a/test-suite/timeseries.cpp b/test-suite/timeseries.cpp
index 8ebf87feaf..463cbfcdfb 100644
--- a/test-suite/timeseries.cpp
+++ b/test-suite/timeseries.cpp
@@ -23,7 +23,9 @@
 #include <ql/timeseries.hpp>
 #include <ql/prices.hpp>
 #include <ql/time/calendars/unitedstates.hpp>
-#include <boost/unordered_map.hpp>
+#if BOOST_VERSION >= 103600
+    #include <boost/unordered_map.hpp>
+#endif
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -85,6 +87,7 @@ void TimeSeriesTest::testIntervalPrice() {
                                                                low);
 }
 
+#if BOOST_VERSION >= 103600
 namespace boost {
 
     template<>
@@ -95,6 +98,7 @@ namespace boost {
     };
 
 }
+#endif
 
 void TimeSeriesTest::testIterators() {
     BOOST_MESSAGE("Testing time series iterators...");
@@ -133,9 +137,8 @@ void TimeSeriesTest::testIterators() {
         BOOST_ERROR("value does not match");
     }
 
-
+    #if BOOST_VERSION >= 103600
     // unordered container
-
     typedef TimeSeries<int, boost::unordered_map<Date, int> >
                                                           TimeSeriesUnordered;
     TimeSeriesUnordered ts1;
@@ -151,7 +154,7 @@ void TimeSeriesTest::testIterators() {
             BOOST_ERROR("value does not match");
         }
     }
-
+    #endif
 
     // reverse iterators
 

From c06c8f7edecac5b35cccbb6721e34c3399d1a8d1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 31 May 2011 17:28:32 +0000
Subject: [PATCH 163/410] added missing files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17765 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj             | 216 ++++++++++++++++++++++++++++++++
 test-suite/testsuite_vc9.vcproj |  24 ++++
 2 files changed, 240 insertions(+)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 43cd01f9d2..a3a8d682d5 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -976,6 +976,14 @@
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp"
 				>
@@ -1040,6 +1048,22 @@
 				RelativePath=".\ql\cashflows\couponpricer.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\digitalcmscoupon.cpp"
 				>
@@ -1536,6 +1560,22 @@
 				RelativePath=".\ql\instruments\compositeinstrument.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\cpicapfloor.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpicapfloor.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpiswap.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpiswap.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\creditdefaultswap.cpp"
 				>
@@ -1764,6 +1804,10 @@
 				RelativePath=".\ql\instruments\vanillaoption.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillastorageoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\vanillaswap.cpp"
 				>
@@ -1772,6 +1816,10 @@
 				RelativePath=".\ql\instruments\vanillaswap.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillaswingoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\varianceswap.cpp"
 				>
@@ -1819,6 +1867,14 @@
 					RelativePath=".\ql\instruments\bonds\cmsratebond.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\cpibond.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\cpibond.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\fixedratebond.cpp"
 					>
@@ -5511,6 +5567,14 @@
 					RelativePath=".\ql\pricingengines\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp"
 					>
@@ -6731,6 +6795,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp"
 					>
@@ -6779,6 +6851,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesvanillaengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdhestonbarrierengine.cpp"
 					>
@@ -6831,6 +6911,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp"
 					>
@@ -6927,6 +7023,34 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmdividendhandler.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp"
 					>
@@ -7023,6 +7147,38 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dbssolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.cpp"
 					>
@@ -7031,6 +7187,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsolverdesc.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp"
 					>
@@ -7039,6 +7199,30 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.cpp"
 					>
@@ -7199,6 +7383,22 @@
 					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extouwithjumpsprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extouwithjumpsprocess.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
 					>
@@ -7627,6 +7827,22 @@
 					RelativePath=".\ql\experimental\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp"
 					>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 16e9f1bac5..00a270324c 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1054,6 +1054,14 @@
 				RelativePath=".\inflationcapflooredcoupon.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.cpp"
 				>
@@ -1242,6 +1250,10 @@
 				RelativePath=".\swaptionvolatilitymatrix.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\swingoption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="termstructures.cpp"
 				>
@@ -1491,6 +1503,14 @@
 				RelativePath=".\inflationcapflooredcoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.hpp"
 				>
@@ -1683,6 +1703,10 @@
 				RelativePath=".\swaptionvolstructuresutilities.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\swingoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="termstructures.hpp"
 				>

From 27a2418a07f0d32a82d94d8223d1658b658c6d99 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 31 May 2011 17:29:09 +0000
Subject: [PATCH 164/410] fixed error

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17766 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdsimplebsswingengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
index 9deaa2e7ae..64d7e0974e 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -117,7 +117,7 @@ namespace QuantLib {
         std::vector< std::pair<Real, Real> > exerciseValues;
         for (Size i=arguments_.minExerciseRights;
              i <= arguments_.maxExerciseRights; ++i) {
-            const Real y = std::exp(i);
+            const Real y = std::exp(Real(i));
             exerciseValues.push_back(
                            std::pair<Real, Real>(solver->valueAt(spot, y), y));
         }

From ac7a638b074e9a9022530a8bbd7c92d1ee8f7328 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 31 May 2011 17:29:31 +0000
Subject: [PATCH 165/410] fixed warning

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17767 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 9acce6b90f..0409e39efc 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -172,7 +172,7 @@ void SwingOptionTest::testGemanRoncoroniProcess() {
     
     const Time T = 10.0;
     const Size stepsPerYear = 250;
-    const Size steps = T*stepsPerYear;
+    const Size steps = Size(T*Real(stepsPerYear));
     
     TimeGrid grid(T, steps);
 

From fcd2922130f6a113ed6205a76b34e2e460925825 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 1 Jun 2011 12:19:38 +0000
Subject: [PATCH 166/410] avoided warning

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17768 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/inflationcpiswap.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 4d72292520..bd3dc39cdc 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -300,8 +300,8 @@ void CPISwapTest::consistency() {
 	Date baseDate = floatSchedule[0] - contractObservationLag;
 	Date asofDate = Settings::instance().evaluationDate();	
 
-	float floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
-	float cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+	Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+	Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
 	for(Size i=0;i<floatSchedule.size(); i++){
 		if (floatSchedule[i] < common.evaluationDate) {
 			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
@@ -456,8 +456,8 @@ void CPISwapTest::cpibondconsistency() {
 	Date baseDate = floatSchedule[0] - contractObservationLag;
 	Date asofDate = Settings::instance().evaluationDate();	
 	
-	float floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
-	float cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+	Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+	Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
 	for(Size i=0;i<floatSchedule.size(); i++){
 		if (floatSchedule[i] < common.evaluationDate) {
 			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite

From 59e7915754a196a1ba6ca5847c3c095a25429342 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 1 Jun 2011 15:08:20 +0000
Subject: [PATCH 167/410] fixed warning

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17769 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
index 8ab93b70a9..5bf96b82be 100755
--- a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
@@ -184,7 +184,7 @@ namespace QuantLib {
 			
 			//! remember that the strikes use the quoting convention
 			//@{
-			virtual Real price(const Date &d, const Rate k) const;
+			virtual Real price(const Date &d, Rate k) const;
 			virtual Real capPrice(const Date &d, Rate k) const;
 			virtual Real floorPrice(const Date &d, Rate k) const;
 			//@}

From 7e4547227d23935e1c81efe65d9f5213da980122 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 1 Jun 2011 15:11:20 +0000
Subject: [PATCH 168/410] updated files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17770 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj                     |  62 +++++++-
 QuantLib_vc10.vcxproj.filters             | 178 ++++++++++++++++++++--
 test-suite/testsuite_vc10.vcxproj         |   6 +
 test-suite/testsuite_vc10.vcxproj.filters |  18 +++
 4 files changed, 244 insertions(+), 20 deletions(-)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index cbd2118cb9..a44a80c705 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup Label="ProjectConfigurations">
     <ProjectConfiguration Include="Debug (static runtime)|Win32">
@@ -248,6 +248,35 @@
     </Bscmake>
   </ItemDefinitionGroup>
   <ItemGroup>
+    <ClInclude Include="ql\cashflows\baseindexedcashflow.hpp" />
+    <ClInclude Include="ql\cashflows\cpicoupon.hpp" />
+    <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\exponentialjump1dmesher.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dimsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdm3dimsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpop.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsolverdesc.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimplebsswingengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
+    <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp" />
+    <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp" />
+    <ClInclude Include="ql\experimental\processes\extouwithjumpsprocess.hpp" />
+    <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp" />
+    <ClInclude Include="ql\instruments\bonds\cpibond.hpp" />
+    <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
+    <ClInclude Include="ql\instruments\cpiswap.hpp" />
+    <ClInclude Include="ql\instruments\vanillastorageoption.hpp" />
+    <ClInclude Include="ql\instruments\vanillaswingoption.hpp" />
     <ClInclude Include="ql\methods\all.hpp" />
     <ClInclude Include="ql\methods\montecarlo\all.hpp" />
     <ClInclude Include="ql\methods\montecarlo\brownianbridge.hpp" />
@@ -722,6 +751,7 @@
     <ClInclude Include="ql\models\equity\hestonmodel.hpp" />
     <ClInclude Include="ql\models\equity\hestonmodelhelper.hpp" />
     <ClInclude Include="ql\models\equity\piecewisetimedependenthestonmodel.hpp" />
+    <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp" />
     <ClInclude Include="ql\termstructures\all.hpp" />
     <ClInclude Include="ql\termstructures\bootstraperror.hpp" />
     <ClInclude Include="ql\termstructures\bootstraphelper.hpp" />
@@ -1140,11 +1170,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmdividendhandler.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhullwhitemesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdminnervaluecalculator.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmlinearop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmlinearopcomposite.hpp" />
@@ -1291,6 +1319,29 @@
     <ClInclude Include="ql\volatilitymodel.hpp" />
   </ItemGroup>
   <ItemGroup>
+    <ClCompile Include="ql\cashflows\baseindexedcashflow.cpp" />
+    <ClCompile Include="ql\cashflows\cpicoupon.cpp" />
+    <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\exponentialjump1dmesher.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dimsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdm3dimsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimplebsswingengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
+    <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp" />
+    <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp" />
+    <ClCompile Include="ql\experimental\processes\extouwithjumpsprocess.cpp" />
+    <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp" />
+    <ClCompile Include="ql\instruments\bonds\cpibond.cpp" />
+    <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
+    <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp" />
     <ClCompile Include="ql\methods\montecarlo\genericlsregression.cpp" />
     <ClCompile Include="ql\methods\montecarlo\lsmbasissystem.cpp" />
@@ -1585,6 +1636,7 @@
     <ClCompile Include="ql\models\equity\hestonmodel.cpp" />
     <ClCompile Include="ql\models\equity\hestonmodelhelper.cpp" />
     <ClCompile Include="ql\models\equity\piecewisetimedependenthestonmodel.cpp" />
+    <ClCompile Include="ql\pricingengines\inflation\cpicapfloorengines.cpp" />
     <ClCompile Include="ql\termstructures\defaulttermstructure.cpp" />
     <ClCompile Include="ql\termstructures\inflationtermstructure.cpp" />
     <ClCompile Include="ql\termstructures\voltermstructure.cpp" />
@@ -1875,11 +1927,9 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmdividendhandler.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmhullwhitemesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdminnervaluecalculator.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmlinearoplayout.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmmeshercomposite.cpp" />
@@ -1966,4 +2016,4 @@
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>
\ No newline at end of file
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 53f6cd30b8..c1323e27cd 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Filter Include="methods">
@@ -2976,9 +2976,6 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp">
-      <Filter>experimental\finitedifferences</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonop.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -2988,9 +2985,6 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhullwhitemesher.hpp">
-      <Filter>experimental\finitedifferences</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdminnervaluecalculator.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -3345,6 +3339,96 @@
     <ClInclude Include="ql\userconfig.hpp" />
     <ClInclude Include="ql\version.hpp" />
     <ClInclude Include="ql\volatilitymodel.hpp" />
+    <ClInclude Include="ql\cashflows\baseindexedcashflow.hpp">
+      <Filter>cashflows</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\cashflows\cpicoupon.hpp">
+      <Filter>cashflows</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\cashflows\cpicouponpricer.hpp">
+      <Filter>cashflows</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\cpicapfloor.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\cpiswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\vanillastorageoption.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\vanillaswingoption.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\bonds\cpibond.hpp">
+      <Filter>instruments\bonds</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp">
+      <Filter>pricingengines\inflation</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\exponentialjump1dmesher.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdm2dimsolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdm3dimsolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpop.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpsolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmsolverdesc.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimplebsswingengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\processes\extouwithjumpsprocess.hpp">
+      <Filter>experimental\processes</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp">
+      <Filter>experimental\processes</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp">
+      <Filter>experimental\inflation</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp">
+      <Filter>experimental\inflation</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5099,9 +5183,6 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp">
-      <Filter>experimental\finitedifferences</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonop.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5111,9 +5192,6 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\finitedifferences\fdmhullwhitemesher.cpp">
-      <Filter>experimental\finitedifferences</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdminnervaluecalculator.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5328,5 +5406,77 @@
     <ClCompile Include="ql\stochasticprocess.cpp" />
     <ClCompile Include="ql\termstructure.cpp" />
     <ClCompile Include="ql\timegrid.cpp" />
+    <ClCompile Include="ql\cashflows\baseindexedcashflow.cpp">
+      <Filter>cashflows</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\cashflows\cpicoupon.cpp">
+      <Filter>cashflows</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\cashflows\cpicouponpricer.cpp">
+      <Filter>cashflows</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\cpicapfloor.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\cpiswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\bonds\cpibond.cpp">
+      <Filter>instruments\bonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\inflation\cpicapfloorengines.cpp">
+      <Filter>pricingengines\inflation</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\exponentialjump1dmesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdm2dimsolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdm3dimsolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimplebsswingengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\processes\extouwithjumpsprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp">
+      <Filter>experimental\inflation</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp">
+      <Filter>experimental\inflation</Filter>
+    </ClCompile>
   </ItemGroup>
-</Project>
+</Project>
\ No newline at end of file
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 82faec8d07..0411416b3c 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -368,6 +368,8 @@
     <ClCompile Include="inflation.cpp" />
     <ClCompile Include="inflationcapfloor.cpp" />
     <ClCompile Include="inflationcapflooredcoupon.cpp" />
+    <ClCompile Include="inflationcpicapfloor.cpp" />
+    <ClCompile Include="inflationcpiswap.cpp" />
     <ClCompile Include="inflationvolatility.cpp" />
     <ClCompile Include="instruments.cpp" />
     <ClCompile Include="integrals.cpp" />
@@ -415,6 +417,7 @@
     <ClCompile Include="swaption.cpp" />
     <ClCompile Include="swaptionvolatilitycube.cpp" />
     <ClCompile Include="swaptionvolatilitymatrix.cpp" />
+    <ClCompile Include="swingoption.cpp" />
     <ClCompile Include="termstructures.cpp" />
     <ClCompile Include="timeseries.cpp" />
     <ClCompile Include="tqreigendecomposition.cpp" />
@@ -479,6 +482,8 @@
     <ClInclude Include="inflation.hpp" />
     <ClInclude Include="inflationcapfloor.hpp" />
     <ClInclude Include="inflationcapflooredcoupon.hpp" />
+    <ClInclude Include="inflationcpicapfloor.hpp" />
+    <ClInclude Include="inflationcpiswap.hpp" />
     <ClInclude Include="inflationvolatility.hpp" />
     <ClInclude Include="instruments.hpp" />
     <ClInclude Include="integrals.hpp" />
@@ -527,6 +532,7 @@
     <ClInclude Include="swaptionvolatilitycube.hpp" />
     <ClInclude Include="swaptionvolatilitymatrix.hpp" />
     <ClInclude Include="swaptionvolstructuresutilities.hpp" />
+    <ClInclude Include="swingoption.hpp" />
     <ClInclude Include="termstructures.hpp" />
     <ClInclude Include="timeseries.hpp" />
     <ClInclude Include="tqreigendecomposition.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 4af1d38658..153fdae423 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -338,6 +338,15 @@
     <ClCompile Include="quantlibtestsuite.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="inflationcpicapfloor.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
+    <ClCompile Include="inflationcpiswap.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
+    <ClCompile Include="swingoption.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp">
@@ -667,5 +676,14 @@
     <ClInclude Include="volatilitymodels.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="swingoption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="inflationcpicapfloor.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
+    <ClInclude Include="inflationcpiswap.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
   </ItemGroup>
 </Project>
\ No newline at end of file

From a449fd20e7437e76bec313b00389266275dfb61d Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 3 Jun 2011 22:31:17 +0000
Subject: [PATCH 169/410] changed granularity of swing exercise

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17771 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdm2dimsolver.cpp       |  3 +-
 .../finitedifferences/fdm3dimsolver.cpp       |  3 +-
 .../fdmamericanstepcondition.cpp              |  5 +--
 .../fdmbermudanstepcondition.cpp              |  2 +-
 .../fdmblackscholessolver.cpp                 |  3 +-
 .../fdmextoujumpmodelinnervalue.hpp           | 23 ++++++++---
 .../fdminnervaluecalculator.cpp               | 21 +++++-----
 .../fdminnervaluecalculator.hpp               | 18 ++++-----
 .../fdmsimplestoragecondition.cpp             |  2 +-
 .../fdmsimpleswingcondition.cpp               |  2 +-
 .../fdsimplebsswingengine.cpp                 |  4 +-
 .../fdsimpleextoujumpswingengine.cpp          | 28 +++++++++-----
 .../fdsimpleextoujumpswingengine.hpp          |  6 +++
 .../fdsimpleextoustorageengine.cpp            | 12 +++---
 ql/instruments/vanillaswingoption.hpp         | 38 +++++++++++++++++--
 test-suite/fdmlinearop.cpp                    |  2 +-
 test-suite/swingoption.cpp                    | 17 +++++----
 17 files changed, 127 insertions(+), 62 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
index 1aac8be22e..2784500517 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
@@ -55,7 +55,8 @@ namespace QuantLib {
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
             initialValues_[iter.index()]
-                               = solverDesc_.calculator->avgInnerValue(iter);
+                 = solverDesc_.calculator->avgInnerValue(iter,
+                                                         solverDesc.maturity);
 
             if (!iter.coordinates()[1]) {
                 x_.push_back(mesher_->location(iter, 0));
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
index ae0358da02..0ec1e532d0 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
@@ -60,7 +60,8 @@ namespace QuantLib {
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
             initialValues_[iter.index()]
-                           = solverDesc.calculator->avgInnerValue(iter);
+               = solverDesc.calculator->avgInnerValue(iter,
+                                                      solverDesc.maturity);
 
 
             if (!iter.coordinates()[1] && !iter.coordinates()[2]) {
diff --git a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp b/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
index 0c5939a067..9e334020d6 100644
--- a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
@@ -30,8 +30,7 @@ namespace QuantLib {
       calculator_(calculator) {
     }
 
-    void FdmAmericanStepCondition::applyTo(Array& a,
-                                           Time) const {
+    void FdmAmericanStepCondition::applyTo(Array& a, Time t) const {
         boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         const FdmLinearOpIterator endIter = layout->end();
 
@@ -43,7 +42,7 @@ namespace QuantLib {
             for (Size i=0; i < dims; ++i)
                 locations[i] = mesher_->location(iter, i);
 
-            const Real innerValue = calculator_->innerValue(iter);
+            const Real innerValue = calculator_->innerValue(iter, t);
             if (innerValue > a[iter.index()]) {
                 a[iter.index()] = innerValue;
             }
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
index 00d8d3aca0..bf4f4c825f 100644
--- a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
@@ -59,7 +59,7 @@ namespace QuantLib {
                 for (Size i=0; i < dims; ++i)
                     locations[i] = mesher_->location(iter, i);
 
-                const Real innerValue = calculator_->innerValue(iter);
+                const Real innerValue = calculator_->innerValue(iter, t);
                 if (innerValue > a[iter.index()]) {
                     a[iter.index()] = innerValue;
                 }
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
index 95ed31750c..8b4b6f8d04 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
@@ -65,7 +65,8 @@ namespace QuantLib {
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
             initialValues_[iter.index()]
-                               = solverDesc.calculator->avgInnerValue(iter);
+                 = solverDesc.calculator->avgInnerValue(iter,
+                                                        solverDesc.maturity);
             x_.push_back(mesher_->location(iter, 0));
         }
     }
diff --git a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
index cf4e9c5ad8..85d31f1aa0 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
@@ -34,24 +34,35 @@ namespace QuantLib {
 
     class FdmExtOUJumpModelInnerValue : public FdmInnerValueCalculator {
       public:
+        typedef std::vector<std::pair<Time, Real> > Shape;
+
         FdmExtOUJumpModelInnerValue(const boost::shared_ptr<Payoff>& payoff,
-                                    const boost::shared_ptr<FdmMesher>& mesher)
+                                    const boost::shared_ptr<FdmMesher>& mesher,
+                                    const boost::shared_ptr<Shape>& shape =
+                                                    boost::shared_ptr<Shape>())
         : payoff_(payoff),
-          mesher_(mesher) { }
+          mesher_(mesher),
+          shape_ (shape) { }
 
-        Real innerValue(const FdmLinearOpIterator& iter) {
+        Real innerValue(const FdmLinearOpIterator& iter, Time t) {
             const Real x = mesher_->location(iter, 0);
             const Real y = mesher_->location(iter, 1);
 
-            return payoff_->operator()(std::exp(x+y));
+            Real f = 0;
+            if (shape_) {
+                f = std::lower_bound(shape_->begin(), shape_->end(),
+                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+            }
+            return payoff_->operator()(std::exp(f + x + y));
         }
-        Real avgInnerValue(const FdmLinearOpIterator& iter) {
-            return innerValue(iter);
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
         }
 
       private:
         const boost::shared_ptr<Payoff> payoff_;
         const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<Shape> shape_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
index 89a8f79327..64dc517f52 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
@@ -43,13 +43,13 @@ namespace QuantLib {
       direction_ (direction) {
     }
 
-    Real FdmLogInnerValue::innerValue(const FdmLinearOpIterator& iter) {
+    Real FdmLogInnerValue::innerValue(const FdmLinearOpIterator& iter, Time) {
         const Real s = std::exp(mesher_->location(iter, direction_));
         return payoff_->operator()(s);
     }
 
-    Real FdmLogInnerValue::avgInnerValue(const FdmLinearOpIterator& iter) {
-        
+    Real FdmLogInnerValue::avgInnerValue(
+                                    const FdmLinearOpIterator& iter, Time t) {
         if (avgInnerValues_.empty()) {
             // calculate caching values
             avgInnerValues_.resize(mesher_->layout()->dim()[direction_]);
@@ -62,7 +62,7 @@ namespace QuantLib {
                 const Size xn = iter.coordinates()[direction_];
                 if (!initialized[xn]) {
                     initialized[xn]     = true;
-                    avgInnerValues_[xn] = avgInnerValueCalc(iter);
+                    avgInnerValues_[xn] = avgInnerValueCalc(iter, t);
                 }
             }
         }
@@ -70,7 +70,8 @@ namespace QuantLib {
         return avgInnerValues_[iter.coordinates()[direction_]];
     }
     
-    Real FdmLogInnerValue::avgInnerValueCalc(const FdmLinearOpIterator& iter) { 
+    Real FdmLogInnerValue::avgInnerValueCalc(
+                                    const FdmLinearOpIterator& iter, Time t) {
         const Size dim = mesher_->layout()->dim()[direction_];
         const Size coord = iter.coordinates()[direction_];
         const Real loc = mesher_->location(iter,direction_);
@@ -94,7 +95,7 @@ namespace QuantLib {
         }
         catch (Error&) {
             // use default value
-            retVal = innerValue(iter);
+            retVal = innerValue(iter, t);
         }
                     
         return retVal;
@@ -106,7 +107,8 @@ namespace QuantLib {
     : payoff_(payoff),
       mesher_(mesher) { }
 
-    Real FdmLogBasketInnerValue::innerValue(const FdmLinearOpIterator& iter) {
+    Real FdmLogBasketInnerValue::innerValue(
+                                    const FdmLinearOpIterator& iter, Time) {
         Array x(mesher_->layout()->dim().size());
         for (Size i=0; i < x.size(); ++i) {
             x[i] = std::exp(mesher_->location(iter, i));
@@ -116,7 +118,8 @@ namespace QuantLib {
     }
     
     Real 
-    FdmLogBasketInnerValue::avgInnerValue(const FdmLinearOpIterator& iter) {
-        return innerValue(iter);
+    FdmLogBasketInnerValue::avgInnerValue(
+                                    const FdmLinearOpIterator& iter, Time t) {
+        return innerValue(iter, t);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
index f7bd9bdb86..06ae3dc3e2 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
@@ -41,8 +41,8 @@ namespace QuantLib {
       public:
         virtual ~FdmInnerValueCalculator() {}
 
-        virtual Real innerValue(const FdmLinearOpIterator& iter) = 0;
-        virtual Real avgInnerValue(const FdmLinearOpIterator& iter) = 0;
+        virtual Real innerValue(const FdmLinearOpIterator& iter, Time t) = 0;
+        virtual Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) = 0;
     };
 
 
@@ -52,12 +52,12 @@ namespace QuantLib {
                          const boost::shared_ptr<FdmMesher>& mesher,
                          Size direction);
 
-        Real innerValue(const FdmLinearOpIterator& iter);
-        Real avgInnerValue(const FdmLinearOpIterator& iter);
+        Real innerValue(const FdmLinearOpIterator& iter, Time);
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time);
 
       private:
 
-        Real avgInnerValueCalc(const FdmLinearOpIterator& iter);
+        Real avgInnerValueCalc(const FdmLinearOpIterator& iter, Time);
 
         const boost::shared_ptr<Payoff> payoff_;
         const boost::shared_ptr<FdmMesher> mesher_;
@@ -70,8 +70,8 @@ namespace QuantLib {
         FdmLogBasketInnerValue(const boost::shared_ptr<BasketPayoff>& payoff,
                                const boost::shared_ptr<FdmMesher>& mesher);
 
-        Real innerValue(const FdmLinearOpIterator& iter);
-        Real avgInnerValue(const FdmLinearOpIterator& iter);
+        Real innerValue(const FdmLinearOpIterator& iter, Time);
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time);
 
       private:
         const boost::shared_ptr<BasketPayoff> payoff_;
@@ -80,8 +80,8 @@ namespace QuantLib {
 
     class FdmZeroInnerValue : public FdmInnerValueCalculator {
       public:
-        Real innerValue(const FdmLinearOpIterator&)    { return 0.0; }
-        Real avgInnerValue(const FdmLinearOpIterator&) { return 0.0; }
+        Real innerValue(const FdmLinearOpIterator&, Time)    { return 0.0; }
+        Real avgInnerValue(const FdmLinearOpIterator&, Time) { return 0.0; }
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
index f023a1fc50..e466896e41 100644
--- a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
@@ -72,7 +72,7 @@ namespace QuantLib {
                 const Real x = x_[coor[0]];
                 const Real y = y_[coor[1]];
 
-                const Real price = calculator_->innerValue(iter);
+                const Real price = calculator_->innerValue(iter, t);
                 Real currentValue = a[iter.index()];
 
                 // sell
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
index c79267439d..4ba73751ba 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -52,7 +52,7 @@ namespace QuantLib {
                 const Size exerciseValue = coor[swingDirection_];
                 
                 if (exerciseValue > 0) {
-                    const Real cashflow = calculator_->innerValue(iter);
+                    const Real cashflow = calculator_->innerValue(iter, t);
                     const Real currentValue = a[iter.index()];
                     const Real valueMinusOneExRight 
                          = a[layout->neighbourhood(iter, swingDirection_, -1)];
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
index 64d7e0974e..6dcd353a91 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
@@ -95,8 +95,8 @@ namespace QuantLib {
                                     new FdmLogInnerValue(payoff, mesher, 0));
 
         stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-            new FdmSimpleSwingCondition(exerciseTimes,
-                                        mesher, exerciseCalculator, 1)));
+            new FdmSimpleSwingCondition(exerciseTimes, mesher,
+                                        exerciseCalculator, 1)));
         
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index 0d4b0060e3..38fadff4ce 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -44,17 +44,21 @@ namespace QuantLib {
               const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
               const boost::shared_ptr<YieldTermStructure>& rTS,
               Size tGrid, Size xGrid, Size yGrid,
+              const boost::shared_ptr<Shape>& shape,
               const FdmSchemeDesc& schemeDesc)
     : process_(process),
       rTS_(rTS),
+      shape_(shape),
       tGrid_(tGrid), xGrid_(xGrid), yGrid_(yGrid),
       schemeDesc_(schemeDesc) {
     }
 
     void FdSimpleExtOUJumpSwingEngine::calculate() const {
 
-        QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
-                   "Bermudan exercise supported only");
+        boost::shared_ptr<SwingExercise> swingExercise(
+            boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
+
+        QL_REQUIRE(swingExercise, "Swing exercise supported only");
 
         // 1. Layout
         std::vector<Size> dim;
@@ -98,10 +102,16 @@ namespace QuantLib {
 
         // 4.1 Bermudan step conditions
         std::vector<Time> exerciseTimes;
-        for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
-            const Time t = rTS_->dayCounter()
-                           .yearFraction(rTS_->referenceDate(),
-                                         arguments_.exercise->dates()[i]);
+        for (Size i=0; i<swingExercise->dates().size(); ++i) {
+            Time t = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                                     swingExercise->dates()[i]);
+
+            const Time dt = rTS_->dayCounter()
+                .yearFraction(rTS_->referenceDate(),
+                              swingExercise->dates()[i]+Period(1u, Days)) - t;
+
+            t += dt*swingExercise->seconds()[i]/(24*3600.);
+
             QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
             exerciseTimes.push_back(t);
         }
@@ -110,11 +120,11 @@ namespace QuantLib {
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
-                           new FdmExtOUJumpModelInnerValue(payoff, mesher));
+                      new FdmExtOUJumpModelInnerValue(payoff, mesher, shape_));
 
         stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-                new FdmSimpleSwingCondition(exerciseTimes,
-                                            mesher, exerciseCalculator, 2)));
+                new FdmSimpleSwingCondition(exerciseTimes, mesher,
+                                            exerciseCalculator, 2)));
 
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
index 97d5ab9c9f..1f105ca6e4 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -27,6 +27,7 @@
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 
 namespace QuantLib {
 
@@ -38,10 +39,14 @@ namespace QuantLib {
         : public GenericEngine<VanillaSwingOption::arguments,
                                VanillaSwingOption::results> {
       public:
+            typedef FdmExtOUJumpModelInnerValue::Shape Shape;
+
             FdSimpleExtOUJumpSwingEngine(
               const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
               const boost::shared_ptr<YieldTermStructure>& rTS,
               Size tGrid = 50, Size xGrid = 200, Size yGrid=50,
+              const boost::shared_ptr<Shape>& shape
+                                                 = boost::shared_ptr<Shape>(),
               const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
@@ -49,6 +54,7 @@ namespace QuantLib {
       private:
         const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
         const boost::shared_ptr<YieldTermStructure> rTS_;
+        const boost::shared_ptr<Shape> shape_;
         const Size tGrid_, xGrid_, yGrid_;
         const FdmSchemeDesc schemeDesc_;
     };
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index bae0242380..28555f1ce1 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -45,11 +45,11 @@ namespace QuantLib {
             FdmUnderlyingValue(const boost::shared_ptr<FdmMesher>& mesher)
             : mesher_(mesher) { }
 
-            Real innerValue(const FdmLinearOpIterator& iter) {
+            Real innerValue(const FdmLinearOpIterator& iter, Time) {
                 return std::exp(mesher_->location(iter, 0));
             }
-            Real avgInnerValue(const FdmLinearOpIterator& iter) {
-                return innerValue(iter);
+            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+                return innerValue(iter, t);
             }
           private:
             const boost::shared_ptr<FdmMesher> mesher_;
@@ -60,13 +60,13 @@ namespace QuantLib {
             FdmStorageValue(const boost::shared_ptr<FdmMesher>& mesher)
             : mesher_(mesher) { }
 
-            Real innerValue(const FdmLinearOpIterator& iter) {
+            Real innerValue(const FdmLinearOpIterator& iter, Time) {
                 const Real s = std::exp(mesher_->location(iter, 0));
                 const Real v = mesher_->location(iter, 1);
                 return s*v;
             }
-            Real avgInnerValue(const FdmLinearOpIterator& iter) {
-                return innerValue(iter);
+            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+                return innerValue(iter, t);
             }
           private:
             const boost::shared_ptr<FdmMesher> mesher_;
diff --git a/ql/instruments/vanillaswingoption.hpp b/ql/instruments/vanillaswingoption.hpp
index 482efc1e50..11082d89e4 100644
--- a/ql/instruments/vanillaswingoption.hpp
+++ b/ql/instruments/vanillaswingoption.hpp
@@ -31,12 +31,44 @@
 
 namespace QuantLib {
 
+    //! Swing exercise
+    /*! A Swing option can only be exercised at a set of fixed date times
+    */
+    class SwingExercise : public BermudanExercise {
+      public:
+        SwingExercise(const std::vector<Date>& dates,
+                      const std::vector<Size>& seconds = std::vector<Size>())
+        : BermudanExercise(dates),
+          seconds_(seconds.empty() ? std::vector<Size>(dates.size(), 0u)
+                                   : seconds)
+        {
+            QL_REQUIRE(dates_.size() == seconds_.size(),
+                       "dates and seconds must have the same size");
+            for (Size i=0; i < dates_.size(); ++i) {
+                QL_REQUIRE(seconds_[i] < 24*3600,
+                           "a date can not have more than 24*3600 seconds");
+                if (i > 0) {
+                    QL_REQUIRE(dates_[i-1] < dates_[i]
+                               || (dates_[i-1] == dates_[i]
+                                   && seconds_[i-1] < seconds_[i]),
+                               "date times must be sorted");
+                }
+            }
+        }
+
+        const std::vector<Size>& seconds() const { return seconds_; }
+
+      private:
+        std::vector<Size> seconds_;
+    };
+
+
     //! base option class
     class VanillaSwingOption : public OneAssetOption {
       public:
           class arguments;
           VanillaSwingOption(const boost::shared_ptr<StrikedTypePayoff>& payoff,
-                             const boost::shared_ptr<BermudanExercise>& ex,
+                             const boost::shared_ptr<SwingExercise>& ex,
                              Size minExerciseRights, Size maxExerciseRights)
         : OneAssetOption(payoff, ex),
           minExerciseRights_(minExerciseRights),
@@ -66,7 +98,7 @@ namespace QuantLib {
 
         Size minExerciseRights, maxExerciseRights;
         boost::shared_ptr<StrikedTypePayoff> payoff;
-        boost::shared_ptr<BermudanExercise> exercise;
+        boost::shared_ptr<SwingExercise> exercise;
     };
 
     inline void VanillaSwingOption::setupArguments(
@@ -78,7 +110,7 @@ namespace QuantLib {
         arguments->payoff 
             = boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
         arguments->exercise 
-            = boost::dynamic_pointer_cast<BermudanExercise>(exercise_);
+            = boost::dynamic_pointer_cast<SwingExercise>(exercise_);
         arguments->minExerciseRights = minExerciseRights_;
         arguments->maxExerciseRights = maxExerciseRights_;
     }
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 5689ed5950..ece6bc8912 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -1121,7 +1121,7 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
 
     for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
          ++iter) {
-        rhs[iter.index()] = calculator->avgInnerValue(iter);
+        rhs[iter.index()] = calculator->avgInnerValue(iter, maturity);
         x[iter.index()] = mesher->location(iter, 0);
     }
 
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 0409e39efc..befb16908e 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -366,8 +366,9 @@ void SwingOptionTest::testFdBSSwingOption() {
     while (exerciseDates.back() < maturityDate) {
         exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
     }
-    boost::shared_ptr<BermudanExercise> bermudanExercise(
-                                        new BermudanExercise(exerciseDates));
+
+    boost::shared_ptr<SwingExercise> swingExercise(
+                                            new SwingExercise(exerciseDates));
 
     Handle<YieldTermStructure> riskFreeTS(flatRate(0.14, dayCounter));
     Handle<YieldTermStructure> dividendTS(flatRate(0.02, dayCounter));
@@ -381,7 +382,7 @@ void SwingOptionTest::testFdBSSwingOption() {
     boost::shared_ptr<PricingEngine> engine(
                                 new FdSimpleBSSwingEngine(process, 50, 200));
     
-    VanillaOption bermudanOption(payoff, bermudanExercise);
+    VanillaOption bermudanOption(payoff, swingExercise);
     bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                           new FdBlackScholesVanillaEngine(process, 50, 200)));
     const Real bermudanOptionPrices = bermudanOption.NPV();
@@ -389,7 +390,7 @@ void SwingOptionTest::testFdBSSwingOption() {
     for (Size i=0; i < exerciseDates.size(); ++i) {
         const Size exerciseRights = i+1;
         
-        VanillaSwingOption swingOption(payoff, bermudanExercise,
+        VanillaSwingOption swingOption(payoff, swingExercise,
                                        exerciseRights, exerciseRights);
         swingOption.setPricingEngine(engine);
         const Real swingOptionPrice = swingOption.NPV();
@@ -437,8 +438,8 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     while (exerciseDates.back() < maturityDate) {
         exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
     }
-    boost::shared_ptr<BermudanExercise> bermudanExercise(
-                                        new BermudanExercise(exerciseDates));
+    boost::shared_ptr<SwingExercise> swingExercise(
+                                            new SwingExercise(exerciseDates));
 
     std::vector<Time> exerciseTimes(exerciseDates.size());
     for (Size i=0; i < exerciseTimes.size(); ++i) {
@@ -477,7 +478,7 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     boost::shared_ptr<PricingEngine> vanillaEngine(
                 new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 50, 25));
 
-    VanillaOption bermudanOption(payoff, bermudanExercise);
+    VanillaOption bermudanOption(payoff, swingExercise);
     bermudanOption.setPricingEngine(vanillaEngine);
     const Real bermudanOptionPrices = bermudanOption.NPV();
 
@@ -492,7 +493,7 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     for (Size i=0; i < exerciseDates.size(); ++i) {
         const Size exerciseRights = i+1;
 
-        VanillaSwingOption swingOption(payoff, bermudanExercise,
+        VanillaSwingOption swingOption(payoff, swingExercise,
                                        exerciseRights, exerciseRights);
         swingOption.setPricingEngine(swingEngine);
         const Real swingOptionPrice = swingOption.NPV();

From 5d6e2d07f3a26c7c7d6da71121a9873c1ea6f1cc Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 10:54:16 +0000
Subject: [PATCH 170/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17772
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 5 -----
 test-suite/inflationvolatility.cpp                        | 1 +
 2 files changed, 1 insertion(+), 5 deletions(-)

diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
index b5696d8a9e..2e261f1140 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
@@ -25,12 +25,8 @@
 #ifndef quantlib_yoy_capfloor_term_price_surface_hpp
 #define quantlib_yoy_capfloor_term_price_surface_hpp
 
-#include <ql/termstructures/inflationtermstructure.hpp>
 #include <ql/termstructures/inflation/inflationhelpers.hpp>
 #include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
-#include <ql/math/interpolation.hpp>
-#include <ql/math/interpolations/interpolation2d.hpp>
-#include <ql/math/solvers1d/brent.hpp>
 #include <ql/experimental/inflation/polynomial2Dspline.hpp>
 
 namespace QuantLib {
@@ -559,4 +555,3 @@ namespace QuantLib {
 
 
 #endif
-
diff --git a/test-suite/inflationvolatility.cpp b/test-suite/inflationvolatility.cpp
index aa9c2c8eb5..9d2bb3b7f0 100644
--- a/test-suite/inflationvolatility.cpp
+++ b/test-suite/inflationvolatility.cpp
@@ -23,6 +23,7 @@
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
 
 #include <ql/cashflows/inflationcoupon.hpp>
 #include <ql/cashflows/inflationcouponpricer.hpp>

From 9ad78c5d8deb5cb65a76f242e26c0ec625a42ec9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 11:02:45 +0000
Subject: [PATCH 171/410] avoided vector allocation inside for loop

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17773 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 14 ++++++++------
 1 file changed, 8 insertions(+), 6 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index f3106d61ca..e67c2fe94b 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -136,9 +136,11 @@ namespace QuantLib {
 
         Brent solver;
         Size maxIterations = Traits::maxIterations();
+        std::vector<Rate> previousData(ts_->data_.size());
+        Real guess, min, max, r, improvement;
 
         for (Size iteration=0; ; ++iteration) {
-            std::vector<Rate> previousData = ts_->data_;
+            previousData = ts_->data_;
             // restart from the previous interpolation
             if (validCurve_) {
                 ts_->interpolation_ = ts_->interpolator_.interpolate(
@@ -153,7 +155,7 @@ namespace QuantLib {
                 // using the curve bootstrapped so far and no more
                 boost::shared_ptr<typename Traits::helper> instrument =
                     ts_->instruments_[i-1+firstInstrument_];
-                Rate guess = 0.0;
+                guess = 0.0;
                 if (validCurve_ || iteration>0) {
                     guess = ts_->data_[i];
                 } else if (i==1) {
@@ -164,8 +166,8 @@ namespace QuantLib {
                 }
 
                 // bracket
-                Real min = Traits::minValueAfter(i, ts_->data_);
-                Real max = Traits::maxValueAfter(i, ts_->data_);
+                min = Traits::minValueAfter(i, ts_->data_);
+                max = Traits::maxValueAfter(i, ts_->data_);
                 if (guess<=min || guess>=max)
                     guess = (min+max)/2.0;
 
@@ -194,7 +196,7 @@ namespace QuantLib {
 
                 try {
                     BootstrapError<Curve> error(ts_, instrument, i);
-                    Real r = solver.solve(error,ts_->accuracy_,guess,min,max);
+                    r = solver.solve(error, ts_->accuracy_, guess, min, max);
                     // redundant assignment (as it has been already performed
                     // by BootstrapError in solve procedure), but safe
                     ts_->data_[i] = r;
@@ -221,7 +223,7 @@ namespace QuantLib {
             }
 
             // exit conditions
-            Real improvement = 0.0;
+            improvement = 0.0;
             for (Size i=1; i<alive+1; ++i)
                 improvement=std::max(improvement,
                                      std::fabs(ts_->data_[i]-previousData[i]));

From 52d2decc935abc71db32344eb7726466b8b0b9e3 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 16:22:14 +0000
Subject: [PATCH 172/410] added safe (bracketed) Newton 1-D solver with finite
 difference derivatives

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17774 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/solvers1d/all.hpp                     |  1 +
 .../solvers1d/finitedifferencenewtonsafe.hpp  | 98 +++++++++++++++++++
 2 files changed, 99 insertions(+)
 create mode 100644 ql/math/solvers1d/finitedifferencenewtonsafe.hpp

diff --git a/ql/math/solvers1d/all.hpp b/ql/math/solvers1d/all.hpp
index 4477a96511..6a9d63269f 100644
--- a/ql/math/solvers1d/all.hpp
+++ b/ql/math/solvers1d/all.hpp
@@ -4,6 +4,7 @@
 #include <ql/math/solvers1d/bisection.hpp>
 #include <ql/math/solvers1d/brent.hpp>
 #include <ql/math/solvers1d/falseposition.hpp>
+#include <ql/math/solvers1d/finitedifferencenewtonsafe.hpp>
 #include <ql/math/solvers1d/newton.hpp>
 #include <ql/math/solvers1d/newtonsafe.hpp>
 #include <ql/math/solvers1d/ridder.hpp>
diff --git a/ql/math/solvers1d/finitedifferencenewtonsafe.hpp b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
new file mode 100644
index 0000000000..7120ec3761
--- /dev/null
+++ b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
@@ -0,0 +1,98 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file newtonsafefinitedifferences.hpp
+    \brief Safe (bracketed) Newton 1-D solver with finite difference derivatives
+*/
+
+#ifndef quantlib_solver1d_finitedifferencenewtonsafe_h
+#define quantlib_solver1d_finitedifferencenewtonsafe_h
+
+#include <ql/math/solver1d.hpp>
+
+namespace QuantLib {
+
+    //! safe %Newton 1-D solver with finite difference derivatives
+    /*! 
+        \test the correctness of the returned values is tested by
+              checking them against known good results.
+    */
+    class FiniteDifferenceNewtonSafe : public Solver1D<NewtonSafeFiniteDifferences> {
+      public:
+        template <class F>
+        Real solveImpl(const F& f,
+                       Real xAccuracy) const {
+
+            // Orient the search so that f(xl) < 0
+            Real xh, xl;
+            if (fxMin_ < 0.0) {
+                xl = xMin_;
+                xh = xMax_;
+            } else {
+                xh = xMin_;
+                xl = xMax_;
+            }
+
+            Real froot = f(root_);
+            ++evaluationNumber_;
+            // first order finite difference derivative
+            Real dfroot = xMax_-root_ < root_-xMin_ ?
+                (fxMax_-froot)/(xMax_-root_) :
+                (fxMin_-froot)/(xMin_-root_) ;
+
+            // xMax_-xMin_>0 is verified in the constructor
+            Real dx = xMax_-xMin_;
+            while (evaluationNumber_<=maxEvaluations_) {
+                Real frootold = froot;
+                Real rootold = root_;
+                Real dxold = dx;
+                // Bisect if (out of range || not decreasing fast enough)
+                if ((((root_-xh)*dfroot-froot)*
+                     ((root_-xl)*dfroot-froot) > 0.0)
+                    || (std::fabs(2.0*froot) > std::fabs(dxold*dfroot))) {
+
+                    dx = (xh-xl)/2.0;
+                    root_ = xl+dx;
+                } else { // Newton
+                    dx = froot/dfroot;
+                    root_ -= dx;
+                }
+
+                // Convergence criterion
+                if (std::fabs(dx) < xAccuracy)
+                    return root_;
+
+                froot = f(root_);
+                ++evaluationNumber_;
+                dfroot = (frootold-froot)/(rootold-root_);
+
+                if (froot < 0.0)
+                    xl=root_;
+                else
+                    xh=root_;
+            }
+
+            QL_FAIL("maximum number of function evaluations ("
+                    << maxEvaluations_ << ") exceeded");
+        }
+    };
+
+}
+
+#endif

From 4bc653ee12202480108a96f8a07bbb4e65529136 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 16:24:08 +0000
Subject: [PATCH 173/410] catching up with new file

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17775 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj           | 4 ++++
 ql/math/solvers1d/Makefile.am | 1 +
 2 files changed, 5 insertions(+)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index a3a8d682d5..9523abde40 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -2531,6 +2531,10 @@
 					RelativePath=".\ql\math\solvers1d\falseposition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\solvers1d\finitedifferencenewtonsafe.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\solvers1d\newton.hpp"
 					>
diff --git a/ql/math/solvers1d/Makefile.am b/ql/math/solvers1d/Makefile.am
index 6bfa109166..edd109bcfa 100644
--- a/ql/math/solvers1d/Makefile.am
+++ b/ql/math/solvers1d/Makefile.am
@@ -7,6 +7,7 @@ this_include_HEADERS = \
 	bisection.hpp \
 	brent.hpp \
 	falseposition.hpp \
+	finitedifferencenewtonsafe.hpp \
 	newton.hpp \
 	newtonsafe.hpp \
 	ridder.hpp \

From 0cce9cf886cc512a465af2c3bb4d6db65fd963af Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 16:45:38 +0000
Subject: [PATCH 174/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17776
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
index cf95e2720d..3b0f634aa3 100644
--- a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
+++ b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
@@ -25,6 +25,7 @@
 #define quantlib_interpolated_yoy_optionlet_stripper_hpp
 
 #include <ql/instruments/makeyoyinflationcapfloor.hpp>
+#include <ql/math/solvers1d/brent.hpp>
 
 #include <ql/experimental/inflation/yoyoptionletstripper.hpp>
 #include <ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp>

From a7b095cc679a01a2e4adb031b7df20eec3f77196 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 16:48:43 +0000
Subject: [PATCH 175/410] adopted FiniteDifferenceNewtonSafe instead of Brent
 to optimize curve recalculation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17777 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index e67c2fe94b..84fc1768b6 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2008 Ferdinando Ametrano
+ Copyright (C) 2008, 2011 Ferdinando Ametrano
  Copyright (C) 2007 Chris Kenyon
  Copyright (C) 2007 StatPro Italia srl
 
@@ -29,7 +29,7 @@
 #include <ql/termstructures/bootstraphelper.hpp>
 #include <ql/termstructures/bootstraperror.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
-#include <ql/math/solvers1d/brent.hpp>
+#include <ql/math/solvers1d/finitedifferencenewtonsafe.hpp>
 #include <ql/utilities/dataformatters.hpp>
 
 namespace QuantLib {
@@ -134,7 +134,7 @@ namespace QuantLib {
             ts_->instruments_[i]->setTermStructure(const_cast<Curve*>(ts_));
         }
 
-        Brent solver;
+        FiniteDifferenceNewtonSafe solver;
         Size maxIterations = Traits::maxIterations();
         std::vector<Rate> previousData(ts_->data_.size());
         Real guess, min, max, r, improvement;

From d86af03d570217cebf7bc56d02a5e668add55885 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Jun 2011 16:52:25 +0000
Subject: [PATCH 176/410] fixed typo

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17778 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/solvers1d/finitedifferencenewtonsafe.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/math/solvers1d/finitedifferencenewtonsafe.hpp b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
index 7120ec3761..b4d1d8a817 100644
--- a/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
+++ b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
@@ -33,7 +33,7 @@ namespace QuantLib {
         \test the correctness of the returned values is tested by
               checking them against known good results.
     */
-    class FiniteDifferenceNewtonSafe : public Solver1D<NewtonSafeFiniteDifferences> {
+    class FiniteDifferenceNewtonSafe : public Solver1D<FiniteDifferenceNewtonSafe> {
       public:
         template <class F>
         Real solveImpl(const F& f,

From 0736b7eea518fe12221d5d38bf24d1391d8ddfb4 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 10:24:16 +0000
Subject: [PATCH 177/410] added explicit include file

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17779 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/calibrationhelper.hpp | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/ql/models/calibrationhelper.hpp b/ql/models/calibrationhelper.hpp
index 0e90b9fd91..5cd9a87c30 100644
--- a/ql/models/calibrationhelper.hpp
+++ b/ql/models/calibrationhelper.hpp
@@ -28,6 +28,8 @@
 #include <ql/quote.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 
+#include <list>
+
 namespace QuantLib {
     class PricingEngine;
     //! liquid market instrument used during calibration

From 7cf25a10def82d6737eb7967d11e29f72858b9fe Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 12:21:03 +0000
Subject: [PATCH 178/410] removed leftover

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17780 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 84fc1768b6..c05d1b5cbb 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -155,7 +155,6 @@ namespace QuantLib {
                 // using the curve bootstrapped so far and no more
                 boost::shared_ptr<typename Traits::helper> instrument =
                     ts_->instruments_[i-1+firstInstrument_];
-                guess = 0.0;
                 if (validCurve_ || iteration>0) {
                     guess = ts_->data_[i];
                 } else if (i==1) {

From 6772c5861b50c8189d39eb9c9d369d4878cb9fba Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 12:36:53 +0000
Subject: [PATCH 179/410] fixed header inclusion

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17781 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
index ad951409e4..135690ed63 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
@@ -31,7 +31,7 @@
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
 
-#include <set>
+#include <list>
 
 namespace QuantLib {
 

From b7a9505c501516f116609b949506ea47ad287f6f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 13:21:28 +0000
Subject: [PATCH 180/410] fixed header inclusion

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17782 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
index c39a5c1978..ade8d5bfbd 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
+++ b/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
@@ -29,6 +29,7 @@
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
+#include <set>
 
 namespace QuantLib {
 

From 5cfaee9fb897b5cfc31d4385eb2b970d9e1f111c Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 14:23:18 +0000
Subject: [PATCH 181/410] moved updated_ from private to protected

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17783 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructure.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/termstructure.hpp b/ql/termstructure.hpp
index ba77c9db52..d08c5e9523 100644
--- a/ql/termstructure.hpp
+++ b/ql/termstructure.hpp
@@ -104,10 +104,10 @@ namespace QuantLib {
         void checkRange(Time t,
                         bool extrapolate) const;
         bool moving_;
+        mutable bool updated_;
         Calendar calendar_;
       private:
         mutable Date referenceDate_;
-        mutable bool updated_;
         Natural settlementDays_;
         DayCounter dayCounter_;
     };

From f1ccbe751272a41b4922114999536148bde8d0b8 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 15:14:51 +0000
Subject: [PATCH 182/410] reverted back to Brent solver
 (FiniteDifferenceNewtonSafe needs some more work) and cleaned up code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17784 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 128 +++++++++++------------
 1 file changed, 63 insertions(+), 65 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index c05d1b5cbb..cd6ecf51eb 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -30,6 +30,7 @@
 #include <ql/termstructures/bootstraperror.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/math/solvers1d/finitedifferencenewtonsafe.hpp>
+#include <ql/math/solvers1d/brent.hpp>
 #include <ql/utilities/dataformatters.hpp>
 
 namespace QuantLib {
@@ -63,8 +64,11 @@ namespace QuantLib {
         ts_ = ts;
 
         Size n = ts_->instruments_.size();
-        for (Size i=0; i<n; ++i)
-            ts_->registerWith(ts_->instruments_[i]);
+        for (Size j=0; j<n; ++j)
+            ts_->registerWith(ts_->instruments_[j]);
+
+        // do not initialize yet: instruments could be invalid here
+        // but valid later when bootstrapping is actually required
     }
 
     template <class Curve>
@@ -92,23 +96,24 @@ namespace QuantLib {
         ts_->times_.resize(alive+1);
         ts_->dates_[0] = firstDate;
         ts_->times_[0] = ts_->timeFromReference(firstDate);
-        Size j=1; // pillar counter
-        for (Size i=firstInstrument_; i<n; ++i) {
+        //     pillar counter: i
+        // instrument counter: j
+        for (Size i=1, j=firstInstrument_; j<n; ++i, ++j) {
             // check for duplicated maturity
-            QL_REQUIRE(ts_->dates_[j-1] != ts_->instruments_[i]->latestDate(),
+            QL_REQUIRE(ts_->dates_[i-1] != ts_->instruments_[j]->latestDate(),
                        "two instruments have the same maturity (" <<
-                       ts_->dates_[j-1] << ")");
-            ts_->dates_[j] = ts_->instruments_[i]->latestDate();
-            ts_->times_[j] = ts_->timeFromReference(ts_->dates_[j]);
-            ++j;
+                       ts_->dates_[i-1] << ")");
+            ts_->dates_[i] = ts_->instruments_[j]->latestDate();
+            ts_->times_[i] = ts_->timeFromReference(ts_->dates_[i]);
         }
 
         // set initial guess only if the current curve cannot be used as guess
         if (!validCurve_ || ts_->data_.size()!=alive+1) {
             ts_->data_.resize(alive+1);
             ts_->data_[0] = Traits::initialValue(ts_);
-            for (Size j=1; j<alive+1; ++j)
-                ts_->data_[j] = Traits::initialGuess();
+            // probably useless loop...
+            for (Size i=1; i<alive+1; ++i)
+                ts_->data_[i] = Traits::initialGuess();
         }
 
     }
@@ -122,80 +127,80 @@ namespace QuantLib {
         Size alive = n-firstInstrument_;
 
         // setup instruments
-        for (Size i=firstInstrument_; i<n; ++i) {
+        for (Size j=firstInstrument_; j<n; ++j) {
             // check for valid quote
-            QL_REQUIRE(ts_->instruments_[i]->quote()->isValid(),
-                       io::ordinal(i+1) << " instrument (maturity: " <<
-                       ts_->instruments_[i]->latestDate() <<
+            QL_REQUIRE(ts_->instruments_[j]->quote()->isValid(),
+                       io::ordinal(j+1) << " instrument (maturity: " <<
+                       ts_->instruments_[j]->latestDate() <<
                        ") has an invalid quote");
             // don't try this at home!
             // This call creates instruments, and removes "const".
             // There is a significant interaction with observability.
-            ts_->instruments_[i]->setTermStructure(const_cast<Curve*>(ts_));
+            ts_->instruments_[j]->setTermStructure(const_cast<Curve*>(ts_));
         }
 
-        FiniteDifferenceNewtonSafe solver;
+        Brent solver;
+        // FiniteDifferenceNewtonSafe solver;
         Size maxIterations = Traits::maxIterations();
         std::vector<Rate> previousData(ts_->data_.size());
-        Real guess, min, max, r, improvement;
 
         for (Size iteration=0; ; ++iteration) {
             previousData = ts_->data_;
+
             // restart from the previous interpolation
-            if (validCurve_) {
+            if (validCurve_ || iteration>0) {
                 ts_->interpolation_ = ts_->interpolator_.interpolate(
                                                       ts_->times_.begin(),
                                                       ts_->times_.end(),
                                                       ts_->data_.begin());
             }
-            for (Size i=1; i<alive+1; ++i) {
 
-                // calculate guess before extending interpolation
-                // to ensure that any extrapolation is performed
-                // using the curve bootstrapped so far and no more
-                boost::shared_ptr<typename Traits::helper> instrument =
-                    ts_->instruments_[i-1+firstInstrument_];
+            for (Size i=1; i<alive+1; ++i) { // pillar loop
+
+                // bracket root
+                Real min = Traits::minValueAfter(i, ts_->data_);
+                Real max = Traits::maxValueAfter(i, ts_->data_);
+
+                // calculate guess and extend interpolation to
+                // include the pillar to be boostrapped
+                Real guess = 0.0;
                 if (validCurve_ || iteration>0) {
-                    guess = ts_->data_[i];
-                } else if (i==1) {
-                    guess = Traits::initialGuess();
+                    guess = ts_->data_[i]; // previous iteration value
+                    // no need to extend interpolation
                 } else {
-                    // most traits extrapolate
-                    guess = Traits::guess(ts_, ts_->dates_[i]);
-                }
-
-                // bracket
-                min = Traits::minValueAfter(i, ts_->data_);
-                max = Traits::maxValueAfter(i, ts_->data_);
-                if (guess<=min || guess>=max)
-                    guess = (min+max)/2.0;
+                    if (i==1) // special first pillar case
+                        guess = Traits::initialGuess();
+                    else // most traits extrapolate (using only
+                         // the curve bootstrapped so far)
+                        guess = Traits::guess(ts_, ts_->dates_[i]);
 
-                if (!validCurve_ && iteration == 0) {
-                    // extend interpolation a point at a time
-                    try {
+                    try { // extend interpolation a point at a time
                         ts_->interpolation_ = ts_->interpolator_.interpolate(
-                                                      ts_->times_.begin(),
-                                                      ts_->times_.begin()+i+1,
-                                                      ts_->data_.begin());
+                            ts_->times_.begin(), ts_->times_.begin()+i+1,
+                            ts_->data_.begin());
+                        ts_->interpolation_.update();
                     } catch (...) {
                         if (!Interpolator::global)
                             throw; // no chance to fix it in a later iteration
 
-                        // otherwise, if the target interpolation is
-                        // not usable yet
+                        // otherwise use Linear while the target
+                        // interpolation is not usable yet
                         ts_->interpolation_ = Linear().interpolate(
-                                                      ts_->times_.begin(),
-                                                      ts_->times_.begin()+i+1,
-                                                      ts_->data_.begin());
+                            ts_->times_.begin(), ts_->times_.begin()+i+1,
+                            ts_->data_.begin());
+                        ts_->interpolation_.update();
                     }
                 }
-                // required because we just changed the data
-                // is it really required?
-                ts_->interpolation_.update();
+                // adjust guess if needed
+                if (guess<=min || guess>=max)
+                    guess = (min+max)/2.0;
 
+                // the actual instrument used for the current pillar
+                boost::shared_ptr<typename Traits::helper> instrument =
+                    ts_->instruments_[i-1+firstInstrument_];
                 try {
                     BootstrapError<Curve> error(ts_, instrument, i);
-                    r = solver.solve(error, ts_->accuracy_, guess, min, max);
+                    Real r = solver.solve(error,ts_->accuracy_,guess,min,max);
                     // redundant assignment (as it has been already performed
                     // by BootstrapError in solve procedure), but safe
                     ts_->data_[i] = r;
@@ -210,26 +215,19 @@ namespace QuantLib {
             }
 
             if (!Interpolator::global)
-                break;      // no need for convergence loop
-            else if (!validCurve_ && iteration == 0) {
-                // ensure the target interpolation is used
-                ts_->interpolation_ =
-                    ts_->interpolator_.interpolate(ts_->times_.begin(),
-                                                   ts_->times_.end(),
-                                                   ts_->data_.begin());
-                // at least one more iteration is needed to check convergence
-                continue;
-            }
+                break;     // no need for convergence loop
+            else if (!validCurve_ && iteration == 0)
+                continue; // at least one more iteration to convergence check
 
-            // exit conditions
-            improvement = 0.0;
+            // exit condition
+            Real improvement = 0.0;
             for (Size i=1; i<alive+1; ++i)
                 improvement=std::max(improvement,
                                      std::fabs(ts_->data_[i]-previousData[i]));
             if (improvement<=ts_->accuracy_)  // convergence reached
                 break;
 
-            QL_REQUIRE(iteration+1 < maxIterations,
+            QL_REQUIRE(iteration+1<maxIterations,
                        "convergence not reached after " <<
                        iteration+1 << " iterations; last improvement " <<
                        improvement << ", required accuracy " <<

From 671998bc779339a69df90e78650cb61fe8b567f9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 16:01:00 +0000
Subject: [PATCH 183/410] parametrized max rate

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17785 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/yield/bootstraptraits.hpp | 11 ++++++-----
 1 file changed, 6 insertions(+), 5 deletions(-)

diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 52ae93ab19..360b976bd8 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -34,6 +34,7 @@ namespace QuantLib {
 
     namespace detail {
         const Rate avgRate = 0.05;
+        const Rate maxRate = 1.0;
     }
 
     //! Discount-curve traits
@@ -74,7 +75,7 @@ namespace QuantLib {
             #if defined(QL_NEGATIVE_RATES)
             // discount are not required to be decreasing--all bets are off.
             // We choose as max a value very unlikely to be exceeded.
-            return 3.0;
+            return 1.1;
             #else
             // discounts cannot increase
             return data[i-1];
@@ -123,7 +124,7 @@ namespace QuantLib {
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
-            return -3.0;
+            return -detail::maxRate;
             #else
             return QL_EPSILON;
             #endif
@@ -131,7 +132,7 @@ namespace QuantLib {
         static Rate maxValueAfter(Size, const std::vector<Real>&) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
-            return 3.0;
+            return detail::maxRate;
         }
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,
@@ -178,7 +179,7 @@ namespace QuantLib {
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
-            return -3.0;
+            return -detail::maxRate;
             #else
             return QL_EPSILON;
             #endif
@@ -186,7 +187,7 @@ namespace QuantLib {
         static Rate maxValueAfter(Size, const std::vector<Real>&) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
-            return 3.0;
+            return detail::maxRate;
         }
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,

From 6f62d3c151cb4506a82f6b6644be65be1a6080cf Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 16:03:54 +0000
Subject: [PATCH 184/410] added caching mechanism to avoid endless
 recalculation of underlying swap in some real-time environment configuration

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17786 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/swapindex.cpp | 60 +++++++++++++++++++++++++---------------
 ql/indexes/swapindex.hpp |  8 ++++++
 2 files changed, 46 insertions(+), 22 deletions(-)

diff --git a/ql/indexes/swapindex.cpp b/ql/indexes/swapindex.cpp
index 19694d0b59..f607cc9936 100644
--- a/ql/indexes/swapindex.cpp
+++ b/ql/indexes/swapindex.cpp
@@ -81,24 +81,32 @@ namespace QuantLib {
 
     shared_ptr<VanillaSwap>
     SwapIndex::underlyingSwap(const Date& fixingDate) const {
-        Rate fixedRate = 0.0;
-        if (exogenousDiscount_)
-            return MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
-                .withEffectiveDate(valueDate(fixingDate))
-                .withFixedLegCalendar(fixingCalendar())
-                .withFixedLegDayCount(dayCounter_)
-                .withFixedLegTenor(fixedLegTenor_)
-                .withFixedLegConvention(fixedLegConvention_)
-                .withFixedLegTerminationDateConvention(fixedLegConvention_)
-                .withDiscountingTermStructure(discount_);
-        else
-            return MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
-                .withEffectiveDate(valueDate(fixingDate))
-                .withFixedLegCalendar(fixingCalendar())
-                .withFixedLegDayCount(dayCounter_)
-                .withFixedLegTenor(fixedLegTenor_)
-                .withFixedLegConvention(fixedLegConvention_)
-                .withFixedLegTerminationDateConvention(fixedLegConvention_);
+
+		QL_REQUIRE(fixingDate!=Date(), "null fixing date");
+
+		// caching mechanism
+		if (lastFixingDate_!=fixingDate) {
+			Rate fixedRate = 0.0;
+			if (exogenousDiscount_)
+				lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
+					.withEffectiveDate(valueDate(fixingDate))
+					.withFixedLegCalendar(fixingCalendar())
+					.withFixedLegDayCount(dayCounter_)
+					.withFixedLegTenor(fixedLegTenor_)
+					.withFixedLegConvention(fixedLegConvention_)
+					.withFixedLegTerminationDateConvention(fixedLegConvention_)
+					.withDiscountingTermStructure(discount_);
+			else
+				lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
+					.withEffectiveDate(valueDate(fixingDate))
+					.withFixedLegCalendar(fixingCalendar())
+					.withFixedLegDayCount(dayCounter_)
+					.withFixedLegTenor(fixedLegTenor_)
+					.withFixedLegConvention(fixedLegConvention_)
+					.withFixedLegTerminationDateConvention(fixedLegConvention_);
+			lastFixingDate_ = fixingDate;
+		}
+		return lastSwap_;
     }
 
     Date SwapIndex::maturityDate(const Date& valueDate) const {
@@ -149,10 +157,18 @@ namespace QuantLib {
 
     boost::shared_ptr<OvernightIndexedSwap>
     OvernightIndexedSwapIndex::underlyingSwap(const Date& fixingDate) const {
-        Rate fixedRate = 0.0;
-        return MakeOIS(tenor_, overnightIndex_, fixedRate)
-            .withEffectiveDate(valueDate(fixingDate))
-            .withFixedLegDayCount(dayCounter_);
+
+		QL_REQUIRE(fixingDate!=Date(), "null fixing date");
+
+		// caching mechanism
+		if (lastFixingDate_!=fixingDate) {
+            Rate fixedRate = 0.0;
+            lastSwap_ = MakeOIS(tenor_, overnightIndex_, fixedRate)
+                .withEffectiveDate(valueDate(fixingDate))
+                .withFixedLegDayCount(dayCounter_);
+			lastFixingDate_ = fixingDate;
+		}
+		return lastSwap_;
     }
 
 }
diff --git a/ql/indexes/swapindex.hpp b/ql/indexes/swapindex.hpp
index 929d60fe37..261df80816 100644
--- a/ql/indexes/swapindex.hpp
+++ b/ql/indexes/swapindex.hpp
@@ -90,6 +90,10 @@ namespace QuantLib {
         BusinessDayConvention fixedLegConvention_;
         bool exogenousDiscount_;
         Handle<YieldTermStructure> discount_;
+		// cache data to avoid swap recreation when the same fixing date
+		// is used multiple time to forecast changing fixing
+        mutable boost::shared_ptr<VanillaSwap> lastSwap_;
+		mutable Date lastFixingDate_;
     };
 
 
@@ -113,6 +117,10 @@ namespace QuantLib {
         //@}
       protected:
         boost::shared_ptr<OvernightIndex> overnightIndex_;
+		// cache data to avoid swap recreation when the same fixing date
+		// is used multiple time to forecast changing fixing
+        mutable boost::shared_ptr<OvernightIndexedSwap> lastSwap_;
+		mutable Date lastFixingDate_;
     };
 
     // inline definitions

From 47fb921d44ae0e7c3b914d2073ae2868e24447fd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 16:36:12 +0000
Subject: [PATCH 185/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17787
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/patterns/lazyobject.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/patterns/lazyobject.hpp b/ql/patterns/lazyobject.hpp
index c5b56148df..264d32b07e 100644
--- a/ql/patterns/lazyobject.hpp
+++ b/ql/patterns/lazyobject.hpp
@@ -103,7 +103,7 @@ namespace QuantLib {
         // observers don't expect notifications from frozen objects
         // LazyObject forwards notifications only once until it has been 
         // recalculated
-        if (!frozen_&& calculated_)
+        if (!frozen_ && calculated_)
             notifyObservers();
         calculated_ = false;
     }

From 1c21203cdba7ec310970711b2e4d2e6c17ee7bdd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 7 Jun 2011 16:38:50 +0000
Subject: [PATCH 186/410] replaced list with set to ensure unique elements

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17788 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/observable.hpp | 18 +++++++++---------
 1 file changed, 9 insertions(+), 9 deletions(-)

diff --git a/ql/patterns/observable.hpp b/ql/patterns/observable.hpp
index 295f6b9da6..d849e8e653 100644
--- a/ql/patterns/observable.hpp
+++ b/ql/patterns/observable.hpp
@@ -27,7 +27,7 @@
 
 #include <ql/errors.hpp>
 #include <boost/shared_ptr.hpp>
-#include <list>
+#include <set>
 
 namespace QuantLib {
 
@@ -50,8 +50,8 @@ namespace QuantLib {
       private:
         void registerObserver(Observer*);
         void unregisterObserver(Observer*);
-        std::list<Observer*> observers_;
-        typedef std::list<Observer*>::iterator iterator;
+        std::set<Observer*> observers_;
+        typedef std::set<Observer*>::iterator iterator;
     };
 
     //! Object that gets notified when a given observable changes
@@ -73,15 +73,15 @@ namespace QuantLib {
         */
         virtual void update() = 0;
       private:
-        std::list<boost::shared_ptr<Observable> > observables_;
-        typedef std::list<boost::shared_ptr<Observable> >::iterator iterator;
+        std::set<boost::shared_ptr<Observable> > observables_;
+        typedef std::set<boost::shared_ptr<Observable> >::iterator iterator;
     };
 
 
     // inline definitions
 
     inline Observable::Observable(const Observable&) {
-        // the observer list is not copied; no observer asked to
+        // the observer set is not copied; no observer asked to
         // register with this object
     }
 
@@ -94,7 +94,7 @@ namespace QuantLib {
                  a later recalculation.
     */
     inline Observable& Observable::operator=(const Observable& o) {
-        // as above, the observer list is not copied. Moreover,
+        // as above, the observer set is not copied. Moreover,
         // observers of this object must be notified of the change
         if (&o != this)
             notifyObservers();
@@ -102,7 +102,7 @@ namespace QuantLib {
     }
 
     inline void Observable::registerObserver(Observer* o) {
-        observers_.push_front(o);
+        observers_.insert(o);
     }
 
     inline void Observable::unregisterObserver(Observer* o) {
@@ -160,7 +160,7 @@ namespace QuantLib {
     inline void Observer::registerWith(
                                      const boost::shared_ptr<Observable>& h) {
         if (h) {
-            observables_.push_front(h);
+            observables_.insert(h);
             h->registerObserver(this);
         }
     }

From 0d77da1ce4f34c6fd734319a359f64a208ce1bf7 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 8 Jun 2011 14:40:58 +0000
Subject: [PATCH 187/410] fixed observers' notification bug (and associated
 buggy logic test)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17789 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/yield/piecewiseyieldcurve.hpp | 10 +++++++++-
 test-suite/piecewiseyieldcurve.cpp              |  7 +++++++
 2 files changed, 16 insertions(+), 1 deletion(-)

diff --git a/ql/termstructures/yield/piecewiseyieldcurve.hpp b/ql/termstructures/yield/piecewiseyieldcurve.hpp
index d6e41be71e..132f0f9b33 100644
--- a/ql/termstructures/yield/piecewiseyieldcurve.hpp
+++ b/ql/termstructures/yield/piecewiseyieldcurve.hpp
@@ -228,8 +228,16 @@ namespace QuantLib {
 
     template <class C, class I, template <class> class B>
     inline void PiecewiseYieldCurve<C,I,B>::update() {
-        base_curve::update();
+
+        // it dispatches notifications only if (!calculated_ && !frozen_)
         LazyObject::update();
+
+        // do not use base_curve::update() as it would always notify observers
+
+        // TermStructure::update() update part
+        if (this->moving_)
+            this->updated_ = false;
+
     }
 
     template <class C, class I, template <class> class B>
diff --git a/test-suite/piecewiseyieldcurve.cpp b/test-suite/piecewiseyieldcurve.cpp
index 843991c8c0..366fb6aa38 100644
--- a/test-suite/piecewiseyieldcurve.cpp
+++ b/test-suite/piecewiseyieldcurve.cpp
@@ -666,11 +666,18 @@ void PiecewiseYieldCurveTest::testObservability() {
         vars.rates[i]->setValue(vars.rates[i]->value()/1.01);
     }
 
+    vars.termStructure->maxDate();
     f.lower();
     Settings::instance().evaluationDate() =
         vars.calendar.advance(vars.today,15,Days);
     if (!f.isUp())
         BOOST_FAIL("Observer was not notified of date change");
+
+    f.lower();
+    Settings::instance().evaluationDate() = vars.today;
+    if (f.isUp())
+        BOOST_FAIL("Observer was notified of date change"
+                   " without an intervening recalculation");
 }
 
 

From e3b18e7e2f6e4fcb5addf163519ee5566db44a8a Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 8 Jun 2011 15:46:14 +0000
Subject: [PATCH 188/410] lowered tolerance and improved error message

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17790 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/overnightindexedswap.cpp | 25 ++++++++++---------------
 1 file changed, 10 insertions(+), 15 deletions(-)

diff --git a/test-suite/overnightindexedswap.cpp b/test-suite/overnightindexedswap.cpp
index 2ead71cf02..2111ca03f3 100644
--- a/test-suite/overnightindexedswap.cpp
+++ b/test-suite/overnightindexedswap.cpp
@@ -388,26 +388,21 @@ void OvernightIndexedSwapTest::testBootstrap() {
     */
 
     // test curve consistency
-    Real tolerance = 1.0e-10;
+    Real tolerance = 1.0e-8;
     for (Size i = 0; i < LENGTH(eoniaSwapData); i++) {
         Rate expected = eoniaSwapData[i].rate;
         Period term = eoniaSwapData[i].n * eoniaSwapData[i].unit;
         shared_ptr<OvernightIndexedSwap> swap = vars.makeSwap(term, 0.0, 0.0);
         Rate calculated = 100.0 * swap->fairRate();
-        /*
-        std::cout << std::setw(3) << term << " "
-                  << std::setprecision(4)
-                  << expected << " "
-                  << calculated << " "
-                  << std::setprecision(8)
-                  << expected - calculated << std::endl;
-        */
-        if (std::fabs(expected-calculated) > tolerance)
-            BOOST_ERROR("curve inconsistency:\n"
-                        << std::setprecision(4)
-                        << "    swap length:     " << term << "\n"
-                        << "    quoted rate:     " << expected << "\n"
-                        << "    calculated rate: " << calculated);
+        Rate error = std::fabs(expected-calculated);
+
+        if (error>tolerance)
+            BOOST_FAIL("curve inconsistency:" << std::setprecision(10) <<
+                        "\n swap length:     " << term <<
+                        "\n quoted rate:     " << expected <<
+                        "\n calculated rate: " << calculated <<
+                        "\n error:           " << error <<
+                        "\n tolerance:       " << tolerance);
     }
 
     // zero spread

From 1dfa5fdf3ec4857bd8047d88d59e6a4c04bb5d26 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 8 Jun 2011 16:50:57 +0000
Subject: [PATCH 189/410] improved code in calculate method: - avoided
 previousData allocation - avoided redundant initialization - used
 FiniteDifferenceNewtonSafe if a good guess is available

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17791 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 89 +++++++++++-------------
 1 file changed, 39 insertions(+), 50 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index cd6ecf51eb..2f97995d38 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -46,9 +46,11 @@ namespace QuantLib {
         void calculate() const;
       private:
         void initialize() const;
-        mutable bool validCurve_;
+        mutable bool initialized_, validCurve_;
         Curve* ts_;
-        mutable Size firstInstrument_;
+        Size n_;
+        mutable Size firstInstrument_, alive_;
+        mutable std::vector<Real> previousData_;
     };
 
 
@@ -56,15 +58,14 @@ namespace QuantLib {
 
     template <class Curve>
     IterativeBootstrap<Curve>::IterativeBootstrap()
-    : validCurve_(false), ts_(0) {}
+    : initialized_(false), validCurve_(false), ts_(0) {}
 
     template <class Curve>
     void IterativeBootstrap<Curve>::setup(Curve* ts) {
 
         ts_ = ts;
-
-        Size n = ts_->instruments_.size();
-        for (Size j=0; j<n; ++j)
+        n_ = ts_->instruments_.size();
+        for (Size j=0; j<n_; ++j)
             ts_->registerWith(ts_->instruments_[j]);
 
         // do not initialize yet: instruments could be invalid here
@@ -79,26 +80,25 @@ namespace QuantLib {
 
         // skip expired instruments
         Date firstDate = Traits::initialDate(ts_);
-        Size n = ts_->instruments_.size();
-        QL_REQUIRE(ts_->instruments_[n-1]->latestDate()>firstDate,
+        QL_REQUIRE(ts_->instruments_[n_-1]->latestDate()>firstDate,
                    "all instruments expired");
         firstInstrument_ = 0;
         while (ts_->instruments_[firstInstrument_]->latestDate() <= firstDate)
             ++firstInstrument_;
-        Size alive = n-firstInstrument_;
-        QL_REQUIRE(alive >= Interpolator::requiredPoints-1,
-                   "not enough alive instruments: " << alive <<
+        alive_ = n_-firstInstrument_;
+        QL_REQUIRE(alive_>=Interpolator::requiredPoints-1,
+                   "not enough alive instruments: " << alive_ <<
                    " provided, " << Interpolator::requiredPoints-1 <<
                    " required");
 
         // calculate dates and times
-        ts_->dates_.resize(alive+1);
-        ts_->times_.resize(alive+1);
+        ts_->dates_.resize(alive_+1);
+        ts_->times_.resize(alive_+1);
         ts_->dates_[0] = firstDate;
         ts_->times_[0] = ts_->timeFromReference(firstDate);
         //     pillar counter: i
         // instrument counter: j
-        for (Size i=1, j=firstInstrument_; j<n; ++i, ++j) {
+        for (Size i=1, j=firstInstrument_; j<n_; ++i, ++j) {
             // check for duplicated maturity
             QL_REQUIRE(ts_->dates_[i-1] != ts_->instruments_[j]->latestDate(),
                        "two instruments have the same maturity (" <<
@@ -108,26 +108,25 @@ namespace QuantLib {
         }
 
         // set initial guess only if the current curve cannot be used as guess
-        if (!validCurve_ || ts_->data_.size()!=alive+1) {
-            ts_->data_.resize(alive+1);
+        if (!validCurve_ || ts_->data_.size()!=alive_+1) {
+            ts_->data_.resize(alive_+1);
+            previousData_.resize(alive_+1);
             ts_->data_[0] = Traits::initialValue(ts_);
-            // probably useless loop...
-            for (Size i=1; i<alive+1; ++i)
+            // reasonable numbers needed for the starting interpolation
+            for (Size i=1; i<alive_+1; ++i)
                 ts_->data_[i] = Traits::initialGuess();
         }
-
+        initialized_ = true;
     }
 
     template <class Curve>
     void IterativeBootstrap<Curve>::calculate() const {
 
-        initialize();
-
-        Size n = ts_->instruments_.size();
-        Size alive = n-firstInstrument_;
+        if (!initialized_ || ts_->moving_)
+            initialize();
 
         // setup instruments
-        for (Size j=firstInstrument_; j<n; ++j) {
+        for (Size j=firstInstrument_; j<n_; ++j) {
             // check for valid quote
             QL_REQUIRE(ts_->instruments_[j]->quote()->isValid(),
                        io::ordinal(j+1) << " instrument (maturity: " <<
@@ -139,34 +138,23 @@ namespace QuantLib {
             ts_->instruments_[j]->setTermStructure(const_cast<Curve*>(ts_));
         }
 
-        Brent solver;
-        // FiniteDifferenceNewtonSafe solver;
+        Brent firstSolver;
+        FiniteDifferenceNewtonSafe solver;
         Size maxIterations = Traits::maxIterations();
-        std::vector<Rate> previousData(ts_->data_.size());
 
         for (Size iteration=0; ; ++iteration) {
-            previousData = ts_->data_;
-
-            // restart from the previous interpolation
-            if (validCurve_ || iteration>0) {
-                ts_->interpolation_ = ts_->interpolator_.interpolate(
-                                                      ts_->times_.begin(),
-                                                      ts_->times_.end(),
-                                                      ts_->data_.begin());
-            }
+            previousData_ = ts_->data_;
 
-            for (Size i=1; i<alive+1; ++i) { // pillar loop
+            for (Size i=1; i<alive_+1; ++i) { // pillar loop
 
                 // bracket root
                 Real min = Traits::minValueAfter(i, ts_->data_);
                 Real max = Traits::maxValueAfter(i, ts_->data_);
 
-                // calculate guess and extend interpolation to
-                // include the pillar to be boostrapped
+                // calculate guess and extend interpolation if needed
                 Real guess = 0.0;
                 if (validCurve_ || iteration>0) {
                     guess = ts_->data_[i]; // previous iteration value
-                    // no need to extend interpolation
                 } else {
                     if (i==1) // special first pillar case
                         guess = Traits::initialGuess();
@@ -175,6 +163,7 @@ namespace QuantLib {
                         guess = Traits::guess(ts_, ts_->dates_[i]);
 
                     try { // extend interpolation a point at a time
+                          // including the pillar to be boostrapped
                         ts_->interpolation_ = ts_->interpolator_.interpolate(
                             ts_->times_.begin(), ts_->times_.begin()+i+1,
                             ts_->data_.begin());
@@ -200,10 +189,10 @@ namespace QuantLib {
                     ts_->instruments_[i-1+firstInstrument_];
                 try {
                     BootstrapError<Curve> error(ts_, instrument, i);
-                    Real r = solver.solve(error,ts_->accuracy_,guess,min,max);
-                    // redundant assignment (as it has been already performed
-                    // by BootstrapError in solve procedure), but safe
-                    ts_->data_[i] = r;
+                    if (validCurve_ || iteration>0)
+                        solver.solve(error, ts_->accuracy_, guess, min, max);
+                    else
+                        firstSolver.solve(error,ts_->accuracy_,guess,min,max);
                 } catch (std::exception &e) {
                     validCurve_ = false;
                     QL_FAIL(io::ordinal(iteration+1) << " iteration: "
@@ -220,17 +209,17 @@ namespace QuantLib {
                 continue; // at least one more iteration to convergence check
 
             // exit condition
-            Real improvement = 0.0;
-            for (Size i=1; i<alive+1; ++i)
-                improvement=std::max(improvement,
-                                     std::fabs(ts_->data_[i]-previousData[i]));
-            if (improvement<=ts_->accuracy_)  // convergence reached
+            Real change = 0.0;
+            for (Size i=1; i<alive_+1; ++i)
+                change = std::max(change,
+                                  std::fabs(ts_->data_[i]-previousData_[i]));
+            if (change<=ts_->accuracy_)  // convergence reached
                 break;
 
             QL_REQUIRE(iteration+1<maxIterations,
                        "convergence not reached after " <<
                        iteration+1 << " iterations; last improvement " <<
-                       improvement << ", required accuracy " <<
+                       change << ", required accuracy " <<
                        ts_->accuracy_);
         }
         validCurve_ = true;

From 17ba7aee30e2286f6358bfc72972439d8500bcf1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Jun 2011 15:05:29 +0000
Subject: [PATCH 190/410] optimized code avoiding useless recalculation of
 non-mutable data

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17793 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 79 ++++++++++++++++++++-----------------
 ql/cashflows/iborcoupon.hpp |  5 ++-
 2 files changed, 46 insertions(+), 38 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index 1ee555ff99..d9600ed770 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2007 Giorgio Facchinetti
  Copyright (C) 2007 Cristina Duminuco
- Copyright (C) 2010 Ferdinando Ametrano
+ Copyright (C) 2010, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -44,32 +44,55 @@ namespace QuantLib {
                          fixingDays, iborIndex, gearing, spread,
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears),
-      iborIndex_(iborIndex) {}
+      iborIndex_(iborIndex),
+      fixings_(IndexManager::instance().getHistory(index_->name()))
+    {
+        fixingDate_ = fixingDate();
+
+        if (!isInArrears()) {
+            const Calendar& fixingCalendar = index_->fixingCalendar();
+            Natural indexFixingDays = index_->fixingDays();
+
+            fixingValueDate_ = fixingCalendar.advance(
+                fixingDate_, indexFixingDays, Days);
+
+            Date nextFixingDate = fixingCalendar.advance(
+                accrualEndDate_, -static_cast<Integer>(fixingDays), Days);
+            nextFixingValueDate_ = fixingCalendar.advance(
+                nextFixingDate, indexFixingDays, Days);
+
+            const DayCounter& dc = index_->dayCounter();
+            spanningTime_ = dc.yearFraction(fixingValueDate_,
+                                            nextFixingValueDate_);
+            QL_REQUIRE(spanningTime_>0.0,
+                       "\n cannot calculate forward rate between " <<
+                       fixingValueDate_ << " and " << nextFixingValueDate_ <<
+                       ":\n non positive time (" << spanningTime_ <<
+                       ") using " << dc.name() << " daycounter");
+        }
+    }
 
     Rate IborCoupon::indexFixing() const {
 
         #ifdef QL_USE_INDEXED_COUPON
-        return index_->fixing(fixingDate());
+        return index_->fixing(fixingDate_);
         #else
         if (isInArrears()) {
-            return index_->fixing(fixingDate());
+            return index_->fixing(fixingDate_);
         } else {
             Date today = Settings::instance().evaluationDate();
-            Date fixing_date = fixingDate();
-            if (fixing_date < today) {
+            if (fixingDate_ < today) {
                 // must have been fixed
-                Rate pastFixing = IndexManager::instance().getHistory(
-                                                 index_->name())[fixing_date];
+                Rate pastFixing = fixings_[fixingDate_];
                 QL_REQUIRE(pastFixing != Null<Real>(),
                            "Missing " << index_->name()
-                           << " fixing for " << fixing_date);
+                           << " fixing for " << fixingDate_);
                 return pastFixing;
             }
-            if (fixing_date == today) {
+            if (fixingDate_ == today) {
                 // might have been fixed
                 try {
-                    Rate pastFixing = IndexManager::instance().getHistory(
-                                                 index_->name())[fixing_date];
+                    Rate pastFixing = fixings_[fixingDate_];
                     if (pastFixing != Null<Real>())
                         return pastFixing;
                     else
@@ -79,34 +102,16 @@ namespace QuantLib {
                 }
             }
 
-            // forecast: 0) forecasting curve
-            Handle<YieldTermStructure> termStructure =
-                iborIndex_->forwardingTermStructure();
-            QL_REQUIRE(!termStructure.empty(),
+            // forecasting curve
+            Handle<YieldTermStructure> yc =
+                                        iborIndex_->forwardingTermStructure();
+            QL_REQUIRE(!yc.empty(),
                        "null term structure set to this instance of " <<
                        index_->name());
 
-            // forecast: 1) startDiscount
-            Date fixingValueDate = index_->fixingCalendar().advance(
-                fixing_date, index_->fixingDays(), Days);
-            DiscountFactor startDiscount =
-                termStructure->discount(fixingValueDate);
-            // forecast: 2) endDiscount
-            Date nextFixingDate = index_->fixingCalendar().advance(
-                accrualEndDate_, -static_cast<Integer>(fixingDays()), Days);
-            Date nextFixingValueDate = index_->fixingCalendar().advance(
-                nextFixingDate, index_->fixingDays(), Days);
-            DiscountFactor endDiscount =
-                termStructure->discount(nextFixingValueDate);
-            // forecast: 3) spanningTime
-            Time spanningTime = index_->dayCounter().yearFraction(
-                fixingValueDate, nextFixingValueDate);
-            QL_REQUIRE(spanningTime>0.0,
-                       "cannot calculate forward rate between " <<
-                       fixingValueDate << " and " << nextFixingValueDate <<
-                       ": non positive time using " << index_->dayCounter().name());
-            // forecast: 4) implied fixing
-            return (startDiscount/endDiscount-1.0)/spanningTime;
+            DiscountFactor startDiscount = yc->discount(fixingValueDate_);
+            DiscountFactor endDiscount = yc->discount(nextFixingValueDate_);
+            return (startDiscount/endDiscount-1.0)/spanningTime_;
         }
     #endif
 
diff --git a/ql/cashflows/iborcoupon.hpp b/ql/cashflows/iborcoupon.hpp
index eefb16c07d..950e6e267f 100644
--- a/ql/cashflows/iborcoupon.hpp
+++ b/ql/cashflows/iborcoupon.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2007 Ferdinando Ametrano
+ Copyright (C) 2007, 2011 Ferdinando Ametrano
  Copyright (C) 2007 Giorgio Facchinetti
  Copyright (C) 2007 Cristina Duminuco
  Copyright (C) 2007 StatPro Italia srl
@@ -65,6 +65,9 @@ namespace QuantLib {
         //@}
       private:
         boost::shared_ptr<IborIndex> iborIndex_;
+        const TimeSeries<Real>& fixings_;
+        Date fixingDate_, fixingValueDate_, nextFixingValueDate_;
+        Time spanningTime_;
     };
 
 

From d3d4cae1b330b5efba3b9139ecb673aa75f6419c Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Jun 2011 15:52:51 +0000
Subject: [PATCH 191/410] handled QL_USE_INDEXED_COUPON and isInArrears
 properly

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17794 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 9 +++++++--
 1 file changed, 7 insertions(+), 2 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index d9600ed770..f5addf1793 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -47,9 +47,12 @@ namespace QuantLib {
       iborIndex_(iborIndex),
       fixings_(IndexManager::instance().getHistory(index_->name()))
     {
+    #ifdef QL_USE_INDEXED_COUPON
+        fixingDate_ = fixingDate();
+    #else
         fixingDate_ = fixingDate();
 
-        if (!isInArrears()) {
+        if (!isInArrears_) {
             const Calendar& fixingCalendar = index_->fixingCalendar();
             Natural indexFixingDays = index_->fixingDays();
 
@@ -70,6 +73,7 @@ namespace QuantLib {
                        ":\n non positive time (" << spanningTime_ <<
                        ") using " << dc.name() << " daycounter");
         }
+    #endif
     }
 
     Rate IborCoupon::indexFixing() const {
@@ -77,7 +81,8 @@ namespace QuantLib {
         #ifdef QL_USE_INDEXED_COUPON
         return index_->fixing(fixingDate_);
         #else
-        if (isInArrears()) {
+
+        if (isInArrears_) {
             return index_->fixing(fixingDate_);
         } else {
             Date today = Settings::instance().evaluationDate();

From e821694bedb5cb1d711f9f6ffde77068d0181c25 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 9 Jun 2011 16:29:49 +0000
Subject: [PATCH 192/410] upgraded npvDateDiscount and startDiscounts result
 status from additional to regular, in order to remove
 DiscountingSwapEngine::calculate's inefficiency

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17795 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp                  | 14 ++-------
 ql/instruments/swap.cpp                       | 30 ++++++++++++++++---
 ql/instruments/swap.hpp                       | 15 +++++++++-
 .../swap/discountingswapengine.cpp            | 25 ++++++++--------
 .../swap/discountingswapengine.hpp            |  1 +
 5 files changed, 57 insertions(+), 28 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 723ff000b3..1f53ac6ad9 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -215,20 +215,12 @@ namespace QuantLib {
         if (fairCleanPrice_ != Null<Real>()) {
             return fairCleanPrice_;
         } else {
-            std::vector<DiscountFactor> dfs;
-            DiscountFactor npvDateDiscount;
-            try {
-                dfs = result<std::vector<DiscountFactor> >("startDiscounts");
-                npvDateDiscount = result<DiscountFactor>("npvDateDiscount");
-            } catch (...) {
-                QL_FAIL("fair clean price not available");
-            }
-
-            QL_REQUIRE(dfs[1]!=Null<DiscountFactor>(),
+            QL_REQUIRE(startDiscounts_[1]!=Null<DiscountFactor>(),
                        "fair clean price not available for seasoned deal");
             Real notional = bond_->notional(upfrontDate_);
             if (parSwap_) {
-                fairCleanPrice_ = bondCleanPrice_-NPV_*npvDateDiscount/dfs[1]/(notional/100.0);
+                fairCleanPrice_ = bondCleanPrice_ - 
+                    NPV_*npvDateDiscount_/startDiscounts_[1]/(notional/100.0);
             } else {
                 Real accruedAmount = bond_->accruedAmount(upfrontDate_);
                 Real dirtyPrice = bondCleanPrice_ + accruedAmount;
diff --git a/ql/instruments/swap.cpp b/ql/instruments/swap.cpp
index eade5880dd..a05f46977d 100644
--- a/ql/instruments/swap.cpp
+++ b/ql/instruments/swap.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006 Ferdinando Ametrano
+ Copyright (C) 2006, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2007, 2008 StatPro Italia srl
 
@@ -29,7 +29,8 @@ namespace QuantLib {
     Swap::Swap(const Leg& firstLeg,
                const Leg& secondLeg)
     : legs_(2), payer_(2),
-      legNPV_(2, 0.0), legBPS_(2, 0.0) {
+      legNPV_(2, 0.0), legBPS_(2, 0.0), startDiscounts_(2, 0.0),
+      npvDateDiscount_(0.0) {
         legs_[0] = firstLeg;
         legs_[1] = secondLeg;
         payer_[0] = -1.0;
@@ -43,7 +44,8 @@ namespace QuantLib {
     Swap::Swap(const std::vector<Leg>& legs,
                const std::vector<bool>& payer)
     : legs_(legs), payer_(legs.size(), 1.0),
-      legNPV_(legs.size(), 0.0), legBPS_(legs.size(), 0.0) {
+      legNPV_(legs.size(), 0.0), legBPS_(legs.size(), 0.0),
+      startDiscounts_(legs.size(), 0.0), npvDateDiscount_(0.0) {
         QL_REQUIRE(payer.size()==legs_.size(),
                    "size mismatch between payer (" << payer.size() <<
                    ") and legs (" << legs_.size() << ")");
@@ -56,7 +58,8 @@ namespace QuantLib {
 
     Swap::Swap(Size legs)
     : legs_(legs), payer_(legs),
-      legNPV_(legs, 0.0), legBPS_(legs, 0.0) {}
+      legNPV_(legs, 0.0), legBPS_(legs, 0.0), startDiscounts_(legs, 0.0),
+      npvDateDiscount_(0.0) {}
 
 
     bool Swap::isExpired() const {
@@ -73,6 +76,8 @@ namespace QuantLib {
         Instrument::setupExpired();
         std::fill(legBPS_.begin(), legBPS_.end(), 0.0);
         std::fill(legNPV_.begin(), legNPV_.end(), 0.0);
+        std::fill(startDiscounts_.begin(), startDiscounts_.end(), 0.0);
+        npvDateDiscount_ = 0.0;
     }
 
     void Swap::setupArguments(PricingEngine::arguments* args) const {
@@ -104,6 +109,21 @@ namespace QuantLib {
         } else {
             std::fill(legBPS_.begin(), legBPS_.end(), Null<Real>());
         }
+
+        if (!results->startDiscounts.empty()) {
+            QL_REQUIRE(results->startDiscounts.size() == startDiscounts_.size(),
+                       "wrong number of leg start discounts returned");
+            startDiscounts_ = results->startDiscounts;
+        } else {
+            std::fill(startDiscounts_.begin(), startDiscounts_.end(),
+                                                    Null<DiscountFactor>());
+        }
+
+        if (results->npvDateDiscount != Null<DiscountFactor>()) {
+            npvDateDiscount_ = results->npvDateDiscount;
+        } else {
+            npvDateDiscount_ = Null<DiscountFactor>();
+        }
     }
 
 
@@ -133,6 +153,8 @@ namespace QuantLib {
         Instrument::results::reset();
         legNPV.clear();
         legBPS.clear();
+        startDiscounts.clear();
+        npvDateDiscount = Null<DiscountFactor>();
     }
 
 }
diff --git a/ql/instruments/swap.hpp b/ql/instruments/swap.hpp
index 6ca70c5bef..e7a02a5e05 100644
--- a/ql/instruments/swap.hpp
+++ b/ql/instruments/swap.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
- Copyright (C) 2006 Ferdinando Ametrano
+ Copyright (C) 2006, 2011 Ferdinando Ametrano
  Copyright (C) 2007, 2008 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
@@ -73,6 +73,15 @@ namespace QuantLib {
             calculate();
             return legNPV_[j];
         }
+        DiscountFactor startDiscounts(Size j) const {
+            QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
+            calculate();
+            return startDiscounts_[j];
+        }
+        DiscountFactor npvDateDiscount() const {
+            calculate();
+            return npvDateDiscount_;
+        }
         const Leg& leg(Size j) const {
             QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
             return legs_[j];
@@ -95,6 +104,8 @@ namespace QuantLib {
         std::vector<Real> payer_;
         mutable std::vector<Real> legNPV_;
         mutable std::vector<Real> legBPS_;
+        mutable std::vector<DiscountFactor> startDiscounts_;
+        mutable DiscountFactor npvDateDiscount_;
     };
 
 
@@ -109,6 +120,8 @@ namespace QuantLib {
       public:
         std::vector<Real> legNPV;
         std::vector<Real> legBPS;
+        std::vector<DiscountFactor> startDiscounts;
+        DiscountFactor npvDateDiscount;
         void reset();
     };
 
diff --git a/ql/pricingengines/swap/discountingswapengine.cpp b/ql/pricingengines/swap/discountingswapengine.cpp
index e5cc63635f..cafa4aafb5 100644
--- a/ql/pricingengines/swap/discountingswapengine.cpp
+++ b/ql/pricingengines/swap/discountingswapengine.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2007, 2009 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -41,7 +42,7 @@ namespace QuantLib {
         results_.value = 0.0;
         results_.errorEstimate = Null<Real>();
 
-        Date refDate = (*discountCurve_)->referenceDate();
+        Date refDate = discountCurve_->referenceDate();
 
         Date settlementDate = settlementDate_;
         if (settlementDate_==Date()) {
@@ -60,29 +61,30 @@ namespace QuantLib {
                        "npv date (" << npvDate_  << ") before "
                        "discount curve reference date (" << refDate << ")");
         }
-        results_.additionalResults["npvDateDiscount"] =
-                            discountCurve_->discount(results_.valuationDate);
+        results_.npvDateDiscount = discountCurve_->discount(results_.valuationDate);
 
-        results_.legNPV.resize(arguments_.legs.size());
-        results_.legBPS.resize(arguments_.legs.size());
-        std::vector<DiscountFactor> startDiscounts(arguments_.legs.size());
+        Size n = arguments_.legs.size();
+        results_.legNPV.resize(n);
+        results_.legBPS.resize(n);
+        results_.startDiscounts.resize(n);
 
         bool includeRefDateFlows =
             includeSettlementDateFlows_ ?
             *includeSettlementDateFlows_ :
             Settings::instance().includeReferenceDateCashFlows();
 
-        for (Size i=0; i<arguments_.legs.size(); ++i) {
+        for (Size i=0; i<n; ++i) {
             try {
+                const YieldTermStructure& discount_ref = **discountCurve_;
                 results_.legNPV[i] = arguments_.payer[i] *
                     CashFlows::npv(arguments_.legs[i],
-                                   **discountCurve_,
+                                   discount_ref,
                                    includeRefDateFlows,
                                    settlementDate,
                                    results_.valuationDate);
                 results_.legBPS[i] = arguments_.payer[i] *
                     CashFlows::bps(arguments_.legs[i],
-                                   **discountCurve_,
+                                   discount_ref,
                                    includeRefDateFlows,
                                    settlementDate,
                                    results_.valuationDate);
@@ -92,12 +94,11 @@ namespace QuantLib {
             results_.value += results_.legNPV[i];
             try {
                 Date d = CashFlows::startDate(arguments_.legs[i]);
-                startDiscounts[i] = discountCurve_->discount(d);
+                results_.startDiscounts[i] = discountCurve_->discount(d);
             } catch (...) {
-                startDiscounts[i] = Null<DiscountFactor>();
+                results_.startDiscounts[i] = Null<DiscountFactor>();
             }
         }
-        results_.additionalResults["startDiscounts"] = startDiscounts;
     }
 
 }
diff --git a/ql/pricingengines/swap/discountingswapengine.hpp b/ql/pricingengines/swap/discountingswapengine.hpp
index 55c933e4ee..563d6acd88 100644
--- a/ql/pricingengines/swap/discountingswapengine.hpp
+++ b/ql/pricingengines/swap/discountingswapengine.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2007, 2009 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/

From 3c6dfa26ca148d9ed1079f7d83a9c95f47b71568 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 08:06:37 +0000
Subject: [PATCH 193/410] added return value to register methods

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17796 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/observable.hpp | 20 +++++++++++---------
 1 file changed, 11 insertions(+), 9 deletions(-)

diff --git a/ql/patterns/observable.hpp b/ql/patterns/observable.hpp
index d849e8e653..7aba7af5d3 100644
--- a/ql/patterns/observable.hpp
+++ b/ql/patterns/observable.hpp
@@ -3,6 +3,8 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
+
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -48,7 +50,7 @@ namespace QuantLib {
         */
         void notifyObservers();
       private:
-        void registerObserver(Observer*);
+        std::pair<std::set<Observer*>::iterator, bool> registerObserver(Observer*);
         void unregisterObserver(Observer*);
         std::set<Observer*> observers_;
         typedef std::set<Observer*>::iterator iterator;
@@ -64,7 +66,7 @@ namespace QuantLib {
         Observer& operator=(const Observer&);
         virtual ~Observer();
         // observer interface
-        void registerWith(const boost::shared_ptr<Observable>&);
+        std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool> registerWith(const boost::shared_ptr<Observable>&);
         void unregisterWith(const boost::shared_ptr<Observable>&);
         /*! This method must be implemented in derived classes. An
             instance of %Observer does not call this method directly:
@@ -101,8 +103,9 @@ namespace QuantLib {
         return *this;
     }
 
-    inline void Observable::registerObserver(Observer* o) {
-        observers_.insert(o);
+    inline std::pair<std::set<Observer*>::iterator, bool>
+    Observable::registerObserver(Observer* o) {
+        return observers_.insert(o);
     }
 
     inline void Observable::unregisterObserver(Observer* o) {
@@ -157,12 +160,11 @@ namespace QuantLib {
             (*i)->unregisterObserver(this);
     }
 
-    inline void Observer::registerWith(
-                                     const boost::shared_ptr<Observable>& h) {
-        if (h) {
-            observables_.insert(h);
+    inline std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool>
+    Observer::registerWith(const boost::shared_ptr<Observable>& h) {
+        if (h)
             h->registerObserver(this);
-        }
+        return observables_.insert(h);
     }
 
     inline void Observer::unregisterWith(

From dd6c1b0696cbb54fd8cca09bc250833385f179e0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 14:15:49 +0000
Subject: [PATCH 194/410] removed TimeSeries reference from constructor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17798 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 12 +++++++-----
 ql/cashflows/iborcoupon.hpp |  1 -
 2 files changed, 7 insertions(+), 6 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index f5addf1793..e5d7872c70 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -44,9 +44,7 @@ namespace QuantLib {
                          fixingDays, iborIndex, gearing, spread,
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears),
-      iborIndex_(iborIndex),
-      fixings_(IndexManager::instance().getHistory(index_->name()))
-    {
+      iborIndex_(iborIndex) {
     #ifdef QL_USE_INDEXED_COUPON
         fixingDate_ = fixingDate();
     #else
@@ -88,7 +86,9 @@ namespace QuantLib {
             Date today = Settings::instance().evaluationDate();
             if (fixingDate_ < today) {
                 // must have been fixed
-                Rate pastFixing = fixings_[fixingDate_];
+                const TimeSeries<Real>& fixings =
+                    IndexManager::instance().getHistory(index_->name());
+                Rate pastFixing = fixings[fixingDate_];
                 QL_REQUIRE(pastFixing != Null<Real>(),
                            "Missing " << index_->name()
                            << " fixing for " << fixingDate_);
@@ -96,8 +96,10 @@ namespace QuantLib {
             }
             if (fixingDate_ == today) {
                 // might have been fixed
+                const TimeSeries<Real>& fixings =
+                    IndexManager::instance().getHistory(index_->name());
                 try {
-                    Rate pastFixing = fixings_[fixingDate_];
+                    Rate pastFixing = fixings[fixingDate_];
                     if (pastFixing != Null<Real>())
                         return pastFixing;
                     else
diff --git a/ql/cashflows/iborcoupon.hpp b/ql/cashflows/iborcoupon.hpp
index 950e6e267f..2b02b31016 100644
--- a/ql/cashflows/iborcoupon.hpp
+++ b/ql/cashflows/iborcoupon.hpp
@@ -65,7 +65,6 @@ namespace QuantLib {
         //@}
       private:
         boost::shared_ptr<IborIndex> iborIndex_;
-        const TimeSeries<Real>& fixings_;
         Date fixingDate_, fixingValueDate_, nextFixingValueDate_;
         Time spanningTime_;
     };

From d0b25e00a2a1a4a522b8fe90229ac262f76b126f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 14:18:11 +0000
Subject: [PATCH 195/410] removed useless include

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17799 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/brownianbridge.hpp | 15 ++-------------
 1 file changed, 2 insertions(+), 13 deletions(-)

diff --git a/ql/methods/montecarlo/brownianbridge.hpp b/ql/methods/montecarlo/brownianbridge.hpp
index 15b07a362e..0d40488a7c 100644
--- a/ql/methods/montecarlo/brownianbridge.hpp
+++ b/ql/methods/montecarlo/brownianbridge.hpp
@@ -38,7 +38,6 @@
 
 #include <ql/methods/montecarlo/path.hpp>
 #include <ql/methods/montecarlo/sample.hpp>
-#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
 
 namespace QuantLib {
 
@@ -77,8 +76,8 @@ namespace QuantLib {
         BrownianBridge(const TimeGrid& timeGrid);
         //! \name inspectors
         //@{
-        Size size() const;
-        const std::vector<Time>& times() const;
+        Size size() const { return size_; }
+        const std::vector<Time>& times() const { return t_; }
         //@}
 
         //! Brownian-bridge generator function
@@ -139,16 +138,6 @@ namespace QuantLib {
         std::vector<Real> leftWeight_, rightWeight_, stdDev_;
     };
 
-
-    inline Size BrownianBridge::size() const {
-        return size_;
-    }
-
-    inline const std::vector<Time>& BrownianBridge::times() const {
-        return t_;
-    }
-
 }
 
-
 #endif

From a8cabf3c30527e5ced45ac31ab8d38ad1cbb9fe3 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 15:16:58 +0000
Subject: [PATCH 196/410] added simultaneous npv + bps computation for
 performance gain

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17800 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cashflows.cpp | 58 +++++++++++++++++++++++++++-----------
 ql/cashflows/cashflows.hpp | 16 ++++++++++-
 2 files changed, 57 insertions(+), 17 deletions(-)

diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
index 36269bf9ca..636f421af3 100644
--- a/ql/cashflows/cashflows.cpp
+++ b/ql/cashflows/cashflows.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2005, 2006 StatPro Italia srl
  Copyright (C) 2005 Charles Whitmore
- Copyright (C) 2007, 2008, 2009, 2010 Ferdinando Ametrano
+ Copyright (C) 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
  Copyright (C) 2008 Toyin Akin
 
  This file is part of QuantLib, a free-software/open-source library
@@ -391,23 +391,17 @@ namespace QuantLib {
                               public Visitor<CashFlow>,
                               public Visitor<Coupon> {
           public:
-            BPSCalculator(const YieldTermStructure& discountCurve,
-                          Date npvDate)
-            : discountCurve_(discountCurve), npvDate_(npvDate), result_(0.0) {
-                QL_REQUIRE(npvDate_!=Date(), "null npv date");
-            }
+            BPSCalculator(const YieldTermStructure& discountCurve)
+            : discountCurve_(discountCurve), result_(0.0) {}
             void visit(Coupon& c) {
                 result_ += c.nominal() *
                            c.accrualPeriod() *
                            discountCurve_.discount(c.date());
             }
             void visit(CashFlow&) {}
-            Real result() const {
-                return result_/discountCurve_.discount(npvDate_);
-            }
+            Real result() const { return result_; }
           private:
             const YieldTermStructure& discountCurve_;
-            Date npvDate_;
             Real result_;
         };
 
@@ -454,13 +448,42 @@ namespace QuantLib {
         if (npvDate == Date())
             npvDate = settlementDate;
 
-        BPSCalculator calc(discountCurve, npvDate);
+        BPSCalculator calc(discountCurve);
         for (Size i=0; i<leg.size(); ++i) {
             if (!leg[i]->hasOccurred(settlementDate,
                                      includeSettlementDateFlows))
                 leg[i]->accept(calc);
         }
-        return basisPoint_*calc.result();
+        return basisPoint_*calc.result()/discountCurve.discount(npvDate);
+    }
+
+    void CashFlows::npvbps(const Leg& leg,
+                           const YieldTermStructure& discountCurve,
+                           bool includeSettlementDateFlows,
+                           Date settlementDate,
+                           Date npvDate,
+                           Real& npv,
+                           Real& bps) {
+
+        npv = 0.0;
+        if (leg.empty()) {
+            bps = 0.0;
+            return;
+        }
+
+        BPSCalculator calc(discountCurve);
+        for (Size i=0; i<leg.size(); ++i) {
+            const boost::shared_ptr<CashFlow>& cf = leg[i];
+            if (!cf->hasOccurred(settlementDate,
+                                 includeSettlementDateFlows)) {
+                npv += cf->amount() *
+                       discountCurve.discount(cf->date());
+                cf->accept(calc);
+            }
+        }
+        DiscountFactor d = discountCurve.discount(npvDate);
+        npv /= d;
+        bps = basisPoint_ * calc.result() / d;
     }
 
     Rate CashFlows::atmRate(const Leg& leg,
@@ -477,11 +500,14 @@ namespace QuantLib {
         if (npvDate == Date())
             npvDate = settlementDate;
 
-        Real bps = CashFlows::bps(leg, discountCurve,
-                                  includeSettlementDateFlows,
-                                  settlementDate, npvDate);
+        Real bps = 0.0;
         if (npv==Null<Real>())
-            npv = CashFlows::npv(leg, discountCurve,
+            CashFlows::npvbps(leg, discountCurve,
+                              includeSettlementDateFlows,
+                              settlementDate, npvDate,
+                              npv, bps);
+        else
+            bps = CashFlows::bps(leg, discountCurve,
                                  includeSettlementDateFlows,
                                  settlementDate, npvDate);
         return basisPoint_*npv/bps;
diff --git a/ql/cashflows/cashflows.hpp b/ql/cashflows/cashflows.hpp
index fc0ba3e08d..67415d3a63 100644
--- a/ql/cashflows/cashflows.hpp
+++ b/ql/cashflows/cashflows.hpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2005, 2006 StatPro Italia srl
  Copyright (C) 2005 Charles Whitmore
- Copyright (C) 2007, 2008, 2009, 2010 Ferdinando Ametrano
+ Copyright (C) 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
  Copyright (C) 2008 Toyin Akin
 
  This file is part of QuantLib, a free-software/open-source library
@@ -152,6 +152,20 @@ namespace QuantLib {
                         bool includeSettlementDateFlows,
                         Date settlementDate = Date(),
                         Date npvDate = Date());
+
+        //@{
+        //! NPV and BPS of the cash flows.
+        /*! The NPV and BPS of the cash flows calculated
+            together for performance reason
+        */
+        static void npvbps(const Leg& leg,
+                           const YieldTermStructure& discountCurve,
+                           bool includeSettlementDateFlows,
+                           Date settlementDate,
+                           Date npvDate,
+                           Real& npv,
+                           Real& bps);
+
         //! At-the-money rate of the cash flows.
         /*! The result is the fixed rate for which a fixed rate cash flow
             vector, equivalent to the input vector, has the required NPV

From fee860c2b95c821e1657cf53fd9fb9655beb33d9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 15:21:23 +0000
Subject: [PATCH 197/410] switched to simultaneous npv+bps calculation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17801 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../swap/discountingswapengine.cpp            | 21 ++++++++-----------
 1 file changed, 9 insertions(+), 12 deletions(-)

diff --git a/ql/pricingengines/swap/discountingswapengine.cpp b/ql/pricingengines/swap/discountingswapengine.cpp
index cafa4aafb5..d63495a27c 100644
--- a/ql/pricingengines/swap/discountingswapengine.cpp
+++ b/ql/pricingengines/swap/discountingswapengine.cpp
@@ -76,18 +76,15 @@ namespace QuantLib {
         for (Size i=0; i<n; ++i) {
             try {
                 const YieldTermStructure& discount_ref = **discountCurve_;
-                results_.legNPV[i] = arguments_.payer[i] *
-                    CashFlows::npv(arguments_.legs[i],
-                                   discount_ref,
-                                   includeRefDateFlows,
-                                   settlementDate,
-                                   results_.valuationDate);
-                results_.legBPS[i] = arguments_.payer[i] *
-                    CashFlows::bps(arguments_.legs[i],
-                                   discount_ref,
-                                   includeRefDateFlows,
-                                   settlementDate,
-                                   results_.valuationDate);
+                CashFlows::npvbps(arguments_.legs[i],
+                                  discount_ref,
+                                  includeRefDateFlows,
+                                  settlementDate,
+                                  results_.valuationDate,
+                                  results_.legNPV[i],
+                                  results_.legBPS[i]);
+                results_.legNPV[i] *= arguments_.payer[i];
+                results_.legBPS[i] *= arguments_.payer[i];
             } catch (std::exception &e) {
                 QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
             }

From 0353ce6c1778e15898cf042fbfd0654c5f295c26 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Jun 2011 16:28:39 +0000
Subject: [PATCH 198/410] cached index name for performance gain

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17803 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 6 +++---
 ql/cashflows/iborcoupon.hpp | 1 +
 2 files changed, 4 insertions(+), 3 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index e5d7872c70..a7d65fccc5 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -44,7 +44,7 @@ namespace QuantLib {
                          fixingDays, iborIndex, gearing, spread,
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears),
-      iborIndex_(iborIndex) {
+      iborIndex_(iborIndex), indexName_(index_->name()) {
     #ifdef QL_USE_INDEXED_COUPON
         fixingDate_ = fixingDate();
     #else
@@ -87,7 +87,7 @@ namespace QuantLib {
             if (fixingDate_ < today) {
                 // must have been fixed
                 const TimeSeries<Real>& fixings =
-                    IndexManager::instance().getHistory(index_->name());
+                    IndexManager::instance().getHistory(indexName_);
                 Rate pastFixing = fixings[fixingDate_];
                 QL_REQUIRE(pastFixing != Null<Real>(),
                            "Missing " << index_->name()
@@ -97,7 +97,7 @@ namespace QuantLib {
             if (fixingDate_ == today) {
                 // might have been fixed
                 const TimeSeries<Real>& fixings =
-                    IndexManager::instance().getHistory(index_->name());
+                    IndexManager::instance().getHistory(indexName_);
                 try {
                     Rate pastFixing = fixings[fixingDate_];
                     if (pastFixing != Null<Real>())
diff --git a/ql/cashflows/iborcoupon.hpp b/ql/cashflows/iborcoupon.hpp
index 2b02b31016..e3349549b5 100644
--- a/ql/cashflows/iborcoupon.hpp
+++ b/ql/cashflows/iborcoupon.hpp
@@ -65,6 +65,7 @@ namespace QuantLib {
         //@}
       private:
         boost::shared_ptr<IborIndex> iborIndex_;
+        std::string indexName_;
         Date fixingDate_, fixingValueDate_, nextFixingValueDate_;
         Time spanningTime_;
     };

From 6cc6de56788f9346151b705cd0070d0ee56673ea Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 11 Jun 2011 21:34:57 +0000
Subject: [PATCH 199/410] added last maturity day to swing engine

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17804 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fdmextendedornsteinuhlenbeckop.cpp        | 30 +++++++++--------
 .../fdmextendedornsteinuhlenbeckop.hpp        |  4 ++-
 .../fdmsimpleprocess1dmesher.cpp              |  9 +++--
 .../fdmsimpleprocess1dmesher.hpp              |  3 +-
 .../fdsimpleextoujumpswingengine.cpp          | 33 +++++++++----------
 5 files changed, 43 insertions(+), 36 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
index 5a9561adc9..84498fd198 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -34,17 +34,19 @@ namespace QuantLib {
             const boost::shared_ptr<FdmMesher>& mesher,
             const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
             const boost::shared_ptr<YieldTermStructure>& rTS,
-            const FdmBoundaryConditionSet& bcSet)
-    : mesher_ (mesher),
-      process_(process),
-      rTS_    (rTS),
-      bcSet_  (bcSet),
-      x_      (mesher->locations(0)),
-      dxMap_  (0, mesher),
-      dxxMap_ (SecondDerivativeOp(0, mesher)
-              .mult(0.5*square<Real>()(process_->volatility())
-                *Array(mesher->layout()->size(), 1.))),
-      mapX_   (0, mesher) {
+            const FdmBoundaryConditionSet& bcSet,
+            Size direction)
+    : mesher_   (mesher),
+      process_  (process),
+      rTS_      (rTS),
+      bcSet_    (bcSet),
+      direction_(direction),
+      x_        (mesher->locations(0)),
+      dxMap_    (0, mesher),
+      dxxMap_   (SecondDerivativeOp(0, mesher)
+                .mult(0.5*square<Real>()(process_->volatility())
+                  *Array(mesher->layout()->size(), 1.))),
+      mapX_     (0, mesher) {
     }
 
     Size FdmExtendedOrnsteinUhlenbackOp::size() const {
@@ -79,7 +81,7 @@ namespace QuantLib {
 
     Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply_direction(
                                     Size direction, const Array& r) const {
-        if (direction == 0) {
+        if (direction == direction_) {
             return mapX_.apply(r);
         }
         else {
@@ -90,7 +92,7 @@ namespace QuantLib {
 
     Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::solve_splitting(
                             Size direction, const Array& r, Real a) const {
-        if (direction == 0) {
+        if (direction == direction_) {
             return mapX_.solve_splitting(r, a, 1.0);
         }
         else {
@@ -101,6 +103,6 @@ namespace QuantLib {
 
     Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::preconditioner(
                                             const Array& r, Real dt) const {
-        return solve_splitting(0, r, dt);
+        return solve_splitting(direction_, r, dt);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
index 26db61e78f..0c29e9f998 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -42,7 +42,8 @@ namespace QuantLib {
                const boost::shared_ptr<FdmMesher>& mesher,
                const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& p,
                const boost::shared_ptr<YieldTermStructure>& rTS,
-               const FdmBoundaryConditionSet& bcSet);
+               const FdmBoundaryConditionSet& bcSet,
+               Size direction = 0);
 
         Size size() const;
         void setTime(Time t1, Time t2);
@@ -61,6 +62,7 @@ namespace QuantLib {
         const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_;
         const boost::shared_ptr<YieldTermStructure> rTS_;
         const FdmBoundaryConditionSet bcSet_;
+        const Size direction_;
 
         const Array x_;
         const FirstDerivativeOp dxMap_;
diff --git a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
index 09371c3134..2d3868fb34 100644
--- a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
@@ -27,17 +27,20 @@ namespace QuantLib {
     FdmSimpleProcess1dMesher::FdmSimpleProcess1dMesher(
         Size size,
         const boost::shared_ptr<StochasticProcess1D>& process,
-        Time maturity, Size tAvgSteps, Real eps)
+        Time maturity, Size tAvgSteps, Real eps, Real mandatoryPoint)
         : Fdm1dMesher(size) {
             
         std::fill(locations_.begin(), locations_.end(), 0.0);    
         for (Size l=1; l<=tAvgSteps; ++l) {
             const Real t = (maturity*l)/tAvgSteps;
             
-            const Real qMin = std::min(process->x0(), 
+            const Real mp = (mandatoryPoint != Null<Real>()) ? mandatoryPoint
+                                                             : process->x0();
+
+            const Real qMin = std::min(std::min(mp, process->x0()),
                 process->evolve(0, process->x0(), t, 
                                 InverseCumulativeNormal()(eps)));
-            const Real qMax = std::max(process->x0(),
+            const Real qMax = std::max(std::max(mp, process->x0()),
                 process->evolve(0, process->x0(), t,
                                 InverseCumulativeNormal()(1-eps)));
             
diff --git a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
index 5714823e82..83f01b1492 100644
--- a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
+++ b/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
@@ -36,7 +36,8 @@ namespace QuantLib {
           FdmSimpleProcess1dMesher(
             Size size,
             const boost::shared_ptr<StochasticProcess1D>& process,
-            Time maturity, Size tAvgSteps = 10, Real epsilon = 0.0001);
+            Time maturity, Size tAvgSteps = 10, Real epsilon = 0.0001,
+            Real mandatoryPoint = Null<Real>());
     };
 
 }
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index 38fadff4ce..179aa87b03 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -69,9 +69,22 @@ namespace QuantLib {
                                             new FdmLinearOpLayout(dim));
 
         // 2. Mesher
-        const Time maturity
-            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
-                                              arguments_.exercise->lastDate());
+        std::vector<Time> exerciseTimes;
+        for (Size i=0; i<swingExercise->dates().size(); ++i) {
+            Time t = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                                     swingExercise->dates()[i]);
+
+            const Time dt = rTS_->dayCounter()
+                .yearFraction(rTS_->referenceDate(),
+                              swingExercise->dates()[i]+Period(1u, Days)) - t;
+
+            t += dt*swingExercise->seconds()[i]/(24*3600.);
+
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+            exerciseTimes.push_back(t);
+        }
+
+        const Time maturity = exerciseTimes.back();
         const boost::shared_ptr<StochasticProcess1D> ouProcess(
                               process_->getExtendedOrnsteinUhlenbeckProcess());
         const boost::shared_ptr<Fdm1dMesher> xMesher(
@@ -101,20 +114,6 @@ namespace QuantLib {
         std::list<std::vector<Time> > stoppingTimes;
 
         // 4.1 Bermudan step conditions
-        std::vector<Time> exerciseTimes;
-        for (Size i=0; i<swingExercise->dates().size(); ++i) {
-            Time t = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
-                                                     swingExercise->dates()[i]);
-
-            const Time dt = rTS_->dayCounter()
-                .yearFraction(rTS_->referenceDate(),
-                              swingExercise->dates()[i]+Period(1u, Days)) - t;
-
-            t += dt*swingExercise->seconds()[i]/(24*3600.);
-
-            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
-            exerciseTimes.push_back(t);
-        }
         stoppingTimes.push_back(exerciseTimes);
 
         const boost::shared_ptr<StrikedTypePayoff> payoff =

From 6a5d73825a395a5486d0150b21ec73e9f7e8deec Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 12:17:29 +0000
Subject: [PATCH 200/410] added missing forward declaration

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17805 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdsimpleextoujumpswingengine.hpp           | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
index 1f105ca6e4..a75aa5bf9c 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -33,6 +33,7 @@ namespace QuantLib {
 
     //! Finite-Differences engine for simple swing options
 
+    class YieldTermStructure;
     class ExtOUWithJumpsProcess;
 
     class FdSimpleExtOUJumpSwingEngine

From 5052a25bbf72593abaa98ad31f794a1b6555cf97 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 15:37:54 +0000
Subject: [PATCH 201/410] fixed bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17806 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 2f97995d38..5fb74f3b98 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -205,7 +205,7 @@ namespace QuantLib {
 
             if (!Interpolator::global)
                 break;     // no need for convergence loop
-            else if (!validCurve_ && iteration == 0)
+            else if (iteration == 0)
                 continue; // at least one more iteration to convergence check
 
             // exit condition

From 729301753bfd0dce33260b7ac8619db39bd99749 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 18:19:59 +0000
Subject: [PATCH 202/410] added missing data methods

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17807 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../inflation/interpolatedyoyinflationcurve.hpp            | 7 +++++++
 .../inflation/interpolatedzeroinflationcurve.hpp           | 7 +++++++
 2 files changed, 14 insertions(+)

diff --git a/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp b/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp
index a8b01c5377..b891114672 100644
--- a/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp
+++ b/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp
@@ -66,6 +66,7 @@ namespace QuantLib {
         //@{
         const std::vector<Date>& dates() const;
         const std::vector<Time>& times() const;
+        const std::vector<Real>& data() const;
         const std::vector<Rate>& rates() const;
         std::vector<std::pair<Date,Rate> > nodes() const;
         //@}
@@ -207,6 +208,12 @@ namespace QuantLib {
         return this->data_;
     }
 
+    template <class T>
+    inline const std::vector<Real>&
+    InterpolatedYoYInflationCurve<T>::data() const {
+        return this->data_;
+    }
+
     template <class T>
     inline std::vector<std::pair<Date,Rate> >
     InterpolatedYoYInflationCurve<T>::nodes() const {
diff --git a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
index 3a54eb7426..f494380609 100644
--- a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
@@ -62,6 +62,7 @@ namespace QuantLib {
         //@{
         const std::vector<Date>& dates() const;
         const std::vector<Time>& times() const;
+        const std::vector<Real>& data() const;
         const std::vector<Rate>& rates() const;
         std::vector<std::pair<Date,Rate> > nodes() const;
         //@}
@@ -220,6 +221,12 @@ namespace QuantLib {
         return this->data_;
     }
 
+    template <class T>
+    inline const std::vector<Real>&
+    InterpolatedZeroInflationCurve<T>::data() const {
+        return this->data_;
+    }
+
     template <class T>
     inline std::vector<std::pair<Date,Rate> >
     InterpolatedZeroInflationCurve<T>::nodes() const {

From dbf099b1ab13560b165556f0db89198d3710f824 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 18:36:42 +0000
Subject: [PATCH 203/410] removed leftovers

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17808 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../inflation/piecewiseyoyoptionletvolatility.hpp           | 1 -
 ql/termstructures/credit/probabilitytraits.hpp              | 6 ------
 ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp  | 1 -
 ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | 1 -
 ql/termstructures/yield/bootstraptraits.hpp                 | 6 ------
 5 files changed, 15 deletions(-)

diff --git a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
index 9542dcd5a9..4401778a1f 100644
--- a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
+++ b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
@@ -39,7 +39,6 @@ namespace QuantLib {
         static Date initialDate(const YoYOptionletVolatilitySurface *s) {
             return s->baseDate();
         }
-        static bool dummyInitialValue() {return false;}
         static Volatility initialValue(const YoYOptionletVolatilitySurface *s) {
             return s->baseLevel();  // REALLLYYYY important because
                                     // generally don't have a clue
diff --git a/ql/termstructures/credit/probabilitytraits.hpp b/ql/termstructures/credit/probabilitytraits.hpp
index 386e5fa18f..9541bedebf 100644
--- a/ql/termstructures/credit/probabilitytraits.hpp
+++ b/ql/termstructures/credit/probabilitytraits.hpp
@@ -56,8 +56,6 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return 1.0;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return false; }
         // initial guess
         static Real initialGuess() {
             return 1.0/(1.0+detail::avgHazardRate*0.25);
@@ -103,8 +101,6 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return detail::avgHazardRate;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return true; }
         // initial guess
         static Real initialGuess() { return detail::avgHazardRate; }
         // further guesses
@@ -152,8 +148,6 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return detail::avgHazardRate;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return true; }
         // initial guess
         static Real initialGuess() { return detail::avgHazardRate; }
         // further guesses
diff --git a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
index 77427f5447..861e0175ac 100644
--- a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
@@ -46,7 +46,6 @@ namespace QuantLib {
                                        t->frequency()).first;
             }
         }
-        static bool dummyInitialValue() { return false; }
         static Rate initialValue(const YoYInflationTermStructure* t) {
             return t->baseRate();
         }
diff --git a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
index 84d96ac157..d268de324f 100644
--- a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
@@ -46,7 +46,6 @@ namespace QuantLib {
                                        t->frequency()).first;
             }
         }
-        static bool dummyInitialValue() { return false; }
         static Rate initialValue(const ZeroInflationTermStructure* t) {
             return t->baseRate();
         }
diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 360b976bd8..065c35a478 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -54,8 +54,6 @@ namespace QuantLib {
         static DiscountFactor initialValue(const YieldTermStructure*) {
             return 1.0;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return false; }
         // initial guess
         static DiscountFactor initialGuess() {
             return 1.0/(1.0+detail::avgRate*0.25);
@@ -109,8 +107,6 @@ namespace QuantLib {
         static Rate initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return true; }
         // initial guess
         static Rate initialGuess() { return detail::avgRate; }
         // further guesses
@@ -164,8 +160,6 @@ namespace QuantLib {
         static Rate initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
-        // true if the initialValue is just a dummy value
-        static bool dummyInitialValue() { return true; }
         // initial guess
         static Rate initialGuess() { return detail::avgRate; }
         // further guesses

From 3df9e2bea6c7294ab1ce3f126bbd2e6733beafd1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 18:39:16 +0000
Subject: [PATCH 204/410] adjust guess taking into account its proximity to max
 or min

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17809 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 5fb74f3b98..fb5c4cefb9 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -181,8 +181,10 @@ namespace QuantLib {
                     }
                 }
                 // adjust guess if needed
-                if (guess<=min || guess>=max)
-                    guess = (min+max)/2.0;
+                if (guess>=max)
+                    guess = max - (max-min)/5.0;
+                else if (guess<=min)
+                    guess = min + (max-min)/5.0;
 
                 // the actual instrument used for the current pillar
                 boost::shared_ptr<typename Traits::helper> instrument =

From bc1f1f14635eba1907d30bfd429bff00c7ba0225 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 13 Jun 2011 18:51:42 +0000
Subject: [PATCH 205/410] added help variable (which will be used much more
 later...)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17810 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index fb5c4cefb9..8e1d69bad1 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -147,13 +147,15 @@ namespace QuantLib {
 
             for (Size i=1; i<alive_+1; ++i) { // pillar loop
 
+                bool validData = validCurve_ || iteration>0;
+
                 // bracket root
                 Real min = Traits::minValueAfter(i, ts_->data_);
                 Real max = Traits::maxValueAfter(i, ts_->data_);
 
                 // calculate guess and extend interpolation if needed
                 Real guess = 0.0;
-                if (validCurve_ || iteration>0) {
+                if (validData) {
                     guess = ts_->data_[i]; // previous iteration value
                 } else {
                     if (i==1) // special first pillar case
@@ -191,7 +193,7 @@ namespace QuantLib {
                     ts_->instruments_[i-1+firstInstrument_];
                 try {
                     BootstrapError<Curve> error(ts_, instrument, i);
-                    if (validCurve_ || iteration>0)
+                    if (validData)
                         solver.solve(error, ts_->accuracy_, guess, min, max);
                     else
                         firstSolver.solve(error,ts_->accuracy_,guess,min,max);

From bb0f77df70512637c19bef2189f308be104c15c0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 14 Jun 2011 13:55:31 +0000
Subject: [PATCH 206/410] added missing files (mmm... I'm almost sure I already
 did this, I'm puzzled as to why/when they got lost)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17811 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc8.vcproj             | 244 +++++++++++++++++++++++++++++---
 test-suite/testsuite_vc8.vcproj |  24 ++++
 2 files changed, 248 insertions(+), 20 deletions(-)

diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index f0272b37f6..648cdb54af 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -631,6 +631,14 @@
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp"
 				>
@@ -695,6 +703,22 @@
 				RelativePath=".\ql\cashflows\couponpricer.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\digitalcmscoupon.cpp"
 				>
@@ -1191,6 +1215,22 @@
 				RelativePath=".\ql\instruments\compositeinstrument.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\cpicapfloor.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpicapfloor.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpiswap.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpiswap.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\creditdefaultswap.cpp"
 				>
@@ -1419,6 +1459,10 @@
 				RelativePath=".\ql\instruments\vanillaoption.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillastorageoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\vanillaswap.cpp"
 				>
@@ -1427,6 +1471,10 @@
 				RelativePath=".\ql\instruments\vanillaswap.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillaswingoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\varianceswap.cpp"
 				>
@@ -1474,6 +1522,14 @@
 					RelativePath=".\ql\instruments\bonds\cmsratebond.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\cpibond.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\instruments\bonds\cpibond.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\fixedratebond.cpp"
 					>
@@ -4355,6 +4411,10 @@
 				RelativePath=".\ql\processes\blackscholesprocess.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\processes\defaultable.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\processes\endeulerdiscretization.cpp"
 				>
@@ -4631,27 +4691,27 @@
 					>
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.cpp"
+					RelativePath="ql\pricingengines\basket\kirkengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.hpp"
+					RelativePath="ql\pricingengines\basket\kirkengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.cpp"
+					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp"
+					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\kirkengine.cpp"
+					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\kirkengine.hpp"
+					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp"
 					>
 				</File>
 				<File
@@ -5158,6 +5218,14 @@
 					RelativePath=".\ql\pricingengines\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp"
 					>
@@ -5938,6 +6006,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp"
 					>
@@ -5986,6 +6062,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesvanillaengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdhestonbarrierengine.cpp"
 					>
@@ -6038,6 +6122,22 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp"
 					>
@@ -6135,59 +6235,71 @@
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp"
 					>
 				</File>
 				<File
@@ -6246,6 +6358,38 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dbssolver.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.cpp"
 					>
@@ -6254,6 +6398,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmsolverdesc.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp"
 					>
@@ -6262,6 +6410,30 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.cpp"
 					>
@@ -6370,6 +6542,22 @@
 					RelativePath=".\ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extouwithjumpsprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\extouwithjumpsprocess.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
 					>
@@ -7290,6 +7478,22 @@
 					RelativePath=".\ql\experimental\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp"
 					>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 2d928837e1..aa968583ec 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -642,6 +642,14 @@
 				RelativePath=".\inflationcapflooredcoupon.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.cpp"
 				>
@@ -830,6 +838,10 @@
 				RelativePath=".\swaptionvolatilitymatrix.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\swingoption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="termstructures.cpp"
 				>
@@ -1079,6 +1091,14 @@
 				RelativePath=".\inflationcapflooredcoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.hpp"
 				>
@@ -1271,6 +1291,10 @@
 				RelativePath=".\swaptionvolstructuresutilities.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\swingoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="termstructures.hpp"
 				>

From a77daecd0d313ab709d215e3a16e8407ed2181e7 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 23 Jun 2011 19:33:34 +0000
Subject: [PATCH 207/410] added more inspectors

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17812 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/brownianbridge.hpp | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

diff --git a/ql/methods/montecarlo/brownianbridge.hpp b/ql/methods/montecarlo/brownianbridge.hpp
index 0d40488a7c..b16f95e580 100644
--- a/ql/methods/montecarlo/brownianbridge.hpp
+++ b/ql/methods/montecarlo/brownianbridge.hpp
@@ -26,7 +26,7 @@
 // ===========================================================================
 // NOTE: The following copyright notice applies to the original code,
 //
-// Copyright (C) 2002 Peter Jäckel "Monte Carlo Methods in Finance".
+// Copyright (C) 2002 Peter J�ckel "Monte Carlo Methods in Finance".
 // All rights reserved.
 //
 // Permission to use, copy, modify, and distribute this software is freely
@@ -78,6 +78,12 @@ namespace QuantLib {
         //@{
         Size size() const { return size_; }
         const std::vector<Time>& times() const { return t_; }
+        const std::vector<Size>& bridgeIndex()  const { return bridgeIndex_; }
+        const std::vector<Size>& leftIndex()    const { return leftIndex_; }
+        const std::vector<Size>& rightIndex()   const { return rightIndex_; }
+        const std::vector<Real>& leftWeight()   const { return leftWeight_; }
+        const std::vector<Real>& rightWeight()  const { return rightWeight_; }
+        const std::vector<Real>& stdDeviation() const { return stdDev_; }
         //@}
 
         //! Brownian-bridge generator function

From 525693638b951eb19992f6d80b3a5419c3234b7e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 27 Jun 2011 19:57:53 +0000
Subject: [PATCH 208/410] added generic n-dimensional finite difference solver

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17813 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   3 +
 ql/experimental/finitedifferences/all.hpp     |   2 +
 .../finitedifferences/fdm2dimsolver.cpp       |  13 +-
 .../finitedifferences/fdm2dimsolver.hpp       |   1 -
 .../finitedifferences/fdm3dimsolver.cpp       |  20 +-
 .../finitedifferences/fdm3dimsolver.hpp       |   1 -
 .../finitedifferences/fdmextoujumpop.cpp      |  39 ++--
 .../finitedifferences/fdmklugeextouop.cpp     |  99 ++++++++++
 .../finitedifferences/fdmklugeextouop.hpp     |  84 ++++++++
 .../finitedifferences/fdmndimsolver.hpp       | 183 ++++++++++++++++++
 10 files changed, 407 insertions(+), 38 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdmklugeextouop.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmklugeextouop.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmndimsolver.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 9bd442591d..63c6eb6f5d 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -49,12 +49,14 @@ this_include_HEADERS = \
 	fdmhestonsolver.hpp \
 	fdmhestonvariancemesher.hpp \
 	fdminnervaluecalculator.hpp \
+	fdmklugeextouop.hpp \
 	fdmlinearop.hpp \
 	fdmlinearopcomposite.hpp \
 	fdmlinearopiterator.hpp \
 	fdmlinearoplayout.hpp \
 	fdmmesher.hpp \
 	fdmmeshercomposite.hpp \
+	fdmndimsolver.hpp \
 	fdmquantohelper.hpp \
     fdmsimple2dbssolver.hpp \
 	fdmsimple2dextousolver.hpp \
@@ -123,6 +125,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmhestonsolver.cpp \
 	fdmhestonvariancemesher.cpp \
 	fdminnervaluecalculator.cpp \
+	fdmklugeextouop.cpp \
 	fdmlinearoplayout.cpp \
 	fdmmeshercomposite.cpp \
 	fdmquantohelper.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 44a131b8b1..6ad74a0592 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -46,12 +46,14 @@
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
index 2784500517..91f4c45c0f 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
@@ -35,7 +35,6 @@ namespace QuantLib {
     : solverDesc_(solverDesc),
       schemeDesc_(schemeDesc),
       op_(op),
-      mesher_(solverDesc.mesher),
       thetaCondition_(new FdmSnapshotCondition(
         0.99*std::min(1.0/365.0,
            solverDesc.condition->stoppingTimes().empty()
@@ -43,10 +42,12 @@ namespace QuantLib {
                     : solverDesc.condition->stoppingTimes().front()))),
       conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
                                                          solverDesc.condition)),
-      initialValues_(mesher_->layout()->size()),
-      resultValues_(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]) {
+      initialValues_(solverDesc.mesher->layout()->size()),
+      resultValues_ (solverDesc.mesher->layout()->dim()[1],
+                     solverDesc.mesher->layout()->dim()[0]) {
 
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
 
         x_.reserve(layout->dim()[0]);
         y_.reserve(layout->dim()[1]);
@@ -59,10 +60,10 @@ namespace QuantLib {
                                                          solverDesc.maturity);
 
             if (!iter.coordinates()[1]) {
-                x_.push_back(mesher_->location(iter, 0));
+                x_.push_back(mesher->location(iter, 0));
             }
             if (!iter.coordinates()[0]) {
-                y_.push_back(mesher_->location(iter, 1));
+                y_.push_back(mesher->location(iter, 1));
             }
         }
     }
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.hpp b/ql/experimental/finitedifferences/fdm2dimsolver.hpp
index f81a9feb66..307aa59a09 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.hpp
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.hpp
@@ -58,7 +58,6 @@ namespace QuantLib {
         const FdmSchemeDesc schemeDesc_;
         const boost::shared_ptr<FdmLinearOpComposite> op_;
 
-        const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
         const boost::shared_ptr<FdmStepConditionComposite> conditions_;
 
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
index 0ec1e532d0..e98d879c29 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
@@ -36,7 +36,6 @@ namespace QuantLib {
     : solverDesc_(solverDesc),
       schemeDesc_(schemeDesc),
       op_(op),
-      mesher_(solverDesc.mesher),
       thetaCondition_(new FdmSnapshotCondition(
         0.99*std::min(1.0/365.0,
                 solverDesc.condition->stoppingTimes().empty()
@@ -44,13 +43,14 @@ namespace QuantLib {
                   solverDesc.condition->stoppingTimes().front()))),
       conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
                                                          solverDesc.condition)),
-      initialValues_(mesher_->layout()->size()),
-      resultValues_(mesher_->layout()->dim()[2],
-                    Matrix(mesher_->layout()->dim()[1],
-                           mesher_->layout()->dim()[0])),
-      interpolation_(mesher_->layout()->dim()[2]) {
+      initialValues_(solverDesc.mesher->layout()->size()),
+      resultValues_ (solverDesc.mesher->layout()->dim()[2],
+                     Matrix(solverDesc.mesher->layout()->dim()[1],
+                            solverDesc.mesher->layout()->dim()[0])),
+      interpolation_(solverDesc.mesher->layout()->dim()[2]) {
 
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
 
         x_.reserve(layout->dim()[0]);
         y_.reserve(layout->dim()[1]);
@@ -65,13 +65,13 @@ namespace QuantLib {
 
 
             if (!iter.coordinates()[1] && !iter.coordinates()[2]) {
-                x_.push_back(mesher_->location(iter, 0));
+                x_.push_back(mesher->location(iter, 0));
             }
             if (!iter.coordinates()[0] && !iter.coordinates()[2]) {
-                y_.push_back(mesher_->location(iter, 1));
+                y_.push_back(mesher->location(iter, 1));
             }
             if (!iter.coordinates()[0] && !iter.coordinates()[1]) {
-                z_.push_back(mesher_->location(iter, 2));
+                z_.push_back(mesher->location(iter, 2));
             }
         }
     }
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.hpp b/ql/experimental/finitedifferences/fdm3dimsolver.hpp
index 1ca9c59ff3..1e2d0e304c 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.hpp
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.hpp
@@ -50,7 +50,6 @@ namespace QuantLib {
         const FdmSchemeDesc schemeDesc_;
         const boost::shared_ptr<FdmLinearOpComposite> op_;
 
-        const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
         const boost::shared_ptr<FdmStepConditionComposite> conditions_;
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
index 1c6ec50276..deb2ecd7d6 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -21,9 +21,8 @@
     \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
 */
 
-#include <ql/math/functional.hpp>
-#include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
@@ -51,23 +50,23 @@ namespace QuantLib {
       dyMap_  (FirstDerivativeOp(1, mesher)
                 .mult(-process->beta()*mesher->locations(1))) {
     }
-        
+
     Size FdmExtOUJumpOp::size() const {
         return mesher_->layout()->dim().size();;
     }
-    
+
     void FdmExtOUJumpOp::setTime(Time t1, Time t2) {
         ouOp_->setTime(t1, t2);
     }
-    
+
     Disposable<Array> FdmExtOUJumpOp::apply(const Array& r) const {
         return ouOp_->apply(r) + apply_direction(1, r) + integro(r);
     }
-    
+
     Disposable<Array> FdmExtOUJumpOp::apply_mixed(const Array& r) const {
         return  integro(r);
     }
-    
+
     Disposable<Array> FdmExtOUJumpOp::apply_direction(Size direction,
                                                       const Array& r) const {
         if (direction == 0)
@@ -80,8 +79,8 @@ namespace QuantLib {
         }
     }
 
-    Disposable<Array> 
-        FdmExtOUJumpOp::solve_splitting(Size direction, 
+    Disposable<Array>
+        FdmExtOUJumpOp::solve_splitting(Size direction,
                                         const Array& r, Real a) const {
         if (direction == 0) {
             return ouOp_->solve_splitting(direction, r, a);
@@ -94,34 +93,34 @@ namespace QuantLib {
             return retVal;
         }
     }
-    
+
     Disposable<Array>
         FdmExtOUJumpOp::preconditioner(const Array& r, Real dt) const {
 
         return ouOp_->solve_splitting(0, r, dt);
     }
-    
+
     FdmExtOUJumpOp::IntegroIntegrand::IntegroIntegrand(
                     const boost::shared_ptr<LinearInterpolation>& interpl,
                     const FdmBoundaryConditionSet& bcSet,
                     Real y, Real eta)
-    : y_      (y), 
-      eta_    (eta), 
-      bcSet_  (bcSet), 
+    : y_      (y),
+      eta_    (eta),
+      bcSet_  (bcSet),
       interpl_(interpl) { }
-                    
+
     Real FdmExtOUJumpOp::IntegroIntegrand::operator()(Real u) const {
         const Real y = y_ + u/eta_;
         Real valueOfDerivative = interpl_->operator()(y, true);
-        
+
         for (FdmBoundaryConditionSet::const_iterator iter=bcSet_.begin();
             iter < bcSet_.end(); ++iter) {
             valueOfDerivative=(*iter)->applyAfterApplying(y, valueOfDerivative);
         }
-        
+
         return std::exp(-u)*valueOfDerivative;
     }
-    
+
     Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
         Array integral(r.size());
 
@@ -131,7 +130,7 @@ namespace QuantLib {
         std::vector<Array>  y(extraDims, Array(layout->dim()[1]));
         std::vector<Matrix> f(extraDims,
                               Matrix(layout->dim()[1], layout->dim()[0]));
-        
+
         const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
             ++iter) {
@@ -155,7 +154,7 @@ namespace QuantLib {
         }
 
         const Real eta = process_->eta();
-        
+
         for (FdmLinearOpIterator iter=layout->begin(); iter!=endIter; ++iter) {
             const Size i = iter.coordinates()[0];
             const Size j = iter.coordinates()[1];
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
new file mode 100644
index 0000000000..4dc548b872
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -0,0 +1,99 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmexpoujumpop.cpp
+    \brief Kluge process (power) plus Ornstein Uhlenbeck process (gas)
+*/
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
+#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+
+namespace QuantLib {
+
+    FdmKlugeExtOUOp::FdmKlugeExtOUOp(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        Real rho,
+        const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+        const boost::shared_ptr<YieldTermStructure>& rTS,
+        const FdmBoundaryConditionSet& bcSet,
+        Size integroIntegrationOrder)
+    : mesher_ (mesher),
+      kluge_  (kluge),
+      extOU_  (extOU),
+      rTS_    (rTS),
+      bcSet_  (bcSet),
+      klugeOp_(new FdmExtOUJumpOp(mesher, kluge, rTS, bcSet,
+                                  integroIntegrationOrder)),
+      ouOp_   (new FdmExtendedOrnsteinUhlenbackOp(mesher, extOU,
+                                                  rTS, bcSet, 2)),
+      corrMap_(SecondOrderMixedDerivativeOp(0, 2, mesher).mult(
+          Array(mesher->layout()->size(), rho*extOU->volatility()
+                *kluge->getExtendedOrnsteinUhlenbeckProcess()->volatility())))
+    { }
+
+    Size FdmKlugeExtOUOp::size() const {
+        return mesher_->layout()->dim().size();;
+    }
+
+    void FdmKlugeExtOUOp::setTime(Time t1, Time t2) {
+        ouOp_->setTime(t1, t2);
+        klugeOp_->setTime(t1, t2);
+    }
+
+    Disposable<Array> FdmKlugeExtOUOp::apply(const Array& r) const {
+        return ouOp_->apply(r) + klugeOp_->apply(r) + apply_mixed(r);
+    }
+
+    Disposable<Array> FdmKlugeExtOUOp::apply_mixed(const Array& r) const {
+        return  corrMap_.apply(r);
+    }
+
+    Disposable<Array> FdmKlugeExtOUOp::apply_direction(Size direction,
+                                                       const Array& r) const {
+        return klugeOp_->apply_direction(direction, r)
+                + ouOp_->apply_direction(direction, r);
+    }
+
+    Disposable<Array>
+        FdmKlugeExtOUOp::solve_splitting(Size direction,
+                                        const Array& r, Real a) const {
+        if (direction == 0 || direction == 1) {
+            return klugeOp_->solve_splitting(direction, r, a);
+        }
+        else if (direction == 2) {
+            return ouOp_->solve_splitting(direction, r, a);
+        }
+        else {
+            Array retVal(r);
+            return retVal;
+        }
+    }
+
+    Disposable<Array>
+        FdmKlugeExtOUOp::preconditioner(const Array& r, Real dt) const {
+        return klugeOp_->solve_splitting(0, r, dt);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
new file mode 100644
index 0000000000..4aec8fbbac
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -0,0 +1,84 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmklugeextouop.hpp
+    \brief Kluge process (power) plus Ornstein Uhlenbeck process (gas)
+*/
+
+#ifndef quantlib_fdm_kluge_ext_ou_op_hpp
+#define quantlib_fdm_kluge_ext_ou_op_hpp
+
+#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class YieldTermStructure;
+    class ExtOUWithJumpsProcess;
+    class ExtendedOrnsteinUhlenbeckProcess;
+    class FdmExtOUJumpOp;
+    class FdmExtendedOrnsteinUhlenbackOp;
+
+    /*! References:
+        Kluge, Timo L., 2008. Pricing Swing Options and other
+        Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
+    */
+
+    class FdmKlugeExtOUOp : public FdmLinearOpComposite {
+      public:
+        FdmKlugeExtOUOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            Real rho,
+            const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmBoundaryConditionSet& bcSet,
+            Size integroIntegrationOrder);
+
+        Size size() const;
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+
+        Disposable<Array> apply_direction(Size direction,
+                                          const Array& r) const;
+        Disposable<Array> solve_splitting(Size direction,
+                                          const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<ExtOUWithJumpsProcess> kluge_;
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU_;
+
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmBoundaryConditionSet bcSet_;
+
+        const boost::shared_ptr<FdmExtOUJumpOp> klugeOp_;
+        const boost::shared_ptr<FdmExtendedOrnsteinUhlenbackOp> ouOp_;
+
+        const NinePointLinearOp corrMap_;
+    };
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdmndimsolver.hpp b/ql/experimental/finitedifferences/fdmndimsolver.hpp
new file mode 100644
index 0000000000..fc173be963
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmndimsolver.hpp
@@ -0,0 +1,183 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmndimsolver.hpp
+*/
+
+#ifndef quantlib_fdm_n_dim_solver_hpp
+#define quantlib_fdm_n_dim_solver_hpp
+
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/math/interpolations/multicubicspline.hpp>
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+
+#include <numeric>
+
+namespace QuantLib {
+
+    template <Size N>
+    class FdmNdimSolver : public LazyObject {
+      public:
+        FdmNdimSolver(const FdmSolverDesc& solverDesc,
+                      const FdmSchemeDesc& schemeDesc,
+                      const boost::shared_ptr<FdmLinearOpComposite>& op);
+
+        void performCalculations() const;
+
+        Real interpolateAt(const std::vector<Real>& x) const;
+        Real thetaAt(const std::vector<Real>& x) const;
+
+        // template meta programming
+        typedef typename MultiCubicSpline<N>::data_table data_table;
+        void static setValue(data_table& f,
+                             const std::vector<Size>& x, Real value);
+
+      private:
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+        const boost::shared_ptr<FdmLinearOpComposite> op_;
+
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
+
+        std::vector<std::vector<Real> > x_;
+        std::vector<Real> initialValues_;
+
+        mutable boost::shared_ptr<data_table> f_;
+        mutable boost::shared_ptr<MultiCubicSpline<N> > interp_;
+    };
+
+
+    template <Size N> inline
+    FdmNdimSolver<N>::FdmNdimSolver(
+                        const FdmSolverDesc& solverDesc,
+                        const FdmSchemeDesc& schemeDesc,
+                        const boost::shared_ptr<FdmLinearOpComposite>& op)
+    : solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc),
+      op_(op),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+                solverDesc.condition->stoppingTimes().empty()
+                ? solverDesc.maturity :
+                  solverDesc.condition->stoppingTimes().front()))),
+      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
+                                                        solverDesc.condition)),
+      x_            (solverDesc.mesher->layout()->dim().size()),
+      initialValues_(solverDesc.mesher->layout()->size()) {
+
+        const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
+
+        QL_REQUIRE(layout->dim().size() == N, "solver dim " << N
+                    << "does not fit to layout dim " << layout->size());
+
+        for (Size i=0; i < N; ++i) {
+            x_[i].reserve(layout->dim()[i]);
+        }
+
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+
+            initialValues_[iter.index()] = solverDesc.calculator
+                                ->avgInnerValue(iter, solverDesc.maturity);
+
+            const std::vector<Size>& c = iter.coordinates();
+            for (Size i=0; i < N; ++i) {
+                if (!(std::accumulate(c.begin(), c.end(), 0)-c[i])) {
+                    x_[i].push_back(mesher->location(iter, i));
+                }
+            }
+        }
+
+        f_ = boost::shared_ptr<data_table>(new data_table(x_));
+    }
+
+
+    template <Size N> inline
+    void FdmNdimSolver<N>::performCalculations() const {
+        Array rhs(initialValues_.size());
+        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
+
+        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
+                 .rollback(rhs, solverDesc_.maturity, 0.0,
+                           solverDesc_.timeSteps, solverDesc_.dampingSteps);
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout
+                                               = solverDesc_.mesher->layout();
+
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            setValue(*f_, iter.coordinates(), rhs[iter.index()]);
+        }
+
+        interp_ = boost::shared_ptr<MultiCubicSpline<N> >(
+                                            new MultiCubicSpline<N>(x_, *f_));
+    }
+
+
+    template <Size N> inline
+    Real FdmNdimSolver<N>::thetaAt(const std::vector<Real>& x) const {
+        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
+                   "stopping time at zero-> can't calculate theta");
+        calculate();
+        const Array& rhs = thetaCondition_->getValues();
+        const boost::shared_ptr<FdmLinearOpLayout> layout
+                                            = solverDesc_.mesher->layout();
+
+        data_table f(x_);
+
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            setValue(f, iter.coordinates(), rhs[iter.index()]);
+        }
+
+        return (MultiCubicSpline<N>(x_, f)(x)
+                        - interpolateAt(x)) / thetaCondition_->getTime();
+    }
+
+    template <Size N> inline
+    Real FdmNdimSolver<N>::interpolateAt(const std::vector<Real>& x) const {
+        calculate();
+
+        return (*interp_)(x);
+    }
+
+    template <Size N> inline
+    void FdmNdimSolver<N>::setValue(data_table& f,
+                                    const std::vector<Size>& x, Real value) {
+        FdmNdimSolver<N-1>::setValue(f[x[x.size()-N]], x, value);
+    }
+
+    template <> inline
+    void FdmNdimSolver<1>::setValue(data_table& f,
+                                    const std::vector<Size>& x, Real value) {
+        f[x.back()] = value;
+    }
+}
+
+#endif

From 418e3a610b4d7c6385360415bb96fdc51d50aada Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 27 Jun 2011 19:58:23 +0000
Subject: [PATCH 209/410] added generic n-dimensional finite difference solver

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17814 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/fdmlinearop.cpp | 217 +++++++++++++++++++++++++------------
 1 file changed, 147 insertions(+), 70 deletions(-)

diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index ece6bc8912..351fe33f3f 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -29,10 +29,10 @@
 #include <ql/processes/hullwhiteprocess.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/processes/hybridhestonhullwhiteprocess.hpp>
-#include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/math/interpolations/bilinearinterpolation.hpp>
-#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
+#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/math/interpolations/cubicinterpolation.hpp>
+#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
@@ -57,6 +57,8 @@
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
@@ -848,90 +850,138 @@ void FdmLinearOpTest::testFdmHestonExpress() {
     }
 }
 
-void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
-    BOOST_MESSAGE("Testing FDM with Heston Hull-White model...");
 
-    SavedSettings backup;
+namespace {
 
-    const Date today = Date(28, March, 2004);
-    Settings::instance().evaluationDate() = today;
-    Date exerciseDate(28, March, 2012);
-    DayCounter dc = Actual365Fixed();
-    const Time maturity = dc.yearFraction(Settings::instance().evaluationDate(),
-                                          exerciseDate);
+    boost::shared_ptr<HybridHestonHullWhiteProcess> createHestonHullWhite(
+        Time maturity) {
 
-    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100.0)));
+        DayCounter dc = Actual365Fixed();
+        const Date today = Settings::instance().evaluationDate();
+        Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100.0)));
+
+        std::vector<Date> dates;
+        std::vector<Rate> rates, divRates;
+
+        for (Size i=0; i <= 25; ++i) {
+            dates.push_back(today+Period(i, Years));
+            rates.push_back(0.05);
+            divRates.push_back(0.02);
+        }
+
+        const Handle<YieldTermStructure> rTS(
+           boost::shared_ptr<YieldTermStructure>(new ZeroCurve(dates, rates, dc)));
+        const Handle<YieldTermStructure> qTS(
+           boost::shared_ptr<YieldTermStructure>(
+                                              new ZeroCurve(dates, divRates, dc)));
+
+        const Real v0 = 0.04;
+        boost::shared_ptr<HestonProcess> hestonProcess(
+            new HestonProcess(rTS, qTS, s0, v0, 1.0, v0*0.75, 0.4, -0.7));
+
+        boost::shared_ptr<HullWhiteForwardProcess> hwFwdProcess(
+                            new HullWhiteForwardProcess(rTS, 0.00883, 0.01));
+        hwFwdProcess->setForwardMeasureTime(maturity);
 
-    std::vector<Date> dates;
-    std::vector<Rate> rates, divRates;
+        const Real equityShortRateCorr = -0.7;
 
-    for (Size i=0; i <= 25; ++i) {
-        dates.push_back(today+Period(i, Years));
-        rates.push_back(0.05);
-        divRates.push_back(0.02);
+        return boost::shared_ptr<HybridHestonHullWhiteProcess>(
+                new HybridHestonHullWhiteProcess(hestonProcess, hwFwdProcess,
+                                                 equityShortRateCorr));
     }
 
-    const Handle<YieldTermStructure> rTS(
-       boost::shared_ptr<YieldTermStructure>(new ZeroCurve(dates, rates, dc)));
-    const Handle<YieldTermStructure> qTS(
-       boost::shared_ptr<YieldTermStructure>(
-                                          new ZeroCurve(dates, divRates, dc)));
+    FdmSolverDesc createSolverDesc(
+        const std::vector<Size>& dim,
+        const boost::shared_ptr<HybridHestonHullWhiteProcess>& process) {
 
-    const Real v0 = 0.04;
-    boost::shared_ptr<HestonProcess> hestonProcess(
-        new HestonProcess(rTS, qTS, s0, v0, 1.0, v0*0.75, 0.4, -0.7));
+        const Time maturity
+                    = process->hullWhiteProcess()->getForwardMeasureTime();
 
-    boost::shared_ptr<HullWhiteProcess> hwProcess(
-                              new HullWhiteProcess(rTS, 0.00883, 0.01));
+        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > mesher1d;
+        mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
+                new Uniform1dMesher(std::log(22.0), std::log(440.0), dim[0])));
+        mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
+                new FdmHestonVarianceMesher(dim[1], process->hestonProcess(),
+                                            maturity)));
+        mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
+                new Uniform1dMesher(-0.10, 0.20, dim[2])));
+
+        boost::shared_ptr<FdmMesher> mesher(
+                                     new FdmMesherComposite(layout, mesher1d));
+
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        std::list<std::vector<Time> > stoppingTimes;
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+            new FdmStepConditionComposite(
+                                     std::list<std::vector<Time> >(),
+                                     FdmStepConditionComposite::Conditions()));
+
+        boost::shared_ptr<StrikedTypePayoff> payoff(
+                                  new PlainVanillaPayoff(Option::Call, 160.0));
+
+        boost::shared_ptr<FdmInnerValueCalculator> calculator(
+                                       new FdmLogInnerValue(payoff, mesher, 0));
+
+        const Size tGrid = 100;
+        const Size dampingSteps = 0;
+
+        FdmSolverDesc desc = { mesher, boundaries,
+                               conditions, calculator,
+                               maturity, tGrid, dampingSteps };
+
+        return desc;
+    }
+}
+
+void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
+    BOOST_MESSAGE("Testing FDM with Heston Hull-White model...");
+
+    SavedSettings backup;
 
-    boost::shared_ptr<HullWhiteForwardProcess> hwFwdProcess(
-      new HullWhiteForwardProcess(rTS, hwProcess->a(), hwProcess->sigma()));
-    hwFwdProcess->setForwardMeasureTime(maturity);
+    const Date today = Date(28, March, 2004);
+    Settings::instance().evaluationDate() = today;
 
-    const Real equityShortRateCorr = -0.7;
-    boost::shared_ptr<HybridHestonHullWhiteProcess> jointProcess(
-        new HybridHestonHullWhiteProcess(hestonProcess, hwFwdProcess,
-                                         equityShortRateCorr));
+    Date exerciseDate(28, March, 2012);
+    const Time maturity = Actual365Fixed().yearFraction(today, exerciseDate);
 
     Size dims[] = {51, 31, 31};
     const std::vector<Size> dim(dims, dims+LENGTH(dims));
 
-    boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
+    boost::shared_ptr<HybridHestonHullWhiteProcess> jointProcess
+                                            = createHestonHullWhite(maturity);
+    FdmSolverDesc desc = createSolverDesc(dim, jointProcess);
+    boost::shared_ptr<FdmMesher> mesher = desc.mesher;
 
-    std::vector<boost::shared_ptr<Fdm1dMesher> > mesher1d;
-    mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
-            new Uniform1dMesher(std::log(22.0), std::log(440.0), dims[0])));
-    mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
-            new FdmHestonVarianceMesher(dims[1], hestonProcess, maturity)));
-    mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
-            new Uniform1dMesher(-0.10, 0.20, dims[2])));
+    boost::shared_ptr<HullWhiteForwardProcess> hwFwdProcess
+                                            = jointProcess->hullWhiteProcess();
 
-    boost::shared_ptr<FdmMesher> mesher(
-                                 new FdmMesherComposite(layout, mesher1d));
-    boost::shared_ptr<FdmLinearOpComposite> linearOp(
-        new FdmHestonHullWhiteOp(mesher, hestonProcess, hwProcess,
-                                 equityShortRateCorr));
+    boost::shared_ptr<HullWhiteProcess> hwProcess(
+        new HullWhiteProcess(jointProcess->hestonProcess()->riskFreeRate(),
+                             hwFwdProcess->a(), hwFwdProcess->sigma()));
 
-    boost::shared_ptr<StrikedTypePayoff> payoff(
-                                   new PlainVanillaPayoff(Option::Call, 160.0));
+    boost::shared_ptr<FdmLinearOpComposite> linearOp(
+        new FdmHestonHullWhiteOp(mesher,
+                                 jointProcess->hestonProcess(),
+                                 hwProcess,
+                                 jointProcess->eta()));
 
     Array rhs(mesher->layout()->size());
     const FdmLinearOpIterator endIter = mesher->layout()->end();
     for (FdmLinearOpIterator iter = mesher->layout()->begin();
         iter != endIter; ++iter) {
-            rhs[iter.index()]
-                = payoff->operator ()(std::exp(mesher->location(iter, 0)));
+            rhs[iter.index()] = desc.calculator->avgInnerValue(iter, maturity);
     }
 
-    FdmAmericanStepCondition condition(mesher,
-        boost::shared_ptr<FdmInnerValueCalculator>(
-                                     new FdmLogInnerValue(payoff, mesher, 0)));
-
     const Real theta = 0.5+std::sqrt(3.0)/6.;
     HundsdorferScheme hsEvolver(theta, 0.5, linearOp);
     FiniteDifferenceModel<HundsdorferScheme> hsModel(hsEvolver);
 
-    hsModel.rollback(rhs, maturity, 0.0, 100);
+    hsModel.rollback(rhs, maturity, 0.0, desc.timeSteps);
 
     std::vector<Real> tx, ty, tr, y;
     for (FdmLinearOpIterator iter = mesher->layout()->begin();
@@ -948,21 +998,47 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     }
 
     const Real x0 = 100;
-    for (Size k=0; k < dims[2]; ++k) {
-        Matrix ret(dims[0], dims[1]);
-        for (Size i=0; i < dims[0]; ++i)
-            for (Size j=0; j < dims[1]; ++j)
-                ret[i][j] = rhs[ i+j*dims[0]+k*dims[0]*dims[1] ];
-
-        y.push_back(BilinearInterpolation(
-                    ty.begin(), ty.end(),
-                    tx.begin(), tx.end(), ret)(v0, std::log(x0)));
+    const Real v0 = jointProcess->hestonProcess()->v0();
+    const Real r0 = jointProcess->hullWhiteProcess()->x0();
+    for (Size k=0; k < dim[2]; ++k) {
+        Matrix ret(dim[0], dim[1]);
+        for (Size i=0; i < dim[0]; ++i)
+            for (Size j=0; j < dim[1]; ++j)
+                ret[i][j] = rhs[ i+j*dim[0]+k*dim[0]*dim[1] ];
+
+        y.push_back(BicubicSpline(ty.begin(), ty.end(),
+                                  tx.begin(), tx.end(), ret)(v0, std::log(x0)));
+    }
+
+    const Real directCalc
+        = MonotonicCubicNaturalSpline(tr.begin(), tr.end(), y.begin())(r0);
+
+    std::vector<Real> x(3);
+    x[0] = std::log(x0); x[1] = v0; x[2] = r0;
+
+    Fdm3DimSolver solver3d(desc, FdmSchemeDesc::Hundsdorfer(), linearOp);
+    const Real solverCalc = solver3d.interpolateAt(x[0], x[1], x[2]);
+    const Real solverTheta = solver3d.thetaAt(x[0], x[1], x[2]);
+
+    if (std::fabs(directCalc - solverCalc) > 1e-4) {
+        QL_FAIL("Error in calculating PV for Heston Hull White Option");
     }
 
-    const Real calculated
-        = LinearInterpolation(tr.begin(), tr.end(), y.begin())(hwProcess->x0());
 
-    VanillaOption option(payoff,
+    FdmNdimSolver<3> solverNd(desc, FdmSchemeDesc::Hundsdorfer(), linearOp);
+    const Real solverNdCalc = solverNd.interpolateAt(x);
+    const Real solverNdTheta = solverNd.thetaAt(x);
+
+    if (std::fabs(solverNdCalc - solverCalc) > 1e-4) {
+        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+    }
+    if (std::fabs(solverNdTheta - solverTheta) > 1e-4) {
+        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+    }
+
+    VanillaOption option(
+            boost::shared_ptr<StrikedTypePayoff>(
+                                new PlainVanillaPayoff(Option::Call, 160.0)),
             boost::shared_ptr<Exercise>(new EuropeanExercise(exerciseDate)));
 
     const Real tol = 0.025;
@@ -979,7 +1055,7 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     // use precalculated value instead
     const Real expected = 4.73;
 
-    if (std::fabs(calculated - expected) > 3*tol) {
+    if (std::fabs(directCalc - expected) > 3*tol) {
         QL_FAIL("Error in calculating PV for Heston Hull White Option");
     }
 }
@@ -1153,6 +1229,7 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
     }
 }
 
+
 test_suite* FdmLinearOpTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("linear operator tests");
 

From b766697ebe78d867dc06a217a72b5bd57a8e7495 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 27 Jun 2011 21:34:10 +0000
Subject: [PATCH 210/410] fixed reference result

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17815 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index befb16908e..84c54e8fb4 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -588,7 +588,7 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
 
     storageOption.setPricingEngine(storageEngine);
 
-    const Real expected = 69.6914;
+    const Real expected = 69.6686;
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 2e-2) {

From 2ea6dbddb98cd34ae991abaeeb0503df68fa14a3 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 13:15:51 +0000
Subject: [PATCH 211/410] VC9 catching up with new added files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17818 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj | 12 ++++++++++++
 1 file changed, 12 insertions(+)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 9523abde40..315d038563 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7103,6 +7103,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdminnervaluecalculator.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmlinearop.hpp"
 					>
@@ -7135,6 +7143,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmmeshercomposite.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmndimsolver.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmquantohelper.cpp"
 					>

From c5eb705d8ee656aa6384571949cadd97957f221d Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 17:45:23 +0000
Subject: [PATCH 212/410] fixed inclusions to avoid unnecessary dependencies

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17820 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/inflation/yoycapfloortermpricesurface.cpp | 1 -
 ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 4 ++--
 2 files changed, 2 insertions(+), 3 deletions(-)

diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.cpp b/ql/experimental/inflation/yoycapfloortermpricesurface.cpp
index 6a850335ce..a5cac96ab4 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.cpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.cpp
@@ -18,7 +18,6 @@
 */
 
 #include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
-#include <ql/indexes/inflationindex.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
index 2e261f1140..ef46af5553 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
@@ -25,8 +25,8 @@
 #ifndef quantlib_yoy_capfloor_term_price_surface_hpp
 #define quantlib_yoy_capfloor_term_price_surface_hpp
 
-#include <ql/termstructures/inflation/inflationhelpers.hpp>
-#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
+#include <ql/indexes/inflationindex.hpp>
+#include <ql/termstructures/inflationtermstructure.hpp>
 #include <ql/experimental/inflation/polynomial2Dspline.hpp>
 
 namespace QuantLib {

From 21ee87dc1a50bd48925738d6320abdcf9bad0881 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 17:47:50 +0000
Subject: [PATCH 213/410] fixed inclusions to avoid unnecessary dependencies

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17821 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
index ef46af5553..577e090993 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
@@ -27,6 +27,7 @@
 
 #include <ql/indexes/inflationindex.hpp>
 #include <ql/termstructures/inflationtermstructure.hpp>
+#include <ql/termstructures/inflation/inflationhelpers.hpp>
 #include <ql/experimental/inflation/polynomial2Dspline.hpp>
 
 namespace QuantLib {

From d61dadf304cb7b27c0862caf12675b3893fa5f93 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 17:50:59 +0000
Subject: [PATCH 214/410] fixed inclusions to avoid unnecessary dependencies

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17822 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
index 577e090993..6a0fdcedab 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
@@ -26,7 +26,7 @@
 #define quantlib_yoy_capfloor_term_price_surface_hpp
 
 #include <ql/indexes/inflationindex.hpp>
-#include <ql/termstructures/inflationtermstructure.hpp>
+#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
 #include <ql/termstructures/inflation/inflationhelpers.hpp>
 #include <ql/experimental/inflation/polynomial2Dspline.hpp>
 

From 73b5ec9b0ae4212bd1d433acae2f4da4099da0da Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 18:01:02 +0000
Subject: [PATCH 215/410] - changed guess signature to allow for a more compact
 and clear iterative bootstrap algorithm - changed signature of minValueAfter
 and maxValueAfter to include the curve pointer and validData information:
 this will allow more effective bracketing

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17823 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../piecewiseyoyoptionletvolatility.hpp       |  35 ++++--
 .../credit/probabilitytraits.hpp              | 104 ++++++++++++------
 .../inflation/piecewiseyoyinflationcurve.hpp  |  29 ++++-
 .../inflation/piecewisezeroinflationcurve.hpp |  30 ++++-
 ql/termstructures/iterativebootstrap.hpp      |  32 ++----
 ql/termstructures/localbootstrap.hpp          |   2 +-
 ql/termstructures/yield/bootstraptraits.hpp   |  99 ++++++++++++-----
 7 files changed, 233 insertions(+), 98 deletions(-)

diff --git a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
index 4401778a1f..810c745f74 100644
--- a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
+++ b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2009 Chris Kenyon
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -46,19 +47,34 @@ namespace QuantLib {
                                     // assumptions on early options
                                     // that are _not_ quoted
         }
-        static Volatility initialGuess() {return 0.005;}
-        static Volatility guess(const YoYOptionletVolatilitySurface*,
-                                const Date &) {
+
+        template <class C>
+        static Volatility guess(Size i,
+                                const C* c,
+                                bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return 0.005;
+
+            // could/should extrapolate
             return 0.002;
         }
-        static Volatility minValueAfter(Size n,
-                                        const std::vector<Volatility> &v) {
-            return std::max(0.0, v[n-1] - 0.02); // vol cannot be negative
+
+        template <class C>
+        static Volatility minValueAfter(Size i,
+                                        const C* c,
+                                        bool validData) {
+            return std::max(0.0, c->data()[i-1] - 0.02); // vol cannot be negative
         }
-        static Volatility maxValueAfter(Size n,
-                                        const std::vector<Volatility> &v) {
-            return v[n-1] + 0.02;
+        template <class C>
+        static Volatility maxValueAfter(Size i,
+                                        const C* c,
+                                        bool validData) {
+            return c->data()[i-1] + 0.02;
         }
+
         static void updateGuess(std::vector<Volatility> &vols,
                                 Volatility level,
                                 Size i) {
@@ -198,4 +214,3 @@ namespace QuantLib {
 }
 
 #endif
-
diff --git a/ql/termstructures/credit/probabilitytraits.hpp b/ql/termstructures/credit/probabilitytraits.hpp
index 9541bedebf..1b2deadf92 100644
--- a/ql/termstructures/credit/probabilitytraits.hpp
+++ b/ql/termstructures/credit/probabilitytraits.hpp
@@ -5,7 +5,7 @@
  Copyright (C) 2008 Chris Kenyon
  Copyright (C) 2008 Roland Lichters
  Copyright (C) 2008 StatPro Italia srl
- Copyright (C) 2009 Ferdinando Ametrano
+ Copyright (C) 2009, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -56,24 +56,37 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return 1.0;
         }
-        // initial guess
-        static Real initialGuess() {
-            return 1.0/(1.0+detail::avgHazardRate*0.25);
-        }
-        // further guesses
-        static Real guess(const DefaultProbabilityTermStructure* c,
-                          const Date& d) {
+
+        // guesses
+        template <class C>
+        static Real guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return 1.0/(1.0+detail::avgHazardRate*0.25);
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->survivalProbability(d,true);
         }
+
         // possible constraints based on previous values
-        static Real minValueAfter(Size,
-                                  const std::vector<Real>&) {
+        template <class C>
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return QL_EPSILON;
         }
+        template <class C>
         static Real maxValueAfter(Size i,
-                                  const std::vector<Real>& data) {
-            return data[i-1];
+                                  const C* c,
+                                  bool validData) {
+            return c->data()[i-1];
         }
+
         // update with new guess
         static void updateGuess(std::vector<Real>& data,
                                 Probability p,
@@ -101,24 +114,39 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return detail::avgHazardRate;
         }
-        // initial guess
-        static Real initialGuess() { return detail::avgHazardRate; }
-        // further guesses
-        static Real guess(const DefaultProbabilityTermStructure* c,
-                          const Date& d) {
+
+        // guesses
+        template <class C>
+        static Real guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgHazardRate;
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->hazardRate(d, true);
         }
+
         // possible constraints based on previous values
-        static Real minValueAfter(Size,
-                                  const std::vector<Real>&) {
+        template <class C>
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return QL_EPSILON;
         }
-        static Real maxValueAfter(Size,
-                                  const std::vector<Real>&) {
+        template <class C>
+        static Real maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return 200.0;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Real>& data,
                                 Real rate,
@@ -148,24 +176,39 @@ namespace QuantLib {
         static Real initialValue(const DefaultProbabilityTermStructure*) {
             return detail::avgHazardRate;
         }
-        // initial guess
-        static Real initialGuess() { return detail::avgHazardRate; }
-        // further guesses
-        static Real guess(const DefaultProbabilityTermStructure* c,
-                          const Date& d) {
+
+        // guesses
+        template <class C>
+        static Real guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgHazardRate;
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->defaultDensity(d, true);
         }
+
         // possible constraints based on previous values
-        static Real minValueAfter(Size,
-                                  const std::vector<Real>&) {
+        template <class C>
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return QL_EPSILON;
         }
-        static Real maxValueAfter(Size,
-                                  const std::vector<Real>&) {
+        template <class C>
+        static Real maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return 3.0;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Real>& data,
                                 Real density,
@@ -180,5 +223,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
index 861e0175ac..724f1f8300 100644
--- a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2007 Chris Kenyon
  Copyright (C) 2007, 2008 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -49,18 +50,36 @@ namespace QuantLib {
         static Rate initialValue(const YoYInflationTermStructure* t) {
             return t->baseRate();
         }
-        static Rate initialGuess() { return 0.02; }
-        // further guesses
-        static Rate guess(const YoYInflationTermStructure*, const Date&) {
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return 0.02;    // initial guess at flat inflation
+
+            // could/should extrapolate
             return 0.02;    // initial guess at flat inflation
         }
+
         // possible constraints based on previous values
-        static Rate minValueAfter(Size, const std::vector<Rate>&) {
+        template <class C>
+        static Rate minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return -0.3 + QL_EPSILON;
         }
-        static Rate maxValueAfter(Size, const std::vector<Rate>&) {
+        template <class C>
+        static Rate maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return 0.5 - QL_EPSILON;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,
                                 Rate level,
diff --git a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
index d268de324f..b66e24cfdc 100644
--- a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2007 Chris Kenyon
  Copyright (C) 2007, 2008 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -49,18 +50,36 @@ namespace QuantLib {
         static Rate initialValue(const ZeroInflationTermStructure* t) {
             return t->baseRate();
         }
-        static Rate initialGuess() { return 0.02; }
-        // further guesses
-        static Rate guess(const ZeroInflationTermStructure*, const Date&) {
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return 0.02;
+
+            // could/should extrapolate
             return 0.02;    // initial guess at flat inflation
         }
+
         // possible constraints based on previous values
-        static Real minValueAfter(Size, const std::vector<Rate>&) {
+        template <class C>
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return -0.1 + QL_EPSILON;
         }
-        static Real maxValueAfter(Size, const std::vector<Rate>&) {
+        template <class C>
+        static Real maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             return 0.3 - QL_EPSILON;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,
                                 Rate level,
@@ -195,4 +214,3 @@ namespace QuantLib {
 }
 
 #endif
-
diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 8e1d69bad1..9a0a5b8563 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -114,7 +114,7 @@ namespace QuantLib {
             ts_->data_[0] = Traits::initialValue(ts_);
             // reasonable numbers needed for the starting interpolation
             for (Size i=1; i<alive_+1; ++i)
-                ts_->data_[i] = Traits::initialGuess();
+                ts_->data_[i] = Traits::guess(1, ts_, false);
         }
         initialized_ = true;
     }
@@ -149,21 +149,18 @@ namespace QuantLib {
 
                 bool validData = validCurve_ || iteration>0;
 
-                // bracket root
-                Real min = Traits::minValueAfter(i, ts_->data_);
-                Real max = Traits::maxValueAfter(i, ts_->data_);
-
-                // calculate guess and extend interpolation if needed
-                Real guess = 0.0;
-                if (validData) {
-                    guess = ts_->data_[i]; // previous iteration value
-                } else {
-                    if (i==1) // special first pillar case
-                        guess = Traits::initialGuess();
-                    else // most traits extrapolate (using only
-                         // the curve bootstrapped so far)
-                        guess = Traits::guess(ts_, ts_->dates_[i]);
+                // bracket root and calculate guess
+                Real min = Traits::minValueAfter(i, ts_, validData);
+                Real max = Traits::maxValueAfter(i, ts_, validData);
+                Real guess = Traits::guess(i, ts_, validData);
+                // adjust guess if needed
+                if (guess>=max)
+                    guess = max - (max-min)/5.0;
+                else if (guess<=min)
+                    guess = min + (max-min)/5.0;
 
+                // extend interpolation if needed
+                if (!validData) {
                     try { // extend interpolation a point at a time
                           // including the pillar to be boostrapped
                         ts_->interpolation_ = ts_->interpolator_.interpolate(
@@ -182,11 +179,6 @@ namespace QuantLib {
                         ts_->interpolation_.update();
                     }
                 }
-                // adjust guess if needed
-                if (guess>=max)
-                    guess = max - (max-min)/5.0;
-                else if (guess<=min)
-                    guess = min + (max-min)/5.0;
 
                 // the actual instrument used for the current pillar
                 boost::shared_ptr<typename Traits::helper> instrument =
diff --git a/ql/termstructures/localbootstrap.hpp b/ql/termstructures/localbootstrap.hpp
index 14ec2318af..30d3b11fdb 100644
--- a/ql/termstructures/localbootstrap.hpp
+++ b/ql/termstructures/localbootstrap.hpp
@@ -222,7 +222,7 @@ namespace QuantLib {
 
             if (iInst >= localisation_) {
                 startArray[localisation_-dataAdjust] =
-                    Traits::guess(ts_, ts_->dates_[iInst]);
+                    Traits::guess(iInst, ts_, false); // ?
             } else {
                 startArray[localisation_-dataAdjust] = ts_->data_[0];
             }
diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 065c35a478..6eaaee7eb0 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2005, 2007 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
  Copyright (C) 2007 Chris Kenyon
 
  This file is part of QuantLib, a free-software/open-source library
@@ -46,6 +47,7 @@ namespace QuantLib {
         };
         // helper class
         typedef BootstrapHelper<YieldTermStructure> helper;
+
         // start of curve data
         static Date initialDate(const YieldTermStructure* c) {
             return c->referenceDate();
@@ -54,31 +56,44 @@ namespace QuantLib {
         static DiscountFactor initialValue(const YieldTermStructure*) {
             return 1.0;
         }
-        // initial guess
-        static DiscountFactor initialGuess() {
-            return 1.0/(1.0+detail::avgRate*0.25);
-        }
-        // further guesses
-        static DiscountFactor guess(const YieldTermStructure* c,
-                                    const Date& d) {
+
+        // guesses
+        template <class C>
+        static DiscountFactor guess(Size i, 
+                                    const C* c,
+                                    bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return 1.0/(1.0+detail::avgRate*0.25);
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->discount(d,true);
         }
+
         // possible constraints based on previous values
-        static DiscountFactor minValueAfter(Size,
-                                            const std::vector<Real>&) {
+        template <class C>
+        static DiscountFactor minValueAfter(Size i,
+                                            const C* c,
+                                            bool validData) {
             return QL_EPSILON;
         }
+        template <class C>
         static DiscountFactor maxValueAfter(Size i,
-                                            const std::vector<Real>& data) {
+                                            const C* c,
+                                            bool validData) {
             #if defined(QL_NEGATIVE_RATES)
             // discount are not required to be decreasing--all bets are off.
             // We choose as max a value very unlikely to be exceeded.
             return 1.1;
             #else
             // discounts cannot increase
-            return data[i-1];
+            return c->data()[i-1];
             #endif
         }
+
         // update with new guess
         static void updateGuess(std::vector<DiscountFactor>& data,
                                 DiscountFactor discount,
@@ -107,16 +122,29 @@ namespace QuantLib {
         static Rate initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
-        // initial guess
-        static Rate initialGuess() { return detail::avgRate; }
-        // further guesses
-        static Rate guess(const YieldTermStructure* c,
-                          const Date& d) {
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgRate;
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->zeroRate(d, c->dayCounter(),
                                Continuous, Annual, true);
         }
+
         // possible constraints based on previous values
-        static Rate minValueAfter(Size, const std::vector<Real>&) {
+        template <class C>
+        static Rate minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
@@ -125,11 +153,15 @@ namespace QuantLib {
             return QL_EPSILON;
             #endif
         }
-        static Rate maxValueAfter(Size, const std::vector<Real>&) {
+        template <class C>
+        static Rate maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return detail::maxRate;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,
                                 Rate rate,
@@ -160,16 +192,29 @@ namespace QuantLib {
         static Rate initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
-        // initial guess
-        static Rate initialGuess() { return detail::avgRate; }
-        // further guesses
-        static Rate guess(const YieldTermStructure* c,
-                          const Date& d) {
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgRate;
+
+            // extrapolate
+            Date d = c->dates()[i];
             return c->forwardRate(d, d, c->dayCounter(),
                                   Continuous, Annual, true);
         }
+
         // possible constraints based on previous values
-        static Rate minValueAfter(Size, const std::vector<Real>&) {
+        template <class C>
+        static Rate minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
@@ -178,11 +223,15 @@ namespace QuantLib {
             return QL_EPSILON;
             #endif
         }
-        static Rate maxValueAfter(Size, const std::vector<Real>&) {
+        template <class C>
+        static Rate maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return detail::maxRate;
         }
+
         // update with new guess
         static void updateGuess(std::vector<Rate>& data,
                                 Rate forward,

From 9221153e4c592bb074054cf1fcb33346b5da4ad7 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 18:17:44 +0000
Subject: [PATCH 216/410] added comments

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17824 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../inflation/piecewiseyoyoptionletvolatility.hpp    | 12 +++++++++---
 1 file changed, 9 insertions(+), 3 deletions(-)

diff --git a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
index 810c745f74..f1a5c46df3 100644
--- a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
+++ b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
@@ -36,10 +36,11 @@ namespace QuantLib {
       public:
         typedef BootstrapHelper<YoYOptionletVolatilitySurface> helper;
 
-        static Size maxIterations() {return 25;}
+        // start of curve data
         static Date initialDate(const YoYOptionletVolatilitySurface *s) {
             return s->baseDate();
         }
+        // value at reference date
         static Volatility initialValue(const YoYOptionletVolatilitySurface *s) {
             return s->baseLevel();  // REALLLYYYY important because
                                     // generally don't have a clue
@@ -48,6 +49,7 @@ namespace QuantLib {
                                     // that are _not_ quoted
         }
 
+        // guesses
         template <class C>
         static Volatility guess(Size i,
                                 const C* c,
@@ -62,24 +64,28 @@ namespace QuantLib {
             return 0.002;
         }
 
+        // constraints
         template <class C>
         static Volatility minValueAfter(Size i,
                                         const C* c,
-                                        bool validData) {
+                                        bool) {
             return std::max(0.0, c->data()[i-1] - 0.02); // vol cannot be negative
         }
         template <class C>
         static Volatility maxValueAfter(Size i,
                                         const C* c,
-                                        bool validData) {
+                                        bool) {
             return c->data()[i-1] + 0.02;
         }
 
+        // root-finding update
         static void updateGuess(std::vector<Volatility> &vols,
                                 Volatility level,
                                 Size i) {
             vols[i] = level;
         }
+        // upper bound for convergence loop
+        static Size maxIterations() {return 25;}
     };
 
 

From 05271324f42f0db0018267af8904f37d3a076c6d Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 29 Jun 2011 18:48:07 +0000
Subject: [PATCH 217/410] moved solver construction out of calculate method

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17825 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 9a0a5b8563..70405deeb1 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -51,6 +51,8 @@ namespace QuantLib {
         Size n_;
         mutable Size firstInstrument_, alive_;
         mutable std::vector<Real> previousData_;
+        Brent firstSolver_;
+        FiniteDifferenceNewtonSafe solver_;
     };
 
 
@@ -138,8 +140,6 @@ namespace QuantLib {
             ts_->instruments_[j]->setTermStructure(const_cast<Curve*>(ts_));
         }
 
-        Brent firstSolver;
-        FiniteDifferenceNewtonSafe solver;
         Size maxIterations = Traits::maxIterations();
 
         for (Size iteration=0; ; ++iteration) {
@@ -186,9 +186,9 @@ namespace QuantLib {
                 try {
                     BootstrapError<Curve> error(ts_, instrument, i);
                     if (validData)
-                        solver.solve(error, ts_->accuracy_, guess, min, max);
+                        solver_.solve(error, ts_->accuracy_, guess, min, max);
                     else
-                        firstSolver.solve(error,ts_->accuracy_,guess,min,max);
+                        firstSolver_.solve(error,ts_->accuracy_,guess,min,max);
                 } catch (std::exception &e) {
                     validCurve_ = false;
                     QL_FAIL(io::ordinal(iteration+1) << " iteration: "

From 4a2265867a610b143f9068b3bc2c448a07f8c262 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 30 Jun 2011 10:11:35 +0000
Subject: [PATCH 218/410] improved min max bracketing

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17826 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../credit/probabilitytraits.hpp              |  47 +++--
 .../inflation/inflationtraits.hpp             | 180 ++++++++++++++++++
 .../inflation/piecewiseyoyinflationcurve.hpp  |  59 +-----
 .../inflation/piecewisezeroinflationcurve.hpp |  59 +-----
 ql/termstructures/yield/bootstraptraits.hpp   |  77 ++++++--
 5 files changed, 277 insertions(+), 145 deletions(-)
 create mode 100644 ql/termstructures/inflation/inflationtraits.hpp

diff --git a/ql/termstructures/credit/probabilitytraits.hpp b/ql/termstructures/credit/probabilitytraits.hpp
index 1b2deadf92..fbfeaf6412 100644
--- a/ql/termstructures/credit/probabilitytraits.hpp
+++ b/ql/termstructures/credit/probabilitytraits.hpp
@@ -37,6 +37,7 @@ namespace QuantLib {
 
     namespace detail {
         const Rate avgHazardRate = 0.01;
+        const Rate maxHazardRate = 1.0;
     }
 
     //! Survival-Probability-curve traits
@@ -48,6 +49,7 @@ namespace QuantLib {
         };
         // helper class
         typedef BootstrapHelper<DefaultProbabilityTermStructure> helper;
+
         // start of curve data
         static Date initialDate(const DefaultProbabilityTermStructure* c) {
             return c->referenceDate();
@@ -72,22 +74,26 @@ namespace QuantLib {
             Date d = c->dates()[i];
             return c->survivalProbability(d,true);
         }
-
-        // possible constraints based on previous values
+        // constraints
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
-            return QL_EPSILON;
+            if (validData) {
+                return c->data().back()/2.0;
+            }
+            Time dt = c->times()[i] - c->times()[i-1];
+            return c->data()[i-1] * std::exp(- detail::maxHazardRate * dt);
         }
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
+            // survival probability cannot increase
             return c->data()[i-1];
         }
 
-        // update with new guess
+        // root-finding update
         static void updateGuess(std::vector<Real>& data,
                                 Probability p,
                                 Size i) {
@@ -97,6 +103,8 @@ namespace QuantLib {
         static Size maxIterations() { return 50; }
     };
 
+
+
     //! Hazard-rate-curve traits
     struct HazardRate {
         // interpolated curve type
@@ -106,6 +114,7 @@ namespace QuantLib {
         };
         // helper class
         typedef BootstrapHelper<DefaultProbabilityTermStructure> helper;
+
         // start of curve data
         static Date initialDate(const DefaultProbabilityTermStructure* c) {
             return c->referenceDate();
@@ -131,34 +140,42 @@ namespace QuantLib {
             return c->hazardRate(d, true);
         }
 
-        // possible constraints based on previous values
+        // constraints
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Real r = *(std::min_element(c->data().begin(), c->data().end()));
+                return r/2.0;
+            }
             return QL_EPSILON;
         }
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                return r*2.0;
+            }
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
-            return 200.0;
+            return detail::maxHazardRate;
         }
-
         // update with new guess
         static void updateGuess(std::vector<Real>& data,
                                 Real rate,
                                 Size i) {
             data[i] = rate;
-            if (i == 1)
+            if (i==1)
                 data[0] = rate; // first point is updated as well
         }
         // upper bound for convergence loop
         static Size maxIterations() { return 30; }
     };
 
+
     //! Default-density-curve traits
     struct DefaultDensity {
         // interpolated curve type
@@ -193,20 +210,28 @@ namespace QuantLib {
             return c->defaultDensity(d, true);
         }
 
-        // possible constraints based on previous values
+        // constraints
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                return r/2.0;
+            }
             return QL_EPSILON;
         }
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                return r*2.0;
+            }
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
-            return 3.0;
+            return detail::maxHazardRate;
         }
 
         // update with new guess
@@ -214,7 +239,7 @@ namespace QuantLib {
                                 Real density,
                                 Size i) {
             data[i] = density;
-            if (i == 1)
+            if (i==1)
                 data[0] = density; // first point is updated as well
         }
         // upper bound for convergence loop
diff --git a/ql/termstructures/inflation/inflationtraits.hpp b/ql/termstructures/inflation/inflationtraits.hpp
new file mode 100644
index 0000000000..fe8c002677
--- /dev/null
+++ b/ql/termstructures/inflation/inflationtraits.hpp
@@ -0,0 +1,180 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2007 Chris Kenyon
+ Copyright (C) 2007, 2008 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file inflationtraits.hpp
+    \brief inflation bootstrap traits
+*/
+
+#ifndef ql_inflation_bootstrap_traits_hpp
+#define ql_inflation_bootstrap_traits_hpp
+
+#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
+#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
+#include <ql/termstructures/bootstraphelper.hpp>
+
+namespace QuantLib {
+
+    namespace detail {
+        const Rate avgInflation = 0.02;
+        const Rate maxInflation = 0.5;
+    }
+
+    //! Bootstrap traits to use for PiecewiseZeroInflationCurve
+    class ZeroInflationTraits {
+      public:
+        typedef BootstrapHelper<ZeroInflationTermStructure> helper;
+
+        // start of curve data
+        static Date initialDate(const ZeroInflationTermStructure* t) {
+            if (t->indexIsInterpolated()) {
+                return t->referenceDate() - t->observationLag();
+            } else {
+                return inflationPeriod(t->referenceDate() - t->observationLag(),
+                                       t->frequency()).first;
+            }
+        }
+        // value at reference date
+        static Rate initialValue(const ZeroInflationTermStructure* t) {
+            return t->baseRate();
+        }
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgInflation;
+
+            // could/should extrapolate
+            return detail::avgInflation;
+        }
+
+        // constraints
+        template <class C>
+        static Rate minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
+            if (validData) {
+                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                return r<0.0 ? r*2.0 : r/2.0;
+            }
+            return -detail::maxInflation;
+        }
+        template <class C>
+        static Rate maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                return r<0.0 ? r/2.0 : r*2.0;
+            }
+            // no constraints.
+            // We choose as max a value very unlikely to be exceeded.
+            return detail::maxInflation;
+        }
+
+        // update with new guess
+        static void updateGuess(std::vector<Rate>& data,
+                                Rate level,
+                                Size i) {
+            data[i] = level;
+        }
+        // upper bound for convergence loop
+        // calibration is trivial, should be immediate
+        static Size maxIterations() { return 5; }
+    };
+
+    //! Bootstrap traits to use for PiecewiseZeroInflationCurve
+    class YoYInflationTraits {
+      public:
+        // helper class
+        typedef BootstrapHelper<YoYInflationTermStructure> helper;
+
+        // start of curve data
+        static Date initialDate(const YoYInflationTermStructure* t) {
+            if (t->indexIsInterpolated()) {
+                return t->referenceDate() - t->observationLag();
+            } else {
+                return inflationPeriod(t->referenceDate() - t->observationLag(),
+                                       t->frequency()).first;
+            }
+        }
+        // value at reference date
+        static Rate initialValue(const YoYInflationTermStructure* t) {
+            return t->baseRate();
+        }
+
+        // guesses
+        template <class C>
+        static Rate guess(Size i,
+                          const C* c,
+                          bool validData) {
+            if (validData) // previous iteration value
+                return c->data()[i];
+
+            if (i==1) // first pillar
+                return detail::avgInflation;
+        
+            // could/should extrapolate
+            return detail::avgInflation;
+        }
+
+        // constraints
+        template <class C>
+        static Rate minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
+            if (validData) {
+                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                return r<0.0 ? r*2.0 : r/2.0;
+            }
+            return -detail::maxInflation;
+        }
+        template <class C>
+        static Rate maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                return r<0.0 ? r/2.0 : r*2.0;
+            }
+            // no constraints.
+            // We choose as max a value very unlikely to be exceeded.
+            return detail::maxInflation;
+        }
+
+        // update with new guess
+        static void updateGuess(std::vector<Rate>& data,
+                                Rate level,
+                                Size i) {
+            data[i] = level;
+        }
+        // upper bound for convergence loop
+        static Size maxIterations() { return 40; }
+    };
+
+}
+
+#endif
diff --git a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
index 724f1f8300..ac285b4b25 100644
--- a/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp
@@ -26,69 +26,12 @@
 #ifndef quantlib_piecewise_yoy_inflation_curve_hpp
 #define quantlib_piecewise_yoy_inflation_curve_hpp
 
-#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
 #include <ql/termstructures/iterativebootstrap.hpp>
+#include <ql/termstructures/inflation/inflationtraits.hpp>
 #include <ql/patterns/lazyobject.hpp>
 
 namespace QuantLib {
 
-    //! Bootstrap traits to use for PiecewiseZeroInflationCurve
-    class YoYInflationTraits {
-      public:
-        typedef BootstrapHelper<YoYInflationTermStructure> helper;
-
-        // really do need more than 25 to get 1e-12 accuracy
-        static Size maxIterations() { return 40; }
-        static Date initialDate(const YoYInflationTermStructure* t) {
-            if (t->indexIsInterpolated()) {
-                return t->referenceDate() - t->observationLag();
-            } else {
-                return inflationPeriod(t->referenceDate() - t->observationLag(),
-                                       t->frequency()).first;
-            }
-        }
-        static Rate initialValue(const YoYInflationTermStructure* t) {
-            return t->baseRate();
-        }
-
-        // guesses
-        template <class C>
-        static Rate guess(Size i,
-                          const C* c,
-                          bool validData) {
-            if (validData) // previous iteration value
-                return c->data()[i];
-
-            if (i==1) // first pillar
-                return 0.02;    // initial guess at flat inflation
-
-            // could/should extrapolate
-            return 0.02;    // initial guess at flat inflation
-        }
-
-        // possible constraints based on previous values
-        template <class C>
-        static Rate minValueAfter(Size i,
-                                  const C* c,
-                                  bool validData) {
-            return -0.3 + QL_EPSILON;
-        }
-        template <class C>
-        static Rate maxValueAfter(Size i,
-                                  const C* c,
-                                  bool validData) {
-            return 0.5 - QL_EPSILON;
-        }
-
-        // update with new guess
-        static void updateGuess(std::vector<Rate>& data,
-                                Rate level,
-                                Size i) {
-            data[i] = level;
-        }
-    };
-
-
     //! Piecewise year-on-year inflation term structure
     template <class Interpolator,
               template <class> class Bootstrap = IterativeBootstrap,
diff --git a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
index b66e24cfdc..448e6acb22 100644
--- a/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp
@@ -26,69 +26,12 @@
 #ifndef quantlib_piecewise_zero_inflation_curve_hpp
 #define quantlib_piecewise_zero_inflation_curve_hpp
 
-#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
 #include <ql/termstructures/iterativebootstrap.hpp>
+#include <ql/termstructures/inflation/inflationtraits.hpp>
 #include <ql/patterns/lazyobject.hpp>
 
 namespace QuantLib {
 
-    //! Bootstrap traits to use for PiecewiseZeroInflationCurve
-    class ZeroInflationTraits {
-      public:
-        typedef BootstrapHelper<ZeroInflationTermStructure> helper;
-
-        static Size maxIterations() { return 5; } // calibration is trivial,
-                                                  // should be immediate
-        static Date initialDate(const ZeroInflationTermStructure* t) {
-            if (t->indexIsInterpolated()) {
-                return t->referenceDate() - t->observationLag();
-            } else {
-                return inflationPeriod(t->referenceDate() - t->observationLag(),
-                                       t->frequency()).first;
-            }
-        }
-        static Rate initialValue(const ZeroInflationTermStructure* t) {
-            return t->baseRate();
-        }
-
-        // guesses
-        template <class C>
-        static Rate guess(Size i,
-                          const C* c,
-                          bool validData) {
-            if (validData) // previous iteration value
-                return c->data()[i];
-
-            if (i==1) // first pillar
-                return 0.02;
-
-            // could/should extrapolate
-            return 0.02;    // initial guess at flat inflation
-        }
-
-        // possible constraints based on previous values
-        template <class C>
-        static Real minValueAfter(Size i,
-                                  const C* c,
-                                  bool validData) {
-            return -0.1 + QL_EPSILON;
-        }
-        template <class C>
-        static Real maxValueAfter(Size i,
-                                  const C* c,
-                                  bool validData) {
-            return 0.3 - QL_EPSILON;
-        }
-
-        // update with new guess
-        static void updateGuess(std::vector<Rate>& data,
-                                Rate level,
-                                Size i) {
-            data[i] = level;
-        }
-    };
-
-
     //! Piecewise zero-inflation term structure
     template <class Interpolator,
               template <class> class Bootstrap = IterativeBootstrap,
diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 6eaaee7eb0..3e8ab4f9ee 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -66,11 +66,11 @@ namespace QuantLib {
                 return c->data()[i];
 
             if (i==1) // first pillar
-                return 1.0/(1.0+detail::avgRate*0.25);
+                return 1.0/(1.0+detail::avgRate*c->times()[1]);
 
-            // extrapolate
-            Date d = c->dates()[i];
-            return c->discount(d,true);
+            // flat rate extrapolation
+            Rate r = -std::log(c->data()[i-1])/c->times()[i-1];
+            return std::exp(-r * c->times()[i]);
         }
 
         // possible constraints based on previous values
@@ -78,23 +78,30 @@ namespace QuantLib {
         static DiscountFactor minValueAfter(Size i,
                                             const C* c,
                                             bool validData) {
-            return QL_EPSILON;
+            if (validData) {
+                #if defined(QL_NEGATIVE_RATES)
+                return *(std::min_element(c->data().begin(), c->data().end()))/2.0;
+                #else
+                return c->data().back()/2.0;
+                #endif
+            }
+            Time dt = c->times()[i] - c->times()[i-1];
+            return c->data()[i-1] * std::exp(- detail::maxRate * dt);
         }
         template <class C>
         static DiscountFactor maxValueAfter(Size i,
                                             const C* c,
                                             bool validData) {
             #if defined(QL_NEGATIVE_RATES)
-            // discount are not required to be decreasing--all bets are off.
-            // We choose as max a value very unlikely to be exceeded.
-            return 1.1;
+            Time dt = c->times()[i] - c->times()[i-1];
+            return c->data()[i-1] * std::exp(detail::maxRate * dt);
             #else
             // discounts cannot increase
             return c->data()[i-1];
             #endif
         }
 
-        // update with new guess
+        // root-finding update
         static void updateGuess(std::vector<DiscountFactor>& data,
                                 DiscountFactor discount,
                                 Size i) {
@@ -114,6 +121,7 @@ namespace QuantLib {
         };
         // helper class
         typedef BootstrapHelper<YieldTermStructure> helper;
+
         // start of curve data
         static Date initialDate(const YieldTermStructure* c) {
             return c->referenceDate();
@@ -135,16 +143,24 @@ namespace QuantLib {
                 return detail::avgRate;
 
             // extrapolate
-            Date d = c->dates()[i];
+            Date d = c->dates()[i]; 
             return c->zeroRate(d, c->dayCounter(),
                                Continuous, Annual, true);
         }
 
         // possible constraints based on previous values
         template <class C>
-        static Rate minValueAfter(Size i,
+        static Rate minValueAfter(Size,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                #if defined(QL_NEGATIVE_RATES)
+                return r<0.0 ? r*2.0 : r/2.0;
+                #else
+                return r/2.0;
+                #endif
+            }
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
@@ -154,20 +170,28 @@ namespace QuantLib {
             #endif
         }
         template <class C>
-        static Rate maxValueAfter(Size i,
+        static Rate maxValueAfter(Size,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                #if defined(QL_NEGATIVE_RATES)
+                return r<0.0 ? r/2.0 : r*2.0;
+                #else
+                return r*2.0;
+                #endif
+            }
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return detail::maxRate;
         }
 
-        // update with new guess
+        // root-finding update
         static void updateGuess(std::vector<Rate>& data,
                                 Rate rate,
                                 Size i) {
             data[i] = rate;
-            if (i == 1)
+            if (i==1)
                 data[0] = rate; // first point is updated as well
         }
         // upper bound for convergence loop
@@ -184,6 +208,7 @@ namespace QuantLib {
         };
         // helper class
         typedef BootstrapHelper<YieldTermStructure> helper;
+
         // start of curve data
         static Date initialDate(const YieldTermStructure* c) {
             return c->referenceDate();
@@ -212,9 +237,17 @@ namespace QuantLib {
 
         // possible constraints based on previous values
         template <class C>
-        static Rate minValueAfter(Size i,
+        static Rate minValueAfter(Size,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                #if defined(QL_NEGATIVE_RATES)
+                return r<0.0 ? r*2.0 : r/2.0;
+                #else
+                return r/2.0;
+                #endif
+            }
             #if defined(QL_NEGATIVE_RATES)
             // no constraints.
             // We choose as min a value very unlikely to be exceeded.
@@ -224,20 +257,28 @@ namespace QuantLib {
             #endif
         }
         template <class C>
-        static Rate maxValueAfter(Size i,
+        static Rate maxValueAfter(Size,
                                   const C* c,
                                   bool validData) {
+            if (validData) {
+                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                #if defined(QL_NEGATIVE_RATES)
+                return r<0.0 ? r/2.0 : r*2.0;
+                #else
+                return r*2.0;
+                #endif
+            }
             // no constraints.
             // We choose as max a value very unlikely to be exceeded.
             return detail::maxRate;
         }
 
-        // update with new guess
+        // root-finding update
         static void updateGuess(std::vector<Rate>& data,
                                 Rate forward,
                                 Size i) {
             data[i] = forward;
-            if (i == 1)
+            if (i==1)
                 data[0] = forward; // first point is updated as well
         }
         // upper bound for convergence loop

From fa0e8a921a165c296409f94af009c7c9a9eb16dc Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 30 Jun 2011 12:54:15 +0000
Subject: [PATCH 219/410] cleaned up code and changed unregister return value
 to Size in accord with underlying std::set behavior

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17827 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/observable.hpp | 46 +++++++++++++++++---------------------
 1 file changed, 20 insertions(+), 26 deletions(-)

diff --git a/ql/patterns/observable.hpp b/ql/patterns/observable.hpp
index 7aba7af5d3..35ea20f9f2 100644
--- a/ql/patterns/observable.hpp
+++ b/ql/patterns/observable.hpp
@@ -5,7 +5,6 @@
  Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
  Copyright (C) 2011 Ferdinando Ametrano
 
-
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
 
@@ -28,7 +27,10 @@
 #define quantlib_observable_hpp
 
 #include <ql/errors.hpp>
+#include <ql/types.hpp>
+
 #include <boost/shared_ptr.hpp>
+
 #include <set>
 
 namespace QuantLib {
@@ -50,10 +52,10 @@ namespace QuantLib {
         */
         void notifyObservers();
       private:
-        std::pair<std::set<Observer*>::iterator, bool> registerObserver(Observer*);
-        void unregisterObserver(Observer*);
-        std::set<Observer*> observers_;
         typedef std::set<Observer*>::iterator iterator;
+        std::pair<iterator, bool> registerObserver(Observer*);
+        Size unregisterObserver(Observer*);
+        std::set<Observer*> observers_;
     };
 
     //! Object that gets notified when a given observable changes
@@ -66,8 +68,9 @@ namespace QuantLib {
         Observer& operator=(const Observer&);
         virtual ~Observer();
         // observer interface
-        std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool> registerWith(const boost::shared_ptr<Observable>&);
-        void unregisterWith(const boost::shared_ptr<Observable>&);
+        std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool>
+                            registerWith(const boost::shared_ptr<Observable>&);
+        Size unregisterWith(const boost::shared_ptr<Observable>&);
         /*! This method must be implemented in derived classes. An
             instance of %Observer does not call this method directly:
             instead, it will be called by the observables the instance
@@ -108,10 +111,8 @@ namespace QuantLib {
         return observers_.insert(o);
     }
 
-    inline void Observable::unregisterObserver(Observer* o) {
-        iterator i = std::find(observers_.begin(),observers_.end(),o);
-        if (i != observers_.end())
-            observers_.erase(i);
+    inline Size Observable::unregisterObserver(Observer* o) {
+        return observers_.erase(o);
     }
 
     inline void Observable::notifyObservers() {
@@ -162,27 +163,20 @@ namespace QuantLib {
 
     inline std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool>
     Observer::registerWith(const boost::shared_ptr<Observable>& h) {
-        if (h)
+        if (h) {
             h->registerObserver(this);
-        return observables_.insert(h);
+            return observables_.insert(h);
+        }
+        return std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool>(observables_.end(), false);
     }
 
-    inline void Observer::unregisterWith(
-                                    const boost::shared_ptr<Observable>& h) {
-        if (h) {
-            for (iterator i=observables_.begin();
-                 i!=observables_.end();
-                 ++i) {
-                if (*i == h) {
-                    (*i)->unregisterObserver(this);
-                    observables_.erase(i);
-                    return;
-                }
-            }
-        }
+    inline
+    Size Observer::unregisterWith(const boost::shared_ptr<Observable>& h) {
+        if (h)
+            h->unregisterObserver(this);
+        return observables_.erase(h);
     }
 
 }
 
-
 #endif

From 29c3776c8027e868f85b7cba9bb15a1f8bf16796 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 1 Jul 2011 07:45:22 +0000
Subject: [PATCH 220/410] Removed eyesore

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17828 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/observable.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/patterns/observable.hpp b/ql/patterns/observable.hpp
index 35ea20f9f2..8d216e7065 100644
--- a/ql/patterns/observable.hpp
+++ b/ql/patterns/observable.hpp
@@ -167,7 +167,7 @@ namespace QuantLib {
             h->registerObserver(this);
             return observables_.insert(h);
         }
-        return std::pair<std::set<boost::shared_ptr<Observable> >::iterator, bool>(observables_.end(), false);
+        return std::make_pair(observables_.end(), false);
     }
 
     inline

From f6bfb356085b30935f01c37931f9d9da59ce3c5c Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 2 Jul 2011 14:30:53 +0000
Subject: [PATCH 221/410] added FDM solver and vanilla spread enngine for
 Kluge-Ornstein-Uhlenbeck process

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17829 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   5 +
 ql/experimental/finitedifferences/all.hpp     |   3 +
 .../fdklugeextouspreadengine.cpp              | 126 +++++++++++++++
 .../fdklugeextouspreadengine.hpp              |  63 ++++++++
 .../finitedifferences/fdm2dblackscholesop.cpp |   3 +-
 .../fdmextendedornsteinuhlenbeckop.cpp        |   8 +-
 .../finitedifferences/fdmklugeextouop.cpp     |  19 ++-
 .../finitedifferences/fdmklugeextouop.hpp     |  17 ++
 .../finitedifferences/fdmklugeextousolver.cpp |  69 ++++++++
 .../finitedifferences/fdmklugeextousolver.hpp |  65 ++++++++
 .../fdmklugeextouspreadinnervalue.hpp         |  84 ++++++++++
 .../finitedifferences/fdmndimsolver.hpp       |   1 +
 test-suite/swingoption.cpp                    | 153 ++++++++++++++----
 test-suite/swingoption.hpp                    |   1 +
 14 files changed, 572 insertions(+), 45 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmklugeextousolver.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmklugeextousolver.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 63c6eb6f5d..742591cc13 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -22,6 +22,7 @@ this_include_HEADERS = \
 	fdhestonrebateengine.hpp \
 	fdhestonvanillaengine.hpp \
 	fdhestonhullwhitevanillaengine.hpp \
+	fdklugeextouspreadengine.hpp \
 	fdm1dmesher.hpp \
 	fdm2dblackscholesop.hpp \
 	fdm2dblackscholessolver.hpp \
@@ -50,6 +51,8 @@ this_include_HEADERS = \
 	fdmhestonvariancemesher.hpp \
 	fdminnervaluecalculator.hpp \
 	fdmklugeextouop.hpp \
+	fdmklugeextousolver.hpp \
+	fdmklugeextouspreadinnervalue.hpp \
 	fdmlinearop.hpp \
 	fdmlinearopcomposite.hpp \
 	fdmlinearopiterator.hpp \
@@ -100,6 +103,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdhestonrebateengine.cpp \
 	fdhestonvanillaengine.cpp \
 	fdhestonhullwhitevanillaengine.cpp \
+	fdklugeextouspreadengine.cpp \
 	fdm2dblackscholesop.cpp \
 	fdm2dblackscholessolver.cpp \
 	fdm2dimsolver.cpp \
@@ -126,6 +130,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdmhestonvariancemesher.cpp \
 	fdminnervaluecalculator.cpp \
 	fdmklugeextouop.cpp \
+	fdmklugeextousolver.cpp \
 	fdmlinearoplayout.cpp \
 	fdmmeshercomposite.cpp \
 	fdmquantohelper.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 6ad74a0592..221009c7da 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -19,6 +19,7 @@
 #include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
 #include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
@@ -47,6 +48,8 @@
 #include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
new file mode 100644
index 0000000000..70af964286
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
@@ -0,0 +1,126 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+#include <ql/exercise.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
+
+namespace QuantLib {
+
+    FdKlugeExtOUSpreadEngine::FdKlugeExtOUSpreadEngine(
+        Real rho,
+        const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+        const boost::shared_ptr<YieldTermStructure>& rTS,
+        Size tGrid,
+        Size xGrid, Size yGrid, Size uGrid,
+        const FdmSchemeDesc& schemeDesc)
+    : rho_  (rho),
+      kluge_(kluge),
+      extOU_(extOU),
+      rTS_  (rTS),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      yGrid_(yGrid),
+      uGrid_(uGrid),
+      schemeDesc_(schemeDesc) {
+    }
+
+    void FdKlugeExtOUSpreadEngine::calculate() const {
+        // 1. Layout
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid_);
+        dim.push_back(uGrid_);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                            new FdmLinearOpLayout(dim));
+
+        // 2. Mesher
+        const Time maturity
+            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
+                                              arguments_.exercise->lastDate());
+        const boost::shared_ptr<StochasticProcess1D> ouProcess(
+                              kluge_->getExtendedOrnsteinUhlenbeckProcess());
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+            new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> yMesher(
+            new ExponentialJump1dMesher(yGrid_,
+                                        kluge_->beta(),
+                                        kluge_->jumpIntensity(),
+                                        kluge_->eta()));
+
+        const boost::shared_ptr<Fdm1dMesher> uMesher(
+            new FdmSimpleProcess1dMesher(uGrid_, extOU_, maturity));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(yMesher);
+        meshers.push_back(uMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
+                                   new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        boost::shared_ptr<BasketPayoff> basketPayoff =
+            boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
+        QL_REQUIRE(basketPayoff," basket payoff expected");
+
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
+            new FdmKlugeExtOUSpreadInnerValue(basketPayoff, mesher));
+
+        // 4. Step conditions
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+            FdmStepConditionComposite::vanillaComposite(
+                                DividendSchedule(), arguments_.exercise,
+                                mesher, calculator,
+                                rTS_->referenceDate(), rTS_->dayCounter());
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. set-up solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity, tGrid_, 0 };
+
+        const boost::shared_ptr<FdmKlugeExtOUSolver> solver(
+            new FdmKlugeExtOUSolver(
+                        rho_,
+                        Handle<ExtOUWithJumpsProcess>(kluge_),
+                        Handle<ExtendedOrnsteinUhlenbeckProcess>(extOU_),
+                        rTS_, solverDesc, schemeDesc_));
+
+        const Real x = kluge_->initialValues()[0];
+        const Real y = kluge_->initialValues()[1];
+        const Real u = extOU_->x0();
+
+        results_.value = solver->valueAt(x, y, u);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
new file mode 100644
index 0000000000..1b51ec0a6a
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdklugeextoutspreadengine.hpp
+    \brief Finite Differences for a simple power-gas spread option
+           Kluge process vs. extended Ornstein-Uhlenbeck process
+*/
+
+#ifndef quantlib_fd_kluge_extou_spread_engine_hpp
+#define quantlib_fd_kluge_extou_spread_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/instruments/vanillaoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class YieldTermStructure;
+    class ExtOUWithJumpsProcess;
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    class FdKlugeExtOUSpreadEngine
+        : public GenericEngine<VanillaOption::arguments,
+                               VanillaOption::results> {
+      public:
+          FdKlugeExtOUSpreadEngine(
+              Real rho,
+              const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
+              const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+              const boost::shared_ptr<YieldTermStructure>& rTS,
+              Size tGrid = 25,
+              Size xGrid = 50, Size yGrid = 10, Size uGrid=25,
+              const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Hundsdorfer());
+
+        void calculate() const;
+
+      private:
+        const Real rho_;
+        const boost::shared_ptr<ExtOUWithJumpsProcess> kluge_;
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const Size tGrid_, xGrid_, yGrid_, uGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
index 1268ea2cea..92acbff1ef 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
@@ -111,8 +111,7 @@ namespace QuantLib {
     }
 
     Disposable<Array> Fdm2dBlackScholesOp::apply(const Array& x) const {
-        return opX_.apply(x) + opY_.apply(x) + corrMapT_.apply(x) 
-                   + currentForwardRate_*x;
+        return opX_.apply(x) + opY_.apply(x) + apply_mixed(x);
     }
     
     Disposable<Array> Fdm2dBlackScholesOp::apply_mixed(const Array& x) const {
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
index 84498fd198..1fb594e695 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -41,12 +41,12 @@ namespace QuantLib {
       rTS_      (rTS),
       bcSet_    (bcSet),
       direction_(direction),
-      x_        (mesher->locations(0)),
-      dxMap_    (0, mesher),
-      dxxMap_   (SecondDerivativeOp(0, mesher)
+      x_        (mesher->locations(direction)),
+      dxMap_    (direction, mesher),
+      dxxMap_   (SecondDerivativeOp(direction, mesher)
                 .mult(0.5*square<Real>()(process_->volatility())
                   *Array(mesher->layout()->size(), 1.))),
-      mapX_     (0, mesher) {
+      mapX_     (direction, mesher) {
     }
 
     Size FdmExtendedOrnsteinUhlenbackOp::size() const {
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
index 4dc548b872..1946b5f19c 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -21,7 +21,10 @@
     \brief Kluge process (power) plus Ornstein Uhlenbeck process (gas)
 */
 
+
+#include <ql/quotes/simplequote.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
@@ -47,15 +50,21 @@ namespace QuantLib {
       bcSet_  (bcSet),
       klugeOp_(new FdmExtOUJumpOp(mesher, kluge, rTS, bcSet,
                                   integroIntegrationOrder)),
-      ouOp_   (new FdmExtendedOrnsteinUhlenbackOp(mesher, extOU,
-                                                  rTS, bcSet, 2)),
+      ouOp_   (new FdmExtendedOrnsteinUhlenbackOp(
+                  mesher, extOU,
+                  boost::shared_ptr<YieldTermStructure>(
+                      new FlatForward(rTS->referenceDate(),
+                              Handle<Quote>(boost::shared_ptr<Quote>(
+                                      new SimpleQuote(0.0))),
+                                      rTS->dayCounter())),
+                  bcSet, 2)),
       corrMap_(SecondOrderMixedDerivativeOp(0, 2, mesher).mult(
           Array(mesher->layout()->size(), rho*extOU->volatility()
                 *kluge->getExtendedOrnsteinUhlenbeckProcess()->volatility())))
     { }
 
     Size FdmKlugeExtOUOp::size() const {
-        return mesher_->layout()->dim().size();;
+        return mesher_->layout()->dim().size();
     }
 
     void FdmKlugeExtOUOp::setTime(Time t1, Time t2) {
@@ -64,11 +73,11 @@ namespace QuantLib {
     }
 
     Disposable<Array> FdmKlugeExtOUOp::apply(const Array& r) const {
-        return ouOp_->apply(r) + klugeOp_->apply(r) + apply_mixed(r);
+        return ouOp_->apply(r) + klugeOp_->apply(r) + corrMap_.apply(r);
     }
 
     Disposable<Array> FdmKlugeExtOUOp::apply_mixed(const Array& r) const {
-        return  corrMap_.apply(r);
+        return  corrMap_.apply(r) + klugeOp_->apply_mixed(r);
     }
 
     Disposable<Array> FdmKlugeExtOUOp::apply_direction(Size direction,
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index 4aec8fbbac..8beff338f5 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -38,9 +38,26 @@ namespace QuantLib {
     class FdmExtOUJumpOp;
     class FdmExtendedOrnsteinUhlenbackOp;
 
+    /*! This class describes a correlated Kluge - extended Ornstein-Uhlenbeck
+        process governed by
+        \f[
+        \begin{array}{rcl}
+            P_t &=& \exp(p_t + X_t + Y_t) \\
+            dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\
+            dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
+            \omega(J) &=& \eta e^{-\eta J} \\
+            G_t &=& \exp(g_t + U_t) \\
+            dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\
+            \rho &=& \mathrm{corr} (dW_t^x, dW_t^u)
+         \end{array}
+         \f]
+    */
+
     /*! References:
         Kluge, Timo L., 2008. Pricing Swing Options and other
         Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
+
+        http://spanderen.de/2011/06/13/vpp-pricing-i-stochastic-processes-partial-integro-differential-equation/
     */
 
     class FdmKlugeExtOUOp : public FdmLinearOpComposite {
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.cpp b/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
new file mode 100644
index 0000000000..d0e57eaa1a
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
@@ -0,0 +1,69 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmklugeextousolver.cpp
+*/
+
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
+#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
+
+namespace QuantLib {
+
+    FdmKlugeExtOUSolver::FdmKlugeExtOUSolver(
+        Real correlation,
+        const Handle<ExtOUWithJumpsProcess>& klugeProcess,
+        const Handle<ExtendedOrnsteinUhlenbeckProcess>& ouProcess,
+        const boost::shared_ptr<YieldTermStructure>& rTS,
+        const FdmSolverDesc& solverDesc,
+        const FdmSchemeDesc& schemeDesc)
+    : klugeProcess_(klugeProcess),
+      ouProcess_   (ouProcess),
+      correlation_ (correlation),
+      rTS_         (rTS),
+      solverDesc_  (solverDesc),
+      schemeDesc_  (schemeDesc) {
+        registerWith(klugeProcess_);
+        registerWith(ouProcess_);
+    }
+
+    void FdmKlugeExtOUSolver::performCalculations() const {
+        boost::shared_ptr<FdmLinearOpComposite>op(
+            new FdmKlugeExtOUOp(solverDesc_.mesher,
+                                correlation_,
+                                klugeProcess_.currentLink(),
+                                ouProcess_.currentLink(),
+                                rTS_, solverDesc_.bcSet, 32));
+
+        solver_ = boost::shared_ptr<FdmNdimSolver<3> >(
+                         new FdmNdimSolver<3>(solverDesc_, schemeDesc_, op));
+    }
+
+    Real FdmKlugeExtOUSolver::valueAt(Real x, Real y, Real z) const {
+        calculate();
+
+        std::vector<Real> u(3);
+        u[0] = x; u[1] = y; u[2] = z;
+
+        return solver_->interpolateAt(u);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
new file mode 100644
index 0000000000..c6ca3b3f56
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
@@ -0,0 +1,65 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmklugeousolver.hpp
+*/
+
+#ifndef quantlib_fdm_kluge_ou_solver_hpp
+#define quantlib_fdm_kluge_ou_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    template <Size N> class FdmNdimSolver;
+    class ExtOUWithJumpsProcess;
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    class FdmKlugeExtOUSolver : public LazyObject {
+      public:
+          FdmKlugeExtOUSolver(
+            Real correlation,
+            const Handle<ExtOUWithJumpsProcess>& klugeProcess,
+            const Handle<ExtendedOrnsteinUhlenbeckProcess>& ouProcess,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        Real valueAt(Real x, Real y, Real z) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const Handle<ExtOUWithJumpsProcess> klugeProcess_;
+        const Handle<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
+        const Real correlation_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<FdmNdimSolver<3> > solver_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp b/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp
new file mode 100644
index 0000000000..1efa0cf5c5
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp
@@ -0,0 +1,84 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdoujumpmodelinnervalue.hpp
+    \brief inner value calculator for the Ornstein Uhlenbeck
+           plus exponential jumps model (Kluge Model)
+*/
+
+#ifndef quantlib_fdm_kluge_ext_ou_spread_inner_value_hpp
+#define quantlib_fdm_kluge_ext_ou_spread_inner_value_hpp
+
+#include <ql/instruments/basketoption.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+namespace QuantLib {
+
+    class FdmKlugeExtOUSpreadInnerValue : public FdmInnerValueCalculator {
+      public:
+        typedef std::vector<std::pair<Time, Real> > Shape;
+
+        FdmKlugeExtOUSpreadInnerValue(
+                const boost::shared_ptr<BasketPayoff>& payoff,
+                const boost::shared_ptr<FdmMesher>& mesher,
+                const boost::shared_ptr<Shape>& klugeShape =
+                                                    boost::shared_ptr<Shape>(),
+                const boost::shared_ptr<Shape>& extOUShape =
+                                                    boost::shared_ptr<Shape>())
+        : payoff_(payoff),
+          mesher_(mesher),
+          klugeShape_(klugeShape),
+          extOUShape_(extOUShape) { }
+
+        Real innerValue(const FdmLinearOpIterator& iter, Time t) {
+            const Real x = mesher_->location(iter, 0);
+            const Real y = mesher_->location(iter, 1);
+            const Real u = mesher_->location(iter, 2);
+
+            Real f = 0;
+            if (klugeShape_) {
+                f = std::lower_bound(klugeShape_->begin(), klugeShape_->end(),
+                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+            }
+
+            Real g = 0;
+            if (extOUShape_) {
+                g = std::lower_bound(extOUShape_->begin(), extOUShape_->end(),
+                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+            }
+            Array a(2);
+            a[0] = std::exp(f+x+y);
+            a[1] = std::exp(g+u);
+
+            return payoff_->operator()(a);
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+
+      private:
+        const boost::shared_ptr<BasketPayoff> payoff_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<Shape> klugeShape_, extOUShape_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmndimsolver.hpp b/ql/experimental/finitedifferences/fdmndimsolver.hpp
index fc173be963..91b76f50dd 100644
--- a/ql/experimental/finitedifferences/fdmndimsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmndimsolver.hpp
@@ -26,6 +26,7 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/math/interpolations/multicubicspline.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 84c54e8fb4..3e7f4e097e 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -23,6 +23,7 @@
 #include <ql/math/functional.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
+#include <ql/instruments/basketoption.hpp>
 #include <ql/instruments/vanillaoption.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/instruments/vanillastorageoption.hpp>
@@ -43,6 +44,7 @@
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
 
 #include <boost/lambda/lambda.hpp>
 #include <deque>
@@ -51,6 +53,26 @@ using namespace QuantLib;
 using namespace boost::unit_test_framework;
 
 
+namespace {
+    boost::shared_ptr<ExtOUWithJumpsProcess> createKlugeProcess() {
+        Array x0(2);
+        x0[0] = 3.0; x0[1] = 0.0;
+
+        const Real beta = 5.0;
+        const Real eta  = 2.0;
+        const Real jumpIntensity = 1.0;
+        const Real speed = 1.0;
+        const Real volatility = 2.0;
+
+        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+            new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
+                                                 constant<Real, Real>(x0[0])));
+        return boost::shared_ptr<ExtOUWithJumpsProcess>(
+            new ExtOUWithJumpsProcess(ouProcess, x0[1], beta,
+                                      jumpIntensity, eta));
+    }
+}
+
 void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
 
     BOOST_MESSAGE("Testing extended Ornstein-Uhlenbeck process...");
@@ -148,8 +170,9 @@ void SwingOptionTest::testGemanRoncoroniProcess() {
         								  eps, zeta, d, k, tau, sig2, a, b, 
         								  theta1, theta2, theta3, psi));
 
+
     const Real speed     = 5.0;
-    const Volatility vol = std::sqrt(1.4);    
+    const Volatility vol = std::sqrt(1.4);
     const Real betaG     = 0.08;
     const Real alphaG    = 1.0;
     const Real x0G       = 1.1;
@@ -158,7 +181,7 @@ void SwingOptionTest::testGemanRoncoroniProcess() {
 
     boost::shared_ptr<StochasticProcess1D> eouProcess(
         new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
-                               ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
+                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
 
     std::vector<boost::shared_ptr<StochasticProcess1D> > processes;
     processes.push_back(grProcess);
@@ -282,29 +305,16 @@ void SwingOptionTest::testExtOUJumpVanillaEngine() {
 
     BOOST_MESSAGE("Testing finite difference pricer for the Kluge model ...");
 
-    Array x0(2);
-    x0[0] = 3.0; x0[1] = 0.0;
-
-    const Real beta = 5.0;
-    const Real eta  = 2.0;
-    const Real jumpIntensity = 1.0;
-    const Real speed = 1.0;
-    const Real volatility = 2.0;
-    const Rate irRate = 0.10;
-
-    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
-                                             constant<Real, Real>(x0[0])));
-    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
-        new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, jumpIntensity, eta));
-
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
 
     const Date today = Date::todaysDate();
     Settings::instance().evaluationDate() = today;
+
     const DayCounter dc = ActualActual();
     const Date maturityDate = today + Period(12, Months);
     const Time maturity = dc.yearFraction(today, maturityDate);
 
+    const Rate irRate = 0.1;
     boost::shared_ptr<YieldTermStructure> rTS(flatRate(today, irRate, dc));
     boost::shared_ptr<StrikedTypePayoff> payoff(
                                      new PlainVanillaPayoff(Option::Call, 30));
@@ -453,22 +463,9 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
         exerciseIndex[i] = grid.closestIndex(exerciseTimes[i]);
     }
 
-    Array x0(2);
-    x0[0] = 3.0; x0[1] = 0.0;
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
 
-    const Real beta = 5.0;
-    const Real eta  = 2.0;
-    const Real jumpIntensity = 1.0;
-    const Real speed = 1.0;
-    const Real volatility = 2.0;
     const Rate irRate = 0.1;
-
-    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
-                                             constant<Real, Real>(x0[0])));
-    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
-        new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, jumpIntensity, eta));
-
     boost::shared_ptr<YieldTermStructure> rTS(
                                 flatRate(settlementDate, irRate, dayCounter));
 
@@ -599,6 +596,93 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
 }
 
 
+void SwingOptionTest::testKlugeExtOUSpreadOption() {
+
+    BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option");
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(1, Years);
+    Time maturity = dayCounter.yearFraction(settlementDate, maturityDate);
+
+    const Real speed     = 1.0;
+    const Volatility vol = std::sqrt(1.4);
+    const Real betaG     = 0.0;
+    const Real alphaG    = 3.0;
+    const Real x0G       = 3.0;
+
+    const Rate irRate      = 0.0;
+    const Real heatRate    = 2.0;
+    const Real rho         = 0.5;
+
+    boost::shared_ptr<ExtOUWithJumpsProcess>
+                                           klugeProcess = createKlugeProcess();
+    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOUProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
+                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
+
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<Payoff> payoff(new PlainVanillaPayoff(Option::Call, 0.0));
+
+    Array spreadFactors(2);
+    spreadFactors[0] = 1.0; spreadFactors[1] = -heatRate;
+    boost::shared_ptr<BasketPayoff> basketPayoff(
+                               new AverageBasketPayoff(payoff, spreadFactors));
+
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
+
+    BasketOption option(basketPayoff, exercise);
+    option.setPricingEngine(boost::shared_ptr<PricingEngine>(
+        new FdKlugeExtOUSpreadEngine(rho,
+                                     klugeProcess, extOUProcess, rTS,
+                                     5, 200, 50, 20)));
+
+    TimeGrid grid(maturity, 50);
+    PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234ul));
+
+    GeneralStatistics npv;
+    const Size nTrails = 20000;
+    for (Size i=0; i < nTrails; ++i) {
+        Real u = extOUProcess->x0();
+        Array x = klugeProcess->initialValues();
+
+        for (Size k=0; k < grid.size()-1; ++k) {
+            const Time t = grid.at(k);
+            const Time dt = grid.dt(k);
+
+            Array dw(3);
+            dw[0] = rng.next().value;
+            dw[1] = rng.next().value;
+            dw[2] = rng.next().value;
+            x = klugeProcess->evolve(t, x, dt, dw);
+
+            const Real du = std::sqrt(1-rho*rho) * rng.next().value + rho*dw[0];
+            u = extOUProcess->evolve(t, u, dt, du);
+        }
+
+        Array p(2);
+        p[0] = x[0] + x[1]; p[1] = u;
+        npv.add((*basketPayoff)(Exp(p)));
+    }
+
+    const Real calculated = option.NPV();
+    const Real expectedMC = npv.mean();
+    const Real mcError = npv.errorEstimate();
+    if (std::fabs(expectedMC - calculated) > 3*mcError) {
+            BOOST_ERROR("Failed to reproduce referenc values"
+                       << "\n    calculated:   " << calculated
+                       << "\n    expected(MC): " << expectedMC
+                       << "\n    mc error    : " << mcError);
+
+    }
+}
+
 test_suite* SwingOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Spark-Option Test");
     suite->add(QUANTLIB_TEST_CASE(
@@ -608,13 +692,14 @@ test_suite* SwingOptionTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
     suite->add(QUANTLIB_TEST_CASE(
                           &SwingOptionTest::testFdmExponentialJump1dMesher));
-
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
     suite->add(QUANTLIB_TEST_CASE(
                             &SwingOptionTest::testExtOUJumpSwingOption));
     suite->add(QUANTLIB_TEST_CASE(
                             &SwingOptionTest::testSimpleExtOUStorageEngine));
-    
+    suite->add(QUANTLIB_TEST_CASE(
+                            &SwingOptionTest::testKlugeExtOUSpreadOption));
+
     return suite;
 }
 
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
index 2313d23b37..4e88d9d4f9 100755
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -34,6 +34,7 @@ class SwingOptionTest {
 	static void testFdmExponentialJump1dMesher();
 	static void testExtOUJumpVanillaEngine();
     static void testSimpleExtOUStorageEngine();
+    static void testKlugeExtOUSpreadOption();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From 216bad75f25f94b2875e12cdfeb7f5a2bfdbf97d Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 3 Jul 2011 15:31:44 +0000
Subject: [PATCH 222/410] improved default value

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17830 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmklugeextousolver.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.cpp b/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
index d0e57eaa1a..f5b5764736 100644
--- a/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
@@ -52,7 +52,7 @@ namespace QuantLib {
                                 correlation_,
                                 klugeProcess_.currentLink(),
                                 ouProcess_.currentLink(),
-                                rTS_, solverDesc_.bcSet, 32));
+                                rTS_, solverDesc_.bcSet, 16));
 
         solver_ = boost::shared_ptr<FdmNdimSolver<3> >(
                          new FdmNdimSolver<3>(solverDesc_, schemeDesc_, op));

From 609083a3f2e586aef5cdfdcbd776c1d51e00d555 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 13:43:24 +0000
Subject: [PATCH 223/410] improved code in update() method avoiding allocations
 and redundant initializations (moved to construction time)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17831 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/interpolations/cubicinterpolation.hpp | 346 ++++++++----------
 1 file changed, 162 insertions(+), 184 deletions(-)

diff --git a/ql/math/interpolations/cubicinterpolation.hpp b/ql/math/interpolations/cubicinterpolation.hpp
index 9c49e1799b..04f83026c1 100644
--- a/ql/math/interpolations/cubicinterpolation.hpp
+++ b/ql/math/interpolations/cubicinterpolation.hpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
- Copyright (C) 2004, 2008, 2009 Ferdinando Ametrano
+ Copyright (C) 2004, 2008, 2009, 2011 Ferdinando Ametrano
  Copyright (C) 2009 Sylvain Bertrand
 
  This file is part of QuantLib, a free-software/open-source library
@@ -356,42 +356,39 @@ namespace QuantLib {
               monotonic_(monotonic),
               leftType_(leftCondition), rightType_(rightCondition),
               leftValue_(leftConditionValue),
-              rightValue_(rightConditionValue) {}
+              rightValue_(rightConditionValue),
+              tmp_(n_), dx_(n_-1), S_(n_-1), L_(n_) {}
 
             void update() {
 
-                Array tmp(n_);
-                std::vector<Real> dx(n_-1), S(n_-1);
-
                 for (Size i=0; i<n_-1; ++i) {
-                    dx[i] = this->xBegin_[i+1] - this->xBegin_[i];
-                    S[i] = (this->yBegin_[i+1] - this->yBegin_[i])/dx[i];
+                    dx_[i] = this->xBegin_[i+1] - this->xBegin_[i];
+                    S_[i] = (this->yBegin_[i+1] - this->yBegin_[i])/dx_[i];
                 }
 
                 // first derivative approximation
                 if (da_==CubicInterpolation::Spline) {
-                    TridiagonalOperator L(n_);
                     for (Size i=1; i<n_-1; ++i) {
-                        L.setMidRow(i, dx[i], 2.0*(dx[i]+dx[i-1]), dx[i-1]);
-                        tmp[i] = 3.0*(dx[i]*S[i-1] + dx[i-1]*S[i]);
+                        L_.setMidRow(i, dx_[i], 2.0*(dx_[i]+dx_[i-1]), dx_[i-1]);
+                        tmp_[i] = 3.0*(dx_[i]*S_[i-1] + dx_[i-1]*S_[i]);
                     }
 
                     // left boundary condition
                     switch (leftType_) {
                       case CubicInterpolation::NotAKnot:
                         // ignoring end condition value
-                        L.setFirstRow(dx[1]*(dx[1]+dx[0]),
-                                      (dx[0]+dx[1])*(dx[0]+dx[1]));
-                        tmp[0] = S[0]*dx[1]*(2.0*dx[1]+3.0*dx[0]) +
-                                 S[1]*dx[0]*dx[0];
+                        L_.setFirstRow(dx_[1]*(dx_[1]+dx_[0]),
+                                      (dx_[0]+dx_[1])*(dx_[0]+dx_[1]));
+                        tmp_[0] = S_[0]*dx_[1]*(2.0*dx_[1]+3.0*dx_[0]) +
+                                 S_[1]*dx_[0]*dx_[0];
                         break;
                       case CubicInterpolation::FirstDerivative:
-                        L.setFirstRow(1.0, 0.0);
-                        tmp[0] = leftValue_;
+                        L_.setFirstRow(1.0, 0.0);
+                        tmp_[0] = leftValue_;
                         break;
                       case CubicInterpolation::SecondDerivative:
-                        L.setFirstRow(2.0, 1.0);
-                        tmp[0] = 3.0*S[0] - leftValue_*dx[0]/2.0;
+                        L_.setFirstRow(2.0, 1.0);
+                        tmp_[0] = 3.0*S_[0] - leftValue_*dx_[0]/2.0;
                         break;
                       case CubicInterpolation::Periodic:
                       case CubicInterpolation::Lagrange:
@@ -405,18 +402,18 @@ namespace QuantLib {
                     switch (rightType_) {
                       case CubicInterpolation::NotAKnot:
                         // ignoring end condition value
-                        L.setLastRow(-(dx[n_-2]+dx[n_-3])*(dx[n_-2]+dx[n_-3]),
-                                     -dx[n_-3]*(dx[n_-3]+dx[n_-2]));
-                        tmp[n_-1] = -S[n_-3]*dx[n_-2]*dx[n_-2] -
-                                     S[n_-2]*dx[n_-3]*(3.0*dx[n_-2]+2.0*dx[n_-3]);
+                        L_.setLastRow(-(dx_[n_-2]+dx_[n_-3])*(dx_[n_-2]+dx_[n_-3]),
+                                     -dx_[n_-3]*(dx_[n_-3]+dx_[n_-2]));
+                        tmp_[n_-1] = -S_[n_-3]*dx_[n_-2]*dx_[n_-2] -
+                                     S_[n_-2]*dx_[n_-3]*(3.0*dx_[n_-2]+2.0*dx_[n_-3]);
                         break;
                       case CubicInterpolation::FirstDerivative:
-                        L.setLastRow(0.0, 1.0);
-                        tmp[n_-1] = rightValue_;
+                        L_.setLastRow(0.0, 1.0);
+                        tmp_[n_-1] = rightValue_;
                         break;
                       case CubicInterpolation::SecondDerivative:
-                        L.setLastRow(1.0, 2.0);
-                        tmp[n_-1] = 3.0*S[n_-2] + rightValue_*dx[n_-2]/2.0;
+                        L_.setLastRow(1.0, 2.0);
+                        tmp_[n_-1] = 3.0*S_[n_-2] + rightValue_*dx_[n_-2]/2.0;
                         break;
                       case CubicInterpolation::Periodic:
                       case CubicInterpolation::Lagrange:
@@ -427,117 +424,97 @@ namespace QuantLib {
                     }
 
                     // solve the system
-                    tmp = L.solveFor(tmp);
+                    tmp_ = L_.solveFor(tmp_);
                 } else if (da_==CubicInterpolation::SplineOM1) {
-                    Matrix T_,S_,Up_,Us_,Z_,I_,V_,W_,Q_,J_;
-                    T_=Matrix(n_-2,n_,0.0);
+                    Matrix T_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
-                        T_[i][i]=dx[i]/6.0;
-                        T_[i][i+1]=(dx[i+1]+dx[i])/3.0;
-                        T_[i][i+2]=dx[i+1]/6.0;
+                        T_[i][i]=dx_[i]/6.0;
+                        T_[i][i+1]=(dx_[i+1]+dx_[i])/3.0;
+                        T_[i][i+2]=dx_[i+1]/6.0;
                     }
-                    S_=Matrix(n_-2,n_,0.0);
+                    Matrix S_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
-                        S_[i][i]=1.0/dx[i];
-                        S_[i][i+1]=-(1.0/dx[i+1]+1.0/dx[i]);
-                        S_[i][i+2]=1.0/dx[i+1];
+                        S_[i][i]=1.0/dx_[i];
+                        S_[i][i+1]=-(1.0/dx_[i+1]+1.0/dx_[i]);
+                        S_[i][i+2]=1.0/dx_[i+1];
                     }
-                    Up_=Matrix(n_,2,0.0);
+                    Matrix Up_(n_, 2, 0.0);
                     Up_[0][0]=1;
                     Up_[n_-1][1]=1;
-                    Us_=Matrix(n_,n_-2,0.0);
-                    for (Size i=0; i<n_-2; ++i) {
+                    Matrix Us_(n_, n_-2, 0.0);
+                    for (Size i=0; i<n_-2; ++i)
                         Us_[i+1][i]=1;
-                    }
-                    Z_=Matrix(n_,n_-2);
-                    Z_=Us_*inverse(T_*Us_);
-                    I_=Matrix(n_,n_,0.0);
-                    for (Size i=0; i<n_; ++i) {
+                    Matrix Z_ = Us_*inverse(T_*Us_);
+                    Matrix I_(n_, n_, 0.0);
+                    for (Size i=0; i<n_; ++i)
                         I_[i][i]=1;
-                    }
-                    V_=Matrix(n_,2);
-                    V_=(I_-Z_*T_)*Up_;
-                    W_=Matrix(n_,n_);
-                    W_=Z_*S_;
-                    Q_=Matrix(n_,n_,0.0);
-                    Q_[0][0]=1.0/(n_-1)*dx[0]*dx[0]*dx[0];
-                    Q_[0][1]=7.0/8*1.0/(n_-1)*dx[0]*dx[0]*dx[0];
+                    Matrix V_ = (I_-Z_*T_)*Up_;
+                    Matrix W_ = Z_*S_;
+                    Matrix Q_(n_, n_, 0.0);
+                    Q_[0][0]=1.0/(n_-1)*dx_[0]*dx_[0]*dx_[0];
+                    Q_[0][1]=7.0/8*1.0/(n_-1)*dx_[0]*dx_[0]*dx_[0];
                     for (Size i=1; i<n_-1; ++i) {
-                        Q_[i][i-1]=7.0/8*1.0/(n_-1)*dx[i-1]*dx[i-1]*dx[i-1];
-                        Q_[i][i]=1.0/(n_-1)*dx[i]*dx[i]*dx[i]+1.0/(n_-1)*dx[i-1]*dx[i-1]*dx[i-1];
-                        Q_[i][i+1]=7.0/8*1.0/(n_-1)*dx[i]*dx[i]*dx[i];
+                        Q_[i][i-1]=7.0/8*1.0/(n_-1)*dx_[i-1]*dx_[i-1]*dx_[i-1];
+                        Q_[i][i]=1.0/(n_-1)*dx_[i]*dx_[i]*dx_[i]+1.0/(n_-1)*dx_[i-1]*dx_[i-1]*dx_[i-1];
+                        Q_[i][i+1]=7.0/8*1.0/(n_-1)*dx_[i]*dx_[i]*dx_[i];
                     }
-                    Q_[n_-1][n_-2]=7.0/8*1.0/(n_-1)*dx[n_-2]*dx[n_-2]*dx[n_-2];
-                    Q_[n_-1][n_-1]=1.0/(n_-1)*dx[n_-2]*dx[n_-2]*dx[n_-2];
-                    J_=Matrix(n_,n_);
-                    J_=(I_-V_*inverse(transpose(V_)*Q_*V_)*transpose(V_)*Q_)*W_;
+                    Q_[n_-1][n_-2]=7.0/8*1.0/(n_-1)*dx_[n_-2]*dx_[n_-2]*dx_[n_-2];
+                    Q_[n_-1][n_-1]=1.0/(n_-1)*dx_[n_-2]*dx_[n_-2]*dx_[n_-2];
+                    Matrix J_ = (I_-V_*inverse(transpose(V_)*Q_*V_)*transpose(V_)*Q_)*W_;
                     Array Y_(n_);
-                    Array D_(n_);
-                    for (Size i=0; i<n_; ++i) {
+                    for (Size i=0; i<n_; ++i)
                         Y_[i]=this->yBegin_[i];
-                    }
-                    D_=J_*Y_;
-                    for (Size i=0; i<n_-1; ++i) {
-                        tmp[i]=(Y_[i+1]-Y_[i])/dx[i]-(2.0*D_[i]+D_[i+1])*dx[i]/6.0;
-                    }
-                    tmp[n_-1]=tmp[n_-2]+D_[n_-2]*dx[n_-2]+(D_[n_-1]-D_[n_-2])*dx[n_-2]/2.0;
+                    Array D_ = J_*Y_;
+                    for (Size i=0; i<n_-1; ++i)
+                        tmp_[i]=(Y_[i+1]-Y_[i])/dx_[i]-(2.0*D_[i]+D_[i+1])*dx_[i]/6.0;
+                    tmp_[n_-1]=tmp_[n_-2]+D_[n_-2]*dx_[n_-2]+(D_[n_-1]-D_[n_-2])*dx_[n_-2]/2.0;
 
                 } else if (da_==CubicInterpolation::SplineOM2) {
-                    Matrix T_,S_,Up_,Us_,Z_,I_,V_,W_,Q_,J_;
-                    T_=Matrix(n_-2,n_,0.0);
+                    Matrix T_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
-                        T_[i][i]=dx[i]/6.0;
-                        T_[i][i+1]=(dx[i]+dx[i+1])/3.0;
-                        T_[i][i+2]=dx[i+1]/6.0;
+                        T_[i][i]=dx_[i]/6.0;
+                        T_[i][i+1]=(dx_[i]+dx_[i+1])/3.0;
+                        T_[i][i+2]=dx_[i+1]/6.0;
                     }
-                    S_=Matrix(n_-2,n_,0.0);
+                    Matrix S_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
-                        S_[i][i]=1.0/dx[i];
-                        S_[i][i+1]=-(1.0/dx[i+1]+1.0/dx[i]);
-                        S_[i][i+2]=1.0/dx[i+1];
+                        S_[i][i]=1.0/dx_[i];
+                        S_[i][i+1]=-(1.0/dx_[i+1]+1.0/dx_[i]);
+                        S_[i][i+2]=1.0/dx_[i+1];
                     }
-                    Up_=Matrix(n_,2,0.0);
+                    Matrix Up_(n_, 2, 0.0);
                     Up_[0][0]=1;
                     Up_[n_-1][1]=1;
-                    Us_=Matrix(n_,n_-2,0.0);
-                    for (Size i=0; i<n_-2; ++i) {
+                    Matrix Us_(n_, n_-2, 0.0);
+                    for (Size i=0; i<n_-2; ++i)
                         Us_[i+1][i]=1;
-                    }
-                    Z_=Matrix(n_,n_-2);
-                    Z_=Us_*inverse(T_*Us_);
-                    I_=Matrix(n_,n_,0.0);
-                    for (Size i=0; i<n_; ++i) {
+                    Matrix Z_ = Us_*inverse(T_*Us_);
+                    Matrix I_(n_, n_, 0.0);
+                    for (Size i=0; i<n_; ++i)
                         I_[i][i]=1;
-                    }
-                    V_=Matrix(n_,2);
-                    V_=(I_-Z_*T_)*Up_;
-                    W_=Matrix(n_,n_);
-                    W_=Z_*S_;
-                    Q_=Matrix(n_,n_,0.0);
-                    Q_[0][0]=1.0/(n_-1)*dx[0];
-                    Q_[0][1]=1.0/2*1.0/(n_-1)*dx[0];
+                    Matrix V_ = (I_-Z_*T_)*Up_;
+                    Matrix W_ = Z_*S_;
+                    Matrix Q_(n_, n_, 0.0);
+                    Q_[0][0]=1.0/(n_-1)*dx_[0];
+                    Q_[0][1]=1.0/2*1.0/(n_-1)*dx_[0];
                     for (Size i=1; i<n_-1; ++i) {
-                        Q_[i][i-1]=1.0/2*1.0/(n_-1)*dx[i-1];
-                        Q_[i][i]=1.0/(n_-1)*dx[i]+1.0/(n_-1)*dx[i-1];
-                        Q_[i][i+1]=1.0/2*1.0/(n_-1)*dx[i];
+                        Q_[i][i-1]=1.0/2*1.0/(n_-1)*dx_[i-1];
+                        Q_[i][i]=1.0/(n_-1)*dx_[i]+1.0/(n_-1)*dx_[i-1];
+                        Q_[i][i+1]=1.0/2*1.0/(n_-1)*dx_[i];
                     }
-                    Q_[n_-1][n_-2]=1.0/2*1.0/(n_-1)*dx[n_-2];
-                    Q_[n_-1][n_-1]=1.0/(n_-1)*dx[n_-2];
-                    J_=Matrix(n_,n_);
-                    J_=(I_-V_*inverse(transpose(V_)*Q_*V_)*transpose(V_)*Q_)*W_;
+                    Q_[n_-1][n_-2]=1.0/2*1.0/(n_-1)*dx_[n_-2];
+                    Q_[n_-1][n_-1]=1.0/(n_-1)*dx_[n_-2];
+                    Matrix J_ = (I_-V_*inverse(transpose(V_)*Q_*V_)*transpose(V_)*Q_)*W_;
                     Array Y_(n_);
-                    Array D_(n_);
-                    for (Size i=0; i<n_; ++i) {
+                    for (Size i=0; i<n_; ++i)
                         Y_[i]=this->yBegin_[i];
-                    }
-                    D_=J_*Y_;
-                    for (Size i=0; i<n_-1; ++i) {
-                        tmp[i]=(Y_[i+1]-Y_[i])/dx[i]-(2.0*D_[i]+D_[i+1])*dx[i]/6.0;
-                    }
-                    tmp[n_-1]=tmp[n_-2]+D_[n_-2]*dx[n_-2]+(D_[n_-1]-D_[n_-2])*dx[n_-2]/2.0;
+                    Array D_ = J_*Y_;
+                    for (Size i=0; i<n_-1; ++i)
+                        tmp_[i]=(Y_[i+1]-Y_[i])/dx_[i]-(2.0*D_[i]+D_[i+1])*dx_[i]/6.0;
+                    tmp_[n_-1]=tmp_[n_-2]+D_[n_-2]*dx_[n_-2]+(D_[n_-1]-D_[n_-2])*dx_[n_-2]/2.0;
                 } else { // local schemes
                     if (n_==2)
-                        tmp[0] = tmp[1] = S[0];
+                        tmp_[0] = tmp_[1] = S_[0];
                     else {
                         switch (da_) {
                             case CubicInterpolation::FourthOrder:
@@ -545,58 +522,56 @@ namespace QuantLib {
                                 break;
                             case CubicInterpolation::Parabolic:
                                 // intermediate points
-                                for (Size i=1; i<n_-1; ++i) {
-                                    tmp[i] = (dx[i-1]*S[i]+dx[i]*S[i-1])/(dx[i]+dx[i-1]);
-                                }
+                                for (Size i=1; i<n_-1; ++i)
+                                    tmp_[i] = (dx_[i-1]*S_[i]+dx_[i]*S_[i-1])/(dx_[i]+dx_[i-1]);
                                 // end points
-                                tmp[0]    = ((2.0*dx[   0]+dx[   1])*S[   0] - dx[   0]*S[   1]) / (dx[   0]+dx[   1]);
-                                tmp[n_-1] = ((2.0*dx[n_-2]+dx[n_-3])*S[n_-2] - dx[n_-2]*S[n_-3]) / (dx[n_-2]+dx[n_-3]);
+                                tmp_[0]    = ((2.0*dx_[   0]+dx_[   1])*S_[   0] - dx_[   0]*S_[   1]) / (dx_[   0]+dx_[   1]);
+                                tmp_[n_-1] = ((2.0*dx_[n_-2]+dx_[n_-3])*S_[n_-2] - dx_[n_-2]*S_[n_-3]) / (dx_[n_-2]+dx_[n_-3]);
                                 break;
                             case CubicInterpolation::FritschButland:
                                 // intermediate points
                                 for (Size i=1; i<n_-1; ++i) {
-                                    Real Smin = std::min(S[i-1], S[i]);
-                                    Real Smax = std::max(S[i-1], S[i]);
-                                    tmp[i] = 3.0*Smin*Smax/(Smax+2.0*Smin);
+                                    Real Smin = std::min(S_[i-1], S_[i]);
+                                    Real Smax = std::max(S_[i-1], S_[i]);
+                                    tmp_[i] = 3.0*Smin*Smax/(Smax+2.0*Smin);
                                 }
                                 // end points
-                                tmp[0]    = ((2.0*dx[   0]+dx[   1])*S[   0] - dx[   0]*S[   1]) / (dx[   0]+dx[   1]);
-                                tmp[n_-1] = ((2.0*dx[n_-2]+dx[n_-3])*S[n_-2] - dx[n_-2]*S[n_-3]) / (dx[n_-2]+dx[n_-3]);
+                                tmp_[0]    = ((2.0*dx_[   0]+dx_[   1])*S_[   0] - dx_[   0]*S_[   1]) / (dx_[   0]+dx_[   1]);
+                                tmp_[n_-1] = ((2.0*dx_[n_-2]+dx_[n_-3])*S_[n_-2] - dx_[n_-2]*S_[n_-3]) / (dx_[n_-2]+dx_[n_-3]);
                                 break;
                             case CubicInterpolation::Akima:
-                                tmp[0] = (std::abs(S[1]-S[0])*2*S[0]*S[1]+std::abs(2*S[0]*S[1]-4*S[0]*S[0]*S[1])*S[0])/(std::abs(S[1]-S[0])+std::abs(2*S[0]*S[1]-4*S[0]*S[0]*S[1]));
-                                tmp[1] = (std::abs(S[2]-S[1])*S[0]+std::abs(S[0]-2*S[0]*S[1])*S[1])/(std::abs(S[2]-S[1])+std::abs(S[0]-2*S[0]*S[1]));
+                                tmp_[0] = (std::abs(S_[1]-S_[0])*2*S_[0]*S_[1]+std::abs(2*S_[0]*S_[1]-4*S_[0]*S_[0]*S_[1])*S_[0])/(std::abs(S_[1]-S_[0])+std::abs(2*S_[0]*S_[1]-4*S_[0]*S_[0]*S_[1]));
+                                tmp_[1] = (std::abs(S_[2]-S_[1])*S_[0]+std::abs(S_[0]-2*S_[0]*S_[1])*S_[1])/(std::abs(S_[2]-S_[1])+std::abs(S_[0]-2*S_[0]*S_[1]));
                                 for (Size i=2; i<n_-2; ++i) {
-                                    if ((S[i-2]==S[i-1]) && (S[i]!=S[i+1])) {
-                                        tmp[i] = S[i-1];
-                                    } else if ((S[i-2]!=S[i-1]) && (S[i]==S[i+1])) {
-                                        tmp[i] = S[i];
-                                    } else if (S[i]==S[i-1]) {
-                                        tmp[i] = S[i];
-                                    } else if ((S[i-2]==S[i-1]) && (S[i-1]!=S[i]) && (S[i]==S[i+1])) {
-                                        tmp[i] = (S[i-1]+S[i])/2.0;
-                                    } else {
-                                        tmp[i] = (std::abs(S[i+1]-S[i])*S[i-1]+std::abs(S[i-1]-S[i-2])*S[i])/(std::abs(S[i+1]-S[i])+std::abs(S[i-1]-S[i-2]));
-                                    }
+                                    if ((S_[i-2]==S_[i-1]) && (S_[i]!=S_[i+1]))
+                                        tmp_[i] = S_[i-1];
+                                    else if ((S_[i-2]!=S_[i-1]) && (S_[i]==S_[i+1]))
+                                        tmp_[i] = S_[i];
+                                    else if (S_[i]==S_[i-1])
+                                        tmp_[i] = S_[i];
+                                    else if ((S_[i-2]==S_[i-1]) && (S_[i-1]!=S_[i]) && (S_[i]==S_[i+1]))
+                                        tmp_[i] = (S_[i-1]+S_[i])/2.0;
+                                    else
+                                        tmp_[i] = (std::abs(S_[i+1]-S_[i])*S_[i-1]+std::abs(S_[i-1]-S_[i-2])*S_[i])/(std::abs(S_[i+1]-S_[i])+std::abs(S_[i-1]-S_[i-2]));
                                  }
-                                 tmp[n_-2] = (std::abs(2*S[n_-2]*S[n_-3]-S[n_-2])*S[n_-3]+std::abs(S[n_-3]-S[n_-4])*S[n_-2])/(std::abs(2*S[n_-2]*S[n_-3]-S[n_-2])+std::abs(S[n_-3]-S[n_-4]));
-                                 tmp[n_-1] = (std::abs(4*S[n_-2]*S[n_-2]*S[n_-3]-2*S[n_-2]*S[n_-3])*S[n_-2]+std::abs(S[n_-2]-S[n_-3])*2*S[n_-2]*S[n_-3])/(std::abs(4*S[n_-2]*S[n_-2]*S[n_-3]-2*S[n_-2]*S[n_-3])+std::abs(S[n_-2]-S[n_-3]));
+                                 tmp_[n_-2] = (std::abs(2*S_[n_-2]*S_[n_-3]-S_[n_-2])*S_[n_-3]+std::abs(S_[n_-3]-S_[n_-4])*S_[n_-2])/(std::abs(2*S_[n_-2]*S_[n_-3]-S_[n_-2])+std::abs(S_[n_-3]-S_[n_-4]));
+                                 tmp_[n_-1] = (std::abs(4*S_[n_-2]*S_[n_-2]*S_[n_-3]-2*S_[n_-2]*S_[n_-3])*S_[n_-2]+std::abs(S_[n_-2]-S_[n_-3])*2*S_[n_-2]*S_[n_-3])/(std::abs(4*S_[n_-2]*S_[n_-2]*S_[n_-3]-2*S_[n_-2]*S_[n_-3])+std::abs(S_[n_-2]-S_[n_-3]));
                                  break;
                             case CubicInterpolation::Kruger:
                                 // intermediate points
                                 for (Size i=1; i<n_-1; ++i) {
-                                    if (S[i-1]*S[i]<0.0)
+                                    if (S_[i-1]*S_[i]<0.0)
                                         // slope changes sign at point
-                                        tmp[i] = 0.0;
+                                        tmp_[i] = 0.0;
                                     else
                                         // slope will be between the slopes of the adjacent
                                         // straight lines and should approach zero if the
                                         // slope of either line approaches zero
-                                        tmp[i] = 2.0/(1.0/S[i-1]+1.0/S[i]);
+                                        tmp_[i] = 2.0/(1.0/S_[i-1]+1.0/S_[i]);
                                 }
                                 // end points
-                                tmp[0] = (3.0*S[0]-tmp[1])/2.0;
-                                tmp[n_-1] = (3.0*S[n_-2]-tmp[n_-2])/2.0;
+                                tmp_[0] = (3.0*S_[0]-tmp_[1])/2.0;
+                                tmp_[n_-1] = (3.0*S_[n_-2]-tmp_[n_-2])/2.0;
                                 break;
                             default:
                                 QL_FAIL("unknown scheme");
@@ -612,64 +587,64 @@ namespace QuantLib {
                     Real pm, pu, pd, M;
                     for (Size i=0; i<n_; ++i) {
                         if (i==0) {
-                            if (tmp[i]*S[0]>0.0) {
-                                correction = tmp[i]/std::fabs(tmp[i]) *
-                                    std::min<Real>(std::fabs(tmp[i]),
-                                                   std::fabs(3.0*S[0]));
+                            if (tmp_[i]*S_[0]>0.0) {
+                                correction = tmp_[i]/std::fabs(tmp_[i]) *
+                                    std::min<Real>(std::fabs(tmp_[i]),
+                                                   std::fabs(3.0*S_[0]));
                             } else {
                                 correction = 0.0;
                             }
-                            if (correction!=tmp[i]) {
-                                tmp[i] = correction;
+                            if (correction!=tmp_[i]) {
+                                tmp_[i] = correction;
                                 monotonicityAdjustments_[i] = true;
                             }
                         } else if (i==n_-1) {
-                            if (tmp[i]*S[n_-2]>0.0) {
-                                correction = tmp[i]/std::fabs(tmp[i]) *
-                                    std::min<Real>(std::fabs(tmp[i]),
-                                                   std::fabs(3.0*S[n_-2]));
+                            if (tmp_[i]*S_[n_-2]>0.0) {
+                                correction = tmp_[i]/std::fabs(tmp_[i]) *
+                                    std::min<Real>(std::fabs(tmp_[i]),
+                                                   std::fabs(3.0*S_[n_-2]));
                             } else {
                                 correction = 0.0;
                             }
-                            if (correction!=tmp[i]) {
-                                tmp[i] = correction;
+                            if (correction!=tmp_[i]) {
+                                tmp_[i] = correction;
                                 monotonicityAdjustments_[i] = true;
                             }
                         } else {
-                            pm=(S[i-1]*dx[i]+S[i]*dx[i-1])/
-                                (dx[i-1]+dx[i]);
-                            M = 3.0 * std::min(std::min(std::fabs(S[i-1]),
-                                                        std::fabs(S[i])),
+                            pm=(S_[i-1]*dx_[i]+S_[i]*dx_[i-1])/
+                                (dx_[i-1]+dx_[i]);
+                            M = 3.0 * std::min(std::min(std::fabs(S_[i-1]),
+                                                        std::fabs(S_[i])),
                                                std::fabs(pm));
                             if (i>1) {
-                                if ((S[i-1]-S[i-2])*(S[i]-S[i-1])>0.0) {
-                                    pd=(S[i-1]*(2.0*dx[i-1]+dx[i-2])
-                                        -S[i-2]*dx[i-1])/
-                                        (dx[i-2]+dx[i-1]);
-                                    if (pm*pd>0.0 && pm*(S[i-1]-S[i-2])>0.0) {
+                                if ((S_[i-1]-S_[i-2])*(S_[i]-S_[i-1])>0.0) {
+                                    pd=(S_[i-1]*(2.0*dx_[i-1]+dx_[i-2])
+                                        -S_[i-2]*dx_[i-1])/
+                                        (dx_[i-2]+dx_[i-1]);
+                                    if (pm*pd>0.0 && pm*(S_[i-1]-S_[i-2])>0.0) {
                                         M = std::max<Real>(M, 1.5*std::min(
                                                 std::fabs(pm),std::fabs(pd)));
                                     }
                                 }
                             }
                             if (i<n_-2) {
-                                if ((S[i]-S[i-1])*(S[i+1]-S[i])>0.0) {
-                                    pu=(S[i]*(2.0*dx[i]+dx[i+1])-S[i+1]*dx[i])/
-                                        (dx[i]+dx[i+1]);
-                                    if (pm*pu>0.0 && -pm*(S[i]-S[i-1])>0.0) {
+                                if ((S_[i]-S_[i-1])*(S_[i+1]-S_[i])>0.0) {
+                                    pu=(S_[i]*(2.0*dx_[i]+dx_[i+1])-S_[i+1]*dx_[i])/
+                                        (dx_[i]+dx_[i+1]);
+                                    if (pm*pu>0.0 && -pm*(S_[i]-S_[i-1])>0.0) {
                                         M = std::max<Real>(M, 1.5*std::min(
                                                 std::fabs(pm),std::fabs(pu)));
                                     }
                                 }
                             }
-                            if (tmp[i]*pm>0.0) {
-                                correction = tmp[i]/std::fabs(tmp[i]) *
-                                    std::min(std::fabs(tmp[i]), M);
+                            if (tmp_[i]*pm>0.0) {
+                                correction = tmp_[i]/std::fabs(tmp_[i]) *
+                                    std::min(std::fabs(tmp_[i]), M);
                             } else {
                                 correction = 0.0;
                             }
-                            if (correction!=tmp[i]) {
-                                tmp[i] = correction;
+                            if (correction!=tmp_[i]) {
+                                tmp_[i] = correction;
                                 monotonicityAdjustments_[i] = true;
                             }
                         }
@@ -679,47 +654,50 @@ namespace QuantLib {
 
                 // cubic coefficients
                 for (Size i=0; i<n_-1; ++i) {
-                    a_[i] = tmp[i];
-                    b_[i] = (3.0*S[i] - tmp[i+1] - 2.0*tmp[i])/dx[i];
-                    c_[i] = (tmp[i+1] + tmp[i] - 2.0*S[i])/(dx[i]*dx[i]);
+                    a_[i] = tmp_[i];
+                    b_[i] = (3.0*S_[i] - tmp_[i+1] - 2.0*tmp_[i])/dx_[i];
+                    c_[i] = (tmp_[i+1] + tmp_[i] - 2.0*S_[i])/(dx_[i]*dx_[i]);
                 }
 
                 primitiveConst_[0] = 0.0;
                 for (Size i=1; i<n_-1; ++i) {
                     primitiveConst_[i] = primitiveConst_[i-1]
-                        + dx[i-1] *
-                        (this->yBegin_[i-1] + dx[i-1] *
-                         (a_[i-1]/2.0 + dx[i-1] *
-                          (b_[i-1]/3.0 + dx[i-1] * c_[i-1]/4.0)));
+                        + dx_[i-1] *
+                        (this->yBegin_[i-1] + dx_[i-1] *
+                         (a_[i-1]/2.0 + dx_[i-1] *
+                          (b_[i-1]/3.0 + dx_[i-1] * c_[i-1]/4.0)));
                 }
             }
             Real value(Real x) const {
                 Size j = this->locate(x);
-                Real dx = x-this->xBegin_[j];
-                return this->yBegin_[j] + dx*(a_[j] + dx*(b_[j] + dx*c_[j]));
+                Real dx_ = x-this->xBegin_[j];
+                return this->yBegin_[j] + dx_*(a_[j] + dx_*(b_[j] + dx_*c_[j]));
             }
             Real primitive(Real x) const {
                 Size j = this->locate(x);
-                Real dx = x-this->xBegin_[j];
+                Real dx_ = x-this->xBegin_[j];
                 return primitiveConst_[j]
-                    + dx*(this->yBegin_[j] + dx*(a_[j]/2.0
-                    + dx*(b_[j]/3.0 + dx*c_[j]/4.0)));
+                    + dx_*(this->yBegin_[j] + dx_*(a_[j]/2.0
+                    + dx_*(b_[j]/3.0 + dx_*c_[j]/4.0)));
             }
             Real derivative(Real x) const {
                 Size j = this->locate(x);
-                Real dx = x-this->xBegin_[j];
-                return a_[j] + (2.0*b_[j] + 3.0*c_[j]*dx)*dx;
+                Real dx_ = x-this->xBegin_[j];
+                return a_[j] + (2.0*b_[j] + 3.0*c_[j]*dx_)*dx_;
             }
             Real secondDerivative(Real x) const {
                 Size j = this->locate(x);
-                Real dx = x-this->xBegin_[j];
-                return 2.0*b_[j] + 6.0*c_[j]*dx;
+                Real dx_ = x-this->xBegin_[j];
+                return 2.0*b_[j] + 6.0*c_[j]*dx_;
             }
           private:
             CubicInterpolation::DerivativeApprox da_;
             bool monotonic_;
             CubicInterpolation::BoundaryCondition leftType_, rightType_;
             Real leftValue_, rightValue_;
+            mutable Array tmp_;
+            mutable std::vector<Real> dx_, S_;
+            mutable TridiagonalOperator L_;
         };
 
     }

From 86ef04d1c3bb0c342ab4daf581e6ce10c7b66db5 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 14:11:41 +0000
Subject: [PATCH 224/410] - added constness to isTimeDependent inspector -
 cleaned up code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17832 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/tridiagonaloperator.cpp | 16 ++--
 .../finitedifferences/tridiagonaloperator.hpp | 84 +++++++------------
 2 files changed, 43 insertions(+), 57 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index df2c073969..353c1511bf 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2002, 2003 Ferdinando Ametrano
+ Copyright (C) 2002, 2003, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 
  This file is part of QuantLib, a free-software/open-source library
@@ -22,6 +22,11 @@
 
 namespace QuantLib {
 
+    TridiagonalOperator::TridiagonalOperator(
+                                const Disposable<TridiagonalOperator>& from) {
+        swap(const_cast<Disposable<TridiagonalOperator>&>(from));
+    }
+
     TridiagonalOperator::TridiagonalOperator(Size size) {
         if (size>=2) {
             diagonal_      = Array(size);
@@ -68,22 +73,23 @@ namespace QuantLib {
     }
 
     Disposable<Array> TridiagonalOperator::solveFor(const Array& rhs) const  {
-        QL_REQUIRE(rhs.size()==size(), "rhs has the wrong size");
+        Size n = size();
+        QL_REQUIRE(rhs.size()==n, "rhs has the wrong size");
 
-        Array result(size()), tmp(size());
+        Array result(n), tmp(n);
 
         Real bet=diagonal_[0];
         QL_REQUIRE(bet != 0.0, "division by zero");
         result[0] = rhs[0]/bet;
         Size j;
-        for (j=1; j<=size()-1; j++){
+        for (j=1; j<=n-1; j++){
             tmp[j]=upperDiagonal_[j-1]/bet;
             bet=diagonal_[j]-lowerDiagonal_[j-1]*tmp[j];
             QL_ENSURE(bet != 0.0, "division by zero");
             result[j] = (rhs[j]-lowerDiagonal_[j-1]*result[j-1])/bet;
         }
         // cannot be j>=0 with Size j
-        for (j=size()-2; j>0; --j)
+        for (j=n-2; j>0; --j)
             result[j] -= tmp[j+1]*result[j+1];
         result[0] -= tmp[1]*result[1];
         return result;
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index a97ad29292..c96461a54a 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -80,11 +81,11 @@ namespace QuantLib {
         //@}
         //! \name Inspectors
         //@{
-        Size size() const;
-        bool isTimeDependent();
-        const Array& lowerDiagonal() const;
-        const Array& diagonal() const;
-        const Array& upperDiagonal() const;
+        Size size() const { return diagonal_.size(); }
+        bool isTimeDependent() const { return !!timeSetter_; }
+        const Array& lowerDiagonal() const { return lowerDiagonal_; }
+        const Array& diagonal() const { return diagonal_; }
+        const Array& upperDiagonal() const { return upperDiagonal_; }
         //@}
         //! \name Modifiers
         //@{
@@ -116,37 +117,12 @@ namespace QuantLib {
 
     // inline definitions
 
-    inline TridiagonalOperator::TridiagonalOperator(
-                                const Disposable<TridiagonalOperator>& from) {
-        swap(const_cast<Disposable<TridiagonalOperator>&>(from));
-    }
-
     inline TridiagonalOperator& TridiagonalOperator::operator=(
                                 const Disposable<TridiagonalOperator>& from) {
         swap(const_cast<Disposable<TridiagonalOperator>&>(from));
         return *this;
     }
 
-    inline Size TridiagonalOperator::size() const {
-        return diagonal_.size();
-    }
-
-    inline bool TridiagonalOperator::isTimeDependent() {
-        return !!timeSetter_;
-    }
-
-    inline const Array& TridiagonalOperator::lowerDiagonal() const{
-        return lowerDiagonal_;
-    }
-
-    inline const Array& TridiagonalOperator::diagonal() const{
-        return diagonal_;
-    }
-
-    inline const Array& TridiagonalOperator::upperDiagonal() const{
-        return upperDiagonal_;
-    }
-
     inline void TridiagonalOperator::setFirstRow(Real valB,
                                                  Real valC) {
         diagonal_[0]      = valB;
@@ -190,7 +166,7 @@ namespace QuantLib {
         diagonal_.swap(from.diagonal_);
         lowerDiagonal_.swap(from.lowerDiagonal_);
         upperDiagonal_.swap(from.upperDiagonal_);
-        swap(timeSetter_,from.timeSetter_);
+        swap(timeSetter_, from.timeSetter_);
     }
 
 
@@ -204,64 +180,68 @@ namespace QuantLib {
 
     inline Disposable<TridiagonalOperator>
     operator-(const TridiagonalOperator& D) {
-        Array low = -D.lowerDiagonal_, mid = -D.diagonal_,
+        Array low = -D.lowerDiagonal_,
+            mid = -D.diagonal_,
             high = -D.upperDiagonal_;
-        TridiagonalOperator result(low,mid,high);
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
     inline Disposable<TridiagonalOperator>
     operator+(const TridiagonalOperator& D1,
               const TridiagonalOperator& D2) {
-        Array low = D1.lowerDiagonal_+D2.lowerDiagonal_,
-            mid = D1.diagonal_+D2.diagonal_,
-            high = D1.upperDiagonal_+D2.upperDiagonal_;
-        TridiagonalOperator result(low,mid,high);
+        Array low = D1.lowerDiagonal_ + D2.lowerDiagonal_,
+            mid = D1.diagonal_ + D2.diagonal_,
+            high = D1.upperDiagonal_ + D2.upperDiagonal_;
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
     inline Disposable<TridiagonalOperator>
     operator-(const TridiagonalOperator& D1,
               const TridiagonalOperator& D2) {
-        Array low = D1.lowerDiagonal_-D2.lowerDiagonal_,
-            mid = D1.diagonal_-D2.diagonal_,
-            high = D1.upperDiagonal_-D2.upperDiagonal_;
-        TridiagonalOperator result(low,mid,high);
+        Array low = D1.lowerDiagonal_ - D2.lowerDiagonal_,
+            mid = D1.diagonal_ - D2.diagonal_,
+            high = D1.upperDiagonal_ - D2.upperDiagonal_;
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
     inline Disposable<TridiagonalOperator>
     operator*(Real a,
               const TridiagonalOperator& D) {
-        Array low = D.lowerDiagonal_*a, mid = D.diagonal_*a,
-            high = D.upperDiagonal_*a;
-        TridiagonalOperator result(low,mid,high);
+        Array low = D.lowerDiagonal_ * a,
+            mid = D.diagonal_ * a,
+            high = D.upperDiagonal_ * a;
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
     inline Disposable<TridiagonalOperator>
     operator*(const TridiagonalOperator& D,
               Real a) {
-        Array low = D.lowerDiagonal_*a, mid = D.diagonal_*a,
-            high = D.upperDiagonal_*a;
-        TridiagonalOperator result(low,mid,high);
+        Array low = D.lowerDiagonal_ * a,
+            mid = D.diagonal_ * a,
+            high = D.upperDiagonal_ * a;
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
     inline Disposable<TridiagonalOperator>
     operator/(const TridiagonalOperator& D,
               Real a) {
-        Array low = D.lowerDiagonal_/a, mid = D.diagonal_/a,
-            high = D.upperDiagonal_/a;
-        TridiagonalOperator result(low,mid,high);
+        Array low = D.lowerDiagonal_ / a,
+            mid = D.diagonal_ / a,
+            high = D.upperDiagonal_ / a;
+        TridiagonalOperator result(low, mid, high);
         return result;
     }
 
-    inline void swap(TridiagonalOperator& L1, TridiagonalOperator& L2) {
+    inline void swap(TridiagonalOperator& L1,
+                     TridiagonalOperator& L2) {
         L1.swap(L2);
     }
 
 }
 
-
 #endif

From bf385d1b4de996662813056b52d9faf74fa5dfd9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 14:27:30 +0000
Subject: [PATCH 225/410] changed formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17833 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/tridiagonaloperator.cpp | 20 +++++++++----------
 .../finitedifferences/tridiagonaloperator.hpp |  8 +++++---
 2 files changed, 15 insertions(+), 13 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 353c1511bf..4066e29397 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -22,11 +22,6 @@
 
 namespace QuantLib {
 
-    TridiagonalOperator::TridiagonalOperator(
-                                const Disposable<TridiagonalOperator>& from) {
-        swap(const_cast<Disposable<TridiagonalOperator>&>(from));
-    }
-
     TridiagonalOperator::TridiagonalOperator(Size size) {
         if (size>=2) {
             diagonal_      = Array(size);
@@ -52,6 +47,11 @@ namespace QuantLib {
                    "wrong size for upper diagonal vector");
     }
 
+    TridiagonalOperator::TridiagonalOperator(
+                                const Disposable<TridiagonalOperator>& from) {
+        swap(const_cast<Disposable<TridiagonalOperator>&>(from));
+    }
+
     Disposable<Array> TridiagonalOperator::applyTo(const Array& v) const {
         QL_REQUIRE(v.size()==size(),
                    "vector of the wrong size (" << v.size()
@@ -64,7 +64,7 @@ namespace QuantLib {
 
         // matricial product
         result[0] += upperDiagonal_[0]*v[1];
-        for (Size j=1; j<=size()-2; j++)
+        for (Size j=1; j<=size()-2; ++j)
             result[j] += lowerDiagonal_[j-1]*v[j-1]+
                 upperDiagonal_[j]*v[j+1];
         result[size()-1] += lowerDiagonal_[size()-2]*v[size()-2];
@@ -82,7 +82,7 @@ namespace QuantLib {
         QL_REQUIRE(bet != 0.0, "division by zero");
         result[0] = rhs[0]/bet;
         Size j;
-        for (j=1; j<=n-1; j++){
+        for (j=1; j<=n-1; ++j){
             tmp[j]=upperDiagonal_[j-1]/bet;
             bet=diagonal_[j]-lowerDiagonal_[j-1]*tmp[j];
             QL_ENSURE(bet != 0.0, "division by zero");
@@ -103,11 +103,10 @@ namespace QuantLib {
         Array result = rhs;
 
         // solve tridiagonal system with SOR technique
-        Size sorIteration, i;
         Real omega = 1.5;
         Real err = 2.0*tol;
         Real temp;
-        for (sorIteration=0; err>tol ; sorIteration++) {
+        for (Size sorIteration=0; err>tol; ++sorIteration) {
             QL_REQUIRE(sorIteration<100000,
                        "tolerance (" << tol << ") not reached in "
                        << sorIteration << " iterations. "
@@ -119,7 +118,8 @@ namespace QuantLib {
             err = temp*temp;
             result[0] += temp;
 
-            for (i=1; i<size()-1 ; i++) {
+            Size i;
+            for (i=1; i<size()-1 ; ++i) {
                 temp = omega *(rhs[i]     -
                                upperDiagonal_[i]   * result[i+1]-
                                diagonal_[i]        * result[i] -
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index c96461a54a..372a48e3b8 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -64,7 +64,8 @@ namespace QuantLib {
         typedef Array array_type;
         // constructors
         explicit TridiagonalOperator(Size size = 0);
-        TridiagonalOperator(const Array& low, const Array& mid,
+        TridiagonalOperator(const Array& low,
+                            const Array& mid,
                             const Array& high);
         TridiagonalOperator(const Disposable<TridiagonalOperator>&);
         TridiagonalOperator& operator=(const Disposable<TridiagonalOperator>&);
@@ -75,7 +76,8 @@ namespace QuantLib {
         //! solve linear system for a given right-hand side
         Disposable<Array> solveFor(const Array& rhs) const;
         //! solve linear system with SOR approach
-        Disposable<Array> SOR(const Array& rhs, Real tol) const;
+        Disposable<Array> SOR(const Array& rhs,
+                              Real tol) const;
         //! identity instance
         static Disposable<TridiagonalOperator> identity(Size size);
         //@}
@@ -143,7 +145,7 @@ namespace QuantLib {
     inline void TridiagonalOperator::setMidRows(Real valA,
                                                 Real valB,
                                                 Real valC) {
-        for (Size i=1; i<=size()-2; i++) {
+        for (Size i=1; i<=size()-2; ++i) {
             lowerDiagonal_[i-1] = valA;
             diagonal_[i]        = valB;
             upperDiagonal_[i]   = valC;

From 9b4bf0cada413a92f1ff9dfb3b236a236b4786da Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 14:37:44 +0000
Subject: [PATCH 226/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17834
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 .../finitedifferences/tridiagonaloperator.cpp       | 13 ++++++-------
 1 file changed, 6 insertions(+), 7 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 4066e29397..2ec1eada2c 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -78,18 +78,17 @@ namespace QuantLib {
 
         Array result(n), tmp(n);
 
-        Real bet=diagonal_[0];
+        Real bet = diagonal_[0];
         QL_REQUIRE(bet != 0.0, "division by zero");
         result[0] = rhs[0]/bet;
-        Size j;
-        for (j=1; j<=n-1; ++j){
-            tmp[j]=upperDiagonal_[j-1]/bet;
-            bet=diagonal_[j]-lowerDiagonal_[j-1]*tmp[j];
+        for (Size j=1; j<=n-1; ++j){
+            tmp[j] = upperDiagonal_[j-1]/bet;
+            bet = diagonal_[j] - lowerDiagonal_[j-1]*tmp[j];
             QL_ENSURE(bet != 0.0, "division by zero");
-            result[j] = (rhs[j]-lowerDiagonal_[j-1]*result[j-1])/bet;
+            result[j] = (rhs[j] - lowerDiagonal_[j-1]*result[j-1])/bet;
         }
         // cannot be j>=0 with Size j
-        for (j=n-2; j>0; --j)
+        for (Size j=n-2; j>0; --j)
             result[j] -= tmp[j+1]*result[j+1];
         result[0] -= tmp[1]*result[1];
         return result;

From 054dac40d06f08cc10ede6c838c1cb1fe06c9d86 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 15:47:18 +0000
Subject: [PATCH 227/410] avoided temporary allocation in solveFor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17835 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/tridiagonaloperator.cpp | 66 +++++++++++--------
 .../finitedifferences/tridiagonaloperator.hpp | 16 +++--
 2 files changed, 48 insertions(+), 34 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 2ec1eada2c..9b9b2712d1 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -24,13 +24,17 @@ namespace QuantLib {
 
     TridiagonalOperator::TridiagonalOperator(Size size) {
         if (size>=2) {
+            n_ = size;
             diagonal_      = Array(size);
             lowerDiagonal_ = Array(size-1);
             upperDiagonal_ = Array(size-1);
+            temp_          = Array(size);
         } else if (size==0) {
+            n_ = 0;
             diagonal_      = Array(0);
             lowerDiagonal_ = Array(0);
             upperDiagonal_ = Array(0);
+            temp_          = Array(0);
         } else {
             QL_FAIL("invalid size (" << size << ") for tridiagonal operator "
                     "(must be null or >= 2)");
@@ -40,11 +44,14 @@ namespace QuantLib {
     TridiagonalOperator::TridiagonalOperator(const Array& low,
                                              const Array& mid,
                                              const Array& high)
-    : diagonal_(mid), lowerDiagonal_(low), upperDiagonal_(high) {
-        QL_REQUIRE(low.size() == mid.size()-1,
-                   "wrong size for lower diagonal vector");
-        QL_REQUIRE(high.size() == mid.size()-1,
-                   "wrong size for upper diagonal vector");
+    : n_(mid.size()),
+      diagonal_(mid), lowerDiagonal_(low), upperDiagonal_(high), temp_(n_) {
+        QL_REQUIRE(low.size() == n_-1,
+                   "low diagonal vector of size " << low.size() <<
+                   " instead of " << n_-1);
+        QL_REQUIRE(high.size() == n_-1,
+                   "high diagonal vector of size " << high.size() <<
+                   " instead of " << n_-1);
     }
 
     TridiagonalOperator::TridiagonalOperator(
@@ -53,10 +60,10 @@ namespace QuantLib {
     }
 
     Disposable<Array> TridiagonalOperator::applyTo(const Array& v) const {
-        QL_REQUIRE(v.size()==size(),
-                   "vector of the wrong size (" << v.size()
-                   << "instead of " << size() << ")"  );
-        Array result(size());
+        QL_REQUIRE(v.size()==n_,
+                   "vector of the wrong size " << v.size() <<
+                   " instead of " << n_);
+        Array result(n_);
         std::transform(diagonal_.begin(), diagonal_.end(),
                        v.begin(),
                        result.begin(),
@@ -64,39 +71,43 @@ namespace QuantLib {
 
         // matricial product
         result[0] += upperDiagonal_[0]*v[1];
-        for (Size j=1; j<=size()-2; ++j)
+        for (Size j=1; j<=n_-2; j++)
             result[j] += lowerDiagonal_[j-1]*v[j-1]+
                 upperDiagonal_[j]*v[j+1];
-        result[size()-1] += lowerDiagonal_[size()-2]*v[size()-2];
+        result[n_-1] += lowerDiagonal_[n_-2]*v[n_-2];
 
         return result;
     }
 
     Disposable<Array> TridiagonalOperator::solveFor(const Array& rhs) const  {
-        Size n = size();
-        QL_REQUIRE(rhs.size()==n, "rhs has the wrong size");
 
-        Array result(n), tmp(n);
+        QL_REQUIRE(rhs.size()==n_,
+                   "rhs vector of size " << rhs.size() <<
+                   " instead of " << n_);
+
+        Array result(n_);
 
         Real bet = diagonal_[0];
         QL_REQUIRE(bet != 0.0, "division by zero");
         result[0] = rhs[0]/bet;
-        for (Size j=1; j<=n-1; ++j){
-            tmp[j] = upperDiagonal_[j-1]/bet;
-            bet = diagonal_[j] - lowerDiagonal_[j-1]*tmp[j];
-            QL_ENSURE(bet != 0.0, "division by zero");
+        for (Size j=1; j<=n_-1; ++j) {
+            temp_[j] = upperDiagonal_[j-1]/bet;
+            bet = diagonal_[j]-lowerDiagonal_[j-1]*temp_[j];
+            QL_ENSURE(bet!=0.0, "division by zero");
             result[j] = (rhs[j] - lowerDiagonal_[j-1]*result[j-1])/bet;
         }
         // cannot be j>=0 with Size j
-        for (Size j=n-2; j>0; --j)
-            result[j] -= tmp[j+1]*result[j+1];
-        result[0] -= tmp[1]*result[1];
+        for (Size j=n_-2; j>0; --j)
+            result[j] -= temp_[j+1]*result[j+1];
+        result[0] -= temp_[1]*result[1];
         return result;
     }
 
     Disposable<Array> TridiagonalOperator::SOR(const Array& rhs,
                                                Real tol) const {
-        QL_REQUIRE(rhs.size()==size(), "rhs has the wrong size");
+        QL_REQUIRE(rhs.size()==n_,
+                   "rhs vector of size " << rhs.size() <<
+                   " instead of " << n_);
 
         // initial guess
         Array result = rhs;
@@ -105,20 +116,19 @@ namespace QuantLib {
         Real omega = 1.5;
         Real err = 2.0*tol;
         Real temp;
-        for (Size sorIteration=0; err>tol; ++sorIteration) {
+        for (Size sorIteration=0; err>tol ; ++sorIteration) {
             QL_REQUIRE(sorIteration<100000,
-                       "tolerance (" << tol << ") not reached in "
-                       << sorIteration << " iterations. "
-                       << "The error still is " << err);
+                       "tolerance (" << tol << ") not reached in " <<
+                       sorIteration << " iterations. " <<
+                       "The error still is " << err);
 
             temp = omega * (rhs[0]     -
                             upperDiagonal_[0]   * result[1]-
                             diagonal_[0]        * result[0])/diagonal_[0];
             err = temp*temp;
             result[0] += temp;
-
             Size i;
-            for (i=1; i<size()-1 ; ++i) {
+            for (i=1; i<n_-1 ; ++i) {
                 temp = omega *(rhs[i]     -
                                upperDiagonal_[i]   * result[i+1]-
                                diagonal_[i]        * result[i] -
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index 372a48e3b8..cdea93259c 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -83,7 +83,7 @@ namespace QuantLib {
         //@}
         //! \name Inspectors
         //@{
-        Size size() const { return diagonal_.size(); }
+        Size size() const { return n_; }
         bool isTimeDependent() const { return !!timeSetter_; }
         const Array& lowerDiagonal() const { return lowerDiagonal_; }
         const Array& diagonal() const { return diagonal_; }
@@ -109,7 +109,9 @@ namespace QuantLib {
                                  TridiagonalOperator& L) const = 0;
         };
       protected:
+        Size n_;
         Array diagonal_, lowerDiagonal_, upperDiagonal_;
+        mutable Array temp_;
         boost::shared_ptr<TimeSetter> timeSetter_;
     };
 
@@ -135,7 +137,7 @@ namespace QuantLib {
                                                Real valA,
                                                Real valB,
                                                Real valC) {
-        QL_REQUIRE(i>=1 && i<=size()-2,
+        QL_REQUIRE(i>=1 && i<=n_-2,
                    "out of range in TridiagonalSystem::setMidRow");
         lowerDiagonal_[i-1] = valA;
         diagonal_[i]        = valB;
@@ -145,7 +147,7 @@ namespace QuantLib {
     inline void TridiagonalOperator::setMidRows(Real valA,
                                                 Real valB,
                                                 Real valC) {
-        for (Size i=1; i<=size()-2; ++i) {
+        for (Size i=1; i<=n_-2; i++) {
             lowerDiagonal_[i-1] = valA;
             diagonal_[i]        = valB;
             upperDiagonal_[i]   = valC;
@@ -154,20 +156,22 @@ namespace QuantLib {
 
     inline void TridiagonalOperator::setLastRow(Real valA,
                                                 Real valB) {
-        lowerDiagonal_[size()-2] = valA;
-        diagonal_[size()-1]      = valB;
+        lowerDiagonal_[n_-2] = valA;
+        diagonal_[n_-1]      = valB;
     }
 
     inline void TridiagonalOperator::setTime(Time t) {
         if (timeSetter_)
-            timeSetter_->setTime(t,*this);
+            timeSetter_->setTime(t, *this);
     }
 
     inline void TridiagonalOperator::swap(TridiagonalOperator& from) {
         using std::swap;
+        swap(n_, from.n_);
         diagonal_.swap(from.diagonal_);
         lowerDiagonal_.swap(from.lowerDiagonal_);
         upperDiagonal_.swap(from.upperDiagonal_);
+        temp_.swap(from.temp_);
         swap(timeSetter_, from.timeSetter_);
     }
 

From 32455753f5342c6585d52d23232b9e12d5488bd4 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 17:19:10 +0000
Subject: [PATCH 228/410] added - check for initialized TridiagonalOperator -
 earlier check that !close(diagonal[0], 0.0)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17836 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/tridiagonaloperator.cpp       | 13 +++++++++++--
 .../finitedifferences/tridiagonaloperator.hpp       |  3 +++
 2 files changed, 14 insertions(+), 2 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 9b9b2712d1..19c75e1236 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -46,6 +46,8 @@ namespace QuantLib {
                                              const Array& high)
     : n_(mid.size()),
       diagonal_(mid), lowerDiagonal_(low), upperDiagonal_(high), temp_(n_) {
+        QL_REQUIRE(close(diagonal_[0], 0.0),
+                   "diagonal's first element cannot be close to 0.0");
         QL_REQUIRE(low.size() == n_-1,
                    "low diagonal vector of size " << low.size() <<
                    " instead of " << n_-1);
@@ -60,6 +62,8 @@ namespace QuantLib {
     }
 
     Disposable<Array> TridiagonalOperator::applyTo(const Array& v) const {
+        QL_REQUIRE(n_!=0,
+                   "uninitialized TridiagonalOperator");
         QL_REQUIRE(v.size()==n_,
                    "vector of the wrong size " << v.size() <<
                    " instead of " << n_);
@@ -81,6 +85,8 @@ namespace QuantLib {
 
     Disposable<Array> TridiagonalOperator::solveFor(const Array& rhs) const  {
 
+        QL_REQUIRE(n_!=0,
+                   "uninitialized TridiagonalOperator");
         QL_REQUIRE(rhs.size()==n_,
                    "rhs vector of size " << rhs.size() <<
                    " instead of " << n_);
@@ -88,12 +94,13 @@ namespace QuantLib {
         Array result(n_);
 
         Real bet = diagonal_[0];
-        QL_REQUIRE(bet != 0.0, "division by zero");
+        // redundant check, but harmless
+        QL_REQUIRE(!close(bet, 0.0), "division by zero");
         result[0] = rhs[0]/bet;
         for (Size j=1; j<=n_-1; ++j) {
             temp_[j] = upperDiagonal_[j-1]/bet;
             bet = diagonal_[j]-lowerDiagonal_[j-1]*temp_[j];
-            QL_ENSURE(bet!=0.0, "division by zero");
+            QL_ENSURE(!close(bet, 0.0), "division by zero");
             result[j] = (rhs[j] - lowerDiagonal_[j-1]*result[j-1])/bet;
         }
         // cannot be j>=0 with Size j
@@ -105,6 +112,8 @@ namespace QuantLib {
 
     Disposable<Array> TridiagonalOperator::SOR(const Array& rhs,
                                                Real tol) const {
+        QL_REQUIRE(n_!=0,
+                   "uninitialized TridiagonalOperator");
         QL_REQUIRE(rhs.size()==n_,
                    "rhs vector of size " << rhs.size() <<
                    " instead of " << n_);
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index cdea93259c..207896dbc8 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -27,6 +27,7 @@
 #define quantlib_tridiagonal_operator_hpp
 
 #include <ql/math/array.hpp>
+#include <ql/math/comparison.hpp>
 #include <boost/shared_ptr.hpp>
 
 namespace QuantLib {
@@ -129,6 +130,8 @@ namespace QuantLib {
 
     inline void TridiagonalOperator::setFirstRow(Real valB,
                                                  Real valC) {
+        QL_REQUIRE(!close(valB, 0.0),
+                   "diagonal's first element cannot be close to 0.0");
         diagonal_[0]      = valB;
         upperDiagonal_[0] = valC;
     }

From a1480062ed0f09d8d24d1ae5a4678961b931aa63 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 17:37:58 +0000
Subject: [PATCH 229/410] fixed typo and improved error message

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17837 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/finitedifferences/tridiagonaloperator.cpp | 5 +++--
 ql/methods/finitedifferences/tridiagonaloperator.hpp | 3 ++-
 2 files changed, 5 insertions(+), 3 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 19c75e1236..2b5000d7a0 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -46,8 +46,9 @@ namespace QuantLib {
                                              const Array& high)
     : n_(mid.size()),
       diagonal_(mid), lowerDiagonal_(low), upperDiagonal_(high), temp_(n_) {
-        QL_REQUIRE(close(diagonal_[0], 0.0),
-                   "diagonal's first element cannot be close to 0.0");
+        QL_REQUIRE(!close(diagonal_[0], 0.0),
+                   "diagonal's first element (" << diagonal_[0] <<
+                   ") cannot be close to 0.0");
         QL_REQUIRE(low.size() == n_-1,
                    "low diagonal vector of size " << low.size() <<
                    " instead of " << n_-1);
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index 207896dbc8..d99cf4367d 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -131,7 +131,8 @@ namespace QuantLib {
     inline void TridiagonalOperator::setFirstRow(Real valB,
                                                  Real valC) {
         QL_REQUIRE(!close(valB, 0.0),
-                   "diagonal's first element cannot be close to 0.0");
+                   "diagonal's first element (" << valB <<
+                   ") cannot be close to 0.0");
         diagonal_[0]      = valB;
         upperDiagonal_[0] = valC;
     }

From bb8bc043385fab628f9d7d691dfbc4440c1074a6 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 18:31:12 +0000
Subject: [PATCH 230/410] removed early wrong check: TridiagonalOperator is
 also used in a direct way, not just to be inverted...

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17838 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/finitedifferences/tridiagonaloperator.cpp | 8 +++-----
 ql/methods/finitedifferences/tridiagonaloperator.hpp | 3 ---
 2 files changed, 3 insertions(+), 8 deletions(-)

diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 2b5000d7a0..7d3c993ab7 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -46,9 +46,6 @@ namespace QuantLib {
                                              const Array& high)
     : n_(mid.size()),
       diagonal_(mid), lowerDiagonal_(low), upperDiagonal_(high), temp_(n_) {
-        QL_REQUIRE(!close(diagonal_[0], 0.0),
-                   "diagonal's first element (" << diagonal_[0] <<
-                   ") cannot be close to 0.0");
         QL_REQUIRE(low.size() == n_-1,
                    "low diagonal vector of size " << low.size() <<
                    " instead of " << n_-1);
@@ -95,8 +92,9 @@ namespace QuantLib {
         Array result(n_);
 
         Real bet = diagonal_[0];
-        // redundant check, but harmless
-        QL_REQUIRE(!close(bet, 0.0), "division by zero");
+        QL_REQUIRE(!close(bet, 0.0),
+                   "diagonal's first element (" << bet <<
+                   ") cannot be close to zero");
         result[0] = rhs[0]/bet;
         for (Size j=1; j<=n_-1; ++j) {
             temp_[j] = upperDiagonal_[j-1]/bet;
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index d99cf4367d..908f0f6510 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -130,9 +130,6 @@ namespace QuantLib {
 
     inline void TridiagonalOperator::setFirstRow(Real valB,
                                                  Real valC) {
-        QL_REQUIRE(!close(valB, 0.0),
-                   "diagonal's first element (" << valB <<
-                   ") cannot be close to 0.0");
         diagonal_[0]      = valB;
         upperDiagonal_[0] = valC;
     }

From 2dcb7686ab2c3c024a8c456da0ed01295d1756fd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 18:33:59 +0000
Subject: [PATCH 231/410] pointer dereferenced just once

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17839 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cashflows.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
index 636f421af3..6c75b70d9e 100644
--- a/ql/cashflows/cashflows.cpp
+++ b/ql/cashflows/cashflows.cpp
@@ -473,12 +473,12 @@ namespace QuantLib {
 
         BPSCalculator calc(discountCurve);
         for (Size i=0; i<leg.size(); ++i) {
-            const boost::shared_ptr<CashFlow>& cf = leg[i];
-            if (!cf->hasOccurred(settlementDate,
-                                 includeSettlementDateFlows)) {
-                npv += cf->amount() *
-                       discountCurve.discount(cf->date());
-                cf->accept(calc);
+            CashFlow& cf = *leg[i];
+            if (!cf.hasOccurred(settlementDate,
+                                includeSettlementDateFlows)) {
+                npv += cf.amount() *
+                       discountCurve.discount(cf.date());
+                cf.accept(calc);
             }
         }
         DiscountFactor d = discountCurve.discount(npvDate);

From 73bb51d17c9edc413e2373f1a7cbcad194d5155f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 4 Jul 2011 18:36:45 +0000
Subject: [PATCH 232/410] avoided useless Array allocation using new solveFor2
 method

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17840 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/interpolations/cubicinterpolation.hpp  |  2 +-
 ql/methods/finitedifferences/mixedscheme.hpp   |  2 +-
 .../finitedifferences/tridiagonaloperator.cpp  | 18 +++++++++++-------
 .../finitedifferences/tridiagonaloperator.hpp  |  1 +
 4 files changed, 14 insertions(+), 9 deletions(-)

diff --git a/ql/math/interpolations/cubicinterpolation.hpp b/ql/math/interpolations/cubicinterpolation.hpp
index 04f83026c1..e0c421b56f 100644
--- a/ql/math/interpolations/cubicinterpolation.hpp
+++ b/ql/math/interpolations/cubicinterpolation.hpp
@@ -424,7 +424,7 @@ namespace QuantLib {
                     }
 
                     // solve the system
-                    tmp_ = L_.solveFor(tmp_);
+                    L_.solveFor2(tmp_);
                 } else if (da_==CubicInterpolation::SplineOM1) {
                     Matrix T_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
diff --git a/ql/methods/finitedifferences/mixedscheme.hpp b/ql/methods/finitedifferences/mixedscheme.hpp
index 9592304596..5574578d41 100644
--- a/ql/methods/finitedifferences/mixedscheme.hpp
+++ b/ql/methods/finitedifferences/mixedscheme.hpp
@@ -125,7 +125,7 @@ namespace QuantLib {
             }
             for (i=0; i<bcs_.size(); i++)
                 bcs_[i]->applyBeforeSolving(implicitPart_,a);
-            a = implicitPart_.solveFor(a);
+            implicitPart_.solveFor2(a);
             for (i=0; i<bcs_.size(); i++)
                 bcs_[i]->applyAfterSolving(a);
         }
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index 7d3c993ab7..be83cc59cd 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -83,30 +83,34 @@ namespace QuantLib {
 
     Disposable<Array> TridiagonalOperator::solveFor(const Array& rhs) const  {
 
+        Array result(rhs);
+        solveFor2(result);
+        return result;
+    }
+
+    void TridiagonalOperator::solveFor2(Array& rhs) const  {
+
         QL_REQUIRE(n_!=0,
                    "uninitialized TridiagonalOperator");
         QL_REQUIRE(rhs.size()==n_,
                    "rhs vector of size " << rhs.size() <<
                    " instead of " << n_);
 
-        Array result(n_);
-
         Real bet = diagonal_[0];
         QL_REQUIRE(!close(bet, 0.0),
                    "diagonal's first element (" << bet <<
                    ") cannot be close to zero");
-        result[0] = rhs[0]/bet;
+        rhs[0] = rhs[0]/bet;
         for (Size j=1; j<=n_-1; ++j) {
             temp_[j] = upperDiagonal_[j-1]/bet;
             bet = diagonal_[j]-lowerDiagonal_[j-1]*temp_[j];
             QL_ENSURE(!close(bet, 0.0), "division by zero");
-            result[j] = (rhs[j] - lowerDiagonal_[j-1]*result[j-1])/bet;
+            rhs[j] = (rhs[j] - lowerDiagonal_[j-1]*rhs[j-1])/bet;
         }
         // cannot be j>=0 with Size j
         for (Size j=n_-2; j>0; --j)
-            result[j] -= temp_[j+1]*result[j+1];
-        result[0] -= temp_[1]*result[1];
-        return result;
+            rhs[j] -= temp_[j+1]*rhs[j+1];
+        rhs[0] -= temp_[1]*rhs[1];
     }
 
     Disposable<Array> TridiagonalOperator::SOR(const Array& rhs,
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index 908f0f6510..caf8153fce 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -76,6 +76,7 @@ namespace QuantLib {
         Disposable<Array> applyTo(const Array& v) const;
         //! solve linear system for a given right-hand side
         Disposable<Array> solveFor(const Array& rhs) const;
+        void solveFor2(Array& rhs) const;
         //! solve linear system with SOR approach
         Disposable<Array> SOR(const Array& rhs,
                               Real tol) const;

From 9bcd77589dd7ca1c736555871913480afed7c4fb Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 10:41:19 +0000
Subject: [PATCH 233/410] added enforceTodaysHistoricFixings

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17841 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 9 ++++++---
 1 file changed, 6 insertions(+), 3 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index a7d65fccc5..cd3caaa733 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -84,14 +84,17 @@ namespace QuantLib {
             return index_->fixing(fixingDate_);
         } else {
             Date today = Settings::instance().evaluationDate();
-            if (fixingDate_ < today) {
+            bool enforceTodaysHistoricFixings =
+                Settings::instance().enforcesTodaysHistoricFixings();
+            if (fixingDate_ < today ||
+                (fixingDate == today && enforceTodaysHistoricFixings)) {
                 // must have been fixed
                 const TimeSeries<Real>& fixings =
                     IndexManager::instance().getHistory(indexName_);
                 Rate pastFixing = fixings[fixingDate_];
                 QL_REQUIRE(pastFixing != Null<Real>(),
-                           "Missing " << index_->name()
-                           << " fixing for " << fixingDate_);
+                           "Missing " << indexName_ <<
+                           " fixing for " << fixingDate_);
                 return pastFixing;
             }
             if (fixingDate_ == today) {

From 9ce72cb6c30f2efe420d7968a078b41f9a5d1474 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 10:43:01 +0000
Subject: [PATCH 234/410] - inlined few methods - moved name_ string
 composition at constructor time

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17842 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/interestrateindex.cpp | 43 ++++++++------------------------
 ql/indexes/interestrateindex.hpp | 31 +++++++++++++++++++++--
 2 files changed, 40 insertions(+), 34 deletions(-)

diff --git a/ql/indexes/interestrateindex.cpp b/ql/indexes/interestrateindex.cpp
index 31e39b86a6..bcf0389195 100644
--- a/ql/indexes/interestrateindex.cpp
+++ b/ql/indexes/interestrateindex.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006 Ferdinando Ametrano
+ Copyright (C) 2006, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
 
@@ -36,11 +36,7 @@ namespace QuantLib {
       fixingCalendar_(fixingCalendar), currency_(currency),
       dayCounter_(dayCounter) {
         tenor_.normalize();
-        registerWith(Settings::instance().evaluationDate());
-        registerWith(IndexManager::instance().notifier(name()));
-    }
 
-    std::string InterestRateIndex::name() const {
         std::ostringstream out;
         out << familyName_;
         if (tenor_ == 1*Days) {
@@ -56,15 +52,10 @@ namespace QuantLib {
             out << io::short_period(tenor_);
         }
         out << " " << dayCounter_.name();
-        return out.str();
-    }
+        name_ = out.str();
 
-    Calendar InterestRateIndex::fixingCalendar() const {
-        return fixingCalendar_;
-    }
-
-    bool InterestRateIndex::isValidFixingDate(const Date& fixingDate) const {
-        return fixingCalendar().isBusinessDay(fixingDate);
+        registerWith(Settings::instance().evaluationDate());
+        registerWith(IndexManager::instance().notifier(name_));
     }
 
     Rate InterestRateIndex::fixing(const Date& fixingDate,
@@ -77,17 +68,19 @@ namespace QuantLib {
         if (fixingDate < today ||
             (fixingDate == today && enforceTodaysHistoricFixings && !forecastTodaysFixing)) {
             // must have been fixed
-            Rate pastFixing =
-                IndexManager::instance().getHistory(name())[fixingDate];
+            const TimeSeries<Real>& fixings =
+                IndexManager::instance().getHistory(name_);
+            Rate pastFixing = fixings[fixingDate];
             QL_REQUIRE(pastFixing != Null<Real>(),
-                       "Missing " << name() << " fixing for " << fixingDate);
+                       "Missing " << name_ << " fixing for " << fixingDate);
             return pastFixing;
         }
         if ((fixingDate == today) && !forecastTodaysFixing) {
             // might have been fixed
             try {
-                Rate pastFixing =
-                    IndexManager::instance().getHistory(name())[fixingDate];
+                const TimeSeries<Real>& fixings =
+                    IndexManager::instance().getHistory(name_);
+                Rate pastFixing = fixings[fixingDate];
                 if (pastFixing != Null<Real>())
                     return pastFixing;
                 else
@@ -100,18 +93,4 @@ namespace QuantLib {
         return forecastFixing(fixingDate);
     }
 
-    Date InterestRateIndex::valueDate(const Date& fixingDate) const {
-        QL_REQUIRE(isValidFixingDate(fixingDate),
-                   "Fixing date " << fixingDate << " is not valid");
-        return fixingCalendar().advance(fixingDate, fixingDays_, Days);
-    }
-
-    Date InterestRateIndex::fixingDate(const Date& valueDate) const {
-        Date fixingDate = fixingCalendar().advance(valueDate,
-            -static_cast<Integer>(fixingDays_), Days);
-        QL_ENSURE(isValidFixingDate(fixingDate),
-                  "fixing date " << fixingDate << " is not valid");
-        return fixingDate;
-    }
-
 }
diff --git a/ql/indexes/interestrateindex.hpp b/ql/indexes/interestrateindex.hpp
index a14f48ddd4..21f9461cdd 100644
--- a/ql/indexes/interestrateindex.hpp
+++ b/ql/indexes/interestrateindex.hpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006, 2007, 2009 StatPro Italia srl
- Copyright (C) 2006 Ferdinando Ametrano
+ Copyright (C) 2006, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -78,7 +78,7 @@ namespace QuantLib {
         // @}
       protected:
         virtual Rate forecastFixing(const Date& fixingDate) const = 0;
-        std::string familyName_;
+        std::string familyName_, name_;
         Period tenor_;
         Natural fixingDays_;
         Calendar fixingCalendar_;
@@ -89,6 +89,19 @@ namespace QuantLib {
 
     // inline definitions
 
+    inline std::string InterestRateIndex::name() const {
+        return name_;
+    }
+
+    inline Calendar InterestRateIndex::fixingCalendar() const {
+        return fixingCalendar_;
+    }
+
+    inline
+    bool InterestRateIndex::isValidFixingDate(const Date& fixingDate) const {
+        return fixingCalendar_.isBusinessDay(fixingDate);
+    }
+
     inline void InterestRateIndex::update() {
         notifyObservers();
     }
@@ -105,6 +118,14 @@ namespace QuantLib {
         return fixingDays_;
     }
 
+    inline Date InterestRateIndex::fixingDate(const Date& valueDate) const {
+        Date fixingDate = fixingCalendar_.advance(valueDate,
+            -static_cast<Integer>(fixingDays_), Days);
+        QL_ENSURE(isValidFixingDate(fixingDate),
+                  "fixing date " << fixingDate << " is not valid");
+        return fixingDate;
+    }
+
     inline const Currency& InterestRateIndex::currency() const {
         return currency_;
     }
@@ -113,6 +134,12 @@ namespace QuantLib {
         return dayCounter_;
     }
 
+    inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {
+        QL_REQUIRE(isValidFixingDate(fixingDate),
+                   "Fixing date " << fixingDate << " is not valid");
+        return fixingCalendar_.advance(fixingDate, fixingDays_, Days);
+    }
+
 }
 
 #endif

From 1b1a7dbf465f1a7e2c8d0bd8da7369550cfcbf30 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 13:02:41 +0000
Subject: [PATCH 235/410] changed formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17843 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/inflationcpiswap.cpp | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index bd3dc39cdc..1ef5804cd7 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -342,12 +342,14 @@ void CPISwapTest::consistency() {
 		} 
 	}
 	
-	
-	QL_REQUIRE(fabs(testInfLegNPV - zisV.legNPV(0)) <1e-5,"failed manual inf leg NPV calc vs pricing engine: "
-			   << testInfLegNPV << " vs " << zisV.legNPV(0));
+	Real error = fabs(testInfLegNPV - zisV.legNPV(0));
+	QL_REQUIRE(error<1e-5,
+               "failed manual inf leg NPV calc vs pricing engine: " <<
+               testInfLegNPV << " vs " << zisV.legNPV(0));
 	
 	Real diff = fabs(1-zisV.NPV()/4191660.0);
-	QL_REQUIRE(diff<1e-5,"failed stored consistency value test, ratio = " << diff);
+	QL_REQUIRE(diff<1e-5,
+               "failed stored consistency value test, ratio = " << diff);
 }
 
 

From 3fc80672af80badcb2938c9b0f72b391fffe54f8 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 13:03:01 +0000
Subject: [PATCH 236/410] replaced BOOT_ERROR with BOOST_FAIL

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17844 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/assetswap.cpp | 770 ++++++++++++++++++++-------------------
 1 file changed, 389 insertions(+), 381 deletions(-)

diff --git a/test-suite/assetswap.cpp b/test-suite/assetswap.cpp
index 12647c7eeb..c797971d5b 100644
--- a/test-suite/assetswap.cpp
+++ b/test-suite/assetswap.cpp
@@ -173,28 +173,29 @@ void AssetSwapTest::testConsistency() {
                          isPar);
     assetSwap2.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap2.NPV())>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  clean price:      " << bondPrice <<
-                    "\n  fair clean price: " << fairCleanPrice <<
-                    "\n  NPV:              " << assetSwap2.NPV() <<
-                    "\n  tolerance:        " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  clean price:      " << bondPrice <<
+                   "\n  fair clean price: " << fairCleanPrice <<
+                   "\n  NPV:              " << assetSwap2.NPV() <<
+                   "\n  tolerance:        " << tolerance);
     }
     if (std::fabs(assetSwap2.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:  " << assetSwap2.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap2.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << fairCleanPrice <<
+                   "\n  fair clean price:  " << assetSwap2.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap2.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap2.fairSpread() - vars.spread)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << vars.spread <<
-                    "\n  fair spread:  " << assetSwap2.fairSpread() <<
-                    "\n  NPV:          " << assetSwap2.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't equal input spread "
+                   "at zero NPV: " << QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << vars.spread <<
+                   "\n  fair spread:  " << assetSwap2.fairSpread() <<
+                   "\n  NPV:          " << assetSwap2.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     AssetSwap assetSwap3(payFixedRate,
@@ -205,28 +206,29 @@ void AssetSwapTest::testConsistency() {
                          isPar);
     assetSwap3.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap3.NPV())>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  spread:      " << vars.spread <<
-                    "\n  fair spread: " << fairSpread <<
-                    "\n  NPV:         " << assetSwap3.NPV() <<
-                    "\n  tolerance:   " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  spread:      " << vars.spread <<
+                   "\n  fair spread: " << fairSpread <<
+                   "\n  NPV:         " << assetSwap3.NPV() <<
+                   "\n  tolerance:   " << tolerance);
     }
     if (std::fabs(assetSwap3.fairCleanPrice() - bondPrice)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << bondPrice <<
-                    "\n  fair clean price:  " << assetSwap3.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap3.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << bondPrice <<
+                   "\n  fair clean price:  " << assetSwap3.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap3.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap3.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << fairSpread <<
-                    "\n  fair spread:  " << assetSwap3.fairSpread() <<
-                    "\n  NPV:          " << assetSwap3.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't equal input spread at"
+                   " zero NPV: " << QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << fairSpread <<
+                   "\n  fair spread:  " << assetSwap3.fairSpread() <<
+                   "\n  NPV:          " << assetSwap3.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     // let's change the npv date
@@ -239,18 +241,18 @@ void AssetSwapTest::testConsistency() {
     parAssetSwap.setPricingEngine(swapEngine);
     // fair clean price and fair spread should not change
     if (std::fabs(parAssetSwap.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price changed with NpvDate:" <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  expected clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:     " << parAssetSwap.fairCleanPrice() <<
-                    "\n  tolerance:            " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price changed with NpvDate:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n expected clean price: " << fairCleanPrice <<
+                   "\n fair clean price:     "<<parAssetSwap.fairCleanPrice()<<
+                   "\n tolerance:            " << tolerance);
     }
     if (std::fabs(parAssetSwap.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread changed with NpvDate:" <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  expected spread: " << fairSpread <<
-                    "\n  fair spread:     " << parAssetSwap.fairSpread() <<
-                    "\n  tolerance:       " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread changed with NpvDate:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  expected spread: " << fairSpread <<
+                   "\n  fair spread:     " << parAssetSwap.fairSpread() <<
+                   "\n  tolerance:       " << tolerance);
     }
 
     assetSwap2 = AssetSwap(payFixedRate,
@@ -261,28 +263,29 @@ void AssetSwapTest::testConsistency() {
                            isPar);
     assetSwap2.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap2.NPV())>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  clean price:      " << bondPrice <<
-                    "\n  fair clean price: " << fairCleanPrice <<
-                    "\n  NPV:              " << assetSwap2.NPV() <<
-                    "\n  tolerance:        " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  clean price:      " << bondPrice <<
+                   "\n  fair clean price: " << fairCleanPrice <<
+                   "\n  NPV:              " << assetSwap2.NPV() <<
+                   "\n  tolerance:        " << tolerance);
     }
     if (std::fabs(assetSwap2.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:  " << assetSwap2.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap2.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << fairCleanPrice <<
+                   "\n  fair clean price:  " << assetSwap2.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap2.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap2.fairSpread() - vars.spread)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << vars.spread <<
-                    "\n  fair spread:  " << assetSwap2.fairSpread() <<
-                    "\n  NPV:          " << assetSwap2.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << vars.spread <<
+                   "\n  fair spread:  " << assetSwap2.fairSpread() <<
+                   "\n  NPV:          " << assetSwap2.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     assetSwap3 = AssetSwap(payFixedRate,
@@ -293,28 +296,29 @@ void AssetSwapTest::testConsistency() {
                            isPar);
     assetSwap3.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap3.NPV())>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  spread:      " << vars.spread <<
-                    "\n  fair spread: " << fairSpread <<
-                    "\n  NPV:         " << assetSwap3.NPV() <<
-                    "\n  tolerance:   " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  spread:      " << vars.spread <<
+                   "\n  fair spread: " << fairSpread <<
+                   "\n  NPV:         " << assetSwap3.NPV() <<
+                   "\n  tolerance:   " << tolerance);
     }
     if (std::fabs(assetSwap3.fairCleanPrice() - bondPrice)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << bondPrice <<
-                    "\n  fair clean price:  " << assetSwap3.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap3.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\npar asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << bondPrice <<
+                   "\n  fair clean price:  " << assetSwap3.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap3.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap3.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << fairSpread <<
-                    "\n  fair spread:  " << assetSwap3.fairSpread() <<
-                    "\n  NPV:          " << assetSwap3.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\npar asset swap fair spread doesn't equal input spread at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << fairSpread <<
+                   "\n  fair spread:  " << assetSwap3.fairSpread() <<
+                   "\n  NPV:          " << assetSwap3.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
 
@@ -348,28 +352,29 @@ void AssetSwapTest::testConsistency() {
                          isPar);
     assetSwap4.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap4.NPV())>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  clean price:      " << bondPrice <<
-                    "\n  fair clean price: " << fairCleanPrice <<
-                    "\n  NPV:              " << assetSwap4.NPV() <<
-                    "\n  tolerance:        " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  clean price:      " << bondPrice <<
+                   "\n  fair clean price: " << fairCleanPrice <<
+                   "\n  NPV:              " << assetSwap4.NPV() <<
+                   "\n  tolerance:        " << tolerance);
     }
     if (std::fabs(assetSwap4.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:  " << assetSwap4.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap4.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << fairCleanPrice <<
+                   "\n  fair clean price:  " << assetSwap4.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap4.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap4.fairSpread() - vars.spread)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << vars.spread <<
-                    "\n  fair spread:  " << assetSwap4.fairSpread() <<
-                    "\n  NPV:          " << assetSwap4.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't equal input spread"
+                   " at zero NPV: " << QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << vars.spread <<
+                   "\n  fair spread:  " << assetSwap4.fairSpread() <<
+                   "\n  NPV:          " << assetSwap4.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     AssetSwap assetSwap5(payFixedRate,
@@ -380,28 +385,29 @@ void AssetSwapTest::testConsistency() {
                          isPar);
     assetSwap5.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap5.NPV())>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  spread:      " << vars.spread <<
-                    "\n  fair spread: " << fairSpread <<
-                    "\n  NPV:         " << assetSwap5.NPV() <<
-                    "\n  tolerance:   " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  spread:      " << vars.spread <<
+                   "\n  fair spread: " << fairSpread <<
+                   "\n  NPV:         " << assetSwap5.NPV() <<
+                   "\n  tolerance:   " << tolerance);
     }
     if (std::fabs(assetSwap5.fairCleanPrice() - bondPrice)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << bondPrice <<
-                    "\n  fair clean price:  " << assetSwap5.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap5.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << bondPrice <<
+                   "\n  fair clean price:  " << assetSwap5.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap5.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap5.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << fairSpread <<
-                    "\n  fair spread:  " << assetSwap5.fairSpread() <<
-                    "\n  NPV:          " << assetSwap5.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << fairSpread <<
+                   "\n  fair spread:  " << assetSwap5.fairSpread() <<
+                   "\n  NPV:          " << assetSwap5.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     // let's change the npv date
@@ -414,82 +420,84 @@ void AssetSwapTest::testConsistency() {
     mktAssetSwap.setPricingEngine(swapEngine);
     // fair clean price and fair spread should not change
     if (std::fabs(mktAssetSwap.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price changed with NpvDate:" <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  expected clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:  " << mktAssetSwap.fairCleanPrice() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price changed with NpvDate:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  expected clean price: " << fairCleanPrice <<
+                   "\n  fair clean price:  " << mktAssetSwap.fairCleanPrice() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(mktAssetSwap.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread changed with NpvDate:" <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  expected spread: " << fairSpread <<
-                    "\n  fair spread:  " << mktAssetSwap.fairSpread() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread changed with NpvDate:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  expected spread: " << fairSpread <<
+                   "\n  fair spread:  " << mktAssetSwap.fairSpread() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
     assetSwap4 = AssetSwap(payFixedRate,
-                         bond, fairCleanPrice,
-                         vars.iborIndex, vars.spread,
-                         Schedule(),
-                         vars.iborIndex->dayCounter(),
-                         isPar);
+                           bond, fairCleanPrice,
+                           vars.iborIndex, vars.spread,
+                           Schedule(),
+                           vars.iborIndex->dayCounter(),
+                           isPar);
     assetSwap4.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap4.NPV())>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  clean price:      " << bondPrice <<
-                    "\n  fair clean price: " << fairCleanPrice <<
-                    "\n  NPV:              " << assetSwap4.NPV() <<
-                    "\n  tolerance:        " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  clean price:      " << bondPrice <<
+                   "\n  fair clean price: " << fairCleanPrice <<
+                   "\n  NPV:              " << assetSwap4.NPV() <<
+                   "\n  tolerance:        " << tolerance);
     }
     if (std::fabs(assetSwap4.fairCleanPrice() - fairCleanPrice)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << fairCleanPrice <<
-                    "\n  fair clean price:  " << assetSwap4.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap4.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << fairCleanPrice <<
+                   "\n  fair clean price:  " << assetSwap4.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap4.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap4.fairSpread() - vars.spread)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << vars.spread <<
-                    "\n  fair spread:  " << assetSwap4.fairSpread() <<
-                    "\n  NPV:          " << assetSwap4.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << vars.spread <<
+                   "\n  fair spread:  " << assetSwap4.fairSpread() <<
+                   "\n  NPV:          " << assetSwap4.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
      assetSwap5 = AssetSwap(payFixedRate,
-                         bond, bondPrice,
-                         vars.iborIndex, fairSpread,
-                         Schedule(),
-                         vars.iborIndex->dayCounter(),
-                         isPar);
+                            bond, bondPrice,
+                            vars.iborIndex, fairSpread,
+                            Schedule(),
+                            vars.iborIndex->dayCounter(),
+                            isPar);
     assetSwap5.setPricingEngine(swapEngine);
     if (std::fabs(assetSwap5.NPV())>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't zero the NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  spread:      " << vars.spread <<
-                    "\n  fair spread: " << fairSpread <<
-                    "\n  NPV:         " << assetSwap5.NPV() <<
-                    "\n  tolerance:   " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't zero the NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  spread:      " << vars.spread <<
+                   "\n  fair spread: " << fairSpread <<
+                   "\n  NPV:         " << assetSwap5.NPV() <<
+                   "\n  tolerance:   " << tolerance);
     }
     if (std::fabs(assetSwap5.fairCleanPrice() - bondPrice)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input clean price: " << bondPrice <<
-                    "\n  fair clean price:  " << assetSwap5.fairCleanPrice() <<
-                    "\n  NPV:               " << assetSwap5.NPV() <<
-                    "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair clean price doesn't equal input "
+                   "clean price at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input clean price: " << bondPrice <<
+                   "\n  fair clean price:  " << assetSwap5.fairCleanPrice() <<
+                   "\n  NPV:               " << assetSwap5.NPV() <<
+                   "\n  tolerance:         " << tolerance);
     }
     if (std::fabs(assetSwap5.fairSpread() - fairSpread)>tolerance) {
-        BOOST_ERROR("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
-                    QL_FIXED << std::setprecision(4) <<
-                    "\n  input spread: " << fairSpread <<
-                    "\n  fair spread:  " << assetSwap5.fairSpread() <<
-                    "\n  NPV:          " << assetSwap5.NPV() <<
-                    "\n  tolerance:    " << tolerance);
+        BOOST_FAIL("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  input spread: " << fairSpread <<
+                   "\n  fair spread:  " << assetSwap5.fairSpread() <<
+                   "\n  NPV:          " << assetSwap5.NPV() <<
+                   "\n  tolerance:    " << tolerance);
     }
 
 }
@@ -543,13 +551,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error1 = std::fabs(fixedBondAssetSwapPrice1-fixedBondPrice1);
 
     if (error1>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << fixedBondPrice1
-                    << "\n  asset swap fair price: " << fixedBondAssetSwapPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error1
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for fixed bond:" <<
+                    QL_FIXED << std::setprecision(4) <<
+                    "\n  bond's clean price:    " << fixedBondPrice1 <<
+                    "\n  asset swap fair price: " << fixedBondAssetSwapPrice1 <<
+                    QL_SCIENTIFIC << std::setprecision(2) <<
+                    "\n  error:                 " << error1 <<
+                    "\n  tolerance:             " << tolerance);
     }
 
     // Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
@@ -582,13 +590,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error2 = std::fabs(fixedBondAssetSwapPrice2-fixedBondPrice2);
 
     if (error2>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << fixedBondPrice2
-                    << "\n  asset swap fair price: " << fixedBondAssetSwapPrice2
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error2
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << fixedBondPrice2 <<
+                   "\n  asset swap fair price: " << fixedBondAssetSwapPrice2 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error2 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
@@ -628,13 +636,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error3 = std::fabs(floatingBondAssetSwapPrice1-floatingBondPrice1);
 
     if (error3>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for floater:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << floatingBondPrice1
-                    << "\n  asset swap fair price: " << floatingBondAssetSwapPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error3
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for floater:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << floatingBondPrice1 <<
+                   "\n  asset swap fair price: " << floatingBondAssetSwapPrice1 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error3 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
@@ -665,15 +673,15 @@ void AssetSwapTest::testImpliedValue() {
     Rate floatingCurrentCoupon= floatingBond2->nextCouponRate();
     Real error4= std::fabs(floatingCurrentCoupon-currentCoupon);
     if (error4>tolerance) {
-        BOOST_ERROR("wrong current coupon is returned for floater bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's calculated current coupon:      "
-                    << currentCoupon
-                    << "\n  current coupon asked to the bond: "
-                    << floatingCurrentCoupon
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error4
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong current coupon is returned for floater bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's calculated current coupon:      " <<
+                   currentCoupon <<
+                   "\n  current coupon asked to the bond: " <<
+                   floatingCurrentCoupon <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error4 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     Real floatingBondPrice2 = floatingBond2->cleanPrice();
@@ -688,13 +696,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error5 = std::fabs(floatingBondAssetSwapPrice2-floatingBondPrice2);
 
     if (error5>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for floater:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << floatingBondPrice2
-                    << "\n  asset swap fair price: " << floatingBondAssetSwapPrice2
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error5
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for floater:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << floatingBondPrice2 <<
+                   "\n  asset swap fair price: " << floatingBondAssetSwapPrice2 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error5 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
@@ -733,13 +741,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error6 = std::fabs(cmsBondAssetSwapPrice1-cmsBondPrice1);
 
     if (error6>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for cms bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << cmsBondPrice1
-                    << "\n  asset swap fair price: " << cmsBondAssetSwapPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error6
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for cms bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << cmsBondPrice1 <<
+                   "\n  asset swap fair price: " << cmsBondAssetSwapPrice1 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error6 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
      // CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
@@ -775,13 +783,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error7 = std::fabs(cmsBondAssetSwapPrice2-cmsBondPrice2);
 
     if (error7>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for cms bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << cmsBondPrice2
-                    << "\n  asset swap fair price: " << cmsBondAssetSwapPrice2
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error7
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for cms bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << cmsBondPrice2 <<
+                   "\n  asset swap fair price: " << cmsBondAssetSwapPrice2 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error7 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
@@ -807,13 +815,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error8 = std::fabs(cmsBondAssetSwapPrice1-cmsBondPrice1);
 
     if (error8>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for zero cpn bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:    " << zeroCpnBondPrice1
-                    << "\n  asset swap fair price: " << zeroCpnBondAssetSwapPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error8
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for zero cpn bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:    " << zeroCpnBondPrice1 <<
+                   "\n  asset swap fair price: " << zeroCpnBondAssetSwapPrice1 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error8 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
@@ -839,13 +847,13 @@ void AssetSwapTest::testImpliedValue() {
     Real error9 = std::fabs(cmsBondAssetSwapPrice2-cmsBondPrice2);
 
     if (error9>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for zero cpn bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  bond's clean price:      " << zeroCpnBondPrice2
-                    << "\n  asset swap fair price:   " << zeroCpnBondAssetSwapPrice2
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                   " << error9
-                    << "\n  tolerance:               " << tolerance);
+        BOOST_FAIL("wrong zero spread asset swap price for zero cpn bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  bond's clean price:      " << zeroCpnBondPrice2 <<
+                   "\n  asset swap fair price:   " << zeroCpnBondAssetSwapPrice2 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                   " << error9 <<
+                   "\n  tolerance:               " << tolerance);
     }
 }
 
@@ -910,13 +918,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
 
     if (error1>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(fixedBondMktAssetSwapSpread1)
-                    << "\n  par ASW spread:    " << io::rate(fixedBondParAssetSwapSpread1)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error1
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(fixedBondMktAssetSwapSpread1) <<
+                   "\n  par ASW spread:    " << io::rate(fixedBondParAssetSwapSpread1) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error1 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
@@ -958,13 +966,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
 
     if (error2>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(fixedBondMktAssetSwapSpread2)
-                    << "\n  par ASW spread:    " << io::rate(fixedBondParAssetSwapSpread2)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error2
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(fixedBondMktAssetSwapSpread2) <<
+                   "\n  par ASW spread:    " << io::rate(fixedBondParAssetSwapSpread2) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error2 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
@@ -1017,13 +1025,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
 
     if (error3>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for floating bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(floatingBondMktAssetSwapSpread1)
-                    << "\n  par ASW spread:    " << io::rate(floatingBondParAssetSwapSpread1)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error3
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for floating bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(floatingBondMktAssetSwapSpread1) <<
+                   "\n  par ASW spread:    " << io::rate(floatingBondParAssetSwapSpread1) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error3 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
@@ -1075,13 +1083,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
 
     if (error4>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for floating bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(floatingBondMktAssetSwapSpread2)
-                    << "\n  par ASW spread:    " << io::rate(floatingBondParAssetSwapSpread2)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error4
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for floating bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(floatingBondMktAssetSwapSpread2) <<
+                   "\n  par ASW spread:    " << io::rate(floatingBondParAssetSwapSpread2) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error4 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
@@ -1128,13 +1136,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
 
     if (error5>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for cms bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(cmsBondMktAssetSwapSpread1)
-                    << "\n  par ASW spread:    " << io::rate(cmsBondParAssetSwapSpread1)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error5
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for cms bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(cmsBondMktAssetSwapSpread1) <<
+                   "\n  par ASW spread:    " << io::rate(cmsBondParAssetSwapSpread1) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error5 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
      // CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
@@ -1181,13 +1189,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
 
     if (error6>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for cms bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(cmsBondMktAssetSwapSpread2)
-                    << "\n  par ASW spread:    " << io::rate(cmsBondParAssetSwapSpread2)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error6
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for cms bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(cmsBondMktAssetSwapSpread2) <<
+                   "\n  par ASW spread:    " << io::rate(cmsBondParAssetSwapSpread2) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error6 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
@@ -1226,13 +1234,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
 
     if (error7>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for zero cpn bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(zeroCpnBondMktAssetSwapSpread1)
-                    << "\n  par ASW spread:    " << io::rate(zeroCpnBondParAssetSwapSpread1)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error7
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for zero cpn bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(zeroCpnBondMktAssetSwapSpread1) <<
+                   "\n  par ASW spread:    " << io::rate(zeroCpnBondParAssetSwapSpread1) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error7 <<
+                   "\n  tolerance:         " << tolerance);
     }
 
     // Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
@@ -1273,13 +1281,13 @@ void AssetSwapTest::testMarketASWSpread() {
                   100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
 
     if (error8>tolerance) {
-        BOOST_ERROR("wrong asset swap spreads for zero cpn bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market ASW spread: " << io::rate(zeroCpnBondMktAssetSwapSpread2)
-                    << "\n  par ASW spread:    " << io::rate(zeroCpnBondParAssetSwapSpread2)
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:             " << error8
-                    << "\n  tolerance:         " << tolerance);
+        BOOST_FAIL("wrong asset swap spreads for zero cpn bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market ASW spread: " << io::rate(zeroCpnBondMktAssetSwapSpread2) <<
+                   "\n  par ASW spread:    " << io::rate(zeroCpnBondParAssetSwapSpread2) <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:             " << error8 <<
+                   "\n  tolerance:         " << tolerance);
     }
 }
 
@@ -1325,14 +1333,14 @@ void AssetSwapTest::testZSpread() {
     Real tolerance = 1.0e-13;
     Real error1 = std::fabs(fixedBondImpliedValue1-fixedBondCleanPrice1);
     if (error1>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market asset swap spread: "
-                    << fixedBondImpliedValue1
-                    << "\n  par asset swap spread: " << fixedBondCleanPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error1
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong clean price for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market asset swap spread: " <<
+                   fixedBondImpliedValue1 <<
+                   "\n  par asset swap spread: " << fixedBondCleanPrice1 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error1 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // Fixed bond (Isin: IT0006527060 IBRD 5 02/05/19)
@@ -1361,14 +1369,14 @@ void AssetSwapTest::testZSpread() {
          fixedBondSettlementDate2);
     Real error3 = std::fabs(fixedBondImpliedValue2-fixedBondCleanPrice2);
     if (error3>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market asset swap spread: " <<
-                    fixedBondImpliedValue2
-                    << "\n  par asset swap spread: " << fixedBondCleanPrice2
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error3
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong clean price for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market asset swap spread: " <<
+                   fixedBondImpliedValue2 <<
+                   "\n  par asset swap spread: " << fixedBondCleanPrice2 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error3 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // FRN bond (Isin: IT0003543847 ISPIM 0 09/29/13)
@@ -1404,14 +1412,14 @@ void AssetSwapTest::testZSpread() {
         fixedBondSettlementDate1);
     Real error5 = std::fabs(floatingBondImpliedValue1-floatingBondCleanPrice1);
     if (error5>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
-                    << QL_FIXED << std::setprecision(4)
-                    << "\n  market asset swap spread: " <<
-                    floatingBondImpliedValue1
-                    << "\n  par asset swap spread: " << floatingBondCleanPrice1
-                    << QL_SCIENTIFIC << std::setprecision(2)
-                    << "\n  error:                 " << error5
-                    << "\n  tolerance:             " << tolerance);
+        BOOST_FAIL("wrong clean price for fixed bond:" <<
+                   QL_FIXED << std::setprecision(4) <<
+                   "\n  market asset swap spread: " <<
+                   floatingBondImpliedValue1 <<
+                   "\n  par asset swap spread: " << floatingBondCleanPrice1 <<
+                   QL_SCIENTIFIC << std::setprecision(2) <<
+                   "\n  error:                 " << error5 <<
+                   "\n  tolerance:             " << tolerance);
     }
 
     // FRN bond (Isin: XS0090566539 COE 0 09/24/18)
@@ -1446,7 +1454,7 @@ void AssetSwapTest::testZSpread() {
         fixedBondSettlementDate1);
     Real error7 = std::fabs(floatingBondImpliedValue2-floatingBondCleanPrice2);
     if (error7>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " <<
                     floatingBondImpliedValue2
@@ -1487,7 +1495,7 @@ void AssetSwapTest::testZSpread() {
         cmsBondSettlementDate1);
     Real error9 = std::fabs(cmsBondImpliedValue1-cmsBondCleanPrice1);
     if (error9>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " << cmsBondImpliedValue1
                     << "\n  par asset swap spread: " << cmsBondCleanPrice1
@@ -1527,7 +1535,7 @@ void AssetSwapTest::testZSpread() {
          cmsBondSettlementDate2);
     Real error11 = std::fabs(cmsBondImpliedValue2-cmsBondCleanPrice2);
     if (error11>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " << cmsBondImpliedValue2
                     << "\n  par asset swap spread: " << cmsBondCleanPrice2
@@ -1560,7 +1568,7 @@ void AssetSwapTest::testZSpread() {
                               zeroCpnBondSettlementDate1);
     Real error13 = std::fabs(zeroCpnBondImpliedValue1-zeroCpnBondCleanPrice1);
     if (error13>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  zero cpn implied value: " <<
                     zeroCpnBondImpliedValue1
@@ -1594,7 +1602,7 @@ void AssetSwapTest::testZSpread() {
                               zeroCpnBondSettlementDate2);
     Real error15 = std::fabs(zeroCpnBondImpliedValue2-zeroCpnBondCleanPrice2);
     if (error15>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  zero cpn implied value: " <<
                     zeroCpnBondImpliedValue2
@@ -1659,7 +1667,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error1 = std::fabs(fixedBondAssetSwapPrice1-fixedBondPrice1);
 
     if (error1>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for fixed bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << fixedBondPrice1
                     << "\n  asset swap fair price: " << fixedBondAssetSwapPrice1
@@ -1701,7 +1709,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error2 = std::fabs(fixedBondAssetSwapPrice2-fixedBondPrice2);
 
     if (error2>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for fixed bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << fixedBondPrice2
                     << "\n  asset swap fair price: " << fixedBondAssetSwapPrice2
@@ -1749,7 +1757,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error3 = std::fabs(floatingBondAssetSwapPrice1-floatingBondPrice1);
 
     if (error3>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for floater:"
+        BOOST_FAIL("wrong zero spread asset swap price for floater:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << floatingBondPrice1
                     << "\n  asset swap fair price: " <<
@@ -1791,7 +1799,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Rate floatingCurrentCoupon= floatingBond2->nextCouponRate();
     Real error4= std::fabs(floatingCurrentCoupon-currentCoupon);
     if (error4>tolerance) {
-        BOOST_ERROR("wrong current coupon is returned for floater bond:"
+        BOOST_FAIL("wrong current coupon is returned for floater bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's calculated current coupon:      " <<
                     currentCoupon
@@ -1814,7 +1822,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error5 = std::fabs(floatingBondAssetSwapPrice2-floatingBondPrice2);
 
     if (error5>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for floater:"
+        BOOST_FAIL("wrong zero spread asset swap price for floater:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << floatingBondPrice2
                     << "\n  asset swap fair price: " <<
@@ -1863,7 +1871,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error6 = std::fabs(cmsBondAssetSwapPrice1-cmsBondPrice1);
 
     if (error6>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for cms bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << cmsBondPrice1
                     << "\n  asset swap fair price: " << cmsBondAssetSwapPrice1
@@ -1910,7 +1918,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error7 = std::fabs(cmsBondAssetSwapPrice2-cmsBondPrice2);
 
     if (error7>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for cms bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << cmsBondPrice2
                     << "\n  asset swap fair price: " << cmsBondAssetSwapPrice2
@@ -1944,7 +1952,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error8 = std::fabs(zeroCpnBondAssetSwapPrice1-zeroCpnBondPrice1);
 
     if (error8>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for zero cpn bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for zero cpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << zeroCpnBondPrice1
                     << "\n  asset swap fair price: " << zeroCpnBondAssetSwapPrice1
@@ -1978,7 +1986,7 @@ void AssetSwapTest::testGenericBondImplied() {
     Real error9 = std::fabs(cmsBondAssetSwapPrice2-cmsBondPrice2);
 
     if (error9>tolerance) {
-        BOOST_ERROR("wrong zero spread asset swap price for zero cpn bond:"
+        BOOST_FAIL("wrong zero spread asset swap price for zero cpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  bond's clean price:    " << zeroCpnBondPrice2
                     << "\n  asset swap fair price: " << zeroCpnBondAssetSwapPrice2
@@ -2056,7 +2064,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
 
     if (error1>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for fixed bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for fixed bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(fixedBondMktAssetSwapSpread1) <<
                     "\n  par asset swap spread:    " << io::rate(fixedBondParAssetSwapSpread1) <<
@@ -2109,7 +2117,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
 
     if (error2>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for fixed bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for fixed bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(fixedBondMktAssetSwapSpread2) <<
                     "\n  par asset swap spread:    " << io::rate(fixedBondParAssetSwapSpread2) <<
@@ -2172,7 +2180,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
 
     if (error3>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for floating bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for floating bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(floatingBondMktAssetSwapSpread1) <<
                     "\n  par asset swap spread:    " << io::rate(floatingBondParAssetSwapSpread1) <<
@@ -2236,7 +2244,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
 
     if (error4>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for floating bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for floating bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(floatingBondMktAssetSwapSpread2) <<
                     "\n  par asset swap spread:    " << io::rate(floatingBondParAssetSwapSpread2) <<
@@ -2295,7 +2303,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
 
     if (error5>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for cms bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for cms bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(cmsBondMktAssetSwapSpread1) <<
                     "\n  par asset swap spread:    " << io::rate(cmsBondParAssetSwapSpread1) <<
@@ -2353,7 +2361,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
 
     if (error6>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for cms bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for cms bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(cmsBondMktAssetSwapSpread2) <<
                     "\n  par asset swap spread:    " << io::rate(cmsBondParAssetSwapSpread2) <<
@@ -2400,7 +2408,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
 
     if (error7>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for zero cpn bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for zero cpn bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(zeroCpnBondMktAssetSwapSpread1) <<
                     "\n  par asset swap spread:    " << io::rate(zeroCpnBondParAssetSwapSpread1) <<
@@ -2448,7 +2456,7 @@ void AssetSwapTest::testMASWWithGenericBond() {
                   100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
 
     if (error8>tolerance)
-        BOOST_ERROR("wrong asset swap spreads for zero cpn bond:" <<
+        BOOST_FAIL("wrong asset swap spreads for zero cpn bond:" <<
                     QL_FIXED << std::setprecision(4) <<
                     "\n  market asset swap spread: " << io::rate(zeroCpnBondMktAssetSwapSpread2) <<
                     "\n  par asset swap spread:    " << io::rate(zeroCpnBondParAssetSwapSpread2) <<
@@ -2506,7 +2514,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
     Real tolerance = 1.0e-13;
     Real error1 = std::fabs(fixedBondImpliedValue1-fixedBondCleanPrice1);
     if (error1>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: "
                     << fixedBondImpliedValue1
@@ -2549,7 +2557,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
          fixedBondSettlementDate2);
     Real error3 = std::fabs(fixedBondImpliedValue2-fixedBondCleanPrice2);
     if (error3>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: "
                     << fixedBondImpliedValue2
@@ -2597,7 +2605,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
         fixedBondSettlementDate1);
     Real error5 = std::fabs(floatingBondImpliedValue1-floatingBondCleanPrice1);
     if (error5>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " <<
                     floatingBondImpliedValue1
@@ -2646,7 +2654,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
         fixedBondSettlementDate1);
     Real error7 = std::fabs(floatingBondImpliedValue2-floatingBondCleanPrice2);
     if (error7>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " <<
                     floatingBondImpliedValue2
@@ -2694,7 +2702,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
          cmsBondSettlementDate1);
     Real error9 = std::fabs(cmsBondImpliedValue1-cmsBondCleanPrice1);
     if (error9>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " << cmsBondImpliedValue1
                     << "\n  par asset swap spread: " << cmsBondCleanPrice1
@@ -2740,7 +2748,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
          cmsBondSettlementDate2);
     Real error11 = std::fabs(cmsBondImpliedValue2-cmsBondCleanPrice2);
     if (error11>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  market asset swap spread: " << cmsBondImpliedValue2
                     << "\n  par asset swap spread: " << cmsBondCleanPrice2
@@ -2776,7 +2784,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
                               zeroCpnBondSettlementDate1);
     Real error13 = std::fabs(zeroCpnBondImpliedValue1-zeroCpnBondCleanPrice1);
     if (error13>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  zero cpn implied value: " <<
                     zeroCpnBondImpliedValue1
@@ -2813,7 +2821,7 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
                               zeroCpnBondSettlementDate2);
     Real error15 = std::fabs(zeroCpnBondImpliedValue2-zeroCpnBondCleanPrice2);
     if (error15>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  zero cpn implied value: " <<
                     zeroCpnBondImpliedValue2
@@ -2875,7 +2883,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real tolerance = 1.0e-13;
     Real error1 = std::fabs(fixedBondTheoValue1-fixedSpecializedBondTheoValue1);
     if (error1>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  specialized fixed rate bond's theo clean price: "
                     << fixedBondTheoValue1
@@ -2890,7 +2898,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
                                   fixedSpecializedBond1->accruedAmount();
     Real error2 = std::fabs(fixedBondTheoDirty1-fixedSpecializedTheoDirty1);
     if (error2>tolerance) {
-        BOOST_ERROR("wrong dirty price for fixed bond:"
+        BOOST_FAIL("wrong dirty price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  specialized fixed rate bond's theo dirty price: "
                     << fixedBondTheoDirty1
@@ -2937,7 +2945,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
 
     Real error3 = std::fabs(fixedBondTheoValue2-fixedSpecializedBondTheoValue2);
     if (error3>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  specialized fixed rate bond's theo clean price: "
                     << fixedBondTheoValue2
@@ -2953,7 +2961,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
 
     Real error4 = std::fabs(fixedBondTheoDirty2-fixedSpecializedBondTheoDirty2);
     if (error4>tolerance) {
-        BOOST_ERROR("wrong dirty price for fixed bond:"
+        BOOST_FAIL("wrong dirty price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  specialized fixed rate bond's dirty clean price: "
                     << fixedBondTheoDirty2
@@ -3013,7 +3021,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error5 = std::fabs(floatingBondTheoValue1-
                             floatingSpecializedBondTheoValue1);
     if (error5>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic fixed rate bond's theo clean price: "
                     << floatingBondTheoValue1
@@ -3031,7 +3039,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error6 = std::fabs(floatingBondTheoDirty1-
                             floatingSpecializedBondTheoDirty1);
     if (error6>tolerance) {
-        BOOST_ERROR("wrong dirty price for frn bond:"
+        BOOST_FAIL("wrong dirty price for frn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic frn bond's dirty clean price: "
                     << floatingBondTheoDirty1
@@ -3094,7 +3102,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error7 =
         std::fabs(floatingBondTheoValue2-floatingSpecializedBondTheoValue2);
     if (error7>tolerance) {
-        BOOST_ERROR("wrong clean price for floater bond:"
+        BOOST_FAIL("wrong clean price for floater bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic floater bond's theo clean price: "
                     << floatingBondTheoValue2
@@ -3112,7 +3120,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error8 =
         std::fabs(floatingBondTheoDirty2-floatingSpecializedTheoDirty2);
     if (error8>tolerance) {
-        BOOST_ERROR("wrong dirty price for floater bond:"
+        BOOST_FAIL("wrong dirty price for floater bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic floater bond's theo dirty price: "
                     << floatingBondTheoDirty2
@@ -3168,7 +3176,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real cmsSpecializedBondTheoValue1 = cmsSpecializedBond1->cleanPrice();
     Real error9 = std::fabs(cmsBondTheoValue1-cmsSpecializedBondTheoValue1);
     if (error9>tolerance) {
-        BOOST_ERROR("wrong clean price for cms bond:"
+        BOOST_FAIL("wrong clean price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic cms bond's theo clean price: "
                     << cmsBondTheoValue1
@@ -3183,7 +3191,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
                                     cmsSpecializedBond1->accruedAmount();
     Real error10 = std::fabs(cmsBondTheoDirty1-cmsSpecializedBondTheoDirty1);
     if (error10>tolerance) {
-        BOOST_ERROR("wrong dirty price for cms bond:"
+        BOOST_FAIL("wrong dirty price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n generic cms bond's theo dirty price: "
                     << cmsBondTheoDirty1
@@ -3238,7 +3246,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
 
     Real error11 = std::fabs(cmsBondTheoValue2-cmsSpecializedBondTheoValue2);
     if (error11>tolerance) {
-        BOOST_ERROR("wrong clean price for cms bond:"
+        BOOST_FAIL("wrong clean price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic cms bond's theo clean price: "
                     << cmsBondTheoValue2
@@ -3253,7 +3261,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
         cmsSpecializedBondTheoValue2+cmsSpecializedBond2->accruedAmount();
     Real error12 = std::fabs(cmsBondTheoDirty2-cmsSpecializedBondTheoDirty2);
     if (error12>tolerance) {
-        BOOST_ERROR("wrong dirty price for cms bond:"
+        BOOST_FAIL("wrong dirty price for cms bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic cms bond's dirty price: "
                     << cmsBondTheoDirty2
@@ -3293,7 +3301,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error13 =
         std::fabs(zeroCpnBondTheoValue1-zeroCpnSpecializedBondTheoValue1);
     if (error13>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zero bond's clean price: "
                     << zeroCpnBondTheoValue1
@@ -3311,7 +3319,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error14 =
         std::fabs(zeroCpnBondTheoDirty1-zeroCpnSpecializedBondTheoDirty1);
     if (error14>tolerance) {
-        BOOST_ERROR("wrong dirty price for zero bond:"
+        BOOST_FAIL("wrong dirty price for zero bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zerocpn bond's dirty price: "
                     << zeroCpnBondTheoDirty1
@@ -3351,7 +3359,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error15 =
         std::fabs(zeroCpnBondTheoValue2 -zeroCpnSpecializedBondTheoValue2);
     if (error15>tolerance) {
-        BOOST_ERROR("wrong clean price for zero coupon bond:"
+        BOOST_FAIL("wrong clean price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zerocpn bond's clean price: "
                     << zeroCpnBondTheoValue2
@@ -3371,7 +3379,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBond() {
     Real error16 =
         std::fabs(zeroCpnBondTheoDirty2-zeroCpnSpecializedBondTheoDirty2);
     if (error16>tolerance) {
-        BOOST_ERROR("wrong dirty price for zero coupon bond:"
+        BOOST_FAIL("wrong dirty price for zero coupon bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zerocpn bond's dirty price: "
                     << zeroCpnBondTheoDirty2
@@ -3458,7 +3466,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error1 =
         std::fabs(fixedBondAssetSwapPrice1-fixedSpecializedBondAssetSwapPrice1);
     if (error1>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  fixed rate bond's  clean price: "
                     << fixedBondAssetSwapPrice1
@@ -3489,7 +3497,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real fixedSpecializedBondASWSpread1 = fixedSpecializedBondASW1.fairSpread();
     Real error2 = std::fabs(fixedBondASWSpread1-fixedSpecializedBondASWSpread1);
     if (error2>tolerance) {
-        BOOST_ERROR("wrong asw spread  for fixed bond:"
+        BOOST_FAIL("wrong asw spread  for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  fixed rate bond's  asw spread: "
                     << fixedBondASWSpread1
@@ -3557,7 +3565,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error3 =
         std::fabs(fixedBondAssetSwapPrice2-fixedSpecializedBondAssetSwapPrice2);
     if (error3>tolerance) {
-        BOOST_ERROR("wrong clean price for fixed bond:"
+        BOOST_FAIL("wrong clean price for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  fixed rate bond's clean price: "
                     << fixedBondAssetSwapPrice2
@@ -3588,7 +3596,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real fixedSpecializedBondASWSpread2 = fixedSpecializedBondASW2.fairSpread();
     Real error4 = std::fabs(fixedBondASWSpread2-fixedSpecializedBondASWSpread2);
     if (error4>tolerance) {
-        BOOST_ERROR("wrong asw spread for fixed bond:"
+        BOOST_FAIL("wrong asw spread for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  fixed rate bond's  asw spread: "
                     << fixedBondASWSpread2
@@ -3667,7 +3675,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error5 =
         std::fabs(floatingBondAssetSwapPrice1-floatingSpecializedBondAssetSwapPrice1);
     if (error5>tolerance) {
-        BOOST_ERROR("wrong clean price for frnbond:"
+        BOOST_FAIL("wrong clean price for frnbond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic frn rate bond's clean price: "
                     << floatingBondAssetSwapPrice1
@@ -3700,7 +3708,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error6 =
         std::fabs(floatingBondASWSpread1-floatingSpecializedBondASWSpread1);
     if (error6>tolerance) {
-        BOOST_ERROR("wrong asw spread for fixed bond:"
+        BOOST_FAIL("wrong asw spread for fixed bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  frn rate bond's  asw spread: "
                     << floatingBondASWSpread1
@@ -3780,7 +3788,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error7 =
         std::fabs(floatingBondAssetSwapPrice2-floatingSpecializedBondAssetSwapPrice2);
     if (error7>tolerance) {
-        BOOST_ERROR("wrong clean price for frnbond:"
+        BOOST_FAIL("wrong clean price for frnbond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic frn rate bond's clean price: "
                     << floatingBondAssetSwapPrice2
@@ -3813,7 +3821,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error8 =
         std::fabs(floatingBondASWSpread2-floatingSpecializedBondASWSpread2);
     if (error8>tolerance) {
-        BOOST_ERROR("wrong asw spread for frn bond:"
+        BOOST_FAIL("wrong asw spread for frn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  frn rate bond's  asw spread: "
                     << floatingBondASWSpread2
@@ -3886,7 +3894,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error9 =
         std::fabs(cmsBondAssetSwapPrice1-cmsSpecializedBondAssetSwapPrice1);
     if (error9>tolerance) {
-        BOOST_ERROR("wrong clean price for cmsbond:"
+        BOOST_FAIL("wrong clean price for cmsbond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic bond's clean price: "
                     << cmsBondAssetSwapPrice1
@@ -3916,7 +3924,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real cmsSpecializedBondASWSpread1 = cmsSpecializedBondASW1.fairSpread();
     Real error10 = std::fabs(cmsBondASWSpread1-cmsSpecializedBondASWSpread1);
     if (error10>tolerance) {
-        BOOST_ERROR("wrong asw spread for cm bond:"
+        BOOST_FAIL("wrong asw spread for cm bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic cms rate bond's  asw spread: "
                     << cmsBondASWSpread1
@@ -3988,7 +3996,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error11 =
         std::fabs(cmsBondAssetSwapPrice2-cmsSpecializedBondAssetSwapPrice2);
     if (error11>tolerance) {
-        BOOST_ERROR("wrong clean price for cmsbond:"
+        BOOST_FAIL("wrong clean price for cmsbond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic  bond's clean price: "
                     << cmsBondAssetSwapPrice2
@@ -4018,7 +4026,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real cmsSpecializedBondASWSpread2 = cmsSpecializedBondASW2.fairSpread();
     Real error12 = std::fabs(cmsBondASWSpread2-cmsSpecializedBondASWSpread2);
     if (error12>tolerance) {
-        BOOST_ERROR("wrong asw spread for cm bond:"
+        BOOST_FAIL("wrong asw spread for cm bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic cms rate bond's  asw spread: "
                     << cmsBondASWSpread2
@@ -4076,7 +4084,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error13 =
         std::fabs(zeroCpnBondAssetSwapPrice1-zeroCpnSpecializedBondAssetSwapPrice1);
     if (error13>tolerance) {
-        BOOST_ERROR("wrong clean price for zerocpn bond:"
+        BOOST_FAIL("wrong clean price for zerocpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zero cpn bond's clean price: "
                     << zeroCpnBondAssetSwapPrice1
@@ -4108,7 +4116,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error14 =
         std::fabs(zeroCpnBondASWSpread1-zeroCpnSpecializedBondASWSpread1);
     if (error14>tolerance) {
-        BOOST_ERROR("wrong asw spread for zeroCpn bond:"
+        BOOST_FAIL("wrong asw spread for zeroCpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zeroCpn bond's  asw spread: "
                     << zeroCpnBondASWSpread1
@@ -4167,7 +4175,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error15 = std::fabs(zeroCpnBondAssetSwapPrice2
                              -zeroCpnSpecializedBondAssetSwapPrice2);
     if (error8>tolerance) {
-        BOOST_ERROR("wrong clean price for zerocpn bond:"
+        BOOST_FAIL("wrong clean price for zerocpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zero cpn bond's clean price: "
                     << zeroCpnBondAssetSwapPrice2
@@ -4199,7 +4207,7 @@ void AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw() {
     Real error16 =
         std::fabs(zeroCpnBondASWSpread2-zeroCpnSpecializedBondASWSpread2);
     if (error16>tolerance) {
-        BOOST_ERROR("wrong asw spread for zeroCpn bond:"
+        BOOST_FAIL("wrong asw spread for zeroCpn bond:"
                     << QL_FIXED << std::setprecision(4)
                     << "\n  generic zeroCpn bond's  asw spread: "
                     << zeroCpnBondASWSpread2

From a23a8694986db4ada783d232dce2bd125debac8e Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 13:12:41 +0000
Subject: [PATCH 237/410] added define indicators

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17845 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibtestsuite.cpp | 44 ++++++++++++++++++++++++--------
 1 file changed, 33 insertions(+), 11 deletions(-)

diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index dac46c10ee..c6c5220fdd 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -201,17 +201,39 @@ namespace QuantLib {
 
 test_suite* init_unit_test_suite(int, char* []) {
 
-    std::string header = "Testing "
-                         #ifdef BOOST_MSVC
-                         QL_LIB_NAME
-                         #else
-                         "QuantLib " QL_VERSION
-                         #endif
-                         #ifdef QL_DISABLE_DEPRECATED
-                         " (deprecated code disabled)"
-                         #endif
-                         ;
-    std::string rule = std::string(header.length(),'=');
+    std::string header =
+        " Testing "
+            #ifdef BOOST_MSVC
+            QL_LIB_NAME
+            #else
+            "QuantLib " QL_VERSION
+            #endif
+        "\n  QL_NEGATIVE_RATES "
+            #ifdef QL_NEGATIVE_RATES
+            "       defined"
+            #else
+            "     undefined"
+            #endif
+        "\n  QL_EXTRA_SAFETY_CHECKS "
+            #ifdef QL_EXTRA_SAFETY_CHECKS
+            "  defined"
+            #else
+            "undefined"
+            #endif
+        "\n  QL_DISABLE_DEPRECATED "
+            #ifdef QL_DISABLE_DEPRECATED
+            "   defined"
+            #else
+            " undefined"
+            #endif
+        "\n  QL_USE_INDEXED_COUPON "
+            #ifdef QL_USE_INDEXED_COUPON
+            "   defined"
+            #else
+            " undefined"
+            #endif
+         ;
+    std::string rule = std::string(35, '=');
 
     BOOST_MESSAGE(rule);
     BOOST_MESSAGE(header);

From c2fb3e47ccda77f9a9d1e982fa8da7462d8663fa Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 13:19:29 +0000
Subject: [PATCH 238/410] fixed typo

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17846 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index cd3caaa733..0a11a4752b 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -87,7 +87,7 @@ namespace QuantLib {
             bool enforceTodaysHistoricFixings =
                 Settings::instance().enforcesTodaysHistoricFixings();
             if (fixingDate_ < today ||
-                (fixingDate == today && enforceTodaysHistoricFixings)) {
+                (fixingDate_ == today && enforceTodaysHistoricFixings)) {
                 // must have been fixed
                 const TimeSeries<Real>& fixings =
                     IndexManager::instance().getHistory(indexName_);

From c34f40ed317f16a051561c043dd485bfa65ee7a7 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 13:19:48 +0000
Subject: [PATCH 239/410] added missing files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17847 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj | 20 ++++++++++++++++++++
 1 file changed, 20 insertions(+)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 315d038563..21909c9f17 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6895,6 +6895,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdhestonvanillaengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdm1dmesher.hpp"
 					>
@@ -7111,6 +7119,18 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouspreadinnervalue.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmlinearop.hpp"
 					>

From d4ba6248a244dd5bd0a079c3db476ff0c9b1ac37 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 15:30:24 +0000
Subject: [PATCH 240/410] - settled for the following signature: void
 solveFor(const Array& rhs,               Array& result) const; - added unit
 test

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17848 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/interpolations/cubicinterpolation.hpp |  2 +-
 ql/methods/finitedifferences/mixedscheme.hpp  |  2 +-
 .../finitedifferences/tridiagonaloperator.cpp | 15 ++--
 .../finitedifferences/tridiagonaloperator.hpp |  7 +-
 test-suite/operators.cpp                      | 83 +++++++++++++++++++
 test-suite/operators.hpp                      |  1 +
 6 files changed, 100 insertions(+), 10 deletions(-)

diff --git a/ql/math/interpolations/cubicinterpolation.hpp b/ql/math/interpolations/cubicinterpolation.hpp
index e0c421b56f..572d06d90d 100644
--- a/ql/math/interpolations/cubicinterpolation.hpp
+++ b/ql/math/interpolations/cubicinterpolation.hpp
@@ -424,7 +424,7 @@ namespace QuantLib {
                     }
 
                     // solve the system
-                    L_.solveFor2(tmp_);
+                    L_.solveFor(tmp_, tmp_);
                 } else if (da_==CubicInterpolation::SplineOM1) {
                     Matrix T_(n_-2, n_, 0.0);
                     for (Size i=0; i<n_-2; ++i) {
diff --git a/ql/methods/finitedifferences/mixedscheme.hpp b/ql/methods/finitedifferences/mixedscheme.hpp
index 5574578d41..6356a33006 100644
--- a/ql/methods/finitedifferences/mixedscheme.hpp
+++ b/ql/methods/finitedifferences/mixedscheme.hpp
@@ -125,7 +125,7 @@ namespace QuantLib {
             }
             for (i=0; i<bcs_.size(); i++)
                 bcs_[i]->applyBeforeSolving(implicitPart_,a);
-            implicitPart_.solveFor2(a);
+            implicitPart_.solveFor(a, a);
             for (i=0; i<bcs_.size(); i++)
                 bcs_[i]->applyAfterSolving(a);
         }
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.cpp b/ql/methods/finitedifferences/tridiagonaloperator.cpp
index be83cc59cd..b64fe1e208 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.cpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.cpp
@@ -83,12 +83,13 @@ namespace QuantLib {
 
     Disposable<Array> TridiagonalOperator::solveFor(const Array& rhs) const  {
 
-        Array result(rhs);
-        solveFor2(result);
+        Array result(rhs.size());
+        solveFor(rhs, result);
         return result;
     }
 
-    void TridiagonalOperator::solveFor2(Array& rhs) const  {
+    void TridiagonalOperator::solveFor(const Array& rhs,
+                                       Array& result) const  {
 
         QL_REQUIRE(n_!=0,
                    "uninitialized TridiagonalOperator");
@@ -100,17 +101,17 @@ namespace QuantLib {
         QL_REQUIRE(!close(bet, 0.0),
                    "diagonal's first element (" << bet <<
                    ") cannot be close to zero");
-        rhs[0] = rhs[0]/bet;
+        result[0] = rhs[0]/bet;
         for (Size j=1; j<=n_-1; ++j) {
             temp_[j] = upperDiagonal_[j-1]/bet;
             bet = diagonal_[j]-lowerDiagonal_[j-1]*temp_[j];
             QL_ENSURE(!close(bet, 0.0), "division by zero");
-            rhs[j] = (rhs[j] - lowerDiagonal_[j-1]*rhs[j-1])/bet;
+            result[j] = (rhs[j] - lowerDiagonal_[j-1]*result[j-1])/bet;
         }
         // cannot be j>=0 with Size j
         for (Size j=n_-2; j>0; --j)
-            rhs[j] -= temp_[j+1]*rhs[j+1];
-        rhs[0] -= temp_[1]*rhs[1];
+            result[j] -= temp_[j+1]*result[j+1];
+        result[0] -= temp_[1]*result[1];
     }
 
     Disposable<Array> TridiagonalOperator::SOR(const Array& rhs,
diff --git a/ql/methods/finitedifferences/tridiagonaloperator.hpp b/ql/methods/finitedifferences/tridiagonaloperator.hpp
index caf8153fce..bad5e8ea1b 100644
--- a/ql/methods/finitedifferences/tridiagonaloperator.hpp
+++ b/ql/methods/finitedifferences/tridiagonaloperator.hpp
@@ -76,7 +76,12 @@ namespace QuantLib {
         Disposable<Array> applyTo(const Array& v) const;
         //! solve linear system for a given right-hand side
         Disposable<Array> solveFor(const Array& rhs) const;
-        void solveFor2(Array& rhs) const;
+        /*! solve linear system for a given right-hand side
+            without result Array allocation. The rhs and result parameters
+            can be the same Array, in which case rhs will be changed
+        */
+        void solveFor(const Array& rhs,
+                      Array& result) const;
         //! solve linear system with SOR approach
         Disposable<Array> SOR(const Array& rhs,
                               Real tol) const;
diff --git a/test-suite/operators.cpp b/test-suite/operators.cpp
index 6ef8cc5c90..56c53dee8b 100644
--- a/test-suite/operators.cpp
+++ b/test-suite/operators.cpp
@@ -38,6 +38,88 @@ Real average = 0.0, sigma = 1.0;
 }
 
 
+void OperatorTest::testTridiagonal() {
+
+    BOOST_MESSAGE("Testing TridiagonalOperator...");
+
+    Size n = 8; // can use 3 for easier debugging
+
+    TridiagonalOperator T(n);
+    T.setFirstRow(1.0, 2.0);
+    T.setMidRows( 0.0, 2.0, 0.0);
+    T.setLastRow(      2.0, 1.0);
+
+    Array original(n, 1.0);
+
+    Array intermediate = T.applyTo(original);
+
+    Array final(intermediate);
+    T.solveFor(final, final);
+    for (Size i=0; i<n; ++i) {
+        if (final[i]!=original[i])
+            BOOST_FAIL("\n applyTo + solveFor does not equal identity:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n inverse transformed vector: " << final);
+    }
+
+    final = Array(n, 0.0);
+    Array temp(intermediate);
+    T.solveFor(temp, final);
+    for (Size i=0; i<n; ++i) {
+        if (temp[i]!=intermediate[i])
+            BOOST_FAIL("\n solveFor altered rhs:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n altered transformed vector: " << temp <<
+                       "\n inverse transformed vector: " << final);
+    }
+    for (Size i=0; i<n; ++i) {
+        if (final[i]!=original[i])
+            BOOST_FAIL("\n applyTo + solveFor does not equal identity:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n inverse transformed vector: " << final);
+    }
+
+    final = T.solveFor(temp);
+    for (Size i=0; i<n; ++i) {
+        if (temp[i]!=intermediate[i])
+            BOOST_FAIL("\n solveFor altered rhs:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n altered transformed vector: " << temp <<
+                       "\n inverse transformed vector: " << final);
+    }
+    for (Size i=0; i<n; ++i) {
+        if (final[i]!=original[i])
+            BOOST_FAIL("\n applyTo + solveFor does not equal identity:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n inverse transformed vector: " << final);
+    }
+
+    Real delta, error = 0.0, tolerance = 1e-9;
+    final = T.SOR(temp, tolerance);
+    for (Size i=0; i<n; ++i) {
+        delta = final[i]-original[i];
+        error += delta * delta;
+        if (temp[i]!=intermediate[i])
+            BOOST_FAIL("\n SOR altered rhs:"
+                       "\n            original vector: " << original <<
+                       "\n         transformed vector: " << intermediate <<
+                       "\n altered transformed vector: " << temp <<
+                       "\n inverse transformed vector: " << final);
+    }
+    if (error>tolerance)
+        BOOST_FAIL("\n applyTo + SOR does not equal identity:"
+                   "\n            original vector: " << original <<
+                   "\n         transformed vector: " << intermediate <<
+                   "\n inverse transformed vector: " << final <<
+                   "\n                      error: " << error <<
+                   "\n                  tolerance: " << tolerance);
+}
+
 void OperatorTest::testConsistency() {
 
     BOOST_MESSAGE("Testing differential operators...");
@@ -169,6 +251,7 @@ void OperatorTest::testBSMOperatorConsistency() {
 
 test_suite* OperatorTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Operator tests");
+    suite->add(QUANTLIB_TEST_CASE(&OperatorTest::testTridiagonal));
     // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(&OperatorTest::testConsistency));
     // FLOATING_POINT_EXCEPTION
diff --git a/test-suite/operators.hpp b/test-suite/operators.hpp
index 8435f3d29b..8ebcb759cb 100644
--- a/test-suite/operators.hpp
+++ b/test-suite/operators.hpp
@@ -27,6 +27,7 @@
 
 class OperatorTest {
   public:
+    static void testTridiagonal();
     static void testConsistency();
     static void testBSMOperatorConsistency();
     static boost::unit_test_framework::test_suite* suite();

From 53cad1a50be79c34c12a293cbeadac65be86df1f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 5 Jul 2011 15:31:57 +0000
Subject: [PATCH 241/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17849
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 test-suite/operators.cpp | 1 +
 test-suite/operators.hpp | 1 +
 2 files changed, 2 insertions(+)

diff --git a/test-suite/operators.cpp b/test-suite/operators.cpp
index 56c53dee8b..77748a5c31 100644
--- a/test-suite/operators.cpp
+++ b/test-suite/operators.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 RiskMap srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
diff --git a/test-suite/operators.hpp b/test-suite/operators.hpp
index 8ebcb759cb..51c5f30685 100644
--- a/test-suite/operators.hpp
+++ b/test-suite/operators.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 RiskMap srl
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/

From 9dd184ce6d149107d55e246c31a9607f77aac093 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 09:13:45 +0000
Subject: [PATCH 242/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17850
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/indexes/bmaindex.hpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/ql/indexes/bmaindex.hpp b/ql/indexes/bmaindex.hpp
index bb7a08a91d..c9e7247f3a 100644
--- a/ql/indexes/bmaindex.hpp
+++ b/ql/indexes/bmaindex.hpp
@@ -58,7 +58,8 @@ namespace QuantLib {
         /*! This method returns a schedule of fixing dates between
             start and end.
         */
-        Schedule fixingSchedule(const Date& start, const Date& end);
+        Schedule fixingSchedule(const Date& start,
+                                const Date& end);
         // @}
       protected:
         Rate forecastFixing(const Date& fixingDate) const;

From d6d08b8ddb1f491c7a74c6a8cf8b623eba2d9474 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 09:14:14 +0000
Subject: [PATCH 243/410] cleaned up code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17851 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/averagebmacoupon.cpp | 15 ++++++++-------
 1 file changed, 8 insertions(+), 7 deletions(-)

diff --git a/ql/cashflows/averagebmacoupon.cpp b/ql/cashflows/averagebmacoupon.cpp
index 22b342f6dc..542b272809 100644
--- a/ql/cashflows/averagebmacoupon.cpp
+++ b/ql/cashflows/averagebmacoupon.cpp
@@ -112,13 +112,14 @@ namespace QuantLib {
                                        const DayCounter& dayCounter)
     : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
                          index->fixingDays(), index, gearing, spread,
-                         refPeriodStart, refPeriodEnd, dayCounter, false),
-      fixingSchedule_(index->fixingSchedule(
-          index->fixingCalendar().advance(
-                           startDate,
-                           -(Integer(index->fixingDays())+bmaCutoffDays)*Days,
-                           Preceding),
-          endDate)) {
+                         refPeriodStart, refPeriodEnd, dayCounter, false)
+    {
+        Calendar cal = index->fixingCalendar();
+        Integer fixingDays = Integer(index->fixingDays());
+        fixingDays += bmaCutoffDays;
+        Date fixingStart = cal.advance(startDate, -fixingDays*Days, Preceding);
+        fixingSchedule_ = index->fixingSchedule(fixingStart, endDate);
+
         setPricer(boost::shared_ptr<FloatingRateCouponPricer>(
                                                  new AverageBMACouponPricer));
     }

From 1a656d45823513018d53d47c57c20b3310ef23ff Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 09:44:39 +0000
Subject: [PATCH 244/410] - added public InterestRateIndex::pastFixing to
 encapsulate TimeSeries access - promoted InterestRateIndex::forecastFixing
 from protected to public status - added specialized public
 IborIndex::forecastFixing(Date, Date, Time) overload to avoid date/time
 (re)calculation - exploited the above points in a more efficient and much
 cleaner IborCoupon::indexFixing() implementation which takes into account par
 coupon needs and also avoid date/time recalculations

If anyone prefers to keep pastFixing and forecastFixing protected, it should be enough to declare IborCoupon friend of IborIndex

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17852 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp      | 122 ++++++++++++++-----------------
 ql/cashflows/iborcoupon.hpp      |   3 +-
 ql/indexes/iborindex.cpp         |  20 +++--
 ql/indexes/iborindex.hpp         |  23 +++++-
 ql/indexes/interestrateindex.cpp |  44 +++++------
 ql/indexes/interestrateindex.hpp |   9 ++-
 6 files changed, 114 insertions(+), 107 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index 0a11a4752b..e678c6ad51 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -44,87 +44,75 @@ namespace QuantLib {
                          fixingDays, iborIndex, gearing, spread,
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears),
-      iborIndex_(iborIndex), indexName_(index_->name()) {
-    #ifdef QL_USE_INDEXED_COUPON
-        fixingDate_ = fixingDate();
-    #else
+      iborIndex_(iborIndex) {
+
         fixingDate_ = fixingDate();
 
-        if (!isInArrears_) {
-            const Calendar& fixingCalendar = index_->fixingCalendar();
-            Natural indexFixingDays = index_->fixingDays();
+        const Calendar& fixingCalendar = index_->fixingCalendar();
+        Natural indexFixingDays = index_->fixingDays();
 
-            fixingValueDate_ = fixingCalendar.advance(
-                fixingDate_, indexFixingDays, Days);
+        fixingValueDate_ = fixingCalendar.advance(
+            fixingDate_, indexFixingDays, Days);
 
+        #ifdef QL_USE_INDEXED_COUPON
+        fixingEndDate_ = index_->maturityDate(fixingValueDate_);
+        #else
+        if (isInArrears_)
+            fixingEndDate_ = index_->maturityDate(fixingValueDate_);
+        else { // par coupon approximation
             Date nextFixingDate = fixingCalendar.advance(
                 accrualEndDate_, -static_cast<Integer>(fixingDays), Days);
-            nextFixingValueDate_ = fixingCalendar.advance(
+            fixingEndDate_ = fixingCalendar.advance(
                 nextFixingDate, indexFixingDays, Days);
-
-            const DayCounter& dc = index_->dayCounter();
-            spanningTime_ = dc.yearFraction(fixingValueDate_,
-                                            nextFixingValueDate_);
-            QL_REQUIRE(spanningTime_>0.0,
-                       "\n cannot calculate forward rate between " <<
-                       fixingValueDate_ << " and " << nextFixingValueDate_ <<
-                       ":\n non positive time (" << spanningTime_ <<
-                       ") using " << dc.name() << " daycounter");
         }
-    #endif
+        #endif
+
+        const DayCounter& dc = index_->dayCounter();
+        spanningTime_ = dc.yearFraction(fixingValueDate_,
+                                        fixingEndDate_);
+        QL_REQUIRE(spanningTime_>0.0,
+                   "\n cannot calculate forward rate between " <<
+                   fixingValueDate_ << " and " << fixingEndDate_ <<
+                   ":\n non positive time (" << spanningTime_ <<
+                   ") using " << dc.name() << " daycounter");
     }
 
     Rate IborCoupon::indexFixing() const {
 
-        #ifdef QL_USE_INDEXED_COUPON
-        return index_->fixing(fixingDate_);
-        #else
-
-        if (isInArrears_) {
-            return index_->fixing(fixingDate_);
-        } else {
-            Date today = Settings::instance().evaluationDate();
-            bool enforceTodaysHistoricFixings =
-                Settings::instance().enforcesTodaysHistoricFixings();
-            if (fixingDate_ < today ||
-                (fixingDate_ == today && enforceTodaysHistoricFixings)) {
-                // must have been fixed
-                const TimeSeries<Real>& fixings =
-                    IndexManager::instance().getHistory(indexName_);
-                Rate pastFixing = fixings[fixingDate_];
-                QL_REQUIRE(pastFixing != Null<Real>(),
-                           "Missing " << indexName_ <<
-                           " fixing for " << fixingDate_);
-                return pastFixing;
-            }
-            if (fixingDate_ == today) {
-                // might have been fixed
-                const TimeSeries<Real>& fixings =
-                    IndexManager::instance().getHistory(indexName_);
-                try {
-                    Rate pastFixing = fixings[fixingDate_];
-                    if (pastFixing != Null<Real>())
-                        return pastFixing;
-                    else
-                        ;   // fall through and forecast
-                } catch (Error&) {
-                    ;       // fall through and forecast
-                }
-            }
-
-            // forecasting curve
-            Handle<YieldTermStructure> yc =
-                                        iborIndex_->forwardingTermStructure();
-            QL_REQUIRE(!yc.empty(),
-                       "null term structure set to this instance of " <<
-                       index_->name());
-
-            DiscountFactor startDiscount = yc->discount(fixingValueDate_);
-            DiscountFactor endDiscount = yc->discount(nextFixingValueDate_);
-            return (startDiscount/endDiscount-1.0)/spanningTime_;
+        /* instead of just returning index_->fixing(fixingValueDate_)
+           its logic is duplicated here using a specialized iborIndex
+           forecastFixing overload which
+           1) allows to save date/time recalculations, and
+           2) takes into account par coupon needs
+        */
+        Date today = Settings::instance().evaluationDate();
+
+        if (fixingDate_>today)
+            return iborIndex_->forecastFixing(fixingValueDate_,
+                                              fixingEndDate_,
+                                              spanningTime_);
+
+        if (fixingDate_<today ||
+            Settings::instance().enforcesTodaysHistoricFixings()) {
+            // do not catch exceptions
+            Rate result = index_->pastFixing(fixingDate_);
+            QL_REQUIRE(result != Null<Real>(),
+                       "Missing " << index_->name() << " fixing for " << fixingDate_);
+            return result;
         }
-    #endif
 
+        try {
+            Rate result = index_->pastFixing(fixingDate_);
+            if (result!=Null<Real>())
+                return result;
+            else
+                ;   // fall through and forecast
+        } catch (Error&) {
+                ;   // fall through and forecast
+        }
+        return iborIndex_->forecastFixing(fixingValueDate_,
+                                          fixingEndDate_,
+                                          spanningTime_);
     }
 
     void IborCoupon::accept(AcyclicVisitor& v) {
diff --git a/ql/cashflows/iborcoupon.hpp b/ql/cashflows/iborcoupon.hpp
index e3349549b5..01ba5cc047 100644
--- a/ql/cashflows/iborcoupon.hpp
+++ b/ql/cashflows/iborcoupon.hpp
@@ -65,8 +65,7 @@ namespace QuantLib {
         //@}
       private:
         boost::shared_ptr<IborIndex> iborIndex_;
-        std::string indexName_;
-        Date fixingDate_, fixingValueDate_, nextFixingValueDate_;
+        Date fixingDate_, fixingValueDate_, fixingEndDate_;
         Time spanningTime_;
     };
 
diff --git a/ql/indexes/iborindex.cpp b/ql/indexes/iborindex.cpp
index 6c290930f1..6363ff2e34 100644
--- a/ql/indexes/iborindex.cpp
+++ b/ql/indexes/iborindex.cpp
@@ -40,17 +40,15 @@ namespace QuantLib {
       }
 
     Rate IborIndex::forecastFixing(const Date& fixingDate) const {
-        QL_REQUIRE(!termStructure_.empty(),
-                   "null term structure set to this instance of " << name());
-        Date fixingValueDate = valueDate(fixingDate);
-        Date endValueDate = maturityDate(fixingValueDate);
-        DiscountFactor fixingDiscount =
-            termStructure_->discount(fixingValueDate);
-        DiscountFactor endDiscount =
-            termStructure_->discount(endValueDate);
-        Time fixingPeriod =
-            dayCounter_.yearFraction(fixingValueDate, endValueDate);
-        return (fixingDiscount/endDiscount-1.0) / fixingPeriod;
+        Date d1 = valueDate(fixingDate);
+        Date d2 = maturityDate(d1);
+        Time t = dayCounter_.yearFraction(d1, d2);
+        QL_REQUIRE(t>0.0,
+                   "\n cannot calculate forward rate between " <<
+                   d1 << " and " << d2 <<
+                   ":\n non positive time (" << t <<
+                   ") using " << dayCounter_.name() << " daycounter");
+        return forecastFixing(d1, d2, t);
     }
 
     Date IborIndex::maturityDate(const Date& valueDate) const {
diff --git a/ql/indexes/iborindex.hpp b/ql/indexes/iborindex.hpp
index 724ee49658..239a3f2e06 100644
--- a/ql/indexes/iborindex.hpp
+++ b/ql/indexes/iborindex.hpp
@@ -47,6 +47,12 @@ namespace QuantLib {
         //! \name InterestRateIndex interface
         //@{
         Date maturityDate(const Date& valueDate) const;
+        Rate forecastFixing(const Date& fixingDate) const;
+        // @}
+        //! overload to avoid date/time (re)calculation
+        Rate forecastFixing(const Date& valueDate,
+                            const Date& endDate,
+                            Time t) const;
         // @}
         //! \name Inspectors
         //@{
@@ -62,10 +68,6 @@ namespace QuantLib {
                         const Handle<YieldTermStructure>& forwarding) const;
         // @}
       protected:
-        //! \name InterestRateIndex interface
-        //@{
-        Rate forecastFixing(const Date& fixingDate) const;
-        // @}
         BusinessDayConvention convention_;
         Handle<YieldTermStructure> termStructure_;
         bool endOfMonth_;
@@ -86,6 +88,19 @@ namespace QuantLib {
                                    const Handle<YieldTermStructure>& h) const;
     };
 
+
+    // inline
+
+    inline Rate IborIndex::forecastFixing(const Date& d1,
+                                          const Date& d2,
+                                          Time t) const {
+        QL_REQUIRE(!termStructure_.empty(),
+                   "null term structure set to this instance of " << name_);
+        DiscountFactor disc1 = termStructure_->discount(d1);
+        DiscountFactor disc2 = termStructure_->discount(d2);
+        return (disc1/disc2 - 1.0) / t;
+    }
+
 }
 
 #endif
diff --git a/ql/indexes/interestrateindex.cpp b/ql/indexes/interestrateindex.cpp
index bcf0389195..fa46038ae3 100644
--- a/ql/indexes/interestrateindex.cpp
+++ b/ql/indexes/interestrateindex.cpp
@@ -60,36 +60,36 @@ namespace QuantLib {
 
     Rate InterestRateIndex::fixing(const Date& fixingDate,
                                    bool forecastTodaysFixing) const {
+
         QL_REQUIRE(isValidFixingDate(fixingDate),
                    "Fixing date " << fixingDate << " is not valid");
+
         Date today = Settings::instance().evaluationDate();
-        bool enforceTodaysHistoricFixings =
-            Settings::instance().enforcesTodaysHistoricFixings();
-        if (fixingDate < today ||
-            (fixingDate == today && enforceTodaysHistoricFixings && !forecastTodaysFixing)) {
+
+        if (fixingDate>today ||
+            (fixingDate==today && forecastTodaysFixing))
+            return forecastFixing(fixingDate);
+
+        if (fixingDate<today ||
+            Settings::instance().enforcesTodaysHistoricFixings()) {
             // must have been fixed
-            const TimeSeries<Real>& fixings =
-                IndexManager::instance().getHistory(name_);
-            Rate pastFixing = fixings[fixingDate];
-            QL_REQUIRE(pastFixing != Null<Real>(),
+            // do not catch exceptions
+            Rate result = pastFixing(fixingDate);
+            QL_REQUIRE(result != Null<Real>(),
                        "Missing " << name_ << " fixing for " << fixingDate);
-            return pastFixing;
+            return result;
         }
-        if ((fixingDate == today) && !forecastTodaysFixing) {
+
+        try {
             // might have been fixed
-            try {
-                const TimeSeries<Real>& fixings =
-                    IndexManager::instance().getHistory(name_);
-                Rate pastFixing = fixings[fixingDate];
-                if (pastFixing != Null<Real>())
-                    return pastFixing;
-                else
-                    ;   // fall through and forecast
-            } catch (Error&) {
-                ;       // fall through and forecast
-            }
+            Rate result = pastFixing(fixingDate);
+            if (result!=Null<Real>())
+                return result;
+            else
+                ;   // fall through and forecast
+        } catch (Error&) {
+                ;   // fall through and forecast
         }
-        // forecast
         return forecastFixing(fixingDate);
     }
 
diff --git a/ql/indexes/interestrateindex.hpp b/ql/indexes/interestrateindex.hpp
index 21f9461cdd..c9761b3015 100644
--- a/ql/indexes/interestrateindex.hpp
+++ b/ql/indexes/interestrateindex.hpp
@@ -75,9 +75,10 @@ namespace QuantLib {
         */
         virtual Date valueDate(const Date& fixingDate) const;
         virtual Date maturityDate(const Date& valueDate) const = 0;
+        Rate pastFixing(const Date& fixingDate) const;
+        virtual Rate forecastFixing(const Date& fixingDate) const = 0;
         // @}
       protected:
-        virtual Rate forecastFixing(const Date& fixingDate) const = 0;
         std::string familyName_, name_;
         Period tenor_;
         Natural fixingDays_;
@@ -140,6 +141,12 @@ namespace QuantLib {
         return fixingCalendar_.advance(fixingDate, fixingDays_, Days);
     }
 
+    inline Rate InterestRateIndex::pastFixing(const Date& fixingDate) const {
+        const TimeSeries<Real>& fixings =
+            IndexManager::instance().getHistory(name_);
+        return fixings[fixingDate];
+    }
+
 }
 
 #endif

From 918f884d097f303aa858212053f688dd9b088429 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 11:01:09 +0000
Subject: [PATCH 245/410] Added missing file to Makefile (thanks to Hong Yu.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17853 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/inflation/Makefile.am | 1 +
 ql/termstructures/inflation/all.hpp     | 1 +
 2 files changed, 2 insertions(+)

diff --git a/ql/termstructures/inflation/Makefile.am b/ql/termstructures/inflation/Makefile.am
index bc3b78108f..da55ac9b93 100644
--- a/ql/termstructures/inflation/Makefile.am
+++ b/ql/termstructures/inflation/Makefile.am
@@ -5,6 +5,7 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     inflationhelpers.hpp \
+    inflationtraits.hpp \
     interpolatedyoyinflationcurve.hpp \
     interpolatedzeroinflationcurve.hpp \
     piecewiseyoyinflationcurve.hpp \
diff --git a/ql/termstructures/inflation/all.hpp b/ql/termstructures/inflation/all.hpp
index d014c36522..c024a15011 100644
--- a/ql/termstructures/inflation/all.hpp
+++ b/ql/termstructures/inflation/all.hpp
@@ -2,6 +2,7 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/termstructures/inflation/inflationhelpers.hpp>
+#include <ql/termstructures/inflation/inflationtraits.hpp>
 #include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
 #include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
 #include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>

From d964e6f2fa9499ed8b75f82fb91c8b91a65fea6c Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 15:49:15 +0000
Subject: [PATCH 246/410] - inlined few Settings methods - introduced new
 define for compile-time parametrization of sticky/floating Settings
 evaluation date

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17854 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/settings.cpp   | 63 +++++++----------------------------------------
 ql/settings.hpp   | 51 +++++++++++++++++++++++++++++++++++---
 ql/userconfig.hpp |  9 ++++++-
 3 files changed, 65 insertions(+), 58 deletions(-)

diff --git a/ql/settings.cpp b/ql/settings.cpp
index fab1b4f309..00525e9696 100644
--- a/ql/settings.cpp
+++ b/ql/settings.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2007 Ferdinando Ametrano
+ Copyright (C) 2007, 2011 Ferdinando Ametrano
  Copyright (C) 2007 François du Vignaud
  Copyright (C) 2004, 2005, 2007, 2009 StatPro Italia srl
 
@@ -23,68 +23,24 @@
 
 namespace QuantLib {
 
-    Settings::DateProxy::DateProxy() : ObservableValue<Date>(Date()) {}
-
-    Settings::DateProxy::operator Date() const {
-        if (value() == Date())
-            return Date::todaysDate();
-        else
-            return value();
-    }
-
-    Settings::DateProxy& Settings::DateProxy::operator=(const Date& d) {
-        ObservableValue<Date>::operator=(d);
-        return *this;
-    }
+    Settings::DateProxy::DateProxy()
+    : ObservableValue<Date>(
+                            #ifdef QL_TODAY_AS_STICKY_EVALDATE
+                            Date::todaysDate())
+                            #else
+                            Date())
+                            #endif
+    {}
 
     std::ostream& operator<<(std::ostream& out,
                              const Settings::DateProxy& p) {
         return out << Date(p);
     }
 
-
-
     Settings::Settings()
     : includeReferenceDateCashFlows_(false),
       enforcesTodaysHistoricFixings_(false) {}
 
-    Settings::DateProxy& Settings::evaluationDate() {
-        return evaluationDate_;
-    }
-
-    const Settings::DateProxy& Settings::evaluationDate() const {
-        return evaluationDate_;
-    }
-
-
-    bool& Settings::includeReferenceDateCashFlows() {
-        return includeReferenceDateCashFlows_;
-    }
-
-    bool Settings::includeReferenceDateCashFlows() const {
-        return includeReferenceDateCashFlows_;
-    }
-
-
-    boost::optional<bool>& Settings::includeTodaysCashFlows() {
-        return includeTodaysCashFlows_;
-    }
-
-    boost::optional<bool> Settings::includeTodaysCashFlows() const {
-        return includeTodaysCashFlows_;
-    }
-
-
-    bool& Settings::enforcesTodaysHistoricFixings() {
-        return enforcesTodaysHistoricFixings_;
-    }
-
-    bool Settings::enforcesTodaysHistoricFixings() const {
-        return enforcesTodaysHistoricFixings_;
-    }
-
-
-
     SavedSettings::SavedSettings()
     : evaluationDate_(Settings::instance().evaluationDate()),
       includeReferenceDateCashFlows_(
@@ -109,4 +65,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/settings.hpp b/ql/settings.hpp
index 1699901a43..f2a7fec7af 100644
--- a/ql/settings.hpp
+++ b/ql/settings.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2007 Ferdinando Ametrano
+ Copyright (C) 2007, 2011 Ferdinando Ametrano
  Copyright (C) 2007 François du Vignaud
  Copyright (C) 2004, 2005, 2007, 2009 StatPro Italia srl
 
@@ -110,8 +110,53 @@ namespace QuantLib {
         bool enforcesTodaysHistoricFixings_;
     };
 
-}
 
+    // inline
 
-#endif
+    inline Settings::DateProxy::operator Date() const {
+        if (value() == Date())
+            return Date::todaysDate();
+        else
+            return value();
+    }
+
+    inline Settings::DateProxy& Settings::DateProxy::operator=(const Date& d) {
+        ObservableValue<Date>::operator=(d);
+        return *this;
+    }
+
+    inline Settings::DateProxy& Settings::evaluationDate() {
+        return evaluationDate_;
+    }
+
+    inline const Settings::DateProxy& Settings::evaluationDate() const {
+        return evaluationDate_;
+    }
+
+    inline bool& Settings::includeReferenceDateCashFlows() {
+        return includeReferenceDateCashFlows_;
+    }
+
+    inline bool Settings::includeReferenceDateCashFlows() const {
+        return includeReferenceDateCashFlows_;
+    }
 
+    inline boost::optional<bool>& Settings::includeTodaysCashFlows() {
+        return includeTodaysCashFlows_;
+    }
+
+    inline boost::optional<bool> Settings::includeTodaysCashFlows() const {
+        return includeTodaysCashFlows_;
+    }
+
+    inline bool& Settings::enforcesTodaysHistoricFixings() {
+        return enforcesTodaysHistoricFixings_;
+    }
+
+    inline bool Settings::enforcesTodaysHistoricFixings() const {
+        return enforcesTodaysHistoricFixings_;
+    }
+
+}
+
+#endif
diff --git a/ql/userconfig.hpp b/ql/userconfig.hpp
index d8d7762adc..09330258a8 100644
--- a/ql/userconfig.hpp
+++ b/ql/userconfig.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2004 Ferdinando Ametrano
+ Copyright (C) 2004, 2011 Ferdinando Ametrano
  Copyright (C) 2004, 2005 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
@@ -70,6 +70,13 @@
 //#   define QL_USE_INDEXED_COUPON
 #endif
 
+/* Define this to have today's date as sticky evaluation date in Settings.
+   This prevents the midnight change, and it is equivalent to set todays's
+   date to Settings. It can be reverted setting Null<Date>() to Settings. */
+#ifndef QL_TODAY_AS_STICKY_EVALDATE
+#   define QL_TODAY_AS_STICKY_EVALDATE
+#endif
+
 /* Define this to have singletons return different instances for
    different sessions. You will have to provide and link with the
    library a sessionId() function in namespace QuantLib, returning a

From 15b1493f7aca3497b98c3d3e6fbb9f2abe450cdd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 16:07:34 +0000
Subject: [PATCH 247/410] fixed default configuration

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17856 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/userconfig.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/userconfig.hpp b/ql/userconfig.hpp
index 09330258a8..59308a634c 100644
--- a/ql/userconfig.hpp
+++ b/ql/userconfig.hpp
@@ -74,7 +74,7 @@
    This prevents the midnight change, and it is equivalent to set todays's
    date to Settings. It can be reverted setting Null<Date>() to Settings. */
 #ifndef QL_TODAY_AS_STICKY_EVALDATE
-#   define QL_TODAY_AS_STICKY_EVALDATE
+//#   define QL_TODAY_AS_STICKY_EVALDATE
 #endif
 
 /* Define this to have singletons return different instances for

From 153ef20efbe3a346710d34623d19994f4d48ec47 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 6 Jul 2011 17:03:11 +0000
Subject: [PATCH 248/410] changed formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17857 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/iborcoupon.cpp | 15 +++++++++------
 1 file changed, 9 insertions(+), 6 deletions(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index e678c6ad51..01445faf1d 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -26,6 +26,8 @@
 #include <ql/indexes/interestrateindex.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 
+using boost::shared_ptr;
+
 namespace QuantLib {
 
     IborCoupon::IborCoupon(const Date& paymentDate,
@@ -33,7 +35,7 @@ namespace QuantLib {
                            const Date& startDate,
                            const Date& endDate,
                            Natural fixingDays,
-                           const boost::shared_ptr<IborIndex>& iborIndex,
+                           const shared_ptr<IborIndex>& iborIndex,
                            Real gearing,
                            Spread spread,
                            const Date& refPeriodStart,
@@ -127,7 +129,7 @@ namespace QuantLib {
 
 
     IborLeg::IborLeg(const Schedule& schedule,
-                     const boost::shared_ptr<IborIndex>& index)
+                     const shared_ptr<IborIndex>& index)
     : schedule_(schedule), index_(index),
       paymentAdjustment_(Following),
       inArrears_(false), zeroPayments_(false) {}
@@ -219,10 +221,11 @@ namespace QuantLib {
                          paymentAdjustment_, fixingDays_, gearings_, spreads_,
                          caps_, floors_, inArrears_, zeroPayments_);
 
-        if (caps_.empty() && floors_.empty() && !inArrears_)
-            setCouponPricer(leg,
-                            boost::shared_ptr<FloatingRateCouponPricer>(
-                                                  new BlackIborCouponPricer));
+        if (caps_.empty() && floors_.empty() && !inArrears_) {
+            shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
+            setCouponPricer(leg, pricer);
+        }
+
         return leg;
     }
 

From 37e88513827bccdc14e5da9f56d0363a3aae9e02 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 10:32:19 +0000
Subject: [PATCH 249/410] used Index::timeSeries() method

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17858 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/inflationindex.cpp | 32 ++++++++++++--------------------
 1 file changed, 12 insertions(+), 20 deletions(-)

diff --git a/ql/indexes/inflationindex.cpp b/ql/indexes/inflationindex.cpp
index 6e759fd3e6..3e56e3e5ee 100644
--- a/ql/indexes/inflationindex.cpp
+++ b/ql/indexes/inflationindex.cpp
@@ -143,8 +143,8 @@ namespace QuantLib {
 
         if (fixingDateNeeded <= historicalFixingKnown) {
 
-            Real pastFixing =
-                IndexManager::instance().getHistory(name())[aFixingDate];
+            const TimeSeries<Real>& ts = timeSeries();
+            Real pastFixing = ts[aFixingDate];
             QL_REQUIRE(pastFixing != Null<Real>(),
                        "Missing " << name() << " fixing for " << aFixingDate);
             Real theFixing = pastFixing;
@@ -152,8 +152,7 @@ namespace QuantLib {
             if (interpolated_) {
                 // fixings stored flat & for every day
                 Date fixingDate2 = aFixingDate + Period(frequency_);
-                Real pastFixing2 =
-                    IndexManager::instance().getHistory(name())[fixingDate2];
+                Real pastFixing2 = ts[fixingDate2];
                 QL_REQUIRE(pastFixing2 != Null<Real>(),
                            "Missing " << name() << " fixing for " << fixingDate2);
                 // now linearly interpolate
@@ -251,6 +250,7 @@ namespace QuantLib {
 
         // four cases with ratio() and interpolated()
 
+        const TimeSeries<Real>& ts = timeSeries();
         if (ratio()) {
 
             if(interpolated()){ // IS ratio, IS interpolated
@@ -265,18 +265,15 @@ namespace QuantLib {
                 Real dlBef = fixMinus1Y - limBef.first;
                 // get the four relevant fixings
                 // recall that they are stored flat for every day
-                Rate limFirstFix =
-                IndexManager::instance().getHistory(name())[lim.first];
+                Rate limFirstFix = ts[lim.first];
                 QL_REQUIRE(limFirstFix != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << lim.first );
-                Rate limSecondFix =
-                IndexManager::instance().getHistory(name())[lim.second+1];
+                Rate limSecondFix = ts[lim.second+1];
                 QL_REQUIRE(limSecondFix != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << lim.second+1 );
-                Rate limBefFirstFix =
-                IndexManager::instance().getHistory(name())[limBef.first];
+                Rate limBefFirstFix = ts[limBef.first];
                 QL_REQUIRE(limBefFirstFix != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << limBef.first );
@@ -293,14 +290,12 @@ namespace QuantLib {
                 return wasYES;
 
             } else {    // IS ratio, NOT interpolated
-                Rate pastFixing =
-                    IndexManager::instance().getHistory(name())[fixingDate];
+                Rate pastFixing = ts[fixingDate];
                 QL_REQUIRE(pastFixing != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << fixingDate);
                 Date previousDate = fixingDate - 1*Years;
-                Rate previousFixing =
-                IndexManager::instance().getHistory(name())[previousDate];
+                Rate previousFixing = ts[previousDate];
                 QL_REQUIRE(previousFixing != Null<Rate>(),
                            "Missing " << name() << " fixing for "
                            << previousDate );
@@ -315,13 +310,11 @@ namespace QuantLib {
                 std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
                 Real dp= lim.second + 1 - lim.first;
                 Real dl = fixingDate-lim.first;
-                Rate limFirstFix =
-                IndexManager::instance().getHistory(name())[lim.first];
+                Rate limFirstFix = ts[lim.first];
                 QL_REQUIRE(limFirstFix != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << lim.first );
-                Rate limSecondFix =
-                IndexManager::instance().getHistory(name())[lim.second+1];
+                Rate limSecondFix = ts[lim.second+1];
                 QL_REQUIRE(limSecondFix != Null<Rate>(),
                             "Missing " << name() << " fixing for "
                             << lim.second+1 );
@@ -332,8 +325,7 @@ namespace QuantLib {
             } else { // NOT ratio, NOT interpolated
                     // so just flat
 
-                Rate pastFixing =
-                    IndexManager::instance().getHistory(name())[fixingDate];
+                Rate pastFixing = ts[fixingDate];
                 QL_REQUIRE(pastFixing != Null<Rate>(),
                            "Missing " << name() << " fixing for "
                            << fixingDate);

From 060e4e4dd794ae078844fe9128163da1d8b0fc04 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 12:52:13 +0000
Subject: [PATCH 250/410] - fixed bug introduced in Rev17842: name() and
 fixingCalendar() are virtual and name_ and fixingCalendar_ data member should
 not be accessed directly. - inlined few functions -

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17859 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/interestrateindex.cpp |  4 +--
 ql/indexes/interestrateindex.hpp | 61 ++++++++++++--------------------
 2 files changed, 24 insertions(+), 41 deletions(-)

diff --git a/ql/indexes/interestrateindex.cpp b/ql/indexes/interestrateindex.cpp
index fa46038ae3..4f9499885d 100644
--- a/ql/indexes/interestrateindex.cpp
+++ b/ql/indexes/interestrateindex.cpp
@@ -55,7 +55,7 @@ namespace QuantLib {
         name_ = out.str();
 
         registerWith(Settings::instance().evaluationDate());
-        registerWith(IndexManager::instance().notifier(name_));
+        registerWith(IndexManager::instance().notifier(name()));
     }
 
     Rate InterestRateIndex::fixing(const Date& fixingDate,
@@ -76,7 +76,7 @@ namespace QuantLib {
             // do not catch exceptions
             Rate result = pastFixing(fixingDate);
             QL_REQUIRE(result != Null<Real>(),
-                       "Missing " << name_ << " fixing for " << fixingDate);
+                       "Missing " << name() << " fixing for " << fixingDate);
             return result;
         }
 
diff --git a/ql/indexes/interestrateindex.hpp b/ql/indexes/interestrateindex.hpp
index c9761b3015..f1ef4ffd90 100644
--- a/ql/indexes/interestrateindex.hpp
+++ b/ql/indexes/interestrateindex.hpp
@@ -59,12 +59,12 @@ namespace QuantLib {
         //@}
         //! \name Inspectors
         //@{
-        std::string familyName() const;
-        Period tenor() const;
-        Natural fixingDays() const;
+        std::string familyName() const { return familyName_; }
+        Period tenor() const { return tenor_; }
+        Natural fixingDays() const { return fixingDays_; }
         Date fixingDate(const Date& valueDate) const;
-        const Currency& currency() const;
-        const DayCounter& dayCounter() const;
+        const Currency& currency() const { return currency_; }
+        const DayCounter& dayCounter() const { return dayCounter_; }
         //@}
         /*! \name Date calculations
 
@@ -75,16 +75,22 @@ namespace QuantLib {
         */
         virtual Date valueDate(const Date& fixingDate) const;
         virtual Date maturityDate(const Date& valueDate) const = 0;
-        Rate pastFixing(const Date& fixingDate) const;
+        //@}
+        //! \name Fixing calculations
+        //@{
+        //! It can be overridden to implement particular conventions
         virtual Rate forecastFixing(const Date& fixingDate) const = 0;
+        Rate pastFixing(const Date& fixingDate) const;
         // @}
       protected:
-        std::string familyName_, name_;
+        std::string familyName_;
         Period tenor_;
         Natural fixingDays_;
-        Calendar fixingCalendar_;
         Currency currency_;
         DayCounter dayCounter_;
+      private:
+        std::string name_;
+        Calendar fixingCalendar_;
     };
 
 
@@ -98,53 +104,30 @@ namespace QuantLib {
         return fixingCalendar_;
     }
 
-    inline
-    bool InterestRateIndex::isValidFixingDate(const Date& fixingDate) const {
-        return fixingCalendar_.isBusinessDay(fixingDate);
+    inline bool InterestRateIndex::isValidFixingDate(const Date& d) const {
+        return fixingCalendar().isBusinessDay(d);
     }
 
     inline void InterestRateIndex::update() {
         notifyObservers();
     }
 
-    inline std::string InterestRateIndex::familyName() const {
-        return familyName_;
-    }
-
-    inline Period InterestRateIndex::tenor() const {
-        return tenor_;
-    }
-
-    inline Natural InterestRateIndex::fixingDays() const {
-        return fixingDays_;
-    }
-
     inline Date InterestRateIndex::fixingDate(const Date& valueDate) const {
-        Date fixingDate = fixingCalendar_.advance(valueDate,
+        Date fixingDate = fixingCalendar().advance(valueDate,
             -static_cast<Integer>(fixingDays_), Days);
-        QL_ENSURE(isValidFixingDate(fixingDate),
-                  "fixing date " << fixingDate << " is not valid");
         return fixingDate;
     }
 
-    inline const Currency& InterestRateIndex::currency() const {
-        return currency_;
-    }
-
-    inline const DayCounter& InterestRateIndex::dayCounter() const {
-        return dayCounter_;
-    }
-
     inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {
         QL_REQUIRE(isValidFixingDate(fixingDate),
-                   "Fixing date " << fixingDate << " is not valid");
-        return fixingCalendar_.advance(fixingDate, fixingDays_, Days);
+                   fixingDate << " is not a valid fixing date");
+        return fixingCalendar().advance(fixingDate, fixingDays_, Days);
     }
 
     inline Rate InterestRateIndex::pastFixing(const Date& fixingDate) const {
-        const TimeSeries<Real>& fixings =
-            IndexManager::instance().getHistory(name_);
-        return fixings[fixingDate];
+        QL_REQUIRE(isValidFixingDate(fixingDate),
+                   fixingDate << " is not a valid fixing date");
+        return timeSeries()[fixingDate];
     }
 
 }

From 2a5a060c30d6e273a01ba3ca214de44d49c15102 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 12:53:16 +0000
Subject: [PATCH 251/410] fixed bug introduced in Rev17842: name() and
 fixingCalendar() are virtual and name_ and fixingCalendar_ data member should
 not be accessed directly.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17860 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/bmaindex.cpp | 24 ++++++++++--------------
 ql/indexes/bmaindex.hpp |  3 +--
 2 files changed, 11 insertions(+), 16 deletions(-)

diff --git a/ql/indexes/bmaindex.cpp b/ql/indexes/bmaindex.cpp
index f76c2df0bc..76c6d93a84 100644
--- a/ql/indexes/bmaindex.cpp
+++ b/ql/indexes/bmaindex.cpp
@@ -40,7 +40,6 @@ namespace QuantLib {
 
     }
 
-
     BMAIndex::BMAIndex(const Handle<YieldTermStructure>& h)
     : InterestRateIndex("BMA",
                         1 * Weeks,
@@ -52,20 +51,17 @@ namespace QuantLib {
         registerWith (h);
     }
 
-    std::string BMAIndex::name() const {
-        return "BMA";
-    }
-
-    bool BMAIndex::isValidFixingDate(const Date& fixingDate) const {
+    bool BMAIndex::isValidFixingDate(const Date& date) const {
+        Calendar cal = fixingCalendar();
         // either the fixing date is last Wednesday, or all days
         // between last Wednesday included and the fixing date are
         // holidays
-        for (Date d = previousWednesday(fixingDate); d < fixingDate; ++d) {
-            if (fixingCalendar_.isBusinessDay(d))
+        for (Date d = previousWednesday(date); d<date; ++d) {
+            if (cal.isBusinessDay(d))
                 return false;
         }
         // also, the fixing date itself must be a business day
-        return fixingCalendar_.isBusinessDay(fixingDate);
+        return cal.isBusinessDay(date);
     }
 
     Handle<YieldTermStructure> BMAIndex::forwardingTermStructure() const {
@@ -73,16 +69,17 @@ namespace QuantLib {
     }
 
     Date BMAIndex::maturityDate(const Date& valueDate) const {
-        Date fixingDate = fixingCalendar_.advance(valueDate,-1,Days);
+        Calendar cal = fixingCalendar();
+        Date fixingDate = cal.advance(valueDate, -1, Days);
         Date nextWednesday = previousWednesday(fixingDate+7);
-        return fixingCalendar_.advance(nextWednesday,1,Days);
+        return cal.advance(nextWednesday, 1, Days);
     }
 
     Schedule BMAIndex::fixingSchedule(const Date& start, const Date& end) {
         return MakeSchedule().from(previousWednesday(start))
                              .to(nextWednesday(end))
                              .withFrequency(Weekly)
-                             .withCalendar(fixingCalendar_)
+                             .withCalendar(fixingCalendar())
                              .withConvention(Following)
                              .forwards();
     }
@@ -90,7 +87,7 @@ namespace QuantLib {
     Rate BMAIndex::forecastFixing(const Date& fixingDate) const {
         QL_REQUIRE(!termStructure_.empty(),
                    "null term structure set to this instance of " << name());
-        Date start = fixingCalendar_.advance(fixingDate,1,Days);
+        Date start = fixingCalendar().advance(fixingDate, 1, Days);
         Date end = maturityDate(start);
         return termStructure_->forwardRate(start, end,
                                            dayCounter_,
@@ -98,4 +95,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/indexes/bmaindex.hpp b/ql/indexes/bmaindex.hpp
index c9e7247f3a..089ded819d 100644
--- a/ql/indexes/bmaindex.hpp
+++ b/ql/indexes/bmaindex.hpp
@@ -45,7 +45,7 @@ namespace QuantLib {
         //@{
         /*! BMA is fixed weekly on Wednesdays.
         */
-        std::string name() const;
+        std::string name() const { return "BMA"; }
         bool isValidFixingDate(const Date& fixingDate) const;
         //@}
         //! \name Inspectors
@@ -68,5 +68,4 @@ namespace QuantLib {
 
 }
 
-
 #endif

From 5fd2a7a9f36b4974f865b46021f52ace43a6170f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 12:57:03 +0000
Subject: [PATCH 252/410] added documentation, inlined few methods, cached name
 string in private data member

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17861 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/inflationindex.cpp | 63 +----------------------------
 ql/indexes/inflationindex.hpp | 76 +++++++++++++++++++++++++++++++----
 2 files changed, 69 insertions(+), 70 deletions(-)

diff --git a/ql/indexes/inflationindex.cpp b/ql/indexes/inflationindex.cpp
index 3e56e3e5ee..8cb2f76504 100644
--- a/ql/indexes/inflationindex.cpp
+++ b/ql/indexes/inflationindex.cpp
@@ -34,25 +34,17 @@ namespace QuantLib {
       revised_(revised), interpolated_(interpolated),
       frequency_(frequency), availabilityLag_(availabilityLag),
       currency_(currency) {
+        name_ = region_.name() + " " + familyName_;
         registerWith(Settings::instance().evaluationDate());
         registerWith(IndexManager::instance().notifier(name()));
     }
 
 
-    std::string InflationIndex::name() const {
-        return region_.name() + " " + familyName_;
-    }
-
     Calendar InflationIndex::fixingCalendar() const {
         static NullCalendar c;
         return c;
     }
 
-    bool InflationIndex::isValidFixingDate(const Date&) const {
-        return true;
-    }
-
-
     void InflationIndex::addFixing(const Date& fixingDate,
                                    Real fixing,
                                    bool forceOverwrite) {
@@ -70,42 +62,6 @@ namespace QuantLib {
                           rates.begin(), forceOverwrite);
     }
 
-
-    void InflationIndex::update() {
-        notifyObservers();
-    }
-
-    std::string InflationIndex::familyName() const {
-        return familyName_;
-    }
-
-    Region InflationIndex::region() const {
-        return region_;
-    }
-
-    bool InflationIndex::revised() const {
-        return revised_;
-    }
-
-    bool InflationIndex::interpolated() const {
-        return interpolated_;
-    }
-
-    Frequency InflationIndex::frequency() const {
-        return frequency_;
-    }
-
-    Period InflationIndex::availabilityLag() const {
-        return availabilityLag_;
-    }
-
-    Currency InflationIndex::currency() const {
-        return currency_;
-    }
-
-
-
-
     ZeroInflationIndex::ZeroInflationIndex(
                       const std::string& familyName,
                       const Region& region,
@@ -195,12 +151,6 @@ namespace QuantLib {
     }
 
 
-    Handle<ZeroInflationTermStructure>
-    ZeroInflationIndex::zeroInflationTermStructure() const {
-        return zeroInflation_;
-    }
-
-
     boost::shared_ptr<ZeroInflationIndex> ZeroInflationIndex::clone(
                           const Handle<ZeroInflationTermStructure>& h) const {
         return boost::shared_ptr<ZeroInflationIndex>(
@@ -353,16 +303,6 @@ namespace QuantLib {
         return yoyInflation_->yoyRate(d,0*Days);
     }
 
-
-    bool YoYInflationIndex::ratio() const {
-        return ratio_;
-    }
-
-    Handle<YoYInflationTermStructure>
-    YoYInflationIndex::yoyInflationTermStructure() const {
-        return yoyInflation_;
-    }
-
     boost::shared_ptr<YoYInflationIndex> YoYInflationIndex::clone(
                            const Handle<YoYInflationTermStructure>& h) const {
         return boost::shared_ptr<YoYInflationIndex>(
@@ -372,4 +312,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/indexes/inflationindex.hpp b/ql/indexes/inflationindex.hpp
index 3599319845..663dbf1f8d 100644
--- a/ql/indexes/inflationindex.hpp
+++ b/ql/indexes/inflationindex.hpp
@@ -65,7 +65,7 @@ namespace QuantLib {
             NullCalendar as its fixing calendar.
         */
         Calendar fixingCalendar() const;
-        bool isValidFixingDate(const Date& fixingDate) const;
+        bool isValidFixingDate(const Date& fixingDate) const { return true; }
 
         /*! Forecasting index values requires an inflation term
             structure.  The inflation term structure (ITS) defines the
@@ -78,8 +78,8 @@ namespace QuantLib {
             publication but the inflation swaps may take as their base
             the index 3 months before.
         */
-        virtual Rate fixing(const Date& fixingDate,
-                            bool forecastTodaysFixing = false) const = 0;
+        Rate fixing(const Date& fixingDate,
+                    bool forecastTodaysFixing = false) const = 0;
 
         /*! this method creates all the "fixings" for the relevant
             period of the index.  E.g. for monthly indices it will put
@@ -128,6 +128,8 @@ namespace QuantLib {
         Frequency frequency_;
         Period availabilityLag_;
         Currency currency_;
+      private:
+        std::string name_;
     };
 
 
@@ -145,16 +147,20 @@ namespace QuantLib {
                            const Handle<ZeroInflationTermStructure>& ts =
                                         Handle<ZeroInflationTermStructure>());
 
+        //! \name Index interface
+        //@{
         /*! \warning the forecastTodaysFixing parameter (required by
                      the Index interface) is currently ignored.
         */
         Rate fixing(const Date& fixingDate,
                     bool forecastTodaysFixing = false) const;
-
+        //@}
+        //! \name Other methods
+        //@{
         Handle<ZeroInflationTermStructure> zeroInflationTermStructure() const;
-
         boost::shared_ptr<ZeroInflationIndex> clone(
                            const Handle<ZeroInflationTermStructure>& h) const;
+        //@}
       private:
         Rate forecastFixing(const Date& fixingDate) const;
         Handle<ZeroInflationTermStructure> zeroInflation_;
@@ -177,26 +183,80 @@ namespace QuantLib {
                           const Currency& currency,
                           const Handle<YoYInflationTermStructure>& ts =
                                 Handle<YoYInflationTermStructure>());
-
+        //! \name Index interface
+        //@{
         /*! \warning the forecastTodaysFixing parameter (required by
                      the Index interface) is currently ignored.
         */
         Rate fixing(const Date& fixingDate,
                     bool forecastTodaysFixing = false) const;
 
+        //@}
+        //! \name Other methods
+        //@{
         bool ratio() const;
         Handle<YoYInflationTermStructure> yoyInflationTermStructure() const;
 
         boost::shared_ptr<YoYInflationIndex> clone(
                             const Handle<YoYInflationTermStructure>& h) const;
+        //@}
       private:
         Rate forecastFixing(const Date& fixingDate) const;
         bool ratio_;
         Handle<YoYInflationTermStructure> yoyInflation_;
     };
 
-}
+    // inline
 
+    inline std::string InflationIndex::name() const {
+        return name_;
+    }
 
-#endif
+    inline void InflationIndex::update() {
+        notifyObservers();
+    }
+
+    inline std::string InflationIndex::familyName() const {
+        return familyName_;
+    }
+
+    inline Region InflationIndex::region() const {
+        return region_;
+    }
+
+    inline bool InflationIndex::revised() const {
+        return revised_;
+    }
+
+    inline bool InflationIndex::interpolated() const {
+        return interpolated_;
+    }
+
+    inline Frequency InflationIndex::frequency() const {
+        return frequency_;
+    }
 
+    inline Period InflationIndex::availabilityLag() const {
+        return availabilityLag_;
+    }
+
+    inline Currency InflationIndex::currency() const {
+        return currency_;
+    }
+
+    inline Handle<ZeroInflationTermStructure>
+    ZeroInflationIndex::zeroInflationTermStructure() const {
+        return zeroInflation_;
+    }
+
+    inline bool YoYInflationIndex::ratio() const {
+        return ratio_;
+    }
+
+    inline Handle<YoYInflationTermStructure>
+    YoYInflationIndex::yoyInflationTermStructure() const {
+        return yoyInflation_;
+    }
+}
+
+#endif

From 0c27e19e7198d999df0630567492b759511d3549 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 12:58:41 +0000
Subject: [PATCH 253/410] using name() accessor instead of protected (now
 private) name_ data member

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17862 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/iborindex.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/indexes/iborindex.hpp b/ql/indexes/iborindex.hpp
index 239a3f2e06..4d6c75c545 100644
--- a/ql/indexes/iborindex.hpp
+++ b/ql/indexes/iborindex.hpp
@@ -95,7 +95,7 @@ namespace QuantLib {
                                           const Date& d2,
                                           Time t) const {
         QL_REQUIRE(!termStructure_.empty(),
-                   "null term structure set to this instance of " << name_);
+                   "null term structure set to this instance of " << name());
         DiscountFactor disc1 = termStructure_->discount(d1);
         DiscountFactor disc2 = termStructure_->discount(d2);
         return (disc1/disc2 - 1.0) / t;

From dd71f0259c5ca8d76c1406898184e4793eb4532a Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 15:02:02 +0000
Subject: [PATCH 254/410] - cached accrualPeriod in protected data member -
 inlined few functions - removed useless Settings::instance().evaluationDate()
 call and avoided double cast in BlackIborCouponPricer::initialize()

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17863 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/couponpricer.cpp | 93 +++++++++++++----------------------
 ql/cashflows/couponpricer.hpp | 39 ++++++++++++++-
 2 files changed, 70 insertions(+), 62 deletions(-)

diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
index 86cc0f26da..240bc44aef 100644
--- a/ql/cashflows/couponpricer.cpp
+++ b/ql/cashflows/couponpricer.cpp
@@ -36,54 +36,31 @@ 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();
+
+        gearing_ = coupon.gearing();
+        spread_ = coupon.spread();
+        accrualPeriod_ = coupon.accrualPeriod();
+
         boost::shared_ptr<IborIndex> index =
-            boost::dynamic_pointer_cast<IborIndex>(coupon_->index());
+            boost::dynamic_pointer_cast<IborIndex>(coupon.index());
+        if (!index) {
+            // check if the coupon was right
+            const IborCoupon* c = dynamic_cast<const IborCoupon*>(&coupon);
+            QL_REQUIRE(c, "IborCoupon required");
+            // coupon was right, index is not
+            QL_FAIL("IborIndex required");
+        }
         Handle<YieldTermStructure> rateCurve = index->forwardingTermStructure();
 
-        Date today = Settings::instance().evaluationDate();
-
+        Date paymentDate = coupon.date();
         if (paymentDate > rateCurve->referenceDate())
             discount_ = rateCurve->discount(paymentDate);
         else
             discount_ = 1.0;
 
-        spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
-    }
-
-    Real BlackIborCouponPricer::swapletPrice() const {
-        // past or future fixing is managed in InterestRateIndex::fixing()
-
-        Real swapletPrice =
-           adjustedFixing()* coupon_->accrualPeriod() * discount_;
-        return gearing_ * swapletPrice + spreadLegValue_;
-    }
-
-    Rate BlackIborCouponPricer::swapletRate() const {
-        return swapletPrice()/(coupon_->accrualPeriod()*discount_);
-    }
-
-    Real BlackIborCouponPricer::capletPrice(Rate effectiveCap) const {
-        Real capletPrice = optionletPrice(Option::Call, effectiveCap);
-        return gearing_ * capletPrice;
-    }
+        spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
 
-    Rate BlackIborCouponPricer::capletRate(Rate effectiveCap) const {
-        return capletPrice(effectiveCap)/(coupon_->accrualPeriod()*discount_);
-    }
-
-    Real BlackIborCouponPricer::floorletPrice(Rate effectiveFloor) const {
-        Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
-        return gearing_ * floorletPrice;
-    }
-
-    Rate BlackIborCouponPricer::floorletRate(Rate effectiveFloor) const {
-        return floorletPrice(effectiveFloor)/
-            (coupon_->accrualPeriod()*discount_);
+        coupon_ = &coupon;
     }
 
     Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
@@ -99,7 +76,7 @@ namespace QuantLib {
                 a = effStrike;
                 b = coupon_->indexFixing();
             }
-            return std::max(a - b, 0.0)* coupon_->accrualPeriod()*discount_;
+            return std::max(a - b, 0.0)* accrualPeriod_*discount_;
         } else {
             // not yet determined, use Black model
             QL_REQUIRE(!capletVolatility().empty(),
@@ -111,34 +88,30 @@ namespace QuantLib {
                                        effStrike,
                                        adjustedFixing(),
                                        stdDev);
-            return fixing * coupon_->accrualPeriod() * discount_;
+            return fixing * accrualPeriod_ * discount_;
         }
     }
 
     Rate BlackIborCouponPricer::adjustedFixing(Rate fixing) const {
 
-        Real adjustement = 0.0;
-
         if (fixing == Null<Rate>())
             fixing = coupon_->indexFixing();
 
-        if (!coupon_->isInArrears()) {
-            adjustement = 0.0;
-        } else {
-            // see Hull, 4th ed., page 550
-            QL_REQUIRE(!capletVolatility().empty(),
-                       "missing optionlet volatility");
-            Date d1 = coupon_->fixingDate(),
-                 referenceDate = capletVolatility()->referenceDate();
-            if (d1 <= referenceDate) {
-                adjustement = 0.0;
-            } else {
-                Date d2 = coupon_->index()->maturityDate(d1);
-                Time tau = coupon_->index()->dayCounter().yearFraction(d1, d2);
-                Real variance = capletVolatility()->blackVariance(d1, fixing);
-                adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
-            }
-        }
+        if (!coupon_->isInArrears())
+            return fixing;
+
+        QL_REQUIRE(!capletVolatility().empty(),
+                   "missing optionlet volatility");
+        Date d1 = coupon_->fixingDate();
+        Date referenceDate = capletVolatility()->referenceDate();
+        if (d1 <= referenceDate)
+            return fixing;
+
+        // see Hull, 4th ed., page 550
+        Date d2 = coupon_->index()->maturityDate(d1);
+        Time tau = coupon_->index()->dayCounter().yearFraction(d1, d2);
+        Real variance = capletVolatility()->blackVariance(d1, fixing);
+        Spread adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
         return fixing + adjustement;
     }
 
diff --git a/ql/cashflows/couponpricer.hpp b/ql/cashflows/couponpricer.hpp
index 162b65b8fe..48e6875a75 100644
--- a/ql/cashflows/couponpricer.hpp
+++ b/ql/cashflows/couponpricer.hpp
@@ -99,11 +99,13 @@ namespace QuantLib {
 
         virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
 
-        const IborCoupon* coupon_;
-        Real discount_;
         Real gearing_;
         Spread spread_;
+        Time accrualPeriod_;
+        Real discount_;
         Real spreadLegValue_;
+
+        const FloatingRateCoupon* coupon_;
     };
 
     //! base pricer for vanilla CMS coupons
@@ -135,6 +137,39 @@ namespace QuantLib {
             const Leg& leg,
             const std::vector<boost::shared_ptr<FloatingRateCouponPricer> >&);
 
+    // inline
+
+    inline Real BlackIborCouponPricer::swapletPrice() const {
+        // past or future fixing is managed in InterestRateIndex::fixing()
+
+        Real swapletPrice = adjustedFixing() * accrualPeriod_ * discount_;
+        return gearing_ * swapletPrice + spreadLegValue_;
+    }
+
+    inline Rate BlackIborCouponPricer::swapletRate() const {
+        return swapletPrice()/(accrualPeriod_*discount_);
+    }
+
+    inline Real BlackIborCouponPricer::capletPrice(Rate effectiveCap) const {
+        Real capletPrice = optionletPrice(Option::Call, effectiveCap);
+        return gearing_ * capletPrice;
+    }
+
+    inline Rate BlackIborCouponPricer::capletRate(Rate effectiveCap) const {
+        return capletPrice(effectiveCap) / (accrualPeriod_*discount_);
+    }
+
+    inline
+    Real BlackIborCouponPricer::floorletPrice(Rate effectiveFloor) const {
+        Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
+        return gearing_ * floorletPrice;
+    }
+
+    inline
+    Rate BlackIborCouponPricer::floorletRate(Rate effectiveFloor) const {
+        return floorletPrice(effectiveFloor) / (accrualPeriod_*discount_);
+    }
+
 }
 
 #endif

From 354ede5fd1c724fe933ebbf94cd8147e3bbe1467 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 15:17:44 +0000
Subject: [PATCH 255/410] cached coupon.index() pointer in private data member

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17864 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/couponpricer.cpp | 16 +++++++++-------
 ql/cashflows/couponpricer.hpp |  3 +++
 2 files changed, 12 insertions(+), 7 deletions(-)

diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
index 240bc44aef..ecfd197c24 100644
--- a/ql/cashflows/couponpricer.cpp
+++ b/ql/cashflows/couponpricer.cpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2007 Giorgio Facchinetti
  Copyright (C) 2007 Cristina Duminuco
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -26,9 +27,10 @@
 #include <ql/cashflows/rangeaccrual.hpp>
 #include <ql/experimental/coupons/subperiodcoupons.hpp>
 #include <ql/pricingengines/blackformula.hpp>
-#include <ql/indexes/interestrateindex.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 
+using boost::dynamic_pointer_cast;
+
 namespace QuantLib {
 
 //===========================================================================//
@@ -41,16 +43,16 @@ namespace QuantLib {
         spread_ = coupon.spread();
         accrualPeriod_ = coupon.accrualPeriod();
 
-        boost::shared_ptr<IborIndex> index =
-            boost::dynamic_pointer_cast<IborIndex>(coupon.index());
-        if (!index) {
+        index_ = dynamic_pointer_cast<IborIndex>(coupon.index());
+        if (!index_) {
             // check if the coupon was right
             const IborCoupon* c = dynamic_cast<const IborCoupon*>(&coupon);
             QL_REQUIRE(c, "IborCoupon required");
             // coupon was right, index is not
             QL_FAIL("IborIndex required");
         }
-        Handle<YieldTermStructure> rateCurve = index->forwardingTermStructure();
+        Handle<YieldTermStructure> rateCurve =
+                                            index_->forwardingTermStructure();
 
         Date paymentDate = coupon.date();
         if (paymentDate > rateCurve->referenceDate())
@@ -108,8 +110,8 @@ namespace QuantLib {
             return fixing;
 
         // see Hull, 4th ed., page 550
-        Date d2 = coupon_->index()->maturityDate(d1);
-        Time tau = coupon_->index()->dayCounter().yearFraction(d1, d2);
+        Date d2 = index_->maturityDate(d1);
+        Time tau = index_->dayCounter().yearFraction(d1, d2);
         Real variance = capletVolatility()->blackVariance(d1, fixing);
         Spread adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
         return fixing + adjustement;
diff --git a/ql/cashflows/couponpricer.hpp b/ql/cashflows/couponpricer.hpp
index 48e6875a75..c12e7f7450 100644
--- a/ql/cashflows/couponpricer.hpp
+++ b/ql/cashflows/couponpricer.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2007 Giorgio Facchinetti
  Copyright (C) 2007 Cristina Duminuco
+ Copyright (C) 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -27,6 +28,7 @@
 
 #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
 #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
+#include <ql/indexes/iborindex.hpp>
 #include <ql/cashflow.hpp>
 #include <ql/option.hpp>
 
@@ -102,6 +104,7 @@ namespace QuantLib {
         Real gearing_;
         Spread spread_;
         Time accrualPeriod_;
+        boost::shared_ptr<IborIndex> index_;
         Real discount_;
         Real spreadLegValue_;
 

From 894aa49bfbf15e1244043bd6ab09515de33d3383 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 7 Jul 2011 16:32:13 +0000
Subject: [PATCH 256/410] VC10 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17865 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj | 9 +++++++++
 1 file changed, 9 insertions(+)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index a44a80c705..795607f59c 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -253,12 +253,17 @@
     <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\exponentialjump1dmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdm2dimsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdm3dimsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouop.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextousolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouspreadinnervalue.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmndimsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp" />
@@ -752,6 +757,7 @@
     <ClInclude Include="ql\models\equity\hestonmodelhelper.hpp" />
     <ClInclude Include="ql\models\equity\piecewisetimedependenthestonmodel.hpp" />
     <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp" />
+    <ClInclude Include="ql\processes\defaultable.hpp" />
     <ClInclude Include="ql\termstructures\all.hpp" />
     <ClInclude Include="ql\termstructures\bootstraperror.hpp" />
     <ClInclude Include="ql\termstructures\bootstraphelper.hpp" />
@@ -1324,11 +1330,14 @@
     <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\exponentialjump1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdm2dimsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdm3dimsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextousolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp" />

From 6f7444489e67b15c0ee870ee37551bc9125c13de Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 08:23:25 +0000
Subject: [PATCH 257/410] added ECB maintenance dates for 2012 and 2013

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17866 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/ecb.cpp | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

diff --git a/ql/time/ecb.cpp b/ql/time/ecb.cpp
index dbf6922b43..eed3de8176 100644
--- a/ql/time/ecb.cpp
+++ b/ql/time/ecb.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2009 Ferdinando Ametrano
+ Copyright (C) 2009, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -41,6 +41,9 @@ namespace QuantLib {
             , 39834, 39855, 39883, 39911, 39946, 39974, 40002, 40037, 40065, 40100, 40128, 40155 // 2009
             , 40198, 40219, 40247, 40282, 40310, 40345, 40373, 40401, 40429, 40464, 40492, 40520 // 2010
             , 40562, 40583, 40611, 40646, 40674, 40709, 40737, 40765, 40800, 40828, 40856, 40891 // 2011
+            // http://www.ecb.europa.eu/press/pr/date/2011/html/pr110520.en.html
+            , 40926, 40954, 40982, 41010, 41038, 41073, 41101, 41129, 41164, 41192, 41227, 41255 // 2012
+            , 41290, 41318, 41346, 41374, 41402, 41437, 41465, 41493, 41528, 41556, 41591, 41619 // 2013
         };
         if (knownDateSet.empty()) {
             Size n = sizeof(knownDatesArray)/sizeof(BigInteger);

From 5eb4d0d884b5fbb9f0d0e1c494e1837c675e5e6f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 08:52:58 +0000
Subject: [PATCH 258/410] added floatingLegNPV inspector

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17867 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 7 +++++++
 ql/instruments/assetswap.hpp | 1 +
 2 files changed, 8 insertions(+)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 1f53ac6ad9..6be465aa64 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -210,6 +210,13 @@ namespace QuantLib {
         return legBPS_[1];
     }
 
+    Real AssetSwap::floatingLegNPV() const {
+        calculate();
+        QL_REQUIRE(legNPV_.size() > 1 && legNPV_[1] != Null<Real>(),
+                   "floating-leg NPV not available");
+        return legNPV_[1];
+    }
+
     Real AssetSwap::fairCleanPrice() const {
         calculate();
         if (fairCleanPrice_ != Null<Real>()) {
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 6446e073ee..7aa0aba25e 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -64,6 +64,7 @@ namespace QuantLib {
         // results
         Spread fairSpread() const;
         Real floatingLegBPS() const;
+        Real floatingLegNPV() const;
         Real fairCleanPrice() const;
         // inspectors
         bool parSwap() const { return parSwap_; }

From f43383fb45bb602fd905bbcae882f0f08f39254f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 09:36:11 +0000
Subject: [PATCH 259/410] made private those data members which are meant to be
 accessed through virtual inspectors

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17868 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../inflation/cpicapfloortermpricesurface.hpp | 48 ++++++++++++++-----
 .../inflation/yoycapfloortermpricesurface.hpp | 12 ++---
 .../interpolatedzeroinflationcurve.hpp        |  2 +-
 ql/termstructures/inflationtermstructure.cpp  | 31 ------------
 ql/termstructures/inflationtermstructure.hpp  | 47 ++++++++++++++----
 5 files changed, 81 insertions(+), 59 deletions(-)

diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
index 5bf96b82be..156efbe258 100755
--- a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
@@ -68,9 +68,9 @@ namespace QuantLib {
     class CPICapFloorTermPriceSurface : public InflationTermStructure {
       public:
         CPICapFloorTermPriceSurface(Real nominal, 
-									Real baseRate,					// avoids an uncontrolled crash if index has no TS
+									Real baseRate,	// avoids an uncontrolled crash if index has no TS
 									const Period &observationLag,	
-									const Calendar &cal,				// calendar in index may not be useful
+									const Calendar &cal, // calendar in index may not be useful
 									const BusinessDayConvention &bdc,
 									const DayCounter &dc,
 									const Handle<ZeroInflationIndex>& zii,
@@ -81,19 +81,24 @@ namespace QuantLib {
                                     const Matrix &cPrice,
                                     const Matrix &fPrice);
  
+        //! \name InflationTermStructure interface
+        //@{
+		Period observationLag() const;
+		Date baseDate() const;
+        //@}
+
         //! is based on
         Handle<ZeroInflationIndex> zeroInflationIndex() const { return zii_; }
 
+
         //! inspectors
         /*! \note you don't know if price() is a cap or a floor
                   without checking the ZeroInflation ATM level.
         */
         //@{
-		virtual Real nominal() const { return nominal_; }
-		virtual Date baseDate() const { return zeroInflationIndex()->zeroInflationTermStructure()->baseDate(); }
-		virtual Rate baseRate() const { return baseRate_; }
-		virtual Period observationLag() const { return zeroInflationIndex()->zeroInflationTermStructure()->observationLag(); }
-		virtual BusinessDayConvention businessDayConvention() const { return bdc_; }
+		virtual Real nominal() const;
+		virtual BusinessDayConvention businessDayConvention() const;
+        //@}
 
 		//! \warning you MUST remind the compiler in any descendants with the using:: mechanism 
 		//!          because you overload the names
@@ -134,8 +139,6 @@ namespace QuantLib {
 		
 		
 
-        Real nominal_;
-        BusinessDayConvention bdc_;
         Handle<ZeroInflationIndex> zii_;
         // data
         std::vector<Rate> cStrikes_;
@@ -146,6 +149,9 @@ namespace QuantLib {
         Matrix fPrice_;
         // constructed
         mutable std::vector<Rate> cfStrikes_;
+      private:
+        Real nominal_;
+        BusinessDayConvention bdc_;
     };
 
 		
@@ -352,10 +358,26 @@ namespace QuantLib {
         Time t = timeFromReference(d);
         return floorPrice_(t,k);
     }
- 
- 
-}
 
+    // inline
 
-#endif
+    inline Period CPICapFloorTermPriceSurface::observationLag() const {
+        return zeroInflationIndex()->zeroInflationTermStructure()->observationLag();
+    }
+
+    inline Date CPICapFloorTermPriceSurface::baseDate() const {
+        return zeroInflationIndex()->zeroInflationTermStructure()->baseDate();
+    }
+
+    inline Real CPICapFloorTermPriceSurface::nominal() const {
+        return nominal_;
+    }
 
+    inline BusinessDayConvention
+    CPICapFloorTermPriceSurface::businessDayConvention() const {
+        return bdc_;
+    }
+
+}
+
+#endif
diff --git a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
index 6a0fdcedab..e096b22f63 100644
--- a/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/yoycapfloortermpricesurface.hpp
@@ -375,7 +375,7 @@ namespace QuantLib {
             Size numYears = (Size)(t + 0.5);
             Real sumDiscount = 0.0;
             for (Size j=0; j<numYears; ++j)
-                sumDiscount += nominalTermStructure_->discount(j + 1.0);
+                sumDiscount += nominalTermStructure()->discount(j + 1.0);
             // determine the minimum value of the ATM swap point
             Real tmpMinSwapRateIntersection = -1.e10;
             Real tmpMaxSwapRateIntersection = 1.e10;
@@ -512,13 +512,13 @@ namespace QuantLib {
 
         std::vector<boost::shared_ptr<BootstrapHelper<YoYInflationTermStructure> > > YYhelpers;
         for (Size i=1; i<=nYears; i++) {
-            Date maturity = nominalTermStructure_->referenceDate() + Period(i,Years);
+            Date maturity = nominalTermStructure()->referenceDate() + Period(i,Years);
             Handle<Quote> quote(boost::shared_ptr<Quote>(
                                new SimpleQuote( atmYoYSwapRate( maturity ) )));//!
             boost::shared_ptr<BootstrapHelper<YoYInflationTermStructure> >
             anInstrument(
                 new YearOnYearInflationSwapHelper(
-                                quote, observationLag_, maturity,
+                                quote, observationLag(), maturity,
                                 calendar(), bdc_, dayCounter(),
                                 yoyIndex()));
             YYhelpers.push_back (anInstrument);
@@ -529,12 +529,12 @@ namespace QuantLib {
         // we pick this as the end of the curve
         Rate baseYoYRate = atmYoYSwapRate( referenceDate() );//!
 
-        Handle<YieldTermStructure> nominalH( nominalTermStructure_ );
+        Handle<YieldTermStructure> nominalH( nominalTermStructure() );
         // Linear is OK because we have every year
         boost::shared_ptr<PiecewiseYoYInflationCurve<Linear> >   pYITS(
               new PiecewiseYoYInflationCurve<Linear>(
-                      nominalTermStructure_->referenceDate(),
-                      calendar(), dayCounter(), observationLag_, yoyIndex()->frequency(),
+                      nominalTermStructure()->referenceDate(),
+                      calendar(), dayCounter(), observationLag(), yoyIndex()->frequency(),
                       yoyIndex()->interpolated(), baseYoYRate,
                       nominalH, YYhelpers));
         pYITS->recalculate();
diff --git a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
index f494380609..dcc9810a83 100644
--- a/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
+++ b/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp
@@ -189,7 +189,7 @@ namespace QuantLib {
     template <class T>
     Date InterpolatedZeroInflationCurve<T>::maxDate() const {
         Date d;
-        if (indexIsInterpolated_) {
+        if (indexIsInterpolated()) {
             d = dates_.back();
         } else {
             d = inflationPeriod(dates_.back(), frequency()).second;
diff --git a/ql/termstructures/inflationtermstructure.cpp b/ql/termstructures/inflationtermstructure.cpp
index ed0ca9075f..e5fdf6502b 100644
--- a/ql/termstructures/inflationtermstructure.cpp
+++ b/ql/termstructures/inflationtermstructure.cpp
@@ -74,18 +74,6 @@ namespace QuantLib {
     }
 
 
-    Period InflationTermStructure::observationLag() const {
-        return observationLag_;
-    }
-
-    Frequency InflationTermStructure::frequency() const {
-        return frequency_;
-    }
-
-    bool InflationTermStructure::indexIsInterpolated() const {
-        return indexIsInterpolated_;
-    }
-
     void InflationTermStructure::setSeasonality(
                           const boost::shared_ptr<Seasonality>& seasonality) {
         // always reset, whether with null or new pointer
@@ -99,24 +87,6 @@ namespace QuantLib {
     }
 
 
-    boost::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
-        return seasonality_;
-    }
-
-    bool InflationTermStructure::hasSeasonality() const {
-        return seasonality_;
-    }
-
-
-    Handle<YieldTermStructure>
-    InflationTermStructure::nominalTermStructure() const {
-        return nominalTermStructure_;
-    }
-
-    Rate InflationTermStructure::baseRate() const {
-        return baseRate_;
-    }
-
     void InflationTermStructure::checkRange(const Date& d,
                                             bool extrapolate) const {
         QL_REQUIRE(d >= baseDate(),
@@ -369,4 +339,3 @@ namespace QuantLib {
 
 
 }
-
diff --git a/ql/termstructures/inflationtermstructure.hpp b/ql/termstructures/inflationtermstructure.hpp
index 5c270d8711..05f62940ab 100644
--- a/ql/termstructures/inflationtermstructure.hpp
+++ b/ql/termstructures/inflationtermstructure.hpp
@@ -91,17 +91,12 @@ namespace QuantLib {
         /*! Calling setSeasonality with no arguments means unsetting
             as the default is used to choose unsetting.
         */
-        void setSeasonality(const boost::shared_ptr<Seasonality> &seasonality = boost::shared_ptr<Seasonality>());
+        void setSeasonality(const boost::shared_ptr<Seasonality>& seasonality =
+                                            boost::shared_ptr<Seasonality>());
         boost::shared_ptr<Seasonality> seasonality() const;
         bool hasSeasonality() const;
 
       protected:
-        Handle<YieldTermStructure> nominalTermStructure_;
-
-        Period observationLag_;
-        Frequency frequency_;
-        bool indexIsInterpolated_;
-        mutable Rate baseRate_;
 
         // This next part is required for piecewise- constructors
         // because, for inflation, they need more than just the
@@ -118,6 +113,12 @@ namespace QuantLib {
                         bool extrapolate) const;
 
         boost::shared_ptr<Seasonality> seasonality_;
+      private:
+        Period observationLag_;
+        Frequency frequency_;
+        bool indexIsInterpolated_;
+        mutable Rate baseRate_;
+        Handle<YieldTermStructure> nominalTermStructure_;
     };
 
 
@@ -261,7 +262,37 @@ namespace QuantLib {
                                const Date &, const Date &);
 
 
-}
+    // inline
+
+    inline Period InflationTermStructure::observationLag() const {
+        return observationLag_;
+    }
+
+    inline Frequency InflationTermStructure::frequency() const {
+        return frequency_;
+    }
+
+    inline bool InflationTermStructure::indexIsInterpolated() const {
+        return indexIsInterpolated_;
+    }
 
+    inline Rate InflationTermStructure::baseRate() const {
+        return baseRate_;
+    }
+
+    inline Handle<YieldTermStructure>
+    InflationTermStructure::nominalTermStructure() const {
+        return nominalTermStructure_;
+    }
+
+    inline boost::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
+        return seasonality_;
+    }
+
+    inline bool InflationTermStructure::hasSeasonality() const {
+        return seasonality_;
+    }
+
+}
 
 #endif

From ace696985917637afe4ebf76a52be7eed8fb1c7b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 11:43:47 +0000
Subject: [PATCH 260/410] Added methods to enable/disable change of evaluation
 date at midnight.

The corresponding define was removed.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17870 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/settings.cpp   | 19 ++++++++++++-------
 ql/settings.hpp   | 16 ++++++++++++++++
 ql/userconfig.hpp |  7 -------
 3 files changed, 28 insertions(+), 14 deletions(-)

diff --git a/ql/settings.cpp b/ql/settings.cpp
index 00525e9696..18cfbccf99 100644
--- a/ql/settings.cpp
+++ b/ql/settings.cpp
@@ -24,13 +24,7 @@
 namespace QuantLib {
 
     Settings::DateProxy::DateProxy()
-    : ObservableValue<Date>(
-                            #ifdef QL_TODAY_AS_STICKY_EVALDATE
-                            Date::todaysDate())
-                            #else
-                            Date())
-                            #endif
-    {}
+    : ObservableValue<Date>(Date()) {}
 
     std::ostream& operator<<(std::ostream& out,
                              const Settings::DateProxy& p) {
@@ -41,6 +35,17 @@ namespace QuantLib {
     : includeReferenceDateCashFlows_(false),
       enforcesTodaysHistoricFixings_(false) {}
 
+    void Settings::anchorEvaluationDate() {
+        // set to today's date if not already set.
+        if (evaluationDate_.value() == Date())
+            evaluationDate_ = Date::todaysDate();
+        // If set, no-op since the date is already anchored.
+    }
+
+    void Settings::resetEvaluationDate() {
+        evaluationDate_ = Date();
+    }
+
     SavedSettings::SavedSettings()
     : evaluationDate_(Settings::instance().evaluationDate()),
       includeReferenceDateCashFlows_(
diff --git a/ql/settings.hpp b/ql/settings.hpp
index f2a7fec7af..f4b372656b 100644
--- a/ql/settings.hpp
+++ b/ql/settings.hpp
@@ -71,6 +71,22 @@ namespace QuantLib {
         DateProxy& evaluationDate();
         const DateProxy& evaluationDate() const;
 
+        /*! Call this to prevent the evaluation date to change at
+            midnight (and, incidentally, to gain quite a bit of
+            performance.)  If no evaluation date was previously set,
+            it is equivalent to setting the evaluation date to
+            Date::todaysDate(); if an evaluation date other than
+            Date() was already set, it has no effect.
+        */
+        void anchorEvaluationDate();
+        /*! Call this to reset the evaluation date to
+            Date::todaysDate() and allow it to change at midnight.  It
+            is equivalent to setting the evaluation date to Date().
+            This comes at the price of losing some performance, since
+            the evaluation date is re-evaluated each time it is read.
+        */
+        void resetEvaluationDate();
+
         /*! This flag specifies whether or not cashflows occurring on
             the NPV date should, by default, enter the NPV.  It can be
             overridden locally when calling the NPV-related
diff --git a/ql/userconfig.hpp b/ql/userconfig.hpp
index 59308a634c..19904b1c82 100644
--- a/ql/userconfig.hpp
+++ b/ql/userconfig.hpp
@@ -70,13 +70,6 @@
 //#   define QL_USE_INDEXED_COUPON
 #endif
 
-/* Define this to have today's date as sticky evaluation date in Settings.
-   This prevents the midnight change, and it is equivalent to set todays's
-   date to Settings. It can be reverted setting Null<Date>() to Settings. */
-#ifndef QL_TODAY_AS_STICKY_EVALDATE
-//#   define QL_TODAY_AS_STICKY_EVALDATE
-#endif
-
 /* Define this to have singletons return different instances for
    different sessions. You will have to provide and link with the
    library a sessionId() function in namespace QuantLib, returning a

From b691da6b19fdae786242330df40ddb405ea862a6 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 15:15:24 +0000
Subject: [PATCH 261/410] deprecated privateness of TermStructure::calendar_ to
 avoid direct access to what was meant to be accessed through virtual
 inspector

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17871 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../volatility/blackatmvolcurve.cpp           |  6 ++++
 .../volatility/blackatmvolcurve.hpp           | 12 +++++--
 .../volatility/blackvolsurface.cpp            |  6 ++++
 .../volatility/blackvolsurface.hpp            | 12 +++++--
 .../volatility/equityfxvolsurface.cpp         |  6 ++++
 .../volatility/equityfxvolsurface.hpp         | 12 +++++--
 .../volatility/interestratevolsurface.cpp     |  9 ++++-
 .../volatility/interestratevolsurface.hpp     |  9 +++++
 ql/termstructure.hpp                          |  5 +++
 .../capfloortermvolatilitystructure.cpp       |  7 ++++
 .../capfloortermvolatilitystructure.hpp       |  9 ++++-
 .../equityfx/blackvoltermstructure.cpp        | 20 +++++++++++
 .../equityfx/blackvoltermstructure.hpp        | 36 +++++++++++++++----
 .../volatility/equityfx/localvolcurve.hpp     |  6 ++--
 .../volatility/equityfx/localvolsurface.cpp   |  7 ++--
 .../equityfx/localvoltermstructure.cpp        |  6 ++++
 .../equityfx/localvoltermstructure.hpp        | 12 +++++--
 .../optionletvolatilitystructure.cpp          |  7 ++++
 .../optionletvolatilitystructure.hpp          | 12 +++++--
 .../swaption/spreadedswaptionvol.cpp          |  3 +-
 .../swaption/swaptionvolstructure.cpp         |  7 ++++
 .../swaption/swaptionvolstructure.hpp         |  9 ++++-
 ql/termstructures/voltermstructure.cpp        |  6 ++++
 ql/termstructures/voltermstructure.hpp        |  9 ++++-
 24 files changed, 204 insertions(+), 29 deletions(-)

diff --git a/ql/experimental/volatility/blackatmvolcurve.cpp b/ql/experimental/volatility/blackatmvolcurve.cpp
index e958de483c..1662fb63e5 100644
--- a/ql/experimental/volatility/blackatmvolcurve.cpp
+++ b/ql/experimental/volatility/blackatmvolcurve.cpp
@@ -21,10 +21,16 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     BlackAtmVolCurve::BlackAtmVolCurve(const Calendar& cal,
                                        BusinessDayConvention bdc,
                                        const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    BlackAtmVolCurve::BlackAtmVolCurve(BusinessDayConvention bdc,
+                                       const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     BlackAtmVolCurve::BlackAtmVolCurve(const Date& refDate,
                                        const Calendar& cal,
diff --git a/ql/experimental/volatility/blackatmvolcurve.hpp b/ql/experimental/volatility/blackatmvolcurve.hpp
index 64386e599e..e99dd6ea7b 100644
--- a/ql/experimental/volatility/blackatmvolcurve.hpp
+++ b/ql/experimental/volatility/blackatmvolcurve.hpp
@@ -44,14 +44,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        BlackAtmVolCurve(const Calendar& cal = Calendar(),
+        BlackAtmVolCurve(const Calendar& cal,
                          BusinessDayConvention bdc = Following,
                          const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        BlackAtmVolCurve(BusinessDayConvention bdc = Following,
+                         const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         BlackAtmVolCurve(const Date& referenceDate,
                          const Calendar& cal = Calendar(),
diff --git a/ql/experimental/volatility/blackvolsurface.cpp b/ql/experimental/volatility/blackvolsurface.cpp
index 44ff001ce0..489cac5ab5 100644
--- a/ql/experimental/volatility/blackvolsurface.cpp
+++ b/ql/experimental/volatility/blackvolsurface.cpp
@@ -22,10 +22,16 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     BlackVolSurface::BlackVolSurface(const Calendar& cal,
                                      BusinessDayConvention bdc,
                                      const DayCounter& dc)
     : BlackAtmVolCurve(cal, bdc, dc) {}
+#endif
+
+    BlackVolSurface::BlackVolSurface(BusinessDayConvention bdc,
+                                     const DayCounter& dc)
+    : BlackAtmVolCurve(bdc, dc) {}
 
     BlackVolSurface::BlackVolSurface(const Date& refDate,
                                      const Calendar& cal,
diff --git a/ql/experimental/volatility/blackvolsurface.hpp b/ql/experimental/volatility/blackvolsurface.hpp
index 7f0b46c9a5..d2e2a9c1f5 100644
--- a/ql/experimental/volatility/blackvolsurface.hpp
+++ b/ql/experimental/volatility/blackvolsurface.hpp
@@ -46,14 +46,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        BlackVolSurface(const Calendar& cal = Calendar(),
+        BlackVolSurface(const Calendar& cal,
                         BusinessDayConvention bdc = Following,
                         const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        BlackVolSurface(BusinessDayConvention bdc = Following,
+                        const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         BlackVolSurface(const Date& referenceDate,
                         const Calendar& cal = Calendar(),
diff --git a/ql/experimental/volatility/equityfxvolsurface.cpp b/ql/experimental/volatility/equityfxvolsurface.cpp
index 420c6b4f23..6670914bd5 100644
--- a/ql/experimental/volatility/equityfxvolsurface.cpp
+++ b/ql/experimental/volatility/equityfxvolsurface.cpp
@@ -21,10 +21,16 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     EquityFXVolSurface::EquityFXVolSurface(const Calendar& cal,
                                            BusinessDayConvention bdc,
                                            const DayCounter& dc)
     : BlackVolSurface(cal, bdc, dc) {}
+#endif
+
+    EquityFXVolSurface::EquityFXVolSurface(BusinessDayConvention bdc,
+                                           const DayCounter& dc)
+    : BlackVolSurface(bdc, dc) {}
 
     EquityFXVolSurface::EquityFXVolSurface(const Date& refDate,
                                            const Calendar& cal,
diff --git a/ql/experimental/volatility/equityfxvolsurface.hpp b/ql/experimental/volatility/equityfxvolsurface.hpp
index 06ca6756f1..e88ad9a173 100644
--- a/ql/experimental/volatility/equityfxvolsurface.hpp
+++ b/ql/experimental/volatility/equityfxvolsurface.hpp
@@ -46,14 +46,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        EquityFXVolSurface(const Calendar& cal = Calendar(),
+        EquityFXVolSurface(const Calendar& cal,
                            BusinessDayConvention bdc = Following,
                            const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        EquityFXVolSurface(BusinessDayConvention bdc = Following,
+                           const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         EquityFXVolSurface(const Date& referenceDate,
                            const Calendar& cal = Calendar(),
diff --git a/ql/experimental/volatility/interestratevolsurface.cpp b/ql/experimental/volatility/interestratevolsurface.cpp
index 3c4612faff..ba0442005a 100644
--- a/ql/experimental/volatility/interestratevolsurface.cpp
+++ b/ql/experimental/volatility/interestratevolsurface.cpp
@@ -21,12 +21,20 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     InterestRateVolSurface::InterestRateVolSurface(
                             const boost::shared_ptr<InterestRateIndex>& index,
                             const Calendar& cal,
                             BusinessDayConvention bdc,
                             const DayCounter& dc)
     : BlackVolSurface(cal, bdc, dc), index_(index) {}
+#endif
+
+    InterestRateVolSurface::InterestRateVolSurface(
+                            const boost::shared_ptr<InterestRateIndex>& index,
+                            BusinessDayConvention bdc,
+                            const DayCounter& dc)
+    : BlackVolSurface(bdc, dc), index_(index) {}
 
     InterestRateVolSurface::InterestRateVolSurface(
                             const boost::shared_ptr<InterestRateIndex>& index,
@@ -63,4 +71,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/experimental/volatility/interestratevolsurface.hpp b/ql/experimental/volatility/interestratevolsurface.hpp
index 5428e458cf..09712df1ed 100644
--- a/ql/experimental/volatility/interestratevolsurface.hpp
+++ b/ql/experimental/volatility/interestratevolsurface.hpp
@@ -44,6 +44,7 @@ namespace QuantLib {
             constructors.
         */
         //@{
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
@@ -52,6 +53,14 @@ namespace QuantLib {
                                const Calendar& cal = Calendar(),
                                BusinessDayConvention bdc = Following,
                                const DayCounter& dc = DayCounter());
+#endif
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
+                               BusinessDayConvention bdc = Following,
+                               const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
                                const Date& referenceDate,
diff --git a/ql/termstructure.hpp b/ql/termstructure.hpp
index d08c5e9523..be0d9e0e2e 100644
--- a/ql/termstructure.hpp
+++ b/ql/termstructure.hpp
@@ -105,8 +105,13 @@ namespace QuantLib {
                         bool extrapolate) const;
         bool moving_;
         mutable bool updated_;
+#ifndef QL_DISABLE_DEPRECATED
         Calendar calendar_;
       private:
+#else
+      private:
+        Calendar calendar_;
+#endif
         mutable Date referenceDate_;
         Natural settlementDays_;
         DayCounter dayCounter_;
diff --git a/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp b/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp
index f950aa6bfa..b81de85893 100644
--- a/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp
+++ b/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp
@@ -22,11 +22,18 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure(
                                                     const Calendar& cal,
                                                     BusinessDayConvention bdc,
                                                     const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure(
+                                                    BusinessDayConvention bdc,
+                                                    const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure(
                                                     const Date& refDate,
diff --git a/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp b/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp
index a7e24468bb..b473f31656 100644
--- a/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp
+++ b/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp
@@ -40,7 +40,7 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
@@ -48,6 +48,13 @@ namespace QuantLib {
         CapFloorTermVolatilityStructure(const Calendar& cal,
                                         BusinessDayConvention bdc,
                                         const DayCounter& dc = DayCounter());
+#endif
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        CapFloorTermVolatilityStructure(BusinessDayConvention bdc,
+                                        const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         CapFloorTermVolatilityStructure(const Date& referenceDate,
                                         const Calendar& cal,
diff --git a/ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp b/ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp
index 2a160bda76..d7bfdbbd56 100644
--- a/ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp
+++ b/ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp
@@ -23,10 +23,16 @@ namespace QuantLib {
 
     const Time BlackVolTermStructure::dT = 1.0/365.0;
 
+#ifndef QL_DISABLE_DEPRECATED
     BlackVolTermStructure::BlackVolTermStructure(const Calendar& cal,
                                                  BusinessDayConvention bdc,
                                                  const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    BlackVolTermStructure::BlackVolTermStructure(BusinessDayConvention bdc,
+                                                 const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     BlackVolTermStructure::BlackVolTermStructure(const Date& refDate,
                                                  const Calendar& cal,
@@ -116,11 +122,18 @@ namespace QuantLib {
         return v2-v1;
     }
 
+#ifndef QL_DISABLE_DEPRECATED
     BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                     const Calendar& cal,
                                                     BusinessDayConvention bdc,
                                                     const DayCounter& dc)
     : BlackVolTermStructure(cal, bdc, dc) {}
+#endif
+
+    BlackVolatilityTermStructure::BlackVolatilityTermStructure(
+                                                    BusinessDayConvention bdc,
+                                                    const DayCounter& dc)
+    : BlackVolTermStructure(bdc, dc) {}
 
     BlackVolatilityTermStructure::BlackVolatilityTermStructure(
                                                     const Date& refDate,
@@ -136,11 +149,18 @@ namespace QuantLib {
                                                     const DayCounter& dc)
     : BlackVolTermStructure(settlementDays, cal, bdc, dc) {}
 
+#ifndef QL_DISABLE_DEPRECATED
     BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                     const Calendar& cal,
                                                     BusinessDayConvention bdc,
                                                     const DayCounter& dc)
     : BlackVolTermStructure(cal, bdc, dc) {}
+#endif
+
+    BlackVarianceTermStructure::BlackVarianceTermStructure(
+                                                    BusinessDayConvention bdc,
+                                                    const DayCounter& dc)
+    : BlackVolTermStructure(bdc, dc) {}
 
     BlackVarianceTermStructure::BlackVarianceTermStructure(
                                                     const Date& refDate,
diff --git a/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp b/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp
index 81e93c76b0..2e73069cbd 100644
--- a/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp
+++ b/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp
@@ -44,14 +44,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        BlackVolTermStructure(const Calendar& cal = Calendar(),
+        BlackVolTermStructure(const Calendar& cal,
                               BusinessDayConvention bdc = Following,
                               const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        BlackVolTermStructure(BusinessDayConvention bdc = Following,
+                              const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         BlackVolTermStructure(const Date& referenceDate,
                               const Calendar& cal = Calendar(),
@@ -139,14 +147,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        BlackVolatilityTermStructure(const Calendar& cal = Calendar(),
+        BlackVolatilityTermStructure(const Calendar& cal,
                                      BusinessDayConvention bdc = Following,
                                      const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        BlackVolatilityTermStructure(BusinessDayConvention bdc = Following,
+                                     const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         BlackVolatilityTermStructure(const Date& referenceDate,
                                      const Calendar& cal = Calendar(),
@@ -185,14 +201,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        BlackVarianceTermStructure(const Calendar& cal = Calendar(),
+        BlackVarianceTermStructure(const Calendar& cal,
                                    BusinessDayConvention bdc = Following,
                                    const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        BlackVarianceTermStructure(BusinessDayConvention bdc = Following,
+                                   const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         BlackVarianceTermStructure(const Date& referenceDate,
                                    const Calendar& cal = Calendar(),
diff --git a/ql/termstructures/volatility/equityfx/localvolcurve.hpp b/ql/termstructures/volatility/equityfx/localvolcurve.hpp
index c43d9e56cf..8bc6cb5a0b 100644
--- a/ql/termstructures/volatility/equityfx/localvolcurve.hpp
+++ b/ql/termstructures/volatility/equityfx/localvolcurve.hpp
@@ -33,8 +33,7 @@ namespace QuantLib {
     class LocalVolCurve : public LocalVolTermStructure {
       public:
         LocalVolCurve(const Handle<BlackVarianceCurve>& curve)
-        : LocalVolTermStructure(curve->calendar(),
-                                curve->businessDayConvention(),
+        : LocalVolTermStructure(curve->businessDayConvention(),
                                 curve->dayCounter()),
           blackVarianceCurve_(curve) {
             registerWith(blackVarianceCurve_);
@@ -44,6 +43,9 @@ namespace QuantLib {
         const Date& referenceDate() const {
             return blackVarianceCurve_->referenceDate();
         }
+        Calendar calendar() const {
+            return blackVarianceCurve_->calendar();
+        }
         DayCounter dayCounter() const {
             return blackVarianceCurve_->dayCounter();
         }
diff --git a/ql/termstructures/volatility/equityfx/localvolsurface.cpp b/ql/termstructures/volatility/equityfx/localvolsurface.cpp
index 9b9b3b0423..28b6238dc5 100644
--- a/ql/termstructures/volatility/equityfx/localvolsurface.cpp
+++ b/ql/termstructures/volatility/equityfx/localvolsurface.cpp
@@ -50,8 +50,7 @@ namespace QuantLib {
                                  const Handle<YieldTermStructure>& riskFreeTS,
                                  const Handle<YieldTermStructure>& dividendTS,
                                  const Handle<Quote>& underlying)
-    : LocalVolTermStructure(blackTS->calendar(),
-                            blackTS->businessDayConvention(),
+    : LocalVolTermStructure(blackTS->businessDayConvention(),
                             blackTS->dayCounter()),
       blackTS_(blackTS), riskFreeTS_(riskFreeTS), dividendTS_(dividendTS),
       underlying_(underlying) {
@@ -61,14 +60,12 @@ namespace QuantLib {
         registerWith(underlying_);
     }
 
-
     LocalVolSurface::LocalVolSurface(
                                  const Handle<BlackVolTermStructure>& blackTS,
                                  const Handle<YieldTermStructure>& riskFreeTS,
                                  const Handle<YieldTermStructure>& dividendTS,
                                  Real underlying)
-    : LocalVolTermStructure(blackTS->calendar(),
-                            blackTS->businessDayConvention(),
+    : LocalVolTermStructure(blackTS->businessDayConvention(),
                             blackTS->dayCounter()),
       blackTS_(blackTS), riskFreeTS_(riskFreeTS), dividendTS_(dividendTS),
       underlying_(boost::shared_ptr<Quote>(new SimpleQuote(underlying))) {
diff --git a/ql/termstructures/volatility/equityfx/localvoltermstructure.cpp b/ql/termstructures/volatility/equityfx/localvoltermstructure.cpp
index 2f0215e1e5..dc71f30a43 100644
--- a/ql/termstructures/volatility/equityfx/localvoltermstructure.cpp
+++ b/ql/termstructures/volatility/equityfx/localvoltermstructure.cpp
@@ -21,10 +21,16 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     LocalVolTermStructure::LocalVolTermStructure(const Calendar& cal,
                                                  BusinessDayConvention bdc,
                                                  const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    LocalVolTermStructure::LocalVolTermStructure(BusinessDayConvention bdc,
+                                                 const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     LocalVolTermStructure::LocalVolTermStructure(const Date& referenceDate,
                                                  const Calendar& cal,
diff --git a/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp b/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp
index 9e08f19ba3..f46bf569c2 100644
--- a/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp
+++ b/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp
@@ -42,14 +42,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        LocalVolTermStructure(const Calendar& cal = Calendar(),
+        LocalVolTermStructure(const Calendar& cal,
                               BusinessDayConvention bdc = Following,
                               const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        LocalVolTermStructure(BusinessDayConvention bdc = Following,
+                              const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         LocalVolTermStructure(const Date& referenceDate,
                               const Calendar& cal = Calendar(),
diff --git a/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp b/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp
index f1a6734def..6adc0753b7 100644
--- a/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp
+++ b/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp
@@ -22,11 +22,18 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     OptionletVolatilityStructure::OptionletVolatilityStructure(
                                                     const Calendar& cal,
                                                     BusinessDayConvention bdc,
                                                     const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    OptionletVolatilityStructure::OptionletVolatilityStructure(
+                                                    BusinessDayConvention bdc,
+                                                    const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     OptionletVolatilityStructure::OptionletVolatilityStructure(
                                                     const Date& referenceDate,
diff --git a/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp b/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp
index 4ee84140fd..eef203aad7 100644
--- a/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp
+++ b/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp
@@ -42,14 +42,22 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
         */
-        OptionletVolatilityStructure(const Calendar& cal = Calendar(),
+        OptionletVolatilityStructure(const Calendar& cal,
                                      BusinessDayConvention bdc = Following,
                                      const DayCounter& dc = DayCounter());
+#endif
+        //! default constructor
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        OptionletVolatilityStructure(BusinessDayConvention bdc = Following,
+                                     const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         OptionletVolatilityStructure(const Date& referenceDate,
                                      const Calendar& cal,
diff --git a/ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp b/ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp
index ca5dfeb485..b208b81f5e 100644
--- a/ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp
+++ b/ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp
@@ -27,8 +27,7 @@ namespace QuantLib {
     SpreadedSwaptionVolatility::SpreadedSwaptionVolatility(
                             const Handle<SwaptionVolatilityStructure>& baseVol,
                             const Handle<Quote>& spread)
-    : SwaptionVolatilityStructure(baseVol->calendar(),
-                                  baseVol->businessDayConvention(),
+    : SwaptionVolatilityStructure(baseVol->businessDayConvention(),
                                   baseVol->dayCounter()),
       baseVol_(baseVol), spread_(spread) {
           registerWith(baseVol_);
diff --git a/ql/termstructures/volatility/swaption/swaptionvolstructure.cpp b/ql/termstructures/volatility/swaption/swaptionvolstructure.cpp
index d51e3adb3e..c9607b3ce1 100644
--- a/ql/termstructures/volatility/swaption/swaptionvolstructure.cpp
+++ b/ql/termstructures/volatility/swaption/swaptionvolstructure.cpp
@@ -24,11 +24,18 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     SwaptionVolatilityStructure::SwaptionVolatilityStructure(
                                                     const Calendar& cal,
                                                     BusinessDayConvention bdc,
                                                     const DayCounter& dc)
     : VolatilityTermStructure(cal, bdc, dc) {}
+#endif
+
+    SwaptionVolatilityStructure::SwaptionVolatilityStructure(
+                                                    BusinessDayConvention bdc,
+                                                    const DayCounter& dc)
+    : VolatilityTermStructure(bdc, dc) {}
 
     SwaptionVolatilityStructure::SwaptionVolatilityStructure(
                                                 const Date& referenceDate,
diff --git a/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp b/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp
index 213ef8496f..07612e5f31 100644
--- a/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp
+++ b/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp
@@ -43,7 +43,7 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
@@ -51,6 +51,13 @@ namespace QuantLib {
         SwaptionVolatilityStructure(const Calendar& calendar,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc = DayCounter());
+#endif
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        SwaptionVolatilityStructure(BusinessDayConvention bdc,
+                                    const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         SwaptionVolatilityStructure(const Date& referenceDate,
                                     const Calendar& calendar,
diff --git a/ql/termstructures/voltermstructure.cpp b/ql/termstructures/voltermstructure.cpp
index ee43f7a93a..1ebb2456d5 100644
--- a/ql/termstructures/voltermstructure.cpp
+++ b/ql/termstructures/voltermstructure.cpp
@@ -21,12 +21,18 @@
 
 namespace QuantLib {
 
+#ifndef QL_DISABLE_DEPRECATED
     VolatilityTermStructure::VolatilityTermStructure(const Calendar& cal,
                                                      BusinessDayConvention bdc,
                                                      const DayCounter& dc)
     : TermStructure(dc), bdc_(bdc) {
         calendar_ = cal;
     }
+#endif
+
+    VolatilityTermStructure::VolatilityTermStructure(BusinessDayConvention bdc,
+                                                     const DayCounter& dc)
+    : TermStructure(dc), bdc_(bdc) {}
 
     VolatilityTermStructure::VolatilityTermStructure(const Date& referenceDate,
                                                      const Calendar& cal,
diff --git a/ql/termstructures/voltermstructure.hpp b/ql/termstructures/voltermstructure.hpp
index e042105e4e..985ac90e45 100644
--- a/ql/termstructures/voltermstructure.hpp
+++ b/ql/termstructures/voltermstructure.hpp
@@ -40,7 +40,7 @@ namespace QuantLib {
             constructors.
         */
         //@{
-        //! default constructor
+#ifndef QL_DISABLE_DEPRECATED
         /*! \warning term structures initialized by means of this
                      constructor must manage their own reference date
                      by overriding the referenceDate() method.
@@ -48,6 +48,13 @@ namespace QuantLib {
         VolatilityTermStructure(const Calendar& cal,
                                 BusinessDayConvention bdc,
                                 const DayCounter& dc = DayCounter());
+#endif
+        /*! \warning term structures initialized by means of this
+                     constructor must manage their own reference date
+                     by overriding the referenceDate() method.
+        */
+        VolatilityTermStructure(BusinessDayConvention bdc,
+                                const DayCounter& dc = DayCounter());
         //! initialize with a fixed reference date
         VolatilityTermStructure(const Date& referenceDate,
                                 const Calendar& cal,

From 726cdacc26132959fd12e6273e89de31f5d02854 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 11 Jul 2011 16:14:09 +0000
Subject: [PATCH 262/410] Removed ambiguity.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17872 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/volatility/interestratevolsurface.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/volatility/interestratevolsurface.hpp b/ql/experimental/volatility/interestratevolsurface.hpp
index 09712df1ed..8868809ea5 100644
--- a/ql/experimental/volatility/interestratevolsurface.hpp
+++ b/ql/experimental/volatility/interestratevolsurface.hpp
@@ -50,7 +50,7 @@ namespace QuantLib {
                      by overriding the referenceDate() method.
         */
         InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
-                               const Calendar& cal = Calendar(),
+                               const Calendar& cal,
                                BusinessDayConvention bdc = Following,
                                const DayCounter& dc = DayCounter());
 #endif

From 853b3b0e9e73db83afab094270447a02b2e7d5d7 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 12:49:41 +0000
Subject: [PATCH 263/410] - moved BootstrapError instantiation out of for loop
 in initialize method - cleaned up code - added inspector to BootstrapError

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17873 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/bootstraperror.hpp     |   4 +-
 ql/termstructures/iterativebootstrap.hpp | 148 +++++++++++++----------
 2 files changed, 86 insertions(+), 66 deletions(-)

diff --git a/ql/termstructures/bootstraperror.hpp b/ql/termstructures/bootstraperror.hpp
index a86b36a7df..c16bab0843 100644
--- a/ql/termstructures/bootstraperror.hpp
+++ b/ql/termstructures/bootstraperror.hpp
@@ -41,6 +41,9 @@ namespace QuantLib {
                  const boost::shared_ptr<typename Traits::helper>& instrument,
                  Size segment);
         Real operator()(Rate guess) const;
+        const boost::shared_ptr<typename Traits::helper>& helper() {
+            return helper_;
+        }
       private:
         const Curve* curve_;
         const boost::shared_ptr<typename Traits::helper> helper_;
@@ -68,5 +71,4 @@ namespace QuantLib {
 
 }
 
-
 #endif
diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 70405deeb1..387ea9fd4d 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -49,10 +49,11 @@ namespace QuantLib {
         mutable bool initialized_, validCurve_;
         Curve* ts_;
         Size n_;
-        mutable Size firstInstrument_, alive_;
-        mutable std::vector<Real> previousData_;
         Brent firstSolver_;
         FiniteDifferenceNewtonSafe solver_;
+        mutable Size firstHelper_, alive_;
+        mutable std::vector<Real> previousData_;
+        mutable std::vector<boost::shared_ptr<BootstrapError<Curve> > > errors_;
     };
 
 
@@ -67,8 +68,19 @@ namespace QuantLib {
 
         ts_ = ts;
         n_ = ts_->instruments_.size();
-        for (Size j=0; j<n_; ++j)
-            ts_->registerWith(ts_->instruments_[j]);
+        if (ts_->moving_) {
+            for (Size j=0; j<n_; ++j)
+                ts_->registerWith(ts_->instruments_[j]);
+        } else {
+            for (Size j=0; j<n_; ++j) {
+                ts_->registerWith(ts_->instruments_[j]);
+                boost::shared_ptr<RelativeDateBootstrapHelper<Curve> > rdbh = 
+                    boost::dynamic_pointer_cast<RelativeDateBootstrapHelper<Curve> >(
+                        ts_->instruments_[j]);
+                QL_REQUIRE(!rdbh, "RelativeDateBootstrapHelper not allowed "
+                           "with non-moving curve");
+            }
+        }
 
         // do not initialize yet: instruments could be invalid here
         // but valid later when bootstrapping is actually required
@@ -76,47 +88,52 @@ namespace QuantLib {
 
     template <class Curve>
     void IterativeBootstrap<Curve>::initialize() const {
-        // ensure rate helpers are sorted
+        // ensure helpers are sorted
         std::sort(ts_->instruments_.begin(), ts_->instruments_.end(),
                   detail::BootstrapHelperSorter());
 
-        // skip expired instruments
+        // skip expired helpers
         Date firstDate = Traits::initialDate(ts_);
         QL_REQUIRE(ts_->instruments_[n_-1]->latestDate()>firstDate,
                    "all instruments expired");
-        firstInstrument_ = 0;
-        while (ts_->instruments_[firstInstrument_]->latestDate() <= firstDate)
-            ++firstInstrument_;
-        alive_ = n_-firstInstrument_;
+        firstHelper_ = 0;
+        while (ts_->instruments_[firstHelper_]->latestDate() <= firstDate)
+            ++firstHelper_;
+        alive_ = n_-firstHelper_;
         QL_REQUIRE(alive_>=Interpolator::requiredPoints-1,
                    "not enough alive instruments: " << alive_ <<
                    " provided, " << Interpolator::requiredPoints-1 <<
                    " required");
 
-        // calculate dates and times
-        ts_->dates_.resize(alive_+1);
-        ts_->times_.resize(alive_+1);
-        ts_->dates_[0] = firstDate;
-        ts_->times_[0] = ts_->timeFromReference(firstDate);
-        //     pillar counter: i
-        // instrument counter: j
-        for (Size i=1, j=firstInstrument_; j<n_; ++i, ++j) {
+        // calculate dates and times, create errors_
+        std::vector<Date>& dates = ts_->dates_;
+        std::vector<Time>& times = ts_->times_;
+        dates.resize(alive_+1);
+        times.resize(alive_+1);
+        errors_.resize(alive_+1);
+        dates[0] = firstDate;
+        times[0] = ts_->timeFromReference(firstDate);
+        // pillar counter: i
+        // helper counter: j
+        for (Size i=1, j=firstHelper_; j<n_; ++i, ++j) {
+            const boost::shared_ptr<typename Traits::helper>& helper =
+                                                        ts_->instruments_[j];
+            dates[i] = helper->latestDate();
+            times[i] = ts_->timeFromReference(dates[i]);
             // check for duplicated maturity
-            QL_REQUIRE(ts_->dates_[i-1] != ts_->instruments_[j]->latestDate(),
-                       "two instruments have the same maturity (" <<
-                       ts_->dates_[i-1] << ")");
-            ts_->dates_[i] = ts_->instruments_[j]->latestDate();
-            ts_->times_[i] = ts_->timeFromReference(ts_->dates_[i]);
+            QL_REQUIRE(dates[i-1]!=dates[i],
+                       "more than one instrument with maturity " << dates[i]);
+            errors_[i] = boost::shared_ptr<BootstrapError<Curve> >(new
+                BootstrapError<Curve>(ts_, helper, i));
         }
 
         // set initial guess only if the current curve cannot be used as guess
         if (!validCurve_ || ts_->data_.size()!=alive_+1) {
-            ts_->data_.resize(alive_+1);
+            // ts_->data_[0] is the only relevant item,
+            // but reasonable numbers might be needed for the whole data vector
+            // because, e.g., of interpolation's early checks
+            ts_->data_ = std::vector<Real>(alive_+1, Traits::initialValue(ts_));
             previousData_.resize(alive_+1);
-            ts_->data_[0] = Traits::initialValue(ts_);
-            // reasonable numbers needed for the starting interpolation
-            for (Size i=1; i<alive_+1; ++i)
-                ts_->data_[i] = Traits::guess(1, ts_, false);
         }
         initialized_ = true;
     }
@@ -124,28 +141,38 @@ namespace QuantLib {
     template <class Curve>
     void IterativeBootstrap<Curve>::calculate() const {
 
+        // we might have to call initialize even if the curve is initialized
+        // and not moving, just because helpers might be date relative and change
+        // with evaluation date change.
+        // anyway it makes little sense to use date relative helpers with a
+        // non-moving curve if the evaluation date changes
         if (!initialized_ || ts_->moving_)
             initialize();
 
-        // setup instruments
-        for (Size j=firstInstrument_; j<n_; ++j) {
+        // setup helpers
+        for (Size j=firstHelper_; j<n_; ++j) {
+            const boost::shared_ptr<typename Traits::helper>& helper =
+                                                        ts_->instruments_[j];
             // check for valid quote
-            QL_REQUIRE(ts_->instruments_[j]->quote()->isValid(),
+            QL_REQUIRE(helper->quote()->isValid(),
                        io::ordinal(j+1) << " instrument (maturity: " <<
-                       ts_->instruments_[j]->latestDate() <<
-                       ") has an invalid quote");
+                       helper->latestDate() << ") has an invalid quote");
             // don't try this at home!
-            // This call creates instruments, and removes "const".
+            // This call creates helpers, and removes "const".
             // There is a significant interaction with observability.
-            ts_->instruments_[j]->setTermStructure(const_cast<Curve*>(ts_));
+            helper->setTermStructure(const_cast<Curve*>(ts_));
         }
 
-        Size maxIterations = Traits::maxIterations();
+        const std::vector<Time>& times = ts_->times_;
+        const std::vector<Real>& data = ts_->data_;
+        Real accuracy = ts_->accuracy_;
+
+        Size maxIterations = Traits::maxIterations()-1;
 
         for (Size iteration=0; ; ++iteration) {
             previousData_ = ts_->data_;
 
-            for (Size i=1; i<alive_+1; ++i) { // pillar loop
+            for (Size i=1; i<=alive_; ++i) { // pillar loop
 
                 bool validData = validCurve_ || iteration>0;
 
@@ -164,9 +191,7 @@ namespace QuantLib {
                     try { // extend interpolation a point at a time
                           // including the pillar to be boostrapped
                         ts_->interpolation_ = ts_->interpolator_.interpolate(
-                            ts_->times_.begin(), ts_->times_.begin()+i+1,
-                            ts_->data_.begin());
-                        ts_->interpolation_.update();
+                            times.begin(), times.begin()+i+1, data.begin());
                     } catch (...) {
                         if (!Interpolator::global)
                             throw; // no chance to fix it in a later iteration
@@ -174,49 +199,42 @@ namespace QuantLib {
                         // otherwise use Linear while the target
                         // interpolation is not usable yet
                         ts_->interpolation_ = Linear().interpolate(
-                            ts_->times_.begin(), ts_->times_.begin()+i+1,
-                            ts_->data_.begin());
-                        ts_->interpolation_.update();
+                            times.begin(), times.begin()+i+1, data.begin());
                     }
+                    ts_->interpolation_.update();
                 }
 
-                // the actual instrument used for the current pillar
-                boost::shared_ptr<typename Traits::helper> instrument =
-                    ts_->instruments_[i-1+firstInstrument_];
                 try {
-                    BootstrapError<Curve> error(ts_, instrument, i);
                     if (validData)
-                        solver_.solve(error, ts_->accuracy_, guess, min, max);
+                        solver_.solve(*errors_[i], accuracy, guess, min, max);
                     else
-                        firstSolver_.solve(error,ts_->accuracy_,guess,min,max);
+                        firstSolver_.solve(*errors_[i], accuracy,guess,min,max);
                 } catch (std::exception &e) {
                     validCurve_ = false;
-                    QL_FAIL(io::ordinal(iteration+1) << " iteration: "
-                            "failed at " << io::ordinal(i) <<
-                            " alive instrument, maturity " <<
-                            instrument->latestDate() << ", reference date " <<
-                            ts_->dates_[0] << ": " << e.what());
+                    QL_FAIL(io::ordinal(iteration+1) << " iteration: failed "
+                            "at " << io::ordinal(i) << " alive instrument, "
+                            "maturity " << errors_[i]->helper()->latestDate()<<
+                            ", reference date " << ts_->dates_[0] <<
+                            ": " << e.what());
                 }
             }
 
             if (!Interpolator::global)
                 break;     // no need for convergence loop
-            else if (iteration == 0)
+            else if (iteration==0)
                 continue; // at least one more iteration to convergence check
 
             // exit condition
-            Real change = 0.0;
-            for (Size i=1; i<alive_+1; ++i)
-                change = std::max(change,
-                                  std::fabs(ts_->data_[i]-previousData_[i]));
-            if (change<=ts_->accuracy_)  // convergence reached
+            Real change = std::fabs(data[1]-previousData_[1]);
+            for (Size i=2; i<=alive_; ++i)
+                change = std::max(change, std::fabs(data[i]-previousData_[i]));
+            if (change<=accuracy)  // convergence reached
                 break;
 
-            QL_REQUIRE(iteration+1<maxIterations,
-                       "convergence not reached after " <<
-                       iteration+1 << " iterations; last improvement " <<
-                       change << ", required accuracy " <<
-                       ts_->accuracy_);
+            QL_REQUIRE(iteration<maxIterations,
+                       "convergence not reached after " << iteration <<
+                       " iterations; last improvement " << change <<
+                       ", required accuracy " << accuracy);
         }
         validCurve_ = true;
     }

From fa422e49c6638c5ed991c9728681d8ea6d71b8dd Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 13:02:17 +0000
Subject: [PATCH 264/410] removed wrong check

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17874 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 15 ++-------------
 1 file changed, 2 insertions(+), 13 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 387ea9fd4d..1db496d5ce 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -68,19 +68,8 @@ namespace QuantLib {
 
         ts_ = ts;
         n_ = ts_->instruments_.size();
-        if (ts_->moving_) {
-            for (Size j=0; j<n_; ++j)
-                ts_->registerWith(ts_->instruments_[j]);
-        } else {
-            for (Size j=0; j<n_; ++j) {
-                ts_->registerWith(ts_->instruments_[j]);
-                boost::shared_ptr<RelativeDateBootstrapHelper<Curve> > rdbh = 
-                    boost::dynamic_pointer_cast<RelativeDateBootstrapHelper<Curve> >(
-                        ts_->instruments_[j]);
-                QL_REQUIRE(!rdbh, "RelativeDateBootstrapHelper not allowed "
-                           "with non-moving curve");
-            }
-        }
+        for (Size j=0; j<n_; ++j)
+            ts_->registerWith(ts_->instruments_[j]);
 
         // do not initialize yet: instruments could be invalid here
         // but valid later when bootstrapping is actually required

From bb459fdf628ac39c9db240f7f7cf7cfc5d1ce826 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 14:13:23 +0000
Subject: [PATCH 265/410] added index of first alive helper to Traits::guess,
 Traits::minValueAfter, and Traits::maxValueAfter. This allows helpers access
 in order to possibly improve guess/max/min efficiency

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17875 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../piecewiseyoyoptionletvolatility.hpp       | 30 +++---
 .../credit/probabilitytraits.hpp              | 46 +++++++---
 .../inflation/inflationtraits.hpp             | 24 +++--
 ql/termstructures/iterativebootstrap.hpp      | 10 +-
 ql/termstructures/localbootstrap.hpp          |  2 +-
 ql/termstructures/yield/bootstraptraits.hpp   | 92 +++++++++++--------
 6 files changed, 129 insertions(+), 75 deletions(-)

diff --git a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
index f1a5c46df3..ed4226bab0 100644
--- a/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
+++ b/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
             return s->baseDate();
         }
         // value at reference date
-        static Volatility initialValue(const YoYOptionletVolatilitySurface *s) {
+        static Real initialValue(const YoYOptionletVolatilitySurface *s) {
             return s->baseLevel();  // REALLLYYYY important because
                                     // generally don't have a clue
                                     // what this should be - embodies
@@ -51,9 +51,11 @@ namespace QuantLib {
 
         // guesses
         template <class C>
-        static Volatility guess(Size i,
-                                const C* c,
-                                bool validData) {
+        static Real guess(Size i,
+                          const C* c,
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -66,21 +68,25 @@ namespace QuantLib {
 
         // constraints
         template <class C>
-        static Volatility minValueAfter(Size i,
-                                        const C* c,
-                                        bool) {
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool,
+                                  Size) // firstAliveHelper
+        {
             return std::max(0.0, c->data()[i-1] - 0.02); // vol cannot be negative
         }
         template <class C>
-        static Volatility maxValueAfter(Size i,
-                                        const C* c,
-                                        bool) {
+        static Real maxValueAfter(Size i,
+                                  const C* c,
+                                  bool,
+                                  Size) // firstAliveHelper
+        {
             return c->data()[i-1] + 0.02;
         }
 
         // root-finding update
-        static void updateGuess(std::vector<Volatility> &vols,
-                                Volatility level,
+        static void updateGuess(std::vector<Real> &vols,
+                                Real level,
                                 Size i) {
             vols[i] = level;
         }
diff --git a/ql/termstructures/credit/probabilitytraits.hpp b/ql/termstructures/credit/probabilitytraits.hpp
index fbfeaf6412..ef3f877bdd 100644
--- a/ql/termstructures/credit/probabilitytraits.hpp
+++ b/ql/termstructures/credit/probabilitytraits.hpp
@@ -36,8 +36,8 @@
 namespace QuantLib {
 
     namespace detail {
-        const Rate avgHazardRate = 0.01;
-        const Rate maxHazardRate = 1.0;
+        const Real avgHazardRate = 0.01;
+        const Real maxHazardRate = 1.0;
     }
 
     //! Survival-Probability-curve traits
@@ -63,7 +63,9 @@ namespace QuantLib {
         template <class C>
         static Real guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -78,7 +80,9 @@ namespace QuantLib {
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 return c->data().back()/2.0;
             }
@@ -88,7 +92,9 @@ namespace QuantLib {
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             // survival probability cannot increase
             return c->data()[i-1];
         }
@@ -128,7 +134,9 @@ namespace QuantLib {
         template <class C>
         static Real guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -144,7 +152,9 @@ namespace QuantLib {
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 Real r = *(std::min_element(c->data().begin(), c->data().end()));
                 return r/2.0;
@@ -154,9 +164,11 @@ namespace QuantLib {
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                 return r*2.0;
             }
             // no constraints.
@@ -198,7 +210,9 @@ namespace QuantLib {
         template <class C>
         static Real guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -214,9 +228,11 @@ namespace QuantLib {
         template <class C>
         static Real minValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                 return r/2.0;
             }
             return QL_EPSILON;
@@ -224,9 +240,11 @@ namespace QuantLib {
         template <class C>
         static Real maxValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                 return r*2.0;
             }
             // no constraints.
diff --git a/ql/termstructures/inflation/inflationtraits.hpp b/ql/termstructures/inflation/inflationtraits.hpp
index fe8c002677..35ec3a66aa 100644
--- a/ql/termstructures/inflation/inflationtraits.hpp
+++ b/ql/termstructures/inflation/inflationtraits.hpp
@@ -60,7 +60,9 @@ namespace QuantLib {
         template <class C>
         static Rate guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -75,7 +77,9 @@ namespace QuantLib {
         template <class C>
         static Rate minValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 Rate r = *(std::min_element(c->data().begin(), c->data().end()));
                 return r<0.0 ? r*2.0 : r/2.0;
@@ -85,7 +89,9 @@ namespace QuantLib {
         template <class C>
         static Rate maxValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 Rate r = *(std::max_element(c->data().begin(), c->data().end()));
                 return r<0.0 ? r/2.0 : r*2.0;
@@ -130,7 +136,9 @@ namespace QuantLib {
         template <class C>
         static Rate guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -145,7 +153,9 @@ namespace QuantLib {
         template <class C>
         static Rate minValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 Rate r = *(std::min_element(c->data().begin(), c->data().end()));
                 return r<0.0 ? r*2.0 : r/2.0;
@@ -155,7 +165,9 @@ namespace QuantLib {
         template <class C>
         static Rate maxValueAfter(Size i,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 Rate r = *(std::max_element(c->data().begin(), c->data().end()));
                 return r<0.0 ? r/2.0 : r*2.0;
diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 1db496d5ce..1cc08368a5 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -46,11 +46,11 @@ namespace QuantLib {
         void calculate() const;
       private:
         void initialize() const;
-        mutable bool initialized_, validCurve_;
         Curve* ts_;
         Size n_;
         Brent firstSolver_;
         FiniteDifferenceNewtonSafe solver_;
+        mutable bool initialized_, validCurve_;
         mutable Size firstHelper_, alive_;
         mutable std::vector<Real> previousData_;
         mutable std::vector<boost::shared_ptr<BootstrapError<Curve> > > errors_;
@@ -101,7 +101,7 @@ namespace QuantLib {
         times.resize(alive_+1);
         errors_.resize(alive_+1);
         dates[0] = firstDate;
-        times[0] = ts_->timeFromReference(firstDate);
+        times[0] = ts_->timeFromReference(dates[0]);
         // pillar counter: i
         // helper counter: j
         for (Size i=1, j=firstHelper_; j<n_; ++i, ++j) {
@@ -166,9 +166,9 @@ namespace QuantLib {
                 bool validData = validCurve_ || iteration>0;
 
                 // bracket root and calculate guess
-                Real min = Traits::minValueAfter(i, ts_, validData);
-                Real max = Traits::maxValueAfter(i, ts_, validData);
-                Real guess = Traits::guess(i, ts_, validData);
+                Real min = Traits::minValueAfter(i,ts_,validData,firstHelper_);
+                Real max = Traits::maxValueAfter(i,ts_,validData,firstHelper_);
+                Real guess = Traits::guess(i, ts_, validData, firstHelper_);
                 // adjust guess if needed
                 if (guess>=max)
                     guess = max - (max-min)/5.0;
diff --git a/ql/termstructures/localbootstrap.hpp b/ql/termstructures/localbootstrap.hpp
index 30d3b11fdb..14d4771e4f 100644
--- a/ql/termstructures/localbootstrap.hpp
+++ b/ql/termstructures/localbootstrap.hpp
@@ -222,7 +222,7 @@ namespace QuantLib {
 
             if (iInst >= localisation_) {
                 startArray[localisation_-dataAdjust] =
-                    Traits::guess(iInst, ts_, false); // ?
+                    Traits::guess(iInst, ts_, false, 0); // ?
             } else {
                 startArray[localisation_-dataAdjust] = ts_->data_[0];
             }
diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 3e8ab4f9ee..5c51f4a36c 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -34,8 +34,8 @@
 namespace QuantLib {
 
     namespace detail {
-        const Rate avgRate = 0.05;
-        const Rate maxRate = 1.0;
+        const Real avgRate = 0.05;
+        const Real maxRate = 1.0;
     }
 
     //! Discount-curve traits
@@ -53,15 +53,17 @@ namespace QuantLib {
             return c->referenceDate();
         }
         // value at reference date
-        static DiscountFactor initialValue(const YieldTermStructure*) {
+        static Real initialValue(const YieldTermStructure*) {
             return 1.0;
         }
 
         // guesses
         template <class C>
-        static DiscountFactor guess(Size i, 
-                                    const C* c,
-                                    bool validData) {
+        static Real guess(Size i,
+                          const C* c,
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -69,15 +71,17 @@ namespace QuantLib {
                 return 1.0/(1.0+detail::avgRate*c->times()[1]);
 
             // flat rate extrapolation
-            Rate r = -std::log(c->data()[i-1])/c->times()[i-1];
+            Real r = -std::log(c->data()[i-1])/c->times()[i-1];
             return std::exp(-r * c->times()[i]);
         }
 
         // possible constraints based on previous values
         template <class C>
-        static DiscountFactor minValueAfter(Size i,
-                                            const C* c,
-                                            bool validData) {
+        static Real minValueAfter(Size i,
+                                  const C* c,
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
                 #if defined(QL_NEGATIVE_RATES)
                 return *(std::min_element(c->data().begin(), c->data().end()))/2.0;
@@ -89,9 +93,11 @@ namespace QuantLib {
             return c->data()[i-1] * std::exp(- detail::maxRate * dt);
         }
         template <class C>
-        static DiscountFactor maxValueAfter(Size i,
-                                            const C* c,
-                                            bool validData) {
+        static Real maxValueAfter(Size i,
+                                  const C* c,
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             #if defined(QL_NEGATIVE_RATES)
             Time dt = c->times()[i] - c->times()[i-1];
             return c->data()[i-1] * std::exp(detail::maxRate * dt);
@@ -102,8 +108,8 @@ namespace QuantLib {
         }
 
         // root-finding update
-        static void updateGuess(std::vector<DiscountFactor>& data,
-                                DiscountFactor discount,
+        static void updateGuess(std::vector<Real>& data,
+                                Real discount,
                                 Size i) {
             data[i] = discount;
         }
@@ -127,15 +133,17 @@ namespace QuantLib {
             return c->referenceDate();
         }
         // dummy value at reference date
-        static Rate initialValue(const YieldTermStructure*) {
+        static Real initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
 
         // guesses
         template <class C>
-        static Rate guess(Size i,
+        static Real guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -150,11 +158,13 @@ namespace QuantLib {
 
         // possible constraints based on previous values
         template <class C>
-        static Rate minValueAfter(Size,
+        static Real minValueAfter(Size,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                 #if defined(QL_NEGATIVE_RATES)
                 return r<0.0 ? r*2.0 : r/2.0;
                 #else
@@ -170,11 +180,13 @@ namespace QuantLib {
             #endif
         }
         template <class C>
-        static Rate maxValueAfter(Size,
+        static Real maxValueAfter(Size,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                 #if defined(QL_NEGATIVE_RATES)
                 return r<0.0 ? r/2.0 : r*2.0;
                 #else
@@ -187,8 +199,8 @@ namespace QuantLib {
         }
 
         // root-finding update
-        static void updateGuess(std::vector<Rate>& data,
-                                Rate rate,
+        static void updateGuess(std::vector<Real>& data,
+                                Real rate,
                                 Size i) {
             data[i] = rate;
             if (i==1)
@@ -214,15 +226,17 @@ namespace QuantLib {
             return c->referenceDate();
         }
         // dummy value at reference date
-        static Rate initialValue(const YieldTermStructure*) {
+        static Real initialValue(const YieldTermStructure*) {
             return detail::avgRate;
         }
 
         // guesses
         template <class C>
-        static Rate guess(Size i,
+        static Real guess(Size i,
                           const C* c,
-                          bool validData) {
+                          bool validData,
+                          Size) // firstAliveHelper
+        {
             if (validData) // previous iteration value
                 return c->data()[i];
 
@@ -237,11 +251,13 @@ namespace QuantLib {
 
         // possible constraints based on previous values
         template <class C>
-        static Rate minValueAfter(Size,
+        static Real minValueAfter(Size,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::min_element(c->data().begin(), c->data().end()));
+                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                 #if defined(QL_NEGATIVE_RATES)
                 return r<0.0 ? r*2.0 : r/2.0;
                 #else
@@ -257,11 +273,13 @@ namespace QuantLib {
             #endif
         }
         template <class C>
-        static Rate maxValueAfter(Size,
+        static Real maxValueAfter(Size,
                                   const C* c,
-                                  bool validData) {
+                                  bool validData,
+                                  Size) // firstAliveHelper
+        {
             if (validData) {
-                Rate r = *(std::max_element(c->data().begin(), c->data().end()));
+                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                 #if defined(QL_NEGATIVE_RATES)
                 return r<0.0 ? r/2.0 : r*2.0;
                 #else
@@ -274,8 +292,8 @@ namespace QuantLib {
         }
 
         // root-finding update
-        static void updateGuess(std::vector<Rate>& data,
-                                Rate forward,
+        static void updateGuess(std::vector<Real>& data,
+                                Real forward,
                                 Size i) {
             data[i] = forward;
             if (i==1)

From 892b9edc9cc728a7fcc9bda9980b616649de9184 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 14:35:20 +0000
Subject: [PATCH 266/410] renamed variable

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17876 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp    | 23 ++++++++++++---------
 ql/termstructures/yield/bootstraptraits.hpp |  3 ++-
 2 files changed, 15 insertions(+), 11 deletions(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index 1cc08368a5..fe28ddc87f 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -51,7 +51,7 @@ namespace QuantLib {
         Brent firstSolver_;
         FiniteDifferenceNewtonSafe solver_;
         mutable bool initialized_, validCurve_;
-        mutable Size firstHelper_, alive_;
+        mutable Size firstAliveHelper_, alive_;
         mutable std::vector<Real> previousData_;
         mutable std::vector<boost::shared_ptr<BootstrapError<Curve> > > errors_;
     };
@@ -85,10 +85,10 @@ namespace QuantLib {
         Date firstDate = Traits::initialDate(ts_);
         QL_REQUIRE(ts_->instruments_[n_-1]->latestDate()>firstDate,
                    "all instruments expired");
-        firstHelper_ = 0;
-        while (ts_->instruments_[firstHelper_]->latestDate() <= firstDate)
-            ++firstHelper_;
-        alive_ = n_-firstHelper_;
+        firstAliveHelper_ = 0;
+        while (ts_->instruments_[firstAliveHelper_]->latestDate() <= firstDate)
+            ++firstAliveHelper_;
+        alive_ = n_-firstAliveHelper_;
         QL_REQUIRE(alive_>=Interpolator::requiredPoints-1,
                    "not enough alive instruments: " << alive_ <<
                    " provided, " << Interpolator::requiredPoints-1 <<
@@ -104,7 +104,7 @@ namespace QuantLib {
         times[0] = ts_->timeFromReference(dates[0]);
         // pillar counter: i
         // helper counter: j
-        for (Size i=1, j=firstHelper_; j<n_; ++i, ++j) {
+        for (Size i=1, j=firstAliveHelper_; j<n_; ++i, ++j) {
             const boost::shared_ptr<typename Traits::helper>& helper =
                                                         ts_->instruments_[j];
             dates[i] = helper->latestDate();
@@ -139,7 +139,7 @@ namespace QuantLib {
             initialize();
 
         // setup helpers
-        for (Size j=firstHelper_; j<n_; ++j) {
+        for (Size j=firstAliveHelper_; j<n_; ++j) {
             const boost::shared_ptr<typename Traits::helper>& helper =
                                                         ts_->instruments_[j];
             // check for valid quote
@@ -166,9 +166,12 @@ namespace QuantLib {
                 bool validData = validCurve_ || iteration>0;
 
                 // bracket root and calculate guess
-                Real min = Traits::minValueAfter(i,ts_,validData,firstHelper_);
-                Real max = Traits::maxValueAfter(i,ts_,validData,firstHelper_);
-                Real guess = Traits::guess(i, ts_, validData, firstHelper_);
+                Real min = Traits::minValueAfter(i, ts_, validData,
+                                                            firstAliveHelper_);
+                Real max = Traits::maxValueAfter(i, ts_, validData,
+                                                            firstAliveHelper_);
+                Real guess = Traits::guess(i, ts_, validData,
+                                                            firstAliveHelper_);
                 // adjust guess if needed
                 if (guess>=max)
                     guess = max - (max-min)/5.0;
diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
index 5c51f4a36c..0a12f88bf8 100644
--- a/ql/termstructures/yield/bootstraptraits.hpp
+++ b/ql/termstructures/yield/bootstraptraits.hpp
@@ -84,7 +84,8 @@ namespace QuantLib {
         {
             if (validData) {
                 #if defined(QL_NEGATIVE_RATES)
-                return *(std::min_element(c->data().begin(), c->data().end()))/2.0;
+                return *(std::min_element(c->data().begin(),
+                                          c->data().end()))/2.0;
                 #else
                 return c->data().back()/2.0;
                 #endif

From 672deba50d3cf53568e6f9a753367cdce6f1ea7d Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 15:20:35 +0000
Subject: [PATCH 267/410] no idea what these are, but since they are in the
 repository...

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17878 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj.filters             | 27 +++++++++++++++++++++++
 test-suite/testsuite_vc10.vcxproj.filters |  4 +---
 2 files changed, 28 insertions(+), 3 deletions(-)

diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index c1323e27cd..cc45a2a214 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3429,6 +3429,24 @@
     <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp">
       <Filter>experimental\inflation</Filter>
     </ClInclude>
+    <ClInclude Include="ql\processes\defaultable.hpp">
+      <Filter>processes</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouop.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextousolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouspreadinnervalue.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmndimsolver.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5478,5 +5496,14 @@
     <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp">
       <Filter>experimental\inflation</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextousolver.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 153fdae423..6cd2092811 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -335,9 +335,6 @@
     <ClCompile Include="volatilitymodels.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
-    <ClCompile Include="quantlibtestsuite.cpp">
-      <Filter>Source Files</Filter>
-    </ClCompile>
     <ClCompile Include="inflationcpicapfloor.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -347,6 +344,7 @@
     <ClCompile Include="swingoption.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="quantlibtestsuite.cpp" />
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp">

From bdc563eb87b1ca5934552c72c7b30b7cdaea69d6 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 17:07:37 +0000
Subject: [PATCH 268/410] (re-)enabled debug information in release
 configurations. This is the default for in VC++ 2008 new projects, does not
 increase the exe/xll file in a significant way, allows for (some debugging
 and) profiling, does not disable optimizations. I've used these settings to
 profile with with GlowCode 8.0 For further informations see:
 http://stackoverflow.com/questions/218226/visual-c-2008-release-build-contains-debug-information
 http://stackoverflow.com/questions/6363991/visual-studio-debug-information-in-release-build
 http://msdn.microsoft.com/en-us/library/xe4t6fc1(v=vs.80).aspx

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17879 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../BermudanSwaption_vc9.vcproj               | 114 ++++++++--------
 Examples/Bonds/Bonds_vc9.vcproj               | 114 ++++++++--------
 Examples/CDS/CDS_vc9.vcproj                   | 114 ++++++++--------
 .../CallableBonds/CallableBonds_vc9.vcproj    | 114 ++++++++--------
 .../ConvertibleBonds_vc9.vcproj               | 114 ++++++++--------
 .../DiscreteHedging_vc9.vcproj                | 114 ++++++++--------
 Examples/EquityOption/EquityOption_vc9.vcproj | 114 ++++++++--------
 Examples/FRA/FRA_vc9.vcproj                   | 114 ++++++++--------
 .../FittedBondCurve_vc9.vcproj                | 114 ++++++++--------
 Examples/MarketModels/MarketModels_vc9.vcproj | 114 ++++++++--------
 Examples/Replication/Replication_vc9.vcproj   | 114 ++++++++--------
 Examples/Repo/Repo_vc9.vcproj                 | 114 ++++++++--------
 Examples/Swap/Swap_vc9.vcproj                 | 116 ++++++++--------
 QuantLib_vc9.vcproj                           |  98 +++++++-------
 test-suite/testsuite_vc9.vcproj               | 127 +++++++++---------
 15 files changed, 883 insertions(+), 826 deletions(-)

diff --git a/Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj b/Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj
index d057f32f11..0a8df3e609 100644
--- a/Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj
+++ b/Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-mt-s.exe"
+				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\BermudanSwaption-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\BermudanSwaption-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\BermudanSwaption.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\BermudanSwaption-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\BermudanSwaption-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/Bonds/Bonds_vc9.vcproj b/Examples/Bonds/Bonds_vc9.vcproj
index 7c5147a685..df3f9ab65f 100644
--- a/Examples/Bonds/Bonds_vc9.vcproj
+++ b/Examples/Bonds/Bonds_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-mt-s.exe"
+				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Bonds-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Bonds-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Bonds.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Bonds-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\Bonds-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/CDS/CDS_vc9.vcproj b/Examples/CDS/CDS_vc9.vcproj
index 1f98541a5d..c1c1693fb2 100644
--- a/Examples/CDS/CDS_vc9.vcproj
+++ b/Examples/CDS/CDS_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-mt-s.exe"
+				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\CDS-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\CDS-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CDS.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CDS-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\CDS-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/CallableBonds/CallableBonds_vc9.vcproj b/Examples/CallableBonds/CallableBonds_vc9.vcproj
index a9258925b0..876da27d79 100644
--- a/Examples/CallableBonds/CallableBonds_vc9.vcproj
+++ b/Examples/CallableBonds/CallableBonds_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-mt-s.exe"
+				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\CallableBonds-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\CallableBonds-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\CallableBonds.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\CallableBonds-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\CallableBonds-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj b/Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj
index 6cb8e83f24..f52f7136d0 100644
--- a/Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj
+++ b/Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-mt-s.exe"
+				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\ConvertibleBonds-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\ConvertibleBonds-vc90-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\ConvertibleBonds.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\ConvertibleBonds-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\ConvertibleBonds-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj b/Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj
index 27506c72c1..554b875b75 100644
--- a/Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj
+++ b/Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="2"
+				RuntimeLibrary="0"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-mt.exe"
+				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt-s.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\DiscreteHedging-vc90-mt.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\DiscreteHedging-vc90-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\DiscreteHedging.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\DiscreteHedging-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\DiscreteHedging-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/EquityOption/EquityOption_vc9.vcproj b/Examples/EquityOption/EquityOption_vc9.vcproj
index 6437b23972..3a86ea6407 100644
--- a/Examples/EquityOption/EquityOption_vc9.vcproj
+++ b/Examples/EquityOption/EquityOption_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-mt-s.exe"
+				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\EquityOption-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\EquityOption-vc90-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\EquityOption.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\EquityOption-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\EquityOption-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/FRA/FRA_vc9.vcproj b/Examples/FRA/FRA_vc9.vcproj
index 1d55a112ea..010e6f7b5c 100644
--- a/Examples/FRA/FRA_vc9.vcproj
+++ b/Examples/FRA/FRA_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-mt-s.exe"
+				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\FRA-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\FRA-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FRA.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FRA-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\FRA-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj b/Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj
index a29b2cbb8a..6899afbc54 100644
--- a/Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj
+++ b/Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-mt-s.exe"
+				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\FittedBondCurve-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\FittedBondCurve-vc90-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\FittedBondCurve.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\FittedBondCurve-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\FittedBondCurve-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/MarketModels/MarketModels_vc9.vcproj b/Examples/MarketModels/MarketModels_vc9.vcproj
index 0944232128..4abd351012 100644
--- a/Examples/MarketModels/MarketModels_vc9.vcproj
+++ b/Examples/MarketModels/MarketModels_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-mt-s.exe"
+				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\MarketModels-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\MarketModels-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\MarketModels.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\MarketModels-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\MarketModels-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/Replication/Replication_vc9.vcproj b/Examples/Replication/Replication_vc9.vcproj
index 7c4c63e170..4e24f76247 100644
--- a/Examples/Replication/Replication_vc9.vcproj
+++ b/Examples/Replication/Replication_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-mt-s.exe"
+				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Replication-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Replication-vc90-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Replication.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Replication-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\Replication-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/Repo/Repo_vc9.vcproj b/Examples/Repo/Repo_vc9.vcproj
index d8c5b5a637..94893b9e35 100644
--- a/Examples/Repo/Repo_vc9.vcproj
+++ b/Examples/Repo/Repo_vc9.vcproj
@@ -67,6 +67,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -86,6 +87,7 @@
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -116,7 +118,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -138,6 +140,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.tlb"
 				HeaderFileName=""
 			/>
@@ -148,9 +151,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -180,7 +183,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-mt-s.exe"
+				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -188,7 +191,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -214,7 +217,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -241,12 +244,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -260,7 +266,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -268,7 +274,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -276,8 +282,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Repo-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -311,7 +317,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -333,17 +339,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -357,7 +367,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
 				CompileAs="0"
 			/>
 			<Tool
@@ -365,7 +374,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -373,16 +382,15 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -408,7 +416,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -430,21 +438,17 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,6 +462,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -465,7 +470,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -473,15 +478,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Repo-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -507,7 +513,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -535,15 +541,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -557,6 +560,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -564,7 +568,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -572,10 +576,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -606,7 +611,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -628,7 +633,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Repo.tlb"
 				HeaderFileName=""
 			/>
@@ -637,9 +641,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -669,7 +673,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\Repo-vc90-$(PlatformName)-mt-gd.exe"
+				OutputFile=".\bin\Repo-vc90-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -678,7 +682,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/Examples/Swap/Swap_vc9.vcproj b/Examples/Swap/Swap_vc9.vcproj
index e0ca89e42e..0dd17ddde8 100644
--- a/Examples/Swap/Swap_vc9.vcproj
+++ b/Examples/Swap/Swap_vc9.vcproj
@@ -63,7 +63,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -114,7 +114,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -136,6 +136,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Swap.tlb"
 				HeaderFileName=""
 			/>
@@ -144,9 +145,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -159,7 +160,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -175,7 +176,7 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-mt-gd.exe"
+				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt-sgd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
@@ -184,7 +185,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -210,7 +211,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|Win32"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -237,15 +238,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -258,6 +256,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -265,7 +264,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -273,10 +272,11 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-mt.exe"
-				LinkIncremental="1"
+				OutputFile="bin/SwapValuation-vc90-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\SwapValuation.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -307,7 +307,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -329,20 +329,18 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Swap.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -355,6 +353,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -362,7 +361,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -370,15 +369,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\SwapValuation.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -404,7 +404,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Release|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -426,18 +426,20 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Swap.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -458,7 +460,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -466,8 +468,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt-sgd.exe"
-				LinkIncremental="2"
+				OutputFile="bin/SwapValuation-vc90-mt.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
 				GenerateDebugInformation="true"
@@ -475,7 +477,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -501,7 +503,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -529,12 +531,15 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -547,7 +552,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -555,7 +559,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -563,11 +567,10 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\SwapValuation.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -598,7 +601,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -620,7 +623,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\Swap.tlb"
 				HeaderFileName=""
 			/>
@@ -631,9 +633,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="..\.."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="2"
+				RuntimeLibrary="0"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -647,6 +649,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -662,15 +665,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile="bin/SwapValuation-vc90-$(PlatformName)-mt.exe"
+				OutputFile="bin/SwapValuation-vc90-mt-s.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\..\lib"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\SwapValuation.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 21909c9f17..ea851c421e 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -67,6 +67,7 @@
 				WarningLevel="3"
 				SuppressStartupBanner="true"
 				Detect64BitPortabilityProblems="false"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -105,7 +106,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -127,16 +128,20 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -149,7 +154,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -157,7 +161,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -167,7 +171,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-gd.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -188,7 +192,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -214,15 +218,12 @@
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -235,7 +236,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				Detect64BitPortabilityProblems="false"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -243,7 +244,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -253,7 +254,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-s.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-gd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -274,7 +275,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -296,6 +297,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
@@ -303,9 +305,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -318,7 +320,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				Detect64BitPortabilityProblems="false"
 				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
@@ -337,7 +338,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-sgd.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-gd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -358,7 +359,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -380,7 +381,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
@@ -390,9 +390,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="2"
+				RuntimeLibrary="0"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -406,6 +406,8 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				Detect64BitPortabilityProblems="false"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -423,7 +425,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-s.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -444,7 +446,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -471,12 +473,15 @@
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -489,7 +494,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -497,7 +501,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -507,7 +511,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-gd.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-s.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -528,7 +532,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -550,20 +554,16 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -576,6 +576,8 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				Detect64BitPortabilityProblems="false"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -583,7 +585,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -593,7 +595,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-s.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-sgd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 00a270324c..cd3ff40e27 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -65,7 +65,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -122,7 +122,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Debug (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -144,21 +144,18 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				AdditionalOptions="/MP"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -171,6 +168,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -178,7 +176,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -186,16 +184,18 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-mt-s.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-sgd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
+				GenerateDebugInformation="true"
+				AssemblyDebug="0"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -221,11 +221,11 @@
 				Name="VCPostBuildEventTool"
 				Description="Auto run test"
 				CommandLine="&quot;$(TargetDir)$(TargetName).exe&quot; --log_level=message --build_info=yes --result_code=no --report_level=short"
-				ExcludedFromBuild="false"
+				ExcludedFromBuild="true"
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -253,12 +253,15 @@
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -271,7 +274,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				DebugInformationFormat="4"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -279,7 +282,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -287,8 +290,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-mt-s.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
@@ -323,11 +326,11 @@
 				Name="VCPostBuildEventTool"
 				Description="Auto run test"
 				CommandLine="&quot;$(TargetDir)$(TargetName).exe&quot; --log_level=message --build_info=yes --result_code=no --report_level=short"
-				ExcludedFromBuild="true"
+				ExcludedFromBuild="false"
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -349,20 +352,20 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				AdditionalOptions="/MP"
 				Optimization="2"
 				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="2"
+				RuntimeLibrary="0"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -391,17 +394,16 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-mt.exe"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-s_x64.exe"
 				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
-				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="1"
+				TargetMachine="17"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -431,7 +433,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -453,18 +455,18 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
+				AdditionalOptions="/MP"
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -493,18 +495,17 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-sgd.exe"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-mt-gd.exe"
 				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
 				GenerateDebugInformation="true"
-				AssemblyDebug="0"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -534,7 +535,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -562,15 +563,12 @@
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="NDEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -583,6 +581,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -590,7 +589,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -598,11 +597,12 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-s_x64.exe"
-				LinkIncremental="1"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-gd.exe"
+				LinkIncremental="2"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
+				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
@@ -633,11 +633,11 @@
 				Name="VCPostBuildEventTool"
 				Description="Auto run test"
 				CommandLine="&quot;$(TargetDir)$(TargetName).exe&quot; --log_level=message --build_info=yes --result_code=no --report_level=short"
-				ExcludedFromBuild="false"
+				ExcludedFromBuild="true"
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Release|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="1"
@@ -659,18 +659,21 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 				TypeLibraryName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.tlb"
 				HeaderFileName=""
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
-				Optimization="0"
+				AdditionalOptions="/MP"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories=".."
-				PreprocessorDefinitions="_DEBUG;x64;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_CONSOLE;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="2"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -691,7 +694,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -699,8 +702,8 @@
 			/>
 			<Tool
 				Name="VCLinkerTool"
-				OutputFile=".\bin\QuantLib-test-suite-vc90-$(PlatformName)-mt-gd.exe"
-				LinkIncremental="2"
+				OutputFile=".\bin\QuantLib-test-suite-vc90-mt.exe"
+				LinkIncremental="1"
 				SuppressStartupBanner="true"
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
@@ -709,7 +712,7 @@
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
-				TargetMachine="17"
+				TargetMachine="1"
 			/>
 			<Tool
 				Name="VCALinkTool"
@@ -735,7 +738,7 @@
 				Name="VCPostBuildEventTool"
 				Description="Auto run test"
 				CommandLine="&quot;$(TargetDir)$(TargetName).exe&quot; --log_level=message --build_info=yes --result_code=no --report_level=short"
-				ExcludedFromBuild="true"
+				ExcludedFromBuild="false"
 			/>
 		</Configuration>
 		<Configuration

From add02b1e4104ed762ea1545feb1f054a800d1b01 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 17:31:20 +0000
Subject: [PATCH 269/410] moved pdb files near their executables for easier
 (user) retrieval (the compiler knows their location anyway...)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17880 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/testsuite_vc9.vcproj | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index cd3ff40e27..4c0c987215 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -88,7 +88,7 @@
 				GenerateManifest="true"
 				GenerateDebugInformation="true"
 				AssemblyDebug="0"
-				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
+				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt-sgd.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
@@ -296,7 +296,7 @@
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
 				GenerateDebugInformation="true"
-				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
+				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt-s.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
@@ -501,7 +501,7 @@
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
 				GenerateDebugInformation="true"
-				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
+				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt-gd.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
@@ -708,7 +708,7 @@
 				AdditionalLibraryDirectories="..\lib"
 				GenerateManifest="true"
 				GenerateDebugInformation="true"
-				ProgramDatabaseFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\testsuite.pdb"
+				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt.pdb"
 				SubSystem="1"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"

From c32221ec5eaf2e1f669fa2d1a51e488ec6680b88 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 20:43:26 +0000
Subject: [PATCH 270/410] added vpp step condition and test case to calculate
 the intrinsic value

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17881 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   2 +
 ql/experimental/finitedifferences/all.hpp     |   1 +
 .../finitedifferences/fdm1dmesher.hpp         |   1 +
 .../finitedifferences/fdm2dblackscholesop.cpp |   1 +
 .../finitedifferences/fdm2dimsolver.cpp       |   1 +
 .../finitedifferences/fdm3dimsolver.cpp       |   1 +
 .../fdmamericanstepcondition.cpp              |   7 +-
 .../fdmarithmeticaveragecondition.cpp         |   1 +
 .../finitedifferences/fdmbatesop.cpp          |   2 +
 .../fdmbermudanstepcondition.cpp              |   2 +-
 .../finitedifferences/fdmblackscholesop.cpp   |   1 +
 .../fdmblackscholessolver.cpp                 |   1 +
 .../finitedifferences/fdmdividendhandler.cpp  |   1 +
 .../fdmextendedornsteinuhlenbeckop.cpp        |   1 +
 .../finitedifferences/fdmextoujumpop.cpp      |   4 +-
 .../fdmhestonhullwhiteop.cpp                  |   5 +-
 .../finitedifferences/fdmhestonop.cpp         |   2 +
 .../fdminnervaluecalculator.cpp               |   1 +
 .../finitedifferences/fdmklugeextouop.cpp     |   1 +
 .../finitedifferences/fdmmesher.hpp           |   3 +-
 .../finitedifferences/fdmmeshercomposite.cpp  |  12 ++
 .../finitedifferences/fdmmeshercomposite.hpp  |   3 +-
 .../finitedifferences/fdmndimsolver.hpp       |   1 +
 .../fdmsimplestoragecondition.cpp             |   1 +
 .../fdmsimpleswingcondition.cpp               |   1 +
 .../finitedifferences/fdmvppstepcondition.cpp | 146 ++++++++++++++++++
 .../finitedifferences/fdmvppstepcondition.hpp |  75 +++++++++
 .../finitedifferences/firstderivativeop.cpp   |   1 +
 .../finitedifferences/ninepointlinearop.cpp   |   2 +
 .../finitedifferences/ninepointlinearop.hpp   |   2 +-
 .../finitedifferences/secondderivativeop.cpp  |   1 +
 .../secondordermixedderivativeop.cpp          |   3 +-
 .../finitedifferences/triplebandlinearop.cpp  |   1 +
 .../finitedifferences/uniformgridmesher.cpp   |   1 +
 34 files changed, 275 insertions(+), 14 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdmvppstepcondition.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmvppstepcondition.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 742591cc13..13f9c2fd69 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -70,6 +70,7 @@ this_include_HEADERS = \
 	fdmsnapshotcondition.hpp \
 	fdmsolverdesc.hpp \
 	fdmstepconditioncomposite.hpp \
+	fdmvppstepcondition.hpp \
     fdsimplebsswingengine.hpp \
 	fdsimpleextoujumpswingengine.hpp \
 	firstderivativeop.hpp \
@@ -140,6 +141,7 @@ libMultiDimFDM_la_SOURCES = \
     fdmsimpleswingcondition.cpp \
 	fdmsnapshotcondition.cpp \
 	fdmstepconditioncomposite.cpp \
+	fdmvppstepcondition.cpp \
     fdsimplebsswingengine.cpp \
 	fdsimpleextoujumpswingengine.cpp \
     fdsimpleextoustorageengine.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 221009c7da..e1b3a7a8f0 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -67,6 +67,7 @@
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
diff --git a/ql/experimental/finitedifferences/fdm1dmesher.hpp b/ql/experimental/finitedifferences/fdm1dmesher.hpp
index 799a685352..b397ca4aa7 100644
--- a/ql/experimental/finitedifferences/fdm1dmesher.hpp
+++ b/ql/experimental/finitedifferences/fdm1dmesher.hpp
@@ -36,6 +36,7 @@ namespace QuantLib {
         Fdm1dMesher(Size size)
         : locations_(size), dplus_(size), dminus_(size) {}
 
+        Size size() const { return locations_.size(); }
         Real dplus(Size index) const {return dplus_[index];}
         Real dminus(Size index) const {return dminus_[index];}
         Real location(Size index) const {return locations_[index];}
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
index 92acbff1ef..232da0325b 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
+++ b/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
@@ -23,6 +23,7 @@
 
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
index 91f4c45c0f..b5fee391b2 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm2dimsolver.cpp
@@ -20,6 +20,7 @@
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 #include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
index e98d879c29..b5bf1ecd46 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.cpp
+++ b/ql/experimental/finitedifferences/fdm3dimsolver.cpp
@@ -21,6 +21,7 @@
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
diff --git a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp b/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
index 9e334020d6..7692008c57 100644
--- a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 
 namespace QuantLib {
@@ -34,14 +35,8 @@ namespace QuantLib {
         boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         const FdmLinearOpIterator endIter = layout->end();
 
-        const Size dims = layout->dim().size();
-        Array locations(dims);
-
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
             ++iter) {
-            for (Size i=0; i < dims; ++i)
-                locations[i] = mesher_->location(iter, i);
-
             const Real innerValue = calculator_->innerValue(iter, t);
             if (innerValue > a[iter.index()]) {
                 a[iter.index()] = innerValue;
diff --git a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp b/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp
index 5e21b68e0d..f6255a3d78 100644
--- a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp
+++ b/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp
@@ -22,6 +22,7 @@
 */
 
 #include <ql/math/interpolations/cubicinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/experimental/finitedifferences/fdmbatesop.cpp
index b26bcb049a..603ca318f6 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.cpp
+++ b/ql/experimental/finitedifferences/fdmbatesop.cpp
@@ -24,8 +24,10 @@
 #include <ql/quotes/simplequote.hpp>
 #include <ql/math/matrix.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmbatesop.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
index bf4f4c825f..69162b6895 100644
--- a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.cpp b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
index a3a696d3f6..eb62a5d809 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholesop.cpp
@@ -22,6 +22,7 @@
 #include <ql/math/functional.hpp>
 #include <ql/instruments/payoffs.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
index 8b4b6f8d04..48beee0a65 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
@@ -23,6 +23,7 @@
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
diff --git a/ql/experimental/finitedifferences/fdmdividendhandler.cpp b/ql/experimental/finitedifferences/fdmdividendhandler.cpp
index 6b5c57ec28..cc42acfaf6 100644
--- a/ql/experimental/finitedifferences/fdmdividendhandler.cpp
+++ b/ql/experimental/finitedifferences/fdmdividendhandler.cpp
@@ -21,6 +21,7 @@
 
 #include <ql/time/daycounter.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
index 1fb594e695..07c3ceb4b6 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -24,6 +24,7 @@
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
index deb2ecd7d6..5d8f8edc50 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -25,10 +25,12 @@
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
-#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp b/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp
index 3bcc5e7c97..eba34d82ce 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp
@@ -19,8 +19,11 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
 #include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmhestonop.cpp b/ql/experimental/finitedifferences/fdmhestonop.cpp
index 1a9eb6ec94..d6a304c8e7 100644
--- a/ql/experimental/finitedifferences/fdmhestonop.cpp
+++ b/ql/experimental/finitedifferences/fdmhestonop.cpp
@@ -19,7 +19,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 #include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
index 64dc517f52..5354396044 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
+++ b/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
@@ -28,6 +28,7 @@
 #include <ql/math/integrals/simpsonintegral.hpp>
 #include <ql/instruments/basketoption.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 
 #include <deque>
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
index 1946b5f19c..00c31398ce 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -30,6 +30,7 @@
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmmesher.hpp b/ql/experimental/finitedifferences/fdmmesher.hpp
index 612d61db80..05a892358d 100644
--- a/ql/experimental/finitedifferences/fdmmesher.hpp
+++ b/ql/experimental/finitedifferences/fdmmesher.hpp
@@ -26,11 +26,12 @@
 #define quantlib_fdm_mesher_hpp
 
 #include <ql/math/array.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <boost/shared_ptr.hpp>
 #include <vector>
 
 namespace QuantLib {
+    class FdmLinearOpLayout;
+    class FdmLinearOpIterator;
 
     class FdmMesher {
       public:
diff --git a/ql/experimental/finitedifferences/fdmmeshercomposite.cpp b/ql/experimental/finitedifferences/fdmmeshercomposite.cpp
index 0b80301a57..d04041b7cb 100644
--- a/ql/experimental/finitedifferences/fdmmeshercomposite.cpp
+++ b/ql/experimental/finitedifferences/fdmmeshercomposite.cpp
@@ -19,10 +19,22 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 
 namespace QuantLib {
 
+FdmMesherComposite::FdmMesherComposite(
+        const boost::shared_ptr<FdmLinearOpLayout>& layout,
+        const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
+    : FdmMesher(layout), mesher_(mesher) {
+        for (Size i=0; i < mesher.size(); ++i) {
+            QL_REQUIRE(mesher[i]->size() == layout->dim()[i],
+                       "size of 1d mesher " << i << " does not fit to layout");
+        }
+    }
+
+
     Real FdmMesherComposite::dplus(const FdmLinearOpIterator& iter,
                                    Size direction) const {
         return mesher_[direction]->dplus(iter.coordinates()[direction]);
diff --git a/ql/experimental/finitedifferences/fdmmeshercomposite.hpp b/ql/experimental/finitedifferences/fdmmeshercomposite.hpp
index eecdadcd87..2353fba492 100644
--- a/ql/experimental/finitedifferences/fdmmeshercomposite.hpp
+++ b/ql/experimental/finitedifferences/fdmmeshercomposite.hpp
@@ -36,8 +36,7 @@ namespace QuantLib {
       public:
         FdmMesherComposite(
             const boost::shared_ptr<FdmLinearOpLayout>& layout,
-            const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
-        : FdmMesher(layout), mesher_(mesher) {}
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher);
 
         Real dplus(const FdmLinearOpIterator& iter, Size direction) const;
         Real dminus(const FdmLinearOpIterator& iter, Size direction) const;
diff --git a/ql/experimental/finitedifferences/fdmndimsolver.hpp b/ql/experimental/finitedifferences/fdmndimsolver.hpp
index 91b76f50dd..275f0d32db 100644
--- a/ql/experimental/finitedifferences/fdmndimsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmndimsolver.hpp
@@ -28,6 +28,7 @@
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
index e466896e41..a392d0d0aa 100644
--- a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
@@ -18,6 +18,7 @@
 */
 
 #include <ql/math/interpolations/bilinearinterpolation.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
index 4ba73751ba..8f09dcfae9 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
@@ -17,6 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
new file mode 100644
index 0000000000..b2ad9b066d
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
@@ -0,0 +1,146 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstatetransitionmatrix.cpp
+*/
+
+#include <ql/math/array.hpp>
+#include <ql/math/functional.hpp>
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+#include <boost/bind.hpp>
+
+namespace QuantLib {
+    FdmVPPStepCondition::FdmVPPStepCondition(
+        Real heatRate,
+        Real pMin, Real pMax,
+        Size tMinUp, Size tMinDown,
+        Real startUpFuel, Real startUpFixCost,
+        Real carbonPrice,
+        Size stateDirection,
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+        const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice)
+    : heatRate_        (heatRate),
+      pMin_            (pMin),
+      pMax_            (pMax),
+      tMinUp_          (tMinUp),
+      tMinDown_        (tMinDown),
+      startUpFuel_     (startUpFuel),
+      startUpFixCost_  (startUpFixCost),
+      carbonPrice_     (carbonPrice),
+      stateDirection_  (stateDirection),
+      mesher_          (mesher),
+      gasPrice_        (gasPrice),
+      sparkSpreadPrice_(sparkSpreadPrice),
+      stateEvolveFcts_ (2*tMinUp + tMinDown) {
+
+        QL_REQUIRE(tMinUp_ > 1,   "minimum up time must be greater than one");
+        QL_REQUIRE(tMinDown_ > 1, "minimum down time must be greater than one");
+
+        for (Size i=0; i < 2*tMinUp; ++i) {
+            if (i < tMinUp) {
+                stateEvolveFcts_[i] = boost::function<Real (Real)>(
+                    boost::bind(&FdmVPPStepCondition::evolveAtPMin,this, _1));
+            }
+            else {
+                stateEvolveFcts_[i] = boost::function<Real (Real)>(
+                    boost::bind(&FdmVPPStepCondition::evolveAtPMax,this, _1));
+            }
+        }
+    }
+
+
+    void FdmVPPStepCondition::applyTo(Array& a, Time t) const {
+        boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+
+        const Size nStates = layout->dim()[stateDirection_];
+        const FdmLinearOpIterator endIter = layout->end();
+
+        for (FdmLinearOpIterator iter=layout->begin();iter != endIter; ++iter) {
+            a[iter.index()] += evolve(iter, t);
+        }
+
+        for (FdmLinearOpIterator iter=layout->begin();iter != endIter; ++iter) {
+            if (!iter.coordinates()[stateDirection_]) {
+
+                Array x(nStates);
+                for (Size i=0; i < nStates; ++i) {
+                    x[i] = a[layout->neighbourhood(iter, stateDirection_, i)];
+                }
+
+                const Real gasPrice = gasPrice_->innerValue(iter, t);
+                a = changeState(gasPrice, x, t);
+            }
+        }
+    }
+
+    Real FdmVPPStepCondition::evolve(
+                               const FdmLinearOpIterator& iter, Time t) const {
+
+        const Size state = iter.coordinates()[stateDirection_];
+
+        if (stateEvolveFcts_[state].empty()) {
+            return 0;
+        }
+        else {
+            const Real sparkSpread = sparkSpreadPrice_->innerValue(iter, t);
+            return stateEvolveFcts_[state](sparkSpread);
+        }
+    }
+
+    Disposable<Array> FdmVPPStepCondition::changeState(
+                        const Real gasPrice, const Array& state, Time t) const {
+
+        const Real startUpCost
+                = startUpFixCost_ + (gasPrice + carbonPrice_)*startUpFuel_;
+
+        Array retVal(state.size());
+
+        for (Size i=0; i < tMinUp_-1; ++i) {
+            retVal[i] = retVal[tMinUp_ + i]
+                      = std::max(state[i+1], state[tMinUp_ + i+1]);
+        }
+
+        retVal[tMinUp_-1] = retVal[2*tMinUp_-1]
+                          = std::max(state[2*tMinUp_],
+                            std::max(state[tMinUp_-1], state[2*tMinUp_-1]));
+
+        for (Size i=0; i < tMinDown_-1; ++i) {
+            retVal[2*tMinUp_ + i] = state[2*tMinUp_ + i+1];
+        }
+
+        retVal.back() = std::max(state.back(),
+            std::max(state.front(), state[tMinUp_]) - startUpCost);
+
+        return retVal;
+    }
+
+    Real FdmVPPStepCondition::evolveAtPMin(Real sparkSpread) const {
+        return pMin_*(sparkSpread - heatRate_*carbonPrice_);
+    }
+
+    Real FdmVPPStepCondition::evolveAtPMax(Real sparkSpread) const {
+        return pMax_*(sparkSpread - heatRate_*carbonPrice_);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
new file mode 100644
index 0000000000..74abe7cab8
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
@@ -0,0 +1,75 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstatetransitionmatrix.hpp
+*/
+
+#ifndef quantlib_fdm_vpp_step_condition_hpp
+#define quantlib_fdm_vpp_step_condition_hpp
+
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+
+#include <boost/function.hpp>
+#include <boost/shared_ptr.hpp>
+#include <vector>
+
+namespace QuantLib {
+    class FdmMesher;
+    class FdmLinearOpIterator;
+    class FdmInnerValueCalculator;
+
+    class FdmVPPStepCondition : public StepCondition<Array> {
+      public:
+        FdmVPPStepCondition(
+            Real heatRate,
+            Real pMin, Real pMax,
+            Size tMinUp, Size tMinDown,
+            Real startUpFuel, Real startUpFixCost,
+            Real carbonPrice,
+            Size stateDirection,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+            const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
+
+        void applyTo(Array& a, Time t) const;
+
+      private:
+        Real evolveAtPMin(Real sparkSpread) const;
+        Real evolveAtPMax(Real sparkSpread) const;
+
+        Real evolve(const FdmLinearOpIterator& iter, Time t) const;
+        Disposable<Array> changeState(Real gasPrice,
+                                      const Array& state, Time t) const;
+
+        const Real heatRate_;
+        const Real pMin_, pMax_;
+        const Size tMinUp_, tMinDown_;
+        const Real startUpFuel_, startUpFixCost_;
+        const Real carbonPrice_;
+        const Size stateDirection_;
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice_;
+
+        std::vector<boost::function<Real (Real)> > stateEvolveFcts_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/firstderivativeop.cpp b/ql/experimental/finitedifferences/firstderivativeop.cpp
index 13e5f71ae2..a0f33f51f9 100644
--- a/ql/experimental/finitedifferences/firstderivativeop.cpp
+++ b/ql/experimental/finitedifferences/firstderivativeop.cpp
@@ -20,6 +20,7 @@
 */
 
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/ninepointlinearop.cpp b/ql/experimental/finitedifferences/ninepointlinearop.cpp
index 4276af8454..60362d837f 100644
--- a/ql/experimental/finitedifferences/ninepointlinearop.cpp
+++ b/ql/experimental/finitedifferences/ninepointlinearop.cpp
@@ -19,6 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/ninepointlinearop.hpp b/ql/experimental/finitedifferences/ninepointlinearop.hpp
index b48552debd..6927547f4f 100644
--- a/ql/experimental/finitedifferences/ninepointlinearop.hpp
+++ b/ql/experimental/finitedifferences/ninepointlinearop.hpp
@@ -26,11 +26,11 @@
 #ifndef quantlib_nine_point_linear_op_hpp
 #define quantlib_nine_point_linear_op_hpp
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <boost/shared_array.hpp>
 
 namespace QuantLib {
+    class FdmMesher;
 
     class NinePointLinearOp : public FdmLinearOp {
       public:
diff --git a/ql/experimental/finitedifferences/secondderivativeop.cpp b/ql/experimental/finitedifferences/secondderivativeop.cpp
index 35973218ab..9da17bb7d3 100644
--- a/ql/experimental/finitedifferences/secondderivativeop.cpp
+++ b/ql/experimental/finitedifferences/secondderivativeop.cpp
@@ -20,6 +20,7 @@
 */
 
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/secondderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp b/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp
index 896e53f601..6ed60db58f 100644
--- a/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp
+++ b/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp
@@ -18,7 +18,8 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-
+#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/triplebandlinearop.cpp b/ql/experimental/finitedifferences/triplebandlinearop.cpp
index c6ddce50bb..4b6c8c1bf5 100644
--- a/ql/experimental/finitedifferences/triplebandlinearop.cpp
+++ b/ql/experimental/finitedifferences/triplebandlinearop.cpp
@@ -21,6 +21,7 @@
 
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/uniformgridmesher.cpp b/ql/experimental/finitedifferences/uniformgridmesher.cpp
index e193165247..b906944986 100644
--- a/ql/experimental/finitedifferences/uniformgridmesher.cpp
+++ b/ql/experimental/finitedifferences/uniformgridmesher.cpp
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/uniformgridmesher.hpp>
 
 namespace QuantLib {

From 4d124dfe270689b6b254a7140a0ac22e9d669263 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 12 Jul 2011 20:44:20 +0000
Subject: [PATCH 271/410] added vpp step condition and test case to calculate
 the intrinsic value

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17882 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/swingoption.cpp | 154 ++++++++++++++++++++++++++++++++++++-
 test-suite/swingoption.hpp |   1 +
 2 files changed, 154 insertions(+), 1 deletion(-)

diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 3e7f4e097e..0b59d5092f 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -38,6 +38,9 @@
 #include <ql/experimental/processes/gemanroncoroniprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
@@ -45,6 +48,7 @@
 #include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
 
 #include <boost/lambda/lambda.hpp>
 #include <deque>
@@ -257,6 +261,8 @@ void SwingOptionTest::testFdmExponentialJump1dMesher() {
 
     BOOST_MESSAGE("Testing finite difference mesher for the Kluge model ...");
 
+    SavedSettings backup;
+
     Array x(2, 1.0);
     const Real beta = 100.0;
     const Real eta  = 1.0/0.4;
@@ -305,6 +311,8 @@ void SwingOptionTest::testExtOUJumpVanillaEngine() {
 
     BOOST_MESSAGE("Testing finite difference pricer for the Kluge model ...");
 
+    SavedSettings backup;
+
     boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
 
     const Date today = Date::todaysDate();
@@ -364,6 +372,8 @@ void SwingOptionTest::testFdBSSwingOption() {
 
     BOOST_MESSAGE("Testing Black-Scholes Vanilla Swing option pricing ...");
 
+    SavedSettings backup;
+
     Date settlementDate = Date::todaysDate();
     Settings::instance().evaluationDate() = settlementDate;
     DayCounter dayCounter = ActualActual();
@@ -436,6 +446,8 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
 
     BOOST_MESSAGE("Testing Simple Swing option pricing for Kluge model...");
 
+    SavedSettings backup;
+
     Date settlementDate = Date::todaysDate();
     Settings::instance().evaluationDate() = settlementDate;
     DayCounter dayCounter = ActualActual();
@@ -554,6 +566,8 @@ void SwingOptionTest::testSimpleExtOUStorageEngine() {
 
     BOOST_MESSAGE("Testing Simple Storage option based on ext. OU  model...");
 
+    SavedSettings backup;
+
     Date settlementDate = Date::todaysDate();
     Settings::instance().evaluationDate() = settlementDate;
     DayCounter dayCounter = ActualActual();
@@ -600,6 +614,8 @@ void SwingOptionTest::testKlugeExtOUSpreadOption() {
 
     BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option");
 
+    SavedSettings backup;
+
     Date settlementDate = Date::todaysDate();
     Settings::instance().evaluationDate() = settlementDate;
 
@@ -683,6 +699,140 @@ void SwingOptionTest::testKlugeExtOUSpreadOption() {
     }
 }
 
+namespace {
+    // for a "real" gas and power forward curve
+    // please see. e.g. http://www.kyos.com/?content=64
+    const Real gasPrices[] = {20.74,21.65,20.78,21.58,21.43,20.82,22.02,21.52,
+                              21.02,21.46,21.75,20.69,22.16,20.38,20.82,20.68,
+                              20.57,21.92,22.04,20.45,20.75,21.92,20.53,20.67,
+                              20.88,21.02,20.82,21.67,21.82,22.12,20.45,20.74,
+                              22.39,20.95,21.71,20.70,20.94,21.59,22.33,21.13,
+                              21.50,21.42,20.56,21.23,21.37,21.90,20.62,21.17,
+                              21.86,22.04,22.05,21.00,20.70,21.12,21.26,22.40,
+                              21.31,22.24,21.96,21.02,21.71,20.48,21.36,21.75,
+                              21.90,20.44,21.26,22.29,20.34,21.79,21.66,21.50,
+                              20.76,20.27,20.84,20.24,21.97,20.52,20.98,21.40,
+                              20.39,20.71,20.78,20.30,21.56,21.72,20.27,21.57,
+                              21.82,20.57,21.33,20.51,22.32,21.99,20.57,22.11,
+                              21.56,22.24,20.62,21.70,21.11,21.19,21.79,20.46,
+                              22.21,20.82,20.52,22.29,20.71,21.45,22.40,20.63,
+                              20.95,21.97,22.20,20.67,21.01,22.25,20.76,21.33,
+                              20.49,20.33,21.94,20.64,20.99,21.09,20.97,22.17,
+                              20.72,22.06,20.86,21.40,21.75,20.78,21.79,20.47,
+                              21.19,21.60,20.75,21.36,21.61,20.37,21.67,20.28,
+                              22.33,21.37,21.33,20.87,21.25,22.01,22.08,20.81,
+                              20.70,21.84,21.82,21.68,21.24,22.36,20.83,20.64,
+                              21.03,20.57,22.34,20.96,21.54,21.26,21.43,22.39};
+
+    const Real powerPrices[]={40.40,36.71,31.87,25.81,31.61,35.00,46.22,60.68,
+                              42.45,38.01,33.84,29.79,31.84,38.53,49.23,59.92,
+                              43.85,37.47,34.89,29.99,30.85,29.19,29.25,38.67,
+                              36.90,25.93,22.12,20.19,17.19,19.29,13.51,18.14,
+                              33.76,30.48,25.63,18.01,23.86,32.41,48.56,64.69,
+                              38.42,39.31,32.73,29.97,31.41,35.02,46.85,58.12,
+                              39.14,35.42,32.61,28.76,29.41,35.83,46.73,61.41,
+                              61.01,59.43,60.43,66.29,62.79,62.66,57.66,51.63,
+                              62.18,60.53,61.94,64.86,59.57,58.15,53.74,48.36,
+                              45.64,51.21,51.54,50.79,54.50,49.92,41.58,39.81,
+                              28.86,37.42,39.78,42.36,45.67,36.84,33.91,28.75,
+                              62.97,63.84,62.91,68.77,64.33,61.95,59.12,54.89,
+                              63.62,60.90,66.57,69.51,64.71,59.89,57.28,57.10,
+                              65.09,63.82,67.52,70.51,65.59,59.36,58.22,54.64,
+                              52.17,53.02,57.12,53.50,53.16,49.21,52.21,40.96,
+                              49.01,47.94,49.89,53.83,52.96,50.33,51.72,46.99,
+                              39.06,47.99,47.91,52.35,48.51,47.39,50.45,43.66,
+                              25.62,35.76,42.76,46.51,45.62,46.79,48.76,41.00,
+                              52.65,55.57,57.67,56.79,55.15,54.74,50.31,47.49,
+                              53.72,55.62,55.89,58.11,54.46,52.92,49.61,44.68,
+                              51.59,57.44,56.50,55.12,57.22,54.61,49.92,45.20};
+
+    class GasPrice : public FdmInnerValueCalculator {
+      public:
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            return gasPrices[(Size) t]; }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+    };
+    class SparkSpreadPrice : public FdmInnerValueCalculator {
+      public:
+        SparkSpreadPrice(Real heatRate) : heatRate_(heatRate) {}
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            Size i = (Size) t;
+            return powerPrices[i] - heatRate_*gasPrices[i];
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+      private:
+        const Real heatRate_;
+    };
+}
+
+void SwingOptionTest::testVPPStepCondition() {
+
+    BOOST_MESSAGE("Testing VPP step condition");
+
+    SavedSettings backup;
+
+    const Real pMin           = 8;
+    const Real pMax           = 40;
+    const Size tMinUp         = 6;
+    const Size tMinDown       = 2;
+    const Real startUpFuel    = 20;
+    const Real startUpFixCost = 100;
+    const Real carbonPrice    = 3.0;
+    const Size stateDirection = 0;
+
+    const Size nStates = 2*tMinUp + tMinDown;
+    const std::vector<Size> dim(1, nStates);
+    const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                                   new FdmLinearOpLayout(dim));
+
+    const boost::shared_ptr<FdmMesher> mesher(
+        new FdmMesherComposite(layout,
+             std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
+                                boost::shared_ptr<Fdm1dMesher>(
+                                    new Uniform1dMesher(0.0, 1.0, nStates)))));
+
+    const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(new GasPrice());
+
+    const Real efficiency[] = { 0.35, 0.4, 0.45, 0.5, 0.55, 0.6, 0.9 };
+
+    // Expected values are calculated using mixed integer programming
+    // based on the gnu linear programming toolkit. For details please see:
+    // http://spanderen.de/
+    //        2011/06/23/vpp-pricing-ii-mixed-integer-linear-programming/
+    const Real expected[] = { 0.0, 2056.04, 11145.577778, 26418.24,
+                              44512.461818, 62000.626667, 137591.911111};
+
+    for (Size i=0; i < LENGTH(efficiency); ++i) {
+        const Real heatRate = 1.0/efficiency[i];
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
+                                              new SparkSpreadPrice(heatRate));
+
+        boost::shared_ptr<StepCondition<Array> > stepCondition(
+            new FdmVPPStepCondition(heatRate, pMin, pMax, tMinUp, tMinDown,
+                                    startUpFuel, startUpFixCost,
+                                    carbonPrice, stateDirection,
+                                    mesher, gasPrice, sparkSpreadPrice));
+
+        Array state(nStates, 0.0);
+        for (Size j=LENGTH(gasPrices); j > 0; --j) {
+            stepCondition->applyTo(state, (Time) j-1);
+        }
+        const Real calculated = *std::max_element(state.begin(), state.end());
+
+        if (std::fabs(expected[i] - calculated) > 1e-6) {
+            BOOST_ERROR("Failed to reproduce reference values"
+                       << "\n    calculated:   " << calculated
+                       << "\n    expected(MC): " << expected[i]);
+
+        }
+    }
+}
+
+
 test_suite* SwingOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Spark-Option Test");
     suite->add(QUANTLIB_TEST_CASE(
@@ -699,7 +849,9 @@ test_suite* SwingOptionTest::suite() {
                             &SwingOptionTest::testSimpleExtOUStorageEngine));
     suite->add(QUANTLIB_TEST_CASE(
                             &SwingOptionTest::testKlugeExtOUSpreadOption));
-
+    suite->add(QUANTLIB_TEST_CASE(
+                            &SwingOptionTest::testVPPStepCondition));
     return suite;
 }
 
+
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
index 4e88d9d4f9..06a7c16fa9 100755
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -35,6 +35,7 @@ class SwingOptionTest {
 	static void testExtOUJumpVanillaEngine();
     static void testSimpleExtOUStorageEngine();
     static void testKlugeExtOUSpreadOption();
+    static void testVPPStepCondition();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From da84cfd6c30a1539603504efb8b58162169b5e6d Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 13 Jul 2011 07:58:07 +0000
Subject: [PATCH 272/410] added /OPT:REF to eliminate functions and/or data
 never referenced from binaries

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17883 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/testsuite_vc9.vcproj | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 4c0c987215..38a1e5ca22 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -298,6 +298,7 @@
 				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt-s.pdb"
 				SubSystem="1"
+				OptimizeReferences="2"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
 				TargetMachine="1"
@@ -710,6 +711,7 @@
 				GenerateDebugInformation="true"
 				ProgramDatabaseFile=".\bin\QuantLib-test-suite-vc90-mt.pdb"
 				SubSystem="1"
+				OptimizeReferences="2"
 				RandomizedBaseAddress="1"
 				DataExecutionPrevention="0"
 				TargetMachine="1"

From cac5919af6034e252d7d41864d3d01c35fd57622 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 13 Jul 2011 08:08:02 +0000
Subject: [PATCH 273/410] VC9 and VC10 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17884 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj         | 2 ++
 QuantLib_vc10.vcxproj.filters | 6 ++++++
 QuantLib_vc9.vcproj           | 8 ++++++++
 3 files changed, 16 insertions(+)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 795607f59c..ba965a2d16 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -270,6 +270,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsolverdesc.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimplebsswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
@@ -1341,6 +1342,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimplebsswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index cc45a2a214..233d35b713 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3447,6 +3447,9 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmndimsolver.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepcondition.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5505,5 +5508,8 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextousolver.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index ea851c421e..6de8541c73 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7237,6 +7237,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.cpp"
 					>

From dd539c6c39635717af3d7471544fa09298f59363 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 14 Jul 2011 14:57:02 +0000
Subject: [PATCH 274/410] added truncated Schedule constructor (and removed
 unused private data member)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17886 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/schedule.cpp | 35 +++++++++++++++++++++++++++++++----
 ql/time/schedule.hpp |  5 +++--
 2 files changed, 34 insertions(+), 6 deletions(-)

diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index 962af6140e..c0d63b0f7f 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006, 2007, 2008, 2010 Ferdinando Ametrano
+ Copyright (C) 2006, 2007, 2008, 2010, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2009 StatPro Italia srl
 
@@ -69,9 +69,37 @@ namespace QuantLib {
       convention_(convention),
       terminationDateConvention_(convention),
       rule_(DateGeneration::Forward), endOfMonth_(false),
-      finalIsRegular_(true),
       dates_(dates) {}
 
+    Schedule::Schedule(const Schedule& originalSchedule,
+                       const Date& truncationDate)
+    {
+        *this = originalSchedule;
+
+        if (truncationDate<dates_.back()) {
+            // remove later dates
+            while (dates_.back()>truncationDate) {
+                dates_.pop_back();
+                isRegular_.pop_back();
+            }
+
+            // add truncationDate if missing
+            if (truncationDate!=dates_.back()) {
+                dates_.push_back(truncationDate);
+                isRegular_.push_back(false);
+                terminationDateConvention_ = Unadjusted;
+            } else {
+                terminationDateConvention_ = convention_;
+            }
+
+            if (nextToLastDate_>=truncationDate)
+                nextToLastDate_ = Date();
+            if (firstDate_>=truncationDate)
+                firstDate_ = Date();
+        }
+
+    }
+
     Schedule::Schedule(Date effectiveDate,
                        const Date& terminationDate,
                        const Period& tenor,
@@ -88,8 +116,7 @@ namespace QuantLib {
       terminationDateConvention_(terminationDateConvention),
       rule_(rule), endOfMonth_(endOfMonth),
       firstDate_(first==effectiveDate ? Date() : first),
-      nextToLastDate_(nextToLast==terminationDate ? Date() : nextToLast),
-      finalIsRegular_(true)
+      nextToLastDate_(nextToLast==terminationDate ? Date() : nextToLast)
     {
         // sanity checks
         QL_REQUIRE(terminationDate != Date(), "null termination date");
diff --git a/ql/time/schedule.hpp b/ql/time/schedule.hpp
index 186ca5663c..ad441de914 100644
--- a/ql/time/schedule.hpp
+++ b/ql/time/schedule.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2006, 2007 Ferdinando Ametrano
+ Copyright (C) 2006, 2007, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006, 2009 StatPro Italia srl
 
@@ -42,6 +42,8 @@ namespace QuantLib {
         Schedule(const std::vector<Date>&,
                  const Calendar& calendar = NullCalendar(),
                  BusinessDayConvention convention = Unadjusted);
+        Schedule(const Schedule& originalSchedule,
+                 const Date& truncationDate);
         Schedule(Date effectiveDate,
                  const Date& terminationDate,
                  const Period& tenor,
@@ -91,7 +93,6 @@ namespace QuantLib {
         DateGeneration::Rule rule_;
         bool endOfMonth_;
         Date firstDate_, nextToLastDate_;
-        bool finalIsRegular_;
         std::vector<Date> dates_;
         std::vector<bool> isRegular_;
     };

From cd50bba6e6799fe2be4652b0788acf4552beb1d1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 14 Jul 2011 16:49:52 +0000
Subject: [PATCH 275/410] - enabled debug information in release configurations
 - moved pdb files near their executables for easier (user) retrieval - added
 /OPT:REF to eliminate functions and/or data never referenced from binaries

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17889 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj             |  4 ++--
 test-suite/testsuite_vc10.vcxproj | 13 +++++++++----
 2 files changed, 11 insertions(+), 6 deletions(-)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index ba965a2d16..968e7cd33a 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -142,7 +142,7 @@
       <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
       <WarningLevel>Level3</WarningLevel>
       <SuppressStartupBanner>true</SuppressStartupBanner>
-      <DebugInformationFormat>ProgramDatabase</DebugInformationFormat>
+      <DebugInformationFormat>EditAndContinue</DebugInformationFormat>
       <CompileAs>Default</CompileAs>
     </ClCompile>
     <ResourceCompile>
@@ -228,7 +228,7 @@
       <BrowseInformationFile>.\build\vc100\$(Platform)\$(Configuration)\</BrowseInformationFile>
       <WarningLevel>Level3</WarningLevel>
       <SuppressStartupBanner>true</SuppressStartupBanner>
-      <DebugInformationFormat>ProgramDatabase</DebugInformationFormat>
+      <DebugInformationFormat>EditAndContinue</DebugInformationFormat>
       <CompileAs>Default</CompileAs>
     </ClCompile>
     <ResourceCompile>
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 0411416b3c..ff23851145 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -133,7 +133,7 @@
       <GenerateDebugInformation>true</GenerateDebugInformation>
       <AssemblyDebug>
       </AssemblyDebug>
-      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\testsuite.pdb</ProgramDatabaseFile>
+      <ProgramDatabaseFile>$(OutDir)$(TargetName).pdb</ProgramDatabaseFile>
       <SubSystem>Console</SubSystem>
       <RandomizedBaseAddress>false</RandomizedBaseAddress>
       <DataExecutionPrevention>
@@ -180,6 +180,7 @@
       <WarningLevel>Level3</WarningLevel>
       <SuppressStartupBanner>true</SuppressStartupBanner>
       <CompileAs>Default</CompileAs>
+      <DebugInformationFormat>ProgramDatabase</DebugInformationFormat>
     </ClCompile>
     <ResourceCompile>
       <PreprocessorDefinitions>NDEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
@@ -189,12 +190,14 @@
       <OutputFile>$(OutDir)$(TargetName)$(TargetExt)</OutputFile>
       <SuppressStartupBanner>true</SuppressStartupBanner>
       <AdditionalLibraryDirectories>..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
-      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\testsuite.pdb</ProgramDatabaseFile>
+      <ProgramDatabaseFile>$(OutDir)$(TargetName).pdb</ProgramDatabaseFile>
       <SubSystem>Console</SubSystem>
       <RandomizedBaseAddress>false</RandomizedBaseAddress>
       <DataExecutionPrevention>
       </DataExecutionPrevention>
       <TargetMachine>MachineX86</TargetMachine>
+      <GenerateDebugInformation>true</GenerateDebugInformation>
+      <OptimizeReferences>true</OptimizeReferences>
     </Link>
     <Bscmake>
       <SuppressStartupBanner>false</SuppressStartupBanner>
@@ -244,7 +247,7 @@
       <SuppressStartupBanner>true</SuppressStartupBanner>
       <AdditionalLibraryDirectories>..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\testsuite.pdb</ProgramDatabaseFile>
+      <ProgramDatabaseFile>$(OutDir)$(TargetName).pdb</ProgramDatabaseFile>
       <SubSystem>Console</SubSystem>
       <RandomizedBaseAddress>false</RandomizedBaseAddress>
       <DataExecutionPrevention>
@@ -291,6 +294,7 @@
       <WarningLevel>Level3</WarningLevel>
       <SuppressStartupBanner>true</SuppressStartupBanner>
       <CompileAs>Default</CompileAs>
+      <DebugInformationFormat>ProgramDatabase</DebugInformationFormat>
     </ClCompile>
     <ResourceCompile>
       <PreprocessorDefinitions>NDEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
@@ -301,12 +305,13 @@
       <SuppressStartupBanner>true</SuppressStartupBanner>
       <AdditionalLibraryDirectories>..\lib;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <ProgramDatabaseFile>.\build\vc100\$(Platform)\$(Configuration)\testsuite.pdb</ProgramDatabaseFile>
+      <ProgramDatabaseFile>$(OutDir)$(TargetName).pdb</ProgramDatabaseFile>
       <SubSystem>Console</SubSystem>
       <RandomizedBaseAddress>false</RandomizedBaseAddress>
       <DataExecutionPrevention>
       </DataExecutionPrevention>
       <TargetMachine>MachineX86</TargetMachine>
+      <OptimizeReferences>true</OptimizeReferences>
     </Link>
     <Bscmake>
       <SuppressStartupBanner>false</SuppressStartupBanner>

From a45229060ca6a3d57b996476e9c0bc3a8d388506 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 18 Jul 2011 09:37:02 +0000
Subject: [PATCH 276/410] Replaced overloaded constructor with factory method.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17892 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/schedule.cpp | 58 ++++++++++++++++++++++----------------------
 ql/time/schedule.hpp |  7 ++++--
 2 files changed, 34 insertions(+), 31 deletions(-)

diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index c0d63b0f7f..b311594f67 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -71,35 +71,6 @@ namespace QuantLib {
       rule_(DateGeneration::Forward), endOfMonth_(false),
       dates_(dates) {}
 
-    Schedule::Schedule(const Schedule& originalSchedule,
-                       const Date& truncationDate)
-    {
-        *this = originalSchedule;
-
-        if (truncationDate<dates_.back()) {
-            // remove later dates
-            while (dates_.back()>truncationDate) {
-                dates_.pop_back();
-                isRegular_.pop_back();
-            }
-
-            // add truncationDate if missing
-            if (truncationDate!=dates_.back()) {
-                dates_.push_back(truncationDate);
-                isRegular_.push_back(false);
-                terminationDateConvention_ = Unadjusted;
-            } else {
-                terminationDateConvention_ = convention_;
-            }
-
-            if (nextToLastDate_>=truncationDate)
-                nextToLastDate_ = Date();
-            if (firstDate_>=truncationDate)
-                firstDate_ = Date();
-        }
-
-    }
-
     Schedule::Schedule(Date effectiveDate,
                        const Date& terminationDate,
                        const Period& tenor,
@@ -406,6 +377,35 @@ namespace QuantLib {
 
     }
 
+
+    Schedule Schedule::until(const Date& truncationDate) const {
+        Schedule result = *this;
+
+        if (truncationDate<result.dates_.back()) {
+            // remove later dates
+            while (result.dates_.back()>truncationDate) {
+                result.dates_.pop_back();
+                result.isRegular_.pop_back();
+            }
+
+            // add truncationDate if missing
+            if (truncationDate!=result.dates_.back()) {
+                result.dates_.push_back(truncationDate);
+                result.isRegular_.push_back(false);
+                result.terminationDateConvention_ = Unadjusted;
+            } else {
+                result.terminationDateConvention_ = convention_;
+            }
+
+            if (result.nextToLastDate_>=truncationDate)
+                result.nextToLastDate_ = Date();
+            if (result.firstDate_>=truncationDate)
+                result.firstDate_ = Date();
+        }
+
+        return result;
+    }
+
     std::vector<Date>::const_iterator
     Schedule::lower_bound(const Date& refDate) const {
         Date d = (refDate==Date() ?
diff --git a/ql/time/schedule.hpp b/ql/time/schedule.hpp
index ad441de914..7f13b04c38 100644
--- a/ql/time/schedule.hpp
+++ b/ql/time/schedule.hpp
@@ -42,8 +42,6 @@ namespace QuantLib {
         Schedule(const std::vector<Date>&,
                  const Calendar& calendar = NullCalendar(),
                  BusinessDayConvention convention = Unadjusted);
-        Schedule(const Schedule& originalSchedule,
-                 const Date& truncationDate);
         Schedule(Date effectiveDate,
                  const Date& terminationDate,
                  const Period& tenor,
@@ -85,6 +83,11 @@ namespace QuantLib {
         const_iterator end() const { return dates_.end(); }
         const_iterator lower_bound(const Date& d = Date()) const;
         //@}
+        //! \name Utilities
+        //@{
+        //! truncated schedule
+        Schedule until(const Date& truncationDate) const;
+        //@}
       private:
         bool fullInterface_;
         Period tenor_;

From 964693bd73834617e3c319d5d82680e56cbad0c5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 19 Jul 2011 14:48:56 +0000
Subject: [PATCH 277/410] Added TR-BDF2 finite-difference scheme (thanks to
 Fabien Le Floc'h.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17895 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                             |  11 +-
 QuantLib_vc10.vcxproj                    |   3 +-
 QuantLib_vc10.vcxproj.filters            |   5 +-
 QuantLib_vc7.vcproj                      |   3 +
 QuantLib_vc8.vcproj                      |   4 +
 QuantLib_vc9.vcproj                      |   4 +
 ql/methods/finitedifferences/Makefile.am |   1 +
 ql/methods/finitedifferences/all.hpp     |   1 +
 ql/methods/finitedifferences/trbdf2.hpp  | 172 +++++++++++++++++++++++
 9 files changed, 201 insertions(+), 3 deletions(-)
 create mode 100644 ql/methods/finitedifferences/trbdf2.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 6c78d2d185..bc29e41ad6 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1712
+UnitCount=1713
 Type=2
 Ver=1
 ObjFiles=
@@ -17167,3 +17167,12 @@ Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
+[Unit1713]
+FileName=ql\methods\finitedifferences\trbdf2.hpp
+CompileCpp=1
+Folder=methods/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 968e7cd33a..6c0054649b 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup Label="ProjectConfigurations">
     <ProjectConfiguration Include="Debug (static runtime)|Win32">
@@ -325,6 +325,7 @@
     <ClInclude Include="ql\methods\finitedifferences\pdeshortrate.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\shoutcondition.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\stepcondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\trbdf2.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\tridiagonaloperator.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\zerocondition.hpp" />
     <ClInclude Include="ql\methods\lattices\all.hpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 233d35b713..8d5b4dd052 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Filter Include="methods">
@@ -426,6 +426,9 @@
     <ClInclude Include="ql\methods\finitedifferences\stepcondition.hpp">
       <Filter>methods\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\trbdf2.hpp">
+      <Filter>methods\finitedifferences</Filter>
+    </ClInclude>
     <ClInclude Include="ql\methods\finitedifferences\tridiagonaloperator.hpp">
       <Filter>methods\finitedifferences</Filter>
     </ClInclude>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 5a6f3f00ff..d9cd970439 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -3129,6 +3129,9 @@
 				<File
 					RelativePath=".\ql\methods\finitedifferences\stepcondition.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\methods\finitedifferences\trbdf2.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\methods\finitedifferences\tridiagonaloperator.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 648cdb54af..946eb2e7d3 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -558,6 +558,10 @@
 					RelativePath=".\ql\methods\finitedifferences\stepcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\methods\finitedifferences\trbdf2.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\methods\finitedifferences\tridiagonaloperator.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 6de8541c73..d112ce10b7 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -905,6 +905,10 @@
 					RelativePath=".\ql\methods\finitedifferences\stepcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\methods\finitedifferences\trbdf2.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\methods\finitedifferences\tridiagonaloperator.cpp"
 					>
diff --git a/ql/methods/finitedifferences/Makefile.am b/ql/methods/finitedifferences/Makefile.am
index acc9111601..8d70b2574b 100644
--- a/ql/methods/finitedifferences/Makefile.am
+++ b/ql/methods/finitedifferences/Makefile.am
@@ -27,6 +27,7 @@ this_include_HEADERS = \
 	pdeshortrate.hpp \
 	shoutcondition.hpp \
 	stepcondition.hpp \
+	trbdf2.hpp \
 	tridiagonaloperator.hpp \
 	zerocondition.hpp
 
diff --git a/ql/methods/finitedifferences/all.hpp b/ql/methods/finitedifferences/all.hpp
index 6411740a2c..bcc8df4a36 100644
--- a/ql/methods/finitedifferences/all.hpp
+++ b/ql/methods/finitedifferences/all.hpp
@@ -24,6 +24,7 @@
 #include <ql/methods/finitedifferences/pdeshortrate.hpp>
 #include <ql/methods/finitedifferences/shoutcondition.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
+#include <ql/methods/finitedifferences/trbdf2.hpp>
 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
 #include <ql/methods/finitedifferences/zerocondition.hpp>
 
diff --git a/ql/methods/finitedifferences/trbdf2.hpp b/ql/methods/finitedifferences/trbdf2.hpp
new file mode 100644
index 0000000000..ffaab871f2
--- /dev/null
+++ b/ql/methods/finitedifferences/trbdf2.hpp
@@ -0,0 +1,172 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Fabien Le Floc'h
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file trbdf2.hpp
+    \brief TR-BDF2 scheme for finite difference methods
+*/
+
+#ifndef quantlib_trbdf2_hpp
+#define quantlib_trbdf2_hpp
+
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+
+namespace QuantLib {
+
+    //! TR-BDF2 scheme for finite difference methods
+    /*! See <http://ssrn.com/abstract=1648878> for details.
+
+        In this implementation, the passed operator must be derived
+        from either TimeConstantOperator or TimeDependentOperator.
+        Also, it must implement at least the following interface:
+
+        \code
+        typedef ... array_type;
+
+        // copy constructor/assignment
+        // (these will be provided by the compiler if none is defined)
+        Operator(const Operator&);
+        Operator& operator=(const Operator&);
+
+        // inspectors
+        Size size();
+
+        // modifiers
+        void setTime(Time t);
+
+        // operator interface
+        array_type applyTo(const array_type&);
+        array_type solveFor(const array_type&);
+        static Operator identity(Size size);
+
+        // operator algebra
+        Operator operator*(Real, const Operator&);
+        Operator operator+(const Operator&, const Operator&);
+        Operator operator+(const Operator&, const Operator&);
+        \endcode
+
+        \warning The differential operator must be linear for
+                 this evolver to work.
+
+        \ingroup findiff
+    */
+
+    // NOTE: There is room for performance improvement especially in
+    // the array manipulation
+
+    template <class Operator>
+    class TRBDF2  {
+      public:
+        // typedefs
+        typedef OperatorTraits<Operator> traits;
+        typedef typename traits::operator_type operator_type;
+        typedef typename traits::array_type array_type;
+        typedef typename traits::bc_set bc_set;
+        typedef typename traits::condition_type condition_type;
+        // constructors
+        TRBDF2(const operator_type& L,
+               const bc_set& bcs)
+        : L_(L), I_(operator_type::identity(L.size())),
+          dt_(0.0), bcs_(bcs), alpha_(2.0-sqrt(2.0)) {}
+        void step(array_type& a,
+                  Time t);
+        void setStep(Time dt) {
+            dt_ = dt;
+
+            implicitPart_ = I_ + 0.5*alpha_*dt_*L_;
+            explicitTrapezoidalPart_ = I_ - 0.5*alpha_*dt_*L_;
+            explicitBDF2PartFull_ =
+                -(1.0-alpha_)*(1.0-alpha_)/(alpha_*(2.0-alpha_))*I_;
+            explicitBDF2PartMid_ = 1.0/(alpha_*(2.0-alpha_))*I_;
+        }
+      private:
+        Real alpha_;
+        operator_type L_, I_, explicitTrapezoidalPart_,
+            explicitBDF2PartFull_,explicitBDF2PartMid_, implicitPart_;
+        Time dt_;
+        bc_set bcs_;
+        array_type aInit_;
+    };
+
+
+    // inline definitions
+
+    template <class Operator>
+    inline void TRBDF2<Operator>::step(array_type& a, Time t) {
+        Size i;
+        Array aInit(a.size());
+        for (i=0; i<a.size();i++) {
+            aInit[i] = a[i];
+        }
+        aInit_ = aInit;
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->setTime(t);
+        //trapezoidal explicit part
+        if (L_.isTimeDependent()) {
+            L_.setTime(t);
+            explicitTrapezoidalPart_ = I_ - 0.5*alpha_*dt_*L_;
+        }
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyBeforeApplying(explicitTrapezoidalPart_);
+        a = explicitTrapezoidalPart_.applyTo(a);
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyAfterApplying(a);
+
+        // trapezoidal implicit part
+        if (L_.isTimeDependent()) {
+            L_.setTime(t-dt_);
+            implicitPart_ = I_ + 0.5*alpha_*dt_*L_;
+        }
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyBeforeSolving(implicitPart_,a);
+        a = implicitPart_.solveFor(a);
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyAfterSolving(a);
+
+
+        // BDF2 explicit part
+        if (L_.isTimeDependent()) {
+            L_.setTime(t);
+        }
+        for (i=0; i<bcs_.size(); i++) {
+            bcs_[i]->applyBeforeApplying(explicitBDF2PartFull_);
+        }
+        array_type b0 = explicitBDF2PartFull_.applyTo(aInit_);
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyAfterApplying(b0);
+
+        for (i=0; i<bcs_.size(); i++) {
+            bcs_[i]->applyBeforeApplying(explicitBDF2PartMid_);
+        }
+        array_type b1 = explicitBDF2PartMid_.applyTo(a);
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyAfterApplying(b1);
+        a = b0+b1;
+
+        // reuse implicit part - works only for alpha=2-sqrt(2)
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyBeforeSolving(implicitPart_,a);
+        a = implicitPart_.solveFor(a);
+        for (i=0; i<bcs_.size(); i++)
+            bcs_[i]->applyAfterSolving(a);
+
+    }
+
+}
+
+#endif

From 01f5512416b2fe41e3e8ca255852395ab6ae2a4c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 20 Jul 2011 09:32:18 +0000
Subject: [PATCH 278/410] Moved data members back to protected section.

If QL_DISABLE_DEPRECATED is defined, they're private instead.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17901 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/inflationtermstructure.hpp | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/ql/termstructures/inflationtermstructure.hpp b/ql/termstructures/inflationtermstructure.hpp
index 05f62940ab..525c1b12f0 100644
--- a/ql/termstructures/inflationtermstructure.hpp
+++ b/ql/termstructures/inflationtermstructure.hpp
@@ -113,7 +113,9 @@ namespace QuantLib {
                         bool extrapolate) const;
 
         boost::shared_ptr<Seasonality> seasonality_;
+#ifdef QL_DISABLE_DEPRECATED
       private:
+#endif
         Period observationLag_;
         Frequency frequency_;
         bool indexIsInterpolated_;

From d3a34994c407bfb132190c7af912744fbcdf903f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 20 Jul 2011 10:46:47 +0000
Subject: [PATCH 279/410] removed useless include (if needed by some
 platform/compiler please remove the alternative forward declaration)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17902 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.hpp | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 7aa0aba25e..317fbb8913 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -28,7 +28,6 @@
 
 #include <ql/instruments/swap.hpp>
 #include <ql/instruments/bond.hpp>
-#include <ql/time/schedule.hpp>
 #include <ql/time/daycounter.hpp>
 
 namespace QuantLib {

From 2c367cec979b482f56d7e68ec0d327a6d28e4ca1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 20 Jul 2011 10:47:25 +0000
Subject: [PATCH 280/410] added few using std:: and boost:: directives

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17903 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 33 ++++++++++++++++++---------------
 1 file changed, 18 insertions(+), 15 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 6be465aa64..ed1b7a4355 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -29,12 +29,16 @@
 #include <ql/indexes/iborindex.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 
+using boost::shared_ptr;
+using boost::dynamic_pointer_cast;
+using std::vector;
+
 namespace QuantLib {
 
     AssetSwap::AssetSwap(bool payFixedRate,
-                         const boost::shared_ptr<Bond>& bond,
+                         const shared_ptr<Bond>& bond,
                          Real bondCleanPrice,
-                         const boost::shared_ptr<IborIndex>& index,
+                         const shared_ptr<IborIndex>& index,
                          Spread spread,
                          const Schedule& floatSch,
                          const DayCounter& floatingDayCounter,
@@ -113,18 +117,18 @@ namespace QuantLib {
         if (parSwap_) {
             // upfront on the floating leg
             Real upfront = (dirtyPrice-100.0)/100.0*notional;
-            boost::shared_ptr<CashFlow> upfrontCashFlow (new
+            shared_ptr<CashFlow> upfrontCashFlow(new
                 SimpleCashFlow(upfront, upfrontDate_));
             legs_[1].insert(legs_[1].begin(), upfrontCashFlow);
             // backpayment on the floating leg
             // (accounts for non-par redemption, if any)
             Real backPayment = notional;
-            boost::shared_ptr<CashFlow> backPaymentCashFlow (new
+            shared_ptr<CashFlow> backPaymentCashFlow (new
                 SimpleCashFlow(backPayment, finalDate));
             legs_[1].push_back(backPaymentCashFlow);
         } else {
             // final notional exchange
-            boost::shared_ptr<CashFlow> finalCashFlow (new
+            shared_ptr<CashFlow> finalCashFlow (new
                 SimpleCashFlow(notional, finalDate));
             legs_[1].push_back(finalCashFlow);
         }
@@ -155,12 +159,12 @@ namespace QuantLib {
         const Leg& fixedCoupons = bondLeg();
 
         arguments->fixedResetDates = arguments->fixedPayDates =
-            std::vector<Date>(fixedCoupons.size());
-        arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
+            vector<Date>(fixedCoupons.size());
+        arguments->fixedCoupons = vector<Real>(fixedCoupons.size());
 
         for (Size i=0; i<fixedCoupons.size(); ++i) {
-            boost::shared_ptr<FixedRateCoupon> coupon =
-                boost::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
+            shared_ptr<FixedRateCoupon> coupon =
+                dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
 
             arguments->fixedPayDates[i] = coupon->date();
             arguments->fixedResetDates[i] = coupon->accrualStartDate();
@@ -171,16 +175,15 @@ namespace QuantLib {
 
         arguments->floatingResetDates = arguments->floatingPayDates =
             arguments->floatingFixingDates =
-            std::vector<Date>(floatingCoupons.size());
+            vector<Date>(floatingCoupons.size());
         arguments->floatingAccrualTimes =
-            std::vector<Time>(floatingCoupons.size());
+            vector<Time>(floatingCoupons.size());
         arguments->floatingSpreads =
-            std::vector<Spread>(floatingCoupons.size());
+            vector<Spread>(floatingCoupons.size());
 
         for (Size i=0; i<floatingCoupons.size(); ++i) {
-            boost::shared_ptr<FloatingRateCoupon> coupon =
-                boost::dynamic_pointer_cast<FloatingRateCoupon>(
-                                                          floatingCoupons[i]);
+            shared_ptr<FloatingRateCoupon> coupon =
+                dynamic_pointer_cast<FloatingRateCoupon>(floatingCoupons[i]);
 
             arguments->floatingResetDates[i] = coupon->accrualStartDate();
             arguments->floatingPayDates[i] = coupon->date();

From 15d3ba9dce98489adf9753309634aa415ea01d03 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 20 Jul 2011 11:16:49 +0000
Subject: [PATCH 281/410] removed redundant include

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17904 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index ed1b7a4355..479ff88cc4 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -19,14 +19,14 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/time/schedule.hpp>
+#include <ql/instruments/assetswap.hpp>
+
 #include <ql/cashflows/cashflowvectors.hpp>
 #include <ql/cashflows/fixedratecoupon.hpp>
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
-#include <ql/instruments/assetswap.hpp>
 #include <ql/cashflows/couponpricer.hpp>
-#include <ql/indexes/iborindex.hpp>
+#include <ql/time/schedule.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 
 using boost::shared_ptr;

From a40f4655952ea4694cbde06785debf99fe6b73cf Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 20 Jul 2011 11:17:57 +0000
Subject: [PATCH 282/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17905
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 ql/instruments/assetswap.cpp | 1 -
 ql/instruments/assetswap.hpp | 2 +-
 2 files changed, 1 insertion(+), 2 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 479ff88cc4..31f9a3c639 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -26,7 +26,6 @@
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
 #include <ql/cashflows/couponpricer.hpp>
-#include <ql/time/schedule.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 
 using boost::shared_ptr;
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 317fbb8913..3f6ad02db1 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -28,12 +28,12 @@
 
 #include <ql/instruments/swap.hpp>
 #include <ql/instruments/bond.hpp>
+#include <ql/time/schedule.hpp>
 #include <ql/time/daycounter.hpp>
 
 namespace QuantLib {
 
     class IborIndex;
-    class Schedule;
 
     //! Bullet bond vs %Libor swap
     /*! for mechanics of par asset swap and market asset swap, refer to

From 2d42f1979ab75251c8de730aef64de7b682a735f Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 21 Jul 2011 09:54:30 +0000
Subject: [PATCH 283/410] added CCTEU and slimmer BTP constructor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17907 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/btp.cpp | 37 +++++++++++++++++++++++++++++++++++-
 ql/instruments/bonds/btp.hpp | 28 ++++++++++++++++++++++++---
 2 files changed, 61 insertions(+), 4 deletions(-)

diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
index f972467d1c..a31af39805 100644
--- a/ql/instruments/bonds/btp.cpp
+++ b/ql/instruments/bonds/btp.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2010 Ferdinando Ametrano
+ Copyright (C) 2010, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -24,10 +24,45 @@
 #include <ql/time/calendars/target.hpp>
 #include <ql/time/calendars/nullcalendar.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/actual360.hpp>
 #include <ql/utilities/dataformatters.hpp>
 
 namespace QuantLib {
 
+    CCTEU::CCTEU(const Date& maturityDate,
+                 Spread spread,
+                 const Date& startDate,
+                 const Date& issueDate)
+    : FloatingRateBond(3, 100.0,
+                       Schedule(startDate,
+                                maturityDate, 6*Months,
+                                NullCalendar(), Unadjusted, Unadjusted,
+                                DateGeneration::Backward, true),
+                       boost::shared_ptr<IborIndex>(new Euribor6M()),
+                       Actual360(),
+                       Following,
+                       Euribor6M().fixingDays(),
+                       std::vector<Real>(1, 1.0), // gearing
+                       std::vector<Spread>(1, spread),
+                       std::vector<Rate>(), // caps
+                       std::vector<Rate>(), // floors
+                       false, // in arrears
+                       100.0, // redemption
+                       issueDate) {}
+
+    BTP::BTP(const Date& maturityDate,
+             Rate fixedRate,
+             const Date& startDate,
+             const Date& issueDate)
+    : FixedRateBond(3, 100.0,
+                    Schedule(startDate,
+                             maturityDate, 6*Months,
+                             NullCalendar(), Unadjusted, Unadjusted,
+                             DateGeneration::Backward, true),
+                    std::vector<Rate>(1, fixedRate),
+                    ActualActual(ActualActual::ISMA),
+                    ModifiedFollowing, 100.0, issueDate, TARGET()) {}
+
     BTP::BTP(const Date& maturityDate,
              Rate fixedRate,
              Real redemption,
diff --git a/ql/instruments/bonds/btp.hpp b/ql/instruments/bonds/btp.hpp
index 561e967576..fc2bf28108 100644
--- a/ql/instruments/bonds/btp.hpp
+++ b/ql/instruments/bonds/btp.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2010 Ferdinando Ametrano
+ Copyright (C) 2010, 2011 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -25,6 +25,7 @@
 #define quantlib_btp_hpp
 
 #include <ql/instruments/bonds/fixedratebond.hpp>
+#include <ql/instruments/bonds/floatingratebond.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/instruments/vanillaswap.hpp>
 
@@ -32,7 +33,21 @@
 
 namespace QuantLib {
 
-    //! Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
+    /*! Italian CCTEU (Certificato di credito del tesoro)
+        Euribor6M indexed floating rate bond
+    
+        \ingroup instruments
+
+    */
+    class CCTEU : public FloatingRateBond {
+      public:
+        CCTEU(const Date& maturityDate,
+              Spread spread,
+              const Date& startDate = Date(),
+              const Date& issueDate = Date());
+    };
+
+    //! Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
     /*! \ingroup instruments
 
     */
@@ -40,7 +55,14 @@ namespace QuantLib {
       public:
         BTP(const Date& maturityDate,
             Rate fixedRate,
-            Real redemption = 100.0,
+            const Date& startDate = Date(),
+            const Date& issueDate = Date());
+        /*! constructor needed for legacy non-par redemption BTPs.
+            As of today the only remaining one is IT123456789012
+            that will redeem 99.999 on xx-may-2037 */
+        BTP(const Date& maturityDate,
+            Rate fixedRate,
+            Real redemption,
             const Date& startDate = Date(),
             const Date& issueDate = Date());
         //! BTP yield given a (clean) price and settlement date

From b3c414c8bc74aca762b036af793019dc1f397383 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 1 Aug 2011 10:26:12 +0000
Subject: [PATCH 284/410] avoided useless try/catch

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17912 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/swap/discountingswapengine.cpp | 12 ++++++------
 1 file changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/pricingengines/swap/discountingswapengine.cpp b/ql/pricingengines/swap/discountingswapengine.cpp
index d63495a27c..83bb2d8b7f 100644
--- a/ql/pricingengines/swap/discountingswapengine.cpp
+++ b/ql/pricingengines/swap/discountingswapengine.cpp
@@ -85,16 +85,16 @@ namespace QuantLib {
                                   results_.legBPS[i]);
                 results_.legNPV[i] *= arguments_.payer[i];
                 results_.legBPS[i] *= arguments_.payer[i];
+
+                const Date& d = CashFlows::startDate(arguments_.legs[i]);
+                if (d>=refDate)
+                   results_.startDiscounts[i] = discountCurve_->discount(d);
+                else
+                   results_.startDiscounts[i] = Null<DiscountFactor>();
             } catch (std::exception &e) {
                 QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
             }
             results_.value += results_.legNPV[i];
-            try {
-                Date d = CashFlows::startDate(arguments_.legs[i]);
-                results_.startDiscounts[i] = discountCurve_->discount(d);
-            } catch (...) {
-                results_.startDiscounts[i] = Null<DiscountFactor>();
-            }
         }
     }
 

From 77ac758ae08a82529426efed1ab083858e7c2d34 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 1 Aug 2011 11:17:42 +0000
Subject: [PATCH 285/410] cleaned up code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17913 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdmbatesop.cpp          | 87 +++++++------------
 .../finitedifferences/fdmbatesop.hpp          | 40 ++++++++-
 2 files changed, 69 insertions(+), 58 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/experimental/finitedifferences/fdmbatesop.cpp
index 603ca318f6..4cef2e8954 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.cpp
+++ b/ql/experimental/finitedifferences/fdmbatesop.cpp
@@ -21,22 +21,25 @@
     \brief Bates linear operator
 */
 
+#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+
+#include <ql/processes/batesprocess.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/math/matrix.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 
+using boost::shared_ptr;
+
 namespace QuantLib {
 
-    FdmBatesOp::FdmBatesOp(
-                    const boost::shared_ptr<FdmMesher>& mesher,
-                    const boost::shared_ptr<BatesProcess>& batesProcess,
-                    const FdmBoundaryConditionSet& bcSet,
-                    const Size integroIntegrationOrder, 
-                    const boost::shared_ptr<FdmQuantoHelper>& quantoHelper)
+    FdmBatesOp::FdmBatesOp(const shared_ptr<FdmMesher>& mesher,
+                           const shared_ptr<BatesProcess>& batesProcess,
+                           const FdmBoundaryConditionSet& bcSet,
+                           const Size integroIntegrationOrder, 
+                           const shared_ptr<FdmQuantoHelper>& quantoHelper)
     : lambda_(batesProcess->lambda()), 
       delta_ (batesProcess->delta()), 
       nu_    (batesProcess->nu()),
@@ -44,54 +47,25 @@ namespace QuantLib {
       gaussHermiteIntegration_(integroIntegrationOrder),
       mesher_(mesher),
       bcSet_(bcSet),
-      hestonOp_(new FdmHestonOp(mesher, 
-           boost::shared_ptr<HestonProcess>(new HestonProcess(
-               batesProcess->riskFreeRate(),  
-               Handle<YieldTermStructure>(
-                   new ZeroSpreadedTermStructure(
-                           batesProcess->dividendYield(),
-                           Handle<Quote>(new SimpleQuote(lambda_*m_)),
-                           Continuous, NoFrequency, 
-                           batesProcess->dividendYield()->dayCounter())),
-               batesProcess->s0(),    batesProcess->v0(),
-               batesProcess->kappa(), batesProcess->theta(),
-               batesProcess->sigma(), batesProcess->rho())), 
-           quantoHelper)) {                        
-    }
+      hestonOp_(new FdmHestonOp(
+        mesher,
+        shared_ptr<HestonProcess>(new HestonProcess(
+          batesProcess->riskFreeRate(),
+          Handle<YieldTermStructure>(
+            shared_ptr<ZeroSpreadedTermStructure>(new
+              ZeroSpreadedTermStructure(
+                batesProcess->dividendYield(),
+                Handle<Quote>(shared_ptr<Quote>(new SimpleQuote(lambda_*m_))),
+                Continuous,
+                NoFrequency,
+                batesProcess->dividendYield()->dayCounter()))),
+          batesProcess->s0(),    batesProcess->v0(),
+          batesProcess->kappa(), batesProcess->theta(),
+          batesProcess->sigma(), batesProcess->rho())),
+        quantoHelper)) {}
 
-    Size FdmBatesOp::size() const {
-        return hestonOp_->size();
-    }
-    
-    void FdmBatesOp::setTime(Time t1, Time t2) {
-        hestonOp_->setTime(t1, t2);
-    }
-    
-    Disposable<Array> FdmBatesOp::apply(const Array& r) const {
-        return hestonOp_->apply(r) + integro(r);
-    }
-    
-    Disposable<Array> FdmBatesOp::apply_mixed(const Array& r) const {
-        return hestonOp_->apply_mixed(r) + integro(r);
-    }
-
-    Disposable<Array> FdmBatesOp::apply_direction(Size direction,
-                                                  const Array& r) const {
-        return hestonOp_->apply_direction(direction, r);
-    }
-
-    Disposable<Array> FdmBatesOp::solve_splitting(Size direction,
-                                                  const Array& r, Real s) const{
-        return hestonOp_->solve_splitting(direction, r, s);
-    }
- 
-    Disposable<Array> FdmBatesOp::preconditioner(const Array& r, Real s) const {
-        return hestonOp_->preconditioner(r, s);
-    }
-    
-    
     FdmBatesOp::IntegroIntegrand::IntegroIntegrand(
-                    const boost::shared_ptr<LinearInterpolation>& interpl,
+                    const shared_ptr<LinearInterpolation>& interpl,
                     const FdmBoundaryConditionSet& bcSet,
                     Real x, Real delta, Real nu)
     : x_(x), delta_(delta), nu_(nu), 
@@ -110,7 +84,7 @@ namespace QuantLib {
     }
     
     Disposable<Array> FdmBatesOp::integro(const Array& r) const {
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         
         QL_REQUIRE(layout->dim().size() == 2, "invalid layout dimension");
 
@@ -127,9 +101,9 @@ namespace QuantLib {
             f[j][i] = r[iter.index()];
             
         }
-        std::vector<boost::shared_ptr<LinearInterpolation> > interpl(f.rows());
+        std::vector<shared_ptr<LinearInterpolation> > interpl(f.rows());
         for (Size i=0; i < f.rows(); ++i) {
-            interpl[i] = boost::shared_ptr<LinearInterpolation>(
+            interpl[i] = shared_ptr<LinearInterpolation>(
                 new LinearInterpolation(x.begin(), x.end(), f.row_begin(i)));
         }
         
@@ -145,4 +119,5 @@ namespace QuantLib {
 
         return lambda_*(integral-r);
     }
+
 }
diff --git a/ql/experimental/finitedifferences/fdmbatesop.hpp b/ql/experimental/finitedifferences/fdmbatesop.hpp
index be995a7ec2..96ac103b58 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.hpp
+++ b/ql/experimental/finitedifferences/fdmbatesop.hpp
@@ -24,14 +24,14 @@
 #ifndef quantlib_fdm_bates_op_hpp
 #define quantlib_fdm_bates_op_hpp
 
-#include <ql/processes/batesprocess.hpp>
-#include <ql/math/integrals/gaussianquadratures.hpp>
 #include <ql/experimental/finitedifferences/fdmhestonop.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/math/integrals/gaussianquadratures.hpp>
 
 namespace QuantLib {
 
     class LinearInterpolation;
+    class BatesProcess;
     
     class FdmBatesOp : public FdmLinearOpComposite {
       public:
@@ -80,6 +80,42 @@ namespace QuantLib {
         const FdmBoundaryConditionSet bcSet_;
         const boost::shared_ptr<FdmHestonOp> hestonOp_;
     };
+
+    // inline    
+    
+    inline Size FdmBatesOp::size() const {
+        return hestonOp_->size();
+    }
+    
+    inline void FdmBatesOp::setTime(Time t1, Time t2) {
+        hestonOp_->setTime(t1, t2);
+    }
+    
+    inline Disposable<Array> FdmBatesOp::apply(const Array& r) const {
+        return hestonOp_->apply(r) + integro(r);
+    }
+    
+    inline Disposable<Array> FdmBatesOp::apply_mixed(const Array& r) const {
+        return hestonOp_->apply_mixed(r) + integro(r);
+    }
+
+    inline
+    Disposable<Array> FdmBatesOp::apply_direction(Size direction,
+                                                  const Array& r) const {
+        return hestonOp_->apply_direction(direction, r);
+    }
+
+    inline Disposable<Array> FdmBatesOp::solve_splitting(Size direction,
+                                                         const Array& r,
+                                                         Real s) const{
+        return hestonOp_->solve_splitting(direction, r, s);
+    }
+ 
+    inline Disposable<Array> FdmBatesOp::preconditioner(const Array& r,
+                                                 Real s) const {
+        return hestonOp_->preconditioner(r, s);
+    }
+    
 }
 
 #endif

From f3857419a054bcf346f807621e3974ae6d204644 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 1 Aug 2011 11:18:15 +0000
Subject: [PATCH 286/410] deprecated unsafe constructor

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17914 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/handle.hpp | 31 +++++++++----------------------
 1 file changed, 9 insertions(+), 22 deletions(-)

diff --git a/ql/handle.hpp b/ql/handle.hpp
index 8e72188d0d..acbde71e1f 100644
--- a/ql/handle.hpp
+++ b/ql/handle.hpp
@@ -73,9 +73,13 @@ namespace QuantLib {
         */
         //@{
         explicit Handle(const boost::shared_ptr<T>& p = boost::shared_ptr<T>(),
-                        bool registerAsObserver = true);
+                        bool registerAsObserver = true)
+        : link_(new Link(p,registerAsObserver)) {}
+#ifndef QL_DISABLE_DEPRECATED
         explicit Handle(T* p,
-                        bool registerAsObserver = true);
+                        bool registerAsObserver = true)
+        : link_(new Link(boost::shared_ptr<T>(p),registerAsObserver)) {}
+#endif
         //@}
         //! dereferencing
         const boost::shared_ptr<T>& currentLink() const;
@@ -87,19 +91,13 @@ namespace QuantLib {
         operator boost::shared_ptr<Observable>() const;
         //! equality test
         template <class U>
-        bool operator==(const Handle<U>& other) {
-            return link_ == other.link_;
-        }
+        bool operator==(const Handle<U>& other) { return link_==other.link_; }
         //! disequality test
         template <class U>
-        bool operator!=(const Handle<U>& other) {
-            return link_ != other.link_;
-        }
+        bool operator!=(const Handle<U>& other) { return link_!=other.link_; }
         //! strict weak ordering
         template <class U>
-        bool operator<(const Handle<U>& other) {
-            return link_ < other.link_;
-        }
+        bool operator<(const Handle<U>& other) { return link_ < other.link_; }
     };
 
     //! Relinkable handle to an observable
@@ -150,16 +148,6 @@ namespace QuantLib {
     }
 
 
-    template <class T>
-    inline Handle<T>::Handle(const boost::shared_ptr<T>& p,
-                             bool registerAsObserver)
-    : link_(new Link(p,registerAsObserver)) {}
-
-    template <class T>
-    inline Handle<T>::Handle(T* p,
-                             bool registerAsObserver)
-    : link_(new Link(boost::shared_ptr<T>(p),registerAsObserver)) {}
-
     template <class T>
     inline const boost::shared_ptr<T>& Handle<T>::currentLink() const {
         QL_REQUIRE(!empty(), "empty Handle cannot be dereferenced");
@@ -207,5 +195,4 @@ namespace QuantLib {
 
 }
 
-
 #endif

From d8ca0f378705d01974732618eb9b94b313d9e0ab Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 1 Aug 2011 11:23:45 +0000
Subject: [PATCH 287/410] cleaned up code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17915 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdmbatesop.cpp | 9 ++++++---
 1 file changed, 6 insertions(+), 3 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/experimental/finitedifferences/fdmbatesop.cpp
index 4cef2e8954..3d0d5a3002 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.cpp
+++ b/ql/experimental/finitedifferences/fdmbatesop.cpp
@@ -59,9 +59,12 @@ namespace QuantLib {
                 Continuous,
                 NoFrequency,
                 batesProcess->dividendYield()->dayCounter()))),
-          batesProcess->s0(),    batesProcess->v0(),
-          batesProcess->kappa(), batesProcess->theta(),
-          batesProcess->sigma(), batesProcess->rho())),
+          batesProcess->s0(),
+          batesProcess->v0(),
+          batesProcess->kappa(),
+          batesProcess->theta(),
+          batesProcess->sigma(),
+          batesProcess->rho())),
         quantoHelper)) {}
 
     FdmBatesOp::IntegroIntegrand::IntegroIntegrand(

From 4fccc973f9cbc827a21e074e590ac7c06f8c7dfa Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 1 Aug 2011 12:36:51 +0000
Subject: [PATCH 288/410] Fixed Svensson fitting formula.

Thanks to Wasi (whoever that is) and Rahul Kanchi.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17916 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/yield/nonlinearfittingmethods.cpp | 2 +-
 ql/termstructures/yield/nonlinearfittingmethods.hpp | 6 +++---
 2 files changed, 4 insertions(+), 4 deletions(-)

diff --git a/ql/termstructures/yield/nonlinearfittingmethods.cpp b/ql/termstructures/yield/nonlinearfittingmethods.cpp
index c5540eeaef..4a40c3f965 100644
--- a/ql/termstructures/yield/nonlinearfittingmethods.cpp
+++ b/ql/termstructures/yield/nonlinearfittingmethods.cpp
@@ -110,7 +110,7 @@ namespace QuantLib {
                         (1.0 - std::exp(-kappa*t))/
                         ((kappa+QL_EPSILON)*(t+QL_EPSILON)) -
                         (x[2])*std::exp(-kappa*t) +
-                        x[3]* (((1.0 - std::exp(-kappa*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));
+                        x[3]* (((1.0 - std::exp(-kappa_1*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));
         DiscountFactor d = std::exp(-zeroRate * t) ;
         return d;
     }
diff --git a/ql/termstructures/yield/nonlinearfittingmethods.hpp b/ql/termstructures/yield/nonlinearfittingmethods.hpp
index 73ae39ce3d..9f6da8add1 100644
--- a/ql/termstructures/yield/nonlinearfittingmethods.hpp
+++ b/ql/termstructures/yield/nonlinearfittingmethods.hpp
@@ -78,9 +78,9 @@ namespace QuantLib {
     /*! Fits a discount function to the form
         \f$ d(t) = \exp^{-r t}, \f$ where the zero rate \f$r\f$ is defined as
         \f[
-        r \equiv c_0 + (c_0 + c_1)*(1 - exp^{-\kappa*t}/(\kappa t)
-        - c_2 exp^{ - \kappa t}
-        + c_3*{(1 - exp^{-\kappa*t}/(\kappa_1 t)) -exp^{-\kappa_1*t}}.
+        r \equiv c_0 + (c_0 + c_1)(\frac {1 - exp^{-\kappa t}}{\kappa t})
+        - c_2exp^{ - \kappa t}
+        + c_3{(\frac{1 - exp^{-\kappa_1 t}}{\kappa_1 t} -exp^{-\kappa_1 t})}.
         \f]
         See: Svensson, L. (1994). Estimating and interpreting forward
         interest rates: Sweden 1992-4.

From a03b088154211759569b67f95edd733a0bf395c8 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 2 Aug 2011 12:25:50 +0000
Subject: [PATCH 289/410] Added missing method implementation (thanks to Leon
 Sit.)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17917 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/makeswaption.cpp | 5 +++++
 1 file changed, 5 insertions(+)

diff --git a/ql/instruments/makeswaption.cpp b/ql/instruments/makeswaption.cpp
index e482d80de0..d245af47ea 100644
--- a/ql/instruments/makeswaption.cpp
+++ b/ql/instruments/makeswaption.cpp
@@ -101,6 +101,11 @@ namespace QuantLib {
         return *this;
     }
 
+    MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {
+        exerciseDate_ = date;
+        return *this;
+    }
+
     MakeSwaption& MakeSwaption::withPricingEngine(
                              const boost::shared_ptr<PricingEngine>& engine) {
         engine_ = engine;

From 2e377e31eda1174b26f9190a5981f0e6db828b79 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 7 Aug 2011 20:45:19 +0000
Subject: [PATCH 290/410] added finite difference engine for simple vpp's

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17920 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |  13 +-
 ql/experimental/finitedifferences/all.hpp     |   5 +-
 .../fdklugeextouspreadengine.cpp              |  65 +-
 .../fdklugeextouspreadengine.hpp              |  22 +-
 .../fdmexpextouinnervaluecalculator.hpp       |  66 ++
 .../finitedifferences/fdmklugeextouop.cpp     |  19 +-
 .../finitedifferences/fdmklugeextouop.hpp     |   7 +-
 .../finitedifferences/fdmklugeextousolver.cpp |  69 --
 .../finitedifferences/fdmklugeextousolver.hpp |  48 +-
 .../fdmklugeextouspreadinnervalue.hpp         |  84 ---
 .../fdmspreadpayoffinnervalue.hpp             |  60 ++
 .../finitedifferences/fdmvppstepcondition.cpp |   8 +-
 .../fdsimpleextoujumpswingengine.cpp          |  17 +-
 .../fdsimpleextoujumpswingengine.hpp          |  17 +-
 .../fdsimpleextoustorageengine.cpp            |  21 +-
 .../fdsimpleklugeextouvppengine.cpp           | 209 ++++++
 .../fdsimpleklugeextouvppengine.hpp           |  71 ++
 .../finitedifferences/ninepointlinearop.cpp   |   3 +-
 .../finitedifferences/vanillavppoption.cpp    |  89 +++
 .../finitedifferences/vanillavppoption.hpp    |  68 ++
 ql/experimental/processes/Makefile.am         |   2 +
 ql/experimental/processes/all.hpp             |   1 +
 .../processes/klugeextouprocess.cpp           | 103 +++
 .../processes/klugeextouprocess.hpp           |  84 +++
 ql/instruments/Makefile.am                    |   1 +
 ql/instruments/vanillaswingoption.cpp         | 132 ++++
 ql/instruments/vanillaswingoption.hpp         |  60 +-
 test-suite/Makefile.am                        |   3 +-
 test-suite/quantlibtestsuite.cpp              |   3 +
 test-suite/swingoption.cpp                    | 416 +---------
 test-suite/swingoption.hpp                    |   4 -
 test-suite/vpp.cpp                            | 710 ++++++++++++++++++
 test-suite/vpp.hpp                            |  38 +
 33 files changed, 1786 insertions(+), 732 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
 delete mode 100644 ql/experimental/finitedifferences/fdmklugeextousolver.cpp
 delete mode 100644 ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
 create mode 100644 ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
 create mode 100644 ql/experimental/finitedifferences/vanillavppoption.cpp
 create mode 100644 ql/experimental/finitedifferences/vanillavppoption.hpp
 create mode 100644 ql/experimental/processes/klugeextouprocess.cpp
 create mode 100644 ql/experimental/processes/klugeextouprocess.hpp
 create mode 100644 ql/instruments/vanillaswingoption.cpp
 create mode 100644 test-suite/vpp.cpp
 create mode 100644 test-suite/vpp.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index 13f9c2fd69..a55eab0a0e 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -40,6 +40,7 @@ this_include_HEADERS = \
 	fdmblackscholessolver.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
+	fdmexpextouinnervaluecalculator.hpp \
 	fdmextendedornsteinuhlenbeckop.hpp \
 	fdmextoujumpmodelinnervalue.hpp \
 	fdmextoujumpop.hpp \
@@ -52,7 +53,6 @@ this_include_HEADERS = \
 	fdminnervaluecalculator.hpp \
 	fdmklugeextouop.hpp \
 	fdmklugeextousolver.hpp \
-	fdmklugeextouspreadinnervalue.hpp \
 	fdmlinearop.hpp \
 	fdmlinearopcomposite.hpp \
 	fdmlinearopiterator.hpp \
@@ -69,10 +69,12 @@ this_include_HEADERS = \
     fdmsimpleswingcondition.hpp \
 	fdmsnapshotcondition.hpp \
 	fdmsolverdesc.hpp \
+	fdmspreadpayoffinnervalue.hpp \
 	fdmstepconditioncomposite.hpp \
 	fdmvppstepcondition.hpp \
     fdsimplebsswingengine.hpp \
 	fdsimpleextoujumpswingengine.hpp \
+	fdsimpleklugeextouvppengine.hpp \
 	firstderivativeop.hpp \
 	hundsdorferscheme.hpp \
 	impliciteulerscheme.hpp \
@@ -83,7 +85,8 @@ this_include_HEADERS = \
 	sparseilupreconditioner.hpp \
 	triplebandlinearop.hpp \
 	uniform1dmesher.hpp \
-	uniformgridmesher.hpp
+	uniformgridmesher.hpp \
+	vanillavppoption.hpp
 
 libMultiDimFDM_la_SOURCES = \
     bicgstab.cpp \
@@ -131,7 +134,6 @@ libMultiDimFDM_la_SOURCES = \
 	fdmhestonvariancemesher.cpp \
 	fdminnervaluecalculator.cpp \
 	fdmklugeextouop.cpp \
-	fdmklugeextousolver.cpp \
 	fdmlinearoplayout.cpp \
 	fdmmeshercomposite.cpp \
 	fdmquantohelper.cpp \
@@ -145,6 +147,7 @@ libMultiDimFDM_la_SOURCES = \
     fdsimplebsswingengine.cpp \
 	fdsimpleextoujumpswingengine.cpp \
     fdsimpleextoustorageengine.cpp \
+    fdsimpleklugeextouvppengine.cpp \
 	firstderivativeop.cpp \
 	hundsdorferscheme.cpp \
 	impliciteulerscheme.cpp \
@@ -154,7 +157,9 @@ libMultiDimFDM_la_SOURCES = \
 	secondordermixedderivativeop.cpp \
 	sparseilupreconditioner.cpp \
 	triplebandlinearop.cpp \
-	uniformgridmesher.cpp
+	uniformgridmesher.cpp \
+	vanillavppoption.cpp
+	
 
 noinst_LTLIBRARIES = libMultiDimFDM.la
 
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index e1b3a7a8f0..e0352e21bc 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -37,6 +37,7 @@
 #include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
 #include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
 #include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
+#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
@@ -49,7 +50,6 @@
 #include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
-#include <ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearop.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
@@ -66,10 +66,12 @@
 #include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
 #include <ql/experimental/finitedifferences/firstderivativeop.hpp>
 #include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
 #include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
@@ -81,4 +83,5 @@
 #include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
 #include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
 #include <ql/experimental/finitedifferences/uniformgridmesher.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
index 70af964286..5ed3b0e3c6 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
@@ -21,10 +21,10 @@
 #include <ql/exercise.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
@@ -32,25 +32,25 @@
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
+#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
 
 namespace QuantLib {
 
     FdKlugeExtOUSpreadEngine::FdKlugeExtOUSpreadEngine(
-        Real rho,
-        const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
-        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+        const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
         const boost::shared_ptr<YieldTermStructure>& rTS,
-        Size tGrid,
-        Size xGrid, Size yGrid, Size uGrid,
+        Size tGrid, Size xGrid, Size yGrid, Size uGrid,
+        const boost::shared_ptr<GasShape>& gasShape,
+        const boost::shared_ptr<PowerShape>& powerShape,
         const FdmSchemeDesc& schemeDesc)
-    : rho_  (rho),
-      kluge_(kluge),
-      extOU_(extOU),
+    : klugeOUProcess_(klugeOUProcess),
       rTS_  (rTS),
       tGrid_(tGrid),
       xGrid_(xGrid),
       yGrid_(yGrid),
       uGrid_(uGrid),
+      gasShape_(gasShape),
+      powerShape_(powerShape),
       schemeDesc_(schemeDesc) {
     }
 
@@ -67,19 +67,23 @@ namespace QuantLib {
         const Time maturity
             = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
                                               arguments_.exercise->lastDate());
-        const boost::shared_ptr<StochasticProcess1D> ouProcess(
-                              kluge_->getExtendedOrnsteinUhlenbeckProcess());
+        const boost::shared_ptr<ExtOUWithJumpsProcess> klugeProcess
+                                          = klugeOUProcess_->getKlugeProcess();
+        const boost::shared_ptr<StochasticProcess1D> ouProcess
+                        = klugeProcess->getExtendedOrnsteinUhlenbeckProcess();
         const boost::shared_ptr<Fdm1dMesher> xMesher(
             new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
 
         const boost::shared_ptr<Fdm1dMesher> yMesher(
             new ExponentialJump1dMesher(yGrid_,
-                                        kluge_->beta(),
-                                        kluge_->jumpIntensity(),
-                                        kluge_->eta()));
+                                        klugeProcess->beta(),
+                                        klugeProcess->jumpIntensity(),
+                                        klugeProcess->eta()));
 
         const boost::shared_ptr<Fdm1dMesher> uMesher(
-            new FdmSimpleProcess1dMesher(uGrid_, extOU_, maturity));
+            new FdmSimpleProcess1dMesher(uGrid_,
+                                         klugeOUProcess_->getExtOUProcess(),
+                                         maturity));
 
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(xMesher);
@@ -93,8 +97,18 @@ namespace QuantLib {
             boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
         QL_REQUIRE(basketPayoff," basket payoff expected");
 
+        const boost::shared_ptr<Payoff> zeroStrikeCall(
+            new PlainVanillaPayoff(Option::Call, 0.0));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(
+            new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
+                                                mesher, gasShape_, 2));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> powerPrice(
+            new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
+
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
-            new FdmKlugeExtOUSpreadInnerValue(basketPayoff, mesher));
+            new FdmSpreadPayoffInnerValue(basketPayoff, powerPrice, gasPrice));
 
         // 4. Step conditions
         const boost::shared_ptr<FdmStepConditionComposite> conditions =
@@ -110,17 +124,16 @@ namespace QuantLib {
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity, tGrid_, 0 };
 
-        const boost::shared_ptr<FdmKlugeExtOUSolver> solver(
-            new FdmKlugeExtOUSolver(
-                        rho_,
-                        Handle<ExtOUWithJumpsProcess>(kluge_),
-                        Handle<ExtendedOrnsteinUhlenbeckProcess>(extOU_),
-                        rTS_, solverDesc, schemeDesc_));
+        const boost::shared_ptr<FdmKlugeExtOUSolver<3> > solver(
+            new FdmKlugeExtOUSolver<3>(
+                Handle<KlugeExtOUProcess>(klugeOUProcess_),
+                rTS_, solverDesc, schemeDesc_));
 
-        const Real x = kluge_->initialValues()[0];
-        const Real y = kluge_->initialValues()[1];
-        const Real u = extOU_->x0();
+        std::vector<Real> x(3);
+        x[0] = klugeOUProcess_->initialValues()[0];
+        x[1] = klugeOUProcess_->initialValues()[1];
+        x[2] = klugeOUProcess_->initialValues()[2];
 
-        results_.value = solver->valueAt(x, y, u);
+        results_.value = solver->valueAt(x);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
index 1b51ec0a6a..fdbde93603 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
@@ -28,6 +28,8 @@
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaoption.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
 namespace QuantLib {
 
@@ -39,23 +41,27 @@ namespace QuantLib {
         : public GenericEngine<VanillaOption::arguments,
                                VanillaOption::results> {
       public:
+          typedef FdmExtOUJumpModelInnerValue::Shape GasShape;
+          typedef FdmExtOUJumpModelInnerValue::Shape PowerShape;
+
           FdKlugeExtOUSpreadEngine(
-              Real rho,
-              const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
-              const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+              const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
               const boost::shared_ptr<YieldTermStructure>& rTS,
-              Size tGrid = 25,
-              Size xGrid = 50, Size yGrid = 10, Size uGrid=25,
+              Size tGrid = 25, Size xGrid = 50, Size yGrid = 10, Size uGrid=25,
+              const boost::shared_ptr<GasShape>& gasShape
+                  = boost::shared_ptr<GasShape>(),
+              const boost::shared_ptr<PowerShape>& powerShape
+                  = boost::shared_ptr<PowerShape>(),
               const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
       private:
-        const Real rho_;
-        const boost::shared_ptr<ExtOUWithJumpsProcess> kluge_;
-        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU_;
+        const boost::shared_ptr<KlugeExtOUProcess> klugeOUProcess_;
         const boost::shared_ptr<YieldTermStructure> rTS_;
         const Size tGrid_, xGrid_, yGrid_, uGrid_;
+        const boost::shared_ptr<GasShape> gasShape_;
+        const boost::shared_ptr<PowerShape> powerShape_;
         const FdmSchemeDesc schemeDesc_;
     };
 }
diff --git a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
new file mode 100644
index 0000000000..ef2655b3a8
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmexpextouinnervaluecalculator.hpp
+    \brief inner value calculator for an exponential extended
+           Ornstein Uhlenbeck grid
+*/
+
+#ifndef quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
+#define quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
+
+namespace QuantLib {
+
+    class FdmExpExtOUInnerValueCalculator : public FdmInnerValueCalculator {
+      public:
+        typedef std::vector<std::pair<Time, Real> > Shape;
+
+        FdmExpExtOUInnerValueCalculator(
+            const boost::shared_ptr<Payoff>& payoff,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<Shape>& shape = boost::shared_ptr<Shape>(),
+            Size direction = 0)
+        : direction_(direction),
+          payoff_(payoff),
+          mesher_(mesher),
+          shape_(shape) { }
+
+        Real innerValue(const FdmLinearOpIterator& iter, Time t) {
+            const Real u = mesher_->location(iter, direction_);
+
+            Real f = 0;
+            if (shape_) {
+                f = std::lower_bound(shape_->begin(), shape_->end(),
+                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+            }
+
+            return payoff_->operator()(std::exp(f + u));
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+      private:
+        const Size direction_;
+        const boost::shared_ptr<Payoff> payoff_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<Shape> shape_;
+    };
+
+}
+#endif
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
index 00c31398ce..3042284d72 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -26,6 +26,7 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
@@ -38,21 +39,19 @@ namespace QuantLib {
 
     FdmKlugeExtOUOp::FdmKlugeExtOUOp(
         const boost::shared_ptr<FdmMesher>& mesher,
-        Real rho,
-        const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
-        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+        const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
         const boost::shared_ptr<YieldTermStructure>& rTS,
         const FdmBoundaryConditionSet& bcSet,
         Size integroIntegrationOrder)
     : mesher_ (mesher),
-      kluge_  (kluge),
-      extOU_  (extOU),
+      kluge_  (klugeOUProcess->getKlugeProcess()),
+      extOU_  (klugeOUProcess->getExtOUProcess()),
       rTS_    (rTS),
       bcSet_  (bcSet),
-      klugeOp_(new FdmExtOUJumpOp(mesher, kluge, rTS, bcSet,
+      klugeOp_(new FdmExtOUJumpOp(mesher, kluge_, rTS, bcSet,
                                   integroIntegrationOrder)),
       ouOp_   (new FdmExtendedOrnsteinUhlenbackOp(
-                  mesher, extOU,
+                  mesher, extOU_,
                   boost::shared_ptr<YieldTermStructure>(
                       new FlatForward(rTS->referenceDate(),
                               Handle<Quote>(boost::shared_ptr<Quote>(
@@ -60,8 +59,10 @@ namespace QuantLib {
                                       rTS->dayCounter())),
                   bcSet, 2)),
       corrMap_(SecondOrderMixedDerivativeOp(0, 2, mesher).mult(
-          Array(mesher->layout()->size(), rho*extOU->volatility()
-                *kluge->getExtendedOrnsteinUhlenbeckProcess()->volatility())))
+          Array(mesher->layout()->size(),
+                 klugeOUProcess->rho()*extOU_->volatility()
+                *kluge_->getExtendedOrnsteinUhlenbeckProcess()
+                       ->volatility())))
     { }
 
     Size FdmKlugeExtOUOp::size() const {
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index 8beff338f5..12cc41fb60 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -33,8 +33,7 @@ namespace QuantLib {
 
     class FdmMesher;
     class YieldTermStructure;
-    class ExtOUWithJumpsProcess;
-    class ExtendedOrnsteinUhlenbeckProcess;
+    class KlugeExtOUProcess;
     class FdmExtOUJumpOp;
     class FdmExtendedOrnsteinUhlenbackOp;
 
@@ -64,9 +63,7 @@ namespace QuantLib {
       public:
         FdmKlugeExtOUOp(
             const boost::shared_ptr<FdmMesher>& mesher,
-            Real rho,
-            const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
-            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU,
+            const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
             const boost::shared_ptr<YieldTermStructure>& rTS,
             const FdmBoundaryConditionSet& bcSet,
             Size integroIntegrationOrder);
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.cpp b/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
deleted file mode 100644
index f5b5764736..0000000000
--- a/ql/experimental/finitedifferences/fdmklugeextousolver.cpp
+++ /dev/null
@@ -1,69 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2011 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file fdmklugeextousolver.cpp
-*/
-
-#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
-#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-
-#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
-#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
-
-namespace QuantLib {
-
-    FdmKlugeExtOUSolver::FdmKlugeExtOUSolver(
-        Real correlation,
-        const Handle<ExtOUWithJumpsProcess>& klugeProcess,
-        const Handle<ExtendedOrnsteinUhlenbeckProcess>& ouProcess,
-        const boost::shared_ptr<YieldTermStructure>& rTS,
-        const FdmSolverDesc& solverDesc,
-        const FdmSchemeDesc& schemeDesc)
-    : klugeProcess_(klugeProcess),
-      ouProcess_   (ouProcess),
-      correlation_ (correlation),
-      rTS_         (rTS),
-      solverDesc_  (solverDesc),
-      schemeDesc_  (schemeDesc) {
-        registerWith(klugeProcess_);
-        registerWith(ouProcess_);
-    }
-
-    void FdmKlugeExtOUSolver::performCalculations() const {
-        boost::shared_ptr<FdmLinearOpComposite>op(
-            new FdmKlugeExtOUOp(solverDesc_.mesher,
-                                correlation_,
-                                klugeProcess_.currentLink(),
-                                ouProcess_.currentLink(),
-                                rTS_, solverDesc_.bcSet, 16));
-
-        solver_ = boost::shared_ptr<FdmNdimSolver<3> >(
-                         new FdmNdimSolver<3>(solverDesc_, schemeDesc_, op));
-    }
-
-    Real FdmKlugeExtOUSolver::valueAt(Real x, Real y, Real z) const {
-        calculate();
-
-        std::vector<Real> u(3);
-        u[0] = x; u[1] = y; u[2] = z;
-
-        return solver_->interpolateAt(u);
-    }
-}
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
index c6ca3b3f56..e8f29ff8b8 100644
--- a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
@@ -25,40 +25,58 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
+#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
-    template <Size N> class FdmNdimSolver;
     class ExtOUWithJumpsProcess;
     class ExtendedOrnsteinUhlenbeckProcess;
 
+    template <Size N=3>
     class FdmKlugeExtOUSolver : public LazyObject {
       public:
-          FdmKlugeExtOUSolver(
-            Real correlation,
-            const Handle<ExtOUWithJumpsProcess>& klugeProcess,
-            const Handle<ExtendedOrnsteinUhlenbeckProcess>& ouProcess,
-            const boost::shared_ptr<YieldTermStructure>& rTS,
-            const FdmSolverDesc& solverDesc,
-            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
-
-        Real valueAt(Real x, Real y, Real z) const;
+        FdmKlugeExtOUSolver(
+          const Handle<KlugeExtOUProcess>& klugeOUProcess,
+          const boost::shared_ptr<YieldTermStructure>& rTS,
+          const FdmSolverDesc& solverDesc,
+          const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())
+        : klugeOUProcess_(klugeOUProcess),
+          rTS_           (rTS),
+          solverDesc_    (solverDesc),
+          schemeDesc_    (schemeDesc) {
+            QL_REQUIRE(N >= 3, "KlugeExtOU solver can't be applied on meshes "
+                               "with less than three dimensions");
+            registerWith(klugeOUProcess_);
+        }
+
+        Real valueAt(const std::vector<Real>& x) const {
+            calculate();
+            return solver_->interpolateAt(x);
+        }
 
       protected:
-        void performCalculations() const;
+        void performCalculations() const {
+            boost::shared_ptr<FdmLinearOpComposite>op(
+                new FdmKlugeExtOUOp(solverDesc_.mesher,
+                                    klugeOUProcess_.currentLink(),
+                                    rTS_, solverDesc_.bcSet, 16));
+
+            solver_ = boost::shared_ptr<FdmNdimSolver<N> >(
+                          new FdmNdimSolver<N>(solverDesc_, schemeDesc_, op));
+        }
 
       private:
-        const Handle<ExtOUWithJumpsProcess> klugeProcess_;
-        const Handle<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
-        const Real correlation_;
+        const Handle<KlugeExtOUProcess> klugeOUProcess_;
         const boost::shared_ptr<YieldTermStructure> rTS_;
 
         const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
 
-        mutable boost::shared_ptr<FdmNdimSolver<3> > solver_;
+        mutable boost::shared_ptr<FdmNdimSolver<N> > solver_;
     };
 }
 
diff --git a/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp b/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp
deleted file mode 100644
index 1efa0cf5c5..0000000000
--- a/ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp
+++ /dev/null
@@ -1,84 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2011 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file fdoujumpmodelinnervalue.hpp
-    \brief inner value calculator for the Ornstein Uhlenbeck
-           plus exponential jumps model (Kluge Model)
-*/
-
-#ifndef quantlib_fdm_kluge_ext_ou_spread_inner_value_hpp
-#define quantlib_fdm_kluge_ext_ou_spread_inner_value_hpp
-
-#include <ql/instruments/basketoption.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-
-namespace QuantLib {
-
-    class FdmKlugeExtOUSpreadInnerValue : public FdmInnerValueCalculator {
-      public:
-        typedef std::vector<std::pair<Time, Real> > Shape;
-
-        FdmKlugeExtOUSpreadInnerValue(
-                const boost::shared_ptr<BasketPayoff>& payoff,
-                const boost::shared_ptr<FdmMesher>& mesher,
-                const boost::shared_ptr<Shape>& klugeShape =
-                                                    boost::shared_ptr<Shape>(),
-                const boost::shared_ptr<Shape>& extOUShape =
-                                                    boost::shared_ptr<Shape>())
-        : payoff_(payoff),
-          mesher_(mesher),
-          klugeShape_(klugeShape),
-          extOUShape_(extOUShape) { }
-
-        Real innerValue(const FdmLinearOpIterator& iter, Time t) {
-            const Real x = mesher_->location(iter, 0);
-            const Real y = mesher_->location(iter, 1);
-            const Real u = mesher_->location(iter, 2);
-
-            Real f = 0;
-            if (klugeShape_) {
-                f = std::lower_bound(klugeShape_->begin(), klugeShape_->end(),
-                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
-            }
-
-            Real g = 0;
-            if (extOUShape_) {
-                g = std::lower_bound(extOUShape_->begin(), extOUShape_->end(),
-                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
-            }
-            Array a(2);
-            a[0] = std::exp(f+x+y);
-            a[1] = std::exp(g+u);
-
-            return payoff_->operator()(a);
-        }
-        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-            return innerValue(iter, t);
-        }
-
-      private:
-        const boost::shared_ptr<BasketPayoff> payoff_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const boost::shared_ptr<Shape> klugeShape_, extOUShape_;
-    };
-}
-
-#endif
diff --git a/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
new file mode 100644
index 0000000000..6eac9ebfcd
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
@@ -0,0 +1,60 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmpreadpayoffinnervalue.hpp
+    \brief inner value calculator for a spread payoff
+*/
+
+#ifndef quantlib_fdm_spread_payoff_inner_value_hpp
+#define quantlib_fdm_spread_payoff_inner_value_hpp
+
+#include <ql/instruments/basketoption.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+
+namespace QuantLib {
+
+    class FdmSpreadPayoffInnerValue : public FdmInnerValueCalculator {
+      public:
+        FdmSpreadPayoffInnerValue(
+                const boost::shared_ptr<BasketPayoff>& payoff,
+                const boost::shared_ptr<FdmInnerValueCalculator>& calc1,
+                const boost::shared_ptr<FdmInnerValueCalculator>& calc2)
+        : payoff_(payoff),
+          calc1_(calc1),
+          calc2_(calc2) { }
+
+        Real innerValue(const FdmLinearOpIterator& iter, Time t) {
+            Array a(2);
+            a[0] = calc1_->innerValue(iter, t);
+            a[1] = calc2_->innerValue(iter, t);
+
+            return payoff_->operator()(a);
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+
+      private:
+        const boost::shared_ptr<BasketPayoff> payoff_;
+        const boost::shared_ptr<FdmInnerValueCalculator> calc1_;
+        const boost::shared_ptr<FdmInnerValueCalculator> calc2_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
index b2ad9b066d..827dd3f747 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
@@ -57,6 +57,9 @@ namespace QuantLib {
 
         QL_REQUIRE(tMinUp_ > 1,   "minimum up time must be greater than one");
         QL_REQUIRE(tMinDown_ > 1, "minimum down time must be greater than one");
+        QL_REQUIRE(stateEvolveFcts_.size() ==
+                   mesher_->layout()->dim()[stateDirection_],
+                   "mesher does not fit to vpp arguments");
 
         for (Size i=0; i < 2*tMinUp; ++i) {
             if (i < tMinUp) {
@@ -90,7 +93,10 @@ namespace QuantLib {
                 }
 
                 const Real gasPrice = gasPrice_->innerValue(iter, t);
-                a = changeState(gasPrice, x, t);
+                x = changeState(gasPrice, x, t);
+                for (Size i=0; i < nStates; ++i) {
+                    a[layout->neighbourhood(iter, stateDirection_, i)] = x[i];
+                }
             }
         }
     }
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index 179aa87b03..fc6608ee47 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -69,20 +69,9 @@ namespace QuantLib {
                                             new FdmLinearOpLayout(dim));
 
         // 2. Mesher
-        std::vector<Time> exerciseTimes;
-        for (Size i=0; i<swingExercise->dates().size(); ++i) {
-            Time t = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
-                                                     swingExercise->dates()[i]);
-
-            const Time dt = rTS_->dayCounter()
-                .yearFraction(rTS_->referenceDate(),
-                              swingExercise->dates()[i]+Period(1u, Days)) - t;
-
-            t += dt*swingExercise->seconds()[i]/(24*3600.);
-
-            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
-            exerciseTimes.push_back(t);
-        }
+        const std::vector<Time> exerciseTimes
+            = swingExercise->exerciseTimes(rTS_->dayCounter(),
+                                           rTS_->referenceDate());
 
         const Time maturity = exerciseTimes.back();
         const boost::shared_ptr<StochasticProcess1D> ouProcess(
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
index a75aa5bf9c..802a4b7faf 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -40,15 +40,14 @@ namespace QuantLib {
         : public GenericEngine<VanillaSwingOption::arguments,
                                VanillaSwingOption::results> {
       public:
-            typedef FdmExtOUJumpModelInnerValue::Shape Shape;
-
-            FdSimpleExtOUJumpSwingEngine(
-              const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
-              const boost::shared_ptr<YieldTermStructure>& rTS,
-              Size tGrid = 50, Size xGrid = 200, Size yGrid=50,
-              const boost::shared_ptr<Shape>& shape
-                                                 = boost::shared_ptr<Shape>(),
-              const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+        typedef FdmExtOUJumpModelInnerValue::Shape Shape;
+
+        FdSimpleExtOUJumpSwingEngine(
+            const boost::shared_ptr<ExtOUWithJumpsProcess>& p,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            Size tGrid = 50, Size xGrid = 200, Size yGrid=50,
+            const boost::shared_ptr<Shape>& shape = boost::shared_ptr<Shape>(),
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
 
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index 28555f1ce1..9e5f17dc5a 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -35,26 +35,12 @@
 #include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
+#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
 
 namespace QuantLib {
 
     namespace {
-        class FdmUnderlyingValue : public FdmInnerValueCalculator {
-          public:
-            FdmUnderlyingValue(const boost::shared_ptr<FdmMesher>& mesher)
-            : mesher_(mesher) { }
-
-            Real innerValue(const FdmLinearOpIterator& iter, Time) {
-                return std::exp(mesher_->location(iter, 0));
-            }
-            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-                return innerValue(iter, t);
-            }
-          private:
-            const boost::shared_ptr<FdmMesher> mesher_;
-        };
-
         class FdmStorageValue : public FdmInnerValueCalculator {
           public:
             FdmStorageValue(const boost::shared_ptr<FdmMesher>& mesher)
@@ -137,8 +123,11 @@ namespace QuantLib {
         }
         stoppingTimes.push_back(exerciseTimes);
 
+        boost::shared_ptr<Payoff> payoff(
+                                    new PlainVanillaPayoff(Option::Call, 0.0));
+
         boost::shared_ptr<FdmInnerValueCalculator> underlyingCalculator(
-                                               new FdmUnderlyingValue(mesher));
+            new FdmExpExtOUInnerValueCalculator(payoff, mesher));
 
         stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
             new FdmSimpleStorageCondition(exerciseTimes,
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
new file mode 100644
index 0000000000..7290c1e0f4
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -0,0 +1,209 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleklugeouvppengine.cpp
+    \brief Finite Differences engine for simple vpp options
+*/
+
+
+#include <ql/instruments/basketoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
+#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
+#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
+
+#include <list>
+
+namespace QuantLib {
+
+    namespace {
+        class FdmSparkSpreadInnerValue : public FdmInnerValueCalculator {
+
+          public:
+            FdmSparkSpreadInnerValue(
+                const boost::shared_ptr<BasketPayoff>& basketPayoff,
+                const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+                const boost::shared_ptr<FdmInnerValueCalculator>& powerPrice)
+            : basketPayoff_(basketPayoff),
+              gasPrice_(gasPrice),
+              powerPrice_(powerPrice) { }
+
+            Real innerValue(const FdmLinearOpIterator& iter, Time t) {
+                Array s(2);
+                s[0] = powerPrice_->innerValue(iter, t);
+                s[1] = gasPrice_->innerValue(iter, t);
+
+                return (*basketPayoff_)(s);
+            }
+            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+                return innerValue(iter, t);
+            }
+
+          private:
+            const boost::shared_ptr<BasketPayoff> basketPayoff_;
+            const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
+            const boost::shared_ptr<FdmInnerValueCalculator> powerPrice_;
+        };
+    }
+
+
+    FdSimpleKlugeExtOUVPPEngine::FdSimpleKlugeExtOUVPPEngine(
+        const boost::shared_ptr<KlugeExtOUProcess>& process,
+        const boost::shared_ptr<YieldTermStructure>& rTS,
+        Real carbonPrice,
+        Size tGrid, Size xGrid, Size yGrid, Size gGrid,
+        const boost::shared_ptr<Shape>& gasShape,
+        const boost::shared_ptr<Shape>& powerShape,
+        const FdmSchemeDesc& schemeDesc)
+    : process_    (process),
+      rTS_        (rTS),
+      carbonPrice_(carbonPrice),
+      gasShape_   (gasShape),
+      powerShape_ (powerShape),
+      tGrid_      (tGrid),
+      xGrid_      (xGrid),
+      yGrid_      (yGrid),
+      gGrid_      (gGrid),
+      schemeDesc_ (schemeDesc) {
+    }
+
+    void FdSimpleKlugeExtOUVPPEngine::calculate() const {
+
+        boost::shared_ptr<SwingExercise> swingExercise(
+            boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
+
+        QL_REQUIRE(swingExercise, "Swing exercise supported only");
+
+        const Size nStates = 2*arguments_.tMinUp + arguments_.tMinDown;
+
+        // 1. Layout
+        std::vector<Size> dim;
+        dim.push_back(xGrid_);
+        dim.push_back(yGrid_);
+        dim.push_back(gGrid_);
+        dim.push_back(nStates);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+            new FdmLinearOpLayout(dim));
+
+        const std::vector<Time> exerciseTimes
+            = swingExercise->exerciseTimes(rTS_->dayCounter(),
+                                           rTS_->referenceDate());
+
+        // 2. mesher set-up
+        const Time maturity = exerciseTimes.back();
+        const boost::shared_ptr<ExtOUWithJumpsProcess> klugeProcess
+            = process_->getKlugeProcess();
+
+        const boost::shared_ptr<StochasticProcess1D> klugeOUProcess
+            = klugeProcess->getExtendedOrnsteinUhlenbeckProcess();
+
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+            new FdmSimpleProcess1dMesher(xGrid_, klugeOUProcess, maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> yMesher(
+            new ExponentialJump1dMesher(yGrid_,
+                                        klugeProcess->beta(),
+                                        klugeProcess->jumpIntensity(),
+                                        klugeProcess->eta(), 1e-3));
+
+        const boost::shared_ptr<Fdm1dMesher> gMesher(
+            new FdmSimpleProcess1dMesher(gGrid_,
+                                         process_->getExtOUProcess(),maturity));
+
+        const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
+            new Uniform1dMesher(1.0, nStates, nStates));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(yMesher);
+        meshers.push_back(gMesher);
+        meshers.push_back(exerciseMesher);
+        const boost::shared_ptr<FdmMesher> mesher (
+            new FdmMesherComposite(layout, meshers));
+
+        // 3. Calculator
+        const boost::shared_ptr<FdmInnerValueCalculator> zeroInnerValue(
+            new FdmZeroInnerValue());
+
+        const boost::shared_ptr<Payoff> zeroStrikeCall(
+            new PlainVanillaPayoff(Option::Call, 0.0));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(
+            new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
+                                                mesher, gasShape_, 2));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> powerPrice(
+            new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpread(
+            new FdmSparkSpreadInnerValue(
+                boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff),
+                gasPrice, powerPrice));
+
+        // 4. Step conditions
+        std::list<std::vector<Time> > stoppingTimes;
+        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
+
+        // 4.1 Bermudan step conditions
+        stoppingTimes.push_back(exerciseTimes);
+        stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
+            new FdmVPPStepCondition(arguments_.heatRate,
+                                    arguments_.pMin, arguments_.pMax,
+                                    arguments_.tMinUp, arguments_.tMinDown,
+                                    arguments_.startUpFuel,
+                                    arguments_.startUpFixCost,
+                                    carbonPrice_, 3,
+                                    mesher, gasPrice, sparkSpread)));
+
+        boost::shared_ptr<FdmStepConditionComposite> conditions(
+                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. set-up solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     zeroInnerValue, maturity, tGrid_, 0 };
+
+        const boost::shared_ptr<FdmKlugeExtOUSolver<4> > solver(
+            new FdmKlugeExtOUSolver<4>(Handle<KlugeExtOUProcess>(process_),
+                                       rTS_, solverDesc, schemeDesc_));
+
+        std::vector<Real> x(4);
+        x[0] = process_->initialValues()[0];
+        x[1] = process_->initialValues()[1];
+        x[2] = process_->initialValues()[2];
+        x[3] = (Real) arguments_.initialState;
+
+        results_.value = solver->valueAt(x);
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
new file mode 100644
index 0000000000..b6d3bf6be6
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
@@ -0,0 +1,71 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdsimpleextoujumpswingengine.hpp
+    \brief Finite Differences engine for simple swing options
+*/
+
+#ifndef quantlib_fd_simple_kluge_ou_vpp_engine_hpp
+#define quantlib_fd_simple_kluge_ou_vpp_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
+#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
+
+namespace QuantLib {
+
+    //! Finite-Differences engine for simple vpp options
+
+    class YieldTermStructure;
+    class KlugeExtOUProcess;
+
+    class FdSimpleKlugeExtOUVPPEngine
+        : public GenericEngine<VanillaVPPOption::arguments,
+                               VanillaVPPOption::results> {
+      public:
+        typedef FdmExtOUJumpModelInnerValue::Shape Shape;
+
+        FdSimpleKlugeExtOUVPPEngine(
+            const boost::shared_ptr<KlugeExtOUProcess>& process,
+            const boost::shared_ptr<YieldTermStructure>& rTS,
+            Real carbonPrice,
+            Size tGrid = 1 , Size xGrid = 50,
+            Size yGrid = 10, Size gGrid = 20,
+            const boost::shared_ptr<Shape>& gasShape
+                                                = boost::shared_ptr<Shape>(),
+            const boost::shared_ptr<Shape>& powerShape
+                                                = boost::shared_ptr<Shape>(),
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        void calculate() const;
+
+      private:
+        const boost::shared_ptr<KlugeExtOUProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const Real carbonPrice_;
+        const boost::shared_ptr<Shape> gasShape_;
+        const boost::shared_ptr<Shape> powerShape_;
+        const Size tGrid_, xGrid_, yGrid_, gGrid_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
+
diff --git a/ql/experimental/finitedifferences/ninepointlinearop.cpp b/ql/experimental/finitedifferences/ninepointlinearop.cpp
index 60362d837f..a936ac77a2 100644
--- a/ql/experimental/finitedifferences/ninepointlinearop.cpp
+++ b/ql/experimental/finitedifferences/ninepointlinearop.cpp
@@ -132,7 +132,8 @@ namespace QuantLib {
         const {
 
         const boost::shared_ptr<FdmLinearOpLayout> index=mesher_->layout();
-        QL_REQUIRE(u.size() == index->size(), "inconsistent length of r");
+        QL_REQUIRE(u.size() == index->size(),"inconsistent length of r "
+                    << u.size() << " vs " << index->size());
 
         Array retVal(u.size());
         // direct access to make the following code faster.
diff --git a/ql/experimental/finitedifferences/vanillavppoption.cpp b/ql/experimental/finitedifferences/vanillavppoption.cpp
new file mode 100644
index 0000000000..f63adf8756
--- /dev/null
+++ b/ql/experimental/finitedifferences/vanillavppoption.cpp
@@ -0,0 +1,89 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vanillavppoption.cpp
+*/
+
+
+#include <ql/event.hpp>
+#include <ql/instruments/basketoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
+
+namespace QuantLib {
+    namespace {
+
+        class IdenticalPayoff : public Payoff {
+          public:
+            std::string name() const { return "IdenticalPayoff"; }
+            std::string description() const { return name(); }
+            Real operator()(Real price) const { return price; }
+        };
+    }
+
+    VanillaVPPOption::VanillaVPPOption(
+        Real heatRate,
+        Real pMin, Real pMax,
+        Size tMinUp, Size tMinDown,
+        Real startUpFuel, Real startUpFixCost,
+        Size initialState,
+        const boost::shared_ptr<SwingExercise>& exercise)
+    : MultiAssetOption(boost::shared_ptr<Payoff>(), exercise),
+      heatRate_(heatRate),
+      pMin_(pMin), pMax_(pMax),
+      tMinUp_(tMinUp), tMinDown_(tMinDown),
+      startUpFuel_(startUpFuel),
+      startUpFixCost_(startUpFixCost),
+      initialState_(initialState) {
+
+        Array weigths(2);
+        weigths[0] = 1.0; weigths[1] = -heatRate;
+
+        payoff_ = boost::shared_ptr<Payoff>(new AverageBasketPayoff(
+            boost::shared_ptr<Payoff>(new IdenticalPayoff()), weigths));
+    }
+
+    void VanillaVPPOption::arguments::validate() const {
+        QL_REQUIRE(exercise, "no exercise given");
+    }
+
+    void VanillaVPPOption::setupArguments(
+                                PricingEngine::arguments* args) const {
+
+        MultiAssetOption::setupArguments(args);
+
+        VanillaVPPOption::arguments* arguments =
+            dynamic_cast<VanillaVPPOption::arguments*>(args);
+        QL_REQUIRE(arguments != 0, "wrong argument type");
+
+        arguments->heatRate       = heatRate_;
+        arguments->pMin           = pMin_;
+        arguments->pMax           = pMax_;
+        arguments->tMinUp         = tMinUp_;
+        arguments->tMinDown       = tMinDown_;
+        arguments->startUpFuel    = startUpFuel_;
+        arguments->startUpFixCost = startUpFixCost_;
+        arguments->initialState   = initialState_;
+    }
+
+    bool VanillaVPPOption::isExpired() const {
+        return detail::simple_event(exercise_->lastDate()).hasOccurred();
+    }
+}
+
diff --git a/ql/experimental/finitedifferences/vanillavppoption.hpp b/ql/experimental/finitedifferences/vanillavppoption.hpp
new file mode 100644
index 0000000000..d2eaf4d8a1
--- /dev/null
+++ b/ql/experimental/finitedifferences/vanillavppoption.hpp
@@ -0,0 +1,68 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vanillavppoption.hpp
+    \brief vanilla virtual power plant option
+*/
+
+#ifndef quantlib_vanilla_vpp_option_hpp
+#define quantlib_vanilla_vpp_option_hpp
+
+#include <ql/instruments/multiassetoption.hpp>
+
+namespace QuantLib {
+    class BasketPayoff;
+    class SwingExercise;
+
+    class VanillaVPPOption : public MultiAssetOption {
+      public:
+        class arguments;
+        VanillaVPPOption(Real heatRate,
+                         Real pMin, Real pMax,
+                         Size tMinUp, Size tMinDown,
+                         Real startUpFuel, Real startUpFixCost,
+                         Size initialState,
+                         const boost::shared_ptr<SwingExercise>& exercise);
+
+        bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+
+      private:
+        const Real heatRate_;
+        const Real pMin_, pMax_;
+        const Size tMinUp_, tMinDown_;
+        const Real startUpFuel_, startUpFixCost_;
+        const Size initialState_;
+    };
+
+    class VanillaVPPOption::arguments
+        : public virtual MultiAssetOption::arguments {
+      public:
+        arguments() {}
+        void validate() const;
+
+        Real heatRate;
+        Real pMin, pMax;
+        Size tMinUp, tMinDown;
+        Real startUpFuel, startUpFixCost;
+        Size initialState;
+    };
+}
+
+#endif
diff --git a/ql/experimental/processes/Makefile.am b/ql/experimental/processes/Makefile.am
index 86b7ec8396..760555ac6f 100644
--- a/ql/experimental/processes/Makefile.am
+++ b/ql/experimental/processes/Makefile.am
@@ -8,6 +8,7 @@ this_include_HEADERS = \
     extendedblackscholesprocess.hpp \
     extendedornsteinuhlenbeckprocess.hpp \
     gemanroncoroniprocess.hpp \
+    klugeextouprocess.hpp \
     vegastressedblackscholesprocess.hpp
 
 libProcesses_la_SOURCES = \
@@ -15,6 +16,7 @@ libProcesses_la_SOURCES = \
     extendedblackscholesprocess.cpp \
     extendedornsteinuhlenbeckprocess.cpp \
     gemanroncoroniprocess.cpp \
+    klugeextouprocess.cpp \
     vegastressedblackscholesprocess.cpp
 
 noinst_LTLIBRARIES = libProcesses.la
diff --git a/ql/experimental/processes/all.hpp b/ql/experimental/processes/all.hpp
index 6d6b6ca662..eaa507c8a2 100644
--- a/ql/experimental/processes/all.hpp
+++ b/ql/experimental/processes/all.hpp
@@ -5,5 +5,6 @@
 #include <ql/experimental/processes/extendedblackscholesprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/processes/gemanroncoroniprocess.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>
 
diff --git a/ql/experimental/processes/klugeextouprocess.cpp b/ql/experimental/processes/klugeextouprocess.cpp
new file mode 100644
index 0000000000..ff9c1bbd72
--- /dev/null
+++ b/ql/experimental/processes/klugeextouprocess.cpp
@@ -0,0 +1,103 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011s Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
+namespace QuantLib {
+
+    KlugeExtOUProcess::KlugeExtOUProcess(
+        Real rho,
+        const boost::shared_ptr<ExtOUWithJumpsProcess>& klugeProcess,
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& ouProcess)
+    : rho_         (rho),
+      sqrtMRho_    (std::sqrt(1-rho*rho)),
+      klugeProcess_(klugeProcess),
+      ouProcess_   (ouProcess) {
+    }
+
+    Size KlugeExtOUProcess::size() const {
+        return klugeProcess_->size() + 1;
+    }
+
+    Size KlugeExtOUProcess::factors() const {
+        return klugeProcess_->factors() + 1;
+    }
+
+    Disposable<Array> KlugeExtOUProcess::initialValues() const {
+        Array retVal(size());
+        const Array x0 = klugeProcess_->initialValues();
+        std::copy(x0.begin(), x0.end(), retVal.begin());
+        retVal.back() = ouProcess_->x0();
+
+        return retVal;
+    }
+
+    Disposable<Array> KlugeExtOUProcess::drift(Time t, const Array& x) const {
+        Array retVal(size());
+        Array mu = klugeProcess_->drift(t, x);
+        std::copy(mu.begin(), mu.end(), retVal.begin());
+        retVal.back() = ouProcess_->drift(t, x.back());
+
+        return retVal;
+    }
+
+    Disposable<Matrix> KlugeExtOUProcess::diffusion(Time t, const Array& x)
+        const{
+        Matrix retVal(size(), factors(), 0.0);
+
+        Volatility vol = ouProcess_->diffusion(t, x.back());
+
+        retVal[0][0]              = klugeProcess_->diffusion(t, x)[0][0];
+        retVal[size()][0]         = rho_*vol;
+        retVal[size()][factors()] = sqrtMRho_*vol;
+
+        return retVal;
+    }
+
+    Disposable<Array> KlugeExtOUProcess::evolve(Time t0, const Array& x0,
+                                                Time dt, const Array& dw) const{
+        Array retVal(size());
+
+        Array ev = klugeProcess_->evolve(t0, x0, dt, dw);
+        std::copy(ev.begin(), ev.end(), retVal.begin());
+
+        const Real dz = dw.back()*sqrtMRho_ + dw.front()*rho_;
+        retVal.back() = ouProcess_->evolve(t0, x0.back(), dt, dz);
+
+        return retVal;
+    }
+
+    boost::shared_ptr<ExtOUWithJumpsProcess>
+        KlugeExtOUProcess::getKlugeProcess() const {
+        return klugeProcess_;
+    }
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
+        KlugeExtOUProcess::getExtOUProcess() const {
+        return ouProcess_;
+    }
+
+    Real KlugeExtOUProcess::rho() const {
+        return rho_;
+    }
+
+}
+
diff --git a/ql/experimental/processes/klugeextouprocess.hpp b/ql/experimental/processes/klugeextouprocess.hpp
new file mode 100644
index 0000000000..f6c1a255cc
--- /dev/null
+++ b/ql/experimental/processes/klugeextouprocess.hpp
@@ -0,0 +1,84 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file klugeextouprocess.hpp
+    \brief joint Kluge process an d Ornstein Uhlenbeck process
+*/
+
+#ifndef quantlib_kluge_ext_ou_process_hpp
+#define quantlib_kluge_ext_ou_process_hpp
+
+#include <ql/stochasticprocess.hpp>
+
+namespace QuantLib {
+
+    class ExtOUWithJumpsProcess;
+    class ExtendedOrnsteinUhlenbeckProcess;
+
+    /*! This class describes a correlated Kluge - extended Ornstein-Uhlenbeck
+        process governed by
+        \f[
+        \begin{array}{rcl}
+            P_t &=& \exp(p_t + X_t + Y_t) \\
+            dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\
+            dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
+            \omega(J) &=& \eta e^{-\eta J} \\
+            G_t &=& \exp(g_t + U_t) \\
+            dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\
+            \rho &=& \mathrm{corr} (dW_t^x, dW_t^u)
+         \end{array}
+         \f]
+    */
+
+    /*! References:
+        B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing
+        swing options in electricity markets,
+        http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
+    */
+
+
+    class KlugeExtOUProcess : public StochasticProcess {
+      public:
+        KlugeExtOUProcess(
+            Real rho,
+            const boost::shared_ptr<ExtOUWithJumpsProcess>& kluge,
+            const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& extOU);
+
+        Size size() const;
+        Size factors() const;
+
+        Disposable<Array> initialValues() const;
+        Disposable<Array> drift(Time t, const Array& x) const;
+        Disposable<Matrix> diffusion(Time t, const Array& x) const;
+        Disposable<Array> evolve(Time t0, const Array& x0,
+                                 Time dt, const Array& dw) const;
+
+        boost::shared_ptr<ExtOUWithJumpsProcess> getKlugeProcess() const;
+        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
+                                                 getExtOUProcess() const;
+
+        Real rho() const;
+
+      private:
+        const Real rho_, sqrtMRho_;
+        const boost::shared_ptr<ExtOUWithJumpsProcess> klugeProcess_;
+        const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
+    };
+}
+#endif
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index 2cdd2aabf5..1a20a7544b 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -101,6 +101,7 @@ libInstruments_la_SOURCES = \
     swaption.cpp \
     vanillaoption.cpp \
     vanillaswap.cpp \
+    vanillaswingoption.cpp \
     varianceswap.cpp \
     yearonyearinflationswap.cpp \
     zerocouponinflationswap.cpp
diff --git a/ql/instruments/vanillaswingoption.cpp b/ql/instruments/vanillaswingoption.cpp
new file mode 100644
index 0000000000..e54601017e
--- /dev/null
+++ b/ql/instruments/vanillaswingoption.cpp
@@ -0,0 +1,132 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file vanillaswingoption.cpp
+    \brief vanilla swing option class
+*/
+
+
+#include <ql/event.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+
+namespace QuantLib {
+
+    namespace {
+        const Size secPerDay = 24u*3600u;
+
+        std::pair<std::vector<Date>, std::vector<Size> >
+            createDateTimes(const Date& from, const Date& to, Size stepSize) {
+
+            std::vector<Size> secs;
+            std::vector<Date> dates;
+
+            Date iterDate = from;
+            Size iterStepSize = 0u;
+
+            while (iterDate <= to) {
+                dates.push_back(iterDate);
+                secs.push_back(iterStepSize);
+
+                iterStepSize+=stepSize;
+                if (iterStepSize >= secPerDay) {
+                    iterDate+=1L;
+                    iterStepSize%=secPerDay;
+                }
+            }
+
+            return std::pair<std::vector<Date>,std::vector<Size> >(dates, secs);
+        }
+    }
+
+    SwingExercise::SwingExercise(const std::vector<Date>& dates,
+                                 const std::vector<Size>& seconds)
+    : BermudanExercise(dates),
+      seconds_(seconds.empty() ? std::vector<Size>(dates.size(), 0u)
+                               : seconds) {
+        QL_REQUIRE(dates_.size() == seconds_.size(),
+                   "dates and seconds must have the same size");
+        for (Size i=0; i < dates_.size(); ++i) {
+            QL_REQUIRE(seconds_[i] < secPerDay,
+                       "a date can not have more than 24*3600 seconds");
+            if (i > 0) {
+                QL_REQUIRE(dates_[i-1] < dates_[i]
+                           || (dates_[i-1] == dates_[i]
+                               && seconds_[i-1] < seconds_[i]),
+                           "date times must be sorted");
+            }
+        }
+    }
+
+
+    SwingExercise::SwingExercise(const Date& from,
+                                 const Date& to, Size stepSizeSecs)
+    : BermudanExercise(createDateTimes(from, to, stepSizeSecs).first),
+      seconds_(createDateTimes(from, to, stepSizeSecs).second) {
+    }
+
+    const std::vector<Size>& SwingExercise::seconds() const { return seconds_; }
+
+    std::vector<Time> SwingExercise::exerciseTimes(const DayCounter& dc,
+                                                   const Date& refDate) const {
+        std::vector<Time> exerciseTimes;
+        exerciseTimes.reserve(dates().size());
+        for (Size i=0; i<dates().size(); ++i) {
+            Time t = dc.yearFraction(refDate, dates()[i]);
+
+            const Time dt
+                = dc.yearFraction(refDate, dates()[i]+Period(1u, Days)) - t;
+
+            t += dt*seconds()[i]/(24*3600.);
+
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+            exerciseTimes.push_back(t);
+        }
+
+        return exerciseTimes;
+    }
+
+    void VanillaSwingOption::arguments::validate() const {
+        QL_REQUIRE(payoff, "no payoff given");
+        QL_REQUIRE(exercise, "no exercise given");
+
+        QL_REQUIRE(minExerciseRights <= maxExerciseRights,
+                   "minExerciseRights <= maxExerciseRights")
+        QL_REQUIRE(exercise->dates().size() >= maxExerciseRights,
+                   "number of exercise rights exceeds "
+                   "number of exercise dates");
+    }
+
+    void VanillaSwingOption::setupArguments(
+                            PricingEngine::arguments* args) const {
+        VanillaSwingOption::arguments* arguments =
+            dynamic_cast<VanillaSwingOption::arguments*>(args);
+        QL_REQUIRE(arguments != 0, "wrong argument type");
+
+        arguments->payoff
+            = boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
+        arguments->exercise
+            = boost::dynamic_pointer_cast<SwingExercise>(exercise_);
+        arguments->minExerciseRights = minExerciseRights_;
+        arguments->maxExerciseRights = maxExerciseRights_;
+    }
+
+    bool VanillaSwingOption::isExpired() const {
+        return detail::simple_event(exercise_->lastDate()).hasOccurred();
+    }
+}
diff --git a/ql/instruments/vanillaswingoption.hpp b/ql/instruments/vanillaswingoption.hpp
index 11082d89e4..7b06b8790c 100644
--- a/ql/instruments/vanillaswingoption.hpp
+++ b/ql/instruments/vanillaswingoption.hpp
@@ -24,8 +24,8 @@
 #ifndef quantlib_vanilla_swing_option_hpp
 #define quantlib_vanilla_swing_option_hpp
 
-#include <ql/event.hpp>
 #include <ql/exercise.hpp>
+#include <ql/time/daycounter.hpp>
 #include <ql/instruments/payoffs.hpp>
 #include <ql/instruments/oneassetoption.hpp>
 
@@ -37,29 +37,16 @@ namespace QuantLib {
     class SwingExercise : public BermudanExercise {
       public:
         SwingExercise(const std::vector<Date>& dates,
-                      const std::vector<Size>& seconds = std::vector<Size>())
-        : BermudanExercise(dates),
-          seconds_(seconds.empty() ? std::vector<Size>(dates.size(), 0u)
-                                   : seconds)
-        {
-            QL_REQUIRE(dates_.size() == seconds_.size(),
-                       "dates and seconds must have the same size");
-            for (Size i=0; i < dates_.size(); ++i) {
-                QL_REQUIRE(seconds_[i] < 24*3600,
-                           "a date can not have more than 24*3600 seconds");
-                if (i > 0) {
-                    QL_REQUIRE(dates_[i-1] < dates_[i]
-                               || (dates_[i-1] == dates_[i]
-                                   && seconds_[i-1] < seconds_[i]),
-                               "date times must be sorted");
-                }
-            }
-        }
-
-        const std::vector<Size>& seconds() const { return seconds_; }
+                      const std::vector<Size>& seconds = std::vector<Size>());
+        SwingExercise(const Date& from, const Date& to, Size stepSizeSecs);
+
+        const std::vector<Size>& seconds() const;
+
+        std::vector<Time> exerciseTimes(const DayCounter& dc,
+                                        const Date& refDate) const;
 
       private:
-        std::vector<Size> seconds_;
+        const std::vector<Size> seconds_;
     };
 
 
@@ -85,39 +72,12 @@ namespace QuantLib {
         : public virtual PricingEngine::arguments {
       public:
         arguments() {}
-        void validate() const {
-            QL_REQUIRE(payoff, "no payoff given");
-            QL_REQUIRE(exercise, "no exercise given");
-
-            QL_REQUIRE(minExerciseRights <= maxExerciseRights,
-                       "minExerciseRights <= maxExerciseRights")
-            QL_REQUIRE(exercise->dates().size() >= maxExerciseRights,
-                       "number of exercise rights exceeds "
-                       "number of exercise dates");
-        }
+        void validate() const;
 
         Size minExerciseRights, maxExerciseRights;
         boost::shared_ptr<StrikedTypePayoff> payoff;
         boost::shared_ptr<SwingExercise> exercise;
     };
-
-    inline void VanillaSwingOption::setupArguments(
-                                PricingEngine::arguments* args) const {
-        VanillaSwingOption::arguments* arguments =
-            dynamic_cast<VanillaSwingOption::arguments*>(args);
-        QL_REQUIRE(arguments != 0, "wrong argument type");
-        
-        arguments->payoff 
-            = boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
-        arguments->exercise 
-            = boost::dynamic_pointer_cast<SwingExercise>(exercise_);
-        arguments->minExerciseRights = minExerciseRights_;
-        arguments->maxExerciseRights = maxExerciseRights_;
-    }
-    
-    inline bool VanillaSwingOption::isExpired() const {
-        return detail::simple_event(exercise_->lastDate()).hasOccurred();
-    }
 }
 
 #endif
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index de4e245355..f163fcb3ee 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -112,7 +112,8 @@ QL_TESTS = \
 	variancegamma.hpp variancegamma.cpp \
 	varianceoption.hpp varianceoption.cpp \
 	varianceswaps.hpp varianceswaps.cpp \
-	volatilitymodels.hpp volatilitymodels.cpp
+	volatilitymodels.hpp volatilitymodels.cpp \
+	vpp.hpp vpp.cpp
 
 QL_BENCHMARKS = \
 	quantlibbenchmark.cpp \
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index c6c5220fdd..b01312c259 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -150,6 +150,7 @@
 #include "varianceoption.hpp"
 #include "varianceswaps.hpp"
 #include "volatilitymodels.hpp"
+#include "vpp.hpp"
 #include "swaptionvolatilitymatrix.hpp"
 
 #include <iostream>
@@ -350,6 +351,8 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(VarianceOptionTest::suite());
     test->add(VarianceSwapTest::suite());
     test->add(VolatilityModelsTest::suite());
+    test->add(VPPTest::suite());
+
 
     //tests for deprecated classes
     test->add(LiborMarketModelTest::suite());
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 0b59d5092f..cb361144c9 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -23,35 +23,23 @@
 #include <ql/math/functional.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
-#include <ql/instruments/basketoption.hpp>
 #include <ql/instruments/vanillaoption.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
-#include <ql/instruments/vanillastorageoption.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
 #include <ql/math/statistics/generalstatistics.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
 #include <ql/processes/ornsteinuhlenbeckprocess.hpp>
-#include <ql/processes/stochasticprocessarray.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/methods/montecarlo/multipathgenerator.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
-#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
-#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
 
-#include <boost/lambda/lambda.hpp>
-#include <deque>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -132,130 +120,6 @@ void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
 }
 
 
-void SwingOptionTest::testGemanRoncoroniProcess() {
-
-    BOOST_MESSAGE("Testing Geman Roncoroni process...");
-
-    /* Example induced by H. Geman, A. Roncoroni,
-       "Understanding the Fine Structure of Electricity Prices",
-       http://papers.ssrn.com/sol3/papers.cfm?abstract_id=638322
-       Results are verified against the authors MatLab-Code.
-       http://semeq.unipmn.it/files/Ch19_spark_spread.zip
-    */
-
-    SavedSettings backup;
-
-    const Date today = Date::todaysDate();
-    Settings::instance().evaluationDate() = today;
-    const DayCounter dc = ActualActual();
-    
-    boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, 0.03, dc);
-        
-	const Real x0     = 3.3;
-	const Real beta   = 0.05;
-    const Real alpha  = 3.1;
-	const Real gamma  = -0.09;
-	const Real delta  = 0.07;
-	const Real eps    = -0.40;
-	const Real zeta   = -0.40;
-	const Real d      = 1.6;
-	const Real k      = 1.0;
-	const Real tau    = 0.5;
-	const Real sig2   = 10.0;
-	const Real a      =-7.0;
-	const Real b      =-0.3;
-	const Real theta1 = 35.0;
-	const Real theta2 = 9.0;
-	const Real theta3 = 0.10;
-	const Real psi    = 1.9;
-
-    boost::shared_ptr<GemanRoncoroniProcess> grProcess(
-                new GemanRoncoroniProcess(x0, alpha, beta, gamma, delta,
-        								  eps, zeta, d, k, tau, sig2, a, b, 
-        								  theta1, theta2, theta3, psi));
-
-
-    const Real speed     = 5.0;
-    const Volatility vol = std::sqrt(1.4);
-    const Real betaG     = 0.08;
-    const Real alphaG    = 1.0;
-    const Real x0G       = 1.1;
-
-    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
-
-    boost::shared_ptr<StochasticProcess1D> eouProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
-                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
-
-    std::vector<boost::shared_ptr<StochasticProcess1D> > processes;
-    processes.push_back(grProcess);
-    processes.push_back(eouProcess);
-    
-    Matrix correlation(2, 2, 1.0);
-    correlation[0][1] = correlation[1][0] = 0.25;
-    
-    boost::shared_ptr<StochasticProcess> pArray(
-                           new StochasticProcessArray(processes, correlation));
-    
-    const Time T = 10.0;
-    const Size stepsPerYear = 250;
-    const Size steps = Size(T*Real(stepsPerYear));
-    
-    TimeGrid grid(T, steps);
-
-    typedef PseudoRandom::rsg_type rsg_type;
-    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
-    rsg_type rsg = PseudoRandom::make_sequence_generator(
-                               pArray->size()*(grid.size()-1), BigNatural(421));
-
-    GeneralStatistics npv, onTime;    
-    MultiPathGenerator<rsg_type> generator(pArray, grid, rsg, false);
-        
-    const Real heatRate = 8.0;
-    const Size nrTrails = 250;
-    
-    for (Size n=0; n < nrTrails; ++n) {
-        Real plantValue = 0.0;
-        sample_type path = generator.next();
-
-        for (Size i=1; i <= steps; ++i) {
-            const Time t = Real(i)/stepsPerYear;
-            const DiscountFactor df = rTS->discount(t);
-            
-            const Real gasPrice         = std::exp(path.value[1][i]);
-            const Real electricityPrice = std::exp(path.value[0][i]);
-            
-            const Real sparkSpread = electricityPrice - heatRate*gasPrice;
-            plantValue += std::max(0.0, sparkSpread)*df;
-            onTime.add((sparkSpread > 0.0) ? 1.0 : 0.0);            
-        }
-                
-        npv.add(plantValue);
-    }
-    
-    const Real expectedNPV = 12500;
-    const Real calculatedNPV = npv.mean();
-    const Real errorEstimateNPV = npv.errorEstimate();
-    
-    if (std::fabs(calculatedNPV - expectedNPV) > 3.0*errorEstimateNPV) {
-        BOOST_ERROR("Failed to reproduce cached price with MC engine"
-                    << "\n    calculated: " << calculatedNPV
-                    << "\n    expected:   " << expectedNPV
-                    << " +/- " << errorEstimateNPV);
-    }
-    
-    const Real expectedOnTime = 0.43;
-    const Real calculatedOnTime = onTime.mean();
-    const Real errorEstimateOnTime 
-        = std::sqrt(calculatedOnTime*(1-calculatedOnTime))/nrTrails;
-    
-    if (std::fabs(calculatedOnTime - expectedOnTime)>3.0*errorEstimateOnTime) {
-        BOOST_ERROR("Failed to reproduce cached price with MC engine"
-                    << "\n    calculated: " << calculatedNPV
-                    << "\n    expected:   " << expectedNPV
-                    << " +/- " << errorEstimateNPV);
-    }
-}
 
 void SwingOptionTest::testFdmExponentialJump1dMesher() {
 
@@ -562,295 +426,17 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
     }
 }
 
-void SwingOptionTest::testSimpleExtOUStorageEngine() {
-
-    BOOST_MESSAGE("Testing Simple Storage option based on ext. OU  model...");
-
-    SavedSettings backup;
-
-    Date settlementDate = Date::todaysDate();
-    Settings::instance().evaluationDate() = settlementDate;
-    DayCounter dayCounter = ActualActual();
-    Date maturityDate = settlementDate + Period(12, Months);
-
-    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Days));
-    while (exerciseDates.back() < maturityDate) {
-        exerciseDates.push_back(exerciseDates.back()+Period(1, Days));
-    }
-    boost::shared_ptr<BermudanExercise> bermudanExercise(
-                                        new BermudanExercise(exerciseDates));
-
-    const Real x0 = 3.0;
-    const Real speed = 1.0;
-    const Real volatility = 0.5;
-    const Rate irRate = 0.1;
-
-    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0,
-                                             constant<Real, Real>(x0)));
-
-    boost::shared_ptr<YieldTermStructure> rTS(
-                                flatRate(settlementDate, irRate, dayCounter));
-
-    boost::shared_ptr<PricingEngine> storageEngine(
-               new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 25));
-
-    VanillaStorageOption storageOption(bermudanExercise, 50, 0, 1);
-
-    storageOption.setPricingEngine(storageEngine);
-
-    const Real expected = 69.6686;
-    const Real calculated = storageOption.NPV();
-
-    if (std::fabs(expected - calculated) > 2e-2) {
-        BOOST_ERROR("Failed to reproduce cached values"
-                   << "\n    calculated: " << calculated
-                   << "\n    expected:   " << expected);
-    }
-}
-
-
-void SwingOptionTest::testKlugeExtOUSpreadOption() {
-
-    BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option");
-
-    SavedSettings backup;
-
-    Date settlementDate = Date::todaysDate();
-    Settings::instance().evaluationDate() = settlementDate;
-
-    DayCounter dayCounter = ActualActual();
-    Date maturityDate = settlementDate + Period(1, Years);
-    Time maturity = dayCounter.yearFraction(settlementDate, maturityDate);
-
-    const Real speed     = 1.0;
-    const Volatility vol = std::sqrt(1.4);
-    const Real betaG     = 0.0;
-    const Real alphaG    = 3.0;
-    const Real x0G       = 3.0;
-
-    const Rate irRate      = 0.0;
-    const Real heatRate    = 2.0;
-    const Real rho         = 0.5;
-
-    boost::shared_ptr<ExtOUWithJumpsProcess>
-                                           klugeProcess = createKlugeProcess();
-    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
-
-    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOUProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
-                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
-
-    boost::shared_ptr<YieldTermStructure> rTS(
-                                flatRate(settlementDate, irRate, dayCounter));
-
-    boost::shared_ptr<Payoff> payoff(new PlainVanillaPayoff(Option::Call, 0.0));
-
-    Array spreadFactors(2);
-    spreadFactors[0] = 1.0; spreadFactors[1] = -heatRate;
-    boost::shared_ptr<BasketPayoff> basketPayoff(
-                               new AverageBasketPayoff(payoff, spreadFactors));
-
-    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
-
-    BasketOption option(basketPayoff, exercise);
-    option.setPricingEngine(boost::shared_ptr<PricingEngine>(
-        new FdKlugeExtOUSpreadEngine(rho,
-                                     klugeProcess, extOUProcess, rTS,
-                                     5, 200, 50, 20)));
-
-    TimeGrid grid(maturity, 50);
-    PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234ul));
-
-    GeneralStatistics npv;
-    const Size nTrails = 20000;
-    for (Size i=0; i < nTrails; ++i) {
-        Real u = extOUProcess->x0();
-        Array x = klugeProcess->initialValues();
-
-        for (Size k=0; k < grid.size()-1; ++k) {
-            const Time t = grid.at(k);
-            const Time dt = grid.dt(k);
-
-            Array dw(3);
-            dw[0] = rng.next().value;
-            dw[1] = rng.next().value;
-            dw[2] = rng.next().value;
-            x = klugeProcess->evolve(t, x, dt, dw);
-
-            const Real du = std::sqrt(1-rho*rho) * rng.next().value + rho*dw[0];
-            u = extOUProcess->evolve(t, u, dt, du);
-        }
-
-        Array p(2);
-        p[0] = x[0] + x[1]; p[1] = u;
-        npv.add((*basketPayoff)(Exp(p)));
-    }
-
-    const Real calculated = option.NPV();
-    const Real expectedMC = npv.mean();
-    const Real mcError = npv.errorEstimate();
-    if (std::fabs(expectedMC - calculated) > 3*mcError) {
-            BOOST_ERROR("Failed to reproduce referenc values"
-                       << "\n    calculated:   " << calculated
-                       << "\n    expected(MC): " << expectedMC
-                       << "\n    mc error    : " << mcError);
-
-    }
-}
-
-namespace {
-    // for a "real" gas and power forward curve
-    // please see. e.g. http://www.kyos.com/?content=64
-    const Real gasPrices[] = {20.74,21.65,20.78,21.58,21.43,20.82,22.02,21.52,
-                              21.02,21.46,21.75,20.69,22.16,20.38,20.82,20.68,
-                              20.57,21.92,22.04,20.45,20.75,21.92,20.53,20.67,
-                              20.88,21.02,20.82,21.67,21.82,22.12,20.45,20.74,
-                              22.39,20.95,21.71,20.70,20.94,21.59,22.33,21.13,
-                              21.50,21.42,20.56,21.23,21.37,21.90,20.62,21.17,
-                              21.86,22.04,22.05,21.00,20.70,21.12,21.26,22.40,
-                              21.31,22.24,21.96,21.02,21.71,20.48,21.36,21.75,
-                              21.90,20.44,21.26,22.29,20.34,21.79,21.66,21.50,
-                              20.76,20.27,20.84,20.24,21.97,20.52,20.98,21.40,
-                              20.39,20.71,20.78,20.30,21.56,21.72,20.27,21.57,
-                              21.82,20.57,21.33,20.51,22.32,21.99,20.57,22.11,
-                              21.56,22.24,20.62,21.70,21.11,21.19,21.79,20.46,
-                              22.21,20.82,20.52,22.29,20.71,21.45,22.40,20.63,
-                              20.95,21.97,22.20,20.67,21.01,22.25,20.76,21.33,
-                              20.49,20.33,21.94,20.64,20.99,21.09,20.97,22.17,
-                              20.72,22.06,20.86,21.40,21.75,20.78,21.79,20.47,
-                              21.19,21.60,20.75,21.36,21.61,20.37,21.67,20.28,
-                              22.33,21.37,21.33,20.87,21.25,22.01,22.08,20.81,
-                              20.70,21.84,21.82,21.68,21.24,22.36,20.83,20.64,
-                              21.03,20.57,22.34,20.96,21.54,21.26,21.43,22.39};
-
-    const Real powerPrices[]={40.40,36.71,31.87,25.81,31.61,35.00,46.22,60.68,
-                              42.45,38.01,33.84,29.79,31.84,38.53,49.23,59.92,
-                              43.85,37.47,34.89,29.99,30.85,29.19,29.25,38.67,
-                              36.90,25.93,22.12,20.19,17.19,19.29,13.51,18.14,
-                              33.76,30.48,25.63,18.01,23.86,32.41,48.56,64.69,
-                              38.42,39.31,32.73,29.97,31.41,35.02,46.85,58.12,
-                              39.14,35.42,32.61,28.76,29.41,35.83,46.73,61.41,
-                              61.01,59.43,60.43,66.29,62.79,62.66,57.66,51.63,
-                              62.18,60.53,61.94,64.86,59.57,58.15,53.74,48.36,
-                              45.64,51.21,51.54,50.79,54.50,49.92,41.58,39.81,
-                              28.86,37.42,39.78,42.36,45.67,36.84,33.91,28.75,
-                              62.97,63.84,62.91,68.77,64.33,61.95,59.12,54.89,
-                              63.62,60.90,66.57,69.51,64.71,59.89,57.28,57.10,
-                              65.09,63.82,67.52,70.51,65.59,59.36,58.22,54.64,
-                              52.17,53.02,57.12,53.50,53.16,49.21,52.21,40.96,
-                              49.01,47.94,49.89,53.83,52.96,50.33,51.72,46.99,
-                              39.06,47.99,47.91,52.35,48.51,47.39,50.45,43.66,
-                              25.62,35.76,42.76,46.51,45.62,46.79,48.76,41.00,
-                              52.65,55.57,57.67,56.79,55.15,54.74,50.31,47.49,
-                              53.72,55.62,55.89,58.11,54.46,52.92,49.61,44.68,
-                              51.59,57.44,56.50,55.12,57.22,54.61,49.92,45.20};
-
-    class GasPrice : public FdmInnerValueCalculator {
-      public:
-        Real innerValue(const FdmLinearOpIterator&, Time t) {
-            return gasPrices[(Size) t]; }
-        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-            return innerValue(iter, t);
-        }
-    };
-    class SparkSpreadPrice : public FdmInnerValueCalculator {
-      public:
-        SparkSpreadPrice(Real heatRate) : heatRate_(heatRate) {}
-        Real innerValue(const FdmLinearOpIterator&, Time t) {
-            Size i = (Size) t;
-            return powerPrices[i] - heatRate_*gasPrices[i];
-        }
-        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-            return innerValue(iter, t);
-        }
-      private:
-        const Real heatRate_;
-    };
-}
-
-void SwingOptionTest::testVPPStepCondition() {
-
-    BOOST_MESSAGE("Testing VPP step condition");
-
-    SavedSettings backup;
-
-    const Real pMin           = 8;
-    const Real pMax           = 40;
-    const Size tMinUp         = 6;
-    const Size tMinDown       = 2;
-    const Real startUpFuel    = 20;
-    const Real startUpFixCost = 100;
-    const Real carbonPrice    = 3.0;
-    const Size stateDirection = 0;
-
-    const Size nStates = 2*tMinUp + tMinDown;
-    const std::vector<Size> dim(1, nStates);
-    const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                                   new FdmLinearOpLayout(dim));
-
-    const boost::shared_ptr<FdmMesher> mesher(
-        new FdmMesherComposite(layout,
-             std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
-                                boost::shared_ptr<Fdm1dMesher>(
-                                    new Uniform1dMesher(0.0, 1.0, nStates)))));
-
-    const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(new GasPrice());
-
-    const Real efficiency[] = { 0.35, 0.4, 0.45, 0.5, 0.55, 0.6, 0.9 };
-
-    // Expected values are calculated using mixed integer programming
-    // based on the gnu linear programming toolkit. For details please see:
-    // http://spanderen.de/
-    //        2011/06/23/vpp-pricing-ii-mixed-integer-linear-programming/
-    const Real expected[] = { 0.0, 2056.04, 11145.577778, 26418.24,
-                              44512.461818, 62000.626667, 137591.911111};
-
-    for (Size i=0; i < LENGTH(efficiency); ++i) {
-        const Real heatRate = 1.0/efficiency[i];
-        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
-                                              new SparkSpreadPrice(heatRate));
-
-        boost::shared_ptr<StepCondition<Array> > stepCondition(
-            new FdmVPPStepCondition(heatRate, pMin, pMax, tMinUp, tMinDown,
-                                    startUpFuel, startUpFixCost,
-                                    carbonPrice, stateDirection,
-                                    mesher, gasPrice, sparkSpreadPrice));
-
-        Array state(nStates, 0.0);
-        for (Size j=LENGTH(gasPrices); j > 0; --j) {
-            stepCondition->applyTo(state, (Time) j-1);
-        }
-        const Real calculated = *std::max_element(state.begin(), state.end());
-
-        if (std::fabs(expected[i] - calculated) > 1e-6) {
-            BOOST_ERROR("Failed to reproduce reference values"
-                       << "\n    calculated:   " << calculated
-                       << "\n    expected(MC): " << expected[i]);
-
-        }
-    }
-}
-
 
 test_suite* SwingOptionTest::suite() {
-    test_suite* suite = BOOST_TEST_SUITE("Spark-Option Test");
+    test_suite* suite = BOOST_TEST_SUITE("Swing-Option Test");
     suite->add(QUANTLIB_TEST_CASE(
 		&SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
-	suite->add(QUANTLIB_TEST_CASE(
-		&SwingOptionTest::testGemanRoncoroniProcess));
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
     suite->add(QUANTLIB_TEST_CASE(
                           &SwingOptionTest::testFdmExponentialJump1dMesher));
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
     suite->add(QUANTLIB_TEST_CASE(
                             &SwingOptionTest::testExtOUJumpSwingOption));
-    suite->add(QUANTLIB_TEST_CASE(
-                            &SwingOptionTest::testSimpleExtOUStorageEngine));
-    suite->add(QUANTLIB_TEST_CASE(
-                            &SwingOptionTest::testKlugeExtOUSpreadOption));
-    suite->add(QUANTLIB_TEST_CASE(
-                            &SwingOptionTest::testVPPStepCondition));
     return suite;
 }
 
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
index 06a7c16fa9..b877012321 100755
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -28,14 +28,10 @@
 class SwingOptionTest {
   public:
     static void testExtendedOrnsteinUhlenbeckProcess();
-	static void testGemanRoncoroniProcess();
 	static void testFdBSSwingOption();
     static void testExtOUJumpSwingOption();
 	static void testFdmExponentialJump1dMesher();
 	static void testExtOUJumpVanillaEngine();
-    static void testSimpleExtOUStorageEngine();
-    static void testKlugeExtOUSpreadOption();
-    static void testVPPStepCondition();
     static boost::unit_test_framework::test_suite* suite();
 };
 
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
new file mode 100644
index 0000000000..8d0b9bc1e3
--- /dev/null
+++ b/test-suite/vpp.cpp
@@ -0,0 +1,710 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "vpp.hpp"
+#include "utilities.hpp"
+
+#include <ql/math/functional.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/instruments/basketoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/instruments/vanillastorageoption.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/math/statistics/generalstatistics.hpp>
+#include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/processes/stochasticprocessarray.hpp>
+#include <ql/methods/montecarlo/multipathgenerator.hpp>
+#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
+#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
+#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
+
+#include <boost/lambda/lambda.hpp>
+#include <deque>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+
+namespace {
+    boost::shared_ptr<ExtOUWithJumpsProcess> createKlugeProcess() {
+        Array x0(2);
+        x0[0] = 3.0; x0[1] = 0.0;
+
+        const Real beta = 5.0;
+        const Real eta  = 2.0;
+        const Real jumpIntensity = 1.0;
+        const Real speed = 1.0;
+        const Real volatility = 2.0;
+
+        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+            new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
+                                                 constant<Real, Real>(x0[0])));
+        return boost::shared_ptr<ExtOUWithJumpsProcess>(
+            new ExtOUWithJumpsProcess(ouProcess, x0[1], beta,
+                                      jumpIntensity, eta));
+    }
+}
+
+
+void VPPTest::testGemanRoncoroniProcess() {
+
+    BOOST_MESSAGE("Testing Geman Roncoroni process...");
+
+    /* Example induced by H. Geman, A. Roncoroni,
+       "Understanding the Fine Structure of Electricity Prices",
+       http://papers.ssrn.com/sol3/papers.cfm?abstract_id=638322
+       Results are verified against the authors MatLab-Code.
+       http://semeq.unipmn.it/files/Ch19_spark_spread.zip
+    */
+
+    SavedSettings backup;
+
+    const Date today = Date::todaysDate();
+    Settings::instance().evaluationDate() = today;
+    const DayCounter dc = ActualActual();
+
+    boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, 0.03, dc);
+
+    const Real x0     = 3.3;
+    const Real beta   = 0.05;
+    const Real alpha  = 3.1;
+    const Real gamma  = -0.09;
+    const Real delta  = 0.07;
+    const Real eps    = -0.40;
+    const Real zeta   = -0.40;
+    const Real d      = 1.6;
+    const Real k      = 1.0;
+    const Real tau    = 0.5;
+    const Real sig2   = 10.0;
+    const Real a      =-7.0;
+    const Real b      =-0.3;
+    const Real theta1 = 35.0;
+    const Real theta2 = 9.0;
+    const Real theta3 = 0.10;
+    const Real psi    = 1.9;
+
+    boost::shared_ptr<GemanRoncoroniProcess> grProcess(
+                new GemanRoncoroniProcess(x0, alpha, beta, gamma, delta,
+                                          eps, zeta, d, k, tau, sig2, a, b,
+                                          theta1, theta2, theta3, psi));
+
+
+    const Real speed     = 5.0;
+    const Volatility vol = std::sqrt(1.4);
+    const Real betaG     = 0.08;
+    const Real alphaG    = 1.0;
+    const Real x0G       = 1.1;
+
+    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
+
+    boost::shared_ptr<StochasticProcess1D> eouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
+                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
+
+    std::vector<boost::shared_ptr<StochasticProcess1D> > processes;
+    processes.push_back(grProcess);
+    processes.push_back(eouProcess);
+
+    Matrix correlation(2, 2, 1.0);
+    correlation[0][1] = correlation[1][0] = 0.25;
+
+    boost::shared_ptr<StochasticProcess> pArray(
+                           new StochasticProcessArray(processes, correlation));
+
+    const Time T = 10.0;
+    const Size stepsPerYear = 250;
+    const Size steps = Size(T*Real(stepsPerYear));
+
+    TimeGrid grid(T, steps);
+
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                               pArray->size()*(grid.size()-1), BigNatural(421));
+
+    GeneralStatistics npv, onTime;
+    MultiPathGenerator<rsg_type> generator(pArray, grid, rsg, false);
+
+    const Real heatRate = 8.0;
+    const Size nrTrails = 250;
+
+    for (Size n=0; n < nrTrails; ++n) {
+        Real plantValue = 0.0;
+        sample_type path = generator.next();
+
+        for (Size i=1; i <= steps; ++i) {
+            const Time t = Real(i)/stepsPerYear;
+            const DiscountFactor df = rTS->discount(t);
+
+            const Real gasPrice         = std::exp(path.value[1][i]);
+            const Real electricityPrice = std::exp(path.value[0][i]);
+
+            const Real sparkSpread = electricityPrice - heatRate*gasPrice;
+            plantValue += std::max(0.0, sparkSpread)*df;
+            onTime.add((sparkSpread > 0.0) ? 1.0 : 0.0);
+        }
+
+        npv.add(plantValue);
+    }
+
+    const Real expectedNPV = 12500;
+    const Real calculatedNPV = npv.mean();
+    const Real errorEstimateNPV = npv.errorEstimate();
+
+    if (std::fabs(calculatedNPV - expectedNPV) > 3.0*errorEstimateNPV) {
+        BOOST_ERROR("Failed to reproduce cached price with MC engine"
+                    << "\n    calculated: " << calculatedNPV
+                    << "\n    expected:   " << expectedNPV
+                    << " +/- " << errorEstimateNPV);
+    }
+
+    const Real expectedOnTime = 0.43;
+    const Real calculatedOnTime = onTime.mean();
+    const Real errorEstimateOnTime
+        = std::sqrt(calculatedOnTime*(1-calculatedOnTime))/nrTrails;
+
+    if (std::fabs(calculatedOnTime - expectedOnTime)>3.0*errorEstimateOnTime) {
+        BOOST_ERROR("Failed to reproduce cached price with MC engine"
+                    << "\n    calculated: " << calculatedNPV
+                    << "\n    expected:   " << expectedNPV
+                    << " +/- " << errorEstimateNPV);
+    }
+}
+
+void VPPTest::testSimpleExtOUStorageEngine() {
+
+    BOOST_MESSAGE("Testing Simple Storage option based on ext. OU  model...");
+
+    SavedSettings backup;
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Days));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Days));
+    }
+    boost::shared_ptr<BermudanExercise> bermudanExercise(
+                                        new BermudanExercise(exerciseDates));
+
+    const Real x0 = 3.0;
+    const Real speed = 1.0;
+    const Real volatility = 0.5;
+    const Rate irRate = 0.1;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0,
+                                             constant<Real, Real>(x0)));
+
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<PricingEngine> storageEngine(
+               new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 25));
+
+    VanillaStorageOption storageOption(bermudanExercise, 50, 0, 1);
+
+    storageOption.setPricingEngine(storageEngine);
+
+    const Real expected = 69.6572;
+    const Real calculated = storageOption.NPV();
+
+    if (std::fabs(expected - calculated) > 2e-2) {
+        BOOST_ERROR("Failed to reproduce cached values"
+                   << "\n    calculated: " << calculated
+                   << "\n    expected:   " << expected);
+    }
+}
+
+
+void VPPTest::testKlugeExtOUSpreadOption() {
+
+    BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option");
+
+    SavedSettings backup;
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(1, Years);
+    Time maturity = dayCounter.yearFraction(settlementDate, maturityDate);
+
+    const Real speed     = 1.0;
+    const Volatility vol = std::sqrt(1.4);
+    const Real betaG     = 0.0;
+    const Real alphaG    = 3.0;
+    const Real x0G       = 3.0;
+
+    const Rate irRate      = 0.0;
+    const Real heatRate    = 2.0;
+    const Real rho         = 0.5;
+
+    boost::shared_ptr<ExtOUWithJumpsProcess>
+                                           klugeProcess = createKlugeProcess();
+    boost::function<Real (Real)> f = alphaG + betaG*boost::lambda::_1;
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOUProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(speed, vol, x0G, f,
+                           ExtendedOrnsteinUhlenbeckProcess::Trapezodial));
+
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<KlugeExtOUProcess> klugeOUProcess(
+                    new KlugeExtOUProcess(rho, klugeProcess, extOUProcess));
+
+
+    boost::shared_ptr<Payoff> payoff(new PlainVanillaPayoff(Option::Call, 0.0));
+
+    Array spreadFactors(2);
+    spreadFactors[0] = 1.0; spreadFactors[1] = -heatRate;
+    boost::shared_ptr<BasketPayoff> basketPayoff(
+                               new AverageBasketPayoff(payoff, spreadFactors));
+
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
+
+    BasketOption option(basketPayoff, exercise);
+    option.setPricingEngine(boost::shared_ptr<PricingEngine>(
+        new FdKlugeExtOUSpreadEngine(klugeOUProcess, rTS,
+                                     5, 200, 50, 20)));
+
+    TimeGrid grid(maturity, 50);
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                           klugeOUProcess->factors()*(grid.size()-1), 1234ul);
+
+    MultiPathGenerator<rsg_type> generator(klugeOUProcess, grid, rsg, false);
+
+
+    GeneralStatistics npv;
+    const Size nTrails = 20000;
+    for (Size i=0; i < nTrails; ++i) {
+        const sample_type path = generator.next();
+
+        Array p(2);
+        p[0] = path.value[0].back() + path.value[1].back();
+        p[1] = path.value[2].back();
+        npv.add((*basketPayoff)(Exp(p)));
+    }
+
+    const Real calculated = option.NPV();
+    const Real expectedMC = npv.mean();
+    const Real mcError = npv.errorEstimate();
+    if (std::fabs(expectedMC - calculated) > 3*mcError) {
+            BOOST_ERROR("Failed to reproduce referenc values"
+                       << "\n    calculated:   " << calculated
+                       << "\n    expected(MC): " << expectedMC
+                       << "\n    mc error    : " << mcError);
+
+    }
+}
+
+namespace {
+    // for a "real" gas and power forward curve
+    // please see. e.g. http://www.kyos.com/?content=64
+    const Real gasPrices[] = {20.74,21.65,20.78,21.58,21.43,20.82,22.02,21.52,
+                              21.02,21.46,21.75,20.69,22.16,20.38,20.82,20.68,
+                              20.57,21.92,22.04,20.45,20.75,21.92,20.53,20.67,
+                              20.88,21.02,20.82,21.67,21.82,22.12,20.45,20.74,
+                              22.39,20.95,21.71,20.70,20.94,21.59,22.33,21.13,
+                              21.50,21.42,20.56,21.23,21.37,21.90,20.62,21.17,
+                              21.86,22.04,22.05,21.00,20.70,21.12,21.26,22.40,
+                              21.31,22.24,21.96,21.02,21.71,20.48,21.36,21.75,
+                              21.90,20.44,21.26,22.29,20.34,21.79,21.66,21.50,
+                              20.76,20.27,20.84,20.24,21.97,20.52,20.98,21.40,
+                              20.39,20.71,20.78,20.30,21.56,21.72,20.27,21.57,
+                              21.82,20.57,21.33,20.51,22.32,21.99,20.57,22.11,
+                              21.56,22.24,20.62,21.70,21.11,21.19,21.79,20.46,
+                              22.21,20.82,20.52,22.29,20.71,21.45,22.40,20.63,
+                              20.95,21.97,22.20,20.67,21.01,22.25,20.76,21.33,
+                              20.49,20.33,21.94,20.64,20.99,21.09,20.97,22.17,
+                              20.72,22.06,20.86,21.40,21.75,20.78,21.79,20.47,
+                              21.19,21.60,20.75,21.36,21.61,20.37,21.67,20.28,
+                              22.33,21.37,21.33,20.87,21.25,22.01,22.08,20.81,
+                              20.70,21.84,21.82,21.68,21.24,22.36,20.83,20.64,
+                              21.03,20.57,22.34,20.96,21.54,21.26,21.43,22.39};
+
+    const Real powerPrices[]={40.40,36.71,31.87,25.81,31.61,35.00,46.22,60.68,
+                              42.45,38.01,33.84,29.79,31.84,38.53,49.23,59.92,
+                              43.85,37.47,34.89,29.99,30.85,29.19,29.25,38.67,
+                              36.90,25.93,22.12,20.19,17.19,19.29,13.51,18.14,
+                              33.76,30.48,25.63,18.01,23.86,32.41,48.56,64.69,
+                              38.42,39.31,32.73,29.97,31.41,35.02,46.85,58.12,
+                              39.14,35.42,32.61,28.76,29.41,35.83,46.73,61.41,
+                              61.01,59.43,60.43,66.29,62.79,62.66,57.66,51.63,
+                              62.18,60.53,61.94,64.86,59.57,58.15,53.74,48.36,
+                              45.64,51.21,51.54,50.79,54.50,49.92,41.58,39.81,
+                              28.86,37.42,39.78,42.36,45.67,36.84,33.91,28.75,
+                              62.97,63.84,62.91,68.77,64.33,61.95,59.12,54.89,
+                              63.62,60.90,66.57,69.51,64.71,59.89,57.28,57.10,
+                              65.09,63.82,67.52,70.51,65.59,59.36,58.22,54.64,
+                              52.17,53.02,57.12,53.50,53.16,49.21,52.21,40.96,
+                              49.01,47.94,49.89,53.83,52.96,50.33,51.72,46.99,
+                              39.06,47.99,47.91,52.35,48.51,47.39,50.45,43.66,
+                              25.62,35.76,42.76,46.51,45.62,46.79,48.76,41.00,
+                              52.65,55.57,57.67,56.79,55.15,54.74,50.31,47.49,
+                              53.72,55.62,55.89,58.11,54.46,52.92,49.61,44.68,
+                              51.59,57.44,56.50,55.12,57.22,54.61,49.92,45.20};
+
+    class GasPrice : public FdmInnerValueCalculator {
+      public:
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            return gasPrices[(Size) t]; }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+    };
+    class SparkSpreadPrice : public FdmInnerValueCalculator {
+      public:
+        SparkSpreadPrice(Real heatRate) : heatRate_(heatRate) {}
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            Size i = (Size) t;
+            return powerPrices[i] - heatRate_*gasPrices[i];
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+      private:
+        const Real heatRate_;
+    };
+}
+
+void VPPTest::testVPPIntrinsicValue() {
+
+    BOOST_MESSAGE("Testing VPP step condition");
+
+    SavedSettings backup;
+
+    // vpp parameters
+    const Real pMin           = 8;
+    const Real pMax           = 40;
+    const Size tMinUp         = 2;
+    const Size tMinDown       = 2;
+    const Real startUpFuel    = 20;
+    const Real startUpFixCost = 100;
+    const Real carbonPrice    = 3.0;
+    const Size stateDirection = 0;
+
+    const Size nStates = 2*tMinUp + tMinDown;
+    const std::vector<Size> dim(1, nStates);
+    const boost::shared_ptr<FdmLinearOpLayout> layout(
+                                                   new FdmLinearOpLayout(dim));
+
+    const boost::shared_ptr<FdmMesher> mesher(
+        new FdmMesherComposite(layout,
+             std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
+                                boost::shared_ptr<Fdm1dMesher>(
+                                    new Uniform1dMesher(0.0, 1.0, nStates)))));
+
+    const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(new GasPrice());
+
+    const Real efficiency[] = { 0.35, 0.4, 0.45, 0.5, 0.55, 0.6, 0.9 };
+
+    // Expected values are calculated using mixed integer programming
+    // based on the gnu linear programming toolkit. For details please see:
+    // http://spanderen.de/
+    //        2011/06/23/vpp-pricing-ii-mixed-integer-linear-programming/
+    const Real expected[] = { 0.0, 2056.04, 11145.577778, 26452.04,
+                              44512.461818, 62000.626667, 137591.911111};
+
+    for (Size i=0; i < LENGTH(efficiency); ++i) {
+        const Real heatRate = 1.0/efficiency[i];
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
+                                              new SparkSpreadPrice(heatRate));
+
+        boost::shared_ptr<StepCondition<Array> > stepCondition(
+            new FdmVPPStepCondition(heatRate, pMin, pMax, tMinUp, tMinDown,
+                                    startUpFuel, startUpFixCost,
+                                    carbonPrice, stateDirection,
+                                    mesher, gasPrice, sparkSpreadPrice));
+
+        Array state(nStates, 0.0);
+        for (Size j=LENGTH(gasPrices); j > 0; --j) {
+            stepCondition->applyTo(state, (Time) j-1);
+        }
+        const Real calculated = *std::max_element(state.begin(), state.end());
+        if (std::fabs(expected[i] - calculated) > 1e-2) {
+            BOOST_ERROR("Failed to reproduce reference values"
+                       << "\n    calculated: " << calculated
+                       << "\n    expected:   " << expected[i]);
+
+        }
+    }
+}
+
+namespace {
+
+    class PathGasPrice : public FdmInnerValueCalculator {
+      public:
+        typedef FdSimpleKlugeExtOUVPPEngine::Shape Shape;
+
+        PathGasPrice(
+            const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path,
+            const boost::shared_ptr<Shape>& shape)
+        : path_(path),
+          shape_(shape) {}
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            const Size i = t*365u*24u;
+            const Real f = std::lower_bound(shape_->begin(), shape_->end(),
+                std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+
+            return std::exp(path_[2][i] + f);
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+      private:
+        const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path_;
+        const boost::shared_ptr<Shape> shape_;
+    };
+
+    class PathSparkSpreadPrice : public FdmInnerValueCalculator {
+      public:
+        typedef FdSimpleKlugeExtOUVPPEngine::Shape Shape;
+
+        PathSparkSpreadPrice(
+            Real heatRate,
+            const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path,
+            const boost::shared_ptr<Shape>& gasShape,
+            const boost::shared_ptr<Shape>& powerShape)
+        : heatRate_(heatRate),
+          path_(path),
+          gasShape_(gasShape),
+          powerShape_(powerShape) {}
+
+        Real innerValue(const FdmLinearOpIterator&, Time t) {
+            const Size i = t*365u*24u;
+            const Real f = std::lower_bound(
+                powerShape_->begin(), powerShape_->end(),
+                std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+            const Real g = std::lower_bound(
+                gasShape_->begin(),gasShape_->end(),
+                std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
+
+            return std::exp(f + path_[0][i]+path_[1][i])
+                    - heatRate_*std::exp(g + path_[2][i]);
+        }
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+            return innerValue(iter, t);
+        }
+      private:
+        const Real heatRate_;
+        const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path_;
+        const boost::shared_ptr<Shape> gasShape_;
+        const boost::shared_ptr<Shape> powerShape_;
+    };
+}
+
+void VPPTest::testVPPPricing() {
+    BOOST_MESSAGE("Testing VPP step condition");
+
+    SavedSettings backup;
+
+    const Date today = Date::todaysDate();
+    const DayCounter dc = ActualActual();
+    Settings::instance().evaluationDate() = today;
+
+    // vpp paramter
+    const Real heatRate       = 2.5;
+    const Real pMin           = 8;
+    const Real pMax           = 40;
+    const Size tMinUp         = 6;
+    const Size tMinDown       = 2;
+    const Real startUpFuel    = 20;
+    const Real startUpFixCost = 100;
+    const Size nStates        = 2u*tMinUp + tMinDown;
+    const Size initialState   = nStates-1u;
+
+    boost::shared_ptr<SwingExercise> exercise(
+                                new SwingExercise(today, today+6, 3600u));
+
+    VanillaVPPOption vppOption(heatRate, pMin, pMax,
+                               tMinUp, tMinDown,
+                               startUpFuel, startUpFixCost,
+                               initialState, exercise);
+
+    // model definition
+    const Real beta         = 200;
+    const Real eta          = 1.0/0.2;
+    const Real lambda       = 4.0;
+    const Real alpha        = 7.0;
+    const Real volatility_x = 1.4;
+    const Real kappa        = 4.45;
+    const Real volatility_u = std::sqrt(1.3);
+    const Real rho          = 0.7;
+    const Rate irRate       = 0.00;
+    const Real carbonPrice  = 3.0;
+
+    Array x0(2);
+    x0[0] = 0.0; x0[1] = 0.0;
+
+    const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(alpha, volatility_x, x0[0],
+                                             constant<Real, Real>(x0[0])));
+    const boost::shared_ptr<ExtOUWithJumpsProcess> lnPowerProcess(
+        new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, lambda, eta));
+
+    const Real u=0.0;
+    const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> lnGasProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(kappa, volatility_u, u,
+                                             constant<Real, Real>(u)));
+
+    const boost::shared_ptr<KlugeExtOUProcess> klugeOUProcess(
+        new KlugeExtOUProcess(rho, lnPowerProcess, lnGasProcess));
+
+    const boost::shared_ptr<YieldTermStructure> rTS
+        = flatRate(today, irRate, dc);
+
+
+    const Size nHours = LENGTH(powerPrices);
+
+    typedef FdSimpleKlugeExtOUVPPEngine::Shape Shape;
+    boost::shared_ptr<Shape> gasShape(new Shape(nHours));
+    boost::shared_ptr<Shape> powerShape(new Shape(nHours));
+
+    for (Size i=0; i < nHours; ++i) {
+        const Time t = i/(365*24.);
+
+        const Real gasPrice = gasPrices[i];
+        const Real gs = std::log(gasPrice)-square<Real>()(volatility_u)
+                               /(4*kappa)*(1-std::exp(-2*kappa*t));
+        (*gasShape)[i] = Shape::value_type(t, gs);
+
+        const Real powerPrice = powerPrices[i];
+        const Real ps = std::log(powerPrice)-square<Real>()(volatility_x)
+                 /(4*alpha)*(1-std::exp(-2*alpha*t))
+                -lambda/beta*std::log((eta-std::exp(-beta*t))/(eta-1.0));
+
+        (*powerShape)[i] = Shape::value_type(t, ps);
+    }
+
+    // test intrinsic value
+    const boost::shared_ptr<FdmMesher> oneDimMesher(
+        new FdmMesherComposite(boost::shared_ptr<FdmLinearOpLayout>(
+            new FdmLinearOpLayout(std::vector<Size>(1, nStates))),
+            std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
+                boost::shared_ptr<Fdm1dMesher>(
+                    new Uniform1dMesher(0.0, 1.0, nStates)))));
+
+    const FdmVPPStepCondition stepCondition(
+            heatRate, pMin, pMax, tMinUp, tMinDown,
+            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
+            boost::shared_ptr<FdmInnerValueCalculator>(new GasPrice()),
+            boost::shared_ptr<FdmInnerValueCalculator>(
+               new SparkSpreadPrice(heatRate)));
+
+    Array state(nStates, 0.0);
+    for (Size j=exercise->dates().size(); j > 0; --j) {
+        stepCondition.applyTo(state, (Time) j-1);
+    }
+    const Real intrinsic = state.back();
+    const Real expectedIntrinsic = 2056.04;
+    if (std::fabs(intrinsic - expectedIntrinsic) > 0.1) {
+        BOOST_ERROR("Failed to reproduce intrinsic value"
+                   << "\n    calculated: " << intrinsic
+                   << "\n    expected  : " << expectedIntrinsic);
+    }
+
+    // test finite difference price
+    const boost::shared_ptr<PricingEngine> engine(
+        new FdSimpleKlugeExtOUVPPEngine(klugeOUProcess, rTS, carbonPrice,
+                                        1, 25, 11, 10,
+                                        gasShape, powerShape));
+
+    vppOption.setPricingEngine(engine);
+
+    const Real fdmPrice = vppOption.NPV();
+    const Real expectedFdmPrice = 5194.11;
+    if (std::fabs(fdmPrice - expectedFdmPrice) > 0.1) {
+        BOOST_ERROR("Failed to reproduce finite difference price"
+                   << "\n    calculated: " << fdmPrice
+                   << "\n    expected  : " << expectedFdmPrice);
+    }
+
+    // test Monte-Carlo price
+    const TimeGrid grid(dc.yearFraction(today, exercise->lastDate()+1),
+                        exercise->dates().size());
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                           klugeOUProcess->factors()*(grid.size()-1), 1234ul);
+    MultiPathGenerator<rsg_type> generator(klugeOUProcess, grid, rsg, false);
+
+    GeneralStatistics npv;
+    const Size nTrails = 10000;
+    for (Size i=0; i < nTrails; ++i) {
+        const sample_type& path = generator.next();
+
+        FdmVPPStepCondition stepCondition(
+            heatRate, pMin, pMax, tMinUp, tMinDown,
+            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
+            boost::shared_ptr<FdmInnerValueCalculator>(
+                new PathGasPrice(path.value, gasShape)),
+            boost::shared_ptr<FdmInnerValueCalculator>(
+                new PathSparkSpreadPrice(heatRate, path.value,
+                                         gasShape, powerShape)));
+
+        Array state(nStates, 0.0);
+        for (Size j=exercise->dates().size(); j > 0; --j) {
+            stepCondition.applyTo(state, grid.at(j));
+        }
+
+        npv.add(state.back());
+    }
+    const Real npvMC = npv.mean();
+    const Real errorMC = npv.errorEstimate();
+    const Real expectedMC = 5250.0;
+    if (std::fabs(npvMC-expectedMC) > 3*errorMC) {
+        BOOST_ERROR("Failed to reproduce Monte-Carlo price"
+                   << "\n    calculated: " << npvMC
+                   << "\n    error     ; " << errorMC
+                   << "\n    expected  : " << expectedMC);
+    }
+}
+
+test_suite* VPPTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Vpp Test");
+    suite->add(QUANTLIB_TEST_CASE(&VPPTest::testGemanRoncoroniProcess));
+    suite->add(QUANTLIB_TEST_CASE(&VPPTest::testSimpleExtOUStorageEngine));
+    suite->add(QUANTLIB_TEST_CASE(&VPPTest::testKlugeExtOUSpreadOption));
+    suite->add(QUANTLIB_TEST_CASE(&VPPTest::testVPPIntrinsicValue));
+    suite->add(QUANTLIB_TEST_CASE(&VPPTest::testVPPPricing));
+    return suite;
+}
+
+
diff --git a/test-suite/vpp.hpp b/test-suite/vpp.hpp
new file mode 100644
index 0000000000..8c2250ccb9
--- /dev/null
+++ b/test-suite/vpp.hpp
@@ -0,0 +1,38 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_vpp_hpp
+#define quantlib_test_vpp_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class VPPTest {
+  public:
+    static void testGemanRoncoroniProcess();
+    static void testSimpleExtOUStorageEngine();
+    static void testKlugeExtOUSpreadOption();
+    static void testVPPIntrinsicValue();
+    static void testVPPPricing();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+#endif

From f6800b9345eea10a9204a75467de1627494582e1 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 8 Aug 2011 12:46:08 +0000
Subject: [PATCH 291/410] VC9 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17921 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj             | 40 +++++++++++++++++++++++++++++----
 test-suite/testsuite_vc9.vcproj |  8 +++++++
 2 files changed, 44 insertions(+), 4 deletions(-)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index d112ce10b7..33e8bc1b0b 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -1822,6 +1822,10 @@
 				RelativePath=".\ql\instruments\vanillaswap.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillaswingoption.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\vanillaswingoption.hpp"
 				>
@@ -7041,6 +7045,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmdividendhandler.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmexpextouinnervaluecalculator.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp"
 					>
@@ -7125,10 +7133,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.cpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.hpp"
 					>
@@ -7233,6 +7237,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsolverdesc.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp"
 					>
@@ -7273,6 +7281,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.cpp"
 					>
@@ -7357,6 +7373,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\uniformgridmesher.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="mcbasket"
@@ -7449,6 +7473,14 @@
 					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\klugeextouprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\klugeextouprocess.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
 					>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 38a1e5ca22..1e20ab9f87 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1299,6 +1299,10 @@
 				RelativePath=".\volatilitymodels.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\vpp.cpp"
+				>
+			</File>
 		</Filter>
 		<Filter
 			Name="Header Files"
@@ -1752,6 +1756,10 @@
 				RelativePath=".\volatilitymodels.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\vpp.hpp"
+				>
+			</File>
 		</Filter>
 		<File
 			RelativePath="quantlibtestsuite.cpp"

From 4968475710fb61d339d0d8961970e8e29b2a3787 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 8 Aug 2011 12:50:40 +0000
Subject: [PATCH 292/410] VC9 catching up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17922 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc9.vcproj | 4 ----
 1 file changed, 4 deletions(-)

diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 33e8bc1b0b..d9bc35c38a 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7137,10 +7137,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouspreadinnervalue.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmlinearop.hpp"
 					>

From ad830cde7d0a30e14baf03d5a919a0259d68ac85 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 12 Aug 2011 10:32:30 +0000
Subject: [PATCH 293/410] Added missing inclusion

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17930 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
index fdbde93603..042ecdcc66 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
@@ -30,6 +30,7 @@
 #include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
+#include <ql/experimental/processes/klugeextouprocess.hpp>
 
 namespace QuantLib {
 

From 9b6dc428cf8e4a99fa133014abf2a9cd3cc3906f Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 12 Aug 2011 20:47:40 +0000
Subject: [PATCH 294/410] vcxproj catch-up

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17933 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj                     |  8 +++++++-
 QuantLib_vc10.vcxproj.filters             | 22 ++++++++++++++++++++--
 test-suite/testsuite_vc10.vcxproj         |  2 ++
 test-suite/testsuite_vc10.vcxproj.filters |  6 ++++++
 test-suite/vpp.cpp                        |  6 +++---
 5 files changed, 38 insertions(+), 6 deletions(-)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 6c0054649b..197dbaf38d 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -274,10 +274,13 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdsimplebsswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp" />
     <ClInclude Include="ql\experimental\processes\extouwithjumpsprocess.hpp" />
     <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp" />
+    <ClInclude Include="ql\experimental\processes\klugeextouprocess.hpp" />
     <ClInclude Include="ql\instruments\bonds\cpibond.hpp" />
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
@@ -1339,7 +1342,6 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextousolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp" />
@@ -1347,13 +1349,17 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdsimplebsswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp" />
     <ClCompile Include="ql\experimental\processes\extouwithjumpsprocess.cpp" />
     <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp" />
+    <ClCompile Include="ql\experimental\processes\klugeextouprocess.cpp" />
     <ClCompile Include="ql\instruments\bonds\cpibond.cpp" />
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
+    <ClCompile Include="ql\instruments\vanillaswingoption.cpp" />
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp" />
     <ClCompile Include="ql\methods\montecarlo\genericlsregression.cpp" />
     <ClCompile Include="ql\methods\montecarlo\lsmbasissystem.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 8d5b4dd052..451bfcd618 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3453,6 +3453,15 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepcondition.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\processes\klugeextouprocess.hpp">
+      <Filter>experimental\processes</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5508,10 +5517,19 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextousolver.cpp">
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\processes\klugeextouprocess.cpp">
+      <Filter>experimental\processes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\vanillaswingoption.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp">
+    <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
   </ItemGroup>
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index ff23851145..044cfb1966 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -434,6 +434,7 @@
     <ClCompile Include="varianceswaps.cpp" />
     <ClCompile Include="volatilitymodels.cpp" />
     <ClCompile Include="quantlibtestsuite.cpp" />
+    <ClCompile Include="vpp.cpp" />
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp" />
@@ -548,6 +549,7 @@
     <ClInclude Include="varianceoption.hpp" />
     <ClInclude Include="varianceswaps.hpp" />
     <ClInclude Include="volatilitymodels.hpp" />
+    <ClInclude Include="vpp.hpp" />
   </ItemGroup>
   <ItemGroup>
     <ProjectReference Include="..\QuantLib_vc10.vcxproj">
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 6cd2092811..aedb592a2b 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -345,6 +345,9 @@
       <Filter>Source Files</Filter>
     </ClCompile>
     <ClCompile Include="quantlibtestsuite.cpp" />
+    <ClCompile Include="vpp.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp">
@@ -683,5 +686,8 @@
     <ClInclude Include="inflationcpiswap.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="vpp.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 8d0b9bc1e3..d03e3d8784 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -478,7 +478,7 @@ namespace {
         : path_(path),
           shape_(shape) {}
         Real innerValue(const FdmLinearOpIterator&, Time t) {
-            const Size i = t*365u*24u;
+            const Size i = Size(t*365u*24u);
             const Real f = std::lower_bound(shape_->begin(), shape_->end(),
                 std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
 
@@ -507,7 +507,7 @@ namespace {
           powerShape_(powerShape) {}
 
         Real innerValue(const FdmLinearOpIterator&, Time t) {
-            const Size i = t*365u*24u;
+            const Size i = Size(t*365u*24u);
             const Real f = std::lower_bound(
                 powerShape_->begin(), powerShape_->end(),
                 std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
@@ -530,7 +530,7 @@ namespace {
 }
 
 void VPPTest::testVPPPricing() {
-    BOOST_MESSAGE("Testing VPP step condition");
+    BOOST_MESSAGE("Testing VPP pricing using perfect foresight or FDM");
 
     SavedSettings backup;
 

From f87fc06d4a02a2991ee690fbc079580a56314638 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 18 Aug 2011 10:37:13 +0000
Subject: [PATCH 295/410] Added experimental Levy engine for
 continuous-averaging Asian options.

Thanks to IMAFA students Yasmine Lahlou and Amine Samani.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17934 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |  22 +++-
 QuantLib_vc10.vcxproj                         |   2 +
 QuantLib_vc10.vcxproj.filters                 |   6 +
 QuantLib_vc7.vcproj                           |   6 +
 QuantLib_vc8.vcproj                           |   8 ++
 QuantLib_vc9.vcproj                           |   8 ++
 ql/experimental/exoticoptions/Makefile.am     |   2 +
 ql/experimental/exoticoptions/all.hpp         |   1 +
 .../continuousarithmeticasianlevyengine.cpp   | 108 +++++++++++++++++
 .../continuousarithmeticasianlevyengine.hpp   |  49 ++++++++
 test-suite/asianoptions.cpp                   | 111 +++++++++++++++++-
 test-suite/asianoptions.hpp                   |   1 +
 12 files changed, 322 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
 create mode 100644 ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index bc29e41ad6..1f6495e230 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1713
+UnitCount=1715
 Type=2
 Ver=1
 ObjFiles=
@@ -17176,3 +17176,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1714]
+FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1715]
+FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 197dbaf38d..b7eb1f407f 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1111,6 +1111,7 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\himalayaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\margrabeoption.hpp" />
@@ -1882,6 +1883,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\himalayaoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\margrabeoption.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 451bfcd618..53b1b25b12 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2769,6 +2769,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -5027,6 +5030,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index d9cd970439..21c6259182 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1045,6 +1045,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\everestoption.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 946eb2e7d3..bb2d153796 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -6602,6 +6602,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\everestoption.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index d9bc35c38a..ced06a6fb5 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6481,6 +6481,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\everestoption.cpp"
 					>
diff --git a/ql/experimental/exoticoptions/Makefile.am b/ql/experimental/exoticoptions/Makefile.am
index b0d5e78d8b..7fed9af007 100644
--- a/ql/experimental/exoticoptions/Makefile.am
+++ b/ql/experimental/exoticoptions/Makefile.am
@@ -7,6 +7,7 @@ this_include_HEADERS = \
     analyticamericanmargrabeengine.hpp \
     analyticeuropeanmargrabeengine.hpp \
     analyticsimplechooserengine.hpp \
+    continuousarithmeticasianlevyengine.hpp \
     everestoption.hpp \
     himalayaoption.hpp \
     margrabeoption.hpp \
@@ -20,6 +21,7 @@ libExoticOptions_la_SOURCES = \
     analyticamericanmargrabeengine.cpp \
     analyticeuropeanmargrabeengine.cpp \
     analyticsimplechooserengine.cpp \
+    continuousarithmeticasianlevyengine.cpp \
     everestoption.cpp \
     himalayaoption.cpp \
     margrabeoption.cpp \
diff --git a/ql/experimental/exoticoptions/all.hpp b/ql/experimental/exoticoptions/all.hpp
index 17d63f6ce6..cb894a6dde 100644
--- a/ql/experimental/exoticoptions/all.hpp
+++ b/ql/experimental/exoticoptions/all.hpp
@@ -4,6 +4,7 @@
 #include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>
+#include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>
 #include <ql/experimental/exoticoptions/himalayaoption.hpp>
 #include <ql/experimental/exoticoptions/margrabeoption.hpp>
diff --git a/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
new file mode 100644
index 0000000000..f8b50fb345
--- /dev/null
+++ b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
@@ -0,0 +1,108 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
+#include <ql/pricingengines/blackcalculator.hpp>
+#include <ql/math/distributions/normaldistribution.hpp>
+#include <ql/exercise.hpp>
+
+using namespace std;
+
+namespace QuantLib {
+
+    ContinuousArithmeticAsianLevyEngine::ContinuousArithmeticAsianLevyEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
+            const Handle<Quote>& currentAverage,
+            Date startDate)
+    : process_(process), currentAverage_(currentAverage),
+      startDate_(startDate) {
+        registerWith(process_);
+        registerWith(currentAverage_);
+    }
+
+    void ContinuousArithmeticAsianLevyEngine::calculate() const {
+        QL_REQUIRE(arguments_.averageType == Average::Arithmetic,
+                   "not an Arithmetic average option");
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
+                   "not an European Option");
+
+        Date today = Settings::instance().evaluationDate();
+
+        DayCounter rfdc  = process_->riskFreeRate()->dayCounter();
+        DayCounter divdc = process_->dividendYield()->dayCounter();
+        DayCounter voldc = process_->blackVolatility()->dayCounter();
+        Real spot = process_->stateVariable()->value();
+
+        // payoff
+        boost::shared_ptr<StrikedTypePayoff> payoff =
+            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff, "non-plain payoff given");
+
+        // original time to maturity
+        Date maturity = arguments_.exercise->lastDate();
+        Time T = rfdc.yearFraction(startDate_,
+                                   arguments_.exercise->lastDate());
+        // remaining time to maturity
+        Time T2 = rfdc.yearFraction(process_->riskFreeRate()->referenceDate(),
+                                    arguments_.exercise->lastDate());
+
+        Real strike = payoff->strike();
+
+        Volatility volatility =
+            process_->blackVolatility()->blackVol(maturity, strike);
+
+        CumulativeNormalDistribution N;
+
+        Rate riskFreeRate = process_->riskFreeRate()->
+            zeroRate(maturity, rfdc, Continuous, NoFrequency);
+        Rate dividendYield = process_->dividendYield()->
+            zeroRate(maturity, divdc, Continuous, NoFrequency);
+        Real b = riskFreeRate - dividendYield;
+        QL_REQUIRE(b != 0.0, "null cost of carry not allowed by Levy engine");
+
+        Real Se = (spot/(T*b))*(exp((b-riskFreeRate)*T2)-exp(-riskFreeRate*T2));
+
+        Real X;
+        if (T2 < T) {
+            QL_REQUIRE(!currentAverage_.empty() && currentAverage_->isValid(),
+                       "current average required");
+            X = strike - ((T-T2)/T)*currentAverage_->value();
+        } else {
+            X = strike;
+        }
+
+        Real M = (2*spot*spot/(b+volatility*volatility)) *
+            (((exp((2*b+volatility*volatility)*T2)-1)
+              / (2*b+volatility*volatility))-((exp(b*T2)-1)/b));
+
+        Real D = M/(T*T);
+
+        Real V = log(D)-2*(riskFreeRate*T2+log(Se));
+
+        Real d1 = (1/sqrt(V))*((log(D)/2)-log(X));
+        Real d2 = d1-sqrt(V);
+
+        if(payoff->optionType()==Option::Call)
+            results_.value = Se*N(d1) - X*exp(-riskFreeRate*T2)*N(d2);
+        else
+            results_.value = Se*N(d1) - X*exp(-riskFreeRate*T2)*N(d2)
+                             - Se + X*exp(-riskFreeRate*T2);
+    }
+
+}
diff --git a/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp
new file mode 100644
index 0000000000..244baaffb9
--- /dev/null
+++ b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp
@@ -0,0 +1,49 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file continuousarithmeticasianlevyengine.hpp
+    \brief Levy engine for continuous arithmetic Asian options
+*/
+
+#ifndef quantlib_continuous_arithmetic_asian_levy_engine_hpp
+#define quantlib_continuous_arithmetic_asian_levy_engine_hpp
+
+#include <ql/instruments/asianoption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    class ContinuousArithmeticAsianLevyEngine
+        : public ContinuousAveragingAsianOption::engine {
+      public:
+        ContinuousArithmeticAsianLevyEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
+            const Handle<Quote>& currentAverage,
+            Date startDate);
+        void calculate() const;
+      private:
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
+        Handle<Quote> currentAverage_ ;
+        Date startDate_;
+    };
+
+}
+
+
+#endif
diff --git a/test-suite/asianoptions.cpp b/test-suite/asianoptions.cpp
index 1824a48182..a5a4f035d9 100644
--- a/test-suite/asianoptions.cpp
+++ b/test-suite/asianoptions.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2003, 2004 Ferdinando Ametrano
  Copyright (C) 2005, 2007, 2008 StatPro Italia srl
- Copyright (C) 2009 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+ Copyright (C) 2009, 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -30,6 +30,7 @@
 #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
 #include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp>
 #include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
+#include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
 #include <ql/utilities/dataformatters.hpp>
@@ -1125,6 +1126,112 @@ void AsianOptionTest::testPastFixings() {
 
 }
 
+namespace {
+
+    struct ContinuousAverageData {
+        Option::Type type;
+        Real spot;
+        Real currentAverage;
+        Real strike;
+        Rate dividendYield;
+        Rate riskFreeRate;
+        Volatility volatility;
+        Natural length;
+        Natural elapsed;
+        Real result;
+    };
+
+}
+
+void AsianOptionTest::testLevyEngine() {
+
+    BOOST_MESSAGE("Testing Levy engine for Asians options...");
+
+    // data from Haug, "Option Pricing Formulas", p.99-100
+    ContinuousAverageData cases[] = {
+      { Option::Call, 6.80, 6.80, 6.90, 0.09, 0.07, 0.14, 180, 0, 0.0944 },
+      { Option::Put,  6.80, 6.80, 6.90, 0.09, 0.07, 0.14, 180, 0, 0.2237 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.15, 270, 0, 7.0544 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.15, 270, 90, 5.6731 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.15, 270, 180, 5.0806 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.35, 270, 0, 10.1213 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.35, 270, 90, 6.9705 },
+      { Option::Call, 100.0, 100.0, 95.0, 0.05, 0.1, 0.35, 270, 180, 5.1411 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.15, 270, 0, 3.7845 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.15, 270, 90, 1.9964 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.15, 270, 180, 0.6722 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.35, 270, 0, 7.5038 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.35, 270, 90, 4.0687 },
+      { Option::Call, 100.0, 100.0, 100.0, 0.05, 0.1, 0.35, 270, 180, 1.4222 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.15, 270, 0, 1.6729 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.15, 270, 90, 0.3565 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.15, 270, 180, 0.0004 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.35, 270, 0, 5.4071 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.35, 270, 90, 2.1359 },
+      { Option::Call, 100.0, 100.0, 105.0, 0.05, 0.1, 0.35, 270, 180, 0.1552 }
+    };
+
+    DayCounter dc = Actual360();
+    Date today = Date::todaysDate();
+
+    for (Size l=0; l<LENGTH(cases); l++) {
+
+        boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(cases[l].spot));
+        boost::shared_ptr<YieldTermStructure> qTS =
+            flatRate(today, cases[l].dividendYield, dc);
+        boost::shared_ptr<YieldTermStructure> rTS =
+            flatRate(today, cases[l].riskFreeRate, dc);
+        boost::shared_ptr<BlackVolTermStructure> volTS =
+            flatVol(today, cases[l].volatility, dc);
+
+        Average::Type averageType = Average::Arithmetic;
+        boost::shared_ptr<Quote> average(
+                                    new SimpleQuote(cases[l].currentAverage));
+
+        boost::shared_ptr<StrikedTypePayoff> payoff(
+                      new PlainVanillaPayoff(cases[l].type, cases[l].strike));
+
+        Date startDate = today - cases[l].elapsed;
+        Date maturity = startDate + cases[l].length;
+
+        boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturity));
+
+        boost::shared_ptr<BlackScholesMertonProcess> stochProcess(new
+            BlackScholesMertonProcess(Handle<Quote>(spot),
+                                      Handle<YieldTermStructure>(qTS),
+                                      Handle<YieldTermStructure>(rTS),
+                                      Handle<BlackVolTermStructure>(volTS)));
+
+        boost::shared_ptr<PricingEngine> engine(
+            new ContinuousArithmeticAsianLevyEngine(
+                     stochProcess, Handle<Quote>(average), startDate));
+
+        ContinuousAveragingAsianOption option(averageType,
+                                              payoff, exercise);
+        option.setPricingEngine(engine);
+
+        Real calculated = option.NPV();
+        Real expected = cases[l].result;
+        Real tolerance = 1.0e-4;
+        Real error = std::fabs(expected-calculated);
+        if (error > tolerance) {
+            BOOST_ERROR("Asian option with Levy engine:"
+                        << "\n    spot:            " << cases[l].spot
+                        << "\n    current average: " << cases[l].currentAverage
+                        << "\n    strike:          " << cases[l].strike
+                        << "\n    dividend yield:  " << cases[l].dividendYield
+                        << "\n    risk-free rate:  " << cases[l].riskFreeRate
+                        << "\n    volatility:      " << cases[l].volatility
+                        << "\n    reference date:  " << today
+                        << "\n    length:          " << cases[l].length
+                        << "\n    elapsed:         " << cases[l].elapsed
+                        << "\n    expected value:  " << expected
+                        << "\n    calculated:      " << calculated
+                        << "\n    error:           " << error);
+        }
+    }
+}
+
 test_suite* AsianOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Asian option tests");
 
@@ -1146,6 +1253,8 @@ test_suite* AsianOptionTest::suite() {
         &AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceGreeks));
     suite->add(QUANTLIB_TEST_CASE(
         &AsianOptionTest::testPastFixings));
+    suite->add(QUANTLIB_TEST_CASE(
+        &AsianOptionTest::testLevyEngine));
 
     return suite;
 }
diff --git a/test-suite/asianoptions.hpp b/test-suite/asianoptions.hpp
index d923d9c4cd..fb472877b9 100644
--- a/test-suite/asianoptions.hpp
+++ b/test-suite/asianoptions.hpp
@@ -38,6 +38,7 @@ class AsianOptionTest {
     static void testMCDiscreteArithmeticAverageStrike();
     static void testAnalyticDiscreteGeometricAveragePriceGreeks();
     static void testPastFixings();
+    static void testLevyEngine();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From 005f218d09a6ad4b87034482c6292dc53687c6f3 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 18 Aug 2011 10:38:00 +0000
Subject: [PATCH 296/410] Added experimental writer-extensible option and
 related engine.

Thanks to IMAFA students Delphine Bouthier, Marine Casanova,
and Xavier Caron.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17935 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |  42 +++++-
 QuantLib_vc10.vcxproj                         |   4 +
 QuantLib_vc10.vcxproj.filters                 |  12 ++
 QuantLib_vc7.vcproj                           |  12 ++
 QuantLib_vc8.vcproj                           |  17 +++
 QuantLib_vc9.vcproj                           |  16 +++
 ql/experimental/exoticoptions/Makefile.am     |   8 +-
 ql/experimental/exoticoptions/all.hpp         |   2 +
 .../analyticwriterextensibleoptionengine.cpp  | 130 ++++++++++++++++++
 .../analyticwriterextensibleoptionengine.hpp  |  45 ++++++
 .../exoticoptions/writerextensibleoption.cpp  |  57 ++++++++
 .../exoticoptions/writerextensibleoption.hpp  |  76 ++++++++++
 test-suite/Makefile.am                        |   3 +-
 test-suite/quantlibtestsuite.cpp              |   5 +-
 test-suite/testsuite.dev                      |  22 ++-
 test-suite/testsuite_vc10.vcxproj             |   6 +-
 test-suite/testsuite_vc10.vcxproj.filters     |  10 +-
 test-suite/testsuite_vc7.vcproj               |   6 +
 test-suite/testsuite_vc8.vcproj               |   8 ++
 test-suite/testsuite_vc9.vcproj               |   8 ++
 test-suite/writerextensibleoption.cpp         | 126 +++++++++++++++++
 test-suite/writerextensibleoption.hpp         |  35 +++++
 22 files changed, 639 insertions(+), 11 deletions(-)
 create mode 100644 ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp
 create mode 100644 ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp
 create mode 100644 ql/experimental/exoticoptions/writerextensibleoption.cpp
 create mode 100644 ql/experimental/exoticoptions/writerextensibleoption.hpp
 create mode 100644 test-suite/writerextensibleoption.cpp
 create mode 100644 test-suite/writerextensibleoption.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 1f6495e230..8fabf07adc 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1715
+UnitCount=1719
 Type=2
 Ver=1
 ObjFiles=
@@ -17196,3 +17196,43 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1716]
+FileName=ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1717]
+FileName=ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1718]
+FileName=ql\experimental\exoticoptions\writerextensibleoption.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1719]
+FileName=ql\experimental\exoticoptions\writerextensibleoption.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index b7eb1f407f..9cb1d412e3 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1111,6 +1111,7 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\himalayaoption.hpp" />
@@ -1120,6 +1121,7 @@
     <ClInclude Include="ql\experimental\exoticoptions\mcpagodaengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\pagodaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp" />
     <ClInclude Include="ql\experimental\credit\all.hpp" />
     <ClInclude Include="ql\experimental\credit\basket.hpp" />
     <ClInclude Include="ql\experimental\credit\blackcdsoptionengine.hpp" />
@@ -1883,6 +1885,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\himalayaoption.cpp" />
@@ -1892,6 +1895,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\mcpagodaengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\pagodaoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\writerextensibleoption.cpp" />
     <ClCompile Include="ql\experimental\credit\basket.cpp" />
     <ClCompile Include="ql\experimental\credit\blackcdsoptionengine.cpp" />
     <ClCompile Include="ql\experimental\credit\cdo.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 53b1b25b12..d7a98db191 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2769,6 +2769,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -2796,6 +2799,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\credit\all.hpp">
       <Filter>experimental\credit</Filter>
     </ClInclude>
@@ -5030,6 +5036,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
@@ -5057,6 +5066,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\writerextensibleoption.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\credit\basket.cpp">
       <Filter>experimental\credit</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 21c6259182..08b3bd9d5e 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1045,6 +1045,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp">
 				</File>
@@ -1099,6 +1105,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.hpp">
+				</File>
 			</Filter>
 			<Filter
 				Name="finitedifferences"
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index bb2d153796..de3b8f5b0c 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -6602,6 +6602,15 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp"
 					>
@@ -6674,6 +6683,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="volatility"
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index ced06a6fb5..69bd20f28c 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6481,6 +6481,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp"
 					>
@@ -6553,6 +6561,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.hpp"
+					>
+				</File>
 			</Filter>
 			<Filter
 				Name="credit"
diff --git a/ql/experimental/exoticoptions/Makefile.am b/ql/experimental/exoticoptions/Makefile.am
index 7fed9af007..c36ace0409 100644
--- a/ql/experimental/exoticoptions/Makefile.am
+++ b/ql/experimental/exoticoptions/Makefile.am
@@ -7,6 +7,7 @@ this_include_HEADERS = \
     analyticamericanmargrabeengine.hpp \
     analyticeuropeanmargrabeengine.hpp \
     analyticsimplechooserengine.hpp \
+    analyticwriterextensibleoptionengine.hpp \
     continuousarithmeticasianlevyengine.hpp \
     everestoption.hpp \
     himalayaoption.hpp \
@@ -15,12 +16,14 @@ this_include_HEADERS = \
     mchimalayaengine.hpp \
     mcpagodaengine.hpp \
     pagodaoption.hpp \
-    simplechooseroption.hpp
+    simplechooseroption.hpp \
+    writerextensibleoption.hpp
 
 libExoticOptions_la_SOURCES = \
     analyticamericanmargrabeengine.cpp \
     analyticeuropeanmargrabeengine.cpp \
     analyticsimplechooserengine.cpp \
+    analyticwriterextensibleoptionengine.cpp \
     continuousarithmeticasianlevyengine.cpp \
     everestoption.cpp \
     himalayaoption.cpp \
@@ -29,7 +32,8 @@ libExoticOptions_la_SOURCES = \
     mchimalayaengine.cpp \
     mcpagodaengine.cpp \
     pagodaoption.cpp \
-    simplechooseroption.cpp
+    simplechooseroption.cpp \
+    writerextensibleoption.cpp
 
 noinst_LTLIBRARIES = libExoticOptions.la
 
diff --git a/ql/experimental/exoticoptions/all.hpp b/ql/experimental/exoticoptions/all.hpp
index cb894a6dde..ce1af51c6a 100644
--- a/ql/experimental/exoticoptions/all.hpp
+++ b/ql/experimental/exoticoptions/all.hpp
@@ -4,6 +4,7 @@
 #include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>
+#include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>
 #include <ql/experimental/exoticoptions/himalayaoption.hpp>
@@ -13,4 +14,5 @@
 #include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
 #include <ql/experimental/exoticoptions/pagodaoption.hpp>
 #include <ql/experimental/exoticoptions/simplechooseroption.hpp>
+#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
 
diff --git a/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp b/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp
new file mode 100644
index 0000000000..fcda2148a6
--- /dev/null
+++ b/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp
@@ -0,0 +1,130 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
+#include <ql/math/distributions/bivariatenormaldistribution.hpp>
+#include <ql/pricingengines/blackformula.hpp>
+
+using namespace std;
+
+namespace QuantLib {
+
+    AnalyticWriterExtensibleOptionEngine::AnalyticWriterExtensibleOptionEngine(
+             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process)
+    : process_(process) {
+        registerWith(process_);
+    }
+
+    void AnalyticWriterExtensibleOptionEngine::calculate() const {
+        // We take all the arguments:
+
+        boost::shared_ptr<PlainVanillaPayoff> payoff1 =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff1, "not a plain vanilla payoff");
+
+        boost::shared_ptr<PlainVanillaPayoff> payoff2 =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff2);
+        QL_REQUIRE(payoff2, "not a plain vanilla payoff");
+
+        boost::shared_ptr<Exercise> exercise1 = arguments_.exercise;
+
+        boost::shared_ptr<Exercise> exercise2 = arguments_.exercise2;
+
+
+        // We create and apply the calculate process:
+
+        Option::Type type = payoff1->optionType();
+
+        // STEP 1:
+
+        // S = spot
+        Real spot = process_->stateVariable()->value();
+
+        // For the B&S formulae:
+        DayCounter dividendDC = process_->dividendYield()->dayCounter();
+        Rate dividend = process_->dividendYield()->zeroRate(
+                  exercise1->lastDate(), dividendDC, Continuous, NoFrequency);
+
+        DayCounter riskFreeDC = process_->riskFreeRate()->dayCounter();
+        Rate riskFree = process_->riskFreeRate()->zeroRate(
+                  exercise1->lastDate(), riskFreeDC, Continuous, NoFrequency);
+
+        // The time to maturity:
+        Time t1 = riskFreeDC.yearFraction(
+                                    process_->riskFreeRate()->referenceDate(),
+                                    arguments_.exercise->lastDate());
+        Time t2 = riskFreeDC.yearFraction(
+                                    process_->riskFreeRate()->referenceDate(),
+                                    arguments_.exercise2->lastDate());
+
+        // b = r-q:
+        Real b = riskFree - dividend;
+
+        Real forwardPrice = spot * std::exp(b*t1);
+
+        Volatility volatility = process_->blackVolatility()->blackVol(
+                                    exercise1->lastDate(), payoff1->strike());
+
+        Real stdDev = volatility*std::sqrt(t1);
+
+        Real discount = std::exp(-riskFree*t1);
+
+        // Call the B&S method:
+        Real black = blackFormula(type, payoff1->strike(),
+                                  forwardPrice, stdDev, discount);
+
+        // STEP 2:
+
+        // Standard bivariate normal distribution:
+        Real ro = std::sqrt(t1/t2);
+        Real z1 = (std::log(spot/payoff2->strike()) +
+                   (b+std::pow(volatility, 2)/2)*t2)/(volatility*std::sqrt(t2));
+        Real z2 = (std::log(spot/payoff1->strike()) +
+                   (b+std::pow(volatility, 2)/2)*t1)/(volatility*std::sqrt(t1));
+
+        // Call the bivariate method:
+        BivariateCumulativeNormalDistributionWe04DP biv(-ro);
+
+
+        // STEP 3:
+
+        Real bivariate1, bivariate2, result;
+
+        // Final computing:
+        if (type == Option::Call) {
+            // Call case:
+            bivariate1 = biv(z1, -z2);
+            bivariate2 = biv(z1-volatility*std::sqrt(t2),
+                             -z2+volatility*std::sqrt(t1));
+            result = black + spot*std::exp((b-riskFree)*t2)*bivariate1
+                - payoff2->strike()*std::exp((-riskFree)*t2)*bivariate2;
+        } else {
+            // Put case:
+            bivariate1 = biv(-z1, z2);
+            bivariate2 = biv(-z1+volatility*std::sqrt(t2),
+                             z2-volatility*std::sqrt(t1));
+            result = black - spot*std::exp((b-riskFree)*t2)*bivariate1
+                + payoff2->strike()*std::exp((-riskFree)*t2)*bivariate2;
+        }
+
+        // Save the result:
+        results_.value = result;
+    }
+
+}
diff --git a/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp b/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp
new file mode 100644
index 0000000000..7b91ef6d61
--- /dev/null
+++ b/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp
@@ -0,0 +1,45 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analyticwriterextensibleoptionengine.hpp
+    \brief Analytic engine for writer-extensible options
+*/
+
+#ifndef quantlib_analytic_writer_extensible_option_engine_hpp
+#define quantlib_analytic_writer_extensible_option_engine_hpp
+
+#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    //! Analytic engine for writer-extensible options
+    class AnalyticWriterExtensibleOptionEngine
+        : public WriterExtensibleOption::engine {
+      public:
+        AnalyticWriterExtensibleOptionEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process);
+        void calculate() const;
+      private:
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
+    };
+
+}
+
+#endif
diff --git a/ql/experimental/exoticoptions/writerextensibleoption.cpp b/ql/experimental/exoticoptions/writerextensibleoption.cpp
new file mode 100644
index 0000000000..b0c54909cc
--- /dev/null
+++ b/ql/experimental/exoticoptions/writerextensibleoption.cpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
+#include <ql/event.hpp>
+
+namespace QuantLib {
+
+    WriterExtensibleOption::WriterExtensibleOption(
+        const boost::shared_ptr<PlainVanillaPayoff>& payoff1,
+        const boost::shared_ptr<Exercise>& exercise1,
+        const boost::shared_ptr<PlainVanillaPayoff>& payoff2,
+        const boost::shared_ptr<Exercise>& exercise2)
+    : OneAssetOption(payoff1, exercise1),
+      payoff2_(payoff2), exercise2_(exercise2) {}
+
+    void WriterExtensibleOption::setupArguments(
+                                       PricingEngine::arguments* args) const {
+        OneAssetOption::setupArguments(args);
+
+        WriterExtensibleOption::arguments* otherArguments =
+            dynamic_cast<WriterExtensibleOption::arguments*>(args);
+        QL_REQUIRE(otherArguments != 0, "wrong arguments type");
+
+        otherArguments->payoff2 = payoff2_;
+        otherArguments->exercise2 = exercise2_;
+    }
+
+    bool WriterExtensibleOption::isExpired() const {
+        return detail::simple_event(exercise2_->lastDate()).hasOccurred();
+    }
+
+    void WriterExtensibleOption::arguments::validate() const {
+        OneAssetOption::arguments::validate();
+        QL_REQUIRE(payoff2, "no second payoff given");
+        QL_REQUIRE(exercise2, "no second exercise given");
+        QL_REQUIRE(exercise2->lastDate() > exercise->lastDate(),
+                   "second exercise date is not later than the first");
+    }
+
+}
diff --git a/ql/experimental/exoticoptions/writerextensibleoption.hpp b/ql/experimental/exoticoptions/writerextensibleoption.hpp
new file mode 100644
index 0000000000..2f4a3b4da8
--- /dev/null
+++ b/ql/experimental/exoticoptions/writerextensibleoption.hpp
@@ -0,0 +1,76 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file writerextensibleoption.hpp
+    \brief Writer-extensible option
+*/
+
+#ifndef quantlib_writer_extensible_option_hpp
+#define quantlib_writer_extensible_option_hpp
+
+#include <ql/instruments/oneassetoption.hpp>
+#include <ql/instruments/payoffs.hpp>
+#include <ql/exercise.hpp>
+
+namespace QuantLib {
+
+    //! Writer-extensible option
+    class WriterExtensibleOption : public OneAssetOption {
+      public:
+        class arguments;
+        class engine;
+        /*!
+          \param payoff1    The first payoff
+          \param exercise1  The first exercise date
+          \param payoff2    The payoff of the extended option
+          \param exercise2  The second exercise date
+        */
+        WriterExtensibleOption(
+            const boost::shared_ptr<PlainVanillaPayoff>& payoff1,
+            const boost::shared_ptr<Exercise>& exercise1,
+            const boost::shared_ptr<PlainVanillaPayoff>& payoff2,
+            const boost::shared_ptr<Exercise>& exercise2);
+        // inspectors
+        boost::shared_ptr<Payoff> payoff2() { return payoff2_; }
+        boost::shared_ptr<Exercise> exercise2() { return exercise2_; };
+        // Instrument interface
+        bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+      private:
+        boost::shared_ptr<StrikedTypePayoff> payoff2_;
+        boost::shared_ptr<Exercise> exercise2_;
+    };
+
+    //! Additional arguments for writer-extensible option
+    class WriterExtensibleOption::arguments
+        : public OneAssetOption::arguments {
+      public:
+        void validate() const;
+        boost::shared_ptr<Payoff> payoff2;
+        boost::shared_ptr<Exercise> exercise2;
+    };
+
+    //! Base engine
+    class WriterExtensibleOption::engine :
+        public GenericEngine<WriterExtensibleOption::arguments,
+                             WriterExtensibleOption::results> {};
+
+}
+
+#endif
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index f163fcb3ee..49c98097cc 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -113,7 +113,8 @@ QL_TESTS = \
 	varianceoption.hpp varianceoption.cpp \
 	varianceswaps.hpp varianceswaps.cpp \
 	volatilitymodels.hpp volatilitymodels.cpp \
-	vpp.hpp vpp.cpp
+	vpp.hpp vpp.cpp \
+	writerextensibleoption.hpp writerextensibleoption.cpp
 
 QL_BENCHMARKS = \
 	quantlibbenchmark.cpp \
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index b01312c259..65d95c4d65 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -141,6 +141,7 @@
 #include "swapforwardmappings.hpp"
 #include "swaption.hpp"
 #include "swaptionvolatilitycube.hpp"
+#include "swaptionvolatilitymatrix.hpp"
 #include "termstructures.hpp"
 #include "timeseries.hpp"
 #include "tqreigendecomposition.hpp"
@@ -151,7 +152,7 @@
 #include "varianceswaps.hpp"
 #include "volatilitymodels.hpp"
 #include "vpp.hpp"
-#include "swaptionvolatilitymatrix.hpp"
+#include "writerextensibleoption.hpp"
 
 #include <iostream>
 #include <iomanip>
@@ -352,7 +353,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(VarianceSwapTest::suite());
     test->add(VolatilityModelsTest::suite());
     test->add(VPPTest::suite());
-
+    test->add(WriterExtensibleOptionTest::suite());
 
     //tests for deprecated classes
     test->add(LiborMarketModelTest::suite());
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 8b8dc236fd..3d9e4e0a3c 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=218
+UnitCount=220
 Type=1
 Ver=1
 ObjFiles=
@@ -2226,3 +2226,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit219]
+FileName=writerextensibleoption.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit220]
+FileName=writerextensibleoption.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 044cfb1966..d832c36864 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup Label="ProjectConfigurations">
     <ProjectConfiguration Include="Debug (static runtime)|Win32">
@@ -433,8 +433,9 @@
     <ClCompile Include="varianceoption.cpp" />
     <ClCompile Include="varianceswaps.cpp" />
     <ClCompile Include="volatilitymodels.cpp" />
-    <ClCompile Include="quantlibtestsuite.cpp" />
     <ClCompile Include="vpp.cpp" />
+    <ClCompile Include="writerextensibleoption.cpp" />
+    <ClCompile Include="quantlibtestsuite.cpp" />
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp" />
@@ -550,6 +551,7 @@
     <ClInclude Include="varianceswaps.hpp" />
     <ClInclude Include="volatilitymodels.hpp" />
     <ClInclude Include="vpp.hpp" />
+    <ClInclude Include="writerextensibleoption.hpp" />
   </ItemGroup>
   <ItemGroup>
     <ProjectReference Include="..\QuantLib_vc10.vcxproj">
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index aedb592a2b..12e18e29fc 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Filter Include="Source Files">
@@ -344,10 +344,13 @@
     <ClCompile Include="swingoption.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
-    <ClCompile Include="quantlibtestsuite.cpp" />
     <ClCompile Include="vpp.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="writerextensibleoption.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
+    <ClCompile Include="quantlibtestsuite.cpp" />
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="americanoption.hpp">
@@ -689,5 +692,8 @@
     <ClInclude Include="vpp.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="writerextensibleoption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index a13877a56b..349112c592 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -770,6 +770,9 @@
 			<File
 				RelativePath=".\volatilitymodels.cpp">
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.cpp">
+			</File>
 		</Filter>
 		<Filter
 			Name="Header Files"
@@ -1101,6 +1104,9 @@
 			<File
 				RelativePath=".\volatilitymodels.hpp">
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.hpp">
+			</File>
 		</Filter>
 		<File
 			RelativePath="quantlibtestsuite.cpp">
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index aa968583ec..a2ba712b89 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -882,6 +882,10 @@
 				RelativePath=".\volatilitymodels.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.cpp"
+				>
+			</File>
 		</Filter>
 		<Filter
 			Name="Header Files"
@@ -1335,6 +1339,10 @@
 				RelativePath=".\volatilitymodels.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.hpp"
+				>
+			</File>
 		</Filter>
 		<File
 			RelativePath="quantlibtestsuite.cpp"
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 1e20ab9f87..b8e4d6edae 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1303,6 +1303,10 @@
 				RelativePath=".\vpp.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.cpp"
+				>
+			</File>
 		</Filter>
 		<Filter
 			Name="Header Files"
@@ -1760,6 +1764,10 @@
 				RelativePath=".\vpp.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\writerextensibleoption.hpp"
+				>
+			</File>
 		</Filter>
 		<File
 			RelativePath="quantlibtestsuite.cpp"
diff --git a/test-suite/writerextensibleoption.cpp b/test-suite/writerextensibleoption.cpp
new file mode 100644
index 0000000000..390912ab95
--- /dev/null
+++ b/test-suite/writerextensibleoption.cpp
@@ -0,0 +1,126 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "writerextensibleoption.hpp"
+#include "utilities.hpp"
+#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
+#include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/utilities/dataformatters.hpp>
+#include <ql/time/calendars/target.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+#define REPORT_FAILURE(greekName,payoff1,payoff2,exercise1,exercise2, \
+                       spot, t1,t2,qRate,rRate,                       \
+                       today,vol,expected,calculated,tolerance)       \
+    BOOST_ERROR(payoff1->optionType() << " option with "                \
+        << "    exercise1:         "<<exerciseTypeToString(exercise1)<< "\n" \
+        << "    exercise2:         "<<exerciseTypeToString(exercise2)<< "\n" \
+        << "    payoff1:           "<<payoffTypeToString(payoff1) << "\n" \
+        << "    payoff2:           "<< payoffTypeToString(payoff2) << "\n" \
+        << "    spot value:        " << spot << "\n" \
+        << "    strike1:           " << payoff1->strike() << "\n" \
+        << "    strike2:           " << payoff2->strike() << "\n" \
+        << "    dividend yield:    " << io::rate(qRate) << "\n" \
+        << "    risk-free rate:    " << io::rate(rRate) << "\n" \
+        << "    reference date:    " << today << "\n" \
+        << "    maturity1:         " << exercise1->lastDate() << "\n" \
+        << "    maturity2:         " << exercise2->lastDate() << "\n" \
+        << "    volatility:        " << io::volatility(vol) << "\n\n" \
+        << "    expected   " << greekName << ": " << expected << "\n" \
+        << "    calculated " << greekName << ": " << calculated << "\n" \
+        << "    error:             " << std::fabs(expected-calculated)<< "\n" \
+        << "    tolerance:         " << tolerance);
+
+void WriterExtensibleOptionTest::testAnalyticWriterExtensibleOptionEngine() {
+    BOOST_MESSAGE("Testing analytic engine for writer-extensible option...");
+
+    // What we need for the option (tests):
+    Option::Type type = Option::Call;
+    Real strike1 = 90.0;
+    Real strike2 = 82.0;
+    DayCounter dc = Actual360();
+    Date today = Settings::instance().evaluationDate();
+    Real t1 = 0.5;
+    Date exDate1 = today + (t1*360 + 0.5);
+    Real t2 = 0.75;
+    Date exDate2 = today + (t2*360 + 0.5);
+
+    boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(80.0));
+    boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
+    boost::shared_ptr<YieldTermStructure> dividendTS =
+        flatRate(today, qRate, dc);
+    boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.10));
+    boost::shared_ptr<YieldTermStructure> riskFreeTS =
+        flatRate(today, rRate, dc);
+    boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.30));
+    boost::shared_ptr<BlackVolTermStructure> blackVolTS =
+        flatVol(today, vol, dc);
+
+    // B&S process (needed for the engine):
+    const boost::shared_ptr<GeneralizedBlackScholesProcess> process(
+        new GeneralizedBlackScholesProcess(
+                    Handle<Quote>(spot),
+                    Handle<YieldTermStructure>(dividendTS),
+                    Handle<YieldTermStructure>(riskFreeTS),
+                    Handle<BlackVolTermStructure>(blackVolTS)));
+
+    // The engine:
+    boost::shared_ptr<PricingEngine> engine(
+                           new AnalyticWriterExtensibleOptionEngine(process));
+
+    // Create the arguments:
+    boost::shared_ptr<PlainVanillaPayoff> payoff1(
+                                       new PlainVanillaPayoff(type, strike1));
+    boost::shared_ptr<Exercise> exercise1(new EuropeanExercise(exDate1));
+    boost::shared_ptr<PlainVanillaPayoff> payoff2(
+                                       new PlainVanillaPayoff(type, strike2));
+    boost::shared_ptr<Exercise> exercise2(new EuropeanExercise(exDate2));
+
+    // Create the option by calling the constructor:
+    WriterExtensibleOption option(payoff1, exercise1,
+                                  payoff2, exercise2);
+
+    //Set the engine of our option:
+    option.setPricingEngine(engine);
+
+    //Compare the calculated NPV value to the theoretical value:
+    Real calculated = option.NPV();
+    Real expected = 6.8238;
+
+    Real tolerance = 1e-4;
+
+    if (std::fabs(calculated-expected) > tolerance) {
+        REPORT_FAILURE("value", payoff1, payoff2, exercise1, exercise2,
+                       spot->value(), t1, t2, qRate->value(), rRate->value(),
+                       today, vol->value(), expected, calculated, tolerance);
+    }
+}
+
+test_suite* WriterExtensibleOptionTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Writer-extensible option tests");
+
+    suite->add(QUANTLIB_TEST_CASE(
+       &WriterExtensibleOptionTest::testAnalyticWriterExtensibleOptionEngine));
+
+    return suite;
+}
diff --git a/test-suite/writerextensibleoption.hpp b/test-suite/writerextensibleoption.hpp
new file mode 100644
index 0000000000..437c1eb879
--- /dev/null
+++ b/test-suite/writerextensibleoption.hpp
@@ -0,0 +1,35 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_writer_extensible_option_hpp
+#define quantlib_test_writer_extensible_option_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class WriterExtensibleOptionTest {
+  public:
+    static void testAnalyticWriterExtensibleOptionEngine();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif

From 86c17777054f1497868c258b51ecc37f670a0d0c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 18 Aug 2011 10:43:15 +0000
Subject: [PATCH 297/410] Added experimental spread option and related engine.

Thanks to IMAFA students Meryem Chibo and Samad Abdessadki.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17936 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |  33 +++-
 QuantLib_vc10.vcxproj                         |   3 +
 QuantLib_vc10.vcxproj.filters                 |   9 +
 QuantLib_vc7.vcproj                           |   9 +
 QuantLib_vc8.vcproj                           |  12 ++
 QuantLib_vc9.vcproj                           |  12 ++
 ql/experimental/exoticoptions/Makefile.am     |   3 +
 ql/experimental/exoticoptions/all.hpp         |   2 +
 .../exoticoptions/kirkspreadoptionengine.cpp  |  97 ++++++++++
 .../exoticoptions/kirkspreadoptionengine.hpp  |  48 +++++
 .../exoticoptions/spreadoption.hpp            |  49 +++++
 test-suite/Makefile.am                        |   1 +
 test-suite/quantlibtestsuite.cpp              |   2 +
 test-suite/spreadoption.cpp                   | 168 ++++++++++++++++++
 test-suite/spreadoption.hpp                   |  35 ++++
 test-suite/testsuite.dev                      |  22 ++-
 test-suite/testsuite_vc10.vcxproj             |   2 +
 test-suite/testsuite_vc10.vcxproj.filters     |   6 +
 test-suite/testsuite_vc7.vcproj               |   6 +
 test-suite/testsuite_vc8.vcproj               |   8 +
 test-suite/testsuite_vc9.vcproj               |   8 +
 21 files changed, 533 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
 create mode 100644 ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
 create mode 100644 ql/experimental/exoticoptions/spreadoption.hpp
 create mode 100644 test-suite/spreadoption.cpp
 create mode 100644 test-suite/spreadoption.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 8fabf07adc..5103b44a96 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1719
+UnitCount=1722
 Type=2
 Ver=1
 ObjFiles=
@@ -17236,3 +17236,34 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+
+[Unit1720]
+FileName=ql\experimental\exoticoptions\spreadoption.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1721]
+FileName=ql\experimental\exoticoptions\kirkspreadoptionengine.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1722]
+FileName=ql\experimental\exoticoptions\kirkspreadoptionengine.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 9cb1d412e3..60fb229889 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1115,12 +1115,14 @@
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\himalayaoption.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\kirkspreadoptionengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\margrabeoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mceverestengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mchimalayaengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mcpagodaengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\pagodaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp" />
     <ClInclude Include="ql\experimental\credit\all.hpp" />
     <ClInclude Include="ql\experimental\credit\basket.hpp" />
@@ -1889,6 +1891,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\himalayaoption.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\kirkspreadoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\margrabeoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\mceverestengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\mchimalayaengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index d7a98db191..71e76880c4 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2781,6 +2781,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\himalayaoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\kirkspreadoptionengine.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\margrabeoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -2799,6 +2802,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -5048,6 +5054,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\himalayaoption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\kirkspreadoptionengine.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\margrabeoption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 08b3bd9d5e..38f69dbb0b 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1069,6 +1069,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\himalayaoption.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\margrabeoption.cpp">
 				</File>
@@ -1105,6 +1111,9 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index de3b8f5b0c..7984cc0deb 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -6635,6 +6635,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\himalayaoption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\margrabeoption.cpp"
 					>
@@ -6683,6 +6691,10 @@
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 69bd20f28c..635ec3dde1 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6513,6 +6513,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\himalayaoption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\kirkspreadoptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\margrabeoption.cpp"
 					>
@@ -6561,6 +6569,10 @@
 					RelativePath=".\ql\experimental\exoticoptions\simplechooseroption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
 					>
diff --git a/ql/experimental/exoticoptions/Makefile.am b/ql/experimental/exoticoptions/Makefile.am
index c36ace0409..3eb631473c 100644
--- a/ql/experimental/exoticoptions/Makefile.am
+++ b/ql/experimental/exoticoptions/Makefile.am
@@ -11,12 +11,14 @@ this_include_HEADERS = \
     continuousarithmeticasianlevyengine.hpp \
     everestoption.hpp \
     himalayaoption.hpp \
+    kirkspreadoptionengine.hpp \
     margrabeoption.hpp \
     mceverestengine.hpp \
     mchimalayaengine.hpp \
     mcpagodaengine.hpp \
     pagodaoption.hpp \
     simplechooseroption.hpp \
+    spreadoption.hpp \
     writerextensibleoption.hpp
 
 libExoticOptions_la_SOURCES = \
@@ -27,6 +29,7 @@ libExoticOptions_la_SOURCES = \
     continuousarithmeticasianlevyengine.cpp \
     everestoption.cpp \
     himalayaoption.cpp \
+    kirkspreadoptionengine.cpp \
     margrabeoption.cpp \
     mceverestengine.cpp \
     mchimalayaengine.cpp \
diff --git a/ql/experimental/exoticoptions/all.hpp b/ql/experimental/exoticoptions/all.hpp
index ce1af51c6a..b93900b0d7 100644
--- a/ql/experimental/exoticoptions/all.hpp
+++ b/ql/experimental/exoticoptions/all.hpp
@@ -8,11 +8,13 @@
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>
 #include <ql/experimental/exoticoptions/himalayaoption.hpp>
+#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>
 #include <ql/experimental/exoticoptions/margrabeoption.hpp>
 #include <ql/experimental/exoticoptions/mceverestengine.hpp>
 #include <ql/experimental/exoticoptions/mchimalayaengine.hpp>
 #include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
 #include <ql/experimental/exoticoptions/pagodaoption.hpp>
 #include <ql/experimental/exoticoptions/simplechooseroption.hpp>
+#include <ql/experimental/exoticoptions/spreadoption.hpp>
 #include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
 
diff --git a/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp b/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
new file mode 100644
index 0000000000..634ff40b36
--- /dev/null
+++ b/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
@@ -0,0 +1,97 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>
+#include <ql/math/distributions/normaldistribution.hpp>
+#include <ql/exercise.hpp>
+
+using namespace std;
+
+namespace QuantLib {
+
+    KirkSpreadOptionEngine::KirkSpreadOptionEngine(
+            const boost::shared_ptr<BlackProcess>& process1,
+            const boost::shared_ptr<BlackProcess>& process2,
+			const Handle<Quote>& correlation)
+    : process1_(process1), process2_(process2), rho_(correlation) {
+        registerWith(process1_);
+        registerWith(process2_);
+        registerWith(rho_);
+    }
+
+    void KirkSpreadOptionEngine::calculate() const {
+
+		// First: tests on types
+        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
+                   "not an European Option");
+
+        boost::shared_ptr<PlainVanillaPayoff> payoff =
+			boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff, "not a plain-vanilla payoff");
+
+		// forward values - futures, so b=0
+        Real forward1 = process1_->stateVariable()->value();
+        Real forward2 = process2_->stateVariable()->value();
+
+        Date exerciseDate = arguments_.exercise->lastDate();
+
+		// Volatilities
+        Real sigma1 =
+            process1_->blackVolatility()->blackVol(exerciseDate,forward1);
+        Real sigma2 =
+            process2_->blackVolatility()->blackVol(exerciseDate,forward2);
+
+        DiscountFactor riskFreeDiscount =
+            process1_->riskFreeRate()->discount(exerciseDate);
+
+		Real strike = payoff->strike();
+
+		// Unique F (forward) value for pricing
+        Real F = forward1/(forward2+strike);
+		
+		// Its volatility
+		Real sigma =
+            sqrt(pow(sigma1,2)
+                 + pow((sigma2*(forward2/(forward2+strike))),2)
+                 - 2*rho_->value()*sigma1*sigma2*(forward2/(forward2+strike)));
+		
+		// Day counter and Dates handling variables
+		DayCounter rfdc = process1_->riskFreeRate()->dayCounter();
+		Time t = rfdc.yearFraction(process1_->riskFreeRate()->referenceDate(),
+                                   arguments_.exercise->lastDate());
+
+		// Black-Scholes solution values
+		Real d1 = (log(F)+ 0.5*pow(sigma,2)*t) / (sigma*sqrt(t));
+        Real d2 = d1 - sigma*sqrt(t);
+
+        CumulativeNormalDistribution cum;
+        Real Nd1 = cum(d1);
+        Real Nd2 = cum(d2);
+		Real NMd1 = cum(-d1);
+		Real NMd2 = cum(-d2);
+        
+		if (payoff->optionType()==Option::Call) {
+			results_.value = riskFreeDiscount*(F*Nd1-Nd2)*(forward2+strike);
+		} else {
+			results_.value = riskFreeDiscount*(NMd2 -F*NMd1)*(forward2+strike);
+		}
+    }
+	
+}
+
diff --git a/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp b/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
new file mode 100644
index 0000000000..17f4e3e6dd
--- /dev/null
+++ b/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
@@ -0,0 +1,48 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file kirkspreadoptionengine.hpp
+    \brief Kirk approximation for European spread option on futures
+*/
+
+#ifndef quantlib_kirk_spread_option_engine_hpp
+#define quantlib_kirk_spread_option_engine_hpp
+
+#include <ql/experimental/exoticoptions/spreadoption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    //! Kirk approximation for European spread option on futures
+    class KirkSpreadOptionEngine : public SpreadOption::engine {
+      public:
+        KirkSpreadOptionEngine(
+            const boost::shared_ptr<BlackProcess>& process1,
+            const boost::shared_ptr<BlackProcess>& process2,
+			const Handle<Quote>& correlation);
+        void calculate() const;
+      private:
+        boost::shared_ptr<BlackProcess> process1_;
+        boost::shared_ptr<BlackProcess> process2_;
+        Handle<Quote> rho_;
+    };
+
+}
+
+#endif
diff --git a/ql/experimental/exoticoptions/spreadoption.hpp b/ql/experimental/exoticoptions/spreadoption.hpp
new file mode 100644
index 0000000000..56ad77b871
--- /dev/null
+++ b/ql/experimental/exoticoptions/spreadoption.hpp
@@ -0,0 +1,49 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file spreadoption.hpp
+    \brief Spread option on two assets
+*/
+
+#ifndef quantlib_spread_option_hpp
+#define quantlib_spread_option_hpp
+
+#include <ql/instruments/multiassetoption.hpp>
+#include <ql/instruments/payoffs.hpp>
+
+namespace QuantLib {
+
+    //! Spread option on two assets
+    class SpreadOption : public MultiAssetOption {
+      public:
+        class engine;
+        SpreadOption(const boost::shared_ptr<PlainVanillaPayoff>& payoff,
+                     const boost::shared_ptr<Exercise>& exercise)
+        : MultiAssetOption(payoff, exercise) {}
+    };
+
+    //! %Spread option %engine base class
+    class SpreadOption::engine
+        : public GenericEngine<SpreadOption::arguments,
+                               SpreadOption::results> {};
+
+}
+
+
+#endif
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 49c98097cc..6516762f46 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -94,6 +94,7 @@ QL_TESTS = \
 	sampledcurve.hpp sampledcurve.cpp \
 	shortratemodels.hpp shortratemodels.cpp \
 	solvers.hpp solvers.cpp \
+	spreadoption.hpp spreadoption.cpp \
 	stats.hpp stats.cpp \
 	surface.hpp surface.cpp \
 	swap.hpp swap.cpp \
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 65d95c4d65..231be87e4e 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -134,6 +134,7 @@
 #include "sampledcurve.hpp"
 #include "shortratemodels.hpp"
 #include "solvers.hpp"
+#include "spreadoption.hpp"
 #include "swingoption.hpp"
 #include "surface.hpp"
 #include "stats.hpp"
@@ -335,6 +336,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(SampledCurveTest::suite());
     test->add(ShortRateModelTest::suite()); // fails with QL_USE_INDEXED_COUPON
     test->add(Solver1DTest::suite());
+    test->add(SpreadOptionTest::suite());
     test->add(SwingOptionTest::suite());
     test->add(StatisticsTest::suite());
     test->add(SurfaceTest::suite());
diff --git a/test-suite/spreadoption.cpp b/test-suite/spreadoption.cpp
new file mode 100644
index 0000000000..8b534e28d1
--- /dev/null
+++ b/test-suite/spreadoption.cpp
@@ -0,0 +1,168 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "spreadoption.hpp"
+#include "utilities.hpp"
+#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>
+#include <ql/exercise.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/utilities/dataformatters.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+using namespace std;
+
+//namespace QuantLib {
+
+#define REPORT_FAILURE( \
+    greekName,  \
+    payoff, exercise, \
+    expected, calculated, tolerance) \
+    BOOST_ERROR( \
+    exerciseTypeToString(exercise) \
+    << " Spread option with " \
+    << payoffTypeToString(payoff) << " payoff:\n" \
+    << "    strike:           " << payoff->strike() << "\n" \
+    << "    reference date:   " << today << "\n" \
+    << "    maturity:         " << exercise->lastDate() << "\n" \
+    << "    expected   " << greekName << ": " << expected << "\n" \
+    << "    calculated " << greekName << ": " << calculated << "\n" \
+    << "    error:            " << std::fabs(expected-calculated) \
+    << "\n" \
+    << "    tolerance:        " << tolerance);
+
+
+struct Case {
+    Real F1;
+    Real F2;
+    Real X;
+    Rate r;
+    Volatility sigma1;
+    Volatility sigma2;
+    Real rho;
+    Natural length;
+    Real result;
+};
+
+void SpreadOptionTest::testKirkEngine() {
+    BOOST_MESSAGE("Testing Kirk approximation for spread options...");
+
+    /* The example data below are from "complete guide to option
+       pricing formulas", Espen Gaarder Haug, p 60 */
+
+    Case cases[] = {
+        {  28.0,  20.0, 7.0, 0.05, 0.29, 0.36,  0.42, 90,  2.1670 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5,  36,  4.7530 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0,  36,  3.7970 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5,  36,  2.5537 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5, 180, 10.7517 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0, 180,  8.7020 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5, 180,  6.0257 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5,  36,  5.4275 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0,  36,  4.3712 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5,  36,  3.0086 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5, 180, 12.1941 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0, 180,  9.9340 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5, 180,  7.0067 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5,  36,  5.4061 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0,  36,  4.3451 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5,  36,  2.9723 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5, 180, 12.1483 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0, 180,  9.8780 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5, 180,  6.9284 }
+    };
+
+    for (Size i=0; i<LENGTH(cases); ++i) {
+
+        // First step: preparing the test values
+        // Useful dates
+        DayCounter dc = Actual360();
+        Date today = Date::todaysDate();
+        Date exerciseDate = today  + cases[i].length;
+
+        // Futures values
+        boost::shared_ptr<SimpleQuote> F1(new SimpleQuote(cases[i].F1));
+        boost::shared_ptr<SimpleQuote> F2(new SimpleQuote(cases[i].F2));
+
+        // Risk-free interest rate
+        Rate riskFreeRate = cases[i].r;
+        boost::shared_ptr<YieldTermStructure> forwardRate =
+            flatRate(today,riskFreeRate,dc);
+
+        // Correlation
+        boost::shared_ptr<Quote> rho(new SimpleQuote(cases[i].rho));
+
+        // Volatilities
+        Volatility vol1 = cases[i].sigma1;
+        Volatility vol2 = cases[i].sigma2;
+        boost::shared_ptr<BlackVolTermStructure> volTS1 =
+            flatVol(today,vol1,dc);
+        boost::shared_ptr<BlackVolTermStructure> volTS2 =
+            flatVol(today,vol2,dc);
+
+        // Black-Scholes Processes
+        // The BlackProcess is the relevant class for futures contracts
+        boost::shared_ptr<BlackProcess> stochProcess1(
+                     new BlackProcess(Handle<Quote>(F1),
+                                      Handle<YieldTermStructure>(forwardRate),
+                                      Handle<BlackVolTermStructure>(volTS1)));
+
+        boost::shared_ptr<BlackProcess> stochProcess2(
+                     new BlackProcess(Handle<Quote>(F2),
+                                      Handle<YieldTermStructure>(forwardRate),
+                                      Handle<BlackVolTermStructure>(volTS2)));
+
+        // Creating the pricing engine
+        boost::shared_ptr<PricingEngine> engine(
+                      new KirkSpreadOptionEngine(stochProcess1, stochProcess2,
+                                                 Handle<Quote>(rho)));
+
+        // Finally, create the option:
+        Option::Type type = Option::Call;
+        Real strike = cases[i].X;
+        boost::shared_ptr<PlainVanillaPayoff> payoff(
+                                        new PlainVanillaPayoff(type, strike));
+        boost::shared_ptr<Exercise> exercise(
+                                          new EuropeanExercise(exerciseDate));
+
+        SpreadOption option(payoff, exercise);
+        option.setPricingEngine(engine);
+
+        // And test the data
+        Real calculated = option.NPV();
+        Real expected = cases[i].result;
+        Real tolerance = 1e-4;
+
+        if (std::fabs(calculated-expected) > tolerance) {
+            REPORT_FAILURE("value",
+                           payoff, exercise,
+                           expected, calculated, tolerance);
+        }
+    }
+}
+
+test_suite* SpreadOptionTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Spread option tests");
+
+    suite->add(QUANTLIB_TEST_CASE(&SpreadOptionTest::testKirkEngine));
+
+    return suite;
+}
+
diff --git a/test-suite/spreadoption.hpp b/test-suite/spreadoption.hpp
new file mode 100644
index 0000000000..1c7e9e4393
--- /dev/null
+++ b/test-suite/spreadoption.hpp
@@ -0,0 +1,35 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_spread_option_hpp
+#define quantlib_test_spread_option_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class SpreadOptionTest {
+  public:
+    static void testKirkEngine();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 3d9e4e0a3c..6bd4a8ce24 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=220
+UnitCount=222
 Type=1
 Ver=1
 ObjFiles=
@@ -2246,3 +2246,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit221]
+FileName=spreadoption.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit222]
+FileName=spreadoption.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index d832c36864..3cf1505a84 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -415,6 +415,7 @@
     <ClCompile Include="sampledcurve.cpp" />
     <ClCompile Include="shortratemodels.cpp" />
     <ClCompile Include="solvers.cpp" />
+    <ClCompile Include="spreadoption.cpp" />
     <ClCompile Include="stats.cpp" />
     <ClCompile Include="surface.cpp" />
     <ClCompile Include="swap.cpp" />
@@ -531,6 +532,7 @@
     <ClInclude Include="sampledcurve.hpp" />
     <ClInclude Include="shortratemodels.hpp" />
     <ClInclude Include="solvers.hpp" />
+    <ClInclude Include="spreadoption.hpp" />
     <ClInclude Include="stats.hpp" />
     <ClInclude Include="surface.hpp" />
     <ClInclude Include="swap.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 12e18e29fc..214a106f42 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -284,6 +284,9 @@
     <ClCompile Include="solvers.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="spreadoption.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="stats.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -626,6 +629,9 @@
     <ClInclude Include="solvers.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="spreadoption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="stats.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index 349112c592..c7ef7ad670 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -719,6 +719,9 @@
 			<File
 				RelativePath="solvers.cpp">
 			</File>
+			<File
+				RelativePath="spreadoption.cpp">
+			</File>
 			<File
 				RelativePath="stats.cpp">
 			</File>
@@ -1050,6 +1053,9 @@
 			<File
 				RelativePath="solvers.hpp">
 			</File>
+			<File
+				RelativePath="spreadoption.hpp">
+			</File>
 			<File
 				RelativePath="stats.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index a2ba712b89..f900206a3c 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -810,6 +810,10 @@
 				RelativePath="solvers.cpp"
 				>
 			</File>
+			<File
+				RelativePath="spreadoption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="stats.cpp"
 				>
@@ -1263,6 +1267,10 @@
 				RelativePath="solvers.hpp"
 				>
 			</File>
+			<File
+				RelativePath="spreadoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="stats.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index b8e4d6edae..2f49779578 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1227,6 +1227,10 @@
 				RelativePath="solvers.cpp"
 				>
 			</File>
+			<File
+				RelativePath="spreadoption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="stats.cpp"
 				>
@@ -1684,6 +1688,10 @@
 				RelativePath="solvers.hpp"
 				>
 			</File>
+			<File
+				RelativePath="spreadoption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="stats.hpp"
 				>

From ebf92b1fcbe5a3fd596a1f8b93015e8a6c8c8498 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 2 Sep 2011 08:47:45 +0000
Subject: [PATCH 298/410] corrected wrong expectation value

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17938 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/vpp.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index d03e3d8784..d13a639b89 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -237,7 +237,7 @@ void VPPTest::testSimpleExtOUStorageEngine() {
 
     storageOption.setPricingEngine(storageEngine);
 
-    const Real expected = 69.6572;
+    const Real expected = 69.6307;
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 2e-2) {

From c08ff6273c71a78340dbd2c03915810588dd5d17 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 14 Sep 2011 13:57:34 +0000
Subject: [PATCH 299/410] Fixed generation of RPM spec file (thanks to Matt
 Fair).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17981 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.spec.in | 17 +++++++++--------
 configure.ac     |  1 +
 2 files changed, 10 insertions(+), 8 deletions(-)

diff --git a/QuantLib.spec.in b/QuantLib.spec.in
index 6a2105f9d8..8c6216317a 100644
--- a/QuantLib.spec.in
+++ b/QuantLib.spec.in
@@ -22,19 +22,21 @@ and developers.
 %package devel
 Summary: The header files and the static library.
 Group: Development/Libraries
-Requires: QuantLib = %{version}
+Requires: QuantLib = %{version}, boost >= 1.34.1
+BuildRequires: boost-devel >= 1.34.1
 
 %description devel
 QuantLib is an open source C++ library for financial quantitative analysts
 and developers.
 
 Install QuantLib-devel if you are going to develop programs which will
-use the standard C libraries.
+use the QuantLib C++ libraries.
 
 %package test-suite
 Summary: The test-suite to check the setup of quantlib installation.
 Group: Development/Tools
-Requires: QuantLib = %{version}
+Requires: QuantLib = %{version}, boost-test >= 1.34.1
+BuildRequires: boost-test >= 1.34.1
 
 %description test-suite
 QuantLib is an open source C++ library for financial quantitative analysts
@@ -78,13 +80,11 @@ make prefix=%{buildroot}%{_prefix} install
 # install the documentation
 mkdir -p %{buildroot}%{docdir}
 cp -p Authors.txt LICENSE.TXT ChangeLog.txt Readme.txt %{buildroot}%{docdir}
-cp -p Contributors.txt History.txt INSTALL.txt TODO.txt %{buildroot}%{docdir}
+cp -p Contributors.txt %{buildroot}%{docdir}
 cp -p News.txt  %{buildroot}%{docdir}
 cp -pr Examples %{buildroot}%{docdir}
 cp -pr Docs/html %{buildroot}%{docdir}
 rm -f %{buildroot}%{docdir}/html/*.dot
-cp -p Docs/latex/refman.pdf %{buildroot}%{docdir}/QuantLib-%{version}-docs-refman.pdf
-cp -p Docs/latex/refman.ps %{buildroot}%{docdir}/QuantLib-%{version}-docs-refman.ps
 cp -pr Docs/man/man3 %{buildroot}%{_mandir}/
 
 %clean
@@ -134,10 +134,11 @@ rm -rf %{buildroot}
 %defattr(-,root,root)
 %{_mandir}/man3/*
 %{docdir}/html
-%{docdir}/QuantLib-%{version}-docs-refman.pdf
-%{docdir}/QuantLib-%{version}-docs-refman.ps
 
 %changelog
+* Wed Sep 14 2011 Matt Fair
+- Updated spec file to work with current QuantLib versions
+
 * Tue Nov 18 2003 Liguo Song <liguo.song@vanderbilt.edu>
 - Initial release of 0.3.4
 - Rename QuantLib-doc to QuantLib-docs for consistency with the docs tar package
diff --git a/configure.ac b/configure.ac
index e6ec38d210..fc6a47519d 100644
--- a/configure.ac
+++ b/configure.ac
@@ -417,4 +417,5 @@ AC_CONFIG_FILES([
     Examples/Swap/Makefile
     test-suite/Makefile])
 AC_CONFIG_FILES([quantlib-config],[chmod +x quantlib-config])
+AC_CONFIG_FILES([QuantLib.spec])
 AC_OUTPUT

From f977e1c7233e5e2d488bed7a67b397508a4fe8a2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 14 Sep 2011 16:39:33 +0000
Subject: [PATCH 300/410] Removed old files from RPM spec.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17984 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.spec.in | 3 ---
 1 file changed, 3 deletions(-)

diff --git a/QuantLib.spec.in b/QuantLib.spec.in
index 8c6216317a..5f28177ca3 100644
--- a/QuantLib.spec.in
+++ b/QuantLib.spec.in
@@ -102,9 +102,6 @@ rm -rf %{buildroot}
 %{docdir}/Readme.txt
 %{docdir}/News.txt
 %{docdir}/Contributors.txt
-%{docdir}/History.txt
-%{docdir}/INSTALL.txt
-%{docdir}/TODO.txt
 %{_libdir}/libQuantLib.la
 %{_libdir}/libQuantLib.so
 %{_libdir}/libQuantLib-%{version}.so

From 815ff7b89d654f3b76a374b74c89e9c6c82dabe2 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 15 Sep 2011 08:16:25 +0000
Subject: [PATCH 301/410] Documentation fixes.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17986 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/baseindexedcashflow.hpp                        | 2 +-
 ql/cashflows/cpicoupon.hpp                                  | 2 +-
 ql/cashflows/cpicouponpricer.hpp                            | 4 ++--
 .../finitedifferences/fdklugeextouspreadengine.hpp          | 6 +++---
 .../finitedifferences/fdmextendedornsteinuhlenbeckop.hpp    | 2 +-
 .../finitedifferences/fdmextoujumpmodelinnervalue.hpp       | 2 +-
 ql/experimental/finitedifferences/fdmklugeextousolver.hpp   | 3 ++-
 .../finitedifferences/fdmspreadpayoffinnervalue.hpp         | 2 +-
 ql/experimental/finitedifferences/fdmvppstepcondition.hpp   | 3 ++-
 .../inflation/cpioptionletvolatilitystructure.hpp           | 6 +++---
 ql/experimental/processes/extouwithjumpsprocess.hpp         | 2 +-
 ql/experimental/processes/gemanroncoroniprocess.hpp         | 2 +-
 ql/math/solvers1d/finitedifferencenewtonsafe.hpp            | 2 +-
 13 files changed, 20 insertions(+), 18 deletions(-)

diff --git a/ql/cashflows/baseindexedcashflow.hpp b/ql/cashflows/baseindexedcashflow.hpp
index e37e6f9552..52dbd5d3d8 100755
--- a/ql/cashflows/baseindexedcashflow.hpp
+++ b/ql/cashflows/baseindexedcashflow.hpp
@@ -31,7 +31,7 @@
 namespace QuantLib {
 
 	//! when you observe an index, how do you interpolate between fixings?
-	//! \enum as the index, keep flat, or linear
+	//! \enum indexInterpolationType as the index, keep flat, or linear
 	enum indexInterpolationType {
 		iiINDEX = 0, iiFLAT = 1, iiLINEAR = 2
 	};
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index 223721a08f..1da9a59d80 100755
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -76,7 +76,7 @@ namespace QuantLib {
         Rate adjustedFixing() const;
 		//! you may want a different interpolation from the index, so reimplement here
 		Rate indexFixing() const;
-		//! \wrning make sure that the interpolation used to create this is what you 
+		//! \warning make sure that the interpolation used to create this is what you 
 		//! are using for the fixing, i.e. the observationInterpolation.
 		Rate baseCPI() const;
 		//! how do you observe the index?  as-is, flat, linear?
diff --git a/ql/cashflows/cpicouponpricer.hpp b/ql/cashflows/cpicouponpricer.hpp
index c6136b8e37..1af8c2b9fd 100755
--- a/ql/cashflows/cpicouponpricer.hpp
+++ b/ql/cashflows/cpicouponpricer.hpp
@@ -17,8 +17,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! \file zeroinflationcouponpricer.hpp
- \brief zero inflation-coupon pricer
+/*! \file cpicouponpricer.hpp
+    \brief zero inflation-coupon pricer
  */
 
 #ifndef quantlib_cpicouponpricer_hpp
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
index 042ecdcc66..6a83566056 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
@@ -17,9 +17,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdklugeextoutspreadengine.hpp
-    \brief Finite Differences for a simple power-gas spread option
-           Kluge process vs. extended Ornstein-Uhlenbeck process
+/*! \file fdklugeextouspreadengine.hpp
+    \brief FD Kluge/extended Ornstein-Uhlenbeck engine
+           for a simple power-gas spread option
 */
 
 #ifndef quantlib_fd_kluge_extou_spread_engine_hpp
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
index 0c29e9f998..ce9f5134c3 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmexpoujumpop.hpp
+/*! \file fdmextendedornsteinuhlenbeckop.hpp
     \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
 */
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
index 85d31f1aa0..b38d52275d 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdoujumpmodelinnervalue.hpp
+/*! \file fdmextoujumpmodelinnervalue.hpp
     \brief inner value calculator for the Ornstein Uhlenbeck
            plus exponential jumps model (Kluge Model)
 */
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
index e8f29ff8b8..2a53cc7be1 100644
--- a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
@@ -17,7 +17,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmklugeousolver.hpp
+/*! \file fdmklugeextousolver.hpp
+    \brief Kluge/extended Ornstein-Uhlenbeck FDM solver
 */
 
 #ifndef quantlib_fdm_kluge_ou_solver_hpp
diff --git a/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
index 6eac9ebfcd..49c4ca0761 100644
--- a/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
+++ b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmpreadpayoffinnervalue.hpp
+/*! \file fdmspreadpayoffinnervalue.hpp
     \brief inner value calculator for a spread payoff
 */
 
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
index 74abe7cab8..f288cc916b 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
@@ -17,7 +17,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmvppstatetransitionmatrix.hpp
+/*! \file fdmvppstepcondition.hpp
+    \brief VPP step condition for FD models
 */
 
 #ifndef quantlib_fdm_vpp_step_condition_hpp
diff --git a/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp b/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
index 6105573166..07aa3ef8cd 100755
--- a/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
+++ b/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! \file zeroinflationoptionletvolatilitystructure.hpp
+/*! \file cpioptionletvolatilitystructure.hpp
     \brief zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
  */
 
@@ -37,8 +37,8 @@ namespace QuantLib {
         totalVariance.  Also deal with lagged observations of an index
         with a (usually different) availability lag.
 	 
-		\FIXME so far is exact copy of yoy inflation vol code
-		- at least for the constant version.
+		\todo so far is exact copy of yoy inflation vol code
+		      - at least for the constant version.
     */
     class CPIOptionletVolatilitySurface : public VolatilityTermStructure {
     public:
diff --git a/ql/experimental/processes/extouwithjumpsprocess.hpp b/ql/experimental/processes/extouwithjumpsprocess.hpp
index 3665cb8969..c0aedb198d 100644
--- a/ql/experimental/processes/extouwithjumpsprocess.hpp
+++ b/ql/experimental/processes/extouwithjumpsprocess.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file expouwithjumpsprocess.hpp
+/*! \file extouwithjumpsprocess.hpp
     \brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
 */
 
diff --git a/ql/experimental/processes/gemanroncoroniprocess.hpp b/ql/experimental/processes/gemanroncoroniprocess.hpp
index 5ef4f95a7e..7ef87e33bf 100755
--- a/ql/experimental/processes/gemanroncoroniprocess.hpp
+++ b/ql/experimental/processes/gemanroncoroniprocess.hpp
@@ -35,7 +35,7 @@ namespace QuantLib {
         \begin{array}{rcl}
             dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
                 +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
-                +\sigma dW(t) + h(E(t^-))dJ(t) 
+                +\sigma dW(t) + h(E(t^-))dJ(t) \\
             \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
                 +\delta \cos(\zeta + 4\pi t)
         \end{array}
diff --git a/ql/math/solvers1d/finitedifferencenewtonsafe.hpp b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
index b4d1d8a817..9787fcfe32 100644
--- a/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
+++ b/ql/math/solvers1d/finitedifferencenewtonsafe.hpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file newtonsafefinitedifferences.hpp
+/*! \file finitedifferencenewtonsafe.hpp
     \brief Safe (bracketed) Newton 1-D solver with finite difference derivatives
 */
 

From b81af6232b449d73595ffe45e6c5687c5d837f5d Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 15 Sep 2011 12:46:07 +0000
Subject: [PATCH 302/410] Added moving holidays for 2011.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17988 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/china.cpp       |  9 +++++++-
 ql/time/calendars/china.hpp       |  4 ++--
 ql/time/calendars/hongkong.cpp    | 36 +++++++++++++++++++++++++++++--
 ql/time/calendars/hongkong.hpp    |  6 +++---
 ql/time/calendars/india.cpp       | 27 ++++++++++++++++++++++-
 ql/time/calendars/india.hpp       |  4 ++--
 ql/time/calendars/indonesia.cpp   | 20 ++++++++++++++++-
 ql/time/calendars/indonesia.hpp   |  4 ++--
 ql/time/calendars/saudiarabia.cpp | 10 ++++++++-
 ql/time/calendars/saudiarabia.hpp |  4 ++--
 ql/time/calendars/taiwan.cpp      | 19 +++++++++++++++-
 ql/time/calendars/taiwan.hpp      |  4 ++--
 12 files changed, 127 insertions(+), 20 deletions(-)

diff --git a/ql/time/calendars/china.cpp b/ql/time/calendars/china.cpp
index 23383291e3..00fa61d140 100644
--- a/ql/time/calendars/china.cpp
+++ b/ql/time/calendars/china.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2007, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -53,6 +53,7 @@ namespace QuantLib {
             || (y == 2007 && d <= 3 && m == January)
             || (y == 2007 && d == 31 && m == December)
             || (y == 2009 && d == 2 && m == January)
+            || (y == 2011 && d == 3 && m == January)
             // Chinese New Year
             || (y == 2004 && d >= 19 && d <= 28 && m == January)
             || (y == 2005 && d >=  7 && d <= 15 && m == February)
@@ -62,28 +63,34 @@ namespace QuantLib {
             || (y == 2008 && d >= 6 && d <= 12 && m == February)
             || (y == 2009 && d >= 26 && d <= 30 && m == January)
             || (y == 2010 && d >= 15 && d <= 19 && m == January)
+            || (y == 2011 && d >= 2 && d <= 8 && m == February)
             // Ching Ming Festival
             || (y <= 2008 && d == 4 && m == April)
             || (y == 2009 && d == 6 && m == April)
             || (y == 2010 && d == 5 && m == April)
+            || (y == 2011 && d >=3 && 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)
+            || (y == 2011 && d == 2 && 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)
+            || (y == 2011 && d >= 4 && d <= 6 && m == June)
             // Mid-Autumn Festival
             || (y <= 2008 && d == 15 && m == September)
             || (y == 2010 && d >= 22 && d <= 24 && m == September)
+            || (y == 2011 && d >= 10 && d <= 12 && 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)
+            || (y == 2011 && d >= 1 && d <= 7 && m == October)
             )
             return false;
         return true;
diff --git a/ql/time/calendars/china.hpp b/ql/time/calendars/china.hpp
index 8b5828c3d8..0c037e3d19 100644
--- a/ql/time/calendars/china.hpp
+++ b/ql/time/calendars/china.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -41,7 +41,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given (data available for
-        2004-2010 only):
+        2004-2011 only):
         <ul>
         <li>Chinese New Year</li>
         <li>Ching Ming Festival</li>
diff --git a/ql/time/calendars/hongkong.cpp b/ql/time/calendars/hongkong.cpp
index d73b0598ba..cd37bc2496 100644
--- a/ql/time/calendars/hongkong.cpp
+++ b/ql/time/calendars/hongkong.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2007, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -53,7 +53,7 @@ namespace QuantLib {
             // Easter Monday
             || (dd == em)
             // Labor Day
-            || (d == 1 && m == May)
+            || ((d == 1 || ((d == 2 || d == 3) && w == Monday)) && m == May)
             // SAR Establishment Day
             || ((d == 1 || ((d == 2 || d == 3) && w == Monday)) && m == July)
             // National Day
@@ -168,6 +168,38 @@ namespace QuantLib {
             return false;
         }
 
+        if (y == 2011) {
+            if (// Lunar New Year
+                ((d == 3 || d == 4) && m == February)
+                // Ching Ming Festival
+                || (d == 5 && m == April)
+                // Buddha's birthday
+                || (d == 10 && m == May)
+                // Tuen NG festival
+                || (d == 6 && m == June)
+                // Mid-autumn festival
+                || (d == 13 && m == September)
+                // Chung Yeung festival
+                || (d == 5 && m == October)
+                // Second day after Christmas
+                || (d == 27 && m == December))
+            return false;
+        }
+
+        if (y == 2012) {
+            if (// Lunar New Year
+                (d >= 23 && d <= 25 && m == January)
+                // Ching Ming Festival
+                || (d == 4 && m == April)
+                // Buddha's birthday
+                || (d == 10 && m == May)
+                // Mid-autumn festival
+                || (d == 1 && m == October)
+                // Chung Yeung festival
+                || (d == 23 && m == October))
+            return false;
+        }
+
         return true;
     }
 
diff --git a/ql/time/calendars/hongkong.hpp b/ql/time/calendars/hongkong.hpp
index 59ffe5c8c5..88a44b4d73 100644
--- a/ql/time/calendars/hongkong.hpp
+++ b/ql/time/calendars/hongkong.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2007, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -38,7 +38,7 @@ namespace QuantLib {
         <li>Ching Ming Festival, April 5th </li>
         <li>Good Friday</li>
         <li>Easter Monday</li>
-        <li>Labor Day, May 1st</li>
+        <li>Labor Day, May 1st (possibly moved to Monday)</li>
         <li>SAR Establishment Day, July 1st (possibly moved to Monday)</li>
         <li>National Day, October 1st (possibly moved to Monday)</li>
         <li>Christmas, December 25th</li>
@@ -46,7 +46,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2004-2010 only:)
+        (data available for 2004-2012 only:)
         <ul>
         <li>Lunar New Year</li>
         <li>Chinese New Year</li>
diff --git a/ql/time/calendars/india.cpp b/ql/time/calendars/india.cpp
index 98130cc52c..66c874f6a5 100644
--- a/ql/time/calendars/india.cpp
+++ b/ql/time/calendars/india.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2005, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -191,6 +191,31 @@ namespace QuantLib {
                 return false;
         }
 
+        if (y == 2011) {
+            if (// Mahashivratri
+                (d == 2 && m == March)
+                // Ram Navmi
+                || (d == 12 && m == April)
+                // Ramzan Id
+                || (d == 31 && m == August)
+                // Ganesh Chaturthi
+                || (d == 1 && m == September)
+                // Dasara
+                || (d == 6 && m == October)
+                // Laxmi Puja
+                || (d == 26 && m == October)
+                // Diwali - Balipratipada
+                || (d == 27 && m == October)
+                // Bakri Id
+                || (d == 7 && m == November)
+                // Gurunanak Jayanti
+                || (d == 10 && m == November)
+                // Moharram
+                || (d == 6 && m == December)
+                )
+                return false;
+        }
+
         return true;
     }
 
diff --git a/ql/time/calendars/india.hpp b/ql/time/calendars/india.hpp
index c32a9ac842..0bda66bb59 100644
--- a/ql/time/calendars/india.hpp
+++ b/ql/time/calendars/india.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2005, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -43,7 +43,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2005-2010 only:)
+        (data available for 2005-2011 only:)
         <ul>
         <li>Bakri Id</li>
         <li>Moharram</li>
diff --git a/ql/time/calendars/indonesia.cpp b/ql/time/calendars/indonesia.cpp
index 7bf4816d76..bd1b4027ae 100644
--- a/ql/time/calendars/indonesia.cpp
+++ b/ql/time/calendars/indonesia.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2005, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -193,6 +193,24 @@ namespace QuantLib {
                 return false;
         }
 
+        if (y == 2011) {
+            if (// Chinese New Year
+                   (d == 3 && m == February)
+                // Birthday of the prophet Muhammad SAW
+                || (d == 15 && m == February)
+                // Birth of Buddha
+                || (d == 17 && m == May)
+                // Isra' Mi'raj of the prophet Muhammad SAW
+                || (d == 29 && m == June)
+                // Ied Fitr
+                || (d >= 29 && m == August)
+                || (d <= 2 && m == September)
+                // Public Holiday
+                || (d == 26 && m == December)
+                )
+                return false;
+        }
+
         return true;
     }
 
diff --git a/ql/time/calendars/indonesia.hpp b/ql/time/calendars/indonesia.hpp
index e6fa38604d..50338a1767 100644
--- a/ql/time/calendars/indonesia.hpp
+++ b/ql/time/calendars/indonesia.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2005, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -42,7 +42,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2005-2010 only:)
+        (data available for 2005-2011 only:)
         <ul>
         <li>Idul Adha</li>
         <li>Ied Adha</li>
diff --git a/ql/time/calendars/saudiarabia.cpp b/ql/time/calendars/saudiarabia.cpp
index c34f456900..4670ae491e 100644
--- a/ql/time/calendars/saudiarabia.cpp
+++ b/ql/time/calendars/saudiarabia.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007 StatPro Italia srl
+ Copyright (C) 2007, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -52,9 +52,17 @@ namespace QuantLib {
             // Eid Al-Adha
             || (d >= 1 && d <= 6 && m == February && y==2004)
             || (d >= 21 && d <= 25 && m == January && y==2005)
+            || (d >= 26 && m == November && y==2009)
+            || (d <= 4 && m == December && y==2009)
+            || (d >= 11 && d <= 19 && m == November && y==2010)
             // Eid Al-Fitr
             || (d >= 25 && d <= 29 && m == November && y==2004)
             || (d >= 14 && d <= 18 && m == November && y==2005)
+            || (d >= 25 && m == August && y==2011)
+            || (d <= 2 && m == September && y==2011)
+            // other one-shot holidays
+            || (d == 26 && m == February && y==2011)
+            || (d == 19 && m == March && y==2011)
             )
             return false;
         return true;
diff --git a/ql/time/calendars/saudiarabia.hpp b/ql/time/calendars/saudiarabia.hpp
index 86156854d3..7bc99cd81b 100644
--- a/ql/time/calendars/saudiarabia.hpp
+++ b/ql/time/calendars/saudiarabia.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007 StatPro Italia srl
+ Copyright (C) 2007, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -39,7 +39,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2004-2005 only:)
+        (data available sparsely for 2004-2011 only:)
         <ul>
         <li>Eid Al-Adha</li>
         <li>Eid Al-Fitr</li>
diff --git a/ql/time/calendars/taiwan.cpp b/ql/time/calendars/taiwan.cpp
index e767fe1fc5..c450166e19 100644
--- a/ql/time/calendars/taiwan.cpp
+++ b/ql/time/calendars/taiwan.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2005, 2006, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -165,6 +165,23 @@ namespace QuantLib {
                 return false;
         }
 
+        if (y == 2011) {
+            if (// Spring Festival
+                   (d >= 2 && d <= 7 && m == February)
+                // Children's Day
+                || (d == 4 && m == April)
+                // Tomb Sweeping Day
+                || (d == 5 && m == April)
+                // Labour Day
+                || (d == 2 && m == May)
+                // Dragon Boat Festival
+                || (d == 6 && m == June)
+                // Mid-Autumn Festival
+                || (d == 12 && m == September)
+                )
+                return false;
+        }
+
         return true;
     }
 
diff --git a/ql/time/calendars/taiwan.hpp b/ql/time/calendars/taiwan.hpp
index 28c67dc08b..7e94e1719f 100644
--- a/ql/time/calendars/taiwan.hpp
+++ b/ql/time/calendars/taiwan.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2005, 2006, 2007, 2008, 2009 StatPro Italia srl
+ Copyright (C) 2005, 2006, 2007, 2008, 2009, 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -42,7 +42,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2002-2010 only:)
+        (data available for 2002-2011 only:)
         <ul>
         <li>Chinese Lunar New Year</li>
         <li>Tomb Sweeping Day</li>

From 4d13f48b942eaef76cd018b29757b96e761ed957 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 15 Sep 2011 17:45:53 +0000
Subject: [PATCH 303/410] added comment

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17991 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../volatility/swaption/swaptionvolcube2.hpp         | 12 ++++++++++++
 1 file changed, 12 insertions(+)

diff --git a/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp b/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp
index 07e5f18158..75c73a6098 100644
--- a/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp
+++ b/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp
@@ -31,6 +31,18 @@ namespace QuantLib {
 
     class SwaptionVolCube2 : public SwaptionVolatilityCube{
       public:
+          /*! The swaption vol cube is made up of ordered swaption vol surface
+              layers, each layer referring to a swap index of a given length
+              (in years), all indexes belonging to the same family. In order
+              to identify the family (and its market conventions) an index of
+              whatever length from that family must be passed in as
+              swapIndexBase.
+
+              Often for short swap length the swap index family is different,
+              e.g. the EUR case: swap vs 6M Euribor is used for length>1Y,
+              while swap vs 3M Euribor is used for the 1Y length. The
+              shortSwapIndexBase is used to identify this second family.
+        */
         SwaptionVolCube2(
             const Handle<SwaptionVolatilityStructure>& atmVolStructure,
             const std::vector<Period>& optionTenors,

From e43dcae62b185c187045801708d0088b17d4b6b0 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 15 Sep 2011 17:46:25 +0000
Subject: [PATCH 304/410] changed formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17992 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/stochasticprocess.hpp | 21 ++++++++++++++-------
 1 file changed, 14 insertions(+), 7 deletions(-)

diff --git a/ql/stochasticprocess.hpp b/ql/stochasticprocess.hpp
index 547db39a84..ffbc6ce65f 100644
--- a/ql/stochasticprocess.hpp
+++ b/ql/stochasticprocess.hpp
@@ -69,11 +69,13 @@ namespace QuantLib {
         /*! \brief returns the drift part of the equation, i.e.,
                    \f$ \mu(t, \mathrm{x}_t) \f$
         */
-        virtual Disposable<Array> drift(Time t, const Array& x) const = 0;
+        virtual Disposable<Array> drift(Time t,
+                                        const Array& x) const = 0;
         /*! \brief returns the diffusion part of the equation, i.e.
                    \f$ \sigma(t, \mathrm{x}_t) \f$
         */
-        virtual Disposable<Matrix> diffusion(Time t, const Array& x) const = 0;
+        virtual Disposable<Matrix> diffusion(Time t,
+                                             const Array& x) const = 0;
         /*! returns the expectation
             \f$ E(\mathrm{x}_{t_0 + \Delta t}
                 | \mathrm{x}_{t_0} = \mathrm{x}_0) \f$
@@ -82,7 +84,8 @@ namespace QuantLib {
             overridden in derived classes which want to hard-code a
             particular discretization.
         */
-        virtual Disposable<Array> expectation(Time t0, const Array& x0,
+        virtual Disposable<Array> expectation(Time t0,
+                                              const Array& x0,
                                               Time dt) const;
         /*! returns the standard deviation
             \f$ S(\mathrm{x}_{t_0 + \Delta t}
@@ -92,7 +95,8 @@ namespace QuantLib {
             overridden in derived classes which want to hard-code a
             particular discretization.
         */
-        virtual Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
+        virtual Disposable<Matrix> stdDeviation(Time t0,
+                                                const Array& x0,
                                                 Time dt) const;
         /*! returns the covariance
             \f$ V(\mathrm{x}_{t_0 + \Delta t}
@@ -102,7 +106,8 @@ namespace QuantLib {
             overridden in derived classes which want to hard-code a
             particular discretization.
         */
-        virtual Disposable<Matrix> covariance(Time t0, const Array& x0,
+        virtual Disposable<Matrix> covariance(Time t0,
+                                              const Array& x0,
                                               Time dt) const;
         /*! returns the asset value after a time interval \f$ \Delta t
             \f$ according to the given discretization. By default, it
@@ -114,8 +119,10 @@ namespace QuantLib {
             where \f$ E \f$ is the expectation and \f$ S \f$ the
             standard deviation.
         */
-        virtual Disposable<Array> evolve(Time t0, const Array& x0,
-                                         Time dt, const Array& dw) const;
+        virtual Disposable<Array> evolve(Time t0,
+                                         const Array& x0,
+                                         Time dt,
+                                         const Array& dw) const;
         /*! applies a change to the asset value. By default, it
             returns \f$ \mathrm{x} + \Delta \mathrm{x} \f$.
         */

From 6a46e479771db61a7e505db333d1ee0e41b855c9 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 15 Sep 2011 17:47:36 +0000
Subject: [PATCH 305/410] ignored pdb files

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17994 8618b1d8-e22c-0410-b026-96a5dba3e089

From d5c970d7c7034d0bee5ffa13333e87c22b2286b6 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 11:42:52 +0000
Subject: [PATCH 306/410] added new AssetSwap constructor with non-par
 repayment

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17996 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 176 +++++++++++++++++++++++++++++++----
 ql/instruments/assetswap.hpp |  20 +++-
 2 files changed, 175 insertions(+), 21 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 31f9a3c639..dc66b7b883 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2006, 2007 Chiara Fornarola
- Copyright (C) 2007, 2009 Ferdinando Ametrano
+ Copyright (C) 2007, 2009, 2011 Ferdinando Ametrano
  Copyright (C) 2007, 2009 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
@@ -34,29 +34,150 @@ using std::vector;
 
 namespace QuantLib {
 
+    AssetSwap::AssetSwap(bool parSwap,
+                         const boost::shared_ptr<Bond>& bond,
+                         Real bondCleanPrice,
+                         Real nonParRepayment,
+                         const boost::shared_ptr<IborIndex>& iborIndex,
+                         Spread spread,
+                         const DayCounter& floatingDayCounter,
+                         Date dealMaturity,
+                         bool payFixedRate)
+    : Swap(2), bond_(bond), bondCleanPrice_(bondCleanPrice),
+      nonParRepayment_(nonParRepayment), spread_(spread), parSwap_(parSwap)
+    {
+        Schedule tempSch(bond_->settlementDate(),
+                         bond_->maturityDate(),
+                         iborIndex->tenor(),
+                         iborIndex->fixingCalendar(),
+                         iborIndex->businessDayConvention(),
+                         iborIndex->businessDayConvention(),
+                         DateGeneration::Backward,
+                         false); // endOfMonth
+        if (dealMaturity==Date())
+            dealMaturity = bond_->maturityDate();
+        QL_REQUIRE(dealMaturity <= tempSch.dates().back(),
+                   "deal maturity " << dealMaturity <<
+                   " cannot be later than (adjusted) bond maturity " <<
+                   tempSch.dates().back());
+
+        // the following might become an input parameter
+        BusinessDayConvention paymentAdjustment = Following;
+
+        Date finalDate = tempSch.calendar().adjust(
+            dealMaturity, paymentAdjustment);
+        Schedule schedule = tempSch.until(finalDate);
+
+        // bondCleanPrice must be the (forward) clean price
+        // at the floating schedule start date
+        upfrontDate_ = schedule.startDate();
+        Real dirtyPrice = bondCleanPrice_ +
+                          bond_->accruedAmount(upfrontDate_);
+
+        Real notional = bond_->notional(upfrontDate_);
+        /* In the market asset swap, the bond is purchased in return for
+           payment of the full price. The notional of the floating leg is
+           then scaled by the full price. */
+        if (!parSwap_)
+            notional *= dirtyPrice/100.0;
+
+        if (floatingDayCounter==DayCounter())
+            legs_[1] = IborLeg(schedule, iborIndex)
+                .withNotionals(notional)
+                .withPaymentAdjustment(paymentAdjustment)
+                .withSpreads(spread);
+        else
+            legs_[1] = IborLeg(schedule, iborIndex)
+                .withNotionals(notional)
+                .withPaymentDayCounter(floatingDayCounter)
+                .withPaymentAdjustment(paymentAdjustment)
+                .withSpreads(spread);
+
+        for (Leg::const_iterator i=legs_[1].begin(); i<legs_[1].end(); ++i)
+            registerWith(*i);
+
+        const Leg& bondLeg = bond_->cashflows();
+        Leg::const_iterator i = bondLeg.begin();
+        // skip bond redemption
+        for (; i<bondLeg.end()-1 && (*i)->date()<=dealMaturity; ++i) {
+            // whatever might be the choice for the discounting engine
+            // bond flows on upfrontDate_ must be discarded
+            bool upfrontDateBondFlows = false;
+            if (!(*i)->hasOccurred(upfrontDate_, upfrontDateBondFlows))
+                legs_[0].push_back(*i);
+        }
+        // if the first skipped cashflow is not the redemption
+        // and it is a coupon then add the accrued coupon
+        if (i<bondLeg.end()-1) {
+            shared_ptr<Coupon> c = boost::dynamic_pointer_cast<Coupon>(*i);
+            if (c) {
+                shared_ptr<CashFlow> accruedCoupon(new
+                    SimpleCashFlow(c->accruedAmount(dealMaturity), finalDate));
+                legs_[0].push_back(accruedCoupon);
+            }
+        }
+        // add the nonParRepayment_
+        shared_ptr<CashFlow> nonParRepaymentFlow(new
+            SimpleCashFlow(nonParRepayment_, finalDate));
+        legs_[0].push_back(nonParRepaymentFlow);
+
+        QL_REQUIRE(!legs_[0].empty(),
+                   "empty bond leg to start with");
+
+        // special flows
+        if (parSwap_) {
+            // upfront on the floating leg
+            Real upfront = (dirtyPrice-100.0)/100.0*notional;
+            shared_ptr<CashFlow> upfrontCashFlow(new
+                SimpleCashFlow(upfront, upfrontDate_));
+            legs_[1].insert(legs_[1].begin(), upfrontCashFlow);
+            // backpayment on the floating leg
+            // (accounts for non-par redemption, if any)
+            Real backPayment = notional;
+            shared_ptr<CashFlow> backPaymentCashFlow(new
+                SimpleCashFlow(backPayment, finalDate));
+            legs_[1].push_back(backPaymentCashFlow);
+        } else {
+            // final notional exchange
+            shared_ptr<CashFlow> finalCashFlow (new
+                SimpleCashFlow(notional, finalDate));
+            legs_[1].push_back(finalCashFlow);
+        }
+
+        QL_REQUIRE(!legs_[0].empty(), "empty bond leg");
+        for (Leg::const_iterator i=legs_[0].begin(); i<legs_[0].end(); ++i)
+            registerWith(*i);
+
+        if (payFixedRate) {
+            payer_[0]=-1.0;
+            payer_[1]=+1.0;
+        } else {
+            payer_[0]=+1.0;
+            payer_[1]=-1.0;
+        }
+    }
+
     AssetSwap::AssetSwap(bool payFixedRate,
                          const shared_ptr<Bond>& bond,
                          Real bondCleanPrice,
-                         const shared_ptr<IborIndex>& index,
+                         const shared_ptr<IborIndex>& iborIndex,
                          Spread spread,
-                         const Schedule& floatSch,
+                         const Schedule& floatSchedule,
                          const DayCounter& floatingDayCounter,
                          bool parSwap)
     : Swap(2), bond_(bond), bondCleanPrice_(bondCleanPrice),
-      spread_(spread), parSwap_(parSwap) {
-
-        Schedule schedule = floatSch;
-        if (floatSch.empty()) {
-            bool endOfMonth = false;
+      nonParRepayment_(100), spread_(spread), parSwap_(parSwap)
+    {
+        Schedule schedule = floatSchedule;
+        if (floatSchedule.empty())
             schedule = Schedule(bond_->settlementDate(),
                                 bond_->maturityDate(),
-                                index->tenor(),
-                                index->fixingCalendar(),
-                                index->businessDayConvention(),
-                                index->businessDayConvention(),
+                                iborIndex->tenor(),
+                                iborIndex->fixingCalendar(),
+                                iborIndex->businessDayConvention(),
+                                iborIndex->businessDayConvention(),
                                 DateGeneration::Backward,
-                                endOfMonth);
-        }
+                                false); // endOfMonth
 
         // the following might become an input parameter
         BusinessDayConvention paymentAdjustment = Following;
@@ -86,12 +207,12 @@ namespace QuantLib {
             notional *= dirtyPrice/100.0;
 
         if (floatingDayCounter==DayCounter())
-            legs_[1] = IborLeg(schedule, index)
+            legs_[1] = IborLeg(schedule, iborIndex)
                 .withNotionals(notional)
                 .withPaymentAdjustment(paymentAdjustment)
                 .withSpreads(spread);
         else
-            legs_[1] = IborLeg(schedule, index)
+            legs_[1] = IborLeg(schedule, iborIndex)
                 .withNotionals(notional)
                 .withPaymentDayCounter(floatingDayCounter)
                 .withPaymentAdjustment(paymentAdjustment)
@@ -241,10 +362,26 @@ namespace QuantLib {
         }
     }
 
+    Real AssetSwap::fairNonParRepayment() const {
+        calculate();
+        if (fairNonParRepayment_ != Null<Real>()) {
+            return fairNonParRepayment_;
+        } else {
+            DiscountFactor df = startDiscounts_.back();
+            QL_REQUIRE(df!=Null<DiscountFactor>(),
+                       "unable to calculate fair non-par rapayment");
+            Real notional = bond_->notional(upfrontDate_);
+            fairNonParRepayment_ = nonParRepayment_ - 
+                NPV_*npvDateDiscount_/df/(notional/100.0);
+            return fairNonParRepayment_;
+        }
+    }
+
     void AssetSwap::setupExpired() const {
         Swap::setupExpired();
         fairSpread_ = Null<Spread>();
-        fairCleanPrice_= Null<Real>();
+        fairCleanPrice_ = Null<Real>();
+        fairNonParRepayment_ = Null<Real>();
     }
 
     void AssetSwap::fetchResults(const PricingEngine::results* r) const {
@@ -254,9 +391,11 @@ namespace QuantLib {
         if (results) {
             fairSpread_ = results->fairSpread;
             fairCleanPrice_= results->fairCleanPrice;
+            fairNonParRepayment_= results->fairNonParRepayment;
         } else {
             fairSpread_ = Null<Spread>();
-            fairCleanPrice_= Null<Real>();
+            fairCleanPrice_ = Null<Real>();
+            fairNonParRepayment_ = Null<Real>();
         }
     }
 
@@ -285,6 +424,7 @@ namespace QuantLib {
         Swap::results::reset();
         fairSpread = Null<Spread>();
         fairCleanPrice = Null<Real>();
+        fairNonParRepayment = Null<Real>();
     }
 
 }
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 3f6ad02db1..7205964c15 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2006, 2007 Chiara Fornarola
- Copyright (C) 2007, 2009 Ferdinando Ametrano
+ Copyright (C) 2007, 2009, 2011 Ferdinando Ametrano
  Copyright (C) 2007, 2009 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
@@ -52,19 +52,31 @@ namespace QuantLib {
       public:
         class arguments;
         class results;
+
         AssetSwap(bool payFixedRate,
                   const boost::shared_ptr<Bond>& bond,
                   Real bondCleanPrice,
-                  const boost::shared_ptr<IborIndex>& index,
+                  const boost::shared_ptr<IborIndex>& iborIndex,
                   Spread spread,
                   const Schedule& floatSchedule = Schedule(),
                   const DayCounter& floatingDayCount = DayCounter(),
                   bool parAssetSwap = true);
+
+        AssetSwap(bool parAssetSwap,
+                  const boost::shared_ptr<Bond>& bond,
+                  Real bondCleanPrice,
+                  Real nonParRepayment,
+                  const boost::shared_ptr<IborIndex>& iborIndex,
+                  Spread spread = 0.0,
+                  const DayCounter& floatingDayCount = DayCounter(),
+                  Date dealMaturity = Date(),
+                  bool payFixedRate = false);
         // results
         Spread fairSpread() const;
         Real floatingLegBPS() const;
         Real floatingLegNPV() const;
         Real fairCleanPrice() const;
+        Real fairNonParRepayment() const;
         // inspectors
         bool parSwap() const { return parSwap_; }
         Spread spread() const { return spread_; }
@@ -78,13 +90,14 @@ namespace QuantLib {
       private:
         void setupExpired() const;
         boost::shared_ptr<Bond> bond_;
-        Real bondCleanPrice_;
+        Real bondCleanPrice_, nonParRepayment_;
         Spread spread_;
         bool parSwap_;
         Date upfrontDate_;
         // results
         mutable Spread fairSpread_;
         mutable Real fairCleanPrice_;
+        mutable Real fairNonParRepayment_;
     };
 
 
@@ -108,6 +121,7 @@ namespace QuantLib {
       public:
         Spread fairSpread;
         Real fairCleanPrice;
+        Real fairNonParRepayment;
         void reset();
     };
 

From 1de35b8ede506768ba18ece2561a8ee113773dbf Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 11:44:42 +0000
Subject: [PATCH 307/410] improved formatting

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17997 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/processes/ornsteinuhlenbeckprocess.cpp | 34 --------------
 ql/processes/ornsteinuhlenbeckprocess.hpp | 57 ++++++++++++++++++++---
 2 files changed, 50 insertions(+), 41 deletions(-)

diff --git a/ql/processes/ornsteinuhlenbeckprocess.cpp b/ql/processes/ornsteinuhlenbeckprocess.cpp
index db068861d6..e7d4a18935 100644
--- a/ql/processes/ornsteinuhlenbeckprocess.cpp
+++ b/ql/processes/ornsteinuhlenbeckprocess.cpp
@@ -32,40 +32,6 @@ namespace QuantLib {
         QL_REQUIRE(volatility_ >= 0.0, "negative volatility given");
     }
 
-    Real OrnsteinUhlenbeckProcess::x0() const {
-        return x0_;
-    }
-
-    Real OrnsteinUhlenbeckProcess::speed() const {
-        return speed_;
-    }
-
-    Real OrnsteinUhlenbeckProcess::volatility() const {
-        return volatility_;
-    }
-
-    Real OrnsteinUhlenbeckProcess::level() const {
-        return level_;
-    }
-
-    Real OrnsteinUhlenbeckProcess::drift(Time, Real x) const {
-        return speed_ * (level_ - x);
-    }
-
-    Real OrnsteinUhlenbeckProcess::diffusion(Time, Real) const {
-        return volatility_;
-    }
-
-    Real OrnsteinUhlenbeckProcess::expectation(Time, Real x0,
-                                               Time dt) const {
-        return level_ + (x0 - level_) * std::exp(-speed_*dt);
-    }
-
-    Real OrnsteinUhlenbeckProcess::stdDeviation(Time t, Real x0,
-                                                Time dt) const {
-        return std::sqrt(variance(t,x0,dt));
-    }
-
     Real OrnsteinUhlenbeckProcess::variance(Time, Real, Time dt) const {
         if (speed_ < std::sqrt(QL_EPSILON)) {
              // algebraic limit for small speed
diff --git a/ql/processes/ornsteinuhlenbeckprocess.hpp b/ql/processes/ornsteinuhlenbeckprocess.hpp
index 52c9cb0f99..799f3e7c8f 100644
--- a/ql/processes/ornsteinuhlenbeckprocess.hpp
+++ b/ql/processes/ornsteinuhlenbeckprocess.hpp
@@ -46,22 +46,65 @@ namespace QuantLib {
                                  Real level = 0.0);
         //! \name StochasticProcess interface
         //@{
+        Real drift(Time t,
+                   Real x) const;
+        Real diffusion(Time t,
+                       Real x) const;
+        Real expectation(Time t0,
+                         Real x0,
+                         Time dt) const;
+        Real stdDeviation(Time t0,
+                          Real x0,
+                          Time dt) const;
+        //@}
         Real x0() const;
         Real speed() const;
         Real volatility() const;
         Real level() const;
-        Real drift(Time t, Real x) const;
-        Real diffusion(Time t, Real x) const;
-        Real expectation(Time t0, Real x0, Time dt) const;
-        Real stdDeviation(Time t0, Real x0, Time dt) const;
-        Real variance(Time t0, Real x0, Time dt) const;
-        //@}
+        Real variance(Time t0,
+                      Real x0,
+                      Time dt) const;
       private:
         Real x0_, speed_, level_;
         Volatility volatility_;
     };
 
-}
+    // inline
+
+    inline Real OrnsteinUhlenbeckProcess::x0() const {
+        return x0_;
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::speed() const {
+        return speed_;
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::volatility() const {
+        return volatility_;
+    }
 
+    inline Real OrnsteinUhlenbeckProcess::level() const {
+        return level_;
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::drift(Time, Real x) const {
+        return speed_ * (level_ - x);
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::diffusion(Time, Real) const {
+        return volatility_;
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::expectation(Time, Real x0,
+                                               Time dt) const {
+        return level_ + (x0 - level_) * std::exp(-speed_*dt);
+    }
+
+    inline Real OrnsteinUhlenbeckProcess::stdDeviation(Time t, Real x0,
+                                                Time dt) const {
+        return std::sqrt(variance(t,x0,dt));
+    }
+
+}
 
 #endif

From 02ab89156cc9745269510e9ce96286db5bf520bb Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 15:25:51 +0000
Subject: [PATCH 308/410] added endDiscounts for fair end payment calculations

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@17999 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/swap.cpp                       | 20 ++++++++++++++++---
 ql/instruments/swap.hpp                       |  9 +++++++--
 .../swap/discountingswapengine.cpp            | 14 ++++++++++---
 3 files changed, 35 insertions(+), 8 deletions(-)

diff --git a/ql/instruments/swap.cpp b/ql/instruments/swap.cpp
index a05f46977d..8b071a391b 100644
--- a/ql/instruments/swap.cpp
+++ b/ql/instruments/swap.cpp
@@ -29,7 +29,8 @@ namespace QuantLib {
     Swap::Swap(const Leg& firstLeg,
                const Leg& secondLeg)
     : legs_(2), payer_(2),
-      legNPV_(2, 0.0), legBPS_(2, 0.0), startDiscounts_(2, 0.0),
+      legNPV_(2, 0.0), legBPS_(2, 0.0),
+      startDiscounts_(2, 0.0), endDiscounts_(2, 0.0),
       npvDateDiscount_(0.0) {
         legs_[0] = firstLeg;
         legs_[1] = secondLeg;
@@ -45,7 +46,8 @@ namespace QuantLib {
                const std::vector<bool>& payer)
     : legs_(legs), payer_(legs.size(), 1.0),
       legNPV_(legs.size(), 0.0), legBPS_(legs.size(), 0.0),
-      startDiscounts_(legs.size(), 0.0), npvDateDiscount_(0.0) {
+      startDiscounts_(legs.size(), 0.0), endDiscounts_(legs.size(), 0.0),
+      npvDateDiscount_(0.0) {
         QL_REQUIRE(payer.size()==legs_.size(),
                    "size mismatch between payer (" << payer.size() <<
                    ") and legs (" << legs_.size() << ")");
@@ -58,7 +60,8 @@ namespace QuantLib {
 
     Swap::Swap(Size legs)
     : legs_(legs), payer_(legs),
-      legNPV_(legs, 0.0), legBPS_(legs, 0.0), startDiscounts_(legs, 0.0),
+      legNPV_(legs, 0.0), legBPS_(legs, 0.0),
+      startDiscounts_(legs, 0.0), endDiscounts_(legs, 0.0),
       npvDateDiscount_(0.0) {}
 
 
@@ -77,6 +80,7 @@ namespace QuantLib {
         std::fill(legBPS_.begin(), legBPS_.end(), 0.0);
         std::fill(legNPV_.begin(), legNPV_.end(), 0.0);
         std::fill(startDiscounts_.begin(), startDiscounts_.end(), 0.0);
+        std::fill(endDiscounts_.begin(), endDiscounts_.end(), 0.0);
         npvDateDiscount_ = 0.0;
     }
 
@@ -119,6 +123,15 @@ namespace QuantLib {
                                                     Null<DiscountFactor>());
         }
 
+        if (!results->endDiscounts.empty()) {
+            QL_REQUIRE(results->endDiscounts.size() == endDiscounts_.size(),
+                       "wrong number of leg end discounts returned");
+            endDiscounts_ = results->endDiscounts;
+        } else {
+            std::fill(endDiscounts_.begin(), endDiscounts_.end(),
+                                                    Null<DiscountFactor>());
+        }
+
         if (results->npvDateDiscount != Null<DiscountFactor>()) {
             npvDateDiscount_ = results->npvDateDiscount;
         } else {
@@ -154,6 +167,7 @@ namespace QuantLib {
         legNPV.clear();
         legBPS.clear();
         startDiscounts.clear();
+        endDiscounts.clear();
         npvDateDiscount = Null<DiscountFactor>();
     }
 
diff --git a/ql/instruments/swap.hpp b/ql/instruments/swap.hpp
index e7a02a5e05..39e647deef 100644
--- a/ql/instruments/swap.hpp
+++ b/ql/instruments/swap.hpp
@@ -78,6 +78,11 @@ namespace QuantLib {
             calculate();
             return startDiscounts_[j];
         }
+        DiscountFactor endDiscounts(Size j) const {
+            QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
+            calculate();
+            return endDiscounts_[j];
+        }
         DiscountFactor npvDateDiscount() const {
             calculate();
             return npvDateDiscount_;
@@ -104,7 +109,7 @@ namespace QuantLib {
         std::vector<Real> payer_;
         mutable std::vector<Real> legNPV_;
         mutable std::vector<Real> legBPS_;
-        mutable std::vector<DiscountFactor> startDiscounts_;
+        mutable std::vector<DiscountFactor> startDiscounts_, endDiscounts_;
         mutable DiscountFactor npvDateDiscount_;
     };
 
@@ -120,7 +125,7 @@ namespace QuantLib {
       public:
         std::vector<Real> legNPV;
         std::vector<Real> legBPS;
-        std::vector<DiscountFactor> startDiscounts;
+        std::vector<DiscountFactor> startDiscounts, endDiscounts;
         DiscountFactor npvDateDiscount;
         void reset();
     };
diff --git a/ql/pricingengines/swap/discountingswapengine.cpp b/ql/pricingengines/swap/discountingswapengine.cpp
index 83bb2d8b7f..effcf26906 100644
--- a/ql/pricingengines/swap/discountingswapengine.cpp
+++ b/ql/pricingengines/swap/discountingswapengine.cpp
@@ -67,6 +67,7 @@ namespace QuantLib {
         results_.legNPV.resize(n);
         results_.legBPS.resize(n);
         results_.startDiscounts.resize(n);
+        results_.endDiscounts.resize(n);
 
         bool includeRefDateFlows =
             includeSettlementDateFlows_ ?
@@ -86,11 +87,18 @@ namespace QuantLib {
                 results_.legNPV[i] *= arguments_.payer[i];
                 results_.legBPS[i] *= arguments_.payer[i];
 
-                const Date& d = CashFlows::startDate(arguments_.legs[i]);
-                if (d>=refDate)
-                   results_.startDiscounts[i] = discountCurve_->discount(d);
+                Date d1 = CashFlows::startDate(arguments_.legs[i]);
+                if (d1>=refDate)
+                   results_.startDiscounts[i] = discountCurve_->discount(d1);
                 else
                    results_.startDiscounts[i] = Null<DiscountFactor>();
+
+                Date d2 = CashFlows::maturityDate(arguments_.legs[i]);
+                if (d2>=refDate)
+                   results_.endDiscounts[i] = discountCurve_->discount(d2);
+                else
+                   results_.endDiscounts[i] = Null<DiscountFactor>();
+
             } catch (std::exception &e) {
                 QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
             }

From 4466cc44dacf5050f11057c020085e33745b5927 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 15:28:33 +0000
Subject: [PATCH 309/410] added fair non-par repayment calculation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18000 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 7 +++----
 ql/instruments/assetswap.hpp | 8 ++++----
 2 files changed, 7 insertions(+), 8 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index dc66b7b883..cdc3c5ba61 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -367,12 +367,11 @@ namespace QuantLib {
         if (fairNonParRepayment_ != Null<Real>()) {
             return fairNonParRepayment_;
         } else {
-            DiscountFactor df = startDiscounts_.back();
-            QL_REQUIRE(df!=Null<DiscountFactor>(),
-                       "unable to calculate fair non-par rapayment");
+            QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
+                       "fair non par repayment not available for expired leg");
             Real notional = bond_->notional(upfrontDate_);
             fairNonParRepayment_ = nonParRepayment_ - 
-                NPV_*npvDateDiscount_/df/(notional/100.0);
+                NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
             return fairNonParRepayment_;
         }
     }
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 7205964c15..461584ecfc 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -80,6 +80,8 @@ namespace QuantLib {
         // inspectors
         bool parSwap() const { return parSwap_; }
         Spread spread() const { return spread_; }
+        Real cleanPrice() const { return bondCleanPrice_; }
+        Real nonParRepayment() const { return nonParRepayment_; }
         const boost::shared_ptr<Bond>& bond() const { return bond_; }
         bool payFixedRate() const { return (payer_[0] == -1.0); }
         const Leg& bondLeg() const { return legs_[0]; }
@@ -96,8 +98,7 @@ namespace QuantLib {
         Date upfrontDate_;
         // results
         mutable Spread fairSpread_;
-        mutable Real fairCleanPrice_;
-        mutable Real fairNonParRepayment_;
+        mutable Real fairCleanPrice_, fairNonParRepayment_;
     };
 
 
@@ -120,8 +121,7 @@ namespace QuantLib {
     class AssetSwap::results : public Swap::results {
       public:
         Spread fairSpread;
-        Real fairCleanPrice;
-        Real fairNonParRepayment;
+        Real fairCleanPrice, fairNonParRepayment;
         void reset();
     };
 

From 7e153b5df91eae69461fc8fc78d5a4418658beab Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 16:19:36 +0000
Subject: [PATCH 310/410] fixed humongous bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18001 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index cdc3c5ba61..492a9578bb 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -243,12 +243,12 @@ namespace QuantLib {
             // backpayment on the floating leg
             // (accounts for non-par redemption, if any)
             Real backPayment = notional;
-            shared_ptr<CashFlow> backPaymentCashFlow (new
+            shared_ptr<CashFlow> backPaymentCashFlow(new
                 SimpleCashFlow(backPayment, finalDate));
             legs_[1].push_back(backPaymentCashFlow);
         } else {
             // final notional exchange
-            shared_ptr<CashFlow> finalCashFlow (new
+            shared_ptr<CashFlow> finalCashFlow(new
                 SimpleCashFlow(notional, finalDate));
             legs_[1].push_back(finalCashFlow);
         }
@@ -349,12 +349,12 @@ namespace QuantLib {
                        "fair clean price not available for seasoned deal");
             Real notional = bond_->notional(upfrontDate_);
             if (parSwap_) {
-                fairCleanPrice_ = bondCleanPrice_ - 
+                fairCleanPrice_ = bondCleanPrice_ - payer_[0] *
                     NPV_*npvDateDiscount_/startDiscounts_[1]/(notional/100.0);
             } else {
                 Real accruedAmount = bond_->accruedAmount(upfrontDate_);
                 Real dirtyPrice = bondCleanPrice_ + accruedAmount;
-                Real fairDirtyPrice = - legNPV_[0]/legNPV_[1] * dirtyPrice;
+                Real fairDirtyPrice = - payer_[0] * legNPV_[0]/legNPV_[1] * dirtyPrice;
                 fairCleanPrice_ = fairDirtyPrice - accruedAmount;
             }
 
@@ -370,7 +370,7 @@ namespace QuantLib {
             QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
                        "fair non par repayment not available for expired leg");
             Real notional = bond_->notional(upfrontDate_);
-            fairNonParRepayment_ = nonParRepayment_ - 
+            fairNonParRepayment_ = nonParRepayment_ + payer_[0] * 
                 NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
             return fairNonParRepayment_;
         }

From 98444191c89a152d4746a94bb116665b43468a72 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Sep 2011 17:16:14 +0000
Subject: [PATCH 311/410] introduced gearing in asset swap

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18002 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 5 ++++-
 ql/instruments/assetswap.hpp | 1 +
 2 files changed, 5 insertions(+), 1 deletion(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 492a9578bb..b02b313d2b 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -38,6 +38,7 @@ namespace QuantLib {
                          const boost::shared_ptr<Bond>& bond,
                          Real bondCleanPrice,
                          Real nonParRepayment,
+                         Real gearing,
                          const boost::shared_ptr<IborIndex>& iborIndex,
                          Spread spread,
                          const DayCounter& floatingDayCounter,
@@ -85,12 +86,14 @@ namespace QuantLib {
             legs_[1] = IborLeg(schedule, iborIndex)
                 .withNotionals(notional)
                 .withPaymentAdjustment(paymentAdjustment)
+                .withGearings(gearing)
                 .withSpreads(spread);
         else
             legs_[1] = IborLeg(schedule, iborIndex)
                 .withNotionals(notional)
                 .withPaymentDayCounter(floatingDayCounter)
                 .withPaymentAdjustment(paymentAdjustment)
+                .withGearings(gearing)
                 .withSpreads(spread);
 
         for (Leg::const_iterator i=legs_[1].begin(); i<legs_[1].end(); ++i)
@@ -370,7 +373,7 @@ namespace QuantLib {
             QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
                        "fair non par repayment not available for expired leg");
             Real notional = bond_->notional(upfrontDate_);
-            fairNonParRepayment_ = nonParRepayment_ + payer_[0] * 
+            fairNonParRepayment_ = nonParRepayment_ - payer_[0] * 
                 NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
             return fairNonParRepayment_;
         }
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 461584ecfc..4a9505bfb5 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -66,6 +66,7 @@ namespace QuantLib {
                   const boost::shared_ptr<Bond>& bond,
                   Real bondCleanPrice,
                   Real nonParRepayment,
+                  Real gearing,
                   const boost::shared_ptr<IborIndex>& iborIndex,
                   Spread spread = 0.0,
                   const DayCounter& floatingDayCount = DayCounter(),

From d0ea68edd612670fb5b89fec037dc6df642d0fcb Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 1 Oct 2011 11:13:39 +0000
Subject: [PATCH 312/410] add reserve method

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18009 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/statistics/generalstatistics.hpp | 7 +++++++
 1 file changed, 7 insertions(+)

diff --git a/ql/math/statistics/generalstatistics.hpp b/ql/math/statistics/generalstatistics.hpp
index 35ea041b50..1f1de47cf8 100644
--- a/ql/math/statistics/generalstatistics.hpp
+++ b/ql/math/statistics/generalstatistics.hpp
@@ -171,6 +171,9 @@ namespace QuantLib {
         //! resets the data to a null set
         void reset();
 
+        //! informs the internal storage of a planned increase in size
+        void reserve(Size n) const;
+
         //! sort the data set in increasing order
         void sort() const;
         //@}
@@ -227,6 +230,10 @@ namespace QuantLib {
         sorted_ = true;
     }
 
+    inline void GeneralStatistics::reserve(Size n) const {
+        samples_.reserve(n);
+    }
+
     inline void GeneralStatistics::sort() const {
         if (!sorted_) {
             std::sort(samples_.begin(), samples_.end());

From 8919363603e3a90ab859d8252121dd2e6d85e33f Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 3 Oct 2011 16:18:20 +0000
Subject: [PATCH 313/410] More tweaks for the RPM specs (thanks to Matt Fair).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18011 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.spec.in | 39 ++++++++++++++++++++-------------------
 1 file changed, 20 insertions(+), 19 deletions(-)

diff --git a/QuantLib.spec.in b/QuantLib.spec.in
index 5f28177ca3..baba1c8094 100644
--- a/QuantLib.spec.in
+++ b/QuantLib.spec.in
@@ -13,7 +13,15 @@ Packager: Liguo Song (Leo) <liguo.song@vanderbilt.edu>
 Vendor: QuantLib.org
 Source0: http://prdownloads.sourceforge.net/quantlib/QuantLib-%{version}.tar.gz
 URL: http://quantlib.org/
-Buildroot: %{_tmppath}/%{name}-%{version}-root
+BuildRoot:%(mktemp -ud %{_tmppath}/%{name}-%{version}-%{release}-XXXXXX)
+
+BuildRequires: autoconf
+BuildRequires: automake
+BuildRequires: libtool
+BuildRequires: gcc
+BuildRequires: gcc-c++
+BuildRequires: rpmlib(FileDigests)
+BuildRequires: rpmlib(CompressedFileNames)
 
 %description
 QuantLib is an open source C++ library for financial quantitative analysts
@@ -68,17 +76,19 @@ You'll want to install this package if you need a reference to QuantLib.
 CFLAGS="${CFLAGS:-%optflags}" ; export CFLAGS ; \
 CXXFLAGS="${CXXFLAGS:-%optflags}" ; export CXXFLAGS ; \
 FFLAGS="${FFLAGS:-%optflags}" ; export FFLAGS ; \
-./configure --prefix=%{_prefix}
-make
+%configure --prefix=%{_prefix}
+make %{?_smp_mflags}
 # make documentations
 cd Docs
 make docs-all
 
 %install
-rm -rf %{buildroot}
-make prefix=%{buildroot}%{_prefix} install
+rm -rf $RPM_BUILD_ROOT
+make install DESTDIR=$RPM_BUILD_ROOT
+
 # install the documentation
 mkdir -p %{buildroot}%{docdir}
+mkdir -p %{buildroot}%{_mandir}
 cp -p Authors.txt LICENSE.TXT ChangeLog.txt Readme.txt %{buildroot}%{docdir}
 cp -p Contributors.txt %{buildroot}%{docdir}
 cp -p News.txt  %{buildroot}%{docdir}
@@ -88,7 +98,7 @@ rm -f %{buildroot}%{docdir}/html/*.dot
 cp -pr Docs/man/man3 %{buildroot}%{_mandir}/
 
 %clean
-rm -rf %{buildroot}
+rm -rf $RPM_BUILD_ROOT
 
 %post -p /sbin/ldconfig
 
@@ -102,29 +112,20 @@ rm -rf %{buildroot}
 %{docdir}/Readme.txt
 %{docdir}/News.txt
 %{docdir}/Contributors.txt
-%{_libdir}/libQuantLib.la
-%{_libdir}/libQuantLib.so
-%{_libdir}/libQuantLib-%{version}.so
-%{_libdir}/libQuantLibFunctions.la
-%{_libdir}/libQuantLibFunctions.so
-%{_libdir}/libQuantLibFunctions-%{version}.so
+%{_libdir}/*
 
 %files devel
 %defattr(-,root,root)
 %{docdir}/Examples
 %{_includedir}/ql/
-%{_libdir}/libQuantLib.a
-%{_libdir}/libQuantLib.so
-%{_libdir}/libQuantLibFunctions.a
-%{_libdir}/libQuantLibFunctions.so
+%{_libdir}/*
 %{_datadir}/aclocal/*
-%{_datadir}/emacs/site-lisp/*
 %{_bindir}/quantlib-config
-%{_mandir}/man1/quantlib-config.1
+%{_mandir}/man1/quantlib-config.1.gz
 
 %files test-suite
 %defattr(-,root,root)
-%{_mandir}/man1/quantlib-test-suite.1
+%{_mandir}/man1/quantlib-test-suite.1.gz
 %{_bindir}/quantlib-test-suite
 
 %files docs

From b00b82898d43c4cc18b52a141deedf5aec49fe29 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 6 Oct 2011 13:25:30 +0000
Subject: [PATCH 314/410] fixed bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18012 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index b02b313d2b..86b361b3c1 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -352,12 +352,12 @@ namespace QuantLib {
                        "fair clean price not available for seasoned deal");
             Real notional = bond_->notional(upfrontDate_);
             if (parSwap_) {
-                fairCleanPrice_ = bondCleanPrice_ - payer_[0] *
+                fairCleanPrice_ = bondCleanPrice_ - payer_[1] *
                     NPV_*npvDateDiscount_/startDiscounts_[1]/(notional/100.0);
             } else {
                 Real accruedAmount = bond_->accruedAmount(upfrontDate_);
                 Real dirtyPrice = bondCleanPrice_ + accruedAmount;
-                Real fairDirtyPrice = - payer_[0] * legNPV_[0]/legNPV_[1] * dirtyPrice;
+                Real fairDirtyPrice = - payer_[1] * legNPV_[0]/legNPV_[1] * dirtyPrice;
                 fairCleanPrice_ = fairDirtyPrice - accruedAmount;
             }
 

From 1071be9d1a505aafffe72c126a5118f7b6ca8ee5 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 6 Oct 2011 13:28:03 +0000
Subject: [PATCH 315/410] git-svn-id:
 https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18014
 8618b1d8-e22c-0410-b026-96a5dba3e089

---
 test-suite/vpp.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index d13a639b89..9259cb1a92 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -241,9 +241,9 @@ void VPPTest::testSimpleExtOUStorageEngine() {
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 2e-2) {
-        BOOST_ERROR("Failed to reproduce cached values"
-                   << "\n    calculated: " << calculated
-                   << "\n    expected:   " << expected);
+        BOOST_ERROR("Failed to reproduce cached values" <<
+                    "\n calculated: " << calculated <<
+                    "\n   expected: " << expected);
     }
 }
 

From 61d72ce8b05f9872ebf5b78745eb3e5e0ac4e2aa Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 6 Oct 2011 13:29:04 +0000
Subject: [PATCH 316/410] allowed unsorted and expired jumps

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18015 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/yieldtermstructure.cpp | 14 ++++++++------
 1 file changed, 8 insertions(+), 6 deletions(-)

diff --git a/ql/termstructures/yieldtermstructure.cpp b/ql/termstructures/yieldtermstructure.cpp
index 0b7c3b4701..4d983c1c3d 100644
--- a/ql/termstructures/yieldtermstructure.cpp
+++ b/ql/termstructures/yieldtermstructure.cpp
@@ -90,21 +90,23 @@ namespace QuantLib {
                                                 bool extrapolate) const {
         checkRange(t, extrapolate);
 
-        if (!jumps_.empty()) {
-            DiscountFactor jumpEffect = 1.0;
-            for (Size i=0; i<nJumps_ && jumpTimes_[i]<t; ++i) {
+        if (jumps_.empty())
+            return discountImpl(t);
+
+        DiscountFactor jumpEffect = 1.0;
+        for (Size i=0; i<nJumps_; ++i) {
+            if (jumpTimes_[i]>0 && jumpTimes_[i]<t) {
                 QL_REQUIRE(jumps_[i]->isValid(),
                            "invalid " << io::ordinal(i+1) << " jump quote");
                 DiscountFactor thisJump = jumps_[i]->value();
-                QL_REQUIRE(thisJump > 0.0 && thisJump <= 1.0,
+                QL_REQUIRE(thisJump>0.0 && thisJump<=1.0,
                            "invalid " << io::ordinal(i+1) << " jump value: " <<
                            thisJump);
                 jumpEffect *= thisJump;
             }
-            return jumpEffect * discountImpl(t);
         }
+        return jumpEffect * discountImpl(t);
 
-        return discountImpl(t);
     }
 
     InterestRate YieldTermStructure::zeroRate(const Date& d,

From 34d1abfc2d75d7f1a7a0468831362eb50e04f933 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 6 Oct 2011 14:03:37 +0000
Subject: [PATCH 317/410] added nominal inspector

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18016 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cashflows.cpp | 17 +++++++++++++++++
 ql/cashflows/cashflows.hpp |  5 +++++
 2 files changed, 22 insertions(+)

diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
index 6c75b70d9e..85cc1b335d 100644
--- a/ql/cashflows/cashflows.cpp
+++ b/ql/cashflows/cashflows.cpp
@@ -230,6 +230,23 @@ namespace QuantLib {
         return aggregateRate<Leg::const_iterator>(leg, cf, leg.end());
     }
 
+    Real CashFlows::nominal(const Leg& leg,
+                            bool includeSettlementDateFlows,
+                            Date settlementDate) {
+        Leg::const_iterator cf = nextCashFlow(leg,
+                                              includeSettlementDateFlows,
+                                              settlementDate);
+        if (cf==leg.end()) return 0.0;
+
+        Date paymentDate = (*cf)->date();
+        for (; cf<leg.end() && (*cf)->date()==paymentDate; ++cf) {
+            shared_ptr<Coupon> cp = dynamic_pointer_cast<Coupon>(*cf);
+            if (cp)
+                return cp->nominal();
+        }
+        return 0.0;
+    }
+
     Date CashFlows::accrualStartDate(const Leg& leg,
                                      bool includeSettlementDateFlows,
                                      Date settlementDate) {
diff --git a/ql/cashflows/cashflows.hpp b/ql/cashflows/cashflows.hpp
index 67415d3a63..b2c04f73b7 100644
--- a/ql/cashflows/cashflows.hpp
+++ b/ql/cashflows/cashflows.hpp
@@ -92,6 +92,11 @@ namespace QuantLib {
         nextCouponRate(const Leg& leg,
                        bool includeSettlementDateFlows,
                        Date settlementDate = Date());
+
+        static Real
+        nominal(const Leg& leg,
+                bool includeSettlementDateFlows,
+                Date settlDate = Date());
         static Date
         accrualStartDate(const Leg& leg,
                          bool includeSettlementDateFlows,

From c3332393b2e276859f25e7e1724627f6f538613c Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 8 Oct 2011 15:33:51 +0000
Subject: [PATCH 318/410] test

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18019 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/bicgstab.cpp | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/finitedifferences/bicgstab.cpp b/ql/experimental/finitedifferences/bicgstab.cpp
index ae2dcf923a..ce79a4e246 100644
--- a/ql/experimental/finitedifferences/bicgstab.cpp
+++ b/ql/experimental/finitedifferences/bicgstab.cpp
@@ -22,6 +22,7 @@
     \brief bi-conjugated gradient stableized algorithm
 */
 
+
 #include <ql/experimental/finitedifferences/bicgstab.hpp>
 
 namespace QuantLib {

From 17149d76111072f02491af67be698049e160cae1 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 8 Oct 2011 23:24:46 +0000
Subject: [PATCH 319/410] relax test case

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18021 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/vpp.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 9259cb1a92..a9dad0f698 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -240,7 +240,7 @@ void VPPTest::testSimpleExtOUStorageEngine() {
     const Real expected = 69.6307;
     const Real calculated = storageOption.NPV();
 
-    if (std::fabs(expected - calculated) > 2e-2) {
+    if (std::fabs(expected - calculated) > 5e-2) {
         BOOST_ERROR("Failed to reproduce cached values" <<
                     "\n calculated: " << calculated <<
                     "\n   expected: " << expected);

From ce09ed993a6fdfda7bf66269e4bb699ad37290b5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 11 Oct 2011 19:22:41 +0000
Subject: [PATCH 320/410] Moved stable parts of 2D finite-difference framework
 to core library.

More recent parts remain in experimental.
Merge of the fd2migration branch.


git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18031 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  | 2460 +++++++++-----
 QuantLib_vc10.vcxproj                         |  265 +-
 QuantLib_vc10.vcxproj.filters                 |  807 ++---
 QuantLib_vc7.vcproj                           |  866 +++--
 QuantLib_vc8.vcproj                           | 3005 +++++++++--------
 QuantLib_vc9.vcproj                           | 1232 +++----
 configure.ac                                  |    8 +-
 ql/experimental/finitedifferences/Makefile.am |  128 +-
 ql/experimental/finitedifferences/all.hpp     |   68 +-
 .../fdextoujumpvanillaengine.cpp              |   14 +-
 .../fdextoujumpvanillaengine.hpp              |    2 +-
 .../fdhestonbarrierengine.cpp:                |    1 +
 .../fdhestonbarrierengine.hpp:                |    1 +
 .../fdklugeextouspreadengine.cpp              |   14 +-
 .../fdklugeextouspreadengine.hpp              |    2 +-
 .../fdmextendedornsteinuhlenbeckop.cpp        |    6 +-
 .../fdmextendedornsteinuhlenbeckop.hpp        |    8 +-
 .../fdmextoujumpmodelinnervalue.hpp           |    6 +-
 .../finitedifferences/fdmextoujumpop.cpp      |    8 +-
 .../finitedifferences/fdmextoujumpop.hpp      |    6 +-
 .../finitedifferences/fdmextoujumpsolver.cpp  |    2 +-
 .../finitedifferences/fdmextoujumpsolver.hpp  |    4 +-
 .../finitedifferences/fdmklugeextouop.cpp     |    6 +-
 .../finitedifferences/fdmklugeextouop.hpp     |    6 +-
 .../finitedifferences/fdmklugeextousolver.hpp |    6 +-
 .../fdmsimple2dextousolver.hpp                |    6 +-
 .../fdmsimple3dextoujumpsolver.hpp            |    6 +-
 .../fdmspreadpayoffinnervalue.hpp             |    2 +-
 .../finitedifferences/fdmvppstepcondition.cpp |    8 +-
 .../fdsimpleextoujumpswingengine.cpp          |   18 +-
 .../fdsimpleextoujumpswingengine.hpp          |    2 +-
 .../fdsimpleextoustorageengine.cpp            |   20 +-
 .../fdsimpleextoustorageengine.hpp            |    2 +-
 .../fdsimpleklugeextouvppengine.cpp           |   16 +-
 .../fdsimpleklugeextouvppengine.hpp           |    2 +-
 ql/instruments/Makefile.am                    |    2 +
 ql/instruments/all.hpp                        |    1 +
 .../dividendbarrieroption.cpp                 |    2 +-
 .../dividendbarrieroption.hpp                 |    0
 ql/math/matrixutilities/Makefile.am           |    4 +
 ql/math/matrixutilities/all.hpp               |    2 +
 .../matrixutilities}/bicgstab.cpp             |    2 +-
 .../matrixutilities}/bicgstab.hpp             |    0
 .../sparseilupreconditioner.cpp               |    2 +-
 .../sparseilupreconditioner.hpp               |    0
 ql/methods/finitedifferences/Makefile.am      |   10 +
 ql/methods/finitedifferences/all.hpp          |    6 +
 .../finitedifferences/meshers/Makefile.am     |   42 +
 ql/methods/finitedifferences/meshers/all.hpp  |   15 +
 .../meshers}/concentrating1dmesher.cpp        |    2 +-
 .../meshers}/concentrating1dmesher.hpp        |    2 +-
 .../meshers}/exponentialjump1dmesher.cpp      |    2 +-
 .../meshers}/exponentialjump1dmesher.hpp      |    4 +-
 .../meshers}/fdm1dmesher.hpp                  |    0
 .../meshers}/fdmblackscholesmesher.cpp        |    6 +-
 .../meshers}/fdmblackscholesmesher.hpp        |    2 +-
 .../fdmblackscholesmultistrikemesher.cpp      |    6 +-
 .../fdmblackscholesmultistrikemesher.hpp      |    2 +-
 .../meshers}/fdmhestonvariancemesher.cpp      |    2 +-
 .../meshers}/fdmhestonvariancemesher.hpp      |    2 +-
 .../finitedifferences/meshers}/fdmmesher.hpp  |    0
 .../meshers}/fdmmeshercomposite.cpp           |    4 +-
 .../meshers}/fdmmeshercomposite.hpp           |    6 +-
 .../meshers}/fdmsimpleprocess1dmesher.cpp     |    2 +-
 .../meshers}/fdmsimpleprocess1dmesher.hpp     |    2 +-
 .../meshers}/uniform1dmesher.hpp              |    2 +-
 .../meshers}/uniformgridmesher.cpp            |    4 +-
 .../meshers}/uniformgridmesher.hpp            |    4 +-
 .../finitedifferences/operators/Makefile.am   |   48 +
 .../finitedifferences/operators/all.hpp       |   18 +
 .../operators}/fdm2dblackscholesop.cpp        |    8 +-
 .../operators}/fdm2dblackscholesop.hpp        |    6 +-
 .../operators}/fdmbatesop.cpp                 |    6 +-
 .../operators}/fdmbatesop.hpp                 |    4 +-
 .../operators}/fdmblackscholesop.cpp          |    8 +-
 .../operators}/fdmblackscholesop.hpp          |    6 +-
 .../operators}/fdmhestonhullwhiteop.cpp       |   12 +-
 .../operators}/fdmhestonhullwhiteop.hpp       |    8 +-
 .../operators}/fdmhestonop.cpp                |   10 +-
 .../operators}/fdmhestonop.hpp                |   10 +-
 .../operators}/fdmlinearop.hpp                |    0
 .../operators}/fdmlinearopcomposite.hpp       |    2 +-
 .../operators}/fdmlinearopiterator.hpp        |    0
 .../operators}/fdmlinearoplayout.cpp          |    2 +-
 .../operators}/fdmlinearoplayout.hpp          |    2 +-
 .../operators}/firstderivativeop.cpp          |    6 +-
 .../operators}/firstderivativeop.hpp          |    2 +-
 .../operators}/ninepointlinearop.cpp          |    6 +-
 .../operators}/ninepointlinearop.hpp          |    2 +-
 .../operators}/secondderivativeop.cpp         |    6 +-
 .../operators}/secondderivativeop.hpp         |    2 +-
 .../secondordermixedderivativeop.cpp          |    6 +-
 .../secondordermixedderivativeop.hpp          |    2 +-
 .../operators}/triplebandlinearop.cpp         |    6 +-
 .../operators}/triplebandlinearop.hpp         |    2 +-
 .../finitedifferences/schemes/Makefile.am     |   35 +
 ql/methods/finitedifferences/schemes/all.hpp  |   10 +
 .../schemes}/craigsneydscheme.cpp             |    2 +-
 .../schemes}/craigsneydscheme.hpp             |    4 +-
 .../schemes}/douglasscheme.cpp                |    2 +-
 .../schemes}/douglasscheme.hpp                |    4 +-
 .../schemes}/expliciteulerscheme.cpp          |    2 +-
 .../schemes}/expliciteulerscheme.hpp          |    4 +-
 .../schemes}/hundsdorferscheme.cpp            |    2 +-
 .../schemes}/hundsdorferscheme.hpp            |    4 +-
 .../schemes}/impliciteulerscheme.cpp          |    4 +-
 .../schemes}/impliciteulerscheme.hpp          |    4 +-
 .../schemes}/modifiedcraigsneydscheme.cpp     |    2 +-
 .../schemes}/modifiedcraigsneydscheme.hpp     |    4 +-
 .../finitedifferences/solvers/Makefile.am     |   43 +
 ql/methods/finitedifferences/solvers/all.hpp  |   15 +
 .../solvers}/fdm2dblackscholessolver.cpp      |    6 +-
 .../solvers}/fdm2dblackscholessolver.hpp      |    4 +-
 .../solvers}/fdm2dimsolver.cpp                |   14 +-
 .../solvers}/fdm2dimsolver.hpp                |    4 +-
 .../solvers}/fdm3dimsolver.cpp                |   12 +-
 .../solvers}/fdm3dimsolver.hpp                |    4 +-
 .../solvers}/fdmbackwardsolver.cpp            |   16 +-
 .../solvers}/fdmbackwardsolver.hpp            |    2 +-
 .../solvers}/fdmbatessolver.cpp               |    6 +-
 .../solvers}/fdmbatessolver.hpp               |    8 +-
 .../solvers}/fdmblackscholessolver.cpp        |   16 +-
 .../solvers}/fdmblackscholessolver.hpp        |    4 +-
 .../solvers}/fdmhestonhullwhitesolver.cpp     |    8 +-
 .../solvers}/fdmhestonhullwhitesolver.hpp     |    6 +-
 .../solvers}/fdmhestonsolver.cpp              |    6 +-
 .../solvers}/fdmhestonsolver.hpp              |    8 +-
 .../solvers}/fdmndimsolver.hpp                |   14 +-
 .../solvers}/fdmsimple2dbssolver.cpp          |    6 +-
 .../solvers}/fdmsimple2dbssolver.hpp          |    6 +-
 .../solvers}/fdmsolverdesc.hpp                |    2 +-
 .../stepconditions/Makefile.am                |   37 +
 .../finitedifferences/stepconditions/all.hpp  |   11 +
 .../fdmamericanstepcondition.cpp              |    4 +-
 .../fdmamericanstepcondition.hpp              |    4 +-
 .../fdmarithmeticaveragecondition.cpp         |    4 +-
 .../fdmarithmeticaveragecondition.hpp         |    2 +-
 .../fdmbermudanstepcondition.cpp              |    6 +-
 .../fdmbermudanstepcondition.hpp              |    2 +-
 .../fdmsimplestoragecondition.cpp             |    4 +-
 .../fdmsimplestoragecondition.hpp             |    4 +-
 .../fdmsimpleswingcondition.cpp               |    4 +-
 .../fdmsimpleswingcondition.hpp               |    4 +-
 .../stepconditions}/fdmsnapshotcondition.cpp  |    2 +-
 .../stepconditions}/fdmsnapshotcondition.hpp  |    0
 .../fdmstepconditioncomposite.cpp             |   14 +-
 .../fdmstepconditioncomposite.hpp             |    0
 .../finitedifferences/utilities/Makefile.am   |   31 +
 .../finitedifferences/utilities/all.hpp       |    8 +
 .../utilities}/fdmdirichletboundary.cpp       |    6 +-
 .../utilities}/fdmdirichletboundary.hpp       |    2 +-
 .../utilities}/fdmdividendhandler.cpp         |    4 +-
 .../utilities}/fdmdividendhandler.hpp         |    2 +-
 .../utilities}/fdminnervaluecalculator.cpp    |    6 +-
 .../utilities}/fdminnervaluecalculator.hpp    |    0
 .../utilities}/fdmquantohelper.cpp            |    2 +-
 .../utilities}/fdmquantohelper.hpp            |    0
 ql/pricingengines/asian/Makefile.am           |    2 +
 ql/pricingengines/asian/all.hpp               |    1 +
 .../asian}/fdblackscholesasianengine.cpp      |   16 +-
 .../asian}/fdblackscholesasianengine.hpp      |    2 +-
 ql/pricingengines/barrier/Makefile.am         |    8 +
 ql/pricingengines/barrier/all.hpp             |    4 +
 .../barrier}/fdblackscholesbarrierengine.cpp  |   21 +-
 .../barrier}/fdblackscholesbarrierengine.hpp  |    4 +-
 .../barrier}/fdblackscholesrebateengine.cpp   |   14 +-
 .../barrier}/fdblackscholesrebateengine.hpp   |    4 +-
 .../barrier}/fdhestonbarrierengine.cpp        |   20 +-
 .../barrier}/fdhestonbarrierengine.hpp        |    6 +-
 .../barrier}/fdhestonrebateengine.cpp         |   16 +-
 .../barrier}/fdhestonrebateengine.hpp         |    6 +-
 ql/pricingengines/basket/Makefile.am          |    2 +
 ql/pricingengines/basket/all.hpp              |    1 +
 .../basket}/fd2dblackscholesvanillaengine.cpp |   14 +-
 .../basket}/fd2dblackscholesvanillaengine.hpp |    2 +-
 ql/pricingengines/vanilla/Makefile.am         |   10 +
 ql/pricingengines/vanilla/all.hpp             |    5 +
 .../vanilla}/fdbatesvanillaengine.cpp         |    6 +-
 .../vanilla}/fdbatesvanillaengine.hpp         |    2 +-
 .../vanilla}/fdblackscholesvanillaengine.cpp  |   14 +-
 .../vanilla}/fdblackscholesvanillaengine.hpp  |    2 +-
 .../fdhestonhullwhitevanillaengine.cpp        |   22 +-
 .../fdhestonhullwhitevanillaengine.hpp        |    4 +-
 .../vanilla}/fdhestonvanillaengine.cpp        |   18 +-
 .../vanilla}/fdhestonvanillaengine.hpp        |    4 +-
 .../vanilla}/fdsimplebsswingengine.cpp        |   18 +-
 .../vanilla}/fdsimplebsswingengine.hpp        |    2 +-
 ql/processes/defaultable.hpp                  |   73 -
 test-suite/asianoptions.cpp                   |    2 +-
 test-suite/barrieroption.cpp                  |    4 +-
 test-suite/basketoption.cpp                   |    2 +-
 test-suite/batesmodel.cpp                     |    2 +-
 test-suite/europeanoption.cpp                 |    2 +-
 test-suite/fdheston.cpp                       |    6 +-
 test-suite/fdmlinearop.cpp                    |   58 +-
 test-suite/hestonmodel.cpp                    |   10 +-
 test-suite/hybridhestonhullwhiteprocess.cpp   |    4 +-
 test-suite/swingoption.cpp                    |    6 +-
 test-suite/testsuite.dev                      |   83 +-
 test-suite/testsuite_vc7.vcproj               |   24 +
 test-suite/testsuite_vc8.vcproj               |    8 +
 test-suite/vpp.cpp                            |    8 +-
 202 files changed, 5907 insertions(+), 4436 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
 create mode 100644 ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:
 rename ql/{experimental/finitedifferences => instruments}/dividendbarrieroption.cpp (97%)
 rename ql/{experimental/finitedifferences => instruments}/dividendbarrieroption.hpp (100%)
 rename ql/{experimental/finitedifferences => math/matrixutilities}/bicgstab.cpp (98%)
 rename ql/{experimental/finitedifferences => math/matrixutilities}/bicgstab.hpp (100%)
 rename ql/{experimental/finitedifferences => math/matrixutilities}/sparseilupreconditioner.cpp (99%)
 rename ql/{experimental/finitedifferences => math/matrixutilities}/sparseilupreconditioner.hpp (100%)
 create mode 100644 ql/methods/finitedifferences/meshers/Makefile.am
 create mode 100644 ql/methods/finitedifferences/meshers/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/concentrating1dmesher.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/concentrating1dmesher.hpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/exponentialjump1dmesher.cpp (98%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/exponentialjump1dmesher.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdm1dmesher.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmblackscholesmesher.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmblackscholesmesher.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmblackscholesmultistrikemesher.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmblackscholesmultistrikemesher.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmhestonvariancemesher.cpp (98%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmhestonvariancemesher.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmmesher.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmmeshercomposite.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmmeshercomposite.hpp (89%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmsimpleprocess1dmesher.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/fdmsimpleprocess1dmesher.hpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/uniform1dmesher.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/uniformgridmesher.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/meshers}/uniformgridmesher.hpp (93%)
 create mode 100644 ql/methods/finitedifferences/operators/Makefile.am
 create mode 100644 ql/methods/finitedifferences/operators/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdm2dblackscholesop.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdm2dblackscholesop.hpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmbatesop.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmbatesop.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmblackscholesop.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmblackscholesop.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmhestonhullwhiteop.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmhestonhullwhiteop.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmhestonop.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmhestonop.hpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmlinearop.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmlinearopcomposite.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmlinearopiterator.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmlinearoplayout.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/fdmlinearoplayout.hpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/firstderivativeop.cpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/firstderivativeop.hpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/ninepointlinearop.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/ninepointlinearop.hpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/secondderivativeop.cpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/secondderivativeop.hpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/secondordermixedderivativeop.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/secondordermixedderivativeop.hpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/triplebandlinearop.cpp (98%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/operators}/triplebandlinearop.hpp (97%)
 create mode 100644 ql/methods/finitedifferences/schemes/Makefile.am
 create mode 100644 ql/methods/finitedifferences/schemes/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/craigsneydscheme.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/craigsneydscheme.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/douglasscheme.cpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/douglasscheme.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/expliciteulerscheme.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/expliciteulerscheme.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/hundsdorferscheme.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/hundsdorferscheme.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/impliciteulerscheme.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/impliciteulerscheme.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/modifiedcraigsneydscheme.cpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/schemes}/modifiedcraigsneydscheme.hpp (93%)
 create mode 100644 ql/methods/finitedifferences/solvers/Makefile.am
 create mode 100644 ql/methods/finitedifferences/solvers/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm2dblackscholessolver.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm2dblackscholessolver.hpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm2dimsolver.cpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm2dimsolver.hpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm3dimsolver.cpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdm3dimsolver.hpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmbackwardsolver.cpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmbackwardsolver.hpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmbatessolver.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmbatessolver.hpp (89%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmblackscholessolver.cpp (88%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmblackscholessolver.hpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmhestonhullwhitesolver.cpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmhestonhullwhitesolver.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmhestonsolver.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmhestonsolver.hpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmndimsolver.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmsimple2dbssolver.cpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmsimple2dbssolver.hpp (90%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/solvers}/fdmsolverdesc.hpp (95%)
 create mode 100644 ql/methods/finitedifferences/stepconditions/Makefile.am
 create mode 100644 ql/methods/finitedifferences/stepconditions/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmamericanstepcondition.cpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmamericanstepcondition.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmarithmeticaveragecondition.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmarithmeticaveragecondition.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmbermudanstepcondition.cpp (91%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmbermudanstepcondition.hpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsimplestoragecondition.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsimplestoragecondition.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsimpleswingcondition.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsimpleswingcondition.hpp (92%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsnapshotcondition.cpp (94%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmsnapshotcondition.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmstepconditioncomposite.cpp (89%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/stepconditions}/fdmstepconditioncomposite.hpp (100%)
 create mode 100644 ql/methods/finitedifferences/utilities/Makefile.am
 create mode 100644 ql/methods/finitedifferences/utilities/all.hpp
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmdirichletboundary.cpp (93%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmdirichletboundary.hpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmdividendhandler.cpp (96%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmdividendhandler.hpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdminnervaluecalculator.cpp (95%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdminnervaluecalculator.hpp (100%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmquantohelper.cpp (97%)
 rename ql/{experimental/finitedifferences => methods/finitedifferences/utilities}/fdmquantohelper.hpp (100%)
 rename ql/{experimental/finitedifferences => pricingengines/asian}/fdblackscholesasianengine.cpp (89%)
 rename ql/{experimental/finitedifferences => pricingengines/asian}/fdblackscholesasianengine.hpp (96%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdblackscholesbarrierengine.cpp (91%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdblackscholesbarrierengine.hpp (94%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdblackscholesrebateengine.cpp (91%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdblackscholesrebateengine.hpp (94%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdhestonbarrierengine.cpp (92%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdhestonbarrierengine.hpp (91%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdhestonrebateengine.cpp (90%)
 rename ql/{experimental/finitedifferences => pricingengines/barrier}/fdhestonrebateengine.hpp (90%)
 rename ql/{experimental/finitedifferences => pricingengines/basket}/fd2dblackscholesvanillaengine.cpp (88%)
 rename ql/{experimental/finitedifferences => pricingengines/basket}/fd2dblackscholesvanillaengine.hpp (97%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdbatesvanillaengine.cpp (92%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdbatesvanillaengine.hpp (96%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdblackscholesvanillaengine.cpp (88%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdblackscholesvanillaengine.hpp (97%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdhestonhullwhitevanillaengine.cpp (92%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdhestonhullwhitevanillaengine.hpp (95%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdhestonvanillaengine.cpp (92%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdhestonvanillaengine.hpp (95%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdsimplebsswingengine.cpp (88%)
 rename ql/{experimental/finitedifferences => pricingengines/vanilla}/fdsimplebsswingengine.hpp (96%)
 delete mode 100644 ql/processes/defaultable.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 5103b44a96..52ae5295f8 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1722
+UnitCount=1798
 Type=2
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@@ -20,7 +20,7 @@ ObjectOutput=.\build\mingw
 OverrideOutput=1
 OverrideOutputName=libQuantLib-mgw.a
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-Folders=cashflows,currencies,experimental,experimental/amortizingbonds,experimental/barrieroption,experimental/callablebonds,experimental/commodities,experimental/convertiblebonds,experimental/compoundoption,experimental/coupons,experimental/credit,experimental/exoticoptions,experimental/finitedifferences,experimental/fx,experimental/inflation,experimental/lattices,experimental/math,experimental/mcbasket,experimental/processes,experimental/risk,experimental/shortrate,experimental/variancegamma,experimental/varianceoption,experimental/volatility,indexes,indexes/ibor,indexes/inflation,indexes/swap,instruments,instruments/bonds,legacy,legacy/libormarketmodels,math,math/copulas,math/distributions,math/integrals,math/interpolations,math/matrixutilities,math/optimization,math/randomnumbers,math/solvers1d,math/statistics,methods,methods/finitedifferences,methods/lattices,methods/montecarlo,models,models/equity,models/marketmodels,models/marketmodels/browniangenerators,models/marketmodels/callability,models/marketmodels/correlations,models/marketmodels/curvestates,models/marketmodels/driftcomputation,models/marketmodels/evolvers,models/marketmodels/evolvers/volprocesses,models/marketmodels/models,models/marketmodels/pathwisegreeks,models/marketmodels/products,models/marketmodels/products/multistep,models/marketmodels/products/onestep,models/marketmodels/products/pathwise,models/shortrate,models/shortrate/calibrationhelpers,models/shortrate/onefactormodels,models/shortrate/twofactormodels,models/volatility,patterns,pricingengines,pricingengines/asian,pricingengines/barrier,pricingengines/basket,pricingengines/bond,pricingengines/capfloor,pricingengines/cliquet,pricingengines/credit,pricingengines/forward,pricingengines/inflation,pricingengines/lookback,pricingengines/quanto,pricingengines/swap,pricingengines/swaption,pricingengines/vanilla,processes,quotes,termstructures,termstructures/credit,termstructures/inflation,termstructures/volatility,termstructures/volatility/capfloor,termstructures/volatility/equityfx,termstructures/volatility/inflation,termstructures/volatility/optionlet,termstructures/volatility/swaption,termstructures/yield,time,time/calendars,time/daycounters,utilities
+Folders=cashflows,currencies,experimental,experimental/amortizingbonds,experimental/barrieroption,experimental/callablebonds,experimental/commodities,experimental/compoundoption,experimental/convertiblebonds,experimental/coupons,experimental/credit,experimental/exoticoptions,experimental/finitedifferences,experimental/fx,experimental/inflation,experimental/lattices,experimental/math,experimental/mcbasket,experimental/processes,experimental/risk,experimental/shortrate,experimental/variancegamma,experimental/varianceoption,experimental/volatility,indexes,indexes/ibor,indexes/inflation,indexes/swap,instruments,instruments/bonds,legacy,legacy/libormarketmodels,math,math/copulas,math/distributions,math/integrals,math/interpolations,math/matrixutilities,math/optimization,math/randomnumbers,math/solvers1d,math/statistics,methods,methods/finitedifferences,methods/finitedifferences/meshers,methods/finitedifferences/operators,methods/finitedifferences/schemes,methods/finitedifferences/solvers,methods/finitedifferences/stepconditions,methods/finitedifferences/utilities,methods/lattices,methods/montecarlo,models,models/equity,models/marketmodels,models/marketmodels/browniangenerators,models/marketmodels/callability,models/marketmodels/correlations,models/marketmodels/curvestates,models/marketmodels/driftcomputation,models/marketmodels/evolvers,models/marketmodels/evolvers/volprocesses,models/marketmodels/models,models/marketmodels/pathwisegreeks,models/marketmodels/products,models/marketmodels/products/multistep,models/marketmodels/products/onestep,models/marketmodels/products/pathwise,models/shortrate,models/shortrate/calibrationhelpers,models/shortrate/onefactormodels,models/shortrate/twofactormodels,models/volatility,patterns,pricingengines,pricingengines/asian,pricingengines/barrier,pricingengines/basket,pricingengines/bond,pricingengines/capfloor,pricingengines/cliquet,pricingengines/credit,pricingengines/forward,pricingengines/inflation,pricingengines/lookback,pricingengines/quanto,pricingengines/swap,pricingengines/swaption,pricingengines/vanilla,processes,quotes,termstructures,termstructures/credit,termstructures/inflation,termstructures/volatility,termstructures/volatility/capfloor,termstructures/volatility/equityfx,termstructures/volatility/inflation,termstructures/volatility/optionlet,termstructures/volatility/swaption,termstructures/yield,time,time/calendars,time/daycounters,utilities
 CommandLine=
 UseCustomMakefile=0
 CustomMakefile=Makefile.win
@@ -13428,7 +13428,7 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1339]
-FileName=ql\experimental\finitedifferences\uniformgridmesher.hpp
+FileName=ql\experimental\finitedifferences\all.hpp
 CompileCpp=1
 Folder=experimental/finitedifferences
 Compile=1
@@ -13438,9 +13438,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1340]
-FileName=ql\experimental\finitedifferences\all.hpp
+FileName=ql\experimental\lattices\extendedbinomialtree.hpp
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+Folder=experimental/lattices
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 Link=1
 Priority=1000
@@ -13448,9 +13448,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1341]
-FileName=ql\experimental\finitedifferences\craigsneydscheme.cpp
+FileName=ql\experimental\lattices\all.hpp
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+Folder=experimental/lattices
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@@ -13458,9 +13458,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1342]
-FileName=ql\experimental\finitedifferences\craigsneydscheme.hpp
+FileName=ql\experimental\lattices\extendedbinomialtree.cpp
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+Folder=experimental/lattices
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 Link=1
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@@ -13468,9 +13468,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1343]
-FileName=ql\experimental\finitedifferences\dividendbarrieroption.cpp
+FileName=ql\experimental\varianceoption\varianceoption.hpp
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+Folder=experimental/varianceoption
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 Link=1
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@@ -13478,9 +13478,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1344]
-FileName=ql\experimental\finitedifferences\dividendbarrieroption.hpp
+FileName=ql\experimental\varianceoption\all.hpp
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+Folder=experimental/varianceoption
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@@ -13488,9 +13488,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1345]
-FileName=ql\experimental\finitedifferences\douglasscheme.cpp
+FileName=ql\experimental\varianceoption\integralhestonvarianceoptionengine.cpp
 CompileCpp=1
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+Folder=experimental/varianceoption
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@@ -13498,9 +13498,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1346]
-FileName=ql\experimental\finitedifferences\douglasscheme.hpp
+FileName=ql\experimental\varianceoption\integralhestonvarianceoptionengine.hpp
 CompileCpp=1
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+Folder=experimental/varianceoption
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@@ -13508,9 +13508,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1347]
-FileName=ql\experimental\finitedifferences\fdblackscholesbarrierengine.cpp
+FileName=ql\experimental\varianceoption\varianceoption.cpp
 CompileCpp=1
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+Folder=experimental/varianceoption
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@@ -13518,9 +13518,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1348]
-FileName=ql\experimental\finitedifferences\fdblackscholesbarrierengine.hpp
+FileName=ql\experimental\volatility\extendedblackvariancesurface.hpp
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+Folder=experimental/volatility
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 Link=1
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@@ -13528,9 +13528,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1349]
-FileName=ql\experimental\finitedifferences\fdblackscholesrebateengine.cpp
+FileName=ql\experimental\volatility\extendedblackvariancecurve.cpp
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+Folder=experimental/volatility
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@@ -13538,9 +13538,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1350]
-FileName=ql\experimental\finitedifferences\fdblackscholesrebateengine.hpp
+FileName=ql\experimental\volatility\extendedblackvariancecurve.hpp
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+Folder=experimental/volatility
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@@ -13548,9 +13548,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1351]
-FileName=ql\experimental\finitedifferences\fdblackscholesvanillaengine.cpp
+FileName=ql\experimental\volatility\extendedblackvariancesurface.cpp
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+Folder=experimental/volatility
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@@ -13558,9 +13558,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1352]
-FileName=ql\experimental\finitedifferences\fdblackscholesvanillaengine.hpp
+FileName=ql\indexes\swap\usdliborswap.hpp
 CompileCpp=1
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+Folder=indexes/swap
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@@ -13568,9 +13568,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1353]
-FileName=ql\experimental\finitedifferences\fdhestonbarrierengine.cpp
+FileName=ql\indexes\swap\chfliborswap.cpp
 CompileCpp=1
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+Folder=indexes/swap
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@@ -13578,9 +13578,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1354]
-FileName=ql\experimental\finitedifferences\fdhestonbarrierengine.hpp
+FileName=ql\indexes\swap\chfliborswap.hpp
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+Folder=indexes/swap
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@@ -13588,9 +13588,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1355]
-FileName=ql\experimental\finitedifferences\fdhestonrebateengine.cpp
+FileName=ql\indexes\swap\euriborswap.cpp
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-Folder=experimental/finitedifferences
+Folder=indexes/swap
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 Link=1
 Priority=1000
@@ -13598,9 +13598,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1356]
-FileName=ql\experimental\finitedifferences\fdhestonrebateengine.hpp
+FileName=ql\indexes\swap\euriborswap.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
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 Link=1
 Priority=1000
@@ -13608,9 +13608,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1357]
-FileName=ql\experimental\finitedifferences\fdhestonvanillaengine.cpp
+FileName=ql\indexes\swap\eurliborswap.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
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 Link=1
 Priority=1000
@@ -13618,9 +13618,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1358]
-FileName=ql\experimental\finitedifferences\fdhestonvanillaengine.hpp
+FileName=ql\indexes\swap\eurliborswap.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
 Compile=1
 Link=1
 Priority=1000
@@ -13628,9 +13628,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1359]
-FileName=ql\experimental\finitedifferences\fdm1dmesher.hpp
+FileName=ql\indexes\swap\gbpliborswap.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
 Compile=1
 Link=1
 Priority=1000
@@ -13638,9 +13638,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1360]
-FileName=ql\experimental\finitedifferences\fdmamericanstepcondition.cpp
+FileName=ql\indexes\swap\gbpliborswap.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
 Compile=1
 Link=1
 Priority=1000
@@ -13648,9 +13648,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1361]
-FileName=ql\experimental\finitedifferences\fdmamericanstepcondition.hpp
+FileName=ql\indexes\swap\jpyliborswap.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=indexes/swap
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 [Unit1362]
-FileName=ql\experimental\finitedifferences\fdmblackscholesop.cpp
+FileName=ql\indexes\swap\jpyliborswap.hpp
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+Folder=indexes/swap
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 [Unit1363]
-FileName=ql\experimental\finitedifferences\fdmblackscholesop.hpp
+FileName=ql\indexes\swap\usdliborswap.cpp
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-Folder=experimental/finitedifferences
+Folder=indexes/swap
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 [Unit1364]
-FileName=ql\experimental\finitedifferences\fdmblackscholessolver.cpp
+FileName=ql\instruments\quantobarrieroption.hpp
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+Folder=instruments
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 [Unit1365]
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+FileName=ql\instruments\quantobarrieroption.cpp
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+Folder=instruments
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 [Unit1366]
-FileName=ql\experimental\finitedifferences\fdmdirichletboundary.cpp
+FileName=ql\models\marketmodels\evolvers\svddfwdratepc.hpp
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+Folder=models/marketmodels/evolvers
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 [Unit1367]
-FileName=ql\experimental\finitedifferences\fdmdirichletboundary.hpp
+FileName=ql\models\marketmodels\evolvers\svddfwdratepc.cpp
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+Folder=models/marketmodels/evolvers
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 [Unit1368]
-FileName=ql\experimental\finitedifferences\fdmdividendhandler.cpp
+FileName=ql\models\marketmodels\evolvers\volprocesses\squarerootandersen.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/evolvers/volprocesses
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 [Unit1369]
-FileName=ql\experimental\finitedifferences\fdmdividendhandler.hpp
+FileName=ql\models\marketmodels\evolvers\volprocesses\all.hpp
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+Folder=models/marketmodels/evolvers/volprocesses
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 BuildCmd=
 
 [Unit1370]
-FileName=ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp
+FileName=ql\models\marketmodels\evolvers\volprocesses\squarerootandersen.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/evolvers/volprocesses
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 [Unit1371]
-FileName=ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp
+FileName=ql\models\marketmodels\pathwisemultiproduct.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels
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 [Unit1372]
-FileName=ql\experimental\finitedifferences\fdmhestonop.cpp
+FileName=ql\models\marketmodels\pathwiseaccountingengine.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels
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@@ -13768,9 +13768,9 @@ OverrideBuildCmd=0
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 [Unit1373]
-FileName=ql\experimental\finitedifferences\fdmhestonop.hpp
+FileName=ql\models\marketmodels\pathwiseaccountingengine.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels
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 Link=1
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@@ -13778,9 +13778,9 @@ OverrideBuildCmd=0
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 [Unit1374]
-FileName=ql\experimental\finitedifferences\fdmhestonsolver.cpp
+FileName=ql\models\marketmodels\pathwisediscounter.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels
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 Link=1
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@@ -13788,9 +13788,9 @@ OverrideBuildCmd=0
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 [Unit1375]
-FileName=ql\experimental\finitedifferences\fdmhestonsolver.hpp
+FileName=ql\models\marketmodels\pathwisediscounter.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels
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 Priority=1000
@@ -13798,9 +13798,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1376]
-FileName=ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp
+FileName=ql\models\marketmodels\pathwisegreeks\vegabumpcluster.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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@@ -13808,9 +13808,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1377]
-FileName=ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\all.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
 Priority=1000
@@ -13818,9 +13818,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1378]
-FileName=ql\experimental\finitedifferences\fdminnervaluecalculator.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\bumpinstrumentjacobian.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
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@@ -13828,9 +13828,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1379]
-FileName=ql\experimental\finitedifferences\fdmlinearop.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\bumpinstrumentjacobian.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
 Priority=1000
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 BuildCmd=
 
 [Unit1380]
-FileName=ql\experimental\finitedifferences\fdmlinearopcomposite.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\ratepseudorootjacobian.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
 Priority=1000
@@ -13848,9 +13848,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1381]
-FileName=ql\experimental\finitedifferences\fdmlinearopiterator.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\ratepseudorootjacobian.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
 Priority=1000
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 BuildCmd=
 
 [Unit1382]
-FileName=ql\experimental\finitedifferences\fdmlinearoplayout.cpp
+FileName=ql\models\marketmodels\pathwisegreeks\swaptionpseudojacobian.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
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 BuildCmd=
 
 [Unit1384]
-FileName=ql\experimental\finitedifferences\fdmmesher.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\vegabumpcluster.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/pathwisegreeks
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 Link=1
 Priority=1000
@@ -13878,9 +13878,9 @@ OverrideBuildCmd=0
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 [Unit1385]
-FileName=ql\experimental\finitedifferences\fdmmeshercomposite.cpp
+FileName=ql\models\marketmodels\products\multistep\multistepswaption.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/multistep
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 Link=1
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@@ -13888,9 +13888,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1386]
-FileName=ql\experimental\finitedifferences\fdmmeshercomposite.hpp
+FileName=ql\models\marketmodels\products\multistep\multistepswaption.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/multistep
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 [Unit1387]
-FileName=ql\experimental\finitedifferences\fdmsnapshotcondition.cpp
+FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswaption.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
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@@ -13908,9 +13908,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1388]
-FileName=ql\experimental\finitedifferences\fdmsnapshotcondition.hpp
+FileName=ql\models\marketmodels\products\pathwise\all.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
 Priority=1000
@@ -13918,9 +13918,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1389]
-FileName=ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp
+FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcaplet.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
 Priority=1000
@@ -13928,9 +13928,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1390]
-FileName=ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp
+FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcaplet.hpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
 Priority=1000
@@ -13938,9 +13938,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1391]
-FileName=ql\experimental\finitedifferences\firstderivativeop.cpp
+FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswaption.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
 Priority=1000
@@ -13948,9 +13948,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1392]
-FileName=ql\experimental\finitedifferences\firstderivativeop.hpp
+FileName=ql\quotes\lastfixingquote.hpp
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-Folder=experimental/finitedifferences
+Folder=quotes
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 Link=1
 Priority=1000
@@ -13958,9 +13958,9 @@ OverrideBuildCmd=0
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 [Unit1393]
-FileName=ql\experimental\finitedifferences\hundsdorferscheme.cpp
+FileName=ql\quotes\lastfixingquote.cpp
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-Folder=experimental/finitedifferences
+Folder=quotes
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 Link=1
 Priority=1000
@@ -13968,9 +13968,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1394]
-FileName=ql\experimental\finitedifferences\hundsdorferscheme.hpp
+FileName=ql\time\calendars\bespokecalendar.hpp
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-Folder=experimental/finitedifferences
+Folder=time/calendars
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 Link=1
 Priority=1000
@@ -13978,9 +13978,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1395]
-FileName=ql\experimental\finitedifferences\ninepointlinearop.cpp
+FileName=ql\time\calendars\bespokecalendar.cpp
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-Folder=experimental/finitedifferences
+Folder=time/calendars
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 Link=1
 Priority=1000
@@ -13988,9 +13988,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1396]
-FileName=ql\experimental\finitedifferences\ninepointlinearop.hpp
+FileName=ql\models\marketmodels\evolvers\marketmodelvolprocess.hpp
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+Folder=models/marketmodels/evolvers
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 Link=1
 Priority=1000
@@ -13998,9 +13998,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1397]
-FileName=ql\experimental\finitedifferences\secondderivativeop.cpp
+FileName=ql\models\marketmodels\evolvers\marketmodelvolprocess.cpp
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+Folder=models/marketmodels/evolvers
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 Link=1
 Priority=1000
@@ -14008,9 +14008,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1398]
-FileName=ql\experimental\finitedifferences\secondderivativeop.hpp
+FileName=ql\experimental\compoundoption\compoundoption.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/compoundoption
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 Link=1
 Priority=1000
@@ -14018,9 +14018,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1399]
-FileName=ql\experimental\finitedifferences\secondordermixedderivativeop.cpp
+FileName=ql\experimental\compoundoption\all.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/compoundoption
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 Link=1
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@@ -14028,9 +14028,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1400]
-FileName=ql\experimental\finitedifferences\secondordermixedderivativeop.hpp
+FileName=ql\experimental\compoundoption\analyticcompoundoptionengine.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/compoundoption
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 Link=1
 Priority=1000
@@ -14038,9 +14038,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1401]
-FileName=ql\experimental\finitedifferences\triplebandlinearop.cpp
+FileName=ql\experimental\compoundoption\analyticcompoundoptionengine.hpp
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+Folder=experimental/compoundoption
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 Link=1
 Priority=1000
@@ -14048,9 +14048,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1402]
-FileName=ql\experimental\finitedifferences\triplebandlinearop.hpp
+FileName=ql\experimental\compoundoption\compoundoption.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/compoundoption
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 Link=1
 Priority=1000
@@ -14058,9 +14058,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1403]
-FileName=ql\experimental\finitedifferences\uniform1dmesher.hpp
+FileName=ql\experimental\credit\spreadedhazardratecurve.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14068,9 +14068,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1404]
-FileName=ql\experimental\finitedifferences\uniformgridmesher.cpp
+FileName=ql\experimental\credit\blackcdsoptionengine.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14078,9 +14078,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1405]
-FileName=ql\experimental\lattices\extendedbinomialtree.hpp
+FileName=ql\experimental\credit\blackcdsoptionengine.hpp
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-Folder=experimental/lattices
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14088,9 +14088,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1406]
-FileName=ql\experimental\lattices\all.hpp
+FileName=ql\experimental\credit\factorspreadedhazardratecurve.hpp
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-Folder=experimental/lattices
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14098,9 +14098,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1407]
-FileName=ql\experimental\lattices\extendedbinomialtree.cpp
+FileName=ql\experimental\credit\issuer.cpp
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-Folder=experimental/lattices
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14108,9 +14108,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1408]
-FileName=ql\experimental\varianceoption\varianceoption.hpp
+FileName=ql\experimental\credit\issuer.hpp
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-Folder=experimental/varianceoption
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14118,9 +14118,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1409]
-FileName=ql\experimental\varianceoption\all.hpp
+FileName=ql\experimental\credit\riskyassetswapoption.cpp
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-Folder=experimental/varianceoption
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14128,9 +14128,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1410]
-FileName=ql\experimental\varianceoption\integralhestonvarianceoptionengine.cpp
+FileName=ql\experimental\credit\riskyassetswapoption.hpp
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+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14138,9 +14138,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1411]
-FileName=ql\experimental\varianceoption\integralhestonvarianceoptionengine.hpp
+FileName=ql\experimental\credit\riskybond.cpp
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-Folder=experimental/varianceoption
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14148,9 +14148,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1412]
-FileName=ql\experimental\varianceoption\varianceoption.cpp
+FileName=ql\experimental\credit\riskybond.hpp
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-Folder=experimental/varianceoption
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14158,9 +14158,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1413]
-FileName=ql\experimental\volatility\extendedblackvariancesurface.hpp
+FileName=ql\experimental\inflation\all.hpp
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-Folder=experimental/volatility
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -14168,9 +14168,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1414]
-FileName=ql\experimental\volatility\extendedblackvariancecurve.cpp
+FileName=ql\experimental\inflation\genericindexes.hpp
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-Folder=experimental/volatility
+Folder=experimental/inflation
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 Link=1
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@@ -14178,9 +14178,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1415]
-FileName=ql\experimental\volatility\extendedblackvariancecurve.hpp
+FileName=ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp
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-Folder=experimental/volatility
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -14188,9 +14188,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1416]
-FileName=ql\experimental\volatility\extendedblackvariancesurface.cpp
+FileName=ql\experimental\inflation\kinterpolatedyoyoptionletvolatilitysurface.hpp
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-Folder=experimental/volatility
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -14198,9 +14198,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1417]
-FileName=ql\indexes\swap\usdliborswap.hpp
+FileName=ql\experimental\inflation\piecewiseyoyoptionletvolatility.hpp
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-Folder=indexes/swap
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -14208,9 +14208,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1418]
-FileName=ql\indexes\swap\chfliborswap.cpp
+FileName=ql\experimental\inflation\yoycapfloortermpricesurface.cpp
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-Folder=indexes/swap
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14218,9 +14218,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1419]
-FileName=ql\indexes\swap\chfliborswap.hpp
+FileName=ql\experimental\inflation\yoycapfloortermpricesurface.hpp
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-Folder=indexes/swap
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14228,9 +14228,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1420]
-FileName=ql\indexes\swap\euriborswap.cpp
+FileName=ql\experimental\inflation\yoyoptionlethelpers.cpp
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-Folder=indexes/swap
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14238,9 +14238,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1421]
-FileName=ql\indexes\swap\euriborswap.hpp
+FileName=ql\experimental\inflation\yoyoptionlethelpers.hpp
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-Folder=indexes/swap
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14248,9 +14248,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1422]
-FileName=ql\indexes\swap\eurliborswap.cpp
+FileName=ql\experimental\inflation\yoyoptionletstripper.hpp
 CompileCpp=1
-Folder=indexes/swap
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14258,9 +14258,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1423]
-FileName=ql\indexes\swap\eurliborswap.hpp
+FileName=ql\indexes\inflation\frhicp.hpp
 CompileCpp=1
-Folder=indexes/swap
+Folder=indexes/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14268,9 +14268,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1424]
-FileName=ql\indexes\swap\gbpliborswap.cpp
+FileName=ql\indexes\inflation\aucpi.hpp
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-Folder=indexes/swap
+Folder=indexes/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14278,9 +14278,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1425]
-FileName=ql\indexes\swap\gbpliborswap.hpp
+FileName=ql\math\randomnumbers\ranluxuniformrng.hpp
 CompileCpp=1
-Folder=indexes/swap
+Folder=math/randomnumbers
 Compile=1
 Link=1
 Priority=1000
@@ -14288,9 +14288,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1426]
-FileName=ql\indexes\swap\jpyliborswap.cpp
+FileName=ql\models\marketmodels\evolvers\lognormalfwdrateballand.hpp
 CompileCpp=1
-Folder=indexes/swap
+Folder=models/marketmodels/evolvers
 Compile=1
 Link=1
 Priority=1000
@@ -14298,9 +14298,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1427]
-FileName=ql\indexes\swap\jpyliborswap.hpp
+FileName=ql\models\marketmodels\evolvers\lognormalfwdrateballand.cpp
 CompileCpp=1
-Folder=indexes/swap
+Folder=models/marketmodels/evolvers
 Compile=1
 Link=1
 Priority=1000
@@ -14308,9 +14308,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1428]
-FileName=ql\indexes\swap\usdliborswap.cpp
+FileName=ql\pricingengines\asian\analytic_discr_geom_av_strike.hpp
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-Folder=indexes/swap
+Folder=pricingengines/asian
 Compile=1
 Link=1
 Priority=1000
@@ -14318,9 +14318,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1429]
-FileName=ql\instruments\quantobarrieroption.hpp
+FileName=ql\pricingengines\asian\analytic_discr_geom_av_strike.cpp
 CompileCpp=1
-Folder=instruments
+Folder=pricingengines/asian
 Compile=1
 Link=1
 Priority=1000
@@ -14328,9 +14328,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1430]
-FileName=ql\instruments\quantobarrieroption.cpp
+FileName=ql\pricingengines\basket\mceuropeanbasketengine.hpp
 CompileCpp=1
-Folder=instruments
+Folder=pricingengines/basket
 Compile=1
 Link=1
 Priority=1000
@@ -14338,9 +14338,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1431]
-FileName=ql\models\marketmodels\evolvers\svddfwdratepc.hpp
+FileName=ql\pricingengines\basket\mceuropeanbasketengine.cpp
 CompileCpp=1
-Folder=models/marketmodels/evolvers
+Folder=pricingengines/basket
 Compile=1
 Link=1
 Priority=1000
@@ -14348,9 +14348,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1432]
-FileName=ql\models\marketmodels\evolvers\svddfwdratepc.cpp
+FileName=ql\pricingengines\inflation\all.hpp
 CompileCpp=1
-Folder=models/marketmodels/evolvers
+Folder=pricingengines/inflation
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 Priority=1000
@@ -14358,9 +14358,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1433]
-FileName=ql\models\marketmodels\evolvers\volprocesses\squarerootandersen.hpp
+FileName=ql\termstructures\interpolatedcurve.hpp
 CompileCpp=1
-Folder=models/marketmodels/evolvers/volprocesses
+Folder=termstructures
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 Link=1
 Priority=1000
@@ -14368,9 +14368,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1434]
-FileName=ql\models\marketmodels\evolvers\volprocesses\all.hpp
+FileName=ql\event.cpp
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-Folder=models/marketmodels/evolvers/volprocesses
+Folder=
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 Link=1
 Priority=1000
@@ -14378,9 +14378,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1435]
-FileName=ql\models\marketmodels\evolvers\volprocesses\squarerootandersen.cpp
+FileName=ql\cashflow.cpp
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-Folder=models/marketmodels/evolvers/volprocesses
+Folder=
 Compile=1
 Link=1
 Priority=1000
@@ -14388,9 +14388,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1436]
-FileName=ql\models\marketmodels\pathwisemultiproduct.hpp
+FileName=ql\experimental\credit\recursivecdoengine.hpp
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-Folder=models/marketmodels
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14398,9 +14398,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1437]
-FileName=ql\models\marketmodels\pathwiseaccountingengine.cpp
+FileName=ql\experimental\credit\defaultevent.cpp
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-Folder=models/marketmodels
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14408,9 +14408,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1438]
-FileName=ql\models\marketmodels\pathwiseaccountingengine.hpp
+FileName=ql\experimental\credit\defaultevent.hpp
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-Folder=models/marketmodels
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14418,9 +14418,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1439]
-FileName=ql\models\marketmodels\pathwisediscounter.cpp
+FileName=ql\experimental\credit\defaultprobabilitykey.cpp
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-Folder=models/marketmodels
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14428,9 +14428,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1440]
-FileName=ql\models\marketmodels\pathwisediscounter.hpp
+FileName=ql\experimental\credit\defaultprobabilitykey.hpp
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-Folder=models/marketmodels
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14438,9 +14438,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1441]
-FileName=ql\models\marketmodels\pathwisegreeks\vegabumpcluster.hpp
+FileName=ql\experimental\credit\defaulttype.cpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14448,9 +14448,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1442]
-FileName=ql\models\marketmodels\pathwisegreeks\all.hpp
+FileName=ql\experimental\credit\defaulttype.hpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14458,9 +14458,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1443]
-FileName=ql\models\marketmodels\pathwisegreeks\bumpinstrumentjacobian.cpp
+FileName=ql\experimental\credit\recoveryratemodel.cpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14468,9 +14468,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1444]
-FileName=ql\models\marketmodels\pathwisegreeks\bumpinstrumentjacobian.hpp
+FileName=ql\experimental\credit\recoveryratemodel.hpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14478,9 +14478,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1445]
-FileName=ql\models\marketmodels\pathwisegreeks\ratepseudorootjacobian.cpp
+FileName=ql\experimental\credit\recoveryratequote.cpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14488,9 +14488,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1446]
-FileName=ql\models\marketmodels\pathwisegreeks\ratepseudorootjacobian.hpp
+FileName=ql\experimental\credit\recoveryratequote.hpp
 CompileCpp=1
-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/credit
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 Link=1
 Priority=1000
@@ -14498,9 +14498,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1447]
-FileName=ql\models\marketmodels\pathwisegreeks\swaptionpseudojacobian.cpp
+FileName=ql\math\matrixutilities\bicgstab.cpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=math/matrixutilities
 Compile=1
 Link=1
 Priority=1000
@@ -14508,9 +14508,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1448]
-FileName=ql\models\marketmodels\pathwisegreeks\swaptionpseudojacobian.hpp
+FileName=ql\math\matrixutilities\bicgstab.hpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=math/matrixutilities
 Compile=1
 Link=1
 Priority=1000
@@ -14518,9 +14518,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1449]
-FileName=ql\models\marketmodels\pathwisegreeks\vegabumpcluster.cpp
+FileName=ql\experimental\inflation\polynomial2Dspline.hpp
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-Folder=models/marketmodels/pathwisegreeks
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14528,9 +14528,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1450]
-FileName=ql\models\marketmodels\products\multistep\multistepswaption.hpp
+FileName=ql\math\interpolations\kernelinterpolation.hpp
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-Folder=models/marketmodels/products/multistep
+Folder=math/interpolations
 Compile=1
 Link=1
 Priority=1000
@@ -14538,9 +14538,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1451]
-FileName=ql\models\marketmodels\products\multistep\multistepswaption.cpp
+FileName=ql\math\kernelfunctions.hpp
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-Folder=models/marketmodels/products/multistep
+Folder=math
 Compile=1
 Link=1
 Priority=1000
@@ -14548,9 +14548,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1452]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswaption.hpp
+FileName=ql\math\matrixutilities\factorreduction.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=math/matrixutilities
 Compile=1
 Link=1
 Priority=1000
@@ -14558,9 +14558,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1453]
-FileName=ql\models\marketmodels\products\pathwise\all.hpp
+FileName=ql\math\matrixutilities\factorreduction.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=math/matrixutilities
 Compile=1
 Link=1
 Priority=1000
@@ -14568,9 +14568,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1454]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcaplet.cpp
+FileName=ql\math\optimization\bfgs.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=math/optimization
 Compile=1
 Link=1
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@@ -14578,9 +14578,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1455]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcaplet.hpp
+FileName=ql\math\optimization\bfgs.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=math/optimization
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 Link=1
 Priority=1000
@@ -14588,9 +14588,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1456]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswaption.cpp
+FileName=ql\pricingengines\bond\bondfunctions.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=pricingengines/bond
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 Link=1
 Priority=1000
@@ -14598,9 +14598,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1457]
-FileName=ql\quotes\lastfixingquote.hpp
+FileName=ql\pricingengines\bond\bondfunctions.cpp
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-Folder=quotes
+Folder=pricingengines/bond
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 Link=1
 Priority=1000
@@ -14608,9 +14608,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1458]
-FileName=ql\quotes\lastfixingquote.cpp
+FileName=ql\termstructures\credit\survivalprobabilitystructure.hpp
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-Folder=quotes
+Folder=termstructures/credit
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 Link=1
 Priority=1000
@@ -14618,9 +14618,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1459]
-FileName=ql\time\calendars\bespokecalendar.hpp
+FileName=ql\termstructures\credit\interpolatedsurvivalprobabilitycurve.hpp
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-Folder=time/calendars
+Folder=termstructures/credit
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 Link=1
 Priority=1000
@@ -14628,9 +14628,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1460]
-FileName=ql\time\calendars\bespokecalendar.cpp
+FileName=ql\termstructures\credit\survivalprobabilitystructure.cpp
 CompileCpp=1
-Folder=time/calendars
+Folder=termstructures/credit
 Compile=1
 Link=1
 Priority=1000
@@ -14638,9 +14638,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1461]
-FileName=ql\models\marketmodels\evolvers\marketmodelvolprocess.hpp
+FileName=ql\termstructures\inflation\seasonality.hpp
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-Folder=models/marketmodels/evolvers
+Folder=termstructures/inflation
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 Link=1
 Priority=1000
@@ -14648,9 +14648,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1462]
-FileName=ql\models\marketmodels\evolvers\marketmodelvolprocess.cpp
+FileName=ql\termstructures\inflation\seasonality.cpp
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-Folder=models/marketmodels/evolvers
+Folder=termstructures/inflation
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 Link=1
 Priority=1000
@@ -14658,9 +14658,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1463]
-FileName=ql\experimental\compoundoption\compoundoption.hpp
+FileName=ql\termstructures\yield\zeroyieldstructure.cpp
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-Folder=experimental/compoundoption
+Folder=termstructures/yield
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 Link=1
 Priority=1000
@@ -14668,9 +14668,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1464]
-FileName=ql\experimental\compoundoption\all.hpp
+FileName=ql\termstructures\yield\flatforward.cpp
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-Folder=experimental/compoundoption
+Folder=termstructures/yield
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 Link=1
 Priority=1000
@@ -14678,9 +14678,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1465]
-FileName=ql\experimental\compoundoption\analyticcompoundoptionengine.cpp
+FileName=ql\termstructures\yield\forwardstructure.cpp
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-Folder=experimental/compoundoption
+Folder=termstructures/yield
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 Link=1
 Priority=1000
@@ -14688,9 +14688,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1466]
-FileName=ql\experimental\compoundoption\analyticcompoundoptionengine.hpp
+FileName=ql\time\calendars\weekendsonly.hpp
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-Folder=experimental/compoundoption
+Folder=time/calendars
 Compile=1
 Link=1
 Priority=1000
@@ -14698,9 +14698,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1467]
-FileName=ql\experimental\compoundoption\compoundoption.cpp
+FileName=ql\time\calendars\weekendsonly.cpp
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-Folder=experimental/compoundoption
+Folder=time/calendars
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 Link=1
 Priority=1000
@@ -14708,9 +14708,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1468]
-FileName=ql\experimental\credit\spreadedhazardratecurve.hpp
+FileName=ql\version.hpp
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-Folder=experimental/credit
+Folder=
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 Link=1
 Priority=1000
@@ -14718,9 +14718,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1469]
-FileName=ql\experimental\credit\blackcdsoptionengine.cpp
+FileName=ql\cashflows\overnightindexedcoupon.hpp
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-Folder=experimental/credit
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14728,9 +14728,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1470]
-FileName=ql\experimental\credit\blackcdsoptionengine.hpp
+FileName=ql\cashflows\overnightindexedcoupon.cpp
 CompileCpp=1
-Folder=experimental/credit
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14738,9 +14738,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1471]
-FileName=ql\experimental\credit\factorspreadedhazardratecurve.hpp
+FileName=ql\experimental\math\fastfouriertransform.hpp
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-Folder=experimental/credit
+Folder=experimental/math
 Compile=1
 Link=1
 Priority=1000
@@ -14748,9 +14748,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1472]
-FileName=ql\experimental\credit\issuer.cpp
+FileName=ql\experimental\math\all.hpp
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-Folder=experimental/credit
+Folder=experimental/math
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 Link=1
 Priority=1000
@@ -14758,9 +14758,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1473]
-FileName=ql\experimental\credit\issuer.hpp
+FileName=ql\indexes\ibor\eonia.hpp
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-Folder=experimental/credit
+Folder=indexes/ibor
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 Link=1
 Priority=1000
@@ -14768,9 +14768,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1474]
-FileName=ql\experimental\credit\riskyassetswapoption.cpp
+FileName=ql\indexes\ibor\eonia.cpp
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-Folder=experimental/credit
+Folder=indexes/ibor
 Compile=1
 Link=1
 Priority=1000
@@ -14778,9 +14778,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1475]
-FileName=ql\experimental\credit\riskyassetswapoption.hpp
+FileName=ql\instruments\overnightindexedswap.hpp
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-Folder=experimental/credit
+Folder=instruments
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 Link=1
 Priority=1000
@@ -14788,9 +14788,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1476]
-FileName=ql\experimental\credit\riskybond.cpp
+FileName=ql\instruments\makeois.cpp
 CompileCpp=1
-Folder=experimental/credit
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -14798,9 +14798,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1477]
-FileName=ql\experimental\credit\riskybond.hpp
+FileName=ql\instruments\makeois.hpp
 CompileCpp=1
-Folder=experimental/credit
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -14808,9 +14808,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1478]
-FileName=ql\experimental\finitedifferences\fdmquantohelper.hpp
+FileName=ql\instruments\overnightindexedswap.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=instruments
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 Link=1
 Priority=1000
@@ -14818,9 +14818,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1479]
-FileName=ql\experimental\finitedifferences\fdmquantohelper.cpp
+FileName=ql\math\interpolations\kernelinterpolation2d.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=math/interpolations
 Compile=1
 Link=1
 Priority=1000
@@ -14828,9 +14828,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1480]
-FileName=ql\experimental\inflation\all.hpp
+FileName=ql\termstructures\yield\oisratehelper.hpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=termstructures/yield
 Compile=1
 Link=1
 Priority=1000
@@ -14838,9 +14838,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1481]
-FileName=ql\experimental\inflation\genericindexes.hpp
+FileName=ql\termstructures\yield\oisratehelper.cpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=termstructures/yield
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 Link=1
 Priority=1000
@@ -14848,9 +14848,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1482]
-FileName=ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp
+FileName=ql\time\ecb.hpp
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-Folder=experimental/inflation
+Folder=time
 Compile=1
 Link=1
 Priority=1000
@@ -14858,9 +14858,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1483]
-FileName=ql\experimental\inflation\kinterpolatedyoyoptionletvolatilitysurface.hpp
+FileName=ql\time\ecb.cpp
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-Folder=experimental/inflation
+Folder=time
 Compile=1
 Link=1
 Priority=1000
@@ -14868,9 +14868,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1484]
-FileName=ql\experimental\inflation\piecewiseyoyoptionletvolatility.hpp
+FileName=ql\cashflows\yoyinflationcoupon.hpp
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-Folder=experimental/inflation
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -14878,9 +14878,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1485]
-FileName=ql\experimental\inflation\yoycapfloortermpricesurface.cpp
+FileName=ql\cashflows\capflooredinflationcoupon.cpp
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-Folder=experimental/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14888,9 +14888,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1486]
-FileName=ql\experimental\inflation\yoycapfloortermpricesurface.hpp
+FileName=ql\cashflows\capflooredinflationcoupon.hpp
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-Folder=experimental/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14898,9 +14898,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1487]
-FileName=ql\experimental\inflation\yoyoptionlethelpers.cpp
+FileName=ql\cashflows\indexedcashflow.cpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14908,9 +14908,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1488]
-FileName=ql\experimental\inflation\yoyoptionlethelpers.hpp
+FileName=ql\cashflows\indexedcashflow.hpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14918,9 +14918,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1489]
-FileName=ql\experimental\inflation\yoyoptionletstripper.hpp
+FileName=ql\cashflows\inflationcoupon.cpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14928,9 +14928,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1490]
-FileName=ql\indexes\inflation\frhicp.hpp
+FileName=ql\cashflows\inflationcoupon.hpp
 CompileCpp=1
-Folder=indexes/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14938,9 +14938,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1491]
-FileName=ql\indexes\inflation\aucpi.hpp
+FileName=ql\cashflows\inflationcouponpricer.cpp
 CompileCpp=1
-Folder=indexes/inflation
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14948,9 +14948,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1492]
-FileName=ql\math\randomnumbers\ranluxuniformrng.hpp
+FileName=ql\cashflows\inflationcouponpricer.hpp
 CompileCpp=1
-Folder=math/randomnumbers
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14958,9 +14958,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1493]
-FileName=ql\models\marketmodels\evolvers\lognormalfwdrateballand.hpp
+FileName=ql\cashflows\yoyinflationcoupon.cpp
 CompileCpp=1
-Folder=models/marketmodels/evolvers
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -14968,9 +14968,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1494]
-FileName=ql\models\marketmodels\evolvers\lognormalfwdrateballand.cpp
+FileName=ql\experimental\inflation\yoyinflationoptionletvolatilitystructure2.hpp
 CompileCpp=1
-Folder=models/marketmodels/evolvers
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14978,9 +14978,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1495]
-FileName=ql\pricingengines\asian\analytic_discr_geom_av_strike.hpp
+FileName=ql\indexes\inflation\uscpi.hpp
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-Folder=pricingengines/asian
+Folder=indexes/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -14988,9 +14988,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1496]
-FileName=ql\pricingengines\asian\analytic_discr_geom_av_strike.cpp
+FileName=ql\instruments\makeyoyinflationcapfloor.hpp
 CompileCpp=1
-Folder=pricingengines/asian
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -14998,9 +14998,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1497]
-FileName=ql\pricingengines\basket\mceuropeanbasketengine.hpp
+FileName=ql\instruments\inflationcapfloor.cpp
 CompileCpp=1
-Folder=pricingengines/basket
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -15008,9 +15008,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1498]
-FileName=ql\pricingengines\basket\mceuropeanbasketengine.cpp
+FileName=ql\instruments\inflationcapfloor.hpp
 CompileCpp=1
-Folder=pricingengines/basket
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -15018,9 +15018,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1499]
-FileName=ql\pricingengines\inflation\all.hpp
+FileName=ql\instruments\makeyoyinflationcapfloor.cpp
 CompileCpp=1
-Folder=pricingengines/inflation
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -15028,9 +15028,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1500]
-FileName=ql\termstructures\interpolatedcurve.hpp
+FileName=ql\pricingengines\inflation\inflationcapfloorengines.hpp
 CompileCpp=1
-Folder=termstructures
+Folder=pricingengines/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -15038,9 +15038,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1501]
-FileName=ql\event.cpp
+FileName=ql\pricingengines\inflation\inflationcapfloorengines.cpp
 CompileCpp=1
-Folder=
+Folder=pricingengines/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -15048,9 +15048,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1502]
-FileName=ql\cashflow.cpp
+FileName=ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.hpp
 CompileCpp=1
-Folder=
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -15058,9 +15058,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1503]
-FileName=ql\experimental\credit\recursivecdoengine.hpp
+FileName=ql\termstructures\volatility\inflation\all.hpp
 CompileCpp=1
-Folder=experimental/credit
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -15068,9 +15068,9 @@ OverrideBuildCmd=0
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 [Unit1504]
-FileName=ql\experimental\credit\defaultevent.cpp
+FileName=ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp
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+Folder=termstructures/volatility/inflation
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 [Unit1505]
-FileName=ql\experimental\credit\defaultevent.hpp
+FileName=ql\termstructures\volatility\sabrsmilesection.hpp
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+Folder=termstructures/volatility
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 [Unit1506]
-FileName=ql\experimental\credit\defaultprobabilitykey.cpp
+FileName=ql\termstructures\volatility\sabrsmilesection.cpp
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+Folder=termstructures/volatility
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 [Unit1507]
-FileName=ql\experimental\credit\defaultprobabilitykey.hpp
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+Folder=math/matrixutilities
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 [Unit1508]
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 [Unit1509]
-FileName=ql\experimental\credit\defaulttype.hpp
+FileName=ql\experimental\mcbasket\mclongstaffschwartzpathengine.hpp
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+Folder=experimental/mcbasket
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 [Unit1510]
-FileName=ql\experimental\credit\recoveryratemodel.cpp
+FileName=ql\experimental\mcbasket\adaptedpathpayoff.cpp
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+Folder=experimental/mcbasket
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 [Unit1511]
-FileName=ql\experimental\credit\recoveryratemodel.hpp
+FileName=ql\experimental\mcbasket\adaptedpathpayoff.hpp
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-Folder=experimental/credit
+Folder=experimental/mcbasket
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 Link=1
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 [Unit1512]
-FileName=ql\experimental\credit\recoveryratequote.cpp
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-Folder=experimental/credit
+Folder=experimental/mcbasket
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 Link=1
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 [Unit1513]
-FileName=ql\experimental\credit\recoveryratequote.hpp
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-Folder=experimental/credit
+Folder=experimental/mcbasket
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 [Unit1514]
-FileName=ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/mcbasket
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 Link=1
 Priority=1000
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 [Unit1515]
-FileName=ql\experimental\finitedifferences\bicgstab.cpp
+FileName=ql\models\marketmodels\callability\swapforwardbasissystem.hpp
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+Folder=models/marketmodels/callability
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 Link=1
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 [Unit1516]
-FileName=ql\experimental\finitedifferences\bicgstab.hpp
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+Folder=models/marketmodels/callability
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 [Unit1517]
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+Folder=models/marketmodels/evolvers
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 BuildCmd=
 
 [Unit1518]
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+Folder=models/marketmodels/evolvers
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 [Unit1519]
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/multistep
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 BuildCmd=
 
 [Unit1520]
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+Folder=models/marketmodels/products/multistep
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 [Unit1521]
-FileName=ql\experimental\finitedifferences\fdhestonhullwhitevanillaengine.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/multistep
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 Link=1
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 BuildCmd=
 
 [Unit1522]
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/multistep
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 Link=1
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@@ -15258,9 +15258,9 @@ OverrideBuildCmd=0
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 [Unit1523]
-FileName=ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp
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+Folder=models/marketmodels/products/pathwise
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 Link=1
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 [Unit1524]
-FileName=ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp
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+Folder=models/marketmodels/products/pathwise
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 [Unit1525]
-FileName=ql\experimental\finitedifferences\fdmblackscholesmesher.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
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 BuildCmd=
 
 [Unit1526]
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 BuildCmd=
 
 [Unit1527]
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+Folder=models/marketmodels/products/pathwise
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 [Unit1528]
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 BuildCmd=
 
 [Unit1529]
-FileName=ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 BuildCmd=
 
 [Unit1530]
-FileName=ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp
+FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswap.cpp
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-Folder=experimental/finitedifferences
+Folder=models/marketmodels/products/pathwise
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 Link=1
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 [Unit1531]
-FileName=ql\experimental\finitedifferences\fdmhullwhitemesher.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/exoticoptions
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 [Unit1532]
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 [Unit1533]
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+Folder=experimental/fx
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 Link=1
 Priority=1000
@@ -15368,9 +15368,9 @@ OverrideBuildCmd=0
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 [Unit1534]
-FileName=ql\experimental\finitedifferences\fdmsimple2dbssolver.cpp
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+Folder=experimental/fx
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 [Unit1535]
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 Priority=1000
@@ -15388,9 +15388,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1536]
-FileName=ql\experimental\finitedifferences\impliciteulerscheme.cpp
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 [Unit1537]
-FileName=ql\experimental\inflation\polynomial2Dspline.hpp
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@@ -15408,9 +15408,9 @@ OverrideBuildCmd=0
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 [Unit1538]
-FileName=ql\math\interpolations\kernelinterpolation.hpp
+FileName=ql\math\copulas\alimikhailhaqcopula.cpp
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+Folder=math/copulas
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 Link=1
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@@ -15418,9 +15418,9 @@ OverrideBuildCmd=0
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 [Unit1539]
-FileName=ql\math\kernelfunctions.hpp
+FileName=ql\math\copulas\alimikhailhaqcopula.hpp
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-Folder=math
+Folder=math/copulas
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 Priority=1000
@@ -15428,9 +15428,9 @@ OverrideBuildCmd=0
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 [Unit1540]
-FileName=ql\math\matrixutilities\factorreduction.hpp
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+Folder=math/copulas
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@@ -15438,9 +15438,9 @@ OverrideBuildCmd=0
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 [Unit1541]
-FileName=ql\math\matrixutilities\factorreduction.cpp
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@@ -15448,9 +15448,9 @@ OverrideBuildCmd=0
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 [Unit1542]
-FileName=ql\math\optimization\bfgs.hpp
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@@ -15458,9 +15458,9 @@ OverrideBuildCmd=0
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 [Unit1543]
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 Priority=1000
@@ -15468,9 +15468,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1544]
-FileName=ql\pricingengines\bond\bondfunctions.hpp
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+Folder=math/copulas
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@@ -15478,9 +15478,9 @@ OverrideBuildCmd=0
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 [Unit1545]
-FileName=ql\pricingengines\bond\bondfunctions.cpp
+FileName=ql\math\copulas\plackettcopula.hpp
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+Folder=math/copulas
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 Priority=1000
@@ -15488,9 +15488,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1546]
-FileName=ql\termstructures\credit\survivalprobabilitystructure.hpp
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 Link=1
 Priority=1000
@@ -15498,9 +15498,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1383]
-FileName=ql\experimental\finitedifferences\fdmlinearoplayout.hpp
+FileName=ql\models\marketmodels\pathwisegreeks\swaptionpseudojacobian.hpp
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+Folder=models/marketmodels/pathwisegreeks
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@@ -15508,9 +15508,9 @@ OverrideBuildCmd=0
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 [Unit1547]
-FileName=ql\termstructures\credit\interpolatedsurvivalprobabilitycurve.hpp
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+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15518,9 +15518,9 @@ OverrideBuildCmd=0
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 [Unit1548]
-FileName=ql\termstructures\credit\survivalprobabilitystructure.cpp
+FileName=ql\experimental\variancegamma\analyticvariancegammaengine.hpp
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+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15528,9 +15528,9 @@ OverrideBuildCmd=0
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 [Unit1549]
-FileName=ql\termstructures\inflation\seasonality.hpp
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-Folder=termstructures/inflation
+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15538,9 +15538,9 @@ OverrideBuildCmd=0
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 [Unit1550]
-FileName=ql\termstructures\inflation\seasonality.cpp
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-Folder=termstructures/inflation
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 Link=1
 Priority=1000
@@ -15548,9 +15548,9 @@ OverrideBuildCmd=0
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 [Unit1551]
-FileName=ql\termstructures\yield\zeroyieldstructure.cpp
+FileName=ql\experimental\variancegamma\fftvanillaengine.cpp
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+Folder=experimental/variancegamma
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 Link=1
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@@ -15558,9 +15558,9 @@ OverrideBuildCmd=0
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 [Unit1552]
-FileName=ql\termstructures\yield\flatforward.cpp
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 Link=1
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@@ -15568,9 +15568,9 @@ OverrideBuildCmd=0
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 [Unit1553]
-FileName=ql\termstructures\yield\forwardstructure.cpp
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 Link=1
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@@ -15578,9 +15578,9 @@ OverrideBuildCmd=0
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 [Unit1554]
-FileName=ql\experimental\finitedifferences\fdmbackwardsolver.hpp
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+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15588,9 +15588,9 @@ OverrideBuildCmd=0
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 [Unit1555]
-FileName=ql\experimental\finitedifferences\expliciteulerscheme.cpp
+FileName=ql\experimental\variancegamma\variancegammamodel.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15598,9 +15598,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1556]
-FileName=ql\experimental\finitedifferences\expliciteulerscheme.hpp
+FileName=ql\experimental\variancegamma\variancegammamodel.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15608,9 +15608,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1557]
-FileName=ql\experimental\finitedifferences\fdmbackwardsolver.cpp
+FileName=ql\experimental\variancegamma\variancegammaprocess.cpp
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-Folder=experimental/finitedifferences
+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15618,9 +15618,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1558]
-FileName=ql\experimental\finitedifferences\modifiedcraigsneydscheme.hpp
+FileName=ql\experimental\variancegamma\variancegammaprocess.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/variancegamma
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 Link=1
 Priority=1000
@@ -15628,9 +15628,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1559]
-FileName=ql\experimental\finitedifferences\modifiedcraigsneydscheme.cpp
+FileName=ql\experimental\shortrate\all.hpp
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-Folder=experimental/finitedifferences
+Folder=experimental/shortrate
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 Link=1
 Priority=1000
@@ -15638,9 +15638,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1560]
-FileName=ql\time\calendars\weekendsonly.hpp
+FileName=ql\experimental\shortrate\generalizedhullwhite.cpp
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-Folder=time/calendars
+Folder=experimental/shortrate
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 Link=1
 Priority=1000
@@ -15648,9 +15648,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1561]
-FileName=ql\time\calendars\weekendsonly.cpp
+FileName=ql\experimental\shortrate\generalizedhullwhite.hpp
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-Folder=time/calendars
+Folder=experimental/shortrate
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 Link=1
 Priority=1000
@@ -15658,9 +15658,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1562]
-FileName=ql\version.hpp
+FileName=ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.cpp
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-Folder=
+Folder=experimental/shortrate
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 Link=1
 Priority=1000
@@ -15668,9 +15668,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1563]
-FileName=ql\cashflows\overnightindexedcoupon.hpp
+FileName=ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.hpp
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-Folder=cashflows
+Folder=experimental/shortrate
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 Link=1
 Priority=1000
@@ -15678,9 +15678,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1564]
-FileName=ql\cashflows\overnightindexedcoupon.cpp
+FileName=ql\experimental\exoticoptions\analyticsimplechooserengine.cpp
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-Folder=cashflows
+Folder=experimental/exoticoptions
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 Link=1
 Priority=1000
@@ -15688,9 +15688,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1565]
-FileName=ql\experimental\math\fastfouriertransform.hpp
+FileName=ql\experimental\exoticoptions\analyticsimplechooserengine.hpp
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-Folder=experimental/math
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15698,9 +15698,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1566]
-FileName=ql\experimental\math\all.hpp
+FileName=ql\experimental\exoticoptions\simplechooseroption.cpp
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-Folder=experimental/math
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15708,9 +15708,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1567]
-FileName=ql\indexes\ibor\eonia.hpp
+FileName=ql\experimental\exoticoptions\simplechooseroption.hpp
 CompileCpp=1
-Folder=indexes/ibor
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15718,9 +15718,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1568]
-FileName=ql\indexes\ibor\eonia.cpp
+FileName=ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp
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-Folder=indexes/ibor
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15728,9 +15728,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1569]
-FileName=ql\instruments\overnightindexedswap.hpp
+FileName=ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp
 CompileCpp=1
-Folder=instruments
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15738,9 +15738,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1570]
-FileName=ql\instruments\makeois.cpp
+FileName=ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp
 CompileCpp=1
-Folder=instruments
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15748,9 +15748,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1571]
-FileName=ql\instruments\makeois.hpp
+FileName=ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp
 CompileCpp=1
-Folder=instruments
+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15758,9 +15758,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1572]
-FileName=ql\instruments\overnightindexedswap.cpp
+FileName=ql\experimental\exoticoptions\margrabeoption.cpp
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+Folder=experimental/exoticoptions
 Compile=1
 Link=1
 Priority=1000
@@ -15768,9 +15768,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1573]
-FileName=ql\math\interpolations\kernelinterpolation2d.hpp
+FileName=ql\experimental\exoticoptions\margrabeoption.hpp
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-Folder=math/interpolations
+Folder=experimental/exoticoptions
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 [Unit1574]
-FileName=ql\termstructures\yield\oisratehelper.hpp
+FileName=ql\mathconstants.hpp
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-Folder=termstructures/yield
+Folder=
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 [Unit1575]
-FileName=ql\termstructures\yield\oisratehelper.cpp
+FileName=ql\config.sun.hpp
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-Folder=termstructures/yield
+Folder=
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 Link=1
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 BuildCmd=
 
 [Unit1576]
-FileName=ql\time\ecb.hpp
+FileName=ql\cashflows\simplecashflow.cpp
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-Folder=time
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -15808,9 +15808,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1577]
-FileName=ql\time\ecb.cpp
+FileName=ql\experimental\coupons\proxyibor.cpp
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-Folder=time
+Folder=experimental/coupons
 Compile=1
 Link=1
 Priority=1000
@@ -15818,9 +15818,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1578]
-FileName=ql\cashflows\yoyinflationcoupon.hpp
+FileName=ql\experimental\coupons\proxyibor.hpp
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-Folder=cashflows
+Folder=experimental/coupons
 Compile=1
 Link=1
 Priority=1000
@@ -15828,9 +15828,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1579]
-FileName=ql\cashflows\capflooredinflationcoupon.cpp
+FileName=ql\experimental\math\claytoncopularng.hpp
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-Folder=cashflows
+Folder=experimental/math
 Compile=1
 Link=1
 Priority=1000
@@ -15838,9 +15838,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1580]
-FileName=ql\cashflows\capflooredinflationcoupon.hpp
+FileName=ql\experimental\math\farliegumbelmorgensterncopularng.hpp
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-Folder=cashflows
+Folder=experimental/math
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 Link=1
 Priority=1000
@@ -15848,9 +15848,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1581]
-FileName=ql\cashflows\indexedcashflow.cpp
+FileName=ql\experimental\math\frankcopularng.hpp
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-Folder=cashflows
+Folder=experimental/math
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 Link=1
 Priority=1000
@@ -15858,9 +15858,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1582]
-FileName=ql\cashflows\indexedcashflow.hpp
+FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp
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-Folder=cashflows
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -15868,9 +15868,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1583]
-FileName=ql\cashflows\inflationcoupon.cpp
+FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp
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-Folder=cashflows
+Folder=experimental/processes
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 Link=1
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@@ -15878,9 +15878,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1584]
-FileName=ql\cashflows\inflationcoupon.hpp
+FileName=ql\instruments\bonds\btp.cpp
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-Folder=cashflows
+Folder=instruments/bonds
 Compile=1
 Link=1
 Priority=1000
@@ -15888,9 +15888,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1585]
-FileName=ql\cashflows\inflationcouponpricer.cpp
+FileName=ql\instruments\bonds\btp.hpp
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-Folder=cashflows
+Folder=instruments/bonds
 Compile=1
 Link=1
 Priority=1000
@@ -15898,9 +15898,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1586]
-FileName=ql\cashflows\inflationcouponpricer.hpp
+FileName=ql\math\interpolations\mixedinterpolation.hpp
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-Folder=cashflows
+Folder=math/interpolations
 Compile=1
 Link=1
 Priority=1000
@@ -15908,9 +15908,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1587]
-FileName=ql\cashflows\yoyinflationcoupon.cpp
+FileName=ql\models\equity\piecewisetimedependenthestonmodel.cpp
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-Folder=cashflows
+Folder=models/equity
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 Link=1
 Priority=1000
@@ -15918,9 +15918,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1588]
-FileName=ql\experimental\inflation\yoyinflationoptionletvolatilitystructure2.hpp
+FileName=ql\models\equity\piecewisetimedependenthestonmodel.hpp
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-Folder=experimental/inflation
+Folder=models/equity
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 Link=1
 Priority=1000
@@ -15928,9 +15928,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1589]
-FileName=ql\indexes\inflation\uscpi.hpp
+FileName=ql\models\marketmodels\products\multistep\multisteptarn.cpp
 CompileCpp=1
-Folder=indexes/inflation
+Folder=models/marketmodels/products/multistep
 Compile=1
 Link=1
 Priority=1000
@@ -15938,9 +15938,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1590]
-FileName=ql\instruments\makeyoyinflationcapfloor.hpp
+FileName=ql\models\marketmodels\products\multistep\multisteptarn.hpp
 CompileCpp=1
-Folder=instruments
+Folder=models/marketmodels/products/multistep
 Compile=1
 Link=1
 Priority=1000
@@ -15948,9 +15948,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1591]
-FileName=ql\instruments\inflationcapfloor.cpp
+FileName=ql\pricingengines\vanilla\analyticptdhestonengine.cpp
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-Folder=instruments
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
@@ -15958,9 +15958,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1592]
-FileName=ql\instruments\inflationcapfloor.hpp
+FileName=ql\pricingengines\vanilla\analyticptdhestonengine.hpp
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-Folder=instruments
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
@@ -15968,9 +15968,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1593]
-FileName=ql\instruments\makeyoyinflationcapfloor.cpp
+FileName=ql\experimental\processes\vegastressedblackscholesprocess.cpp
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-Folder=instruments
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -15978,9 +15978,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1594]
-FileName=ql\pricingengines\inflation\inflationcapfloorengines.hpp
+FileName=ql\experimental\processes\vegastressedblackscholesprocess.hpp
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-Folder=pricingengines/inflation
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -15988,9 +15988,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1595]
-FileName=ql\pricingengines\inflation\inflationcapfloorengines.cpp
+FileName=ql\pricingengines\basket\kirkengine.cpp
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-Folder=pricingengines/inflation
+Folder=pricingengines/basket
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 Link=1
 Priority=1000
@@ -15998,9 +15998,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1596]
-FileName=ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.hpp
+FileName=ql\pricingengines\basket\kirkengine.hpp
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-Folder=termstructures/volatility/inflation
+Folder=pricingengines/basket
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 Link=1
 Priority=1000
@@ -16008,9 +16008,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1597]
-FileName=ql\termstructures\volatility\inflation\all.hpp
+FileName=ql\time\calendars\russia.cpp
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-Folder=termstructures/volatility/inflation
+Folder=time/calendars
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@@ -16018,9 +16018,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1598]
-FileName=ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp
+FileName=ql\time\calendars\russia.hpp
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-Folder=termstructures/volatility/inflation
+Folder=time/calendars
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 Link=1
 Priority=1000
@@ -16028,9 +16028,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1599]
-FileName=ql\termstructures\volatility\sabrsmilesection.hpp
+FileName=ql\experimental\math\zigguratrng.cpp
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-Folder=termstructures/volatility
+Folder=experimental/math
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 Link=1
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@@ -16038,9 +16038,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1600]
-FileName=ql\termstructures\volatility\sabrsmilesection.cpp
+FileName=ql\experimental\math\zigguratrng.hpp
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-Folder=termstructures/volatility
+Folder=experimental/math
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@@ -16048,9 +16048,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1601]
-FileName=ql\experimental\finitedifferences\sparseilupreconditioner.cpp
+FileName=ql\indexes\ibor\sonia.hpp
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-Folder=experimental/finitedifferences
+Folder=indexes/ibor
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 Priority=1000
@@ -16058,9 +16058,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1602]
-FileName=ql\experimental\finitedifferences\sparseilupreconditioner.hpp
+FileName=ql\indexes\ibor\sonia.cpp
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-Folder=experimental/finitedifferences
+Folder=indexes/ibor
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 Link=1
 Priority=1000
@@ -16068,9 +16068,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1603]
-FileName=ql\experimental\mcbasket\mclongstaffschwartzpathengine.hpp
+FileName=ql\methods\finitedifferences\trbdf2.hpp
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-Folder=experimental/mcbasket
+Folder=methods/finitedifferences
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 Link=1
 Priority=1000
@@ -16078,9 +16078,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1604]
-FileName=ql\experimental\mcbasket\adaptedpathpayoff.cpp
+FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp
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-Folder=experimental/mcbasket
+Folder=experimental/exoticoptions
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 Link=1
 Priority=1000
@@ -16088,9 +16088,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1605]
-FileName=ql\experimental\mcbasket\adaptedpathpayoff.hpp
+FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp
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-Folder=experimental/mcbasket
+Folder=experimental/exoticoptions
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@@ -16098,9 +16098,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1606]
-FileName=ql\experimental\mcbasket\longstaffschwartzmultipathpricer.cpp
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-Folder=experimental/mcbasket
+Folder=experimental/exoticoptions
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 BuildCmd=
 
 [Unit1607]
-FileName=ql\experimental\mcbasket\longstaffschwartzmultipathpricer.hpp
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-Folder=experimental/mcbasket
+Folder=experimental/exoticoptions
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@@ -16118,9 +16118,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1608]
-FileName=ql\experimental\mcbasket\mcamericanpathengine.hpp
+FileName=ql\experimental\exoticoptions\writerextensibleoption.cpp
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-Folder=experimental/mcbasket
+Folder=experimental/exoticoptions
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@@ -16128,9 +16128,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1609]
-FileName=ql\models\marketmodels\callability\swapforwardbasissystem.hpp
+FileName=ql\experimental\exoticoptions\writerextensibleoption.hpp
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-Folder=models/marketmodels/callability
+Folder=experimental/exoticoptions
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 Link=1
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@@ -16138,9 +16138,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1610]
-FileName=ql\models\marketmodels\callability\swapforwardbasissystem.cpp
+FileName=ql\experimental\exoticoptions\spreadoption.hpp
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+Folder=experimental/exoticoptions
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@@ -16148,9 +16148,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1611]
-FileName=ql\models\marketmodels\evolvers\lognormalfwdrateiballand.hpp
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-Folder=models/marketmodels/evolvers
+Folder=experimental/exoticoptions
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 Link=1
 Priority=1000
@@ -16158,9 +16158,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1612]
-FileName=ql\models\marketmodels\evolvers\lognormalfwdrateiballand.cpp
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-Folder=models/marketmodels/evolvers
+Folder=experimental/exoticoptions
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 Link=1
 Priority=1000
@@ -16168,9 +16168,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1613]
-FileName=ql\models\marketmodels\products\multistep\multisteppathwisewrapper.hpp
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-Folder=models/marketmodels/products/multistep
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -16178,9 +16178,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1614]
-FileName=ql\models\marketmodels\products\multistep\multistepinversefloater.cpp
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-Folder=models/marketmodels/products/multistep
+Folder=cashflows
 Compile=1
 Link=1
 Priority=1000
@@ -16188,9 +16188,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1615]
-FileName=ql\models\marketmodels\products\multistep\multistepinversefloater.hpp
+FileName=ql\cashflows\cpicoupon.cpp
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-Folder=models/marketmodels/products/multistep
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -16198,9 +16198,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1616]
-FileName=ql\models\marketmodels\products\multistep\multisteppathwisewrapper.cpp
+FileName=ql\cashflows\cpicoupon.hpp
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-Folder=models/marketmodels/products/multistep
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -16208,9 +16208,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1617]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswap.hpp
+FileName=ql\cashflows\cpicouponpricer.cpp
 CompileCpp=1
-Folder=models/marketmodels/products/pathwise
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -16218,9 +16218,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1618]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcallspecified.cpp
+FileName=ql\cashflows\cpicouponpricer.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=cashflows
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 Link=1
 Priority=1000
@@ -16228,9 +16228,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1619]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcallspecified.hpp
+FileName=ql\experimental\inflation\cpicapfloortermpricesurface.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -16238,9 +16238,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1620]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcashrebate.cpp
+FileName=ql\experimental\inflation\cpicapfloortermpricesurface.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -16248,9 +16248,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1621]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductcashrebate.hpp
+FileName=ql\experimental\inflation\cpioptionletvolatilitystructure.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -16258,9 +16258,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1622]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductinversefloater.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/inflation
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 Link=1
 Priority=1000
@@ -16268,9 +16268,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1623]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductinversefloater.hpp
+FileName=ql\experimental\processes\extouwithjumpsprocess.cpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -16278,9 +16278,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1624]
-FileName=ql\models\marketmodels\products\pathwise\pathwiseproductswap.cpp
+FileName=ql\experimental\processes\extouwithjumpsprocess.hpp
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-Folder=models/marketmodels/products/pathwise
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -16288,9 +16288,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1625]
-FileName=ql\experimental\exoticoptions\all.hpp
+FileName=ql\experimental\processes\gemanroncoroniprocess.cpp
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-Folder=experimental/exoticoptions
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -16298,9 +16298,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1626]
-FileName=ql\experimental\math\autocovariance.hpp
+FileName=ql\experimental\processes\gemanroncoroniprocess.hpp
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-Folder=experimental/math
+Folder=experimental/processes
 Compile=1
 Link=1
 Priority=1000
@@ -16308,9 +16308,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1627]
-FileName=ql\experimental\fx\all.hpp
+FileName=ql\experimental\processes\klugeextouprocess.cpp
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-Folder=experimental/fx
+Folder=experimental/processes
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 Link=1
 Priority=1000
@@ -16318,9 +16318,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1628]
-FileName=ql\experimental\fx\blackdeltacalculator.cpp
+FileName=ql\experimental\processes\klugeextouprocess.hpp
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-Folder=experimental/fx
+Folder=experimental/processes
 Compile=1
 Link=1
 Priority=1000
@@ -16328,9 +16328,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1629]
-FileName=ql\experimental\fx\blackdeltacalculator.hpp
+FileName=ql\instruments\bonds\cpibond.cpp
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-Folder=experimental/fx
+Folder=instruments/bonds
 Compile=1
 Link=1
 Priority=1000
@@ -16338,9 +16338,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1630]
-FileName=ql\experimental\fx\deltavolquote.cpp
+FileName=ql\instruments\bonds\cpibond.hpp
 CompileCpp=1
-Folder=experimental/fx
+Folder=instruments/bonds
 Compile=1
 Link=1
 Priority=1000
@@ -16348,9 +16348,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1631]
-FileName=ql\experimental\fx\deltavolquote.hpp
+FileName=ql\instruments\cpicapfloor.cpp
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-Folder=experimental/fx
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16358,9 +16358,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1632]
-FileName=ql\math\copulas\alimikhailhaqcopula.cpp
+FileName=ql\instruments\cpicapfloor.hpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16368,9 +16368,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1633]
-FileName=ql\math\copulas\alimikhailhaqcopula.hpp
+FileName=ql\instruments\cpiswap.cpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16378,9 +16378,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1634]
-FileName=ql\math\copulas\galamboscopula.cpp
+FileName=ql\instruments\cpiswap.hpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16388,9 +16388,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1635]
-FileName=ql\math\copulas\galamboscopula.hpp
+FileName=ql\instruments\dividendbarrieroption.cpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16398,9 +16398,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1636]
-FileName=ql\math\copulas\huslerreisscopula.cpp
+FileName=ql\instruments\dividendbarrieroption.hpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16408,9 +16408,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1637]
-FileName=ql\math\copulas\huslerreisscopula.hpp
+FileName=ql\instruments\vanillastorageoption.hpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16418,9 +16418,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1638]
-FileName=ql\math\copulas\plackettcopula.cpp
+FileName=ql\instruments\vanillaswingoption.cpp
 CompileCpp=1
-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16428,9 +16428,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1639]
-FileName=ql\math\copulas\plackettcopula.hpp
+FileName=ql\instruments\vanillaswingoption.hpp
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-Folder=math/copulas
+Folder=instruments
 Compile=1
 Link=1
 Priority=1000
@@ -16438,9 +16438,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1640]
-FileName=ql\experimental\variancegamma\all.hpp
+FileName=ql\math\generallinearleastsquares.hpp
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-Folder=experimental/variancegamma
+Folder=math
 Compile=1
 Link=1
 Priority=1000
@@ -16448,9 +16448,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1641]
-FileName=ql\experimental\variancegamma\analyticvariancegammaengine.cpp
+FileName=ql\math\solvers1d\finitedifferencenewtonsafe.hpp
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-Folder=experimental/variancegamma
+Folder=math/solvers1d
 Compile=1
 Link=1
 Priority=1000
@@ -16458,812 +16458,1572 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1642]
-FileName=ql\experimental\variancegamma\analyticvariancegammaengine.hpp
+FileName=ql\experimental\finitedifferences\vanillavppoption.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1643]
+FileName=ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
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 BuildCmd=
 
-[Unit1657]
-FileName=ql\experimental\shortrate\generalizedornsteinuhlenbeckprocess.hpp
+[Unit1733]
+FileName=ql\methods\finitedifferences\solvers\fdm2dimsolver.cpp
 CompileCpp=1
-Folder=experimental/shortrate
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1658]
-FileName=ql\experimental\exoticoptions\analyticsimplechooserengine.cpp
+[Unit1734]
+FileName=ql\methods\finitedifferences\solvers\fdm2dimsolver.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1659]
-FileName=ql\experimental\exoticoptions\analyticsimplechooserengine.hpp
+[Unit1735]
+FileName=ql\methods\finitedifferences\solvers\fdm3dimsolver.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1660]
-FileName=ql\experimental\exoticoptions\simplechooseroption.cpp
+[Unit1736]
+FileName=ql\methods\finitedifferences\solvers\fdm3dimsolver.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1661]
-FileName=ql\experimental\exoticoptions\simplechooseroption.hpp
+[Unit1737]
+FileName=ql\methods\finitedifferences\solvers\fdmbackwardsolver.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1662]
-FileName=ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp
+[Unit1738]
+FileName=ql\methods\finitedifferences\solvers\fdmbackwardsolver.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1663]
-FileName=ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp
+[Unit1739]
+FileName=ql\methods\finitedifferences\solvers\fdmbatessolver.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1664]
-FileName=ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp
+[Unit1740]
+FileName=ql\methods\finitedifferences\solvers\fdmbatessolver.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1665]
-FileName=ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp
+[Unit1741]
+FileName=ql\methods\finitedifferences\solvers\fdmblackscholessolver.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1666]
-FileName=ql\experimental\exoticoptions\margrabeoption.cpp
+[Unit1742]
+FileName=ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1667]
-FileName=ql\experimental\exoticoptions\margrabeoption.hpp
+[Unit1743]
+FileName=ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1668]
-FileName=ql\mathconstants.hpp
+[Unit1744]
+FileName=ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.hpp
 CompileCpp=1
-Folder=
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1669]
-FileName=ql\config.sun.hpp
+[Unit1745]
+FileName=ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp
 CompileCpp=1
-Folder=
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1670]
-FileName=ql\cashflows\simplecashflow.cpp
+[Unit1746]
+FileName=ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp
 CompileCpp=1
-Folder=cashflows
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1671]
-FileName=ql\experimental\coupons\proxyibor.cpp
+[Unit1747]
+FileName=ql\methods\finitedifferences\solvers\fdmndimsolver.hpp
 CompileCpp=1
-Folder=experimental/coupons
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1672]
-FileName=ql\experimental\coupons\proxyibor.hpp
+[Unit1748]
+FileName=ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp
 CompileCpp=1
-Folder=experimental/coupons
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1673]
-FileName=ql\experimental\math\claytoncopularng.hpp
+[Unit1749]
+FileName=ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp
 CompileCpp=1
-Folder=experimental/math
+Folder=methods/finitedifferences/solvers
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1674]
-FileName=ql\experimental\math\farliegumbelmorgensterncopularng.hpp
+[Unit1750]
+FileName=ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.hpp
 CompileCpp=1
-Folder=experimental/math
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1675]
-FileName=ql\experimental\math\frankcopularng.hpp
+[Unit1751]
+FileName=ql\methods\finitedifferences\stepconditions\all.hpp
 CompileCpp=1
-Folder=experimental/math
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1676]
-FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.cpp
+[Unit1752]
+FileName=ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp
 CompileCpp=1
-Folder=experimental/processes
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1677]
-FileName=ql\experimental\processes\extendedornsteinuhlenbeckprocess.hpp
+[Unit1753]
+FileName=ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.hpp
 CompileCpp=1
-Folder=experimental/processes
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1678]
-FileName=ql\instruments\bonds\btp.cpp
+[Unit1754]
+FileName=ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.cpp
 CompileCpp=1
-Folder=instruments/bonds
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1679]
-FileName=ql\instruments\bonds\btp.hpp
+[Unit1755]
+FileName=ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.hpp
 CompileCpp=1
-Folder=instruments/bonds
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1680]
-FileName=ql\math\interpolations\mixedinterpolation.hpp
+[Unit1756]
+FileName=ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.cpp
 CompileCpp=1
-Folder=math/interpolations
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1681]
-FileName=ql\models\equity\piecewisetimedependenthestonmodel.cpp
+[Unit1757]
+FileName=ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.hpp
 CompileCpp=1
-Folder=models/equity
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1682]
-FileName=ql\models\equity\piecewisetimedependenthestonmodel.hpp
+[Unit1758]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.cpp
 CompileCpp=1
-Folder=models/equity
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1683]
-FileName=ql\models\marketmodels\products\multistep\multisteptarn.cpp
+[Unit1759]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.hpp
 CompileCpp=1
-Folder=models/marketmodels/products/multistep
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1684]
-FileName=ql\models\marketmodels\products\multistep\multisteptarn.hpp
+[Unit1760]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.cpp
 CompileCpp=1
-Folder=models/marketmodels/products/multistep
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1685]
-FileName=ql\pricingengines\vanilla\analyticptdhestonengine.cpp
+[Unit1761]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.hpp
 CompileCpp=1
-Folder=pricingengines/vanilla
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1686]
-FileName=ql\pricingengines\vanilla\analyticptdhestonengine.hpp
+[Unit1762]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.cpp
 CompileCpp=1
-Folder=pricingengines/vanilla
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1687]
-FileName=ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp
+[Unit1763]
+FileName=ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1688]
-FileName=ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp
+[Unit1764]
+FileName=ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/stepconditions
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1689]
-FileName=ql\experimental\processes\vegastressedblackscholesprocess.cpp
+[Unit1765]
+FileName=ql\methods\finitedifferences\utilities\fdmquantohelper.hpp
 CompileCpp=1
-Folder=experimental/processes
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1690]
-FileName=ql\experimental\processes\vegastressedblackscholesprocess.hpp
+[Unit1766]
+FileName=ql\methods\finitedifferences\utilities\all.hpp
 CompileCpp=1
-Folder=experimental/processes
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1691]
-FileName=ql\pricingengines\basket\kirkengine.cpp
+[Unit1767]
+FileName=ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp
 CompileCpp=1
-Folder=pricingengines/basket
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1692]
-FileName=ql\pricingengines\basket\kirkengine.hpp
+[Unit1768]
+FileName=ql\methods\finitedifferences\utilities\fdmdirichletboundary.hpp
 CompileCpp=1
-Folder=pricingengines/basket
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1693]
-FileName=ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp
+[Unit1769]
+FileName=ql\methods\finitedifferences\utilities\fdmdividendhandler.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1694]
-FileName=ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp
+[Unit1770]
+FileName=ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1695]
-FileName=ql\experimental\finitedifferences\fdm2dblackscholesop.cpp
+[Unit1771]
+FileName=ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1696]
-FileName=ql\experimental\finitedifferences\fdm2dblackscholesop.hpp
+[Unit1772]
+FileName=ql\methods\finitedifferences\utilities\fdminnervaluecalculator.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1697]
-FileName=ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp
+[Unit1773]
+FileName=ql\methods\finitedifferences\utilities\fdmquantohelper.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=methods/finitedifferences/utilities
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1698]
-FileName=ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp
+[Unit1774]
+FileName=ql\pricingengines\asian\fdblackscholesasianengine.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/asian
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1699]
-FileName=ql\time\calendars\russia.cpp
+[Unit1775]
+FileName=ql\pricingengines\asian\fdblackscholesasianengine.cpp
 CompileCpp=1
-Folder=time/calendars
+Folder=pricingengines/asian
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1700]
-FileName=ql\time\calendars\russia.hpp
+[Unit1776]
+FileName=ql\pricingengines\barrier\fdhestonrebateengine.hpp
 CompileCpp=1
-Folder=time/calendars
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1701]
-FileName=ql\experimental\math\zigguratrng.cpp
+[Unit1777]
+FileName=ql\pricingengines\barrier\fdblackscholesbarrierengine.cpp
 CompileCpp=1
-Folder=experimental/math
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1702]
-FileName=ql\experimental\math\zigguratrng.hpp
+[Unit1778]
+FileName=ql\pricingengines\barrier\fdblackscholesbarrierengine.hpp
 CompileCpp=1
-Folder=experimental/math
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1703]
-FileName=ql\experimental\finitedifferences\fdbatesvanillaengine.cpp
+[Unit1779]
+FileName=ql\pricingengines\barrier\fdblackscholesrebateengine.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1704]
-FileName=ql\experimental\finitedifferences\fdbatesvanillaengine.hpp
+[Unit1780]
+FileName=ql\pricingengines\barrier\fdblackscholesrebateengine.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1705]
-FileName=ql\experimental\finitedifferences\fdmbatesop.cpp
+[Unit1781]
+FileName=ql\pricingengines\barrier\fdhestonbarrierengine.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1706]
-FileName=ql\experimental\finitedifferences\fdmbatesop.hpp
+[Unit1782]
+FileName=ql\pricingengines\barrier\fdhestonbarrierengine.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1707]
-FileName=ql\experimental\finitedifferences\fdmbatessolver.cpp
+[Unit1783]
+FileName=ql\pricingengines\barrier\fdhestonrebateengine.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/barrier
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1708]
-FileName=ql\experimental\finitedifferences\fdmbatessolver.hpp
+[Unit1784]
+FileName=ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/basket
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1709]
-FileName=ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp
+[Unit1785]
+FileName=ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/basket
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1710]
-FileName=ql\experimental\finitedifferences\fdmhestonlikesolverfactory.hpp
+[Unit1786]
+FileName=ql\pricingengines\inflation\cpicapfloorengines.hpp
 CompileCpp=1
-Folder=experimental/finitedifferences
+Folder=pricingengines/inflation
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1711]
-FileName=ql\indexes\ibor\sonia.hpp
+[Unit1787]
+FileName=ql\pricingengines\inflation\cpicapfloorengines.cpp
 CompileCpp=1
-Folder=indexes/ibor
+Folder=pricingengines/inflation
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1712]
-FileName=ql\indexes\ibor\sonia.cpp
+[Unit1788]
+FileName=ql\pricingengines\vanilla\fdsimplebsswingengine.hpp
 CompileCpp=1
-Folder=indexes/ibor
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1713]
-FileName=ql\methods\finitedifferences\trbdf2.hpp
+[Unit1789]
+FileName=ql\pricingengines\vanilla\fdbatesvanillaengine.cpp
 CompileCpp=1
-Folder=methods/finitedifferences
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1714]
-FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp
+[Unit1790]
+FileName=ql\pricingengines\vanilla\fdbatesvanillaengine.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1715]
-FileName=ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp
+[Unit1791]
+FileName=ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1716]
-FileName=ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp
+[Unit1792]
+FileName=ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1717]
-FileName=ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp
+[Unit1793]
+FileName=ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1718]
-FileName=ql\experimental\exoticoptions\writerextensibleoption.cpp
+[Unit1794]
+FileName=ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1719]
-FileName=ql\experimental\exoticoptions\writerextensibleoption.hpp
+[Unit1795]
+FileName=ql\pricingengines\vanilla\fdhestonvanillaengine.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-
-[Unit1720]
-FileName=ql\experimental\exoticoptions\spreadoption.hpp
+[Unit1796]
+FileName=ql\pricingengines\vanilla\fdhestonvanillaengine.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1721]
-FileName=ql\experimental\exoticoptions\kirkspreadoptionengine.cpp
+[Unit1797]
+FileName=ql\pricingengines\vanilla\fdsimplebsswingengine.cpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=pricingengines/vanilla
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
-[Unit1722]
-FileName=ql\experimental\exoticoptions\kirkspreadoptionengine.hpp
+[Unit1798]
+FileName=ql\termstructures\inflation\inflationtraits.hpp
 CompileCpp=1
-Folder=experimental/exoticoptions
+Folder=termstructures/inflation
 Compile=1
 Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 60fb229889..33cc4b91a6 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -251,27 +251,19 @@
     <ClInclude Include="ql\cashflows\baseindexedcashflow.hpp" />
     <ClInclude Include="ql\cashflows\cpicoupon.hpp" />
     <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\exponentialjump1dmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdm2dimsolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdm3dimsolver.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmexpextouinnervaluecalculator.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmextoujumpsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextousolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmklugeextouspreadinnervalue.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmndimsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsolverdesc.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepcondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdsimplebsswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp" />
@@ -284,9 +276,71 @@
     <ClInclude Include="ql\instruments\bonds\cpibond.hpp" />
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
+    <ClInclude Include="ql\instruments\dividendbarrieroption.hpp" />
     <ClInclude Include="ql\instruments\vanillastorageoption.hpp" />
     <ClInclude Include="ql\instruments\vanillaswingoption.hpp" />
+    <ClInclude Include="ql\math\matrixutilities\bicgstab.hpp" />
+    <ClInclude Include="ql\math\matrixutilities\sparseilupreconditioner.hpp" />
     <ClInclude Include="ql\methods\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\concentrating1dmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\exponentialjump1dmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdm1dmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmblackscholesmultistrikemesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmhestonvariancemesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmmeshercomposite.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\fdmsimpleprocess1dmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\uniform1dmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\meshers\uniformgridmesher.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmbatesop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmblackscholesop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopcomposite.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopiterator.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\firstderivativeop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\ninepointlinearop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\secondderivativeop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\secondordermixedderivativeop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\triplebandlinearop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\craigsneydscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\douglasscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\expliciteulerscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\hundsdorferscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\impliciteulerscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdm2dimsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdm3dimsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmbackwardsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmbatessolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmndimsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmsolverdesc.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmquantohelper.hpp" />
     <ClInclude Include="ql\methods\montecarlo\all.hpp" />
     <ClInclude Include="ql\methods\montecarlo\brownianbridge.hpp" />
     <ClInclude Include="ql\methods\montecarlo\earlyexercisepathpricer.hpp" />
@@ -471,6 +525,7 @@
     <ClInclude Include="ql\math\errorfunction.hpp" />
     <ClInclude Include="ql\math\factorial.hpp" />
     <ClInclude Include="ql\math\functional.hpp" />
+    <ClInclude Include="ql\math\generallinearleastsquares.hpp" />
     <ClInclude Include="ql\math\incompletegamma.hpp" />
     <ClInclude Include="ql\math\interpolation.hpp" />
     <ClInclude Include="ql\math\kernelfunctions.hpp" />
@@ -563,6 +618,7 @@
     <ClInclude Include="ql\math\solvers1d\bisection.hpp" />
     <ClInclude Include="ql\math\solvers1d\brent.hpp" />
     <ClInclude Include="ql\math\solvers1d\falseposition.hpp" />
+    <ClInclude Include="ql\math\solvers1d\finitedifferencenewtonsafe.hpp" />
     <ClInclude Include="ql\math\solvers1d\newton.hpp" />
     <ClInclude Include="ql\math\solvers1d\newtonsafe.hpp" />
     <ClInclude Include="ql\math\solvers1d\ridder.hpp" />
@@ -761,8 +817,18 @@
     <ClInclude Include="ql\models\equity\hestonmodel.hpp" />
     <ClInclude Include="ql\models\equity\hestonmodelhelper.hpp" />
     <ClInclude Include="ql\models\equity\piecewisetimedependenthestonmodel.hpp" />
+    <ClInclude Include="ql\pricingengines\asian\fdblackscholesasianengine.hpp" />
+    <ClInclude Include="ql\pricingengines\barrier\fdblackscholesbarrierengine.hpp" />
+    <ClInclude Include="ql\pricingengines\barrier\fdblackscholesrebateengine.hpp" />
+    <ClInclude Include="ql\pricingengines\barrier\fdhestonbarrierengine.hpp" />
+    <ClInclude Include="ql\pricingengines\barrier\fdhestonrebateengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp" />
-    <ClInclude Include="ql\processes\defaultable.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdbatesvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdhestonvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdsimplebsswingengine.hpp" />
     <ClInclude Include="ql\termstructures\all.hpp" />
     <ClInclude Include="ql\termstructures\bootstraperror.hpp" />
     <ClInclude Include="ql\termstructures\bootstraphelper.hpp" />
@@ -844,6 +910,7 @@
     <ClInclude Include="ql\termstructures\yield\zeroyieldstructure.hpp" />
     <ClInclude Include="ql\termstructures\inflation\all.hpp" />
     <ClInclude Include="ql\termstructures\inflation\inflationhelpers.hpp" />
+    <ClInclude Include="ql\termstructures\inflation\inflationtraits.hpp" />
     <ClInclude Include="ql\termstructures\inflation\interpolatedyoyinflationcurve.hpp" />
     <ClInclude Include="ql\termstructures\inflation\interpolatedzeroinflationcurve.hpp" />
     <ClInclude Include="ql\termstructures\inflation\piecewiseyoyinflationcurve.hpp" />
@@ -1153,64 +1220,6 @@
     <ClInclude Include="ql\experimental\credit\syntheticcdo.hpp" />
     <ClInclude Include="ql\experimental\credit\syntheticcdoengines.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\all.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\bicgstab.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\concentrating1dmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\craigsneydscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\dividendbarrieroption.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\douglasscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\expliciteulerscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdbatesvanillaengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesasianengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesbarrierengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesrebateengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdblackscholesvanillaengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdhestonbarrierengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdhestonhullwhitevanillaengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdhestonrebateengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdhestonvanillaengine.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdm1dmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholesop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmamericanstepcondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmbackwardsolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmbatesop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmbatessolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholesop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmblackscholessolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmdirichletboundary.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmdividendhandler.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonsolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdminnervaluecalculator.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmlinearop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmlinearopcomposite.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmlinearopiterator.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmlinearoplayout.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmmeshercomposite.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmquantohelper.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dbssolver.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmsnapshotcondition.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\firstderivativeop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\hundsdorferscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\impliciteulerscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\modifiedcraigsneydscheme.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\ninepointlinearop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\secondderivativeop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\secondordermixedderivativeop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\sparseilupreconditioner.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\triplebandlinearop.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\uniform1dmesher.hpp" />
-    <ClInclude Include="ql\experimental\finitedifferences\uniformgridmesher.hpp" />
     <ClInclude Include="ql\experimental\mcbasket\adaptedpathpayoff.hpp" />
     <ClInclude Include="ql\experimental\mcbasket\all.hpp" />
     <ClInclude Include="ql\experimental\mcbasket\longstaffschwartzmultipathpricer.hpp" />
@@ -1338,20 +1347,13 @@
     <ClCompile Include="ql\cashflows\baseindexedcashflow.cpp" />
     <ClCompile Include="ql\cashflows\cpicoupon.cpp" />
     <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\exponentialjump1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdm2dimsolver.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdm3dimsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\fdsimplebsswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
@@ -1364,7 +1366,55 @@
     <ClCompile Include="ql\instruments\bonds\cpibond.cpp" />
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
+    <ClCompile Include="ql\instruments\dividendbarrieroption.cpp" />
     <ClCompile Include="ql\instruments\vanillaswingoption.cpp" />
+    <ClCompile Include="ql\math\matrixutilities\bicgstab.cpp" />
+    <ClCompile Include="ql\math\matrixutilities\sparseilupreconditioner.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\concentrating1dmesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\exponentialjump1dmesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\fdmblackscholesmultistrikemesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\fdmhestonvariancemesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\fdmmeshercomposite.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\fdmsimpleprocess1dmesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\meshers\uniformgridmesher.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmbatesop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmblackscholesop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\firstderivativeop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\ninepointlinearop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\secondderivativeop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\secondordermixedderivativeop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\triplebandlinearop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\craigsneydscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\douglasscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\expliciteulerscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\hundsdorferscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\impliciteulerscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdm2dimsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdm3dimsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmbackwardsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmbatessolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmblackscholessolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmquantohelper.cpp" />
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp" />
     <ClCompile Include="ql\methods\montecarlo\genericlsregression.cpp" />
     <ClCompile Include="ql\methods\montecarlo\lsmbasissystem.cpp" />
@@ -1659,7 +1709,18 @@
     <ClCompile Include="ql\models\equity\hestonmodel.cpp" />
     <ClCompile Include="ql\models\equity\hestonmodelhelper.cpp" />
     <ClCompile Include="ql\models\equity\piecewisetimedependenthestonmodel.cpp" />
+    <ClCompile Include="ql\pricingengines\asian\fdblackscholesasianengine.cpp" />
+    <ClCompile Include="ql\pricingengines\barrier\fdblackscholesbarrierengine.cpp" />
+    <ClCompile Include="ql\pricingengines\barrier\fdblackscholesrebateengine.cpp" />
+    <ClCompile Include="ql\pricingengines\barrier\fdhestonbarrierengine.cpp" />
+    <ClCompile Include="ql\pricingengines\barrier\fdhestonrebateengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\inflation\cpicapfloorengines.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdbatesvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdhestonvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdsimplebsswingengine.cpp" />
     <ClCompile Include="ql\termstructures\defaulttermstructure.cpp" />
     <ClCompile Include="ql\termstructures\inflationtermstructure.cpp" />
     <ClCompile Include="ql\termstructures\voltermstructure.cpp" />
@@ -1922,58 +1983,6 @@
     <ClCompile Include="ql\experimental\credit\riskybond.cpp" />
     <ClCompile Include="ql\experimental\credit\syntheticcdo.cpp" />
     <ClCompile Include="ql\experimental\credit\syntheticcdoengines.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\bicgstab.cpp" />
-    <ClCompile Include="ql\experimental\finitedifferences\concentrating1dmesher.cpp" />
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diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 71e76880c4..a99c3dbf4d 100644
--- a/QuantLib_vc10.vcxproj.filters
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+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\meshers\uniformgridmesher.cpp">
+      <Filter>methods\finitedifferences\meshers</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\schemes\hundsdorferscheme.cpp">
+      <Filter>methods\finitedifferences\schemes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\schemes\impliciteulerscheme.cpp">
+      <Filter>methods\finitedifferences\schemes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.cpp">
+      <Filter>methods\finitedifferences\schemes</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\math\matrixutilities\sparseilupreconditioner.cpp">
+      <Filter>math\matrixutilities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\vanilla\fdsimplebsswingengine.cpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.cpp">
+      <Filter>methods\finitedifferences\stepconditions</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 38f69dbb0b..b9ed6b9434 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -399,6 +399,12 @@
 			<File
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp">
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp">
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp">
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp">
 			</File>
@@ -447,6 +453,18 @@
 			<File
 				RelativePath=".\ql\cashflows\couponpricer.hpp">
 			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.cpp">
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicoupon.hpp">
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.cpp">
+			</File>
+			<File
+				RelativePath=".\ql\cashflows\cpicouponpricer.hpp">
+			</File>
 			<File
 				RelativePath=".\ql\cashflows\digitalcmscoupon.cpp">
 			</File>
@@ -1128,346 +1146,88 @@
 					RelativePath=".\ql\experimental\finitedifferences\all.hpp">
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-				</File>
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-				</File>
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-				<File
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-				</File>
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-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesvanillaengine.cpp">
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-				<File
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-				</File>
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-				</File>
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-				</File>
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-				<File
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-				</File>
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-					RelativePath=".\ql\experimental\finitedifferences\fdmdirichletboundary.hpp">
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 				</File>
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp">
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 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.cpp">
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-					RelativePath=".\ql\experimental\finitedifferences\fdmhullwhitemesher.hpp">
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-				<File
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 			<Filter
@@ -1495,6 +1255,18 @@
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+				<File
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+				</File>
+				<File
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+				</File>
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+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp">
 				</File>
@@ -1628,6 +1400,24 @@
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 				</File>
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+				</File>
+				<File
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+				</File>
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+				</File>
+				<File
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+				</File>
+				<File
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+				</File>
+				<File
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+				</File>
 				<File
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 				</File>
@@ -2065,12 +1855,30 @@
 			<File
 				RelativePath=".\ql\instruments\compositeinstrument.hpp">
 			</File>
+			<File
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+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpicapfloor.hpp">
+			</File>
+			<File
+				RelativePath=".\ql\instruments\cpiswap.cpp">
+			</File>
+			<File
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+			</File>
 			<File
 				RelativePath=".\ql\instruments\creditdefaultswap.cpp">
 			</File>
 			<File
 				RelativePath=".\ql\instruments\creditdefaultswap.hpp">
 			</File>
+			<File
+				RelativePath=".\ql\instruments\dividendbarrieroption.cpp">
+			</File>
+			<File
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+			</File>
 			<File
 				RelativePath=".\ql\instruments\dividendschedule.hpp">
 			</File>
@@ -2230,12 +2038,21 @@
 			<File
 				RelativePath=".\ql\instruments\vanillaoption.hpp">
 			</File>
+			<File
+				RelativePath=".\ql\instruments\vanillastorageoption.hpp">
+			</File>
 			<File
 				RelativePath=".\ql\instruments\vanillaswap.cpp">
 			</File>
 			<File
 				RelativePath=".\ql\instruments\vanillaswap.hpp">
 			</File>
+			<File
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+			</File>
+			<File
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+			</File>
 			<File
 				RelativePath=".\ql\instruments\varianceswap.cpp">
 			</File>
@@ -2272,6 +2089,12 @@
 				<File
 					RelativePath=".\ql\instruments\bonds\cmsratebond.hpp">
 				</File>
+				<File
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+				</File>
+				<File
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+				</File>
 				<File
 					RelativePath=".\ql\instruments\bonds\fixedratebond.cpp">
 				</File>
@@ -2441,6 +2264,9 @@
 			<File
 				RelativePath="ql\math\functional.hpp">
 			</File>
+			<File
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+			</File>
 			<File
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 			<Filter
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 				<File
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 				<File
 					RelativePath=".\ql\math\copulas\alimikhailhaqcopula.hpp">
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 				<File
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 				</File>
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 				</File>
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 				</File>
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 				</File>
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+					</File>
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+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp">
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+					</File>
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+					Name="stepconditions"
+					Filter="">
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\all.hpp">
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmbermudanstepcondition.hpp">
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsimplestoragecondition.hpp">
+					</File>
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+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.cpp">
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+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.hpp">
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.hpp">
+					</File>
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+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.cpp">
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+						RelativePath=".\ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.hpp">
+					</File>
+				</Filter>
+				<Filter
+					Name="utilities"
+					Filter="">
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\all.hpp">
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdirichletboundary.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdividendhandler.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdminnervaluecalculator.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmquantohelper.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmquantohelper.hpp">
+					</File>
+				</Filter>
+			</Filter>
+			<Filter
+				Name="lattices"
+				Filter="">
+				<File
+					RelativePath=".\ql\methods\lattices\all.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\methods\lattices\binomialtree.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\methods\lattices\binomialtree.hpp">
 				</File>
 				<File
 					RelativePath=".\ql\methods\lattices\bsmlattice.hpp">
@@ -4283,6 +4460,12 @@
 				<File
 					RelativePath=".\ql\pricingengines\asian\analytic_discr_geom_av_strike.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\asian\fdblackscholesasianengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\asian\fdblackscholesasianengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\asian\mc_discr_arith_av_price.cpp">
 				</File>
@@ -4317,6 +4500,30 @@
 				<File
 					RelativePath="ql\pricingengines\barrier\analyticbarrierengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdblackscholesbarrierengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdblackscholesbarrierengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdblackscholesrebateengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdblackscholesrebateengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdhestonbarrierengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdhestonbarrierengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdhestonrebateengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\barrier\fdhestonrebateengine.hpp">
+				</File>
 				<File
 					RelativePath="ql\pricingengines\barrier\mcbarrierengine.cpp">
 				</File>
@@ -4331,22 +4538,28 @@
 					RelativePath="ql\pricingengines\basket\all.hpp">
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.cpp">
+					RelativePath=".\ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp">
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.hpp">
+					RelativePath=".\ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp">
 				</File>
 				<File
-					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.cpp">
+					RelativePath="ql\pricingengines\basket\kirkengine.cpp">
 				</File>
 				<File
-					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp">
+					RelativePath="ql\pricingengines\basket\kirkengine.hpp">
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\kirkengine.cpp">
+					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.cpp">
 				</File>
 				<File
-					RelativePath="ql\pricingengines\basket\kirkengine.hpp">
+					RelativePath="ql\pricingengines\basket\mcamericanbasketengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\basket\mceuropeanbasketengine.hpp">
 				</File>
 				<File
 					RelativePath="ql\pricingengines\basket\stulzengine.cpp">
@@ -4480,6 +4693,12 @@
 				<File
 					RelativePath=".\ql\pricingengines\inflation\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp">
 				</File>
@@ -4659,9 +4878,21 @@
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdamericanengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdbatesvanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdbatesvanillaengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdbermudanengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdconditions.hpp">
 				</File>
@@ -4680,12 +4911,30 @@
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdeuropeanengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonvanillaengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonvanillaengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdmultiperiodengine.hpp">
 				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdshoutengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdsimplebsswingengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdsimplebsswingengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdstepconditionengine.hpp">
 				</File>
@@ -5009,6 +5258,9 @@
 				<File
 					RelativePath=".\ql\termstructures\inflation\inflationhelpers.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\termstructures\inflation\inflationtraits.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\termstructures\inflation\interpolatedyoyinflationcurve.hpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 7984cc0deb..423e9010e7 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -574,82 +574,522 @@
 					RelativePath=".\ql\methods\finitedifferences\zerocondition.hpp"
 					>
 				</File>
-			</Filter>
-			<Filter
-				Name="lattices"
-				>
-				<File
-					RelativePath=".\ql\methods\lattices\all.hpp"
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 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp"
+					RelativePath=".\ql\experimental\callablebonds\callablebondvolstructure.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp"
+					RelativePath=".\ql\experimental\callablebonds\callablebondvolstructure.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp"
+					RelativePath=".\ql\experimental\callablebonds\discretizedcallablefixedratebond.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.cpp"
+					RelativePath=".\ql\experimental\callablebonds\discretizedcallablefixedratebond.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.hpp"
+					RelativePath=".\ql\experimental\callablebonds\treecallablebondengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsolverdesc.hpp"
+					RelativePath=".\ql\experimental\callablebonds\treecallablebondengine.hpp"
 					>
 				</File>
+			</Filter>
+			<Filter
+				Name="finitedifferences"
+				>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\all.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmexpextouinnervaluecalculator.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpmodelinnervalue.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\hundsdorferscheme.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\hundsdorferscheme.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\impliciteulerscheme.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\impliciteulerscheme.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\modifiedcraigsneydscheme.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\modifiedcraigsneydscheme.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\ninepointlinearop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\ninepointlinearop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondderivativeop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondderivativeop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondordermixedderivativeop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondordermixedderivativeop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\sparseilupreconditioner.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\sparseilupreconditioner.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\triplebandlinearop.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\triplebandlinearop.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniform1dmesher.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniformgridmesher.cpp"
+					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniformgridmesher.hpp"
+					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.hpp"
 					>
 				</File>
 			</Filter>
@@ -6562,6 +6678,14 @@
 					RelativePath=".\ql\experimental\processes\gemanroncoroniprocess.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\klugeextouprocess.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\processes\klugeextouprocess.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\processes\vegastressedblackscholesprocess.cpp"
 					>
@@ -6602,7 +6726,6 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
-
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 635ec3dde1..dc2d88f8e6 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -106,7 +106,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release|x64"
+			Name="Debug|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -128,20 +128,16 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="2"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -154,6 +150,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -161,7 +158,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -171,7 +168,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-gd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -192,7 +189,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|Win32"
+			Name="Release (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -218,12 +215,15 @@
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				PreprocessorDefinitions="NDEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -236,6 +236,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				Detect64BitPortabilityProblems="false"
 				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
@@ -244,7 +245,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -254,7 +255,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-gd.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-s.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -275,7 +276,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug|x64"
+			Name="Debug (static runtime)|Win32"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -297,7 +298,6 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
-				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
@@ -305,9 +305,9 @@
 				Optimization="0"
 				EnableIntrinsicFunctions="false"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				BasicRuntimeChecks="3"
-				RuntimeLibrary="3"
+				RuntimeLibrary="1"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -320,6 +320,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				Detect64BitPortabilityProblems="false"
 				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
@@ -338,7 +339,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-gd.lib"
+				OutputFile=".\lib\QuantLib-vc90-mt-sgd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -359,7 +360,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|Win32"
+			Name="Release|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -381,6 +382,7 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
@@ -390,9 +392,9 @@
 				EnableIntrinsicFunctions="false"
 				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
 				StringPooling="true"
-				RuntimeLibrary="0"
+				RuntimeLibrary="2"
 				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
@@ -406,8 +408,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				Detect64BitPortabilityProblems="false"
-				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -425,7 +425,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-s.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -446,7 +446,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Release (static runtime)|x64"
+			Name="Debug|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -473,15 +473,12 @@
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="2"
-				InlineFunctionExpansion="2"
+				Optimization="0"
 				EnableIntrinsicFunctions="false"
-				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				StringPooling="true"
-				RuntimeLibrary="0"
-				EnableFunctionLevelLinking="true"
+				PreprocessorDefinitions="_DEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				BasicRuntimeChecks="3"
+				RuntimeLibrary="3"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -494,6 +491,7 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
+				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -501,7 +499,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="NDEBUG"
+				PreprocessorDefinitions="_DEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -511,7 +509,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-s.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-gd.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -532,7 +530,7 @@
 			/>
 		</Configuration>
 		<Configuration
-			Name="Debug (static runtime)|Win32"
+			Name="Release (static runtime)|x64"
 			OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)"
 			ConfigurationType="4"
@@ -554,16 +552,20 @@
 			/>
 			<Tool
 				Name="VCMIDLTool"
+				TargetEnvironment="3"
 			/>
 			<Tool
 				Name="VCCLCompilerTool"
 				AdditionalOptions="/MP"
-				Optimization="0"
+				Optimization="2"
+				InlineFunctionExpansion="2"
 				EnableIntrinsicFunctions="false"
+				FavorSizeOrSpeed="1"
 				AdditionalIncludeDirectories="."
-				PreprocessorDefinitions="_DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
-				BasicRuntimeChecks="3"
-				RuntimeLibrary="1"
+				PreprocessorDefinitions="NDEBUG;x64;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;"
+				StringPooling="true"
+				RuntimeLibrary="0"
+				EnableFunctionLevelLinking="true"
 				DisableLanguageExtensions="false"
 				ForceConformanceInForLoopScope="true"
 				RuntimeTypeInfo="true"
@@ -576,8 +578,6 @@
 				BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\"
 				WarningLevel="3"
 				SuppressStartupBanner="true"
-				Detect64BitPortabilityProblems="false"
-				DebugInformationFormat="3"
 				CompileAs="0"
 			/>
 			<Tool
@@ -585,7 +585,7 @@
 			/>
 			<Tool
 				Name="VCResourceCompilerTool"
-				PreprocessorDefinitions="_DEBUG"
+				PreprocessorDefinitions="NDEBUG"
 				Culture="1033"
 			/>
 			<Tool
@@ -595,7 +595,7 @@
 			/>
 			<Tool
 				Name="VCLibrarianTool"
-				OutputFile=".\lib\QuantLib-vc90-mt-sgd.lib"
+				OutputFile=".\lib\QuantLib-vc90-$(PlatformName)-mt-s.lib"
 				SuppressStartupBanner="true"
 			/>
 			<Tool
@@ -921,26 +921,466 @@
 					RelativePath=".\ql\methods\finitedifferences\zerocondition.hpp"
 					>
 				</File>
-			</Filter>
-			<Filter
-				Name="lattices"
-				>
-				<File
-					RelativePath=".\ql\methods\lattices\all.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\methods\lattices\binomialtree.cpp"
+				<Filter
+					Name="meshers"
 					>
-				</File>
-				<File
-					RelativePath=".\ql\methods\lattices\binomialtree.hpp"
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\all.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\concentrating1dmesher.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\concentrating1dmesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\exponentialjump1dmesher.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\exponentialjump1dmesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdm1dmesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmblackscholesmesher.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmblackscholesmesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmblackscholesmultistrikemesher.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmblackscholesmultistrikemesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmhestonvariancemesher.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmhestonvariancemesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmmesher.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmmeshercomposite.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmmeshercomposite.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\meshers\fdmsimpleprocess1dmesher.cpp"
+						>
+					</File>
+					<File
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 					>
 				</File>
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+					>
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+					>
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 				<File
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 					>
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-					RelativePath=".\ql\pricingengines\basket\kirkengine.cpp"
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 					>
 				</File>
 				<File
-					RelativePath=".\ql\pricingengines\basket\kirkengine.hpp"
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 					>
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 				<File
-					RelativePath=".\ql\pricingengines\basket\mcamericanbasketengine.cpp"
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 					>
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 					>
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 					>
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+					RelativePath=".\ql\pricingengines\barrier\fdhestonrebateengine.hpp"
 					>
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-					RelativePath=".\ql\pricingengines\basket\stulzengine.cpp"
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 					>
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-					RelativePath=".\ql\pricingengines\basket\stulzengine.hpp"
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+					>
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 				>
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@@ -5233,10 +5753,26 @@
 					RelativePath=".\ql\pricingengines\vanilla\fdamericanengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdbatesvanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdbatesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdbermudanengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp"
+					>
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+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdconditions.hpp"
 					>
@@ -5261,6 +5797,22 @@
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 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp"
+					>
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+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonvanillaengine.cpp"
+					>
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+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdhestonvanillaengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdmultiperiodengine.hpp"
 					>
@@ -5269,6 +5821,14 @@
 					RelativePath=".\ql\pricingengines\vanilla\fdshoutengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdsimplebsswingengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\fdsimplebsswingengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\fdstepconditionengine.hpp"
 					>
@@ -6797,110 +7357,6 @@
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 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\bicgstab.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\bicgstab.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\concentrating1dmesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\concentrating1dmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\craigsneydscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\craigsneydscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\dividendbarrieroption.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\dividendbarrieroption.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\douglasscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\douglasscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\expliciteulerscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\exponentialjump1dmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fd2dblackscholesvanillaengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdbatesvanillaengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesasianengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesbarrierengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesbarrierengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesrebateengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesrebateengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesvanillaengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdblackscholesvanillaengine.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
 					>
@@ -6909,38 +7365,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonbarrierengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonbarrierengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonhullwhitevanillaengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonhullwhitevanillaengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonrebateengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonrebateengine.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonvanillaengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdhestonvanillaengine.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp"
 					>
@@ -6949,138 +7373,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm1dmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholesop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dblackscholessolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm2dimsolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdm3dimsolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmamericanstepcondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmarithmeticaveragecondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmarithmeticaveragecondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbackwardsolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbatesop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbatessolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmbermudanstepcondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesmultistrikemesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholesop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholessolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmblackscholessolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmdirichletboundary.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmdirichletboundary.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmdividendhandler.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmdividendhandler.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmexpextouinnervaluecalculator.hpp"
 					>
@@ -7113,54 +7405,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmextoujumpsolver.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhiteop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonhullwhitesolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonsolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmhestonvariancemesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdminnervaluecalculator.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdminnervaluecalculator.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextouop.cpp"
 					>
@@ -7173,58 +7417,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmklugeextousolver.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmlinearop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmlinearopcomposite.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmlinearopiterator.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmlinearoplayout.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmlinearoplayout.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmmeshercomposite.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmmeshercomposite.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmndimsolver.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmquantohelper.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmquantohelper.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dbssolver.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dbssolver.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp"
 					>
@@ -7233,54 +7425,10 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleprocess1dmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimplestoragecondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsimpleswingcondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsnapshotcondition.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmsolverdesc.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdmstepconditioncomposite.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp"
 					>
@@ -7289,14 +7437,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\fdsimplebsswingengine.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
 					>
@@ -7321,90 +7461,6 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\firstderivativeop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\hundsdorferscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\hundsdorferscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\impliciteulerscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\impliciteulerscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\modifiedcraigsneydscheme.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\modifiedcraigsneydscheme.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\ninepointlinearop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\ninepointlinearop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondderivativeop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondderivativeop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondordermixedderivativeop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\secondordermixedderivativeop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\sparseilupreconditioner.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\sparseilupreconditioner.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\triplebandlinearop.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\triplebandlinearop.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniform1dmesher.hpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniformgridmesher.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\finitedifferences\uniformgridmesher.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp"
 					>
diff --git a/configure.ac b/configure.ac
index fc6a47519d..14a782d77b 100644
--- a/configure.ac
+++ b/configure.ac
@@ -342,7 +342,13 @@ AC_CONFIG_FILES([
     ql/math/solvers1d/Makefile
     ql/math/statistics/Makefile
     ql/methods/Makefile
-    ql/methods/finitedifferences/Makefile
+    ql/methods/finitedifferences/Makefile    
+	ql/methods/finitedifferences/meshers/Makefile
+	ql/methods/finitedifferences/operators/Makefile
+	ql/methods/finitedifferences/schemes/Makefile
+	ql/methods/finitedifferences/solvers/Makefile
+	ql/methods/finitedifferences/stepconditions/Makefile
+	ql/methods/finitedifferences/utilities/Makefile
     ql/methods/lattices/Makefile
     ql/methods/montecarlo/Makefile
     ql/models/Makefile
diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index a55eab0a0e..a3aebb495a 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -4,162 +4,36 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
-    bicgstab.hpp \
-    concentrating1dmesher.hpp \
-	craigsneydscheme.hpp \
-	dividendbarrieroption.hpp \
-	douglasscheme.hpp \
-	expliciteulerscheme.hpp \
-	exponentialjump1dmesher.hpp \
-	fd2dblackscholesvanillaengine.hpp \
-	fdbatesvanillaengine.hpp \
-	fdblackscholesasianengine.hpp \
-	fdblackscholesbarrierengine.hpp \
-	fdblackscholesrebateengine.hpp \
-	fdblackscholesvanillaengine.hpp \
     fdextoujumpvanillaengine.hpp \
-	fdhestonbarrierengine.hpp \
-	fdhestonrebateengine.hpp \
-	fdhestonvanillaengine.hpp \
-	fdhestonhullwhitevanillaengine.hpp \
 	fdklugeextouspreadengine.hpp \
-	fdm1dmesher.hpp \
-	fdm2dblackscholesop.hpp \
-	fdm2dblackscholessolver.hpp \
-	fdm2dimsolver.hpp \
-	fdm3dimsolver.hpp \
-    fdmamericanstepcondition.hpp \
-    fdmarithmeticaveragecondition.hpp \
-    fdmbackwardsolver.hpp \
-    fdmbatesop.hpp \
-    fdmbatessolver.hpp \
-	fdmbermudanstepcondition.hpp \
-	fdmblackscholesmesher.hpp \
-	fdmblackscholesmultistrikemesher.hpp \
-	fdmblackscholesop.hpp \
-	fdmblackscholessolver.hpp \
-	fdmdirichletboundary.hpp \
-	fdmdividendhandler.hpp \
 	fdmexpextouinnervaluecalculator.hpp \
 	fdmextendedornsteinuhlenbeckop.hpp \
 	fdmextoujumpmodelinnervalue.hpp \
 	fdmextoujumpop.hpp \
 	fdmextoujumpsolver.hpp \
-	fdmhestonhullwhiteop.hpp \
-	fdmhestonhullwhitesolver.hpp \
-	fdmhestonop.hpp \
-	fdmhestonsolver.hpp \
-	fdmhestonvariancemesher.hpp \
-	fdminnervaluecalculator.hpp \
 	fdmklugeextouop.hpp \
 	fdmklugeextousolver.hpp \
-	fdmlinearop.hpp \
-	fdmlinearopcomposite.hpp \
-	fdmlinearopiterator.hpp \
-	fdmlinearoplayout.hpp \
-	fdmmesher.hpp \
-	fdmmeshercomposite.hpp \
-	fdmndimsolver.hpp \
-	fdmquantohelper.hpp \
-    fdmsimple2dbssolver.hpp \
 	fdmsimple2dextousolver.hpp \
     fdmsimple3dextoujumpsolver.hpp \
-    fdmsimpleprocess1dmesher.hpp \
-    fdmsimplestoragecondition.hpp \
-    fdmsimpleswingcondition.hpp \
-	fdmsnapshotcondition.hpp \
-	fdmsolverdesc.hpp \
 	fdmspreadpayoffinnervalue.hpp \
-	fdmstepconditioncomposite.hpp \
 	fdmvppstepcondition.hpp \
-    fdsimplebsswingengine.hpp \
 	fdsimpleextoujumpswingengine.hpp \
+    fdsimpleextoustorageengine.hpp \
 	fdsimpleklugeextouvppengine.hpp \
-	firstderivativeop.hpp \
-	hundsdorferscheme.hpp \
-	impliciteulerscheme.hpp \
-	modifiedcraigsneydscheme.hpp \
-	ninepointlinearop.hpp \
-	secondderivativeop.hpp \
-	secondordermixedderivativeop.hpp \
-	sparseilupreconditioner.hpp \
-	triplebandlinearop.hpp \
-	uniform1dmesher.hpp \
-	uniformgridmesher.hpp \
 	vanillavppoption.hpp
 
 libMultiDimFDM_la_SOURCES = \
-    bicgstab.cpp \
-    concentrating1dmesher.cpp \
-	craigsneydscheme.cpp \
-	dividendbarrieroption.cpp \
-	douglasscheme.cpp \
-	expliciteulerscheme.cpp \
-	exponentialjump1dmesher.cpp \
-	fd2dblackscholesvanillaengine.cpp \
-	fdbatesvanillaengine.cpp \
-	fdblackscholesasianengine.cpp \
-	fdblackscholesbarrierengine.cpp \
-	fdblackscholesrebateengine.cpp \
-	fdblackscholesvanillaengine.cpp \
     fdextoujumpvanillaengine.cpp \
-	fdhestonbarrierengine.cpp \
-	fdhestonrebateengine.cpp \
-	fdhestonvanillaengine.cpp \
-	fdhestonhullwhitevanillaengine.cpp \
 	fdklugeextouspreadengine.cpp \
-	fdm2dblackscholesop.cpp \
-	fdm2dblackscholessolver.cpp \
-	fdm2dimsolver.cpp \
-	fdm3dimsolver.cpp \
-	fdmamericanstepcondition.cpp \
-    fdmarithmeticaveragecondition.cpp \
-    fdmbackwardsolver.cpp \
-    fdmbatesop.cpp \
-    fdmbatessolver.cpp \
-	fdmbermudanstepcondition.cpp \
-	fdmblackscholesmesher.cpp \
-	fdmblackscholesmultistrikemesher.cpp \
-	fdmblackscholesop.cpp \
-	fdmblackscholessolver.cpp \
-	fdmdirichletboundary.cpp \
-	fdmdividendhandler.cpp \
 	fdmextendedornsteinuhlenbeckop.cpp \
 	fdmextoujumpop.cpp \
 	fdmextoujumpsolver.cpp \
-	fdmhestonhullwhiteop.cpp \
-	fdmhestonhullwhitesolver.cpp \
-	fdmhestonop.cpp \
-	fdmhestonsolver.cpp \
-	fdmhestonvariancemesher.cpp \
-	fdminnervaluecalculator.cpp \
 	fdmklugeextouop.cpp \
-	fdmlinearoplayout.cpp \
-	fdmmeshercomposite.cpp \
-	fdmquantohelper.cpp \
-    fdmsimple2dbssolver.cpp \
-    fdmsimpleprocess1dmesher.cpp \
-    fdmsimplestoragecondition.cpp \
-    fdmsimpleswingcondition.cpp \
-	fdmsnapshotcondition.cpp \
-	fdmstepconditioncomposite.cpp \
 	fdmvppstepcondition.cpp \
-    fdsimplebsswingengine.cpp \
 	fdsimpleextoujumpswingengine.cpp \
     fdsimpleextoustorageengine.cpp \
     fdsimpleklugeextouvppengine.cpp \
-	firstderivativeop.cpp \
-	hundsdorferscheme.cpp \
-	impliciteulerscheme.cpp \
-	modifiedcraigsneydscheme.cpp \
-	ninepointlinearop.cpp \
-	secondderivativeop.cpp \
-	secondordermixedderivativeop.cpp \
-	sparseilupreconditioner.cpp \
-	triplebandlinearop.cpp \
-	uniformgridmesher.cpp \
 	vanillavppoption.cpp
-	
 
 noinst_LTLIBRARIES = libMultiDimFDM.la
 
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index e0352e21bc..92733d449b 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -1,87 +1,21 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/experimental/finitedifferences/bicgstab.hpp>
-#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
-#include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
-#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
-#include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
-#include <ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
-#include <ql/experimental/finitedifferences/sparseilupreconditioner.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/uniformgridmesher.hpp>
 #include <ql/experimental/finitedifferences/vanillavppoption.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
index 94a9ba984c..a968542853 100644
--- a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
@@ -26,15 +26,15 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
index 3db32b88d7..f9965a8a15 100644
--- a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
@@ -27,7 +27,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp: b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
new file mode 100644
index 0000000000..ffe3cf2ea5
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
@@ -0,0 +1 @@
+ql/experimental/finitedifferences/fdhestonbarrierengine.cpp-
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp: b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:
new file mode 100644
index 0000000000..c977ff24ff
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:
@@ -0,0 +1 @@
+ql/experimental/finitedifferences/fdhestonbarrierengine.hpp-
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
index 5ed3b0e3c6..fc0d9af39f 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
@@ -23,14 +23,14 @@
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
 #include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
index 6a83566056..fa6ff76189 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
@@ -27,7 +27,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 #include <ql/experimental/processes/klugeextouprocess.hpp>
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
index 07c3ceb4b6..567cb091e9 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -23,11 +23,11 @@
 #include <ql/math/functional.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
index ce9f5134c3..b9ef180e46 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -24,10 +24,10 @@
 #ifndef quantlib_fdm_extended_ornsteinuhlenback_op_hpp
 #define quantlib_fdm_extended_ornsteinuhlenback_op_hpp
 
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
index b38d52275d..b85a46c2b1 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
@@ -26,9 +26,9 @@
 #define quantlib_fdm_ext_ou_jump_model_inner_value_hpp
 
 #include <ql/payoff.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
index 5d8f8edc50..313d108327 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -23,13 +23,13 @@
 
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.hpp b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
index bb1556f7b7..7a06b1fc87 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
@@ -25,9 +25,9 @@
 #define quantlib_fdm_ext_ou_jump_op_hpp
 
 #include <ql/math/integrals/gaussianquadratures.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp b/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
index 84520204ed..1a10ec0925 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpsolver.cpp
@@ -21,7 +21,7 @@
 */
 
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
index eacd223e9d..4f3513646a 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
@@ -25,8 +25,8 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
index 3042284d72..cdaf7d1588 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -25,15 +25,15 @@
 #include <ql/quotes/simplequote.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index 12cc41fb60..4d319caf27 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -24,9 +24,9 @@
 #ifndef quantlib_fdm_kluge_ext_ou_op_hpp
 #define quantlib_fdm_kluge_ext_ou_op_hpp
 
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
index 2a53cc7be1..744f550e9f 100644
--- a/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
@@ -27,10 +27,10 @@
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/experimental/processes/klugeextouprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
-#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp b/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
index a07a1c47b2..ec980e6385 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
@@ -29,9 +29,9 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp b/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
index 9074d133f2..7d867d9582 100644
--- a/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
@@ -29,10 +29,10 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
index 49c4ca0761..56a8f308e9 100644
--- a/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
+++ b/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
@@ -25,7 +25,7 @@
 #define quantlib_fdm_spread_payoff_inner_value_hpp
 
 #include <ql/instruments/basketoption.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
index 827dd3f747..a5dc9c52d9 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
@@ -22,11 +22,11 @@
 
 #include <ql/math/array.hpp>
 #include <ql/math/functional.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 #include <boost/bind.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index fc6608ee47..115175fa7c 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -25,18 +25,18 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
index 802a4b7faf..cf39d808eb 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index 9e5f17dc5a..63d28a62a8 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -23,17 +23,17 @@
 
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
-#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
+#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
index 6ab4999d60..0a7312b85e 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillastorageoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index 7290c1e0f4..1e5d2aeb91 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -28,17 +28,17 @@
 #include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
 #include <list>
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
index b6d3bf6be6..81726455d0 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/experimental/finitedifferences/vanillavppoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
 
 namespace QuantLib {
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
index 1a20a7544b..c1d43dd71d 100644
--- a/ql/instruments/Makefile.am
+++ b/ql/instruments/Makefile.am
@@ -22,6 +22,7 @@ this_include_HEADERS = \
     cpiswap.hpp \
     cpicapfloor.hpp \
     creditdefaultswap.hpp \
+	dividendbarrieroption.hpp \
     dividendschedule.hpp \
     dividendvanillaoption.hpp \
     europeanoption.hpp \
@@ -73,6 +74,7 @@ libInstruments_la_SOURCES = \
     cpiswap.cpp \
     cpicapfloor.cpp \
     creditdefaultswap.cpp \
+	dividendbarrieroption.cpp \
     dividendvanillaoption.cpp \
     europeanoption.cpp \
     fixedratebondforward.cpp \
diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
index bee1392f8a..bf232082eb 100644
--- a/ql/instruments/all.hpp
+++ b/ql/instruments/all.hpp
@@ -17,6 +17,7 @@
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/instruments/europeanoption.hpp>
diff --git a/ql/experimental/finitedifferences/dividendbarrieroption.cpp b/ql/instruments/dividendbarrieroption.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/dividendbarrieroption.cpp
rename to ql/instruments/dividendbarrieroption.cpp
index 11d29a7480..f16ed33b31 100644
--- a/ql/experimental/finitedifferences/dividendbarrieroption.cpp
+++ b/ql/instruments/dividendbarrieroption.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 #include <ql/utilities/dataformatters.hpp>
 #include <ql/exercise.hpp>
 
diff --git a/ql/experimental/finitedifferences/dividendbarrieroption.hpp b/ql/instruments/dividendbarrieroption.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/dividendbarrieroption.hpp
rename to ql/instruments/dividendbarrieroption.hpp
diff --git a/ql/math/matrixutilities/Makefile.am b/ql/math/matrixutilities/Makefile.am
index bcf9727750..6a975cdbe3 100644
--- a/ql/math/matrixutilities/Makefile.am
+++ b/ql/math/matrixutilities/Makefile.am
@@ -5,23 +5,27 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
 	basisincompleteordered.hpp \
+	bicgstab.hpp \
 	choleskydecomposition.hpp \
 	factorreduction.hpp \
 	getcovariance.hpp \
 	pseudosqrt.hpp \
 	qrdecomposition.hpp \
+	sparseilupreconditioner.hpp \
 	svd.hpp \
 	symmetricschurdecomposition.hpp \
 	tapcorrelations.hpp \
 	tqreigendecomposition.hpp
 
 libMatrixUtilities_la_SOURCES = \
+	bicgstab.cpp \
 	basisincompleteordered.cpp \
 	choleskydecomposition.cpp \
 	factorreduction.cpp \
 	getcovariance.cpp \
 	pseudosqrt.cpp \
 	qrdecomposition.cpp \
+	sparseilupreconditioner.cpp \
 	svd.cpp \
 	symmetricschurdecomposition.cpp \
 	tapcorrelations.cpp \
diff --git a/ql/math/matrixutilities/all.hpp b/ql/math/matrixutilities/all.hpp
index 03bae7d41b..13795ce016 100644
--- a/ql/math/matrixutilities/all.hpp
+++ b/ql/math/matrixutilities/all.hpp
@@ -2,11 +2,13 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/math/matrixutilities/basisincompleteordered.hpp>
+#include <ql/math/matrixutilities/bicgstab.hpp>
 #include <ql/math/matrixutilities/choleskydecomposition.hpp>
 #include <ql/math/matrixutilities/factorreduction.hpp>
 #include <ql/math/matrixutilities/getcovariance.hpp>
 #include <ql/math/matrixutilities/pseudosqrt.hpp>
 #include <ql/math/matrixutilities/qrdecomposition.hpp>
+#include <ql/math/matrixutilities/sparseilupreconditioner.hpp>
 #include <ql/math/matrixutilities/svd.hpp>
 #include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
 #include <ql/math/matrixutilities/tapcorrelations.hpp>
diff --git a/ql/experimental/finitedifferences/bicgstab.cpp b/ql/math/matrixutilities/bicgstab.cpp
similarity index 98%
rename from ql/experimental/finitedifferences/bicgstab.cpp
rename to ql/math/matrixutilities/bicgstab.cpp
index ce79a4e246..8c9637c4f0 100644
--- a/ql/experimental/finitedifferences/bicgstab.cpp
+++ b/ql/math/matrixutilities/bicgstab.cpp
@@ -23,7 +23,7 @@
 */
 
 
-#include <ql/experimental/finitedifferences/bicgstab.hpp>
+#include <ql/math/matrixutilities/bicgstab.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/bicgstab.hpp b/ql/math/matrixutilities/bicgstab.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/bicgstab.hpp
rename to ql/math/matrixutilities/bicgstab.hpp
diff --git a/ql/experimental/finitedifferences/sparseilupreconditioner.cpp b/ql/math/matrixutilities/sparseilupreconditioner.cpp
similarity index 99%
rename from ql/experimental/finitedifferences/sparseilupreconditioner.cpp
rename to ql/math/matrixutilities/sparseilupreconditioner.cpp
index 7539f37555..81eef844cb 100644
--- a/ql/experimental/finitedifferences/sparseilupreconditioner.cpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.cpp
@@ -21,7 +21,7 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
-#include <ql/experimental/finitedifferences/sparseilupreconditioner.hpp>
+#include <ql/math/matrixutilities/sparseilupreconditioner.hpp>
 #include <ql/math/matrix.hpp>
 
 #if defined(QL_PATCH_MSVC)
diff --git a/ql/experimental/finitedifferences/sparseilupreconditioner.hpp b/ql/math/matrixutilities/sparseilupreconditioner.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/sparseilupreconditioner.hpp
rename to ql/math/matrixutilities/sparseilupreconditioner.hpp
diff --git a/ql/methods/finitedifferences/Makefile.am b/ql/methods/finitedifferences/Makefile.am
index 8d70b2574b..e228b539f4 100644
--- a/ql/methods/finitedifferences/Makefile.am
+++ b/ql/methods/finitedifferences/Makefile.am
@@ -1,4 +1,6 @@
 
+SUBDIRS = meshers operators schemes solvers stepconditions utilities
+
 AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 
 this_includedir=${includedir}/${subdir}
@@ -36,6 +38,14 @@ libFiniteDifferences_la_SOURCES = \
     bsmoperator.cpp \
     tridiagonaloperator.cpp
 
+libFiniteDifferences_la_LIBADD = \
+    meshers/libFdmMeshers.la \
+    operators/libFdmOperators.la \
+    schemes/libFdmSchemes.la \
+	solvers/libFdmSolvers.la \
+	stepconditions/libFdmStepConditions.la \
+	utilities/libFdmUtils.la
+
 noinst_LTLIBRARIES = libFiniteDifferences.la
 
 all.hpp: Makefile.am
diff --git a/ql/methods/finitedifferences/all.hpp b/ql/methods/finitedifferences/all.hpp
index bcc8df4a36..f4d99e9be3 100644
--- a/ql/methods/finitedifferences/all.hpp
+++ b/ql/methods/finitedifferences/all.hpp
@@ -28,3 +28,9 @@
 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
 #include <ql/methods/finitedifferences/zerocondition.hpp>
 
+#include <ql/methods/finitedifferences/meshers/all.hpp>
+#include <ql/methods/finitedifferences/operators/all.hpp>
+#include <ql/methods/finitedifferences/schemes/all.hpp>
+#include <ql/methods/finitedifferences/solvers/all.hpp>
+#include <ql/methods/finitedifferences/stepconditions/all.hpp>
+#include <ql/methods/finitedifferences/utilities/all.hpp>
diff --git a/ql/methods/finitedifferences/meshers/Makefile.am b/ql/methods/finitedifferences/meshers/Makefile.am
new file mode 100644
index 0000000000..87a6d90885
--- /dev/null
+++ b/ql/methods/finitedifferences/meshers/Makefile.am
@@ -0,0 +1,42 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+    concentrating1dmesher.hpp \
+    exponentialjump1dmesher.hpp \
+    fdm1dmesher.hpp \
+    fdmblackscholesmesher.hpp \
+    fdmblackscholesmultistrikemesher.hpp \
+    fdmhestonvariancemesher.hpp \
+    fdmmeshercomposite.hpp \
+    fdmmesher.hpp \
+    fdmsimpleprocess1dmesher.hpp \
+    uniform1dmesher.hpp \
+    uniformgridmesher.hpp
+
+libFdmMeshers_la_SOURCES = \
+    concentrating1dmesher.cpp \
+    exponentialjump1dmesher.cpp \
+    fdmblackscholesmesher.cpp \
+    fdmblackscholesmultistrikemesher.cpp \
+    fdmhestonvariancemesher.cpp \
+    fdmmeshercomposite.cpp \
+    fdmsimpleprocess1dmesher.cpp \
+    uniformgridmesher.cpp
+
+noinst_LTLIBRARIES = libFdmMeshers.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/meshers/all.hpp b/ql/methods/finitedifferences/meshers/all.hpp
new file mode 100644
index 0000000000..f1571214f4
--- /dev/null
+++ b/ql/methods/finitedifferences/meshers/all.hpp
@@ -0,0 +1,15 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniformgridmesher.hpp>
+
diff --git a/ql/experimental/finitedifferences/concentrating1dmesher.cpp b/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/concentrating1dmesher.cpp
rename to ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
index e212f5c09e..34a1e71811 100644
--- a/ql/experimental/finitedifferences/concentrating1dmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
@@ -23,7 +23,7 @@
 
 #include <ql/errors.hpp>
 #include <ql/utilities/null.hpp>
-#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
 #include <cmath>
 
 // asinh is missing in WIN32 (and possibly on other compilers)
diff --git a/ql/experimental/finitedifferences/concentrating1dmesher.hpp b/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/concentrating1dmesher.hpp
rename to ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
index 5cc344cb01..45df3719b3 100644
--- a/ql/experimental/finitedifferences/concentrating1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
@@ -24,7 +24,7 @@
 #ifndef quantlib_concentrating_1d_mesher_hpp
 #define quantlib_concentrating_1d_mesher_hpp
 
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 #include <ql/utilities/null.hpp>
 #include <utility>
 
diff --git a/ql/experimental/finitedifferences/exponentialjump1dmesher.cpp b/ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp
similarity index 98%
rename from ql/experimental/finitedifferences/exponentialjump1dmesher.cpp
rename to ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp
index f4a9c84f0a..730957cfc4 100644
--- a/ql/experimental/finitedifferences/exponentialjump1dmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp
@@ -25,7 +25,7 @@
 #include <ql/math/incompletegamma.hpp>
 #include <ql/math/integrals/gausslobattointegral.hpp>
 #include <ql/math/distributions/gammadistribution.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
 
 #include <boost/bind.hpp>
 
diff --git a/ql/experimental/finitedifferences/exponentialjump1dmesher.hpp b/ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/exponentialjump1dmesher.hpp
rename to ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp
index 15a3cf0791..56de38ee65 100644
--- a/ql/experimental/finitedifferences/exponentialjump1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp
@@ -25,8 +25,8 @@
 #ifndef quantlib_exponential_jump_1d_mesher_hpp
 #define quantlib_exponential_jump_1d_mesher_hpp
 
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdm1dmesher.hpp b/ql/methods/finitedifferences/meshers/fdm1dmesher.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdm1dmesher.hpp
rename to ql/methods/finitedifferences/meshers/fdm1dmesher.hpp
diff --git a/ql/experimental/finitedifferences/fdmblackscholesmesher.cpp b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmblackscholesmesher.cpp
rename to ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
index 9377928e3c..1735421376 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
@@ -25,9 +25,9 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholesmesher.hpp b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmblackscholesmesher.hpp
rename to ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp
index d77fafd555..c9e3892792 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp
@@ -25,7 +25,7 @@
 #define quantlib_fdm_black_scholes_mesher_hpp
 
 #include <ql/instruments/dividendschedule.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 #include <ql/handle.hpp>
 #include <ql/quote.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp b/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp
rename to ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp
index d0270ae195..b1a19c228c 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp
@@ -25,9 +25,9 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp b/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp
rename to ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp
index 556ef85321..8b5f265281 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp
@@ -25,7 +25,7 @@
 #define quantlib_fdm_black_scholes_multi_strike_mesher_hpp
 
 #include <ql/instruments/dividendschedule.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 #include <ql/handle.hpp>
 #include <ql/quote.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp b/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp
similarity index 98%
rename from ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp
rename to ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp
index 0e93c95c73..9d49847bbe 100644
--- a/ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp
@@ -23,7 +23,7 @@
 #include <ql/math/distributions/chisquaredistribution.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/math/integrals/gausslobattointegral.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
 
 #include <set>
 #include <algorithm>
diff --git a/ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp b/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp
rename to ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp
index 90a33a35db..e1d25703df 100644
--- a/ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp
@@ -27,7 +27,7 @@
 #define quantlib_fdm_heston_variance_mesher_hpp
 
 #include <ql/processes/hestonprocess.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmmesher.hpp b/ql/methods/finitedifferences/meshers/fdmmesher.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmmesher.hpp
rename to ql/methods/finitedifferences/meshers/fdmmesher.hpp
diff --git a/ql/experimental/finitedifferences/fdmmeshercomposite.cpp b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmmeshercomposite.cpp
rename to ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
index d04041b7cb..9d3b08a485 100644
--- a/ql/experimental/finitedifferences/fdmmeshercomposite.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
@@ -19,8 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmmeshercomposite.hpp b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
similarity index 89%
rename from ql/experimental/finitedifferences/fdmmeshercomposite.hpp
rename to ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
index 2353fba492..3c5ee0ba48 100644
--- a/ql/experimental/finitedifferences/fdmmeshercomposite.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
@@ -26,9 +26,9 @@
 #ifndef quantlib_fdm_mesher_composite_hpp
 #define quantlib_fdm_mesher_composite_hpp
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
rename to ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp
index 2d3868fb34..33115bfad1 100644
--- a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp
@@ -20,7 +20,7 @@
 #include <ql/math/functional.hpp>
 #include <ql/stochasticprocess.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
rename to ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
index 83f01b1492..e60bc2c652 100644
--- a/ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
@@ -24,7 +24,7 @@
 #ifndef quantlib_fdm_simple_process_1d_mesher_hpp
 #define quantlib_fdm_simple_process_1d_mesher_hpp
 
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 #include <boost/shared_ptr.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/uniform1dmesher.hpp b/ql/methods/finitedifferences/meshers/uniform1dmesher.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/uniform1dmesher.hpp
rename to ql/methods/finitedifferences/meshers/uniform1dmesher.hpp
index cb075e5742..17cd2df929 100644
--- a/ql/experimental/finitedifferences/uniform1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/uniform1dmesher.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_fdm_uniform_1d_mesher_hpp
 #define quantlib_fdm_uniform_1d_mesher_hpp
 
-#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
 #include <ql/errors.hpp>
 #include <ql/utilities/null.hpp>
 
diff --git a/ql/experimental/finitedifferences/uniformgridmesher.cpp b/ql/methods/finitedifferences/meshers/uniformgridmesher.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/uniformgridmesher.cpp
rename to ql/methods/finitedifferences/meshers/uniformgridmesher.cpp
index b906944986..29610d944f 100644
--- a/ql/experimental/finitedifferences/uniformgridmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/uniformgridmesher.cpp
@@ -19,8 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/uniformgridmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/uniformgridmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/uniformgridmesher.hpp b/ql/methods/finitedifferences/meshers/uniformgridmesher.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/uniformgridmesher.hpp
rename to ql/methods/finitedifferences/meshers/uniformgridmesher.hpp
index e8cddaeb84..8a1b08ac9c 100644
--- a/ql/experimental/finitedifferences/uniformgridmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/uniformgridmesher.hpp
@@ -26,8 +26,8 @@
 #ifndef quantlib_uniform_grid_mesher_hpp
 #define quantlib_uniform_grid_mesher_hpp
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/operators/Makefile.am b/ql/methods/finitedifferences/operators/Makefile.am
new file mode 100644
index 0000000000..e32ef4e9c4
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/Makefile.am
@@ -0,0 +1,48 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+	fdm2dblackscholesop.hpp \
+	fdmbatesop.hpp \
+	fdmblackscholesop.hpp \
+	fdmhestonhullwhiteop.hpp \
+	fdmhestonop.hpp \
+	fdmlinearopcomposite.hpp \
+	fdmlinearop.hpp \
+	fdmlinearopiterator.hpp \
+	fdmlinearoplayout.hpp \
+	firstderivativeop.hpp \
+	ninepointlinearop.hpp \
+	secondderivativeop.hpp \
+	secondordermixedderivativeop.hpp \
+	triplebandlinearop.hpp
+
+libFdmOperators_la_SOURCES = \
+	fdm2dblackscholesop.cpp \
+	fdmbatesop.cpp \
+	fdmblackscholesop.cpp \
+	fdmhestonhullwhiteop.cpp \
+	fdmhestonop.cpp \
+	fdmlinearoplayout.cpp \
+	firstderivativeop.cpp \
+	ninepointlinearop.cpp \
+	secondderivativeop.cpp \
+	secondordermixedderivativeop.cpp \
+	triplebandlinearop.cpp
+
+noinst_LTLIBRARIES = libFdmOperators.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/operators/all.hpp b/ql/methods/finitedifferences/operators/all.hpp
new file mode 100644
index 0000000000..88deaa5f6e
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/all.hpp
@@ -0,0 +1,18 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
rename to ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
index 232da0325b..a0a0494f62 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
@@ -22,10 +22,10 @@
 
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholesop.hpp b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdm2dblackscholesop.hpp
rename to ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
index b6f8549e25..dac3eed99a 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
@@ -24,9 +24,9 @@
 #ifndef quantlib_fdm_2d_black_scholes_op_hpp
 #define quantlib_fdm_2d_black_scholes_op_hpp
 
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmbatesop.cpp b/ql/methods/finitedifferences/operators/fdmbatesop.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmbatesop.cpp
rename to ql/methods/finitedifferences/operators/fdmbatesop.cpp
index 3d0d5a3002..c9707315bc 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmbatesop.cpp
@@ -21,15 +21,15 @@
     \brief Bates linear operator
 */
 
-#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
 
 #include <ql/processes/batesprocess.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/math/matrix.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 
 using boost::shared_ptr;
 
diff --git a/ql/experimental/finitedifferences/fdmbatesop.hpp b/ql/methods/finitedifferences/operators/fdmbatesop.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmbatesop.hpp
rename to ql/methods/finitedifferences/operators/fdmbatesop.hpp
index 96ac103b58..107d14edc6 100644
--- a/ql/experimental/finitedifferences/fdmbatesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmbatesop.hpp
@@ -24,8 +24,8 @@
 #ifndef quantlib_fdm_bates_op_hpp
 #define quantlib_fdm_bates_op_hpp
 
-#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmblackscholesop.cpp
rename to ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
index eb62a5d809..2dda9e404f 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
@@ -21,10 +21,10 @@
 
 #include <ql/math/functional.hpp>
 #include <ql/instruments/payoffs.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholesop.hpp b/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmblackscholesop.hpp
rename to ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
index b757e2e81d..2e8927015f 100644
--- a/ql/experimental/finitedifferences/fdmblackscholesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
@@ -28,9 +28,9 @@
 
 #include <ql/payoff.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp
rename to ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
index eba34d82ce..c793a9755f 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
@@ -19,12 +19,12 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp
rename to ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
index f23cf8f8a6..ac12c531b0 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
@@ -28,10 +28,10 @@
 
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonop.cpp b/ql/methods/finitedifferences/operators/fdmhestonop.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmhestonop.cpp
rename to ql/methods/finitedifferences/operators/fdmhestonop.cpp
index d6a304c8e7..1d6979719a 100644
--- a/ql/experimental/finitedifferences/fdmhestonop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonop.cpp
@@ -19,11 +19,11 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonop.hpp b/ql/methods/finitedifferences/operators/fdmhestonop.hpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdmhestonop.hpp
rename to ql/methods/finitedifferences/operators/fdmhestonop.hpp
index 089a175ff6..5c874dbe11 100644
--- a/ql/experimental/finitedifferences/fdmhestonop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonop.hpp
@@ -27,11 +27,11 @@
 #define quantlib_fdm_heston_op_hpp
 
 #include <ql/processes/hestonprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmlinearop.hpp b/ql/methods/finitedifferences/operators/fdmlinearop.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmlinearop.hpp
rename to ql/methods/finitedifferences/operators/fdmlinearop.hpp
diff --git a/ql/experimental/finitedifferences/fdmlinearopcomposite.hpp b/ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmlinearopcomposite.hpp
rename to ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp
index fe0f67355d..50dfc4b628 100644
--- a/ql/experimental/finitedifferences/fdmlinearopcomposite.hpp
+++ b/ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_fdm_affine_map_composite_hpp
 #define quantlib_fdm_affine_map_composite_hpp
 
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmlinearopiterator.hpp b/ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmlinearopiterator.hpp
rename to ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp
diff --git a/ql/experimental/finitedifferences/fdmlinearoplayout.cpp b/ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmlinearoplayout.cpp
rename to ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp
index 7a060fb414..8c2467c5b8 100644
--- a/ql/experimental/finitedifferences/fdmlinearoplayout.cpp
+++ b/ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmlinearoplayout.hpp b/ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmlinearoplayout.hpp
rename to ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp
index 5c4b1640b0..f2d6675b60 100644
--- a/ql/experimental/finitedifferences/fdmlinearoplayout.hpp
+++ b/ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_linear_op_layout_hpp
 #define quantlib_linear_op_layout_hpp
 
-#include <ql/experimental/finitedifferences/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
 #include <functional>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/firstderivativeop.cpp b/ql/methods/finitedifferences/operators/firstderivativeop.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/firstderivativeop.cpp
rename to ql/methods/finitedifferences/operators/firstderivativeop.cpp
index a0f33f51f9..ce17e825ba 100644
--- a/ql/experimental/finitedifferences/firstderivativeop.cpp
+++ b/ql/methods/finitedifferences/operators/firstderivativeop.cpp
@@ -19,9 +19,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/firstderivativeop.hpp b/ql/methods/finitedifferences/operators/firstderivativeop.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/firstderivativeop.hpp
rename to ql/methods/finitedifferences/operators/firstderivativeop.hpp
index 5e981fc429..c005bbca00 100644
--- a/ql/experimental/finitedifferences/firstderivativeop.hpp
+++ b/ql/methods/finitedifferences/operators/firstderivativeop.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_first_derivative_op_hpp
 #define quantlib_first_derivative_op_hpp
 
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/ninepointlinearop.cpp b/ql/methods/finitedifferences/operators/ninepointlinearop.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/ninepointlinearop.cpp
rename to ql/methods/finitedifferences/operators/ninepointlinearop.cpp
index a936ac77a2..11463dcba7 100644
--- a/ql/experimental/finitedifferences/ninepointlinearop.cpp
+++ b/ql/methods/finitedifferences/operators/ninepointlinearop.cpp
@@ -19,9 +19,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/ninepointlinearop.hpp b/ql/methods/finitedifferences/operators/ninepointlinearop.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/ninepointlinearop.hpp
rename to ql/methods/finitedifferences/operators/ninepointlinearop.hpp
index 6927547f4f..de07dc3881 100644
--- a/ql/experimental/finitedifferences/ninepointlinearop.hpp
+++ b/ql/methods/finitedifferences/operators/ninepointlinearop.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_nine_point_linear_op_hpp
 #define quantlib_nine_point_linear_op_hpp
 
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
 #include <boost/shared_array.hpp>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/secondderivativeop.cpp b/ql/methods/finitedifferences/operators/secondderivativeop.cpp
similarity index 90%
rename from ql/experimental/finitedifferences/secondderivativeop.cpp
rename to ql/methods/finitedifferences/operators/secondderivativeop.cpp
index 9da17bb7d3..1f77997611 100644
--- a/ql/experimental/finitedifferences/secondderivativeop.cpp
+++ b/ql/methods/finitedifferences/operators/secondderivativeop.cpp
@@ -19,9 +19,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/secondderivativeop.hpp b/ql/methods/finitedifferences/operators/secondderivativeop.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/secondderivativeop.hpp
rename to ql/methods/finitedifferences/operators/secondderivativeop.hpp
index 2ab7e912d0..994a447828 100644
--- a/ql/experimental/finitedifferences/secondderivativeop.hpp
+++ b/ql/methods/finitedifferences/operators/secondderivativeop.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_second_derivative_op_hpp
 #define quantlib_second_derivative_op_hpp
 
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp b/ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/secondordermixedderivativeop.cpp
rename to ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp
index 6ed60db58f..13f8acf00c 100644
--- a/ql/experimental/finitedifferences/secondordermixedderivativeop.cpp
+++ b/ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp
@@ -18,9 +18,9 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
 namespace QuantLib {
     SecondOrderMixedDerivativeOp::SecondOrderMixedDerivativeOp(
diff --git a/ql/experimental/finitedifferences/secondordermixedderivativeop.hpp b/ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/secondordermixedderivativeop.hpp
rename to ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp
index 36b9b54f57..dcfe6c01ce 100644
--- a/ql/experimental/finitedifferences/secondordermixedderivativeop.hpp
+++ b/ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp
@@ -26,7 +26,7 @@
 #ifndef quantlib_second_order_mixed_derivative_hpp
 #define quantlib_second_order_mixed_derivative_hpp
 
-#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/triplebandlinearop.cpp b/ql/methods/finitedifferences/operators/triplebandlinearop.cpp
similarity index 98%
rename from ql/experimental/finitedifferences/triplebandlinearop.cpp
rename to ql/methods/finitedifferences/operators/triplebandlinearop.cpp
index 4b6c8c1bf5..54847e470c 100644
--- a/ql/experimental/finitedifferences/triplebandlinearop.cpp
+++ b/ql/methods/finitedifferences/operators/triplebandlinearop.cpp
@@ -19,10 +19,10 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/triplebandlinearop.hpp b/ql/methods/finitedifferences/operators/triplebandlinearop.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/triplebandlinearop.hpp
rename to ql/methods/finitedifferences/operators/triplebandlinearop.hpp
index 204c7c19e5..bea5c16ef0 100644
--- a/ql/experimental/finitedifferences/triplebandlinearop.hpp
+++ b/ql/methods/finitedifferences/operators/triplebandlinearop.hpp
@@ -30,7 +30,7 @@
 #ifndef quantlib_triple_band_linear_op_hpp
 #define quantlib_triple_band_linear_op_hpp
 
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
 #include <boost/shared_array.hpp>
 
 namespace QuantLib {
diff --git a/ql/methods/finitedifferences/schemes/Makefile.am b/ql/methods/finitedifferences/schemes/Makefile.am
new file mode 100644
index 0000000000..29f81ebd45
--- /dev/null
+++ b/ql/methods/finitedifferences/schemes/Makefile.am
@@ -0,0 +1,35 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+	craigsneydscheme.hpp \
+	douglasscheme.hpp \
+	expliciteulerscheme.hpp \
+	hundsdorferscheme.hpp \
+	impliciteulerscheme.hpp \
+	modifiedcraigsneydscheme.hpp
+
+libFdmSchemes_la_SOURCES = \
+	craigsneydscheme.cpp \
+	douglasscheme.cpp \
+	expliciteulerscheme.cpp \
+	hundsdorferscheme.cpp \
+	impliciteulerscheme.cpp \
+	modifiedcraigsneydscheme.cpp
+
+noinst_LTLIBRARIES = libFdmSchemes.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/schemes/all.hpp b/ql/methods/finitedifferences/schemes/all.hpp
new file mode 100644
index 0000000000..edd0f5fcfb
--- /dev/null
+++ b/ql/methods/finitedifferences/schemes/all.hpp
@@ -0,0 +1,10 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/douglasscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
+
diff --git a/ql/experimental/finitedifferences/craigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/craigsneydscheme.cpp
rename to ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
index ce2ec02822..732ebc0bd3 100644
--- a/ql/experimental/finitedifferences/craigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/craigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/craigsneydscheme.hpp
rename to ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
index 99002e4f04..63f1c0bf63 100644
--- a/ql/experimental/finitedifferences/craigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_craig_sneyd_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/douglasscheme.cpp b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
similarity index 96%
rename from ql/experimental/finitedifferences/douglasscheme.cpp
rename to ql/methods/finitedifferences/schemes/douglasscheme.cpp
index 91d5843c6b..2fa33d9741 100644
--- a/ql/experimental/finitedifferences/douglasscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/douglasscheme.hpp>
 
 namespace QuantLib {
     DouglasScheme::DouglasScheme(
diff --git a/ql/experimental/finitedifferences/douglasscheme.hpp b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/douglasscheme.hpp
rename to ql/methods/finitedifferences/schemes/douglasscheme.hpp
index 98f39aecc8..d3bfc21a4b 100644
--- a/ql/experimental/finitedifferences/douglasscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_douglas_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/expliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/expliciteulerscheme.cpp
rename to ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
index de2616d0fc..0e1b91d241 100644
--- a/ql/experimental/finitedifferences/expliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/expliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/expliciteulerscheme.hpp
rename to ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
index 4cf57ef1ce..f8db4332d5 100644
--- a/ql/experimental/finitedifferences/expliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_explicit_euler_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/hundsdorferscheme.cpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/hundsdorferscheme.cpp
rename to ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
index be049235c5..80c520ef27 100644
--- a/ql/experimental/finitedifferences/hundsdorferscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/hundsdorferscheme.hpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/hundsdorferscheme.hpp
rename to ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
index 0678b3a259..c68291e0b7 100644
--- a/ql/experimental/finitedifferences/hundsdorferscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
@@ -28,8 +28,8 @@
 #define quantlib_hundsdorfer_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 #include <vector>
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/impliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/impliciteulerscheme.cpp
rename to ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
index 56ff32d9d5..2c4317bf54 100644
--- a/ql/experimental/finitedifferences/impliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
@@ -19,8 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/bicgstab.hpp>
-#include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
+#include <ql/math/matrixutilities/bicgstab.hpp>
+#include <ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp>
 
 #include <boost/bind.hpp>
 #include <boost/function.hpp>
diff --git a/ql/experimental/finitedifferences/impliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/impliciteulerscheme.hpp
rename to ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
index 281d19d248..bbd49471fb 100644
--- a/ql/experimental/finitedifferences/impliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_implicit_euler_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
similarity index 96%
rename from ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp
rename to ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
index 7962f0b3b1..f13d0762c6 100644
--- a/ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp
rename to ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
index 631b97bd5c..3502168a7e 100644
--- a/ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
@@ -25,8 +25,8 @@
 #define quantlib_modified_craig_sneyd_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
 namespace QuantLib {
     //! modified Craig-Sneyd scheme
diff --git a/ql/methods/finitedifferences/solvers/Makefile.am b/ql/methods/finitedifferences/solvers/Makefile.am
new file mode 100644
index 0000000000..d610e9942c
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/Makefile.am
@@ -0,0 +1,43 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+	fdm2dblackscholessolver.hpp \
+	fdm2dimsolver.hpp \
+	fdm3dimsolver.hpp \
+	fdmbackwardsolver.hpp \
+	fdmbatessolver.hpp \
+	fdmblackscholessolver.hpp \
+	fdmhestonhullwhitesolver.hpp \
+	fdmhestonsolver.hpp \
+	fdmndimsolver.hpp \
+	fdmsimple2dbssolver.hpp \
+	fdmsolverdesc.hpp
+
+libFdmSolvers_la_SOURCES = \
+	fdm2dblackscholessolver.cpp \
+	fdm2dimsolver.cpp \
+	fdm3dimsolver.cpp \
+	fdmbackwardsolver.cpp \
+	fdmbatessolver.cpp \
+	fdmblackscholessolver.cpp \
+	fdmhestonhullwhitesolver.cpp \
+	fdmhestonsolver.cpp \
+	fdmsimple2dbssolver.cpp
+
+noinst_LTLIBRARIES = libFdmSolvers.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/solvers/all.hpp b/ql/methods/finitedifferences/solvers/all.hpp
new file mode 100644
index 0000000000..ed22fd62d6
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/all.hpp
@@ -0,0 +1,15 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp b/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
rename to ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp
index e087a8726f..78aaca5f21 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp
@@ -18,9 +18,9 @@
 */
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp b/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
rename to ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp
index 006f82a2bb..41d3afd3fa 100644
--- a/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp
@@ -25,8 +25,8 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.cpp b/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdm2dimsolver.cpp
rename to ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
index b5fee391b2..52f6b82f12 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
@@ -19,13 +19,13 @@
 
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdm2dimsolver.hpp b/ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdm2dimsolver.hpp
rename to ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp
index 307aa59a09..ee1768ee9f 100644
--- a/ql/experimental/finitedifferences/fdm2dimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp
@@ -26,8 +26,8 @@
 #include <ql/handle.hpp>
 #include <ql/math/matrix.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.cpp b/ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdm3dimsolver.cpp
rename to ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp
index b5bf1ecd46..8ec908ef5f 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp
@@ -20,12 +20,12 @@
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdm3dimsolver.hpp b/ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdm3dimsolver.hpp
rename to ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp
index 1e2d0e304c..6d987c0317 100644
--- a/ql/experimental/finitedifferences/fdm3dimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp
@@ -25,8 +25,8 @@
 
 #include <ql/math/matrix.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdmbackwardsolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
index b8484d20ce..f5c3668327 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
@@ -23,14 +23,14 @@
 */
 
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
-#include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
-#include <ql/experimental/finitedifferences/expliciteulerscheme.hpp>
-#include <ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/schemes/douglasscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 
 namespace QuantLib {
     
diff --git a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmbackwardsolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
index 49af1b6cfe..add988a57d 100644
--- a/ql/experimental/finitedifferences/fdmbackwardsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
@@ -25,7 +25,7 @@
 #ifndef quantlib_fdm_backward_solver_hpp
 #define quantlib_fdm_backward_solver_hpp
 
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.cpp b/ql/methods/finitedifferences/solvers/fdmbatessolver.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdmbatessolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmbatessolver.cpp
index 971b2695cb..2752f7703c 100644
--- a/ql/experimental/finitedifferences/fdmbatessolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmbatessolver.cpp
@@ -21,9 +21,9 @@
 */
 
 #include <ql/processes/batesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmbatesop.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmbatessolver.hpp b/ql/methods/finitedifferences/solvers/fdmbatessolver.hpp
similarity index 89%
rename from ql/experimental/finitedifferences/fdmbatessolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmbatessolver.hpp
index 7ff6b832ed..ebcd9747ed 100644
--- a/ql/experimental/finitedifferences/fdmbatessolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmbatessolver.hpp
@@ -25,10 +25,10 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
     
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
similarity index 88%
rename from ql/experimental/finitedifferences/fdmblackscholessolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
index 48beee0a65..103aeef4d4 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
@@ -22,14 +22,14 @@
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmblackscholessolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
index 2f979ee9a6..c1f3f44ff9 100644
--- a/ql/experimental/finitedifferences/fdmblackscholessolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
@@ -27,8 +27,8 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp b/ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp
index a6b56aa200..11b8b1abd5 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp
@@ -17,10 +17,10 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp b/ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp
index ba42a1f35a..c8019a34ec 100644
--- a/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp
@@ -27,9 +27,9 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.cpp b/ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdmhestonsolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp
index 3b2289a839..a4d07a3858 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp
@@ -20,9 +20,9 @@
 */
 
 #include <ql/processes/hestonprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmhestonsolver.hpp b/ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdmhestonsolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp
index 0fb12bc419..0ca52c3402 100644
--- a/ql/experimental/finitedifferences/fdmhestonsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp
@@ -27,10 +27,10 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmndimsolver.hpp b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmndimsolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
index 275f0d32db..3d76598e6a 100644
--- a/ql/experimental/finitedifferences/fdmndimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
@@ -26,13 +26,13 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/math/interpolations/multicubicspline.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 
 #include <numeric>
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
rename to ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
index 78f3004469..9b5a265e74 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
@@ -21,9 +21,9 @@
  * \file fdmsimple2dbssolver.cpp
 */
 
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdm2dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
rename to ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
index 358f9c8329..0d04ec97f1 100644
--- a/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
@@ -26,9 +26,9 @@
 
 #include <ql/handle.hpp>
 #include <ql/patterns/lazyobject.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsolverdesc.hpp b/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmsolverdesc.hpp
rename to ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
index 6318e06d95..1b33eff8c3 100644
--- a/ql/experimental/finitedifferences/fdmsolverdesc.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
@@ -23,7 +23,7 @@
 #ifndef quantlib_fdm_solver_desc_hpp
 #define quantlib_fdm_solver_desc_hpp
 
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/stepconditions/Makefile.am b/ql/methods/finitedifferences/stepconditions/Makefile.am
new file mode 100644
index 0000000000..a7b1a756e7
--- /dev/null
+++ b/ql/methods/finitedifferences/stepconditions/Makefile.am
@@ -0,0 +1,37 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+	fdmamericanstepcondition.hpp \
+	fdmarithmeticaveragecondition.hpp \
+	fdmbermudanstepcondition.hpp \
+	fdmsimplestoragecondition.hpp \
+	fdmsimpleswingcondition.hpp \
+	fdmsnapshotcondition.hpp \
+	fdmstepconditioncomposite.hpp
+
+libFdmStepConditions_la_SOURCES = \
+	fdmamericanstepcondition.cpp \
+	fdmarithmeticaveragecondition.cpp \
+	fdmbermudanstepcondition.cpp \
+	fdmsimplestoragecondition.cpp \
+	fdmsimpleswingcondition.cpp \
+	fdmsnapshotcondition.cpp \
+	fdmstepconditioncomposite.cpp
+
+noinst_LTLIBRARIES = libFdmStepConditions.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/stepconditions/all.hpp b/ql/methods/finitedifferences/stepconditions/all.hpp
new file mode 100644
index 0000000000..261963e6d6
--- /dev/null
+++ b/ql/methods/finitedifferences/stepconditions/all.hpp
@@ -0,0 +1,11 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+
diff --git a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
index 7692008c57..067fc8dfa0 100644
--- a/ql/experimental/finitedifferences/fdmamericanstepcondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
@@ -19,8 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmamericanstepcondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmamericanstepcondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp
index d9e2435ea2..d0d69fd598 100644
--- a/ql/experimental/finitedifferences/fdmamericanstepcondition.hpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp
@@ -27,8 +27,8 @@
 #define quantlib_fdm_american_step_condition_hpp
 
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp
index f6255a3d78..d597a27278 100644
--- a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp
@@ -22,8 +22,8 @@
 */
 
 #include <ql/math/interpolations/cubicinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp
index 5f778a2b56..a1febef19d 100644
--- a/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp
@@ -25,7 +25,7 @@
 #define quantlib_fdm_arithmetic_average_condition_hpp
 
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp
index 69162b6895..e94488ad37 100644
--- a/ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp
@@ -17,9 +17,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp
index 006815aa37..79fde73450 100644
--- a/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/time/daycounter.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp
index a392d0d0aa..a4ee08e001 100644
--- a/ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp
@@ -18,8 +18,8 @@
 */
 
 #include <ql/math/interpolations/bilinearinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp
index ba000d0d41..f2c61bc2e4 100644
--- a/ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp
@@ -26,8 +26,8 @@
 
 #include <ql/math/matrix.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp
index 8f09dcfae9..359814abe3 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp
@@ -17,8 +17,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp
index 662977944a..d962c57b55 100644
--- a/ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp
@@ -25,8 +25,8 @@
 #define quantlib_fdm_simple_swing_condition_hpp
 
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsnapshotcondition.cpp b/ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdmsnapshotcondition.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp
index 8e33b4d4a4..3c235dd304 100644
--- a/ql/experimental/finitedifferences/fdmsnapshotcondition.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp
@@ -19,7 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmsnapshotcondition.hpp b/ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmsnapshotcondition.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp b/ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp
similarity index 89%
rename from ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
rename to ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp
index ade8d5bfbd..ce582f0bff 100644
--- a/ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp
+++ b/ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp
@@ -21,13 +21,13 @@
 
 
 #include <ql/exercise.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
-#include <ql/experimental/finitedifferences/fdmsnapshotcondition.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
 
 #include <set>
 
diff --git a/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp b/ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp
rename to ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp
diff --git a/ql/methods/finitedifferences/utilities/Makefile.am b/ql/methods/finitedifferences/utilities/Makefile.am
new file mode 100644
index 0000000000..94b661d961
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/Makefile.am
@@ -0,0 +1,31 @@
+
+AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+	all.hpp \
+	fdmdirichletboundary.hpp \
+	fdmdividendhandler.hpp \
+	fdminnervaluecalculator.hpp \
+	fdmquantohelper.hpp
+
+libFdmUtils_la_SOURCES = \
+	fdmdirichletboundary.cpp \
+	fdmdividendhandler.cpp \
+	fdminnervaluecalculator.cpp \
+	fdmquantohelper.cpp
+
+noinst_LTLIBRARIES = libFdmUtils.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> $@; \
+	done
+	echo >> $@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> $@; \
+	done
+
diff --git a/ql/methods/finitedifferences/utilities/all.hpp b/ql/methods/finitedifferences/utilities/all.hpp
new file mode 100644
index 0000000000..7f9ae73c70
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/all.hpp
@@ -0,0 +1,8 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+
diff --git a/ql/experimental/finitedifferences/fdmdirichletboundary.cpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
similarity index 93%
rename from ql/experimental/finitedifferences/fdmdirichletboundary.cpp
rename to ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
index e01b6e5d8f..170aa2f3d2 100644
--- a/ql/experimental/finitedifferences/fdmdirichletboundary.cpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
@@ -20,9 +20,9 @@
 */
 
 
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmdirichletboundary.hpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmdirichletboundary.hpp
rename to ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
index 13094e052b..75e80b522d 100644
--- a/ql/experimental/finitedifferences/fdmdirichletboundary.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
@@ -28,7 +28,7 @@
 #define quantlib_fdm_dirichlet_boundary_hpp
 
 #include <ql/methods/finitedifferences/boundarycondition.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmdividendhandler.cpp b/ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdmdividendhandler.cpp
rename to ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp
index cc42acfaf6..ec39a29ff7 100644
--- a/ql/experimental/finitedifferences/fdmdividendhandler.cpp
+++ b/ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp
@@ -21,8 +21,8 @@
 
 #include <ql/time/daycounter.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmdividendhandler.hpp b/ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmdividendhandler.hpp
rename to ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp
index d7ab382496..948d559fea 100644
--- a/ql/experimental/finitedifferences/fdmdividendhandler.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/methods/finitedifferences/stepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 
 namespace QuantLib {
     
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp b/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
rename to ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp
index 5354396044..858120c494 100644
--- a/ql/experimental/finitedifferences/fdminnervaluecalculator.cpp
+++ b/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp
@@ -27,9 +27,9 @@
 #include <ql/math/functional.hpp>
 #include <ql/math/integrals/simpsonintegral.hpp>
 #include <ql/instruments/basketoption.hpp>
-#include <ql/experimental/finitedifferences/fdmmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 #include <deque>
 
diff --git a/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp b/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdminnervaluecalculator.hpp
rename to ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp
diff --git a/ql/experimental/finitedifferences/fdmquantohelper.cpp b/ql/methods/finitedifferences/utilities/fdmquantohelper.cpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdmquantohelper.cpp
rename to ql/methods/finitedifferences/utilities/fdmquantohelper.cpp
index a18620bb92..6393bf51d1 100644
--- a/ql/experimental/finitedifferences/fdmquantohelper.cpp
+++ b/ql/methods/finitedifferences/utilities/fdmquantohelper.cpp
@@ -22,7 +22,7 @@
 \brief quanto helper to store market data needed for the quanto adjustment.
 */
 
-#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdmquantohelper.hpp b/ql/methods/finitedifferences/utilities/fdmquantohelper.hpp
similarity index 100%
rename from ql/experimental/finitedifferences/fdmquantohelper.hpp
rename to ql/methods/finitedifferences/utilities/fdmquantohelper.hpp
diff --git a/ql/pricingengines/asian/Makefile.am b/ql/pricingengines/asian/Makefile.am
index 3c4c3b52d0..92c752137b 100644
--- a/ql/pricingengines/asian/Makefile.am
+++ b/ql/pricingengines/asian/Makefile.am
@@ -7,6 +7,7 @@ this_include_HEADERS = \
 	analytic_cont_geom_av_price.hpp \
 	analytic_discr_geom_av_price.hpp \
 	analytic_discr_geom_av_strike.hpp \
+	fdblackscholesasianengine.hpp \
 	mc_discr_arith_av_price.hpp \
 	mc_discr_arith_av_strike.hpp \
 	mc_discr_geom_av_price.hpp \
@@ -16,6 +17,7 @@ libAsianEngines_la_SOURCES = \
 	analytic_cont_geom_av_price.cpp \
 	analytic_discr_geom_av_price.cpp \
 	analytic_discr_geom_av_strike.cpp \
+	fdblackscholesasianengine.cpp \
 	mc_discr_arith_av_price.cpp \
 	mc_discr_arith_av_strike.cpp \
 	mc_discr_geom_av_price.cpp
diff --git a/ql/pricingengines/asian/all.hpp b/ql/pricingengines/asian/all.hpp
index 202726e27b..81a1772db5 100644
--- a/ql/pricingengines/asian/all.hpp
+++ b/ql/pricingengines/asian/all.hpp
@@ -4,6 +4,7 @@
 #include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
 #include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>
 #include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
+#include <ql/pricingengines/asian/fdblackscholesasianengine.hpp>
 #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
 #include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp>
 #include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
similarity index 89%
rename from ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
rename to ql/pricingengines/asian/fdblackscholesasianengine.cpp
index 1acbdb61b3..9a3c539a2f 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.cpp
+++ b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
@@ -19,14 +19,14 @@
 
 #include <ql/exercise.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
-#include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp>
+#include <ql/pricingengines/asian/fdblackscholesasianengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp b/ql/pricingengines/asian/fdblackscholesasianengine.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
rename to ql/pricingengines/asian/fdblackscholesasianengine.hpp
index aed3cc583b..77a257a4cb 100644
--- a/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp
+++ b/ql/pricingengines/asian/fdblackscholesasianengine.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/asianoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/pricingengines/barrier/Makefile.am b/ql/pricingengines/barrier/Makefile.am
index e0853cd547..4df794f485 100644
--- a/ql/pricingengines/barrier/Makefile.am
+++ b/ql/pricingengines/barrier/Makefile.am
@@ -5,10 +5,18 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
     analyticbarrierengine.hpp \
+	fdblackscholesbarrierengine.hpp \
+	fdblackscholesrebateengine.hpp \
+	fdhestonbarrierengine.hpp \
+	fdhestonrebateengine.hpp \
     mcbarrierengine.hpp
 
 libBarrierEngines_la_SOURCES = \
     analyticbarrierengine.cpp \
+	fdblackscholesbarrierengine.cpp \
+	fdblackscholesrebateengine.cpp \
+	fdhestonbarrierengine.cpp \
+	fdhestonrebateengine.cpp \
     mcbarrierengine.cpp
 
 noinst_LTLIBRARIES = libBarrierEngines.la
diff --git a/ql/pricingengines/barrier/all.hpp b/ql/pricingengines/barrier/all.hpp
index 76d18c046a..86197bbebf 100644
--- a/ql/pricingengines/barrier/all.hpp
+++ b/ql/pricingengines/barrier/all.hpp
@@ -2,5 +2,9 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>
 #include <ql/pricingengines/barrier/mcbarrierengine.hpp>
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
rename to ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
index 50fb3fe9d9..0658c1d0ab 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
@@ -19,19 +19,18 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
 #include <ql/exercise.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
rename to ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
index 3f40e77386..7f57223387 100644
--- a/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
@@ -27,8 +27,8 @@
 #define quantlib_fd_black_scholes_barrier_engine_hpp
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
rename to ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
index dd51601a1d..3f0c30ab31 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
@@ -20,13 +20,13 @@
 */
 
 #include <ql/exercise.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
similarity index 94%
rename from ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
rename to ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
index db89448084..4a521b7598 100644
--- a/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
@@ -27,8 +27,8 @@
 #define quantlib_fd_black_scholes_rebate_engine_hpp
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
rename to ql/pricingengines/barrier/fdhestonbarrierengine.cpp
index 0bf7dae1ad..21049295dd 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
@@ -19,16 +19,16 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp b/ql/pricingengines/barrier/fdhestonbarrierengine.hpp
similarity index 91%
rename from ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
rename to ql/pricingengines/barrier/fdhestonbarrierengine.hpp
index 209b90a41e..7316b9ef29 100644
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp
+++ b/ql/pricingengines/barrier/fdhestonbarrierengine.hpp
@@ -28,9 +28,9 @@
 
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdhestonrebateengine.cpp
rename to ql/pricingengines/barrier/fdhestonrebateengine.cpp
index 487e664149..152e6df8c8 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
@@ -19,14 +19,14 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
+#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp b/ql/pricingengines/barrier/fdhestonrebateengine.hpp
similarity index 90%
rename from ql/experimental/finitedifferences/fdhestonrebateengine.hpp
rename to ql/pricingengines/barrier/fdhestonrebateengine.hpp
index df72be014f..d8b86bca55 100644
--- a/ql/experimental/finitedifferences/fdhestonrebateengine.hpp
+++ b/ql/pricingengines/barrier/fdhestonrebateengine.hpp
@@ -28,9 +28,9 @@
 
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/pricingengines/basket/Makefile.am b/ql/pricingengines/basket/Makefile.am
index 974dd27c8e..868bece638 100644
--- a/ql/pricingengines/basket/Makefile.am
+++ b/ql/pricingengines/basket/Makefile.am
@@ -4,12 +4,14 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
+	fd2dblackscholesvanillaengine.hpp \
 	kirkengine.hpp \
 	mcamericanbasketengine.hpp \
 	mceuropeanbasketengine.hpp \
 	stulzengine.hpp
 
 libBasketEngines_la_SOURCES = \
+	fd2dblackscholesvanillaengine.cpp \
 	kirkengine.cpp \
 	mcamericanbasketengine.cpp \
 	mceuropeanbasketengine.cpp \
diff --git a/ql/pricingengines/basket/all.hpp b/ql/pricingengines/basket/all.hpp
index 8eefbf9070..54eed556a7 100644
--- a/ql/pricingengines/basket/all.hpp
+++ b/ql/pricingengines/basket/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
 #include <ql/pricingengines/basket/kirkengine.hpp>
 #include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
 #include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
similarity index 88%
rename from ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
rename to ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
index 044a9eeb07..4a465b5f4e 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
@@ -18,13 +18,13 @@
 */
 
 #include <ql/exercise.hpp>
-#include <ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
rename to ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp
index fe2d894847..f48d0c2b9c 100644
--- a/ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp
+++ b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp
@@ -27,7 +27,7 @@
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/basketoption.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/pricingengines/vanilla/Makefile.am b/ql/pricingengines/vanilla/Makefile.am
index 7511eacfec..4fc4b80bae 100644
--- a/ql/pricingengines/vanilla/Makefile.am
+++ b/ql/pricingengines/vanilla/Makefile.am
@@ -21,14 +21,19 @@ this_include_HEADERS = \
     jumpdiffusionengine.hpp \
     juquadraticengine.hpp \
     fdamericanengine.hpp \
+	fdbatesvanillaengine.hpp \
     fdbermudanengine.hpp \
+	fdblackscholesvanillaengine.hpp \
     fddividendamericanengine.hpp \
     fddividendengine.hpp \
     fddividendeuropeanengine.hpp \
     fddividendshoutengine.hpp \
     fdeuropeanengine.hpp \
+	fdhestonhullwhitevanillaengine.hpp \
+	fdhestonvanillaengine.hpp \
     fdmultiperiodengine.hpp \
     fdshoutengine.hpp \
+	fdsimplebsswingengine.hpp \
     fdstepconditionengine.hpp \
     fdvanillaengine.hpp \
     fdconditions.hpp \
@@ -56,6 +61,11 @@ libVanillaEngines_la_SOURCES = \
     integralengine.cpp \
     jumpdiffusionengine.cpp \
     juquadraticengine.cpp \
+	fdbatesvanillaengine.cpp \
+	fdblackscholesvanillaengine.cpp \
+	fdhestonhullwhitevanillaengine.cpp \
+	fdhestonvanillaengine.cpp \
+	fdsimplebsswingengine.cpp \
     fdvanillaengine.cpp \
     mcamericanengine.cpp \
     mcdigitalengine.cpp \
diff --git a/ql/pricingengines/vanilla/all.hpp b/ql/pricingengines/vanilla/all.hpp
index 8429868ce4..8ddb90faed 100644
--- a/ql/pricingengines/vanilla/all.hpp
+++ b/ql/pricingengines/vanilla/all.hpp
@@ -18,14 +18,19 @@
 #include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp>
 #include <ql/pricingengines/vanilla/juquadraticengine.hpp>
 #include <ql/pricingengines/vanilla/fdamericanengine.hpp>
+#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/fddividendamericanengine.hpp>
 #include <ql/pricingengines/vanilla/fddividendengine.hpp>
 #include <ql/pricingengines/vanilla/fddividendeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/fddividendshoutengine.hpp>
 #include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp>
 #include <ql/pricingengines/vanilla/fdshoutengine.hpp>
+#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
 #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
 #include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/fdconditions.hpp>
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp b/ql/pricingengines/vanilla/fdbatesvanillaengine.cpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
rename to ql/pricingengines/vanilla/fdbatesvanillaengine.cpp
index aeb283dab5..1f6f135c1c 100644
--- a/ql/experimental/finitedifferences/fdbatesvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdbatesvanillaengine.cpp
@@ -23,9 +23,9 @@
 
 #include <ql/processes/batesprocess.hpp>
 
-#include <ql/experimental/finitedifferences/fdmbatessolver.hpp>
-#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
+#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp b/ql/pricingengines/vanilla/fdbatesvanillaengine.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
rename to ql/pricingengines/vanilla/fdbatesvanillaengine.hpp
index 51f00ef9be..2849f7bfb4 100644
--- a/ql/experimental/finitedifferences/fdbatesvanillaengine.hpp
+++ b/ql/pricingengines/vanilla/fdbatesvanillaengine.hpp
@@ -27,7 +27,7 @@
 #include <ql/models/equity/batesmodel.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
similarity index 88%
rename from ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
rename to ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
index 1c272bcf38..8a20932900 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
@@ -21,13 +21,13 @@
 
 #include <ql/exercise.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
similarity index 97%
rename from ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
rename to ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
index ef5e3d6cdb..cd09aaaa56 100644
--- a/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
rename to ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
index 1dbe2af09a..de5b4b67e0 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
@@ -18,17 +18,17 @@
 */
 
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
rename to ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp
index a3fd7ada30..9e0d05f155 100644
--- a/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp
+++ b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp
@@ -28,8 +28,8 @@
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
similarity index 92%
rename from ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
rename to ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
index 3540a395ee..5de8857d4b 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
@@ -21,15 +21,15 @@
 
 
 #include <ql/processes/batesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp b/ql/pricingengines/vanilla/fdhestonvanillaengine.hpp
similarity index 95%
rename from ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
rename to ql/pricingengines/vanilla/fdhestonvanillaengine.hpp
index 93ddbe67f9..0b7a34416d 100644
--- a/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp
+++ b/ql/pricingengines/vanilla/fdhestonvanillaengine.hpp
@@ -29,8 +29,8 @@
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/genericmodelengine.hpp>
-#include <ql/experimental/finitedifferences/fdmsolverdesc.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
similarity index 88%
rename from ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
rename to ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
index 6dcd353a91..7699cb38fd 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.cpp
+++ b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
@@ -22,15 +22,15 @@
 */
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
-#include <ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
 
 namespace QuantLib {
     
diff --git a/ql/experimental/finitedifferences/fdsimplebsswingengine.hpp b/ql/pricingengines/vanilla/fdsimplebsswingengine.hpp
similarity index 96%
rename from ql/experimental/finitedifferences/fdsimplebsswingengine.hpp
rename to ql/pricingengines/vanilla/fdsimplebsswingengine.hpp
index ce9560644c..e65ce2edc5 100644
--- a/ql/experimental/finitedifferences/fdsimplebsswingengine.hpp
+++ b/ql/pricingengines/vanilla/fdsimplebsswingengine.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/pricingengine.hpp>
 #include <ql/instruments/vanillaswingoption.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/processes/defaultable.hpp b/ql/processes/defaultable.hpp
deleted file mode 100644
index 61dce9b10a..0000000000
--- a/ql/processes/defaultable.hpp
+++ /dev/null
@@ -1,73 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2005 Joseph Wang
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file defaultable.hpp
-    \brief Defaultable processes
-*/
-
-#ifndef quantlib_defaultable_hpp
-#define quantlib_defaultable_hpp
-
-#include <ql/types.hpp>
-
-namespace QuantLib {
-    class  Defaultable {
-      public:
-        virtual ~Defaultable() {};
-        virtual Real hazardRate(Time t, Real underlying) const = 0;
-        virtual Real defaultRecovery(Time t, Real underlying) const = 0;
-    };
-
-    class NegativePowerDefaultIntensity : public Defaultable {
-    private:
-        Real alpha_, p_, recovery_;
-    public:
-        NegativePowerDefaultIntensity(Real alpha, Real p,
-                               Real recovery = 0.0) {
-            alpha_ = alpha; p_ = p;
-            recovery_ = recovery;
-        }
-        Real hazardRate(Time t, Real s) {
-            if (s <= 0.0) return 0.0;
-            return alpha_ * std::pow(s, -p_);
-        }
-        Real defaultRecovery(Time t, Real s) {
-            return recovery_;
-        }
-    };
-
-    class ConstantDefaultIntensity : public Defaultable {
-    private:
-        Real constant_, recovery_;
-    public:
-        ConstantDefaultIntensity(Real constant,
-                                 Real recovery = 0.0) {
-            constant_ = constant;
-            recovery_ = recovery;
-        }
-        Real hazardRate(Time t, Real s) {
-            return constant_;
-        }
-        Real defaultRecovery(Time t, Real s) {
-            return recovery_;
-        }
-    };
-}
-
-#endif
diff --git a/test-suite/asianoptions.cpp b/test-suite/asianoptions.cpp
index a5a4f035d9..78891e2c73 100644
--- a/test-suite/asianoptions.cpp
+++ b/test-suite/asianoptions.cpp
@@ -29,7 +29,7 @@
 #include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
 #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
 #include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
+#include <ql/pricingengines/asian/fdblackscholesasianengine.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
diff --git a/test-suite/barrieroption.cpp b/test-suite/barrieroption.cpp
index 98458423b2..968aa39e4f 100644
--- a/test-suite/barrieroption.cpp
+++ b/test-suite/barrieroption.cpp
@@ -28,8 +28,8 @@
 #include <ql/instruments/barrieroption.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
 #include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
 #include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
 #include <ql/pricingengines/barrier/mcbarrierengine.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
diff --git a/test-suite/basketoption.cpp b/test-suite/basketoption.cpp
index c378897787..d4252efa82 100644
--- a/test-suite/basketoption.cpp
+++ b/test-suite/basketoption.cpp
@@ -31,7 +31,7 @@
 #include <ql/processes/stochasticprocessarray.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
-#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
+#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
 #include <ql/utilities/dataformatters.hpp>
 #include <boost/progress.hpp>
 
diff --git a/test-suite/batesmodel.cpp b/test-suite/batesmodel.cpp
index eebeda43ad..b3d574b9e0 100644
--- a/test-suite/batesmodel.cpp
+++ b/test-suite/batesmodel.cpp
@@ -33,7 +33,7 @@
 #include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
-#include <ql/experimental/finitedifferences/fdbatesvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
 #include <ql/models/equity/batesmodel.hpp>
 #include <ql/models/equity/hestonmodelhelper.hpp>
 #include <ql/time/period.hpp>
diff --git a/test-suite/europeanoption.cpp b/test-suite/europeanoption.cpp
index f09d4c2176..91f0c203a0 100644
--- a/test-suite/europeanoption.cpp
+++ b/test-suite/europeanoption.cpp
@@ -29,7 +29,7 @@
 #include <ql/math/interpolations/bilinearinterpolation.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/binomialengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 #include <ql/experimental/variancegamma/fftvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
diff --git a/test-suite/fdheston.cpp b/test-suite/fdheston.cpp
index fa48fd4f36..8cf8831bde 100644
--- a/test-suite/fdheston.cpp
+++ b/test-suite/fdheston.cpp
@@ -31,9 +31,9 @@
 #include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 351fe33f3f..99f201d669 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -38,34 +38,34 @@
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/experimental/finitedifferences/bicgstab.hpp>
-#include <ql/experimental/finitedifferences/douglasscheme.hpp>
-#include <ql/experimental/finitedifferences/hundsdorferscheme.hpp>
-#include <ql/experimental/finitedifferences/impliciteulerscheme.hpp>
-#include <ql/experimental/finitedifferences/craigsneydscheme.hpp>
-#include <ql/experimental/finitedifferences/uniformgridmesher.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesop.hpp>
-#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearop.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
-#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmndimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdm3dimsolver.hpp>
-#include <ql/experimental/finitedifferences/fdmamericanstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
-#include <ql/experimental/finitedifferences/fdmdividendhandler.hpp>
-#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
-#include <ql/experimental/finitedifferences/secondderivativeop.hpp>
-#include <ql/experimental/finitedifferences/secondordermixedderivativeop.hpp>
-#include <ql/experimental/finitedifferences/sparseilupreconditioner.hpp>
+#include <ql/math/matrixutilities/bicgstab.hpp>
+#include <ql/methods/finitedifferences/schemes/douglasscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp>
+#include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
+#include <ql/methods/finitedifferences/meshers/uniformgridmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
+#include <ql/math/matrixutilities/sparseilupreconditioner.hpp>
 
 #if !defined(QL_NO_UBLAS_SUPPORT)
 #include <boost/numeric/ublas/vector.hpp>
@@ -97,7 +97,7 @@ namespace {
             if (iter != exerciseTimes_.end()) {
                 Size index = std::distance(exerciseTimes_.begin(), iter);
 
-                boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+               boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
                 const FdmLinearOpIterator endIter = layout->end();
                 for (FdmLinearOpIterator iter = layout->begin();
                      iter != endIter; ++iter) {
diff --git a/test-suite/hestonmodel.cpp b/test-suite/hestonmodel.cpp
index 04d0c8d574..99d7b5851b 100644
--- a/test-suite/hestonmodel.cpp
+++ b/test-suite/hestonmodel.cpp
@@ -19,7 +19,7 @@
 
 #include "hestonmodel.hpp"
 #include "utilities.hpp"
-#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>
+#include <ql/instruments/dividendbarrieroption.hpp>
 #include <ql/instruments/dividendvanillaoption.hpp>
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/models/equity/hestonmodel.hpp>
@@ -31,10 +31,10 @@
 #include <ql/pricingengines/vanilla/fddividendeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
+#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
+#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
 #include <ql/pricingengines/blackformula.hpp>
 #include <ql/time/calendars/target.hpp>
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index db574934aa..660f28b09d 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -46,8 +46,8 @@
 #include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
 #include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
+#include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
 
 #include <boost/bind.hpp>
 
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index cb361144c9..335d32b0bf 100755
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -34,11 +34,11 @@
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/finitedifferences/fdsimplebsswingengine.hpp>
+#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
-#include <ql/experimental/finitedifferences/exponentialjump1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 
 
 using namespace QuantLib;
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 6bd4a8ce24..d1284d18a4 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=222
+UnitCount=230
 Type=1
 Ver=1
 ObjFiles=
@@ -2266,3 +2266,84 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit223]
+FileName=vpp.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit224]
+FileName=inflationcpicapfloor.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit225]
+FileName=inflationcpicapfloor.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit226]
+FileName=inflationcpiswap.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit227]
+FileName=inflationcpiswap.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit228]
+FileName=swingoption.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit229]
+FileName=swingoption.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit230]
+FileName=vpp.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index c7ef7ad670..c374b329fb 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -599,6 +599,12 @@
 			<File
 				RelativePath=".\inflationcapflooredcoupon.cpp">
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.cpp">
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.cpp">
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.cpp">
 			</File>
@@ -743,6 +749,9 @@
 			<File
 				RelativePath=".\swaptionvolatilitymatrix.cpp">
 			</File>
+			<File
+				RelativePath=".\swingoption.cpp">
+			</File>
 			<File
 				RelativePath="termstructures.cpp">
 			</File>
@@ -773,6 +782,9 @@
 			<File
 				RelativePath=".\volatilitymodels.cpp">
 			</File>
+			<File
+				RelativePath=".\vpp.cpp">
+			</File>
 			<File
 				RelativePath=".\writerextensibleoption.cpp">
 			</File>
@@ -933,6 +945,12 @@
 			<File
 				RelativePath=".\inflationcapflooredcoupon.hpp">
 			</File>
+			<File
+				RelativePath=".\inflationcpicapfloor.hpp">
+			</File>
+			<File
+				RelativePath=".\inflationcpiswap.hpp">
+			</File>
 			<File
 				RelativePath=".\inflationvolatility.hpp">
 			</File>
@@ -1080,6 +1098,9 @@
 			<File
 				RelativePath=".\swaptionvolstructuresutilities.hpp">
 			</File>
+			<File
+				RelativePath=".\swingoption.hpp">
+			</File>
 			<File
 				RelativePath="termstructures.hpp">
 			</File>
@@ -1110,6 +1131,9 @@
 			<File
 				RelativePath=".\volatilitymodels.hpp">
 			</File>
+			<File
+				RelativePath=".\vpp.hpp">
+			</File>
 			<File
 				RelativePath=".\writerextensibleoption.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index f900206a3c..89dd63fa6c 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -886,6 +886,10 @@
 				RelativePath=".\volatilitymodels.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\vpp.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\writerextensibleoption.cpp"
 				>
@@ -1347,6 +1351,10 @@
 				RelativePath=".\volatilitymodels.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\vpp.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\writerextensibleoption.hpp"
 				>
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index a9dad0f698..2ec0aad607 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -37,14 +37,14 @@
 #include <ql/experimental/processes/klugeextouprocess.hpp>
 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
 #include <ql/experimental/finitedifferences/vanillavppoption.hpp>
-#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
-#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
-#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
 
 #include <boost/lambda/lambda.hpp>

From a36e79ed3883087c6662217e8ed076728090b3d7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 12 Oct 2011 11:33:03 +0000
Subject: [PATCH 321/410] Removed other leftovers

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18032 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/fdhestonbarrierengine.cpp: | 1 -
 ql/experimental/finitedifferences/fdhestonbarrierengine.hpp: | 1 -
 2 files changed, 2 deletions(-)
 delete mode 100644 ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
 delete mode 100644 ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:

diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp: b/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
deleted file mode 100644
index ffe3cf2ea5..0000000000
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:
+++ /dev/null
@@ -1 +0,0 @@
-ql/experimental/finitedifferences/fdhestonbarrierengine.cpp-
diff --git a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp: b/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:
deleted file mode 100644
index c977ff24ff..0000000000
--- a/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:
+++ /dev/null
@@ -1 +0,0 @@
-ql/experimental/finitedifferences/fdhestonbarrierengine.hpp-

From f6638e7d9d3c58e20958c77aa4e2a6d747e5f15d Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 12 Oct 2011 16:17:26 +0000
Subject: [PATCH 322/410] renamed payFixedRate as payBondCoupon, since the Bond
 could be whatever kind

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18033 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/assetswap.cpp | 8 ++++----
 ql/instruments/assetswap.hpp | 6 +++---
 2 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 86b361b3c1..7603c66085 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -43,7 +43,7 @@ namespace QuantLib {
                          Spread spread,
                          const DayCounter& floatingDayCounter,
                          Date dealMaturity,
-                         bool payFixedRate)
+                         bool payBondCoupon)
     : Swap(2), bond_(bond), bondCleanPrice_(bondCleanPrice),
       nonParRepayment_(nonParRepayment), spread_(spread), parSwap_(parSwap)
     {
@@ -151,7 +151,7 @@ namespace QuantLib {
         for (Leg::const_iterator i=legs_[0].begin(); i<legs_[0].end(); ++i)
             registerWith(*i);
 
-        if (payFixedRate) {
+        if (payBondCoupon) {
             payer_[0]=-1.0;
             payer_[1]=+1.0;
         } else {
@@ -160,7 +160,7 @@ namespace QuantLib {
         }
     }
 
-    AssetSwap::AssetSwap(bool payFixedRate,
+    AssetSwap::AssetSwap(bool payBondCoupon,
                          const shared_ptr<Bond>& bond,
                          Real bondCleanPrice,
                          const shared_ptr<IborIndex>& iborIndex,
@@ -260,7 +260,7 @@ namespace QuantLib {
         for (Leg::const_iterator i=legs_[0].begin(); i<legs_[0].end(); ++i)
             registerWith(*i);
 
-        if (payFixedRate) {
+        if (payBondCoupon) {
             payer_[0]=-1.0;
             payer_[1]=+1.0;
         } else {
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index 4a9505bfb5..99b4f47bc3 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -53,7 +53,7 @@ namespace QuantLib {
         class arguments;
         class results;
 
-        AssetSwap(bool payFixedRate,
+        AssetSwap(bool payBondCoupon,
                   const boost::shared_ptr<Bond>& bond,
                   Real bondCleanPrice,
                   const boost::shared_ptr<IborIndex>& iborIndex,
@@ -71,7 +71,7 @@ namespace QuantLib {
                   Spread spread = 0.0,
                   const DayCounter& floatingDayCount = DayCounter(),
                   Date dealMaturity = Date(),
-                  bool payFixedRate = false);
+                  bool payBondCoupon = false);
         // results
         Spread fairSpread() const;
         Real floatingLegBPS() const;
@@ -84,7 +84,7 @@ namespace QuantLib {
         Real cleanPrice() const { return bondCleanPrice_; }
         Real nonParRepayment() const { return nonParRepayment_; }
         const boost::shared_ptr<Bond>& bond() const { return bond_; }
-        bool payFixedRate() const { return (payer_[0] == -1.0); }
+        bool payBondCoupon() const { return (payer_[0] == -1.0); }
         const Leg& bondLeg() const { return legs_[0]; }
         const Leg& floatingLeg() const { return legs_[1]; }
         // other

From aade563e2b3da42b111a40746dd43b4513c4afdc Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 12 Oct 2011 16:18:53 +0000
Subject: [PATCH 323/410] inlined few functions and replicated comments to
 improve readability

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18034 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/yield/ratehelpers.cpp | 29 +++++++++++--------------
 ql/termstructures/yield/ratehelpers.hpp | 15 +++++++++++++
 2 files changed, 28 insertions(+), 16 deletions(-)

diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index bd859e5307..83d7c5f3fb 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -463,6 +463,7 @@ namespace QuantLib {
         // want notifications from termStructureHandle_ (they would
         // interfere with bootstrapping.)
         iborIndex_->unregisterWith(termStructureHandle_);
+
         registerWith(iborIndex_);
         registerWith(spread_);
         registerWith(discountHandle_);
@@ -488,8 +489,11 @@ namespace QuantLib {
       fwdStart_(fwdStart), discountHandle_(discount) {
         // take fixing into account
         iborIndex_ = iborIndex->clone(termStructureHandle_);
-        // see above
+        // We want to be notified of changes of fixings, but we don't
+        // want notifications from termStructureHandle_ (they would
+        // interfere with bootstrapping.)
         iborIndex_->unregisterWith(termStructureHandle_);
+
         registerWith(iborIndex_);
         registerWith(spread_);
         registerWith(discountHandle_);
@@ -515,8 +519,11 @@ namespace QuantLib {
       fwdStart_(fwdStart), discountHandle_(discount) {
         // take fixing into account
         iborIndex_ = iborIndex->clone(termStructureHandle_);
-        // see above
+        // We want to be notified of changes of fixings, but we don't
+        // want notifications from termStructureHandle_ (they would
+        // interfere with bootstrapping.)
         iborIndex_->unregisterWith(termStructureHandle_);
+
         registerWith(iborIndex_);
         registerWith(spread_);
         registerWith(discountHandle_);
@@ -537,8 +544,11 @@ namespace QuantLib {
       fwdStart_(fwdStart), discountHandle_(discount) {
         // take fixing into account
         iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
-        // see above
+        // We want to be notified of changes of fixings, but we don't
+        // want notifications from termStructureHandle_ (they would
+        // interfere with bootstrapping.)
         iborIndex_->unregisterWith(termStructureHandle_);
+
         registerWith(iborIndex_);
         registerWith(spread_);
         registerWith(discountHandle_);
@@ -607,18 +617,6 @@ namespace QuantLib {
         return result;
     }
 
-    Spread SwapRateHelper::spread() const {
-        return spread_.empty() ? 0.0 : spread_->value();
-    }
-
-    shared_ptr<VanillaSwap> SwapRateHelper::swap() const {
-        return swap_;
-    }
-
-    const Period& SwapRateHelper::forwardStart() const {
-        return fwdStart_;
-    }
-
     void SwapRateHelper::accept(AcyclicVisitor& v) {
         Visitor<SwapRateHelper>* v1 =
             dynamic_cast<Visitor<SwapRateHelper>*>(&v);
@@ -628,7 +626,6 @@ namespace QuantLib {
             RateHelper::accept(v);
     }
 
-
     BMASwapRateHelper::BMASwapRateHelper(
                           const Handle<Quote>& liborFraction,
                           const Period& tenor,
diff --git a/ql/termstructures/yield/ratehelpers.hpp b/ql/termstructures/yield/ratehelpers.hpp
index b564356667..82a3631c50 100644
--- a/ql/termstructures/yield/ratehelpers.hpp
+++ b/ql/termstructures/yield/ratehelpers.hpp
@@ -314,6 +314,21 @@ namespace QuantLib {
         RelinkableHandle<YieldTermStructure> termStructureHandle_;
     };
 
+
+    // inline
+
+    inline Spread SwapRateHelper::spread() const {
+        return spread_.empty() ? 0.0 : spread_->value();
+    }
+
+    inline boost::shared_ptr<VanillaSwap> SwapRateHelper::swap() const {
+        return swap_;
+    }
+
+    inline const Period& SwapRateHelper::forwardStart() const {
+        return fwdStart_;
+    }
+
 }
 
 #endif

From f153c5339b150c1f0b794ee0314bdb175122c037 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 14 Oct 2011 11:35:37 +0000
Subject: [PATCH 324/410] Avoid warnings in newer autoconf versions.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18041 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 acinclude.m4 | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/acinclude.m4 b/acinclude.m4
index e7d751b227..f7063ea55c 100644
--- a/acinclude.m4
+++ b/acinclude.m4
@@ -109,7 +109,7 @@ AC_DEFUN([QL_CHECK_BOOST_UNIT_TEST],
      # 1.33.1 or 1.34 static
      CXXFLAGS="$ql_original_CXXFLAGS"
      boost_unit_found=no
-     AC_LINK_IFELSE(
+     AC_LINK_IFELSE([AC_LANG_SOURCE(
          [@%:@include <boost/test/unit_test.hpp>
           using namespace boost::unit_test_framework;
           test_suite*
@@ -117,7 +117,7 @@ AC_DEFUN([QL_CHECK_BOOST_UNIT_TEST],
           {
               return (test_suite*) 0;
           }
-         ],
+         ])],
          [boost_unit_found=$boost_lib
           boost_defines=""
           break],
@@ -125,7 +125,7 @@ AC_DEFUN([QL_CHECK_BOOST_UNIT_TEST],
      # 1.34 shared
      CXXFLAGS="$ql_original_CXXFLAGS -DBOOST_TEST_MAIN -DBOOST_TEST_DYN_LINK"
      boost_unit_found=no
-     AC_LINK_IFELSE(
+     AC_LINK_IFELSE([AC_LANG_SOURCE(
          [@%:@include <boost/test/unit_test.hpp>
           using namespace boost::unit_test_framework;
           test_suite*
@@ -133,7 +133,7 @@ AC_DEFUN([QL_CHECK_BOOST_UNIT_TEST],
           {
               return (test_suite*) 0;
           }
-         ],
+         ])],
          [boost_unit_found=$boost_lib
           boost_defines="-DBOOST_TEST_DYN_LINK"
           break],

From d9cd881f30e6ebc0dbe887814bae13c405944c84 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 17 Oct 2011 16:15:52 +0000
Subject: [PATCH 325/410] Included qldefines.hpp

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18045 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdmexpextouinnervaluecalculator.hpp       | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
index ef2655b3a8..2a265608be 100644
--- a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
@@ -25,6 +25,8 @@
 #ifndef quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
 #define quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
 
+#include <ql/qldefines.hpp>
+
 namespace QuantLib {
 
     class FdmExpExtOUInnerValueCalculator : public FdmInnerValueCalculator {

From 67793c9d2a02663293a93ea587c20b451287561a Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 18 Oct 2011 10:46:38 +0000
Subject: [PATCH 326/410] Added the possibility to mark experimental inclusion
 as internal.

For instance, in the case market in this changeset, the inclusion
is made to allow visitation of the experimental coupons; but this
doesn't affect exposed interfaces, so it is safe to leave it.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18047 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/couponpricer.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
index ecfd197c24..21a2710b93 100644
--- a/ql/cashflows/couponpricer.cpp
+++ b/ql/cashflows/couponpricer.cpp
@@ -25,7 +25,7 @@
 #include <ql/cashflows/digitalcmscoupon.hpp>
 #include <ql/cashflows/digitaliborcoupon.hpp>
 #include <ql/cashflows/rangeaccrual.hpp>
-#include <ql/experimental/coupons/subperiodcoupons.hpp>
+#include <ql/experimental/coupons/subperiodcoupons.hpp> /* internal */
 #include <ql/pricingengines/blackformula.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 

From e19c19ff103d4dbe0eb4a6f794f3a669ae4ad39c Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 23 Oct 2011 20:33:07 +0000
Subject: [PATCH 327/410] added VPP Longstaff-Schartz Monte-Carlo test case

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18050 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/vpp.cpp | 206 ++++++++++++++++++++++++++++++++++++++++++---
 1 file changed, 196 insertions(+), 10 deletions(-)

diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 2ec0aad607..41d0d850fb 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -27,10 +27,12 @@
 #include <ql/instruments/vanillaswingoption.hpp>
 #include <ql/instruments/vanillastorageoption.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/math/generallinearleastsquares.hpp>
 #include <ql/math/statistics/generalstatistics.hpp>
 #include <ql/termstructures/yield/zerocurve.hpp>
 #include <ql/processes/ornsteinuhlenbeckprocess.hpp>
 #include <ql/processes/stochasticprocessarray.hpp>
+#include <ql/methods/montecarlo/lsmbasissystem.hpp>
 #include <ql/methods/montecarlo/multipathgenerator.hpp>
 #include <ql/experimental/processes/gemanroncoroniprocess.hpp>
 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
@@ -383,6 +385,8 @@ namespace {
     class GasPrice : public FdmInnerValueCalculator {
       public:
         Real innerValue(const FdmLinearOpIterator&, Time t) {
+            Size i = (Size) t;
+            QL_REQUIRE(i < LENGTH(gasPrices), "invalid time");
             return gasPrices[(Size) t]; }
         Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
             return innerValue(iter, t);
@@ -393,6 +397,7 @@ namespace {
         SparkSpreadPrice(Real heatRate) : heatRate_(heatRate) {}
         Real innerValue(const FdmLinearOpIterator&, Time t) {
             Size i = (Size) t;
+            QL_REQUIRE(i < LENGTH(powerPrices), "invalid time");
             return powerPrices[i] - heatRate_*gasPrices[i];
         }
         Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
@@ -478,6 +483,9 @@ namespace {
         : path_(path),
           shape_(shape) {}
         Real innerValue(const FdmLinearOpIterator&, Time t) {
+            QL_REQUIRE(t-std::sqrt(QL_EPSILON) <=  shape_->back().first,
+                        "invalid time");
+
             const Size i = Size(t*365u*24u);
             const Real f = std::lower_bound(shape_->begin(), shape_->end(),
                 std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
@@ -507,6 +515,9 @@ namespace {
           powerShape_(powerShape) {}
 
         Real innerValue(const FdmLinearOpIterator&, Time t) {
+            QL_REQUIRE(t-std::sqrt(QL_EPSILON) <=  powerShape_->back().first,
+                        "invalid time");
+
             const Size i = Size(t*365u*24u);
             const Real f = std::lower_bound(
                 powerShape_->begin(), powerShape_->end(),
@@ -597,7 +608,7 @@ void VPPTest::testVPPPricing() {
     boost::shared_ptr<Shape> powerShape(new Shape(nHours));
 
     for (Size i=0; i < nHours; ++i) {
-        const Time t = i/(365*24.);
+        const Time t = (i+1)/(365*24.);
 
         const Real gasPrice = gasPrices[i];
         const Real gs = std::log(gasPrice)-square<Real>()(volatility_u)
@@ -612,7 +623,7 @@ void VPPTest::testVPPPricing() {
         (*powerShape)[i] = Shape::value_type(t, ps);
     }
 
-    // test intrinsic value
+    // Test: intrinsic value
     const boost::shared_ptr<FdmMesher> oneDimMesher(
         new FdmMesherComposite(boost::shared_ptr<FdmLinearOpLayout>(
             new FdmLinearOpLayout(std::vector<Size>(1, nStates))),
@@ -639,7 +650,7 @@ void VPPTest::testVPPPricing() {
                    << "\n    expected  : " << expectedIntrinsic);
     }
 
-    // test finite difference price
+    // Test: finite difference price
     const boost::shared_ptr<PricingEngine> engine(
         new FdSimpleKlugeExtOUVPPEngine(klugeOUProcess, rTS, carbonPrice,
                                         1, 25, 11, 10,
@@ -648,14 +659,14 @@ void VPPTest::testVPPPricing() {
     vppOption.setPricingEngine(engine);
 
     const Real fdmPrice = vppOption.NPV();
-    const Real expectedFdmPrice = 5194.11;
+    const Real expectedFdmPrice = 5217.68;
     if (std::fabs(fdmPrice - expectedFdmPrice) > 0.1) {
-        BOOST_ERROR("Failed to reproduce finite difference price"
+       BOOST_ERROR("Failed to reproduce finite difference price"
                    << "\n    calculated: " << fdmPrice
                    << "\n    expected  : " << expectedFdmPrice);
     }
 
-    // test Monte-Carlo price
+    // Test: Monte-Carlo perfect foresight price
     const TimeGrid grid(dc.yearFraction(today, exercise->lastDate()+1),
                         exercise->dates().size());
     typedef PseudoRandom::rsg_type rsg_type;
@@ -666,7 +677,8 @@ void VPPTest::testVPPPricing() {
     MultiPathGenerator<rsg_type> generator(klugeOUProcess, grid, rsg, false);
 
     GeneralStatistics npv;
-    const Size nTrails = 10000;
+    const Size nTrails = 2500;
+
     for (Size i=0; i < nTrails; ++i) {
         const sample_type& path = generator.next();
 
@@ -682,12 +694,13 @@ void VPPTest::testVPPPricing() {
         Array state(nStates, 0.0);
         for (Size j=exercise->dates().size(); j > 0; --j) {
             stepCondition.applyTo(state, grid.at(j));
+            state*=rTS->discount(grid.at(j))/rTS->discount(grid.at(j-1));
         }
 
         npv.add(state.back());
     }
-    const Real npvMC = npv.mean();
-    const Real errorMC = npv.errorEstimate();
+    Real npvMC = npv.mean();
+    Real errorMC = npv.errorEstimate();
     const Real expectedMC = 5250.0;
     if (std::fabs(npvMC-expectedMC) > 3*errorMC) {
         BOOST_ERROR("Failed to reproduce Monte-Carlo price"
@@ -695,15 +708,188 @@ void VPPTest::testVPPPricing() {
                    << "\n    error     ; " << errorMC
                    << "\n    expected  : " << expectedMC);
     }
+    npv.reset();
+
+    // Test: Longstaff Schwartz least square Monte-Carlo
+    const Size nCalibrationTrails = 1000u;
+    std::vector<sample_type> calibrationPaths;
+    std::vector<boost::shared_ptr<FdmVPPStepCondition> > stepConditions;
+    std::vector<boost::shared_ptr<FdmInnerValueCalculator> > sparkSpreads;
+
+    sparkSpreads.reserve(nCalibrationTrails);
+    stepConditions.reserve(nCalibrationTrails);
+    calibrationPaths.reserve(nCalibrationTrails);
+
+    for (Size i=0; i < nCalibrationTrails; ++i) {
+        calibrationPaths.push_back(generator.next());
+
+        sparkSpreads.push_back(boost::shared_ptr<FdmInnerValueCalculator>(
+            new PathSparkSpreadPrice(heatRate, calibrationPaths.back().value,
+                                     gasShape, powerShape)));
+
+        stepConditions.push_back(boost::shared_ptr<FdmVPPStepCondition>(
+            new FdmVPPStepCondition(
+                heatRate, pMin, pMax, tMinUp, tMinDown,
+                startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
+                boost::shared_ptr<FdmInnerValueCalculator>(
+                    new PathGasPrice(calibrationPaths.back().value, gasShape)),
+                sparkSpreads.back())));
+    }
+
+
+    const FdmLinearOpIterator iter = oneDimMesher->layout()->begin();
+
+    // prices of all calibration paths for all states
+    std::vector<Array> prices(nCalibrationTrails, Array(nStates, 0.0));
+
+    // regression coefficients for all states and all exercise dates
+    std::vector<std::vector<Array> > coeff(
+        nStates, std::vector<Array>(exercise->dates().size(), Array()));
+
+    // regression functions
+    const Size dim = 1u;
+    std::vector<boost::function1<Real, Array> > v(
+        LsmBasisSystem::multiPathBasisSystem(dim,5u, LsmBasisSystem::Monomial));
+
+    for (Size i=exercise->dates().size(); i > 0u; --i) {
+        const Time t = grid.at(i);
+
+        std::vector<Array> x(nCalibrationTrails, Array(dim));
+
+        for (Size j=0; j < nCalibrationTrails; ++j) {
+            x[j][0] = sparkSpreads[j]->innerValue(iter, t);
+        }
+
+        for (Size k=0; k < nStates; ++k) {
+            std::vector<Real> y(nCalibrationTrails);
+
+            for (Size j=0; j < nCalibrationTrails; ++j) {
+                y[j] = prices[j][k];
+            }
+            coeff[k][i-1] = GeneralLinearLeastSquares(x, y, v).coefficients();
+
+            for (Size j=0; j < nCalibrationTrails; ++j) {
+                prices[j][k] = 0.0;
+                for (Size l=0; l < v.size(); ++l) {
+                    prices[j][k] += coeff[k][i-1][l]*v[l](x[j]);
+                }
+            }
+        }
+
+        for (Size j=0; j < nCalibrationTrails; ++j) {
+            stepConditions[j]->applyTo(prices[j], grid.at(i));
+        }
+    }
+
+    Real tmpValue = 0.0;
+    for (Size i=0; i < nTrails; ++i) {
+        Array x(dim), state(nStates, 0.0), contState(nStates, 0.0);
+
+        const sample_type& path = (i % 2) ? generator.antithetic()
+                                          : generator.next();
+
+        const boost::shared_ptr<FdmInnerValueCalculator> gasPrices(
+            new PathGasPrice(path.value, gasShape));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreads(
+            new PathSparkSpreadPrice(heatRate, path.value,
+                                     gasShape, powerShape));
+
+        FdmVPPStepCondition stepCondition(
+            heatRate, pMin, pMax, tMinUp, tMinDown,
+            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
+            gasPrices, sparkSpreads);
+
+        for (Size j=exercise->dates().size(); j > 0u; --j) {
+            const Time t = grid.at(j);
+            const Real gasPrice = gasPrices->innerValue(iter, t);
+            const Real sparkSpread = sparkSpreads->innerValue(iter, t);
+            const Real startUpCost
+                    = startUpFixCost + (gasPrice + carbonPrice)*startUpFuel;
+
+            x[0] = sparkSpread;
+            for (Size k=0; k < nStates; ++k) {
+                contState[k] = 0.0;
+                for (Size l=0; l < v.size(); ++l) {
+                    contState[k] += coeff[k][j-1][l]*v[l](x);
+                }
+            }
+
+            const Real pMinFlow = pMin*(sparkSpread - heatRate*carbonPrice);
+            const Real pMaxFlow = pMax*(sparkSpread - heatRate*carbonPrice);
+
+            // rollback continuation states and the path states
+            for (Size i=0; i < 2*tMinUp; ++i) {
+                if (i < tMinUp) {
+                    state[i]    += pMinFlow;
+                    contState[i]+= pMinFlow;
+                }
+                else {
+                    state[i]    += pMaxFlow;
+                    contState[i]+= pMaxFlow;
+                }
+            }
+
+            // dynamic programming using the continuation values
+            Array retVal(nStates);
+            for (Size i=0; i < tMinUp-1; ++i) {
+                retVal[i] = retVal[tMinUp + i]
+                          = (contState[i+1] > contState[tMinUp + i+1])?
+                                          state[i+1] : state[tMinUp + i+1];
+            }
+
+            if (contState[2*tMinUp] >=
+                std::max(contState[tMinUp-1], contState[2*tMinUp-1])) {
+                retVal[tMinUp-1] = retVal[2*tMinUp-1] = state[2*tMinUp];
+            }
+            else if (contState[tMinUp-1] >= contState[2*tMinUp-1]) {
+                retVal[tMinUp-1] = retVal[2*tMinUp-1] = state[tMinUp-1];
+            }
+            else {
+                retVal[tMinUp-1] = retVal[2*tMinUp-1] = state[2*tMinUp-1];
+            }
+
+            for (Size i=0; i < tMinDown-1; ++i) {
+                retVal[2*tMinUp + i] = state[2*tMinUp + i+1];
+            }
+
+            if (contState.back() >=
+                std::max(contState.front(), contState[tMinUp]) - startUpCost) {
+                retVal.back() = state.back();
+            }
+            else if (contState.front() >  contState[tMinUp]) {
+                retVal.back() = state.front()-startUpCost;
+            }
+            else {
+                retVal.back() = state[tMinUp]-startUpCost;
+            }
+            state = retVal;
+        }
+        tmpValue+=0.5*state.back();
+        if ((i%2)) {
+            npv.add(tmpValue, 1.0);
+            tmpValue = 0.0;
+        }
+    }
+
+    npvMC = npv.mean();
+    errorMC = npv.errorEstimate();
+    if (std::fabs(npvMC-fdmPrice) > 3*errorMC) {
+        BOOST_ERROR("Failed to reproduce Least Square Monte-Carlo price"
+                   << "\n    calculated   : " << npvMC
+                   << "\n    error        : " << errorMC
+                   << "\n    expected FDM : " << fdmPrice);
+    }
 }
 
 test_suite* VPPTest::suite() {
-    test_suite* suite = BOOST_TEST_SUITE("Vpp Test");
+    test_suite* suite = BOOST_TEST_SUITE("VPP Test");
     suite->add(QUANTLIB_TEST_CASE(&VPPTest::testGemanRoncoroniProcess));
     suite->add(QUANTLIB_TEST_CASE(&VPPTest::testSimpleExtOUStorageEngine));
     suite->add(QUANTLIB_TEST_CASE(&VPPTest::testKlugeExtOUSpreadOption));
     suite->add(QUANTLIB_TEST_CASE(&VPPTest::testVPPIntrinsicValue));
     suite->add(QUANTLIB_TEST_CASE(&VPPTest::testVPPPricing));
+
     return suite;
 }
 

From e44dd11cc9c86e6cf2e4ebdb7f213c3b6f9a5a07 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:01:43 +0000
Subject: [PATCH 328/410] Moved CPI-volatility interface to core library.

This was required for CPI coupons to be allowed into core,
along with the instruments depending on them (CPI swap, bond...)
The interface of both coupons and volatility makes sense---it is
based on the corresponding interest-rate entities---so I think
it's ok to stabilize it.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18051 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |   8 +-
 QuantLib_vc10.vcxproj                         |   4 +-
 QuantLib_vc10.vcxproj.filters                 |  12 +-
 QuantLib_vc7.vcproj                           |  12 +-
 QuantLib_vc8.vcproj                           |  16 +--
 QuantLib_vc9.vcproj                           |  16 +--
 ql/cashflows/cpicouponpricer.cpp              |   6 +-
 ql/cashflows/cpicouponpricer.hpp              |  13 +-
 ql/experimental/inflation/Makefile.am         |   2 -
 ql/experimental/inflation/all.hpp             |   1 -
 .../volatility/inflation/Makefile.am          |   2 +
 .../volatility/inflation/all.hpp              |   1 +
 .../inflation/cpivolatilitystructure.cpp}     |  85 +++++------
 .../inflation/cpivolatilitystructure.hpp}     | 132 +++++++++---------
 14 files changed, 147 insertions(+), 163 deletions(-)
 rename ql/{experimental/inflation/cpioptionletvolatilitystructure.cpp => termstructures/volatility/inflation/cpivolatilitystructure.cpp} (67%)
 rename ql/{experimental/inflation/cpioptionletvolatilitystructure.hpp => termstructures/volatility/inflation/cpivolatilitystructure.hpp} (65%)

diff --git a/QuantLib.dev b/QuantLib.dev
index 52ae5295f8..38f4b90fb4 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -16248,9 +16248,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1621]
-FileName=ql\experimental\inflation\cpioptionletvolatilitystructure.cpp
+FileName=ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -16258,9 +16258,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1622]
-FileName=ql\experimental\inflation\cpioptionletvolatilitystructure.hpp
+FileName=ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp
 CompileCpp=1
-Folder=experimental/inflation
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 33cc4b91a6..d917ced3c9 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -269,7 +269,6 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp" />
-    <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp" />
     <ClInclude Include="ql\experimental\processes\extouwithjumpsprocess.hpp" />
     <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp" />
     <ClInclude Include="ql\experimental\processes\klugeextouprocess.hpp" />
@@ -887,6 +886,7 @@
     <ClInclude Include="ql\termstructures\volatility\swaption\swaptionvolmatrix.hpp" />
     <ClInclude Include="ql\termstructures\volatility\swaption\swaptionvolstructure.hpp" />
     <ClInclude Include="ql\termstructures\volatility\inflation\all.hpp" />
+    <ClInclude Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp" />
     <ClInclude Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.hpp" />
     <ClInclude Include="ql\termstructures\yield\all.hpp" />
     <ClInclude Include="ql\termstructures\yield\bondhelpers.hpp" />
@@ -1359,7 +1359,6 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp" />
-    <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp" />
     <ClCompile Include="ql\experimental\processes\extouwithjumpsprocess.cpp" />
     <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp" />
     <ClCompile Include="ql\experimental\processes\klugeextouprocess.cpp" />
@@ -1760,6 +1759,7 @@
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvoldiscrete.cpp" />
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolmatrix.cpp" />
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolstructure.cpp" />
+    <ClCompile Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp" />
     <ClCompile Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp" />
     <ClCompile Include="ql\termstructures\yield\bondhelpers.cpp" />
     <ClCompile Include="ql\termstructures\yield\fittedbonddiscountcurve.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index a99c3dbf4d..dff589eea1 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1923,6 +1923,9 @@
     <ClInclude Include="ql\termstructures\volatility\inflation\all.hpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClInclude>
+    <ClInclude Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp">
+      <Filter>termstructures\volatility\inflation</Filter>
+    </ClInclude>
     <ClInclude Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.hpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClInclude>
@@ -3276,9 +3279,6 @@
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp">
       <Filter>experimental\inflation</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\inflation\cpioptionletvolatilitystructure.hpp">
-      <Filter>experimental\inflation</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -4523,6 +4523,9 @@
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolstructure.cpp">
       <Filter>termstructures\volatility\swaption</Filter>
     </ClCompile>
+    <ClCompile Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp">
+      <Filter>termstructures\volatility\inflation</Filter>
+    </ClCompile>
     <ClCompile Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClCompile>
@@ -5403,9 +5406,6 @@
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp">
       <Filter>experimental\inflation</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\inflation\cpioptionletvolatilitystructure.cpp">
-      <Filter>experimental\inflation</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index b9ed6b9434..d92a856234 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1261,12 +1261,6 @@
 				<File
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.hpp">
 				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.cpp">
-				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.hpp">
-				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp">
 				</File>
@@ -5423,6 +5417,12 @@
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp">
 					</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 423e9010e7..74e9e6b95b 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -4541,6 +4541,14 @@
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp"
 						>
@@ -7650,14 +7658,6 @@
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index dc2d88f8e6..7c4e802368 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -4896,6 +4896,14 @@
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp"
 						>
@@ -8005,14 +8013,6 @@
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\experimental\inflation\cpioptionletvolatilitystructure.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\genericindexes.hpp"
 					>
diff --git a/ql/cashflows/cpicouponpricer.cpp b/ql/cashflows/cpicouponpricer.cpp
index d6fee26d81..a05aabc94b 100755
--- a/ql/cashflows/cpicouponpricer.cpp
+++ b/ql/cashflows/cpicouponpricer.cpp
@@ -18,13 +18,11 @@
  */
 
 #include <ql/cashflows/cpicouponpricer.hpp>
-#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
-
 
 namespace QuantLib {
 	
     CPICouponPricer::
-    CPICouponPricer(const Handle<CPIOptionletVolatilitySurface>& capletVol)
+    CPICouponPricer(const Handle<CPIVolatilitySurface>& capletVol)
     : capletVol_(capletVol) {
 
         if( !capletVol_.empty() ) registerWith(capletVol_);
@@ -32,7 +30,7 @@ namespace QuantLib {
 
 
     void CPICouponPricer::setCapletVolatility(
-       const Handle<CPIOptionletVolatilitySurface>& capletVol) {
+       const Handle<CPIVolatilitySurface>& capletVol) {
         QL_REQUIRE(!capletVol.empty(),"empty capletVol handle")
         capletVol_ = capletVol;
         registerWith(capletVol_);
diff --git a/ql/cashflows/cpicouponpricer.hpp b/ql/cashflows/cpicouponpricer.hpp
index 1af8c2b9fd..f2ac3e5413 100755
--- a/ql/cashflows/cpicouponpricer.hpp
+++ b/ql/cashflows/cpicouponpricer.hpp
@@ -27,9 +27,8 @@
 #include <ql/cashflow.hpp>
 #include <ql/option.hpp>
 #include <ql/cashflows/inflationcouponpricer.hpp>
-
 #include <ql/cashflows/cpicoupon.hpp>
-#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
+#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 
 namespace QuantLib {
 
@@ -39,15 +38,15 @@ namespace QuantLib {
     */
     class CPICouponPricer : public InflationCouponPricer {
     public:
-        CPICouponPricer(const Handle<CPIOptionletVolatilitySurface>& capletVol
-                                 = Handle<CPIOptionletVolatilitySurface>());
+        CPICouponPricer(const Handle<CPIVolatilitySurface>& capletVol
+                                 = Handle<CPIVolatilitySurface>());
 
-        virtual Handle<CPIOptionletVolatilitySurface> capletVolatility() const{
+        virtual Handle<CPIVolatilitySurface> capletVolatility() const{
             return capletVol_;
         }
 
         virtual void setCapletVolatility(
-            const Handle<CPIOptionletVolatilitySurface>& capletVol);
+            const Handle<CPIVolatilitySurface>& capletVol);
 
 
         //! \name InflationCouponPricer interface
@@ -74,7 +73,7 @@ namespace QuantLib {
         virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
 
         //! data
-        Handle<CPIOptionletVolatilitySurface> capletVol_;
+        Handle<CPIVolatilitySurface> capletVol_;
         const CPICoupon* coupon_;
         Real gearing_;
         Spread spread_;
diff --git a/ql/experimental/inflation/Makefile.am b/ql/experimental/inflation/Makefile.am
index 5acaaff4fe..b26c063c10 100644
--- a/ql/experimental/inflation/Makefile.am
+++ b/ql/experimental/inflation/Makefile.am
@@ -5,7 +5,6 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     cpicapfloortermpricesurface.hpp \
-    cpioptionletvolatilitystructure.hpp \
     genericindexes.hpp \
     interpolatedyoyoptionletstripper.hpp \
     kinterpolatedyoyoptionletvolatilitysurface.hpp \
@@ -18,7 +17,6 @@ this_include_HEADERS = \
 
 libInflation_la_SOURCES = \
     cpicapfloortermpricesurface.cpp \
-    cpioptionletvolatilitystructure.cpp \
     yoycapfloortermpricesurface.cpp \
     yoyoptionlethelpers.cpp
 
diff --git a/ql/experimental/inflation/all.hpp b/ql/experimental/inflation/all.hpp
index 3e4167dfeb..3388d5e45c 100644
--- a/ql/experimental/inflation/all.hpp
+++ b/ql/experimental/inflation/all.hpp
@@ -2,7 +2,6 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
-#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
 #include <ql/experimental/inflation/genericindexes.hpp>
 #include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>
 #include <ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp>
diff --git a/ql/termstructures/volatility/inflation/Makefile.am b/ql/termstructures/volatility/inflation/Makefile.am
index 8bbb470be6..415717f18d 100644
--- a/ql/termstructures/volatility/inflation/Makefile.am
+++ b/ql/termstructures/volatility/inflation/Makefile.am
@@ -3,9 +3,11 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    cpivolatilitystructure.hpp \
     yoyinflationoptionletvolatilitystructure.hpp
 
 libInflationVol_la_SOURCES = \
+    cpivolatilitystructure.cpp \
     yoyinflationoptionletvolatilitystructure.cpp
 
 noinst_LTLIBRARIES = libInflationVol.la
diff --git a/ql/termstructures/volatility/inflation/all.hpp b/ql/termstructures/volatility/inflation/all.hpp
index 6a659b4694..68fbc97e7e 100644
--- a/ql/termstructures/volatility/inflation/all.hpp
+++ b/ql/termstructures/volatility/inflation/all.hpp
@@ -1,5 +1,6 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 #include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
 
diff --git a/ql/experimental/inflation/cpioptionletvolatilitystructure.cpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
similarity index 67%
rename from ql/experimental/inflation/cpioptionletvolatilitystructure.cpp
rename to ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
index 7b188366f9..1870f22b05 100755
--- a/ql/experimental/inflation/cpioptionletvolatilitystructure.cpp
+++ b/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
@@ -21,28 +21,25 @@
  \brief yoy inflation volatility structures
  */
 
+#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 #include <ql/termstructures/inflationtermstructure.hpp>
-#include <ql/experimental/inflation/cpioptionletvolatilitystructure.hpp>
 
 namespace QuantLib {
 
-    CPIOptionletVolatilitySurface::
-    CPIOptionletVolatilitySurface(Natural settlementDays,
-                                  const Calendar &cal,
-                                  BusinessDayConvention bdc,
-                                  const DayCounter& dc,
-                                  const Period& observationLag,
-                                  Frequency frequency,
-                                  bool indexIsInterpolated)
+    CPIVolatilitySurface::CPIVolatilitySurface(Natural settlementDays,
+                                               const Calendar& cal,
+                                               BusinessDayConvention bdc,
+                                               const DayCounter& dc,
+                                               const Period& observationLag,
+                                               Frequency frequency,
+                                               bool indexIsInterpolated)
     : VolatilityTermStructure(settlementDays, cal, bdc, dc),
       baseLevel_(Null<Volatility>()), observationLag_(observationLag),
       frequency_(frequency), indexIsInterpolated_(indexIsInterpolated)
     {}
 
 
-    Date
-    CPIOptionletVolatilitySurface::baseDate() const {
-
+    Date CPIVolatilitySurface::baseDate() const {
         // Depends on interpolation, or not, of observed index
         // and observation lag with which it was built.
         // We want this to work even if the index does not
@@ -56,8 +53,8 @@ namespace QuantLib {
     }
 
 
-    void CPIOptionletVolatilitySurface::checkRange(const Date& d, Rate strike,
-                                            bool extrapolate) const {
+    void CPIVolatilitySurface::checkRange(const Date& d, Rate strike,
+                                          bool extrapolate) const {
         QL_REQUIRE(d >= baseDate(),
                    "date (" << d << ") is before base date");
         QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
@@ -70,8 +67,8 @@ namespace QuantLib {
     }
 
 
-    void CPIOptionletVolatilitySurface::checkRange(Time t, Rate strike,
-                                            bool extrapolate) const {
+    void CPIVolatilitySurface::checkRange(Time t, Rate strike,
+                                          bool extrapolate) const {
         QL_REQUIRE(t >= timeFromReference(baseDate()),
                    "time (" << t << ") is before base date");
         QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
@@ -84,11 +81,10 @@ namespace QuantLib {
     }
 
 
-    Volatility
-    CPIOptionletVolatilitySurface::volatility(const Date& maturityDate,
-                                              Rate strike,
-                                              const Period &obsLag,
-                                              bool extrapolate) const {
+    Volatility CPIVolatilitySurface::volatility(const Date& maturityDate,
+                                                Rate strike,
+                                                const Period& obsLag,
+                                                bool extrapolate) const {
 
         Period useLag = obsLag;
         if (obsLag==Period(-1,Days)) {
@@ -96,33 +92,31 @@ namespace QuantLib {
         }
 
         if (indexIsInterpolated()) {
-            CPIOptionletVolatilitySurface::checkRange(maturityDate-useLag, strike, extrapolate);
+            checkRange(maturityDate-useLag, strike, extrapolate);
             Time t = timeFromReference(maturityDate-useLag);
             return volatilityImpl(t,strike);
         } else {
-            std::pair<Date,Date> dd = inflationPeriod(maturityDate-useLag, frequency());
-            CPIOptionletVolatilitySurface::checkRange(dd.first, strike, extrapolate);
+            std::pair<Date,Date> dd =
+                inflationPeriod(maturityDate-useLag, frequency());
+            checkRange(dd.first, strike, extrapolate);
             Time t = timeFromReference(dd.first);
             return volatilityImpl(t,strike);
         }
     }
 
 
-    Volatility
-    CPIOptionletVolatilitySurface::volatility(const Period& optionTenor,
-                                              Rate strike,
-                                              const Period &obsLag,
-                                              bool extrapolate) const {
+    Volatility CPIVolatilitySurface::volatility(const Period& optionTenor,
+                                                Rate strike,
+                                                const Period& obsLag,
+                                                bool extrapolate) const {
         Date maturityDate = optionDateFromTenor(optionTenor);
         return volatility(maturityDate, strike, obsLag, extrapolate);
     }
 
 
     //! needed for total variance calculations
-    Time
-    CPIOptionletVolatilitySurface::timeFromBase(const Date &maturityDate,
-                                                const Period& obsLag) const {
-
+    Time CPIVolatilitySurface::timeFromBase(const Date& maturityDate,
+                                            const Period& obsLag) const {
         Period useLag = obsLag;
         if (obsLag==Period(-1,Days)) {
             useLag = observationLag();
@@ -143,23 +137,20 @@ namespace QuantLib {
     }
 
 
-    Volatility
-    CPIOptionletVolatilitySurface::totalVariance(const Date& maturityDate,
-                                                 Rate strike,
-                                                 const Period &obsLag,
-                                                 bool extrapolate) const {
-
+    Volatility CPIVolatilitySurface::totalVariance(const Date& maturityDate,
+                                                   Rate strike,
+                                                   const Period& obsLag,
+                                                   bool extrapolate) const {
         Volatility vol = volatility(maturityDate, strike, obsLag, extrapolate);
         Time t = timeFromBase(maturityDate, obsLag);
         return vol*vol*t;
     }
 
 
-    Volatility
-    CPIOptionletVolatilitySurface::totalVariance(const Period& tenor,
-                                                 Rate strike,
-                                                 const Period &obsLag,
-                                                 bool extrap) const {
+    Volatility CPIVolatilitySurface::totalVariance(const Period& tenor,
+                                                   Rate strike,
+                                                   const Period& obsLag,
+                                                   bool extrap) const {
         Date maturityDate = optionDateFromTenor(tenor);
         return totalVariance(maturityDate, strike, obsLag, extrap);
     }
@@ -176,13 +167,13 @@ namespace QuantLib {
                                    const Calendar& cal,
                                    BusinessDayConvention bdc,
                                    const DayCounter& dc,
-                                   const Period &observationLag,
+                                   const Period& observationLag,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    Rate minStrike,
                                    Rate maxStrike)
-    : CPIOptionletVolatilitySurface(settlementDays, cal, bdc, dc,
-                                    observationLag, frequency, indexIsInterpolated),
+    : CPIVolatilitySurface(settlementDays, cal, bdc, dc,
+                           observationLag, frequency, indexIsInterpolated),
       volatility_(v), minStrike_(minStrike), maxStrike_(maxStrike) {}
 
 
diff --git a/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
similarity index 65%
rename from ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
rename to ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
index 07aa3ef8cd..aabe9f0fa2 100755
--- a/ql/experimental/inflation/cpioptionletvolatilitystructure.hpp
+++ b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
@@ -17,12 +17,12 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! \file cpioptionletvolatilitystructure.hpp
+/*! \file cpivolatilitystructure.hpp
     \brief zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
  */
 
-#ifndef quantlib_cpioptionletvolatilitystructures_hpp
-#define quantlib_cpioptionletvolatilitystructures_hpp
+#ifndef quantlib_cpi_volatility_structure_hpp
+#define quantlib_cpi_volatility_structure_hpp
 
 #include <ql/termstructures/voltermstructure.hpp>
 #include <ql/math/interpolation.hpp>
@@ -30,37 +30,34 @@
 
 namespace QuantLib {
 
-    /*! Abstract interface ... no data, only results, CPI volatility is always w.r.t. 
-	    some base date.
-
-        Basically used to change the BlackVariance() methods to
-        totalVariance.  Also deal with lagged observations of an index
+    //! zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
+    /*! Abstract interface. CPI volatility is always with respect to
+	    some base date.  Also deal with lagged observations of an index
         with a (usually different) availability lag.
-	 
-		\todo so far is exact copy of yoy inflation vol code
-		      - at least for the constant version.
     */
-    class CPIOptionletVolatilitySurface : public VolatilityTermStructure {
-    public:
-        //! \name Constructor
-        //! calculate the reference date based on the global evaluation date
-        CPIOptionletVolatilitySurface(Natural settlementDays,
-                                      const Calendar&,
-                                      BusinessDayConvention bdc,
-                                      const DayCounter& dc,
-                                      const Period& observationLag,
-                                      Frequency frequency,
-                                      bool indexIsInterpolated);
-
-        virtual ~CPIOptionletVolatilitySurface() {}
-
-        //! \name Volatility (only)
+    class CPIVolatilitySurface : public VolatilityTermStructure {
+      public:
+        /*! calculates the reference date based on the global
+            evaluation date.
+        */
+        CPIVolatilitySurface(Natural settlementDays,
+                             const Calendar&,
+                             BusinessDayConvention bdc,
+                             const DayCounter& dc,
+                             const Period& observationLag,
+                             Frequency frequency,
+                             bool indexIsInterpolated);
+
+        //! \name Volatility
+        /*! by default, inflation is observed with the lag
+            of the term structure.
+
+            Because inflation is highly linked to dates (for
+            interpolation, periods, etc) time-based overload of the
+            methods are not provided.
+        */
         //@{
-        //! Returns the volatility for a given maturity date and strike rate
-        //! that observes inflation, by default, with the observation lag
-        //! of the term structure.
-        //! Because inflation is highly linked to dates (for interpolation, periods, etc)
-        //! we do NOT provide a time version.
+        //! Returns the volatility for a given maturity date and strike rate.
         Volatility volatility(const Date& maturityDate,
                               Rate strike,
                               const Period &obsLag = Period(-1,Days),
@@ -71,37 +68,49 @@ namespace QuantLib {
                               const Period &obsLag = Period(-1,Days),
                               bool extrapolate = false) const;
 
-        //! Returns the total integrated variance for a given exercise date and strike rate.
+        //! Returns the total integrated variance for a given exercise
+        //! date and strike rate.
         /*! Total integrated variance is useful because it scales out
-         t for the optionlet pricing formulae.  Note that it is
-         called "total" because the surface does not know whether
-         it represents Black, Bachelier or Displaced Diffusion
-         variance.  These are virtual so alternate connections
-         between const vol and total var are possible.
-
-         Because inflation is highly linked to dates (for interpolation, periods, etc)
-         we do NOT provide a time version
-         */
+            t for the optionlet pricing formulae.  Note that it is
+            called "total" because the surface does not know whether
+            it represents Black, Bachelier or Displaced Diffusion
+            variance.  These are virtual so alternate connections
+            between const vol and total var are possible.
+        */
         virtual Volatility totalVariance(const Date& exerciseDate,
                                          Rate strike,
                                          const Period &obsLag = Period(-1,Days),
                                          bool extrapolate = false) const;
-        //! returns the total integrated variance for a given option tenor and strike rate
+        //! returns the total integrated variance for a given option
+        //! tenor and strike rate.
         virtual Volatility totalVariance(const Period& optionTenor,
                                          Rate strike,
                                          const Period &obsLag = Period(-1,Days),
                                          bool extrapolate = false) const;
+        //@}
 
-        //! The TS observes with a lag that is usually different from the
-        //! availability lag of the index.  An inflation rate is given,
-        //! by default, for the maturity requested assuming this lag.
+        //! \name Inspectors
+        //@{
+        /*! The term structure observes with a lag that is usually
+            different from the availability lag of the index.  An
+            inflation rate is given, by default, for the maturity
+            requested assuming this lag.
+        */
         virtual Period observationLag() const { return observationLag_; }
         virtual Frequency frequency() const { return frequency_; }
-        virtual bool indexIsInterpolated() const { return indexIsInterpolated_; }
+        virtual bool indexIsInterpolated() const {
+            return indexIsInterpolated_;
+        }
         virtual Date baseDate() const;
         //! base date will be in the past because of observation lag
         virtual Time timeFromBase(const Date &date,
                                   const Period& obsLag = Period(-1,Days)) const;
+        // acts as zero time value for boostrapping
+        virtual Volatility baseLevel() const {
+            QL_REQUIRE(baseLevel_ != Null<Volatility>(),
+                       "Base volatility, for baseDate(), not set.");
+            return baseLevel_;
+        }
         //@}
 
         //! \name Limits
@@ -111,28 +120,18 @@ namespace QuantLib {
         //! the maximum strike for which the term structure can return vols
         virtual Real maxStrike() const = 0;
         //@}
-
-        // acts as zero time value for boostrapping
-        virtual Volatility baseLevel() const {
-            QL_REQUIRE(baseLevel_ != Null<Volatility>(),
-                       "Base volatility, for baseDate(), not set.");
-            return baseLevel_;
-        }
-
-    protected:
-        virtual void checkRange(const Date &, Rate strike, bool extrapolate) const;
+      protected:
+        virtual void checkRange(const Date&, Rate strike, bool extrapolate) const;
         virtual void checkRange(Time, Rate strike, bool extrapolate) const;
 
-        //! Implements the actual volatility surface calculation in
-        //! derived classes e.g. bilinear interpolation.  N.B. does
-        //! not derive the surface.
+        /*! Implements the actual volatility surface calculation in
+            derived classes e.g. bilinear interpolation.  N.B. does
+            not derive the surface.
+        */
         virtual Volatility volatilityImpl(Time length,
                                           Rate strike) const = 0;
 
-        // acts as zero time value for boostrapping
-        virtual void setBaseLevel(Volatility v) { baseLevel_ = v; }
         mutable Volatility baseLevel_;
-
         // so you do not need an index
         Period observationLag_;
         Frequency frequency_;
@@ -141,9 +140,8 @@ namespace QuantLib {
 
 
     //! Constant surface, no K or T dependence.
-    class ConstantCPIOptionletVolatility
-    : public CPIOptionletVolatilitySurface {
-    public:
+    class ConstantCPIOptionletVolatility : public CPIVolatilitySurface {
+      public:
         //! \name Constructor
         //@{
         //! calculate the reference date based on the global evaluation date
@@ -177,9 +175,7 @@ namespace QuantLib {
         Rate minStrike_, maxStrike_;
     };
 
-
-
-} // namespace QuantLib
+}
 
 #endif
 

From ff80104a1bb16b5da7d9e390d7a0ebe9dcdf1903 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:08:21 +0000
Subject: [PATCH 329/410] Moved constant CPI-volatility structure to its own
 file.

It was previously in the same file as its abstract base class.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18052 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  | 21 +++++-
 QuantLib_vc10.vcxproj                         |  2 +
 QuantLib_vc10.vcxproj.filters                 |  6 ++
 QuantLib_vc7.vcproj                           |  6 ++
 QuantLib_vc8.vcproj                           |  8 +++
 QuantLib_vc9.vcproj                           |  8 +++
 .../volatility/inflation/Makefile.am          |  2 +
 .../volatility/inflation/all.hpp              |  1 +
 .../inflation/constantcpivolatility.cpp       | 42 ++++++++++++
 .../inflation/constantcpivolatility.hpp       | 64 +++++++++++++++++++
 .../inflation/cpivolatilitystructure.cpp      | 38 +----------
 .../inflation/cpivolatilitystructure.hpp      | 39 -----------
 12 files changed, 161 insertions(+), 76 deletions(-)
 create mode 100644 ql/termstructures/volatility/inflation/constantcpivolatility.cpp
 create mode 100644 ql/termstructures/volatility/inflation/constantcpivolatility.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 38f4b90fb4..488057a35f 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1798
+UnitCount=1800
 Type=2
 Ver=1
 ObjFiles=
@@ -18027,3 +18027,22 @@ Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
+[Unit1799]
+FileName=ql\termstructures\volatility\inflation\constantcpivolatility.cpp
+CompileCpp=1
+Folder=termstructures/volatility/inflation
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1800]
+FileName=ql\termstructures\volatility\inflation\constantcpivolatility.hpp
+CompileCpp=1
+Folder=termstructures/volatility/inflation
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index d917ced3c9..1e635a753b 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -886,6 +886,7 @@
     <ClInclude Include="ql\termstructures\volatility\swaption\swaptionvolmatrix.hpp" />
     <ClInclude Include="ql\termstructures\volatility\swaption\swaptionvolstructure.hpp" />
     <ClInclude Include="ql\termstructures\volatility\inflation\all.hpp" />
+    <ClInclude Include="ql\termstructures\volatility\inflation\constantcpivolatility.hpp" />
     <ClInclude Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp" />
     <ClInclude Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.hpp" />
     <ClInclude Include="ql\termstructures\yield\all.hpp" />
@@ -1759,6 +1760,7 @@
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvoldiscrete.cpp" />
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolmatrix.cpp" />
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolstructure.cpp" />
+    <ClCompile Include="ql\termstructures\volatility\inflation\constantcpivolatility.cpp" />
     <ClCompile Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp" />
     <ClCompile Include="ql\termstructures\volatility\inflation\yoyinflationoptionletvolatilitystructure.cpp" />
     <ClCompile Include="ql\termstructures\yield\bondhelpers.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index dff589eea1..b42815858f 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1923,6 +1923,9 @@
     <ClInclude Include="ql\termstructures\volatility\inflation\all.hpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClInclude>
+    <ClInclude Include="ql\termstructures\volatility\inflation\constantcpivolatility.hpp">
+      <Filter>termstructures\volatility\inflation</Filter>
+    </ClInclude>
     <ClInclude Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.hpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClInclude>
@@ -4523,6 +4526,9 @@
     <ClCompile Include="ql\termstructures\volatility\swaption\swaptionvolstructure.cpp">
       <Filter>termstructures\volatility\swaption</Filter>
     </ClCompile>
+    <ClCompile Include="ql\termstructures\volatility\inflation\constantcpivolatility.cpp">
+      <Filter>termstructures\volatility\inflation</Filter>
+    </ClCompile>
     <ClCompile Include="ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp">
       <Filter>termstructures\volatility\inflation</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index d92a856234..830102f088 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -5417,6 +5417,12 @@
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp">
 					</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 74e9e6b95b..239e28bca2 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -4541,6 +4541,14 @@
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp"
 						>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 7c4e802368..044f23451d 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -4896,6 +4896,14 @@
 						RelativePath=".\ql\termstructures\volatility\inflation\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\termstructures\volatility\inflation\constantcpivolatility.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\termstructures\volatility\inflation\cpivolatilitystructure.cpp"
 						>
diff --git a/ql/termstructures/volatility/inflation/Makefile.am b/ql/termstructures/volatility/inflation/Makefile.am
index 415717f18d..4ff2691879 100644
--- a/ql/termstructures/volatility/inflation/Makefile.am
+++ b/ql/termstructures/volatility/inflation/Makefile.am
@@ -3,10 +3,12 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    constantcpivolatility.hpp \
     cpivolatilitystructure.hpp \
     yoyinflationoptionletvolatilitystructure.hpp
 
 libInflationVol_la_SOURCES = \
+    constantcpivolatility.cpp \
     cpivolatilitystructure.cpp \
     yoyinflationoptionletvolatilitystructure.cpp
 
diff --git a/ql/termstructures/volatility/inflation/all.hpp b/ql/termstructures/volatility/inflation/all.hpp
index 68fbc97e7e..0b064f2546 100644
--- a/ql/termstructures/volatility/inflation/all.hpp
+++ b/ql/termstructures/volatility/inflation/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/termstructures/volatility/inflation/constantcpivolatility.hpp>
 #include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 #include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
 
diff --git a/ql/termstructures/volatility/inflation/constantcpivolatility.cpp b/ql/termstructures/volatility/inflation/constantcpivolatility.cpp
new file mode 100644
index 0000000000..9e7ffeed9a
--- /dev/null
+++ b/ql/termstructures/volatility/inflation/constantcpivolatility.cpp
@@ -0,0 +1,42 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#include <ql/termstructures/volatility/inflation/constantcpivolatility.hpp>
+
+namespace QuantLib {
+
+    ConstantCPIVolatility:: ConstantCPIVolatility(const Volatility v,
+                                                  Natural settlementDays,
+                                                  const Calendar& cal,
+                                                  BusinessDayConvention bdc,
+                                                  const DayCounter& dc,
+                                                  const Period& observationLag,
+                                                  Frequency frequency,
+                                                  bool indexIsInterpolated)
+    : CPIVolatilitySurface(settlementDays, cal, bdc, dc,
+                           observationLag, frequency, indexIsInterpolated),
+      volatility_(v) {}
+
+
+    Volatility ConstantCPIVolatility::volatilityImpl(Time, Rate) const {
+        return volatility_;
+    }
+
+}
+
diff --git a/ql/termstructures/volatility/inflation/constantcpivolatility.hpp b/ql/termstructures/volatility/inflation/constantcpivolatility.hpp
new file mode 100644
index 0000000000..7a92e48beb
--- /dev/null
+++ b/ql/termstructures/volatility/inflation/constantcpivolatility.hpp
@@ -0,0 +1,64 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2009, 2011 Chris Kenyon
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+/*! \file constantcpivolatility.hpp
+    \brief constant CPI volatility structure
+ */
+
+#ifndef quantlib_constant_cpi_volatility_hpp
+#define quantlib_constant_cpi_volatility_hpp
+
+#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
+
+namespace QuantLib {
+
+    //! Constant surface, no K or T dependence.
+    class ConstantCPIVolatility : public CPIVolatilitySurface {
+      public:
+        //! \name Constructor
+        //@{
+        //! calculate the reference date based on the global evaluation date
+        ConstantCPIVolatility(const Volatility v,
+                              Natural settlementDays,
+                              const Calendar&,
+                              BusinessDayConvention bdc,
+                              const DayCounter& dc,
+                              const Period &observationLag,
+                              Frequency frequency,
+                              bool indexIsInterpolated);
+        //@}
+
+        //! \name Limits
+        //@{
+        virtual Date maxDate() const { return Date::maxDate(); }
+        //! the minimum strike for which the term structure can return vols
+        virtual Real minStrike() const { return QL_MIN_REAL; }
+        //! the maximum strike for which the term structure can return vols
+        virtual Real maxStrike() const { return QL_MAX_REAL; }
+        //@}
+
+      private:
+        virtual Volatility volatilityImpl(Time length, Rate strike) const;
+        Volatility volatility_;
+    };
+
+}
+
+#endif
+
diff --git a/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
index 1870f22b05..4d60002b39 100755
--- a/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
+++ b/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
@@ -17,10 +17,6 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! \file yoyoptionletvolatilitystructures.cpp
- \brief yoy inflation volatility structures
- */
-
 #include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
 #include <ql/termstructures/inflationtermstructure.hpp>
 
@@ -43,7 +39,7 @@ namespace QuantLib {
         // Depends on interpolation, or not, of observed index
         // and observation lag with which it was built.
         // We want this to work even if the index does not
-        // have a yoy term structure.
+        // have a term structure.
         if (indexIsInterpolated()) {
             return referenceDate() - observationLag();
         } else {
@@ -155,35 +151,5 @@ namespace QuantLib {
         return totalVariance(maturityDate, strike, obsLag, extrap);
     }
 
+}
 
-
-    //========================================================================
-    // constant CPI vol surface
-    //========================================================================
-
-    ConstantCPIOptionletVolatility::
-    ConstantCPIOptionletVolatility(const Volatility v,
-                                   Natural settlementDays,
-                                   const Calendar& cal,
-                                   BusinessDayConvention bdc,
-                                   const DayCounter& dc,
-                                   const Period& observationLag,
-                                   Frequency frequency,
-                                   bool indexIsInterpolated,
-                                   Rate minStrike,
-                                   Rate maxStrike)
-    : CPIVolatilitySurface(settlementDays, cal, bdc, dc,
-                           observationLag, frequency, indexIsInterpolated),
-      volatility_(v), minStrike_(minStrike), maxStrike_(maxStrike) {}
-
-
-    Volatility ConstantCPIOptionletVolatility::
-    volatilityImpl(const Time t, Rate strike) const {
-        return volatility_;
-    }
-
-
-
-
-
-} // namespace QuantLib
diff --git a/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
index aabe9f0fa2..71e46cad96 100755
--- a/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
+++ b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
@@ -25,8 +25,6 @@
 #define quantlib_cpi_volatility_structure_hpp
 
 #include <ql/termstructures/voltermstructure.hpp>
-#include <ql/math/interpolation.hpp>
-#include <ql/time/calendars/target.hpp>
 
 namespace QuantLib {
 
@@ -138,43 +136,6 @@ namespace QuantLib {
         bool indexIsInterpolated_;
     };
 
-
-    //! Constant surface, no K or T dependence.
-    class ConstantCPIOptionletVolatility : public CPIVolatilitySurface {
-      public:
-        //! \name Constructor
-        //@{
-        //! calculate the reference date based on the global evaluation date
-        ConstantCPIOptionletVolatility(const Volatility v,
-                                       Natural settlementDays,
-                                       const Calendar&,
-                                       BusinessDayConvention bdc,
-                                       const DayCounter& dc,
-                                       const Period &observationLag,
-                                       Frequency frequency,
-                                       bool indexIsInterpolated,
-                                       Rate minStrike = -1.0,  // -100%
-                                       Rate maxStrike = 100.0);  // +10,000%
-        //@}
-        virtual ~ConstantCPIOptionletVolatility() {}
-
-        //! \name Limits
-        //@{
-        virtual Date maxDate() const { return Date::maxDate(); }
-        //! the minimum strike for which the term structure can return vols
-        virtual Real minStrike() const { return minStrike_; }
-        //! the maximum strike for which the term structure can return vols
-        virtual Real maxStrike() const { return maxStrike_; }
-        //@}
-
-    protected:
-        //! implements the actual volatility calculation in derived classes
-        virtual Volatility volatilityImpl(Time length, Rate strike) const;
-
-        Volatility volatility_;
-        Rate minStrike_, maxStrike_;
-    };
-
 }
 
 #endif

From addcd2f8b9fff5b77c9ef867685578e577a13c7c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:08:34 +0000
Subject: [PATCH 330/410] Removed unnecessary inclusion.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18053 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cpicoupon.hpp | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index 1da9a59d80..455f6f8e54 100755
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -24,7 +24,6 @@
 #ifndef quantlib_cpicoupon_hpp
 #define quantlib_cpicoupon_hpp
 
-#include <boost/shared_ptr.hpp>
 #include <ql/cashflows/inflationcoupon.hpp>
 #include <ql/indexes/inflationindex.hpp>
 #include <ql/cashflows/baseindexedcashflow.hpp>

From 082818121b1468d1607b7abb243ce9ef12fb228b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:09:12 +0000
Subject: [PATCH 331/410] Moved CPI cap-floor engine to experimental.

It depends on an experimental price structure.  Also, I'd like to
understand better if we want this to really be an engine, since
it doesn't actually calculate---it interpolates known prices.
Of course, it's possible I'm just being picky.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18054 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                     |  8 ++++----
 QuantLib_vc10.vcxproj                            |  4 ++--
 QuantLib_vc10.vcxproj.filters                    | 12 ++++++------
 QuantLib_vc7.vcproj                              | 12 ++++++------
 QuantLib_vc8.vcproj                              | 16 ++++++++--------
 QuantLib_vc9.vcproj                              | 16 ++++++++--------
 ql/experimental/inflation/Makefile.am            |  2 ++
 ql/experimental/inflation/all.hpp                |  1 +
 .../inflation/cpicapfloorengines.cpp             |  2 +-
 .../inflation/cpicapfloorengines.hpp             |  0
 ql/pricingengines/inflation/Makefile.am          |  2 --
 ql/pricingengines/inflation/all.hpp              |  1 -
 test-suite/inflationcpicapfloor.cpp              |  2 +-
 13 files changed, 39 insertions(+), 39 deletions(-)
 rename ql/{pricingengines => experimental}/inflation/cpicapfloorengines.cpp (98%)
 rename ql/{pricingengines => experimental}/inflation/cpicapfloorengines.hpp (100%)

diff --git a/QuantLib.dev b/QuantLib.dev
index 488057a35f..df3a4d3782 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -17898,9 +17898,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1786]
-FileName=ql\pricingengines\inflation\cpicapfloorengines.hpp
+FileName=ql\experimental\inflation\cpicapfloorengines.hpp
 CompileCpp=1
-Folder=pricingengines/inflation
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -17908,9 +17908,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1787]
-FileName=ql\pricingengines\inflation\cpicapfloorengines.cpp
+FileName=ql\experimental\inflation\cpicapfloorengines.cpp
 CompileCpp=1
-Folder=pricingengines/inflation
+Folder=experimental/inflation
 Compile=1
 Link=1
 Priority=1000
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 1e635a753b..66cd656765 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -268,6 +268,7 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp" />
+    <ClInclude Include="ql\experimental\inflation\cpicapfloorengines.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp" />
     <ClInclude Include="ql\experimental\processes\extouwithjumpsprocess.hpp" />
     <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp" />
@@ -822,7 +823,6 @@
     <ClInclude Include="ql\pricingengines\barrier\fdhestonbarrierengine.hpp" />
     <ClInclude Include="ql\pricingengines\barrier\fdhestonrebateengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp" />
-    <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdbatesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp" />
@@ -1359,6 +1359,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp" />
+    <ClCompile Include="ql\experimental\inflation\cpicapfloorengines.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp" />
     <ClCompile Include="ql\experimental\processes\extouwithjumpsprocess.cpp" />
     <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp" />
@@ -1715,7 +1716,6 @@
     <ClCompile Include="ql\pricingengines\barrier\fdhestonbarrierengine.cpp" />
     <ClCompile Include="ql\pricingengines\barrier\fdhestonrebateengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp" />
-    <ClCompile Include="ql\pricingengines\inflation\cpicapfloorengines.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdbatesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index b42815858f..178e92ce59 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3240,9 +3240,6 @@
     <ClInclude Include="ql\instruments\bonds\cpibond.hpp">
       <Filter>instruments\bonds</Filter>
     </ClInclude>
-    <ClInclude Include="ql\pricingengines\inflation\cpicapfloorengines.hpp">
-      <Filter>pricingengines\inflation</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClInclude>
@@ -3279,6 +3276,9 @@
     <ClInclude Include="ql\experimental\processes\gemanroncoroniprocess.hpp">
       <Filter>experimental\processes</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\inflation\cpicapfloorengines.hpp">
+      <Filter>experimental\inflation</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp">
       <Filter>experimental\inflation</Filter>
     </ClInclude>
@@ -5382,9 +5382,6 @@
     <ClCompile Include="ql\instruments\bonds\cpibond.cpp">
       <Filter>instruments\bonds</Filter>
     </ClCompile>
-    <ClCompile Include="ql\pricingengines\inflation\cpicapfloorengines.cpp">
-      <Filter>pricingengines\inflation</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp">
       <Filter>experimental\finitedifferences</Filter>
     </ClCompile>
@@ -5409,6 +5406,9 @@
     <ClCompile Include="ql\experimental\processes\gemanroncoroniprocess.cpp">
       <Filter>experimental\processes</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\inflation\cpicapfloorengines.cpp">
+      <Filter>experimental\inflation</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp">
       <Filter>experimental\inflation</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 830102f088..3294d381ed 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1255,6 +1255,12 @@
 				<File
 					RelativePath=".\ql\experimental\inflation\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.cpp">
 				</File>
@@ -4687,12 +4693,6 @@
 				<File
 					RelativePath=".\ql\pricingengines\inflation\all.hpp">
 				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp">
-				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp">
-				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 239e28bca2..9f6d7dda2c 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -5802,14 +5802,6 @@
 					RelativePath=".\ql\pricingengines\inflation\all.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp"
 					>
@@ -7658,6 +7650,14 @@
 					RelativePath=".\ql\experimental\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 044f23451d..3f2a0749cd 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6157,14 +6157,6 @@
 					RelativePath=".\ql\pricingengines\inflation\all.hpp"
 					>
 				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.cpp"
-					>
-				</File>
-				<File
-					RelativePath=".\ql\pricingengines\inflation\cpicapfloorengines.hpp"
-					>
-				</File>
 				<File
 					RelativePath=".\ql\pricingengines\inflation\inflationcapfloorengines.cpp"
 					>
@@ -8013,6 +8005,14 @@
 					RelativePath=".\ql\experimental\inflation\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\inflation\cpicapfloorengines.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\inflation\cpicapfloortermpricesurface.cpp"
 					>
diff --git a/ql/experimental/inflation/Makefile.am b/ql/experimental/inflation/Makefile.am
index b26c063c10..c7f8daaac6 100644
--- a/ql/experimental/inflation/Makefile.am
+++ b/ql/experimental/inflation/Makefile.am
@@ -4,6 +4,7 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    cpicapfloorengines.hpp \
     cpicapfloortermpricesurface.hpp \
     genericindexes.hpp \
     interpolatedyoyoptionletstripper.hpp \
@@ -16,6 +17,7 @@ this_include_HEADERS = \
     yoyinflationoptionletvolatilitystructure2.hpp
 
 libInflation_la_SOURCES = \
+    cpicapfloorengines.cpp \
     cpicapfloortermpricesurface.cpp \
     yoycapfloortermpricesurface.cpp \
     yoyoptionlethelpers.cpp
diff --git a/ql/experimental/inflation/all.hpp b/ql/experimental/inflation/all.hpp
index 3388d5e45c..3f84680627 100644
--- a/ql/experimental/inflation/all.hpp
+++ b/ql/experimental/inflation/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/inflation/cpicapfloorengines.hpp>
 #include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
 #include <ql/experimental/inflation/genericindexes.hpp>
 #include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>
diff --git a/ql/pricingengines/inflation/cpicapfloorengines.cpp b/ql/experimental/inflation/cpicapfloorengines.cpp
similarity index 98%
rename from ql/pricingengines/inflation/cpicapfloorengines.cpp
rename to ql/experimental/inflation/cpicapfloorengines.cpp
index 35ad8bb0f9..359a772010 100755
--- a/ql/pricingengines/inflation/cpicapfloorengines.cpp
+++ b/ql/experimental/inflation/cpicapfloorengines.cpp
@@ -27,7 +27,7 @@
 
 #include <ql/time/daycounters/actualactual.hpp>
 
-#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
+#include <ql/experimental/inflation/cpicapfloorengines.hpp>
 #include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
 
 
diff --git a/ql/pricingengines/inflation/cpicapfloorengines.hpp b/ql/experimental/inflation/cpicapfloorengines.hpp
similarity index 100%
rename from ql/pricingengines/inflation/cpicapfloorengines.hpp
rename to ql/experimental/inflation/cpicapfloorengines.hpp
diff --git a/ql/pricingengines/inflation/Makefile.am b/ql/pricingengines/inflation/Makefile.am
index d20d931896..d87849a358 100644
--- a/ql/pricingengines/inflation/Makefile.am
+++ b/ql/pricingengines/inflation/Makefile.am
@@ -4,11 +4,9 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
-    cpicapfloorengines.hpp \
     inflationcapfloorengines.hpp
 
 libInflationEngines_la_SOURCES = \
-    cpicapfloorengines.cpp \
     inflationcapfloorengines.cpp
 
 noinst_LTLIBRARIES = libInflationEngines.la
diff --git a/ql/pricingengines/inflation/all.hpp b/ql/pricingengines/inflation/all.hpp
index ab6f9e84dc..c089a1a3a8 100644
--- a/ql/pricingengines/inflation/all.hpp
+++ b/ql/pricingengines/inflation/all.hpp
@@ -1,6 +1,5 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
 #include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
 
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
index a2036e32c6..3216b438cf 100755
--- a/test-suite/inflationcpicapfloor.cpp
+++ b/test-suite/inflationcpicapfloor.cpp
@@ -45,7 +45,7 @@
 #include <ql/instruments/cpicapfloor.hpp>
 
 #include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
-#include <ql/pricingengines/inflation/cpicapfloorengines.hpp>
+#include <ql/experimental/inflation/cpicapfloorengines.hpp>
 
 
 using namespace QuantLib;

From 7a930ec8847e30b42e1699aaa8e0588d550c640b Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:09:49 +0000
Subject: [PATCH 332/410] Renamed BaseIndexedCashFlow to less generic
 CPICashFlow.

The cash flow is currently pretty much tied to CPI instruments,
so I'd make this clear.  We'll need another use case to be able
to generalize.

Also, the name was somewhat confusing.  It was meant to convey
the idea of base date and base level, but instead it suggested
that it was a base class for indexed cash flows.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18055 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |  30 +-
 QuantLib_vc10.vcxproj                         |   2 -
 QuantLib_vc10.vcxproj.filters                 |   6 -
 QuantLib_vc7.vcproj                           |   6 -
 QuantLib_vc8.vcproj                           |   8 -
 QuantLib_vc9.vcproj                           |   8 -
 ql/cashflows/Makefile.am                      |   2 -
 ql/cashflows/all.hpp                          |   1 -
 ql/cashflows/baseindexedcashflow.cpp          |  79 -----
 ql/cashflows/baseindexedcashflow.hpp          |  93 ------
 ql/cashflows/cpicoupon.cpp                    |  62 +++-
 ql/cashflows/cpicoupon.hpp                    | 284 +++++++++++-------
 .../inflation/cpicapfloorengines.cpp          |   4 +-
 ql/instruments/bonds/cpibond.cpp              |   5 +-
 ql/instruments/bonds/cpibond.hpp              |   9 +-
 ql/instruments/cpicapfloor.cpp                |  11 +-
 ql/instruments/cpicapfloor.hpp                |   9 +-
 ql/instruments/cpiswap.cpp                    |   5 +-
 ql/instruments/cpiswap.hpp                    |  11 +-
 test-suite/inflationcpicapfloor.cpp           |   6 +-
 test-suite/inflationcpiswap.cpp               |  10 +-
 21 files changed, 269 insertions(+), 382 deletions(-)
 delete mode 100755 ql/cashflows/baseindexedcashflow.cpp
 delete mode 100755 ql/cashflows/baseindexedcashflow.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index df3a4d3782..fb172a0b39 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1800
+UnitCount=1798
 Type=2
 Ver=1
 ObjFiles=
@@ -16168,9 +16168,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1613]
-FileName=ql\cashflows\baseindexedcashflow.cpp
+FileName=ql\termstructures\volatility\inflation\constantcpivolatility.cpp
 CompileCpp=1
-Folder=cashflows
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -16178,9 +16178,9 @@ OverrideBuildCmd=0
 BuildCmd=
 
 [Unit1614]
-FileName=ql\cashflows\baseindexedcashflow.hpp
+FileName=ql\termstructures\volatility\inflation\constantcpivolatility.hpp
 CompileCpp=1
-Folder=cashflows
+Folder=termstructures/volatility/inflation
 Compile=1
 Link=1
 Priority=1000
@@ -18026,23 +18026,3 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
-
-[Unit1799]
-FileName=ql\termstructures\volatility\inflation\constantcpivolatility.cpp
-CompileCpp=1
-Folder=termstructures/volatility/inflation
-Compile=1
-Link=1
-Priority=1000
-OverrideBuildCmd=0
-BuildCmd=
-
-[Unit1800]
-FileName=ql\termstructures\volatility\inflation\constantcpivolatility.hpp
-CompileCpp=1
-Folder=termstructures/volatility/inflation
-Compile=1
-Link=1
-Priority=1000
-OverrideBuildCmd=0
-BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 66cd656765..0d856073f7 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -248,7 +248,6 @@
     </Bscmake>
   </ItemDefinitionGroup>
   <ItemGroup>
-    <ClInclude Include="ql\cashflows\baseindexedcashflow.hpp" />
     <ClInclude Include="ql\cashflows\cpicoupon.hpp" />
     <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
@@ -1345,7 +1344,6 @@
     <ClInclude Include="ql\volatilitymodel.hpp" />
   </ItemGroup>
   <ItemGroup>
-    <ClCompile Include="ql\cashflows\baseindexedcashflow.cpp" />
     <ClCompile Include="ql\cashflows\cpicoupon.cpp" />
     <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 178e92ce59..94683667a4 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3216,9 +3216,6 @@
     <ClInclude Include="ql\userconfig.hpp" />
     <ClInclude Include="ql\version.hpp" />
     <ClInclude Include="ql\volatilitymodel.hpp" />
-    <ClInclude Include="ql\cashflows\baseindexedcashflow.hpp">
-      <Filter>cashflows</Filter>
-    </ClInclude>
     <ClInclude Include="ql\cashflows\cpicoupon.hpp">
       <Filter>cashflows</Filter>
     </ClInclude>
@@ -5364,9 +5361,6 @@
     <ClCompile Include="ql\stochasticprocess.cpp" />
     <ClCompile Include="ql\termstructure.cpp" />
     <ClCompile Include="ql\timegrid.cpp" />
-    <ClCompile Include="ql\cashflows\baseindexedcashflow.cpp">
-      <Filter>cashflows</Filter>
-    </ClCompile>
     <ClCompile Include="ql\cashflows\cpicoupon.cpp">
       <Filter>cashflows</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 3294d381ed..c4ce026bcc 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -399,12 +399,6 @@
 			<File
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp">
 			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp">
-			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp">
-			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp">
 			</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 9f6d7dda2c..1186699885 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -1075,14 +1075,6 @@
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp"
 				>
 			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp"
-				>
-			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp"
-				>
-			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp"
 				>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 3f2a0749cd..35ad1f8c1e 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -1422,14 +1422,6 @@
 				RelativePath=".\ql\cashflows\averagebmacoupon.hpp"
 				>
 			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.cpp"
-				>
-			</File>
-			<File
-				RelativePath=".\ql\cashflows\baseindexedcashflow.hpp"
-				>
-			</File>
 			<File
 				RelativePath=".\ql\cashflows\capflooredcoupon.cpp"
 				>
diff --git a/ql/cashflows/Makefile.am b/ql/cashflows/Makefile.am
index 7830c22b63..cdb726afeb 100644
--- a/ql/cashflows/Makefile.am
+++ b/ql/cashflows/Makefile.am
@@ -5,7 +5,6 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
     averagebmacoupon.hpp \
-    baseindexedcashflow.hpp \
     capflooredcoupon.hpp \
     capflooredinflationcoupon.hpp \
     cashflows.hpp \
@@ -36,7 +35,6 @@ this_include_HEADERS = \
 
 libCashFlows_la_SOURCES = \
     averagebmacoupon.cpp \
-    baseindexedcashflow.cpp \
     capflooredcoupon.cpp \
     capflooredinflationcoupon.cpp \
     cashflows.cpp \
diff --git a/ql/cashflows/all.hpp b/ql/cashflows/all.hpp
index ac8232fc50..743747fd88 100644
--- a/ql/cashflows/all.hpp
+++ b/ql/cashflows/all.hpp
@@ -2,7 +2,6 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/cashflows/averagebmacoupon.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 #include <ql/cashflows/capflooredcoupon.hpp>
 #include <ql/cashflows/capflooredinflationcoupon.hpp>
 #include <ql/cashflows/cashflows.hpp>
diff --git a/ql/cashflows/baseindexedcashflow.cpp b/ql/cashflows/baseindexedcashflow.cpp
deleted file mode 100755
index 48ce67f924..0000000000
--- a/ql/cashflows/baseindexedcashflow.cpp
+++ /dev/null
@@ -1,79 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2009 Chris Kenyon
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
- */
-
-
-
-#include <ql/cashflows/baseindexedcashflow.hpp>
-#include <ql/index.hpp>
-#include <ql/indexes/inflationindex.hpp>
-
- 
-namespace QuantLib {
-
-	
-	Date BaseIndexedCashFlow::baseDate() const {
-		// you may not have a valid date
-		exit(-1);
-	}
-	
-	Real BaseIndexedCashFlow::baseFixing() const {
-		return baseFixing_;
-	}
-	
-	Real BaseIndexedCashFlow::amount() const {
-        Real I0 = baseFixing();
-        Real I1;
-		
-		// what interpolation do we use? Index / flat / linear
-		if (interpolation() == iiINDEX ) {
-			I1 = index()->fixing(fixingDate()); 
-		} else {
-			// work out what it should be
-			//std::cout << fixingDate() << " and " << frequency() << std::endl;
-			//std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
-			//std::cout << fixingDate() << " and " << dd.first << " " << dd.second << std::endl;
-			// work out what it should be
-			std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
-			Real indexStart = index()->fixing(dd.first);
-			if (interpolation() == iiLINEAR) {
-				Real indexEnd = index()->fixing(dd.second+Period(1,Days));
-				// linear interpolation 
-				//std::cout << indexStart << " and " << indexEnd << std::endl;
-				I1 = indexStart + (indexEnd - indexStart) * (fixingDate() - dd.first) 
-				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
-			} else {
-				// no interpolation, i.e. flat = constant, so use start-of-period value
-				I1 = indexStart;
-			}
-			
-		}
-		
-		
-        if (growthOnly())
-            return notional() * (I1 / I0 - 1.0);
-        else
-            return notional() * (I1 / I0);
-    }
-	
-
-}
-
-
-
-
diff --git a/ql/cashflows/baseindexedcashflow.hpp b/ql/cashflows/baseindexedcashflow.hpp
deleted file mode 100755
index 52dbd5d3d8..0000000000
--- a/ql/cashflows/baseindexedcashflow.hpp
+++ /dev/null
@@ -1,93 +0,0 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2009, 2011 Chris Kenyon
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
- */
-
-/*! \file baseindexedcashflow.hpp
- \brief Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
- */
-
-#ifndef quantlib_baseindexed_cash_flow_hpp
-#define quantlib_baseindexed_cash_flow_hpp
-
-#include <ql/cashflow.hpp>
-#include <ql/cashflows/indexedcashflow.hpp>
-#include <ql/index.hpp>
-
-namespace QuantLib {
-
-	//! when you observe an index, how do you interpolate between fixings?
-	//! \enum indexInterpolationType as the index, keep flat, or linear
-	enum indexInterpolationType {
-		iiINDEX = 0, iiFLAT = 1, iiLINEAR = 2
-	};
-	
-    //! Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
-    /*! As index cashflow but also is relative to a fixed value which is not the index,
-	    basically just an additional constructor.
-     */
-    class BaseIndexedCashFlow : public IndexedCashFlow {
-      public:
-        BaseIndexedCashFlow(Real notional,
-							const boost::shared_ptr<Index> &index,
-							const Date& baseDate,
-							Real baseFixing, 
-							const Date& fixingDate,
-							const Date& paymentDate,
-							bool growthOnly = false,
-							indexInterpolationType interpolation = iiINDEX, 
-							const Frequency &frequency = QuantLib::NoFrequency
-							)
-        : IndexedCashFlow(notional, index, baseDate, fixingDate, paymentDate, growthOnly),
-		  baseFixing_(baseFixing), interpolation_(interpolation), frequency_(frequency)
-		{
-			QL_REQUIRE(fabs(baseFixing_)>1e-16,"|baseFixing|<1e-16, future divide-by-zero error");
-			if(interpolation_ != iiINDEX){
-				QL_REQUIRE(frequency_ != QuantLib::NoFrequency,"non-index interpolation w/o frequency");
-			}
-				
-			indexInterpolationType hi;
-			hi = iiINDEX;
-		}
-		
-		//! value used for index on base date - does not have to agree with index on that date
-		virtual Real baseFixing() const;
-		//! you may not have a valid date
-		virtual Date baseDate() const;
-		
-		//! do you want linear/constant/as-index interpolation of future data?  
-		virtual indexInterpolationType interpolation() const { return interpolation_; }
-		virtual Frequency frequency() const { return frequency_; }
-        
-		//! redefine to use baseFixing() and interpolation
-		virtual Real amount() const;
-		
-	protected:
-		Real baseFixing_;
-		indexInterpolationType interpolation_;
-		Frequency frequency_;
-	};
-
-}
-
-
-
-
-
-
-
-#endif
diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
index 9a16ef9bd9..c0041395c1 100755
--- a/ql/cashflows/cpicoupon.cpp
+++ b/ql/cashflows/cpicoupon.cpp
@@ -25,14 +25,13 @@
 
 #include <ql/cashflows/cpicoupon.hpp>
 #include <ql/cashflows/cpicouponpricer.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 
 
 namespace QuantLib {
     
 	CPICoupon::
     CPICoupon(
-			  const Real baseCPI,	// user provided
+			  Real baseCPI,	// user provided
 			  const Date& paymentDate,
 			  Real nominal,
 			  const Date& startDate,
@@ -40,7 +39,7 @@ namespace QuantLib {
 			  Natural fixingDays,
 			  const boost::shared_ptr<ZeroInflationIndex>& zeroIndex,
 			  const Period& observationLag,
-			  indexInterpolationType observationInterpolation,
+			  CPI::InterpolationType observationInterpolation,
 			  const DayCounter& dayCounter,
 			  Real fixedRate, // aka gearing
 			  Spread spread,
@@ -79,14 +78,14 @@ namespace QuantLib {
 		
 		Rate I1;
 		// what interpolation do we use? Index / flat / linear
-		if (observationInterpolation() == iiINDEX ) {
+		if (observationInterpolation() == CPI::AsIndex) {
 			I1 = cpiIndex()->fixing(d); 
 			
 		} else {
 			// work out what it should be
 			std::pair<Date,Date> dd = inflationPeriod(d, cpiIndex()->frequency());
 			Real indexStart = cpiIndex()->fixing(dd.first);
-			if (observationInterpolation() == iiLINEAR) {
+			if (observationInterpolation() == CPI::Linear) {
 				Real indexEnd = cpiIndex()->fixing(dd.second+Period(1,Days));
 				// linear interpolation 
 				I1 = indexStart + (indexEnd - indexStart) * (d - dd.first) 
@@ -99,6 +98,53 @@ namespace QuantLib {
 		}
 		return I1;
 	}
+
+
+
+	
+	Date CPICashFlow::baseDate() const {
+		// you may not have a valid date
+		exit(-1);
+	}
+	
+	Real CPICashFlow::baseFixing() const {
+		return baseFixing_;
+	}
+	
+	Real CPICashFlow::amount() const {
+        Real I0 = baseFixing();
+        Real I1;
+		
+		// what interpolation do we use? Index / flat / linear
+		if (interpolation() == CPI::AsIndex ) {
+			I1 = index()->fixing(fixingDate()); 
+		} else {
+			// work out what it should be
+			//std::cout << fixingDate() << " and " << frequency() << std::endl;
+			//std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+			//std::cout << fixingDate() << " and " << dd.first << " " << dd.second << std::endl;
+			// work out what it should be
+			std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+			Real indexStart = index()->fixing(dd.first);
+			if (interpolation() == CPI::Linear) {
+				Real indexEnd = index()->fixing(dd.second+Period(1,Days));
+				// linear interpolation 
+				//std::cout << indexStart << " and " << indexEnd << std::endl;
+				I1 = indexStart + (indexEnd - indexStart) * (fixingDate() - dd.first) 
+				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
+			} else {
+				// no interpolation, i.e. flat = constant, so use start-of-period value
+				I1 = indexStart;
+			}
+			
+		}
+		
+		
+        if (growthOnly())
+            return notional() * (I1 / I0 - 1.0);
+        else
+            return notional() * (I1 / I0);
+    }
 	
 	
 	CPILeg::CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
@@ -108,13 +154,13 @@ namespace QuantLib {
 	paymentDayCounter_(Thirty360()),
 	paymentAdjustment_(ModifiedFollowing),
 	fixingDays_(std::vector<Natural>(1,0)),
-	observationInterpolation_(iiINDEX),
+	observationInterpolation_(CPI::AsIndex),
 	subtractInflationNominal_(true),
 	spreads_(std::vector<Real>(1,0))
 	{}
 	
 	
-	CPILeg& CPILeg::withObservationInterplation(indexInterpolationType interp) {
+	CPILeg& CPILeg::withObservationInterpolation(CPI::InterpolationType interp) {
         observationInterpolation_ = interp;
         return *this;
     }
@@ -262,7 +308,7 @@ namespace QuantLib {
 		// in CPI legs you always have a notional flow of some sort
 		Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
 		Date fixingDate = paymentDate - observationLag_;
-		boost::shared_ptr<CashFlow> xnl(new BaseIndexedCashFlow
+		boost::shared_ptr<CashFlow> xnl(new CPICashFlow
 						  (detail::get(notionals_, n, 0.0), index_,
 						   Date(), // is fake, i.e. you do not have one
 						   baseCPI_, fixingDate, paymentDate,
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index 455f6f8e54..0cbdb380bf 100755
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -18,52 +18,65 @@
  */
 
 /*! \file cpicoupon.hpp
- \brief Coupon paying a zero inflation index
- */
+    \brief Coupon paying a zero-inflation index
+*/
 
 #ifndef quantlib_cpicoupon_hpp
 #define quantlib_cpicoupon_hpp
 
 #include <ql/cashflows/inflationcoupon.hpp>
+#include <ql/cashflows/indexedcashflow.hpp>
 #include <ql/indexes/inflationindex.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 #include <ql/time/schedule.hpp>
 
-
 namespace QuantLib {
-	
+
+    struct CPI {
+        //! when you observe an index, how do you interpolate between fixings?
+        enum InterpolationType {
+            AsIndex,   //!< same interpolation as index
+            Flat,      //!< flat from previous fixing
+            Linear     //!< linearly between bracketing fixings
+        };
+    };
+    
+
     class CPICouponPricer;
 
-    //! %Coupon paying a cpi aka zero-inflation type index relative to an index value on the baseDate
-	//! This is more sophisticated than an %IndexedCashFlow because it does date calculations
-	//! itself.  
-	//!
-	//! \todo N.B. we do not do any convexity adjustment for lags different to the natural ZCIIS
-	//! lag that was used to create the forward inflation curve.
-	//!
-	//! The other inflation value is taken from the refPeriodEnd date with observation lag,
-	//! so any roll/callendar etc will be built in by the caller.  By default this is done
-	//! in the InflationCoupon which uses ModifiedPreceeding with fixing days assumed positive
-	//! meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).
+    //! %Coupon paying the performance of a CPI (zero inflation) index
+    /*! The performance is relative to the index value on the base date.
+
+        The other inflation value is taken from the refPeriodEnd date
+        with observation lag, so any roll/calendar etc. will be built
+        in by the caller.  By default this is done in the
+        InflationCoupon which uses ModifiedPreceding with fixing days
+        assumed positive meaning earlier, i.e. always stay in same
+        month (relative to referencePeriodEnd).
+
+        This is more sophisticated than an %IndexedCashFlow because it
+        does date calculations itself.
+
+        \todo we do not do any convexity adjustment for lags different
+              to the natural ZCIIS lag that was used to create the
+              forward inflation curve.
+    */
     class CPICoupon : public InflationCoupon {
-    public:
-		CPICoupon(const Real baseCPI,	// user provided, could be arbitrary
-							const Date& paymentDate,
-							Real nominal,
-							const Date& startDate,
-							const Date& endDate,
-							Natural fixingDays,
-							const boost::shared_ptr<ZeroInflationIndex>& index,
-							const Period& observationLag,
-							indexInterpolationType observationInterpolation,
-							const DayCounter& dayCounter,
-							Real fixedRate, // aka gearing
-							Spread spread = 0.0,
-							const Date& refPeriodStart = Date(),
-							const Date& refPeriodEnd = Date()
-							);
-		
-		
+      public:
+        CPICoupon(Real baseCPI, // user provided, could be arbitrary
+                  const Date& paymentDate,
+                  Real nominal,
+                  const Date& startDate,
+                  const Date& endDate,
+                  Natural fixingDays,
+                  const boost::shared_ptr<ZeroInflationIndex>& index,
+                  const Period& observationLag,
+                  CPI::InterpolationType observationInterpolation,
+                  const DayCounter& dayCounter,
+                  Real fixedRate, // aka gearing
+                  Spread spread = 0.0,
+                  const Date& refPeriodStart = Date(),
+                  const Date& refPeriodEnd = Date());
+        
         //! \name Inspectors
         //@{
         //! fixed rate that will be inflated by the index ratio
@@ -71,85 +84,112 @@ namespace QuantLib {
         //! spread paid over the fixing of the underlying index
         Spread spread() const;
 
-		//! adjusted fixing has already divided by the baseFixing() from the baseDate
+        //! adjusted fixing (already divided by the base fixing)
         Rate adjustedFixing() const;
-		//! you may want a different interpolation from the index, so reimplement here
-		Rate indexFixing() const;
-		//! \warning make sure that the interpolation used to create this is what you 
-		//! are using for the fixing, i.e. the observationInterpolation.
-		Rate baseCPI() const;
-		//! how do you observe the index?  as-is, flat, linear?
-		indexInterpolationType observationInterpolation() const;
-		//! utility method, calls indexFixing
-		Rate indexObservation(const Date& onDate) const;
-		//! index used (cannot be a reference type because uses a dynamic_pointer_cast)
+        //! allows for a different interpolation from the index
+        Rate indexFixing() const;
+        //! base value for the CPI index
+        /*! \warning make sure that the interpolation used to create
+                     this is what you are using for the fixing,
+                     i.e. the observationInterpolation.
+        */
+        Rate baseCPI() const;
+        //! how do you observe the index?  as-is, flat, linear?
+        CPI::InterpolationType observationInterpolation() const;
+        //! utility method, calls indexFixing
+        Rate indexObservation(const Date& onDate) const;
+        //! index used
         boost::shared_ptr<ZeroInflationIndex> cpiIndex() const;
         //@}
-		
+        
         //! \name Visitability
         //@{
         virtual void accept(AcyclicVisitor&);
         //@}
-		
-    protected:
-		Real baseCPI_;
+      protected:
+        Real baseCPI_;
         Real fixedRate_;
         Spread spread_;
-        indexInterpolationType observationInterpolation_;
+        CPI::InterpolationType observationInterpolation_;
         
-		bool checkPricerImpl(const boost::shared_ptr<InflationCouponPricer>&) const;
-		
-		//! use to calculate for fixing date, allows change of interpolation w.r.t. index
-		//! can also be used ahead of time
-		Rate indexFixing(const Date &) const;
+        bool checkPricerImpl(
+                       const boost::shared_ptr<InflationCouponPricer>&) const;
+        // use to calculate for fixing date, allows change of
+        // interpolation w.r.t. index.  Can also be used ahead of time
+        Rate indexFixing(const Date &) const;
     };
 
 	
-	inline Real CPICoupon::fixedRate() const 
-	{ return fixedRate_; }
-	
-	inline Real CPICoupon::spread() const 
-	{ return spread_; }
-	
-    inline Rate CPICoupon::adjustedFixing() const 
-	{ return (rate()-spread())/fixedRate(); }
-
-	inline Rate CPICoupon::indexFixing() const 
-	{ return indexFixing(fixingDate()); }
-	
-	inline Rate CPICoupon::baseCPI() const
-	{ return baseCPI_; }
-	
-	inline indexInterpolationType CPICoupon::observationInterpolation() const 
-	{ return observationInterpolation_; }
-	
-	inline Rate CPICoupon::indexObservation(const Date& onDate) const 
-	{ return indexFixing(onDate); }
-	
-    inline boost::shared_ptr<ZeroInflationIndex> CPICoupon::cpiIndex() const 
-	{ return boost::dynamic_pointer_cast<ZeroInflationIndex>(index()); }
-	
-	
-	
-    //! Helper class building a sequence of capped/floored zero inflation coupons
-	//! also allowing for the inflated notional at the end ... especially if there is 
-	//! only one date in the schedule.  If a fixedRate is zero you get a FixedRateCoupon
-	//! otherwise you get a ZeroInflationCoupon.
-    //! payoff is: spread + fixedRate x index
+    //! Cash flow paying the performance of a CPI (zero inflation) index
+    /*! It is NOT a coupon, i.e. no accruals. */
+    class CPICashFlow : public IndexedCashFlow {
+      public:
+        CPICashFlow(Real notional,
+                    const boost::shared_ptr<ZeroInflationIndex>& index,
+                    const Date& baseDate,
+                    Real baseFixing, 
+                    const Date& fixingDate,
+                    const Date& paymentDate,
+                    bool growthOnly = false,
+                    CPI::InterpolationType interpolation = CPI::AsIndex, 
+                    const Frequency& frequency = QuantLib::NoFrequency)
+        : IndexedCashFlow(notional, index, baseDate, fixingDate,
+                          paymentDate, growthOnly),
+		  baseFixing_(baseFixing), interpolation_(interpolation),
+          frequency_(frequency) {
+			QL_REQUIRE(fabs(baseFixing_)>1e-16,
+                       "|baseFixing|<1e-16, future divide-by-zero error");
+			if (interpolation_ != CPI::AsIndex) {
+				QL_REQUIRE(frequency_ != QuantLib::NoFrequency,
+                           "non-index interpolation w/o frequency");
+			}
+		}
+		
+		//! value used on base date
+        /*! This does not have to agree with index on that date. */
+		virtual Real baseFixing() const;
+		//! you may not have a valid date
+		virtual Date baseDate() const;
+		
+		//! do you want linear/constant/as-index interpolation of future data?  
+		virtual CPI::InterpolationType interpolation() const {
+            return interpolation_;
+        }
+		virtual Frequency frequency() const { return frequency_; }
+        
+		//! redefined to use baseFixing() and interpolation
+		virtual Real amount() const;
+      protected:
+		Real baseFixing_;
+        CPI::InterpolationType interpolation_;
+		Frequency frequency_;
+	};
+
+    
+    //! Helper class building a sequence of capped/floored CPI coupons.
+    /*! Also allowing for the inflated notional at the end...
+        especially if there is only one date in the schedule.
+        If a fixedRate is zero you get a FixedRateCoupon, otherwise
+        you get a ZeroInflationCoupon.
+
+        payoff is: spread + fixedRate x index
+    */
     class CPILeg {
-    public:
-		CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
-			   const Real baseCPI, const Period& observationLag);
+      public:
+        CPILeg(const Schedule& schedule,
+               const boost::shared_ptr<ZeroInflationIndex>& index,
+               const Real baseCPI,
+               const Period& observationLag);
         CPILeg& withNotionals(Real notional);
         CPILeg& withNotionals(const std::vector<Real>& notionals);
-		CPILeg& withFixedRates(Real fixedRate);
-		CPILeg& withFixedRates(const std::vector<Real>& fixedRates);
+        CPILeg& withFixedRates(Real fixedRate);
+        CPILeg& withFixedRates(const std::vector<Real>& fixedRates);
         CPILeg& withPaymentDayCounter(const DayCounter&);
         CPILeg& withPaymentAdjustment(BusinessDayConvention);
-		CPILeg& withFixingDays(Natural fixingDays);
-		CPILeg& withFixingDays(const std::vector<Natural>& fixingDays);
-		CPILeg& withObservationInterplation(indexInterpolationType);
-		CPILeg& withSubtractInflationNominal(bool);
+        CPILeg& withFixingDays(Natural fixingDays);
+        CPILeg& withFixingDays(const std::vector<Natural>& fixingDays);
+        CPILeg& withObservationInterpolation(CPI::InterpolationType);
+        CPILeg& withSubtractInflationNominal(bool);
         CPILeg& withSpreads(Spread spread);
         CPILeg& withSpreads(const std::vector<Spread>& spreads);
         CPILeg& withCaps(Rate cap);
@@ -158,25 +198,57 @@ namespace QuantLib {
         CPILeg& withFloors(const std::vector<Rate>& floors);
         operator Leg() const;
 
-    private:
-		Schedule schedule_;
-		boost::shared_ptr<ZeroInflationIndex> index_;
-		Real baseCPI_;
+      private:
+        Schedule schedule_;
+        boost::shared_ptr<ZeroInflationIndex> index_;
+        Real baseCPI_;
         Period observationLag_;
-		std::vector<Real> notionals_;
-		std::vector<Real> fixedRates_;	// aka gearing
-		DayCounter paymentDayCounter_;
+        std::vector<Real> notionals_;
+        std::vector<Real> fixedRates_;  // aka gearing
+        DayCounter paymentDayCounter_;
         BusinessDayConvention paymentAdjustment_;
-		std::vector<Natural> fixingDays_;
-		indexInterpolationType observationInterpolation_;
-		bool subtractInflationNominal_;
+        std::vector<Natural> fixingDays_;
+        CPI::InterpolationType observationInterpolation_;
+        bool subtractInflationNominal_;
         std::vector<Spread> spreads_;
         std::vector<Rate> caps_, floors_;
     };
 
 
+    // inline definitions
+    
+    inline Real CPICoupon::fixedRate() const {
+        return fixedRate_;
+    }
+    
+    inline Real CPICoupon::spread() const {
+        return spread_;
+    }
+    
+    inline Rate CPICoupon::adjustedFixing() const {
+        return (rate()-spread())/fixedRate();
+    }
+
+    inline Rate CPICoupon::indexFixing() const {
+        return indexFixing(fixingDate());
+    }
+    
+    inline Rate CPICoupon::baseCPI() const {
+        return baseCPI_;
+    }
+    
+    inline CPI::InterpolationType CPICoupon::observationInterpolation() const {
+        return observationInterpolation_;
+    }
+    
+    inline Rate CPICoupon::indexObservation(const Date& onDate) const {
+        return indexFixing(onDate);
+    }
+    
+    inline boost::shared_ptr<ZeroInflationIndex> CPICoupon::cpiIndex() const {
+        return boost::dynamic_pointer_cast<ZeroInflationIndex>(index());
+    }
 
 }
 
 #endif
-
diff --git a/ql/experimental/inflation/cpicapfloorengines.cpp b/ql/experimental/inflation/cpicapfloorengines.cpp
index 359a772010..ee1041366f 100755
--- a/ql/experimental/inflation/cpicapfloorengines.cpp
+++ b/ql/experimental/inflation/cpicapfloorengines.cpp
@@ -61,7 +61,7 @@ namespace QuantLib {
 		
 		
 		// what interpolation do we use? Index / flat / linear
-		if (arguments_.observationInterpolation == iiINDEX ) {
+		if (arguments_.observationInterpolation == CPI::AsIndex) {
 			// same as index means we can just use the price surface
 			// since this uses the index
 			if (arguments_.type == Option::Call) {
@@ -82,7 +82,7 @@ namespace QuantLib {
 			}
 			
 			// if we use a flat index vs the interpolated one ...
-			if (arguments_.observationInterpolation == iiFLAT) {
+			if (arguments_.observationInterpolation == CPI::Flat) {
 				// then use the price for the first day in the period because the value cannot change after then
 				npv = priceStart;
 				
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
index 3bfebfde4f..4a7295393f 100755
--- a/ql/instruments/bonds/cpibond.cpp
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -29,7 +29,6 @@
 
 #include <ql/instruments/bonds/cpibond.hpp>
 #include <ql/cashflows/cpicoupon.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 
 
 namespace QuantLib {
@@ -40,7 +39,7 @@ namespace QuantLib {
 					 Real baseCPI,
 					 const Period& observationLag,
 					 const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
-					 indexInterpolationType observationInterpolation,
+					 CPI::InterpolationType observationInterpolation,
 					 const Schedule& schedule,
 					 const std::vector<Rate>& fixedRate,
 					 const DayCounter& accrualDayCounter,
@@ -65,7 +64,7 @@ namespace QuantLib {
 		.withFixedRates(fixedRate)
 		.withPaymentDayCounter(accrualDayCounter)
 		.withPaymentAdjustment(paymentConvention)
-		.withObservationInterplation(observationInterpolation_)
+		.withObservationInterpolation(observationInterpolation_)
 		.withSubtractInflationNominal(growthOnly_);
 		
 		registerWith(cpiIndex_);
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
index 2540cf3c07..582b28321b 100755
--- a/ql/instruments/bonds/cpibond.hpp
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -29,8 +29,7 @@
 #include <ql/time/dategenerationrule.hpp>
 #include <ql/time/daycounter.hpp>
 #include <ql/interestrate.hpp>
-
-#include <ql/cashflows/baseindexedcashflow.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
 	
@@ -49,7 +48,7 @@ namespace QuantLib {
 				Real baseCPI,
 				const Period& observationLag,
 				const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
-				indexInterpolationType observationInterpolation,
+				CPI::InterpolationType observationInterpolation,
                 const Schedule& schedule,
                 const std::vector<Rate>& coupons,
                 const DayCounter& accrualDayCounter,
@@ -62,7 +61,7 @@ namespace QuantLib {
 		Real baseCPI() const { return baseCPI_; }
 		Period observationLag() const { return observationLag_; }
 		const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
-		indexInterpolationType observationInterpolation() const { return observationInterpolation_; }
+        CPI::InterpolationType observationInterpolation() const { return observationInterpolation_; }
 		
 		// other
         virtual ~CPIbond() {}
@@ -74,7 +73,7 @@ namespace QuantLib {
 		Real baseCPI_;
 		Period observationLag_;
 		boost::shared_ptr<ZeroInflationIndex> cpiIndex_;
-		indexInterpolationType observationInterpolation_;
+        CPI::InterpolationType observationInterpolation_;
     };
 	
 	
diff --git a/ql/instruments/cpicapfloor.cpp b/ql/instruments/cpicapfloor.cpp
index 2ac6710e4d..bec7bb27dc 100755
--- a/ql/instruments/cpicapfloor.cpp
+++ b/ql/instruments/cpicapfloor.cpp
@@ -29,7 +29,6 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 
 #include <ql/instruments/cpicapfloor.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 
 
 namespace QuantLib {
@@ -46,7 +45,7 @@ namespace QuantLib {
 				Rate strike,
 				const Handle<ZeroInflationIndex> &infIndex,
 				const Period& observationLag,
-				indexInterpolationType observationInterpolation)
+                             CPI::InterpolationType observationInterpolation)
 	: type_(type), startDate_(startDate), baseCPI_(baseCPI),
 	maturity_(maturity), fixCalendar_(fixCalendar), fixConvention_(fixConvention),
 	payCalendar_(payCalendar), payConvention_(payConvention),
@@ -56,16 +55,16 @@ namespace QuantLib {
 		QL_REQUIRE(fixCalendar_ != Calendar(),"CPICapFloor: fixing calendar may not be null.");
 		QL_REQUIRE(payCalendar_ != Calendar(),"CPICapFloor: payment calendar may not be null.");
 	
-		if (observationInterpolation_ == iiFLAT  || 
-			(observationInterpolation_ ==iiINDEX && !infIndex_->interpolated())
+		if (observationInterpolation_ == CPI::Flat  || 
+			(observationInterpolation_ == CPI::AsIndex && !infIndex_->interpolated())
 			) {
 			QL_REQUIRE(observationLag_ >= infIndex_->availabilityLag(),
 					   "CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
 					   <<"when the observation is effectively flat"
 					   << observationLag_ << " vs " << infIndex_->availabilityLag());
 		}
-		if (observationInterpolation_ == iiLINEAR ||
-			(observationInterpolation_ ==iiINDEX && infIndex_->interpolated())
+		if (observationInterpolation_ == CPI::Linear ||
+			(observationInterpolation_ == CPI::AsIndex && infIndex_->interpolated())
 			) {
 			QL_REQUIRE(observationLag_ > infIndex_->availabilityLag(),
 					   "CPIcapfloor's observationLag must be greater then availabilityLag of inflation index: "
diff --git a/ql/instruments/cpicapfloor.hpp b/ql/instruments/cpicapfloor.hpp
index 2dcc2c2350..124ad86c9c 100755
--- a/ql/instruments/cpicapfloor.hpp
+++ b/ql/instruments/cpicapfloor.hpp
@@ -30,8 +30,7 @@
 #include <ql/time/calendar.hpp>
 #include <ql/time/daycounter.hpp>
 #include <ql/indexes/inflationindex.hpp>
-
-#include <ql/cashflows/baseindexedcashflow.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
 	
@@ -77,7 +76,7 @@ namespace QuantLib {
 					Rate strike,
 					const Handle<ZeroInflationIndex> &infIndex,
 					const Period& observationLag,
-					indexInterpolationType observationInterpolation = iiINDEX);
+					CPI::InterpolationType observationInterpolation = CPI::AsIndex);
 		
         //! \name Inspectors
         //@{
@@ -111,7 +110,7 @@ namespace QuantLib {
         Rate strike_;
         Handle<ZeroInflationIndex> infIndex_;
         Period observationLag_;
-		indexInterpolationType observationInterpolation_;
+        CPI::InterpolationType observationInterpolation_;
     };
 	
 	
@@ -127,7 +126,7 @@ namespace QuantLib {
         Rate strike;
         Handle<ZeroInflationIndex> infIndex;
         Period observationLag;
-		indexInterpolationType observationInterpolation;
+        CPI::InterpolationType observationInterpolation;
 		
         void validate() const;
     };
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
index c747eef534..bc02c26ee8 100755
--- a/ql/instruments/cpiswap.cpp
+++ b/ql/instruments/cpiswap.cpp
@@ -30,7 +30,6 @@
 
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/cashflows/cpicoupon.hpp>
-#include <ql/cashflows/baseindexedcashflow.hpp>
 
 #include<iostream>
 
@@ -56,7 +55,7 @@ namespace QuantLib {
 			const BusinessDayConvention& fixedPaymentRoll,
 			const Period& observationLag,
 			const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
-			indexInterpolationType observationInterpolation,
+			CPI::InterpolationType observationInterpolation,
 			Real inflationNominal
 			)
     : Swap(2), type_(type), nominal_(nominal), subtractInflationNominal_(subtractInflationNominal),
@@ -109,7 +108,7 @@ namespace QuantLib {
 		.withFixedRates(fixedRate_)
 		.withPaymentDayCounter(fixedDayCount_)
 		.withPaymentAdjustment(fixedPaymentRoll_)
-		.withObservationInterplation(observationInterpolation_)
+		.withObservationInterpolation(observationInterpolation_)
 		.withSubtractInflationNominal(subtractInflationNominal_);
 				 
 							 
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
index 3cd9536a07..03775af981 100755
--- a/ql/instruments/cpiswap.hpp
+++ b/ql/instruments/cpiswap.hpp
@@ -30,8 +30,7 @@
 #include <ql/time/daycounter.hpp>
 #include <ql/time/schedule.hpp>
 #include <ql/indexes/iborindex.hpp>
-
-#include <ql/cashflows/baseindexedcashflow.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
 	
@@ -84,7 +83,7 @@ namespace QuantLib {
 				const BusinessDayConvention& fixedRoll,
 				const Period& observationLag,
 				const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
-				indexInterpolationType observationInterpolation = iiINDEX,
+				CPI::InterpolationType observationInterpolation = CPI::AsIndex,
 				Real inflationNominal = Null<Real>()
 				);
 		
@@ -117,7 +116,7 @@ namespace QuantLib {
         virtual const BusinessDayConvention& fixedPaymentRoll() const;
 		virtual Period observationLag() const;
         virtual const boost::shared_ptr<ZeroInflationIndex>& fixedIndex() const;
-		virtual indexInterpolationType observationInterpolation() const;
+		virtual CPI::InterpolationType observationInterpolation() const;
 		virtual Real inflationNominal() const;
 		
 		// legs
@@ -152,7 +151,7 @@ namespace QuantLib {
 		BusinessDayConvention fixedPaymentRoll_; 
 		boost::shared_ptr<ZeroInflationIndex> fixedIndex_;
 		Period observationLag_;
-		indexInterpolationType observationInterpolation_;
+        CPI::InterpolationType observationInterpolation_;
 		Real inflationNominal_;
         // results
         mutable Spread fairSpread_;
@@ -207,7 +206,7 @@ namespace QuantLib {
 	inline const BusinessDayConvention& CPIswap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
 	inline Period CPIswap::observationLag() const { return observationLag_; }
 	inline const boost::shared_ptr<ZeroInflationIndex>& CPIswap::fixedIndex() const { return fixedIndex_; }
-	inline indexInterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
+	inline CPI::InterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
 	inline Real CPIswap::inflationNominal() const { return inflationNominal_; }
 	
     inline const Leg& CPIswap::cpiLeg() const {//inflation indexed
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
index 3216b438cf..d772876d42 100755
--- a/test-suite/inflationcpicapfloor.cpp
+++ b/test-suite/inflationcpicapfloor.cpp
@@ -101,7 +101,7 @@ namespace {
         Natural settlementDays;
         Date settlement;
         Period observationLag, contractObservationLag;
-		indexInterpolationType contractObservationInterpolation;
+        CPI::InterpolationType contractObservationInterpolation;
         DayCounter dcZCIIS,dcNominal;
 		std::vector<Date> zciisD;
 		std::vector<Rate> zciisR;
@@ -226,7 +226,7 @@ namespace {
             // now build the zero inflation curve
             observationLag = Period(2,Months);
 			contractObservationLag = Period(3,Months);
-			contractObservationInterpolation = iiFLAT;
+			contractObservationInterpolation = CPI::Flat;
 			
             Datum zciisData[] = {
                 { Date(1, June, 2011), 3.087 },
@@ -419,7 +419,7 @@ void InflationCPICapFloorTest::cpicapfloorpricer() {
 	BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
 	Rate strike(0.03);
 	Real baseCPI = common.hii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
-	indexInterpolationType observationInterpolation = iiINDEX;
+    CPI::InterpolationType observationInterpolation = CPI::AsIndex;
 	CPICapFloor aCap(Option::Call,
 					 nominal,
 					 startDate,   // start date of contract (only)
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 1ef5804cd7..c8bef94616 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -74,7 +74,7 @@ namespace {
         Natural settlementDays;
         Date settlement;
         Period observationLag, contractObservationLag;
-		indexInterpolationType contractObservationInterpolation;
+        CPI::InterpolationType contractObservationInterpolation;
         DayCounter dcZCIIS,dcNominal;
 		std::vector<Date> zciisD;
 		std::vector<Rate> zciisR;
@@ -186,7 +186,7 @@ namespace {
             // now build the zero inflation curve
             observationLag = Period(2,Months);
 			contractObservationLag = Period(3,Months);
-			contractObservationInterpolation = iiFLAT;
+			contractObservationInterpolation = CPI::Flat;
 			
             Datum zciisData[] = {
                 { Date(25, November, 2010), 3.0495 },
@@ -272,7 +272,7 @@ void CPISwapTest::consistency() {
 	Calendar fixedPaymentCalendar = UnitedKingdom();
 	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
 	Period contractObservationLag = common.contractObservationLag;
-	indexInterpolationType observationInterpolation = common.contractObservationInterpolation;
+    CPI::InterpolationType observationInterpolation = common.contractObservationInterpolation;
 	
 	// set the schedules
 	Date startDate(2, October, 2007);
@@ -395,7 +395,7 @@ void CPISwapTest::zciisconsistency() {
 	CPIswap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
 			   paymentConvention, fixingDays, dummyFloatIndex, 
 			   dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
-			   common.ii, iiINDEX, inflationNominal);
+			   common.ii, CPI::AsIndex, inflationNominal);
 	
 	cS.setPricingEngine(dse);
 	QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPIswap as ZCIIS does not reprice to zero");
@@ -430,7 +430,7 @@ void CPISwapTest::cpibondconsistency() {
 	Calendar fixedPaymentCalendar = UnitedKingdom();
 	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
 	Period contractObservationLag = common.contractObservationLag;
-	indexInterpolationType observationInterpolation = common.contractObservationInterpolation;
+    CPI::InterpolationType observationInterpolation = common.contractObservationInterpolation;
 	
 	// set the schedules
 	Date startDate(2, October, 2007);

From 80a939fb1a0424f085b5e2ccdd48883a244b279e Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:10:18 +0000
Subject: [PATCH 333/410] Hard tab/whitespace cleanup.

This was put in a separate commit to avoid confusing diffs.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18056 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cpicoupon.cpp                    | 390 +++++-----
 ql/cashflows/cpicoupon.hpp                    |  72 +-
 .../inflation/cpicapfloorengines.cpp          | 156 ++--
 .../inflation/cpicapfloorengines.hpp          |  54 +-
 ql/instruments/bonds/cpibond.cpp              |  74 +-
 ql/instruments/bonds/cpibond.hpp              |  64 +-
 ql/instruments/cpicapfloor.cpp                | 194 ++---
 ql/instruments/cpicapfloor.hpp                | 146 ++--
 ql/instruments/cpiswap.cpp                    | 220 +++---
 ql/instruments/cpiswap.hpp                    | 266 +++----
 test-suite/inflationcpicapfloor.cpp           | 596 +++++++--------
 test-suite/inflationcpiswap.cpp               | 722 +++++++++---------
 12 files changed, 1477 insertions(+), 1477 deletions(-)

diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
index c0041395c1..8dc0e79cd6 100755
--- a/ql/cashflows/cpicoupon.cpp
+++ b/ql/cashflows/cpicoupon.cpp
@@ -28,34 +28,34 @@
 
 
 namespace QuantLib {
-    
-	CPICoupon::
+
+    CPICoupon::
     CPICoupon(
-			  Real baseCPI,	// user provided
-			  const Date& paymentDate,
-			  Real nominal,
-			  const Date& startDate,
-			  const Date& endDate,
-			  Natural fixingDays,
-			  const boost::shared_ptr<ZeroInflationIndex>& zeroIndex,
-			  const Period& observationLag,
-			  CPI::InterpolationType observationInterpolation,
-			  const DayCounter& dayCounter,
-			  Real fixedRate, // aka gearing
-			  Spread spread,
-			  const Date& refPeriodStart,
-			  const Date& refPeriodEnd)
+              Real baseCPI, // user provided
+              const Date& paymentDate,
+              Real nominal,
+              const Date& startDate,
+              const Date& endDate,
+              Natural fixingDays,
+              const boost::shared_ptr<ZeroInflationIndex>& zeroIndex,
+              const Period& observationLag,
+              CPI::InterpolationType observationInterpolation,
+              const DayCounter& dayCounter,
+              Real fixedRate, // aka gearing
+              Spread spread,
+              const Date& refPeriodStart,
+              const Date& refPeriodEnd)
     : InflationCoupon(paymentDate, nominal, startDate, endDate,
-					  fixingDays, zeroIndex, observationLag,
-					  dayCounter, refPeriodStart, refPeriodEnd),
-		baseCPI_(baseCPI), fixedRate_(fixedRate), spread_(spread), 
-		observationInterpolation_(observationInterpolation) {
-		
-			QL_REQUIRE(fabs(baseCPI_) > 1e-16,
-					   "|baseCPI_| < 1e-16, future divide-by-zero problem");
-		}
-
-	
+                      fixingDays, zeroIndex, observationLag,
+                      dayCounter, refPeriodStart, refPeriodEnd),
+        baseCPI_(baseCPI), fixedRate_(fixedRate), spread_(spread),
+        observationInterpolation_(observationInterpolation) {
+
+            QL_REQUIRE(fabs(baseCPI_) > 1e-16,
+                       "|baseCPI_| < 1e-16, future divide-by-zero problem");
+        }
+
+
     void CPICoupon::accept(AcyclicVisitor& v) {
         Visitor<CPICoupon>* v1 =
         dynamic_cast<Visitor<CPICoupon>*>(&v);
@@ -70,111 +70,111 @@ namespace QuantLib {
         const boost::shared_ptr<InflationCouponPricer>&pricer) const {
         return boost::dynamic_pointer_cast<CPICouponPricer>(pricer);
     }
-	
-	
-	Rate CPICoupon::indexFixing(const Date &d) const {
-		// you may want to modify the interpolation of the index
-		// this gives you the chance
-		
-		Rate I1;
-		// what interpolation do we use? Index / flat / linear
-		if (observationInterpolation() == CPI::AsIndex) {
-			I1 = cpiIndex()->fixing(d); 
-			
-		} else {
-			// work out what it should be
-			std::pair<Date,Date> dd = inflationPeriod(d, cpiIndex()->frequency());
-			Real indexStart = cpiIndex()->fixing(dd.first);
-			if (observationInterpolation() == CPI::Linear) {
-				Real indexEnd = cpiIndex()->fixing(dd.second+Period(1,Days));
-				// linear interpolation 
-				I1 = indexStart + (indexEnd - indexStart) * (d - dd.first) 
-				/ (Real)( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
-			} else {
-				// no interpolation, i.e. flat = constant, so use start-of-period value
-				I1 = indexStart;
-			}
-			
-		}
-		return I1;
-	}
-
-
-
-	
-	Date CPICashFlow::baseDate() const {
-		// you may not have a valid date
-		exit(-1);
-	}
-	
-	Real CPICashFlow::baseFixing() const {
-		return baseFixing_;
-	}
-	
-	Real CPICashFlow::amount() const {
+
+
+    Rate CPICoupon::indexFixing(const Date &d) const {
+        // you may want to modify the interpolation of the index
+        // this gives you the chance
+
+        Rate I1;
+        // what interpolation do we use? Index / flat / linear
+        if (observationInterpolation() == CPI::AsIndex) {
+            I1 = cpiIndex()->fixing(d);
+
+        } else {
+            // work out what it should be
+            std::pair<Date,Date> dd = inflationPeriod(d, cpiIndex()->frequency());
+            Real indexStart = cpiIndex()->fixing(dd.first);
+            if (observationInterpolation() == CPI::Linear) {
+                Real indexEnd = cpiIndex()->fixing(dd.second+Period(1,Days));
+                // linear interpolation
+                I1 = indexStart + (indexEnd - indexStart) * (d - dd.first)
+                / (Real)( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
+            } else {
+                // no interpolation, i.e. flat = constant, so use start-of-period value
+                I1 = indexStart;
+            }
+
+        }
+        return I1;
+    }
+
+
+
+
+    Date CPICashFlow::baseDate() const {
+        // you may not have a valid date
+        exit(-1);
+    }
+
+    Real CPICashFlow::baseFixing() const {
+        return baseFixing_;
+    }
+
+    Real CPICashFlow::amount() const {
         Real I0 = baseFixing();
         Real I1;
-		
-		// what interpolation do we use? Index / flat / linear
-		if (interpolation() == CPI::AsIndex ) {
-			I1 = index()->fixing(fixingDate()); 
-		} else {
-			// work out what it should be
-			//std::cout << fixingDate() << " and " << frequency() << std::endl;
-			//std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
-			//std::cout << fixingDate() << " and " << dd.first << " " << dd.second << std::endl;
-			// work out what it should be
-			std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
-			Real indexStart = index()->fixing(dd.first);
-			if (interpolation() == CPI::Linear) {
-				Real indexEnd = index()->fixing(dd.second+Period(1,Days));
-				// linear interpolation 
-				//std::cout << indexStart << " and " << indexEnd << std::endl;
-				I1 = indexStart + (indexEnd - indexStart) * (fixingDate() - dd.first) 
-				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
-			} else {
-				// no interpolation, i.e. flat = constant, so use start-of-period value
-				I1 = indexStart;
-			}
-			
-		}
-		
-		
+
+        // what interpolation do we use? Index / flat / linear
+        if (interpolation() == CPI::AsIndex ) {
+            I1 = index()->fixing(fixingDate());
+        } else {
+            // work out what it should be
+            //std::cout << fixingDate() << " and " << frequency() << std::endl;
+            //std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+            //std::cout << fixingDate() << " and " << dd.first << " " << dd.second << std::endl;
+            // work out what it should be
+            std::pair<Date,Date> dd = inflationPeriod(fixingDate(), frequency());
+            Real indexStart = index()->fixing(dd.first);
+            if (interpolation() == CPI::Linear) {
+                Real indexEnd = index()->fixing(dd.second+Period(1,Days));
+                // linear interpolation
+                //std::cout << indexStart << " and " << indexEnd << std::endl;
+                I1 = indexStart + (indexEnd - indexStart) * (fixingDate() - dd.first)
+                / ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period's value within current period
+            } else {
+                // no interpolation, i.e. flat = constant, so use start-of-period value
+                I1 = indexStart;
+            }
+
+        }
+
+
         if (growthOnly())
             return notional() * (I1 / I0 - 1.0);
         else
             return notional() * (I1 / I0);
     }
-	
-	
-	CPILeg::CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
-			 	   const Real baseCPI, const Period& observationLag) : 
-	schedule_(schedule), index_(index),
-	baseCPI_(baseCPI), observationLag_(observationLag),
-	paymentDayCounter_(Thirty360()),
-	paymentAdjustment_(ModifiedFollowing),
-	fixingDays_(std::vector<Natural>(1,0)),
-	observationInterpolation_(CPI::AsIndex),
-	subtractInflationNominal_(true),
-	spreads_(std::vector<Real>(1,0))
-	{}
-	
-	
-	CPILeg& CPILeg::withObservationInterpolation(CPI::InterpolationType interp) {
+
+
+    CPILeg::CPILeg(const Schedule& schedule, const boost::shared_ptr<ZeroInflationIndex>& index,
+                   const Real baseCPI, const Period& observationLag) :
+    schedule_(schedule), index_(index),
+    baseCPI_(baseCPI), observationLag_(observationLag),
+    paymentDayCounter_(Thirty360()),
+    paymentAdjustment_(ModifiedFollowing),
+    fixingDays_(std::vector<Natural>(1,0)),
+    observationInterpolation_(CPI::AsIndex),
+    subtractInflationNominal_(true),
+    spreads_(std::vector<Real>(1,0))
+    {}
+
+
+    CPILeg& CPILeg::withObservationInterpolation(CPI::InterpolationType interp) {
         observationInterpolation_ = interp;
         return *this;
     }
-	
-	
-	CPILeg& CPILeg::withFixedRates(Real fixedRate) {
+
+
+    CPILeg& CPILeg::withFixedRates(Real fixedRate) {
         fixedRates_ = std::vector<Real>(1,fixedRate);
         return *this;
     }
-	
+
     CPILeg& CPILeg::withFixedRates(const std::vector<Real>& fixedRates) {
-		fixedRates_ =	fixedRates;
-		return *this;
-	}
+        fixedRates_ =   fixedRates;
+        return *this;
+    }
 
     CPILeg& CPILeg::withNotionals(Real notional) {
         notionals_ = std::vector<Real>(1,notional);
@@ -186,11 +186,11 @@ namespace QuantLib {
         return *this;
     }
 
-	CPILeg& CPILeg::withSubtractInflationNominal(bool growthOnly) {
+    CPILeg& CPILeg::withSubtractInflationNominal(bool growthOnly) {
         subtractInflationNominal_ = growthOnly;
         return *this;
     }
-	
+
     CPILeg& CPILeg::withPaymentDayCounter(const DayCounter& dayCounter) {
         paymentDayCounter_ = dayCounter;
         return *this;
@@ -201,16 +201,16 @@ namespace QuantLib {
         return *this;
     }
 
-	CPILeg& CPILeg::withFixingDays(Natural fixingDays) {
+    CPILeg& CPILeg::withFixingDays(Natural fixingDays) {
         fixingDays_ = std::vector<Natural>(1,fixingDays);
         return *this;
     }
-	
+
     CPILeg& CPILeg::withFixingDays(const std::vector<Natural>& fixingDays) {
         fixingDays_ = fixingDays;
         return *this;
     }
-	
+
     CPILeg& CPILeg::withSpreads(Spread spread) {
         spreads_ = std::vector<Spread>(1,spread);
         return *this;
@@ -243,80 +243,80 @@ namespace QuantLib {
 
 
     CPILeg::operator Leg() const {
-		
-		QL_REQUIRE(!notionals_.empty(), "no notional given");
+
+        QL_REQUIRE(!notionals_.empty(), "no notional given");
         Size n = schedule_.size()-1;
-		Calendar calendar = schedule_.calendar();
-		Leg leg; 
-		leg.reserve(n+1);	// +1 for notional, we always have some sort ...
-		if (n>0) {
-			QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(), 
-					   "no fixedRates or spreads given");
-	
-			Date refStart, start, refEnd, end;
-			Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
-			
-			for (Size i=0; i<n; ++i) {
-				refStart = start = schedule_.date(i);
-				refEnd   =   end = schedule_.date(i+1);
-				Date paymentDate = calendar.adjust(end, paymentAdjustment_);
-				if (i==0   && !schedule_.isRegular(i+1)) {
-					BusinessDayConvention bdc = schedule_.businessDayConvention();
-					refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
-				}
-				if (i==n-1 && !schedule_.isRegular(i+1)) {
-					BusinessDayConvention bdc = schedule_.businessDayConvention();
-					refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
-				}
-				if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
-					leg.push_back(boost::shared_ptr<CashFlow>
-								  (new FixedRateCoupon
-								   (paymentDate, detail::get(notionals_, i, 0.0),
-									detail::effectiveFixedRate(spreads_,caps_,floors_,i),
-									paymentDayCounter_, start, end, refStart, refEnd)));
-				} else { // zero inflation coupon
-					if (detail::noOption(caps_, floors_, i)) { // just swaplet
-						boost::shared_ptr<CPICoupon> coup;
-						
-						coup = boost::shared_ptr<CPICoupon>
-							(new CPICoupon(baseCPI_,	// all have same base for ratio
-									 paymentDate,
-									 detail::get(notionals_, i, 0.0),
-									 start, end,
-									 detail::get(fixingDays_, i, 0.0),
-									 index_, observationLag_,
-									 observationInterpolation_,
-									 paymentDayCounter_,
-									 detail::get(fixedRates_, i, 0.0),
-									 detail::get(spreads_, i, 0.0),
-									 refStart, refEnd));
-						
-						// in this case you can set a pricer
-						// straight away because it only provides computation - not data
-						boost::shared_ptr<CPICouponPricer> pricer
-							(new CPICouponPricer);
-						coup->setPricer(pricer);
-						leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
-			
-					} else  {     // cap/floorlet        
-						QL_FAIL("caps/floors on CPI coupons not implemented.");
-					}
-				}
-			}
-		}
-		
-		// in CPI legs you always have a notional flow of some sort
-		Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
-		Date fixingDate = paymentDate - observationLag_;
-		boost::shared_ptr<CashFlow> xnl(new CPICashFlow
-						  (detail::get(notionals_, n, 0.0), index_,
-						   Date(), // is fake, i.e. you do not have one
-						   baseCPI_, fixingDate, paymentDate,
-						   subtractInflationNominal_, observationInterpolation_, 
-						   index_->frequency())
-						 );
-		leg.push_back(xnl);
-        
+        Calendar calendar = schedule_.calendar();
+        Leg leg;
+        leg.reserve(n+1);   // +1 for notional, we always have some sort ...
+        if (n>0) {
+            QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
+                       "no fixedRates or spreads given");
+
+            Date refStart, start, refEnd, end;
+            Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
+
+            for (Size i=0; i<n; ++i) {
+                refStart = start = schedule_.date(i);
+                refEnd   =   end = schedule_.date(i+1);
+                Date paymentDate = calendar.adjust(end, paymentAdjustment_);
+                if (i==0   && !schedule_.isRegular(i+1)) {
+                    BusinessDayConvention bdc = schedule_.businessDayConvention();
+                    refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
+                }
+                if (i==n-1 && !schedule_.isRegular(i+1)) {
+                    BusinessDayConvention bdc = schedule_.businessDayConvention();
+                    refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
+                }
+                if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
+                    leg.push_back(boost::shared_ptr<CashFlow>
+                                  (new FixedRateCoupon
+                                   (paymentDate, detail::get(notionals_, i, 0.0),
+                                    detail::effectiveFixedRate(spreads_,caps_,floors_,i),
+                                    paymentDayCounter_, start, end, refStart, refEnd)));
+                } else { // zero inflation coupon
+                    if (detail::noOption(caps_, floors_, i)) { // just swaplet
+                        boost::shared_ptr<CPICoupon> coup;
+
+                        coup = boost::shared_ptr<CPICoupon>
+                            (new CPICoupon(baseCPI_,    // all have same base for ratio
+                                     paymentDate,
+                                     detail::get(notionals_, i, 0.0),
+                                     start, end,
+                                     detail::get(fixingDays_, i, 0.0),
+                                     index_, observationLag_,
+                                     observationInterpolation_,
+                                     paymentDayCounter_,
+                                     detail::get(fixedRates_, i, 0.0),
+                                     detail::get(spreads_, i, 0.0),
+                                     refStart, refEnd));
+
+                        // in this case you can set a pricer
+                        // straight away because it only provides computation - not data
+                        boost::shared_ptr<CPICouponPricer> pricer
+                            (new CPICouponPricer);
+                        coup->setPricer(pricer);
+                        leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
+
+                    } else  {     // cap/floorlet
+                        QL_FAIL("caps/floors on CPI coupons not implemented.");
+                    }
+                }
+            }
+        }
+
+        // in CPI legs you always have a notional flow of some sort
+        Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
+        Date fixingDate = paymentDate - observationLag_;
+        boost::shared_ptr<CashFlow> xnl(new CPICashFlow
+                          (detail::get(notionals_, n, 0.0), index_,
+                           Date(), // is fake, i.e. you do not have one
+                           baseCPI_, fixingDate, paymentDate,
+                           subtractInflationNominal_, observationInterpolation_,
+                           index_->frequency())
+                         );
+        leg.push_back(xnl);
+
 
         return leg;
     }
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index 0cbdb380bf..929f99b0af 100755
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -39,7 +39,7 @@ namespace QuantLib {
             Linear     //!< linearly between bracketing fixings
         };
     };
-    
+
 
     class CPICouponPricer;
 
@@ -76,7 +76,7 @@ namespace QuantLib {
                   Spread spread = 0.0,
                   const Date& refPeriodStart = Date(),
                   const Date& refPeriodEnd = Date());
-        
+
         //! \name Inspectors
         //@{
         //! fixed rate that will be inflated by the index ratio
@@ -101,7 +101,7 @@ namespace QuantLib {
         //! index used
         boost::shared_ptr<ZeroInflationIndex> cpiIndex() const;
         //@}
-        
+
         //! \name Visitability
         //@{
         virtual void accept(AcyclicVisitor&);
@@ -111,7 +111,7 @@ namespace QuantLib {
         Real fixedRate_;
         Spread spread_;
         CPI::InterpolationType observationInterpolation_;
-        
+
         bool checkPricerImpl(
                        const boost::shared_ptr<InflationCouponPricer>&) const;
         // use to calculate for fixing date, allows change of
@@ -119,7 +119,7 @@ namespace QuantLib {
         Rate indexFixing(const Date &) const;
     };
 
-	
+
     //! Cash flow paying the performance of a CPI (zero inflation) index
     /*! It is NOT a coupon, i.e. no accruals. */
     class CPICashFlow : public IndexedCashFlow {
@@ -127,45 +127,45 @@ namespace QuantLib {
         CPICashFlow(Real notional,
                     const boost::shared_ptr<ZeroInflationIndex>& index,
                     const Date& baseDate,
-                    Real baseFixing, 
+                    Real baseFixing,
                     const Date& fixingDate,
                     const Date& paymentDate,
                     bool growthOnly = false,
-                    CPI::InterpolationType interpolation = CPI::AsIndex, 
+                    CPI::InterpolationType interpolation = CPI::AsIndex,
                     const Frequency& frequency = QuantLib::NoFrequency)
         : IndexedCashFlow(notional, index, baseDate, fixingDate,
                           paymentDate, growthOnly),
-		  baseFixing_(baseFixing), interpolation_(interpolation),
+          baseFixing_(baseFixing), interpolation_(interpolation),
           frequency_(frequency) {
-			QL_REQUIRE(fabs(baseFixing_)>1e-16,
+            QL_REQUIRE(fabs(baseFixing_)>1e-16,
                        "|baseFixing|<1e-16, future divide-by-zero error");
-			if (interpolation_ != CPI::AsIndex) {
-				QL_REQUIRE(frequency_ != QuantLib::NoFrequency,
+            if (interpolation_ != CPI::AsIndex) {
+                QL_REQUIRE(frequency_ != QuantLib::NoFrequency,
                            "non-index interpolation w/o frequency");
-			}
-		}
-		
-		//! value used on base date
+            }
+        }
+
+        //! value used on base date
         /*! This does not have to agree with index on that date. */
-		virtual Real baseFixing() const;
-		//! you may not have a valid date
-		virtual Date baseDate() const;
-		
-		//! do you want linear/constant/as-index interpolation of future data?  
-		virtual CPI::InterpolationType interpolation() const {
+        virtual Real baseFixing() const;
+        //! you may not have a valid date
+        virtual Date baseDate() const;
+
+        //! do you want linear/constant/as-index interpolation of future data?
+        virtual CPI::InterpolationType interpolation() const {
             return interpolation_;
         }
-		virtual Frequency frequency() const { return frequency_; }
-        
-		//! redefined to use baseFixing() and interpolation
-		virtual Real amount() const;
+        virtual Frequency frequency() const { return frequency_; }
+
+        //! redefined to use baseFixing() and interpolation
+        virtual Real amount() const;
       protected:
-		Real baseFixing_;
+        Real baseFixing_;
         CPI::InterpolationType interpolation_;
-		Frequency frequency_;
-	};
+        Frequency frequency_;
+    };
+
 
-    
     //! Helper class building a sequence of capped/floored CPI coupons.
     /*! Also allowing for the inflated notional at the end...
         especially if there is only one date in the schedule.
@@ -216,15 +216,15 @@ namespace QuantLib {
 
 
     // inline definitions
-    
+
     inline Real CPICoupon::fixedRate() const {
         return fixedRate_;
     }
-    
+
     inline Real CPICoupon::spread() const {
         return spread_;
     }
-    
+
     inline Rate CPICoupon::adjustedFixing() const {
         return (rate()-spread())/fixedRate();
     }
@@ -232,19 +232,19 @@ namespace QuantLib {
     inline Rate CPICoupon::indexFixing() const {
         return indexFixing(fixingDate());
     }
-    
+
     inline Rate CPICoupon::baseCPI() const {
         return baseCPI_;
     }
-    
+
     inline CPI::InterpolationType CPICoupon::observationInterpolation() const {
         return observationInterpolation_;
     }
-    
+
     inline Rate CPICoupon::indexObservation(const Date& onDate) const {
         return indexFixing(onDate);
     }
-    
+
     inline boost::shared_ptr<ZeroInflationIndex> CPICoupon::cpiIndex() const {
         return boost::dynamic_pointer_cast<ZeroInflationIndex>(index());
     }
diff --git a/ql/experimental/inflation/cpicapfloorengines.cpp b/ql/experimental/inflation/cpicapfloorengines.cpp
index ee1041366f..487ccaf035 100755
--- a/ql/experimental/inflation/cpicapfloorengines.cpp
+++ b/ql/experimental/inflation/cpicapfloorengines.cpp
@@ -2,24 +2,24 @@
 
 /*
  Copyright (C) 2011 Chris Kenyon
- 
- 
+
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! 
- \file cpicapfloorengines.cpp  
+/*!
+ \file cpicapfloorengines.cpp
  \brief Engines for CPI options
  \ingroup PricingEngines
  */
@@ -32,79 +32,79 @@
 
 
 namespace QuantLib {
-	
 
-	InterpolatingCPICapFloorEngine::InterpolatingCPICapFloorEngine
-	(const Handle<CPICapFloorTermPriceSurface> &priceSurf)
+
+    InterpolatingCPICapFloorEngine::InterpolatingCPICapFloorEngine
+    (const Handle<CPICapFloorTermPriceSurface> &priceSurf)
     : priceSurf_(priceSurf)
-	{
-		registerWith(priceSurf_);
-	}
-	
-	
-	void InterpolatingCPICapFloorEngine::calculate() const
-	{
-		Real npv = 0.0;
-		
-		// what is the difference between the observationLag of the surface
-		// and the observationLag of the cap/floor?
-		// \TODO next line will fail if units are different
-		Period lagDiff = arguments_.observationLag - priceSurf_->observationLag();
-		// next line will fail if units are different if Period() is not well written
-		QL_REQUIRE(lagDiff >= Period(0, Months), "InterpolatingCPICapFloorEngine: "
-				   "lag difference must be non-negative: " << lagDiff);
-		
-		// we now need an effective maturity to use in the price surface because this uses 
-		// maturity of calibration instruments as its time axis, N.B. this must also
-		// use the roll because the surface does
-		Date effectiveMaturity = arguments_.payDate - lagDiff;
-		
-		
-		// what interpolation do we use? Index / flat / linear
-		if (arguments_.observationInterpolation == CPI::AsIndex) {
-			// same as index means we can just use the price surface
-			// since this uses the index
-			if (arguments_.type == Option::Call) {
-				npv = priceSurf_->capPrice(effectiveMaturity, arguments_.strike);
-			} else {
-				npv = priceSurf_->floorPrice(effectiveMaturity, arguments_.strike);
-			}
-			
-			
-		} else {
-			std::pair<Date,Date> dd = inflationPeriod(effectiveMaturity, arguments_.infIndex->frequency());
-			Real priceStart = 0.0;
-			
-			if (arguments_.type == Option::Call) {
-				priceStart = priceSurf_->capPrice(dd.first, arguments_.strike);
-			} else {
-				priceStart = priceSurf_->floorPrice(dd.first, arguments_.strike);
-			}
-			
-			// if we use a flat index vs the interpolated one ...
-			if (arguments_.observationInterpolation == CPI::Flat) {
-				// then use the price for the first day in the period because the value cannot change after then
-				npv = priceStart;
-				
-			} else {
-				// linear interpolation will be very close
-				Real priceEnd = 0.0;
-				if (arguments_.type == Option::Call) {
-					priceEnd = priceSurf_->capPrice((dd.second+Period(1,Days)), arguments_.strike);
-				} else {
-					priceEnd = priceSurf_->floorPrice((dd.second+Period(1,Days)), arguments_.strike);
-				}
-				
-				npv = priceStart + (priceEnd - priceStart) * (effectiveMaturity - dd.first) 
-				/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period'
-			}
-			
-		}
-		results_.value = npv;
-	}
-	
-
-	
-	
+    {
+        registerWith(priceSurf_);
+    }
+
+
+    void InterpolatingCPICapFloorEngine::calculate() const
+    {
+        Real npv = 0.0;
+
+        // what is the difference between the observationLag of the surface
+        // and the observationLag of the cap/floor?
+        // \TODO next line will fail if units are different
+        Period lagDiff = arguments_.observationLag - priceSurf_->observationLag();
+        // next line will fail if units are different if Period() is not well written
+        QL_REQUIRE(lagDiff >= Period(0, Months), "InterpolatingCPICapFloorEngine: "
+                   "lag difference must be non-negative: " << lagDiff);
+
+        // we now need an effective maturity to use in the price surface because this uses
+        // maturity of calibration instruments as its time axis, N.B. this must also
+        // use the roll because the surface does
+        Date effectiveMaturity = arguments_.payDate - lagDiff;
+
+
+        // what interpolation do we use? Index / flat / linear
+        if (arguments_.observationInterpolation == CPI::AsIndex) {
+            // same as index means we can just use the price surface
+            // since this uses the index
+            if (arguments_.type == Option::Call) {
+                npv = priceSurf_->capPrice(effectiveMaturity, arguments_.strike);
+            } else {
+                npv = priceSurf_->floorPrice(effectiveMaturity, arguments_.strike);
+            }
+
+
+        } else {
+            std::pair<Date,Date> dd = inflationPeriod(effectiveMaturity, arguments_.infIndex->frequency());
+            Real priceStart = 0.0;
+
+            if (arguments_.type == Option::Call) {
+                priceStart = priceSurf_->capPrice(dd.first, arguments_.strike);
+            } else {
+                priceStart = priceSurf_->floorPrice(dd.first, arguments_.strike);
+            }
+
+            // if we use a flat index vs the interpolated one ...
+            if (arguments_.observationInterpolation == CPI::Flat) {
+                // then use the price for the first day in the period because the value cannot change after then
+                npv = priceStart;
+
+            } else {
+                // linear interpolation will be very close
+                Real priceEnd = 0.0;
+                if (arguments_.type == Option::Call) {
+                    priceEnd = priceSurf_->capPrice((dd.second+Period(1,Days)), arguments_.strike);
+                } else {
+                    priceEnd = priceSurf_->floorPrice((dd.second+Period(1,Days)), arguments_.strike);
+                }
+
+                npv = priceStart + (priceEnd - priceStart) * (effectiveMaturity - dd.first)
+                / ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period'
+            }
+
+        }
+        results_.value = npv;
+    }
+
+
+
+
 
 } // namespace QuantLib
diff --git a/ql/experimental/inflation/cpicapfloorengines.hpp b/ql/experimental/inflation/cpicapfloorengines.hpp
index 72d75fb8b8..cf0004692d 100755
--- a/ql/experimental/inflation/cpicapfloorengines.hpp
+++ b/ql/experimental/inflation/cpicapfloorengines.hpp
@@ -2,26 +2,26 @@
 
 /*
  Copyright (C) 2011 Chris Kenyon
- 
- 
+
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
 
-/*! 
-	\file cpicapfloorengines.hpp  
-	\brief Engines for CPI options
-	\ingroup PricingEngines
+/*!
+    \file cpicapfloorengines.hpp
+    \brief Engines for CPI options
+    \ingroup PricingEngines
 */
 
 #ifndef quantlib_cpicapfloorengines_hpp
@@ -34,30 +34,30 @@
 namespace QuantLib {
 
 
-	class CPICapFloorTermPriceSurface;
+    class CPICapFloorTermPriceSurface;
+
+
+    //! This engine only adds timing functionality (e.g. different lag)
+    //! w.r.t. an existing interpolated price surface.
+    class InterpolatingCPICapFloorEngine : public CPICapFloor::engine {
+        public:
+        InterpolatingCPICapFloorEngine(const Handle<CPICapFloorTermPriceSurface>&);
+
+        virtual void calculate() const;
+        virtual std::string name() const { return "InterpolatingCPICapFloorEngine"; }
+
+        virtual ~InterpolatingCPICapFloorEngine() {}
+
+    protected:
+        Handle<CPICapFloorTermPriceSurface> priceSurf_;
+    };
+
+
 
 
-	//! This engine only adds timing functionality (e.g. different lag) 
-	//! w.r.t. an existing interpolated price surface.
-	class InterpolatingCPICapFloorEngine : public CPICapFloor::engine {
-		public:
-		InterpolatingCPICapFloorEngine(const Handle<CPICapFloorTermPriceSurface>&);
-    
-		virtual void calculate() const;
-		virtual std::string name() const { return "InterpolatingCPICapFloorEngine"; }
-      
-		virtual ~InterpolatingCPICapFloorEngine() {}
 
-	protected:
-		Handle<CPICapFloorTermPriceSurface> priceSurf_;
-	};
 
 
-		
-	
-	
-	
-	
 
 } // namespace QuantLib
 
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
index 4a7295393f..8586cdd8c5 100755
--- a/ql/instruments/bonds/cpibond.cpp
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -2,16 +2,16 @@
 
 /*
  Copyright (C) 2010, 2011 Chris Kenyon
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -34,48 +34,48 @@
 namespace QuantLib {
 
     CPIbond::CPIbond(Natural settlementDays,
-					 Real faceAmount,
-					 bool growthOnly,
-					 Real baseCPI,
-					 const Period& observationLag,
-					 const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
-					 CPI::InterpolationType observationInterpolation,
-					 const Schedule& schedule,
-					 const std::vector<Rate>& fixedRate,
-					 const DayCounter& accrualDayCounter,
-					 BusinessDayConvention paymentConvention,
-					 const Date& issueDate)
+                     Real faceAmount,
+                     bool growthOnly,
+                     Real baseCPI,
+                     const Period& observationLag,
+                     const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
+                     CPI::InterpolationType observationInterpolation,
+                     const Schedule& schedule,
+                     const std::vector<Rate>& fixedRate,
+                     const DayCounter& accrualDayCounter,
+                     BusinessDayConvention paymentConvention,
+                     const Date& issueDate)
     : Bond(settlementDays, schedule.calendar(), issueDate),
-	frequency_(schedule.tenor().frequency()),
-	dayCounter_(accrualDayCounter),
-	growthOnly_(growthOnly),
-	baseCPI_(baseCPI),
-	observationLag_(observationLag),
-	cpiIndex_(cpiIndex),
-	observationInterpolation_(observationInterpolation) 
-	{
-		
+    frequency_(schedule.tenor().frequency()),
+    dayCounter_(accrualDayCounter),
+    growthOnly_(growthOnly),
+    baseCPI_(baseCPI),
+    observationLag_(observationLag),
+    cpiIndex_(cpiIndex),
+    observationInterpolation_(observationInterpolation)
+    {
+
         maturityDate_ = schedule.endDate();
-		
+
         // a CPIleg know about zero legs and inclusion of base inflation notional
-		cashflows_ = CPILeg(schedule, cpiIndex_,  
-							baseCPI_, observationLag_)
-		.withNotionals(faceAmount)
-		.withFixedRates(fixedRate)
-		.withPaymentDayCounter(accrualDayCounter)
-		.withPaymentAdjustment(paymentConvention)
-		.withObservationInterpolation(observationInterpolation_)
-		.withSubtractInflationNominal(growthOnly_);
-		
-		registerWith(cpiIndex_);
+        cashflows_ = CPILeg(schedule, cpiIndex_,
+                            baseCPI_, observationLag_)
+        .withNotionals(faceAmount)
+        .withFixedRates(fixedRate)
+        .withPaymentDayCounter(accrualDayCounter)
+        .withPaymentAdjustment(paymentConvention)
+        .withObservationInterpolation(observationInterpolation_)
+        .withSubtractInflationNominal(growthOnly_);
+
+        registerWith(cpiIndex_);
         Leg::const_iterator i;
         for (i = cashflows_.begin(); i < cashflows_.end(); ++i) {
             registerWith(*i);
-		}
+        }
     };
 
-	
-	
+
+
 
 };
 
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
index 582b28321b..330485ef5d 100755
--- a/ql/instruments/bonds/cpibond.hpp
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -2,16 +2,16 @@
 
 /*
  Copyright (C) 2010, 2011 Chris Kenyon
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -32,51 +32,51 @@
 #include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
-	
+
     class Schedule;
-	
-    //! cpi bond; if there is only one date in the schedule it 
-	//! is a zero bond returning an inflated notional.
+
+    //! cpi bond; if there is only one date in the schedule it
+    //! is a zero bond returning an inflated notional.
     /*! \ingroup instruments
-	 
-	 */
+
+     */
     class CPIbond : public Bond {
-	public:
+    public:
         CPIbond(Natural settlementDays,
-				Real faceAmount,
-				bool growthOnly,
-				Real baseCPI,
-				const Period& observationLag,
-				const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
-				CPI::InterpolationType observationInterpolation,
+                Real faceAmount,
+                bool growthOnly,
+                Real baseCPI,
+                const Period& observationLag,
+                const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
+                CPI::InterpolationType observationInterpolation,
                 const Schedule& schedule,
                 const std::vector<Rate>& coupons,
                 const DayCounter& accrualDayCounter,
                 BusinessDayConvention paymentConvention = ModifiedFollowing,
-				const Date& issueDate = Date());
-        
+                const Date& issueDate = Date());
+
         Frequency frequency() const { return frequency_; }
         const DayCounter& dayCounter() const { return dayCounter_; }
-		bool growthOnly() const { return growthOnly_; }
-		Real baseCPI() const { return baseCPI_; }
-		Period observationLag() const { return observationLag_; }
-		const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
+        bool growthOnly() const { return growthOnly_; }
+        Real baseCPI() const { return baseCPI_; }
+        Period observationLag() const { return observationLag_; }
+        const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
         CPI::InterpolationType observationInterpolation() const { return observationInterpolation_; }
-		
-		// other
+
+        // other
         virtual ~CPIbond() {}
-		
-	protected:
+
+    protected:
         Frequency frequency_;
         DayCounter dayCounter_;
-		bool growthOnly_;
-		Real baseCPI_;
-		Period observationLag_;
-		boost::shared_ptr<ZeroInflationIndex> cpiIndex_;
+        bool growthOnly_;
+        Real baseCPI_;
+        Period observationLag_;
+        boost::shared_ptr<ZeroInflationIndex> cpiIndex_;
         CPI::InterpolationType observationInterpolation_;
     };
-	
-	
+
+
 };
 
 
diff --git a/ql/instruments/cpicapfloor.cpp b/ql/instruments/cpicapfloor.cpp
index bec7bb27dc..f4471aadda 100755
--- a/ql/instruments/cpicapfloor.cpp
+++ b/ql/instruments/cpicapfloor.cpp
@@ -2,16 +2,16 @@
 
 /*
  Copyright (C) 2010, 2011 Chris Kenyon
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -33,103 +33,103 @@
 
 namespace QuantLib {
 
-	CPICapFloor::CPICapFloor(Option::Type type,
-				Real nominal,
-				const Date& startDate,   // start date of contract (only)
-				Real baseCPI,
-				const Date& maturity,    // this is pre-adjustment!
-				const Calendar& fixCalendar,
-				BusinessDayConvention fixConvention,
-				const Calendar& payCalendar,
-				BusinessDayConvention payConvention,
-				Rate strike,
-				const Handle<ZeroInflationIndex> &infIndex,
-				const Period& observationLag,
+    CPICapFloor::CPICapFloor(Option::Type type,
+                Real nominal,
+                const Date& startDate,   // start date of contract (only)
+                Real baseCPI,
+                const Date& maturity,    // this is pre-adjustment!
+                const Calendar& fixCalendar,
+                BusinessDayConvention fixConvention,
+                const Calendar& payCalendar,
+                BusinessDayConvention payConvention,
+                Rate strike,
+                const Handle<ZeroInflationIndex> &infIndex,
+                const Period& observationLag,
                              CPI::InterpolationType observationInterpolation)
-	: type_(type), startDate_(startDate), baseCPI_(baseCPI),
-	maturity_(maturity), fixCalendar_(fixCalendar), fixConvention_(fixConvention),
-	payCalendar_(payCalendar), payConvention_(payConvention),
-	strike_(strike), infIndex_(infIndex), observationLag_(observationLag),
-	observationInterpolation_(observationInterpolation) 
-	{
-		QL_REQUIRE(fixCalendar_ != Calendar(),"CPICapFloor: fixing calendar may not be null.");
-		QL_REQUIRE(payCalendar_ != Calendar(),"CPICapFloor: payment calendar may not be null.");
-	
-		if (observationInterpolation_ == CPI::Flat  || 
-			(observationInterpolation_ == CPI::AsIndex && !infIndex_->interpolated())
-			) {
-			QL_REQUIRE(observationLag_ >= infIndex_->availabilityLag(),
-					   "CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
-					   <<"when the observation is effectively flat"
-					   << observationLag_ << " vs " << infIndex_->availabilityLag());
-		}
-		if (observationInterpolation_ == CPI::Linear ||
-			(observationInterpolation_ == CPI::AsIndex && infIndex_->interpolated())
-			) {
-			QL_REQUIRE(observationLag_ > infIndex_->availabilityLag(),
-					   "CPIcapfloor's observationLag must be greater then availabilityLag of inflation index: "
-					   <<"when the observation is effectively linear"
-					   << observationLag_ << " vs " << infIndex_->availabilityLag());
-		}
-	}
-	
-	
-	//! when you fix - but remember that there is an observation interpolation factor as well
-	Date CPICapFloor::fixingDate() const {
-		return fixCalendar_.adjust(maturity_ - observationLag_, fixConvention_);
-	}
-	
-	
-	Date CPICapFloor::payDate() const {
-		return payCalendar_.adjust(maturity_, payConvention_);
-	}
-	
-
-	bool CPICapFloor::isExpired() const {
-		return (Settings::instance().evaluationDate() > maturity_);
-	}
-	
-	
-	void CPICapFloor::arguments::validate() const {
-		// nothing yet
-	}
-	
-	
-	void CPICapFloor::setupArguments(PricingEngine::arguments* args) const {
-		
-		// correct PricingEngine?
-		CPICapFloor::arguments* arguments =	dynamic_cast<CPICapFloor::arguments*>(args);
-		QL_REQUIRE(arguments != 0, "wrong argument type, not CPICapFloor::arguments*");
-		
-		// data move
-		arguments->type = type_;
+    : type_(type), startDate_(startDate), baseCPI_(baseCPI),
+    maturity_(maturity), fixCalendar_(fixCalendar), fixConvention_(fixConvention),
+    payCalendar_(payCalendar), payConvention_(payConvention),
+    strike_(strike), infIndex_(infIndex), observationLag_(observationLag),
+    observationInterpolation_(observationInterpolation)
+    {
+        QL_REQUIRE(fixCalendar_ != Calendar(),"CPICapFloor: fixing calendar may not be null.");
+        QL_REQUIRE(payCalendar_ != Calendar(),"CPICapFloor: payment calendar may not be null.");
+
+        if (observationInterpolation_ == CPI::Flat  ||
+            (observationInterpolation_ == CPI::AsIndex && !infIndex_->interpolated())
+            ) {
+            QL_REQUIRE(observationLag_ >= infIndex_->availabilityLag(),
+                       "CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
+                       <<"when the observation is effectively flat"
+                       << observationLag_ << " vs " << infIndex_->availabilityLag());
+        }
+        if (observationInterpolation_ == CPI::Linear ||
+            (observationInterpolation_ == CPI::AsIndex && infIndex_->interpolated())
+            ) {
+            QL_REQUIRE(observationLag_ > infIndex_->availabilityLag(),
+                       "CPIcapfloor's observationLag must be greater then availabilityLag of inflation index: "
+                       <<"when the observation is effectively linear"
+                       << observationLag_ << " vs " << infIndex_->availabilityLag());
+        }
+    }
+
+
+    //! when you fix - but remember that there is an observation interpolation factor as well
+    Date CPICapFloor::fixingDate() const {
+        return fixCalendar_.adjust(maturity_ - observationLag_, fixConvention_);
+    }
+
+
+    Date CPICapFloor::payDate() const {
+        return payCalendar_.adjust(maturity_, payConvention_);
+    }
+
+
+    bool CPICapFloor::isExpired() const {
+        return (Settings::instance().evaluationDate() > maturity_);
+    }
+
+
+    void CPICapFloor::arguments::validate() const {
+        // nothing yet
+    }
+
+
+    void CPICapFloor::setupArguments(PricingEngine::arguments* args) const {
+
+        // correct PricingEngine?
+        CPICapFloor::arguments* arguments = dynamic_cast<CPICapFloor::arguments*>(args);
+        QL_REQUIRE(arguments != 0, "wrong argument type, not CPICapFloor::arguments*");
+
+        // data move
+        arguments->type = type_;
         arguments->nominal = nominal_;
-		arguments->startDate = startDate_;
-		arguments->baseCPI = baseCPI_;
-		arguments->maturity = maturity_;
-		arguments->fixCalendar = fixCalendar_;
-		arguments->fixConvention = fixConvention_;
-		arguments->payCalendar = fixCalendar_;
-		arguments->payConvention = payConvention_;
-		arguments->fixDate = fixingDate();
-		arguments->payDate = payDate();
+        arguments->startDate = startDate_;
+        arguments->baseCPI = baseCPI_;
+        arguments->maturity = maturity_;
+        arguments->fixCalendar = fixCalendar_;
+        arguments->fixConvention = fixConvention_;
+        arguments->payCalendar = fixCalendar_;
+        arguments->payConvention = payConvention_;
+        arguments->fixDate = fixingDate();
+        arguments->payDate = payDate();
         arguments->strike = strike_;
         arguments->infIndex = infIndex_;
         arguments->observationLag = observationLag_;
-		arguments->observationInterpolation = observationInterpolation_;
-		
-	}
-	
-	
-	void CPICapFloor::results::reset() {
-		Instrument::results::reset();
-	}
-	
-	
-	void CPICapFloor::fetchResults(const PricingEngine::results* r) const {
-		Instrument::fetchResults(r);
-	}
-	
-	
-	
+        arguments->observationInterpolation = observationInterpolation_;
+
+    }
+
+
+    void CPICapFloor::results::reset() {
+        Instrument::results::reset();
+    }
+
+
+    void CPICapFloor::fetchResults(const PricingEngine::results* r) const {
+        Instrument::fetchResults(r);
+    }
+
+
+
 }
diff --git a/ql/instruments/cpicapfloor.hpp b/ql/instruments/cpicapfloor.hpp
index 124ad86c9c..ddaa58880c 100755
--- a/ql/instruments/cpicapfloor.hpp
+++ b/ql/instruments/cpicapfloor.hpp
@@ -2,16 +2,16 @@
 
 /*
  Copyright (C) 2010, 2011 Chris Kenyon
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -33,115 +33,115 @@
 #include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
-	
+
     //! CPI cap or floor
     /*! Quoted as a fixed strike rate \f$ K \f$.  Payoff:
-	 \f[
-	 P_n(0,T) \max(y (N [(1+K)^{T}-1] -
-	             N \left[ \frac{I(T)}{I(0)} -1 \right]), 0)
-	 \f]
-	 where \f$ T \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
-	 nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
-	 notional, and \f$ I(t) \f$ is the inflation index value at
-	 time \f$ t \f$.
-	 
-	 Inflation is generally available on every day, including
-	 holidays and weekends.  Hence there is a variable to state
-	 whether the observe/fix dates for inflation are adjusted or
-	 not.  The default is not to adjust.
-	 
-	 N.B. a cpi cap or floor is an option, not a cap or floor on a coupon.
-	 Thus this is very similar to a ZCIIS and has a single flow, this is
-	 as usual for cpi because it is cumulative up to option maturity from base
-	 date.
-	 
-	 We do not inherit from Option, although this would be reasonable,
-	 because we do not have that degree of generality.
-	 
-	 */
+     \f[
+     P_n(0,T) \max(y (N [(1+K)^{T}-1] -
+                 N \left[ \frac{I(T)}{I(0)} -1 \right]), 0)
+     \f]
+     where \f$ T \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
+     nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
+     notional, and \f$ I(t) \f$ is the inflation index value at
+     time \f$ t \f$.
+
+     Inflation is generally available on every day, including
+     holidays and weekends.  Hence there is a variable to state
+     whether the observe/fix dates for inflation are adjusted or
+     not.  The default is not to adjust.
+
+     N.B. a cpi cap or floor is an option, not a cap or floor on a coupon.
+     Thus this is very similar to a ZCIIS and has a single flow, this is
+     as usual for cpi because it is cumulative up to option maturity from base
+     date.
+
+     We do not inherit from Option, although this would be reasonable,
+     because we do not have that degree of generality.
+
+     */
     class CPICapFloor : public Instrument {
     public:
         class arguments;
-		class results;
+        class results;
         class engine;
         CPICapFloor(Option::Type type,
-					Real nominal,
-					const Date& startDate,   // start date of contract (only)
-					Real baseCPI,
-					const Date& maturity,    // this is pre-adjustment!
-					const Calendar& fixCalendar,
-					BusinessDayConvention fixConvention,
-					const Calendar& payCalendar,
-					BusinessDayConvention payConvention,
-					Rate strike,
-					const Handle<ZeroInflationIndex> &infIndex,
-					const Period& observationLag,
-					CPI::InterpolationType observationInterpolation = CPI::AsIndex);
-		
+                    Real nominal,
+                    const Date& startDate,   // start date of contract (only)
+                    Real baseCPI,
+                    const Date& maturity,    // this is pre-adjustment!
+                    const Calendar& fixCalendar,
+                    BusinessDayConvention fixConvention,
+                    const Calendar& payCalendar,
+                    BusinessDayConvention payConvention,
+                    Rate strike,
+                    const Handle<ZeroInflationIndex> &infIndex,
+                    const Period& observationLag,
+                    CPI::InterpolationType observationInterpolation = CPI::AsIndex);
+
         //! \name Inspectors
         //@{
         Option::Type type() const { return type_; }
         Real nominal() const { return nominal_; }
         //! \f$ K \f$ in the above formula.
         Rate strike() const { return strike_; }
-		Date fixingDate() const;
-		Date payDate() const;
+        Date fixingDate() const;
+        Date payDate() const;
         Handle<ZeroInflationIndex> inflationIndex() const { return infIndex_; }
         Period observationLag() const { return observationLag_; }
         //@}
-		
+
         //! \name Instrument interface
         //@{
-		bool isExpired() const;
+        bool isExpired() const;
         void setupArguments(PricingEngine::arguments*) const;
         void fetchResults(const PricingEngine::results* r) const;
         //@}
-		
+
     protected:
         Option::Type type_;
         Real nominal_;
-		Date startDate_, fixDate_, payDate_;
-		Real baseCPI_;
-		Date maturity_;
-		Calendar fixCalendar_;
-		BusinessDayConvention fixConvention_;
-		Calendar payCalendar_;
-		BusinessDayConvention payConvention_;
+        Date startDate_, fixDate_, payDate_;
+        Real baseCPI_;
+        Date maturity_;
+        Calendar fixCalendar_;
+        BusinessDayConvention fixConvention_;
+        Calendar payCalendar_;
+        BusinessDayConvention payConvention_;
         Rate strike_;
         Handle<ZeroInflationIndex> infIndex_;
         Period observationLag_;
         CPI::InterpolationType observationInterpolation_;
     };
-	
-	
+
+
     class CPICapFloor::arguments : public virtual PricingEngine::arguments{
     public:
-		Option::Type type;
+        Option::Type type;
         Real nominal;
-		Date startDate, fixDate, payDate;
-		Real baseCPI;
-		Date maturity;
-		Calendar fixCalendar, payCalendar;
-		BusinessDayConvention fixConvention, payConvention;
+        Date startDate, fixDate, payDate;
+        Real baseCPI;
+        Date maturity;
+        Calendar fixCalendar, payCalendar;
+        BusinessDayConvention fixConvention, payConvention;
         Rate strike;
         Handle<ZeroInflationIndex> infIndex;
         Period observationLag;
         CPI::InterpolationType observationInterpolation;
-		
+
         void validate() const;
     };
-	
-	
-	class CPICapFloor::results : public Instrument::results {
-	public:
-		void reset();
-	};
-	
-	
+
+
+    class CPICapFloor::results : public Instrument::results {
+    public:
+        void reset();
+    };
+
+
     class CPICapFloor::engine : public GenericEngine<CPICapFloor::arguments,
-													 CPICapFloor::results> {
-	};
-	
+                                                     CPICapFloor::results> {
+    };
+
 };
 
 
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
index bc02c26ee8..d077a48064 100755
--- a/ql/instruments/cpiswap.cpp
+++ b/ql/instruments/cpiswap.cpp
@@ -3,16 +3,16 @@
 /*
  Copyright (C) 2007, 2009, 2011 Chris Kenyon
  Copyright (C) 2009 StatPro Italia srl
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -34,96 +34,96 @@
 #include<iostream>
 
 namespace QuantLib {
-	
-	// accrual adjustment is already in the schedules, as are calendars
-	CPIswap::
+
+    // accrual adjustment is already in the schedules, as are calendars
+    CPIswap::
     CPIswap(Type type,
-			Real nominal,
-			bool subtractInflationNominal,
-			// float + spread leg
-			Spread spread,
-			const DayCounter& floatDayCount,
-			const Schedule& floatSchedule,
-			const BusinessDayConvention& floatPaymentRoll,
-			Natural fixingDays,
-			const boost::shared_ptr<IborIndex>& floatIndex,
-			// fixed x inflation leg
-			Rate fixedRate,
-			Real baseCPI,	
-			const DayCounter& fixedDayCount,
-			const Schedule& fixedSchedule,
-			const BusinessDayConvention& fixedPaymentRoll,
-			const Period& observationLag,
-			const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
-			CPI::InterpolationType observationInterpolation,
-			Real inflationNominal
-			)
+            Real nominal,
+            bool subtractInflationNominal,
+            // float + spread leg
+            Spread spread,
+            const DayCounter& floatDayCount,
+            const Schedule& floatSchedule,
+            const BusinessDayConvention& floatPaymentRoll,
+            Natural fixingDays,
+            const boost::shared_ptr<IborIndex>& floatIndex,
+            // fixed x inflation leg
+            Rate fixedRate,
+            Real baseCPI,
+            const DayCounter& fixedDayCount,
+            const Schedule& fixedSchedule,
+            const BusinessDayConvention& fixedPaymentRoll,
+            const Period& observationLag,
+            const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
+            CPI::InterpolationType observationInterpolation,
+            Real inflationNominal
+            )
     : Swap(2), type_(type), nominal_(nominal), subtractInflationNominal_(subtractInflationNominal),
-	spread_(spread), floatDayCount_(floatDayCount), floatSchedule_(floatSchedule),
-	floatPaymentRoll_(floatPaymentRoll), fixingDays_(fixingDays),
-	floatIndex_(floatIndex),
-	fixedRate_(fixedRate), baseCPI_(baseCPI), fixedDayCount_(fixedDayCount), fixedSchedule_(fixedSchedule), 
-	fixedPaymentRoll_(fixedPaymentRoll), observationLag_(observationLag), 
-	fixedIndex_(fixedIndex), observationInterpolation_(observationInterpolation)
+    spread_(spread), floatDayCount_(floatDayCount), floatSchedule_(floatSchedule),
+    floatPaymentRoll_(floatPaymentRoll), fixingDays_(fixingDays),
+    floatIndex_(floatIndex),
+    fixedRate_(fixedRate), baseCPI_(baseCPI), fixedDayCount_(fixedDayCount), fixedSchedule_(fixedSchedule),
+    fixedPaymentRoll_(fixedPaymentRoll), observationLag_(observationLag),
+    fixedIndex_(fixedIndex), observationInterpolation_(observationInterpolation)
     {
-		QL_REQUIRE(floatSchedule_.size()>0,"empty float schedule");
-		QL_REQUIRE(fixedSchedule_.size()>0,"empty fixed schedule");
-		// \todo if roll!=unadjusted then need calendars ... 
-		
-		if (inflationNominal==Null<Real>()) inflationNominal_ = nominal_;
-		else inflationNominal_ = inflationNominal; 
-		
-		Leg floatingLeg; 
-		if (floatSchedule_.size() > 1) {
-			floatingLeg = IborLeg(floatSchedule_, floatIndex_)
-			.withNotionals(nominal_)
-			.withSpreads(spread_)
-			.withPaymentDayCounter(floatDayCount_)
-			.withPaymentAdjustment(floatPaymentRoll_)
-			.withFixingDays(fixingDays_);
-		}
-			
-		if (floatSchedule_.size()==1 || 
-			!subtractInflationNominal_ ||
-			(subtractInflationNominal && fabs(nominal_-inflationNominal_)>0.00001)
-			)
-		{
-			Date payNotional;
-			if (floatSchedule_.size()==1) { // no coupons
-				payNotional = floatSchedule_[0];
-				payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
-			} else { // use the pay date of the last coupon
-				payNotional = floatingLeg.back()->date();
-			}
-
-			Real floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
-			boost::shared_ptr<CashFlow> nf(new SimpleCashFlow(floatAmount, payNotional));
-			floatingLeg.push_back(nf);	
-		}
-		
-		// a CPIleg know about zero legs and inclusion of base inflation notional
-		Leg cpiLeg = CPILeg(fixedSchedule_, fixedIndex_,  
-							baseCPI_, observationLag_)
-		.withNotionals(inflationNominal_)
-		.withFixedRates(fixedRate_)
-		.withPaymentDayCounter(fixedDayCount_)
-		.withPaymentAdjustment(fixedPaymentRoll_)
-		.withObservationInterpolation(observationInterpolation_)
-		.withSubtractInflationNominal(subtractInflationNominal_);
-				 
-							 
+        QL_REQUIRE(floatSchedule_.size()>0,"empty float schedule");
+        QL_REQUIRE(fixedSchedule_.size()>0,"empty fixed schedule");
+        // \todo if roll!=unadjusted then need calendars ...
+
+        if (inflationNominal==Null<Real>()) inflationNominal_ = nominal_;
+        else inflationNominal_ = inflationNominal;
+
+        Leg floatingLeg;
+        if (floatSchedule_.size() > 1) {
+            floatingLeg = IborLeg(floatSchedule_, floatIndex_)
+            .withNotionals(nominal_)
+            .withSpreads(spread_)
+            .withPaymentDayCounter(floatDayCount_)
+            .withPaymentAdjustment(floatPaymentRoll_)
+            .withFixingDays(fixingDays_);
+        }
+
+        if (floatSchedule_.size()==1 ||
+            !subtractInflationNominal_ ||
+            (subtractInflationNominal && fabs(nominal_-inflationNominal_)>0.00001)
+            )
+        {
+            Date payNotional;
+            if (floatSchedule_.size()==1) { // no coupons
+                payNotional = floatSchedule_[0];
+                payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
+            } else { // use the pay date of the last coupon
+                payNotional = floatingLeg.back()->date();
+            }
+
+            Real floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
+            boost::shared_ptr<CashFlow> nf(new SimpleCashFlow(floatAmount, payNotional));
+            floatingLeg.push_back(nf);
+        }
+
+        // a CPIleg know about zero legs and inclusion of base inflation notional
+        Leg cpiLeg = CPILeg(fixedSchedule_, fixedIndex_,
+                            baseCPI_, observationLag_)
+        .withNotionals(inflationNominal_)
+        .withFixedRates(fixedRate_)
+        .withPaymentDayCounter(fixedDayCount_)
+        .withPaymentAdjustment(fixedPaymentRoll_)
+        .withObservationInterpolation(observationInterpolation_)
+        .withSubtractInflationNominal(subtractInflationNominal_);
+
+
         Leg::const_iterator i;
         for (i = cpiLeg.begin(); i < cpiLeg.end(); ++i) {
             registerWith(*i);
-		}
-		
-		for (i = floatingLeg.begin(); i < floatingLeg.end(); ++i) {
+        }
+
+        for (i = floatingLeg.begin(); i < floatingLeg.end(); ++i) {
             registerWith(*i);
-		}
-		
+        }
+
         legs_[0] = cpiLeg;
         legs_[1] = floatingLeg;
-		
+
         if (type_==Payer) {
             payer_[0] = 1.0;
             payer_[1] = -1.0;
@@ -131,64 +131,64 @@ namespace QuantLib {
             payer_[0] = -1.0;
             payer_[1] = 1.0;
         }
-		
+
     }
-	
-	
-	
-	//! for simple case sufficient to copy base class
-	void CPIswap::setupArguments(PricingEngine::arguments* args) const {
-		
+
+
+
+    //! for simple case sufficient to copy base class
+    void CPIswap::setupArguments(PricingEngine::arguments* args) const {
+
         Swap::setupArguments(args);
-		
+
         CPIswap::arguments* arguments =
         dynamic_cast<CPIswap::arguments*>(args);
-		
+
         if (!arguments) return; // it's a swap engine...
     }
-	
-	
+
+
     Rate CPIswap::fairRate() const {
         calculate();
         QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
         return fairRate_;
     }
-	
+
     Spread CPIswap::fairSpread() const {
         calculate();
         QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
         return fairSpread_;
     }
-	
-	
+
+
     Real CPIswap::fixedLegNPV() const {//FIXME
         calculate();
         QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
         return legNPV_[0];
     }
-	
+
     Real CPIswap::floatLegNPV() const {//FIXME
         calculate();
         QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
         return legNPV_[1];
     }
-	
+
     void CPIswap::setupExpired() const {
         Swap::setupExpired();
         legBPS_[0] = legBPS_[1] = 0.0;
         fairRate_ = Null<Rate>();
         fairSpread_ = Null<Spread>();
     }
-	
+
     void CPIswap::fetchResults(const PricingEngine::results* r) const {
         static const Spread basisPoint = 1.0e-4;
-		
+
         // copy from VanillaSwap
         // works because similarly simple instrument
         // that we always expect to be priced with a swap engine
-		
+
         Swap::fetchResults(r);
-		
+
         const CPIswap::results* results = dynamic_cast<const CPIswap::results*>(r);
         if (results) { // might be a swap engine, so no error is thrown
             fairRate_ = results->fairRate;
@@ -197,7 +197,7 @@ namespace QuantLib {
             fairRate_ = Null<Rate>();
             fairSpread_ = Null<Spread>();
         }
-		
+
         if (fairRate_ == Null<Rate>()) {
             // calculate it from other results
             if (legBPS_[0] != Null<Real>())
@@ -208,19 +208,19 @@ namespace QuantLib {
             if (legBPS_[1] != Null<Real>())
                 fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);
         }
-		
+
     }
-	
+
     void CPIswap::arguments::validate() const {
         Swap::arguments::validate();
     }
-	
+
     void CPIswap::results::reset() {
         Swap::results::reset();
         fairRate = Null<Rate>();
         fairSpread = Null<Spread>();
     }
-	
+
     std::ostream& operator<<(std::ostream& out,
                              CPIswap::Type t) {
         switch (t) {
@@ -232,6 +232,6 @@ namespace QuantLib {
                 QL_FAIL("unknown CPIswap::Type(" << Integer(t) << ")");
         }
     }
-	
+
 }
 
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
index 03775af981..a845747c7c 100755
--- a/ql/instruments/cpiswap.hpp
+++ b/ql/instruments/cpiswap.hpp
@@ -3,16 +3,16 @@
 /*
  Copyright (C) 2007, 2009, 2011 Chris Kenyon
  Copyright (C) 2009 StatPro Italia srl
- 
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -33,133 +33,133 @@
 #include <ql/cashflows/cpicoupon.hpp>
 
 namespace QuantLib {
-	
+
     class ZeroInflationIndex;
-	
-    //! zero-inflation-indexed swap, 
+
+    //! zero-inflation-indexed swap,
     /*! fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base)
-	    versus 
-		floating + spread
-	 
-		Note that this does ony the inflation-vs-floating-leg.  Extension to inflation-vs-fixed-leg.  
-		is simple - just replace the floating leg with a fixed leg.  We leave this as an exercise
-		for the reader in the interests of simplicity.
-	 
-		Typically there are notional exchanges at the end: either inflated-notional vs notional;
-		or just (inflated-notional - notional) vs zero.  The latter is perhaphs more typical.
-		\warning Setting subtractInflationNominal to true means that the original inflation nominal 
-		is subtracted from both nominals before they are exchanged, even if they are different.
-	 
-		This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1),
-		by using differnt nominals on each leg and setting subtractInflationNominal to true.
-		ALSO - there must be just one date in each schedule.
-	 
-		The two legs can have different schedules, fixing (days vs lag), settlement, and roll
-		conventions.  N.B. accrual adjustment periods are already in the schedules.  Trade date 
-		and swap settlement date are outside the scope of the instrument.
-	 */
+        versus
+        floating + spread
+
+        Note that this does ony the inflation-vs-floating-leg.  Extension to inflation-vs-fixed-leg.
+        is simple - just replace the floating leg with a fixed leg.  We leave this as an exercise
+        for the reader in the interests of simplicity.
+
+        Typically there are notional exchanges at the end: either inflated-notional vs notional;
+        or just (inflated-notional - notional) vs zero.  The latter is perhaphs more typical.
+        \warning Setting subtractInflationNominal to true means that the original inflation nominal
+        is subtracted from both nominals before they are exchanged, even if they are different.
+
+        This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1),
+        by using differnt nominals on each leg and setting subtractInflationNominal to true.
+        ALSO - there must be just one date in each schedule.
+
+        The two legs can have different schedules, fixing (days vs lag), settlement, and roll
+        conventions.  N.B. accrual adjustment periods are already in the schedules.  Trade date
+        and swap settlement date are outside the scope of the instrument.
+     */
     class CPIswap : public Swap {
     public:
         enum Type { Receiver = -1, Payer = 1 };
         class arguments;
         class results;
         class engine;
-		
-		CPIswap(Type type,
-				Real nominal,
-				bool subtractInflationNominal,
-				// float+spread leg
-				Spread spread,
-				const DayCounter& floatDayCount,
-				const Schedule& floatSchedule,
-				const BusinessDayConvention& floatRoll,
-				Natural fixingDays,
-				const boost::shared_ptr<IborIndex>& floatIndex,
-				// fixed x inflation leg
-				Rate fixedRate,
-				Real baseCPI,	
-				const DayCounter& fixedDayCount,
-				const Schedule& fixedSchedule,
-				const BusinessDayConvention& fixedRoll,
-				const Period& observationLag,
-				const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
-				CPI::InterpolationType observationInterpolation = CPI::AsIndex,
-				Real inflationNominal = Null<Real>()
-				);
-		
+
+        CPIswap(Type type,
+                Real nominal,
+                bool subtractInflationNominal,
+                // float+spread leg
+                Spread spread,
+                const DayCounter& floatDayCount,
+                const Schedule& floatSchedule,
+                const BusinessDayConvention& floatRoll,
+                Natural fixingDays,
+                const boost::shared_ptr<IborIndex>& floatIndex,
+                // fixed x inflation leg
+                Rate fixedRate,
+                Real baseCPI,
+                const DayCounter& fixedDayCount,
+                const Schedule& fixedSchedule,
+                const BusinessDayConvention& fixedRoll,
+                const Period& observationLag,
+                const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
+                CPI::InterpolationType observationInterpolation = CPI::AsIndex,
+                Real inflationNominal = Null<Real>()
+                );
+
         // results
-		// float+spread
+        // float+spread
         virtual Real floatLegNPV() const;
-		virtual Spread fairSpread() const;
-		// fixed rate x inflation
+        virtual Spread fairSpread() const;
+        // fixed rate x inflation
         virtual Real fixedLegNPV() const;
         virtual Rate fairRate() const;
-        
-		// inspectors
+
+        // inspectors
         virtual Type type() const;
         virtual Real nominal() const;
-		virtual bool subtractInflationNominal() const;
-		
-		// float+spread
-		virtual Spread spread() const;
-		virtual const DayCounter& floatDayCount() const;
-		virtual const Schedule& floatSchedule() const;
-		virtual const BusinessDayConvention& floatPaymentRoll() const;
-		virtual Natural fixingDays() const;
-		virtual const boost::shared_ptr<IborIndex>& floatIndex() const;
-		
-		// fixed rate x inflation
-		virtual Rate fixedRate() const;
-		virtual Real baseCPI() const;
-		virtual const DayCounter& fixedDayCount() const;
+        virtual bool subtractInflationNominal() const;
+
+        // float+spread
+        virtual Spread spread() const;
+        virtual const DayCounter& floatDayCount() const;
+        virtual const Schedule& floatSchedule() const;
+        virtual const BusinessDayConvention& floatPaymentRoll() const;
+        virtual Natural fixingDays() const;
+        virtual const boost::shared_ptr<IborIndex>& floatIndex() const;
+
+        // fixed rate x inflation
+        virtual Rate fixedRate() const;
+        virtual Real baseCPI() const;
+        virtual const DayCounter& fixedDayCount() const;
         virtual const Schedule& fixedSchedule() const;
         virtual const BusinessDayConvention& fixedPaymentRoll() const;
-		virtual Period observationLag() const;
+        virtual Period observationLag() const;
         virtual const boost::shared_ptr<ZeroInflationIndex>& fixedIndex() const;
-		virtual CPI::InterpolationType observationInterpolation() const;
-		virtual Real inflationNominal() const;
-		
-		// legs
+        virtual CPI::InterpolationType observationInterpolation() const;
+        virtual Real inflationNominal() const;
+
+        // legs
         virtual const Leg& cpiLeg() const;
         virtual const Leg& floatLeg() const;
-		
+
         // other
         void setupArguments(PricingEngine::arguments* args) const;
         void fetchResults(const PricingEngine::results*) const;
         virtual ~CPIswap() {}
-		
+
     private:
         void setupExpired() const;
-		
+
         Type type_;
-		Real nominal_;
-		bool subtractInflationNominal_;
-		
-		// float+spread leg
-		Spread spread_;
-		DayCounter floatDayCount_;
-		Schedule floatSchedule_;
-		BusinessDayConvention floatPaymentRoll_;
-		Natural fixingDays_;
-		boost::shared_ptr<IborIndex> floatIndex_;
-		
-		// fixed x inflation leg
-		Rate fixedRate_;
-		Real baseCPI_;
-		DayCounter fixedDayCount_;
-		Schedule fixedSchedule_;
-		BusinessDayConvention fixedPaymentRoll_; 
-		boost::shared_ptr<ZeroInflationIndex> fixedIndex_;
-		Period observationLag_;
+        Real nominal_;
+        bool subtractInflationNominal_;
+
+        // float+spread leg
+        Spread spread_;
+        DayCounter floatDayCount_;
+        Schedule floatSchedule_;
+        BusinessDayConvention floatPaymentRoll_;
+        Natural fixingDays_;
+        boost::shared_ptr<IborIndex> floatIndex_;
+
+        // fixed x inflation leg
+        Rate fixedRate_;
+        Real baseCPI_;
+        DayCounter fixedDayCount_;
+        Schedule fixedSchedule_;
+        BusinessDayConvention fixedPaymentRoll_;
+        boost::shared_ptr<ZeroInflationIndex> fixedIndex_;
+        Period observationLag_;
         CPI::InterpolationType observationInterpolation_;
-		Real inflationNominal_;
+        Real inflationNominal_;
         // results
         mutable Spread fairSpread_;
-		mutable Rate fairRate_;
-        
+        mutable Rate fairRate_;
+
     };
-	
-	
+
+
     //! %Arguments for swap calculation
     class CPIswap::arguments : public Swap::arguments {
     public:
@@ -167,10 +167,10 @@ namespace QuantLib {
         nominal(Null<Real>()) {}
         Type type;
         Real nominal;
-		
+
         void validate() const;
     };
-	
+
     //! %Results from swap calculation
     class CPIswap::results : public Swap::results {
     public:
@@ -178,47 +178,47 @@ namespace QuantLib {
         Spread fairSpread;
         void reset();
     };
-	
+
     class CPIswap::engine : public GenericEngine<CPIswap::arguments,
     CPIswap::results> {};
-	
-	
+
+
     // inline definitions
-	
-	// inspectors
-	inline 	CPIswap::Type CPIswap::type() const { return type_; }
-	inline 	Real CPIswap::nominal() const { return nominal_; }
-	inline 	bool CPIswap::subtractInflationNominal() const { return subtractInflationNominal_; }
-	
-	// float+spread
-	inline Spread CPIswap::spread() const { return spread_; }
-	inline const DayCounter& CPIswap::floatDayCount() const { return floatDayCount_; }
-	inline const Schedule& CPIswap::floatSchedule() const { return floatSchedule_; }
-	inline const BusinessDayConvention& CPIswap::floatPaymentRoll() const { return floatPaymentRoll_; }
-	inline Natural CPIswap::fixingDays() const { return fixingDays_; }
-	inline const boost::shared_ptr<IborIndex>& CPIswap::floatIndex() const { return floatIndex_; }
-	
-	// fixed rate x inflation
-	inline Rate CPIswap::fixedRate() const { return fixedRate_; }
-	inline Real CPIswap::baseCPI() const { return baseCPI_; }
-	inline const DayCounter& CPIswap::fixedDayCount() const { return fixedDayCount_; }
-	inline const Schedule& CPIswap::fixedSchedule() const { return fixedSchedule_; }
-	inline const BusinessDayConvention& CPIswap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
-	inline Period CPIswap::observationLag() const { return observationLag_; }
-	inline const boost::shared_ptr<ZeroInflationIndex>& CPIswap::fixedIndex() const { return fixedIndex_; }
-	inline CPI::InterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
-	inline Real CPIswap::inflationNominal() const { return inflationNominal_; }
-	
+
+    // inspectors
+    inline  CPIswap::Type CPIswap::type() const { return type_; }
+    inline  Real CPIswap::nominal() const { return nominal_; }
+    inline  bool CPIswap::subtractInflationNominal() const { return subtractInflationNominal_; }
+
+    // float+spread
+    inline Spread CPIswap::spread() const { return spread_; }
+    inline const DayCounter& CPIswap::floatDayCount() const { return floatDayCount_; }
+    inline const Schedule& CPIswap::floatSchedule() const { return floatSchedule_; }
+    inline const BusinessDayConvention& CPIswap::floatPaymentRoll() const { return floatPaymentRoll_; }
+    inline Natural CPIswap::fixingDays() const { return fixingDays_; }
+    inline const boost::shared_ptr<IborIndex>& CPIswap::floatIndex() const { return floatIndex_; }
+
+    // fixed rate x inflation
+    inline Rate CPIswap::fixedRate() const { return fixedRate_; }
+    inline Real CPIswap::baseCPI() const { return baseCPI_; }
+    inline const DayCounter& CPIswap::fixedDayCount() const { return fixedDayCount_; }
+    inline const Schedule& CPIswap::fixedSchedule() const { return fixedSchedule_; }
+    inline const BusinessDayConvention& CPIswap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
+    inline Period CPIswap::observationLag() const { return observationLag_; }
+    inline const boost::shared_ptr<ZeroInflationIndex>& CPIswap::fixedIndex() const { return fixedIndex_; }
+    inline CPI::InterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
+    inline Real CPIswap::inflationNominal() const { return inflationNominal_; }
+
     inline const Leg& CPIswap::cpiLeg() const {//inflation indexed
         return legs_[0];
     }
-	
+
     inline const Leg& CPIswap::floatLeg() const {
         return legs_[1];
     }
-	
+
     std::ostream& operator<<(std::ostream& out, CPIswap::Type t);
-	
+
 }
 
 #endif
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
index d772876d42..2244800e68 100755
--- a/test-suite/inflationcpicapfloor.cpp
+++ b/test-suite/inflationcpicapfloor.cpp
@@ -2,17 +2,17 @@
 
 /*
  Copyright (C) 2011 Chris Kenyon
- 
- 
+
+
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
- 
+
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -60,38 +60,38 @@ namespace {
         Date date;
         Rate rate;
     };
-	
+
     template <class T, class U, class I>
     std::vector<boost::shared_ptr<BootstrapHelper<T> > > makeHelpers(
-		Datum iiData[], Size N,
-		const boost::shared_ptr<I> &ii, const Period &observationLag,
-		const Calendar &calendar,
-		const BusinessDayConvention &bdc,
-		const DayCounter &dc) {
-		
+        Datum iiData[], Size N,
+        const boost::shared_ptr<I> &ii, const Period &observationLag,
+        const Calendar &calendar,
+        const BusinessDayConvention &bdc,
+        const DayCounter &dc) {
+
         std::vector<boost::shared_ptr<BootstrapHelper<T> > > instruments;
         for (Size i=0; i<N; i++) {
             Date maturity = iiData[i].date;
             Handle<Quote> quote(boost::shared_ptr<Quote>(
-								new SimpleQuote(iiData[i].rate/100.0)));
+                                new SimpleQuote(iiData[i].rate/100.0)));
             boost::shared_ptr<BootstrapHelper<T> > anInstrument(new U(
-								quote, observationLag, maturity,
-								calendar, bdc, dc, ii));
+                                quote, observationLag, maturity,
+                                calendar, bdc, dc, ii));
             instruments.push_back(anInstrument);
         }
-		
+
         return instruments;
     }
-	
-	
-	struct CommonVars {
+
+
+    struct CommonVars {
         // common data
-		
+
         Size length;
         Date startDate;
-		Rate baseZeroRate;
+        Rate baseZeroRate;
         Real volatility;
-		
+
         Frequency frequency;
         std::vector<Real> nominals;
         Calendar calendar;
@@ -103,30 +103,30 @@ namespace {
         Period observationLag, contractObservationLag;
         CPI::InterpolationType contractObservationInterpolation;
         DayCounter dcZCIIS,dcNominal;
-		std::vector<Date> zciisD;
-		std::vector<Rate> zciisR;
+        std::vector<Date> zciisD;
+        std::vector<Rate> zciisR;
         boost::shared_ptr<UKRPI> ii;
-		RelinkableHandle<ZeroInflationIndex> hii;
-		Size zciisDataLength;
-		
+        RelinkableHandle<ZeroInflationIndex> hii;
+        Size zciisDataLength;
+
         RelinkableHandle<YieldTermStructure> nominalUK;
         RelinkableHandle<ZeroInflationTermStructure> cpiUK;
-		
-		vector<Rate> cStrikesUK;
-		vector<Rate> fStrikesUK;
-		vector<Period> cfMaturitiesUK;
-		boost::shared_ptr<Matrix> cPriceUK;
-		boost::shared_ptr<Matrix> fPriceUK;
-		
-		boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFsurfUK;
-		
+
+        vector<Rate> cStrikesUK;
+        vector<Rate> fStrikesUK;
+        vector<Period> cfMaturitiesUK;
+        boost::shared_ptr<Matrix> cPriceUK;
+        boost::shared_ptr<Matrix> fPriceUK;
+
+        boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFsurfUK;
+
         // cleanup
-		
+
         SavedSettings backup;
-		
+
         // setup
         CommonVars() {
-			//std::cout <<"CommonVars" << std::endl;
+            //std::cout <<"CommonVars" << std::endl;
             // option variables
             nominals = std::vector<Real>(1,1000000);  // 1M
             frequency = Annual;
@@ -143,319 +143,319 @@ namespace {
             settlement = calendar.advance(today,settlementDays,Days);
             startDate = settlement;
             dcZCIIS = ActualActual();
-			dcNominal = ActualActual();
-			
+            dcNominal = ActualActual();
+
             // uk rpi index
             //      fixing data
             Date from(1, July, 2007);
-			Date to(1, June, 2010);
+            Date to(1, June, 2010);
             Schedule rpiSchedule = MakeSchedule().from(from).to(to)
             .withTenor(1*Months)
             .withCalendar(UnitedKingdom())
             .withConvention(ModifiedFollowing);
-            Real fixData[] = { 
-				206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
-				209.8, 211.4, 212.1, 214.0, 215.1, 216.8,	//	2008
-				216.5, 217.2, 218.4, 217.7, 216.0, 212.9, 
-				210.1, 211.4, 211.3, 211.5,	212.8, 213.4,	//	2009
-				213.4, 214.4, 215.3, 216.0, 216.6, 218.0, 
-				217.9, 219.2, 220.7, 222.8, -999, -999,		//	2010
-				-999};
-			
+            Real fixData[] = {
+                206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
+                209.8, 211.4, 212.1, 214.0, 215.1, 216.8,   //  2008
+                216.5, 217.2, 218.4, 217.7, 216.0, 212.9,
+                210.1, 211.4, 211.3, 211.5, 212.8, 213.4,   //  2009
+                213.4, 214.4, 215.3, 216.0, 216.6, 218.0,
+                217.9, 219.2, 220.7, 222.8, -999, -999,     //  2010
+                -999};
+
             // link from cpi index to cpi TS
             RelinkableHandle<ZeroInflationTermStructure> hcpi;
             bool interp = false;// this MUST be false because the observation lag is only 2 months
-								// for ZCIIS; but not for contract if the contract uses a bigger lag.
+                                // for ZCIIS; but not for contract if the contract uses a bigger lag.
             ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
             for (Size i=0; i<rpiSchedule.size();i++) {
                 ii->addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use
-			};
-			
-			
-			Datum nominalData[] = {
-				{ Date( 2, June, 2010), 0.499997 },
-				{ Date( 3, June, 2010), 0.524992 },
-				{ Date( 8, June, 2010), 0.524974 },
-				{ Date( 15, June, 2010), 0.549942 },
-				{ Date( 22, June, 2010), 0.549913 },
-				{ Date( 1, July, 2010), 0.574864 },
-				{ Date( 2, August, 2010), 0.624668 },
-				{ Date( 1, September, 2010), 0.724338 },
-				{ Date( 16, September, 2010), 0.769461 },
-				{ Date( 1, December, 2010), 0.997501 },
-				//{ Date( 16, December, 2010), 0.838164 },
-				{ Date( 17, March, 2011), 0.916996 },
-				{ Date( 16, June, 2011), 0.984339 },
-				{ Date( 22, September, 2011), 1.06085 },
-				{ Date( 22, December, 2011), 1.141788 },
-				{ Date( 1, June, 2012), 1.504426 },
-				{ Date( 3, June, 2013), 1.92064 },
-				{ Date( 2, June, 2014), 2.290824 },
-				{ Date( 1, June, 2015), 2.614394 },
-				{ Date( 1, June, 2016), 2.887445 },
-				{ Date( 1, June, 2017), 3.122128 },
-				{ Date( 1, June, 2018), 3.322511 },
-				{ Date( 3, June, 2019), 3.483997 },
-				{ Date( 1, June, 2020), 3.616896 },
-				{ Date( 1, June, 2022), 3.8281 },
-				{ Date( 2, June, 2025), 4.0341 },
-				{ Date( 3, June, 2030), 4.070854 },
-				{ Date( 1, June, 2035), 4.023202 },
-				{ Date( 1, June, 2040), 3.954748 },
-				{ Date( 1, June, 2050), 3.870953 },
-				{ Date( 1, June, 2060), 3.85298 },
-				{ Date( 2, June, 2070), 3.757542 },
-				{ Date( 3, June, 2080), 3.651379 }
-			};
-			const Size nominalDataLength = 33-1;
-			
-			std::vector<Date> nomD;
-			std::vector<Rate> nomR;
-			for (Size i = 0; i < nominalDataLength; i++) {
-				nomD.push_back(nominalData[i].date);
-				nomR.push_back(nominalData[i].rate/100.0);
-			}
-			boost::shared_ptr<YieldTermStructure>	nominalTS 
-			=	boost::shared_ptr<InterpolatedZeroCurve<Linear> 
-			>(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
-			
-			
-			nominalUK.linkTo(nominalTS);
-			
-			
+            };
+
+
+            Datum nominalData[] = {
+                { Date( 2, June, 2010), 0.499997 },
+                { Date( 3, June, 2010), 0.524992 },
+                { Date( 8, June, 2010), 0.524974 },
+                { Date( 15, June, 2010), 0.549942 },
+                { Date( 22, June, 2010), 0.549913 },
+                { Date( 1, July, 2010), 0.574864 },
+                { Date( 2, August, 2010), 0.624668 },
+                { Date( 1, September, 2010), 0.724338 },
+                { Date( 16, September, 2010), 0.769461 },
+                { Date( 1, December, 2010), 0.997501 },
+                //{ Date( 16, December, 2010), 0.838164 },
+                { Date( 17, March, 2011), 0.916996 },
+                { Date( 16, June, 2011), 0.984339 },
+                { Date( 22, September, 2011), 1.06085 },
+                { Date( 22, December, 2011), 1.141788 },
+                { Date( 1, June, 2012), 1.504426 },
+                { Date( 3, June, 2013), 1.92064 },
+                { Date( 2, June, 2014), 2.290824 },
+                { Date( 1, June, 2015), 2.614394 },
+                { Date( 1, June, 2016), 2.887445 },
+                { Date( 1, June, 2017), 3.122128 },
+                { Date( 1, June, 2018), 3.322511 },
+                { Date( 3, June, 2019), 3.483997 },
+                { Date( 1, June, 2020), 3.616896 },
+                { Date( 1, June, 2022), 3.8281 },
+                { Date( 2, June, 2025), 4.0341 },
+                { Date( 3, June, 2030), 4.070854 },
+                { Date( 1, June, 2035), 4.023202 },
+                { Date( 1, June, 2040), 3.954748 },
+                { Date( 1, June, 2050), 3.870953 },
+                { Date( 1, June, 2060), 3.85298 },
+                { Date( 2, June, 2070), 3.757542 },
+                { Date( 3, June, 2080), 3.651379 }
+            };
+            const Size nominalDataLength = 33-1;
+
+            std::vector<Date> nomD;
+            std::vector<Rate> nomR;
+            for (Size i = 0; i < nominalDataLength; i++) {
+                nomD.push_back(nominalData[i].date);
+                nomR.push_back(nominalData[i].rate/100.0);
+            }
+            boost::shared_ptr<YieldTermStructure>   nominalTS
+            =   boost::shared_ptr<InterpolatedZeroCurve<Linear>
+            >(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
+
+
+            nominalUK.linkTo(nominalTS);
+
+
             // now build the zero inflation curve
             observationLag = Period(2,Months);
-			contractObservationLag = Period(3,Months);
-			contractObservationInterpolation = CPI::Flat;
-			
+            contractObservationLag = Period(3,Months);
+            contractObservationInterpolation = CPI::Flat;
+
             Datum zciisData[] = {
                 { Date(1, June, 2011), 3.087 },
                 { Date(1, June, 2012), 3.12 },
                 { Date(1, June, 2013), 3.059 },
                 { Date(1, June, 2014), 3.11 },
-				{ Date(1, June, 2015), 3.15 },
+                { Date(1, June, 2015), 3.15 },
                 { Date(1, June, 2016), 3.207 },
-				{ Date(1, June, 2017), 3.253 },
-				{ Date(1, June, 2018), 3.288 },
+                { Date(1, June, 2017), 3.253 },
+                { Date(1, June, 2018), 3.288 },
                 { Date(1, June, 2019), 3.314 },
                 { Date(1, June, 2020), 3.401 },
-                { Date(1, June, 2022), 3.458 },  
-                { Date(1, June, 2025), 3.52 },  
-                { Date(1, June, 2030), 3.655 },  
-                { Date(1, June, 2035), 3.668 },  
+                { Date(1, June, 2022), 3.458 },
+                { Date(1, June, 2025), 3.52 },
+                { Date(1, June, 2030), 3.655 },
+                { Date(1, June, 2035), 3.668 },
                 { Date(1, June, 2040), 3.695 },
                 { Date(1, June, 2050), 3.634 },
-				{ Date(1, June, 2060), 3.629 },
+                { Date(1, June, 2060), 3.629 },
             };
-			zciisDataLength = 17;
-			for (Size i = 0; i < zciisDataLength; i++) {
-				zciisD.push_back(zciisData[i].date);
-				zciisR.push_back(zciisData[i].rate);
-			}
-			
+            zciisDataLength = 17;
+            for (Size i = 0; i < zciisDataLength; i++) {
+                zciisD.push_back(zciisData[i].date);
+                zciisR.push_back(zciisData[i].rate);
+            }
+
             // now build the helpers ...
             std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
-			makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
-			ZeroInflationIndex>(zciisData, zciisDataLength, ii,
-								observationLag,
-								calendar, convention, dcZCIIS);
-			
-			// we can use historical or first ZCIIS for this
-			// we know historical is WAY off market-implied, so use market implied flat.
+            makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
+            ZeroInflationIndex>(zciisData, zciisDataLength, ii,
+                                observationLag,
+                                calendar, convention, dcZCIIS);
+
+            // we can use historical or first ZCIIS for this
+            // we know historical is WAY off market-implied, so use market implied flat.
             baseZeroRate = zciisData[0].rate/100.0;
             boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pCPIts(
-								new PiecewiseZeroInflationCurve<Linear>(
-									evaluationDate, calendar, dcZCIIS, observationLag,
-									ii->frequency(),ii->interpolated(), baseZeroRate,
-									Handle<YieldTermStructure>(nominalTS), helpers));
+                                new PiecewiseZeroInflationCurve<Linear>(
+                                    evaluationDate, calendar, dcZCIIS, observationLag,
+                                    ii->frequency(),ii->interpolated(), baseZeroRate,
+                                    Handle<YieldTermStructure>(nominalTS), helpers));
             pCPIts->recalculate();
             cpiUK.linkTo(pCPIts);
-			hii.linkTo(ii);
-			
+            hii.linkTo(ii);
+
             // make sure that the index has the latest zero inflation term structure
             hcpi.linkTo(pCPIts);
-			
-			// cpi CF price surf data
-			Period cfMat[] = {3*Years, 5*Years, 7*Years, 10*Years, 15*Years, 20*Years, 30*Years};
-			Real cStrike[] = {3, 4, 5, 6};
-			Real fStrike[] = {-1, 0, 1, 2};
-			Size ncStrikes = 4, nfStrikes = 4, ncfMaturities = 7;
-			
-			Real cPrice[7][4] = {
-				{227.6, 100.27, 38.8, 14.94}, 
-				{345.32, 127.9, 40.59, 14.11}, 
-				{477.95, 170.19, 50.62, 16.88}, 
-				{757.81, 303.95, 107.62, 43.61}, 
-				{1140.73, 481.89, 168.4, 63.65}, 
-				{1537.6, 607.72, 172.27, 54.87}, 
-				{2211.67, 839.24, 184.75, 45.03}};
-			Real fPrice[7][4] = {
-				{15.62, 28.38, 53.61, 104.6}, 
-				{21.45, 36.73, 66.66, 129.6}, 
-				{24.45, 42.08, 77.04, 152.24}, 
-				{39.25, 63.52, 109.2, 203.44}, 
-				{36.82, 63.62, 116.97, 232.73}, 
-				{39.7, 67.47, 121.79, 238.56}, 
-				{41.48, 73.9, 139.75, 286.75}};
-			
-			// now load the data into vector and Matrix classes
-			cStrikesUK.clear();
-			fStrikesUK.clear();
-			cfMaturitiesUK.clear();
-			for(Size i = 0; i < ncStrikes; i++) cStrikesUK.push_back(cStrike[i]);
-			for(Size i = 0; i < nfStrikes; i++) fStrikesUK.push_back(fStrike[i]);
-			for(Size i = 0; i < ncfMaturities; i++) cfMaturitiesUK.push_back(cfMat[i]);
-			cPriceUK = boost::shared_ptr<Matrix>(new Matrix(ncStrikes, ncfMaturities));
-			fPriceUK = boost::shared_ptr<Matrix>(new Matrix(nfStrikes, ncfMaturities));
-			for(Size i = 0; i < ncStrikes; i++) {
-				for(Size j = 0; j < ncfMaturities; j++) {
-					(*cPriceUK)[i][j] = cPrice[j][i]/10000.0;
-				}
-			}
-			for(Size i = 0; i < nfStrikes; i++) {
-				for(Size j = 0; j < ncfMaturities; j++) {
-					(*fPriceUK)[i][j] = fPrice[j][i]/10000.0;
-				}
-			}
-			
-			
-			
+
+            // cpi CF price surf data
+            Period cfMat[] = {3*Years, 5*Years, 7*Years, 10*Years, 15*Years, 20*Years, 30*Years};
+            Real cStrike[] = {3, 4, 5, 6};
+            Real fStrike[] = {-1, 0, 1, 2};
+            Size ncStrikes = 4, nfStrikes = 4, ncfMaturities = 7;
+
+            Real cPrice[7][4] = {
+                {227.6, 100.27, 38.8, 14.94},
+                {345.32, 127.9, 40.59, 14.11},
+                {477.95, 170.19, 50.62, 16.88},
+                {757.81, 303.95, 107.62, 43.61},
+                {1140.73, 481.89, 168.4, 63.65},
+                {1537.6, 607.72, 172.27, 54.87},
+                {2211.67, 839.24, 184.75, 45.03}};
+            Real fPrice[7][4] = {
+                {15.62, 28.38, 53.61, 104.6},
+                {21.45, 36.73, 66.66, 129.6},
+                {24.45, 42.08, 77.04, 152.24},
+                {39.25, 63.52, 109.2, 203.44},
+                {36.82, 63.62, 116.97, 232.73},
+                {39.7, 67.47, 121.79, 238.56},
+                {41.48, 73.9, 139.75, 286.75}};
+
+            // now load the data into vector and Matrix classes
+            cStrikesUK.clear();
+            fStrikesUK.clear();
+            cfMaturitiesUK.clear();
+            for(Size i = 0; i < ncStrikes; i++) cStrikesUK.push_back(cStrike[i]);
+            for(Size i = 0; i < nfStrikes; i++) fStrikesUK.push_back(fStrike[i]);
+            for(Size i = 0; i < ncfMaturities; i++) cfMaturitiesUK.push_back(cfMat[i]);
+            cPriceUK = boost::shared_ptr<Matrix>(new Matrix(ncStrikes, ncfMaturities));
+            fPriceUK = boost::shared_ptr<Matrix>(new Matrix(nfStrikes, ncfMaturities));
+            for(Size i = 0; i < ncStrikes; i++) {
+                for(Size j = 0; j < ncfMaturities; j++) {
+                    (*cPriceUK)[i][j] = cPrice[j][i]/10000.0;
+                }
+            }
+            for(Size i = 0; i < nfStrikes; i++) {
+                for(Size j = 0; j < ncfMaturities; j++) {
+                    (*fPriceUK)[i][j] = fPrice[j][i]/10000.0;
+                }
+            }
+
+
+
         }
-		
-		
+
+
     };
-	
+
     bool checkAbsError(Real x1, Real x2, Real tolerance){
         return std::fabs(x1 - x2) < tolerance;
     }
 }
 
-	
-	
+
+
 void InflationCPICapFloorTest::cpicapfloorpricesurface() {
-	
-	// check inflation leg vs calculation directly from inflation TS
-	CommonVars common;
-
-	
-	Real nominal = 1.0;
-	InterpolatedCPICapFloorTermPriceSurface
-	<Bilinear> cpiSurf(nominal, 
-					   common.baseZeroRate,
-					   common.observationLag,
-					   common.calendar,
-					   common.convention,
-					   common.dcZCIIS,
-					   common.hii,
-					   common.nominalUK,
-					   common.cStrikesUK,
-					   common.fStrikesUK,
-					   common.cfMaturitiesUK,
-					   *(common.cPriceUK),
-					   *(common.fPriceUK));
-	
-	// test code - note order of indices
-	 for (Size i =0; i<common.fStrikesUK.size(); i++){
-		 
-		 Real qK = common.fStrikesUK[i];
-		 Size nMat = common.cfMaturitiesUK.size();
-		 for (Size j=0; j<nMat; j++) {
-			 Period t = common.cfMaturitiesUK[j];
-			 Real a = (*(common.fPriceUK))[i][j];
-			 Real b = cpiSurf.floorPrice(t,qK);
-			 
-			 QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi floor data from surface: "
-						<< a << " vs constructed = " << b);
-		 }
-		 
-	 }
-	 
-	for (Size i =0; i<common.cStrikesUK.size(); i++){
-		
-		Real qK = common.cStrikesUK[i];
-		Size nMat = common.cfMaturitiesUK.size();
-		for (Size j=0; j<nMat; j++) {
-			Period t = common.cfMaturitiesUK[j];
-			Real a = (*(common.cPriceUK))[i][j];
-			Real b = cpiSurf.capPrice(t,qK);
-			
-			QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi cap data from surface: "
-					   << a << " vs constructed = " << b);
-		}
-	}
-	
-			
-		
+
+    // check inflation leg vs calculation directly from inflation TS
+    CommonVars common;
+
+
+    Real nominal = 1.0;
+    InterpolatedCPICapFloorTermPriceSurface
+    <Bilinear> cpiSurf(nominal,
+                       common.baseZeroRate,
+                       common.observationLag,
+                       common.calendar,
+                       common.convention,
+                       common.dcZCIIS,
+                       common.hii,
+                       common.nominalUK,
+                       common.cStrikesUK,
+                       common.fStrikesUK,
+                       common.cfMaturitiesUK,
+                       *(common.cPriceUK),
+                       *(common.fPriceUK));
+
+    // test code - note order of indices
+     for (Size i =0; i<common.fStrikesUK.size(); i++){
+
+         Real qK = common.fStrikesUK[i];
+         Size nMat = common.cfMaturitiesUK.size();
+         for (Size j=0; j<nMat; j++) {
+             Period t = common.cfMaturitiesUK[j];
+             Real a = (*(common.fPriceUK))[i][j];
+             Real b = cpiSurf.floorPrice(t,qK);
+
+             QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi floor data from surface: "
+                        << a << " vs constructed = " << b);
+         }
+
+     }
+
+    for (Size i =0; i<common.cStrikesUK.size(); i++){
+
+        Real qK = common.cStrikesUK[i];
+        Size nMat = common.cfMaturitiesUK.size();
+        for (Size j=0; j<nMat; j++) {
+            Period t = common.cfMaturitiesUK[j];
+            Real a = (*(common.cPriceUK))[i][j];
+            Real b = cpiSurf.capPrice(t,qK);
+
+            QL_REQUIRE(fabs(a-b)<1e-7,"cannot reproduce cpi cap data from surface: "
+                       << a << " vs constructed = " << b);
+        }
+    }
+
+
+
 }
 
 
 void InflationCPICapFloorTest::cpicapfloorpricer() {
 
-	CommonVars common;
-	Real nominal = 1.0;
-	boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFpriceSurf(new InterpolatedCPICapFloorTermPriceSurface
-													<Bilinear>(nominal, 
-															   common.baseZeroRate,
-															   common.observationLag,
-															   common.calendar,
-															   common.convention,
-															   common.dcZCIIS,
-															   common.hii,
-															   common.nominalUK,
-															   common.cStrikesUK,
-															   common.fStrikesUK,
-															   common.cfMaturitiesUK,
-															   *(common.cPriceUK),
-															   *(common.fPriceUK)));
-	
-	common.cpiCFsurfUK = cpiCFpriceSurf;
-	
-	// interpolation pricer first
-	// N.B. no new instrument required but we do need a new pricer
-	
-	Date startDate = Settings::instance().evaluationDate();
-	Date maturity(startDate + Period(3,Years));
-	Calendar fixCalendar = UnitedKingdom(), payCalendar = UnitedKingdom();
-	BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
-	Rate strike(0.03);
-	Real baseCPI = common.hii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
+    CommonVars common;
+    Real nominal = 1.0;
+    boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFpriceSurf(new InterpolatedCPICapFloorTermPriceSurface
+                                                    <Bilinear>(nominal,
+                                                               common.baseZeroRate,
+                                                               common.observationLag,
+                                                               common.calendar,
+                                                               common.convention,
+                                                               common.dcZCIIS,
+                                                               common.hii,
+                                                               common.nominalUK,
+                                                               common.cStrikesUK,
+                                                               common.fStrikesUK,
+                                                               common.cfMaturitiesUK,
+                                                               *(common.cPriceUK),
+                                                               *(common.fPriceUK)));
+
+    common.cpiCFsurfUK = cpiCFpriceSurf;
+
+    // interpolation pricer first
+    // N.B. no new instrument required but we do need a new pricer
+
+    Date startDate = Settings::instance().evaluationDate();
+    Date maturity(startDate + Period(3,Years));
+    Calendar fixCalendar = UnitedKingdom(), payCalendar = UnitedKingdom();
+    BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
+    Rate strike(0.03);
+    Real baseCPI = common.hii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
     CPI::InterpolationType observationInterpolation = CPI::AsIndex;
-	CPICapFloor aCap(Option::Call,
-					 nominal,
-					 startDate,   // start date of contract (only)
-					 baseCPI,
-					 maturity,    // this is pre-adjustment!
-					 fixCalendar,
-					 fixConvention,
-					 payCalendar,
-					 payConvention,
-					 strike,
-					 common.hii,
-					 common.observationLag,
-					 observationInterpolation);
-	
-	Handle<CPICapFloorTermPriceSurface> cpiCFsurfUKh(common.cpiCFsurfUK);
-	boost::shared_ptr<PricingEngine>engine(new InterpolatingCPICapFloorEngine(cpiCFsurfUKh));
-	
-	aCap.setPricingEngine(engine);
-	
-	Date d = common.cpiCFsurfUK->cpiOptionDateFromTenor(Period(3,Years));
-	
-	
-	Real cached = cpiCFsurfUKh->capPrice(d, strike);
-	QL_REQUIRE(fabs(cached - aCap.NPV())<1e-10,"InterpolatingCPICapFloorEngine does not reproduce cached price: "
-			   << cached << " vs " << aCap.NPV());
+    CPICapFloor aCap(Option::Call,
+                     nominal,
+                     startDate,   // start date of contract (only)
+                     baseCPI,
+                     maturity,    // this is pre-adjustment!
+                     fixCalendar,
+                     fixConvention,
+                     payCalendar,
+                     payConvention,
+                     strike,
+                     common.hii,
+                     common.observationLag,
+                     observationInterpolation);
+
+    Handle<CPICapFloorTermPriceSurface> cpiCFsurfUKh(common.cpiCFsurfUK);
+    boost::shared_ptr<PricingEngine>engine(new InterpolatingCPICapFloorEngine(cpiCFsurfUKh));
+
+    aCap.setPricingEngine(engine);
+
+    Date d = common.cpiCFsurfUK->cpiOptionDateFromTenor(Period(3,Years));
+
+
+    Real cached = cpiCFsurfUKh->capPrice(d, strike);
+    QL_REQUIRE(fabs(cached - aCap.NPV())<1e-10,"InterpolatingCPICapFloorEngine does not reproduce cached price: "
+               << cached << " vs " << aCap.NPV());
 }
 
 
 
 
 test_suite* InflationCPICapFloorTest::suite() {
-	test_suite* suite = BOOST_TEST_SUITE("CPIswaption tests");
-	
-	suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricesurface));
-	suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricer));
-	
-	return suite;
+    test_suite* suite = BOOST_TEST_SUITE("CPIswaption tests");
+
+    suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricesurface));
+    suite->add(QUANTLIB_TEST_CASE(&InflationCPICapFloorTest::cpicapfloorpricer));
+
+    return suite;
 }
 
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index c8bef94616..39f6fb8fdb 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -34,37 +34,37 @@ namespace {
         Date date;
         Rate rate;
     };
-	
+
     template <class T, class U, class I>
     std::vector<boost::shared_ptr<BootstrapHelper<T> > > makeHelpers(
-		Datum iiData[], Size N,
-		const boost::shared_ptr<I> &ii, const Period &observationLag,
-		const Calendar &calendar,
-		const BusinessDayConvention &bdc,
-		const DayCounter &dc) {
-		
+        Datum iiData[], Size N,
+        const boost::shared_ptr<I> &ii, const Period &observationLag,
+        const Calendar &calendar,
+        const BusinessDayConvention &bdc,
+        const DayCounter &dc) {
+
         std::vector<boost::shared_ptr<BootstrapHelper<T> > > instruments;
         for (Size i=0; i<N; i++) {
             Date maturity = iiData[i].date;
             Handle<Quote> quote(boost::shared_ptr<Quote>(
-								new SimpleQuote(iiData[i].rate/100.0)));
+                                new SimpleQuote(iiData[i].rate/100.0)));
             boost::shared_ptr<BootstrapHelper<T> > anInstrument(new U(
-								quote, observationLag, maturity,
-								calendar, bdc, dc, ii));
+                                quote, observationLag, maturity,
+                                calendar, bdc, dc, ii));
             instruments.push_back(anInstrument);
         }
-		
+
         return instruments;
     }
-	
-	
-	struct CommonVars {
+
+
+    struct CommonVars {
         // common data
-		
+
         Size length;
         Date startDate;
         Real volatility;
-		
+
         Frequency frequency;
         std::vector<Real> nominals;
         Calendar calendar;
@@ -76,18 +76,18 @@ namespace {
         Period observationLag, contractObservationLag;
         CPI::InterpolationType contractObservationInterpolation;
         DayCounter dcZCIIS,dcNominal;
-		std::vector<Date> zciisD;
-		std::vector<Rate> zciisR;
+        std::vector<Date> zciisD;
+        std::vector<Rate> zciisR;
         boost::shared_ptr<UKRPI> ii;
-		Size zciisDataLength;
-		
+        Size zciisDataLength;
+
         RelinkableHandle<YieldTermStructure> nominalTS;
         boost::shared_ptr<ZeroInflationTermStructure> cpiTS;
-		
+
         // cleanup
-		
+
         SavedSettings backup;
-		
+
         // setup
         CommonVars() {
 
@@ -107,404 +107,404 @@ namespace {
             settlement = calendar.advance(today,settlementDays,Days);
             startDate = settlement;
             dcZCIIS = ActualActual();
-			dcNominal = ActualActual();
-			
+            dcNominal = ActualActual();
+
             // uk rpi index
             //      fixing data
             Date from(20, July, 2007);
-			//Date from(20, July, 2008);
+            //Date from(20, July, 2008);
             Date to(20, November, 2009);
             Schedule rpiSchedule = MakeSchedule().from(from).to(to)
             .withTenor(1*Months)
             .withCalendar(UnitedKingdom())
             .withConvention(ModifiedFollowing);
-            Real fixData[] = { 
-				206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
-				209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
-				216.5, 217.2, 218.4, 217.7, 216,
-				212.9, 210.1, 211.4, 211.3, 211.5,
-				212.8, 213.4, 213.4, 213.4, 214.4,
-				-999.0, -999.0 };
-			
+            Real fixData[] = {
+                206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
+                209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
+                216.5, 217.2, 218.4, 217.7, 216,
+                212.9, 210.1, 211.4, 211.3, 211.5,
+                212.8, 213.4, 213.4, 213.4, 214.4,
+                -999.0, -999.0 };
+
             // link from cpi index to cpi TS
             RelinkableHandle<ZeroInflationTermStructure> hcpi;
             bool interp = false;// this MUST be false because the observation lag is only 2 months
-								// for ZCIIS; but not for contract if the contract uses a bigger lag.
+                                // for ZCIIS; but not for contract if the contract uses a bigger lag.
             ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
             for (Size i=0; i<rpiSchedule.size();i++) {
                 ii->addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use
-			};
-			
-			
-			Datum nominalData[] = {
-				{ Date(26, November, 2009), 0.475 },
-				{ Date(2, December, 2009), 0.47498 },
-				{ Date(29, December, 2009), 0.49988 },
-				{ Date(25, February, 2010), 0.59955 },
-				{ Date(18, March, 2010), 0.65361 },
-				{ Date(25, May, 2010), 0.82830 },
-				//	{ Date(17, June, 2010), 0.7 },	// can't boostrap with this data point
-				{ Date(16, September, 2010), 0.78960 },
-				{ Date(16, December, 2010), 0.93762 },
-				{ Date(17, March, 2011), 1.12037 },
-				{ Date(16, June, 2011), 1.31308 },
-				{ Date(22, September, 2011),1.52011 },
-				{ Date(25, November, 2011),	1.78399 },
-				{ Date(26, November, 2012),	2.41170 },
-				{ Date(25, November, 2013),	2.83935 },
-				{ Date(25, November, 2014),	3.12888 },
-				{ Date(25, November, 2015),	3.34298 },
-				{ Date(25, November, 2016),	3.50632 },
-				{ Date(27, November, 2017),	3.63666 },
-				{ Date(26, November, 2018),	3.74723 },
-				{ Date(25, November, 2019),	3.83988 },
-				{ Date(25, November, 2021),	4.00508 },
-				{ Date(25, November, 2024),	4.16042 },
-				{ Date(26, November, 2029),	4.15577 },
-				{ Date(27, November, 2034),	4.04933 },
-				{ Date(25, November, 2039),	3.95217 },
-				{ Date(25, November, 2049),	3.80932 },
-				{ Date(25, November, 2059),	3.80849 },
-				{ Date(25, November, 2069),	3.72677 },
-				{ Date(27, November, 2079),	3.63082 }
-			};
-			const Size nominalDataLength = 30-1;
-			
-			std::vector<Date> nomD;
-			std::vector<Rate> nomR;
-			for (Size i = 0; i < nominalDataLength; i++) {
-				nomD.push_back(nominalData[i].date);
-				nomR.push_back(nominalData[i].rate/100.0);
-			}
-			boost::shared_ptr<YieldTermStructure> nominal =
-			boost::shared_ptr<InterpolatedZeroCurve<Linear> 
-			>(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
-			
-			
-			nominalTS.linkTo(nominal);
-			
+            };
+
+
+            Datum nominalData[] = {
+                { Date(26, November, 2009), 0.475 },
+                { Date(2, December, 2009), 0.47498 },
+                { Date(29, December, 2009), 0.49988 },
+                { Date(25, February, 2010), 0.59955 },
+                { Date(18, March, 2010), 0.65361 },
+                { Date(25, May, 2010), 0.82830 },
+                //  { Date(17, June, 2010), 0.7 },  // can't boostrap with this data point
+                { Date(16, September, 2010), 0.78960 },
+                { Date(16, December, 2010), 0.93762 },
+                { Date(17, March, 2011), 1.12037 },
+                { Date(16, June, 2011), 1.31308 },
+                { Date(22, September, 2011),1.52011 },
+                { Date(25, November, 2011), 1.78399 },
+                { Date(26, November, 2012), 2.41170 },
+                { Date(25, November, 2013), 2.83935 },
+                { Date(25, November, 2014), 3.12888 },
+                { Date(25, November, 2015), 3.34298 },
+                { Date(25, November, 2016), 3.50632 },
+                { Date(27, November, 2017), 3.63666 },
+                { Date(26, November, 2018), 3.74723 },
+                { Date(25, November, 2019), 3.83988 },
+                { Date(25, November, 2021), 4.00508 },
+                { Date(25, November, 2024), 4.16042 },
+                { Date(26, November, 2029), 4.15577 },
+                { Date(27, November, 2034), 4.04933 },
+                { Date(25, November, 2039), 3.95217 },
+                { Date(25, November, 2049), 3.80932 },
+                { Date(25, November, 2059), 3.80849 },
+                { Date(25, November, 2069), 3.72677 },
+                { Date(27, November, 2079), 3.63082 }
+            };
+            const Size nominalDataLength = 30-1;
+
+            std::vector<Date> nomD;
+            std::vector<Rate> nomR;
+            for (Size i = 0; i < nominalDataLength; i++) {
+                nomD.push_back(nominalData[i].date);
+                nomR.push_back(nominalData[i].rate/100.0);
+            }
+            boost::shared_ptr<YieldTermStructure> nominal =
+            boost::shared_ptr<InterpolatedZeroCurve<Linear>
+            >(new InterpolatedZeroCurve<Linear>(nomD,nomR,dcNominal));
+
+
+            nominalTS.linkTo(nominal);
+
             // now build the zero inflation curve
             observationLag = Period(2,Months);
-			contractObservationLag = Period(3,Months);
-			contractObservationInterpolation = CPI::Flat;
-			
+            contractObservationLag = Period(3,Months);
+            contractObservationInterpolation = CPI::Flat;
+
             Datum zciisData[] = {
                 { Date(25, November, 2010), 3.0495 },
                 { Date(25, November, 2011), 2.93 },
                 { Date(26, November, 2012), 2.9795 },
                 { Date(25, November, 2013), 3.029 },
                 { Date(25, November, 2014), 3.1425 },
-				{ Date(25, November, 2015), 3.211 },
+                { Date(25, November, 2015), 3.211 },
                 { Date(25, November, 2016), 3.2675 },
-				{ Date(25, November, 2017), 3.3625 },
-				{ Date(25, November, 2018), 3.405 },
+                { Date(25, November, 2017), 3.3625 },
+                { Date(25, November, 2018), 3.405 },
                 { Date(25, November, 2019), 3.48 },
                 { Date(25, November, 2021), 3.576 },
-                { Date(25, November, 2024), 3.649 },  
-                { Date(26, November, 2029), 3.751 },  
-                { Date(27, November, 2034), 3.77225 },  
-                { Date(25, November, 2039), 3.77 },  
+                { Date(25, November, 2024), 3.649 },
+                { Date(26, November, 2029), 3.751 },
+                { Date(27, November, 2034), 3.77225 },
+                { Date(25, November, 2039), 3.77 },
                 { Date(25, November, 2049), 3.734 },
                 { Date(25, November, 2059), 3.714 },
             };
-			zciisDataLength = 17;
-			for (Size i = 0; i < zciisDataLength; i++) {
-				zciisD.push_back(zciisData[i].date);
-				zciisR.push_back(zciisData[i].rate);
-			}
-			
+            zciisDataLength = 17;
+            for (Size i = 0; i < zciisDataLength; i++) {
+                zciisD.push_back(zciisData[i].date);
+                zciisR.push_back(zciisData[i].rate);
+            }
+
             // now build the helpers ...
             std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
-			makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
-			ZeroInflationIndex>(zciisData, zciisDataLength, ii,
-								observationLag,
-								calendar, convention, dcZCIIS);
-			
-			// we can use historical or first ZCIIS for this
-			// we know historical is WAY off market-implied, so use market implied flat.
+            makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
+            ZeroInflationIndex>(zciisData, zciisDataLength, ii,
+                                observationLag,
+                                calendar, convention, dcZCIIS);
+
+            // we can use historical or first ZCIIS for this
+            // we know historical is WAY off market-implied, so use market implied flat.
             Rate baseZeroRate = zciisData[0].rate/100.0;
             boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pCPIts(
-								new PiecewiseZeroInflationCurve<Linear>(
-									evaluationDate, calendar, dcZCIIS, observationLag,
-									ii->frequency(),ii->interpolated(), baseZeroRate,
-									Handle<YieldTermStructure>(nominalTS), helpers));
+                                new PiecewiseZeroInflationCurve<Linear>(
+                                    evaluationDate, calendar, dcZCIIS, observationLag,
+                                    ii->frequency(),ii->interpolated(), baseZeroRate,
+                                    Handle<YieldTermStructure>(nominalTS), helpers));
             pCPIts->recalculate();
             cpiTS = boost::dynamic_pointer_cast<ZeroInflationTermStructure>(pCPIts);
-			
-			
+
+
             // make sure that the index has the latest zero inflation term structure
             hcpi.linkTo(pCPIts);
         }
-		
-		
+
+
     };
-	
+
     bool checkAbsError(Real x1, Real x2, Real tolerance){
         return std::fabs(x1 - x2) < tolerance;
     }
 }
 
-	
-	
+
+
 void CPISwapTest::consistency() {
-	
-	// check inflation leg vs calculation directly from inflation TS
-	CommonVars common;
-
-	// ZeroInflationSwap aka CPISwap
-	
-	CPIswap::Type type = CPIswap::Payer;
-	Real nominal = 1000000.0;
-	bool subtractInflationNominal = true;
-	// float+spread leg
-	Spread spread = 0.0;
-	DayCounter floatDayCount = Actual365Fixed();
-	BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
-	Natural fixingDays = 0;
-	boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months), 
-														 common.nominalTS));
-	
-	// fixed x inflation leg
-	Rate fixedRate = 0.1;//1% would be 0.01
-	Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
-	DayCounter fixedDayCount = Actual365Fixed();
-	BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
-	Calendar fixedPaymentCalendar = UnitedKingdom();
-	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
-	Period contractObservationLag = common.contractObservationLag;
+
+    // check inflation leg vs calculation directly from inflation TS
+    CommonVars common;
+
+    // ZeroInflationSwap aka CPISwap
+
+    CPIswap::Type type = CPIswap::Payer;
+    Real nominal = 1000000.0;
+    bool subtractInflationNominal = true;
+    // float+spread leg
+    Spread spread = 0.0;
+    DayCounter floatDayCount = Actual365Fixed();
+    BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
+    Natural fixingDays = 0;
+    boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months),
+                                                         common.nominalTS));
+
+    // fixed x inflation leg
+    Rate fixedRate = 0.1;//1% would be 0.01
+    Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
+    DayCounter fixedDayCount = Actual365Fixed();
+    BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
+    Calendar fixedPaymentCalendar = UnitedKingdom();
+    boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
+    Period contractObservationLag = common.contractObservationLag;
     CPI::InterpolationType observationInterpolation = common.contractObservationInterpolation;
-	
-	// set the schedules
-	Date startDate(2, October, 2007);
-	Date endDate(2, October, 2052);
-	Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
-	.withTenor(Period(6,Months))
-	.withCalendar(UnitedKingdom())
-	.withConvention(floatPaymentConvention)
-	.backwards()
-	;
-	Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
-	.withTenor(Period(6,Months))
-	.withCalendar(UnitedKingdom())
-	.withConvention(Unadjusted)
-	.backwards()
-	;
-	
-	
-	CPIswap zisV(type, nominal, subtractInflationNominal,
-				 spread, floatDayCount, floatSchedule,
-				 floatPaymentConvention, fixingDays, floatIndex,
-				 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
-				 fixedPaymentConvention, contractObservationLag, 
-				 fixedIndex, observationInterpolation);
-	Date baseDate = floatSchedule[0] - contractObservationLag;
-	Date asofDate = Settings::instance().evaluationDate();	
-
-	Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
-	Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
-	for(Size i=0;i<floatSchedule.size(); i++){
-		if (floatSchedule[i] < common.evaluationDate) {
-			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
-		}
-		
-		boost::shared_ptr<CPICoupon> 
-		zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
-		if (zic) {
-			if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
-				fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
-			}
-		}
-	}
-	
-	
-	// simple structure so simple pricing engine - most work done by index 
-	boost::shared_ptr<DiscountingSwapEngine> 
-		dse(new DiscountingSwapEngine(common.nominalTS));
-	
-	zisV.setPricingEngine(dse);
-	
-	// get float+spread & fixed*inflation leg prices separately
-	Real testInfLegNPV = 0.0;
-	for(Size i=0;i<zisV.leg(0).size(); i++){
-		 
-		Date zicPayDate = (zisV.leg(0))[i]->date();
-		if(zicPayDate > asofDate) {
-			testInfLegNPV += (zisV.leg(0))[i]->amount()*common.nominalTS->discount(zicPayDate);
-		}
-		
-		boost::shared_ptr<CPICoupon>
-			zicV = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
-		if (zicV) {
-			Real diff = fabs( zicV->rate() - (fixedRate*(zicV->indexFixing()/baseCPI)) );
-			QL_REQUIRE(diff<1e-8,"failed "<<i<<"th coupon reconstruction as " 
-					   << (fixedRate*(zicV->indexFixing()/baseCPI)) << " vs rate = "
-					   <<zicV->rate() << ", with difference: " << diff);
-		} 
-	}
-	
-	Real error = fabs(testInfLegNPV - zisV.legNPV(0));
-	QL_REQUIRE(error<1e-5,
+
+    // set the schedules
+    Date startDate(2, October, 2007);
+    Date endDate(2, October, 2052);
+    Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
+    .withTenor(Period(6,Months))
+    .withCalendar(UnitedKingdom())
+    .withConvention(floatPaymentConvention)
+    .backwards()
+    ;
+    Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
+    .withTenor(Period(6,Months))
+    .withCalendar(UnitedKingdom())
+    .withConvention(Unadjusted)
+    .backwards()
+    ;
+
+
+    CPIswap zisV(type, nominal, subtractInflationNominal,
+                 spread, floatDayCount, floatSchedule,
+                 floatPaymentConvention, fixingDays, floatIndex,
+                 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
+                 fixedPaymentConvention, contractObservationLag,
+                 fixedIndex, observationInterpolation);
+    Date baseDate = floatSchedule[0] - contractObservationLag;
+    Date asofDate = Settings::instance().evaluationDate();
+
+    Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+    Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+    for(Size i=0;i<floatSchedule.size(); i++){
+        if (floatSchedule[i] < common.evaluationDate) {
+            floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
+        }
+
+        boost::shared_ptr<CPICoupon>
+        zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+        if (zic) {
+            if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
+                fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
+            }
+        }
+    }
+
+
+    // simple structure so simple pricing engine - most work done by index
+    boost::shared_ptr<DiscountingSwapEngine>
+        dse(new DiscountingSwapEngine(common.nominalTS));
+
+    zisV.setPricingEngine(dse);
+
+    // get float+spread & fixed*inflation leg prices separately
+    Real testInfLegNPV = 0.0;
+    for(Size i=0;i<zisV.leg(0).size(); i++){
+
+        Date zicPayDate = (zisV.leg(0))[i]->date();
+        if(zicPayDate > asofDate) {
+            testInfLegNPV += (zisV.leg(0))[i]->amount()*common.nominalTS->discount(zicPayDate);
+        }
+
+        boost::shared_ptr<CPICoupon>
+            zicV = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+        if (zicV) {
+            Real diff = fabs( zicV->rate() - (fixedRate*(zicV->indexFixing()/baseCPI)) );
+            QL_REQUIRE(diff<1e-8,"failed "<<i<<"th coupon reconstruction as "
+                       << (fixedRate*(zicV->indexFixing()/baseCPI)) << " vs rate = "
+                       <<zicV->rate() << ", with difference: " << diff);
+        }
+    }
+
+    Real error = fabs(testInfLegNPV - zisV.legNPV(0));
+    QL_REQUIRE(error<1e-5,
                "failed manual inf leg NPV calc vs pricing engine: " <<
                testInfLegNPV << " vs " << zisV.legNPV(0));
-	
-	Real diff = fabs(1-zisV.NPV()/4191660.0);
-	QL_REQUIRE(diff<1e-5,
+
+    Real diff = fabs(1-zisV.NPV()/4191660.0);
+    QL_REQUIRE(diff<1e-5,
                "failed stored consistency value test, ratio = " << diff);
 }
 
 
 void CPISwapTest::zciisconsistency() {
-	CommonVars common;
-
-	ZeroCouponInflationSwap::Type ztype = ZeroCouponInflationSwap::Payer;
-	Real  nominal = 1000000.0;
-	Date startDate(common.evaluationDate);
-	Date endDate(25, November, 2059);
-	Calendar cal = UnitedKingdom();
-	BusinessDayConvention paymentConvention = ModifiedFollowing;
-	DayCounter dummyDC, dc = ActualActual();
-	Period observationLag(2,Months);
-	
-	Rate quote = 0.03714;
-	ZeroCouponInflationSwap zciis(ztype, nominal, startDate, endDate, cal, 
-								  paymentConvention, dc, quote, common.ii, 
-								  observationLag);
-	
-	// simple structure so simple pricing engine - most work done by index 
-	boost::shared_ptr<DiscountingSwapEngine> 
-	dse(new DiscountingSwapEngine(common.nominalTS));
-	
-	zciis.setPricingEngine(dse);
-	QL_REQUIRE(fabs(zciis.NPV())<1e-3,"zciis does not reprice to zero");
-	
-	std::vector<Date> oneDate;
-	oneDate.push_back(endDate);
-	Schedule schOneDate(oneDate, cal, paymentConvention);
-	
-	CPIswap::Type stype = CPIswap::Payer;
-	Real inflationNominal = nominal;
-	Real floatNominal = inflationNominal * std::pow(1.0+quote,50);
-	bool subtractInflationNominal = true;
-	Real dummySpread=0.0, dummyFixedRate=0.0;
-	Natural fixingDays = 0;
-	Date baseDate = startDate - observationLag;
-	Real baseCPI = common.ii->fixing(baseDate);
-	 
-	boost::shared_ptr<IborIndex> dummyFloatIndex;
-	  
-	CPIswap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
-			   paymentConvention, fixingDays, dummyFloatIndex, 
-			   dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
-			   common.ii, CPI::AsIndex, inflationNominal);
-	
-	cS.setPricingEngine(dse);
-	QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPIswap as ZCIIS does not reprice to zero");
-
-	for (Size i=0; i<2; i++) {
-		QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPIswap leg");
-	}
+    CommonVars common;
+
+    ZeroCouponInflationSwap::Type ztype = ZeroCouponInflationSwap::Payer;
+    Real  nominal = 1000000.0;
+    Date startDate(common.evaluationDate);
+    Date endDate(25, November, 2059);
+    Calendar cal = UnitedKingdom();
+    BusinessDayConvention paymentConvention = ModifiedFollowing;
+    DayCounter dummyDC, dc = ActualActual();
+    Period observationLag(2,Months);
+
+    Rate quote = 0.03714;
+    ZeroCouponInflationSwap zciis(ztype, nominal, startDate, endDate, cal,
+                                  paymentConvention, dc, quote, common.ii,
+                                  observationLag);
+
+    // simple structure so simple pricing engine - most work done by index
+    boost::shared_ptr<DiscountingSwapEngine>
+    dse(new DiscountingSwapEngine(common.nominalTS));
+
+    zciis.setPricingEngine(dse);
+    QL_REQUIRE(fabs(zciis.NPV())<1e-3,"zciis does not reprice to zero");
+
+    std::vector<Date> oneDate;
+    oneDate.push_back(endDate);
+    Schedule schOneDate(oneDate, cal, paymentConvention);
+
+    CPIswap::Type stype = CPIswap::Payer;
+    Real inflationNominal = nominal;
+    Real floatNominal = inflationNominal * std::pow(1.0+quote,50);
+    bool subtractInflationNominal = true;
+    Real dummySpread=0.0, dummyFixedRate=0.0;
+    Natural fixingDays = 0;
+    Date baseDate = startDate - observationLag;
+    Real baseCPI = common.ii->fixing(baseDate);
+
+    boost::shared_ptr<IborIndex> dummyFloatIndex;
+
+    CPIswap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
+               paymentConvention, fixingDays, dummyFloatIndex,
+               dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
+               common.ii, CPI::AsIndex, inflationNominal);
+
+    cS.setPricingEngine(dse);
+    QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPIswap as ZCIIS does not reprice to zero");
+
+    for (Size i=0; i<2; i++) {
+        QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPIswap leg");
+    }
 }
 
 
 void CPISwapTest::cpibondconsistency() {
-	CommonVars common;
-	
-	// ZeroInflationSwap aka CPISwap
-	
-	CPIswap::Type type = CPIswap::Payer;
-	Real nominal = 1000000.0;
-	bool subtractInflationNominal = true;
-	// float+spread leg
-	Spread spread = 0.0;
-	DayCounter floatDayCount = Actual365Fixed();
-	BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
-	Natural fixingDays = 0;
-	boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months), 
-														 common.nominalTS));
-	
-	// fixed x inflation leg
-	Rate fixedRate = 0.1;//1% would be 0.01
-	Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
-	DayCounter fixedDayCount = Actual365Fixed();
-	BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
-	Calendar fixedPaymentCalendar = UnitedKingdom();
-	boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
-	Period contractObservationLag = common.contractObservationLag;
+    CommonVars common;
+
+    // ZeroInflationSwap aka CPISwap
+
+    CPIswap::Type type = CPIswap::Payer;
+    Real nominal = 1000000.0;
+    bool subtractInflationNominal = true;
+    // float+spread leg
+    Spread spread = 0.0;
+    DayCounter floatDayCount = Actual365Fixed();
+    BusinessDayConvention floatPaymentConvention = ModifiedFollowing;
+    Natural fixingDays = 0;
+    boost::shared_ptr<IborIndex> floatIndex(new GBPLibor(Period(6,Months),
+                                                         common.nominalTS));
+
+    // fixed x inflation leg
+    Rate fixedRate = 0.1;//1% would be 0.01
+    Real baseCPI = 206.1; // would be 206.13871 if we were interpolating
+    DayCounter fixedDayCount = Actual365Fixed();
+    BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
+    Calendar fixedPaymentCalendar = UnitedKingdom();
+    boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
+    Period contractObservationLag = common.contractObservationLag;
     CPI::InterpolationType observationInterpolation = common.contractObservationInterpolation;
-	
-	// set the schedules
-	Date startDate(2, October, 2007);
-	Date endDate(2, October, 2052);
-	Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
-	.withTenor(Period(6,Months))
-	.withCalendar(UnitedKingdom())
-	.withConvention(floatPaymentConvention)
-	.backwards()
-	;
-	Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
-	.withTenor(Period(6,Months))
-	.withCalendar(UnitedKingdom())
-	.withConvention(Unadjusted)
-	.backwards()
-	;
-	
-	
-	CPIswap zisV(type, nominal, subtractInflationNominal,
-				 spread, floatDayCount, floatSchedule,
-				 floatPaymentConvention, fixingDays, floatIndex,
-				 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
-				 fixedPaymentConvention, contractObservationLag, 
-				 fixedIndex, observationInterpolation);
-	Date baseDate = floatSchedule[0] - contractObservationLag;
-	Date asofDate = Settings::instance().evaluationDate();	
-	
-	Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
-	Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
-	for(Size i=0;i<floatSchedule.size(); i++){
-		if (floatSchedule[i] < common.evaluationDate) {
-			floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
-		}
-		
-		boost::shared_ptr<CPICoupon> 
-		zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
-		if (zic) {
-			if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
-				fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
-			}
-		}
-	}
-	
-	
-	// simple structure so simple pricing engine - most work done by index 
-	boost::shared_ptr<DiscountingSwapEngine> 
-	dse(new DiscountingSwapEngine(common.nominalTS));
-	
-	zisV.setPricingEngine(dse);
-	
-	// now do the bond equivalent
-	std::vector<Rate> fixedRates(1,fixedRate);
-	Natural settlementDays = 1;// cannot be zero!
-	bool growthOnly = true;
-	CPIbond cpiB(settlementDays, nominal, growthOnly,
-				 baseCPI, contractObservationLag, fixedIndex,
-				 observationInterpolation, fixedSchedule,
-				 fixedRates, fixedDayCount, fixedPaymentConvention);
-	
-	boost::shared_ptr<DiscountingBondEngine> 
-	dbe(new DiscountingBondEngine(common.nominalTS));
-	cpiB.setPricingEngine(dbe);
-	
-	QL_REQUIRE(fabs(cpiB.NPV() - zisV.legNPV(0))<1e-5,"cpi bond does not equal equivalent cpi swap leg");
+
+    // set the schedules
+    Date startDate(2, October, 2007);
+    Date endDate(2, October, 2052);
+    Schedule floatSchedule = MakeSchedule().from(startDate).to(endDate)
+    .withTenor(Period(6,Months))
+    .withCalendar(UnitedKingdom())
+    .withConvention(floatPaymentConvention)
+    .backwards()
+    ;
+    Schedule fixedSchedule = MakeSchedule().from(startDate).to(endDate)
+    .withTenor(Period(6,Months))
+    .withCalendar(UnitedKingdom())
+    .withConvention(Unadjusted)
+    .backwards()
+    ;
+
+
+    CPIswap zisV(type, nominal, subtractInflationNominal,
+                 spread, floatDayCount, floatSchedule,
+                 floatPaymentConvention, fixingDays, floatIndex,
+                 fixedRate, baseCPI, fixedDayCount, fixedSchedule,
+                 fixedPaymentConvention, contractObservationLag,
+                 fixedIndex, observationInterpolation);
+    Date baseDate = floatSchedule[0] - contractObservationLag;
+    Date asofDate = Settings::instance().evaluationDate();
+
+    Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
+    Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
+    for(Size i=0;i<floatSchedule.size(); i++){
+        if (floatSchedule[i] < common.evaluationDate) {
+            floatIndex->addFixing(floatSchedule[i], floatFix[i],true);//true=overwrite
+        }
+
+        boost::shared_ptr<CPICoupon>
+        zic = boost::dynamic_pointer_cast<CPICoupon>(zisV.cpiLeg()[i]);
+        if (zic) {
+            if (zic->fixingDate() < (common.evaluationDate - Period(1,Months))) {
+                fixedIndex->addFixing(zic->fixingDate(), cpiFix[i],true);
+            }
+        }
+    }
+
+
+    // simple structure so simple pricing engine - most work done by index
+    boost::shared_ptr<DiscountingSwapEngine>
+    dse(new DiscountingSwapEngine(common.nominalTS));
+
+    zisV.setPricingEngine(dse);
+
+    // now do the bond equivalent
+    std::vector<Rate> fixedRates(1,fixedRate);
+    Natural settlementDays = 1;// cannot be zero!
+    bool growthOnly = true;
+    CPIbond cpiB(settlementDays, nominal, growthOnly,
+                 baseCPI, contractObservationLag, fixedIndex,
+                 observationInterpolation, fixedSchedule,
+                 fixedRates, fixedDayCount, fixedPaymentConvention);
+
+    boost::shared_ptr<DiscountingBondEngine>
+    dbe(new DiscountingBondEngine(common.nominalTS));
+    cpiB.setPricingEngine(dbe);
+
+    QL_REQUIRE(fabs(cpiB.NPV() - zisV.legNPV(0))<1e-5,"cpi bond does not equal equivalent cpi swap leg");
 }
 
 
 test_suite* CPISwapTest::suite() {
-	test_suite* suite = BOOST_TEST_SUITE("CPIswap tests");
-	
-	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::consistency));
-	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::zciisconsistency));
-	suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::cpibondconsistency));
-	
-	return suite;
+    test_suite* suite = BOOST_TEST_SUITE("CPIswap tests");
+
+    suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::consistency));
+    suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::zciisconsistency));
+    suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::cpibondconsistency));
+
+    return suite;
 }
 

From 98f50a8996f22c8246064f5ee96029c061f476fb Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 24 Oct 2011 09:10:38 +0000
Subject: [PATCH 334/410] Changed class-name capitalization.

The change makes the names of CPISwap and CPIBond consistent
with other class names.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18057 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/cpibond.cpp |   2 +-
 ql/instruments/bonds/cpibond.hpp |  11 ++--
 ql/instruments/cpiswap.cpp       |  36 +++++------
 ql/instruments/cpiswap.hpp       | 106 ++++++++++++++++---------------
 test-suite/inflationcpiswap.cpp  |  20 +++---
 5 files changed, 88 insertions(+), 87 deletions(-)

diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
index 8586cdd8c5..11279439ed 100755
--- a/ql/instruments/bonds/cpibond.cpp
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -33,7 +33,7 @@
 
 namespace QuantLib {
 
-    CPIbond::CPIbond(Natural settlementDays,
+    CPIBond::CPIBond(Natural settlementDays,
                      Real faceAmount,
                      bool growthOnly,
                      Real baseCPI,
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
index 330485ef5d..6f67fa9571 100755
--- a/ql/instruments/bonds/cpibond.hpp
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -40,9 +40,9 @@ namespace QuantLib {
     /*! \ingroup instruments
 
      */
-    class CPIbond : public Bond {
-    public:
-        CPIbond(Natural settlementDays,
+    class CPIBond : public Bond {
+      public:
+        CPIBond(Natural settlementDays,
                 Real faceAmount,
                 bool growthOnly,
                 Real baseCPI,
@@ -63,10 +63,7 @@ namespace QuantLib {
         const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
         CPI::InterpolationType observationInterpolation() const { return observationInterpolation_; }
 
-        // other
-        virtual ~CPIbond() {}
-
-    protected:
+      protected:
         Frequency frequency_;
         DayCounter dayCounter_;
         bool growthOnly_;
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
index d077a48064..75fb01a37c 100755
--- a/ql/instruments/cpiswap.cpp
+++ b/ql/instruments/cpiswap.cpp
@@ -36,8 +36,8 @@
 namespace QuantLib {
 
     // accrual adjustment is already in the schedules, as are calendars
-    CPIswap::
-    CPIswap(Type type,
+    CPISwap::
+    CPISwap(Type type,
             Real nominal,
             bool subtractInflationNominal,
             // float + spread leg
@@ -137,50 +137,50 @@ namespace QuantLib {
 
 
     //! for simple case sufficient to copy base class
-    void CPIswap::setupArguments(PricingEngine::arguments* args) const {
+    void CPISwap::setupArguments(PricingEngine::arguments* args) const {
 
         Swap::setupArguments(args);
 
-        CPIswap::arguments* arguments =
-        dynamic_cast<CPIswap::arguments*>(args);
+        CPISwap::arguments* arguments =
+        dynamic_cast<CPISwap::arguments*>(args);
 
         if (!arguments) return; // it's a swap engine...
     }
 
 
-    Rate CPIswap::fairRate() const {
+    Rate CPISwap::fairRate() const {
         calculate();
         QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
         return fairRate_;
     }
 
-    Spread CPIswap::fairSpread() const {
+    Spread CPISwap::fairSpread() const {
         calculate();
         QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
         return fairSpread_;
     }
 
 
-    Real CPIswap::fixedLegNPV() const {//FIXME
+    Real CPISwap::fixedLegNPV() const {//FIXME
         calculate();
         QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
         return legNPV_[0];
     }
 
-    Real CPIswap::floatLegNPV() const {//FIXME
+    Real CPISwap::floatLegNPV() const {//FIXME
         calculate();
         QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
         return legNPV_[1];
     }
 
-    void CPIswap::setupExpired() const {
+    void CPISwap::setupExpired() const {
         Swap::setupExpired();
         legBPS_[0] = legBPS_[1] = 0.0;
         fairRate_ = Null<Rate>();
         fairSpread_ = Null<Spread>();
     }
 
-    void CPIswap::fetchResults(const PricingEngine::results* r) const {
+    void CPISwap::fetchResults(const PricingEngine::results* r) const {
         static const Spread basisPoint = 1.0e-4;
 
         // copy from VanillaSwap
@@ -189,7 +189,7 @@ namespace QuantLib {
 
         Swap::fetchResults(r);
 
-        const CPIswap::results* results = dynamic_cast<const CPIswap::results*>(r);
+        const CPISwap::results* results = dynamic_cast<const CPISwap::results*>(r);
         if (results) { // might be a swap engine, so no error is thrown
             fairRate_ = results->fairRate;
             fairSpread_ = results->fairSpread;
@@ -211,25 +211,25 @@ namespace QuantLib {
 
     }
 
-    void CPIswap::arguments::validate() const {
+    void CPISwap::arguments::validate() const {
         Swap::arguments::validate();
     }
 
-    void CPIswap::results::reset() {
+    void CPISwap::results::reset() {
         Swap::results::reset();
         fairRate = Null<Rate>();
         fairSpread = Null<Spread>();
     }
 
     std::ostream& operator<<(std::ostream& out,
-                             CPIswap::Type t) {
+                             CPISwap::Type t) {
         switch (t) {
-            case CPIswap::Payer:
+            case CPISwap::Payer:
                 return out << "Payer";
-            case CPIswap::Receiver:
+            case CPISwap::Receiver:
                 return out << "Receiver";
             default:
-                QL_FAIL("unknown CPIswap::Type(" << Integer(t) << ")");
+                QL_FAIL("unknown CPISwap::Type(" << Integer(t) << ")");
         }
     }
 
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
index a845747c7c..7a061e6c47 100755
--- a/ql/instruments/cpiswap.hpp
+++ b/ql/instruments/cpiswap.hpp
@@ -38,34 +38,39 @@ namespace QuantLib {
 
     //! zero-inflation-indexed swap,
     /*! fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base)
-        versus
-        floating + spread
-
-        Note that this does ony the inflation-vs-floating-leg.  Extension to inflation-vs-fixed-leg.
-        is simple - just replace the floating leg with a fixed leg.  We leave this as an exercise
-        for the reader in the interests of simplicity.
-
-        Typically there are notional exchanges at the end: either inflated-notional vs notional;
-        or just (inflated-notional - notional) vs zero.  The latter is perhaphs more typical.
-        \warning Setting subtractInflationNominal to true means that the original inflation nominal
-        is subtracted from both nominals before they are exchanged, even if they are different.
-
-        This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1),
-        by using differnt nominals on each leg and setting subtractInflationNominal to true.
-        ALSO - there must be just one date in each schedule.
-
-        The two legs can have different schedules, fixing (days vs lag), settlement, and roll
-        conventions.  N.B. accrual adjustment periods are already in the schedules.  Trade date
-        and swap settlement date are outside the scope of the instrument.
-     */
-    class CPIswap : public Swap {
-    public:
+        versus floating + spread
+
+        Note that this does ony the inflation-vs-floating-leg.
+        Extension to inflation-vs-fixed-leg.  is simple - just replace
+        the floating leg with a fixed leg.
+
+        Typically there are notional exchanges at the end: either
+        inflated-notional vs notional; or just (inflated-notional -
+        notional) vs zero.  The latter is perhaphs more typical.
+        \warning Setting subtractInflationNominal to true means that
+        the original inflation nominal is subtracted from both
+        nominals before they are exchanged, even if they are
+        different.
+
+        This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged
+        against (cpi ratio - 1), by using differnt nominals on each
+        leg and setting subtractInflationNominal to true.  ALSO -
+        there must be just one date in each schedule.
+
+        The two legs can have different schedules, fixing (days vs
+        lag), settlement, and roll conventions.  N.B. accrual
+        adjustment periods are already in the schedules.  Trade date
+        and swap settlement date are outside the scope of the
+        instrument.
+    */
+    class CPISwap : public Swap {
+      public:
         enum Type { Receiver = -1, Payer = 1 };
         class arguments;
         class results;
         class engine;
 
-        CPIswap(Type type,
+        CPISwap(Type type,
                 Real nominal,
                 bool subtractInflationNominal,
                 // float+spread leg
@@ -126,9 +131,8 @@ namespace QuantLib {
         // other
         void setupArguments(PricingEngine::arguments* args) const;
         void fetchResults(const PricingEngine::results*) const;
-        virtual ~CPIswap() {}
 
-    private:
+      private:
         void setupExpired() const;
 
         Type type_;
@@ -161,7 +165,7 @@ namespace QuantLib {
 
 
     //! %Arguments for swap calculation
-    class CPIswap::arguments : public Swap::arguments {
+    class CPISwap::arguments : public Swap::arguments {
     public:
         arguments() : type(Receiver),
         nominal(Null<Real>()) {}
@@ -172,52 +176,52 @@ namespace QuantLib {
     };
 
     //! %Results from swap calculation
-    class CPIswap::results : public Swap::results {
+    class CPISwap::results : public Swap::results {
     public:
         Rate fairRate;
         Spread fairSpread;
         void reset();
     };
 
-    class CPIswap::engine : public GenericEngine<CPIswap::arguments,
-    CPIswap::results> {};
+    class CPISwap::engine : public GenericEngine<CPISwap::arguments,
+                                                 CPISwap::results> {};
 
 
     // inline definitions
 
     // inspectors
-    inline  CPIswap::Type CPIswap::type() const { return type_; }
-    inline  Real CPIswap::nominal() const { return nominal_; }
-    inline  bool CPIswap::subtractInflationNominal() const { return subtractInflationNominal_; }
+    inline  CPISwap::Type CPISwap::type() const { return type_; }
+    inline  Real CPISwap::nominal() const { return nominal_; }
+    inline  bool CPISwap::subtractInflationNominal() const { return subtractInflationNominal_; }
 
     // float+spread
-    inline Spread CPIswap::spread() const { return spread_; }
-    inline const DayCounter& CPIswap::floatDayCount() const { return floatDayCount_; }
-    inline const Schedule& CPIswap::floatSchedule() const { return floatSchedule_; }
-    inline const BusinessDayConvention& CPIswap::floatPaymentRoll() const { return floatPaymentRoll_; }
-    inline Natural CPIswap::fixingDays() const { return fixingDays_; }
-    inline const boost::shared_ptr<IborIndex>& CPIswap::floatIndex() const { return floatIndex_; }
+    inline Spread CPISwap::spread() const { return spread_; }
+    inline const DayCounter& CPISwap::floatDayCount() const { return floatDayCount_; }
+    inline const Schedule& CPISwap::floatSchedule() const { return floatSchedule_; }
+    inline const BusinessDayConvention& CPISwap::floatPaymentRoll() const { return floatPaymentRoll_; }
+    inline Natural CPISwap::fixingDays() const { return fixingDays_; }
+    inline const boost::shared_ptr<IborIndex>& CPISwap::floatIndex() const { return floatIndex_; }
 
     // fixed rate x inflation
-    inline Rate CPIswap::fixedRate() const { return fixedRate_; }
-    inline Real CPIswap::baseCPI() const { return baseCPI_; }
-    inline const DayCounter& CPIswap::fixedDayCount() const { return fixedDayCount_; }
-    inline const Schedule& CPIswap::fixedSchedule() const { return fixedSchedule_; }
-    inline const BusinessDayConvention& CPIswap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
-    inline Period CPIswap::observationLag() const { return observationLag_; }
-    inline const boost::shared_ptr<ZeroInflationIndex>& CPIswap::fixedIndex() const { return fixedIndex_; }
-    inline CPI::InterpolationType CPIswap::observationInterpolation() const { return observationInterpolation_; }
-    inline Real CPIswap::inflationNominal() const { return inflationNominal_; }
-
-    inline const Leg& CPIswap::cpiLeg() const {//inflation indexed
+    inline Rate CPISwap::fixedRate() const { return fixedRate_; }
+    inline Real CPISwap::baseCPI() const { return baseCPI_; }
+    inline const DayCounter& CPISwap::fixedDayCount() const { return fixedDayCount_; }
+    inline const Schedule& CPISwap::fixedSchedule() const { return fixedSchedule_; }
+    inline const BusinessDayConvention& CPISwap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
+    inline Period CPISwap::observationLag() const { return observationLag_; }
+    inline const boost::shared_ptr<ZeroInflationIndex>& CPISwap::fixedIndex() const { return fixedIndex_; }
+    inline CPI::InterpolationType CPISwap::observationInterpolation() const { return observationInterpolation_; }
+    inline Real CPISwap::inflationNominal() const { return inflationNominal_; }
+
+    inline const Leg& CPISwap::cpiLeg() const {//inflation indexed
         return legs_[0];
     }
 
-    inline const Leg& CPIswap::floatLeg() const {
+    inline const Leg& CPISwap::floatLeg() const {
         return legs_[1];
     }
 
-    std::ostream& operator<<(std::ostream& out, CPIswap::Type t);
+    std::ostream& operator<<(std::ostream& out, CPISwap::Type t);
 
 }
 
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 39f6fb8fdb..9ecf67acb0 100755
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -253,7 +253,7 @@ void CPISwapTest::consistency() {
 
     // ZeroInflationSwap aka CPISwap
 
-    CPIswap::Type type = CPIswap::Payer;
+    CPISwap::Type type = CPISwap::Payer;
     Real nominal = 1000000.0;
     bool subtractInflationNominal = true;
     // float+spread leg
@@ -291,7 +291,7 @@ void CPISwapTest::consistency() {
     ;
 
 
-    CPIswap zisV(type, nominal, subtractInflationNominal,
+    CPISwap zisV(type, nominal, subtractInflationNominal,
                  spread, floatDayCount, floatSchedule,
                  floatPaymentConvention, fixingDays, floatIndex,
                  fixedRate, baseCPI, fixedDayCount, fixedSchedule,
@@ -381,7 +381,7 @@ void CPISwapTest::zciisconsistency() {
     oneDate.push_back(endDate);
     Schedule schOneDate(oneDate, cal, paymentConvention);
 
-    CPIswap::Type stype = CPIswap::Payer;
+    CPISwap::Type stype = CPISwap::Payer;
     Real inflationNominal = nominal;
     Real floatNominal = inflationNominal * std::pow(1.0+quote,50);
     bool subtractInflationNominal = true;
@@ -392,16 +392,16 @@ void CPISwapTest::zciisconsistency() {
 
     boost::shared_ptr<IborIndex> dummyFloatIndex;
 
-    CPIswap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
+    CPISwap cS(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
                paymentConvention, fixingDays, dummyFloatIndex,
                dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
                common.ii, CPI::AsIndex, inflationNominal);
 
     cS.setPricingEngine(dse);
-    QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPIswap as ZCIIS does not reprice to zero");
+    QL_REQUIRE(fabs(cS.NPV())<1e-3,"CPISwap as ZCIIS does not reprice to zero");
 
     for (Size i=0; i<2; i++) {
-        QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPIswap leg");
+        QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPISwap leg");
     }
 }
 
@@ -411,7 +411,7 @@ void CPISwapTest::cpibondconsistency() {
 
     // ZeroInflationSwap aka CPISwap
 
-    CPIswap::Type type = CPIswap::Payer;
+    CPISwap::Type type = CPISwap::Payer;
     Real nominal = 1000000.0;
     bool subtractInflationNominal = true;
     // float+spread leg
@@ -449,7 +449,7 @@ void CPISwapTest::cpibondconsistency() {
     ;
 
 
-    CPIswap zisV(type, nominal, subtractInflationNominal,
+    CPISwap zisV(type, nominal, subtractInflationNominal,
                  spread, floatDayCount, floatSchedule,
                  floatPaymentConvention, fixingDays, floatIndex,
                  fixedRate, baseCPI, fixedDayCount, fixedSchedule,
@@ -485,7 +485,7 @@ void CPISwapTest::cpibondconsistency() {
     std::vector<Rate> fixedRates(1,fixedRate);
     Natural settlementDays = 1;// cannot be zero!
     bool growthOnly = true;
-    CPIbond cpiB(settlementDays, nominal, growthOnly,
+    CPIBond cpiB(settlementDays, nominal, growthOnly,
                  baseCPI, contractObservationLag, fixedIndex,
                  observationInterpolation, fixedSchedule,
                  fixedRates, fixedDayCount, fixedPaymentConvention);
@@ -499,7 +499,7 @@ void CPISwapTest::cpibondconsistency() {
 
 
 test_suite* CPISwapTest::suite() {
-    test_suite* suite = BOOST_TEST_SUITE("CPIswap tests");
+    test_suite* suite = BOOST_TEST_SUITE("CPISwap tests");
 
     suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::consistency));
     suite->add(QUANTLIB_TEST_CASE(&CPISwapTest::zciisconsistency));

From 14e0b6e27293525ab04f4596b126525193b876c6 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Oct 2011 12:41:08 +0000
Subject: [PATCH 335/410] Moved forecastFixing(Date,Date,Time) overload to
 private section.

When used with cached dates, this overload can give quite a
performance boost to coupon calculations (see IborCoupon)
but is potentially misleading: by passing the wrong dates,
one can ask a 6-months index for a 1-year fixing.

For that reason, we're making this method private and
we're declaring the IborCoupon class (which uses it) as a
friend.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18058 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/iborindex.hpp | 22 +++++++++++++++++-----
 1 file changed, 17 insertions(+), 5 deletions(-)

diff --git a/ql/indexes/iborindex.hpp b/ql/indexes/iborindex.hpp
index 4d6c75c545..fb9bb0821d 100644
--- a/ql/indexes/iborindex.hpp
+++ b/ql/indexes/iborindex.hpp
@@ -49,11 +49,6 @@ namespace QuantLib {
         Date maturityDate(const Date& valueDate) const;
         Rate forecastFixing(const Date& fixingDate) const;
         // @}
-        //! overload to avoid date/time (re)calculation
-        Rate forecastFixing(const Date& valueDate,
-                            const Date& endDate,
-                            Time t) const;
-        // @}
         //! \name Inspectors
         //@{
         BusinessDayConvention businessDayConvention() const;
@@ -71,6 +66,23 @@ namespace QuantLib {
         BusinessDayConvention convention_;
         Handle<YieldTermStructure> termStructure_;
         bool endOfMonth_;
+      private:
+        // overload to avoid date/time (re)calculation
+        /* This can be called with cached coupon dates (and it does
+           give quite a performance boost to coupon calculations) but
+           is potentially misleading: by passing the wrong dates, one
+           can ask a 6-months index for a 1-year fixing.
+
+           For that reason, we're leaving this method private and
+           we're declaring the IborCoupon class (which uses it) as a
+           friend.  Should the need arise, we might promote it to
+           public, but before doing that I'd think hard whether we
+           have any other way to get the same results.
+        */
+        Rate forecastFixing(const Date& valueDate,
+                            const Date& endDate,
+                            Time t) const;
+        friend class IborCoupon;
     };
 
 

From e99ebb72f2fec859446c8e99dd8889e66fcd0b20 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 27 Oct 2011 12:51:13 +0000
Subject: [PATCH 336/410] Improved performance of business/252 day counter.

The naive implementation would count the business days
between two dates at each invocation.  This one caches
dynamically the count of business days for whole months
and years, so that after a while only the first and last
few days are counted.  This improves the performance
dramatically.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18060 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                        |  13 ++-
 QuantLib_vc10.vcxproj               |   1 +
 QuantLib_vc10.vcxproj.filters       |   3 +
 QuantLib_vc7.vcproj                 |   5 +-
 QuantLib_vc8.vcproj                 |   4 +
 QuantLib_vc9.vcproj                 |   4 +
 ql/time/daycounters/Makefile.am     |   1 +
 ql/time/daycounters/business252.cpp | 144 ++++++++++++++++++++++++++++
 ql/time/daycounters/business252.hpp |  15 +--
 test-suite/daycounters.cpp          |  12 ++-
 10 files changed, 186 insertions(+), 16 deletions(-)
 create mode 100644 ql/time/daycounters/business252.cpp

diff --git a/QuantLib.dev b/QuantLib.dev
index fb172a0b39..af40e1656d 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1798
+UnitCount=1799
 Type=2
 Ver=1
 ObjFiles=
@@ -18026,3 +18026,14 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1799]
+FileName=ql\time\daycounters\business252.cpp
+CompileCpp=1
+Folder=time/daycounters
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 0d856073f7..ac0c31a307 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1910,6 +1910,7 @@
     <ClCompile Include="ql\time\calendars\unitedstates.cpp" />
     <ClCompile Include="ql\time\calendars\weekendsonly.cpp" />
     <ClCompile Include="ql\time\daycounters\actualactual.cpp" />
+    <ClCompile Include="ql\time\daycounters\business252.cpp" />
     <ClCompile Include="ql\time\daycounters\simpledaycounter.cpp" />
     <ClCompile Include="ql\time\daycounters\thirty360.cpp" />
     <ClCompile Include="ql\legacy\libormarketmodels\lfmcovarparam.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 94683667a4..b1f6428e6c 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -4979,6 +4979,9 @@
     <ClCompile Include="ql\time\daycounters\actualactual.cpp">
       <Filter>time\daycounters</Filter>
     </ClCompile>
+    <ClCompile Include="ql\time\daycounters\business252.cpp">
+      <Filter>time\daycounters</Filter>
+    </ClCompile>
     <ClCompile Include="ql\time\daycounters\simpledaycounter.cpp">
       <Filter>time\daycounters</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index c4ce026bcc..8db5468204 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -5971,7 +5971,10 @@
 					RelativePath=".\ql\time\daycounters\actualactual.hpp">
 				</File>
 				<File
-					RelativePath=".\ql\time\daycounters\all.hpp">
+					RelativePath=".\ql\time\daycounters\all.hpp">

+				</File>
+				<File
+					RelativePath=".\ql\time\daycounters\business252.cpp">
 				</File>
 				<File
 					RelativePath=".\ql\time\daycounters\business252.hpp">
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 1186699885..a2ce7c6849 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -6302,6 +6302,10 @@
 					RelativePath=".\ql\time\daycounters\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\time\daycounters\business252.cpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\time\daycounters\business252.hpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 35ad1f8c1e..1b0cdc84f2 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -6657,6 +6657,10 @@
 					RelativePath=".\ql\time\daycounters\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\time\daycounters\business252.cpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\time\daycounters\business252.hpp"
 					>
diff --git a/ql/time/daycounters/Makefile.am b/ql/time/daycounters/Makefile.am
index 244f312f73..4b498736b0 100644
--- a/ql/time/daycounters/Makefile.am
+++ b/ql/time/daycounters/Makefile.am
@@ -14,6 +14,7 @@ this_include_HEADERS = \
 
 libDayCounters_la_SOURCES = \
     actualactual.cpp \
+    business252.cpp \
 	simpledaycounter.cpp \
     thirty360.cpp
 
diff --git a/ql/time/daycounters/business252.cpp b/ql/time/daycounters/business252.cpp
new file mode 100644
index 0000000000..ecd0c05f1e
--- /dev/null
+++ b/ql/time/daycounters/business252.cpp
@@ -0,0 +1,144 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2006 Piter Dias
+ Copyright (C) 2011 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/time/daycounters/business252.hpp>
+#include <map>
+
+namespace QuantLib {
+
+    namespace {
+
+        typedef std::map<Year, std::map<Month, BigInteger> > Cache;
+        typedef std::map<Year, BigInteger> OuterCache;
+        
+        std::map<std::string, Cache> monthlyFigures_;
+        std::map<std::string, OuterCache> yearlyFigures_;
+
+        bool sameYear(const Date& d1, const Date& d2) {
+            return d1.year() == d2.year();
+        }
+
+        bool sameMonth(const Date& d1, const Date& d2) {
+            return d1.year() == d2.year() && d1.month() == d2.month();
+        }
+
+        BigInteger businessDays(Cache& cache,
+                                const Calendar& calendar,
+                                Month month, Year year) {
+            if (cache[year][month] == 0) {
+                // calculate and store.
+                Date d1 = Date(1,month,year);
+                Date d2 = d1 + 1*Months;
+                cache[year][month] = calendar.businessDaysBetween(d1, d2);
+            }
+            return cache[year][month];
+        }
+
+        BigInteger businessDays(OuterCache& outerCache,
+                                Cache& cache,
+                                const Calendar& calendar,
+                                Year year) {
+            if (outerCache[year] == 0) {
+                // calculate and store.
+                BigInteger total = 0;
+                for (Integer i=1; i<=12; ++i) {
+                    total += businessDays(cache,calendar,
+                                          Month(i), year);
+                }
+                outerCache[year] = total;
+            }
+            return outerCache[year];
+        }
+
+    }
+
+    std::string Business252::Impl::name() const {
+        std::ostringstream out;
+        out << "Business/252(" << calendar_.name() << ")";
+        return out.str();
+    }
+
+    BigInteger Business252::Impl::dayCount(const Date& d1,
+                                           const Date& d2) const {
+        if (sameMonth(d1,d2) || d1 >= d2) {
+            // we treat the case of d1 > d2 here, since we'd need a
+            // second cache to get it right (our cached figures are
+            // for first included, last excluded and might have to be
+            // changed going the other way.)
+            return calendar_.businessDaysBetween(d1, d2);
+        } else if (sameYear(d1,d2)) {
+            Cache& cache = monthlyFigures_[calendar_.name()];
+            BigInteger total = 0;
+            Date d;
+            // first, we get to the beginning of next month.
+            d = Date(1,d1.month(),d1.year()) + 1*Months;
+            total += calendar_.businessDaysBetween(d1, d);
+            // then, we add any whole months (whose figures might be
+            // cached already) in the middle of our period.
+            while (!sameMonth(d,d2)) {
+                total += businessDays(cache, calendar_,
+                                      d.month(), d.year());
+                d += 1*Months;
+            }
+            // finally, we get to the end of the period.
+            total += calendar_.businessDaysBetween(d, d2);
+            return total;
+        } else {
+            Cache& cache = monthlyFigures_[calendar_.name()];
+            OuterCache& outerCache = yearlyFigures_[calendar_.name()];
+            BigInteger total = 0;
+            Date d;
+            // first, we get to the beginning of next year.
+            // The first bit gets us to the end of this month...
+            d = Date(1,d1.month(),d1.year()) + 1*Months;
+            total += calendar_.businessDaysBetween(d1, d);
+            // ...then we add any remaining months, possibly cached
+            for (Integer m = Integer(d1.month())+1; m <= 12; ++m) {
+                total += businessDays(cache, calendar_,
+                                      Month(m), d.year());
+            }
+            // then, we add any whole year in the middle of our period.
+            d = Date(1,January,d1.year()+1);
+            while (!sameYear(d,d2)) {
+                total += businessDays(outerCache, cache,
+                                      calendar_, d.year());
+                d += 1*Years;
+            }
+            // finally, we get to the end of the period.
+            // First, we add whole months...
+            for (Integer m = 1; m<Integer(d2.month()); ++m) {
+                total += businessDays(cache, calendar_,
+                                      Month(m), d2.year());
+            }
+            // ...then the last bit.
+            d = Date(1,d2.month(),d2.year());
+            total += calendar_.businessDaysBetween(d, d2);
+            return total;
+        }
+    }
+
+    Time Business252::Impl::yearFraction(const Date& d1,
+                                         const Date& d2,
+                                         const Date&,
+                                         const Date&) const {
+        return dayCount(d1, d2)/252.0;
+    }
+
+}
diff --git a/ql/time/daycounters/business252.hpp b/ql/time/daycounters/business252.hpp
index 7bc5f8c418..8cb0439e29 100644
--- a/ql/time/daycounters/business252.hpp
+++ b/ql/time/daycounters/business252.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Piter Dias
+ Copyright (C) 2011 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -38,21 +39,13 @@ namespace QuantLib {
           private:
             Calendar calendar_;
           public:
-            std::string name() const {
-                std::ostringstream out;
-                out << "Business/252(" << calendar_.name() << ")";
-                return out.str();
-            }
+            std::string name() const;
             BigInteger dayCount(const Date& d1,
-                                const Date& d2) const {
-                return calendar_.businessDaysBetween(d1, d2);
-            }
+                                const Date& d2) const;
             Time yearFraction(const Date& d1,
                               const Date& d2,
                               const Date&,
-                              const Date&) const {
-                return dayCount(d1, d2)/252.0;
-            }
+                              const Date&) const;
             Impl(Calendar c) { calendar_ = c; }
         };
       public:
diff --git a/test-suite/daycounters.cpp b/test-suite/daycounters.cpp
index 9609a68a09..ffd29d6131 100644
--- a/test-suite/daycounters.cpp
+++ b/test-suite/daycounters.cpp
@@ -237,6 +237,9 @@ void DayCounterTest::testBusiness252() {
     testDates.push_back(Date(17,March,2006));
     testDates.push_back(Date(15,May,2006));
     testDates.push_back(Date(26,July,2006));
+    testDates.push_back(Date(28,June,2007));
+    testDates.push_back(Date(16,September,2009));
+    testDates.push_back(Date(26,July,2016));
 
     Time expected[] = {
         0.0039682539683,
@@ -249,7 +252,10 @@ void DayCounterTest::testBusiness252() {
         0.1666666666667,
         -0.1507936507937,
         0.1507936507937,
-        0.2023809523810
+        0.2023809523810,
+        0.912698412698,
+        2.214285714286,
+        6.84126984127
         };
 
     DayCounter dayCounter1 = Business252(Brazil());
@@ -261,7 +267,7 @@ void DayCounterTest::testBusiness252() {
         if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {
                 BOOST_ERROR("from " << testDates[i-1]
                             << " to " << testDates[i] << ":\n"
-                            << std::setprecision(12)
+                            << std::setprecision(14)
                             << "    calculated: " << calculated << "\n"
                             << "    expected:   " << expected[i-1]);
         }
@@ -274,7 +280,7 @@ void DayCounterTest::testBusiness252() {
         if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {
                 BOOST_ERROR("from " << testDates[i-1]
                             << " to " << testDates[i] << ":\n"
-                            << std::setprecision(12)
+                            << std::setprecision(14)
                             << "    calculated: " << calculated << "\n"
                             << "    expected:   " << expected[i-1]);
         }

From d31e5fd78a0f0826e5c02d315a98b73957ad5cbc Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 27 Oct 2011 12:51:32 +0000
Subject: [PATCH 337/410] Added startDate() inspector to Bond class.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18061 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bond.cpp | 5 ++++-
 ql/instruments/bond.hpp | 1 +
 2 files changed, 5 insertions(+), 1 deletion(-)

diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index edc073c77d..d6e19ab86e 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -146,6 +146,10 @@ namespace QuantLib {
         return redemptions_.back();
     }
 
+    Date Bond::startDate() const {
+        return BondFunctions::startDate(*this);
+    }
+
     Date Bond::maturityDate() const {
         if (maturityDate_!=Null<Date>())
             return maturityDate_;
@@ -346,7 +350,6 @@ namespace QuantLib {
         redemptions_.push_back(redemption);
     }
 
-
     void Bond::calculateNotionalsFromCashflows() {
         notionalSchedule_.clear();
         notionals_.clear();
diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index 145c5bb6db..0e6bfb9622 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -103,6 +103,7 @@ namespace QuantLib {
         /*! returns the redemption, if only one is defined */
         const boost::shared_ptr<CashFlow>& redemption() const;
 
+        Date startDate() const;
         Date maturityDate() const;
         Date issueDate() const;
 

From 260cc56fe1b2539531fdffb824574d38e2e894cd Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 27 Oct 2011 12:52:20 +0000
Subject: [PATCH 338/410] Better detection of forecast/past fixings for
 inflation indexes.

When an interpolated index is asked for a fixing at the beginning
of a month, the fixing for the following (which would have zero
weight in the interpolation) is no longer required.
Also, if a fixing is loaded in the index time series, it can be
used even its observation lag has not fully elapsed.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18065 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/inflationindex.cpp | 81 ++++++++++++++++++++++-------------
 ql/indexes/inflationindex.hpp |  1 +
 test-suite/inflation.cpp      | 22 ++++++----
 3 files changed, 66 insertions(+), 38 deletions(-)

diff --git a/ql/indexes/inflationindex.cpp b/ql/indexes/inflationindex.cpp
index 8cb2f76504..784b3b1ee8 100644
--- a/ql/indexes/inflationindex.cpp
+++ b/ql/indexes/inflationindex.cpp
@@ -79,55 +79,78 @@ namespace QuantLib {
 
     Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
                                     bool /*forecastTodaysFixing*/) const {
+        if (!needsForecast(aFixingDate)) {
+            const TimeSeries<Real>& ts = timeSeries();
+            Real pastFixing = ts[aFixingDate];
+            QL_REQUIRE(pastFixing != Null<Real>(),
+                       "Missing " << name() << " fixing for " << aFixingDate);
+            Real theFixing = pastFixing;
+            if (interpolated_) {
+                // fixings stored flat & for every day
+                std::pair<Date,Date> lim =
+                    inflationPeriod(aFixingDate, frequency_);
+                if (aFixingDate == lim.first) {
+                    // we don't actually need the next fixing
+                    theFixing = pastFixing;
+                } else {
+                    Date fixingDate2 = aFixingDate + Period(frequency_);
+                    Real pastFixing2 = ts[fixingDate2];
+                    QL_REQUIRE(pastFixing2 != Null<Real>(),
+                               "Missing " << name() << " fixing for " << fixingDate2);
+                    // now linearly interpolate
+                    Real daysInPeriod = lim.second+1 - lim.first;
+                    theFixing = pastFixing
+                        + (pastFixing2-pastFixing)*(aFixingDate-lim.first)/daysInPeriod;
+                }
+            }
+            return theFixing;
+        } else {
+            return forecastFixing(aFixingDate);
+        }
+    }
+
+
+    bool ZeroInflationIndex::needsForecast(const Date& fixingDate) const {
 
         // Stored fixings are always non-interpolated.
         // If an interpolated fixing is required then
         // the availability lag + one inflation period
-        // must have passsed to use historical fixings
+        // must have passed to use historical fixings
         // (because you need the next one to interpolate).
         // The interpolation is calculated (linearly) on demand.
 
         Date today = Settings::instance().evaluationDate();
         Date todayMinusLag = today - availabilityLag_;
 
-        std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, frequency_);
-        Date historicalFixingKnown = lim.first-1;
-        Date fixingDateNeeded = aFixingDate;
-        if (interpolated_) { // need the next one too
-            fixingDateNeeded = fixingDateNeeded + Period(frequency_);
-        }
+        Date historicalFixingKnown =
+            inflationPeriod(todayMinusLag, frequency_).first-1;
+        Date latestNeededDate = fixingDate;
 
-        if (fixingDateNeeded <= historicalFixingKnown) {
-
-            const TimeSeries<Real>& ts = timeSeries();
-            Real pastFixing = ts[aFixingDate];
-            QL_REQUIRE(pastFixing != Null<Real>(),
-                       "Missing " << name() << " fixing for " << aFixingDate);
-            Real theFixing = pastFixing;
+        if (interpolated_) { // might need the next one too
+            std::pair<Date,Date> p = inflationPeriod(fixingDate, frequency_);
+            if (fixingDate > p.first)
+                latestNeededDate += Period(frequency_);
+        }
 
-            if (interpolated_) {
-                // fixings stored flat & for every day
-                Date fixingDate2 = aFixingDate + Period(frequency_);
-                Real pastFixing2 = ts[fixingDate2];
-                QL_REQUIRE(pastFixing2 != Null<Real>(),
-                           "Missing " << name() << " fixing for " << fixingDate2);
-                // now linearly interpolate
-                std::pair<Date,Date> lim = inflationPeriod(aFixingDate, frequency_);
-                Real daysInPeriod = lim.second+1 - lim.first;
-                theFixing = pastFixing
-                    + (pastFixing2-pastFixing)*(aFixingDate-lim.first)/daysInPeriod;
-            }
-            return theFixing;
+        if (latestNeededDate <= historicalFixingKnown) {
+            // the fixing date is well before the availability lag, so
+            // we know that fixings were provided.
+            return false;
         } else {
-            return forecastFixing(aFixingDate);
+            // we're not sure, but the fixing might be there so we
+            // check.  Todo: check which fixings are not possible, to
+            // avoid using fixings in the future
+            Real f = timeSeries()[latestNeededDate];
+            return (f == Null<Real>());
         }
     }
 
 
     Rate ZeroInflationIndex::forecastFixing(const Date& fixingDate) const {
-
         // the term structure is relative to the fixing value at the base date.
         Date baseDate = zeroInflation_->baseDate();
+        QL_REQUIRE(!needsForecast(baseDate),
+                   name() << " index fixing at base date is not available");
         Real baseFixing = fixing(baseDate);
         Date effectiveFixingDate;
         if (interpolated()) {
diff --git a/ql/indexes/inflationindex.hpp b/ql/indexes/inflationindex.hpp
index 663dbf1f8d..c249f72af9 100644
--- a/ql/indexes/inflationindex.hpp
+++ b/ql/indexes/inflationindex.hpp
@@ -162,6 +162,7 @@ namespace QuantLib {
                            const Handle<ZeroInflationTermStructure>& h) const;
         //@}
       private:
+        bool needsForecast(const Date& fixingDate) const;
         Rate forecastFixing(const Date& fixingDate) const;
         Handle<ZeroInflationTermStructure> zeroInflation_;
     };
diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index c1b6b9dab5..d7ab08062a 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -94,6 +94,7 @@ void InflationTest::testZeroIndex() {
     BOOST_MESSAGE("Testing zero inflation indices...");
 
     SavedSettings backup;
+    IndexHistoryCleaner cleaner;
 
     EUHICP euhicp(true);
     if (euhicp.name() != "EU HICP"
@@ -143,11 +144,11 @@ void InflationTest::testZeroIndex() {
         194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
         198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
         202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
-        207.3, 206.1, -999.0 };
+        207.3, 206.1 };
 
     bool interp = false;
     boost::shared_ptr<UKRPI> iir(new UKRPI(interp));
-    for (Size i=0; i<rpiSchedule.size();i++) {
+    for (Size i=0; i<LENGTH(fixData); i++) {
         iir->addFixing(rpiSchedule[i], fixData[i]);
     }
 
@@ -179,6 +180,7 @@ void InflationTest::testZeroTermStructure() {
     BOOST_MESSAGE("Testing zero inflation term structure...");
 
     SavedSettings backup;
+    IndexHistoryCleaner cleaner;
 
     // try the Zero UK
     Calendar calendar = UnitedKingdom();
@@ -200,12 +202,12 @@ void InflationTest::testZeroTermStructure() {
         194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
         198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
         202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
-        207.3, 206.1,  -999.0 };
+        207.3};
 
     RelinkableHandle<ZeroInflationTermStructure> hz;
     bool interp = false;
     boost::shared_ptr<UKRPI> iiUKRPI(new UKRPI(interp, hz));
-    for (Size i=0; i<rpiSchedule.size();i++) {
+    for (Size i=0; i<LENGTH(fixData); i++) {
         iiUKRPI->addFixing(rpiSchedule[i], fixData[i]);
     }
 
@@ -501,7 +503,7 @@ void InflationTest::testZeroTermStructure() {
 
     bool interpYES = true;
     boost::shared_ptr<UKRPI> iiUKRPIyes(new UKRPI(interpYES, hz));
-    for (Size i=0; i<rpiSchedule.size();i++) {
+    for (Size i=0; i<LENGTH(fixData);i++) {
         iiUKRPIyes->addFixing(rpiSchedule[i], fixData[i]);
     }
 
@@ -612,6 +614,7 @@ void InflationTest::testYYIndex() {
     BOOST_MESSAGE("Testing year-on-year inflation indices...");
 
     SavedSettings backup;
+    IndexHistoryCleaner cleaner;
 
     YYEUHICP yyeuhicp(true);
     if (yyeuhicp.name() != "EU YY_HICP"
@@ -698,12 +701,12 @@ void InflationTest::testYYIndex() {
         194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
         198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
         202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
-        207.3, -999.0, -999.0 };
+        207.3 };
 
     bool interp = false;
     boost::shared_ptr<YYUKRPIr> iir(new YYUKRPIr(interp));
     boost::shared_ptr<YYUKRPIr> iirYES(new YYUKRPIr(true));
-    for (Size i=0; i<rpiSchedule.size();i++) {
+    for (Size i=0; i<LENGTH(fixData);i++) {
         iir->addFixing(rpiSchedule[i], fixData[i]);
         iirYES->addFixing(rpiSchedule[i], fixData[i]);
     }
@@ -764,6 +767,7 @@ void InflationTest::testYYTermStructure() {
     BOOST_MESSAGE("Testing year-on-year inflation term structure...");
 
     SavedSettings backup;
+    IndexHistoryCleaner cleaner;
 
     // try the YY UK
     Calendar calendar = UnitedKingdom();
@@ -785,12 +789,12 @@ void InflationTest::testYYTermStructure() {
         194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
         198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
         202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
-        207.3, -999.0, -999 };
+        207.3 };
 
     RelinkableHandle<YoYInflationTermStructure> hy;
     bool interp = false;
     boost::shared_ptr<YYUKRPIr> iir(new YYUKRPIr(interp, hy));
-    for (Size i=0; i<rpiSchedule.size();i++) {
+    for (Size i=0; i<LENGTH(fixData); i++) {
         iir->addFixing(rpiSchedule[i], fixData[i]);
     }
 

From 7f04bba4544c21c75179a1f649ef3ec5f445faf5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 27 Oct 2011 14:55:44 +0000
Subject: [PATCH 339/410] Fixed svn properties

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18067 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cpicoupon.cpp                    |   0
 ql/cashflows/cpicoupon.hpp                    |   0
 ql/cashflows/cpicouponpricer.cpp              |   0
 ql/cashflows/cpicouponpricer.hpp              |   0
 .../inflation/cpicapfloorengines.cpp          |   0
 .../inflation/cpicapfloorengines.hpp          |   0
 .../inflation/cpicapfloortermpricesurface.cpp |   0
 .../inflation/cpicapfloortermpricesurface.hpp |   0
 .../extendedornsteinuhlenbeckprocess.cpp      | 216 ++---
 .../processes/gemanroncoroniprocess.cpp       | 234 ++---
 .../processes/gemanroncoroniprocess.hpp       | 156 +--
 ql/instruments/bonds/cpibond.cpp              |   0
 ql/instruments/bonds/cpibond.hpp              |   0
 ql/instruments/cpicapfloor.cpp                |   0
 ql/instruments/cpicapfloor.hpp                |   0
 ql/instruments/cpiswap.cpp                    |   0
 ql/instruments/cpiswap.hpp                    |   0
 .../inflation/cpivolatilitystructure.cpp      |   0
 .../inflation/cpivolatilitystructure.hpp      |   0
 test-suite/inflationcpicapfloor.cpp           |   0
 test-suite/inflationcpicapfloor.hpp           |   0
 test-suite/inflationcpiswap.cpp               |   0
 test-suite/inflationcpiswap.hpp               |   0
 test-suite/swingoption.cpp                    | 886 +++++++++---------
 test-suite/swingoption.hpp                    |  76 +-
 25 files changed, 784 insertions(+), 784 deletions(-)
 mode change 100755 => 100644 ql/cashflows/cpicoupon.cpp
 mode change 100755 => 100644 ql/cashflows/cpicoupon.hpp
 mode change 100755 => 100644 ql/cashflows/cpicouponpricer.cpp
 mode change 100755 => 100644 ql/cashflows/cpicouponpricer.hpp
 mode change 100755 => 100644 ql/experimental/inflation/cpicapfloorengines.cpp
 mode change 100755 => 100644 ql/experimental/inflation/cpicapfloorengines.hpp
 mode change 100755 => 100644 ql/experimental/inflation/cpicapfloortermpricesurface.cpp
 mode change 100755 => 100644 ql/experimental/inflation/cpicapfloortermpricesurface.hpp
 mode change 100755 => 100644 ql/experimental/processes/gemanroncoroniprocess.cpp
 mode change 100755 => 100644 ql/experimental/processes/gemanroncoroniprocess.hpp
 mode change 100755 => 100644 ql/instruments/bonds/cpibond.cpp
 mode change 100755 => 100644 ql/instruments/bonds/cpibond.hpp
 mode change 100755 => 100644 ql/instruments/cpicapfloor.cpp
 mode change 100755 => 100644 ql/instruments/cpicapfloor.hpp
 mode change 100755 => 100644 ql/instruments/cpiswap.cpp
 mode change 100755 => 100644 ql/instruments/cpiswap.hpp
 mode change 100755 => 100644 ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
 mode change 100755 => 100644 ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
 mode change 100755 => 100644 test-suite/inflationcpicapfloor.cpp
 mode change 100755 => 100644 test-suite/inflationcpicapfloor.hpp
 mode change 100755 => 100644 test-suite/inflationcpiswap.cpp
 mode change 100755 => 100644 test-suite/inflationcpiswap.hpp
 mode change 100755 => 100644 test-suite/swingoption.cpp
 mode change 100755 => 100644 test-suite/swingoption.hpp

diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
old mode 100755
new mode 100644
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
old mode 100755
new mode 100644
diff --git a/ql/cashflows/cpicouponpricer.cpp b/ql/cashflows/cpicouponpricer.cpp
old mode 100755
new mode 100644
diff --git a/ql/cashflows/cpicouponpricer.hpp b/ql/cashflows/cpicouponpricer.hpp
old mode 100755
new mode 100644
diff --git a/ql/experimental/inflation/cpicapfloorengines.cpp b/ql/experimental/inflation/cpicapfloorengines.cpp
old mode 100755
new mode 100644
diff --git a/ql/experimental/inflation/cpicapfloorengines.hpp b/ql/experimental/inflation/cpicapfloorengines.hpp
old mode 100755
new mode 100644
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
old mode 100755
new mode 100644
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
old mode 100755
new mode 100644
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
index 60fe826275..0410780166 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -1,108 +1,108 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-#include <ql/math/integrals/gausslobattointegral.hpp>
-#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
-#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-
-#include <boost/lambda/bind.hpp>
-#include <boost/lambda/lambda.hpp>
-
-using namespace boost::lambda;
-
-namespace QuantLib {
-
-    ExtendedOrnsteinUhlenbeckProcess::ExtendedOrnsteinUhlenbeckProcess(
-                                        Real speed, Volatility vol, Real x0,
-                                        const boost::function<Real (Real)>& b,
-                                        Discretization discretization,
-                                        Real intEps)
-    : speed_    (speed),
-      vol_      (vol),
-      b_        (b),
-      intEps_   (intEps),
-      ouProcess_(new OrnsteinUhlenbeckProcess(speed, vol, x0)),
-      discretization_(discretization) {
-        QL_REQUIRE(speed_ >= 0.0, "negative a given");
-        QL_REQUIRE(vol_ >= 0.0, "negative volatility given");
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::x0() const {
-        return ouProcess_->x0();
-    }
-    
-    Real ExtendedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
-        return ouProcess_->drift(t, x) + speed_*b_(t);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::diffusion(Time t, Real x) const{
-        return ouProcess_->diffusion(t, x);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::stdDeviation(
-                                           Time t0, Real x0, Time dt) const{
-        return ouProcess_->stdDeviation(t0, x0, dt);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::variance(
-                                           Time t0, Real x0, Time dt) const{
-        return ouProcess_->variance(t0, x0, dt);
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::speed() const {
-        return speed_;
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::volatility() const {
-        return vol_;
-    }
-
-    Real ExtendedOrnsteinUhlenbeckProcess::expectation(
-                                          Time t0, Real x0, Time dt) const {
-        switch (discretization_) {
-          case MidPoint:
-            return ouProcess_->expectation(t0, x0, dt)
-                    + b_(t0+0.5*dt)*(1.0 - std::exp(-speed_*dt));
-            break;
-          case Trapezodial:
-            {
-              const Time t = t0+dt;
-              const Time u = t0;
-              const Real bt = b_(t);
-              const Real bu = b_(u);
-              const Real ex = std::exp(-speed_*dt);
-
-			  return ouProcess_->expectation(t0, x0, dt)
-					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
-			}
-			break;
-		  case GaussLobatto:
-		      return ouProcess_->expectation(t0, x0, dt)
-				  + speed_*std::exp(-speed_*(t0+dt))
-				  * GaussLobattoIntegral(100000, intEps_)(
-				         boost::lambda::bind(b_, boost::lambda::_1)
-						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
-										  speed_*boost::lambda::_1), t0, t0+dt);
-			break;
-		  default:
-			QL_FAIL("unknown discretization scheme");
-		}
-    }
-}
-
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/integrals/gausslobattointegral.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+
+#include <boost/lambda/bind.hpp>
+#include <boost/lambda/lambda.hpp>
+
+using namespace boost::lambda;
+
+namespace QuantLib {
+
+    ExtendedOrnsteinUhlenbeckProcess::ExtendedOrnsteinUhlenbeckProcess(
+                                        Real speed, Volatility vol, Real x0,
+                                        const boost::function<Real (Real)>& b,
+                                        Discretization discretization,
+                                        Real intEps)
+    : speed_    (speed),
+      vol_      (vol),
+      b_        (b),
+      intEps_   (intEps),
+      ouProcess_(new OrnsteinUhlenbeckProcess(speed, vol, x0)),
+      discretization_(discretization) {
+        QL_REQUIRE(speed_ >= 0.0, "negative a given");
+        QL_REQUIRE(vol_ >= 0.0, "negative volatility given");
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::x0() const {
+        return ouProcess_->x0();
+    }
+    
+    Real ExtendedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const {
+        return ouProcess_->drift(t, x) + speed_*b_(t);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::diffusion(Time t, Real x) const{
+        return ouProcess_->diffusion(t, x);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::stdDeviation(
+                                           Time t0, Real x0, Time dt) const{
+        return ouProcess_->stdDeviation(t0, x0, dt);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::variance(
+                                           Time t0, Real x0, Time dt) const{
+        return ouProcess_->variance(t0, x0, dt);
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::speed() const {
+        return speed_;
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::volatility() const {
+        return vol_;
+    }
+
+    Real ExtendedOrnsteinUhlenbeckProcess::expectation(
+                                          Time t0, Real x0, Time dt) const {
+        switch (discretization_) {
+          case MidPoint:
+            return ouProcess_->expectation(t0, x0, dt)
+                    + b_(t0+0.5*dt)*(1.0 - std::exp(-speed_*dt));
+            break;
+          case Trapezodial:
+            {
+              const Time t = t0+dt;
+              const Time u = t0;
+              const Real bt = b_(t);
+              const Real bu = b_(u);
+              const Real ex = std::exp(-speed_*dt);
+
+			  return ouProcess_->expectation(t0, x0, dt)
+					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
+			}
+			break;
+		  case GaussLobatto:
+		      return ouProcess_->expectation(t0, x0, dt)
+				  + speed_*std::exp(-speed_*(t0+dt))
+				  * GaussLobattoIntegral(100000, intEps_)(
+				         boost::lambda::bind(b_, boost::lambda::_1)
+						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
+										  speed_*boost::lambda::_1), t0, t0+dt);
+			break;
+		  default:
+			QL_FAIL("unknown discretization scheme");
+		}
+    }
+}
+
diff --git a/ql/experimental/processes/gemanroncoroniprocess.cpp b/ql/experimental/processes/gemanroncoroniprocess.cpp
old mode 100755
new mode 100644
index 32de170dac..f53167d1a6
--- a/ql/experimental/processes/gemanroncoroniprocess.cpp
+++ b/ql/experimental/processes/gemanroncoroniprocess.cpp
@@ -1,117 +1,117 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2011 Klaus Spanderen
- 
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file gemanroncoroniprocess.cpp
-    \brief Geman-Roncoroni process
-*/
-
-#include <ql/math/functional.hpp>
-#include <ql/processes/eulerdiscretization.hpp>
-#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
-
-
-namespace QuantLib {
-
-    GemanRoncoroniProcess::GemanRoncoroniProcess(
-                                      Real x0, 
-                                      Real alpha, Real beta, 
-                                      Real gamma, Real delta, 
-                                      Real eps, Real zeta, Real d, 
-                                      Real k,  Real tau,
-                                      Real sig2, Real a, Real b,
-                                      Real theta1, Real theta2, Real theta3,
-                                      Real psi)
-    : StochasticProcess1D(boost::shared_ptr<discretization>(
-                                                    new EulerDiscretization)),
-      x0_(x0),
-      alpha_(alpha), beta_(beta),
-      gamma_(gamma), delta_(delta),
-      eps_(eps), zeta_(zeta), d_(d), 
-      k_(k), tau_(tau),
-      sig2_(sig2), a_(a), b_(b),
-      theta1_(theta1), theta2_(theta2), theta3_(theta3),
-      psi_(psi) {  
-    }
-
-    Real GemanRoncoroniProcess::x0() const {
-        return x0_;
-    }
-
-    Real GemanRoncoroniProcess::drift(Time t, Real x) const {
-        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_+2*M_PI*t)
-                                         + delta_*std::cos(zeta_+4*M_PI*t);
-        const Real muPrime = beta_ - gamma_*2*M_PI*std::sin(eps_+2*M_PI*t)
-                                   - delta_*4*M_PI*std::sin(zeta_+4*M_PI*t);
-
-        return muPrime + theta1_*(mu-x);
-    }
-    
-    Real GemanRoncoroniProcess::diffusion(Time t, Real x) const {
-        return std::sqrt(sig2_ + a_*square<Real>()(std::cos(M_PI*t+b_)));
-    }
-
-    Real GemanRoncoroniProcess::stdDeviation(Time t0, Real x0, Time dt) const {
-        const Volatility sig2t = sig2_+a_*square<Real>()(std::cos(M_PI*t0+b_));
-        
-        return std::sqrt(sig2t/(2*theta1_)*(1.0-std::exp(-2*theta1_*dt)));
-    }
-
-    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, 
-                                       Time dt, Real dw) const {
-        // random number generator for the jump part 
-        if (!urng_) {
-            typedef PseudoRandom::urng_type urng_type;
-            urng_ = boost::shared_ptr<urng_type>(
-                     new urng_type((unsigned long)(1234ul*dw+56789ul)));
-        }
-        Array du(3); 
-        du[0] = urng_->next().value; 
-        du[1] = urng_->next().value;
-
-        return evolve(t0, x0, dt, dw, du);
-    }
-
-    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, Time dt, 
-                                       Real dw, const Array& du) const {
-        Real retVal;
-        const Time t = t0 + 0.5*dt;
-        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_ +2*M_PI*t)
-                                         + delta_*std::cos(zeta_+4*M_PI*t);
-        
-        const Real j = -1.0/theta3_
-                        *std::log(1.0+du[1]*(std::exp(-theta3_*psi_)-1.0));
-
-        if (x0 <= mu+d_) {
-            retVal = StochasticProcess1D::evolve(t, x0, dt, dw);
-            
-            const Real jumpIntensity
-                = theta2_*(2.0/(1+std::fabs(std::sin(M_PI*(t-tau_)/k_)))-1);            
-            const Time interarrival = -1.0/jumpIntensity*std::log(du[0]);
-
-            if (interarrival < dt) {
-                retVal += j;
-            }
-        }
-        else {
-            retVal = x0-j;
-        }
-
-        return retVal;
-    }
-}
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file gemanroncoroniprocess.cpp
+    \brief Geman-Roncoroni process
+*/
+
+#include <ql/math/functional.hpp>
+#include <ql/processes/eulerdiscretization.hpp>
+#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
+
+
+namespace QuantLib {
+
+    GemanRoncoroniProcess::GemanRoncoroniProcess(
+                                      Real x0, 
+                                      Real alpha, Real beta, 
+                                      Real gamma, Real delta, 
+                                      Real eps, Real zeta, Real d, 
+                                      Real k,  Real tau,
+                                      Real sig2, Real a, Real b,
+                                      Real theta1, Real theta2, Real theta3,
+                                      Real psi)
+    : StochasticProcess1D(boost::shared_ptr<discretization>(
+                                                    new EulerDiscretization)),
+      x0_(x0),
+      alpha_(alpha), beta_(beta),
+      gamma_(gamma), delta_(delta),
+      eps_(eps), zeta_(zeta), d_(d), 
+      k_(k), tau_(tau),
+      sig2_(sig2), a_(a), b_(b),
+      theta1_(theta1), theta2_(theta2), theta3_(theta3),
+      psi_(psi) {  
+    }
+
+    Real GemanRoncoroniProcess::x0() const {
+        return x0_;
+    }
+
+    Real GemanRoncoroniProcess::drift(Time t, Real x) const {
+        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_+2*M_PI*t)
+                                         + delta_*std::cos(zeta_+4*M_PI*t);
+        const Real muPrime = beta_ - gamma_*2*M_PI*std::sin(eps_+2*M_PI*t)
+                                   - delta_*4*M_PI*std::sin(zeta_+4*M_PI*t);
+
+        return muPrime + theta1_*(mu-x);
+    }
+    
+    Real GemanRoncoroniProcess::diffusion(Time t, Real x) const {
+        return std::sqrt(sig2_ + a_*square<Real>()(std::cos(M_PI*t+b_)));
+    }
+
+    Real GemanRoncoroniProcess::stdDeviation(Time t0, Real x0, Time dt) const {
+        const Volatility sig2t = sig2_+a_*square<Real>()(std::cos(M_PI*t0+b_));
+        
+        return std::sqrt(sig2t/(2*theta1_)*(1.0-std::exp(-2*theta1_*dt)));
+    }
+
+    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, 
+                                       Time dt, Real dw) const {
+        // random number generator for the jump part 
+        if (!urng_) {
+            typedef PseudoRandom::urng_type urng_type;
+            urng_ = boost::shared_ptr<urng_type>(
+                     new urng_type((unsigned long)(1234ul*dw+56789ul)));
+        }
+        Array du(3); 
+        du[0] = urng_->next().value; 
+        du[1] = urng_->next().value;
+
+        return evolve(t0, x0, dt, dw, du);
+    }
+
+    Real GemanRoncoroniProcess::evolve(Time t0, Real x0, Time dt, 
+                                       Real dw, const Array& du) const {
+        Real retVal;
+        const Time t = t0 + 0.5*dt;
+        const Real mu = alpha_ + beta_*t + gamma_*std::cos(eps_ +2*M_PI*t)
+                                         + delta_*std::cos(zeta_+4*M_PI*t);
+        
+        const Real j = -1.0/theta3_
+                        *std::log(1.0+du[1]*(std::exp(-theta3_*psi_)-1.0));
+
+        if (x0 <= mu+d_) {
+            retVal = StochasticProcess1D::evolve(t, x0, dt, dw);
+            
+            const Real jumpIntensity
+                = theta2_*(2.0/(1+std::fabs(std::sin(M_PI*(t-tau_)/k_)))-1);            
+            const Time interarrival = -1.0/jumpIntensity*std::log(du[0]);
+
+            if (interarrival < dt) {
+                retVal += j;
+            }
+        }
+        else {
+            retVal = x0-j;
+        }
+
+        return retVal;
+    }
+}
diff --git a/ql/experimental/processes/gemanroncoroniprocess.hpp b/ql/experimental/processes/gemanroncoroniprocess.hpp
old mode 100755
new mode 100644
index 7ef87e33bf..26e6d81f06
--- a/ql/experimental/processes/gemanroncoroniprocess.hpp
+++ b/ql/experimental/processes/gemanroncoroniprocess.hpp
@@ -1,78 +1,78 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2011 Klaus Spanderen
- 
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-/*! \file gemanroncoroniprocess.hpp
-    \brief Geman-Roncoroni process
-*/
-
-#ifndef quantlib_geman_roncoroni_process_hpp
-#define quantlib_geman_roncoroni_process_hpp
-
-#include <ql/stochasticprocess.hpp>
-#include <ql/math/randomnumbers/rngtraits.hpp>
-
-namespace QuantLib {
-
-    //! Geman-Roncoroni process class
-    /*! This class describes the Geman-Roncoroni process governed by
-        \f[
-        \begin{array}{rcl}
-            dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
-                +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
-                +\sigma dW(t) + h(E(t^-))dJ(t) \\
-            \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
-                +\delta \cos(\zeta + 4\pi t)
-        \end{array}
-        \f]
-
-        \ingroup processes
-    */
-    class GemanRoncoroniProcess : public StochasticProcess1D {
-      public:
-        GemanRoncoroniProcess(Real x0, 
-                              Real alpha, Real beta, 
-                              Real gamma, Real delta, 
-                              Real eps, Real zeta, Real d, 
-                              Real k, Real tau,
-                              Real sig2, Real a, Real b,
-                              Real theta1, Real theta2, Real theta3,
-                              Real psi);
-
-        Real x0() const;
-        Real drift(Time t, Real x)     const;
-        Real diffusion(Time t, Real x) const;
-        Real stdDeviation(Time t0, Real x0, Time dt)    const;
-        Real evolve(Time t0, Real x0, Time dt, Real dw) const;
-
-        Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
-        
-    private:
-        const Real x0_;
-        const Real alpha_, beta_, gamma_, delta_;
-        const Real eps_, zeta_, d_; 
-        const Real k_, tau_;
-        const Real sig2_, a_, b_;
-        const Real theta1_, theta2_, theta3_;
-        const Real psi_;
-        mutable boost::shared_ptr<PseudoRandom::urng_type> urng_;
-    };
-}
-
-
-#endif
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file gemanroncoroniprocess.hpp
+    \brief Geman-Roncoroni process
+*/
+
+#ifndef quantlib_geman_roncoroni_process_hpp
+#define quantlib_geman_roncoroni_process_hpp
+
+#include <ql/stochasticprocess.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+
+namespace QuantLib {
+
+    //! Geman-Roncoroni process class
+    /*! This class describes the Geman-Roncoroni process governed by
+        \f[
+        \begin{array}{rcl}
+            dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
+                +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
+                +\sigma dW(t) + h(E(t^-))dJ(t) \\
+            \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
+                +\delta \cos(\zeta + 4\pi t)
+        \end{array}
+        \f]
+
+        \ingroup processes
+    */
+    class GemanRoncoroniProcess : public StochasticProcess1D {
+      public:
+        GemanRoncoroniProcess(Real x0, 
+                              Real alpha, Real beta, 
+                              Real gamma, Real delta, 
+                              Real eps, Real zeta, Real d, 
+                              Real k, Real tau,
+                              Real sig2, Real a, Real b,
+                              Real theta1, Real theta2, Real theta3,
+                              Real psi);
+
+        Real x0() const;
+        Real drift(Time t, Real x)     const;
+        Real diffusion(Time t, Real x) const;
+        Real stdDeviation(Time t0, Real x0, Time dt)    const;
+        Real evolve(Time t0, Real x0, Time dt, Real dw) const;
+
+        Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
+        
+    private:
+        const Real x0_;
+        const Real alpha_, beta_, gamma_, delta_;
+        const Real eps_, zeta_, d_; 
+        const Real k_, tau_;
+        const Real sig2_, a_, b_;
+        const Real theta1_, theta2_, theta3_;
+        const Real psi_;
+        mutable boost::shared_ptr<PseudoRandom::urng_type> urng_;
+    };
+}
+
+
+#endif
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
old mode 100755
new mode 100644
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
old mode 100755
new mode 100644
diff --git a/ql/instruments/cpicapfloor.cpp b/ql/instruments/cpicapfloor.cpp
old mode 100755
new mode 100644
diff --git a/ql/instruments/cpicapfloor.hpp b/ql/instruments/cpicapfloor.hpp
old mode 100755
new mode 100644
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
old mode 100755
new mode 100644
diff --git a/ql/instruments/cpiswap.hpp b/ql/instruments/cpiswap.hpp
old mode 100755
new mode 100644
diff --git a/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp
old mode 100755
new mode 100644
diff --git a/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
old mode 100755
new mode 100644
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
old mode 100755
new mode 100644
diff --git a/test-suite/inflationcpicapfloor.hpp b/test-suite/inflationcpicapfloor.hpp
old mode 100755
new mode 100644
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
old mode 100755
new mode 100644
diff --git a/test-suite/inflationcpiswap.hpp b/test-suite/inflationcpiswap.hpp
old mode 100755
new mode 100644
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
old mode 100755
new mode 100644
index 335d32b0bf..eae2c6958d
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -1,443 +1,443 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010, 2011 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-#include "swingoption.hpp"
-#include "utilities.hpp"
-
-#include <ql/math/functional.hpp>
-#include <ql/quotes/simplequote.hpp>
-#include <ql/time/daycounters/actualactual.hpp>
-#include <ql/instruments/vanillaoption.hpp>
-#include <ql/instruments/vanillaswingoption.hpp>
-#include <ql/math/randomnumbers/rngtraits.hpp>
-#include <ql/math/statistics/generalstatistics.hpp>
-#include <ql/termstructures/yield/zerocurve.hpp>
-#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
-#include <ql/methods/montecarlo/multipathgenerator.hpp>
-#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
-#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
-#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
-#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
-#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
-#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
-#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
-#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
-
-
-using namespace QuantLib;
-using namespace boost::unit_test_framework;
-
-
-namespace {
-    boost::shared_ptr<ExtOUWithJumpsProcess> createKlugeProcess() {
-        Array x0(2);
-        x0[0] = 3.0; x0[1] = 0.0;
-
-        const Real beta = 5.0;
-        const Real eta  = 2.0;
-        const Real jumpIntensity = 1.0;
-        const Real speed = 1.0;
-        const Real volatility = 2.0;
-
-        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
-            new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
-                                                 constant<Real, Real>(x0[0])));
-        return boost::shared_ptr<ExtOUWithJumpsProcess>(
-            new ExtOUWithJumpsProcess(ouProcess, x0[1], beta,
-                                      jumpIntensity, eta));
-    }
-}
-
-void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
-
-    BOOST_MESSAGE("Testing extended Ornstein-Uhlenbeck process...");
-
-    SavedSettings backup;
-
-	const Real speed = 2.5;
-	const Volatility vol = 0.70;
-	const Real level = 1.43;
-
-	ExtendedOrnsteinUhlenbeckProcess::Discretization discr[] = {
-		ExtendedOrnsteinUhlenbeckProcess::MidPoint,
-		ExtendedOrnsteinUhlenbeckProcess::Trapezodial,
-		ExtendedOrnsteinUhlenbeckProcess::GaussLobatto};
-
-	boost::function<Real (Real)> f[] 
-		= { constant<Real, Real>(level),
-			std::bind1st(std::plus<Real>(), 1.0),
-			std::ptr_fun<Real, Real>(std::sin) }; 
-
-	for (Size n=0; n < LENGTH(f); ++n) {
-		ExtendedOrnsteinUhlenbeckProcess refProcess(
-			speed, vol, 0.0, f[n], 
-			ExtendedOrnsteinUhlenbeckProcess::GaussLobatto, 1e-6);
-
-		for (Size i=0; i < LENGTH(discr)-1; ++i) {
-			ExtendedOrnsteinUhlenbeckProcess eouProcess(
-									  speed, vol, 0.0, f[n], discr[i]);
-
-			const Time T = 10;
-			const Size nTimeSteps = 10000;
-
-			const Time dt = T/nTimeSteps;
-			Time t  = 0.0;
-			Real q = 0.0;
-			Real p = 0.0;
-			
-			PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
-
-			for (Size j=0; j < nTimeSteps; ++j) {
-				const Real dw = rng.next().value;
-				q=eouProcess.evolve(t,q,dt,dw);
-				p=refProcess.evolve(t,p,dt,dw);
-
-				if (std::fabs(q-p) > 1e-6) {
-					BOOST_FAIL("invalid process evaluation " 
-					            << n << " " << i << " " << j << " " << q-p);
-				}
-				t+=dt;
-			}
-		}
-	}
-}
-
-
-
-void SwingOptionTest::testFdmExponentialJump1dMesher() {
-
-    BOOST_MESSAGE("Testing finite difference mesher for the Kluge model ...");
-
-    SavedSettings backup;
-
-    Array x(2, 1.0);
-    const Real beta = 100.0;
-    const Real eta  = 1.0/0.4;
-    const Real jumpIntensity = 4.0;
-    const Size dummySteps  = 2;
-
-    ExponentialJump1dMesher mesher(dummySteps, beta, jumpIntensity, eta);
-
-    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
-        new ExtendedOrnsteinUhlenbeckProcess(1.0, 1.0, x[0],
-                                             constant<Real, Real>(1.0)));
-    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
-        new ExtOUWithJumpsProcess(ouProcess, x[1], beta, jumpIntensity, eta));
-
-    const Time dt = 1.0/(10.0*beta);
-    const Size n = 1000000;
-
-    std::vector<Real> path(n);
-    PseudoRandom::rng_type mt(PseudoRandom::urng_type(123));
-    Array dw(3);
-    for (Size i=0; i < n; ++i) {
-        dw[0] = mt.next().value;
-        dw[1] = mt.next().value;
-        dw[2] = mt.next().value;
-        path[i] = (x = jumpProcess->evolve(0.0, x, dt, dw))[1];
-    }
-    std::sort(path.begin(), path.end());
-
-    const Real relTol1 = 2e-3;
-    const Real relTol2 = 2e-2;
-    const Real threshold = 0.9;
-
-    for (Real x=1e-12; x < 1.0; x*=10) {
-        const Real v = mesher.jumpSizeDistribution(x);
-
-        std::vector<Real>::iterator iter
-            = std::lower_bound(path.begin(), path.end(), x);
-        const Real q = std::distance(path.begin(), iter)/Real(n);
-        QL_REQUIRE(std::fabs(q - v) < relTol1
-                    || (v < threshold) && std::fabs(q-v) < relTol2,
-                    "can not reproduce jump distribution");
-    }
-}
-
-void SwingOptionTest::testExtOUJumpVanillaEngine() {
-
-    BOOST_MESSAGE("Testing finite difference pricer for the Kluge model ...");
-
-    SavedSettings backup;
-
-    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
-
-    const Date today = Date::todaysDate();
-    Settings::instance().evaluationDate() = today;
-
-    const DayCounter dc = ActualActual();
-    const Date maturityDate = today + Period(12, Months);
-    const Time maturity = dc.yearFraction(today, maturityDate);
-
-    const Rate irRate = 0.1;
-    boost::shared_ptr<YieldTermStructure> rTS(flatRate(today, irRate, dc));
-    boost::shared_ptr<StrikedTypePayoff> payoff(
-                                     new PlainVanillaPayoff(Option::Call, 30));
-    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
-
-    boost::shared_ptr<PricingEngine> engine(
-                 new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 200, 50));
-
-    VanillaOption option(payoff, exercise);
-    option.setPricingEngine(engine);
-    const Real fdNPV = option.NPV();
-
-    const Size steps = 100;
-    const Size nrTrails = 200000;
-    TimeGrid grid(maturity, steps);
-
-    typedef PseudoRandom::rsg_type rsg_type;
-    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
-    rsg_type rsg = PseudoRandom::make_sequence_generator(
-                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
-
-    GeneralStatistics npv;
-    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
-
-    for (Size n=0; n < nrTrails; ++n) {
-        sample_type path = generator.next();
-
-        const Real x = path.value[0].back();
-        const Real y = path.value[1].back();
-
-        const Real cashflow = (*payoff)(std::exp(x+y));
-        npv.add(cashflow*rTS->discount(maturity));
-    }
-
-    const Real mcNPV = npv.mean();
-    const Real mcError = npv.errorEstimate();
-
-    if ( std::fabs(fdNPV - mcNPV) > 3.0*mcError) {
-        BOOST_ERROR("Failed to reproduce FD and MC prices"
-                    << "\n    FD NPV: " << fdNPV
-                    << "\n    MC NPV: " << mcNPV
-                    << " +/- " << mcError);
-    }
-}
-
-void SwingOptionTest::testFdBSSwingOption() {
-
-    BOOST_MESSAGE("Testing Black-Scholes Vanilla Swing option pricing ...");
-
-    SavedSettings backup;
-
-    Date settlementDate = Date::todaysDate();
-    Settings::instance().evaluationDate() = settlementDate;
-    DayCounter dayCounter = ActualActual();
-    Date maturityDate = settlementDate + Period(12, Months);
-
-    boost::shared_ptr<StrikedTypePayoff> payoff(
-                                     new PlainVanillaPayoff(Option::Put, 30));
-
-    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
-    while (exerciseDates.back() < maturityDate) {
-        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
-    }
-
-    boost::shared_ptr<SwingExercise> swingExercise(
-                                            new SwingExercise(exerciseDates));
-
-    Handle<YieldTermStructure> riskFreeTS(flatRate(0.14, dayCounter));
-    Handle<YieldTermStructure> dividendTS(flatRate(0.02, dayCounter));
-    Handle<BlackVolTermStructure> volTS(
-                                    flatVol(settlementDate, 0.4, dayCounter));
-
-    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(30.0)));
-
-    boost::shared_ptr<BlackScholesMertonProcess> process(
-            new BlackScholesMertonProcess(s0, dividendTS, riskFreeTS, volTS));
-    boost::shared_ptr<PricingEngine> engine(
-                                new FdSimpleBSSwingEngine(process, 50, 200));
-    
-    VanillaOption bermudanOption(payoff, swingExercise);
-    bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-                          new FdBlackScholesVanillaEngine(process, 50, 200)));
-    const Real bermudanOptionPrices = bermudanOption.NPV();
-    
-    for (Size i=0; i < exerciseDates.size(); ++i) {
-        const Size exerciseRights = i+1;
-        
-        VanillaSwingOption swingOption(payoff, swingExercise,
-                                       exerciseRights, exerciseRights);
-        swingOption.setPricingEngine(engine);
-        const Real swingOptionPrice = swingOption.NPV();
-
-        const Real upperBound = exerciseRights*bermudanOptionPrices;
-
-        if (swingOptionPrice - upperBound > 2e-2) {
-            BOOST_ERROR("Failed to reproduce upper bounds"
-                        << "\n    upper Bound: " << upperBound
-                        << "\n    Price:       " << swingOptionPrice);
-        }
-        
-        Real lowerBound = 0.0;
-        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
-            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
-                                     new EuropeanExercise(exerciseDates[j])));
-            europeanOption.setPricingEngine(
-                boost::shared_ptr<PricingEngine>(
-                                          new AnalyticEuropeanEngine(process)));
-            lowerBound += europeanOption.NPV();
-        }
-
-        if (lowerBound - swingOptionPrice > 2e-2) {
-            BOOST_ERROR("Failed to reproduce lower bounds"
-                        << "\n    lower Bound: " << lowerBound
-                        << "\n    Price:       " << swingOptionPrice);
-        }
-    }
-}
-
-
-void SwingOptionTest::testExtOUJumpSwingOption() {
-
-    BOOST_MESSAGE("Testing Simple Swing option pricing for Kluge model...");
-
-    SavedSettings backup;
-
-    Date settlementDate = Date::todaysDate();
-    Settings::instance().evaluationDate() = settlementDate;
-    DayCounter dayCounter = ActualActual();
-    Date maturityDate = settlementDate + Period(12, Months);
-
-    boost::shared_ptr<StrikedTypePayoff> payoff(
-                                     new PlainVanillaPayoff(Option::Put, 30));
-
-    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
-    while (exerciseDates.back() < maturityDate) {
-        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
-    }
-    boost::shared_ptr<SwingExercise> swingExercise(
-                                            new SwingExercise(exerciseDates));
-
-    std::vector<Time> exerciseTimes(exerciseDates.size());
-    for (Size i=0; i < exerciseTimes.size(); ++i) {
-        exerciseTimes[i]
-                 = dayCounter.yearFraction(settlementDate, exerciseDates[i]);
-    }
-
-    TimeGrid grid(exerciseTimes.begin(), exerciseTimes.end(), 60);
-    std::vector<Size> exerciseIndex(exerciseDates.size());
-    for (Size i=0; i < exerciseIndex.size(); ++i) {
-        exerciseIndex[i] = grid.closestIndex(exerciseTimes[i]);
-    }
-
-    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
-
-    const Rate irRate = 0.1;
-    boost::shared_ptr<YieldTermStructure> rTS(
-                                flatRate(settlementDate, irRate, dayCounter));
-
-    boost::shared_ptr<PricingEngine> swingEngine(
-                new FdSimpleExtOUJumpSwingEngine(jumpProcess, rTS, 25, 50, 25));
-
-    boost::shared_ptr<PricingEngine> vanillaEngine(
-                new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 50, 25));
-
-    VanillaOption bermudanOption(payoff, swingExercise);
-    bermudanOption.setPricingEngine(vanillaEngine);
-    const Real bermudanOptionPrices = bermudanOption.NPV();
-
-    const Size nrTrails = 16000;
-    typedef PseudoRandom::rsg_type rsg_type;
-    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
-    rsg_type rsg = PseudoRandom::make_sequence_generator(
-                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
-
-    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
-
-    for (Size i=0; i < exerciseDates.size(); ++i) {
-        const Size exerciseRights = i+1;
-
-        VanillaSwingOption swingOption(payoff, swingExercise,
-                                       exerciseRights, exerciseRights);
-        swingOption.setPricingEngine(swingEngine);
-        const Real swingOptionPrice = swingOption.NPV();
-
-        const Real upperBound = exerciseRights*bermudanOptionPrices;
-
-        if (swingOptionPrice - upperBound > 2e-2) {
-            BOOST_ERROR("Failed to reproduce upper bounds"
-                        << "\n    upper Bound: " << upperBound
-                        << "\n    Price:       " << swingOptionPrice);
-        }
-
-        Real lowerBound = 0.0;
-        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
-            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
-                                     new EuropeanExercise(exerciseDates[j])));
-            europeanOption.setPricingEngine(
-                boost::shared_ptr<PricingEngine>(vanillaEngine));
-            lowerBound += europeanOption.NPV();
-        }
-
-        if (lowerBound - swingOptionPrice > 2e-2) {
-            BOOST_ERROR("Failed to reproduce lower bounds"
-                       << "\n    lower Bound: " << lowerBound
-                       << "\n    Price:       " << swingOptionPrice);
-        }
-
-        // use MC plus perfect forecast to find an upper bound
-        GeneralStatistics npv;
-        for (Size n=0; n < nrTrails; ++n) {
-            sample_type path = generator.next();
-
-            std::vector<Real> exerciseValues(exerciseTimes.size());
-            for (Size k=0; k < exerciseTimes.size(); ++k) {
-                const Real x = path.value[0][exerciseIndex[k]];
-                const Real y = path.value[1][exerciseIndex[k]];
-                const Real s = std::exp(x+y);
-
-                exerciseValues[k] =(*payoff)(s)*rTS->discount(exerciseDates[k]);
-            }
-            std::sort(exerciseValues.begin(), exerciseValues.end(),
-                      std::greater<Real>());
-
-            Real npCashFlows
-                = std::accumulate(exerciseValues.begin(),
-                                  exerciseValues.begin()+exerciseRights, 0.0);
-            npv.add(npCashFlows);
-        }
-
-        const Real mcUpperBound = npv.mean();
-        const Real mcErrorUpperBound = npv.errorEstimate();
-        if (swingOptionPrice - mcUpperBound > 2.36*mcErrorUpperBound) {
-            BOOST_ERROR("Failed to reproduce mc upper bounds"
-                       << "\n    mc upper Bound: " << mcUpperBound
-                       << "\n    Price:          " << swingOptionPrice);
-        }
-    }
-}
-
-
-test_suite* SwingOptionTest::suite() {
-    test_suite* suite = BOOST_TEST_SUITE("Swing-Option Test");
-    suite->add(QUANTLIB_TEST_CASE(
-		&SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
-    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
-    suite->add(QUANTLIB_TEST_CASE(
-                          &SwingOptionTest::testFdmExponentialJump1dMesher));
-    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
-    suite->add(QUANTLIB_TEST_CASE(
-                            &SwingOptionTest::testExtOUJumpSwingOption));
-    return suite;
-}
-
-
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "swingoption.hpp"
+#include "utilities.hpp"
+
+#include <ql/math/functional.hpp>
+#include <ql/quotes/simplequote.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/instruments/vanillaoption.hpp>
+#include <ql/instruments/vanillaswingoption.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/math/statistics/generalstatistics.hpp>
+#include <ql/termstructures/yield/zerocurve.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+#include <ql/methods/montecarlo/multipathgenerator.hpp>
+#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
+#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
+#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
+#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
+#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
+#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
+#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
+#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
+
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+
+namespace {
+    boost::shared_ptr<ExtOUWithJumpsProcess> createKlugeProcess() {
+        Array x0(2);
+        x0[0] = 3.0; x0[1] = 0.0;
+
+        const Real beta = 5.0;
+        const Real eta  = 2.0;
+        const Real jumpIntensity = 1.0;
+        const Real speed = 1.0;
+        const Real volatility = 2.0;
+
+        boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+            new ExtendedOrnsteinUhlenbeckProcess(speed, volatility, x0[0],
+                                                 constant<Real, Real>(x0[0])));
+        return boost::shared_ptr<ExtOUWithJumpsProcess>(
+            new ExtOUWithJumpsProcess(ouProcess, x0[1], beta,
+                                      jumpIntensity, eta));
+    }
+}
+
+void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
+
+    BOOST_MESSAGE("Testing extended Ornstein-Uhlenbeck process...");
+
+    SavedSettings backup;
+
+	const Real speed = 2.5;
+	const Volatility vol = 0.70;
+	const Real level = 1.43;
+
+	ExtendedOrnsteinUhlenbeckProcess::Discretization discr[] = {
+		ExtendedOrnsteinUhlenbeckProcess::MidPoint,
+		ExtendedOrnsteinUhlenbeckProcess::Trapezodial,
+		ExtendedOrnsteinUhlenbeckProcess::GaussLobatto};
+
+	boost::function<Real (Real)> f[] 
+		= { constant<Real, Real>(level),
+			std::bind1st(std::plus<Real>(), 1.0),
+			std::ptr_fun<Real, Real>(std::sin) }; 
+
+	for (Size n=0; n < LENGTH(f); ++n) {
+		ExtendedOrnsteinUhlenbeckProcess refProcess(
+			speed, vol, 0.0, f[n], 
+			ExtendedOrnsteinUhlenbeckProcess::GaussLobatto, 1e-6);
+
+		for (Size i=0; i < LENGTH(discr)-1; ++i) {
+			ExtendedOrnsteinUhlenbeckProcess eouProcess(
+									  speed, vol, 0.0, f[n], discr[i]);
+
+			const Time T = 10;
+			const Size nTimeSteps = 10000;
+
+			const Time dt = T/nTimeSteps;
+			Time t  = 0.0;
+			Real q = 0.0;
+			Real p = 0.0;
+			
+			PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
+
+			for (Size j=0; j < nTimeSteps; ++j) {
+				const Real dw = rng.next().value;
+				q=eouProcess.evolve(t,q,dt,dw);
+				p=refProcess.evolve(t,p,dt,dw);
+
+				if (std::fabs(q-p) > 1e-6) {
+					BOOST_FAIL("invalid process evaluation " 
+					            << n << " " << i << " " << j << " " << q-p);
+				}
+				t+=dt;
+			}
+		}
+	}
+}
+
+
+
+void SwingOptionTest::testFdmExponentialJump1dMesher() {
+
+    BOOST_MESSAGE("Testing finite difference mesher for the Kluge model ...");
+
+    SavedSettings backup;
+
+    Array x(2, 1.0);
+    const Real beta = 100.0;
+    const Real eta  = 1.0/0.4;
+    const Real jumpIntensity = 4.0;
+    const Size dummySteps  = 2;
+
+    ExponentialJump1dMesher mesher(dummySteps, beta, jumpIntensity, eta);
+
+    boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess(
+        new ExtendedOrnsteinUhlenbeckProcess(1.0, 1.0, x[0],
+                                             constant<Real, Real>(1.0)));
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess(
+        new ExtOUWithJumpsProcess(ouProcess, x[1], beta, jumpIntensity, eta));
+
+    const Time dt = 1.0/(10.0*beta);
+    const Size n = 1000000;
+
+    std::vector<Real> path(n);
+    PseudoRandom::rng_type mt(PseudoRandom::urng_type(123));
+    Array dw(3);
+    for (Size i=0; i < n; ++i) {
+        dw[0] = mt.next().value;
+        dw[1] = mt.next().value;
+        dw[2] = mt.next().value;
+        path[i] = (x = jumpProcess->evolve(0.0, x, dt, dw))[1];
+    }
+    std::sort(path.begin(), path.end());
+
+    const Real relTol1 = 2e-3;
+    const Real relTol2 = 2e-2;
+    const Real threshold = 0.9;
+
+    for (Real x=1e-12; x < 1.0; x*=10) {
+        const Real v = mesher.jumpSizeDistribution(x);
+
+        std::vector<Real>::iterator iter
+            = std::lower_bound(path.begin(), path.end(), x);
+        const Real q = std::distance(path.begin(), iter)/Real(n);
+        QL_REQUIRE(std::fabs(q - v) < relTol1
+                    || (v < threshold) && std::fabs(q-v) < relTol2,
+                    "can not reproduce jump distribution");
+    }
+}
+
+void SwingOptionTest::testExtOUJumpVanillaEngine() {
+
+    BOOST_MESSAGE("Testing finite difference pricer for the Kluge model ...");
+
+    SavedSettings backup;
+
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
+
+    const Date today = Date::todaysDate();
+    Settings::instance().evaluationDate() = today;
+
+    const DayCounter dc = ActualActual();
+    const Date maturityDate = today + Period(12, Months);
+    const Time maturity = dc.yearFraction(today, maturityDate);
+
+    const Rate irRate = 0.1;
+    boost::shared_ptr<YieldTermStructure> rTS(flatRate(today, irRate, dc));
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Call, 30));
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
+
+    boost::shared_ptr<PricingEngine> engine(
+                 new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 200, 50));
+
+    VanillaOption option(payoff, exercise);
+    option.setPricingEngine(engine);
+    const Real fdNPV = option.NPV();
+
+    const Size steps = 100;
+    const Size nrTrails = 200000;
+    TimeGrid grid(maturity, steps);
+
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
+
+    GeneralStatistics npv;
+    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
+
+    for (Size n=0; n < nrTrails; ++n) {
+        sample_type path = generator.next();
+
+        const Real x = path.value[0].back();
+        const Real y = path.value[1].back();
+
+        const Real cashflow = (*payoff)(std::exp(x+y));
+        npv.add(cashflow*rTS->discount(maturity));
+    }
+
+    const Real mcNPV = npv.mean();
+    const Real mcError = npv.errorEstimate();
+
+    if ( std::fabs(fdNPV - mcNPV) > 3.0*mcError) {
+        BOOST_ERROR("Failed to reproduce FD and MC prices"
+                    << "\n    FD NPV: " << fdNPV
+                    << "\n    MC NPV: " << mcNPV
+                    << " +/- " << mcError);
+    }
+}
+
+void SwingOptionTest::testFdBSSwingOption() {
+
+    BOOST_MESSAGE("Testing Black-Scholes Vanilla Swing option pricing ...");
+
+    SavedSettings backup;
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Put, 30));
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
+    }
+
+    boost::shared_ptr<SwingExercise> swingExercise(
+                                            new SwingExercise(exerciseDates));
+
+    Handle<YieldTermStructure> riskFreeTS(flatRate(0.14, dayCounter));
+    Handle<YieldTermStructure> dividendTS(flatRate(0.02, dayCounter));
+    Handle<BlackVolTermStructure> volTS(
+                                    flatVol(settlementDate, 0.4, dayCounter));
+
+    Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(30.0)));
+
+    boost::shared_ptr<BlackScholesMertonProcess> process(
+            new BlackScholesMertonProcess(s0, dividendTS, riskFreeTS, volTS));
+    boost::shared_ptr<PricingEngine> engine(
+                                new FdSimpleBSSwingEngine(process, 50, 200));
+    
+    VanillaOption bermudanOption(payoff, swingExercise);
+    bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+                          new FdBlackScholesVanillaEngine(process, 50, 200)));
+    const Real bermudanOptionPrices = bermudanOption.NPV();
+    
+    for (Size i=0; i < exerciseDates.size(); ++i) {
+        const Size exerciseRights = i+1;
+        
+        VanillaSwingOption swingOption(payoff, swingExercise,
+                                       exerciseRights, exerciseRights);
+        swingOption.setPricingEngine(engine);
+        const Real swingOptionPrice = swingOption.NPV();
+
+        const Real upperBound = exerciseRights*bermudanOptionPrices;
+
+        if (swingOptionPrice - upperBound > 2e-2) {
+            BOOST_ERROR("Failed to reproduce upper bounds"
+                        << "\n    upper Bound: " << upperBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+        
+        Real lowerBound = 0.0;
+        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
+            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
+                                     new EuropeanExercise(exerciseDates[j])));
+            europeanOption.setPricingEngine(
+                boost::shared_ptr<PricingEngine>(
+                                          new AnalyticEuropeanEngine(process)));
+            lowerBound += europeanOption.NPV();
+        }
+
+        if (lowerBound - swingOptionPrice > 2e-2) {
+            BOOST_ERROR("Failed to reproduce lower bounds"
+                        << "\n    lower Bound: " << lowerBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+    }
+}
+
+
+void SwingOptionTest::testExtOUJumpSwingOption() {
+
+    BOOST_MESSAGE("Testing Simple Swing option pricing for Kluge model...");
+
+    SavedSettings backup;
+
+    Date settlementDate = Date::todaysDate();
+    Settings::instance().evaluationDate() = settlementDate;
+    DayCounter dayCounter = ActualActual();
+    Date maturityDate = settlementDate + Period(12, Months);
+
+    boost::shared_ptr<StrikedTypePayoff> payoff(
+                                     new PlainVanillaPayoff(Option::Put, 30));
+
+    std::vector<Date> exerciseDates(1, settlementDate+Period(1, Months));
+    while (exerciseDates.back() < maturityDate) {
+        exerciseDates.push_back(exerciseDates.back()+Period(1, Months));
+    }
+    boost::shared_ptr<SwingExercise> swingExercise(
+                                            new SwingExercise(exerciseDates));
+
+    std::vector<Time> exerciseTimes(exerciseDates.size());
+    for (Size i=0; i < exerciseTimes.size(); ++i) {
+        exerciseTimes[i]
+                 = dayCounter.yearFraction(settlementDate, exerciseDates[i]);
+    }
+
+    TimeGrid grid(exerciseTimes.begin(), exerciseTimes.end(), 60);
+    std::vector<Size> exerciseIndex(exerciseDates.size());
+    for (Size i=0; i < exerciseIndex.size(); ++i) {
+        exerciseIndex[i] = grid.closestIndex(exerciseTimes[i]);
+    }
+
+    boost::shared_ptr<ExtOUWithJumpsProcess> jumpProcess = createKlugeProcess();
+
+    const Rate irRate = 0.1;
+    boost::shared_ptr<YieldTermStructure> rTS(
+                                flatRate(settlementDate, irRate, dayCounter));
+
+    boost::shared_ptr<PricingEngine> swingEngine(
+                new FdSimpleExtOUJumpSwingEngine(jumpProcess, rTS, 25, 50, 25));
+
+    boost::shared_ptr<PricingEngine> vanillaEngine(
+                new FdExtOUJumpVanillaEngine(jumpProcess, rTS, 25, 50, 25));
+
+    VanillaOption bermudanOption(payoff, swingExercise);
+    bermudanOption.setPricingEngine(vanillaEngine);
+    const Real bermudanOptionPrices = bermudanOption.NPV();
+
+    const Size nrTrails = 16000;
+    typedef PseudoRandom::rsg_type rsg_type;
+    typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
+    rsg_type rsg = PseudoRandom::make_sequence_generator(
+                    jumpProcess->factors()*(grid.size()-1), BigNatural(421));
+
+    MultiPathGenerator<rsg_type> generator(jumpProcess, grid, rsg, false);
+
+    for (Size i=0; i < exerciseDates.size(); ++i) {
+        const Size exerciseRights = i+1;
+
+        VanillaSwingOption swingOption(payoff, swingExercise,
+                                       exerciseRights, exerciseRights);
+        swingOption.setPricingEngine(swingEngine);
+        const Real swingOptionPrice = swingOption.NPV();
+
+        const Real upperBound = exerciseRights*bermudanOptionPrices;
+
+        if (swingOptionPrice - upperBound > 2e-2) {
+            BOOST_ERROR("Failed to reproduce upper bounds"
+                        << "\n    upper Bound: " << upperBound
+                        << "\n    Price:       " << swingOptionPrice);
+        }
+
+        Real lowerBound = 0.0;
+        for (Size j=exerciseDates.size()-i-1; j < exerciseDates.size(); ++j) {
+            VanillaOption europeanOption(payoff, boost::shared_ptr<Exercise>(
+                                     new EuropeanExercise(exerciseDates[j])));
+            europeanOption.setPricingEngine(
+                boost::shared_ptr<PricingEngine>(vanillaEngine));
+            lowerBound += europeanOption.NPV();
+        }
+
+        if (lowerBound - swingOptionPrice > 2e-2) {
+            BOOST_ERROR("Failed to reproduce lower bounds"
+                       << "\n    lower Bound: " << lowerBound
+                       << "\n    Price:       " << swingOptionPrice);
+        }
+
+        // use MC plus perfect forecast to find an upper bound
+        GeneralStatistics npv;
+        for (Size n=0; n < nrTrails; ++n) {
+            sample_type path = generator.next();
+
+            std::vector<Real> exerciseValues(exerciseTimes.size());
+            for (Size k=0; k < exerciseTimes.size(); ++k) {
+                const Real x = path.value[0][exerciseIndex[k]];
+                const Real y = path.value[1][exerciseIndex[k]];
+                const Real s = std::exp(x+y);
+
+                exerciseValues[k] =(*payoff)(s)*rTS->discount(exerciseDates[k]);
+            }
+            std::sort(exerciseValues.begin(), exerciseValues.end(),
+                      std::greater<Real>());
+
+            Real npCashFlows
+                = std::accumulate(exerciseValues.begin(),
+                                  exerciseValues.begin()+exerciseRights, 0.0);
+            npv.add(npCashFlows);
+        }
+
+        const Real mcUpperBound = npv.mean();
+        const Real mcErrorUpperBound = npv.errorEstimate();
+        if (swingOptionPrice - mcUpperBound > 2.36*mcErrorUpperBound) {
+            BOOST_ERROR("Failed to reproduce mc upper bounds"
+                       << "\n    mc upper Bound: " << mcUpperBound
+                       << "\n    Price:          " << swingOptionPrice);
+        }
+    }
+}
+
+
+test_suite* SwingOptionTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Swing-Option Test");
+    suite->add(QUANTLIB_TEST_CASE(
+		&SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
+    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
+    suite->add(QUANTLIB_TEST_CASE(
+                          &SwingOptionTest::testFdmExponentialJump1dMesher));
+    suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testExtOUJumpVanillaEngine));
+    suite->add(QUANTLIB_TEST_CASE(
+                            &SwingOptionTest::testExtOUJumpSwingOption));
+    return suite;
+}
+
+
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
old mode 100755
new mode 100644
index b877012321..188ff66454
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -1,38 +1,38 @@
-/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
-
-/*
- Copyright (C) 2010, 2011 Klaus Spanderen
-
- This file is part of QuantLib, a free-software/open-source library
- for financial quantitative analysts and developers - http://quantlib.org/
-
- QuantLib is free software: you can redistribute it and/or modify it
- under the terms of the QuantLib license.  You should have received a
- copy of the license along with this program; if not, please email
- <quantlib-dev@lists.sf.net>. The license is also available online at
- <http://quantlib.org/license.shtml>.
-
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-#ifndef quantlib_test_swing_option_hpp
-#define quantlib_test_swing_option_hpp
-
-#include <boost/test/unit_test.hpp>
-
-/* remember to document new and/or updated tests in the Doxygen
-   comment block of the corresponding class */
-
-class SwingOptionTest {
-  public:
-    static void testExtendedOrnsteinUhlenbeckProcess();
-	static void testFdBSSwingOption();
-    static void testExtOUJumpSwingOption();
-	static void testFdmExponentialJump1dMesher();
-	static void testExtOUJumpVanillaEngine();
-    static boost::unit_test_framework::test_suite* suite();
-};
-
-#endif
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2010, 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_swing_option_hpp
+#define quantlib_test_swing_option_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class SwingOptionTest {
+  public:
+    static void testExtendedOrnsteinUhlenbeckProcess();
+	static void testFdBSSwingOption();
+    static void testExtOUJumpSwingOption();
+	static void testFdmExponentialJump1dMesher();
+	static void testExtOUJumpVanillaEngine();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+#endif

From a1dc95bb5f52b39174ce472ca9bb9c84deae1ff7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 2 Nov 2011 10:04:20 +0000
Subject: [PATCH 340/410] Unknown Microsoft compilers no longer cause an error.

Now, a compiler with a version number higher than the latest
known no longer raises an error.  It might not work, but we
give it a try anyway in the hope that it does work.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18080 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/config.msvc.hpp | 6 +++++-
 1 file changed, 5 insertions(+), 1 deletion(-)

diff --git a/ql/config.msvc.hpp b/ql/config.msvc.hpp
index aaa9fd7869..2136a30b28 100644
--- a/ql/config.msvc.hpp
+++ b/ql/config.msvc.hpp
@@ -96,7 +96,11 @@
 // this goes here until we figure out what's wrong with boost::uBLAS
 #  define QL_NO_UBLAS_SUPPORT
 #else
-#  error "unknown Microsoft compiler"
+// Microsoft compiler we still don't know about.
+// We treat it the same way as the latest and hope for the better.
+#  define QL_PATCH_MSVC100
+#  define QL_WORKING_BOOST_STREAMS
+#  define QL_NO_UBLAS_SUPPORT
 #endif
 
 #ifndef _CPPRTTI

From 48972f6532cbb907f425e3a8793e685ffb209827 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 2 Nov 2011 16:02:49 +0000
Subject: [PATCH 341/410] Prevented auto-linking of Boost libraries

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18081 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/config.msvc.hpp | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/ql/config.msvc.hpp b/ql/config.msvc.hpp
index 2136a30b28..4b98aea809 100644
--- a/ql/config.msvc.hpp
+++ b/ql/config.msvc.hpp
@@ -46,6 +46,9 @@
 
 #define QL_PATCH_MSVC  // more granularity below
 
+// prevent auto-link of Boost libs such as serialization
+#define BOOST_ALL_NO_LIB
+
 // select toolset:
 #if (_MSC_VER < 1310)
 #  error "unsupported Microsoft compiler"

From 22989f2b0fed7db83738387e6f4ad92e7e2a860d Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 2 Nov 2011 16:03:54 +0000
Subject: [PATCH 342/410] Avoided type-conversion warnings on VC++10

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18082 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/utilities/vectors.hpp              | 2 +-
 test-suite/writerextensibleoption.cpp | 6 ++----
 2 files changed, 3 insertions(+), 5 deletions(-)

diff --git a/ql/utilities/vectors.hpp b/ql/utilities/vectors.hpp
index d3cb9cc6c5..e80cc8fd07 100644
--- a/ql/utilities/vectors.hpp
+++ b/ql/utilities/vectors.hpp
@@ -36,7 +36,7 @@ namespace QuantLib {
               Size i,
               U defaultValue) {
             if (v.empty()) {
-                return defaultValue;
+                return static_cast<T>(defaultValue);
             } else if (i < v.size()) {
                 return v[i];
             } else {
diff --git a/test-suite/writerextensibleoption.cpp b/test-suite/writerextensibleoption.cpp
index 390912ab95..ced6751604 100644
--- a/test-suite/writerextensibleoption.cpp
+++ b/test-suite/writerextensibleoption.cpp
@@ -60,10 +60,8 @@ void WriterExtensibleOptionTest::testAnalyticWriterExtensibleOptionEngine() {
     Real strike2 = 82.0;
     DayCounter dc = Actual360();
     Date today = Settings::instance().evaluationDate();
-    Real t1 = 0.5;
-    Date exDate1 = today + (t1*360 + 0.5);
-    Real t2 = 0.75;
-    Date exDate2 = today + (t2*360 + 0.5);
+    Date exDate1 = today + 180;
+    Date exDate2 = today + 270;
 
     boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(80.0));
     boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));

From 1a5a3a1d88a3a26dd961581d5c09b16adc8578dc Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 4 Nov 2011 18:03:39 +0000
Subject: [PATCH 343/410] enabled forward coupon calculation for CCTEU

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18100 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/btp.cpp | 3 ++-
 ql/instruments/bonds/btp.hpp | 2 ++
 2 files changed, 4 insertions(+), 1 deletion(-)

diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
index a31af39805..c2660217f1 100644
--- a/ql/instruments/bonds/btp.cpp
+++ b/ql/instruments/bonds/btp.cpp
@@ -31,6 +31,7 @@ namespace QuantLib {
 
     CCTEU::CCTEU(const Date& maturityDate,
                  Spread spread,
+                 const Handle<YieldTermStructure>& fwdCurve,
                  const Date& startDate,
                  const Date& issueDate)
     : FloatingRateBond(3, 100.0,
@@ -38,7 +39,7 @@ namespace QuantLib {
                                 maturityDate, 6*Months,
                                 NullCalendar(), Unadjusted, Unadjusted,
                                 DateGeneration::Backward, true),
-                       boost::shared_ptr<IborIndex>(new Euribor6M()),
+                       boost::shared_ptr<Euribor6M>(new Euribor6M(fwdCurve)),
                        Actual360(),
                        Following,
                        Euribor6M().fixingDays(),
diff --git a/ql/instruments/bonds/btp.hpp b/ql/instruments/bonds/btp.hpp
index fc2bf28108..da6c3e6847 100644
--- a/ql/instruments/bonds/btp.hpp
+++ b/ql/instruments/bonds/btp.hpp
@@ -43,6 +43,8 @@ namespace QuantLib {
       public:
         CCTEU(const Date& maturityDate,
               Spread spread,
+              const Handle<YieldTermStructure>& fwdCurve =
+                                    Handle<YieldTermStructure>(),
               const Date& startDate = Date(),
               const Date& issueDate = Date());
     };

From 0af8e2185128bed5ba71612a47a665d45e8e3ff9 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 5 Nov 2011 14:09:49 +0000
Subject: [PATCH 344/410] fixed order of initialization

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18101 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/iterativebootstrap.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
index fe28ddc87f..acf6be7bd9 100644
--- a/ql/termstructures/iterativebootstrap.hpp
+++ b/ql/termstructures/iterativebootstrap.hpp
@@ -61,7 +61,7 @@ namespace QuantLib {
 
     template <class Curve>
     IterativeBootstrap<Curve>::IterativeBootstrap()
-    : initialized_(false), validCurve_(false), ts_(0) {}
+        : ts_(0), initialized_(false), validCurve_(false) {}
 
     template <class Curve>
     void IterativeBootstrap<Curve>::setup(Curve* ts) {

From 4bb2db7fa456323bc1b3433213c4ecf91f0d6b8e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 5 Nov 2011 14:11:00 +0000
Subject: [PATCH 345/410] remove local copy of the time grid

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18102 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/montecarlo/multipathgenerator.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/methods/montecarlo/multipathgenerator.hpp b/ql/methods/montecarlo/multipathgenerator.hpp
index a9de9856fd..3849037217 100644
--- a/ql/methods/montecarlo/multipathgenerator.hpp
+++ b/ql/methods/montecarlo/multipathgenerator.hpp
@@ -126,7 +126,7 @@ namespace QuantLib {
             Array temp(n);
             next_.weight = sequence_.weight;
 
-            TimeGrid timeGrid = path[0].timeGrid();
+            const TimeGrid& timeGrid = path[0].timeGrid();
             Time t, dt;
             for (Size i = 1; i < path.pathSize(); i++) {
                 Size offset = (i-1)*n;

From 2e96fad660562a78aaf5128344cc98310f42fd9b Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 8 Nov 2011 09:36:26 +0000
Subject: [PATCH 346/410] explicit variable name

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18103 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/instruments/bonds/floatingratebond.cpp | 12 ++++++------
 ql/instruments/bonds/floatingratebond.hpp |  4 ++--
 2 files changed, 8 insertions(+), 8 deletions(-)

diff --git a/ql/instruments/bonds/floatingratebond.cpp b/ql/instruments/bonds/floatingratebond.cpp
index b065affd52..681233e746 100644
--- a/ql/instruments/bonds/floatingratebond.cpp
+++ b/ql/instruments/bonds/floatingratebond.cpp
@@ -31,7 +31,7 @@ namespace QuantLib {
                            Natural settlementDays,
                            Real faceAmount,
                            const Schedule& schedule,
-                           const boost::shared_ptr<IborIndex>& index,
+                           const boost::shared_ptr<IborIndex>& iborIndex,
                            const DayCounter& paymentDayCounter,
                            BusinessDayConvention paymentConvention,
                            Natural fixingDays,
@@ -46,7 +46,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = IborLeg(schedule, index)
+        cashflows_ = IborLeg(schedule, iborIndex)
             .withNotionals(faceAmount)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
@@ -62,7 +62,7 @@ namespace QuantLib {
         QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
         QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
 
-        registerWith(index);
+        registerWith(iborIndex);
     }
 
     FloatingRateBond::FloatingRateBond(
@@ -72,7 +72,7 @@ namespace QuantLib {
                            const Date& maturityDate,
                            Frequency couponFrequency,
                            const Calendar& calendar,
-                           const boost::shared_ptr<IborIndex>& index,
+                           const boost::shared_ptr<IborIndex>& iborIndex,
                            const DayCounter& accrualDayCounter,
                            BusinessDayConvention accrualConvention,
                            BusinessDayConvention paymentConvention,
@@ -116,7 +116,7 @@ namespace QuantLib {
                           rule, endOfMonth,
                           firstDate, nextToLastDate);
 
-        cashflows_ = IborLeg(schedule, index)
+        cashflows_ = IborLeg(schedule, iborIndex)
             .withNotionals(faceAmount)
             .withPaymentDayCounter(accrualDayCounter)
             .withPaymentAdjustment(paymentConvention)
@@ -132,7 +132,7 @@ namespace QuantLib {
         QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
         QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
 
-        registerWith(index);
+        registerWith(iborIndex);
     }
 
 }
diff --git a/ql/instruments/bonds/floatingratebond.hpp b/ql/instruments/bonds/floatingratebond.hpp
index 442b8422c1..8c1fa1c23a 100644
--- a/ql/instruments/bonds/floatingratebond.hpp
+++ b/ql/instruments/bonds/floatingratebond.hpp
@@ -44,7 +44,7 @@ namespace QuantLib {
         FloatingRateBond(Natural settlementDays,
                          Real faceAmount,
                          const Schedule& schedule,
-                         const boost::shared_ptr<IborIndex>& index,
+                         const boost::shared_ptr<IborIndex>& iborIndex,
                          const DayCounter& accrualDayCounter,
                          BusinessDayConvention paymentConvention
                                              = Following,
@@ -66,7 +66,7 @@ namespace QuantLib {
                          const Date& maturityDate,
                          Frequency couponFrequency,
                          const Calendar& calendar,
-                         const boost::shared_ptr<IborIndex>& index,
+                         const boost::shared_ptr<IborIndex>& iborIndex,
                          const DayCounter& accrualDayCounter,
                          BusinessDayConvention accrualConvention = Following,
                          BusinessDayConvention paymentConvention = Following,

From ee2861b00cd86b307017a0111f2429b4d254bfe7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 10 Nov 2011 11:19:59 +0000
Subject: [PATCH 347/410] Added South Korea holidays for 2011/2012.

Thanks to Charles Chongseok Hyun and Faycal El Karaa.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18104 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/southkorea.cpp | 14 ++++++++++++--
 ql/time/calendars/southkorea.hpp |  5 +++--
 2 files changed, 15 insertions(+), 4 deletions(-)

diff --git a/ql/time/calendars/southkorea.cpp b/ql/time/calendars/southkorea.cpp
index f2c7b3872d..2a4c820c38 100644
--- a/ql/time/calendars/southkorea.cpp
+++ b/ql/time/calendars/southkorea.cpp
@@ -2,8 +2,8 @@
 
 /*
  Copyright (C) 2004 FIMAT Group
- Copyright (C) 2007 StatPro Italia srl
- Copyright (C) 2008 Charles Chongseok Hyun
+ Copyright (C) 2007, 2011 StatPro Italia srl
+ Copyright (C) 2008, 2011 Charles Chongseok Hyun
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -82,12 +82,16 @@ namespace QuantLib {
             || ((d == 6 || d == 7 || d == 8) && m == February && y == 2008)
             || ((d == 25 || d == 26 || d == 27) && m == January && y == 2009)
             || ((d == 13 || d == 14 || d == 15) && m == February && y == 2010)
+            || ((d == 2 || d == 3 || d == 4) && m == February && y == 2011)
+            || ((d == 23 || d == 24) && m == January && y == 2012)
             // Election Days
             || (d == 15 && m == April && y == 2004)    // National Assembly
             || (d == 31 && m == May && y == 2006)      // Regional election
             || (d == 19 && m == December && y == 2007) // Presidency
             || (d ==  9 && m == April && y == 2008)    // National Assembly
             || (d ==  2 && m == June && y == 2010)     // Local election
+            || (d == 11 && m == April && y == 2012)    // National Assembly
+            || (d == 19 && m == December && y == 2012) // Presidency
             // Buddha's birthday
             || (d == 26 && m == May && y == 2004)
             || (d == 15 && m == May && y == 2005)
@@ -96,6 +100,8 @@ namespace QuantLib {
             || (d == 12 && m == May && y == 2008)
             || (d ==  2 && m == May && y == 2009)
             || (d == 21 && m == May && y == 2010)
+            || (d == 10 && m == May && y == 2011)
+            || (d == 28 && m == May && y == 2012)
             // Harvest Moon Day
             || ((d == 27 || d == 28 || d == 29) && m == September && y == 2004)
             || ((d == 17 || d == 18 || d == 19) && m == September && y == 2005)
@@ -104,6 +110,8 @@ namespace QuantLib {
             || ((d == 13 || d == 14 || d == 15) && m == September && y == 2008)
             || ((d ==  2 || d ==  3 || d ==  4) && m == October && y == 2009)
             || ((d == 21 || d == 22 || d == 23) && m == September && y == 2010)
+            || ((d == 12 || d == 13) && m == September && y == 2011)
+            || (d == 1 && m == October && y == 2012)
             )
             return false;
 
@@ -127,6 +135,8 @@ namespace QuantLib {
             || (d == 31 && m == December && y == 2008)
             || (d == 31 && m == December && y == 2009)
             || (d == 31 && m == December && y == 2010)
+            || (d == 30 && m == December && y == 2011)
+            || (d == 31 && m == December && y == 2012)
             )
             return false;
 
diff --git a/ql/time/calendars/southkorea.hpp b/ql/time/calendars/southkorea.hpp
index 2410bb21b2..0d63cd0fad 100644
--- a/ql/time/calendars/southkorea.hpp
+++ b/ql/time/calendars/southkorea.hpp
@@ -48,7 +48,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2004-2010 only:)
+        (data available for 2004-2012 only:)
         <ul>
         <li>Lunar New Year, the last day of the previous lunar year,
             January 1st, 2nd in lunar calendar</li>
@@ -61,7 +61,8 @@ namespace QuantLib {
         </ul>
 
         Holidays for the Korea exchange
-        (data from <http://www.krx.co.kr> or
+        (data from
+        <http://eng.krx.co.kr/m8/m8_6/m8_6_1/JHPENG08006_01.jsp> or
         <http://www.dooriworld.com/daishin/holiday/holiday.html>):
         <ul>
         <li>Public holidays as listed above</li>

From e77d414632e25977ada389a3607144b24fd2262a Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 14 Nov 2011 15:51:52 +0000
Subject: [PATCH 348/410] fixed bug

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18107 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/swaption/blackswaptionengine.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/pricingengines/swaption/blackswaptionengine.cpp b/ql/pricingengines/swaption/blackswaptionengine.cpp
index a3277fa272..7b5a3ceacc 100644
--- a/ql/pricingengines/swaption/blackswaptionengine.cpp
+++ b/ql/pricingengines/swaption/blackswaptionengine.cpp
@@ -74,10 +74,10 @@ namespace QuantLib {
 
         Rate strike = swap.fixedRate();
 
-        // using the forecasting curve
+        // using the discounting curve
+        // swap.iborIndex() might be using a different forwarding curve
         swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
-            DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
-                                  false)));
+            DiscountingSwapEngine(discountCurve_, false)));
         Rate atmForward = swap.fairRate();
 
         // Volatilities are quoted for zero-spreaded swaps.

From 660d4f7cc509971fdab6e50286275b138931268a Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 18 Dec 2011 20:02:30 +0000
Subject: [PATCH 349/410] fixed test suite (removed todaysDate)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18134 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/vpp.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 41d0d850fb..79ccea3f62 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -90,7 +90,7 @@ void VPPTest::testGemanRoncoroniProcess() {
 
     SavedSettings backup;
 
-    const Date today = Date::todaysDate();
+    const Date today = Date(18, December, 2011);
     Settings::instance().evaluationDate() = today;
     const DayCounter dc = ActualActual();
 
@@ -208,7 +208,7 @@ void VPPTest::testSimpleExtOUStorageEngine() {
 
     SavedSettings backup;
 
-    Date settlementDate = Date::todaysDate();
+    Date settlementDate = Date(18, December, 2011);
     Settings::instance().evaluationDate() = settlementDate;
     DayCounter dayCounter = ActualActual();
     Date maturityDate = settlementDate + Period(12, Months);
@@ -239,7 +239,7 @@ void VPPTest::testSimpleExtOUStorageEngine() {
 
     storageOption.setPricingEngine(storageEngine);
 
-    const Real expected = 69.6307;
+    const Real expected = 69.5755;
     const Real calculated = storageOption.NPV();
 
     if (std::fabs(expected - calculated) > 5e-2) {
@@ -256,7 +256,7 @@ void VPPTest::testKlugeExtOUSpreadOption() {
 
     SavedSettings backup;
 
-    Date settlementDate = Date::todaysDate();
+    Date settlementDate = Date(18, December, 2011);
     Settings::instance().evaluationDate() = settlementDate;
 
     DayCounter dayCounter = ActualActual();
@@ -545,7 +545,7 @@ void VPPTest::testVPPPricing() {
 
     SavedSettings backup;
 
-    const Date today = Date::todaysDate();
+    const Date today = Date(18, December, 2011);
     const DayCounter dc = ActualActual();
     Settings::instance().evaluationDate() = today;
 

From 593566b7f265737c304c69d1436c9d4305a98b8b Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 19 Dec 2011 21:13:19 +0000
Subject: [PATCH 350/410] finite difference based Bermudan swaption engines for
 the G2++ and the Hull-White model

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18137 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../BermudanSwaption/BermudanSwaption.cpp     |  75 +++++++--
 .../fdmexpextouinnervaluecalculator.hpp       |   2 +-
 .../finitedifferences/operators/Makefile.am   |   4 +
 .../finitedifferences/operators/all.hpp       |   2 +
 .../operators/fdmblackscholesop.cpp           |   2 +-
 .../finitedifferences/operators/fdmg2op.cpp   | 116 ++++++++++++++
 .../finitedifferences/operators/fdmg2op.hpp   |  66 ++++++++
 .../operators/fdmhestonhullwhiteop.cpp        |  92 ++++-------
 .../operators/fdmhestonhullwhiteop.hpp        |  42 ++---
 .../operators/fdmhullwhiteop.cpp              |  97 ++++++++++++
 .../operators/fdmhullwhiteop.hpp              |  64 ++++++++
 .../finitedifferences/solvers/Makefile.am     |   6 +
 ql/methods/finitedifferences/solvers/all.hpp  |   3 +
 .../solvers/fdm1dimsolver.cpp                 | 108 +++++++++++++
 .../solvers/fdm1dimsolver.hpp                 |  67 ++++++++
 .../solvers/fdmblackscholessolver.cpp         |  72 ++-------
 .../solvers/fdmblackscholessolver.hpp         |  12 +-
 .../finitedifferences/solvers/fdmg2solver.cpp |  54 +++++++
 .../finitedifferences/solvers/fdmg2solver.hpp |  57 +++++++
 .../solvers/fdmhullwhitesolver.cpp            |  54 +++++++
 .../solvers/fdmhullwhitesolver.hpp            |  57 +++++++
 .../solvers/fdmndimsolver.hpp                 |   2 +-
 .../finitedifferences/utilities/Makefile.am   |   4 +
 .../finitedifferences/utilities/all.hpp       |   2 +
 .../fdmaffinemodelswapinnervalue.cpp          |  51 ++++++
 .../fdmaffinemodelswapinnervalue.hpp          | 146 ++++++++++++++++++
 .../utilities/fdmaffinemodeltermstructure.cpp |  54 +++++++
 .../utilities/fdmaffinemodeltermstructure.hpp |  55 +++++++
 .../shortrate/onefactormodels/vasicek.hpp     |   8 +-
 ql/models/shortrate/twofactormodels/g2.hpp    |  12 +-
 ql/pricingengines/swaption/Makefile.am        |   4 +
 ql/pricingengines/swaption/all.hpp            |   2 +
 .../swaption/fdg2swaptionengine.cpp           | 134 ++++++++++++++++
 .../swaption/fdg2swaptionengine.hpp           |  51 ++++++
 .../swaption/fdhullwhiteswaptionengine.cpp    | 125 +++++++++++++++
 .../swaption/fdhullwhiteswaptionengine.hpp    |  54 +++++++
 .../fdhestonhullwhitevanillaengine.cpp        |  25 +--
 test-suite/bermudanswaption.cpp               |  47 ++++--
 test-suite/fdmlinearop.cpp                    |   6 +-
 39 files changed, 1616 insertions(+), 218 deletions(-)
 create mode 100644 ql/methods/finitedifferences/operators/fdmg2op.cpp
 create mode 100644 ql/methods/finitedifferences/operators/fdmg2op.hpp
 create mode 100644 ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
 create mode 100644 ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdmg2solver.cpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdmg2solver.hpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
 create mode 100644 ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.cpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.cpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp
 create mode 100644 ql/pricingengines/swaption/fdg2swaptionengine.cpp
 create mode 100644 ql/pricingengines/swaption/fdg2swaptionengine.hpp
 create mode 100644 ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
 create mode 100644 ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp

diff --git a/Examples/BermudanSwaption/BermudanSwaption.cpp b/Examples/BermudanSwaption/BermudanSwaption.cpp
index c47d951c44..6af8ea5096 100644
--- a/Examples/BermudanSwaption/BermudanSwaption.cpp
+++ b/Examples/BermudanSwaption/BermudanSwaption.cpp
@@ -274,20 +274,29 @@ int main(int, char* []) {
 
         // G2 price the European swaption here, it should switch to bermudan
         bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-                                        new TreeSwaptionEngine(modelG2, 50)));
-        std::cout << "G2:       " << bermudanSwaption.NPV() << std::endl;
+            new TreeSwaptionEngine(modelG2, 50)));
+        std::cout << "G2 (tree):      " << bermudanSwaption.NPV() << std::endl;
+        bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdG2SwaptionEngine(modelG2)));
+        std::cout << "G2 (fdm) :      " << bermudanSwaption.NPV() << std::endl;
 
         bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-           new TreeSwaptionEngine(modelHW, 50)));
-        std::cout << "HW:       " << bermudanSwaption.NPV() << std::endl;
+            new TreeSwaptionEngine(modelHW, 50)));
+        std::cout << "HW (tree):      " << bermudanSwaption.NPV() << std::endl;
+        bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW)));
+        std::cout << "HW (fdm) :      " << bermudanSwaption.NPV() << std::endl;
 
         bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-                                       new TreeSwaptionEngine(modelHW2, 50)));
-        std::cout << "HW (num): " << bermudanSwaption.NPV() << std::endl;
+            new TreeSwaptionEngine(modelHW2, 50)));
+        std::cout << "HW (num, tree): " << bermudanSwaption.NPV() << std::endl;
+        bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW2)));
+        std::cout << "HW (num, fdm) : " << bermudanSwaption.NPV() << std::endl;
 
         bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-                                        new TreeSwaptionEngine(modelBK, 50)));
-        std::cout << "BK:       " << bermudanSwaption.NPV() << std::endl;
+            new TreeSwaptionEngine(modelBK, 50)));
+        std::cout << "BK:             " << bermudanSwaption.NPV() << std::endl;
 
 
         // OTM Bermudan swaption pricing
@@ -300,20 +309,36 @@ int main(int, char* []) {
 
         // Do the pricing for each model
         otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
-            new TreeSwaptionEngine(modelG2, 50)));
-        std::cout << "G2:       " << otmBermudanSwaption.NPV() << std::endl;
+            new TreeSwaptionEngine(modelG2, 300)));
+        std::cout << "G2 (tree):       " << otmBermudanSwaption.NPV()
+                  << std::endl;
+        otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdG2SwaptionEngine(modelG2)));
+        std::cout << "G2 (fdm) :       " << otmBermudanSwaption.NPV()
+                  << std::endl;
 
         otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelHW, 50)));
-        std::cout << "HW:       " << otmBermudanSwaption.NPV() << std::endl;
+        std::cout << "HW (tree):       " << otmBermudanSwaption.NPV()
+                  << std::endl;
+        otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW)));
+        std::cout << "HW (fdm) :       " << otmBermudanSwaption.NPV()
+                  << std::endl;
 
         otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelHW2, 50)));
-        std::cout << "HW (num): " << otmBermudanSwaption.NPV() << std::endl;
+        std::cout << "HW (num, tree):  " << otmBermudanSwaption.NPV()
+                  << std::endl;
+        otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW2)));
+        std::cout << "HW (num, fdm):   " << otmBermudanSwaption.NPV()
+                  << std::endl;
 
         otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelBK, 50)));
-        std::cout << "BK:       " << otmBermudanSwaption.NPV() << std::endl;
+        std::cout << "BK:              " << otmBermudanSwaption.NPV()
+                  << std::endl;
 
 
         // ITM Bermudan swaption pricing
@@ -327,19 +352,35 @@ int main(int, char* []) {
         // Do the pricing for each model
         itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelG2, 50)));
-        std::cout << "G2:       " << itmBermudanSwaption.NPV() << std::endl;
+        std::cout << "G2 (tree):       " << itmBermudanSwaption.NPV()
+                  << std::endl;
+        itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdG2SwaptionEngine(modelG2)));
+        std::cout << "G2 (fdm) :       " << itmBermudanSwaption.NPV()
+                  << std::endl;
 
         itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelHW, 50)));
-        std::cout << "HW:       " << itmBermudanSwaption.NPV() << std::endl;
+        std::cout << "HW (tree):       " << itmBermudanSwaption.NPV()
+                  << std::endl;
+        itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW)));
+        std::cout << "HW (fdm) :       " << itmBermudanSwaption.NPV()
+                  << std::endl;
 
         itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelHW2, 50)));
-        std::cout << "HW (num): " << itmBermudanSwaption.NPV() << std::endl;
+        std::cout << "HW (num, tree):  " << itmBermudanSwaption.NPV()
+                  << std::endl;
+        itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new FdHullWhiteSwaptionEngine(modelHW2)));
+        std::cout << "HW (num, fdm) :  " << itmBermudanSwaption.NPV()
+                  << std::endl;
 
         itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
             new TreeSwaptionEngine(modelBK, 50)));
-        std::cout << "BK:       " << itmBermudanSwaption.NPV() << std::endl;
+        std::cout << "BK:              " << itmBermudanSwaption.NPV()
+                  << std::endl;
 
         Real seconds = timer.elapsed();
         Integer hours = int(seconds/3600);
diff --git a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
index 2a265608be..34a7d27d3d 100644
--- a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
@@ -25,7 +25,7 @@
 #ifndef quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
 #define quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
 
-#include <ql/qldefines.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/operators/Makefile.am b/ql/methods/finitedifferences/operators/Makefile.am
index e32ef4e9c4..e134893e8c 100644
--- a/ql/methods/finitedifferences/operators/Makefile.am
+++ b/ql/methods/finitedifferences/operators/Makefile.am
@@ -7,8 +7,10 @@ this_include_HEADERS = \
 	fdm2dblackscholesop.hpp \
 	fdmbatesop.hpp \
 	fdmblackscholesop.hpp \
+	fdmg2op.hpp \
 	fdmhestonhullwhiteop.hpp \
 	fdmhestonop.hpp \
+	fdmhullwhiteop.hpp \
 	fdmlinearopcomposite.hpp \
 	fdmlinearop.hpp \
 	fdmlinearopiterator.hpp \
@@ -23,8 +25,10 @@ libFdmOperators_la_SOURCES = \
 	fdm2dblackscholesop.cpp \
 	fdmbatesop.cpp \
 	fdmblackscholesop.cpp \
+	fdmg2op.cpp \
 	fdmhestonhullwhiteop.cpp \
 	fdmhestonop.cpp \
+	fdmhullwhiteop.cpp \
 	fdmlinearoplayout.cpp \
 	firstderivativeop.cpp \
 	ninepointlinearop.cpp \
diff --git a/ql/methods/finitedifferences/operators/all.hpp b/ql/methods/finitedifferences/operators/all.hpp
index 88deaa5f6e..918c467285 100644
--- a/ql/methods/finitedifferences/operators/all.hpp
+++ b/ql/methods/finitedifferences/operators/all.hpp
@@ -4,8 +4,10 @@
 #include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
 #include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
diff --git a/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
index 2dda9e404f..b7fa1f3b2a 100644
--- a/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
@@ -90,7 +90,7 @@ namespace QuantLib {
     }
 
     Size FdmBlackScholesOp::size() const {
-        return mesher_->layout()->dim().size();
+        return 1u;
     }
 
     Disposable<Array> FdmBlackScholesOp::apply(const Array& u) const {
diff --git a/ql/methods/finitedifferences/operators/fdmg2op.cpp b/ql/methods/finitedifferences/operators/fdmg2op.cpp
new file mode 100644
index 0000000000..0d1a4c70d7
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/fdmg2op.cpp
@@ -0,0 +1,116 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmg2op.cpp */
+
+
+#include <ql/models/shortrate/twofactormodels/g2.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
+
+
+namespace QuantLib {
+
+    FdmG2Op::FdmG2Op(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::shared_ptr<G2>& model,
+        Size direction1, Size direction2)
+    : direction1_(direction1),
+      direction2_(direction2),
+      x_(mesher->locations(direction1)),
+      y_(mesher->locations(direction2)),
+      dxMap_(FirstDerivativeOp(direction1, mesher).mult(-x_*model->a()).add(
+                SecondDerivativeOp(direction1, mesher)
+                    .mult(0.5*model->sigma()*model->sigma()
+                          *Array(mesher->layout()->size(), 1.0)))),
+      dyMap_(FirstDerivativeOp(direction2, mesher).mult(-y_*model->b()).add(
+                SecondDerivativeOp(direction2, mesher)
+                    .mult(0.5*model->eta()*model->eta()
+                          *Array(mesher->layout()->size(), 1.0)))),
+      corrMap_(SecondOrderMixedDerivativeOp(direction1, direction2, mesher)
+              .mult(Array(mesher->layout()->size(),
+                          model->rho()*model->sigma()*model->eta()))),
+      mapX_(direction1, mesher),
+      mapY_(direction2, mesher),
+      model_(model) {
+    }
+
+    Size FdmG2Op::size() const {
+        return 2u;
+    }
+
+    void FdmG2Op::setTime(Time t1, Time t2) {
+
+        const boost::shared_ptr<TwoFactorModel::ShortRateDynamics> dynamics =
+            model_->dynamics();
+
+        const Real phi = 0.5*(  dynamics->shortRate(t1, 0.0, 0.0)
+                              + dynamics->shortRate(t2, 0.0, 0.0));
+
+        const Array hr = -0.5*(x_ + y_ + phi);
+        mapX_.axpyb(Array(), dxMap_, dxMap_, hr);
+        mapY_.axpyb(Array(), dyMap_, dyMap_, hr);
+    }
+
+    Disposable<Array> FdmG2Op::apply(const Array& r) const {
+        return mapX_.apply(r) + mapY_.apply(r) + apply_mixed(r);
+    }
+
+    Disposable<Array> FdmG2Op::apply_mixed(const Array& r) const {
+        return corrMap_.apply(r);
+    }
+
+    Disposable<Array>
+    FdmG2Op::apply_direction(Size direction, const Array& r) const {
+        if (direction == direction1_) {
+            return mapX_.apply(r);
+        }
+        else if (direction == direction2_) {
+            return mapY_.apply(r);
+        }
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
+    }
+
+    Disposable<Array>
+    FdmG2Op::solve_splitting(Size direction, const Array& r, Real a) const {
+        if (direction == direction1_) {
+            return mapX_.solve_splitting(r, a, 1.0);
+        }
+        else if (direction == direction2_) {
+            return mapY_.solve_splitting(r, a, 1.0);
+        }
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
+    }
+
+    Disposable<Array>
+    FdmG2Op::preconditioner(const Array& r, Real dt) const {
+        return solve_splitting(direction1_, r, dt);
+    }
+}
+
diff --git a/ql/methods/finitedifferences/operators/fdmg2op.hpp b/ql/methods/finitedifferences/operators/fdmg2op.hpp
new file mode 100644
index 0000000000..bd7fd2b487
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/fdmg2op.hpp
@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhullwhiteop.hpp
+    \brief FDM operator for the Hull-White interest rate model
+*/
+
+#ifndef quantlib_fdm_g2_op_hpp
+#define quantlib_fdm_g2_op_hpp
+
+#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+
+namespace QuantLib {
+
+	class G2;
+    class FdmMesher;
+
+    class FdmG2Op : public FdmLinearOpComposite {
+      public:
+
+        FdmG2Op(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<G2>& model,
+            Size direction1, Size direction2);
+
+        Size size() const;
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+        Disposable<Array> apply_direction(Size direction, const Array& r) const;
+        Disposable<Array>
+            solve_splitting(Size direction, const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+        const Size direction1_, direction2_;
+        const Array x_, y_;
+        const TripleBandLinearOp dxMap_, dyMap_;
+
+        NinePointLinearOp corrMap_;
+        TripleBandLinearOp mapX_, mapY_;
+
+        const boost::shared_ptr<G2> model_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
index c793a9755f..cc82faa205 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2008 Andreas Gaida
  Copyright (C) 2008 Ralph Schreyer
- Copyright (C) 2008 Klaus Spanderen
+ Copyright (C) 2008, 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -19,6 +19,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
@@ -30,19 +31,22 @@ namespace QuantLib {
 
     FdmHestonHullWhiteEquityPart::FdmHestonHullWhiteEquityPart(
         const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::shared_ptr<HullWhite>& hwModel,
         const boost::shared_ptr<YieldTermStructure>& qTS)
-    : rates_(mesher->locations(2)),
+    : x_(mesher->locations(2)),
       varianceValues_(0.5*mesher->locations(1)),
       dxMap_ (FirstDerivativeOp(0, mesher)),
       dxxMap_(SecondDerivativeOp(0, mesher).mult(0.5*mesher->locations(1))),
       mapT_   (0, mesher),
+      hwModel_(hwModel),
       mesher_ (mesher),
       qTS_(qTS) {
+
         // on the boundary s_min and s_max the second derivative
         // d²V/dS² is zero and due to Ito's Lemma the variance term
         // in the drift should vanish.
-        boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
-        FdmLinearOpIterator endIter = layout->end();
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
             ++iter) {
             if (   iter.coordinates()[0] == 0
@@ -54,51 +58,18 @@ namespace QuantLib {
     }
 
     void FdmHestonHullWhiteEquityPart::setTime(Time t1, Time t2) {
-        const Rate q = qTS_->forwardRate(t1, t2, Continuous).rate();
-
-        mapT_.axpyb(rates_-varianceValues_-q, dxMap_, dxxMap_, Array());
-    }
-
-    const TripleBandLinearOp& FdmHestonHullWhiteEquityPart::getMap() const {
-        return mapT_;
-    }
-
-    FdmHestonHullWhiteVariancePart::FdmHestonHullWhiteVariancePart(
-        const boost::shared_ptr<FdmMesher>& mesher,
-        Real sigma, Real kappa, Real theta)
-    : dyMap_(SecondDerivativeOp(1, mesher)
-               .mult(0.5*sigma*sigma*mesher->locations(1))
-             .add(FirstDerivativeOp(1, mesher)
-               .mult(kappa*(theta - mesher->locations(1))))) {
-    }
+        const boost::shared_ptr<OneFactorModel::ShortRateDynamics> dynamics =
+            hwModel_->dynamics();
 
-    const TripleBandLinearOp& FdmHestonHullWhiteVariancePart::getMap() const {
-        return dyMap_;
-    }
+        const Real phi = 0.5*(  dynamics->shortRate(t1, 0.0)
+                              + dynamics->shortRate(t2, 0.0));
 
-    FdmHestonHullWhiteRatesPart::FdmHestonHullWhiteRatesPart(
-        const boost::shared_ptr<FdmMesher>& mesher,
-        const boost::shared_ptr<HullWhiteProcess>& hwProcess)
-    : rates_(mesher->locations(2)),
-      dzMap_(FirstDerivativeOp(2, mesher)),
-      dzzMap_(SecondDerivativeOp(2, mesher)
-                 .mult(0.5*hwProcess->sigma()*hwProcess->sigma()
-                       *Array(mesher->layout()->size(), 1.))
-                 .add(-mesher->locations(2))),
-      mapT_(2, mesher),
-      hwProcess_(hwProcess) {
-    }
-
-    void FdmHestonHullWhiteRatesPart::setTime(Time t1, Time t2) {
-        const Time dt = t2-t1;
-
-        const Array drift = (rates_*(std::exp(-hwProcess_->a()*dt)-1.0)
-                           + hwProcess_->expectation(t1, 0.0, dt))/dt;
+        const Rate q = qTS_->forwardRate(t1, t2, Continuous).rate();
 
-        mapT_.axpyb(drift, dzMap_, dzzMap_, Array());
+        mapT_.axpyb(x_+phi-varianceValues_-q, dxMap_, dxxMap_, Array());
     }
 
-    const TripleBandLinearOp& FdmHestonHullWhiteRatesPart::getMap() const {
+    const TripleBandLinearOp& FdmHestonHullWhiteEquityPart::getMap() const {
         return mapT_;
     }
 
@@ -107,31 +78,34 @@ namespace QuantLib {
                     const boost::shared_ptr<HestonProcess>& hestonProcess,
                     const boost::shared_ptr<HullWhiteProcess>& hwProcess,
                     Real equityShortRateCorrelation)
-    : rates_(mesher->locations(2)),
-      v0_(hestonProcess->v0()),
+    : v0_(hestonProcess->v0()),
       kappa_(hestonProcess->kappa()),
       theta_(hestonProcess->theta()),
       sigma_(hestonProcess->sigma()),
       rho_(hestonProcess->rho()),
-      hwProcess_(hwProcess),
+      hwModel_(new HullWhite(hestonProcess->riskFreeRate(),
+                             hwProcess->a(), hwProcess->sigma())),
       hestonCorrMap_(SecondOrderMixedDerivativeOp(0, 1, mesher)
                      .mult(rho_*sigma_*mesher->locations(1))),
       equityIrCorrMap_(SecondOrderMixedDerivativeOp(0, 2, mesher)
                        .mult(Sqrt(mesher->locations(1))
                               * hwProcess->sigma()
                               * equityShortRateCorrelation)),
-      dyMap_(mesher, sigma_, kappa_, theta_),
-      dxMap_(mesher, hestonProcess->dividendYield().currentLink()),
-      dzMap_(mesher, hwProcess) {
+      dyMap_(SecondDerivativeOp(1u, mesher)
+              .mult(0.5*sigma_*sigma_*mesher->locations(1))
+            .add(FirstDerivativeOp(1, mesher)
+              .mult(kappa_*(theta_ - mesher->locations(1))))),
+      dxMap_(mesher, hwModel_, hestonProcess->dividendYield().currentLink()),
+      hullWhiteOp_(mesher, hwModel_, 2) {
 
         QL_REQUIRE(  equityShortRateCorrelation*equityShortRateCorrelation
-                    +hestonProcess->rho()*hestonProcess->rho() <= 1.0,
-                    "correlation matrix has negative eigenvalues");
+                   + hestonProcess->rho()*hestonProcess->rho() <= 1.0,
+                   "correlation matrix has negative eigenvalues");
     }
 
     void FdmHestonHullWhiteOp::setTime(Time t1, Time t2) {
         dxMap_.setTime(t1, t2);
-        dzMap_.setTime(t1, t2);
+        hullWhiteOp_.setTime(t1, t2);
     }
 
     Size FdmHestonHullWhiteOp::size() const {
@@ -139,8 +113,8 @@ namespace QuantLib {
     }
 
     Disposable<Array> FdmHestonHullWhiteOp::apply(const Array& u) const {
-        return  dyMap_.getMap().apply(u) + dxMap_.getMap().apply(u)
-              + dzMap_.getMap().apply(u)
+        return  dyMap_.apply(u) + dxMap_.getMap().apply(u)
+              + hullWhiteOp_.apply(u)
               + hestonCorrMap_.apply(u) + equityIrCorrMap_.apply(u);
     }
 
@@ -150,9 +124,9 @@ namespace QuantLib {
         if (direction == 0)
             return dxMap_.getMap().apply(r);
         else if (direction == 1)
-            return dyMap_.getMap().apply(r);
+            return dyMap_.apply(r);
         else if (direction == 2)
-            return dzMap_.getMap().apply(r);
+            return hullWhiteOp_.apply(r);
         else
             QL_FAIL("direction too large");
     }
@@ -168,10 +142,10 @@ namespace QuantLib {
             return dxMap_.getMap().solve_splitting(r, a, 1.0);
         }
         else if (direction == 1) {
-            return dyMap_.getMap().solve_splitting(r, a, 1.0);
+            return dyMap_.solve_splitting(r, a, 1.0);
         }
         else if (direction == 2) {
-            return dzMap_.getMap().solve_splitting(r, a, 1.0);
+            return hullWhiteOp_.solve_splitting(2, r, a);
         }
         else
             QL_FAIL("direction too large");
diff --git a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
index ac12c531b0..7ac0e6ee4d 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
@@ -28,6 +28,7 @@
 
 #include <ql/processes/hestonprocess.hpp>
 #include <ql/processes/hullwhiteprocess.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
 #include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
 #include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
@@ -35,54 +36,30 @@
 
 namespace QuantLib {
 
+    class HullWhite;
+
     class FdmHestonHullWhiteEquityPart {
       public:
         FdmHestonHullWhiteEquityPart(
             const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<HullWhite>& hwModel,
             const boost::shared_ptr<YieldTermStructure>& qTS);
 
         void setTime(Time t1, Time t2);
         const TripleBandLinearOp& getMap() const;
 
       protected:
-        const Array rates_;
+        const Array x_;
         Array varianceValues_, volatilityValues_;
         const FirstDerivativeOp  dxMap_;
         const TripleBandLinearOp dxxMap_;
         TripleBandLinearOp mapT_;
 
+        const boost::shared_ptr<HullWhite> hwModel_;
         const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<YieldTermStructure> qTS_;
     };
 
-    class FdmHestonHullWhiteVariancePart {
-      public:
-        FdmHestonHullWhiteVariancePart(
-            const boost::shared_ptr<FdmMesher>& mesher,
-            Real sigma, Real kappa, Real theta);
-
-        const TripleBandLinearOp& getMap() const;
-
-      protected:
-        const TripleBandLinearOp dyMap_;
-    };
-
-    class FdmHestonHullWhiteRatesPart {
-      public:
-        FdmHestonHullWhiteRatesPart(
-                    const boost::shared_ptr<FdmMesher>& mesher,
-                    const boost::shared_ptr<HullWhiteProcess>& hwProcess);
-
-        void setTime(Time t1, Time t2);
-        const TripleBandLinearOp& getMap() const;
-
-      protected:
-        const Array rates_;
-        const TripleBandLinearOp dzMap_, dzzMap_;
-        TripleBandLinearOp mapT_;
-        const boost::shared_ptr<HullWhiteProcess> hwProcess_;
-    };
-
     class FdmHestonHullWhiteOp : public FdmLinearOpComposite {
       public:
         FdmHestonHullWhiteOp(
@@ -104,15 +81,14 @@ namespace QuantLib {
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
       private:
-        const Array rates_;
         const Real v0_, kappa_, theta_, sigma_, rho_;
-        const boost::shared_ptr<HullWhiteProcess> hwProcess_;
+        const boost::shared_ptr<HullWhite> hwModel_;
 
         NinePointLinearOp hestonCorrMap_;
         NinePointLinearOp equityIrCorrMap_;
-        FdmHestonHullWhiteVariancePart dyMap_;
+        TripleBandLinearOp dyMap_;
         FdmHestonHullWhiteEquityPart dxMap_;
-        FdmHestonHullWhiteRatesPart dzMap_;
+        FdmHullWhiteOp hullWhiteOp_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp b/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
new file mode 100644
index 0000000000..7d1265ac48
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
@@ -0,0 +1,97 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhullwhiteop.cpp */
+
+
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+
+namespace QuantLib {
+
+    FdmHullWhiteOp::FdmHullWhiteOp(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::shared_ptr<HullWhite>& model,
+        Size direction)
+    : direction_(direction),
+      x_(mesher->locations(direction)),
+      dzMap_(FirstDerivativeOp(direction, mesher).mult(-x_*model->a()).add(
+                SecondDerivativeOp(direction, mesher)
+                    .mult(0.5*model->sigma()*model->sigma()
+                          *Array(mesher->layout()->size(), 1.0)))),
+      mapT_(direction, mesher),
+      model_(model) {
+    }
+
+    Size FdmHullWhiteOp::size() const {
+        return 1u;
+    }
+
+    void FdmHullWhiteOp::setTime(Time t1, Time t2) {
+
+        const boost::shared_ptr<OneFactorModel::ShortRateDynamics> dynamics =
+            model_->dynamics();
+
+        const Real phi = 0.5*(  dynamics->shortRate(t1, 0.0)
+                              + dynamics->shortRate(t2, 0.0));
+
+        mapT_.axpyb(Array(), dzMap_, dzMap_, -(x_+phi));
+    }
+
+    Disposable<Array> FdmHullWhiteOp::apply(const Array& r) const {
+        return mapT_.apply(r);
+    }
+
+    Disposable<Array> FdmHullWhiteOp::apply_mixed(const Array& r) const {
+        Array retVal(r.size(), 0.0);
+        return retVal;
+    }
+
+    Disposable<Array>
+    FdmHullWhiteOp::apply_direction(Size direction, const Array& r) const {
+        if (direction == direction_)
+            return mapT_.apply(r);
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
+    }
+
+    Disposable<Array> FdmHullWhiteOp::solve_splitting(
+        Size direction, const Array& r, Real a) const {
+
+        if (direction == direction_) {
+            return mapT_.solve_splitting(r, a, 1.0);
+        }
+        else {
+            Array retVal(r.size(), 0.0);
+            return retVal;
+        }
+    }
+
+    Disposable<Array>
+    FdmHullWhiteOp::preconditioner(const Array& r, Real dt) const {
+        return solve_splitting(direction_, r, dt);
+    }
+}
+
diff --git a/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp b/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
new file mode 100644
index 0000000000..3859f35873
--- /dev/null
+++ b/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
@@ -0,0 +1,64 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhullwhiteop.hpp
+    \brief FDM operator for the Hull-White interest rate model
+*/
+
+#ifndef quantlib_fdm_hull_white_op_hpp
+#define quantlib_fdm_hull_white_op_hpp
+
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class HullWhite;
+
+    class FdmHullWhiteOp : public FdmLinearOpComposite {
+      public:
+
+        FdmHullWhiteOp(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<HullWhite>& model,
+            Size direction);
+
+        Size size() const;
+
+        //! Time \f$t1 <= t2\f$ is required
+        void setTime(Time t1, Time t2);
+
+        Disposable<Array> apply(const Array& r) const;
+        Disposable<Array> apply_mixed(const Array& r) const;
+        Disposable<Array> apply_direction(Size direction, const Array& r) const;
+        Disposable<Array>
+            solve_splitting(Size direction, const Array& r, Real s) const;
+        Disposable<Array> preconditioner(const Array& r, Real s) const;
+
+      private:
+        const Size direction_;
+        const Array x_;
+        const TripleBandLinearOp dzMap_;
+        TripleBandLinearOp mapT_;
+        const boost::shared_ptr<HullWhite> model_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/solvers/Makefile.am b/ql/methods/finitedifferences/solvers/Makefile.am
index d610e9942c..d306902873 100644
--- a/ql/methods/finitedifferences/solvers/Makefile.am
+++ b/ql/methods/finitedifferences/solvers/Makefile.am
@@ -5,26 +5,32 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
 	fdm2dblackscholessolver.hpp \
+	fdm1dimsolver.hpp \
 	fdm2dimsolver.hpp \
 	fdm3dimsolver.hpp \
 	fdmbackwardsolver.hpp \
 	fdmbatessolver.hpp \
 	fdmblackscholessolver.hpp \
+	fdmg2solver.hpp \
 	fdmhestonhullwhitesolver.hpp \
 	fdmhestonsolver.hpp \
+	fdmhullwhitesolver.hpp \
 	fdmndimsolver.hpp \
 	fdmsimple2dbssolver.hpp \
 	fdmsolverdesc.hpp
 
 libFdmSolvers_la_SOURCES = \
 	fdm2dblackscholessolver.cpp \
+	fdm1dimsolver.cpp \
 	fdm2dimsolver.cpp \
 	fdm3dimsolver.cpp \
 	fdmbackwardsolver.cpp \
 	fdmbatessolver.cpp \
 	fdmblackscholessolver.cpp \
+	fdmg2solver.cpp \
 	fdmhestonhullwhitesolver.cpp \
 	fdmhestonsolver.cpp \
+	fdmhullwhitesolver.cpp \
 	fdmsimple2dbssolver.cpp
 
 noinst_LTLIBRARIES = libFdmSolvers.la
diff --git a/ql/methods/finitedifferences/solvers/all.hpp b/ql/methods/finitedifferences/solvers/all.hpp
index ed22fd62d6..f53ca083a9 100644
--- a/ql/methods/finitedifferences/solvers/all.hpp
+++ b/ql/methods/finitedifferences/solvers/all.hpp
@@ -2,13 +2,16 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
diff --git a/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp b/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
new file mode 100644
index 0000000000..0f2b306f39
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
@@ -0,0 +1,108 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/interpolations/cubicinterpolation.hpp>
+#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+
+namespace QuantLib {
+
+    Fdm1DimSolver::Fdm1DimSolver(
+                             const FdmSolverDesc& solverDesc,
+                             const FdmSchemeDesc& schemeDesc,
+                             const boost::shared_ptr<FdmLinearOpComposite>& op)
+    : solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc),
+      op_(op),
+      thetaCondition_(new FdmSnapshotCondition(
+        0.99*std::min(1.0/365.0,
+           solverDesc.condition->stoppingTimes().empty()
+                    ? solverDesc.maturity
+                    : solverDesc.condition->stoppingTimes().front()))),
+      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
+                                                         solverDesc.condition)),
+      x_            (solverDesc.mesher->layout()->size()),
+      initialValues_(solverDesc.mesher->layout()->size()),
+      resultValues_ (solverDesc.mesher->layout()->size()) {
+
+        const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
+
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+             ++iter) {
+            initialValues_[iter.index()]
+                 = solverDesc_.calculator->avgInnerValue(iter,
+                                                         solverDesc.maturity);
+            x_[iter.index()] = mesher->location(iter, 0);
+        }
+    }
+
+
+    void Fdm1DimSolver::performCalculations() const {
+        Array rhs(initialValues_.size());
+        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
+
+        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
+            .rollback(rhs, solverDesc_.maturity, 0.0,
+                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
+
+        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
+        interpolation_ = boost::shared_ptr<CubicInterpolation>(new
+            MonotonicCubicNaturalSpline(x_.begin(), x_.end(),
+                                        resultValues_.begin()));
+    }
+
+    Real Fdm1DimSolver::interpolateAt(Real x) const {
+        calculate();
+        return interpolation_->operator()(x);
+    }
+
+    Real Fdm1DimSolver::thetaAt(Real x) const {
+        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
+                   "stopping time at zero-> can't calculate theta");
+
+        calculate();
+        Array thetaValues(resultValues_.size());
+
+        const Array& rhs = thetaCondition_->getValues();
+        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
+
+        Real temp = MonotonicCubicNaturalSpline(
+            x_.begin(), x_.end(), thetaValues.begin())(x);
+        return ( temp - interpolateAt(x) ) / thetaCondition_->getTime();
+    }
+
+
+    Real Fdm1DimSolver::derivativeX(Real x) const {
+        calculate();
+        return interpolation_->derivative(x);
+    }
+
+    Real Fdm1DimSolver::derivativeXX(Real x) const {
+        calculate();
+        return interpolation_->secondDerivative(x);
+    }
+}
diff --git a/ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp b/ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp
new file mode 100644
index 0000000000..b23953ff23
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp
@@ -0,0 +1,67 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdm1dimsolver.hpp
+*/
+
+#ifndef quantlib_fdm_1_dim_solver_hpp
+#define quantlib_fdm_1_dim_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/math/matrix.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+
+
+namespace QuantLib {
+
+    class CubicInterpolation;
+    class FdmSnapshotCondition;
+
+    class Fdm1DimSolver : public LazyObject {
+      public:
+        Fdm1DimSolver(const FdmSolverDesc& solverDesc,
+                      const FdmSchemeDesc& schemeDesc,
+                      const boost::shared_ptr<FdmLinearOpComposite>& op);
+
+        Real interpolateAt(Real x) const;
+        Real thetaAt(Real x) const;
+
+        Real derivativeX(Real x) const;
+        Real derivativeXX(Real x) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+        const boost::shared_ptr<FdmLinearOpComposite> op_;
+
+        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
+        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
+
+        std::vector<Real> x_, initialValues_;
+        mutable Array resultValues_;
+        mutable boost::shared_ptr<CubicInterpolation> interpolation_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
index 103aeef4d4..266c4a100d 100644
--- a/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp
@@ -20,14 +20,7 @@
 */
 
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/math/interpolations/cubicinterpolation.hpp>
-#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
-#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
-#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
-#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
-#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
-#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
 #include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
 
@@ -44,81 +37,38 @@ namespace QuantLib {
       strike_(strike),
       solverDesc_(solverDesc),
       schemeDesc_(schemeDesc),
-      mesher_(solverDesc.mesher),
-      thetaCondition_(new FdmSnapshotCondition(
-        0.99*std::min(1.0/365.0,
-                   solverDesc.condition->stoppingTimes().empty()
-                       ? solverDesc.maturity
-                       : solverDesc.condition->stoppingTimes().front()))),
-      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
-                                                      solverDesc.condition)),
       localVol_(localVol),
-      illegalLocalVolOverwrite_(illegalLocalVolOverwrite),
-      initialValues_(mesher_->layout()->size()),
-      resultValues_(mesher_->layout()->dim()[0]) {
+      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
 
         registerWith(process_);
-
-        x_.reserve(mesher_->layout()->dim()[0]);
-
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-             ++iter) {
-            initialValues_[iter.index()]
-                 = solverDesc.calculator->avgInnerValue(iter,
-                                                        solverDesc.maturity);
-            x_.push_back(mesher_->location(iter, 0));
-        }
     }
 
     void FdmBlackScholesSolver::performCalculations() const {
-        boost::shared_ptr<FdmBlackScholesOp> map(new FdmBlackScholesOp(
-                mesher_, process_.currentLink(), strike_,
+        const boost::shared_ptr<FdmBlackScholesOp> op(new FdmBlackScholesOp(
+                solverDesc_.mesher, process_.currentLink(), strike_,
                 localVol_, illegalLocalVolOverwrite_));
 
-        Array rhs(initialValues_.size());
-        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
-
-        FdmBackwardSolver(map, solverDesc_.bcSet, conditions_, schemeDesc_)
-            .rollback(rhs, solverDesc_.maturity, 0.0,
-                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
-
-        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
-
-        interpolation_ = boost::shared_ptr<CubicInterpolation>(new
-            MonotonicCubicNaturalSpline(x_.begin(), x_.end(),
-                                        resultValues_.begin()));
+        solver_ = boost::shared_ptr<Fdm1DimSolver>(
+            new Fdm1DimSolver(solverDesc_, schemeDesc_, op));
     }
 
     Real FdmBlackScholesSolver::valueAt(Real s) const {
         calculate();
-        return interpolation_->operator()(std::log(s));
+        return solver_->interpolateAt(std::log(s));
     }
 
     Real FdmBlackScholesSolver::deltaAt(Real s) const {
         calculate();
-        return interpolation_->derivative(std::log(s))/s;
+        return solver_->derivativeX(std::log(s))/s;
     }
 
     Real FdmBlackScholesSolver::gammaAt(Real s) const {
         calculate();
-        return (interpolation_->secondDerivative(std::log(s))
-                -interpolation_->derivative(std::log(s)))/(s*s);
+        return (solver_->derivativeXX(std::log(s))
+                -solver_->derivativeX(std::log(s)))/(s*s);
     }
 
     Real FdmBlackScholesSolver::thetaAt(Real s) const {
-        QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
-                   "stopping time at zero-> can't calculate theta");
-
-        calculate();
-        Array thetaValues(resultValues_.size());
-
-        const Array& rhs = thetaCondition_->getValues();
-        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
-
-        Real temp = MonotonicCubicNaturalSpline(
-            x_.begin(), x_.end(), thetaValues.begin())(std::log(s)); 
-        return ( temp - valueAt(s) ) / thetaCondition_->getTime();
+        return solver_->thetaAt(std::log(s));
     }
 }
diff --git a/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
index c1f3f44ff9..a2f8737c24 100644
--- a/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp
@@ -32,15 +32,12 @@
 
 namespace QuantLib {
 
-    class CubicInterpolation;
+    class Fdm1DimSolver;
     class FdmSnapshotCondition;
     class GeneralizedBlackScholesProcess;
 
     class FdmBlackScholesSolver : public LazyObject {
       public:
-        typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
-            BoundaryConditionSet;
-
         FdmBlackScholesSolver(
             const Handle<GeneralizedBlackScholesProcess>& process,
             Real strike,
@@ -62,15 +59,10 @@ namespace QuantLib {
         const Real strike_;
         const FdmSolverDesc solverDesc_;
         const FdmSchemeDesc schemeDesc_;
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
-        const boost::shared_ptr<FdmStepConditionComposite> conditions_;
         const bool localVol_;
         const Real illegalLocalVolOverwrite_;
 
-        std::vector<Real> x_, initialValues_;
-        mutable Array resultValues_;
-        mutable boost::shared_ptr<CubicInterpolation> interpolation_;
+        mutable boost::shared_ptr<Fdm1DimSolver> solver_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/solvers/fdmg2solver.cpp b/ql/methods/finitedifferences/solvers/fdmg2solver.cpp
new file mode 100644
index 0000000000..d7794fdb03
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdmg2solver.cpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmg2solver.cpp
+*/
+
+#include <ql/models/shortrate/twofactormodels/g2.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+
+namespace QuantLib {
+
+    FdmG2Solver::FdmG2Solver(
+        const Handle<G2>& model,
+        const FdmSolverDesc& solverDesc,
+        const FdmSchemeDesc& schemeDesc)
+    : model_(model),
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc) {
+        registerWith(model_);
+    }
+
+
+    void FdmG2Solver::performCalculations() const {
+        const boost::shared_ptr<FdmG2Op> op(
+            new FdmG2Op(solverDesc_.mesher, model_.currentLink(), 0, 1));
+
+        solver_ = boost::shared_ptr<Fdm2DimSolver>(
+            new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
+    }
+
+    Real FdmG2Solver::valueAt(Real x, Real y) const {
+        calculate();
+        return solver_->interpolateAt(x, y);
+    }
+}
diff --git a/ql/methods/finitedifferences/solvers/fdmg2solver.hpp b/ql/methods/finitedifferences/solvers/fdmg2solver.hpp
new file mode 100644
index 0000000000..776a85c556
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdmg2solver.hpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmg2solver.hpp
+*/
+
+#ifndef quantlib_fdm_g2_solver_hpp
+#define quantlib_fdm_g2_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class G2;
+    class Fdm2DimSolver;
+
+    class FdmG2Solver : public LazyObject {
+      public:
+        FdmG2Solver(
+            const Handle<G2>& model,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        Real valueAt(Real x, Real y) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const Handle<G2> model_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<Fdm2DimSolver> solver_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp b/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
new file mode 100644
index 0000000000..7126954ef6
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhullwhitesolver.cpp
+*/
+
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
+
+namespace QuantLib {
+
+    FdmHullWhiteSolver::FdmHullWhiteSolver(
+        const Handle<HullWhite>& model,
+        const FdmSolverDesc& solverDesc,
+        const FdmSchemeDesc& schemeDesc)
+    : model_(model),
+      solverDesc_(solverDesc),
+      schemeDesc_(schemeDesc) {
+        registerWith(model_);
+    }
+
+
+    void FdmHullWhiteSolver::performCalculations() const {
+        const boost::shared_ptr<FdmHullWhiteOp> op(
+            new FdmHullWhiteOp(solverDesc_.mesher, model_.currentLink(), 0));
+
+        solver_ = boost::shared_ptr<Fdm1DimSolver>(
+            new Fdm1DimSolver(solverDesc_, schemeDesc_, op));
+    }
+
+    Real FdmHullWhiteSolver::valueAt(Real r) const {
+        calculate();
+        return solver_->interpolateAt(r);
+    }
+}
diff --git a/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp b/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp
new file mode 100644
index 0000000000..0e45f9baf1
--- /dev/null
+++ b/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp
@@ -0,0 +1,57 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmhullwhitesolver.hpp
+*/
+
+#ifndef quantlib_fdm_hull_white_solver_hpp
+#define quantlib_fdm_hull_white_solver_hpp
+
+#include <ql/handle.hpp>
+#include <ql/patterns/lazyobject.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class HullWhite;
+    class Fdm1DimSolver;
+
+    class FdmHullWhiteSolver : public LazyObject {
+      public:
+        FdmHullWhiteSolver(
+            const Handle<HullWhite>& model,
+            const FdmSolverDesc& solverDesc,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        Real valueAt(Real r) const;
+
+      protected:
+        void performCalculations() const;
+
+      private:
+        const Handle<HullWhite> model_;
+        const FdmSolverDesc solverDesc_;
+        const FdmSchemeDesc schemeDesc_;
+
+        mutable boost::shared_ptr<Fdm1DimSolver> solver_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
index 3d76598e6a..2d52ec2540 100644
--- a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
@@ -103,7 +103,7 @@ namespace QuantLib {
         for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
              ++iter) {
 
-            initialValues_[iter.index()] = solverDesc.calculator
+            initialValues_[iter.index()] = solverDesc_.calculator
                                 ->avgInnerValue(iter, solverDesc.maturity);
 
             const std::vector<Size>& c = iter.coordinates();
diff --git a/ql/methods/finitedifferences/utilities/Makefile.am b/ql/methods/finitedifferences/utilities/Makefile.am
index 94b661d961..a55e6f4d9f 100644
--- a/ql/methods/finitedifferences/utilities/Makefile.am
+++ b/ql/methods/finitedifferences/utilities/Makefile.am
@@ -4,12 +4,16 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
+	fdmaffinemodeltermstructure.hpp \
+	fdmaffinemodelswapinnervalue.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
 	fdminnervaluecalculator.hpp \
 	fdmquantohelper.hpp
 
 libFdmUtils_la_SOURCES = \
+	fdmaffinemodeltermstructure.cpp \
+	fdmaffinemodelswapinnervalue.cpp \
 	fdmdirichletboundary.cpp \
 	fdmdividendhandler.cpp \
 	fdminnervaluecalculator.cpp \
diff --git a/ql/methods/finitedifferences/utilities/all.hpp b/ql/methods/finitedifferences/utilities/all.hpp
index 7f9ae73c70..6627306ef4 100644
--- a/ql/methods/finitedifferences/utilities/all.hpp
+++ b/ql/methods/finitedifferences/utilities/all.hpp
@@ -1,6 +1,8 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
diff --git a/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.cpp b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.cpp
new file mode 100644
index 0000000000..ac494b7b9f
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.cpp
@@ -0,0 +1,51 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file FdmAffineModelswapinnervalue.cpp
+*/
+
+#include <ql/models/shortrate/twofactormodels/g2.hpp>
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
+
+namespace QuantLib {
+
+    template <>
+    Disposable<Array> FdmAffineModelSwapInnerValue<HullWhite>::getState(
+        const boost::shared_ptr<HullWhite>& model, Time t,
+        const FdmLinearOpIterator& iter) const {
+
+        Array retVal(1, model->dynamics()->shortRate(t,
+                                    mesher_->location(iter, direction_)));
+        return retVal;
+    }
+
+    template <>
+    Disposable<Array> FdmAffineModelSwapInnerValue<G2>::getState(
+        const boost::shared_ptr<G2>& model, Time t,
+        const FdmLinearOpIterator& iter) const {
+
+        Array retVal(2);
+        retVal[0] = mesher_->location(iter, direction_);
+        retVal[1] = mesher_->location(iter, direction_+1);
+
+        return retVal;
+    }
+
+}
diff --git a/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
new file mode 100644
index 0000000000..dbf93a676a
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
@@ -0,0 +1,146 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmaffinemodelswapinnervalue.hpp
+*/
+
+#ifndef quantlib_fdm_affine_model_swap_inner_value_hpp
+#define quantlib_fdm_affine_model_swap_inner_value_hpp
+
+#include <ql/indexes/iborindex.hpp>
+#include <ql/instruments/vanillaswap.hpp>
+#include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
+
+#include <map>
+
+namespace QuantLib {
+
+    template <class ModelType>
+    class FdmAffineModelSwapInnerValue : public FdmInnerValueCalculator {
+      public:
+        FdmAffineModelSwapInnerValue(
+            const boost::shared_ptr<ModelType>& disModel,
+            const boost::shared_ptr<ModelType>& fwdModel,
+            const boost::shared_ptr<VanillaSwap>& swap,
+            const std::map<Time, Date>& exerciseDates,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            Size direction);
+
+        Real innerValue(const FdmLinearOpIterator& iter, Time t);
+        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t);
+
+      private:
+        Disposable<Array> getState(
+            const boost::shared_ptr<ModelType>& model,
+            Time t,
+            const FdmLinearOpIterator& iter) const;
+
+        RelinkableHandle<YieldTermStructure> disTs_, fwdTs_;
+        const boost::shared_ptr<ModelType> disModel_, fwdModel_;
+
+        const boost::shared_ptr<IborIndex> index_;
+        const boost::shared_ptr<VanillaSwap> swap_;
+        const std::map<Time, Date> exerciseDates_;
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const Size direction_;
+    };
+
+    template <class ModelType> inline
+    FdmAffineModelSwapInnerValue<ModelType>::FdmAffineModelSwapInnerValue(
+        const boost::shared_ptr<ModelType>& disModel,
+        const boost::shared_ptr<ModelType>& fwdModel,
+        const boost::shared_ptr<VanillaSwap>& swap,
+        const std::map<Time, Date>& exerciseDates,
+        const boost::shared_ptr<FdmMesher>& mesher,
+        Size direction)
+    : disModel_(disModel),
+      fwdModel_(fwdModel),
+      index_(swap->iborIndex()),
+      swap_(boost::shared_ptr<VanillaSwap>(
+          new VanillaSwap(swap->type(),
+                          swap->nominal(),
+                          swap->fixedSchedule(),
+                          swap->fixedRate(),
+                          swap->fixedDayCount(),
+                          swap->floatingSchedule(),
+                          swap->iborIndex()->clone(fwdTs_),
+                          swap->spread(),
+                          swap->floatingDayCount(),
+                          swap->paymentConvention()))),
+      exerciseDates_(exerciseDates),
+      mesher_(mesher),
+      direction_(direction) {
+    }
+
+    template <class ModelType> inline
+    Real FdmAffineModelSwapInnerValue<ModelType>::innerValue(
+        const FdmLinearOpIterator& iter, Time t) {
+
+        const Date& iterExerciseDate = exerciseDates_.find(t)->second;
+
+        const Array disRate(getState(disModel_, t, iter));
+        const Array fwdRate(getState(fwdModel_, t, iter));
+
+        if (disTs_.empty() || iterExerciseDate != disTs_->referenceDate()) {
+
+            const Handle<YieldTermStructure> discount
+                = disModel_->termStructure();
+
+            disTs_.linkTo(boost::shared_ptr<YieldTermStructure>(
+                new FdmAffineModelTermStructure(disRate,
+                    discount->calendar(), discount->dayCounter(),
+                    iterExerciseDate, discount->referenceDate(),
+                    disModel_)));
+
+            const Handle<YieldTermStructure> fwd = fwdModel_->termStructure();
+
+            fwdTs_.linkTo(boost::shared_ptr<YieldTermStructure>(
+                new FdmAffineModelTermStructure(fwdRate,
+                    fwd->calendar(), fwd->dayCounter(),
+                    iterExerciseDate, fwd->referenceDate(),
+                    fwdModel_)));
+
+            swap_->setPricingEngine(boost::shared_ptr<PricingEngine>(
+                new DiscountingSwapEngine(
+                    disTs_, boost::none,
+                    iterExerciseDate+index_->fixingDays(),
+                    iterExerciseDate)));
+        }
+        else {
+            boost::dynamic_pointer_cast<FdmAffineModelTermStructure>(
+                disTs_.currentLink())->setVariable(disRate);
+            boost::dynamic_pointer_cast<FdmAffineModelTermStructure>(
+                fwdTs_.currentLink())->setVariable(fwdRate);
+        }
+
+        return std::max(0.0, swap_->NPV());
+    }
+
+    template <class ModelType> inline
+    Real FdmAffineModelSwapInnerValue<ModelType>::avgInnerValue(
+        const FdmLinearOpIterator& iter, Time t) {
+        return innerValue(iter, t);
+    }
+
+}
+#endif
diff --git a/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.cpp b/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.cpp
new file mode 100644
index 0000000000..e7dc9e88da
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.cpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmaffinemodeltermstructure.cpp
+*/
+
+#include <ql/models/model.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
+
+namespace QuantLib {
+
+    FdmAffineModelTermStructure::FdmAffineModelTermStructure(
+        const Array& r,
+        const Calendar& cal,
+        const DayCounter& dayCounter,
+        const Date& referenceDate,
+        const Date& modelReferenceDate,
+        const boost::shared_ptr<AffineModel>& model)
+    : YieldTermStructure(referenceDate, cal, dayCounter),
+      r_(r),
+      t_(dayCounter.yearFraction(modelReferenceDate, referenceDate)),
+      model_(model) {
+        registerWith(model_);
+    }
+
+    Date FdmAffineModelTermStructure::maxDate() const {
+        return Date::maxDate();
+    }
+
+    void FdmAffineModelTermStructure::setVariable(const Array& r) {
+        r_ = r;
+        notifyObservers();
+    }
+
+    DiscountFactor FdmAffineModelTermStructure::discountImpl(Time T) const {
+        return model_->discountBond(t_, T+t_, r_);
+    }
+}
diff --git a/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp b/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp
new file mode 100644
index 0000000000..e893d31a72
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp
@@ -0,0 +1,55 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmaffinemodeltermstructure.hpp
+*/
+
+#ifndef quantlib_fdm_affine_model_termstructure_hpp
+#define quantlib_fdm_affine_model_termstructure_hpp
+
+#include <ql/math/array.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
+
+namespace QuantLib {
+
+    class AffineModel;
+
+    class FdmAffineModelTermStructure : public YieldTermStructure {
+      public:
+        FdmAffineModelTermStructure(
+            const Array& r,
+            const Calendar& cal,
+            const DayCounter& dayCounter,
+            const Date& referenceDate,
+            const Date& modelReferenceDate,
+            const boost::shared_ptr<AffineModel>& model);
+
+        Date maxDate() const;
+        void setVariable(const Array& r);
+
+      protected:
+        DiscountFactor discountImpl(Time) const;
+
+      private:
+        Array r_;
+        const Time t_;
+        const boost::shared_ptr<AffineModel> model_;
+    };
+}
+#endif
diff --git a/ql/models/shortrate/onefactormodels/vasicek.hpp b/ql/models/shortrate/onefactormodels/vasicek.hpp
index 5f901d6ca3..ec4b15e807 100644
--- a/ql/models/shortrate/onefactormodels/vasicek.hpp
+++ b/ql/models/shortrate/onefactormodels/vasicek.hpp
@@ -51,15 +51,15 @@ namespace QuantLib {
 
         virtual boost::shared_ptr<ShortRateDynamics> dynamics() const;
 
-      protected:
-        virtual Real A(Time t, Time T) const;
-        virtual Real B(Time t, Time T) const;
-
         Real a() const { return a_(0.0); }
         Real b() const { return b_(0.0); }
         Real lambda() const { return lambda_(0.0); }
         Real sigma() const { return sigma_(0.0); }
 
+      protected:
+        virtual Real A(Time t, Time T) const;
+        virtual Real B(Time t, Time T) const;
+
         Real r0_;
         Parameter& a_;
         Parameter& b_;
diff --git a/ql/models/shortrate/twofactormodels/g2.hpp b/ql/models/shortrate/twofactormodels/g2.hpp
index fd26ae60eb..e69a7d2a57 100644
--- a/ql/models/shortrate/twofactormodels/g2.hpp
+++ b/ql/models/shortrate/twofactormodels/g2.hpp
@@ -87,6 +87,12 @@ namespace QuantLib {
             return termStructure()->discount(t);
         }
 
+        Real a() const { return a_(0.0); }
+        Real sigma() const { return sigma_(0.0); }
+        Real b() const { return b_(0.0); }
+        Real eta() const { return eta_(0.0); }
+        Real rho() const { return rho_(0.0); }
+
       protected:
         void generateArguments();
 
@@ -109,12 +115,6 @@ namespace QuantLib {
 
         Real V(Time t) const;
 
-        Real a() const { return a_(0.0); }
-        Real sigma() const { return sigma_(0.0); }
-        Real b() const { return b_(0.0); }
-        Real eta() const { return eta_(0.0); }
-        Real rho() const { return rho_(0.0); }
-
         class SwaptionPricingFunction;
         friend class SwaptionPricingFunction;
     };
diff --git a/ql/pricingengines/swaption/Makefile.am b/ql/pricingengines/swaption/Makefile.am
index 10379cd9d1..39e2b75b99 100644
--- a/ql/pricingengines/swaption/Makefile.am
+++ b/ql/pricingengines/swaption/Makefile.am
@@ -8,12 +8,16 @@ this_include_HEADERS = \
     discretizedswaption.hpp \
     g2swaptionengine.hpp \
     jamshidianswaptionengine.hpp \
+    fdg2swaptionengine.hpp \
+    fdhullwhiteswaptionengine.hpp \
     treeswaptionengine.hpp
 
 libSwaptionEngines_la_SOURCES = \
     blackswaptionengine.cpp \
     discretizedswaption.cpp \
     jamshidianswaptionengine.cpp \
+    fdg2swaptionengine.cpp \
+    fdhullwhiteswaptionengine.cpp \
     treeswaptionengine.cpp
 
 noinst_LTLIBRARIES = libSwaptionEngines.la
diff --git a/ql/pricingengines/swaption/all.hpp b/ql/pricingengines/swaption/all.hpp
index ed2f988d68..42b8311cfd 100644
--- a/ql/pricingengines/swaption/all.hpp
+++ b/ql/pricingengines/swaption/all.hpp
@@ -5,5 +5,7 @@
 #include <ql/pricingengines/swaption/discretizedswaption.hpp>
 #include <ql/pricingengines/swaption/g2swaptionengine.hpp>
 #include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
+#include <ql/pricingengines/swaption/fdg2swaptionengine.hpp>
+#include <ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp>
 #include <ql/pricingengines/swaption/treeswaptionengine.hpp>
 
diff --git a/ql/pricingengines/swaption/fdg2swaptionengine.cpp b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
new file mode 100644
index 0000000000..6d836752ad
--- /dev/null
+++ b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
@@ -0,0 +1,134 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdg2swaptionengine.cpp
+*/
+
+#include <ql/exercise.hpp>
+#include <ql/indexes/iborindex.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/pricingengines/swaption/fdg2swaptionengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+
+#include <boost/scoped_ptr.hpp>
+
+namespace QuantLib {
+
+    FdG2SwaptionEngine::FdG2SwaptionEngine(
+        const boost::shared_ptr<G2>& model,
+        Size tGrid, Size xGrid, Size yGrid,
+        Size dampingSteps, Real invEps,
+        const FdmSchemeDesc& schemeDesc)
+    : GenericModelEngine<G2, Swaption::arguments, Swaption::results>(model),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      yGrid_(yGrid),
+      dampingSteps_(dampingSteps),
+      invEps_(invEps),
+      schemeDesc_(schemeDesc) {
+    }
+
+    void FdG2SwaptionEngine::calculate() const {
+        const Handle<YieldTermStructure> ts = model_->termStructure();
+
+        // 1. Layout
+        std::vector<Size> dims;
+        dims.push_back(xGrid_); dims.push_back(yGrid_);
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+            new FdmLinearOpLayout(dims));
+
+        // 2. Mesher
+        const DayCounter dc = ts->dayCounter();
+        const Date referenceDate = ts->referenceDate();
+        const Time maturity = dc.yearFraction(referenceDate,
+                                              arguments_.exercise->lastDate());
+
+        const boost::shared_ptr<OrnsteinUhlenbeckProcess> process1(
+            new OrnsteinUhlenbeckProcess(model_->a(), model_->sigma()));
+
+        const boost::shared_ptr<OrnsteinUhlenbeckProcess> process2(
+            new OrnsteinUhlenbeckProcess(model_->b(), model_->eta()));
+
+        const boost::shared_ptr<Fdm1dMesher> xMesher(
+            new FdmSimpleProcess1dMesher(xGrid_,process1,maturity,1,invEps_));
+
+        const boost::shared_ptr<Fdm1dMesher> yMesher(
+            new FdmSimpleProcess1dMesher(yGrid_,process2,maturity,1,invEps_));
+
+        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
+        meshers.push_back(xMesher);
+        meshers.push_back(yMesher);
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(layout, meshers));
+
+        // 3. Inner Value Calculator
+        const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
+        std::map<Time, Date> t2d;
+
+        for (Size i=0; i < exerciseDates.size(); ++i) {
+            const Time t = dc.yearFraction(referenceDate, exerciseDates[i]);
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+
+            t2d[t] = exerciseDates[i];
+        }
+
+        const Handle<YieldTermStructure> disTs = model_->termStructure();
+        const Handle<YieldTermStructure> fwdTs
+            = arguments_.swap->iborIndex()->forwardingTermStructure();
+
+        QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),
+                "day counter of forward and discount curve must match");
+        QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),
+                "reference date of forward and discount curve must match");
+
+        const boost::shared_ptr<G2> fwdModel(
+            new G2(fwdTs, model_->a(), model_->sigma(),
+                   model_->b(), model_->eta(), model_->rho()));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
+             new FdmAffineModelSwapInnerValue<G2>(
+                 model_.currentLink(), fwdModel,
+                 arguments_.swap, t2d, mesher, 0));
+
+        // 4. Step conditions
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+             FdmStepConditionComposite::vanillaComposite(
+                 DividendSchedule(), arguments_.exercise,
+                 mesher, calculator, referenceDate, dc);
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity,
+                                     tGrid_, dampingSteps_ };
+
+        const boost::scoped_ptr<FdmG2Solver> solver(
+            new FdmG2Solver(model_, solverDesc, schemeDesc_));
+
+        results_.value = solver->valueAt(0.0, 0.0);
+    }
+}
diff --git a/ql/pricingengines/swaption/fdg2swaptionengine.hpp b/ql/pricingengines/swaption/fdg2swaptionengine.hpp
new file mode 100644
index 0000000000..c80c4dcf24
--- /dev/null
+++ b/ql/pricingengines/swaption/fdg2swaptionengine.hpp
@@ -0,0 +1,51 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdg2swaptionengine.hpp
+    \brief finite differences swaption engine
+*/
+
+#ifndef quantlib_fd_g2_swaption_engine_hpp
+#define quantlib_fd_g2_swaption_engine_hpp
+
+#include <ql/instruments/swaption.hpp>
+#include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/models/shortrate/twofactormodels/g2.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class FdG2SwaptionEngine
+        : public GenericModelEngine<G2,Swaption::arguments,Swaption::results> {
+      public:
+        FdG2SwaptionEngine(
+            const boost::shared_ptr<G2>& model,
+            Size tGrid = 100, Size xGrid = 50, Size yGrid = 50,
+            Size dampingSteps = 0, Real invEps = 1e-5,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
+
+        void calculate() const;
+
+      private:
+        const Size tGrid_, xGrid_, yGrid_, dampingSteps_;
+        const Real invEps_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+#endif
diff --git a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
new file mode 100644
index 0000000000..b79690ba12
--- /dev/null
+++ b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
@@ -0,0 +1,125 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdhullwhiteswaptionengine.cpp
+*/
+
+#include <ql/exercise.hpp>
+#include <ql/indexes/iborindex.hpp>
+#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
+#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+
+#include <boost/scoped_ptr.hpp>
+
+namespace QuantLib {
+
+    FdHullWhiteSwaptionEngine::FdHullWhiteSwaptionEngine(
+        const boost::shared_ptr<HullWhite>& model,
+        Size tGrid, Size xGrid, 
+        Size dampingSteps, Real invEps,
+        const FdmSchemeDesc& schemeDesc)
+    : GenericModelEngine<HullWhite, 
+                         Swaption::arguments, Swaption::results>(model),
+      tGrid_(tGrid),
+      xGrid_(xGrid),
+      dampingSteps_(dampingSteps),
+      invEps_(invEps),
+      schemeDesc_(schemeDesc) {
+    }
+
+    void FdHullWhiteSwaptionEngine::calculate() const {
+        const Handle<YieldTermStructure> ts = model_->termStructure();
+
+        // 1. Layout
+        const boost::shared_ptr<FdmLinearOpLayout> layout(
+            new FdmLinearOpLayout(std::vector<Size>(1u, xGrid_)));
+
+        // 2. Mesher
+        const DayCounter dc = ts->dayCounter();
+        const Date referenceDate = ts->referenceDate();
+        const Time maturity = dc.yearFraction(referenceDate,
+                                              arguments_.exercise->lastDate());
+
+
+        const boost::shared_ptr<OrnsteinUhlenbeckProcess> process(
+            new OrnsteinUhlenbeckProcess(model_->a(), model_->sigma()));
+
+        const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
+            new FdmSimpleProcess1dMesher(xGrid_, process, maturity,1,invEps_));
+
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(layout,
+                std::vector<boost::shared_ptr<Fdm1dMesher> >(
+                    1, shortRateMesher)));
+
+        // 3. Inner Value Calculator
+        const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
+        std::map<Time, Date> t2d;
+
+        for (Size i=0; i < exerciseDates.size(); ++i) {
+            const Time t = dc.yearFraction(referenceDate, exerciseDates[i]);
+            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
+
+            t2d[t] = exerciseDates[i];
+        }
+
+        const Handle<YieldTermStructure> disTs = model_->termStructure();
+        const Handle<YieldTermStructure> fwdTs
+            = arguments_.swap->iborIndex()->forwardingTermStructure();
+
+        QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),
+                "day counter of forward and discount curve must match");
+        QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),
+                "reference date of forward and discount curve must match");
+
+        const boost::shared_ptr<HullWhite> fwdModel(
+            new HullWhite(fwdTs, model_->a(), model_->sigma()));
+
+        const boost::shared_ptr<FdmInnerValueCalculator> calculator(
+             new FdmAffineModelSwapInnerValue<HullWhite>(
+                 model_.currentLink(), fwdModel,
+                 arguments_.swap, t2d, mesher, 0));
+
+        // 4. Step conditions
+        const boost::shared_ptr<FdmStepConditionComposite> conditions =
+             FdmStepConditionComposite::vanillaComposite(
+                 DividendSchedule(), arguments_.exercise,
+                 mesher, calculator, referenceDate, dc);
+
+        // 5. Boundary conditions
+        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+
+        // 6. Solver
+        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
+                                     calculator, maturity,
+                                     tGrid_, dampingSteps_ };
+
+        const boost::scoped_ptr<FdmHullWhiteSolver> solver(
+            new FdmHullWhiteSolver(model_, solverDesc, schemeDesc_));
+
+        results_.value = solver->valueAt(0.0);
+    }
+}
diff --git a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp
new file mode 100644
index 0000000000..b4e3e015b8
--- /dev/null
+++ b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdhullwhiteswaptionengine.hpp
+    \brief finite differences swaption engine
+*/
+
+#ifndef quantlib_fd_hull_white_swaption_engine_hpp
+#define quantlib_fd_hull_white_swaption_engine_hpp
+
+#include <ql/instruments/swaption.hpp>
+#include <ql/pricingengines/genericmodelengine.hpp>
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
+
+namespace QuantLib {
+
+    class FdHullWhiteSwaptionEngine
+        : public GenericModelEngine<HullWhite, 
+                                    Swaption::arguments, Swaption::results> {
+      public:
+        FdHullWhiteSwaptionEngine(
+            const boost::shared_ptr<HullWhite>& model,
+            Size tGrid = 100, Size xGrid = 100,
+            Size dampingSteps = 0, Real invEps = 1e-5,
+            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
+
+        void calculate() const;
+
+      private:
+        const Size tGrid_, xGrid_, dampingSteps_;
+        const Real invEps_;
+        const FdmSchemeDesc schemeDesc_;
+    };
+}
+
+#endif
+
diff --git a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
index de5b4b67e0..a42f0e9b8d 100644
--- a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
@@ -17,6 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
@@ -28,7 +29,6 @@
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
-#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
 
 namespace QuantLib {
 
@@ -99,7 +99,7 @@ namespace QuantLib {
         // 2.2 The equity mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
-        QL_REQUIRE(payoff, "worng payoff type given");
+        QL_REQUIRE(payoff, "wrong payoff type given");
 
         boost::shared_ptr<Fdm1dMesher> equityMesher;
         if (strikes_.empty()) {
@@ -129,9 +129,10 @@ namespace QuantLib {
         }
        
         //2.3 The short rate mesher        
-        const Rate r0 = hwProcess_->x0();
+        const boost::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess(
+            new OrnsteinUhlenbeckProcess(hwProcess_->a(),hwProcess_->sigma()));
         const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
-                     new FdmSimpleProcess1dMesher(rGrid_, hwProcess_, maturity));
+                   new FdmSimpleProcess1dMesher(rGrid_, ouProcess, maturity));
         
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(equityMesher);
@@ -168,10 +169,10 @@ namespace QuantLib {
 
         const Real spot = hestonProcess->s0()->value();
         const Real v0   = hestonProcess->v0();
-        results_.value = solver->valueAt(spot, v0, r0);
-        results_.delta = solver->deltaAt(spot, v0, r0, spot*0.01);
-        results_.gamma = solver->gammaAt(spot, v0, r0, spot*0.01);
-        results_.theta = solver->thetaAt(spot, v0, r0);
+        results_.value = solver->valueAt(spot, v0, 0);
+        results_.delta = solver->deltaAt(spot, v0, 0, spot*0.01);
+        results_.gamma = solver->gammaAt(spot, v0, 0, spot*0.01);
+        results_.theta = solver->thetaAt(spot, v0, 0);
 
         cachedArgs2results_.resize(strikes_.size());        
         for (Size i=0; i < strikes_.size(); ++i) {
@@ -183,10 +184,10 @@ namespace QuantLib {
             
             DividendVanillaOption::results& 
                                 results = cachedArgs2results_[i].second;
-            results.value = solver->valueAt(spot*d, v0, r0)/d;
-            results.delta = solver->deltaAt(spot*d, v0, r0, spot*d*0.01);
-            results.gamma = solver->gammaAt(spot*d, v0, r0, spot*d*0.01)*d;
-            results.theta = solver->thetaAt(spot*d, v0, r0)/d;
+            results.value = solver->valueAt(spot*d, v0, 0)/d;
+            results.delta = solver->deltaAt(spot*d, v0, 0, spot*d*0.01);
+            results.gamma = solver->gammaAt(spot*d, v0, 0, spot*d*0.01)*d;
+            results.theta = solver->thetaAt(spot*d, v0, 0)/d;
         }
      
         if (controlVariate_) {
diff --git a/test-suite/bermudanswaption.cpp b/test-suite/bermudanswaption.cpp
index 0f1dc7b3f1..7c87e8f5cf 100644
--- a/test-suite/bermudanswaption.cpp
+++ b/test-suite/bermudanswaption.cpp
@@ -22,6 +22,7 @@
 #include <ql/instruments/swaption.hpp>
 #include <ql/pricingengines/swaption/treeswaptionengine.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp>
 #include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
 #include <ql/cashflows/coupon.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
@@ -124,47 +125,73 @@ void BermudanSwaptionTest::testCachedValues() {
     boost::shared_ptr<VanillaSwap> otmSwap = vars.makeSwap(1.2*atmRate);
 
     Real a = 0.048696, sigma = 0.0058904;
-    boost::shared_ptr<ShortRateModel> model(new HullWhite(vars.termStructure,
-                                                          a, sigma));
+    boost::shared_ptr<HullWhite> model(new HullWhite(vars.termStructure,
+                                                     a, sigma));
     std::vector<Date> exerciseDates;
     const Leg& leg = atmSwap->fixedLeg();
     for (Size i=0; i<leg.size(); i++) {
         boost::shared_ptr<Coupon> coupon =
             boost::dynamic_pointer_cast<Coupon>(leg[i]);
-        exerciseDates.push_back(coupon->accrualStartDate());
+            exerciseDates.push_back(coupon->accrualStartDate());
     }
     boost::shared_ptr<Exercise> exercise(new BermudanExercise(exerciseDates));
 
-    boost::shared_ptr<PricingEngine> engine(new TreeSwaptionEngine(model, 50));
+    boost::shared_ptr<PricingEngine> treeEngine(
+                                            new TreeSwaptionEngine(model, 50));
+    boost::shared_ptr<PricingEngine> fdmEngine(
+                                         new FdHullWhiteSwaptionEngine(model));
 
     #if defined(QL_USE_INDEXED_COUPON)
     Real itmValue = 42.2413, atmValue = 12.8789, otmValue = 2.4759;
+    Real itmValueFdm = 42.2111, atmValueFdm = 12.8879, otmValueFdm = 2.44443;
     #else
     Real itmValue = 42.2470, atmValue = 12.8826, otmValue = 2.4769;
+    Real itmValueFdm = 42.2091, atmValueFdm = 12.8864, otmValueFdm = 2.4437;
     #endif
 
     Real tolerance = 1.0e-4;
 
     Swaption swaption(itmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-itmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached in-the-money swaption value:\n"
                     << "calculated: " << swaption.NPV() << "\n"
                     << "expected:   " << itmValue);
+    swaption.setPricingEngine(fdmEngine);
+    if (std::fabs(swaption.NPV()-itmValueFdm) > tolerance)
+        BOOST_ERROR("failed to reproduce cached in-the-money swaption value:\n"
+                    << "calculated: " << swaption.NPV() << "\n"
+                    << "expected:   " << itmValueFdm);
+
     swaption = Swaption(atmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-atmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached at-the-money swaption value:\n"
                     << "calculated: " << swaption.NPV() << "\n"
                     << "expected:   " << atmValue);
+
+    swaption.setPricingEngine(fdmEngine);
+    if (std::fabs(swaption.NPV()-atmValueFdm) > tolerance)
+        BOOST_ERROR("failed to reproduce cached at-the-money swaption value:\n"
+                    << "calculated: " << swaption.NPV() << "\n"
+                    << "expected:   " << atmValueFdm);
+
     swaption = Swaption(otmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-otmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached out-of-the-money "
                     << "swaption value:\n"
                     << "calculated: " << swaption.NPV() << "\n"
                     << "expected:   " << otmValue);
 
+    swaption.setPricingEngine(fdmEngine);
+    if (std::fabs(swaption.NPV()-otmValueFdm) > tolerance)
+        BOOST_ERROR("failed to reproduce cached out-of-the-money "
+                    << "swaption value:\n"
+                    << "calculated: " << swaption.NPV() << "\n"
+                    << "expected:   " << otmValueFdm);
+
+
     for (Size j=0; j<exerciseDates.size(); j++)
         exerciseDates[j] = vars.calendar.adjust(exerciseDates[j]-10);
     exercise =
@@ -177,19 +204,19 @@ void BermudanSwaptionTest::testCachedValues() {
     #endif
 
     swaption = Swaption(itmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-itmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached in-the-money swaption value:\n"
                     << "calculated: " << swaption.NPV() << "\n"
                     << "expected:   " << itmValue);
     swaption = Swaption(atmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-atmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached at-the-money swaption value:\n"
                     << "calculated: " << swaption.NPV() << "\n"
                     << "expected:   " << atmValue);
     swaption = Swaption(otmSwap, exercise);
-    swaption.setPricingEngine(engine);
+    swaption.setPricingEngine(treeEngine);
     if (std::fabs(swaption.NPV()-otmValue) > tolerance)
         BOOST_ERROR("failed to reproduce cached out-of-the-money "
                     << "swaption value:\n"
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 99f201d669..aa98b48473 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -906,7 +906,7 @@ namespace {
                 new FdmHestonVarianceMesher(dim[1], process->hestonProcess(),
                                             maturity)));
         mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
-                new Uniform1dMesher(-0.10, 0.20, dim[2])));
+                new Uniform1dMesher(-0.15, 0.15, dim[2])));
 
         boost::shared_ptr<FdmMesher> mesher(
                                      new FdmMesherComposite(layout, mesher1d));
@@ -999,7 +999,7 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
 
     const Real x0 = 100;
     const Real v0 = jointProcess->hestonProcess()->v0();
-    const Real r0 = jointProcess->hullWhiteProcess()->x0();
+    const Real r0 = 0;
     for (Size k=0; k < dim[2]; ++k) {
         Matrix ret(dim[0], dim[1]);
         for (Size i=0; i < dim[0]; ++i)
@@ -1056,7 +1056,7 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     const Real expected = 4.73;
 
     if (std::fabs(directCalc - expected) > 3*tol) {
-        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+        QL_FAIL("Error in calculating MC PV for Heston Hull White Option");
     }
 }
 

From 26c34c8a779c6ae414cc774e2940269c8b74889e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 15 Jan 2012 13:18:10 +0000
Subject: [PATCH 351/410] fixed initialization order

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18177 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/interestrateindex.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/indexes/interestrateindex.cpp b/ql/indexes/interestrateindex.cpp
index 4f9499885d..84c1761745 100644
--- a/ql/indexes/interestrateindex.cpp
+++ b/ql/indexes/interestrateindex.cpp
@@ -33,8 +33,8 @@ namespace QuantLib {
                                          const Calendar& fixingCalendar,
                                          const DayCounter& dayCounter)
     : familyName_(familyName), tenor_(tenor), fixingDays_(fixingDays),
-      fixingCalendar_(fixingCalendar), currency_(currency),
-      dayCounter_(dayCounter) {
+      currency_(currency), dayCounter_(dayCounter),
+      fixingCalendar_(fixingCalendar) {
         tenor_.normalize();
 
         std::ostringstream out;

From 55aa16df3d2fdb25d76674a41a04a8219da30ad1 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 16 Jan 2012 14:26:22 +0000
Subject: [PATCH 352/410] added sobol brownian bridge interface for MC
 framework

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18180 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/randomnumbers/Makefile.am             |  2 +
 ql/math/randomnumbers/all.hpp                 |  1 +
 .../randomnumbers/sobolbrownianbridgersg.cpp  | 59 +++++++++++++++++++
 .../randomnumbers/sobolbrownianbridgersg.hpp  | 54 +++++++++++++++++
 .../meshers/fdmmeshercomposite.cpp            |  2 +-
 test-suite/hybridhestonhullwhiteprocess.cpp   | 40 +++++--------
 6 files changed, 131 insertions(+), 27 deletions(-)
 create mode 100644 ql/math/randomnumbers/sobolbrownianbridgersg.cpp
 create mode 100644 ql/math/randomnumbers/sobolbrownianbridgersg.hpp

diff --git a/ql/math/randomnumbers/Makefile.am b/ql/math/randomnumbers/Makefile.am
index 5c0cb86406..8622c9c0c0 100644
--- a/ql/math/randomnumbers/Makefile.am
+++ b/ql/math/randomnumbers/Makefile.am
@@ -21,6 +21,7 @@ this_include_HEADERS = \
 	ranluxuniformrng.hpp \
 	rngtraits.hpp \
 	seedgenerator.hpp \
+	sobolbrownianbridgersg.hpp \
 	sobolrsg.hpp
 
 libRandomNumbers_la_SOURCES = \
@@ -33,6 +34,7 @@ libRandomNumbers_la_SOURCES = \
 	mt19937uniformrng.cpp \
 	primitivepolynomials.c \
 	seedgenerator.cpp \
+	sobolbrownianbridgersg.cpp \
 	sobolrsg.cpp
 
 noinst_LTLIBRARIES = libRandomNumbers.la
diff --git a/ql/math/randomnumbers/all.hpp b/ql/math/randomnumbers/all.hpp
index 2a5f639091..6b5f3e3bef 100644
--- a/ql/math/randomnumbers/all.hpp
+++ b/ql/math/randomnumbers/all.hpp
@@ -18,5 +18,6 @@
 #include <ql/math/randomnumbers/ranluxuniformrng.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
 #include <ql/math/randomnumbers/seedgenerator.hpp>
+#include <ql/math/randomnumbers/sobolbrownianbridgersg.hpp>
 #include <ql/math/randomnumbers/sobolrsg.hpp>
 
diff --git a/ql/math/randomnumbers/sobolbrownianbridgersg.cpp b/ql/math/randomnumbers/sobolbrownianbridgersg.cpp
new file mode 100644
index 0000000000..19198fc368
--- /dev/null
+++ b/ql/math/randomnumbers/sobolbrownianbridgersg.cpp
@@ -0,0 +1,59 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file brownianbridgersg.hpp
+    \brief interface class to map the functionality of SobolBrownianGenerator
+           to the "conventional" sequence generator interface
+*/
+
+#include <ql/math/randomnumbers/sobolbrownianbridgersg.hpp>
+
+namespace QuantLib {
+    SobolBrownianBridgeRsg::SobolBrownianBridgeRsg(
+        Size factors, Size steps,
+        SobolBrownianGenerator::Ordering ordering,
+        unsigned long seed,
+        SobolRsg::DirectionIntegers directionIntegers)
+    : factors_(factors), steps_(steps), dim_(factors*steps),
+      seq_(sample_type::value_type(factors*steps), 1.0),
+      gen_(factors, steps, ordering, seed, directionIntegers) {
+    }
+
+    const SobolBrownianBridgeRsg::sample_type&
+    SobolBrownianBridgeRsg::nextSequence() const {
+        gen_.nextPath();
+        std::vector<Real> output(factors_);
+        for (Size i=0; i < steps_; ++i) {
+            gen_.nextStep(output);
+            std::copy(output.begin(), output.end(),
+                      seq_.value.begin()+i*factors_);
+        }
+
+        return seq_;
+    }
+
+    const SobolBrownianBridgeRsg::sample_type&
+    SobolBrownianBridgeRsg::lastSequence() const {
+        return seq_;
+    }
+
+    Size SobolBrownianBridgeRsg::dimension() const {
+        return dim_;
+    }
+}
diff --git a/ql/math/randomnumbers/sobolbrownianbridgersg.hpp b/ql/math/randomnumbers/sobolbrownianbridgersg.hpp
new file mode 100644
index 0000000000..ee699be969
--- /dev/null
+++ b/ql/math/randomnumbers/sobolbrownianbridgersg.hpp
@@ -0,0 +1,54 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file sobolbrownianbridgersg.hpp
+    \brief interface class to map the functionality of SobolBrownianGenerator
+           to the "conventional" sequence generator interface
+*/
+
+#ifndef quantlib_sobol_brownian_bridge_rsg_hpp
+#define quantlib_sobol_brownian_bridge_rsg_hpp
+
+#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
+
+namespace QuantLib {
+
+    class SobolBrownianBridgeRsg {
+      public:
+        typedef Sample<std::vector<Real> > sample_type;
+
+        SobolBrownianBridgeRsg(Size factors, Size steps,
+                               SobolBrownianGenerator::Ordering ordering
+                                   = SobolBrownianGenerator::Diagonal,
+                               unsigned long seed = 0,
+                               SobolRsg::DirectionIntegers directionIntegers
+                                   = SobolRsg::JoeKuoD7);
+
+        const sample_type& nextSequence() const;
+        const sample_type& lastSequence() const;
+        Size dimension() const;
+
+      private:
+        const Size factors_, steps_, dim_;
+        mutable sample_type seq_;
+        mutable SobolBrownianGenerator gen_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
index 9d3b08a485..b0b693aa31 100644
--- a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
@@ -24,7 +24,7 @@
 
 namespace QuantLib {
 
-FdmMesherComposite::FdmMesherComposite(
+    FdmMesherComposite::FdmMesherComposite(
         const boost::shared_ptr<FdmLinearOpLayout>& layout,
         const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
     : FdmMesher(layout), mesher_(mesher) {
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index 660f28b09d..43897104e8 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -28,6 +28,7 @@
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/processes/hybridhestonhullwhiteprocess.hpp>
 #include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/math/randomnumbers/sobolbrownianbridgersg.hpp>
 #include <ql/math/optimization/simplex.hpp>
 #include <ql/math/optimization/levenbergmarquardt.hpp>
 #include <ql/math/statistics/generalstatistics.hpp>
@@ -300,30 +301,24 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
 
     TimeGrid grid(times.begin(), times.end()-1);
 
-    typedef PseudoRandom::rsg_type rsg_type;
+    typedef SobolBrownianBridgeRsg rsg_type;
     typedef MultiPathGenerator<rsg_type>::sample_type sample_type;
 
-    BigNatural seed = 1234;
-    rsg_type rsg = PseudoRandom::make_sequence_generator(
-                              jointProcess->factors()*(grid.size()-1), seed);
-
+    const Size factors = jointProcess->factors();
+    const Size steps = grid.size()-1;
+    rsg_type rsg = rsg_type(factors, steps);
     MultiPathGenerator<rsg_type> generator(jointProcess, grid, rsg, false);
 
     const Size m = 90;
     std::vector<GeneralStatistics> zeroStat(m);
     std::vector<GeneralStatistics> optionStat(m);
 
-    const Size nrTrails = 5000;
+    const Size nrTrails = 4095;
     const Size optionTenor = 24;
     const DiscountFactor strike = 0.5;
 
-    std::vector<DiscountFactor> tmpZero(m);
-    std::vector<DiscountFactor> tmpOption(m);
-
     for (Size i=0; i < nrTrails; ++i) {
-        const bool antithetic = (i%2)==0 ? false : true;
-        sample_type path = (!antithetic) ? generator.next()
-                                         : generator.antithetic();
+        sample_type path =  generator.next();
 
         for (Size j=1; j < m; ++j) {
             const Time t = grid[j];            // zero end and option maturity
@@ -342,14 +337,8 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
             const DiscountFactor zeroOption = zeroBond
                 * std::max(0.0, hwModel->discountBond(t, T, states[2])-strike);
 
-            if (antithetic) {
-                zeroStat[j].add(0.5*(tmpZero[j] + zeroBond));
-                optionStat[j].add(0.5*(tmpOption[j] + zeroOption));
-            }
-            else {
-                tmpZero[j] = zeroBond;
-                tmpOption[j] = zeroOption;
-            }
+            zeroStat[j].add(zeroBond);
+            optionStat[j].add(zeroOption);
         }
     }
 
@@ -359,7 +348,7 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
         Real error = zeroStat[j].errorEstimate();
         Real expected = ts->discount(t);
 
-        if (std::fabs(calculated - expected) > 5*error) {
+        if (std::fabs(calculated - expected) > 0.025) {
             BOOST_ERROR("Failed to reproduce expected zero bond prices"
                         << "\n   t:          " << t
                         << "\n   calculated: " << calculated
@@ -370,10 +359,9 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
         const Time T = grid[j+optionTenor];
 
         calculated = optionStat[j].mean();
-        error = optionStat[j].errorEstimate();
         expected = hwModel->discountBondOption(Option::Call, strike, t, T);
 
-        if (std::fabs(calculated - expected) > 5*error) {
+        if (std::fabs(calculated - expected) > 0.0035) {
             BOOST_ERROR("Failed to reproduce expected zero bond option prices"
                         << "\n   t:          " << t
                         << "\n   T:          " << T
@@ -918,9 +906,9 @@ void HybridHestonHullWhiteProcessTest::testFdmHestonHullWhiteEngine() {
             
             option.setPricingEngine(boost::shared_ptr<PricingEngine>(
                 new FdHestonHullWhiteVanillaEngine(
-                     boost::shared_ptr<HestonModel>(
-                             new HestonModel(hestonProcess)),
-                                       hwProcess, corr[i], 50, 200, 10, 15)));    
+                    boost::shared_ptr<HestonModel>(
+                        new HestonModel(hestonProcess)),
+                                        hwProcess, corr[i], 50, 200, 10, 15)));
             const Real calculated = option.NPV();
             const Real calculatedDelta = option.delta();
             const Real calculatedGamma = option.gamma();

From 2fa316a1a6c7e94f528976fc5c139dfa951b7e67 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 21 Jan 2012 12:57:30 +0000
Subject: [PATCH 353/410] added sparse matrix support for finite difference
 operators

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18182 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fdmextendedornsteinuhlenbeckop.cpp        |  9 +-
 .../fdmextendedornsteinuhlenbeckop.hpp        |  3 +
 .../finitedifferences/fdmextoujumpop.cpp      | 82 +++++++++++++++++--
 .../finitedifferences/fdmextoujumpop.hpp      | 35 +++++---
 .../finitedifferences/fdmklugeextouop.cpp     |  9 ++
 .../finitedifferences/fdmklugeextouop.hpp     |  3 +
 .../finitedifferences/fdmvppstepcondition.cpp | 63 ++++++++++----
 .../finitedifferences/fdmvppstepcondition.hpp |  4 +
 .../fdsimpleklugeextouvppengine.cpp           | 19 +++--
 .../finitedifferences/vanillavppoption.cpp    |  8 +-
 .../finitedifferences/vanillavppoption.hpp    |  6 +-
 ql/math/matrixutilities/Makefile.am           |  1 +
 ql/math/matrixutilities/all.hpp               |  1 +
 .../sparseilupreconditioner.cpp               | 15 ++--
 .../sparseilupreconditioner.hpp               | 26 ++----
 ql/math/matrixutilities/sparsematrix.hpp      | 63 ++++++++++++++
 .../meshers/fdmblackscholesmesher.cpp         |  3 +-
 .../operators/fdm2dblackscholesop.cpp         | 11 +++
 .../operators/fdm2dblackscholesop.hpp         |  3 +
 .../operators/fdmblackscholesop.cpp           |  6 ++
 .../operators/fdmblackscholesop.hpp           |  3 +
 .../finitedifferences/operators/fdmg2op.cpp   |  8 ++
 .../finitedifferences/operators/fdmg2op.hpp   |  3 +
 .../operators/fdmhestonhullwhiteop.cpp        | 11 +++
 .../operators/fdmhestonhullwhiteop.hpp        |  3 +
 .../operators/fdmhestonop.cpp                 | 10 +++
 .../operators/fdmhestonop.hpp                 |  3 +
 .../operators/fdmhullwhiteop.cpp              |  6 ++
 .../operators/fdmhullwhiteop.hpp              |  3 +
 .../operators/fdmlinearop.hpp                 |  7 ++
 .../operators/ninepointlinearop.cpp           | 23 ++++++
 .../operators/ninepointlinearop.hpp           |  6 ++
 .../operators/triplebandlinearop.cpp          | 17 ++++
 .../operators/triplebandlinearop.hpp          |  4 +
 .../solvers/fdmndimsolver.hpp                 |  6 +-
 test-suite/vpp.cpp                            | 22 +++--
 36 files changed, 416 insertions(+), 89 deletions(-)
 create mode 100644 ql/math/matrixutilities/sparsematrix.hpp

diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
index 567cb091e9..bc84219311 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp
@@ -77,7 +77,7 @@ namespace QuantLib {
     Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply_mixed(
                                                     const Array& r) const {
         Array retVal(r.size(), 0.0);
-        return  retVal;
+        return retVal;
     }
 
     Disposable<Array> FdmExtendedOrnsteinUhlenbackOp::apply_direction(
@@ -106,4 +106,11 @@ namespace QuantLib {
                                             const Array& r, Real dt) const {
         return solve_splitting(direction_, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmExtendedOrnsteinUhlenbackOp::toMatrix() const {
+        return mapX_.toMatrix();
+    }
+#endif
+
 }
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
index b9ef180e46..d96bb3d6e8 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -57,6 +57,9 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_;
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.cpp b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
index 313d108327..ec640c4ad1 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.cpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.cpp
@@ -32,6 +32,22 @@
 #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(push)
+#pragma warning(disable:4180)
+#endif
+
+#include <boost/numeric/ublas/vector.hpp>
+#include <boost/numeric/ublas/operation.hpp>
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(pop)
+#endif
+
+#endif
+
 namespace QuantLib {
 
     FdmExtOUJumpOp::FdmExtOUJumpOp(
@@ -50,7 +66,52 @@ namespace QuantLib {
                    mesher,
                    process->getExtendedOrnsteinUhlenbeckProcess(), rTS, bcSet)),
       dyMap_  (FirstDerivativeOp(1, mesher)
-                .mult(-process->beta()*mesher->locations(1))) {
+                .mult(-process->beta()*mesher->locations(1)))
+    {
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        const Real eta     = process_->eta();
+        const Real lambda  = process_->jumpIntensity();
+
+        const Array yInt   = gaussLaguerreIntegration_.x();
+        const Array weights= gaussLaguerreIntegration_.weights();
+
+        integroPart_ = SparseMatrix(mesher_->layout()->size(),
+                                    mesher_->layout()->size());
+
+        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
+        const FdmLinearOpIterator endIter = layout->end();
+
+        Array yLoc(mesher_->layout()->dim()[1]);
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+            ++iter) {
+            yLoc[iter.coordinates()[1]] = mesher_->location(iter, 1);
+        }
+
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+            ++iter) {
+
+            const Size diag = iter.index();
+            integroPart_(diag, diag) -= lambda;
+
+            const Real y = mesher_->location(iter, 1);
+            const Integer yIndex = iter.coordinates()[1];
+
+            for (Size i=0; i < yInt.size(); ++i) {
+                const Real weight = std::exp(-yInt[i])*weights[i];
+
+                const Real ys = y + yInt[i]/eta;
+                const Integer l = (ys > yLoc.back()) ? yLoc.size()-2
+                    : std::upper_bound(yLoc.begin(),
+                                       yLoc.end()-1, ys) - yLoc.begin()-1;
+
+                const Real s = (ys-yLoc[l])/(yLoc[l+1]-yLoc[l]);
+                integroPart_(diag, layout->neighbourhood(iter, 1, l-yIndex))
+                    += weight*lambda*(1-s);
+                integroPart_(diag, layout->neighbourhood(iter, 1, l+1-yIndex))
+                    += weight*lambda*s;
+            }
+        }
+#endif
     }
 
     Size FdmExtOUJumpOp::size() const {
@@ -62,7 +123,7 @@ namespace QuantLib {
     }
 
     Disposable<Array> FdmExtOUJumpOp::apply(const Array& r) const {
-        return ouOp_->apply(r) + apply_direction(1, r) + integro(r);
+        return ouOp_->apply(r) + dyMap_.apply(r) + integro(r);
     }
 
     Disposable<Array> FdmExtOUJumpOp::apply_mixed(const Array& r) const {
@@ -97,11 +158,11 @@ namespace QuantLib {
     }
 
     Disposable<Array>
-        FdmExtOUJumpOp::preconditioner(const Array& r, Real dt) const {
-
+    FdmExtOUJumpOp::preconditioner(const Array& r, Real dt) const {
         return ouOp_->solve_splitting(0, r, dt);
     }
 
+#if defined(QL_NO_UBLAS_SUPPORT)
     FdmExtOUJumpOp::IntegroIntegrand::IntegroIntegrand(
                     const boost::shared_ptr<LinearInterpolation>& interpl,
                     const FdmBoundaryConditionSet& bcSet,
@@ -125,7 +186,6 @@ namespace QuantLib {
 
     Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
         Array integral(r.size());
-
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
         const Size extraDims=layout->size()/(layout->dim()[0]*layout->dim()[1]);
 
@@ -168,4 +228,16 @@ namespace QuantLib {
 
         return process_->jumpIntensity()*(integral-r);
     }
+#else
+    Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
+        return prod(integroPart_, r);
+    }
+
+    Disposable<SparseMatrix> FdmExtOUJumpOp::toMatrix() const {
+        QL_REQUIRE(bcSet_.empty(), "boundary conditions are not supported");
+        SparseMatrix retVal = ouOp_->toMatrix()+dyMap_.toMatrix()+integroPart_;
+
+        return retVal;
+    }
+#endif
 }
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.hpp b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
index 7a06b1fc87..a39bcf9a9b 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
@@ -24,12 +24,12 @@
 #ifndef quantlib_fdm_ext_ou_jump_op_hpp
 #define quantlib_fdm_ext_ou_jump_op_hpp
 
+#include <ql/math/matrixutilities/sparsematrix.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
 #include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
-
 namespace QuantLib {
     
     class FdmMesher;
@@ -63,7 +63,24 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
+        Disposable<Array> integro(const Array& r) const;
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+        const FdmBoundaryConditionSet bcSet_;
+        GaussLaguerreIntegration gaussLaguerreIntegration_;
+
+        const Array x_;
+        const boost::shared_ptr<FdmExtendedOrnsteinUhlenbackOp> ouOp_;
+
+        const TripleBandLinearOp dyMap_;
+
+#if defined(QL_NO_UBLAS_SUPPORT)
         class IntegroIntegrand {
           public:
             IntegroIntegrand(const boost::shared_ptr<LinearInterpolation>& i,
@@ -77,18 +94,10 @@ namespace QuantLib {
             const boost::shared_ptr<LinearInterpolation>& interpl_;
         };
             
-        Disposable<Array> integro(const Array& r) const;  
-
-        const boost::shared_ptr<FdmMesher> mesher_;
-        const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
-        const boost::shared_ptr<YieldTermStructure> rTS_;
-        const FdmBoundaryConditionSet bcSet_;
-        GaussLaguerreIntegration gaussLaguerreIntegration_;
-        
-        const Array x_;
-        const boost::shared_ptr<FdmExtendedOrnsteinUhlenbackOp> ouOp_;
-
-        const TripleBandLinearOp dyMap_;
+#else
+        SparseMatrix integroPart_;
+#endif
     };
 }
+
 #endif
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.cpp b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
index cdaf7d1588..22365bc1ff 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.cpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.cpp
@@ -107,4 +107,13 @@ namespace QuantLib {
         FdmKlugeExtOUOp::preconditioner(const Array& r, Real dt) const {
         return klugeOp_->solve_splitting(0, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmKlugeExtOUOp::toMatrix() const {
+        SparseMatrix retVal 
+            = ouOp_->toMatrix() + corrMap_.toMatrix() + klugeOp_->toMatrix();
+
+        return retVal;
+    }
+#endif
 }
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index 4d319caf27..20c57b8cae 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -80,6 +80,9 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
 
         const boost::shared_ptr<FdmMesher> mesher_;
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
index a5dc9c52d9..21d9d8864e 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
@@ -35,6 +35,7 @@ namespace QuantLib {
         Real heatRate,
         Real pMin, Real pMax,
         Size tMinUp, Size tMinDown,
+        Size nStarts,
         Real startUpFuel, Real startUpFixCost,
         Real carbonPrice,
         Size stateDirection,
@@ -46,6 +47,7 @@ namespace QuantLib {
       pMax_            (pMax),
       tMinUp_          (tMinUp),
       tMinDown_        (tMinDown),
+      nStarts_         (nStarts),
       startUpFuel_     (startUpFuel),
       startUpFixCost_  (startUpFixCost),
       carbonPrice_     (carbonPrice),
@@ -53,7 +55,9 @@ namespace QuantLib {
       mesher_          (mesher),
       gasPrice_        (gasPrice),
       sparkSpreadPrice_(sparkSpreadPrice),
-      stateEvolveFcts_ (2*tMinUp + tMinDown) {
+      nStates_         ((2*tMinUp + tMinDown)
+                          *((nStarts == Null<Size>()) ? 1 : nStarts+1)),
+      stateEvolveFcts_ (nStates_) {
 
         QL_REQUIRE(tMinUp_ > 1,   "minimum up time must be greater than one");
         QL_REQUIRE(tMinDown_ > 1, "minimum down time must be greater than one");
@@ -61,12 +65,14 @@ namespace QuantLib {
                    mesher_->layout()->dim()[stateDirection_],
                    "mesher does not fit to vpp arguments");
 
-        for (Size i=0; i < 2*tMinUp; ++i) {
-            if (i < tMinUp) {
+        for (Size i=0; i < nStates_; ++i) {
+            const Size j = i % (2*tMinUp + tMinDown);
+
+            if (j < tMinUp) {
                 stateEvolveFcts_[i] = boost::function<Real (Real)>(
                     boost::bind(&FdmVPPStepCondition::evolveAtPMin,this, _1));
             }
-            else {
+            else if (j < 2*tMinUp){
                 stateEvolveFcts_[i] = boost::function<Real (Real)>(
                     boost::bind(&FdmVPPStepCondition::evolveAtPMax,this, _1));
             }
@@ -74,6 +80,11 @@ namespace QuantLib {
     }
 
 
+    Size FdmVPPStepCondition::nStates() const {
+        return nStates_;
+    }
+
+
     void FdmVPPStepCondition::applyTo(Array& a, Time t) const {
         boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
 
@@ -107,7 +118,7 @@ namespace QuantLib {
         const Size state = iter.coordinates()[stateDirection_];
 
         if (stateEvolveFcts_[state].empty()) {
-            return 0;
+            return 0.0;
         }
         else {
             const Real sparkSpread = sparkSpreadPrice_->innerValue(iter, t);
@@ -117,28 +128,44 @@ namespace QuantLib {
 
     Disposable<Array> FdmVPPStepCondition::changeState(
                         const Real gasPrice, const Array& state, Time t) const {
-
         const Real startUpCost
                 = startUpFixCost_ + (gasPrice + carbonPrice_)*startUpFuel_;
 
         Array retVal(state.size());
+        const Size sss = 2*tMinUp_ + tMinDown_;
+        const Size n = sss * (nStarts_ == Null<Size>() ? 1 : nStarts_+1);
 
-        for (Size i=0; i < tMinUp_-1; ++i) {
-            retVal[i] = retVal[tMinUp_ + i]
-                      = std::max(state[i+1], state[tMinUp_ + i+1]);
-        }
+        for (Size i=0; i < n; ++i) {
+            const Size j = i % sss;
 
-        retVal[tMinUp_-1] = retVal[2*tMinUp_-1]
-                          = std::max(state[2*tMinUp_],
-                            std::max(state[tMinUp_-1], state[2*tMinUp_-1]));
+            if (j < tMinUp_-1) {
+                retVal[i] = std::max(state[i+1], state[tMinUp_+i+1]);
+            }
+            else if (j == tMinUp_-1) {
+                retVal[i] = std::max(state[i+tMinUp_+1],
+                                     std::max(state[i], state[i+tMinUp_]));
+            }
+            else if (j < 2*tMinUp_) {
+                retVal[i] = retVal[i-tMinUp_];
+            }
+            else if (j <  2*tMinUp_+tMinDown_-1) {
+                retVal[i] = state[i+1];
+            }
+            else if (nStarts_ == Null<Size>()) {
+                retVal[i] = std::max(state[i],
+                    std::max(state.front(), state[tMinUp_]) - startUpCost);
 
-        for (Size i=0; i < tMinDown_-1; ++i) {
-            retVal[2*tMinUp_ + i] = state[2*tMinUp_ + i+1];
+            }
+            else if (i >= sss) {
+                retVal[i] = std::max(state[i],
+                    std::max(state[i+1-2*sss], state[i+1-2*sss+tMinUp_])
+                            - startUpCost);
+            }
+            else {
+                retVal[i] = state[i];
+            }
         }
 
-        retVal.back() = std::max(state.back(),
-            std::max(state.front(), state[tMinUp_]) - startUpCost);
-
         return retVal;
     }
 
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
index f288cc916b..3ff26a2b42 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
@@ -41,6 +41,7 @@ namespace QuantLib {
             Real heatRate,
             Real pMin, Real pMax,
             Size tMinUp, Size tMinDown,
+            Size nStarts,
             Real startUpFuel, Real startUpFixCost,
             Real carbonPrice,
             Size stateDirection,
@@ -48,6 +49,7 @@ namespace QuantLib {
             const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
             const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
 
+        Size nStates() const;
         void applyTo(Array& a, Time t) const;
 
       private:
@@ -61,6 +63,7 @@ namespace QuantLib {
         const Real heatRate_;
         const Real pMin_, pMax_;
         const Size tMinUp_, tMinDown_;
+        const Size nStarts_;
         const Real startUpFuel_, startUpFixCost_;
         const Real carbonPrice_;
         const Size stateDirection_;
@@ -69,6 +72,7 @@ namespace QuantLib {
         const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
         const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice_;
 
+        const Size nStates_;
         std::vector<boost::function<Real (Real)> > stateEvolveFcts_;
     };
 }
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index 1e5d2aeb91..2ff2df6d1e 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -103,7 +103,9 @@ namespace QuantLib {
 
         QL_REQUIRE(swingExercise, "Swing exercise supported only");
 
-        const Size nStates = 2*arguments_.tMinUp + arguments_.tMinDown;
+        const Size nStates = (arguments_.nStarts == Null<Size>())
+            ? 2*arguments_.tMinUp + arguments_.tMinDown
+            : (arguments_.nStarts+1)*(2*arguments_.tMinUp+arguments_.tMinDown);
 
         // 1. Layout
         std::vector<Size> dim;
@@ -140,7 +142,7 @@ namespace QuantLib {
                                          process_->getExtOUProcess(),maturity));
 
         const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
-            new Uniform1dMesher(1.0, nStates, nStates));
+            new Uniform1dMesher(0.0, nStates-1.0, nStates));
 
         std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
         meshers.push_back(xMesher);
@@ -179,11 +181,12 @@ namespace QuantLib {
             new FdmVPPStepCondition(arguments_.heatRate,
                                     arguments_.pMin, arguments_.pMax,
                                     arguments_.tMinUp, arguments_.tMinDown,
+                                    arguments_.nStarts,
                                     arguments_.startUpFuel,
                                     arguments_.startUpFixCost,
                                     carbonPrice_, 3,
                                     mesher, gasPrice, sparkSpread)));
-
+        
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
@@ -202,8 +205,12 @@ namespace QuantLib {
         x[0] = process_->initialValues()[0];
         x[1] = process_->initialValues()[1];
         x[2] = process_->initialValues()[2];
-        x[3] = (Real) arguments_.initialState;
-
-        results_.value = solver->valueAt(x);
+        
+        Array results(2*arguments_.tMinUp + arguments_.tMinDown);
+        for (Size i=0; i < results.size(); ++i) {
+            x[3] = (Real) (nStates-results.size()+i);
+            results[i] = solver->valueAt(x);
+        }
+        results_.value = *std::max_element(results.begin(), results.end());
     }
 }
diff --git a/ql/experimental/finitedifferences/vanillavppoption.cpp b/ql/experimental/finitedifferences/vanillavppoption.cpp
index f63adf8756..b18cc1a550 100644
--- a/ql/experimental/finitedifferences/vanillavppoption.cpp
+++ b/ql/experimental/finitedifferences/vanillavppoption.cpp
@@ -41,16 +41,16 @@ namespace QuantLib {
         Real heatRate,
         Real pMin, Real pMax,
         Size tMinUp, Size tMinDown,
+        Size nStarts,
         Real startUpFuel, Real startUpFixCost,
-        Size initialState,
         const boost::shared_ptr<SwingExercise>& exercise)
     : MultiAssetOption(boost::shared_ptr<Payoff>(), exercise),
       heatRate_(heatRate),
       pMin_(pMin), pMax_(pMax),
       tMinUp_(tMinUp), tMinDown_(tMinDown),
+      nStarts_(nStarts),
       startUpFuel_(startUpFuel),
-      startUpFixCost_(startUpFixCost),
-      initialState_(initialState) {
+      startUpFixCost_(startUpFixCost) {
 
         Array weigths(2);
         weigths[0] = 1.0; weigths[1] = -heatRate;
@@ -77,9 +77,9 @@ namespace QuantLib {
         arguments->pMax           = pMax_;
         arguments->tMinUp         = tMinUp_;
         arguments->tMinDown       = tMinDown_;
+        arguments->nStarts        = nStarts_;
         arguments->startUpFuel    = startUpFuel_;
         arguments->startUpFixCost = startUpFixCost_;
-        arguments->initialState   = initialState_;
     }
 
     bool VanillaVPPOption::isExpired() const {
diff --git a/ql/experimental/finitedifferences/vanillavppoption.hpp b/ql/experimental/finitedifferences/vanillavppoption.hpp
index d2eaf4d8a1..114d7330a1 100644
--- a/ql/experimental/finitedifferences/vanillavppoption.hpp
+++ b/ql/experimental/finitedifferences/vanillavppoption.hpp
@@ -36,8 +36,8 @@ namespace QuantLib {
         VanillaVPPOption(Real heatRate,
                          Real pMin, Real pMax,
                          Size tMinUp, Size tMinDown,
+                         Size nStarts,
                          Real startUpFuel, Real startUpFixCost,
-                         Size initialState,
                          const boost::shared_ptr<SwingExercise>& exercise);
 
         bool isExpired() const;
@@ -47,8 +47,8 @@ namespace QuantLib {
         const Real heatRate_;
         const Real pMin_, pMax_;
         const Size tMinUp_, tMinDown_;
+        const Size nStarts_;
         const Real startUpFuel_, startUpFixCost_;
-        const Size initialState_;
     };
 
     class VanillaVPPOption::arguments
@@ -60,8 +60,8 @@ namespace QuantLib {
         Real heatRate;
         Real pMin, pMax;
         Size tMinUp, tMinDown;
+        Size nStarts;
         Real startUpFuel, startUpFixCost;
-        Size initialState;
     };
 }
 
diff --git a/ql/math/matrixutilities/Makefile.am b/ql/math/matrixutilities/Makefile.am
index 6a975cdbe3..d275c01b17 100644
--- a/ql/math/matrixutilities/Makefile.am
+++ b/ql/math/matrixutilities/Makefile.am
@@ -12,6 +12,7 @@ this_include_HEADERS = \
 	pseudosqrt.hpp \
 	qrdecomposition.hpp \
 	sparseilupreconditioner.hpp \
+	sparsematrix.hpp \
 	svd.hpp \
 	symmetricschurdecomposition.hpp \
 	tapcorrelations.hpp \
diff --git a/ql/math/matrixutilities/all.hpp b/ql/math/matrixutilities/all.hpp
index 13795ce016..8f32ae4eeb 100644
--- a/ql/math/matrixutilities/all.hpp
+++ b/ql/math/matrixutilities/all.hpp
@@ -9,6 +9,7 @@
 #include <ql/math/matrixutilities/pseudosqrt.hpp>
 #include <ql/math/matrixutilities/qrdecomposition.hpp>
 #include <ql/math/matrixutilities/sparseilupreconditioner.hpp>
+#include <ql/math/matrixutilities/sparsematrix.hpp>
 #include <ql/math/matrixutilities/svd.hpp>
 #include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
 #include <ql/math/matrixutilities/tapcorrelations.hpp>
diff --git a/ql/math/matrixutilities/sparseilupreconditioner.cpp b/ql/math/matrixutilities/sparseilupreconditioner.cpp
index 81eef844cb..90e3ebe9cc 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.cpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.cpp
@@ -42,16 +42,15 @@ namespace QuantLib {
 
     using namespace boost::numeric::ublas;
 
-    SparseILUPreconditioner::SparseILUPreconditioner(
-                                            const compressed_matrix<Real>& A,
-                                            Integer lfil)
-    : L_(compressed_matrix<Real>(A.size1(),A.size2())),
-      U_(compressed_matrix<Real>(A.size1(),A.size2())) {
+    SparseILUPreconditioner::SparseILUPreconditioner(const SparseMatrix& A,
+                                                     Integer lfil)
+    : L_(A.size1(),A.size2()),
+      U_(A.size1(),A.size2()) {
 
         QL_REQUIRE(A.size1() == A.size2(),
                    "sparse ILU preconditioner works only with square matrices");
 
-        for (compressed_matrix<Real>::size_type i=0; i < L_.size1(); ++i)
+        for (SparseMatrix::size_type i=0; i < L_.size1(); ++i)
             L_(i,i) = 1.0;
 
         const Integer n = A.size1();
@@ -164,11 +163,11 @@ namespace QuantLib {
         std::copy(uBandSet.begin(), uBandSet.end(), uBands_.begin());
     }
 
-    const compressed_matrix<Real>& SparseILUPreconditioner::L() const {
+    const SparseMatrix& SparseILUPreconditioner::L() const {
         return L_;
     }
 
-    const compressed_matrix<Real>& SparseILUPreconditioner::U() const {
+    const SparseMatrix& SparseILUPreconditioner::U() const {
         return U_;
     }
 
diff --git a/ql/math/matrixutilities/sparseilupreconditioner.hpp b/ql/math/matrixutilities/sparseilupreconditioner.hpp
index 36963389f6..7846d93fc0 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.hpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.hpp
@@ -24,43 +24,29 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #ifndef quantlib_sparse_ilu_preconditioner_hpp
 #define quantlib_sparse_ilu_preconditioner_hpp
 
-#include <ql/qldefines.hpp>
-
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
+#include <ql/qldefines.hpp>
 #include <ql/math/array.hpp>
-
-#if defined(QL_PATCH_MSVC)
-#pragma warning(push)
-#pragma warning(disable:4180)
-#endif
-
-#include <boost/numeric/ublas/matrix_sparse.hpp>
-
-#if defined(QL_PATCH_MSVC)
-#pragma warning(pop)
-#endif
+#include <ql/math/matrixutilities/sparsematrix.hpp>
 
 namespace QuantLib {
 
     /*! References:
-
         Saad, Yousef. 1996, Iterative methods for sparse linear systems,
         http://www-users.cs.umn.edu/~saad/books.html
     */
     class SparseILUPreconditioner  {
       public:
-        SparseILUPreconditioner(
-                      const boost::numeric::ublas::compressed_matrix<Real>& A,
-                      Integer lfil = 1);
+        SparseILUPreconditioner(const SparseMatrix& A, Integer lfil = 1);
 
-        const boost::numeric::ublas::compressed_matrix<Real>& L() const;
-        const boost::numeric::ublas::compressed_matrix<Real>& U() const;
+        const SparseMatrix& L() const;
+        const SparseMatrix& U() const;
 
         Disposable<Array> apply(const Array& b) const;
 
       private:
-        boost::numeric::ublas::compressed_matrix<Real> L_, U_;
+        SparseMatrix L_, U_;
         std::vector<Size> lBands_, uBands_;
 
         Disposable<Array> forwardSolve(const Array& b) const;
diff --git a/ql/math/matrixutilities/sparsematrix.hpp b/ql/math/matrixutilities/sparsematrix.hpp
new file mode 100644
index 0000000000..88e3bfe030
--- /dev/null
+++ b/ql/math/matrixutilities/sparsematrix.hpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+Copyright (C) 2012 Klaus Spanderen
+
+This file is part of QuantLib, a free-software/open-source library
+for financial quantitative analysts and developers - http://quantlib.org/
+
+QuantLib is free software: you can redistribute it and/or modify it
+under the terms of the QuantLib license.  You should have received a
+copy of the license along with this program; if not, please email
+<quantlib-dev@lists.sf.net>. The license is also available online at
+<http://quantlib.org/license.shtml>.
+
+This program is distributed in the hope that it will be useful, but WITHOUT
+ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file sparsematrix.hpp
+    \brief typedef for boost sparse matrix class
+*/
+
+#ifndef quantlib_sparse_matrix_hpp
+#define quantlib_sparse_matrix_hpp
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+
+#include <ql/math/array.hpp>
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(push)
+#pragma warning(disable:4180)
+#endif
+
+#include <boost/numeric/ublas/matrix_sparse.hpp>
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(pop)
+#endif
+
+namespace QuantLib {
+    typedef boost::numeric::ublas::compressed_matrix<Real> SparseMatrix;
+
+    inline Disposable<Array> prod(const SparseMatrix& A, const Array& x) {
+        Array b(x.size());
+
+        for (Size i=0; i < A.filled1()-1; ++i) {
+            const Size begin = A.index1_data()[i];
+            const Size end   = A.index1_data()[i+1];
+            Real t=0;
+            for (Size j=begin; j < end; ++j) {
+                t += A.value_data()[j]*x[A.index2_data()[j]];
+            }
+
+            b[i]=t;
+        }
+        return b;
+    }
+}
+
+#endif
+#endif
diff --git a/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
index 1735421376..6c1e085ce7 100644
--- a/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp
@@ -65,7 +65,8 @@ namespace QuantLib {
             
             helper = boost::shared_ptr<Fdm1dMesher>(
                 new Concentrating1dMesher(xMin, xMax, size, 
-                    std::pair<Real,Real>(std::log(cPoint.first),cPoint.second)));
+                    std::pair<Real,Real>(std::log(cPoint.first),
+                                         cPoint.second)));
         }
         else {
             helper = boost::shared_ptr<Fdm1dMesher>(
diff --git a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
index a0a0494f62..9a24a66561 100644
--- a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
@@ -148,4 +148,15 @@ namespace QuantLib {
                                                           Real dt) const {
         return solve_splitting(0, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> Fdm2dBlackScholesOp::toMatrix() const {
+        SparseMatrix retVal =
+              opX_.toMatrix() + opY_.toMatrix() + corrMapT_.toMatrix() +
+              currentForwardRate_*boost::numeric::ublas::identity_matrix<Real>(
+                                                    mesher_->layout()->size());
+
+        return retVal;
+    }
+#endif
 }
diff --git a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
index dac3eed99a..d26ffabca5 100644
--- a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp
@@ -55,6 +55,9 @@ namespace QuantLib {
                                           const Array& x, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
     
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<GeneralizedBlackScholesProcess> p1_, p2_;
diff --git a/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
index b7fa1f3b2a..f4d1ec12d9 100644
--- a/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmblackscholesop.cpp
@@ -126,4 +126,10 @@ namespace QuantLib {
                                                         Real dt) const {
         return solve_splitting(direction_, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmBlackScholesOp::toMatrix() const {
+        return mapT_.toMatrix();
+    }
+#endif
 }
diff --git a/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp b/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
index 2e8927015f..894e7836bf 100644
--- a/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp
@@ -55,6 +55,9 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<YieldTermStructure> rTS_, qTS_;
diff --git a/ql/methods/finitedifferences/operators/fdmg2op.cpp b/ql/methods/finitedifferences/operators/fdmg2op.cpp
index 0d1a4c70d7..952c1d1fe4 100644
--- a/ql/methods/finitedifferences/operators/fdmg2op.cpp
+++ b/ql/methods/finitedifferences/operators/fdmg2op.cpp
@@ -112,5 +112,13 @@ namespace QuantLib {
     FdmG2Op::preconditioner(const Array& r, Real dt) const {
         return solve_splitting(direction1_, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmG2Op::toMatrix() const {
+        SparseMatrix retVal =
+            mapX_.toMatrix() + mapY_.toMatrix() + corrMap_.toMatrix();
+        return retVal;
+    }
+#endif
 }
 
diff --git a/ql/methods/finitedifferences/operators/fdmg2op.hpp b/ql/methods/finitedifferences/operators/fdmg2op.hpp
index bd7fd2b487..5dea4b899a 100644
--- a/ql/methods/finitedifferences/operators/fdmg2op.hpp
+++ b/ql/methods/finitedifferences/operators/fdmg2op.hpp
@@ -51,6 +51,9 @@ namespace QuantLib {
             solve_splitting(Size direction, const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const Size direction1_, direction2_;
         const Array x_, y_;
diff --git a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
index cc82faa205..91b8527a17 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
@@ -155,4 +155,15 @@ namespace QuantLib {
                                                            Real dt) const {
         return solve_splitting(0, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmHestonHullWhiteOp::toMatrix() const {
+        SparseMatrix retVal =
+                dyMap_.toMatrix() + dxMap_.getMap().toMatrix()
+              + hullWhiteOp_.toMatrix()
+              + hestonCorrMap_.toMatrix() + equityIrCorrMap_.toMatrix();
+
+        return retVal;
+    }
+#endif
 }
diff --git a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
index 7ac0e6ee4d..c3da608dae 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
@@ -80,6 +80,9 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const Real v0_, kappa_, theta_, sigma_, rho_;
         const boost::shared_ptr<HullWhite> hwModel_;
diff --git a/ql/methods/finitedifferences/operators/fdmhestonop.cpp b/ql/methods/finitedifferences/operators/fdmhestonop.cpp
index 1d6979719a..e4200f6a9f 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonop.cpp
@@ -161,4 +161,14 @@ namespace QuantLib {
 
         return solve_splitting(0, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmHestonOp::toMatrix() const {
+        SparseMatrix retVal =
+              dyMap_.getMap().toMatrix() + dxMap_.getMap().toMatrix()
+            + correlationMap_.toMatrix();
+
+        return retVal;
+    }
+#endif
 }
diff --git a/ql/methods/finitedifferences/operators/fdmhestonop.hpp b/ql/methods/finitedifferences/operators/fdmhestonop.hpp
index 5c874dbe11..8c4bf48f7d 100644
--- a/ql/methods/finitedifferences/operators/fdmhestonop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhestonop.hpp
@@ -95,6 +95,9 @@ namespace QuantLib {
                                           const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         NinePointLinearOp correlationMap_;
         FdmHestonVariancePart dyMap_;
diff --git a/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp b/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
index 7d1265ac48..c7c309df26 100644
--- a/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp
@@ -93,5 +93,11 @@ namespace QuantLib {
     FdmHullWhiteOp::preconditioner(const Array& r, Real dt) const {
         return solve_splitting(direction_, r, dt);
     }
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> FdmHullWhiteOp::toMatrix() const {
+        return mapT_.toMatrix();
+    }
+#endif
 }
 
diff --git a/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp b/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
index 3859f35873..ef6f75ad64 100644
--- a/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp
@@ -52,6 +52,9 @@ namespace QuantLib {
             solve_splitting(Size direction, const Array& r, Real s) const;
         Disposable<Array> preconditioner(const Array& r, Real s) const;
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
       private:
         const Size direction_;
         const Array x_;
diff --git a/ql/methods/finitedifferences/operators/fdmlinearop.hpp b/ql/methods/finitedifferences/operators/fdmlinearop.hpp
index 38ba23c6df..788e37842a 100644
--- a/ql/methods/finitedifferences/operators/fdmlinearop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmlinearop.hpp
@@ -27,6 +27,7 @@
 #define quantlib_fdm_linear_op_hpp
 
 #include <ql/math/array.hpp>
+#include <ql/math/matrixutilities/sparsematrix.hpp>
 
 namespace QuantLib {
 
@@ -35,6 +36,12 @@ namespace QuantLib {
         typedef Array array_type;
         virtual ~FdmLinearOp() { }
         virtual Disposable<array_type> apply(const array_type& r) const = 0;
+
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        virtual Disposable<SparseMatrix> toMatrix() const {
+            QL_FAIL("not implemented");
+        }
+#endif
     };
 }
 
diff --git a/ql/methods/finitedifferences/operators/ninepointlinearop.cpp b/ql/methods/finitedifferences/operators/ninepointlinearop.cpp
index 11463dcba7..784dfd143c 100644
--- a/ql/methods/finitedifferences/operators/ninepointlinearop.cpp
+++ b/ql/methods/finitedifferences/operators/ninepointlinearop.cpp
@@ -158,6 +158,29 @@ namespace QuantLib {
         return retVal;
     }
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> NinePointLinearOp::toMatrix() const {
+        const boost::shared_ptr<FdmLinearOpLayout> index = mesher_->layout();
+        const Size n = index->size();
+
+        SparseMatrix retVal(n, n, 9*n);
+        for (Size i=0; i < index->size(); ++i) {
+            retVal(i, i00_[i]) += a00_[i];
+            retVal(i, i01_[i]) += a01_[i];
+            retVal(i, i02_[i]) += a02_[i];
+            retVal(i, i10_[i]) += a10_[i];
+            retVal(i, i      ) += a11_[i];
+            retVal(i, i12_[i]) += a12_[i];
+            retVal(i, i20_[i]) += a20_[i];
+            retVal(i, i21_[i]) += a21_[i];
+            retVal(i, i22_[i]) += a22_[i];
+        }
+
+        return retVal;
+    }
+#endif
+
+
     Disposable<NinePointLinearOp>
         NinePointLinearOp::mult(const Array & u) const {
 
diff --git a/ql/methods/finitedifferences/operators/ninepointlinearop.hpp b/ql/methods/finitedifferences/operators/ninepointlinearop.hpp
index de07dc3881..4686eda0c7 100644
--- a/ql/methods/finitedifferences/operators/ninepointlinearop.hpp
+++ b/ql/methods/finitedifferences/operators/ninepointlinearop.hpp
@@ -26,7 +26,9 @@
 #ifndef quantlib_nine_point_linear_op_hpp
 #define quantlib_nine_point_linear_op_hpp
 
+#include <ql/math/matrixutilities/sparsematrix.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+
 #include <boost/shared_array.hpp>
 
 namespace QuantLib {
@@ -46,6 +48,10 @@ namespace QuantLib {
 
         void swap(NinePointLinearOp& m);
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
+
       protected:
         NinePointLinearOp() {}
 
diff --git a/ql/methods/finitedifferences/operators/triplebandlinearop.cpp b/ql/methods/finitedifferences/operators/triplebandlinearop.cpp
index 54847e470c..ae9771f551 100644
--- a/ql/methods/finitedifferences/operators/triplebandlinearop.cpp
+++ b/ql/methods/finitedifferences/operators/triplebandlinearop.cpp
@@ -238,6 +238,23 @@ namespace QuantLib {
         return retVal;
     }
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+    Disposable<SparseMatrix> TripleBandLinearOp::toMatrix() const {
+        const boost::shared_ptr<FdmLinearOpLayout> index = mesher_->layout();
+        const Size n = index->size();
+
+        SparseMatrix retVal(n, n, 3*n);
+        for (Size i=0; i < n; ++i) {
+            retVal(i, i0_[i]) += lower_[i];
+            retVal(i, i     ) += diag_[i];
+            retVal(i, i2_[i]) += upper_[i];
+        }
+
+        return retVal;
+    }
+#endif
+
+
     Disposable<Array>
     TripleBandLinearOp::solve_splitting(const Array& r, Real a, Real b) const {
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
diff --git a/ql/methods/finitedifferences/operators/triplebandlinearop.hpp b/ql/methods/finitedifferences/operators/triplebandlinearop.hpp
index bea5c16ef0..b392d5fcc0 100644
--- a/ql/methods/finitedifferences/operators/triplebandlinearop.hpp
+++ b/ql/methods/finitedifferences/operators/triplebandlinearop.hpp
@@ -61,6 +61,10 @@ namespace QuantLib {
 
         void swap(TripleBandLinearOp& m);
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+        Disposable<SparseMatrix> toMatrix() const;
+#endif
+
       protected:
         TripleBandLinearOp() {}
 
diff --git a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
index 2d52ec2540..12b6ff501d 100644
--- a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
@@ -65,6 +65,7 @@ namespace QuantLib {
 
         std::vector<std::vector<Real> > x_;
         std::vector<Real> initialValues_;
+        const std::vector<bool> extrapolation_;
 
         mutable boost::shared_ptr<data_table> f_;
         mutable boost::shared_ptr<MultiCubicSpline<N> > interp_;
@@ -87,7 +88,8 @@ namespace QuantLib {
       conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_,
                                                         solverDesc.condition)),
       x_            (solverDesc.mesher->layout()->dim().size()),
-      initialValues_(solverDesc.mesher->layout()->size()) {
+      initialValues_(solverDesc.mesher->layout()->size()),
+      extrapolation_(std::vector<bool>(N, true)) {
 
         const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
@@ -137,7 +139,7 @@ namespace QuantLib {
         }
 
         interp_ = boost::shared_ptr<MultiCubicSpline<N> >(
-                                            new MultiCubicSpline<N>(x_, *f_));
+            new MultiCubicSpline<N>(x_, *f_, extrapolation_));
     }
 
 
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 79ccea3f62..4adaa5ec96 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -422,9 +422,12 @@ void VPPTest::testVPPIntrinsicValue() {
     const Real startUpFuel    = 20;
     const Real startUpFixCost = 100;
     const Real carbonPrice    = 3.0;
+    const Size nStarts        = Null<Size>();
     const Size stateDirection = 0;
 
-    const Size nStates = 2*tMinUp + tMinDown;
+    const Size nStates = ((nStarts == Null<Size>()) ? 1 : nStarts)*
+                         (2*tMinUp + tMinDown);
+
     const std::vector<Size> dim(1, nStates);
     const boost::shared_ptr<FdmLinearOpLayout> layout(
                                                    new FdmLinearOpLayout(dim));
@@ -452,7 +455,10 @@ void VPPTest::testVPPIntrinsicValue() {
                                               new SparkSpreadPrice(heatRate));
 
         boost::shared_ptr<StepCondition<Array> > stepCondition(
-            new FdmVPPStepCondition(heatRate, pMin, pMax, tMinUp, tMinDown,
+            new FdmVPPStepCondition(heatRate,
+                                    pMin, pMax,
+                                    tMinUp, tMinDown,
+                                    nStarts,
                                     startUpFuel, startUpFixCost,
                                     carbonPrice, stateDirection,
                                     mesher, gasPrice, sparkSpreadPrice));
@@ -558,15 +564,15 @@ void VPPTest::testVPPPricing() {
     const Real startUpFuel    = 20;
     const Real startUpFixCost = 100;
     const Size nStates        = 2u*tMinUp + tMinDown;
-    const Size initialState   = nStates-1u;
 
     boost::shared_ptr<SwingExercise> exercise(
                                 new SwingExercise(today, today+6, 3600u));
 
     VanillaVPPOption vppOption(heatRate, pMin, pMax,
                                tMinUp, tMinDown,
+                               Null<Size>(),
                                startUpFuel, startUpFixCost,
-                               initialState, exercise);
+                               exercise);
 
     // model definition
     const Real beta         = 200;
@@ -632,7 +638,7 @@ void VPPTest::testVPPPricing() {
                     new Uniform1dMesher(0.0, 1.0, nStates)))));
 
     const FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown,
+            heatRate, pMin, pMax, tMinUp, tMinDown, Null<Size>(),
             startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
             boost::shared_ptr<FdmInnerValueCalculator>(new GasPrice()),
             boost::shared_ptr<FdmInnerValueCalculator>(
@@ -683,7 +689,7 @@ void VPPTest::testVPPPricing() {
         const sample_type& path = generator.next();
 
         FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown,
+            heatRate, pMin, pMax, tMinUp, tMinDown, Null<Size>(),
             startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
             boost::shared_ptr<FdmInnerValueCalculator>(
                 new PathGasPrice(path.value, gasShape)),
@@ -729,7 +735,7 @@ void VPPTest::testVPPPricing() {
 
         stepConditions.push_back(boost::shared_ptr<FdmVPPStepCondition>(
             new FdmVPPStepCondition(
-                heatRate, pMin, pMax, tMinUp, tMinDown,
+                heatRate, pMin, pMax, tMinUp, tMinDown,Null<Size>(),
                 startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
                 boost::shared_ptr<FdmInnerValueCalculator>(
                     new PathGasPrice(calibrationPaths.back().value, gasShape)),
@@ -796,7 +802,7 @@ void VPPTest::testVPPPricing() {
                                      gasShape, powerShape));
 
         FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown,
+            heatRate, pMin, pMax, tMinUp, tMinDown,Null<Size>(),
             startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
             gasPrices, sparkSpreads);
 

From dc9fc12f76062efef3eb568acb65b3bcf3e143f3 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 Jan 2012 17:27:11 +0000
Subject: [PATCH 354/410] qldefines.hpp must be included before checking
 QL_NO_UBLAS_SUPPORT.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18183 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/matrixutilities/sparseilupreconditioner.hpp | 3 ++-
 ql/math/matrixutilities/sparsematrix.hpp            | 2 ++
 2 files changed, 4 insertions(+), 1 deletion(-)

diff --git a/ql/math/matrixutilities/sparseilupreconditioner.hpp b/ql/math/matrixutilities/sparseilupreconditioner.hpp
index 7846d93fc0..0c7794275b 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.hpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.hpp
@@ -24,9 +24,10 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #ifndef quantlib_sparse_ilu_preconditioner_hpp
 #define quantlib_sparse_ilu_preconditioner_hpp
 
+#include <ql/qldefines.hpp>
+
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
-#include <ql/qldefines.hpp>
 #include <ql/math/array.hpp>
 #include <ql/math/matrixutilities/sparsematrix.hpp>
 
diff --git a/ql/math/matrixutilities/sparsematrix.hpp b/ql/math/matrixutilities/sparsematrix.hpp
index 88e3bfe030..cf004249f5 100644
--- a/ql/math/matrixutilities/sparsematrix.hpp
+++ b/ql/math/matrixutilities/sparsematrix.hpp
@@ -24,6 +24,8 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #ifndef quantlib_sparse_matrix_hpp
 #define quantlib_sparse_matrix_hpp
 
+#include <ql/qldefines.hpp>
+
 #if !defined(QL_NO_UBLAS_SUPPORT)
 
 #include <ql/math/array.hpp>

From 04878e0997521666074e578deea9f99a7e80d120 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 Jan 2012 21:21:06 +0000
Subject: [PATCH 355/410] VC 10 fix

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18184 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/operators/fdm2dblackscholesop.cpp       | 4 ++++
 1 file changed, 4 insertions(+)

diff --git a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
index 9a24a66561..f01ebc43a9 100644
--- a/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp
@@ -27,6 +27,10 @@
 #include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
 #include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
 
+#if !defined(QL_NO_UBLAS_SUPPORT)
+#include <boost/numeric/ublas/matrix.hpp>
+#endif
+
 namespace QuantLib {
 
     Fdm2dBlackScholesOp::Fdm2dBlackScholesOp(

From d43d4fcb4e19f04ade48a8161e39ab8949dc1dc0 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 Jan 2012 21:37:23 +0000
Subject: [PATCH 356/410] replaced generalized_vector_of_vector by SparseMatrix
 (vc 10 fix)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18185 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../matrixutilities/sparseilupreconditioner.cpp   | 15 +--------------
 1 file changed, 1 insertion(+), 14 deletions(-)

diff --git a/ql/math/matrixutilities/sparseilupreconditioner.cpp b/ql/math/matrixutilities/sparseilupreconditioner.cpp
index 90e3ebe9cc..c1292c0014 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.cpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.cpp
@@ -24,18 +24,6 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #include <ql/math/matrixutilities/sparseilupreconditioner.hpp>
 #include <ql/math/matrix.hpp>
 
-#if defined(QL_PATCH_MSVC)
-#pragma warning(push)
-#pragma warning(disable:4180)
-#endif
-
-#include <boost/numeric/ublas/vector_of_vector.hpp>
-#include <boost/numeric/ublas/vector.hpp>
-
-#if defined(QL_PATCH_MSVC)
-#pragma warning(pop)
-#endif
-
 #include <set>
 
 namespace QuantLib {
@@ -56,8 +44,7 @@ namespace QuantLib {
         const Integer n = A.size1();
         std::set<Integer> lBandSet, uBandSet;
 
-        generalized_vector_of_vector<Integer,
-            row_major, vector<compressed_vector<Integer> > > levs(n,n);
+        SparseMatrix levs(n,n);
         Integer lfilp = lfil + 1;
 
         for (Integer ii=0; ii<n; ++ii) {

From eb9114425ea9ba054e8afdc019a82a6c007e4e2f Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 Jan 2012 22:10:57 +0000
Subject: [PATCH 357/410] replaced generalized_vector_of_vector by compressed
 sparse matrix (vc 10 fix)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18186 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/matrixutilities/sparseilupreconditioner.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/math/matrixutilities/sparseilupreconditioner.cpp b/ql/math/matrixutilities/sparseilupreconditioner.cpp
index c1292c0014..09fe68708c 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.cpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.cpp
@@ -44,7 +44,7 @@ namespace QuantLib {
         const Integer n = A.size1();
         std::set<Integer> lBandSet, uBandSet;
 
-        SparseMatrix levs(n,n);
+        boost::numeric::ublas::compressed_matrix<Integer> levs(n,n);
         Integer lfilp = lfil + 1;
 
         for (Integer ii=0; ii<n; ++ii) {

From 1a00650c5b1a2c3fbe8d168ae38f8b1b37be9cd3 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 24 Jan 2012 22:35:43 +0000
Subject: [PATCH 358/410] Updated VC++ 10  projects

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18187 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib_vc10.vcxproj         | 18 ++++++++++++
 QuantLib_vc10.vcxproj.filters | 54 +++++++++++++++++++++++++++++++++++
 2 files changed, 72 insertions(+)

diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index ac0c31a307..50ee439f48 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -297,8 +297,10 @@
     <ClInclude Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmbatesop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmblackscholesop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmg2op.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopcomposite.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopiterator.hpp" />
@@ -316,14 +318,17 @@
     <ClInclude Include="ql\methods\finitedifferences\schemes\impliciteulerscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdm2dimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdm3dimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmbackwardsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmbatessolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmg2solver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmndimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmsolverdesc.hpp" />
@@ -336,6 +341,8 @@
     <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.hpp" />
@@ -822,6 +829,8 @@
     <ClInclude Include="ql\pricingengines\barrier\fdhestonbarrierengine.hpp" />
     <ClInclude Include="ql\pricingengines\barrier\fdhestonrebateengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\swaption\fdg2swaptionengine.hpp" />
+    <ClInclude Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdbatesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp" />
@@ -1380,8 +1389,10 @@
     <ClCompile Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmbatesop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmblackscholesop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmg2op.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\firstderivativeop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\ninepointlinearop.cpp" />
@@ -1394,14 +1405,17 @@
     <ClCompile Include="ql\methods\finitedifferences\schemes\hundsdorferscheme.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\schemes\impliciteulerscheme.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdm2dimsolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdm3dimsolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmbackwardsolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmbatessolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmblackscholessolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmg2solver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmarithmeticaveragecondition.cpp" />
@@ -1410,6 +1424,8 @@
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsimpleswingcondition.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmsnapshotcondition.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmstepconditioncomposite.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp" />
@@ -1714,6 +1730,8 @@
     <ClCompile Include="ql\pricingengines\barrier\fdhestonbarrierengine.cpp" />
     <ClCompile Include="ql\pricingengines\barrier\fdhestonrebateengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\swaption\fdg2swaptionengine.cpp" />
+    <ClCompile Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdbatesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index b1f6428e6c..3e28d83993 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3522,6 +3522,33 @@
     <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\swaption\fdg2swaptionengine.hpp">
+      <Filter>pricingengines\swaption</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp">
+      <Filter>pricingengines\swaption</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmg2solver.hpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmg2op.hpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5607,5 +5634,32 @@
     <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\swaption\fdg2swaptionengine.cpp">
+      <Filter>pricingengines\swaption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp">
+      <Filter>pricingengines\swaption</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmg2solver.cpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmg2op.cpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>
\ No newline at end of file

From 85bc696317f5be48209c67420c3c9f24b3194877 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Feb 2012 09:33:50 +0000
Subject: [PATCH 359/410] added Luca Billi's comment about preventing infinite
 recursion

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18197 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/lazyobject.hpp | 28 +++++++++++++++++-----------
 1 file changed, 17 insertions(+), 11 deletions(-)

diff --git a/ql/patterns/lazyobject.hpp b/ql/patterns/lazyobject.hpp
index 264d32b07e..46b11d6d14 100644
--- a/ql/patterns/lazyobject.hpp
+++ b/ql/patterns/lazyobject.hpp
@@ -100,14 +100,18 @@ namespace QuantLib {
     : calculated_(false), frozen_(false) {}
 
     inline void LazyObject::update() {
-        // observers don't expect notifications from frozen objects
-        // LazyObject forwards notifications only once until it has been 
-        // recalculated
-        if (!frozen_ && calculated_)
-            notifyObservers();
-        calculated_ = false;
+        // forwards notifications only the first time
+        if (calculated_) {
+            // set to false early, otherways non-lazy observers would be
+            // served obsolete data because of calculated_ being still true
+            calculated_ = false;
+            // observers don't expect notifications from frozen objects
+            if (!frozen_)
+                notifyObservers();
+        }
+        // calculated_ can be true if some Observer is not lazy
     }
-
+ 
     inline void LazyObject::recalculate() {
         bool wasFrozen = frozen_;
         calculated_ = frozen_ = false;
@@ -127,9 +131,12 @@ namespace QuantLib {
     }
 
     inline void LazyObject::unfreeze() {
-        frozen_ = false;
-        // send notification, just in case we lost any
-        notifyObservers();
+        // send notifications, just in case we lost any
+        // but only once if it was frozen
+        if (frozen_) {
+            frozen_ = false;
+            notifyObservers();
+        }
     }
 
     inline void LazyObject::calculate() const {
@@ -147,5 +154,4 @@ namespace QuantLib {
 
 }
 
-
 #endif

From ed1ee3f60509e21a9e4c9b8e3c7bd03dc670bb52 Mon Sep 17 00:00:00 2001
From: nando <nando@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 6 Feb 2012 09:43:15 +0000
Subject: [PATCH 360/410] in synch with R01020x-branch

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18199 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/patterns/lazyobject.hpp | 13 ++++++++-----
 1 file changed, 8 insertions(+), 5 deletions(-)

diff --git a/ql/patterns/lazyobject.hpp b/ql/patterns/lazyobject.hpp
index 46b11d6d14..c9c81b2ab6 100644
--- a/ql/patterns/lazyobject.hpp
+++ b/ql/patterns/lazyobject.hpp
@@ -102,14 +102,17 @@ namespace QuantLib {
     inline void LazyObject::update() {
         // forwards notifications only the first time
         if (calculated_) {
-            // set to false early, otherways non-lazy observers would be
-            // served obsolete data because of calculated_ being still true
+            // set to false early
+            // 1) to prevent infinite recursion
+            // 2) otherways non-lazy observers would be served obsolete
+            //    data because of calculated_ being still true
             calculated_ = false;
             // observers don't expect notifications from frozen objects
             if (!frozen_)
                 notifyObservers();
+                // exiting notifyObservers() calculated_ could be
+                // already true because of non-lazy observers
         }
-        // calculated_ can be true if some Observer is not lazy
     }
  
     inline void LazyObject::recalculate() {
@@ -131,8 +134,8 @@ namespace QuantLib {
     }
 
     inline void LazyObject::unfreeze() {
-        // send notifications, just in case we lost any
-        // but only once if it was frozen
+        // send notifications, just in case we lost any,
+        // but only once, i.e. if it was frozen
         if (frozen_) {
             frozen_ = false;
             notifyObservers();

From 55352fdc11d5ba70da22a8032f6dda7f5f4d7d4a Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 8 Feb 2012 20:02:36 +0000
Subject: [PATCH 361/410] use public inheritance

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18207 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../solvers/fdmsimple2dbssolver.hpp           |  2 +-
 .../vanilla/analytichestonengine.cpp          | 22 ++++++++++++-------
 2 files changed, 15 insertions(+), 9 deletions(-)

diff --git a/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
index 0d04ec97f1..d57e412b44 100644
--- a/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
@@ -35,7 +35,7 @@ namespace QuantLib {
     class Fdm2DimSolver;
     class GeneralizedBlackScholesProcess;
 
-    class FdmSimple2dBSSolver : LazyObject {
+    class FdmSimple2dBSSolver : public LazyObject {
       public:
         FdmSimple2dBSSolver(
             const Handle<GeneralizedBlackScholesProcess>& process,
diff --git a/ql/pricingengines/vanilla/analytichestonengine.cpp b/ql/pricingengines/vanilla/analytichestonengine.cpp
index 97df6fb4b8..571aab0aea 100644
--- a/ql/pricingengines/vanilla/analytichestonengine.cpp
+++ b/ql/pricingengines/vanilla/analytichestonengine.cpp
@@ -532,10 +532,14 @@ namespace QuantLib {
           case GaussChebyshev2nd:
             retVal = gaussianQuadrature_->operator()(
                 boost::function1<Real, Real>(
-                    if_then_else_return ( (_1+1.0)*c_inf > QL_EPSILON,
-                        boost::lambda::bind(f, -boost::lambda::bind(std::ptr_fun<Real,Real>(std::log),
-                                      0.5*_1+0.5 )/c_inf )/((_1+1.0)*c_inf),
-                        boost::lambda::bind(constant<Real, Real>(0.0), _1))));
+                    if_then_else_return ( (boost::lambda::_1+1.0)*c_inf 
+                                          > QL_EPSILON,
+                        boost::lambda::bind(f, -boost::lambda::bind(
+                            std::ptr_fun<Real,Real>(std::log),
+                            0.5*boost::lambda::_1+0.5 )/c_inf )
+                                          /((boost::lambda::_1+1.0)*c_inf),
+                        boost::lambda::bind(constant<Real, Real>(0.0), 
+                                            boost::lambda::_1))));
             break;
           case Simpson:
           case Trapezoid:
@@ -543,10 +547,12 @@ namespace QuantLib {
           case GaussKronrod:
             retVal = integrator_->operator()(
                 boost::function1<Real, Real>(
-                    if_then_else_return ( _1*c_inf > QL_EPSILON,
-                        boost::lambda::bind(f,-boost::lambda::bind(std::ptr_fun<Real,Real>(std::log), _1)
-                             /c_inf) /(_1*c_inf),
-                        boost::lambda::bind(constant<Real, Real>(0.0), _1))),
+                    if_then_else_return ( boost::lambda::_1*c_inf > QL_EPSILON,
+                        boost::lambda::bind(f,-boost::lambda::bind(
+                            std::ptr_fun<Real,Real>(std::log), 
+                            boost::lambda::_1)/c_inf) /(boost::lambda::_1*c_inf),
+                        boost::lambda::bind(constant<Real, Real>(0.0), 
+                                            boost::lambda::_1))),
                 0.0, 1.0);
             break;
           default:

From e83279f5526a28aa3cd5aba07754348f5d0496f3 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 25 Feb 2012 14:09:23 +0000
Subject: [PATCH 362/410] reverse inheritance order to avoid g++ linker problem

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18228 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../volatility/capfloor/capfloortermvolcurve.hpp              | 4 ++--
 .../volatility/capfloor/capfloortermvolsurface.hpp            | 4 ++--
 ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp | 4 ++--
 3 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp b/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
index 590ff8dea0..7e6033be76 100644
--- a/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
+++ b/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp
@@ -41,8 +41,8 @@ namespace QuantLib {
         interpolating a volatility vector whose elements are the market
         volatilities of a set of caps/floors with given length.
     */
-    class CapFloorTermVolCurve : public CapFloorTermVolatilityStructure,
-                                 public LazyObject,
+    class CapFloorTermVolCurve : public LazyObject,
+                                 public CapFloorTermVolatilityStructure,
                                  private boost::noncopyable {
       public:
         //! floating reference date, floating market data
diff --git a/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp b/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp
index 6c6b72dbbf..aff0e42877 100644
--- a/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp
+++ b/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp
@@ -38,8 +38,8 @@ namespace QuantLib {
         a volatility surface whose elements are the market term volatilities
         of a set of caps/floors with given length and given strike.
     */
-    class CapFloorTermVolSurface : public CapFloorTermVolatilityStructure,
-                                   public LazyObject {
+    class CapFloorTermVolSurface : public LazyObject, 
+                                   public CapFloorTermVolatilityStructure {
       public:
         //! floating reference date, floating market data
         CapFloorTermVolSurface(Natural settlementDays,
diff --git a/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp b/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp
index e5e07119be..f6569328b3 100644
--- a/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp
+++ b/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp
@@ -30,8 +30,8 @@
 
 namespace QuantLib {
 
-    class SwaptionVolatilityDiscrete : public SwaptionVolatilityStructure,
-                                       public LazyObject   {
+    class SwaptionVolatilityDiscrete : public LazyObject,
+                                       public SwaptionVolatilityStructure {
       public:
         SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,
                                    const std::vector<Period>& swapTenors,

From 935f38b293e191f524e3dbc0f2ae0f841acf1d04 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 25 Feb 2012 20:50:45 +0000
Subject: [PATCH 363/410] delete circular references in inflation test cases

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18229 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/inflation.cpp                 |  5 +++-
 test-suite/inflationcapfloor.cpp         |  8 +++++-
 test-suite/inflationcapflooredcoupon.cpp |  6 ++++-
 test-suite/inflationcpicapfloor.cpp      |  9 ++++---
 test-suite/inflationcpiswap.cpp          |  9 ++++++-
 test-suite/inflationvolatility.cpp       | 31 +++++++++++++++++++++---
 6 files changed, 58 insertions(+), 10 deletions(-)

diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index d7ab08062a..283ab3d314 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -603,6 +603,8 @@ void InflationTest::testZeroTermStructure() {
                         << " discount " << nominalTS->discount(nzcisyes.maturityDate())
                         );
 
+    // remove circular refernce
+    hz.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
@@ -919,7 +921,8 @@ void InflationTest::testYYTermStructure() {
                             <<", legs "<< yyS3.legNPV(0) << " and " << yyS3.legNPV(1)
                             );
     }
-
+    // remove circular refernce
+    hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 void InflationTest::testPeriod() {
diff --git a/test-suite/inflationcapfloor.cpp b/test-suite/inflationcapfloor.cpp
index a41a9d0563..8a8b40916d 100644
--- a/test-suite/inflationcapfloor.cpp
+++ b/test-suite/inflationcapfloor.cpp
@@ -99,6 +99,7 @@ namespace {
 
         RelinkableHandle<YieldTermStructure> nominalTS;
         boost::shared_ptr<YoYInflationTermStructure> yoyTS;
+        RelinkableHandle<YoYInflationTermStructure> hy;
 
         // cleanup
 
@@ -135,7 +136,6 @@ namespace {
                 202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
                 207.3, -999.0, -999 };
             // link from yoy index to yoy TS
-            RelinkableHandle<YoYInflationTermStructure> hy;
             bool interp = false;
             iir = boost::shared_ptr<YYUKRPIr>(new YYUKRPIr(interp, hy));
             for (Size i=0; i<rpiSchedule.size();i++) {
@@ -406,6 +406,8 @@ void InflationCapFloorTest::testConsistency() {
         }
     }
     } // pricer loop
+    // remove circular refernce
+    vars.hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 
@@ -486,6 +488,8 @@ void InflationCapFloorTest::testParity() {
             }
         }
     }
+    // remove circular refernce
+    vars.hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 
@@ -558,6 +562,8 @@ void InflationCapFloorTest::testCachedValue() {
                         <<floor->NPV()<<" should be "<<cachedFloorNPVbac<<" bac Black pricer"
                         <<" diff was "<<(fabs(floor->NPV()-cachedFloorNPVbac)));
 
+    // remove circular refernce
+    vars.hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 
diff --git a/test-suite/inflationcapflooredcoupon.cpp b/test-suite/inflationcapflooredcoupon.cpp
index efe2967add..ae23ba50f2 100644
--- a/test-suite/inflationcapflooredcoupon.cpp
+++ b/test-suite/inflationcapflooredcoupon.cpp
@@ -106,6 +106,7 @@ namespace {
 
         RelinkableHandle<YieldTermStructure> nominalTS;
         boost::shared_ptr<YoYInflationTermStructure> yoyTS;
+        RelinkableHandle<YoYInflationTermStructure> hy;
 
         // cleanup
 
@@ -145,7 +146,6 @@ namespace {
                 202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
                 207.3, -999.0, -999 };
             // link from yoy index to yoy TS
-            RelinkableHandle<YoYInflationTermStructure> hy;
             bool interp = false;
             iir = boost::shared_ptr<YYUKRPIr>(new YYUKRPIr(interp, hy));
             for (Size i=0; i<rpiSchedule.size();i++) {
@@ -704,6 +704,8 @@ void InflationCapFlooredCouponTest::testDecomposition() {
                     << "\n" <<
                     "  Diff: " << error );
     }
+    // remove circular refernce
+    vars.hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 
@@ -811,6 +813,8 @@ void InflationCapFlooredCouponTest::testInstrumentEquality() {
             }
         }
     }
+    // remove circular refernce
+    vars.hy.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
 }
 
 
diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
index 2244800e68..146faf7d01 100644
--- a/test-suite/inflationcpicapfloor.cpp
+++ b/test-suite/inflationcpicapfloor.cpp
@@ -111,6 +111,7 @@ namespace {
 
         RelinkableHandle<YieldTermStructure> nominalUK;
         RelinkableHandle<ZeroInflationTermStructure> cpiUK;
+        RelinkableHandle<ZeroInflationTermStructure> hcpi;
 
         vector<Rate> cStrikesUK;
         vector<Rate> fStrikesUK;
@@ -163,7 +164,6 @@ namespace {
                 -999};
 
             // link from cpi index to cpi TS
-            RelinkableHandle<ZeroInflationTermStructure> hcpi;
             bool interp = false;// this MUST be false because the observation lag is only 2 months
                                 // for ZCIIS; but not for contract if the contract uses a bigger lag.
             ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
@@ -384,8 +384,8 @@ void InflationCPICapFloorTest::cpicapfloorpricesurface() {
         }
     }
 
-
-
+    // remove circular refernce
+    common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
@@ -445,6 +445,9 @@ void InflationCPICapFloorTest::cpicapfloorpricer() {
     Real cached = cpiCFsurfUKh->capPrice(d, strike);
     QL_REQUIRE(fabs(cached - aCap.NPV())<1e-10,"InterpolatingCPICapFloorEngine does not reproduce cached price: "
                << cached << " vs " << aCap.NPV());
+
+    // remove circular refernce
+    common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 9ecf67acb0..bccfc6d8d5 100644
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -83,6 +83,7 @@ namespace {
 
         RelinkableHandle<YieldTermStructure> nominalTS;
         boost::shared_ptr<ZeroInflationTermStructure> cpiTS;
+        RelinkableHandle<ZeroInflationTermStructure> hcpi;
 
         // cleanup
 
@@ -127,7 +128,6 @@ namespace {
                 -999.0, -999.0 };
 
             // link from cpi index to cpi TS
-            RelinkableHandle<ZeroInflationTermStructure> hcpi;
             bool interp = false;// this MUST be false because the observation lag is only 2 months
                                 // for ZCIIS; but not for contract if the contract uses a bigger lag.
             ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, hcpi));
@@ -350,6 +350,9 @@ void CPISwapTest::consistency() {
     Real diff = fabs(1-zisV.NPV()/4191660.0);
     QL_REQUIRE(diff<1e-5,
                "failed stored consistency value test, ratio = " << diff);
+
+    // remove circular refernce
+    common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
@@ -403,6 +406,8 @@ void CPISwapTest::zciisconsistency() {
     for (Size i=0; i<2; i++) {
         QL_REQUIRE(fabs(cS.legNPV(i)-zciis.legNPV(i))<1e-3,"zciis leg does not equal CPISwap leg");
     }
+    // remove circular refernce
+    common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
@@ -495,6 +500,8 @@ void CPISwapTest::cpibondconsistency() {
     cpiB.setPricingEngine(dbe);
 
     QL_REQUIRE(fabs(cpiB.NPV() - zisV.legNPV(0))<1e-5,"cpi bond does not equal equivalent cpi swap leg");
+    // remove circular refernce
+    common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
 }
 
 
diff --git a/test-suite/inflationvolatility.cpp b/test-suite/inflationvolatility.cpp
index 9d2bb3b7f0..5ef6a62761 100644
--- a/test-suite/inflationvolatility.cpp
+++ b/test-suite/inflationvolatility.cpp
@@ -69,8 +69,8 @@ namespace {
     boost::shared_ptr<Matrix> cPriceEU;
     boost::shared_ptr<Matrix> fPriceEU;
 
-    boost::shared_ptr<YoYInflationIndex> yoyIndexUK(new YYUKRPIr(true, yoyUK));
-    boost::shared_ptr<YoYInflationIndex> yoyIndexEU(new YYEUHICPr(true, yoyEU));
+    boost::shared_ptr<YoYInflationIndex> yoyIndexUK;
+    boost::shared_ptr<YoYInflationIndex> yoyIndexEU;
 
     vector<Rate> cStrikesUK;
     vector<Rate> fStrikesUK;
@@ -80,6 +80,27 @@ namespace {
 
     boost::shared_ptr<InterpolatedYoYCapFloorTermPriceSurface<Bicubic,Cubic> > priceSurfEU;
 
+    void reset() {
+        nominalEUR = Handle<YieldTermStructure>();
+        nominalGBP = Handle<YieldTermStructure>();
+        priceSurfEU.reset();
+        yoyEU.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
+        yoyUK.linkTo(boost::shared_ptr<YoYInflationTermStructure>());
+        yoyIndexUK.reset();
+        yoyIndexEU.reset();
+        cPriceEU.reset();
+        fPriceEU.reset();
+        cPriceUK.reset();
+        fPriceUK.reset();
+        yoyIndexUK.reset();
+
+        cStrikesEU.clear();        
+        fStrikesEU.clear();
+        cStrikesUK.clear();        
+        fStrikesUK.clear();
+        cfMaturitiesEU.clear();
+        cfMaturitiesUK.clear();
+    }
 
     void setup() {
 
@@ -87,6 +108,9 @@ namespace {
         Date eval = Date(Day(23), Month(11), Year(2007));
         Settings::instance().evaluationDate() = eval;
 
+        yoyIndexUK = boost::shared_ptr<YoYInflationIndex>(new YYUKRPIr(true, yoyUK));
+        yoyIndexEU = boost::shared_ptr<YoYInflationIndex>(new YYEUHICPr(true, yoyEU));
+
         // nominal yield curve (interpolated; times assume year parts have 365 days)
         Real timesEUR[] = {0.0109589, 0.0684932, 0.263014, 0.317808, 0.567123, 0.816438,
                1.06575, 1.31507, 1.56438, 2.0137, 3.01918, 4.01644,
@@ -344,6 +368,7 @@ void InflationVolTest::testYoYPriceSurfaceToVol() {
                         << someOtherSlice.second[i]<< " vs " << volATyear3[i] );
     }
 
+    reset();
 }
 
 
@@ -389,7 +414,7 @@ void InflationVolTest::testYoYPriceSurfaceToATM() {
                    << priceSurfEU->atmYoYRate(yyATMd.first[i]) << " vs " << ayoy[i]
                    <<" at "<<yyATMd.first[i]);
     }
-
+    reset();
 }
 
 

From 75a0e462a5dc7728995c222ab1e90961739c6a2b Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 25 Feb 2012 21:17:43 +0000
Subject: [PATCH 364/410] fixed gcc 4.6.2 warnings

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18230 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/assetswap.cpp                 |  4 ----
 test-suite/blackdeltacalculator.cpp      | 12 +-----------
 test-suite/cashflows.cpp                 |  2 +-
 test-suite/compoundoption.cpp            |  2 --
 test-suite/inflationcapfloor.cpp         |  4 ----
 test-suite/inflationcapflooredcoupon.cpp |  2 --
 test-suite/inflationcpiswap.cpp          |  3 ---
 test-suite/inflationvolatility.cpp       |  2 --
 test-suite/margrabeoption.cpp            |  2 --
 test-suite/swaption.cpp                  |  3 +--
 test-suite/swingoption.cpp               |  2 +-
 test-suite/timeseries.cpp                |  2 +-
 test-suite/volatilitymodels.cpp          |  2 +-
 13 files changed, 6 insertions(+), 36 deletions(-)

diff --git a/test-suite/assetswap.cpp b/test-suite/assetswap.cpp
index c797971d5b..022229021a 100644
--- a/test-suite/assetswap.cpp
+++ b/test-suite/assetswap.cpp
@@ -1403,7 +1403,6 @@ void AssetSwapTest::testZSpread() {
     setCouponPricer(floatingBond1->cashflows(), vars.pricer);
     vars.iborIndex->addFixing(Date(27,March,2007), 0.0402);
     Real floatingBondImpliedValue1 = floatingBond1->cleanPrice();
-    Date floatingBondSettlementDate1= floatingBond1->settlementDate();
     // standard market conventions:
     // bond's frequency + coumpounding and daycounter of the YieldCurve
     Real floatingBondCleanPrice1 = BondFunctions::cleanPrice(
@@ -1445,7 +1444,6 @@ void AssetSwapTest::testZSpread() {
     setCouponPricer(floatingBond2->cashflows(), vars.pricer);
     vars.iborIndex->addFixing(Date(22,March,2007), 0.04013);
     Real floatingBondImpliedValue2 = floatingBond2->cleanPrice();
-    Date floatingBondSettlementDate2= floatingBond2->settlementDate();
     // standard market conventions:
     // bond's frequency + coumpounding and daycounter of the YieldCurve
     Real floatingBondCleanPrice2 = BondFunctions::cleanPrice(
@@ -2596,7 +2594,6 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
     setCouponPricer(floatingBond1->cashflows(), vars.pricer);
     vars.iborIndex->addFixing(Date(27,March,2007), 0.0402);
     Real floatingBondImpliedValue1 = floatingBond1->cleanPrice();
-    Date floatingBondSettlementDate1= floatingBond1->settlementDate();
     // standard market conventions:
     // bond's frequency + coumpounding and daycounter of the YieldCurve
     Real floatingBondCleanPrice1 = BondFunctions::cleanPrice(
@@ -2645,7 +2642,6 @@ void AssetSwapTest::testZSpreadWithGenericBond() {
     setCouponPricer(floatingBond2->cashflows(), vars.pricer);
     vars.iborIndex->addFixing(Date(22,March,2007), 0.04013);
     Real floatingBondImpliedValue2 = floatingBond2->cleanPrice();
-    Date floatingBondSettlementDate2= floatingBond2->settlementDate();
     // standard market conventions:
     // bond's frequency + coumpounding and daycounter of the YieldCurve
     Real floatingBondCleanPrice2 = BondFunctions::cleanPrice(
diff --git a/test-suite/blackdeltacalculator.cpp b/test-suite/blackdeltacalculator.cpp
index f4331fb92b..cc608ebe13 100644
--- a/test-suite/blackdeltacalculator.cpp
+++ b/test-suite/blackdeltacalculator.cpp
@@ -197,14 +197,9 @@ void BlackDeltaCalculatorTest::testDeltaPriceConsistency() {
     Real discFor        =0.0;
     Real discDom        =0.0;
     Real implVol        =0.0;
-    Real spot           =0.0;
-    Real qRate          =0.0;
-    Real rRate          =0.0;
-    Real vol            =0.0;
     Real expectedVal    =0.0;
     Real calculatedVal  =0.0;
     Real error          =0.0;
-    Real forward        =0.0;
 
     boost::shared_ptr<SimpleQuote> spotQuote(new SimpleQuote(0.0));
     Handle<Quote> spotHandle(spotQuote);
@@ -248,7 +243,6 @@ void BlackDeltaCalculatorTest::testDeltaPriceConsistency() {
         discDom =rTS->discount(exDate);
         discFor =qTS->discount(exDate);
         implVol =sqrt(volTS->blackVariance(exDate,0.0));
-        forward =spotQuote->value()*discFor/discDom;
 
         BlackDeltaCalculator myCalc(values[i].type, DeltaVolQuote::PaSpot,
                                     spotQuote->value(),
@@ -378,10 +372,6 @@ void BlackDeltaCalculatorTest::testPutCallParity(){
     Real discFor        =0.0;
     Real discDom        =0.0;
     Real implVol        =0.0;
-    Real spot           =0.0;
-    Real qRate          =0.0;
-    Real rRate          =0.0;
-    Real vol            =0.0;
     Real deltaCall      =0.0;
     Real deltaPut       =0.0;
     Real expectedDiff   =0.0;
@@ -494,7 +484,7 @@ void BlackDeltaCalculatorTest::testPutCallParity(){
         deltaPut=myCalc.deltaFromStrike(values[i].strike);;
         myCalc.setOptionType(Option::Call);
 
-        expectedDiff=expectedDiff=values[i].strike/forward;
+        expectedDiff=values[i].strike/forward;
         calculatedDiff=deltaCall-deltaPut;
         error=std::fabs(expectedDiff-calculatedDiff);
 
diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index 201e9a0d1e..2fff6b4a78 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -206,7 +206,7 @@ void CashFlowsTest::testAccessViolation() {
 
     try {
         // this caused an access violation in version 1.0
-        Real amount = coupon->amount();
+        coupon->amount();
     } catch (Error&) {
         // ok; proper exception thrown
     }
diff --git a/test-suite/compoundoption.cpp b/test-suite/compoundoption.cpp
index 0ed5d9129c..33d97918ed 100644
--- a/test-suite/compoundoption.cpp
+++ b/test-suite/compoundoption.cpp
@@ -112,7 +112,6 @@ void CompoundOptionTest::testPutCallParity(){
 
     DayCounter dc = Actual360();
     Date todaysDate = Date::todaysDate();
-    Date settlementDate=todaysDate;
 
     boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
     boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
@@ -248,7 +247,6 @@ void CompoundOptionTest::testValues(){
 
     DayCounter dc = Actual360();
     Date todaysDate = Date::todaysDate();
-    Date settlementDate=todaysDate;
 
     boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
     boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
diff --git a/test-suite/inflationcapfloor.cpp b/test-suite/inflationcapfloor.cpp
index 8a8b40916d..a006afb4f1 100644
--- a/test-suite/inflationcapfloor.cpp
+++ b/test-suite/inflationcapfloor.cpp
@@ -300,8 +300,6 @@ void InflationCapFloorTest::testConsistency() {
     Rate floor_rates[] = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
     Volatility vols[] = { 0.001, 0.005, 0.010, 0.015, 0.020 };
 
-    Date startDate = vars.nominalTS->referenceDate();
-
     for (Size whichPricer = 0; whichPricer < 3; whichPricer++) {
     for (Size i=0; i<LENGTH(lengths); i++) {
         for (Size j=0; j<LENGTH(cap_rates); j++) {
@@ -430,8 +428,6 @@ void InflationCapFloorTest::testParity() {
     // yoy inflation vol is generally very low
     Volatility vols[] = { 0.001, 0.005, 0.010, 0.015, 0.020 };
 
-    Date startDate = vars.nominalTS->referenceDate();
-
     // cap-floor-swap parity is model-independent
     for (Size whichPricer = 0; whichPricer < 3; whichPricer++) {
         for (Size i=0; i<LENGTH(lengths); i++) {
diff --git a/test-suite/inflationcapflooredcoupon.cpp b/test-suite/inflationcapflooredcoupon.cpp
index ae23ba50f2..52777ca885 100644
--- a/test-suite/inflationcapflooredcoupon.cpp
+++ b/test-suite/inflationcapflooredcoupon.cpp
@@ -721,8 +721,6 @@ void InflationCapFlooredCouponTest::testInstrumentEquality() {
     // yoy inflation vol is generally very low
     Volatility vols[] = { 0.001, 0.005, 0.010, 0.015, 0.020 };
 
-    Date startDate = vars.nominalTS->referenceDate();
-
     // this is model independent
     // capped coupon = fwd - cap, and fwd = swap(0)
     // floored coupon = fwd + floor
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index bccfc6d8d5..903d5fa9ba 100644
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -297,7 +297,6 @@ void CPISwapTest::consistency() {
                  fixedRate, baseCPI, fixedDayCount, fixedSchedule,
                  fixedPaymentConvention, contractObservationLag,
                  fixedIndex, observationInterpolation);
-    Date baseDate = floatSchedule[0] - contractObservationLag;
     Date asofDate = Settings::instance().evaluationDate();
 
     Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
@@ -460,8 +459,6 @@ void CPISwapTest::cpibondconsistency() {
                  fixedRate, baseCPI, fixedDayCount, fixedSchedule,
                  fixedPaymentConvention, contractObservationLag,
                  fixedIndex, observationInterpolation);
-    Date baseDate = floatSchedule[0] - contractObservationLag;
-    Date asofDate = Settings::instance().evaluationDate();
 
     Real floatFix[] = {0.06255,0.05975,0.0637,0.018425,0.0073438,-1,-1};
     Real cpiFix[] = {211.4,217.2,211.4,213.4,-2,-2};
diff --git a/test-suite/inflationvolatility.cpp b/test-suite/inflationvolatility.cpp
index 5ef6a62761..77021ccabb 100644
--- a/test-suite/inflationvolatility.cpp
+++ b/test-suite/inflationvolatility.cpp
@@ -384,8 +384,6 @@ void InflationVolTest::testYoYPriceSurfaceToATM() {
 
     setupPriceSurface();
 
-    Date eval = Settings::instance().evaluationDate();
-
     pair<vector<Time>, vector<Rate> > yyATMt = priceSurfEU->atmYoYSwapTimeRates();
     pair<vector<Date>, vector<Rate> > yyATMd = priceSurfEU->atmYoYSwapDateRates();
 
diff --git a/test-suite/margrabeoption.cpp b/test-suite/margrabeoption.cpp
index c45d23286a..585825b8eb 100644
--- a/test-suite/margrabeoption.cpp
+++ b/test-suite/margrabeoption.cpp
@@ -544,8 +544,6 @@ void MargrabeOptionTest::testAmericanExchangeTwoAssets() {
     boost::shared_ptr<SimpleQuote> vol2(new SimpleQuote(0.0));
     boost::shared_ptr<BlackVolTermStructure> volTS2 = flatVol(today, vol2, dc);
 
-    Real tolerance = 1.0e-4;
-
     for (Size i=0; i<LENGTH(values); i++) {
 
         Date exDate = today + Integer(values[i].t*360+0.5);
diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
index 4d053f6825..5e82170bfd 100644
--- a/test-suite/swaption.cpp
+++ b/test-suite/swaption.cpp
@@ -833,8 +833,7 @@ void SwaptionTest::testImpliedVolatility() {
             Date exerciseDate = vars.calendar.advance(vars.today,exercises[i]);
             Date startDate = vars.calendar.advance(exerciseDate,
                                                    vars.settlementDays, Days);
-            Date maturity = vars.calendar.advance(startDate, lengths[j],
-                                                  vars.floatingConvention);
+
             for (Size t=0; t<LENGTH(strikes); t++) {
                 for (Size k=0; k<LENGTH(type); k++) {
                     boost::shared_ptr<VanillaSwap> swap =
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index eae2c6958d..608513ce75 100644
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -166,7 +166,7 @@ void SwingOptionTest::testFdmExponentialJump1dMesher() {
             = std::lower_bound(path.begin(), path.end(), x);
         const Real q = std::distance(path.begin(), iter)/Real(n);
         QL_REQUIRE(std::fabs(q - v) < relTol1
-                    || (v < threshold) && std::fabs(q-v) < relTol2,
+                   || ((v < threshold) && std::fabs(q-v) < relTol2),
                     "can not reproduce jump distribution");
     }
 }
diff --git a/test-suite/timeseries.cpp b/test-suite/timeseries.cpp
index 463cbfcdfb..8e407c9bdd 100644
--- a/test-suite/timeseries.cpp
+++ b/test-suite/timeseries.cpp
@@ -150,7 +150,7 @@ void TimeSeriesTest::testIterators() {
 
     d = d0;
     for (size_t i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
-        if (ts1[d] != i) {
+        if (ts1[d] != int(i)) {
             BOOST_ERROR("value does not match");
         }
     }
diff --git a/test-suite/volatilitymodels.cpp b/test-suite/volatilitymodels.cpp
index f326a6f450..2dc4947d68 100644
--- a/test-suite/volatilitymodels.cpp
+++ b/test-suite/volatilitymodels.cpp
@@ -42,7 +42,7 @@ void VolatilityModelsTest::testConstruction() {
 
     ConstantEstimator ce(1);
     TimeSeries<Volatility> sv = ce.calculate(locale);
-    TimeSeries<Volatility>::const_iterator cur = sv.begin();
+    sv.begin();
 }
 
 test_suite* VolatilityModelsTest::suite() {

From f32a414ee0238c5d5722ac28a57b5d9f4f787c59 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 26 Feb 2012 10:21:36 +0000
Subject: [PATCH 365/410] fixed gcc 4.6.2 warnings

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18231 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/cashflows/cpicoupon.cpp                          |  1 -
 ql/cashflows/yoyinflationcoupon.cpp                 |  1 -
 .../perturbativebarrieroptionengine.cpp             |  3 +--
 ql/experimental/commodities/energybasisswap.cpp     |  1 -
 ql/experimental/commodities/energyvanillaswap.cpp   |  1 -
 ql/experimental/credit/basket.cpp                   |  1 -
 .../continuousarithmeticasianlevyengine.cpp         |  2 --
 .../inflation/cpicapfloortermpricesurface.cpp       |  4 ++--
 .../inflation/interpolatedyoyoptionletstripper.hpp  |  2 ++
 ql/experimental/variancegamma/fftengine.cpp         |  1 -
 .../integralhestonvarianceoptionengine.cpp          | 13 +++----------
 ql/instruments/cpiswap.cpp                          |  5 +++--
 ql/instruments/inflationcapfloor.cpp                |  2 --
 ql/math/optimization/linesearchbasedmethod.cpp      |  3 +--
 ql/math/optimization/spherecylinder.cpp             |  7 -------
 .../shortrate/calibrationhelpers/swaptionhelper.cpp |  1 -
 ql/pricingengines/credit/integralcdsengine.cpp      |  2 --
 .../inflation/inflationcapfloorengines.cpp          |  1 -
 ql/termstructures/inflation/inflationhelpers.cpp    |  1 -
 ql/termstructures/inflationtermstructure.cpp        | 12 ++++++------
 ql/termstructures/yield/fittedbonddiscountcurve.cpp |  2 --
 21 files changed, 18 insertions(+), 48 deletions(-)

diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
index 8dc0e79cd6..ae667b41f3 100644
--- a/ql/cashflows/cpicoupon.cpp
+++ b/ql/cashflows/cpicoupon.cpp
@@ -254,7 +254,6 @@ namespace QuantLib {
                        "no fixedRates or spreads given");
 
             Date refStart, start, refEnd, end;
-            Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
 
             for (Size i=0; i<n; ++i) {
                 refStart = start = schedule_.date(i);
diff --git a/ql/cashflows/yoyinflationcoupon.cpp b/ql/cashflows/yoyinflationcoupon.cpp
index 5972661bf1..0e61a49acd 100644
--- a/ql/cashflows/yoyinflationcoupon.cpp
+++ b/ql/cashflows/yoyinflationcoupon.cpp
@@ -167,7 +167,6 @@ namespace QuantLib {
         Calendar calendar = paymentCalendar_;
 
         Date refStart, start, refEnd, end;
-        Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
 
         for (Size i=0; i<n; ++i) {
             refStart = start = schedule_.date(i);
diff --git a/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp b/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp
index ca9375ca9d..ce290ff475 100644
--- a/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp
+++ b/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp
@@ -77,7 +77,7 @@ namespace {
     {
         double v0=0.0, v1=0.0, v1p=0.0, v2p=0.0, v2pp=0.0, gm=0.0;
         int i=0,j=0;
-        double tmp=0.0, tau=0.0, e1=0.0, e2=0.0, e3=0.0, e4=0.0;
+        double tmp=0.0, e1=0.0, e2=0.0, e3=0.0, e4=0.0;
         double xstar=0.0, s0=0.0;
         double sigmat=0.0, disc=0.0, d1=0.0,d2=0.0,d3=0.0,d4=0.0;
         double et=0.0,tt=0.0, dt=0.0,p=0.0;
@@ -108,7 +108,6 @@ namespace {
         xstar=log(kprice/hbarr);
 
         if(xstar>0.0) xstar=0.0;
-        tau=taumax;
         sigmat=integs(taumin,taumax);
         disc=-integr(taumin,taumax);
 
diff --git a/ql/experimental/commodities/energybasisswap.cpp b/ql/experimental/commodities/energybasisswap.cpp
index ba3a515fad..e1091fd193 100644
--- a/ql/experimental/commodities/energybasisswap.cpp
+++ b/ql/experimental/commodities/energybasisswap.cpp
@@ -86,7 +86,6 @@ namespace QuantLib {
             paymentCashFlows_.clear();
 
             Date evaluationDate = Settings::instance().evaluationDate();
-            Date endDate = calendar_.adjust(pricingPeriods_.back()->endDate());
             const Currency& baseCurrency =
                 CommoditySettings::instance().currency();
             const UnitOfMeasure baseUnitOfMeasure =
diff --git a/ql/experimental/commodities/energyvanillaswap.cpp b/ql/experimental/commodities/energyvanillaswap.cpp
index 6c95de1109..921fb56bcb 100644
--- a/ql/experimental/commodities/energyvanillaswap.cpp
+++ b/ql/experimental/commodities/energyvanillaswap.cpp
@@ -74,7 +74,6 @@ namespace QuantLib {
             paymentCashFlows_.clear();
 
             Date evaluationDate = Settings::instance().evaluationDate();
-            Date endDate = calendar_.adjust(pricingPeriods_.back()->endDate());
             const Currency& baseCurrency =
                 CommoditySettings::instance().currency();
             const UnitOfMeasure baseUnitOfMeasure =
diff --git a/ql/experimental/credit/basket.cpp b/ql/experimental/credit/basket.cpp
index 80d0b4cbe4..90b22db843 100644
--- a/ql/experimental/credit/basket.cpp
+++ b/ql/experimental/credit/basket.cpp
@@ -256,7 +256,6 @@ namespace QuantLib {
 
     void Basket::updateScenarioLoss(bool zeroRecovery) {
         calculate();
-        Date today = Settings::instance().evaluationDate();
         for (Size i = 0; i < names_.size(); i++) {
             if (zeroRecovery)
                 scenarioLoss_[i].amount = notionals_[i];
diff --git a/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
index f8b50fb345..43b5234b2e 100644
--- a/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
+++ b/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
@@ -42,8 +42,6 @@ namespace QuantLib {
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "not an European Option");
 
-        Date today = Settings::instance().evaluationDate();
-
         DayCounter rfdc  = process_->riskFreeRate()->dayCounter();
         DayCounter divdc = process_->dividendYield()->dayCounter();
         DayCounter voldc = process_->blackVolatility()->dayCounter();
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
index eccfe95207..b1f1690011 100644
--- a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
@@ -39,9 +39,9 @@ namespace QuantLib {
 								const Matrix &fPrice)
     : InflationTermStructure(0, cal, baseRate, observationLag, zii->frequency(), 
 							 zii->interpolated(), yts, dc),
-      bdc_(bdc), zii_(zii),
+      zii_(zii),
       cStrikes_(cStrikes), fStrikes_(fStrikes),
-      cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice) {
+      cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice), bdc_(bdc) {
 
 		  // does the index have a TS?
 		  QL_REQUIRE(!zii_->zeroInflationTermStructure().empty(),"ZITS missing from index");
diff --git a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
index 3b0f634aa3..4da616f927 100644
--- a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
+++ b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
@@ -283,9 +283,11 @@ namespace QuantLib {
                                             helperInstruments) );
             testPW->recalculate();
             volCurves_.push_back(testPW);
+            /*
             for(Size j = 0; j < YoYCapFloorTermPriceSurface_->maturities().size(); j++) {
                 Date di =  helpers[j]->latestDate();
             }
+            */
         }
     }
 
diff --git a/ql/experimental/variancegamma/fftengine.cpp b/ql/experimental/variancegamma/fftengine.cpp
index 3afef0a9f2..5e1c12be03 100644
--- a/ql/experimental/variancegamma/fftengine.cpp
+++ b/ql/experimental/variancegamma/fftengine.cpp
@@ -141,7 +141,6 @@ namespace QuantLib {
 
             for (Size i=0; i<n; i++)
             {
-                Real k_u = -b + lambda_ * i;
                 Real v_j = eta * i;
                 Real sw = eta * (3.0 + ((i % 2) == 0 ? -1.0 : 1.0) - ((i == 0) ? 1.0 : 0.0)) / 3.0; 
 
diff --git a/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp b/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
index 59bda5ee81..03c976deae 100644
--- a/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
+++ b/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
@@ -54,7 +54,7 @@ namespace {
     double IvopOneDim(double eps, double chi, double theta, double rho,
                       double v0, double eprice, double tau, double rtax)
     {
-        double i0=0.0, x0=0.0, s=0.0,ss=0.0, kchi=0.0;
+        double i0=0.0,  s=0.0,ss=0.0;
         boost::scoped_array<double> xiv(new double[2048*2048+1]);
         double nris=0.0;
         int j=0,mm=0;
@@ -76,11 +76,9 @@ namespace {
          **********************************************************
          */
         i0=0.0;
-        x0=0.0;
         s=2.0*chi*theta/(eps*eps)-1.0;
 
         s=s+1;
-        kchi=chi-eps*0.5*rho;
 
         /*
          *************************************************
@@ -103,7 +101,6 @@ namespace {
         }
 
         ss=s+1;
-        kchi=chi-eps*0.5*rho;
 
         /*
          *************************************************
@@ -203,7 +200,7 @@ namespace {
                     double v0, double tau, double rtax,
                     const boost::function<double(double)>& payoff) {
 
-        double i0=0.0, x0=0.0, s=0.0,ss=0.0, kchi=0.0;
+        double i0=0.0, s=0.0,ss=0.0;
         boost::scoped_array<double> xiv(new double[2048*2048+1]);
         boost::scoped_array<double> ivet(new double[2048*2048+1]);
         double nris=0.0;
@@ -213,7 +210,7 @@ namespace {
         double dstep=0;
         double ip=0;
         double payoffval=0;
-        double option=0, impart=0;
+        double option=0;
 
         double sumr=0,sumi=0;
         Complex dxi,z;
@@ -232,10 +229,8 @@ namespace {
          **********************************************************
          */
         i0=0.0;
-        x0=0.0;
         s=2.0*chi*theta/(eps*eps)-1.0;
         s=s+1;
-        kchi=chi-eps*0.5*rho;
 
         /*
          *************************************************
@@ -259,7 +254,6 @@ namespace {
         }
 
         ss=s+1;
-        kchi=chi-eps*0.5*rho;
 
         /*
          *************************************************
@@ -347,7 +341,6 @@ namespace {
         sumi=sumi*nris;
 
         option=std::exp(-rtax*tau)*sumr;
-        impart=sumi;
         //QL_ENSURE(impart <= 1e-3,
         //          "imaginary part option (must be close to zero) = " << impart);
         return option;
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
index 75fb01a37c..9db27bce58 100644
--- a/ql/instruments/cpiswap.cpp
+++ b/ql/instruments/cpiswap.cpp
@@ -63,8 +63,9 @@ namespace QuantLib {
     floatPaymentRoll_(floatPaymentRoll), fixingDays_(fixingDays),
     floatIndex_(floatIndex),
     fixedRate_(fixedRate), baseCPI_(baseCPI), fixedDayCount_(fixedDayCount), fixedSchedule_(fixedSchedule),
-    fixedPaymentRoll_(fixedPaymentRoll), observationLag_(observationLag),
-    fixedIndex_(fixedIndex), observationInterpolation_(observationInterpolation)
+    fixedPaymentRoll_(fixedPaymentRoll), 
+    fixedIndex_(fixedIndex), observationLag_(observationLag),
+      observationInterpolation_(observationInterpolation)
     {
         QL_REQUIRE(floatSchedule_.size()>0,"empty float schedule");
         QL_REQUIRE(fixedSchedule_.size()>0,"empty fixed schedule");
diff --git a/ql/instruments/inflationcapfloor.cpp b/ql/instruments/inflationcapfloor.cpp
index 5af86614e2..4878a48af3 100644
--- a/ql/instruments/inflationcapfloor.cpp
+++ b/ql/instruments/inflationcapfloor.cpp
@@ -150,8 +150,6 @@ namespace QuantLib {
 
         arguments->type = type_;
 
-        Date today = Settings::instance().evaluationDate();
-
         for (Size i=0; i<n; ++i) {
             shared_ptr<YoYInflationCoupon> coupon =
             boost::dynamic_pointer_cast<YoYInflationCoupon>(
diff --git a/ql/math/optimization/linesearchbasedmethod.cpp b/ql/math/optimization/linesearchbasedmethod.cpp
index ac462dc1d0..2b5ccf7517 100644
--- a/ql/math/optimization/linesearchbasedmethod.cpp
+++ b/ql/math/optimization/linesearchbasedmethod.cpp
@@ -49,7 +49,7 @@ namespace QuantLib {
 
         // function and squared norm of gradient values;
         Real fnew, fold, gold2;
-        Real fdiff, normdiff;
+        Real fdiff;
         // classical initial value for line-search step
         Real t = 1.0;
         // Set gradient g at the size of the optimization problem
@@ -89,7 +89,6 @@ namespace QuantLib {
                 direction = getUpdatedDirection(P, gold2, prevGradient);
 
                 sddiff = direction - lineSearch_->searchDirection();
-                normdiff = std::sqrt(DotProduct(sddiff, sddiff));
                 lineSearch_->searchDirection() = direction;
                 // Now compute accuracy and check end criteria
                 // Numerical Recipes exit strategy on fx (see NR in C++, p.423)
diff --git a/ql/math/optimization/spherecylinder.cpp b/ql/math/optimization/spherecylinder.cpp
index 69f1cbf34b..77a3051fc3 100644
--- a/ql/math/optimization/spherecylinder.cpp
+++ b/ql/math/optimization/spherecylinder.cpp
@@ -32,9 +32,6 @@ namespace QuantLib {
                            Real tolerance,
                            Size maxIt,
                            const F& objectiveFunction) {
-
-            Real leftValue = objectiveFunction(low);
-            Real rightValue = objectiveFunction(high);
             Real W = 0.5*(3.0-std::sqrt(5.0));
             Real x = W*low+(1-W)*high;
             if (mid > low && mid < high)
@@ -51,12 +48,10 @@ namespace QuantLib {
 
                     if (tentativeNewMidValue < midValue) { // go left
                         high =x;
-                        rightValue = midValue;
                         x = tentativeNewMid;
                         midValue = tentativeNewMidValue;
                     } else { // go right
                         low = tentativeNewMid;
-                        leftValue = tentativeNewMidValue;
                     }
                 } else {
                     Real tentativeNewMid = W*x+(1-W)*high;
@@ -65,12 +60,10 @@ namespace QuantLib {
 
                     if (tentativeNewMidValue < midValue) { // go right
                         low =x;
-                        leftValue = midValue;
                         x = tentativeNewMid;
                         midValue = tentativeNewMidValue;
                     } else { // go left
                         high = tentativeNewMid;
-                        rightValue = tentativeNewMidValue;
                     }
                 }
                 ++iterations;
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index a144ecc29f..3ab11a6b98 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -41,7 +41,6 @@ namespace QuantLib {
     : CalibrationHelper(volatility,termStructure, errorType) {
 
         Calendar calendar = index->fixingCalendar();
-        Period indexTenor = index->tenor();
         Natural fixingDays = index->fixingDays();
         Date exerciseDate = calendar.advance(termStructure->referenceDate(),
                                              maturity,
diff --git a/ql/pricingengines/credit/integralcdsengine.cpp b/ql/pricingengines/credit/integralcdsengine.cpp
index 366004a630..f5af24f626 100644
--- a/ql/pricingengines/credit/integralcdsengine.cpp
+++ b/ql/pricingengines/credit/integralcdsengine.cpp
@@ -87,8 +87,6 @@ namespace QuantLib {
                  endDate = coupon->accrualEndDate();
             Date effectiveStartDate =
                 (startDate <= today && today <= endDate) ? today : startDate;
-            Date defaultDate = // mid-point
-                effectiveStartDate + (endDate-effectiveStartDate)/2;
             Real couponAmount = coupon->amount();
 
             Probability S = probability_->survivalProbability(paymentDate);
diff --git a/ql/pricingengines/inflation/inflationcapfloorengines.cpp b/ql/pricingengines/inflation/inflationcapfloorengines.cpp
index 46f600c29c..479c34dc35 100644
--- a/ql/pricingengines/inflation/inflationcapfloorengines.cpp
+++ b/ql/pricingengines/inflation/inflationcapfloorengines.cpp
@@ -54,7 +54,6 @@ namespace QuantLib {
         std::vector<Real> stdDevs(optionlets, 0.0);
         std::vector<Real> forwards(optionlets, 0.0);
         YoYInflationCapFloor::Type type = arguments_.type;
-        Date today = volatility_->referenceDate();
 
         Handle<YoYInflationTermStructure> yoyTS
         = index()->yoyInflationTermStructure();
diff --git a/ql/termstructures/inflation/inflationhelpers.cpp b/ql/termstructures/inflation/inflationhelpers.cpp
index abe43373db..56fe401a98 100644
--- a/ql/termstructures/inflation/inflationhelpers.cpp
+++ b/ql/termstructures/inflation/inflationhelpers.cpp
@@ -199,7 +199,6 @@ namespace QuantLib {
         Rate fixedRate = quote()->value();
 
         Real nominal = 1000000.0;   // has to be something but doesn't matter what
-        Date start = y->nominalTermStructure()->referenceDate();
         yyiis_.reset(new YearOnYearInflationSwap(YearOnYearInflationSwap::Payer,
                                                     nominal,
                                                     fixedSchedule,
diff --git a/ql/termstructures/inflationtermstructure.cpp b/ql/termstructures/inflationtermstructure.cpp
index e5fdf6502b..847c077c13 100644
--- a/ql/termstructures/inflationtermstructure.cpp
+++ b/ql/termstructures/inflationtermstructure.cpp
@@ -30,9 +30,9 @@ namespace QuantLib {
                                         const Handle<YieldTermStructure>& yTS,
                                         const DayCounter& dayCounter,
                                         const boost::shared_ptr<Seasonality> &seasonality)
-    : TermStructure(dayCounter), nominalTermStructure_(yTS),
+    : TermStructure(dayCounter),
       observationLag_(observationLag), frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
-      baseRate_(baseRate) {
+      baseRate_(baseRate), nominalTermStructure_(yTS) {
         registerWith(nominalTermStructure_);
         setSeasonality(seasonality);
     }
@@ -48,9 +48,9 @@ namespace QuantLib {
                                         const DayCounter& dayCounter,
                                         const boost::shared_ptr<Seasonality> &seasonality)
     : TermStructure(referenceDate, calendar, dayCounter),
-      nominalTermStructure_(yTS), observationLag_(observationLag),
+      observationLag_(observationLag),
       frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
-      baseRate_(baseRate) {
+      baseRate_(baseRate), nominalTermStructure_(yTS) {
         registerWith(nominalTermStructure_);
         setSeasonality(seasonality);
     }
@@ -66,9 +66,9 @@ namespace QuantLib {
                                         const DayCounter &dayCounter,
                                         const boost::shared_ptr<Seasonality> &seasonality)
     : TermStructure(settlementDays, calendar, dayCounter),
-      nominalTermStructure_(yTS), observationLag_(observationLag),
+      observationLag_(observationLag),
       frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
-      baseRate_(baseRate) {
+      baseRate_(baseRate), nominalTermStructure_(yTS) {
         registerWith(nominalTermStructure_);
         setSeasonality(seasonality);
     }
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
index 86c0e9a2f1..211a869fb5 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.cpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -181,8 +181,6 @@ namespace QuantLib {
 
     void FittedBondDiscountCurve::FittingMethod::init() {
 
-        Date refDate  = curve_->referenceDate();
-
         // yield conventions
         DayCounter yieldDC = curve_->dayCounter();
         Compounding yieldComp = Compounded;

From 3c1e7cc772defbae3d11ea9f3e5e86b9d30a8564 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 26 Feb 2012 10:24:13 +0000
Subject: [PATCH 366/410] fixed gcc 4.6.2 warnings

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18232 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructure.cpp | 7 +++----
 1 file changed, 3 insertions(+), 4 deletions(-)

diff --git a/ql/termstructure.cpp b/ql/termstructure.cpp
index c48ceb917d..91b02e7ffd 100644
--- a/ql/termstructure.cpp
+++ b/ql/termstructure.cpp
@@ -31,16 +31,15 @@ namespace QuantLib {
     TermStructure::TermStructure(const Date& referenceDate,
                                  const Calendar& cal,
                                  const DayCounter& dc)
-    : moving_(false), calendar_(cal),
-      referenceDate_(referenceDate), updated_(true),
+    : moving_(false), updated_(true), calendar_(cal),
+      referenceDate_(referenceDate),
       settlementDays_(Null<Natural>()),
       dayCounter_(dc) {}
 
     TermStructure::TermStructure(Natural settlementDays,
                                  const Calendar& cal,
                                  const DayCounter& dc)
-    : moving_(true), calendar_(cal),
-      updated_(false),
+    : moving_(true), updated_(false), calendar_(cal),
       settlementDays_(settlementDays),
       dayCounter_(dc) {
         registerWith(Settings::instance().evaluationDate());

From 29cfcc4f5d4b60755c8cbb80db1eac06b46301ff Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 7 Mar 2012 08:27:53 +0000
Subject: [PATCH 367/410] Merged R01020x-branch/QuantLib

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18238 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ChangeLog.txt                                 | 2853 ++++++++++++++++-
 Contributors.txt                              |   12 +
 Docs/pages/authors.docs                       |   12 +
 Docs/pages/history.docs                       |  108 +-
 Docs/pages/index.docs                         |    2 +-
 Docs/pages/license.docs                       |   15 +-
 Docs/quantlib.css                             |  711 +++-
 Docs/quantlib.doxy                            |   21 +-
 Examples/MarketModels/MarketModels.cpp        |    2 -
 LICENSE.TXT                                   |   15 +-
 Makefile.am                                   |    1 +
 News.txt                                      |  154 +-
 ql/cashflow.cpp                               |   10 +
 ql/cashflows/cashflows.cpp                    |    8 +-
 ql/cashflows/cpicouponpricer.cpp              |    8 +-
 ql/cashflows/cpicouponpricer.hpp              |    6 +-
 ql/config.msvc.hpp                            |    3 -
 ql/event.cpp                                  |   12 +-
 .../commodities/energybasisswap.cpp           |    1 +
 .../commodities/energyvanillaswap.cpp         |    1 +
 .../exoticoptions/kirkspreadoptionengine.cpp  |   48 +-
 .../exoticoptions/kirkspreadoptionengine.hpp  |    2 +-
 .../fdmexpextouinnervaluecalculator.hpp       |    2 +
 .../finitedifferences/fdmextoujumpsolver.hpp  |    1 +
 .../finitedifferences/fdmklugeextouop.hpp     |    2 +
 .../fdsimpleextoustorageengine.hpp            |    1 +
 .../inflation/cpicapfloortermpricesurface.cpp |   53 +-
 .../inflation/cpicapfloortermpricesurface.hpp |  390 +--
 .../interpolatedyoyoptionletstripper.hpp      |    5 -
 .../extendedornsteinuhlenbeckprocess.cpp      |   30 +-
 .../processes/klugeextouprocess.cpp           |    2 +-
 .../integralhestonvarianceoptionengine.cpp    |    9 +-
 ql/indexes/swapindex.cpp                      |   62 +-
 ql/indexes/swapindex.hpp                      |   12 +-
 ql/instruments/assetswap.cpp                  |    2 +-
 ql/instruments/bond.cpp                       |    6 +-
 ql/instruments/cpiswap.cpp                    |    6 +-
 .../sparseilupreconditioner.cpp               |    2 +-
 .../randomnumbers/inversecumulativersg.hpp    |    2 +-
 .../meshers/fdmsimpleprocess1dmesher.hpp      |    1 +
 ql/pricingengines/blackformula.cpp            |   33 +-
 ql/pricingengines/blackformula.hpp            |   12 +-
 .../bond/discountingbondengine.cpp            |   23 +-
 .../capfloor/analyticcapfloorengine.cpp       |    2 +-
 .../swap/discountingswapengine.cpp            |    2 +-
 ql/settings.cpp                               |   10 +-
 ql/settings.hpp                               |   37 +-
 .../inflation/cpivolatilitystructure.hpp      |    2 +-
 ql/time/calendars/sweden.cpp                  |    4 +-
 ql/time/calendars/sweden.hpp                  |    2 +-
 ql/time/schedule.cpp                          |   24 +-
 test-suite/Makefile.am                        |    1 +
 test-suite/blackdeltacalculator.cpp           |    2 +-
 test-suite/cashflows.cpp                      |   10 +-
 test-suite/inflationcpicapfloor.hpp           |   12 +-
 test-suite/inflationcpiswap.cpp               |   17 +
 test-suite/inflationcpiswap.hpp               |   14 +-
 test-suite/quantlibtestsuite.cpp              |    6 +-
 test-suite/schedule.cpp                       |  123 +
 test-suite/schedule.hpp                       |   36 +
 test-suite/swingoption.cpp                    |   94 +-
 test-suite/swingoption.hpp                    |    6 +-
 test-suite/testsuite.dev                      |   21 +-
 test-suite/testsuite_vc10.vcxproj             |    2 +
 test-suite/testsuite_vc10.vcxproj.filters     |    6 +
 test-suite/testsuite_vc7.vcproj               |    6 +
 test-suite/testsuite_vc8.vcproj               |    8 +
 test-suite/testsuite_vc9.vcproj               |    8 +
 test-suite/timeseries.cpp                     |    4 +-
 test-suite/vpp.cpp                            |    8 +-
 70 files changed, 4354 insertions(+), 774 deletions(-)
 create mode 100644 test-suite/schedule.cpp
 create mode 100644 test-suite/schedule.hpp

diff --git a/ChangeLog.txt b/ChangeLog.txt
index 7e4af2c6eb..d20c0465c0 100644
--- a/ChangeLog.txt
+++ b/ChangeLog.txt
@@ -1,148 +1,2794 @@
-2011-03-22 11:33  Ferdinando Ametrano
+2012-02-22 09:14  Luigi Ballabio
 
-	* [r17672] ql/termstructures/yield/ratehelpers.cpp,
+	* [r18218] Docs/pages/index.docs, Docs/quantlib.css,
+	  Docs/quantlib.doxy:
+	  
+	  Updated CSS for new doxygen version.
+
+2012-02-15 12:00  Luigi Ballabio
+
+	* [r18213] ql/cashflows/cashflows.cpp:
+	  
+	  Added default value for settlement date.
+	  
+	  This was already done in the other functions.
+	  Thanks to Peter Caspers for the heads-up.
+
+2012-02-13 17:21  Luigi Ballabio
+
+	* [r18211] ql/instruments/bond.cpp:
+	  
+	  Fixed expiration check.
+	  
+	  The check now uses the passed settlement date instead of
+	  today's one.
+	  
+	  Thanks to Dagur Gunnarsson for the heads-up.
+
+2012-02-09 13:58  Luigi Ballabio
+
+	* [r18210] test-suite/blackdeltacalculator.cpp,
+	  test-suite/swingoption.cpp, test-suite/timeseries.cpp:
+	  
+	  Fixed a few miscellaneous warnings
+
+2012-02-09 13:58  Luigi Ballabio
+
+	* [r18209] ql/experimental/inflation/cpicapfloortermpricesurface.cpp,
+	  ql/indexes/interestrateindex.cpp, ql/instruments/cpiswap.cpp,
+	  ql/termstructure.cpp, ql/termstructures/inflationtermstructure.cpp:
+	  
+	  Fixed initialization order
+
+2012-02-09 13:56  Luigi Ballabio
+
+	* [r18208] Examples/MarketModels/MarketModels.cpp,
+	  ql/cashflows/cpicoupon.cpp, ql/cashflows/yoyinflationcoupon.cpp,
+	  ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp,
+	  ql/experimental/commodities/energybasisswap.cpp,
+	  ql/experimental/commodities/energyvanillaswap.cpp,
+	  ql/experimental/credit/basket.cpp,
+	  ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp,
+	  ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp,
+	  ql/experimental/variancegamma/fftengine.cpp,
+	  ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp,
+	  ql/instruments/inflationcapfloor.cpp,
+	  ql/math/optimization/linesearchbasedmethod.cpp,
+	  ql/math/optimization/spherecylinder.cpp,
+	  ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp,
+	  ql/pricingengines/credit/integralcdsengine.cpp,
+	  ql/pricingengines/inflation/inflationcapfloorengines.cpp,
+	  ql/termstructures/inflation/inflationhelpers.cpp,
+	  ql/termstructures/yield/fittedbonddiscountcurve.cpp,
+	  test-suite/assetswap.cpp, test-suite/blackdeltacalculator.cpp,
+	  test-suite/cashflows.cpp, test-suite/compoundoption.cpp,
+	  test-suite/inflationcapfloor.cpp,
+	  test-suite/inflationcapflooredcoupon.cpp,
+	  test-suite/inflationcpiswap.cpp, test-suite/inflationvolatility.cpp,
+	  test-suite/margrabeoption.cpp, test-suite/swaption.cpp,
+	  test-suite/volatilitymodels.cpp:
+	  
+	  Removed unused variables
+
+2012-02-08 16:09  Ferdinando Ametrano
+
+	* [r18206] ql/pricingengines/blackformula.cpp:
+	  
+	  extended error message
+
+2012-02-07 18:55  Ferdinando Ametrano
+
+	* [r18205] ql/pricingengines/blackformula.cpp:
+	  
+	  improved error message
+
+2012-02-07 18:52  Ferdinando Ametrano
+
+	* [r18204] ql/pricingengines/blackformula.cpp,
+	  ql/pricingengines/blackformula.hpp:
+	  
+	  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
+
+2012-02-06 09:42  Ferdinando Ametrano
+
+	* [r18198] ql/patterns/lazyobject.hpp:
+	  
+	  added Luca Billi's comment about preventing infinite recursion
+
+2012-02-03 15:01  Ferdinando Ametrano
+
+	* [r18195] ql/cashflow.cpp:
+	  
+	  performance improvement
+
+2012-01-31 16:11  Ferdinando Ametrano
+
+	* [r18194] ql/settings.hpp:
+	  
+	  ooops... fixed typo
+
+2012-01-31 15:56  Ferdinando Ametrano
+
+	* [r18193] ql/event.cpp,
+	  ql/pricingengines/bond/discountingbondengine.cpp,
+	  ql/pricingengines/capfloor/analyticcapfloorengine.cpp,
+	  ql/pricingengines/swap/discountingswapengine.cpp, ql/settings.cpp,
+	  ql/settings.hpp, test-suite/cashflows.cpp:
+	  
+	  renamed includeReferenceDateCashFlows as includeReferenceDateEvents
+
+2012-01-31 15:43  Ferdinando Ametrano
+
+	* [r18192] ql/event.cpp:
+	  
+	  cleaned up variable name
+
+2012-01-31 14:25  Luigi Ballabio
+
+	* [r18191] ql/time/schedule.cpp, test-suite/schedule.cpp,
+	  test-suite/schedule.hpp:
+	  
+	  Don't adjust end date to EOM if Unadjusted convention is given.
+
+2012-01-26 14:23  Ferdinando Ametrano
+
+	* [r18189] ql/math/randomnumbers/inversecumulativersg.hpp:
+	  
+	  fixed comment
+
+2012-01-26 13:28  Luigi Ballabio
+
+	* [r18188] ql/config.msvc.hpp,
+	  ql/math/matrixutilities/sparseilupreconditioner.cpp:
+	  
+	  Backported uBlas fix for VC10.
+	  
+	  VC10 now builds cleanly with uBlas enabled.
+
+2012-01-17 10:54  Luigi Ballabio
+
+	* [r18181] ql/time/schedule.cpp, test-suite/Makefile.am,
+	  test-suite/quantlibtestsuite.cpp, test-suite/schedule.cpp,
+	  test-suite/schedule.hpp, test-suite/testsuite.dev,
+	  test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  Check for duplicate dates in schedule.
+	  
+	  When using daily frequency, consecutive dates might be
+	  adjusted to the same business day resulting in duplicates.
+	  This is now prevented.
+	  
+	  Thanks to Simone Medori for reporting the problem.
+
+2012-01-10 15:30  Ferdinando Ametrano
+
+	* [r18158] ql/instruments/assetswap.cpp:
+	  
+	  fixed bug.
+	  For the inquiring minds: Rev18001 tried to fix a bug about
+	  payer/receiver not taken into account for par asset swap, but it did
+	  it with the wrong sign and introduced a bug in the market asset
+	  swap; Rev18012 fixed the former, this commit the latter. I know i
+	  should have setup the unit-test before... I'll do it!
+
+2011-12-28 10:23  Luigi Ballabio
+
+	* [r18148] ql/pricingengines/bond/discountingbondengine.cpp:
+	  
+	  Avoid repeated NPV calculation if possible (thanks to Stephen Wong).
+
+2011-12-20 17:30  Luigi Ballabio
+
+	* [r18140] ql/cashflows/cashflows.cpp:
+	  
+	  Keep curve extrapolation settings during z-spread finding.
+	  
+	  Thanks to Barbados for the heads-up.
+
+2011-12-19 15:41  Ferdinando Ametrano
+
+	* [r18136] ql/patterns/lazyobject.hpp:
+	  
+	  - fixed bug in the update method: non-lazy observers received
+	  obsolete data because of calculated_ being still false
+	  - improved unfreeze method to avoid multiple useless notifications
+	  (we could/should avoiding all notifications if we didn't lose any
+	  change, but for this a status variable should be introduced)
+
+2011-12-18 20:05  Klaus Spanderen
+
+	* [r18135] test-suite/vpp.cpp:
+	  
+	  fixed test suite (removed todaysDate)
+
+2011-12-15 17:19  Luigi Ballabio
+
+	* [r18133] ql/time/calendars/sweden.cpp, ql/time/calendars/sweden.hpp:
+	  
+	  Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
+
+2011-12-15 17:19  Luigi Ballabio
+
+	* [r18132] test-suite/vpp.cpp:
+	  
+	  Cleaned up test-suite output.
+
+2011-12-15 17:19  Luigi Ballabio
+
+	* [r18131] test-suite/inflationcpiswap.cpp:
+	  
+	  Added missing copyright notice.
+
+2011-12-15 17:19  Luigi Ballabio
+
+	* [r18130] ql/cashflows/cpicouponpricer.cpp,
+	  ql/cashflows/cpicouponpricer.hpp,
+	  ql/experimental/exoticoptions/kirkspreadoptionengine.cpp,
+	  ql/experimental/exoticoptions/kirkspreadoptionengine.hpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.cpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.hpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp,
+	  test-suite/inflationcpicapfloor.hpp,
+	  test-suite/inflationcpiswap.hpp, test-suite/quantlibtestsuite.cpp,
+	  test-suite/swingoption.cpp, test-suite/swingoption.hpp:
+	  
+	  Replaced hard tabs with spaces.
+
+2011-12-15 17:18  Luigi Ballabio
+
+	* [r18129] Docs/pages/license.docs, LICENSE.TXT:
+	  
+	  Updated list of copyright holders.
+
+2011-12-15 17:18  Luigi Ballabio
+
+	* [r18128] ql/experimental/processes/klugeextouprocess.cpp:
+	  
+	  Fixed copyright notice
+
+2011-12-15 17:18  Luigi Ballabio
+
+	* [r18127]
+	  ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp,
+	  ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp:
+	  
+	  Enforced self-consistency of header files.
+
+2011-12-01 10:19  Luigi Ballabio
+
+	* [r18125]
+	  
+	  Release branch for QuantLib 1.2.x
+
+2011-11-14 15:51  Ferdinando Ametrano
+
+	* [r18107] ql/pricingengines/swaption/blackswaptionengine.cpp:
+	  
+	  fixed bug
+
+2011-11-10 11:19  Luigi Ballabio
+
+	* [r18104] ql/time/calendars/southkorea.cpp,
+	  ql/time/calendars/southkorea.hpp:
+	  
+	  Added South Korea holidays for 2011/2012.
+	  
+	  Thanks to Charles Chongseok Hyun and Faycal El Karaa.
+
+2011-11-08 09:36  Ferdinando Ametrano
+
+	* [r18103] ql/instruments/bonds/floatingratebond.cpp,
+	  ql/instruments/bonds/floatingratebond.hpp:
+	  
+	  explicit variable name
+
+2011-11-05 14:11  Klaus Spanderen
+
+	* [r18102] ql/methods/montecarlo/multipathgenerator.hpp:
+	  
+	  remove local copy of the time grid
+
+2011-11-05 14:09  Klaus Spanderen
+
+	* [r18101] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  fixed order of initialization
+
+2011-11-04 18:03  Ferdinando Ametrano
+
+	* [r18100] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp:
+	  
+	  enabled forward coupon calculation for CCTEU
+
+2011-11-02 16:03  Luigi Ballabio
+
+	* [r18082] ql/utilities/vectors.hpp,
+	  test-suite/writerextensibleoption.cpp:
+	  
+	  Avoided type-conversion warnings on VC++10
+
+2011-11-02 16:02  Luigi Ballabio
+
+	* [r18081] ql/config.msvc.hpp:
+	  
+	  Prevented auto-linking of Boost libraries
+
+2011-11-02 10:04  Luigi Ballabio
+
+	* [r18080] ql/config.msvc.hpp:
+	  
+	  Unknown Microsoft compilers no longer cause an error.
+	  
+	  Now, a compiler with a version number higher than the latest
+	  known no longer raises an error. It might not work, but we
+	  give it a try anyway in the hope that it does work.
+
+2011-10-27 14:55  Luigi Ballabio
+
+	* [r18067] ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp,
+	  ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp,
+	  ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp,
+	  ql/experimental/finitedifferences/vanillavppoption.cpp,
+	  ql/experimental/finitedifferences/vanillavppoption.hpp,
+	  ql/experimental/inflation/cpicapfloorengines.cpp,
+	  ql/experimental/inflation/cpicapfloorengines.hpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.cpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.hpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/processes/extouwithjumpsprocess.cpp,
+	  ql/experimental/processes/extouwithjumpsprocess.hpp,
+	  ql/experimental/processes/gemanroncoroniprocess.cpp,
+	  ql/experimental/processes/gemanroncoroniprocess.hpp,
+	  ql/experimental/processes/klugeextouprocess.cpp,
+	  ql/experimental/processes/klugeextouprocess.hpp,
+	  ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp,
+	  ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp,
+	  ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp,
+	  ql/instruments/dividendbarrieroption.cpp,
+	  ql/instruments/dividendbarrieroption.hpp,
+	  ql/instruments/vanillastorageoption.hpp,
+	  ql/instruments/vanillaswingoption.cpp,
+	  ql/instruments/vanillaswingoption.hpp,
+	  ql/math/generallinearleastsquares.hpp,
+	  ql/math/matrixutilities/bicgstab.cpp,
+	  ql/math/matrixutilities/bicgstab.hpp,
+	  ql/math/matrixutilities/sparseilupreconditioner.cpp,
+	  ql/math/matrixutilities/sparseilupreconditioner.hpp,
+	  ql/methods/finitedifferences/meshers/Makefile.am,
+	  ql/methods/finitedifferences/meshers/all.hpp,
+	  ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdm1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp,
+	  ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp,
+	  ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/uniform1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/uniformgridmesher.cpp,
+	  ql/methods/finitedifferences/meshers/uniformgridmesher.hpp,
+	  ql/methods/finitedifferences/operators/Makefile.am,
+	  ql/methods/finitedifferences/operators/all.hpp,
+	  ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp,
+	  ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmbatesop.cpp,
+	  ql/methods/finitedifferences/operators/fdmbatesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmblackscholesop.cpp,
+	  ql/methods/finitedifferences/operators/fdmblackscholesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp,
+	  ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp,
+	  ql/methods/finitedifferences/operators/fdmhestonop.cpp,
+	  ql/methods/finitedifferences/operators/fdmhestonop.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearop.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp,
+	  ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp,
+	  ql/methods/finitedifferences/operators/firstderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/firstderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/ninepointlinearop.cpp,
+	  ql/methods/finitedifferences/operators/ninepointlinearop.hpp,
+	  ql/methods/finitedifferences/operators/secondderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/secondderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/triplebandlinearop.cpp,
+	  ql/methods/finitedifferences/operators/triplebandlinearop.hpp,
+	  ql/methods/finitedifferences/schemes/Makefile.am,
+	  ql/methods/finitedifferences/schemes/all.hpp,
+	  ql/methods/finitedifferences/schemes/craigsneydscheme.cpp,
+	  ql/methods/finitedifferences/schemes/craigsneydscheme.hpp,
+	  ql/methods/finitedifferences/schemes/douglasscheme.cpp,
+	  ql/methods/finitedifferences/schemes/douglasscheme.hpp,
+	  ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp,
+	  ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp,
+	  ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp,
+	  ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp,
+	  ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp,
+	  ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp,
+	  ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp,
+	  ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp,
+	  ql/methods/finitedifferences/solvers/Makefile.am,
+	  ql/methods/finitedifferences/solvers/all.hpp,
+	  ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmbatessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmbatessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmndimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp,
+	  ql/methods/finitedifferences/stepconditions/Makefile.am,
+	  ql/methods/finitedifferences/stepconditions/all.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp,
+	  ql/methods/finitedifferences/utilities/Makefile.am,
+	  ql/methods/finitedifferences/utilities/all.hpp,
+	  ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp,
+	  ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp,
+	  ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp,
+	  ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp,
+	  ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp,
+	  ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp,
+	  ql/methods/finitedifferences/utilities/fdmquantohelper.cpp,
+	  ql/methods/finitedifferences/utilities/fdmquantohelper.hpp,
+	  ql/pricingengines/asian/fdblackscholesasianengine.cpp,
+	  ql/pricingengines/asian/fdblackscholesasianengine.hpp,
+	  ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp,
+	  ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp,
+	  ql/pricingengines/barrier/fdblackscholesrebateengine.cpp,
+	  ql/pricingengines/barrier/fdblackscholesrebateengine.hpp,
+	  ql/pricingengines/barrier/fdhestonbarrierengine.cpp,
+	  ql/pricingengines/barrier/fdhestonbarrierengine.hpp,
+	  ql/pricingengines/barrier/fdhestonrebateengine.cpp,
+	  ql/pricingengines/barrier/fdhestonrebateengine.hpp,
+	  ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp,
+	  ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdbatesvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdbatesvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdhestonvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdhestonvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdsimplebsswingengine.cpp,
+	  ql/pricingengines/vanilla/fdsimplebsswingengine.hpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp,
+	  test-suite/inflationcpicapfloor.cpp,
+	  test-suite/inflationcpicapfloor.hpp,
+	  test-suite/inflationcpiswap.cpp, test-suite/inflationcpiswap.hpp,
+	  test-suite/swingoption.cpp, test-suite/swingoption.hpp,
+	  test-suite/vpp.cpp, test-suite/vpp.hpp:
+	  
+	  Fixed svn properties
+
+2011-10-27 12:52  Luigi Ballabio
+
+	* [r18065] ql/indexes/inflationindex.cpp,
+	  ql/indexes/inflationindex.hpp, test-suite/inflation.cpp:
+	  
+	  Better detection of forecast/past fixings for inflation indexes.
+	  
+	  When an interpolated index is asked for a fixing at the beginning
+	  of a month, the fixing for the following (which would have zero
+	  weight in the interpolation) is no longer required.
+	  Also, if a fixing is loaded in the index time series, it can be
+	  used even its observation lag has not fully elapsed.
+
+2011-10-27 12:51  Luigi Ballabio
+
+	* [r18061] ql/instruments/bond.cpp, ql/instruments/bond.hpp:
+	  
+	  Added startDate() inspector to Bond class.
+
+2011-10-27 12:51  Luigi Ballabio
+
+	* [r18060] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/time/daycounters/Makefile.am,
+	  ql/time/daycounters/business252.cpp,
+	  ql/time/daycounters/business252.hpp, test-suite/daycounters.cpp:
+	  
+	  Improved performance of business/252 day counter.
+	  
+	  The naive implementation would count the business days
+	  between two dates at each invocation. This one caches
+	  dynamically the count of business days for whole months
+	  and years, so that after a while only the first and last
+	  few days are counted. This improves the performance
+	  dramatically.
+
+2011-10-25 12:41  Luigi Ballabio
+
+	* [r18058] ql/indexes/iborindex.hpp:
+	  
+	  Moved forecastFixing(Date,Date,Time) overload to private section.
+	  
+	  When used with cached dates, this overload can give quite a
+	  performance boost to coupon calculations (see IborCoupon)
+	  but is potentially misleading: by passing the wrong dates,
+	  one can ask a 6-months index for a 1-year fixing.
+	  
+	  For that reason, we're making this method private and
+	  we're declaring the IborCoupon class (which uses it) as a
+	  friend.
+
+2011-10-24 09:10  Luigi Ballabio
+
+	* [r18057] ql/instruments/bonds/cpibond.cpp,
+	  ql/instruments/bonds/cpibond.hpp, ql/instruments/cpiswap.cpp,
+	  ql/instruments/cpiswap.hpp, test-suite/inflationcpiswap.cpp:
+	  
+	  Changed class-name capitalization.
+	  
+	  The change makes the names of CPISwap and CPIBond consistent
+	  with other class names.
+
+2011-10-24 09:10  Luigi Ballabio
+
+	* [r18056] ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp,
+	  ql/experimental/inflation/cpicapfloorengines.cpp,
+	  ql/experimental/inflation/cpicapfloorengines.hpp,
+	  ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp,
+	  ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp,
+	  ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp,
+	  test-suite/inflationcpicapfloor.cpp,
+	  test-suite/inflationcpiswap.cpp:
+	  
+	  Hard tab/whitespace cleanup.
+	  
+	  This was put in a separate commit to avoid confusing diffs.
+
+2011-10-24 09:09  Luigi Ballabio
+
+	* [r18055] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/cashflows/Makefile.am,
+	  ql/cashflows/all.hpp, ql/cashflows/baseindexedcashflow.cpp,
+	  ql/cashflows/baseindexedcashflow.hpp, ql/cashflows/cpicoupon.cpp,
+	  ql/cashflows/cpicoupon.hpp,
+	  ql/experimental/inflation/cpicapfloorengines.cpp,
+	  ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp,
+	  ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp,
+	  ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp,
+	  test-suite/inflationcpicapfloor.cpp,
+	  test-suite/inflationcpiswap.cpp:
+	  
+	  Renamed BaseIndexedCashFlow to less generic CPICashFlow.
+	  
+	  The cash flow is currently pretty much tied to CPI instruments,
+	  so I'd make this clear. We'll need another use case to be able
+	  to generalize.
+	  
+	  Also, the name was somewhat confusing. It was meant to convey
+	  the idea of base date and base level, but instead it suggested
+	  that it was a base class for indexed cash flows.
+
+2011-10-24 09:09  Luigi Ballabio
+
+	* [r18054] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/inflation/Makefile.am,
+	  ql/experimental/inflation/all.hpp,
+	  ql/experimental/inflation/cpicapfloorengines.cpp,
+	  ql/experimental/inflation/cpicapfloorengines.hpp,
+	  ql/pricingengines/inflation/Makefile.am,
+	  ql/pricingengines/inflation/all.hpp,
+	  ql/pricingengines/inflation/cpicapfloorengines.cpp,
+	  ql/pricingengines/inflation/cpicapfloorengines.hpp,
+	  test-suite/inflationcpicapfloor.cpp:
+	  
+	  Moved CPI cap-floor engine to experimental.
+	  
+	  It depends on an experimental price structure. Also, I'd like to
+	  understand better if we want this to really be an engine, since
+	  it doesn't actually calculate---it interpolates known prices.
+	  Of course, it's possible I'm just being picky.
+
+2011-10-24 09:08  Luigi Ballabio
+
+	* [r18053] ql/cashflows/cpicoupon.hpp:
+	  
+	  Removed unnecessary inclusion.
+
+2011-10-24 09:08  Luigi Ballabio
+
+	* [r18052] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/termstructures/volatility/inflation/Makefile.am,
+	  ql/termstructures/volatility/inflation/all.hpp,
+	  ql/termstructures/volatility/inflation/constantcpivolatility.cpp,
+	  ql/termstructures/volatility/inflation/constantcpivolatility.hpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp:
+	  
+	  Moved constant CPI-volatility structure to its own file.
+	  
+	  It was previously in the same file as its abstract base class.
+
+2011-10-24 09:01  Luigi Ballabio
+
+	* [r18051] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp,
+	  ql/experimental/inflation/Makefile.am,
+	  ql/experimental/inflation/all.hpp,
+	  ql/experimental/inflation/cpioptionletvolatilitystructure.cpp,
+	  ql/experimental/inflation/cpioptionletvolatilitystructure.hpp,
+	  ql/termstructures/volatility/inflation/Makefile.am,
+	  ql/termstructures/volatility/inflation/all.hpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp,
+	  ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp:
+	  
+	  Moved CPI-volatility interface to core library.
+	  
+	  This was required for CPI coupons to be allowed into core,
+	  along with the instruments depending on them (CPI swap, bond...)
+	  The interface of both coupons and volatility makes sense---it is
+	  based on the corresponding interest-rate entities---so I think
+	  it's ok to stabilize it.
+
+2011-10-23 20:33  Klaus Spanderen
+
+	* [r18050] test-suite/vpp.cpp:
+	  
+	  added VPP Longstaff-Schartz Monte-Carlo test case
+
+2011-10-18 10:46  Luigi Ballabio
+
+	* [r18047] ql/cashflows/couponpricer.cpp:
+	  
+	  Added the possibility to mark experimental inclusion as internal.
+	  
+	  For instance, in the case market in this changeset, the inclusion
+	  is made to allow visitation of the experimental coupons; but this
+	  doesn't affect exposed interfaces, so it is safe to leave it.
+
+2011-10-17 16:15  Luigi Ballabio
+
+	* [r18045]
+	  ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp:
+	  
+	  Included qldefines.hpp
+
+2011-10-14 11:35  Luigi Ballabio
+
+	* [r18041] acinclude.m4:
+	  
+	  Avoid warnings in newer autoconf versions.
+
+2011-10-12 16:18  Ferdinando Ametrano
+
+	* [r18034] ql/termstructures/yield/ratehelpers.cpp,
 	  ql/termstructures/yield/ratehelpers.hpp:
 	  
-	  added IMM-start IMM-end FutureRateHelper constructors
+	  inlined few functions and replicated comments to improve readability
+
+2011-10-12 16:17  Ferdinando Ametrano
+
+	* [r18033] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  renamed payFixedRate as payBondCoupon, since the Bond could be
+	  whatever kind
+
+2011-10-12 11:33  Luigi Ballabio
+
+	* [r18032]
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.hpp::
+	  
+	  Removed other leftovers
+
+2011-10-11 19:22  Luigi Ballabio
+
+	* [r18031] ., QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql,
+	  ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/bicgstab.cpp,
+	  ql/experimental/finitedifferences/bicgstab.hpp,
+	  ql/experimental/finitedifferences/concentrating1dmesher.cpp,
+	  ql/experimental/finitedifferences/concentrating1dmesher.hpp,
+	  ql/experimental/finitedifferences/craigsneydscheme.cpp,
+	  ql/experimental/finitedifferences/craigsneydscheme.hpp,
+	  ql/experimental/finitedifferences/dividendbarrieroption.cpp,
+	  ql/experimental/finitedifferences/dividendbarrieroption.hpp,
+	  ql/experimental/finitedifferences/douglasscheme.cpp,
+	  ql/experimental/finitedifferences/douglasscheme.hpp,
+	  ql/experimental/finitedifferences/expliciteulerscheme.cpp,
+	  ql/experimental/finitedifferences/expliciteulerscheme.hpp,
+	  ql/experimental/finitedifferences/exponentialjump1dmesher.cpp,
+	  ql/experimental/finitedifferences/exponentialjump1dmesher.hpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp,
+	  ql/experimental/finitedifferences/fdm1dmesher.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.cpp,
+	  ql/experimental/finitedifferences/fdmbackwardsolver.hpp,
+	  ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.hpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.cpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.hpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholesmesher.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholesmesher.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholesop.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.cpp,
+	  ql/experimental/finitedifferences/fdmdirichletboundary.hpp,
+	  ql/experimental/finitedifferences/fdmdividendhandler.cpp,
+	  ql/experimental/finitedifferences/fdmdividendhandler.hpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonop.cpp,
+	  ql/experimental/finitedifferences/fdmhestonop.hpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp,
+	  ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.cpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmlinearop.hpp,
+	  ql/experimental/finitedifferences/fdmlinearopcomposite.hpp,
+	  ql/experimental/finitedifferences/fdmlinearopiterator.hpp,
+	  ql/experimental/finitedifferences/fdmlinearoplayout.cpp,
+	  ql/experimental/finitedifferences/fdmlinearoplayout.hpp,
+	  ql/experimental/finitedifferences/fdmmesher.hpp,
+	  ql/experimental/finitedifferences/fdmmeshercomposite.cpp,
+	  ql/experimental/finitedifferences/fdmmeshercomposite.hpp,
+	  ql/experimental/finitedifferences/fdmndimsolver.hpp,
+	  ql/experimental/finitedifferences/fdmquantohelper.cpp,
+	  ql/experimental/finitedifferences/fdmquantohelper.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp,
+	  ql/experimental/finitedifferences/fdmsnapshotcondition.cpp,
+	  ql/experimental/finitedifferences/fdmsnapshotcondition.hpp,
+	  ql/experimental/finitedifferences/fdmsolverdesc.hpp,
+	  ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp,
+	  ql/experimental/finitedifferences/firstderivativeop.cpp,
+	  ql/experimental/finitedifferences/firstderivativeop.hpp,
+	  ql/experimental/finitedifferences/hundsdorferscheme.cpp,
+	  ql/experimental/finitedifferences/hundsdorferscheme.hpp,
+	  ql/experimental/finitedifferences/impliciteulerscheme.cpp,
+	  ql/experimental/finitedifferences/impliciteulerscheme.hpp,
+	  ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp,
+	  ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp,
+	  ql/experimental/finitedifferences/ninepointlinearop.cpp,
+	  ql/experimental/finitedifferences/ninepointlinearop.hpp,
+	  ql/experimental/finitedifferences/secondderivativeop.cpp,
+	  ql/experimental/finitedifferences/secondderivativeop.hpp,
+	  ql/experimental/finitedifferences/secondordermixedderivativeop.cpp,
+	  ql/experimental/finitedifferences/secondordermixedderivativeop.hpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.cpp,
+	  ql/experimental/finitedifferences/sparseilupreconditioner.hpp,
+	  ql/experimental/finitedifferences/triplebandlinearop.cpp,
+	  ql/experimental/finitedifferences/triplebandlinearop.hpp,
+	  ql/experimental/finitedifferences/uniform1dmesher.hpp,
+	  ql/experimental/finitedifferences/uniformgridmesher.cpp,
+	  ql/experimental/finitedifferences/uniformgridmesher.hpp,
+	  ql/instruments/Makefile.am, ql/instruments/all.hpp,
+	  ql/instruments/dividendbarrieroption.cpp,
+	  ql/instruments/dividendbarrieroption.hpp,
+	  ql/math/matrixutilities/Makefile.am,
+	  ql/math/matrixutilities/all.hpp,
+	  ql/math/matrixutilities/bicgstab.cpp,
+	  ql/math/matrixutilities/bicgstab.hpp,
+	  ql/math/matrixutilities/sparseilupreconditioner.cpp,
+	  ql/math/matrixutilities/sparseilupreconditioner.hpp,
+	  ql/methods/finitedifferences/Makefile.am,
+	  ql/methods/finitedifferences/all.hpp,
+	  ql/methods/finitedifferences/meshers,
+	  ql/methods/finitedifferences/meshers/Makefile.am,
+	  ql/methods/finitedifferences/meshers/all.hpp,
+	  ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdm1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmmesher.hpp,
+	  ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp,
+	  ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp,
+	  ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp,
+	  ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/uniform1dmesher.hpp,
+	  ql/methods/finitedifferences/meshers/uniformgridmesher.cpp,
+	  ql/methods/finitedifferences/meshers/uniformgridmesher.hpp,
+	  ql/methods/finitedifferences/operators,
+	  ql/methods/finitedifferences/operators/Makefile.am,
+	  ql/methods/finitedifferences/operators/all.hpp,
+	  ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp,
+	  ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmbatesop.cpp,
+	  ql/methods/finitedifferences/operators/fdmbatesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmblackscholesop.cpp,
+	  ql/methods/finitedifferences/operators/fdmblackscholesop.hpp,
+	  ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp,
+	  ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp,
+	  ql/methods/finitedifferences/operators/fdmhestonop.cpp,
+	  ql/methods/finitedifferences/operators/fdmhestonop.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearop.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp,
+	  ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp,
+	  ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp,
+	  ql/methods/finitedifferences/operators/firstderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/firstderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/ninepointlinearop.cpp,
+	  ql/methods/finitedifferences/operators/ninepointlinearop.hpp,
+	  ql/methods/finitedifferences/operators/secondderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/secondderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp,
+	  ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp,
+	  ql/methods/finitedifferences/operators/triplebandlinearop.cpp,
+	  ql/methods/finitedifferences/operators/triplebandlinearop.hpp,
+	  ql/methods/finitedifferences/schemes,
+	  ql/methods/finitedifferences/schemes/Makefile.am,
+	  ql/methods/finitedifferences/schemes/all.hpp,
+	  ql/methods/finitedifferences/schemes/craigsneydscheme.cpp,
+	  ql/methods/finitedifferences/schemes/craigsneydscheme.hpp,
+	  ql/methods/finitedifferences/schemes/douglasscheme.cpp,
+	  ql/methods/finitedifferences/schemes/douglasscheme.hpp,
+	  ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp,
+	  ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp,
+	  ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp,
+	  ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp,
+	  ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp,
+	  ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp,
+	  ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp,
+	  ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp,
+	  ql/methods/finitedifferences/solvers,
+	  ql/methods/finitedifferences/solvers/Makefile.am,
+	  ql/methods/finitedifferences/solvers/all.hpp,
+	  ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmbatessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmbatessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmndimsolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp,
+	  ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp,
+	  ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp,
+	  ql/methods/finitedifferences/stepconditions,
+	  ql/methods/finitedifferences/stepconditions/Makefile.am,
+	  ql/methods/finitedifferences/stepconditions/all.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp,
+	  ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp,
+	  ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp,
+	  ql/methods/finitedifferences/utilities,
+	  ql/methods/finitedifferences/utilities/Makefile.am,
+	  ql/methods/finitedifferences/utilities/all.hpp,
+	  ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp,
+	  ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp,
+	  ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp,
+	  ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp,
+	  ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp,
+	  ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp,
+	  ql/methods/finitedifferences/utilities/fdmquantohelper.cpp,
+	  ql/methods/finitedifferences/utilities/fdmquantohelper.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/pricingengines/asian/Makefile.am,
+	  ql/pricingengines/asian/all.hpp,
+	  ql/pricingengines/asian/fdblackscholesasianengine.cpp,
+	  ql/pricingengines/asian/fdblackscholesasianengine.hpp,
+	  ql/pricingengines/barrier/Makefile.am,
+	  ql/pricingengines/barrier/all.hpp,
+	  ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp,
+	  ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp,
+	  ql/pricingengines/barrier/fdblackscholesrebateengine.cpp,
+	  ql/pricingengines/barrier/fdblackscholesrebateengine.hpp,
+	  ql/pricingengines/barrier/fdhestonbarrierengine.cpp,
+	  ql/pricingengines/barrier/fdhestonbarrierengine.hpp,
+	  ql/pricingengines/barrier/fdhestonrebateengine.cpp,
+	  ql/pricingengines/barrier/fdhestonrebateengine.hpp,
+	  ql/pricingengines/basket/Makefile.am,
+	  ql/pricingengines/basket/all.hpp,
+	  ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp,
+	  ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/pricingengines/vanilla/Makefile.am,
+	  ql/pricingengines/vanilla/all.hpp,
+	  ql/pricingengines/vanilla/fdbatesvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdbatesvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdhestonvanillaengine.cpp,
+	  ql/pricingengines/vanilla/fdhestonvanillaengine.hpp,
+	  ql/pricingengines/vanilla/fdsimplebsswingengine.cpp,
+	  ql/pricingengines/vanilla/fdsimplebsswingengine.hpp,
+	  ql/processes/defaultable.hpp, test-suite,
+	  test-suite/asianoptions.cpp, test-suite/barrieroption.cpp,
+	  test-suite/basketoption.cpp, test-suite/batesmodel.cpp,
+	  test-suite/europeanoption.cpp, test-suite/fdheston.cpp,
+	  test-suite/fdmlinearop.cpp, test-suite/hestonmodel.cpp,
+	  test-suite/hybridhestonhullwhiteprocess.cpp,
+	  test-suite/swingoption.cpp, test-suite/testsuite.dev,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/vpp.cpp:
+	  
+	  Moved stable parts of 2D finite-difference framework to core
+	  library.
+	  
+	  More recent parts remain in experimental.
+	  Merge of the fd2migration branch.
+
+2011-10-08 23:24  Klaus Spanderen
+
+	* [r18021] test-suite/vpp.cpp:
+	  
+	  relax test case
+
+2011-10-08 15:33  Klaus Spanderen
+
+	* [r18019] ql/experimental/finitedifferences/bicgstab.cpp:
+	  
+	  test
+
+2011-10-06 14:03  Ferdinando Ametrano
+
+	* [r18016] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp:
+	  
+	  added nominal inspector
+
+2011-10-06 13:29  Ferdinando Ametrano
+
+	* [r18015] ql/termstructures/yieldtermstructure.cpp:
+	  
+	  allowed unsorted and expired jumps
+
+2011-10-06 13:28  Ferdinando Ametrano
+
+	* [r18014] test-suite/vpp.cpp:
+	  
+	  
+
+2011-10-06 13:25  Ferdinando Ametrano
+
+	* [r18012] ql/instruments/assetswap.cpp:
+	  
+	  fixed bug
+
+2011-10-03 16:18  Luigi Ballabio
+
+	* [r18011] QuantLib.spec.in:
+	  
+	  More tweaks for the RPM specs (thanks to Matt Fair).
+
+2011-10-01 11:13  Klaus Spanderen
+
+	* [r18009] ql/math/statistics/generalstatistics.hpp:
+	  
+	  add reserve method
+
+2011-09-16 17:16  Ferdinando Ametrano
+
+	* [r18002] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  introduced gearing in asset swap
+
+2011-09-16 16:19  Ferdinando Ametrano
+
+	* [r18001] ql/instruments/assetswap.cpp:
+	  
+	  fixed humongous bug
+
+2011-09-16 15:28  Ferdinando Ametrano
+
+	* [r18000] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  added fair non-par repayment calculation
+
+2011-09-16 15:25  Ferdinando Ametrano
+
+	* [r17999] ql/instruments/swap.cpp, ql/instruments/swap.hpp,
+	  ql/pricingengines/swap/discountingswapengine.cpp:
+	  
+	  added endDiscounts for fair end payment calculations
+
+2011-09-16 11:44  Ferdinando Ametrano
+
+	* [r17997] ql/processes/ornsteinuhlenbeckprocess.cpp,
+	  ql/processes/ornsteinuhlenbeckprocess.hpp:
+	  
+	  improved formatting
+
+2011-09-16 11:42  Ferdinando Ametrano
+
+	* [r17996] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  added new AssetSwap constructor with non-par repayment
+
+2011-09-15 17:47  Ferdinando Ametrano
+
+	* [r17994] test-suite/bin:
+	  
+	  ignored pdb files
+
+2011-09-15 17:46  Ferdinando Ametrano
+
+	* [r17992] ql/stochasticprocess.hpp:
+	  
+	  changed formatting
+
+2011-09-15 17:45  Ferdinando Ametrano
+
+	* [r17991] ql/termstructures/volatility/swaption/swaptionvolcube2.hpp:
+	  
+	  added comment
+
+2011-09-15 12:46  Luigi Ballabio
+
+	* [r17988] 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/saudiarabia.cpp,
+	  ql/time/calendars/saudiarabia.hpp, ql/time/calendars/taiwan.cpp,
+	  ql/time/calendars/taiwan.hpp:
+	  
+	  Added moving holidays for 2011.
+
+2011-09-15 08:16  Luigi Ballabio
+
+	* [r17986] ql/cashflows/baseindexedcashflow.hpp,
+	  ql/cashflows/cpicoupon.hpp, ql/cashflows/cpicouponpricer.hpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.hpp,
+	  ql/experimental/inflation/cpioptionletvolatilitystructure.hpp,
+	  ql/experimental/processes/extouwithjumpsprocess.hpp,
+	  ql/experimental/processes/gemanroncoroniprocess.hpp,
+	  ql/math/solvers1d/finitedifferencenewtonsafe.hpp:
+	  
+	  Documentation fixes.
+
+2011-09-14 16:39  Luigi Ballabio
+
+	* [r17984] QuantLib.spec.in:
+	  
+	  Removed old files from RPM spec.
+
+2011-09-14 13:57  Luigi Ballabio
+
+	* [r17981] QuantLib.spec.in, configure.ac:
+	  
+	  Fixed generation of RPM spec file (thanks to Matt Fair).
+
+2011-09-02 08:47  Klaus Spanderen
+
+	* [r17938] test-suite/vpp.cpp:
+	  
+	  corrected wrong expectation value
+
+2011-08-18 10:43  Luigi Ballabio
+
+	* [r17936] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/kirkspreadoptionengine.cpp,
+	  ql/experimental/exoticoptions/kirkspreadoptionengine.hpp,
+	  ql/experimental/exoticoptions/spreadoption.hpp,
+	  test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp,
+	  test-suite/spreadoption.cpp, test-suite/spreadoption.hpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  Added experimental spread option and related engine.
+	  
+	  Thanks to IMAFA students Meryem Chibo and Samad Abdessadki.
+
+2011-08-18 10:38  Luigi Ballabio
+
+	* [r17935] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp,
+	  ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp,
+	  ql/experimental/exoticoptions/writerextensibleoption.cpp,
+	  ql/experimental/exoticoptions/writerextensibleoption.hpp,
+	  test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp,
+	  test-suite/testsuite.dev, test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj,
+	  test-suite/writerextensibleoption.cpp,
+	  test-suite/writerextensibleoption.hpp:
+	  
+	  Added experimental writer-extensible option and related engine.
+	  
+	  Thanks to IMAFA students Delphine Bouthier, Marine Casanova,
+	  and Xavier Caron.
+
+2011-08-18 10:37  Luigi Ballabio
+
+	* [r17934] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/experimental/exoticoptions/Makefile.am,
+	  ql/experimental/exoticoptions/all.hpp,
+	  ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp,
+	  ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp,
+	  test-suite/asianoptions.cpp, test-suite/asianoptions.hpp:
+	  
+	  Added experimental Levy engine for continuous-averaging Asian
+	  options.
+	  
+	  Thanks to IMAFA students Yasmine Lahlou and Amine Samani.
+
+2011-08-12 20:47  Klaus Spanderen
+
+	* [r17933] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters, test-suite/vpp.cpp:
+	  
+	  vcxproj catch-up
+
+2011-08-12 10:32  Luigi Ballabio
+
+	* [r17930]
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:
+	  
+	  Added missing inclusion
+
+2011-08-08 12:50  Ferdinando Ametrano
+
+	* [r17922] QuantLib_vc9.vcproj:
+	  
+	  VC9 catching up
+
+2011-08-08 12:46  Ferdinando Ametrano
+
+	* [r17921] QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj:
+	  
+	  VC9 catching up
+
+2011-08-07 20:45  Klaus Spanderen
+
+	* [r17920] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp,
+	  ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp,
+	  ql/experimental/finitedifferences/ninepointlinearop.cpp,
+	  ql/experimental/finitedifferences/vanillavppoption.cpp,
+	  ql/experimental/finitedifferences/vanillavppoption.hpp,
+	  ql/experimental/processes/Makefile.am,
+	  ql/experimental/processes/all.hpp,
+	  ql/experimental/processes/klugeextouprocess.cpp,
+	  ql/experimental/processes/klugeextouprocess.hpp,
+	  ql/instruments/Makefile.am, ql/instruments/vanillaswingoption.cpp,
+	  ql/instruments/vanillaswingoption.hpp, test-suite/Makefile.am,
+	  test-suite/quantlibtestsuite.cpp, test-suite/swingoption.cpp,
+	  test-suite/swingoption.hpp, test-suite/vpp.cpp, test-suite/vpp.hpp:
+	  
+	  added finite difference engine for simple vpp's
+
+2011-08-02 12:25  Luigi Ballabio
+
+	* [r17917] ql/instruments/makeswaption.cpp:
+	  
+	  Added missing method implementation (thanks to Leon Sit.)
+
+2011-08-01 12:36  Luigi Ballabio
+
+	* [r17916] ql/termstructures/yield/nonlinearfittingmethods.cpp,
+	  ql/termstructures/yield/nonlinearfittingmethods.hpp:
+	  
+	  Fixed Svensson fitting formula.
+	  
+	  Thanks to Wasi (whoever that is) and Rahul Kanchi.
+
+2011-08-01 11:23  Ferdinando Ametrano
+
+	* [r17915] ql/experimental/finitedifferences/fdmbatesop.cpp:
+	  
+	  cleaned up code
+
+2011-08-01 11:18  Ferdinando Ametrano
+
+	* [r17914] ql/handle.hpp:
+	  
+	  deprecated unsafe constructor
+
+2011-08-01 11:17  Ferdinando Ametrano
+
+	* [r17913] ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.hpp:
+	  
+	  cleaned up code
+
+2011-08-01 10:26  Ferdinando Ametrano
+
+	* [r17912] ql/pricingengines/swap/discountingswapengine.cpp:
+	  
+	  avoided useless try/catch
+
+2011-07-21 09:54  Ferdinando Ametrano
+
+	* [r17907] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp:
+	  
+	  added CCTEU and slimmer BTP constructor
+
+2011-07-20 11:17  Ferdinando Ametrano
+
+	* [r17905] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  
+
+2011-07-20 11:16  Ferdinando Ametrano
+
+	* [r17904] ql/instruments/assetswap.cpp:
+	  
+	  removed redundant include
+
+2011-07-20 10:47  Ferdinando Ametrano
+
+	* [r17903] ql/instruments/assetswap.cpp:
+	  
+	  added few using std:: and boost:: directives
+
+2011-07-20 10:46  Ferdinando Ametrano
+
+	* [r17902] ql/instruments/assetswap.hpp:
+	  
+	  removed useless include (if needed by some platform/compiler please
+	  remove the alternative forward declaration)
+
+2011-07-20 09:32  Luigi Ballabio
+
+	* [r17901] ql/termstructures/inflationtermstructure.hpp:
+	  
+	  Moved data members back to protected section.
+	  
+	  If QL_DISABLE_DEPRECATED is defined, they're private instead.
+
+2011-07-19 14:48  Luigi Ballabio
+
+	* [r17895] QuantLib.dev, QuantLib_vc10.vcxproj,
+	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
+	  QuantLib_vc8.vcproj, QuantLib_vc9.vcproj,
+	  ql/methods/finitedifferences/Makefile.am,
+	  ql/methods/finitedifferences/all.hpp,
+	  ql/methods/finitedifferences/trbdf2.hpp:
+	  
+	  Added TR-BDF2 finite-difference scheme (thanks to Fabien Le Floc'h.)
+
+2011-07-18 09:37  Luigi Ballabio
+
+	* [r17892] ql/time/schedule.cpp, ql/time/schedule.hpp:
+	  
+	  Replaced overloaded constructor with factory method.
+
+2011-07-14 16:49  Ferdinando Ametrano
+
+	* [r17889] QuantLib_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj:
+	  
+	  - enabled debug information in release configurations
+	  - moved pdb files near their executables for easier (user) retrieval
+	  - added /OPT:REF to eliminate functions and/or data never referenced
+	  from binaries
+
+2011-07-14 14:57  Ferdinando Ametrano
+
+	* [r17886] ql/time/schedule.cpp, ql/time/schedule.hpp:
+	  
+	  added truncated Schedule constructor (and removed unused private
+	  data member)
+
+2011-07-13 08:08  Ferdinando Ametrano
+
+	* [r17884] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters,
+	  QuantLib_vc9.vcproj:
+	  
+	  VC9 and VC10 catching up
+
+2011-07-13 07:58  Ferdinando Ametrano
+
+	* [r17883] test-suite/testsuite_vc9.vcproj:
+	  
+	  added /OPT:REF to eliminate functions and/or data never referenced
+	  from binaries
+
+2011-07-12 20:44  Klaus Spanderen
+
+	* [r17882] test-suite/swingoption.cpp, test-suite/swingoption.hpp:
+	  
+	  added vpp step condition and test case to calculate the intrinsic
+	  value
+
+2011-07-12 20:43  Klaus Spanderen
+
+	* [r17881] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdm1dmesher.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmdividendhandler.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp,
+	  ql/experimental/finitedifferences/fdmhestonop.cpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmmesher.hpp,
+	  ql/experimental/finitedifferences/fdmmeshercomposite.cpp,
+	  ql/experimental/finitedifferences/fdmmeshercomposite.hpp,
+	  ql/experimental/finitedifferences/fdmndimsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmvppstepcondition.hpp,
+	  ql/experimental/finitedifferences/firstderivativeop.cpp,
+	  ql/experimental/finitedifferences/ninepointlinearop.cpp,
+	  ql/experimental/finitedifferences/ninepointlinearop.hpp,
+	  ql/experimental/finitedifferences/secondderivativeop.cpp,
+	  ql/experimental/finitedifferences/secondordermixedderivativeop.cpp,
+	  ql/experimental/finitedifferences/triplebandlinearop.cpp,
+	  ql/experimental/finitedifferences/uniformgridmesher.cpp:
+	  
+	  added vpp step condition and test case to calculate the intrinsic
+	  value
+
+2011-07-12 17:31  Ferdinando Ametrano
+
+	* [r17880] test-suite/testsuite_vc9.vcproj:
+	  
+	  moved pdb files near their executables for easier (user) retrieval
+	  (the compiler knows their location anyway...)
+
+2011-07-12 17:07  Ferdinando Ametrano
+
+	* [r17879] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj,
+	  Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj,
+	  Examples/CallableBonds/CallableBonds_vc9.vcproj,
+	  Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj,
+	  Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj,
+	  Examples/EquityOption/EquityOption_vc9.vcproj,
+	  Examples/FRA/FRA_vc9.vcproj,
+	  Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj,
+	  Examples/MarketModels/MarketModels_vc9.vcproj,
+	  Examples/Replication/Replication_vc9.vcproj,
+	  Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj,
+	  QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj:
+	  
+	  (re-)enabled debug information in release configurations.
+	  This is the default for in VC++ 2008 new projects, does not increase
+	  the exe/xll file in a significant way, allows for (some debugging
+	  and) profiling, does not disable optimizations. I've used these
+	  settings to profile with with GlowCode 8.0
+	  For further informations see:
+	  http://stackoverflow.com/questions/218226/visual-c-2008-release-build-contains-debug-information
+	  http://stackoverflow.com/questions/6363991/visual-studio-debug-information-in-release-build
+	  http://msdn.microsoft.com/en-us/library/xe4t6fc1(v=vs.80).aspx
+
+2011-07-12 15:20  Ferdinando Ametrano
+
+	* [r17878] QuantLib_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc10.vcxproj.filters:
+	  
+	  no idea what these are, but since they are in the repository...
+
+2011-07-12 14:35  Ferdinando Ametrano
+
+	* [r17876] ql/termstructures/iterativebootstrap.hpp,
+	  ql/termstructures/yield/bootstraptraits.hpp:
+	  
+	  renamed variable
+
+2011-07-12 14:13  Ferdinando Ametrano
+
+	* [r17875]
+	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp,
+	  ql/termstructures/credit/probabilitytraits.hpp,
+	  ql/termstructures/inflation/inflationtraits.hpp,
+	  ql/termstructures/iterativebootstrap.hpp,
+	  ql/termstructures/localbootstrap.hpp,
+	  ql/termstructures/yield/bootstraptraits.hpp:
+	  
+	  added index of first alive helper to Traits::guess,
+	  Traits::minValueAfter, and Traits::maxValueAfter.
+	  This allows helpers access in order to possibly improve
+	  guess/max/min efficiency
+
+2011-07-12 13:02  Ferdinando Ametrano
+
+	* [r17874] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  removed wrong check
+
+2011-07-12 12:49  Ferdinando Ametrano
+
+	* [r17873] ql/termstructures/bootstraperror.hpp,
+	  ql/termstructures/iterativebootstrap.hpp:
+	  
+	  - moved BootstrapError instantiation out of for loop in initialize
+	  method
+	  - cleaned up code
+	  - added inspector to BootstrapError
+
+2011-07-11 16:14  Luigi Ballabio
+
+	* [r17872] ql/experimental/volatility/interestratevolsurface.hpp:
+	  
+	  Removed ambiguity.
+
+2011-07-11 15:15  Ferdinando Ametrano
+
+	* [r17871] ql/experimental/volatility/blackatmvolcurve.cpp,
+	  ql/experimental/volatility/blackatmvolcurve.hpp,
+	  ql/experimental/volatility/blackvolsurface.cpp,
+	  ql/experimental/volatility/blackvolsurface.hpp,
+	  ql/experimental/volatility/equityfxvolsurface.cpp,
+	  ql/experimental/volatility/equityfxvolsurface.hpp,
+	  ql/experimental/volatility/interestratevolsurface.cpp,
+	  ql/experimental/volatility/interestratevolsurface.hpp,
+	  ql/termstructure.hpp,
+	  ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp,
+	  ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp,
+	  ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp,
+	  ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp,
+	  ql/termstructures/volatility/equityfx/localvolcurve.hpp,
+	  ql/termstructures/volatility/equityfx/localvolsurface.cpp,
+	  ql/termstructures/volatility/equityfx/localvoltermstructure.cpp,
+	  ql/termstructures/volatility/equityfx/localvoltermstructure.hpp,
+	  ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp,
+	  ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp,
+	  ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp,
+	  ql/termstructures/volatility/swaption/swaptionvolstructure.cpp,
+	  ql/termstructures/volatility/swaption/swaptionvolstructure.hpp,
+	  ql/termstructures/voltermstructure.cpp,
+	  ql/termstructures/voltermstructure.hpp:
+	  
+	  deprecated privateness of TermStructure::calendar_ to avoid direct
+	  access to what was meant to be accessed through virtual inspector
+
+2011-07-11 11:43  Luigi Ballabio
+
+	* [r17870] ql/settings.cpp, ql/settings.hpp, ql/userconfig.hpp:
+	  
+	  Added methods to enable/disable change of evaluation date at
+	  midnight.
+	  
+	  The corresponding define was removed.
+
+2011-07-11 09:36  Ferdinando Ametrano
+
+	* [r17868] ql/experimental/inflation/cpicapfloortermpricesurface.hpp,
+	  ql/experimental/inflation/yoycapfloortermpricesurface.hpp,
+	  ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp,
+	  ql/termstructures/inflationtermstructure.cpp,
+	  ql/termstructures/inflationtermstructure.hpp:
+	  
+	  made private those data members which are meant to be accessed
+	  through virtual inspectors
+
+2011-07-11 08:52  Ferdinando Ametrano
+
+	* [r17867] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp:
+	  
+	  added floatingLegNPV inspector
+
+2011-07-11 08:23  Ferdinando Ametrano
+
+	* [r17866] ql/time/ecb.cpp:
+	  
+	  added ECB maintenance dates for 2012 and 2013
+
+2011-07-07 16:32  Ferdinando Ametrano
+
+	* [r17865] QuantLib_vc10.vcxproj:
+	  
+	  VC10 catching up
+
+2011-07-07 15:17  Ferdinando Ametrano
+
+	* [r17864] ql/cashflows/couponpricer.cpp,
+	  ql/cashflows/couponpricer.hpp:
+	  
+	  cached coupon.index() pointer in private data member
+
+2011-07-07 15:02  Ferdinando Ametrano
+
+	* [r17863] ql/cashflows/couponpricer.cpp,
+	  ql/cashflows/couponpricer.hpp:
+	  
+	  - cached accrualPeriod in protected data member
+	  - inlined few functions
+	  - removed useless Settings::instance().evaluationDate() call and
+	  avoided double cast in BlackIborCouponPricer::initialize()
+
+2011-07-07 12:58  Ferdinando Ametrano
+
+	* [r17862] ql/indexes/iborindex.hpp:
+	  
+	  using name() accessor instead of protected (now private) name_ data
+	  member
+
+2011-07-07 12:57  Ferdinando Ametrano
+
+	* [r17861] ql/indexes/inflationindex.cpp,
+	  ql/indexes/inflationindex.hpp:
+	  
+	  added documentation, inlined few methods, cached name string in
+	  private data member
+
+2011-07-07 12:53  Ferdinando Ametrano
+
+	* [r17860] ql/indexes/bmaindex.cpp, ql/indexes/bmaindex.hpp:
+	  
+	  fixed bug introduced in Rev17842: name() and fixingCalendar() are
+	  virtual and name_ and fixingCalendar_ data member should not be
+	  accessed directly.
+
+2011-07-07 12:52  Ferdinando Ametrano
+
+	* [r17859] ql/indexes/interestrateindex.cpp,
+	  ql/indexes/interestrateindex.hpp:
+	  
+	  - fixed bug introduced in Rev17842: name() and fixingCalendar() are
+	  virtual and name_ and fixingCalendar_ data member should not be
+	  accessed directly.
+	  - inlined few functions
+	  -
+
+2011-07-07 10:32  Ferdinando Ametrano
+
+	* [r17858] ql/indexes/inflationindex.cpp:
+	  
+	  used Index::timeSeries() method
+
+2011-07-06 17:03  Ferdinando Ametrano
+
+	* [r17857] ql/cashflows/iborcoupon.cpp:
+	  
+	  changed formatting
+
+2011-07-06 16:07  Ferdinando Ametrano
+
+	* [r17856] ql/userconfig.hpp:
+	  
+	  fixed default configuration
+
+2011-07-06 15:49  Ferdinando Ametrano
+
+	* [r17854] ql/settings.cpp, ql/settings.hpp, ql/userconfig.hpp:
+	  
+	  - inlined few Settings methods
+	  - introduced new define for compile-time parametrization of
+	  sticky/floating Settings evaluation date
+
+2011-07-06 11:01  Luigi Ballabio
+
+	* [r17853] ql/termstructures/inflation/Makefile.am,
+	  ql/termstructures/inflation/all.hpp:
+	  
+	  Added missing file to Makefile (thanks to Hong Yu.)
+
+2011-07-06 09:44  Ferdinando Ametrano
+
+	* [r17852] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp,
+	  ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp,
+	  ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp:
+	  
+	  - added public InterestRateIndex::pastFixing to encapsulate
+	  TimeSeries access
+	  - promoted InterestRateIndex::forecastFixing from protected to
+	  public status
+	  - added specialized public IborIndex::forecastFixing(Date, Date,
+	  Time) overload to avoid date/time (re)calculation
+	  - exploited the above points in a more efficient and much cleaner
+	  IborCoupon::indexFixing() implementation which takes into account
+	  par coupon needs and also avoid date/time recalculations
+	  
+	  If anyone prefers to keep pastFixing and forecastFixing protected,
+	  it should be enough to declare IborCoupon friend of IborIndex
+
+2011-07-06 09:14  Ferdinando Ametrano
+
+	* [r17851] ql/cashflows/averagebmacoupon.cpp:
+	  
+	  cleaned up code
+
+2011-07-06 09:13  Ferdinando Ametrano
+
+	* [r17850] ql/indexes/bmaindex.hpp:
+	  
+	  
+
+2011-07-05 15:31  Ferdinando Ametrano
+
+	* [r17849] test-suite/operators.cpp, test-suite/operators.hpp:
+	  
+	  
+
+2011-07-05 15:30  Ferdinando Ametrano
+
+	* [r17848] ql/math/interpolations/cubicinterpolation.hpp,
+	  ql/methods/finitedifferences/mixedscheme.hpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp,
+	  test-suite/operators.cpp, test-suite/operators.hpp:
+	  
+	  - settled for the following signature:
+	  void solveFor(const Array& rhs,
+	  Array& result) const;
+	  - added unit test
+
+2011-07-05 13:19  Ferdinando Ametrano
+
+	* [r17847] QuantLib_vc9.vcproj:
+	  
+	  added missing files
+
+2011-07-05 13:19  Ferdinando Ametrano
+
+	* [r17846] ql/cashflows/iborcoupon.cpp:
+	  
+	  fixed typo
+
+2011-07-05 13:12  Ferdinando Ametrano
+
+	* [r17845] test-suite/quantlibtestsuite.cpp:
+	  
+	  added define indicators
+
+2011-07-05 13:03  Ferdinando Ametrano
+
+	* [r17844] test-suite/assetswap.cpp:
+	  
+	  replaced BOOT_ERROR with BOOST_FAIL
+
+2011-07-05 13:02  Ferdinando Ametrano
+
+	* [r17843] test-suite/inflationcpiswap.cpp:
+	  
+	  changed formatting
+
+2011-07-05 10:43  Ferdinando Ametrano
+
+	* [r17842] ql/indexes/interestrateindex.cpp,
+	  ql/indexes/interestrateindex.hpp:
+	  
+	  - inlined few methods
+	  - moved name_ string composition at constructor time
+
+2011-07-05 10:41  Ferdinando Ametrano
+
+	* [r17841] ql/cashflows/iborcoupon.cpp:
+	  
+	  added enforceTodaysHistoricFixings
+
+2011-07-04 18:36  Ferdinando Ametrano
+
+	* [r17840] ql/math/interpolations/cubicinterpolation.hpp,
+	  ql/methods/finitedifferences/mixedscheme.hpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  avoided useless Array allocation using new solveFor2 method
+
+2011-07-04 18:33  Ferdinando Ametrano
+
+	* [r17839] ql/cashflows/cashflows.cpp:
+	  
+	  pointer dereferenced just once
+
+2011-07-04 18:31  Ferdinando Ametrano
+
+	* [r17838] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  removed early wrong check: TridiagonalOperator is also used in a
+	  direct way, not just to be inverted...
+
+2011-07-04 17:37  Ferdinando Ametrano
+
+	* [r17837] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  fixed typo and improved error message
+
+2011-07-04 17:19  Ferdinando Ametrano
+
+	* [r17836] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  added
+	  - check for initialized TridiagonalOperator
+	  - earlier check that !close(diagonal[0], 0.0)
+
+2011-07-04 15:47  Ferdinando Ametrano
+
+	* [r17835] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  avoided temporary allocation in solveFor
+
+2011-07-04 14:37  Ferdinando Ametrano
+
+	* [r17834] ql/methods/finitedifferences/tridiagonaloperator.cpp:
+	  
+	  
+
+2011-07-04 14:27  Ferdinando Ametrano
+
+	* [r17833] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  changed formatting
+
+2011-07-04 14:11  Ferdinando Ametrano
+
+	* [r17832] ql/methods/finitedifferences/tridiagonaloperator.cpp,
+	  ql/methods/finitedifferences/tridiagonaloperator.hpp:
+	  
+	  - added constness to isTimeDependent inspector
+	  - cleaned up code
+
+2011-07-04 13:43  Ferdinando Ametrano
+
+	* [r17831] ql/math/interpolations/cubicinterpolation.hpp:
+	  
+	  improved code in update() method avoiding allocations and redundant
+	  initializations (moved to construction time)
+
+2011-07-03 15:31  Klaus Spanderen
+
+	* [r17830] ql/experimental/finitedifferences/fdmklugeextousolver.cpp:
+	  
+	  improved default value
+
+2011-07-02 14:30  Klaus Spanderen
+
+	* [r17829] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp,
+	  ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholesop.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmndimsolver.hpp,
+	  test-suite/swingoption.cpp, test-suite/swingoption.hpp:
+	  
+	  added FDM solver and vanilla spread enngine for
+	  Kluge-Ornstein-Uhlenbeck process
+
+2011-07-01 07:45  Luigi Ballabio
+
+	* [r17828] ql/patterns/observable.hpp:
+	  
+	  Removed eyesore
+
+2011-06-30 12:54  Ferdinando Ametrano
+
+	* [r17827] ql/patterns/observable.hpp:
+	  
+	  cleaned up code and changed unregister return value to Size in
+	  accord with underlying std::set behavior
+
+2011-06-30 10:11  Ferdinando Ametrano
+
+	* [r17826] ql/termstructures/credit/probabilitytraits.hpp,
+	  ql/termstructures/inflation/inflationtraits.hpp,
+	  ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp,
+	  ql/termstructures/inflation/piecewisezeroinflationcurve.hpp,
+	  ql/termstructures/yield/bootstraptraits.hpp:
+	  
+	  improved min max bracketing
+
+2011-06-29 18:48  Ferdinando Ametrano
+
+	* [r17825] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  moved solver construction out of calculate method
+
+2011-06-29 18:17  Ferdinando Ametrano
+
+	* [r17824]
+	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp:
+	  
+	  added comments
+
+2011-06-29 18:01  Ferdinando Ametrano
+
+	* [r17823]
+	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp,
+	  ql/termstructures/credit/probabilitytraits.hpp,
+	  ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp,
+	  ql/termstructures/inflation/piecewisezeroinflationcurve.hpp,
+	  ql/termstructures/iterativebootstrap.hpp,
+	  ql/termstructures/localbootstrap.hpp,
+	  ql/termstructures/yield/bootstraptraits.hpp:
+	  
+	  - changed guess signature to allow for a more compact and clear
+	  iterative bootstrap algorithm
+	  - changed signature of minValueAfter and maxValueAfter to include
+	  the curve pointer and validData information: this will allow more
+	  effective bracketing
+
+2011-06-29 17:50  Ferdinando Ametrano
+
+	* [r17822] ql/experimental/inflation/yoycapfloortermpricesurface.hpp:
+	  
+	  fixed inclusions to avoid unnecessary dependencies
+
+2011-06-29 17:47  Ferdinando Ametrano
+
+	* [r17821] ql/experimental/inflation/yoycapfloortermpricesurface.hpp:
+	  
+	  fixed inclusions to avoid unnecessary dependencies
+
+2011-06-29 17:45  Ferdinando Ametrano
+
+	* [r17820] ql/experimental/inflation/yoycapfloortermpricesurface.cpp,
+	  ql/experimental/inflation/yoycapfloortermpricesurface.hpp:
+	  
+	  fixed inclusions to avoid unnecessary dependencies
+
+2011-06-29 13:15  Ferdinando Ametrano
+
+	* [r17818] QuantLib_vc9.vcproj:
+	  
+	  VC9 catching up with new added files
+
+2011-06-27 21:34  Klaus Spanderen
+
+	* [r17815] test-suite/swingoption.cpp:
+	  
+	  fixed reference result
+
+2011-06-27 19:58  Klaus Spanderen
+
+	* [r17814] test-suite/fdmlinearop.cpp:
+	  
+	  added generic n-dimensional finite difference solver
+
+2011-06-27 19:57  Klaus Spanderen
+
+	* [r17813] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.cpp,
+	  ql/experimental/finitedifferences/fdmklugeextouop.hpp,
+	  ql/experimental/finitedifferences/fdmndimsolver.hpp:
+	  
+	  added generic n-dimensional finite difference solver
+
+2011-06-23 19:33  Klaus Spanderen
+
+	* [r17812] ql/methods/montecarlo/brownianbridge.hpp:
+	  
+	  added more inspectors
+
+2011-06-14 13:55  Ferdinando Ametrano
+
+	* [r17811] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj:
+	  
+	  added missing files (mmm... I'm almost sure I already did this, I'm
+	  puzzled as to why/when they got lost)
+
+2011-06-13 18:51  Ferdinando Ametrano
+
+	* [r17810] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  added help variable (which will be used much more later...)
+
+2011-06-13 18:39  Ferdinando Ametrano
+
+	* [r17809] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  adjust guess taking into account its proximity to max or min
+
+2011-06-13 18:36  Ferdinando Ametrano
+
+	* [r17808]
+	  ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp,
+	  ql/termstructures/credit/probabilitytraits.hpp,
+	  ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp,
+	  ql/termstructures/inflation/piecewisezeroinflationcurve.hpp,
+	  ql/termstructures/yield/bootstraptraits.hpp:
+	  
+	  removed leftovers
+
+2011-06-13 18:19  Ferdinando Ametrano
+
+	* [r17807]
+	  ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp,
+	  ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp:
+	  
+	  added missing data methods
+
+2011-06-13 15:37  Ferdinando Ametrano
+
+	* [r17806] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  fixed bug
+
+2011-06-13 12:17  Klaus Spanderen
+
+	* [r17805]
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp:
+	  
+	  added missing forward declaration
+
+2011-06-11 21:34  Klaus Spanderen
+
+	* [r17804]
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp:
+	  
+	  added last maturity day to swing engine
+
+2011-06-10 16:28  Ferdinando Ametrano
+
+	* [r17803] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp:
+	  
+	  cached index name for performance gain
+
+2011-06-10 15:21  Ferdinando Ametrano
+
+	* [r17801] ql/pricingengines/swap/discountingswapengine.cpp:
+	  
+	  switched to simultaneous npv+bps calculation
+
+2011-06-10 15:16  Ferdinando Ametrano
+
+	* [r17800] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp:
+	  
+	  added simultaneous npv + bps computation for performance gain
+
+2011-06-10 14:18  Ferdinando Ametrano
+
+	* [r17799] ql/methods/montecarlo/brownianbridge.hpp:
+	  
+	  removed useless include
+
+2011-06-10 14:15  Ferdinando Ametrano
+
+	* [r17798] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp:
+	  
+	  removed TimeSeries reference from constructor
+
+2011-06-10 08:06  Ferdinando Ametrano
+
+	* [r17796] ql/patterns/observable.hpp:
+	  
+	  added return value to register methods
+
+2011-06-09 16:29  Ferdinando Ametrano
+
+	* [r17795] ql/instruments/assetswap.cpp, ql/instruments/swap.cpp,
+	  ql/instruments/swap.hpp,
+	  ql/pricingengines/swap/discountingswapengine.cpp,
+	  ql/pricingengines/swap/discountingswapengine.hpp:
+	  
+	  upgraded npvDateDiscount and startDiscounts result status from
+	  additional to regular, in order to remove
+	  DiscountingSwapEngine::calculate's inefficiency
+
+2011-06-09 15:52  Ferdinando Ametrano
+
+	* [r17794] ql/cashflows/iborcoupon.cpp:
+	  
+	  handled QL_USE_INDEXED_COUPON and isInArrears properly
 
-2011-03-02 18:35  Ferdinando Ametrano
+2011-06-09 15:05  Ferdinando Ametrano
 
-	* [r17657] ql/instruments/makevanillaswap.cpp:
+	* [r17793] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp:
 	  
-	  avoided hard-coded EUR conventions
+	  optimized code avoiding useless recalculation of non-mutable data
 
-2011-03-02 13:02  Luigi Ballabio
+2011-06-08 16:50  Ferdinando Ametrano
 
-	* [r17652] ChangeLog.txt, Docs/pages/history.docs, News.txt:
+	* [r17791] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Updated changelog and news
+	  improved code in calculate method:
+	  - avoided previousData allocation
+	  - avoided redundant initialization
+	  - used FiniteDifferenceNewtonSafe if a good guess is available
 
-2011-03-02 12:44  Luigi Ballabio
+2011-06-08 15:46  Ferdinando Ametrano
 
-	* [r17651] ql/cashflows/simplecashflow.hpp,
-	  ql/experimental/credit/riskybond.cpp, ql/instruments/bond.cpp:
+	* [r17790] test-suite/overnightindexedswap.cpp:
 	  
-	  Added specialized cash flow classes.
+	  lowered tolerance and improved error message
+
+2011-06-08 14:40  Ferdinando Ametrano
+
+	* [r17789] ql/termstructures/yield/piecewiseyieldcurve.hpp,
+	  test-suite/piecewiseyieldcurve.cpp:
 	  
-	  The new classes have the same functionality of SimpleCashFlow
-	  (from which they inherit) but make it easier for visitors to
-	  distinguish cash flows.
+	  fixed observers' notification bug (and associated buggy logic test)
 
-2011-03-02 11:51  Ferdinando Ametrano
+2011-06-07 16:38  Ferdinando Ametrano
 
-	* [r17649] ql/indexes/swap/chfliborswap.cpp,
-	  ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/gbpliborswap.cpp,
-	  ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.cpp,
-	  ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.cpp,
-	  ql/indexes/swap/usdliborswap.hpp:
+	* [r17788] ql/patterns/observable.hpp:
 	  
-	  added exogenous discounting in swap indexes
+	  replaced list with set to ensure unique elements
 
-2011-03-02 09:49  Ferdinando Ametrano
+2011-06-07 16:36  Ferdinando Ametrano
 
-	* [r17647] ql/indexes/swap/gbpliborswap.cpp:
+	* [r17787] ql/patterns/lazyobject.hpp:
+	  
 	  
-	  fixed bug
 
-2011-03-01 12:19  Luigi Ballabio
+2011-06-07 16:03  Ferdinando Ametrano
 
-	* [r17644] ql/math/array.hpp, ql/math/matrix.hpp:
+	* [r17786] ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp:
 	  
-	  Prevented assertion error in VC++10 debug mode.
+	  added caching mechanism to avoid endless recalculation of underlying
+	  swap in some real-time environment configuration
+
+2011-06-07 16:01  Ferdinando Ametrano
+
+	* [r17785] ql/termstructures/yield/bootstraptraits.hpp:
 	  
-	  VC++10 checks the destination of a std::copy even if nothing
-	  will be copied (as in copy(begin, begin+0, NULL).)
+	  parametrized max rate
 
-2011-02-28 14:26  Luigi Ballabio
+2011-06-07 15:14  Ferdinando Ametrano
 
-	* [r17640] ChangeLog.txt:
+	* [r17784] ql/termstructures/iterativebootstrap.hpp:
 	  
-	  Updated changelog
+	  reverted back to Brent solver (FiniteDifferenceNewtonSafe needs some
+	  more work) and cleaned up code
 
-2011-02-28 12:58  Luigi Ballabio
+2011-06-07 14:23  Ferdinando Ametrano
 
-	* [r17639] Docs/pages/history.docs:
+	* [r17783] ql/termstructure.hpp:
 	  
-	  Updated release date.
+	  moved updated_ from private to protected
 
-2011-02-28 12:57  Luigi Ballabio
+2011-06-07 13:21  Ferdinando Ametrano
 
-	* [r17638] Docs/pages/history.docs, News.txt:
+	* [r17782]
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp:
 	  
-	  Updated news.
+	  fixed header inclusion
 
-2011-02-28 12:56  Luigi Ballabio
+2011-06-07 12:36  Ferdinando Ametrano
 
-	* [r17637] QuantLib.dev, QuantLib_vc10.vcxproj,
-	  QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj,
-	  QuantLib_vc8.vcproj, ql/indexes/ibor/all.hpp:
+	* [r17781]
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp:
+	  
+	  fixed header inclusion
+
+2011-06-07 12:21  Ferdinando Ametrano
+
+	* [r17780] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  removed leftover
+
+2011-06-07 10:24  Ferdinando Ametrano
+
+	* [r17779] ql/models/calibrationhelper.hpp:
+	  
+	  added explicit include file
+
+2011-06-06 16:52  Ferdinando Ametrano
+
+	* [r17778] ql/math/solvers1d/finitedifferencenewtonsafe.hpp:
+	  
+	  fixed typo
+
+2011-06-06 16:48  Ferdinando Ametrano
+
+	* [r17777] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  adopted FiniteDifferenceNewtonSafe instead of Brent to optimize
+	  curve recalculation
+
+2011-06-06 16:45  Ferdinando Ametrano
+
+	* [r17776]
+	  ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp:
+	  
+	  
+
+2011-06-06 16:24  Ferdinando Ametrano
+
+	* [r17775] QuantLib_vc9.vcproj, ql/math/solvers1d/Makefile.am:
+	  
+	  catching up with new file
+
+2011-06-06 16:22  Ferdinando Ametrano
+
+	* [r17774] ql/math/solvers1d/all.hpp,
+	  ql/math/solvers1d/finitedifferencenewtonsafe.hpp:
+	  
+	  added safe (bracketed) Newton 1-D solver with finite difference
+	  derivatives
+
+2011-06-06 11:02  Ferdinando Ametrano
+
+	* [r17773] ql/termstructures/iterativebootstrap.hpp:
+	  
+	  avoided vector allocation inside for loop
+
+2011-06-06 10:54  Ferdinando Ametrano
+
+	* [r17772] ql/experimental/inflation/yoycapfloortermpricesurface.hpp,
+	  test-suite/inflationvolatility.cpp:
+	  
+	  
+
+2011-06-03 22:31  Klaus Spanderen
+
+	* [r17771] ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdmamericanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.cpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  ql/instruments/vanillaswingoption.hpp, test-suite/fdmlinearop.cpp,
+	  test-suite/swingoption.cpp:
+	  
+	  changed granularity of swing exercise
+
+2011-06-01 15:11  Ferdinando Ametrano
+
+	* [r17770] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters:
+	  
+	  updated files
+
+2011-06-01 15:08  Ferdinando Ametrano
+
+	* [r17769] ql/experimental/inflation/cpicapfloortermpricesurface.hpp:
+	  
+	  fixed warning
+
+2011-06-01 12:19  Ferdinando Ametrano
+
+	* [r17768] test-suite/inflationcpiswap.cpp:
+	  
+	  avoided warning
+
+2011-05-31 17:29  Ferdinando Ametrano
+
+	* [r17767] test-suite/swingoption.cpp:
+	  
+	  fixed warning
+
+2011-05-31 17:29  Ferdinando Ametrano
+
+	* [r17766]
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp:
+	  
+	  fixed error
+
+2011-05-31 17:28  Ferdinando Ametrano
+
+	* [r17765] QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj:
+	  
+	  added missing files
+
+2011-05-31 16:12  Ferdinando Ametrano
+
+	* [r17760] ., ChangeLog.txt, Docs/pages/history.docs,
+	  Docs/pages/license.docs, LICENSE.TXT, News.txt, QuantLib.dev,
+	  QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters,
+	  QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql,
+	  ql/cashflows/simplecashflow.hpp, ql/experimental/credit/issuer.cpp,
+	  ql/experimental/credit/issuer.hpp,
+	  ql/experimental/credit/riskybond.cpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  ql/experimental/math/claytoncopularng.hpp,
+	  ql/experimental/math/farliegumbelmorgensterncopularng.hpp,
+	  ql/experimental/math/frankcopularng.hpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp,
+	  ql/experimental/shortrate/generalizedhullwhite.cpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp,
+	  ql/experimental/variancegamma/fftengine.hpp,
+	  ql/experimental/variancegamma/variancegammamodel.cpp,
+	  ql/experimental/variancegamma/variancegammamodel.hpp,
+	  ql/indexes/ibor/Makefile.am, ql/indexes/ibor/all.hpp,
+	  ql/indexes/ibor/sonia.cpp, ql/indexes/ibor/sonia.hpp,
+	  ql/indexes/swap/chfliborswap.cpp, ql/indexes/swap/chfliborswap.hpp,
+	  ql/indexes/swap/gbpliborswap.cpp, ql/indexes/swap/gbpliborswap.hpp,
+	  ql/indexes/swap/jpyliborswap.cpp, ql/indexes/swap/jpyliborswap.hpp,
+	  ql/indexes/swap/usdliborswap.cpp, ql/indexes/swap/usdliborswap.hpp,
+	  ql/instruments/bond.cpp, ql/instruments/makevanillaswap.cpp,
+	  ql/math/array.hpp, ql/math/interpolations/cubicinterpolation.hpp,
+	  ql/math/matrix.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp,
+	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.cpp,
+	  ql/pricingengines/basket/mceuropeanbasketengine.hpp,
+	  ql/termstructures/yield/ratehelpers.cpp,
+	  ql/termstructures/yield/ratehelpers.hpp, ql/userconfig.hpp,
+	  ql/utilities/dataformatters.cpp, test-suite,
+	  test-suite/cashflows.cpp, test-suite/commodityunitofmeasure.cpp,
+	  test-suite/inflation.cpp, test-suite/inflation.hpp,
+	  test-suite/testsuite.dev, test-suite/timeseries.cpp:
+	  
+	  Merged revisions 1-HEAD of
+	  https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R01010x-branch
+	  into C:\Projects\QuantLib\trunk, respecting ancestry
+
+2011-05-30 20:48  Klaus Spanderen
+
+	* [r17757] ql/experimental/processes/gemanroncoroniprocess.cpp,
+	  ql/experimental/processes/gemanroncoroniprocess.hpp:
+	  
+	  removed tabs
+
+2011-05-29 00:20  Klaus Spanderen
+
+	* [r17748]
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp:
+	  
+	  allow negative payoff in swing condition
+
+2011-05-29 00:20  Klaus Spanderen
+
+	* [r17747] ql/experimental/processes/extouwithjumpsprocess.hpp:
+	  
+	  removed latex syntax error
+
+2011-05-24 12:09  Luigi Ballabio
+
+	* [r17741] Docs/quantlib.css:
+	  
+	  Added rule for new css class
+
+2011-05-22 06:32  Klaus Spanderen
+
+	* [r17738]
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/instruments/vanillaswingoption.hpp, test-suite/swingoption.cpp:
+	  
+	  added min/maxExerciseRights to SwingOption
+
+2011-05-18 20:33  Klaus Spanderen
+
+	* [r17734] test-suite/swingoption.cpp:
+	  
+	  improve test case on upper bound for swing option prices based on
+	  Monte-Carlo
+
+2011-05-18 11:43  Klaus Spanderen
+
+	* [r17733] test-suite/swingoption.cpp:
 	  
-	  Added new files to all projects.
+	  add test case on upper bound for swing option prices based on
+	  Monte-Carlo
 
-2011-02-25 18:42  Ferdinando Ametrano
+2011-04-18 08:38  Ferdinando Ametrano
 
-	* [r17635] ql/indexes/ibor/Makefile.am:
+	* [r17717] ql/time/ecb.cpp:
 	  
-	  added Sonia class
+	  removed useless namespace
 
-2011-02-25 18:40  Ferdinando Ametrano
+2011-04-18 08:38  Ferdinando Ametrano
 
-	* [r17634] QuantLib_vc9.vcproj, ql/indexes/ibor/sonia.cpp,
-	  ql/indexes/ibor/sonia.hpp:
+	* [r17716] ql/quotes/impliedstddevquote.cpp:
 	  
-	  added Sonia class
+	  removed useless namespace
 
-2011-02-17 15:09  Ferdinando Ametrano
+2011-04-16 14:21  Klaus Spanderen
 
-	* [r17622] ql/math/interpolations/cubicinterpolation.hpp:
+	* [r17714] test-suite/quantlibbenchmark.cpp:
 	  
-	  fixed (ignorance) typo
+	  corrected papi comment
 
-2011-01-31 10:38  Luigi Ballabio
+2011-03-27 19:20  Klaus Spanderen
 
-	* [r17608] ChangeLog.txt, Docs/pages/history.docs, News.txt:
+	* [r17679] test-suite/quantlibbenchmark.cpp:
 	  
-	  Updated changelog and news.
+	  added new benchmark result
+
+2011-03-09 22:40  Klaus Spanderen
+
+	* [r17670] test-suite/swingoption.cpp:
+	  
+	  fixed bug in SwingOption (VanillaStorageOption) test case
+
+2011-02-26 13:59  Klaus Spanderen
+
+	* [r17636] ql/cashflows/cpicoupon.hpp,
+	  test-suite/inflationcpiswap.cpp:
+	  
+	  avoid g++ warnings
+
+2011-02-23 17:38  Luigi Ballabio
+
+	* [r17632] ql/cashflows/baseindexedcashflow.hpp,
+	  ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.hpp,
+	  ql/instruments/cpiswap.hpp:
+	  
+	  Fixed forward declarations (thanks to Bojan Nikolic.)
+
+2011-02-08 20:19  Klaus Spanderen
+
+	* [r17615]
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  test-suite/swingoption.cpp:
+	  
+	  removed ugly printf statements
+
+2011-02-06 10:10  Klaus Spanderen
+
+	* [r17614] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp,
+	  ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp,
+	  ql/instruments/Makefile.am, ql/instruments/all.hpp,
+	  ql/instruments/vanillastorageoption.hpp, test-suite/swingoption.cpp,
+	  test-suite/swingoption.hpp:
+	  
+	  added fdm pricing engine for a simple storage option based on a
+	  exponential Ornstein Uhlenbeck process
+
+2011-02-06 10:07  Klaus Spanderen
+
+	* [r17613] ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp:
+	  
+	  minor code clean-up
+
+2011-01-29 14:57  Klaus Spanderen
+
+	* [r17607]
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp,
+	  ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp,
+	  ql/math/Makefile.am, ql/math/all.hpp,
+	  ql/math/generallinearleastsquares.hpp,
+	  ql/math/linearleastsquaresregression.hpp,
+	  ql/methods/montecarlo/longstaffschwartzpathpricer.hpp:
+	  
+	  removed useless template parameter from LinearLeastSquaresRegression
+
+2011-01-25 15:50  Klaus Spanderen
+
+	* [r17593] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/exponentialjump1dmesher.cpp,
+	  ql/experimental/finitedifferences/exponentialjump1dmesher.hpp,
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdblackscholesasianengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.hpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm2dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.cpp,
+	  ql/experimental/finitedifferences/fdm3dimsolver.hpp,
+	  ql/experimental/finitedifferences/fdmbatesop.cpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.cpp,
+	  ql/experimental/finitedifferences/fdmbatessolver.hpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.cpp,
+	  ql/experimental/finitedifferences/fdmblackscholessolver.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpop.hpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.cpp,
+	  ql/experimental/finitedifferences/fdmextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp,
+	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.cpp,
+	  ql/experimental/finitedifferences/fdmhestonsolver.hpp,
+	  ql/experimental/finitedifferences/fdmhullwhitemesher.cpp,
+	  ql/experimental/finitedifferences/fdmhullwhitemesher.hpp,
+	  ql/experimental/finitedifferences/fdminnervaluecalculator.hpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp,
+	  ql/experimental/finitedifferences/fdmsolverdesc.hpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp,
+	  ql/experimental/processes/Makefile.am,
+	  ql/experimental/processes/all.hpp,
+	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
+	  ql/experimental/processes/extouwithjumpsprocess.cpp,
+	  ql/experimental/processes/extouwithjumpsprocess.hpp,
+	  ql/experimental/processes/gemanroncoroniprocess.cpp,
+	  ql/experimental/processes/gemanroncoroniprocess.hpp,
+	  test-suite/Makefile.am, test-suite/fdmlinearop.cpp,
+	  test-suite/quantlibtestsuite.cpp, test-suite/swingoption.cpp,
+	  test-suite/swingoption.hpp:
+	  
+	  added vanilla and swing option finite difference pricer for Kluge
+	  model (plus further refactoring of the multi dimensinal finite
+	  difference code)
+
+2011-01-25 15:45  Klaus Spanderen
+
+	* [r17592] test-suite/hybridhestonhullwhiteprocess.cpp:
+	  
+	  include delta and gamma values to test case
+
+2011-01-25 12:56  Klaus Spanderen
+
+	* [r17591] test-suite/batesmodel.cpp:
+	  
+	  corrected typo
+
+2011-01-25 12:22  Luigi Ballabio
+
+	* [r17586] Announce.txt, configure.ac, ql/version.hpp:
+	  
+	  Increased version number to 1.2.
+
+2011-01-25 12:21  Luigi Ballabio
+
+	* [r17585] Examples/EquityOption/EquityOption.cpp:
+	  
+	  Added semi-analytic Heston and Bates methods to example.
+
+2011-01-16 18:39  Chris Kenyon
+
+	* [r17580] ql/cashflows/Makefile.am, ql/cashflows/all.hpp,
+	  ql/cashflows/baseindexedcashflow.cpp,
+	  ql/cashflows/baseindexedcashflow.hpp, ql/cashflows/cpicoupon.cpp,
+	  ql/cashflows/cpicoupon.hpp, ql/cashflows/cpicouponpricer.cpp,
+	  ql/cashflows/cpicouponpricer.hpp,
+	  ql/experimental/inflation/Makefile.am,
+	  ql/experimental/inflation/all.hpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.cpp,
+	  ql/experimental/inflation/cpicapfloortermpricesurface.hpp,
+	  ql/experimental/inflation/cpioptionletvolatilitystructure.cpp,
+	  ql/experimental/inflation/cpioptionletvolatilitystructure.hpp,
+	  ql/instruments/Makefile.am, ql/instruments/all.hpp,
+	  ql/instruments/bonds/Makefile.am, ql/instruments/bonds/all.hpp,
+	  ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp,
+	  ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp,
+	  ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp,
+	  ql/pricingengines/inflation/Makefile.am,
+	  ql/pricingengines/inflation/all.hpp,
+	  ql/pricingengines/inflation/cpicapfloorengines.cpp,
+	  ql/pricingengines/inflation/cpicapfloorengines.hpp,
+	  test-suite/Makefile.am, test-suite/inflationcpicapfloor.cpp,
+	  test-suite/inflationcpicapfloor.hpp,
+	  test-suite/inflationcpiswap.cpp, test-suite/inflationcpiswap.hpp,
+	  test-suite/quantlibtestsuite.cpp:
+	  
+	  New inflation functionality: CPI-linked swaps, bonds, and
+	  cap/floors. These complement the existing year-on-year inflation
+	  functionality. N.B. capped and floored coupons/pricers are not
+	  implemented TODO. The tests check, carefully, for consistency,
+	  especially w.r.t. already-existing zero coupon inflation indexed
+	  swap Instruments.
+
+2011-01-11 03:10  Mark Joshi
+
+	* [r17571] ql/models/marketmodels/pathwiseaccountingengine.cpp:
+	  
+	  fixed size of deflator and derivates vector
+
+2010-12-29 08:53  Klaus Spanderen
+
+	* [r17569]
+	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonbarrierengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonrebateengine.cpp,
+	  ql/experimental/finitedifferences/fdhestonvanillaengine.cpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp,
+	  ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp:
+	  
+	  FDM code refactoring (removed redundant code): new step condition
+	  composite constructor
+
+2010-12-28 14:55  Klaus Spanderen
+
+	* [r17568] ql/math/linearleastsquaresregression.hpp:
+	  
+	  removed swap method from LinearLeastSquaresRegression
 
-2011-01-26 09:00  Ferdinando Ametrano
+2010-12-28 12:57  Klaus Spanderen
 
-	* [r17600] ql/math/interpolations/cubicinterpolation.hpp:
+	* [r17567] ql/math/linearleastsquaresregression.hpp,
+	  test-suite/linearleastsquaresregression.cpp:
 	  
-	  fixed typos
+	  added template constructors plus redesign (thanks to Slava Mazur)
 
-2011-01-25 12:23  Luigi Ballabio
+2010-12-26 20:05  Klaus Spanderen
 
-	* [r17590] test-suite/testsuite.dev:
+	* [r17566] ql/experimental/finitedifferences/fdmblackscholesop.cpp,
+	  ql/experimental/finitedifferences/firstderivativeop.cpp,
+	  ql/experimental/finitedifferences/secondderivativeop.cpp,
+	  ql/experimental/finitedifferences/triplebandlinearop.cpp,
+	  ql/experimental/finitedifferences/triplebandlinearop.hpp:
 	  
-	  Fixed Dev-C++ project.
+	  clean-up include order
 
-2010-12-20 09:41  Luigi Ballabio
+2010-12-20 07:16  Klaus Spanderen
 
-	* [r17562] test-suite/quantlibbenchmark.cpp:
+	* [r17561] ql/pricingengines/vanilla/batesengine.hpp:
 	  
-	  Backported revision 17560 from trunk.
+	  fixed misleading comment
 
-2010-12-15 16:29  Luigi Ballabio
+2010-12-19 00:44  Klaus Spanderen
 
-	* [r17556] ql/userconfig.hpp:
+	* [r17560] test-suite/quantlibbenchmark.cpp:
 	  
-	  Reverted macro to default value
+	  fix visual studio compile bug
 
-2010-12-15 16:28  Luigi Ballabio
+2010-12-18 17:18  Klaus Spanderen
 
-	* [r17555] ql/utilities/dataformatters.cpp:
+	* [r17559]
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp:
 	  
-	  Avoided warning on VC++2010
+	  fixed vs 10 bug
 
-2010-12-15 16:27  Luigi Ballabio
+2010-12-16 10:25  Klaus Spanderen
 
-	* [r17554] test-suite/timeseries.cpp:
+	* [r17557] ql/experimental/finitedifferences/Makefile.am,
+	  ql/experimental/finitedifferences/all.hpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp,
+	  ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.cpp,
+	  ql/experimental/finitedifferences/fdsimplebsswingengine.hpp,
+	  ql/instruments/Makefile.am, ql/instruments/all.hpp,
+	  ql/instruments/vanillaswingoption.hpp:
 	  
-	  Disable test for older Boost versions that don't support it
+	  added finite difference pricing engine for a simple swing option
+	  based on the BS model.
 
-2010-12-14 16:10  Luigi Ballabio
+2010-12-14 13:12  Klaus Spanderen
 
-	* [r17553]
+	* [r17548]
 	  ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp,
 	  ql/experimental/finitedifferences/fdbatesvanillaengine.hpp,
 	  ql/experimental/finitedifferences/fdblackscholesasianengine.hpp,
@@ -165,54 +2811,39 @@
 	  test-suite/fdheston.cpp, test-suite/fdmlinearop.cpp,
 	  test-suite/hybridhestonhullwhiteprocess.cpp:
 	  
-	  Backported bug fix from revision 17548 to 1.1.x branch.
+	  removed static data member of FdmSchemeDesc to avoid initialization
+	  hassle
 
-2010-12-14 14:17  Luigi Ballabio
+2010-12-13 17:01  Ferdinando Ametrano
 
-	* [r17552]
-	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp,
-	  ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp,
-	  ql/experimental/shortrate/generalizedhullwhite.cpp,
-	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp,
-	  ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp,
-	  ql/experimental/variancegamma/fftengine.hpp,
-	  ql/experimental/variancegamma/variancegammamodel.cpp,
-	  ql/experimental/variancegamma/variancegammamodel.hpp,
-	  test-suite/cashflows.cpp, test-suite/commodityunitofmeasure.cpp,
-	  test-suite/inflation.cpp, test-suite/inflation.hpp:
+	* [r17547] test-suite/hybridhestonhullwhiteprocess.cpp:
 	  
-	  Replaced hard tabs with spaces.
+	  expanded error message
 
-2010-12-14 14:17  Luigi Ballabio
+2010-12-12 10:31  Klaus Spanderen
 
-	* [r17551] Docs/pages/license.docs, LICENSE.TXT:
+	* [r17546] ql/models/marketmodels/pathwiseaccountingengine.cpp:
 	  
-	  Updated list of copyright holders
+	  removed obsolete #include <iostream>
 
-2010-12-14 14:16  Luigi Ballabio
+2010-12-12 10:23  Klaus Spanderen
 
-	* [r17550]
-	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp,
-	  ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp:
+	* [r17545] test-suite/quantlibbenchmark.cpp:
 	  
-	  Fixed format of copyright attribution.
+	  added Heston model calibration
 
-2010-12-14 14:16  Luigi Ballabio
+2010-12-12 10:15  Klaus Spanderen
 
-	* [r17549]
-	  ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp,
-	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp,
-	  ql/experimental/math/claytoncopularng.hpp,
-	  ql/experimental/math/farliegumbelmorgensterncopularng.hpp,
-	  ql/experimental/math/frankcopularng.hpp:
+	* [r17544] test-suite/quantlibbenchmark.cpp:
 	  
-	  Ensured self-consistency of headers.
+	  removed obsolete benchmark
 
-2010-12-10 10:58  Luigi Ballabio
+2010-12-12 09:39  Klaus Spanderen
 
-	* [r17542]
+	* [r17543] ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp,
+	  ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp:
 	  
-	  Release branch for the 1.1.x series.
+	  removed obsolete typedef
 
 2010-12-10 10:49  Luigi Ballabio
 
diff --git a/Contributors.txt b/Contributors.txt
index 4d09f8c6e9..5093e1774a 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -2,6 +2,7 @@
 We gratefully acknowledge contributions from:
 
 Nathan Abbott
+Samad Abdessadki
 Kakhkhor Abdijalilov
 Xavier Abulker
 Toyin Akin
@@ -21,14 +22,18 @@ Sylvain Bertrand
 Manas Bhatt
 David Binderman
 Theo Boafo
+Delphine Bouthier
 Fakher Braham
 Joe Byers
+Xavier Caron
+Marine Casanova
 Peter Caspers
 Antoine Cellerier
 Yee Man Chan
 Aurelien Chanudet
 Yiping Chen
 Yanice Cherrak
+Meryem Chibo
 Warren Chou
 Jon Davidson
 Daniele De Francesco
@@ -39,6 +44,7 @@ Cristina Duminuco
 Dirk Eddelbuettel
 Bernd Engelmann
 Giorgio Facchinetti
+Matt Fair
 Paul Farrington
 Lorella Fatone
 Luca Ferraro
@@ -59,6 +65,7 @@ Frank H
 Charles Chongseok Hyun
 Simon Ibbotson
 Norbert Irmer
+Rahul Kanchi
 Tomoya Kawanishi
 Gary Kennedy
 Matt Knox
@@ -67,6 +74,8 @@ Silakhdar Krikeb
 Yan Kuang
 Allen Kuo
 Paul Laderoute
+Yasmine Lahlou
+Fabien Le Floc'h
 James Lee
 Samuel Lerouge
 Gang Liang
@@ -100,6 +109,7 @@ Dimitri Reiswich
 Sadruddin Rejeb
 Alessandro Roveda
 Mohamed Amine Sadaoui
+Amine Samani
 Alpha Sanou Toure
 Tamas Sashalmi
 Peter Schmitteckert
@@ -107,6 +117,7 @@ Ralph Schreyer
 David Schwartz
 Eugene Shevkoplyas
 Enrico Sirola
+Leon Sit
 Maxim Sokolov
 Niels Elken Sønderby
 Andreas Spengler
@@ -114,6 +125,7 @@ Roland Stamm
 Marco Tarenghi
 François du Vignaud
 Charles Whitmore
+Stephen Wong
 Bernd Johannes Wuebben
 Sun Xiuxin
 Jeff Yu
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index 36b4e0e4d8..75236db636 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -40,6 +40,7 @@
 
     We gratefully acknowledge contributions from
     Nathan Abbott,
+    Samad Abdessadki,
     Kakhkhor Abdijalilov,
     Xavier Abulker,
     Toyin Akin,
@@ -59,14 +60,18 @@
     Manas Bhatt,
     David Binderman,
     Theo Boafo,
+    Delphine Bouthier,
     Fakher Braham,
     Joe Byers,
+    Xavier Caron,
+    Marine Casanova,
     Peter Caspers,
     Antoine Cellerier,
     Yee Man Chan,
     Aurelien Chanudet,
     Yiping Chen,
     Yanice Cherrak,
+    Meryem Chibo,
     Warren Chou,
     Jon Davidson,
     Daniele De Francesco,
@@ -77,6 +82,7 @@
     Dirk Eddelbuettel,
     Bernd Engelmann,
     Giorgio Facchinetti,
+    Matt Fair,
     Paul Farrington,
     Lorella Fatone,
     Luca Ferraro,
@@ -97,6 +103,7 @@
     Charles Chongseok Hyun,
     Simon Ibbotson,
     Norbert Irmer,
+    Rahul Kanchi,
     Tomoya Kawanishi,
     Gary Kennedy,
     Matt Knox,
@@ -105,6 +112,8 @@
     Yan Kuang,
     Allen Kuo,
     Paul Laderoute,
+    Yasmine Lahlou,
+    Fabien Le Floc'h,
     James Lee,
     Samuel Lerouge,
     Gang Liang,
@@ -138,6 +147,7 @@
     Sadruddin Rejeb,
     Alessandro Roveda,
     Mohamed Amine Sadaoui,
+    Amine Samani,
     Alpha Sanou Toure,
     Tamas Sashalmi,
     Peter Schmitteckert,
@@ -145,6 +155,7 @@
     David Schwartz,
     Eugene Shevkoplyas,
     Enrico Sirola,
+    Leon Sit,
     Maxim Sokolov,
     Niels Elken S&oslash;nderby,
     Andreas Spengler,
@@ -152,6 +163,7 @@
     Marco Tarenghi,
     Fran&ccedil;ois du Vignaud,
     Charles Whitmore,
+    Stephen Wong,
     Bernd Johannes Wuebben,
     Sun Xiuxin,
     Jeff Yu,
diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
index 4e4a4d2a2d..8b8dd7d5e1 100644
--- a/Docs/pages/history.docs
+++ b/Docs/pages/history.docs
@@ -1,6 +1,6 @@
 
 /*
- Copyright (C) 2000-2011 StatPro Italia srl
+ Copyright (C) 2000-2012 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,7 +18,111 @@
 
 /*! \page history Version history
 
-    <strong>Release 1.1 - May 2011</strong>
+    <strong>Release 1.2 - March 6th, 2012</strong>
+
+    PORTABILITY
+    - Microsoft Visual C++ 2010 no longer needs to disable uBlas code.
+    - QuantLib now ships with an updated specification file for
+      building RPMs (thanks to Matt Fair).
+
+    DATE/TIME
+    - When EOM was specified, a schedule's end date was moved to the
+      end of month even if the 'Unadjusted' convention was given.
+      This is now fixed.
+    - When a daily frequency was used, a schedule could end up
+      containing duplicated dates.  This is now fixed (thanks to
+      Simone Medori for the bug report).
+    - Added method to return truncated schedule.
+    - Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
+    - Added South Korea holidays for 2011/2012 (thanks to Charles
+      Chongseok Hyun and Faycal El Karaa).
+    - Added holidays for 2011 to China, Hong Kong, India, Indonesia,
+      Saudi Arabia, and Taiwan calendars.
+    - Added ECB maintenance dates for 2012 and 2013.
+    - Greatly improved performance of business/252 day counter.  The
+      previous implementation would count the business days between
+      two dates at each invocation. The new implementation caches
+      dynamically the count of business days for whole months and
+      years, so that after a while only the first and last few days
+      are counted.
+
+    INSTRUMENTS
+    - The AssetSwap instrument now supports non-par repayment.
+    - Added specialized class for Italian CCTEU (certificato di
+      credito del tesoro).
+    - Added CPI-linked swaps, bonds, and cap/floors.
+
+    CASH FLOWS
+    - Added CashFlows::npvbps() method to calculate NPV and BPS in a
+      single loop to improve performance.
+
+    INDEXES
+    - Better detection of forecast/past fixings for inflation indexes.
+      When an interpolated index is asked for a fixing at the
+      beginning of a month, the fixing for the following (which would
+      have zero weight in the interpolation) is no longer required.
+      Also, if a fixing is loaded in the index time series, it can be
+      used even its observation lag has not fully elapsed.
+
+    TERM STRUCTURES
+    - Vastly improved the performance of piecewise yield curve
+      bootstrap.  Anchoring the evaluation date (see below) provides a
+      further improvement.
+    - Moved CPI-volatility interface from experimental folder to the
+      core library.
+
+    MATH
+    - Added Newton 1-D solver with finite difference derivatives.
+    - Improved interface for linear least-square regression (thanks to
+      Slava Mazur).
+
+    FINITE DIFFERENCES
+    - Added TR-BDF2 scheme (thanks to Fabien Le Floc'h).
+    - Moved stable parts of 2D finite-difference framework from the
+      experimental folder to the core library.
+
+    UTILITIES
+    - Added resetEvaluationDate() and anchorEvaluationDate() methods
+      to enable/disable change of evaluation date at midnight,
+      respectively.  Anchoring the evaluation date also improves the
+      performance of some calculations.
+
+    PATTERNS
+    - Fixed possible problem in LazyObject notification logic.  The
+      previous implementation would pass obsolete information to
+      observers that asked for data in their update() method (which is
+      not advised, but possible).  This is no longer the case.
+
+    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:
+    - Spread option and related engine (thanks to IMAFA/Polytech'Nice
+      students Meryem Chibo and Samad Abdessadki).
+    - Writer-extensible option and related engine (thanks to
+      IMAFA/Polytech'Nice students Delphine Bouthier, Marine Casanova,
+      and Xavier Caron).
+    - Levy engine for continuous-averaging Asian options (thanks to
+      IMAFA/Polytech'Nice students Yasmine Lahlou and Amine Samani).
+    - Simple Virtual Power Plant and related finite-difference (FD)
+      engine (thanks to Klaus Spanderen).
+    - FD solver and vanilla spread engine for Kluge-Ornstein-Uhlenbeck
+      process (thanks to Klaus Spanderen).
+    - Added generic n-dimensional FD solver (thanks to Klaus Spanderen).
+    - Added FD pricing engine for a simple storage option based on an
+      exponential Ornstein Uhlenbeck process (thanks to Klaus
+      Spanderen).
+    - Added vanilla and swing option FD pricer for Kluge model (thanks
+      to Klaus Spanderen).
+    - Added FD pricing engine for a simple swing option based on the
+      Black-Scholes model (thanks to Klaus Spanderen).
+
+    <strong>Release 1.1 - May 23rd, 2011</strong>
 
     PORTABILITY
     - Added support for Microsoft Visual C++ 2010.
diff --git a/Docs/pages/index.docs b/Docs/pages/index.docs
index 407485fa90..41cfc288f3 100644
--- a/Docs/pages/index.docs
+++ b/Docs/pages/index.docs
@@ -16,7 +16,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \page index Introduction
+/*! \mainpage Introduction
 
     %QuantLib (http://quantlib.org/) is a C++ library for
     financial quantitative analysts and developers.
diff --git a/Docs/pages/license.docs b/Docs/pages/license.docs
index 87cb10f625..3dbcff3fa5 100644
--- a/Docs/pages/license.docs
+++ b/Docs/pages/license.docs
@@ -8,9 +8,9 @@
     Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
     Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
-    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 Ferdinando Ametrano
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
 
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
     Copyright (C) 2003, 2004 Roman Gitlin
     Copyright (C) 2003 Niels Elken Sønderby
@@ -21,7 +21,7 @@
     Copyright (C) 2004 Mike Parker
     Copyright (C) 2004 Walter Penschke
     Copyright (C) 2004 Gianni Piolanti
-    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010 Klaus Spanderen
+    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 Klaus Spanderen
     Copyright (C) 2004 Jeff Yu
 
     Copyright (C) 2005, 2006, 2008 Toyin Akin
@@ -51,12 +51,12 @@
     Copyright (C) 2007 Affine Group Limited
     Copyright (C) 2007 Richard Gomes
     Copyright (C) 2007, 2008 Laurent Hoffmann
-    Copyright (C) 2007, 2008, 2009 Chris Kenyon
+    Copyright (C) 2007, 2008, 2009, 2010, 2011 Chris Kenyon
     Copyright (C) 2007 Gang Liang
 
     Copyright (C) 2008, 2009 Jose Aparicio
     Copyright (C) 2008 Yee Man Chan
-    Copyright (C) 2008 Charles Chongseok Hyun
+    Copyright (C) 2008, 2011 Charles Chongseok Hyun
     Copyright (C) 2008 Piero Del Boca
     Copyright (C) 2008 Paul Farrington
     Copyright (C) 2008 Lorella Fatone
@@ -67,7 +67,7 @@
     Copyright (C) 2008 Simon Ibbotson
     Copyright (C) 2008 John Maiden
     Copyright (C) 2008 Francesca Mariani
-    Copyright (C) 2008, 2009, 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+    Copyright (C) 2008, 2009, 2010, 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
     Copyright (C) 2008, 2009 Andrea Odetti
     Copyright (C) 2008 J. Erik Radmall
     Copyright (C) 2008 Maria Cristina Recchioni
@@ -92,11 +92,14 @@
     Copyright (C) 2010 Cavit Hafizoglu
     Copyright (C) 2010 Michael Heckl
     Copyright (C) 2010 Liquidnet Holdings Inc.
+    Copyright (C) 2010 Slava Mazur
     Copyright (C) 2010 Adrian O' Neill
     Copyright (C) 2010 Robert Philipp
     Copyright (C) 2010 Alessandro Roveda
     Copyright (C) 2010 SunTrust Bank
 
+    Copyright (C) 2011 Fabien Le Floc'h
+
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
 Methods in Finance".
 
diff --git a/Docs/quantlib.css b/Docs/quantlib.css
index c23e852c56..d6e15f8183 100644
--- a/Docs/quantlib.css
+++ b/Docs/quantlib.css
@@ -43,7 +43,7 @@ ul#profiles li {
 }
 
 div.textblock {
-    margin-right: 17em;
+    margin-right: 1em;
     padding: 1em;
     vertical-align: top;
 }
@@ -96,6 +96,7 @@ ul.navbarlist {
 li.navlink {
     font-weight: normal;
     font-size: 80%;
+    line-height: 170%;
     text-align: left;
     list-style: none;
     margin: 0;
@@ -156,6 +157,7 @@ span.googlestyle {
 body, table, div, p, dl {
 	font-family: trebuchet ms,luxi sans,sans-serif;
 	/* font-size: 12px; */
+    line-height: 1.3;
 }
 
 /* @group Heading Levels */
@@ -165,6 +167,12 @@ h1 {
 	font-size: 150%;
 }
 
+.title {
+    font-size: 150%;
+    font-weight: bold;
+    margin: 10px 2px;
+}
+
 h2 {
 	font-size: 120%;
 }
@@ -173,23 +181,58 @@ h2 {
 	font-size: 100%;
 }*/
 
+dt {
+        font-weight: bold;
+}
+
+div.multicol {
+        -moz-column-gap: 1em;
+        -webkit-column-gap: 1em;
+        -moz-column-count: 3;
+        -webkit-column-count: 3;
+}
+
+p.startli, p.startdd, p.starttd {
+        margin-top: 2px;
+}
+
+p.endli {
+        margin-bottom: 0px;
+}
+
+p.enddd {
+        margin-bottom: 4px;
+}
+
+p.endtd {
+        margin-bottom: 2px;
+}
+
 /* @end */
 
 caption {
 	font-weight: bold;
 }
 
-div.qindex, div.navpath, div.navtab{
-	background-color: #e8eef2;
-	border: 1px solid #84b0c7;
-	text-align: center;
-	margin: 2px;
-	padding: 2px;
+span.legend {
+    font-size: 70%;
+    text-align: center;
+}
+
+h3.version {
+    font-size: 90%;
+    text-align: center;
+}
+
+div.qindex, div.navtab{
+    background-color: #EBEFF6;
+    border: 1px solid #A3B4D7;
+    text-align: center;
 }
 
 div.qindex, div.navpath {
-	width: 100%;
-	line-height: 140%;
+    width: 100%;
+    line-height: 140%;
 }
 
 div.navtab {
@@ -199,13 +242,13 @@ div.navtab {
 /* @group Link Styling */
 
 a {
-	color: #153788;
+	color: #3D578C;
 	font-weight: normal;
 	text-decoration: none;
 }
 
 .contents a:visited {
-	color: #1b77c5;
+	color: #4665A2;
 }
 
 a:hover {
@@ -217,10 +260,14 @@ a.qindex {
 }
 
 a.qindexHL {
-	font-weight: bold;
-	background-color: #6666cc;
-	color: #ffffff;
-	border: 1px double #9295C2;
+    font-weight: bold;
+    background-color: #9CAFD4;
+    color: #ffffff;
+    border: 1px double #869DCA;
+}
+
+.contents a.qindexHL:visited {
+    color: #ffffff;
 }
 
 a.el {
@@ -230,10 +277,12 @@ a.el {
 a.elRef {
 }
 
-a.code {
+a.code, a.code:visited {
+    color: #4665A2; 
 }
 
-a.codeRef {
+a.codeRef, a.codeRef:visited {
+    color: #4665A2; 
 }
 
 /* @end */
@@ -244,67 +293,109 @@ dl.el {
 
 .fragment {
 	font-family: monospace, fixed;
-	font-size: 90%;
+	font-size: 105%;
 }
 
 pre.fragment {
-	border: 1px solid #CCCCCC;
-	background-color: #f5f5f5;
-	padding: 4px 6px;
-	margin: 4px 8px 4px 2px;
+    border: 1px solid #C4CFE5;
+    background-color: #FBFCFD;
+    padding: 4px 6px;
+    margin: 4px 8px 4px 2px;
+    overflow: auto;
+    word-wrap: break-word;
+    font-size:  9pt;
+    line-height: 125%;
 }
 
 div.ah {
-	background-color: black;
-	font-weight: bold;
-	color: #ffffff;
-	margin-bottom: 3px;
-	margin-top: 3px
+    background-color: black;
+    font-weight: bold;
+    color: #ffffff;
+    margin-bottom: 3px;
+    margin-top: 3px;
+    padding: 0.2em;
+    border: solid thin #333;
+    border-radius: 0.5em;
+    -webkit-border-radius: .5em;
+    -moz-border-radius: .5em;
+    box-shadow: 2px 2px 3px #999;
+    -webkit-box-shadow: 2px 2px 3px #999;
+    -moz-box-shadow: rgba(0, 0, 0, 0.15) 2px 2px 2px;
+    background-image: -webkit-gradient(linear, left top, left bottom, from(#eee), to(#000),color-stop(0.3, #444));
+    background-image: -moz-linear-gradient(center top, #eee 0%, #444 40%, #000);
 }
 
 div.groupHeader {
-	margin-left: 16px;
-	margin-top: 12px;
-	margin-bottom: 6px;
-	font-weight: bold;
+    margin-left: 16px;
+    margin-top: 12px;
+    font-weight: bold;
 }
 
 div.groupText {
-	margin-left: 16px;
-	font-style: italic;
+    margin-left: 16px;
+    font-style: italic;
+}
+
+div.contents {
+    margin-top: 10px;
+    margin-left: 8px;
+    margin-right: 17em; /*8px;*/
 }
 
 td.indexkey {
-	background-color: #e8eef2;
-	font-weight: bold;
+    background-color: #EBEFF6;
+    font-weight: bold;
     font-size: 75%;
-	border: 1px solid #CCCCCC;
-	margin: 2px 0px 2px 0;
-	padding: 2px 10px;
+    border: 1px solid #C4CFE5;
+    margin: 2px 0px 2px 0;
+    padding: 2px 10px;
+    white-space: nowrap;
+    vertical-align: top;
 }
 
 td.indexvalue {
-	background-color: #e8eef2;
+    background-color: #EBEFF6;
     font-size: 75%;
-	border: 1px solid #CCCCCC;
-	padding: 2px 10px;
-	margin: 2px 0px;
+    border: 1px solid #C4CFE5;
+    padding: 2px 10px;
+    margin: 2px 0px;
 }
 
 tr.memlist {
-	background-color: #f0f0f0;
+    background-color: #EEF1F7;
 }
 
 p.formulaDsp {
-	text-align: center;
+    text-align: center;
 }
 
 img.formulaDsp {
-	
+    
 }
 
 img.formulaInl {
-	vertical-align: middle;
+    vertical-align: middle;
+}
+
+div.center {
+    text-align: center;
+    margin-top: 0px;
+    margin-bottom: 0px;
+    padding: 0px;
+}
+
+div.center img {
+    border: 0px;
+}
+
+address.footer {
+    text-align: right;
+    padding-right: 12px;
+}
+
+img.footer {
+    border: 0px;
+    vertical-align: middle;
 }
 
 /* @group Code Colorization */
@@ -379,26 +470,35 @@ td.tiny {
 .dirtab {
 	padding: 4px;
 	border-collapse: collapse;
-	border: 1px solid #84b0c7;
+	border: 1px solid #A3B4D7;
 }
 
 th.dirtab {
-	background: #e8eef2;
+	background: #EBEFF6;
 	font-weight: bold;
 }
 
 hr {
 	height: 0;
 	border: none;
-	border-top: 1px solid #666;
+	border-top: 1px solid #4A6AAA;
+}
+
+hr.footer {
+    height: 1px;
 }
 
 /* @group Member Descriptions */
 
+table.memberdecls {
+	border-spacing: 0px;
+	padding: 0px;
+}
+
 .mdescLeft, .mdescRight,
 .memItemLeft, .memItemRight,
 .memTemplItemLeft, .memTemplItemRight, .memTemplParams {
-	background-color: #FAFAFA;
+	background-color: #F9FAFC;
 	border: none;
 	margin: 4px;
 	padding: 1px 0 0 8px;
@@ -410,11 +510,20 @@ hr {
 }
 
 .memItemLeft, .memItemRight, .memTemplParams {
-	border-top: 1px solid #ccc;
+	border-top: 1px solid #C4CFE5;
+}
+
+.memItemLeft, .memTemplItemLeft {
+    white-space: nowrap;
+}
+
+.memItemRight {
+	width: 100%;
 }
 
 .memTemplParams {
-	color: #606060;
+	color: #4665A2;
+    white-space: nowrap;
 }
 
 /* @end */
@@ -425,55 +534,92 @@ hr {
 
 .memtemplate {
 	font-size: 80%;
-	color: #606060;
+	color: #4665A2;
 	font-weight: normal;
-	margin-left: 3px;
+	margin-left: 9px;
 }
 
 .memnav {
-	background-color: #e8eef2;
-	border: 1px solid #84b0c7;
+	background-color: #EBEFF6;
+	border: 1px solid #A3B4D7;
 	text-align: center;
 	margin: 2px;
 	margin-right: 15px;
 	padding: 2px;
 }
 
-.memitem {
-	padding: 0;
-}
-
-.memname {
-	white-space: nowrap;
-	font-weight: bold;
-}
-
-.memproto, .memdoc {
-	border: 1px solid #84b0c7;	
+.mempage {
+	width: 100%;
 }
 
-.memproto {
+.memitem {
 	padding: 0;
-	background-color: #d5e1e8;
-	font-weight: bold;
-	-webkit-border-top-left-radius: 8px;
-	-webkit-border-top-right-radius: 8px;
-	-moz-border-radius-topleft: 8px;
-	-moz-border-radius-topright: 8px;
+	margin-bottom: 10px;
+	margin-right: 5px;
 }
 
-.memdoc {
-	padding: 2px 5px;
-	background-color: #eef3f5;
-	border-top-width: 0;
-	-webkit-border-bottom-left-radius: 8px;
-	-webkit-border-bottom-right-radius: 8px;
-	-moz-border-radius-bottomleft: 8px;
-	-moz-border-radius-bottomright: 8px;
-}
-
-.memdoc p, .memdoc dl, .memdoc ul {
-	margin: 6px 0;
+.memname {
+    white-space: nowrap;
+    font-weight: bold;
+    margin-left: 6px;
+}
+
+.memproto, dl.reflist dt {
+    border-top: 1px solid #A8B8D9;
+    border-left: 1px solid #A8B8D9;
+    border-right: 1px solid #A8B8D9;
+    padding: 6px 0px 6px 0px;
+    color: #253555;
+    font-weight: bold;
+    text-shadow: 0px 1px 1px rgba(255, 255, 255, 0.9);
+    /* opera specific markup */
+    box-shadow: 5px 5px 5px rgba(0, 0, 0, 0.15);
+    border-top-right-radius: 8px;
+    border-top-left-radius: 8px;
+    /* firefox specific markup */
+    -moz-box-shadow: rgba(0, 0, 0, 0.15) 5px 5px 5px;
+    -moz-border-radius-topright: 8px;
+    -moz-border-radius-topleft: 8px;
+    /* webkit specific markup */
+    -webkit-box-shadow: 5px 5px 5px rgba(0, 0, 0, 0.15);
+    -webkit-border-top-right-radius: 8px;
+    -webkit-border-top-left-radius: 8px;
+    background-image:url('nav_f.png');
+    background-repeat:repeat-x;
+    background-color: #E2E8F2;
+
+}
+
+.memdoc, dl.reflist dd {
+    border-bottom: 1px solid #A8B8D9;      
+    border-left: 1px solid #A8B8D9;      
+    border-right: 1px solid #A8B8D9; 
+    padding: 2px 5px;
+    background-color: #FBFCFD;
+    border-top-width: 0;
+    /* opera specific markup */
+    border-bottom-left-radius: 8px;
+    border-bottom-right-radius: 8px;
+    box-shadow: 5px 5px 5px rgba(0, 0, 0, 0.15);
+    /* firefox specific markup */
+    -moz-border-radius-bottomleft: 8px;
+    -moz-border-radius-bottomright: 8px;
+    -moz-box-shadow: rgba(0, 0, 0, 0.15) 5px 5px 5px;
+    background-image: -moz-linear-gradient(center top, #FFFFFF 0%, #FFFFFF 60%, #F7F8FB 95%, #EEF1F7);
+    /* webkit specific markup */
+    -webkit-border-bottom-left-radius: 8px;
+    -webkit-border-bottom-right-radius: 8px;
+    -webkit-box-shadow: 5px 5px 5px rgba(0, 0, 0, 0.15);
+    background-image: -webkit-gradient(linear,center top,center bottom,from(#FFFFFF), color-stop(0.6,#FFFFFF), color-stop(0.60,#FFFFFF), color-stop(0.95,#F7F8FB), to(#EEF1F7));
+}
+
+dl.reflist dt {
+    padding: 5px;
+}
+
+dl.reflist dd {
+    margin: 0px 0px 10px 0px;
+    padding: 5px;
 }
 
 .paramkey {
@@ -492,6 +638,28 @@ hr {
 	font-style: normal;
 }
 
+.params, .retval, .exception, .tparams {
+    border-spacing: 6px 2px;
+}       
+
+.params .paramname, .retval .paramname {
+    font-weight: bold;
+    vertical-align: top;
+}
+
+.params .paramtype {
+    font-style: italic;
+    vertical-align: top;
+}       
+
+.params .paramdir {
+    font-family: "courier new",courier,monospace;
+    vertical-align: top;
+}
+
+
+
+
 /* @end */
 
 /* @group Directory (tree) */
@@ -500,7 +668,7 @@ hr {
 
 .ftvtree {
 	font-family: sans-serif;
-	margin: 0.5em;
+	margin: 0px;
 }
 
 /* these are for tree view when used as main index */
@@ -508,6 +676,7 @@ hr {
 .directory {
 	font-size: 9pt;
 	font-weight: bold;
+	margin: 5px;
 }
 
 .directory h3 {
@@ -517,22 +686,22 @@ hr {
 }
 
 /*
-The following two styles can be used to replace the root node title
-with an image of your choice.  Simply uncomment the next two styles,
-specify the name of your image and be sure to set 'height' to the
-proper pixel height of your image.
-*/
+  The following two styles can be used to replace the root node title
+  with an image of your choice.  Simply uncomment the next two styles,
+  specify the name of your image and be sure to set 'height' to the
+  proper pixel height of your image.
+  */
 
 /*
-.directory h3.swap {
-	height: 61px;
-	background-repeat: no-repeat;
-	background-image: url("yourimage.gif");
-}
-.directory h3.swap span {
-	display: none;
-}
-*/
+  .directory h3.swap {
+  height: 61px;
+  background-repeat: no-repeat;
+  background-image: url("yourimage.gif");
+  }
+  .directory h3.swap span {
+  display: none;
+  }
+  */
 
 .directory > h3 {
 	margin-top: 0;
@@ -585,7 +754,345 @@ proper pixel height of your image.
 
 /* @end */
 
+div.dynheader {
+    margin-top: 8px;
+}
+
 address {
 	font-style: normal;
-	color: #333;
+	color: #2A3D61;
+}
+
+table.doxtable {
+	border-collapse:collapse;
+}
+
+table.doxtable td, table.doxtable th {
+	border: 1px solid #2D4068;
+	padding: 3px 7px 2px;
+}
+
+table.doxtable th {
+	background-color: #374F7F;
+	color: #FFFFFF;
+	font-size: 110%;
+	padding-bottom: 4px;
+	padding-top: 5px;
+	text-align:left;
+}
+
+table.fieldtable {
+    width: 100%;
+    margin-bottom: 10px;
+    border: 1px solid #A8B8D9;
+    border-spacing: 0px;
+    -moz-border-radius: 4px;
+    -webkit-border-radius: 4px;
+    border-radius: 4px;
+    -moz-box-shadow: rgba(0, 0, 0, 0.15) 2px 2px 2px;
+    -webkit-box-shadow: 2px 2px 2px rgba(0, 0, 0, 0.15);
+    box-shadow: 2px 2px 2px rgba(0, 0, 0, 0.15);
+}
+
+.fieldtable td, .fieldtable th {
+    padding: 3px 7px 2px;
+}
+
+.fieldtable td.fieldtype, .fieldtable td.fieldname {
+    white-space: nowrap;
+    border-right: 1px solid #A8B8D9;
+    border-bottom: 1px solid #A8B8D9;
+    vertical-align: top;
+}
+
+.fieldtable td.fielddoc {
+    border-bottom: 1px solid #A8B8D9;
+    width: 100%;
+}
+
+.fieldtable tr:last-child td {
+    border-bottom: none;
+}
+
+.fieldtable th {
+    background-image:url('nav_f.png');
+    background-repeat:repeat-x;
+    background-color: #E2E8F2;
+    font-size: 90%;
+    color: #253555;
+    padding-bottom: 4px;
+    padding-top: 5px;
+    text-align:left;
+    -moz-border-radius-topleft: 4px;
+    -moz-border-radius-topright: 4px;
+    -webkit-border-top-left-radius: 4px;
+    -webkit-border-top-right-radius: 4px;
+    border-top-left-radius: 4px;
+    border-top-right-radius: 4px;
+    border-bottom: 1px solid #A8B8D9;
+}
+
+
+.tabsearch {
+	top: 0px;
+	left: 10px;
+	height: 36px;
+	background-image: url('tab_b.png');
+	z-index: 101;
+	overflow: hidden;
+	font-size: 13px;
+}
+
+.navpath ul
+{
+	font-size: 11px;
+	background-image:url('tab_b.png');
+	background-repeat:repeat-x;
+	height:30px;
+	line-height:30px;
+	color:#8AA0CC;
+	border:solid 1px #C2CDE4;
+	overflow:hidden;
+	margin:0px;
+	padding:0px;
+}
+
+.navpath li
+{
+	list-style-type:none;
+	float:left;
+	padding-left:10px;
+	padding-right:15px;
+	background-image:url('bc_s.png');
+	background-repeat:no-repeat;
+	background-position:right;
+	color:#364D7C;
+}
+
+.navpath li.navelem a
+{
+	height:32px;
+	display:block;
+	text-decoration: none;
+	outline: none;
+}
+
+.navpath li.navelem a:hover
+{
+	color:#6884BD;
+}
+
+.navpath li.footer
+{
+    list-style-type:none;
+    float:right;
+    padding-left:10px;
+    padding-right:15px;
+    background-image:none;
+    background-repeat:no-repeat;
+    background-position:right;
+    color:#364D7C;
+    font-size: 8pt;
+}
+
+
+div.summary
+{
+	float: right;
+	font-size: 8pt;
+	padding-right: 5px;
+	width: 50%;
+	text-align: right;
+}       
+
+div.summary a
+{
+	white-space: nowrap;
+}
+
+div.ingroups
+{
+	margin-left: 5px;
+	font-size: 8pt;
+	padding-left: 5px;
+	width: 50%;
+	text-align: left;
+}
+
+div.ingroups a
+{
+	white-space: nowrap;
+}
+
+div.header
+{
+    background-image:url('nav_h.png');
+    background-repeat:repeat-x;
+	background-color: #F9FAFC;
+	margin:  0px;
+	border-bottom: 1px solid #C4CFE5;
+}
+
+div.headertitle
+{
+	padding: 5px 5px 5px 7px;
+}
+
+dl
+{
+    padding: 0 0 0 10px;
+}
+
+dl.note, dl.warning, dl.attention, dl.pre, dl.post, dl.invariant, dl.deprecated, dl.todo, dl.test, dl.bug
+{
+    border-left:4px solid;
+    padding: 0 0 0 6px;
+}
+
+dl.note
+{
+    border-color: #D0C000;
+}
+
+dl.warning, dl.attention
+{
+    border-color: #FF0000;
+}
+
+dl.pre, dl.post, dl.invariant
+{
+    border-color: #00D000;
+}
+
+dl.deprecated
+{
+    border-color: #505050;
+}
+
+dl.todo
+{
+    border-color: #00C0E0;
+}
+
+dl.test
+{
+    border-color: #3030E0;
+}
+
+dl.bug
+{
+    border-color: #C08050;
+}
+
+#projectlogo
+{
+	text-align: center;
+	vertical-align: bottom;
+	border-collapse: separate;
+}
+
+#projectlogo img
+{ 
+	border: 0px none;
+}
+
+#projectname
+{
+	font: 300% Tahoma, Arial,sans-serif;
+	margin: 0px;
+	padding: 2px 0px;
+}
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+{
+	font: 120% Tahoma, Arial,sans-serif;
+	margin: 0px;
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+}
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+{
+	font: 50% Tahoma, Arial,sans-serif;
+	margin: 0px;
+	padding: 0px;
+}
+
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+{
+	padding: 0px;
+	margin: 0px;
+	width: 100%;
+	border-bottom: 1px solid #5373B4;
+}
+
+.image
+{
+    text-align: center;
 }
+
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+{
+    text-align: center;
+}
+
+.mscgraph
+{
+    text-align: center;
+}
+
+.caption
+{
+	font-weight: bold;
+}
+
+div.zoom
+{
+	border: 1px solid #90A5CE;
+}
+
+dl.citelist {
+    margin-bottom:50px;
+}
+
+dl.citelist dt {
+    color:#334975;
+    float:left;
+    font-weight:bold;
+    margin-right:10px;
+    padding:5px;
+}
+
+dl.citelist dd {
+    margin:2px 0;
+    padding:5px 0;
+}
+
+@media print
+{
+    #top { display: none; }
+    #side-nav { display: none; }
+    #nav-path { display: none; }
+    body { overflow:visible; }
+    h1, h2, h3, h4, h5, h6 { page-break-after: avoid; }
+    .summary { display: none; }
+    .memitem { page-break-inside: avoid; }
+    #doc-content
+    {
+        margin-left:0 !important;
+        height:auto !important;
+        width:auto !important;
+        overflow:inherit;
+        display:inline;
+    }
+    pre.fragment
+    {
+        overflow: visible;
+        text-wrap: unrestricted;
+        white-space: -moz-pre-wrap; /* Moz */
+        white-space: -pre-wrap; /* Opera 4-6 */
+        white-space: -o-pre-wrap; /* Opera 7 */
+        white-space: pre-wrap; /* CSS3  */
+        word-wrap: break-word; /* IE 5.5+ */
+    }
+}
+
diff --git a/Docs/quantlib.doxy b/Docs/quantlib.doxy
index bbe48c2107..8c77970519 100644
--- a/Docs/quantlib.doxy
+++ b/Docs/quantlib.doxy
@@ -1,4 +1,4 @@
-# Doxyfile 1.7.1
+# Doxyfile 1.7.6.1
 
 #---------------------------------------------------------------------------
 # Project related configuration options
@@ -6,6 +6,8 @@
 DOXYFILE_ENCODING      = UTF-8
 PROJECT_NAME           = QuantLib
 PROJECT_NUMBER         = ql_version
+PROJECT_BRIEF          =
+PROJECT_LOGO           =
 OUTPUT_DIRECTORY       =
 CREATE_SUBDIRS         = NO
 OUTPUT_LANGUAGE        = English
@@ -28,6 +30,7 @@ ALIASES                = "warning=\xrefitem caveats \"Warning\" \"Caveats\" " \
                          "test=\xrefitem test \"Tests\" \"Test Suite\" " \
                          "todo=\xrefitem todo \"Possible enhancements\" \"Possible Enhancements\" " \
                          "bug=\xrefitem bug \"Bug\" \"Known Bugs\" "
+TCL_SUBST              =
 OPTIMIZE_OUTPUT_FOR_C  = NO
 OPTIMIZE_OUTPUT_JAVA   = NO
 OPTIMIZE_FOR_FORTRAN   = NO
@@ -39,8 +42,11 @@ SIP_SUPPORT            = NO
 IDL_PROPERTY_SUPPORT   = YES
 DISTRIBUTE_GROUP_DOC   = NO
 SUBGROUPING            = YES
+INLINE_GROUPED_CLASSES = NO
+INLINE_SIMPLE_STRUCTS  = NO
 TYPEDEF_HIDES_STRUCT   = NO
 SYMBOL_CACHE_SIZE      = 0
+LOOKUP_CACHE_SIZE      = 0
 #---------------------------------------------------------------------------
 # Build related configuration options
 #---------------------------------------------------------------------------
@@ -65,6 +71,7 @@ SORT_BRIEF_DOCS        = NO
 SORT_MEMBERS_CTORS_1ST = YES
 SORT_GROUP_NAMES       = NO
 SORT_BY_SCOPE_NAME     = YES
+STRICT_PROTO_MATCHING  = NO
 GENERATE_TODOLIST      = YES
 GENERATE_TESTLIST      = YES
 GENERATE_BUGLIST       = YES
@@ -77,6 +84,7 @@ SHOW_FILES             = YES
 SHOW_NAMESPACES        = NO
 FILE_VERSION_FILTER    =
 LAYOUT_FILE            =
+CITE_BIB_FILES         =
 #---------------------------------------------------------------------------
 # configuration options related to warning and progress messages
 #---------------------------------------------------------------------------
@@ -114,6 +122,7 @@ IMAGE_PATH             =
 INPUT_FILTER           =
 FILTER_PATTERNS        =
 FILTER_SOURCE_FILES    = NO
+FILTER_SOURCE_PATTERNS =
 #---------------------------------------------------------------------------
 # configuration options related to source browsing
 #---------------------------------------------------------------------------
@@ -140,6 +149,7 @@ HTML_FILE_EXTENSION    = .html
 HTML_HEADER            = quantlibheader.html
 HTML_FOOTER            = quantlibfooter.html
 HTML_STYLESHEET        = quantlib.css
+HTML_EXTRA_FILES       =
 HTML_COLORSTYLE_HUE    = 220
 HTML_COLORSTYLE_SAT    = 100
 HTML_COLORSTYLE_GAMMA  = 80
@@ -169,13 +179,16 @@ QHG_LOCATION           =
 GENERATE_ECLIPSEHELP   = NO
 ECLIPSE_DOC_ID         = org.doxygen.Project
 DISABLE_INDEX          = YES
-ENUM_VALUES_PER_LINE   = 4
 GENERATE_TREEVIEW      = NO
+ENUM_VALUES_PER_LINE   = 4
 USE_INLINE_TREES       = NO
 TREEVIEW_WIDTH         = 250
 EXT_LINKS_IN_WINDOW    = NO
 FORMULA_FONTSIZE       = 12
 FORMULA_TRANSPARENT    = YES
+USE_MATHJAX            = NO
+MATHJAX_RELPATH        = http://www.mathjax.org/mathjax
+MATHJAX_EXTENSIONS     =
 SEARCHENGINE           = NO
 SERVER_BASED_SEARCH    = NO
 #---------------------------------------------------------------------------
@@ -189,11 +202,13 @@ COMPACT_LATEX          = NO
 PAPER_TYPE             = a4wide
 EXTRA_PACKAGES         =
 LATEX_HEADER           =
+LATEX_FOOTER           =
 PDF_HYPERLINKS         = YES
 USE_PDFLATEX           = YES
 LATEX_BATCHMODE        = NO
 LATEX_HIDE_INDICES     = NO
 LATEX_SOURCE_CODE      = NO
+LATEX_BIB_STYLE        = plain
 #---------------------------------------------------------------------------
 # configuration options related to the RTF output
 #---------------------------------------------------------------------------
@@ -272,8 +287,10 @@ CALLER_GRAPH           = NO
 GRAPHICAL_HIERARCHY    = YES
 DIRECTORY_GRAPH        = NO
 DOT_IMAGE_FORMAT       = png
+INTERACTIVE_SVG        = NO
 DOT_PATH               =
 DOTFILE_DIRS           =
+MSCFILE_DIRS           =
 DOT_GRAPH_MAX_NODES    = 20
 MAX_DOT_GRAPH_DEPTH    = 2
 DOT_TRANSPARENT        = NO
diff --git a/Examples/MarketModels/MarketModels.cpp b/Examples/MarketModels/MarketModels.cpp
index fa90832361..037e41ef18 100644
--- a/Examples/MarketModels/MarketModels.cpp
+++ b/Examples/MarketModels/MarketModels.cpp
@@ -201,7 +201,6 @@ int Bermudan()
     Real initialNumeraireValue = 0.95;
 
     Real volLevel = 0.11;
-    Real longTermCorr = 0.5;
     Real beta = 0.2;
     Real gamma = 1.0;
     Size numberOfFactors = std::min<Size>(5,numberRates);
@@ -550,7 +549,6 @@ int InverseFloater(Real rateLevel)
     Real initialNumeraireValue = 0.95;
 
     Real volLevel = 0.11;
-    Real longTermCorr = 0.5;
     Real beta = 0.2;
     Real gamma = 1.0;
     Size numberOfFactors = std::min<Size>(5,numberRates);
diff --git a/LICENSE.TXT b/LICENSE.TXT
index 34094af794..cc36806c3a 100644
--- a/LICENSE.TXT
+++ b/LICENSE.TXT
@@ -5,9 +5,9 @@ QuantLib is
     Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
     Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
-    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 Ferdinando Ametrano
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
 
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
     Copyright (C) 2003, 2004 Roman Gitlin
     Copyright (C) 2003 Niels Elken Sønderby
@@ -18,7 +18,7 @@ QuantLib is
     Copyright (C) 2004 Mike Parker
     Copyright (C) 2004 Walter Penschke
     Copyright (C) 2004 Gianni Piolanti
-    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010 Klaus Spanderen
+    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 Klaus Spanderen
     Copyright (C) 2004 Jeff Yu
 
     Copyright (C) 2005, 2006, 2008 Toyin Akin
@@ -48,12 +48,12 @@ QuantLib is
     Copyright (C) 2007 Affine Group Limited
     Copyright (C) 2007 Richard Gomes
     Copyright (C) 2007, 2008 Laurent Hoffmann
-    Copyright (C) 2007, 2008, 2009 Chris Kenyon
+    Copyright (C) 2007, 2008, 2009, 2010, 2011 Chris Kenyon
     Copyright (C) 2007 Gang Liang
 
     Copyright (C) 2008, 2009 Jose Aparicio
     Copyright (C) 2008 Yee Man Chan
-    Copyright (C) 2008 Charles Chongseok Hyun
+    Copyright (C) 2008, 2011 Charles Chongseok Hyun
     Copyright (C) 2008 Piero Del Boca
     Copyright (C) 2008 Paul Farrington
     Copyright (C) 2008 Lorella Fatone
@@ -64,7 +64,7 @@ QuantLib is
     Copyright (C) 2008 Simon Ibbotson
     Copyright (C) 2008 John Maiden
     Copyright (C) 2008 Francesca Mariani
-    Copyright (C) 2008, 2009, 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+    Copyright (C) 2008, 2009, 2010, 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
     Copyright (C) 2008, 2009 Andrea Odetti
     Copyright (C) 2008 J. Erik Radmall
     Copyright (C) 2008 Maria Cristina Recchioni
@@ -89,11 +89,14 @@ QuantLib is
     Copyright (C) 2010 Cavit Hafizoglu
     Copyright (C) 2010 Michael Heckl
     Copyright (C) 2010 Liquidnet Holdings Inc.
+    Copyright (C) 2010 Slava Mazur
     Copyright (C) 2010 Adrian O' Neill
     Copyright (C) 2010 Robert Philipp
     Copyright (C) 2010 Alessandro Roveda
     Copyright (C) 2010 SunTrust Bank
 
+    Copyright (C) 2011 Fabien Le Floc'h
+
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
 Methods in Finance".
 
diff --git a/Makefile.am b/Makefile.am
index b3a565fec6..a1e266ee16 100644
--- a/Makefile.am
+++ b/Makefile.am
@@ -21,6 +21,7 @@ EXTRA_DIST = \
 	LICENSE.TXT \
 	News.txt \
 	QuantLib.dev \
+	QuantLib.spec \
 	QuantLib_vc7.sln \
 	QuantLib_vc7.vcproj \
 	QuantLib_vc8.sln \
diff --git a/News.txt b/News.txt
index 93a83d9bdd..e5645ff367 100644
--- a/News.txt
+++ b/News.txt
@@ -1,102 +1,109 @@
 
-Notable changes for QuantLib 1.1:
+Notable changes for QuantLib 1.2:
 
 PORTABILITY
 
-- Added support for Microsoft Visual C++ 2010.
+- Microsoft Visual C++ 2010 no longer needs to disable uBlas code.
 
-- Fixed m4 macro for QuantLib detection.  It now works also when asked
-  for versions such as 1.1 (as opposed to 1.1.0).
+- QuantLib now ships with an updated specification file for building
+  RPMs (thanks to Matt Fair).
 
 
 DATE/TIME
 
-- Added Russian calendar.
+- When EOM was specified, a schedule's end date was moved to the end
+  of month even if the 'Unadjusted' convention was given.  This is now
+  fixed.
 
-- Revamped time-series iterators (thanks to Slava Mazur.)  Iterators
-  on dates and values were added, as well as C++0X-style cbegin() and
-  cend() iterators.
+- When a daily frequency was used, a schedule could end up containing
+  duplicated dates.  This is now fixed (thanks to Simone Medori for
+  the bug report).
 
+- Added method to return truncated schedule.
 
-INSTRUMENTS
+- Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
 
-- Added a few inspectors to zero-coupon inflation swaps.
+- Added South Korea holidays for 2011/2012 (thanks to Charles
+  Chongseok Hyun and Faycal El Karaa).
 
-- Added Kirk approximation for two-asset spread options.
+- Added holidays for 2011 to China, Hong Kong, India, Indonesia, Saudi
+  Arabia, and Taiwan calendars.
 
-- Added specialized BTP class (Italian government bonds) and related
-  RendistatoCalculator class to help instantiation of this type of
-  FixedRateBond.
+- Added ECB maintenance dates for 2012 and 2013.
 
-- Added analytic pricing engine for the piecewise-constant
-  time-dependent Heston model.
+- Greatly improved performance of business/252 day counter.  The
+  previous implementation would count the business days between two
+  dates at each invocation. The new implementation caches dynamically
+  the count of business days for whole months and years, so that after
+  a while only the first and last few days are counted.
 
-- Added paymentCalendar to FixedRateBond, possibly different
-  than the one used for accrual-date calculation.
 
+INSTRUMENTS
 
-PROCESSES
+- The AssetSwap instrument now supports non-par repayment.
 
-- Added Quadratic Exponential discretization scheme for the Heston
-  process, including martingale correction.
+- Added specialized class for Italian CCTEU (certificato di credito
+  del tesoro).
 
+- Added CPI-linked swaps, bonds, and cap/floors.
 
-INDEXES
 
-- Added inspector for discounting curve to swap index (thanks to Peter
-  Caspers.)
+CASH FLOWS
 
-- Added exogenous discounting to all swap indexes.
+- Added CashFlows::npvbps() method to calculate NPV and BPS in a
+  single loop to improve performance.
 
-- Added SONIA index.
 
-- Added HICPXT indexes.
+INDEXES
 
+- Better detection of forecast/past fixings for inflation indexes.
+  When an interpolated index is asked for a fixing at the beginning of
+  a month, the fixing for the following (which would have zero weight
+  in the interpolation) is no longer required.  Also, if a fixing is
+  loaded in the index time series, it can be used even its observation
+  lag has not fully elapsed.
 
-TERM STRUCTURES
 
-- Added time-based interface to inflation curves.
-
-- Piecewise zero-spreaded term structure can now manage spread with
-  any compounding (thanks to Robert Philipp.)
+TERM STRUCTURES
 
-- FittedBondDiscountCurve now works with any BondHelpers, not only
-  FixedRateBondHelpers.
+- Vastly improved the performance of piecewise yield curve bootstrap.
+  Anchoring the evaluation date (see below) provides a further
+  improvement.
 
-- Added Svensson curve-fitting method (thanks to Alessandro Roveda.)
+- Moved CPI-volatility interface from experimental folder to the core
+  library.
 
 
 MATH
 
-- Added Ziggurat random-number generator (thanks to Kakhkhor
-  Abdijalilov.)
+- Added Newton 1-D solver with finite difference derivatives.
 
-- Added experimental copula-based random-number generators (thanks to
-  Hachemi Benyahia.)
+- Improved interface for linear least-square regression (thanks to
+  Slava Mazur).
 
-- More performant implementation of inverse cumulative distribution
-  (thanks to Kakhkhor Abdijalilov.)
 
-- More performant mt19937 implementation (thanks to Kakhkhor
-  Abdijalilov.)
+FINITE DIFFERENCES
 
-- Added more copulas (thanks to Hachemi Benyahia.)  The new formulas
-  are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss
-  copula, and Plackett copula.
+- Added TR-BDF2 scheme (thanks to Fabien Le Floc'h).
 
-- Added autocovariance calculation (thanks to Slava Mazur.)
+- Moved stable parts of 2D finite-difference framework from the
+  experimental folder to the core library.
 
 
-MONTE CARLO
+UTILITIES
 
-- Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)
+- Added resetEvaluationDate() and anchorEvaluationDate() methods to
+  enable/disable change of evaluation date at midnight, respectively.
+  Anchoring the evaluation date also improves the performance of some
+  calculations.
 
 
-UTILITIES
+PATTERNS
 
-- Reworked Null class template (thanks to Kakhkhor Abdijalilov.)  The
-  new implementation avoids the need for a macro on 64-bit systems and
-  automatically covers all floating-point and integer types.
+- Fixed possible problem in LazyObject notification logic.  The
+  previous implementation would pass obsolete information to observers
+  that asked for data in their update() method (which is not advised,
+  but possible).  This is no longer the case.
 
 
 EXPERIMENTAL FOLDER
@@ -108,35 +115,30 @@ unstable; their interfaces might change in future releases.
 
 New contributions for this release were:
 
-- 2D finite-difference Bates engine based on the partial integro
-  differential equation.
+- Spread option and related engine (thanks to IMAFA/Polytech'Nice
+  students Meryem Chibo and Samad Abdessadki).
 
-- 2D finite-difference engine for Black-Scholes processes (including
-  local volatility.)
+- Writer-extensible option and related engine (thanks to
+  IMAFA/Polytech'Nice students Delphine Bouthier, Marine Casanova, and
+  Xavier Caron).
 
-- Black-Scholes process with support for vega stress test (thanks to
-  Michael Heckl.)
+- Levy engine for continuous-averaging Asian options (thanks to
+  IMAFA/Polytech'Nice students Yasmine Lahlou and Amine Samani).
 
-- Extended Ornstein-Uhlenbeck process.
+- Simple Virtual Power Plant and related finite-difference (FD) engine
+  (thanks to Klaus Spanderen).
 
-- Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre,
-  Michael Benguigui, and Yanice Cherrak.)
+- FD solver and vanilla spread engine for Kluge-Ornstein-Uhlenbeck
+  process (thanks to Klaus Spanderen).
 
-- Simple chooser option (thanks to IMAFA/Polytech'Nice students
-  Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
+- Added generic n-dimensional FD solver (thanks to Klaus Spanderen).
 
-- Generalized Hull-White model (thanks to Cavit Hafizoglu.)  The
-  generalized model can take piecewise-constant parameters instead of
-  constant ones. A matching generalized Ornstein-Uhlenbeck process was
-  also added.
+- Added FD pricing engine for a simple storage option based on an
+  exponential Ornstein Uhlenbeck process (thanks to Klaus Spanderen).
 
-- Variance-gamma implementation (thanks to Adrian O'Neill.)
-  Contributed classes include a variance-gamma process and model (with
-  data but no behavior at this time) and a couple of working engines
-  for European options.
+- Added vanilla and swing option FD pricer for Kluge model (thanks to
+  Klaus Spanderen).
 
-- Hybrid products in the McBasket framework (thanks to Andrea Odetti.)
-  Path pricers now take a vector of YieldTermStructures that contains
-  the (possibly stochastic) yield curves.
+- Added FD pricing engine for a simple swing option based on the
+  Black-Scholes model (thanks to Klaus Spanderen).
 
-- Delta calculator for FX options (thanks to Dimitri Reiswich.)
diff --git a/ql/cashflow.cpp b/ql/cashflow.cpp
index 0feb7325c0..1573289167 100644
--- a/ql/cashflow.cpp
+++ b/ql/cashflow.cpp
@@ -24,6 +24,16 @@ namespace QuantLib {
 
     bool CashFlow::hasOccurred(const Date& refDate,
                                boost::optional<bool> includeRefDate) const {
+
+        // easy and quick handling of most cases
+        if (refDate != Date()) {
+            Date cf = date();
+            if (refDate < cf)
+                return false;
+            if (cf < refDate)
+                return true;
+        }
+
         if (refDate == Date() ||
             refDate == Settings::instance().evaluationDate()) {
             // today's date; we override the bool with the one
diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
index 85cc1b335d..ed9bc78564 100644
--- a/ql/cashflows/cashflows.cpp
+++ b/ql/cashflows/cashflows.cpp
@@ -585,7 +585,8 @@ namespace QuantLib {
             if (leg.empty())
                 return 0.0;
 
-            QL_REQUIRE(settlementDate!=Date(), "null settlement date");
+            if (settlementDate == Date())
+                settlementDate = Settings::instance().evaluationDate();
 
             if (npvDate == Date())
                 npvDate = settlementDate;
@@ -1096,6 +1097,11 @@ namespace QuantLib {
 
                 if (npvDate == Date())
                     npvDate = settlementDate;
+
+                // if the discount curve allows extrapolation, let's
+                // the spreaded curve do too.
+                curve_.enableExtrapolation(
+                                  discountCurve->allowsExtrapolation());
             }
             Real operator()(Rate zSpread) const {
                 zSpread_->setValue(zSpread);
diff --git a/ql/cashflows/cpicouponpricer.cpp b/ql/cashflows/cpicouponpricer.cpp
index a05aabc94b..024493f473 100644
--- a/ql/cashflows/cpicouponpricer.cpp
+++ b/ql/cashflows/cpicouponpricer.cpp
@@ -20,7 +20,7 @@
 #include <ql/cashflows/cpicouponpricer.hpp>
 
 namespace QuantLib {
-	
+
     CPICouponPricer::
     CPICouponPricer(const Handle<CPIVolatilitySurface>& capletVol)
     : capletVol_(capletVol) {
@@ -102,7 +102,7 @@ namespace QuantLib {
 
         if (fixing == Null<Rate>())
             fixing = coupon_->indexFixing() / coupon_->baseCPI();
-		//std::cout << " adjustedFixing " << fixing << std::endl;
+        //std::cout << " adjustedFixing " << fixing << std::endl;
         // no adjustment
         return fixing;
     }
@@ -132,7 +132,7 @@ namespace QuantLib {
     Real CPICouponPricer::swapletPrice() const {
 
         Real swapletPrice = adjustedFixing() * coupon_->accrualPeriod() * discount_;
-		//std::cout << swapletPrice << " SWAPLET price" << std::endl;
+        //std::cout << swapletPrice << " SWAPLET price" << std::endl;
         return gearing_ * swapletPrice + spreadLegValue_;
     }
 
@@ -142,7 +142,7 @@ namespace QuantLib {
         // a yield curve, i.e. we do not get the problem
         // that a discounting-instrument-pricer is used
         // with a different yield curve
-		//std::cout << (gearing_ * adjustedFixing() + spread_) << " SWAPLET rate" << gearing_ << " " << spread_ << std::endl;
+        //std::cout << (gearing_ * adjustedFixing() + spread_) << " SWAPLET rate" << gearing_ << " " << spread_ << std::endl;
         return gearing_ * adjustedFixing() + spread_;
     }
 
diff --git a/ql/cashflows/cpicouponpricer.hpp b/ql/cashflows/cpicouponpricer.hpp
index f2ac3e5413..ea73a1c9ca 100644
--- a/ql/cashflows/cpicouponpricer.hpp
+++ b/ql/cashflows/cpicouponpricer.hpp
@@ -81,10 +81,6 @@ namespace QuantLib {
         Real spreadLegValue_;
     };
 
-	
-}	// namespace QuantLib
-
+}   // namespace QuantLib
 
 #endif
-
-
diff --git a/ql/config.msvc.hpp b/ql/config.msvc.hpp
index 4b98aea809..26cc88e477 100644
--- a/ql/config.msvc.hpp
+++ b/ql/config.msvc.hpp
@@ -96,14 +96,11 @@
 // move inside here configs specific to VC++ 10 (2010)
 #  define QL_PATCH_MSVC100
 #  define QL_WORKING_BOOST_STREAMS
-// this goes here until we figure out what's wrong with boost::uBLAS
-#  define QL_NO_UBLAS_SUPPORT
 #else
 // Microsoft compiler we still don't know about.
 // We treat it the same way as the latest and hope for the better.
 #  define QL_PATCH_MSVC100
 #  define QL_WORKING_BOOST_STREAMS
-#  define QL_NO_UBLAS_SUPPORT
 #endif
 
 #ifndef _CPPRTTI
diff --git a/ql/event.cpp b/ql/event.cpp
index 90eaaaedad..2f6495f079 100644
--- a/ql/event.cpp
+++ b/ql/event.cpp
@@ -23,14 +23,14 @@
 
 namespace QuantLib {
 
-    bool Event::hasOccurred(const Date& d,
-                            boost::optional<bool> includeToday) const {
+    bool Event::hasOccurred(const Date& d, // refDate
+                            boost::optional<bool> includeRefDate) const {
         Date refDate =
             d != Date() ? d : Settings::instance().evaluationDate();
-        bool includeTodaysEvent =
-            includeToday ? *includeToday :
-                           Settings::instance().includeReferenceDateCashFlows();
-        if (includeTodaysEvent)
+        bool includeRefDateEvent =
+            includeRefDate ? *includeRefDate :
+                           Settings::instance().includeReferenceDateEvents();
+        if (includeRefDateEvent)
             return date() < refDate;
         else
             return date() <= refDate;
diff --git a/ql/experimental/commodities/energybasisswap.cpp b/ql/experimental/commodities/energybasisswap.cpp
index e1091fd193..c3ead7ebf2 100644
--- a/ql/experimental/commodities/energybasisswap.cpp
+++ b/ql/experimental/commodities/energybasisswap.cpp
@@ -86,6 +86,7 @@ namespace QuantLib {
             paymentCashFlows_.clear();
 
             Date evaluationDate = Settings::instance().evaluationDate();
+
             const Currency& baseCurrency =
                 CommoditySettings::instance().currency();
             const UnitOfMeasure baseUnitOfMeasure =
diff --git a/ql/experimental/commodities/energyvanillaswap.cpp b/ql/experimental/commodities/energyvanillaswap.cpp
index 921fb56bcb..6d8b43936f 100644
--- a/ql/experimental/commodities/energyvanillaswap.cpp
+++ b/ql/experimental/commodities/energyvanillaswap.cpp
@@ -74,6 +74,7 @@ namespace QuantLib {
             paymentCashFlows_.clear();
 
             Date evaluationDate = Settings::instance().evaluationDate();
+
             const Currency& baseCurrency =
                 CommoditySettings::instance().currency();
             const UnitOfMeasure baseUnitOfMeasure =
diff --git a/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp b/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
index 634ff40b36..fe932a61e3 100644
--- a/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
+++ b/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
@@ -28,7 +28,7 @@ namespace QuantLib {
     KirkSpreadOptionEngine::KirkSpreadOptionEngine(
             const boost::shared_ptr<BlackProcess>& process1,
             const boost::shared_ptr<BlackProcess>& process2,
-			const Handle<Quote>& correlation)
+            const Handle<Quote>& correlation)
     : process1_(process1), process2_(process2), rho_(correlation) {
         registerWith(process1_);
         registerWith(process2_);
@@ -37,21 +37,21 @@ namespace QuantLib {
 
     void KirkSpreadOptionEngine::calculate() const {
 
-		// First: tests on types
+        // First: tests on types
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "not an European Option");
 
         boost::shared_ptr<PlainVanillaPayoff> payoff =
-			boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
         QL_REQUIRE(payoff, "not a plain-vanilla payoff");
 
-		// forward values - futures, so b=0
+        // forward values - futures, so b=0
         Real forward1 = process1_->stateVariable()->value();
         Real forward2 = process2_->stateVariable()->value();
 
         Date exerciseDate = arguments_.exercise->lastDate();
 
-		// Volatilities
+        // Volatilities
         Real sigma1 =
             process1_->blackVolatility()->blackVol(exerciseDate,forward1);
         Real sigma2 =
@@ -60,38 +60,38 @@ namespace QuantLib {
         DiscountFactor riskFreeDiscount =
             process1_->riskFreeRate()->discount(exerciseDate);
 
-		Real strike = payoff->strike();
+        Real strike = payoff->strike();
 
-		// Unique F (forward) value for pricing
+        // Unique F (forward) value for pricing
         Real F = forward1/(forward2+strike);
-		
-		// Its volatility
-		Real sigma =
+        
+        // Its volatility
+        Real sigma =
             sqrt(pow(sigma1,2)
                  + pow((sigma2*(forward2/(forward2+strike))),2)
                  - 2*rho_->value()*sigma1*sigma2*(forward2/(forward2+strike)));
-		
-		// Day counter and Dates handling variables
-		DayCounter rfdc = process1_->riskFreeRate()->dayCounter();
-		Time t = rfdc.yearFraction(process1_->riskFreeRate()->referenceDate(),
+        
+        // Day counter and Dates handling variables
+        DayCounter rfdc = process1_->riskFreeRate()->dayCounter();
+        Time t = rfdc.yearFraction(process1_->riskFreeRate()->referenceDate(),
                                    arguments_.exercise->lastDate());
 
-		// Black-Scholes solution values
-		Real d1 = (log(F)+ 0.5*pow(sigma,2)*t) / (sigma*sqrt(t));
+        // Black-Scholes solution values
+        Real d1 = (log(F)+ 0.5*pow(sigma,2)*t) / (sigma*sqrt(t));
         Real d2 = d1 - sigma*sqrt(t);
 
         CumulativeNormalDistribution cum;
         Real Nd1 = cum(d1);
         Real Nd2 = cum(d2);
-		Real NMd1 = cum(-d1);
-		Real NMd2 = cum(-d2);
+        Real NMd1 = cum(-d1);
+        Real NMd2 = cum(-d2);
         
-		if (payoff->optionType()==Option::Call) {
-			results_.value = riskFreeDiscount*(F*Nd1-Nd2)*(forward2+strike);
-		} else {
-			results_.value = riskFreeDiscount*(NMd2 -F*NMd1)*(forward2+strike);
-		}
+        if (payoff->optionType()==Option::Call) {
+            results_.value = riskFreeDiscount*(F*Nd1-Nd2)*(forward2+strike);
+        } else {
+            results_.value = riskFreeDiscount*(NMd2 -F*NMd1)*(forward2+strike);
+        }
     }
-	
+    
 }
 
diff --git a/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp b/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
index 17f4e3e6dd..3650ea3e4d 100644
--- a/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
+++ b/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
@@ -35,7 +35,7 @@ namespace QuantLib {
         KirkSpreadOptionEngine(
             const boost::shared_ptr<BlackProcess>& process1,
             const boost::shared_ptr<BlackProcess>& process2,
-			const Handle<Quote>& correlation);
+            const Handle<Quote>& correlation);
         void calculate() const;
       private:
         boost::shared_ptr<BlackProcess> process1_;
diff --git a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
index 34a7d27d3d..1c244e8470 100644
--- a/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
+++ b/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
@@ -26,6 +26,8 @@
 #define quantlib_fdm_exp_ext_ou_inner_value_calculator_hpp
 
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/payoff.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
index 4f3513646a..a7a5957ef3 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
@@ -32,6 +32,7 @@ namespace QuantLib {
 
     class Fdm2DimSolver;
     class ExtOUWithJumpsProcess;
+    class YieldTermStructure;
 
     class FdmExtOUJumpSolver : public LazyObject {
       public:
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index 20c57b8cae..fc5202e3ac 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -34,8 +34,10 @@ namespace QuantLib {
     class FdmMesher;
     class YieldTermStructure;
     class KlugeExtOUProcess;
+    class ExtOUWithJumpsProcess;
     class FdmExtOUJumpOp;
     class FdmExtendedOrnsteinUhlenbackOp;
+    class ExtendedOrnsteinUhlenbeckProcess;
 
     /*! This class describes a correlated Kluge - extended Ornstein-Uhlenbeck
         process governed by
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
index 0a7312b85e..4d8057b7cc 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
@@ -31,6 +31,7 @@
 namespace QuantLib {
 
     class ExtendedOrnsteinUhlenbeckProcess;
+    class YieldTermStructure;
 
     class FdSimpleExtOUStorageEngine
         : public GenericEngine<VanillaStorageOption::arguments,
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
index b1f1690011..cb1b57b308 100644
--- a/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.cpp
@@ -25,28 +25,27 @@ namespace QuantLib {
 
     CPICapFloorTermPriceSurface::
     CPICapFloorTermPriceSurface(Real nominal, 
-								Real baseRate,						// avoids an uncontrolled crash if index has no TS
-								const Period &observationLag,
-								const Calendar &cal,				// calendar in index may not be useful
-								const BusinessDayConvention &bdc,
-								const DayCounter &dc,
-								const Handle<ZeroInflationIndex>& zii,
-								const Handle<YieldTermStructure>& yts,
-								const std::vector<Rate> &cStrikes,
-								const std::vector<Rate> &fStrikes,
-								const std::vector<Period> &cfMaturities,
-								const Matrix &cPrice,
-								const Matrix &fPrice)
+                                Real baseRate,                      // avoids an uncontrolled crash if index has no TS
+                                const Period &observationLag,
+                                const Calendar &cal,                // calendar in index may not be useful
+                                const BusinessDayConvention &bdc,
+                                const DayCounter &dc,
+                                const Handle<ZeroInflationIndex>& zii,
+                                const Handle<YieldTermStructure>& yts,
+                                const std::vector<Rate> &cStrikes,
+                                const std::vector<Rate> &fStrikes,
+                                const std::vector<Period> &cfMaturities,
+                                const Matrix &cPrice,
+                                const Matrix &fPrice)
     : InflationTermStructure(0, cal, baseRate, observationLag, zii->frequency(), 
-							 zii->interpolated(), yts, dc),
-      zii_(zii),
-      cStrikes_(cStrikes), fStrikes_(fStrikes),
+                             zii->interpolated(), yts, dc),
+      zii_(zii), cStrikes_(cStrikes), fStrikes_(fStrikes),
       cfMaturities_(cfMaturities), cPrice_(cPrice), fPrice_(fPrice), bdc_(bdc) {
 
-		  // does the index have a TS?
-		  QL_REQUIRE(!zii_->zeroInflationTermStructure().empty(),"ZITS missing from index");
-		  QL_REQUIRE(!this->nominalTermStructure().empty(),"nominal TS missing");
-		  	  
+          // does the index have a TS?
+          QL_REQUIRE(!zii_->zeroInflationTermStructure().empty(),"ZITS missing from index");
+          QL_REQUIRE(!this->nominalTermStructure().empty(),"nominal TS missing");
+              
         // data consistency checking, enough data?
         QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");
         QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");
@@ -81,7 +80,7 @@ namespace QuantLib {
                 if(i>0) {
                     QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],
                                 "non-decreasing cap prices: " 
-							   << cPrice_[i][j] << " then " << cPrice_[i-1][j]);
+                               << cPrice_[i][j] << " then " << cPrice_[i-1][j]);
                 }
             }
         }
@@ -107,28 +106,28 @@ namespace QuantLib {
                         "cfStrikes not increasing");
     }
 
-	
+    
     Date CPICapFloorTermPriceSurface::cpiOptionDateFromTenor(const Period& p) const
     {
         return Date(calendar().adjust(referenceDate() + p, businessDayConvention()));
     }
 
-	
-	Real CPICapFloorTermPriceSurface::price(const Period &d, Rate k) const {
+    
+    Real CPICapFloorTermPriceSurface::price(const Period &d, Rate k) const {
         return this->price(cpiOptionDateFromTenor(d), k);
     }
-	
+    
 
     Real CPICapFloorTermPriceSurface::capPrice(const Period &d, Rate k) const {
         return this->capPrice(cpiOptionDateFromTenor(d), k);
     }
-	
+    
 
     Real CPICapFloorTermPriceSurface::floorPrice(const Period &d, Rate k) const {
         return this->floorPrice(cpiOptionDateFromTenor(d), k);
     }
-	
-	
+    
+    
     
 
 }
diff --git a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
index 156efbe258..70f0c735bc 100644
--- a/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
+++ b/ql/experimental/inflation/cpicapfloortermpricesurface.hpp
@@ -19,18 +19,18 @@
 
 /*! \file cpicapfloortermpricesurface.hpp
     \brief cpi inflation cap and floor term price structure.  N.B. 
-		   cpi cap/floors have a single (one) flow (unlike nominal
-		   caps) because they observe cumulative inflation up to
-		   their maturity.  Options are on CPI(T)/CPI(0) but strikes
-		   are quoted for yearly average inflation, so require transformation
-		   via (1+quote)^T to obtain actual strikes.  These are consistent
-		   with ZCIIS quoting conventions.
+           cpi cap/floors have a single (one) flow (unlike nominal
+           caps) because they observe cumulative inflation up to
+           their maturity.  Options are on CPI(T)/CPI(0) but strikes
+           are quoted for yearly average inflation, so require transformation
+           via (1+quote)^T to obtain actual strikes.  These are consistent
+           with ZCIIS quoting conventions.
  
-	The single-flow property of CPI cap/floors means that no stripping
-	is required.  Additionally CPI swaps, i.e. ZCIIS zero coupon inflation
-	indexed swaps are usually the most liquid of all the inflation products.
-	These two facts mean that we can use a Zero Inflation term structure to
-	give ATM.
+    The single-flow property of CPI cap/floors means that no stripping
+    is required.  Additionally CPI swaps, i.e. ZCIIS zero coupon inflation
+    indexed swaps are usually the most liquid of all the inflation products.
+    These two facts mean that we can use a Zero Inflation term structure to
+    give ATM.
  
 */
 
@@ -48,34 +48,34 @@ namespace QuantLib {
 
     //! Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).
     /*! 
-		The inflation index MUST contain a ZeroInflationTermStructure as
-		this is used to create ATM.  Unlike YoY price surfaces we
-		assume that 1) an ATM ZeroInflationTermStructure is available
-		and 2) that it is safe to use it.  This is supported by the 
-		fact that no stripping is required for CPI cap/floors as they
-		only give one flow.
-
-		cpi cap/floors have a single (one) flow (unlike nominal
-		caps) because they observe cumulative inflation up to
-		their maturity.  Options are on CPI(T)/CPI(0) but strikes
-		are quoted for yearly average inflation, so require transformation
-		via (1+quote)^T to obtain actual strikes.  These are consistent
-		with ZCIIS quoting conventions.
-	 
+        The inflation index MUST contain a ZeroInflationTermStructure as
+        this is used to create ATM.  Unlike YoY price surfaces we
+        assume that 1) an ATM ZeroInflationTermStructure is available
+        and 2) that it is safe to use it.  This is supported by the 
+        fact that no stripping is required for CPI cap/floors as they
+        only give one flow.
+
+        cpi cap/floors have a single (one) flow (unlike nominal
+        caps) because they observe cumulative inflation up to
+        their maturity.  Options are on CPI(T)/CPI(0) but strikes
+        are quoted for yearly average inflation, so require transformation
+        via (1+quote)^T to obtain actual strikes.  These are consistent
+        with ZCIIS quoting conventions.
+     
         The observationLag is that for the referenced instrument prices.
-		Strikes are as-quoted not as-used. 
+        Strikes are as-quoted not as-used. 
     */    
     class CPICapFloorTermPriceSurface : public InflationTermStructure {
       public:
         CPICapFloorTermPriceSurface(Real nominal, 
-									Real baseRate,	// avoids an uncontrolled crash if index has no TS
-									const Period &observationLag,	
-									const Calendar &cal, // calendar in index may not be useful
-									const BusinessDayConvention &bdc,
-									const DayCounter &dc,
-									const Handle<ZeroInflationIndex>& zii,
-									const Handle<YieldTermStructure>& yts,
-									const std::vector<Rate> &cStrikes,
+                                    Real baseRate,  // avoids an uncontrolled crash if index has no TS
+                                    const Period &observationLag,   
+                                    const Calendar &cal, // calendar in index may not be useful
+                                    const BusinessDayConvention &bdc,
+                                    const DayCounter &dc,
+                                    const Handle<ZeroInflationIndex>& zii,
+                                    const Handle<YieldTermStructure>& yts,
+                                    const std::vector<Rate> &cStrikes,
                                     const std::vector<Rate> &fStrikes,
                                     const std::vector<Period> &cfMaturities,
                                     const Matrix &cPrice,
@@ -83,8 +83,8 @@ namespace QuantLib {
  
         //! \name InflationTermStructure interface
         //@{
-		Period observationLag() const;
-		Date baseDate() const;
+        Period observationLag() const;
+        Date baseDate() const;
         //@}
 
         //! is based on
@@ -96,37 +96,37 @@ namespace QuantLib {
                   without checking the ZeroInflation ATM level.
         */
         //@{
-		virtual Real nominal() const;
-		virtual BusinessDayConvention businessDayConvention() const;
+        virtual Real nominal() const;
+        virtual BusinessDayConvention businessDayConvention() const;
         //@}
 
-		//! \warning you MUST remind the compiler in any descendants with the using:: mechanism 
-		//!          because you overload the names
-		//! remember that the strikes use the quoting convention
-		//@{
-		virtual Real price(const Period &d, Rate k) const;
+        //! \warning you MUST remind the compiler in any descendants with the using:: mechanism 
+        //!          because you overload the names
+        //! remember that the strikes use the quoting convention
+        //@{
+        virtual Real price(const Period &d, Rate k) const;
         virtual Real capPrice(const Period &d, Rate k) const;
         virtual Real floorPrice(const Period &d, Rate k) const;
-		virtual Real price(const Date &d, Rate k) const = 0;
-		virtual Real capPrice(const Date &d, Rate k) const = 0;
+        virtual Real price(const Date &d, Rate k) const = 0;
+        virtual Real capPrice(const Date &d, Rate k) const = 0;
         virtual Real floorPrice(const Date &d, Rate k) const = 0;
-		//@}
-		
+        //@}
+        
         virtual std::vector<Rate> strikes() const {return cfStrikes_;}
         virtual std::vector<Rate> capStrikes() const {return cStrikes_;}
         virtual std::vector<Rate> floorStrikes() const {return fStrikes_;}
         virtual std::vector<Period> maturities() const {return cfMaturities_;}
-		
-		virtual const Matrix &capPrices() const { return cPrice_; }
-		virtual const Matrix &floorPrices() const { return fPrice_; }
-		
+        
+        virtual const Matrix &capPrices() const { return cPrice_; }
+        virtual const Matrix &floorPrices() const { return fPrice_; }
+        
         virtual Rate minStrike() const {return cfStrikes_.front();};
         virtual Rate maxStrike() const {return cfStrikes_.back();};
         virtual Date minDate() const {return referenceDate()+cfMaturities_.front();}// \TODO deal with index interpolation
         virtual Date maxDate() const {return referenceDate()+cfMaturities_.back();}
         //@}
 
-		
+        
         virtual Date cpiOptionDateFromTenor(const Period& p) const;
 
       protected:
@@ -136,8 +136,8 @@ namespace QuantLib {
         virtual bool checkMaturity(const Date& d) {
             return ( minDate() <= d && d <= maxDate() );
         }
-		
-		
+        
+        
 
         Handle<ZeroInflationIndex> zii_;
         // data
@@ -154,55 +154,55 @@ namespace QuantLib {
         BusinessDayConvention bdc_;
     };
 
-		
+        
 
     template<class Interpolator2D>
     class InterpolatedCPICapFloorTermPriceSurface
         : public CPICapFloorTermPriceSurface {
-			public:
-			InterpolatedCPICapFloorTermPriceSurface(Real nominal, 
-												Rate startRate,
-												const Period &observationLag,
-												const Calendar &cal,
-												const BusinessDayConvention &bdc,
-												const DayCounter &dc,
-												const Handle<ZeroInflationIndex>& zii,
-												const Handle<YieldTermStructure>& yts,
-												const std::vector<Rate> &cStrikes,
-												const std::vector<Rate> &fStrikes,
-												const std::vector<Period> &cfMaturities,
-												const Matrix &cPrice,
-												const Matrix &fPrice,
-												const Interpolator2D &interpolator2d = Interpolator2D());
-
-			//! \name LazyObject interface
-			//@{
-			void update();
-			void performCalculations() const;
-			//@}
-			
-			//! required to allow for method hiding
-			//@{
-			using CPICapFloorTermPriceSurface::price;
-			using CPICapFloorTermPriceSurface::capPrice;
-			using CPICapFloorTermPriceSurface::floorPrice;
-			//@}
-			
-			//! remember that the strikes use the quoting convention
-			//@{
-			virtual Real price(const Date &d, Rate k) const;
-			virtual Real capPrice(const Date &d, Rate k) const;
-			virtual Real floorPrice(const Date &d, Rate k) const;
-			//@}
-			
-		protected:
+            public:
+            InterpolatedCPICapFloorTermPriceSurface(Real nominal, 
+                                                Rate startRate,
+                                                const Period &observationLag,
+                                                const Calendar &cal,
+                                                const BusinessDayConvention &bdc,
+                                                const DayCounter &dc,
+                                                const Handle<ZeroInflationIndex>& zii,
+                                                const Handle<YieldTermStructure>& yts,
+                                                const std::vector<Rate> &cStrikes,
+                                                const std::vector<Rate> &fStrikes,
+                                                const std::vector<Period> &cfMaturities,
+                                                const Matrix &cPrice,
+                                                const Matrix &fPrice,
+                                                const Interpolator2D &interpolator2d = Interpolator2D());
+
+            //! \name LazyObject interface
+            //@{
+            void update();
+            void performCalculations() const;
+            //@}
+            
+            //! required to allow for method hiding
+            //@{
+            using CPICapFloorTermPriceSurface::price;
+            using CPICapFloorTermPriceSurface::capPrice;
+            using CPICapFloorTermPriceSurface::floorPrice;
+            //@}
+            
+            //! remember that the strikes use the quoting convention
+            //@{
+            virtual Real price(const Date &d, Rate k) const;
+            virtual Real capPrice(const Date &d, Rate k) const;
+            virtual Real floorPrice(const Date &d, Rate k) const;
+            //@}
+            
+        protected:
         
-			// data for surfaces and curve
-			mutable std::vector<Rate> allStrikes_;
-			mutable Matrix cPriceB_;
-			mutable Matrix fPriceB_;
-			mutable Interpolation2D capPrice_, floorPrice_;
-			mutable Interpolator2D interpolator2d_;
+            // data for surfaces and curve
+            mutable std::vector<Rate> allStrikes_;
+            mutable Matrix cPriceB_;
+            mutable Matrix fPriceB_;
+            mutable Interpolation2D capPrice_, floorPrice_;
+            mutable Interpolator2D interpolator2d_;
     };
 
 
@@ -214,29 +214,29 @@ namespace QuantLib {
     template<class Interpolator2D>
     InterpolatedCPICapFloorTermPriceSurface<Interpolator2D>::
     InterpolatedCPICapFloorTermPriceSurface(Real nominal, 
-											Rate startRate,
-											const Period &observationLag,	
-											const Calendar &cal,
-											const BusinessDayConvention &bdc,
-											const DayCounter &dc,
-											const Handle<ZeroInflationIndex>& zii,
-											const Handle<YieldTermStructure>& yts,
-											const std::vector<Rate> &cStrikes,
-											const std::vector<Rate> &fStrikes,
-											const std::vector<Period> &cfMaturities,
-											const Matrix &cPrice,
-											const Matrix &fPrice,
-											const Interpolator2D &interpolator2d)
+                                            Rate startRate,
+                                            const Period &observationLag,   
+                                            const Calendar &cal,
+                                            const BusinessDayConvention &bdc,
+                                            const DayCounter &dc,
+                                            const Handle<ZeroInflationIndex>& zii,
+                                            const Handle<YieldTermStructure>& yts,
+                                            const std::vector<Rate> &cStrikes,
+                                            const std::vector<Rate> &fStrikes,
+                                            const std::vector<Period> &cfMaturities,
+                                            const Matrix &cPrice,
+                                            const Matrix &fPrice,
+                                            const Interpolator2D &interpolator2d)
     : CPICapFloorTermPriceSurface(nominal, startRate, observationLag, cal, bdc, dc,
-								  zii, yts, cStrikes, fStrikes, cfMaturities, cPrice, fPrice),
+                                  zii, yts, cStrikes, fStrikes, cfMaturities, cPrice, fPrice),
       interpolator2d_(interpolator2d) {
         performCalculations();
     }
 
     #endif
 
-	
-	
+    
+    
     template<class I2D>
     void InterpolatedCPICapFloorTermPriceSurface<I2D>::
     update() {
@@ -244,106 +244,106 @@ namespace QuantLib {
     }
 
 
-	//! set up the interpolations for capPrice_ and floorPrice_
-	//! since we know ATM, and we have single flows,
-	//! we can use put/call parity to extend the surfaces
-	//! across all strikes
+    //! set up the interpolations for capPrice_ and floorPrice_
+    //! since we know ATM, and we have single flows,
+    //! we can use put/call parity to extend the surfaces
+    //! across all strikes
     template<class I2D>
     void InterpolatedCPICapFloorTermPriceSurface<I2D>::
     performCalculations() const {
         
-		
-		Size nMat = cfMaturities_.size(), ncK = cStrikes_.size(), nfK = fStrikes_.size(),
-			nK = ncK + nfK;
-		Matrix cP(nK, nMat), fP(nK, nMat);
-		Handle<ZeroInflationTermStructure> zts = zii_->zeroInflationTermStructure();
-		Handle<YieldTermStructure> yts = this->nominalTermStructure();
-		QL_REQUIRE(!zts.empty(),"Zts is empty!!!");
-		QL_REQUIRE(!yts.empty(),"Yts is empty!!!");
-		
-		for (Size i =0; i<nfK; i++){
-			allStrikes_.push_back(fStrikes_[i]);
-			for (Size j=0; j<nMat; j++) {
-				Period mat = cfMaturities_[j];
-				Real df = yts->discount(cpiOptionDateFromTenor(mat));
-				Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
-				Real atm = pow(1.0+atm_quote, mat.length());
-				Real S = atm * df;
-				Real K_quote = fStrikes_[i]/100.0;
-				Real K = pow(1.0+K_quote, mat.length());
-				cP[i][j] = fPrice_[i][j] + S - K * df;
-				fP[i][j] = fPrice_[i][j];
-			}
-		}
-		for (Size i =0; i<ncK; i++){
-			allStrikes_.push_back(cStrikes_[i]);
-			for (Size j=0; j<nMat; j++) {
-				Period mat = cfMaturities_[j];
-				Real df = yts->discount(cpiOptionDateFromTenor(mat));
-				Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
-				Real atm = pow(1.0+atm_quote, mat.length());
-				Real S = atm * df;
-				Real K_quote = cStrikes_[i]/100.0;
-				Real K = pow(1.0+K_quote, mat.length());
-				cP[i+nfK][j] = cPrice_[i][j];
-				fP[i+nfK][j] = cPrice_[i][j] + K * df - S;
-			}
-		}
-		
-		// copy to store		
-		cPriceB_ = cP;
-		fPriceB_ = fP;
-		
-		cfMaturityTimes_.clear();
+        
+        Size nMat = cfMaturities_.size(), ncK = cStrikes_.size(), nfK = fStrikes_.size(),
+            nK = ncK + nfK;
+        Matrix cP(nK, nMat), fP(nK, nMat);
+        Handle<ZeroInflationTermStructure> zts = zii_->zeroInflationTermStructure();
+        Handle<YieldTermStructure> yts = this->nominalTermStructure();
+        QL_REQUIRE(!zts.empty(),"Zts is empty!!!");
+        QL_REQUIRE(!yts.empty(),"Yts is empty!!!");
+        
+        for (Size i =0; i<nfK; i++){
+            allStrikes_.push_back(fStrikes_[i]);
+            for (Size j=0; j<nMat; j++) {
+                Period mat = cfMaturities_[j];
+                Real df = yts->discount(cpiOptionDateFromTenor(mat));
+                Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
+                Real atm = pow(1.0+atm_quote, mat.length());
+                Real S = atm * df;
+                Real K_quote = fStrikes_[i]/100.0;
+                Real K = pow(1.0+K_quote, mat.length());
+                cP[i][j] = fPrice_[i][j] + S - K * df;
+                fP[i][j] = fPrice_[i][j];
+            }
+        }
+        for (Size i =0; i<ncK; i++){
+            allStrikes_.push_back(cStrikes_[i]);
+            for (Size j=0; j<nMat; j++) {
+                Period mat = cfMaturities_[j];
+                Real df = yts->discount(cpiOptionDateFromTenor(mat));
+                Real atm_quote = zts->zeroRate(cpiOptionDateFromTenor(mat));
+                Real atm = pow(1.0+atm_quote, mat.length());
+                Real S = atm * df;
+                Real K_quote = cStrikes_[i]/100.0;
+                Real K = pow(1.0+K_quote, mat.length());
+                cP[i+nfK][j] = cPrice_[i][j];
+                fP[i+nfK][j] = cPrice_[i][j] + K * df - S;
+            }
+        }
+        
+        // copy to store        
+        cPriceB_ = cP;
+        fPriceB_ = fP;
+        
+        cfMaturityTimes_.clear();
         for (Size i=0; i<cfMaturities_.size();i++) {
             cfMaturityTimes_.push_back(timeFromReference(cpiOptionDateFromTenor(cfMaturities_[i])));
         }
-		
+        
         capPrice_ = interpolator2d_.interpolate(cfMaturityTimes_.begin(),cfMaturityTimes_.end(),
-												allStrikes_.begin(), allStrikes_.end(),
-												cPriceB_
-												);
+                                                allStrikes_.begin(), allStrikes_.end(),
+                                                cPriceB_
+                                                );
         capPrice_.enableExtrapolation();
-		
+        
         floorPrice_ = interpolator2d_.interpolate(cfMaturityTimes_.begin(),cfMaturityTimes_.end(),
-												  allStrikes_.begin(), allStrikes_.end(),
-												  fPriceB_
-												  );
+                                                  allStrikes_.begin(), allStrikes_.end(),
+                                                  fPriceB_
+                                                  );
         floorPrice_.enableExtrapolation();
-		
-		/* test code - note order of indices
-		for (Size i =0; i<nK; i++){
-			std::cout << allStrikes_[i] << ":  ";
-			Real qK = allStrikes_[i];
-			for (Size j=0; j<nMat; j++) {
-				Real t = cfMaturityTimes_[j];
-				std::cout << fP[i][j] << "," << floorPrice_(t,qK) << " | " ;
-			}
-			std::cout << std::endl;
-		}
-		
-		for (Size i =0; i<nK; i++){
-			std::cout << allStrikes_[i] << ":  ";
-			Real qK = allStrikes_[i];
-			for (Size j=0; j<nMat; j++) {
-				Real t = cfMaturityTimes_[j];
-				std::cout << cP[i][j] << "," << capPrice_(t,qK) << " | " ;
-			}
-			std::cout << std::endl;
-		}
-		*/
+        
+        /* test code - note order of indices
+        for (Size i =0; i<nK; i++){
+            std::cout << allStrikes_[i] << ":  ";
+            Real qK = allStrikes_[i];
+            for (Size j=0; j<nMat; j++) {
+                Real t = cfMaturityTimes_[j];
+                std::cout << fP[i][j] << "," << floorPrice_(t,qK) << " | " ;
+            }
+            std::cout << std::endl;
+        }
+        
+        for (Size i =0; i<nK; i++){
+            std::cout << allStrikes_[i] << ":  ";
+            Real qK = allStrikes_[i];
+            for (Size j=0; j<nMat; j++) {
+                Real t = cfMaturityTimes_[j];
+                std::cout << cP[i][j] << "," << capPrice_(t,qK) << " | " ;
+            }
+            std::cout << std::endl;
+        }
+        */
     }
 
-	//! remember that the strike uses the quoting convention
+    //! remember that the strike uses the quoting convention
     template<class I2D>
     Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
     price(const Date &d, Rate k) const {
-		
+        
         Rate atm = zeroInflationIndex()->zeroInflationTermStructure()->zeroRate(d);
         return k > atm ? capPrice(d,k): floorPrice(d,k);
     }
 
-	//! remember that the strike uses the quoting convention
+    //! remember that the strike uses the quoting convention
     template<class I2D>
     Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
     capPrice(const Date &d, Rate k) const {
@@ -351,7 +351,7 @@ namespace QuantLib {
         return capPrice_(t,k);
     }
 
-	//! remember that the strike uses the quoting convention
+    //! remember that the strike uses the quoting convention
     template<class I2D>
     Real InterpolatedCPICapFloorTermPriceSurface<I2D>::
     floorPrice(const Date &d, Rate k) const {
diff --git a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
index 4da616f927..4e75d49e35 100644
--- a/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
+++ b/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp
@@ -283,11 +283,6 @@ namespace QuantLib {
                                             helperInstruments) );
             testPW->recalculate();
             volCurves_.push_back(testPW);
-            /*
-            for(Size j = 0; j < YoYCapFloorTermPriceSurface_->maturities().size(); j++) {
-                Date di =  helpers[j]->latestDate();
-            }
-            */
         }
     }
 
diff --git a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
index 0410780166..9e58905860 100644
--- a/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
+++ b/ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp
@@ -88,21 +88,21 @@ namespace QuantLib {
               const Real bu = b_(u);
               const Real ex = std::exp(-speed_*dt);
 
-			  return ouProcess_->expectation(t0, x0, dt)
-					+ bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
-			}
-			break;
-		  case GaussLobatto:
-		      return ouProcess_->expectation(t0, x0, dt)
-				  + speed_*std::exp(-speed_*(t0+dt))
-				  * GaussLobattoIntegral(100000, intEps_)(
-				         boost::lambda::bind(b_, boost::lambda::_1)
-						*boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
-										  speed_*boost::lambda::_1), t0, t0+dt);
-			break;
-		  default:
-			QL_FAIL("unknown discretization scheme");
-		}
+              return ouProcess_->expectation(t0, x0, dt)
+                    + bt-ex*bu - (bt-bu)/(speed_*dt)*(1-ex);
+            }
+            break;
+          case GaussLobatto:
+              return ouProcess_->expectation(t0, x0, dt)
+                  + speed_*std::exp(-speed_*(t0+dt))
+                  * GaussLobattoIntegral(100000, intEps_)(
+                         boost::lambda::bind(b_, boost::lambda::_1)
+                        *boost::lambda::bind(std::ptr_fun<Real, Real>(std::exp),
+                                          speed_*boost::lambda::_1), t0, t0+dt);
+            break;
+          default:
+            QL_FAIL("unknown discretization scheme");
+        }
     }
 }
 
diff --git a/ql/experimental/processes/klugeextouprocess.cpp b/ql/experimental/processes/klugeextouprocess.cpp
index ff9c1bbd72..8e32b27971 100644
--- a/ql/experimental/processes/klugeextouprocess.cpp
+++ b/ql/experimental/processes/klugeextouprocess.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2011s Klaus Spanderen
+ Copyright (C) 2011 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
diff --git a/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp b/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
index 03c976deae..22a6fb96ee 100644
--- a/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
+++ b/ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp
@@ -54,7 +54,7 @@ namespace {
     double IvopOneDim(double eps, double chi, double theta, double rho,
                       double v0, double eprice, double tau, double rtax)
     {
-        double i0=0.0,  s=0.0,ss=0.0;
+        double i0=0.0, s=0.0, ss=0.0;
         boost::scoped_array<double> xiv(new double[2048*2048+1]);
         double nris=0.0;
         int j=0,mm=0;
@@ -72,7 +72,6 @@ namespace {
         /*
          **********************************************************
          **   i0: initial integrated variance i0=0
-         **   x0: initial centered log-returns x0=0
          **********************************************************
          */
         i0=0.0;
@@ -200,7 +199,7 @@ namespace {
                     double v0, double tau, double rtax,
                     const boost::function<double(double)>& payoff) {
 
-        double i0=0.0, s=0.0,ss=0.0;
+        double i0=0.0, s=0.0, ss=0.0;
         boost::scoped_array<double> xiv(new double[2048*2048+1]);
         boost::scoped_array<double> ivet(new double[2048*2048+1]);
         double nris=0.0;
@@ -210,7 +209,7 @@ namespace {
         double dstep=0;
         double ip=0;
         double payoffval=0;
-        double option=0;
+        double option=0/*, impart=0*/;
 
         double sumr=0,sumi=0;
         Complex dxi,z;
@@ -225,7 +224,6 @@ namespace {
         /*
          **********************************************************
          **   i0: initial integrated variance i0=0
-         **   x0: initial centrated log-returns x0=0
          **********************************************************
          */
         i0=0.0;
@@ -341,6 +339,7 @@ namespace {
         sumi=sumi*nris;
 
         option=std::exp(-rtax*tau)*sumr;
+        //impart=sumi;
         //QL_ENSURE(impart <= 1e-3,
         //          "imaginary part option (must be close to zero) = " << impart);
         return option;
diff --git a/ql/indexes/swapindex.cpp b/ql/indexes/swapindex.cpp
index f607cc9936..1879b0ede6 100644
--- a/ql/indexes/swapindex.cpp
+++ b/ql/indexes/swapindex.cpp
@@ -82,31 +82,31 @@ namespace QuantLib {
     shared_ptr<VanillaSwap>
     SwapIndex::underlyingSwap(const Date& fixingDate) const {
 
-		QL_REQUIRE(fixingDate!=Date(), "null fixing date");
-
-		// caching mechanism
-		if (lastFixingDate_!=fixingDate) {
-			Rate fixedRate = 0.0;
-			if (exogenousDiscount_)
-				lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
-					.withEffectiveDate(valueDate(fixingDate))
-					.withFixedLegCalendar(fixingCalendar())
-					.withFixedLegDayCount(dayCounter_)
-					.withFixedLegTenor(fixedLegTenor_)
-					.withFixedLegConvention(fixedLegConvention_)
-					.withFixedLegTerminationDateConvention(fixedLegConvention_)
-					.withDiscountingTermStructure(discount_);
-			else
-				lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
-					.withEffectiveDate(valueDate(fixingDate))
-					.withFixedLegCalendar(fixingCalendar())
-					.withFixedLegDayCount(dayCounter_)
-					.withFixedLegTenor(fixedLegTenor_)
-					.withFixedLegConvention(fixedLegConvention_)
-					.withFixedLegTerminationDateConvention(fixedLegConvention_);
-			lastFixingDate_ = fixingDate;
-		}
-		return lastSwap_;
+        QL_REQUIRE(fixingDate!=Date(), "null fixing date");
+
+        // caching mechanism
+        if (lastFixingDate_!=fixingDate) {
+            Rate fixedRate = 0.0;
+            if (exogenousDiscount_)
+                lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
+                    .withEffectiveDate(valueDate(fixingDate))
+                    .withFixedLegCalendar(fixingCalendar())
+                    .withFixedLegDayCount(dayCounter_)
+                    .withFixedLegTenor(fixedLegTenor_)
+                    .withFixedLegConvention(fixedLegConvention_)
+                    .withFixedLegTerminationDateConvention(fixedLegConvention_)
+                    .withDiscountingTermStructure(discount_);
+            else
+                lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
+                    .withEffectiveDate(valueDate(fixingDate))
+                    .withFixedLegCalendar(fixingCalendar())
+                    .withFixedLegDayCount(dayCounter_)
+                    .withFixedLegTenor(fixedLegTenor_)
+                    .withFixedLegConvention(fixedLegConvention_)
+                    .withFixedLegTerminationDateConvention(fixedLegConvention_);
+            lastFixingDate_ = fixingDate;
+        }
+        return lastSwap_;
     }
 
     Date SwapIndex::maturityDate(const Date& valueDate) const {
@@ -158,17 +158,17 @@ namespace QuantLib {
     boost::shared_ptr<OvernightIndexedSwap>
     OvernightIndexedSwapIndex::underlyingSwap(const Date& fixingDate) const {
 
-		QL_REQUIRE(fixingDate!=Date(), "null fixing date");
+        QL_REQUIRE(fixingDate!=Date(), "null fixing date");
 
-		// caching mechanism
-		if (lastFixingDate_!=fixingDate) {
+        // caching mechanism
+        if (lastFixingDate_!=fixingDate) {
             Rate fixedRate = 0.0;
             lastSwap_ = MakeOIS(tenor_, overnightIndex_, fixedRate)
                 .withEffectiveDate(valueDate(fixingDate))
                 .withFixedLegDayCount(dayCounter_);
-			lastFixingDate_ = fixingDate;
-		}
-		return lastSwap_;
+            lastFixingDate_ = fixingDate;
+        }
+        return lastSwap_;
     }
 
 }
diff --git a/ql/indexes/swapindex.hpp b/ql/indexes/swapindex.hpp
index 261df80816..b97c72abcd 100644
--- a/ql/indexes/swapindex.hpp
+++ b/ql/indexes/swapindex.hpp
@@ -90,10 +90,10 @@ namespace QuantLib {
         BusinessDayConvention fixedLegConvention_;
         bool exogenousDiscount_;
         Handle<YieldTermStructure> discount_;
-		// cache data to avoid swap recreation when the same fixing date
-		// is used multiple time to forecast changing fixing
+        // cache data to avoid swap recreation when the same fixing date
+        // is used multiple time to forecast changing fixing
         mutable boost::shared_ptr<VanillaSwap> lastSwap_;
-		mutable Date lastFixingDate_;
+        mutable Date lastFixingDate_;
     };
 
 
@@ -117,10 +117,10 @@ namespace QuantLib {
         //@}
       protected:
         boost::shared_ptr<OvernightIndex> overnightIndex_;
-		// cache data to avoid swap recreation when the same fixing date
-		// is used multiple time to forecast changing fixing
+        // cache data to avoid swap recreation when the same fixing date
+        // is used multiple time to forecast changing fixing
         mutable boost::shared_ptr<OvernightIndexedSwap> lastSwap_;
-		mutable Date lastFixingDate_;
+        mutable Date lastFixingDate_;
     };
 
     // inline definitions
diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 7603c66085..113a34842b 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -357,7 +357,7 @@ namespace QuantLib {
             } else {
                 Real accruedAmount = bond_->accruedAmount(upfrontDate_);
                 Real dirtyPrice = bondCleanPrice_ + accruedAmount;
-                Real fairDirtyPrice = - payer_[1] * legNPV_[0]/legNPV_[1] * dirtyPrice;
+                Real fairDirtyPrice = - legNPV_[0]/legNPV_[1] * dirtyPrice;
                 fairCleanPrice_ = fairDirtyPrice - accruedAmount;
             }
 
diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index d6e19ab86e..a2900d5aea 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -225,7 +225,7 @@ namespace QuantLib {
                           Compounding comp,
                           Frequency freq,
                           Date settlement) const {
-        Real currentNotional = notional(settlementDate());
+        Real currentNotional = notional(settlement);
         if (currentNotional == 0.0)
             return 0.0;
 
@@ -240,7 +240,7 @@ namespace QuantLib {
                      Date settlement,
                      Real accuracy,
                      Size maxEvaluations) const {
-        Real currentNotional = notional(settlementDate());
+        Real currentNotional = notional(settlement);
         if (currentNotional == 0.0)
             return 0.0;
 
@@ -249,7 +249,7 @@ namespace QuantLib {
     }
 
     Real Bond::accruedAmount(Date settlement) const {
-        Real currentNotional = notional(settlementDate());
+        Real currentNotional = notional(settlement);
         if (currentNotional == 0.0)
             return 0.0;
 
diff --git a/ql/instruments/cpiswap.cpp b/ql/instruments/cpiswap.cpp
index 9db27bce58..2e11106238 100644
--- a/ql/instruments/cpiswap.cpp
+++ b/ql/instruments/cpiswap.cpp
@@ -63,9 +63,9 @@ namespace QuantLib {
     floatPaymentRoll_(floatPaymentRoll), fixingDays_(fixingDays),
     floatIndex_(floatIndex),
     fixedRate_(fixedRate), baseCPI_(baseCPI), fixedDayCount_(fixedDayCount), fixedSchedule_(fixedSchedule),
-    fixedPaymentRoll_(fixedPaymentRoll), 
-    fixedIndex_(fixedIndex), observationLag_(observationLag),
-      observationInterpolation_(observationInterpolation)
+    fixedPaymentRoll_(fixedPaymentRoll), fixedIndex_(fixedIndex),
+    observationLag_(observationLag),
+    observationInterpolation_(observationInterpolation)
     {
         QL_REQUIRE(floatSchedule_.size()>0,"empty float schedule");
         QL_REQUIRE(fixedSchedule_.size()>0,"empty fixed schedule");
diff --git a/ql/math/matrixutilities/sparseilupreconditioner.cpp b/ql/math/matrixutilities/sparseilupreconditioner.cpp
index 09fe68708c..3c7cafec65 100644
--- a/ql/math/matrixutilities/sparseilupreconditioner.cpp
+++ b/ql/math/matrixutilities/sparseilupreconditioner.cpp
@@ -44,7 +44,7 @@ namespace QuantLib {
         const Integer n = A.size1();
         std::set<Integer> lBandSet, uBandSet;
 
-        boost::numeric::ublas::compressed_matrix<Integer> levs(n,n);
+        compressed_matrix<Integer> levs(n,n);
         Integer lfilp = lfil + 1;
 
         for (Integer ii=0; ii<n; ++ii) {
diff --git a/ql/math/randomnumbers/inversecumulativersg.hpp b/ql/math/randomnumbers/inversecumulativersg.hpp
index fae06c79c0..15b2dfe265 100644
--- a/ql/math/randomnumbers/inversecumulativersg.hpp
+++ b/ql/math/randomnumbers/inversecumulativersg.hpp
@@ -59,7 +59,7 @@ namespace QuantLib {
         explicit InverseCumulativeRsg(const USG& uniformSequenceGenerator);
         InverseCumulativeRsg(const USG& uniformSequenceGenerator,
                              const IC& inverseCumulative);
-        //! returns next sample from the Gaussian distribution
+        //! returns next sample from the inverse cumulative distribution
         const sample_type& nextSequence() const;
         const sample_type& lastSequence() const { return x_; }
         Size dimension() const { return dimension_; }
diff --git a/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
index e60bc2c652..0417dfbc57 100644
--- a/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp
@@ -25,6 +25,7 @@
 #define quantlib_fdm_simple_process_1d_mesher_hpp
 
 #include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/utilities/null.hpp>
 #include <boost/shared_ptr.hpp>
 
 namespace QuantLib {
diff --git a/ql/pricingengines/blackformula.cpp b/ql/pricingengines/blackformula.cpp
index 6101753dc4..9da6d11f4b 100644
--- a/ql/pricingengines/blackformula.cpp
+++ b/ql/pricingengines/blackformula.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
- Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008 Ferdinando Ametrano
+ Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2012 Ferdinando Ametrano
  Copyright (C) 2006 Mark Joshi
  Copyright (C) 2006 StatPro Italia srl
  Copyright (C) 2007 Cristina Duminuco
@@ -203,13 +203,38 @@ namespace QuantLib {
                                    Natural maxIterations)
     {
         checkParameters(strike, forward, displacement);
-        QL_REQUIRE(blackPrice>=0.0,
-                   "blackPrice (" << blackPrice << ") must be non-negative");
+
         QL_REQUIRE(discount>0.0,
                    "discount (" << discount << ") must be positive");
 
+        QL_REQUIRE(blackPrice>=0.0,
+                   "option price (" << blackPrice << ") must be non-negative");
+        // check the price of the "other" option implied by put-call paity
+        Real otherOptionPrice = blackPrice - optionType*(forward-strike)*discount;
+        QL_REQUIRE(otherOptionPrice>=0.0,
+                   "negative " << Option::Type(-1*optionType) <<
+                   " price (" << otherOptionPrice <<
+                   ") implied by put-call parity. No solution exists for " <<
+                   optionType << " strike " << strike <<
+                   ", forward " << forward <<
+                   ", price " << blackPrice <<
+                   ", deflator " << discount);
+
+        // solve for the out-of-the-money option which has
+        // greater vega/price ratio, i.e.
+        // it is numerically more robust for implied vol calculations
+        if (optionType==Option::Put && strike>forward) {
+            optionType = Option::Call;
+            blackPrice = otherOptionPrice;
+        }
+        if (optionType==Option::Call && strike<forward) {
+            optionType = Option::Put;
+            blackPrice = otherOptionPrice;
+        }
+
         strike = strike + displacement;
         forward = forward + displacement;
+
         if (guess==Null<Real>())
             guess = blackFormulaImpliedStdDevApproximation(
                 optionType, strike, forward, blackPrice, discount, displacement);
@@ -220,7 +245,7 @@ namespace QuantLib {
                                    blackPrice/discount);
         NewtonSafe solver;
         solver.setMaxEvaluations(maxIterations);
-        Real minSdtDev = 0.0, maxStdDev = 3.0;
+        Real minSdtDev = 0.0, maxStdDev = 24.0; // 24 = 300% * sqrt(60)
         Real stdDev = solver.solve(f, accuracy, guess, minSdtDev, maxStdDev);
         QL_ENSURE(stdDev>=0.0,
                   "stdDev (" << stdDev << ") must be non-negative");
diff --git a/ql/pricingengines/blackformula.hpp b/ql/pricingengines/blackformula.hpp
index 8e563b4448..da4e82d156 100644
--- a/ql/pricingengines/blackformula.hpp
+++ b/ql/pricingengines/blackformula.hpp
@@ -151,14 +151,14 @@ namespace QuantLib {
                                       Real displacement = 0.0);
 
      /*! Black 1976 formula for  derivative with respect to implied vol, this
-     is basically the vega, but if you want 1% change multiply by 1%
+         is basically the vega, but if you want 1% change multiply by 1%
     */
     Real blackFormulaVolDerivative(Real strike,
-                                      Real forward,
-                                      Real stdDev,
-                                      Real expiry,
-                                      Real discount = 1.0,
-                                      Real displacement = 0.0);
+                                   Real forward,
+                                   Real stdDev,
+                                   Real expiry,
+                                   Real discount = 1.0,
+                                   Real displacement = 0.0);
 
 
     /*! Black 1976 formula for standard deviation derivative
diff --git a/ql/pricingengines/bond/discountingbondengine.cpp b/ql/pricingengines/bond/discountingbondengine.cpp
index 3679da2d5b..696c2c8996 100644
--- a/ql/pricingengines/bond/discountingbondengine.cpp
+++ b/ql/pricingengines/bond/discountingbondengine.cpp
@@ -40,7 +40,7 @@ namespace QuantLib {
         bool includeRefDateFlows =
             includeSettlementDateFlows_ ?
             *includeSettlementDateFlows_ :
-            Settings::instance().includeReferenceDateCashFlows();
+            Settings::instance().includeReferenceDateEvents();
 
         results_.value = CashFlows::npv(arguments_.cashflows,
                                         **discountCurve_,
@@ -48,12 +48,21 @@ namespace QuantLib {
                                         results_.valuationDate,
                                         results_.valuationDate);
 
-        // a bond's cashflow on settlement date is never taken into account
-        results_.settlementValue = CashFlows::npv(arguments_.cashflows,
-                                                  **discountCurve_,
-                                                  false,
-                                                  arguments_.settlementDate,
-                                                  arguments_.settlementDate);
+        // a bond's cashflow on settlement date is never taken into
+        // account, so we might have to play it safe and recalculate
+        if (!includeRefDateFlows
+                     && results_.valuationDate == arguments_.settlementDate) {
+            // same parameters as above, we can avoid another call
+            results_.settlementValue = results_.value;
+        } else {
+            // no such luck
+            results_.settlementValue =
+                CashFlows::npv(arguments_.cashflows,
+                               **discountCurve_,
+                               false,
+                               arguments_.settlementDate,
+                               arguments_.settlementDate);
+        }
     }
 
 }
diff --git a/ql/pricingengines/capfloor/analyticcapfloorengine.cpp b/ql/pricingengines/capfloor/analyticcapfloorengine.cpp
index 91771bb43d..bf719c81d0 100644
--- a/ql/pricingengines/capfloor/analyticcapfloorengine.cpp
+++ b/ql/pricingengines/capfloor/analyticcapfloorengine.cpp
@@ -53,7 +53,7 @@ namespace QuantLib {
         Size nPeriods = arguments_.endDates.size();
 
         bool includeRefDatePayments =
-            Settings::instance().includeReferenceDateCashFlows();
+            Settings::instance().includeReferenceDateEvents();
         if (referenceDate == Settings::instance().evaluationDate()) {
             boost::optional<bool> includeTodaysPayments =
                 Settings::instance().includeTodaysCashFlows();
diff --git a/ql/pricingengines/swap/discountingswapengine.cpp b/ql/pricingengines/swap/discountingswapengine.cpp
index effcf26906..cae2def8b2 100644
--- a/ql/pricingengines/swap/discountingswapengine.cpp
+++ b/ql/pricingengines/swap/discountingswapengine.cpp
@@ -72,7 +72,7 @@ namespace QuantLib {
         bool includeRefDateFlows =
             includeSettlementDateFlows_ ?
             *includeSettlementDateFlows_ :
-            Settings::instance().includeReferenceDateCashFlows();
+            Settings::instance().includeReferenceDateEvents();
 
         for (Size i=0; i<n; ++i) {
             try {
diff --git a/ql/settings.cpp b/ql/settings.cpp
index 18cfbccf99..284b802961 100644
--- a/ql/settings.cpp
+++ b/ql/settings.cpp
@@ -32,7 +32,7 @@ namespace QuantLib {
     }
 
     Settings::Settings()
-    : includeReferenceDateCashFlows_(false),
+    : includeReferenceDateEvents_(false),
       enforcesTodaysHistoricFixings_(false) {}
 
     void Settings::anchorEvaluationDate() {
@@ -48,8 +48,8 @@ namespace QuantLib {
 
     SavedSettings::SavedSettings()
     : evaluationDate_(Settings::instance().evaluationDate()),
-      includeReferenceDateCashFlows_(
-                        Settings::instance().includeReferenceDateCashFlows()),
+      includeReferenceDateEvents_(
+                        Settings::instance().includeReferenceDateEvents()),
       includeTodaysCashFlows_(Settings::instance().includeTodaysCashFlows()),
       enforcesTodaysHistoricFixings_(
                         Settings::instance().enforcesTodaysHistoricFixings()) {}
@@ -58,8 +58,8 @@ namespace QuantLib {
         try {
             if (Settings::instance().evaluationDate() != evaluationDate_)
                 Settings::instance().evaluationDate() = evaluationDate_;
-            Settings::instance().includeReferenceDateCashFlows() =
-                includeReferenceDateCashFlows_;
+            Settings::instance().includeReferenceDateEvents() =
+                includeReferenceDateEvents_;
             Settings::instance().includeTodaysCashFlows() =
                 includeTodaysCashFlows_;
             Settings::instance().enforcesTodaysHistoricFixings() =
diff --git a/ql/settings.hpp b/ql/settings.hpp
index f4b372656b..f8e046e8f6 100644
--- a/ql/settings.hpp
+++ b/ql/settings.hpp
@@ -87,19 +87,28 @@ namespace QuantLib {
         */
         void resetEvaluationDate();
 
-        /*! This flag specifies whether or not cashflows occurring on
-            the NPV date should, by default, enter the NPV.  It can be
-            overridden locally when calling the NPV-related
-            methods.
+        /*! This flag specifies whether or not Events occurring on the reference
+            date should, by default, be taken into account as not happened yet.
+            It can be overridden locally when calling the Event::hasOccurred
+            method.
         */
-        bool& includeReferenceDateCashFlows();
-        bool includeReferenceDateCashFlows() const;
+        bool& includeReferenceDateEvents();
+        bool includeReferenceDateEvents() const;
+#ifndef QL_DISABLE_DEPRECATED
+        bool& includeReferenceDateCashFlows() {
+            return includeReferenceDateEvents();
+        }
+        bool includeReferenceDateCashFlows() const {
+            return includeReferenceDateEvents();
+        }
+#endif
 
-        /*! If set, this flag specifies whether or not cashflows
+        /*! If set, this flag specifies whether or not CashFlows
             occurring on today's date should enter the NPV.  When the
             NPV date (i.e., the date at which the cash flows are
             discounted) equals today's date, this flag overrides the
-            behavior chosen for the NPV date.
+            behavior chosen for includeReferenceDate. It cannot be overridden
+            locally when calling the CashFlow::hasOccurred method.
         */
         boost::optional<bool>& includeTodaysCashFlows();
         boost::optional<bool> includeTodaysCashFlows() const;
@@ -108,7 +117,7 @@ namespace QuantLib {
         bool enforcesTodaysHistoricFixings() const;
       private:
         DateProxy evaluationDate_;
-        bool includeReferenceDateCashFlows_;
+        bool includeReferenceDateEvents_;
         boost::optional<bool> includeTodaysCashFlows_;
         bool enforcesTodaysHistoricFixings_;
     };
@@ -121,7 +130,7 @@ namespace QuantLib {
         ~SavedSettings();
       private:
         Date evaluationDate_;
-        bool includeReferenceDateCashFlows_;
+        bool includeReferenceDateEvents_;
         boost::optional<bool> includeTodaysCashFlows_;
         bool enforcesTodaysHistoricFixings_;
     };
@@ -149,12 +158,12 @@ namespace QuantLib {
         return evaluationDate_;
     }
 
-    inline bool& Settings::includeReferenceDateCashFlows() {
-        return includeReferenceDateCashFlows_;
+    inline bool& Settings::includeReferenceDateEvents() {
+        return includeReferenceDateEvents_;
     }
 
-    inline bool Settings::includeReferenceDateCashFlows() const {
-        return includeReferenceDateCashFlows_;
+    inline bool Settings::includeReferenceDateEvents() const {
+        return includeReferenceDateEvents_;
     }
 
     inline boost::optional<bool>& Settings::includeTodaysCashFlows() {
diff --git a/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
index 71e46cad96..ff4892c4f9 100644
--- a/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
+++ b/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp
@@ -30,7 +30,7 @@ namespace QuantLib {
 
     //! zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
     /*! Abstract interface. CPI volatility is always with respect to
-	    some base date.  Also deal with lagged observations of an index
+        some base date.  Also deal with lagged observations of an index
         with a (usually different) availability lag.
     */
     class CPIVolatilitySurface : public VolatilityTermStructure {
diff --git a/ql/time/calendars/sweden.cpp b/ql/time/calendars/sweden.cpp
index 12b80337bc..cd88c708fd 100644
--- a/ql/time/calendars/sweden.cpp
+++ b/ql/time/calendars/sweden.cpp
@@ -53,8 +53,8 @@ namespace QuantLib {
             // declared as a holiday.
             // As of 2002 the Stockholmborsen is open that day
             // || (d == 6  && m == June)
-            // Midsummer Eve (Friday between June 18-24)
-            || (w == Friday && (d >= 18 && d <= 24) && m == June)
+            // Midsummer Eve (Friday between June 19-25)
+            || (w == Friday && (d >= 19 && d <= 25) && m == June)
             // Christmas Eve
             || (d == 24 && m == December)
             // Christmas Day
diff --git a/ql/time/calendars/sweden.hpp b/ql/time/calendars/sweden.hpp
index 6acaf4c70b..fc998aab21 100644
--- a/ql/time/calendars/sweden.hpp
+++ b/ql/time/calendars/sweden.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
         <li>Whit(Pentecost) Monday </li>
         <li>May Day, May 1st</li>
         <li>National Day, June 6th</li>
-        <li>Midsummer Eve (Friday between June 18-24)</li>
+        <li>Midsummer Eve (Friday between June 19-25)</li>
         <li>Christmas Eve, December 24th</li>
         <li>Christmas Day, December 25th</li>
         <li>Boxing Day, December 26th</li>
diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index b311594f67..bfc506bafc 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2006, 2007, 2008, 2010, 2011 Ferdinando Ametrano
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
- Copyright (C) 2009 StatPro Italia srl
+ Copyright (C) 2009, 2012 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -223,8 +223,13 @@ namespace QuantLib {
                     }
                     break;
                 } else {
-                    dates_.insert(dates_.begin(), temp);
-                    isRegular_.insert(isRegular_.begin(), true);
+                    // skip dates that would result in duplicates
+                    // after adjustment
+                    if (calendar_.adjust(dates_.front(),convention)!=
+                        calendar_.adjust(temp,convention)) {
+                        dates_.insert(dates_.begin(), temp);
+                        isRegular_.insert(isRegular_.begin(), true);
+                    }
                     ++periods;
                 }
             }
@@ -301,8 +306,13 @@ namespace QuantLib {
                     }
                     break;
                 } else {
-                    dates_.push_back(temp);
-                    isRegular_.push_back(true);
+                    // skip dates that would result in duplicates
+                    // after adjustment
+                    if (calendar_.adjust(dates_.back(),convention)!=
+                        calendar_.adjust(temp,convention)) {
+                        dates_.push_back(temp);
+                        isRegular_.push_back(true);
+                    }
                     ++periods;
                 }
             }
@@ -343,9 +353,7 @@ namespace QuantLib {
                 for (Size i=0; i<dates_.size()-1; ++i)
                     dates_[i] = calendar_.endOfMonth(dates_[i]);
             }
-            if (terminationDateConvention == Unadjusted)
-                dates_.back() = Date::endOfMonth(dates_.back());
-            else
+            if (terminationDateConvention != Unadjusted)
                 dates_.back() = calendar_.endOfMonth(dates_.back());
         } else {
             // first date not adjusted for CDS schedules
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 6516762f46..eb5b5eaaf9 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -92,6 +92,7 @@ QL_TESTS = \
 	rngtraits.hpp rngtraits.cpp \
 	rounding.hpp rounding.cpp \
 	sampledcurve.hpp sampledcurve.cpp \
+	schedule.hpp schedule.cpp \
 	shortratemodels.hpp shortratemodels.cpp \
 	solvers.hpp solvers.cpp \
 	spreadoption.hpp spreadoption.cpp \
diff --git a/test-suite/blackdeltacalculator.cpp b/test-suite/blackdeltacalculator.cpp
index cc608ebe13..95f61cf23d 100644
--- a/test-suite/blackdeltacalculator.cpp
+++ b/test-suite/blackdeltacalculator.cpp
@@ -484,7 +484,7 @@ void BlackDeltaCalculatorTest::testPutCallParity(){
         deltaPut=myCalc.deltaFromStrike(values[i].strike);;
         myCalc.setOptionType(Option::Call);
 
-        expectedDiff=values[i].strike/forward;
+        expectedDiff = values[i].strike/forward;
         calculatedDiff=deltaCall-deltaPut;
         error=std::fabs(expectedDiff-calculatedDiff);
 
diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index 2fff6b4a78..4aad239764 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -58,7 +58,7 @@ void CashFlowsTest::testSettings() {
     // case 1: don't include reference-date payments, no override at
     //         today's date
 
-    Settings::instance().includeReferenceDateCashFlows() = false;
+    Settings::instance().includeReferenceDateEvents() = false;
     Settings::instance().includeTodaysCashFlows() = none;
 
     CHECK_INCLUSION(0, 0, false);
@@ -74,7 +74,7 @@ void CashFlowsTest::testSettings() {
 
     // case 2: same, but with explicit setting at today's date
 
-    Settings::instance().includeReferenceDateCashFlows() = false;
+    Settings::instance().includeReferenceDateEvents() = false;
     Settings::instance().includeTodaysCashFlows() = false;
 
     CHECK_INCLUSION(0, 0, false);
@@ -91,7 +91,7 @@ void CashFlowsTest::testSettings() {
     // case 3: do include reference-date payments, no override at
     //         today's date
 
-    Settings::instance().includeReferenceDateCashFlows() = true;
+    Settings::instance().includeReferenceDateEvents() = true;
     Settings::instance().includeTodaysCashFlows() = none;
 
     CHECK_INCLUSION(0, 0, true);
@@ -108,7 +108,7 @@ void CashFlowsTest::testSettings() {
     // case 4: do include reference-date payments, explicit (and same)
     //         setting at today's date
 
-    Settings::instance().includeReferenceDateCashFlows() = true;
+    Settings::instance().includeReferenceDateEvents() = true;
     Settings::instance().includeTodaysCashFlows() = true;
 
     CHECK_INCLUSION(0, 0, true);
@@ -125,7 +125,7 @@ void CashFlowsTest::testSettings() {
     // case 5: do include reference-date payments, override at
     //         today's date
 
-    Settings::instance().includeReferenceDateCashFlows() = true;
+    Settings::instance().includeReferenceDateEvents() = true;
     Settings::instance().includeTodaysCashFlows() = false;
 
     CHECK_INCLUSION(0, 0, false);
diff --git a/test-suite/inflationcpicapfloor.hpp b/test-suite/inflationcpicapfloor.hpp
index 39c845c070..79ecba5236 100644
--- a/test-suite/inflationcpicapfloor.hpp
+++ b/test-suite/inflationcpicapfloor.hpp
@@ -30,12 +30,12 @@
 //! N.B. a cpi cap produces ONE flow only - because inflation is cumulative.
 class InflationCPICapFloorTest {
 public:
-	//! tests CPI price surface reproduction
-	static void cpicapfloorpricesurface();
-	//! tests interpolation pricer
-	static void cpicapfloorpricer();
-	
-	static boost::unit_test_framework::test_suite* suite();
+    //! tests CPI price surface reproduction
+    static void cpicapfloorpricesurface();
+    //! tests interpolation pricer
+    static void cpicapfloorpricer();
+    
+    static boost::unit_test_framework::test_suite* suite();
 };
 
 
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 903d5fa9ba..48b8f88d97 100644
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -1,5 +1,22 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
+/*
+ Copyright (C) 2011 Chris Kenyon
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
 #include <ql/types.hpp>
 #include <ql/indexes/inflation/ukrpi.hpp>
 #include <ql/termstructures/bootstraphelper.hpp>
diff --git a/test-suite/inflationcpiswap.hpp b/test-suite/inflationcpiswap.hpp
index 6101333e94..3725d759c6 100644
--- a/test-suite/inflationcpiswap.hpp
+++ b/test-suite/inflationcpiswap.hpp
@@ -25,13 +25,13 @@
 //! Classic inflation index ratio-from-base products.  Always have some "notional" flow.
 class CPISwapTest {
 public:
-	//! consistency test w.r.t. manual build-up of calculatons
-	static void consistency();
-	//! a CPI swap can look like a Zero Coupon Inflation Inedex Swap, check it gies same prices
-	static void zciisconsistency();
-	//! one leg of a CPI swap looks like a CPI bond with growthOnly=true
-	static void cpibondconsistency();
-	static boost::unit_test_framework::test_suite* suite();
+    //! consistency test w.r.t. manual build-up of calculatons
+    static void consistency();
+    //! a CPI swap can look like a Zero Coupon Inflation Inedex Swap, check it gies same prices
+    static void zciisconsistency();
+    //! one leg of a CPI swap looks like a CPI bond with growthOnly=true
+    static void cpibondconsistency();
+    static boost::unit_test_framework::test_suite* suite();
 };
 
 
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 231be87e4e..e6aa28008f 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -132,6 +132,7 @@
 #include "rngtraits.hpp"
 #include "rounding.hpp"
 #include "sampledcurve.hpp"
+#include "schedule.hpp"
 #include "shortratemodels.hpp"
 #include "solvers.hpp"
 #include "spreadoption.hpp"
@@ -297,8 +298,8 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(InflationTest::suite());                  // in general inflation & tests
     test->add(InflationCapFloorTest::suite());          // use indexed coupons, i.e.
     test->add(InflationCapFlooredCouponTest::suite());  // QL_USE_INDEXED_COUPON has no effect
-	test->add(CPISwapTest::suite());					//
-	test->add(InflationCPICapFloorTest::suite());		//
+    test->add(CPISwapTest::suite());                    //
+    test->add(InflationCPICapFloorTest::suite());       //
     test->add(InflationVolTest::suite());               //
     test->add(InstrumentTest::suite());
     test->add(IntegralTest::suite());
@@ -334,6 +335,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(RngTraitsTest::suite());
     test->add(RoundingTest::suite());
     test->add(SampledCurveTest::suite());
+    test->add(ScheduleTest::suite());
     test->add(ShortRateModelTest::suite()); // fails with QL_USE_INDEXED_COUPON
     test->add(Solver1DTest::suite());
     test->add(SpreadOptionTest::suite());
diff --git a/test-suite/schedule.cpp b/test-suite/schedule.cpp
new file mode 100644
index 0000000000..e8f7c733ce
--- /dev/null
+++ b/test-suite/schedule.cpp
@@ -0,0 +1,123 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "schedule.hpp"
+#include "utilities.hpp"
+#include <ql/time/schedule.hpp>
+#include <ql/time/calendars/target.hpp>
+#include <ql/time/calendars/japan.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+namespace {
+
+    void check_dates(const Schedule& s,
+                     const std::vector<Date>& expected) {
+        if (s.size() != expected.size()) {
+            BOOST_FAIL("expected " << expected.size() << " dates, "
+                       << "found " << s.size());
+        }
+        for (Size i=0; i<expected.size(); ++i) {
+            if (s[i] != expected[i]) {
+                BOOST_ERROR("expected " << expected[i]
+                            << " at index " << i << ", "
+                            "found " << s[i]);
+            }
+        }
+    }
+
+}
+
+
+void ScheduleTest::testDailySchedule() {
+    BOOST_MESSAGE("Testing schedule with daily frequency...");
+
+    Date startDate = Date(17,January,2012);
+
+    Schedule s =
+        MakeSchedule().from(startDate).to(startDate+7)
+                      .withCalendar(TARGET())
+                      .withFrequency(Daily)
+                      .withConvention(Preceding);
+
+    std::vector<Date> expected(6);
+    // The schedule should skip Saturday 21st and Sunday 22rd.
+    // Previously, it would adjust them to Friday 20th, resulting
+    // in three copies of the same date.
+    expected[0] = Date(17,January,2012);
+    expected[1] = Date(18,January,2012);
+    expected[2] = Date(19,January,2012);
+    expected[3] = Date(20,January,2012);
+    expected[4] = Date(23,January,2012);
+    expected[5] = Date(24,January,2012);
+
+    check_dates(s, expected);
+}
+
+void ScheduleTest::testEndDateWithEomAdjustment() {
+    BOOST_MESSAGE(
+        "Testing end date for schedule with end-of-month adjustment...");
+
+    Schedule s =
+        MakeSchedule().from(Date(30,September,2009))
+                      .to(Date(15,June,2012))
+                      .withCalendar(Japan())
+                      .withTenor(6*Months)
+                      .withConvention(Following)
+                      .withTerminationDateConvention(Following)
+                      .forwards()
+                      .endOfMonth();
+
+    std::vector<Date> expected(7);
+    // The end date is adjusted, so it should also be moved to the end
+    // of the month.
+    expected[0] = Date(30,September,2009);
+    expected[1] = Date(31,March,2010);
+    expected[2] = Date(30,September,2010);
+    expected[3] = Date(31,March,2011);
+    expected[4] = Date(30,September,2011);
+    expected[5] = Date(30,March,2012);
+    expected[6] = Date(29,June,2012);
+
+    check_dates(s, expected);
+
+    // now with unadjusted termination date...
+    s = MakeSchedule().from(Date(30,September,2009))
+                      .to(Date(15,June,2012))
+                      .withCalendar(Japan())
+                      .withTenor(6*Months)
+                      .withConvention(Following)
+                      .withTerminationDateConvention(Unadjusted)
+                      .forwards()
+                      .endOfMonth();
+    // ...which should leave it alone.
+    expected[6] = Date(15,June,2012);
+
+    check_dates(s, expected);
+}
+
+
+test_suite* ScheduleTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Schedule tests");
+    suite->add(QUANTLIB_TEST_CASE(&ScheduleTest::testDailySchedule));
+    suite->add(QUANTLIB_TEST_CASE(&ScheduleTest::testEndDateWithEomAdjustment));
+    return suite;
+}
+
diff --git a/test-suite/schedule.hpp b/test-suite/schedule.hpp
new file mode 100644
index 0000000000..73e40b49a6
--- /dev/null
+++ b/test-suite/schedule.hpp
@@ -0,0 +1,36 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_schedule_hpp
+#define quantlib_test_schedule_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class ScheduleTest {
+  public:
+    static void testDailySchedule();
+    static void testEndDateWithEomAdjustment();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif
diff --git a/test-suite/swingoption.cpp b/test-suite/swingoption.cpp
index 608513ce75..deeeb0a2e2 100644
--- a/test-suite/swingoption.cpp
+++ b/test-suite/swingoption.cpp
@@ -71,52 +71,52 @@ void SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess() {
 
     SavedSettings backup;
 
-	const Real speed = 2.5;
-	const Volatility vol = 0.70;
-	const Real level = 1.43;
-
-	ExtendedOrnsteinUhlenbeckProcess::Discretization discr[] = {
-		ExtendedOrnsteinUhlenbeckProcess::MidPoint,
-		ExtendedOrnsteinUhlenbeckProcess::Trapezodial,
-		ExtendedOrnsteinUhlenbeckProcess::GaussLobatto};
-
-	boost::function<Real (Real)> f[] 
-		= { constant<Real, Real>(level),
-			std::bind1st(std::plus<Real>(), 1.0),
-			std::ptr_fun<Real, Real>(std::sin) }; 
-
-	for (Size n=0; n < LENGTH(f); ++n) {
-		ExtendedOrnsteinUhlenbeckProcess refProcess(
-			speed, vol, 0.0, f[n], 
-			ExtendedOrnsteinUhlenbeckProcess::GaussLobatto, 1e-6);
-
-		for (Size i=0; i < LENGTH(discr)-1; ++i) {
-			ExtendedOrnsteinUhlenbeckProcess eouProcess(
-									  speed, vol, 0.0, f[n], discr[i]);
-
-			const Time T = 10;
-			const Size nTimeSteps = 10000;
-
-			const Time dt = T/nTimeSteps;
-			Time t  = 0.0;
-			Real q = 0.0;
-			Real p = 0.0;
-			
-			PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
-
-			for (Size j=0; j < nTimeSteps; ++j) {
-				const Real dw = rng.next().value;
-				q=eouProcess.evolve(t,q,dt,dw);
-				p=refProcess.evolve(t,p,dt,dw);
-
-				if (std::fabs(q-p) > 1e-6) {
-					BOOST_FAIL("invalid process evaluation " 
-					            << n << " " << i << " " << j << " " << q-p);
-				}
-				t+=dt;
-			}
-		}
-	}
+    const Real speed = 2.5;
+    const Volatility vol = 0.70;
+    const Real level = 1.43;
+
+    ExtendedOrnsteinUhlenbeckProcess::Discretization discr[] = {
+        ExtendedOrnsteinUhlenbeckProcess::MidPoint,
+        ExtendedOrnsteinUhlenbeckProcess::Trapezodial,
+        ExtendedOrnsteinUhlenbeckProcess::GaussLobatto};
+
+    boost::function<Real (Real)> f[] 
+        = { constant<Real, Real>(level),
+            std::bind1st(std::plus<Real>(), 1.0),
+            std::ptr_fun<Real, Real>(std::sin) }; 
+
+    for (Size n=0; n < LENGTH(f); ++n) {
+        ExtendedOrnsteinUhlenbeckProcess refProcess(
+            speed, vol, 0.0, f[n], 
+            ExtendedOrnsteinUhlenbeckProcess::GaussLobatto, 1e-6);
+
+        for (Size i=0; i < LENGTH(discr)-1; ++i) {
+            ExtendedOrnsteinUhlenbeckProcess eouProcess(
+                                      speed, vol, 0.0, f[n], discr[i]);
+
+            const Time T = 10;
+            const Size nTimeSteps = 10000;
+
+            const Time dt = T/nTimeSteps;
+            Time t  = 0.0;
+            Real q = 0.0;
+            Real p = 0.0;
+            
+            PseudoRandom::rng_type rng(PseudoRandom::urng_type(1234u));
+
+            for (Size j=0; j < nTimeSteps; ++j) {
+                const Real dw = rng.next().value;
+                q=eouProcess.evolve(t,q,dt,dw);
+                p=refProcess.evolve(t,p,dt,dw);
+
+                if (std::fabs(q-p) > 1e-6) {
+                    BOOST_FAIL("invalid process evaluation " 
+                                << n << " " << i << " " << j << " " << q-p);
+                }
+                t+=dt;
+            }
+        }
+    }
 }
 
 
@@ -430,7 +430,7 @@ void SwingOptionTest::testExtOUJumpSwingOption() {
 test_suite* SwingOptionTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Swing-Option Test");
     suite->add(QUANTLIB_TEST_CASE(
-		&SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
+        &SwingOptionTest::testExtendedOrnsteinUhlenbeckProcess));
     suite->add(QUANTLIB_TEST_CASE(&SwingOptionTest::testFdBSSwingOption));
     suite->add(QUANTLIB_TEST_CASE(
                           &SwingOptionTest::testFdmExponentialJump1dMesher));
diff --git a/test-suite/swingoption.hpp b/test-suite/swingoption.hpp
index 188ff66454..a1f76dfb42 100644
--- a/test-suite/swingoption.hpp
+++ b/test-suite/swingoption.hpp
@@ -28,10 +28,10 @@
 class SwingOptionTest {
   public:
     static void testExtendedOrnsteinUhlenbeckProcess();
-	static void testFdBSSwingOption();
+    static void testFdBSSwingOption();
     static void testExtOUJumpSwingOption();
-	static void testFdmExponentialJump1dMesher();
-	static void testExtOUJumpVanillaEngine();
+    static void testFdmExponentialJump1dMesher();
+    static void testExtOUJumpVanillaEngine();
     static boost::unit_test_framework::test_suite* suite();
 };
 
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index d1284d18a4..d63114a1ca 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=230
+UnitCount=232
 Type=1
 Ver=1
 ObjFiles=
@@ -2347,3 +2347,22 @@ Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
+[Unit231]
+FileName=schedule.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit232]
+FileName=schedule.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 3cf1505a84..d907c62cec 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -413,6 +413,7 @@
     <ClCompile Include="rngtraits.cpp" />
     <ClCompile Include="rounding.cpp" />
     <ClCompile Include="sampledcurve.cpp" />
+    <ClCompile Include="schedule.cpp" />
     <ClCompile Include="shortratemodels.cpp" />
     <ClCompile Include="solvers.cpp" />
     <ClCompile Include="spreadoption.cpp" />
@@ -530,6 +531,7 @@
     <ClInclude Include="rngtraits.hpp" />
     <ClInclude Include="rounding.hpp" />
     <ClInclude Include="sampledcurve.hpp" />
+    <ClInclude Include="schedule.hpp" />
     <ClInclude Include="shortratemodels.hpp" />
     <ClInclude Include="solvers.hpp" />
     <ClInclude Include="spreadoption.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 214a106f42..1f25125830 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -278,6 +278,9 @@
     <ClCompile Include="sampledcurve.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="schedule.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="shortratemodels.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -623,6 +626,9 @@
     <ClInclude Include="sampledcurve.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="schedule.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="shortratemodels.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index c374b329fb..94d905d735 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -719,6 +719,9 @@
 			<File
 				RelativePath=".\sampledcurve.cpp">
 			</File>
+			<File
+				RelativePath=".\schedule.cpp">
+			</File>
 			<File
 				RelativePath=".\shortratemodels.cpp">
 			</File>
@@ -1065,6 +1068,9 @@
 			<File
 				RelativePath=".\sampledcurve.hpp">
 			</File>
+			<File
+				RelativePath=".\schedule.hpp">
+			</File>
 			<File
 				RelativePath=".\shortratemodels.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 89dd63fa6c..c430be4a95 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -802,6 +802,10 @@
 				RelativePath=".\sampledcurve.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\schedule.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\shortratemodels.cpp"
 				>
@@ -1263,6 +1267,10 @@
 				RelativePath=".\sampledcurve.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\schedule.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\shortratemodels.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 2f49779578..47b32b6eee 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1219,6 +1219,10 @@
 				RelativePath=".\sampledcurve.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\schedule.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\shortratemodels.cpp"
 				>
@@ -1680,6 +1684,10 @@
 				RelativePath=".\sampledcurve.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\schedule.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\shortratemodels.hpp"
 				>
diff --git a/test-suite/timeseries.cpp b/test-suite/timeseries.cpp
index 8e407c9bdd..0e3bf67125 100644
--- a/test-suite/timeseries.cpp
+++ b/test-suite/timeseries.cpp
@@ -144,12 +144,12 @@ void TimeSeriesTest::testIterators() {
     TimeSeriesUnordered ts1;
     Date d0(25, March, 2005), d1(25, April, 2005), d = d0;
     UnitedStates calendar(UnitedStates::NYSE);
-    for (size_t i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
+    for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
         ts1[d] = i;
     }
 
     d = d0;
-    for (size_t i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
+    for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
         if (ts1[d] != int(i)) {
             BOOST_ERROR("value does not match");
         }
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 4adaa5ec96..4dc3c091d4 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -204,7 +204,7 @@ void VPPTest::testGemanRoncoroniProcess() {
 
 void VPPTest::testSimpleExtOUStorageEngine() {
 
-    BOOST_MESSAGE("Testing Simple Storage option based on ext. OU  model...");
+    BOOST_MESSAGE("Testing Simple Storage option based on ext. OU model...");
 
     SavedSettings backup;
 
@@ -252,7 +252,7 @@ void VPPTest::testSimpleExtOUStorageEngine() {
 
 void VPPTest::testKlugeExtOUSpreadOption() {
 
-    BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option");
+    BOOST_MESSAGE("Testing Simple Kluge ext-Ornstein-Uhlenbeck spread option...");
 
     SavedSettings backup;
 
@@ -410,7 +410,7 @@ namespace {
 
 void VPPTest::testVPPIntrinsicValue() {
 
-    BOOST_MESSAGE("Testing VPP step condition");
+    BOOST_MESSAGE("Testing VPP step condition...");
 
     SavedSettings backup;
 
@@ -547,7 +547,7 @@ namespace {
 }
 
 void VPPTest::testVPPPricing() {
-    BOOST_MESSAGE("Testing VPP pricing using perfect foresight or FDM");
+    BOOST_MESSAGE("Testing VPP pricing using perfect foresight or FDM...");
 
     SavedSettings backup;
 

From ccf88ad0e51bc6ee5a370bd5d8351d76c8e26258 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 8 Mar 2012 07:57:18 +0000
Subject: [PATCH 368/410] Increased version number to 1.3.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18240 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 Announce.txt   | 4 ++--
 configure.ac   | 2 +-
 ql/version.hpp | 8 ++++----
 3 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/Announce.txt b/Announce.txt
index 5c8b28988f..7f629097a7 100644
--- a/Announce.txt
+++ b/Announce.txt
@@ -2,13 +2,13 @@
 QuantLib is a cross-platform, free/open-source quantitative finance C++
 library for modeling, pricing, trading, and risk management in real-life.
 
-Version 1.2 has been released and is available for download at
+Version 1.3 has been released and is available for download at
 <http://quantlib.org/download.shtml>.
 
 Please log any problems you have with this release in the SourceForge
 bug tracker at
 <http://sourceforge.net/tracker/?group_id=12740&atid=112740>
-specifying that you're using QuantLib 1.2.
+specifying that you're using QuantLib 1.3.
 
         The QuantLib group
 
diff --git a/configure.ac b/configure.ac
index 14a782d77b..46292112dc 100644
--- a/configure.ac
+++ b/configure.ac
@@ -1,5 +1,5 @@
 # Process this file with autoconf to produce a configure script.
-AC_INIT([QuantLib], [1.2],
+AC_INIT([QuantLib], [1.3],
         [quantlib-dev@lists.sourceforge.net],
         [QuantLib])
 AC_PREREQ(2.50)
diff --git a/ql/version.hpp b/ql/version.hpp
index 65c160f5cb..5bb9f71f1e 100644
--- a/ql/version.hpp
+++ b/ql/version.hpp
@@ -31,15 +31,15 @@
 
 //! version string
 #ifdef QL_DEBUG
-    #define QL_VERSION "1.2-debug"
+    #define QL_VERSION "1.3-debug"
 #else
-    #define QL_VERSION "1.2"
+    #define QL_VERSION "1.3"
 #endif
 
 //! version hexadecimal number
-#define QL_HEX_VERSION 0x010200f0
+#define QL_HEX_VERSION 0x010300f0
 //! version string for output lib name
-#define QL_LIB_VERSION "1_2"
+#define QL_LIB_VERSION "1_3"
 
 /*! @}  */
 

From 220f4ed4441eb8d3f2d8fcb66cfa0303d9139525 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 23 Apr 2012 11:04:37 +0000
Subject: [PATCH 369/410] added Glued1dMesher (thanks to Peter Caspers)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18256 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |  2 +
 ql/experimental/finitedifferences/all.hpp     |  1 +
 .../finitedifferences/glued1dmesher.cpp       | 58 +++++++++++++++++++
 .../finitedifferences/glued1dmesher.hpp       | 41 +++++++++++++
 .../meshers/concentrating1dmesher.cpp         | 26 +++++++--
 .../meshers/concentrating1dmesher.hpp         |  3 +-
 6 files changed, 126 insertions(+), 5 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/glued1dmesher.cpp
 create mode 100644 ql/experimental/finitedifferences/glued1dmesher.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index a3aebb495a..d1870fa944 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -20,6 +20,7 @@ this_include_HEADERS = \
 	fdsimpleextoujumpswingengine.hpp \
     fdsimpleextoustorageengine.hpp \
 	fdsimpleklugeextouvppengine.hpp \
+	glued1dmesher.hpp \
 	vanillavppoption.hpp
 
 libMultiDimFDM_la_SOURCES = \
@@ -33,6 +34,7 @@ libMultiDimFDM_la_SOURCES = \
 	fdsimpleextoujumpswingengine.cpp \
     fdsimpleextoustorageengine.cpp \
     fdsimpleklugeextouvppengine.cpp \
+	glued1dmesher.cpp \
 	vanillavppoption.cpp
 
 noinst_LTLIBRARIES = libMultiDimFDM.la
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 92733d449b..1fe5aa171c 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -17,5 +17,6 @@
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
+#include <ql/experimental/finitedifferences/glued1dmesher.hpp>
 #include <ql/experimental/finitedifferences/vanillavppoption.hpp>
 
diff --git a/ql/experimental/finitedifferences/glued1dmesher.cpp b/ql/experimental/finitedifferences/glued1dmesher.cpp
new file mode 100644
index 0000000000..2f4296fe55
--- /dev/null
+++ b/ql/experimental/finitedifferences/glued1dmesher.cpp
@@ -0,0 +1,58 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file glued1dmesher.cpp
+    \brief One-dimensional grid mesher combining two existing ones
+*/
+
+#include <ql/experimental/finitedifferences/glued1dmesher.hpp>
+#include <ql/errors.hpp>
+#include <ql/math/comparison.hpp>
+#include <ql/utilities/null.hpp>
+
+namespace QuantLib {
+
+    Glued1dMesher::Glued1dMesher(
+        const Fdm1dMesher& leftMesher,
+        const Fdm1dMesher& rightMesher)
+    : Fdm1dMesher(leftMesher.locations().size()+rightMesher.locations().size()
+                  - ( close(leftMesher.locations().back(),
+                      rightMesher.locations().front()) ? 1 :0) ),
+      commonPoint_( close(leftMesher.locations().back(),
+                    rightMesher.locations().front()) ) {
+
+        QL_REQUIRE(leftMesher.locations().back()
+                    <= rightMesher.locations().front(),
+            "left meshers rightmost point (" <<
+            leftMesher.locations().back() <<
+            ") may not be greater than right meshers leftmost point (" <<
+            rightMesher.locations().front() << ")");
+
+        std::copy(leftMesher.locations().begin(),leftMesher.locations().end(),
+                  locations_.begin());
+        std::copy(rightMesher.locations().begin() + (commonPoint_ ? 1 : 0),
+                  rightMesher.locations().end(),
+                  locations_.begin()+leftMesher.locations().size());
+
+        for (Size i=0; i < locations_.size()-1; ++i) {
+            dplus_[i] = dminus_[i+1] = locations_[i+1] - locations_[i];
+        }
+        dplus_.back() = dminus_.front() = Null<Real>();
+    }
+}
diff --git a/ql/experimental/finitedifferences/glued1dmesher.hpp b/ql/experimental/finitedifferences/glued1dmesher.hpp
new file mode 100644
index 0000000000..fc27b628bc
--- /dev/null
+++ b/ql/experimental/finitedifferences/glued1dmesher.hpp
@@ -0,0 +1,41 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file glued1dmesher.hpp
+    \brief One-dimensional grid mesher combining two existing ones
+*/
+
+#ifndef quantlib_glued_1d_mesher_hpp
+#define quantlib_glued_1d_mesher_hpp
+
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+
+namespace QuantLib {
+
+    class Glued1dMesher : public Fdm1dMesher {
+      public:
+        Glued1dMesher(
+            const Fdm1dMesher& leftMesher,
+            const Fdm1dMesher& rightMesher);
+      private:
+          const bool commonPoint_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp b/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
index 34a1e71811..48a7ab3421 100644
--- a/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
+++ b/ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp
@@ -26,6 +26,8 @@
 #include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
 #include <cmath>
 
+#include <ql/math/interpolations/linearinterpolation.hpp>
+
 // asinh is missing in WIN32 (and possibly on other compilers)
 #if !defined(QL_HAVE_ASINH)
 #define asinh(x) std::log(x + std::sqrt(x * x + 1))
@@ -34,7 +36,8 @@
 namespace QuantLib {
 
     Concentrating1dMesher::Concentrating1dMesher(
-        Real start, Real end, Size size, const std::pair<Real, Real>& cPoints)
+        Real start, Real end, Size size, const std::pair<Real, Real>& cPoints,
+        const bool requireCPoint)
     : Fdm1dMesher(size) {
 
         QL_REQUIRE(end > start, "end must be larger than start");
@@ -49,13 +52,28 @@ namespace QuantLib {
         QL_REQUIRE(density == Null<Real>() || density > 0.0,
                    "density > 0 required" );
 
+		Real c1, c2;
+		std::vector<Real> u, z;
+		boost::shared_ptr<Interpolation> transform;
+		if(cPoint != Null<Real>()) {
+            c1 = asinh((start-cPoint)/density);
+            c2 = asinh((end-cPoint)/density);
+			if(requireCPoint) {
+				Real z0 = - c1 / (c2-c1);
+				Real u0 = static_cast<int>(z0*(size-1)+0.5) / ((Real)(size-1));
+				u.push_back(0.0); u.push_back(u0); u.push_back(1.0);
+				z.push_back(0.0); z.push_back(z0); z.push_back(1.0);
+				transform = boost::shared_ptr<Interpolation>(
+				    new LinearInterpolation(u.begin(), u.end(), z.begin()));
+			}
+		}
+
         const Real dx = 1.0/(size-1);
         for (Size i=1; i < size-1; ++i) {
             if(cPoint != Null<Real>()) {
-                const Real c1 = asinh((start-cPoint)/density);
-                const Real c2 = asinh((end-cPoint)/density);
+				Real li = requireCPoint ? (*transform)(i*dx) : i*dx;
                 locations_[i] = cPoint
-                    + density*std::sinh(c1*(1.0-i*dx)+c2*i*dx);
+                    + density*std::sinh(c1*(1.0-li)+c2*li);
             }
             else {
                 locations_[i] = start + i*dx*(end-start);
diff --git a/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp b/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
index 45df3719b3..40f991bde4 100644
--- a/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
+++ b/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp
@@ -35,7 +35,8 @@ namespace QuantLib {
         Concentrating1dMesher(
             Real start, Real end, Size size,
             const std::pair<Real, Real>& cPoints
-                     = (std::pair<double, double>(Null<Real>(), Null<Real>())));
+                     = (std::pair<double, double>(Null<Real>(), Null<Real>())),
+			const bool requireCPoint = false);
     };
 }
 

From 65b24eecfc83cbfa2929a6bcc0cf45cbe18a173e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 May 2012 21:00:48 +0000
Subject: [PATCH 370/410] fixed MultiCubicSpline boundary issue

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18268 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdsimpleklugeextouvppengine.cpp        | 5 ++++-
 ql/methods/finitedifferences/solvers/fdmndimsolver.hpp       | 2 +-
 2 files changed, 5 insertions(+), 2 deletions(-)

diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index 2ff2df6d1e..ad65e98129 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -206,9 +206,12 @@ namespace QuantLib {
         x[1] = process_->initialValues()[1];
         x[2] = process_->initialValues()[2];
         
+        const Real tol = 1e-8;
         Array results(2*arguments_.tMinUp + arguments_.tMinDown);
         for (Size i=0; i < results.size(); ++i) {
-            x[3] = (Real) (nStates-results.size()+i);
+
+            x[3] = std::max(tol, std::min(
+                (Real) (nStates-results.size()+i), nStates-1-tol));
             results[i] = solver->valueAt(x);
         }
         results_.value = *std::max_element(results.begin(), results.end());
diff --git a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
index 12b6ff501d..e48bfda2d9 100644
--- a/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp
@@ -89,7 +89,7 @@ namespace QuantLib {
                                                         solverDesc.condition)),
       x_            (solverDesc.mesher->layout()->dim().size()),
       initialValues_(solverDesc.mesher->layout()->size()),
-      extrapolation_(std::vector<bool>(N, true)) {
+      extrapolation_(std::vector<bool>(N, false)) {
 
         const boost::shared_ptr<FdmMesher> mesher = solverDesc.mesher;
         const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();

From 5539d96751ba917852fd6136095e5ebb685cf1a8 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 30 May 2012 22:32:14 +0000
Subject: [PATCH 371/410] added test for Heston Model: compare QL results with
 Alan Lewis reference results

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18269 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/hestonmodel.cpp | 96 +++++++++++++++++++++++++++++++++++++-
 test-suite/hestonmodel.hpp |  3 +-
 2 files changed, 97 insertions(+), 2 deletions(-)

diff --git a/test-suite/hestonmodel.cpp b/test-suite/hestonmodel.cpp
index 99d7b5851b..3eb35100aa 100644
--- a/test-suite/hestonmodel.cpp
+++ b/test-suite/hestonmodel.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2009, 2010 Klaus Spanderen
+ Copyright (C) 2005, 2007, 2009, 2010, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -1118,6 +1118,98 @@ void HestonModelTest::testDAXCalibrationOfTimeDependentModel() {
     }
 }
 
+void HestonModelTest::testAlanLewisReferencePrices() {
+    BOOST_MESSAGE("Testing Alan Lewis Reference Prices ...");
+
+    /*
+     * testing Alan Lewis reference prices posted in
+     * http://wilmott.com/messageview.cfm?catid=34&threadid=90957
+     */
+
+    SavedSettings backup;
+
+    const Date settlementDate(5, July, 2002);
+    Settings::instance().evaluationDate() = settlementDate;
+
+    const Date maturityDate(5, July, 2003);
+    const boost::shared_ptr<Exercise> exercise(
+        new EuropeanExercise(maturityDate));
+
+    const DayCounter dayCounter = Actual365Fixed();
+    const Handle<YieldTermStructure> riskFreeTS(flatRate(0.01, dayCounter));
+    const Handle<YieldTermStructure> dividendTS(flatRate(0.02, dayCounter));
+
+    const Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100.0)));
+
+    const Real v0    =  0.04;
+    const Real rho   = -0.5;
+    const Real sigma =  1.0;
+    const Real kappa =  4.0;
+    const Real theta =  0.25;
+
+    const boost::shared_ptr<HestonProcess> process(new HestonProcess(
+        riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
+    const boost::shared_ptr<HestonModel> model(new HestonModel(process));
+
+    const boost::shared_ptr<PricingEngine> laguerreEngine(
+        new AnalyticHestonEngine(model, 192u));
+
+    const boost::shared_ptr<PricingEngine> gaussLobattoEngine(
+        new AnalyticHestonEngine(model, QL_EPSILON, 100000u));
+
+    const Real strikes[] = { 80, 90, 100, 110, 120 };
+    const Option::Type types[] = { Option::Put, Option::Call };
+    const boost::shared_ptr<PricingEngine> engines[]
+        = { laguerreEngine, gaussLobattoEngine };
+
+    const Real expectedResults[][2] = {
+        { 7.958878113256768285213263077598987193482161301733,
+          26.774758743998854221382195325726949201687074848341 },
+        { 12.017966707346304987709573290236471654992071308187,
+          20.933349000596710388139445766564068085476194042256 },
+        { 17.055270961270109413522653999411000974895436309183,
+          16.070154917028834278213466703938231827658768230714 },
+        { 23.017825898442800538908781834822560777763225722188,
+          12.132211516709844867860534767549426052805766831181 },
+        { 29.811026202682471843340682293165857439167301370697,
+          9.024913483457835636553375454092357136489051667150  }
+    };
+
+    const Real tol = 1e-12; // 3e-15 works on linux/ia32,
+                            // but keep some buffer for other platforms
+
+    for (Size i=0; i < LENGTH(strikes); ++i) {
+        const Real strike = strikes[i];
+
+        for (Size j=0; j < LENGTH(types); ++j) {
+            const Option::Type type = types[j];
+
+            for (Size k=0; k < LENGTH(engines); ++k) {
+                const boost::shared_ptr<PricingEngine> engine = engines[k];
+
+                const boost::shared_ptr<StrikedTypePayoff> payoff(
+                    new PlainVanillaPayoff(type, strike));
+
+                VanillaOption option(payoff, exercise);
+                option.setPricingEngine(engine);
+
+                const Real expected = expectedResults[i][j];
+                const Real calculated = option.NPV();
+                const Real relError = std::fabs(calculated-expected)/expected;
+
+                if (relError > tol) {
+                    BOOST_FAIL(
+                           "failed to reproduce Alan Lewis Reference prices "
+                        << "\n    strike     : " << strike
+                        << "\n    option type: " << type
+                        << "\n    engine type: " << k
+                        << "\n    rel. error : " << relError);
+                }
+            }
+        }
+    }
+}
+
 test_suite* HestonModelTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Heston model tests");
 
@@ -1138,6 +1230,8 @@ test_suite* HestonModelTest::suite() {
                     &HestonModelTest::testAnalyticPiecewiseTimeDependent));
     suite->add(QUANTLIB_TEST_CASE(
                     &HestonModelTest::testDAXCalibrationOfTimeDependentModel));
+    suite->add(QUANTLIB_TEST_CASE(
+                    &HestonModelTest::testAlanLewisReferencePrices));
 
     return suite;
 }
diff --git a/test-suite/hestonmodel.hpp b/test-suite/hestonmodel.hpp
index a11f7baa3c..ea5a84edf7 100644
--- a/test-suite/hestonmodel.hpp
+++ b/test-suite/hestonmodel.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2005, 2007, 2010 Klaus Spanderen
+ Copyright (C) 2005, 2007, 2010, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -39,6 +39,7 @@ class HestonModelTest {
     static void testMultipleStrikesEngine();
     static void testAnalyticPiecewiseTimeDependent();
     static void testDAXCalibrationOfTimeDependentModel();
+    static void testAlanLewisReferencePrices();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From a2c76cab16b2916196de9ee29638e67067587f52 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 10 Jun 2012 08:56:09 +0000
Subject: [PATCH 372/410] added Richardson extrapolation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18270 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/Makefile.am                 |  2 +
 ql/math/all.hpp                     |  1 +
 ql/math/richardsonextrapolation.cpp | 73 +++++++++++++++++++++++++++++
 ql/math/richardsonextrapolation.hpp | 62 ++++++++++++++++++++++++
 test-suite/interpolations.cpp       | 32 +++++++++++++
 test-suite/interpolations.hpp       |  2 +
 6 files changed, 172 insertions(+)
 create mode 100644 ql/math/richardsonextrapolation.cpp
 create mode 100644 ql/math/richardsonextrapolation.hpp

diff --git a/ql/math/Makefile.am b/ql/math/Makefile.am
index da77ded82b..dcddf98afe 100644
--- a/ql/math/Makefile.am
+++ b/ql/math/Makefile.am
@@ -28,6 +28,7 @@ this_include_HEADERS = \
 	primenumbers.hpp \
 	quadratic.hpp \
 	rounding.hpp \
+	richardsonextrapolation.hpp \
 	sampledcurve.hpp \
 	solver1d.hpp \
 	surface.hpp \
@@ -43,6 +44,7 @@ libMath_la_SOURCES = \
 	matrix.cpp \
 	primenumbers.cpp \
 	quadratic.cpp \
+	richardsonextrapolation.cpp \
 	rounding.cpp \
 	sampledcurve.cpp \
 	surface.cpp
diff --git a/ql/math/all.hpp b/ql/math/all.hpp
index 84783a9787..eb37545349 100644
--- a/ql/math/all.hpp
+++ b/ql/math/all.hpp
@@ -21,6 +21,7 @@
 #include <ql/math/primenumbers.hpp>
 #include <ql/math/quadratic.hpp>
 #include <ql/math/rounding.hpp>
+#include <ql/math/richardsonextrapolation.hpp>
 #include <ql/math/sampledcurve.hpp>
 #include <ql/math/solver1d.hpp>
 #include <ql/math/surface.hpp>
diff --git a/ql/math/richardsonextrapolation.cpp b/ql/math/richardsonextrapolation.cpp
new file mode 100644
index 0000000000..93aa043511
--- /dev/null
+++ b/ql/math/richardsonextrapolation.cpp
@@ -0,0 +1,73 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file richardsonextrapolation.cpp
+*/
+
+#include <ql/errors.hpp>
+#include <ql/math/solvers1d/brent.hpp>
+#include <ql/math/richardsonextrapolation.hpp>
+
+#include <cmath>
+
+namespace QuantLib {
+    namespace {
+        class RichardsonEqn {
+          public:
+            RichardsonEqn(Real fh, Real ft, Real fs, Real t, Real s)
+            : fh_(fh), ft_(ft), fs_(fs), t_(t), s_(s) { }
+
+            Real operator()(Real k) const {
+                return      ft_ + (ft_-fh_)/(std::pow(t_, k)-1.0)
+                        - ( fs_ + (fs_-fh_)/(std::pow(s_, k)-1.0));
+            }
+          private:
+            const Real fh_, ft_, fs_, t_, s_;
+        };
+
+    }
+
+    RichardsonExtrapolation::RichardsonExtrapolation(
+        Real h, const boost::function<Real (Real)>& f)
+    : h_(h), fh_(f(h)), f_(f) { }
+
+
+    Real RichardsonExtrapolation::formula(Real t, Real k) const {
+
+        QL_REQUIRE(t > 1, "scaling factor must be greater than 1");
+        const Real tk = std::pow(t,k);
+
+        return (tk*f_(h_/t)-fh_)/(tk-1.0);
+    }
+
+    Real RichardsonExtrapolation::formulaUnknownConvergence(Real t, Real s)
+    const {
+        QL_REQUIRE(t > 1 && s > 1, "scaling factors must be greater than 1");
+
+        const Real ft = f_(h_/t);
+        const Real fs = f_(h_/s);
+
+        const Real k = Brent().solve(RichardsonEqn(fh_, ft, fs, t, s),
+                                     1e-8, 0.05, 10);
+
+        const Real ts = std::pow(s,k);
+
+        return (ts*fs-fh_)/(ts-1.0);
+    }
+}
diff --git a/ql/math/richardsonextrapolation.hpp b/ql/math/richardsonextrapolation.hpp
new file mode 100644
index 0000000000..01747ec93a
--- /dev/null
+++ b/ql/math/richardsonextrapolation.hpp
@@ -0,0 +1,62 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file richardsonextrapolation.hpp
+*/
+
+#ifndef quantlib_richardson_extrapolation_hpp
+#define quantlib_richardson_extrapolation_hpp
+
+#include <ql/types.hpp>
+
+#include <boost/function.hpp>
+
+namespace QuantLib {
+
+    //! Richardson Extrapolatio
+    /*! References:
+
+        http://en.wikipedia.org/wiki/Richardson_extrapolation
+     */
+
+    class RichardsonExtrapolation {
+      public:
+        RichardsonExtrapolation(Real h,
+                                const boost::function<Real (Real)>& f);
+
+        /*! Extrapolation for known order of convergence
+            \param  step size for extrapolation. Is often 2
+            \param k order of convergence
+        */
+        Real formula(Real t, Real k) const;
+
+        /*! Extrapolation for unknown order of convergence
+            \param t first step size for the extrapolation.
+            \param s second step size for the extrapolation
+        */
+        Real formulaUnknownConvergence(Real t, Real s) const;
+
+      private:
+        const Real h_;
+        const Real fh_;
+        const boost::function<Real (Real)> f_;
+    };
+}
+
+#endif
diff --git a/test-suite/interpolations.cpp b/test-suite/interpolations.cpp
index a8b47c7424..98a069b0eb 100644
--- a/test-suite/interpolations.cpp
+++ b/test-suite/interpolations.cpp
@@ -36,6 +36,7 @@
 #include <ql/math/integrals/simpsonintegral.hpp>
 #include <ql/math/kernelfunctions.hpp>
 #include <ql/math/functional.hpp>
+#include <ql/math/richardsonextrapolation.hpp>
 #include <ql/math/randomnumbers/sobolrsg.hpp>
 #include <ql/math/optimization/levenbergmarquardt.hpp>
 #include <boost/assign/std/vector.hpp>
@@ -1610,6 +1611,35 @@ void InterpolationTest::testBicubicDerivatives() {
     }
 }
 
+namespace {
+    Real f(Real h) {
+        return std::pow( 1.0 + h, 1/h);
+    }
+}
+
+void InterpolationTest::testRichardsonExtrapolation() {
+    BOOST_MESSAGE("Testing Richardson Extrapolation...");
+
+    /* example taken from
+     * http://www.ipvs.uni-stuttgart.de/abteilungen/bv/lehre/
+     *      lehrveranstaltungen/vorlesungen/WS0910/
+     *      NSG_termine/dateien/Richardson.pdf
+     */
+
+    const RichardsonExtrapolation extrap(0.1, f);
+
+    const Real stepSize = 2.0;
+    const Real orderOfConvergence = 1.0;
+
+    const Real tol = 0.00001;
+    const Real expected = 2.71285;
+    const Real calculated = extrap.formula(stepSize, orderOfConvergence);
+
+    if (std::fabs(expected-calculated) > tol) {
+        BOOST_ERROR("failed to reproduce Richardson extrapolation");
+    }
+}
+
 test_suite* InterpolationTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Interpolation tests");
 
@@ -1636,6 +1666,8 @@ test_suite* InterpolationTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(
                               &InterpolationTest::testKernelInterpolation2D));
     suite->add(QUANTLIB_TEST_CASE(&InterpolationTest::testBicubicDerivatives));
+    suite->add(QUANTLIB_TEST_CASE(
+                            &InterpolationTest::testRichardsonExtrapolation));
 
     return suite;
 }
diff --git a/test-suite/interpolations.hpp b/test-suite/interpolations.hpp
index 1a4f2c1e95..28505ae5e0 100644
--- a/test-suite/interpolations.hpp
+++ b/test-suite/interpolations.hpp
@@ -46,6 +46,8 @@ class InterpolationTest {
     static void testKernelInterpolation();
     static void testKernelInterpolation2D();
     static void testBicubicDerivatives();
+    static void testRichardsonExtrapolation();
+
     static boost::unit_test_framework::test_suite* suite();
 };
 

From 1d8d11b9f4b0b9deacdde8493a30aeebd316ef9e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 16 Jun 2012 14:37:20 +0000
Subject: [PATCH 373/410] changed type of FdmBoundaryConditionSet to
 OperatorTraits<FdmLinearOp>::bc_set (thanks to Peter Caspers)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18271 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../fdextoujumpvanillaengine.cpp              |  2 +-
 .../fdklugeextouspreadengine.cpp              |  2 +-
 .../fdmextendedornsteinuhlenbeckop.hpp        |  2 +-
 .../finitedifferences/fdmextoujumpop.hpp      |  2 +-
 .../finitedifferences/fdmklugeextouop.hpp     |  2 +-
 .../fdsimpleextoujumpswingengine.cpp          |  2 +-
 .../fdsimpleextoustorageengine.cpp            |  2 +-
 .../fdsimpleklugeextouvppengine.cpp           |  2 +-
 .../operators/fdmbatesop.cpp                  | 11 +++++-
 .../operators/fdmbatesop.hpp                  |  4 +-
 .../schemes/craigsneydscheme.cpp              |  2 +-
 .../schemes/craigsneydscheme.hpp              |  7 ++--
 .../schemes/douglasscheme.cpp                 |  2 +-
 .../schemes/douglasscheme.hpp                 |  7 ++--
 .../schemes/expliciteulerscheme.cpp           | 37 +++++++++----------
 .../schemes/expliciteulerscheme.hpp           |  7 ++--
 .../schemes/hundsdorferscheme.cpp             |  2 +-
 .../schemes/hundsdorferscheme.hpp             |  8 ++--
 .../schemes/impliciteulerscheme.cpp           |  2 +-
 .../schemes/impliciteulerscheme.hpp           |  7 ++--
 .../schemes/modifiedcraigsneydscheme.cpp      |  2 +-
 .../schemes/modifiedcraigsneydscheme.hpp      |  7 ++--
 .../solvers/fdmbackwardsolver.hpp             |  2 +-
 .../solvers/fdmsolverdesc.hpp                 |  2 +-
 .../finitedifferences/utilities/Makefile.am   |  1 +
 .../finitedifferences/utilities/all.hpp       |  1 +
 .../utilities/fdmboundaryconditionset.hpp     | 36 ++++++++++++++++++
 .../utilities/fdmdirichletboundary.hpp        |  4 --
 .../asian/fdblackscholesasianengine.cpp       |  2 +-
 .../barrier/fdblackscholesbarrierengine.cpp   |  7 ++--
 .../barrier/fdblackscholesrebateengine.cpp    |  7 ++--
 .../barrier/fdhestonbarrierengine.cpp         |  7 ++--
 .../barrier/fdhestonrebateengine.cpp          |  7 ++--
 .../basket/fd2dblackscholesvanillaengine.cpp  |  2 +-
 .../swaption/fdg2swaptionengine.cpp           |  2 +-
 .../swaption/fdhullwhiteswaptionengine.cpp    |  2 +-
 .../vanilla/fdblackscholesvanillaengine.cpp   |  2 +-
 .../fdhestonhullwhitevanillaengine.cpp        |  2 +-
 .../vanilla/fdhestonvanillaengine.cpp         |  2 +-
 .../vanilla/fdsimplebsswingengine.cpp         |  2 +-
 test-suite/fdmlinearop.cpp                    |  6 +--
 41 files changed, 128 insertions(+), 89 deletions(-)
 create mode 100644 ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp

diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
index a968542853..94e055c8c7 100644
--- a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
@@ -94,7 +94,7 @@ namespace QuantLib {
                                 rTS_->referenceDate(), rTS_->dayCounter());
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
         
         // 6. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
index fc0d9af39f..16bf4e7daf 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
@@ -118,7 +118,7 @@ namespace QuantLib {
                                 rTS_->referenceDate(), rTS_->dayCounter());
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
index d96bb3d6e8..05d31748e3 100644
--- a/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+++ b/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
@@ -27,7 +27,7 @@
 #include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
 #include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdmextoujumpop.hpp b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
index a39bcf9a9b..4fe7d5ef56 100644
--- a/ql/experimental/finitedifferences/fdmextoujumpop.hpp
+++ b/ql/experimental/finitedifferences/fdmextoujumpop.hpp
@@ -28,7 +28,7 @@
 #include <ql/math/integrals/gaussianquadratures.hpp>
 #include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
     
diff --git a/ql/experimental/finitedifferences/fdmklugeextouop.hpp b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
index fc5202e3ac..5a219b02e9 100644
--- a/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+++ b/ql/experimental/finitedifferences/fdmklugeextouop.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 
 namespace QuantLib {
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index 115175fa7c..db9d560a7f 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -119,7 +119,7 @@ namespace QuantLib {
 
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index 63d28a62a8..cafebb0419 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -138,7 +138,7 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index ad65e98129..ff384215e5 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -191,7 +191,7 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/methods/finitedifferences/operators/fdmbatesop.cpp b/ql/methods/finitedifferences/operators/fdmbatesop.cpp
index c9707315bc..4ad7703a24 100644
--- a/ql/methods/finitedifferences/operators/fdmbatesop.cpp
+++ b/ql/methods/finitedifferences/operators/fdmbatesop.cpp
@@ -30,6 +30,7 @@
 #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 
 using boost::shared_ptr;
 
@@ -80,7 +81,15 @@ namespace QuantLib {
         
         for (FdmBoundaryConditionSet::const_iterator iter=bcSet_.begin();
             iter < bcSet_.end(); ++iter) {
-            valueOfDerivative=(*iter)->applyAfterApplying(x, valueOfDerivative);
+
+            const boost::shared_ptr<FdmDirichletBoundary> dirichlet
+                = boost::dynamic_pointer_cast<FdmDirichletBoundary>(*iter);
+
+            QL_REQUIRE(dirichlet, "FdmBatesOp can only deal with Dirichlet "
+                                  "boundary conditions.")
+
+            valueOfDerivative
+                = dirichlet->applyAfterApplying(x, valueOfDerivative);
         }
         
         return std::exp(-y*y)*valueOfDerivative;
diff --git a/ql/methods/finitedifferences/operators/fdmbatesop.hpp b/ql/methods/finitedifferences/operators/fdmbatesop.hpp
index 107d14edc6..5441cfd5b5 100644
--- a/ql/methods/finitedifferences/operators/fdmbatesop.hpp
+++ b/ql/methods/finitedifferences/operators/fdmbatesop.hpp
@@ -24,9 +24,9 @@
 #ifndef quantlib_fdm_bates_op_hpp
 #define quantlib_fdm_bates_op_hpp
 
-#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
+#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
index 732ebc0bd3..c10a842dab 100644
--- a/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
@@ -26,7 +26,7 @@ namespace QuantLib {
     CraigSneydScheme::CraigSneydScheme(
         Real theta, Real mu,
         const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
+        const bc_set& bcSet)
         : dt_(Null<Real>()),
         theta_(theta),
         mu_   (mu),
diff --git a/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
index 63f1c0bf63..43e2a14b45 100644
--- a/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_craig_sneyd_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
@@ -44,8 +44,7 @@ namespace QuantLib {
         // constructors
         CraigSneydScheme(Real theta, Real mu,
             const boost::shared_ptr<FdmLinearOpComposite> & map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
+            const bc_set& bcSet = bc_set());
 
         void step(array_type& a, Time t);
         void setStep(Time dt);
@@ -55,7 +54,7 @@ namespace QuantLib {
         const Real theta_;
         const Real mu_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/douglasscheme.cpp b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
index 2fa33d9741..3546c6323e 100644
--- a/ql/methods/finitedifferences/schemes/douglasscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
@@ -25,7 +25,7 @@ namespace QuantLib {
     DouglasScheme::DouglasScheme(
         Real theta,
         const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
+        const bc_set& bcSet)
     : dt_(Null<Real>()),
       theta_(theta),
       map_(map),
diff --git a/ql/methods/finitedifferences/schemes/douglasscheme.hpp b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
index d3bfc21a4b..f0374fbfaa 100644
--- a/ql/methods/finitedifferences/schemes/douglasscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_douglas_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
@@ -44,8 +44,7 @@ namespace QuantLib {
         // constructors
         DouglasScheme(Real theta,
             const boost::shared_ptr<FdmLinearOpComposite> & map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
+            const bc_set& bcSet = bc_set());
 
         void step(array_type& a, Time t);
         void setStep(Time dt);
@@ -54,7 +53,7 @@ namespace QuantLib {
         Time dt_;
         const Real theta_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
index 0e1b91d241..02271b72e0 100644
--- a/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
@@ -17,30 +17,27 @@
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
+ */
 
 #include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
 
 namespace QuantLib {
 
-    ExplicitEulerScheme::ExplicitEulerScheme(
+ExplicitEulerScheme::ExplicitEulerScheme(
         const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
-    : dt_(Null<Real>()),
-      map_  (map),
-      bcSet_(bcSet) {
-    }
-
-        
-    void ExplicitEulerScheme::step(array_type& a, Time t) {
-        QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
-        map_->setTime(std::max(0.0, t-dt_), t);
-        a += dt_*map_->apply(a);
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
-    }
-
-    void ExplicitEulerScheme::setStep(Time dt) {
-        dt_=dt;
-    }
+        const bc_set& bcSet) :
+        dt_(Null<Real>()), map_(map), bcSet_(bcSet) {
+}
+
+void ExplicitEulerScheme::step(array_type& a, Time t) {
+    QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
+    map_->setTime(std::max(0.0, t - dt_), t);
+    a += dt_ * map_->apply(a);
+    for (Size i = 0; i < bcSet_.size(); i++)
+        bcSet_[i]->applyAfterApplying(a);
+}
+
+void ExplicitEulerScheme::setStep(Time dt) {
+    dt_ = dt;
+}
 }
diff --git a/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
index f8db4332d5..c057d49259 100644
--- a/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
@@ -27,8 +27,8 @@
 #define quantlib_explicit_euler_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
@@ -44,8 +44,7 @@ namespace QuantLib {
         // constructors
         ExplicitEulerScheme(
             const boost::shared_ptr<FdmLinearOpComposite>& map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> >& bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
+            const bc_set& bcSet = bc_set());
 
         void step(array_type& a, Time t);
         void setStep(Time dt);
@@ -53,7 +52,7 @@ namespace QuantLib {
       protected:
         Time dt_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
index 80c520ef27..20dd521fd7 100644
--- a/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
@@ -26,7 +26,7 @@ namespace QuantLib {
     HundsdorferScheme::HundsdorferScheme(
         Real theta, Real mu,
         const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
+        const bc_set& bcSet)
     : dt_(Null<Real>()),
       theta_(theta),
       mu_   (mu),
diff --git a/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
index c68291e0b7..07394ef769 100644
--- a/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
@@ -28,8 +28,9 @@
 #define quantlib_hundsdorfer_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+
 #include <vector>
 
 namespace QuantLib {
@@ -46,8 +47,7 @@ namespace QuantLib {
         // constructors
         HundsdorferScheme(Real theta, Real mu,
             const boost::shared_ptr<FdmLinearOpComposite> & map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
+            const bc_set& bcSet = bc_set());
 
         void step(array_type& a, Time t);
         void setStep(Time dt);
@@ -58,7 +58,7 @@ namespace QuantLib {
         const Real mu_;
 
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
index 2c4317bf54..eac3cb68fd 100644
--- a/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
@@ -29,7 +29,7 @@ namespace QuantLib {
 
     ImplicitEulerScheme::ImplicitEulerScheme(
         const boost::shared_ptr<FdmLinearOpComposite>& map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> >& bcSet,
+        const bc_set& bcSet,
         Real relTol)
     : dt_    (Null<Real>()),
       relTol_(relTol),
diff --git a/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
index bbd49471fb..bbb399c09c 100644
--- a/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
@@ -44,8 +44,7 @@ namespace QuantLib {
         // constructors
         ImplicitEulerScheme(
             const boost::shared_ptr<FdmLinearOpComposite>& map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> >& bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >(),
+            const bc_set& bcSet = bc_set(),
             Real relTol = 1e-8);
 
         void step(array_type& a, Time t);
@@ -57,7 +56,7 @@ namespace QuantLib {
         Time dt_;
         const Real relTol_;
         const boost::shared_ptr<FdmLinearOpComposite> map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
index f13d0762c6..0832efecf3 100644
--- a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
@@ -24,7 +24,7 @@ namespace QuantLib {
     ModifiedCraigSneydScheme::ModifiedCraigSneydScheme(
         Real theta, Real mu,
         const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
+        const bc_set& bcSet)
         : dt_(Null<Real>()),
         theta_(theta),
         mu_   (mu),
diff --git a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
index 3502168a7e..9d4ddfff8d 100644
--- a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
@@ -25,8 +25,8 @@
 #define quantlib_modified_craig_sneyd_scheme_hpp
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
     //! modified Craig-Sneyd scheme
@@ -49,8 +49,7 @@ namespace QuantLib {
         // constructors
         ModifiedCraigSneydScheme(Real theta, Real mu,
             const boost::shared_ptr<FdmLinearOpComposite> & map,
-            const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bc_set
-                = std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
+            const bc_set& bcSet = bc_set());
 
         void step(array_type& a, Time t);
         void setStep(Time dt);
@@ -60,7 +59,7 @@ namespace QuantLib {
         const Real theta_;
         const Real mu_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
+        const bc_set bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
index add988a57d..b9118ea614 100644
--- a/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
@@ -25,7 +25,7 @@
 #ifndef quantlib_fdm_backward_solver_hpp
 #define quantlib_fdm_backward_solver_hpp
 
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp b/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
index 1b33eff8c3..1289c566bd 100644
--- a/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
+++ b/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp
@@ -23,7 +23,7 @@
 #ifndef quantlib_fdm_solver_desc_hpp
 #define quantlib_fdm_solver_desc_hpp
 
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/utilities/Makefile.am b/ql/methods/finitedifferences/utilities/Makefile.am
index a55e6f4d9f..a00ee88488 100644
--- a/ql/methods/finitedifferences/utilities/Makefile.am
+++ b/ql/methods/finitedifferences/utilities/Makefile.am
@@ -6,6 +6,7 @@ this_include_HEADERS = \
 	all.hpp \
 	fdmaffinemodeltermstructure.hpp \
 	fdmaffinemodelswapinnervalue.hpp \
+	fdmboundaryconditionset.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
 	fdminnervaluecalculator.hpp \
diff --git a/ql/methods/finitedifferences/utilities/all.hpp b/ql/methods/finitedifferences/utilities/all.hpp
index 6627306ef4..f12eed0b96 100644
--- a/ql/methods/finitedifferences/utilities/all.hpp
+++ b/ql/methods/finitedifferences/utilities/all.hpp
@@ -3,6 +3,7 @@
 
 #include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
diff --git a/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp b/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp
new file mode 100644
index 0000000000..22f142b8f3
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp
@@ -0,0 +1,36 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+/*! \file fdmboundaryconditionset.hpp
+*/
+
+#ifndef quantlib_fdm_boundary_condition_set_hpp
+#define quantlib_fdm_boundary_condition_set_hpp
+
+#include <ql/methods/finitedifferences/operatortraits.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+
+namespace QuantLib {
+
+    typedef OperatorTraits<FdmLinearOp>::bc_set FdmBoundaryConditionSet;
+
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
index 75e80b522d..1986f07bb1 100644
--- a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
@@ -60,10 +60,6 @@ namespace QuantLib {
         Real xExtreme_;
         std::vector<Size> indicies_;
     };
-    
-    typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
-        FdmBoundaryConditionSet;
-
 }
 
 #endif
diff --git a/ql/pricingengines/asian/fdblackscholesasianengine.cpp b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
index 9a3c539a2f..3b8b38a9bd 100644
--- a/ql/pricingengines/asian/fdblackscholesasianengine.cpp
+++ b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
@@ -100,7 +100,7 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
index 0658c1d0ab..d857c3147b 100644
--- a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
@@ -24,6 +24,7 @@
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
@@ -105,10 +106,10 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
@@ -116,7 +117,7 @@ namespace QuantLib {
 
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
diff --git a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
index 3f0c30ab31..0e39b9248f 100644
--- a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
@@ -23,6 +23,7 @@
 #include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
@@ -91,17 +92,17 @@ namespace QuantLib {
                                 process_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        FdmBoundaryConditionSet  boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
diff --git a/ql/pricingengines/barrier/fdhestonbarrierengine.cpp b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
index 21049295dd..367cc2c53f 100644
--- a/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
@@ -23,6 +23,7 @@
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
@@ -117,17 +118,17 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
diff --git a/ql/pricingengines/barrier/fdhestonrebateengine.cpp b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
index 152e6df8c8..5738b801ea 100644
--- a/ql/pricingengines/barrier/fdhestonrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
@@ -23,6 +23,7 @@
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
@@ -107,17 +108,17 @@ namespace QuantLib {
                                  process->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Lower)));
 
         }
         if (   arguments_.barrierType == Barrier::UpIn
             || arguments_.barrierType == Barrier::UpOut) {
-            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
+            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                 new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                          FdmDirichletBoundary::Upper)));
         }
diff --git a/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
index 4a465b5f4e..840cbb5ccd 100644
--- a/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
@@ -86,7 +86,7 @@ namespace QuantLib {
                                     p1_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         const FdmSolverDesc solverDesc = { mesher, boundaries,
diff --git a/ql/pricingengines/swaption/fdg2swaptionengine.cpp b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
index 6d836752ad..0fa57d5a6b 100644
--- a/ql/pricingengines/swaption/fdg2swaptionengine.cpp
+++ b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
@@ -119,7 +119,7 @@ namespace QuantLib {
                  mesher, calculator, referenceDate, dc);
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
index b79690ba12..50966c71fa 100644
--- a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
+++ b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
@@ -110,7 +110,7 @@ namespace QuantLib {
                  mesher, calculator, referenceDate, dc);
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
index 8a20932900..99b6e72e1d 100644
--- a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
@@ -79,7 +79,7 @@ namespace QuantLib {
                                     process_->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
diff --git a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
index a42f0e9b8d..d3e0fadeab 100644
--- a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
@@ -154,7 +154,7 @@ namespace QuantLib {
                                 hestonProcess->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         const FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
index 5de8857d4b..67a42d57de 100644
--- a/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
@@ -111,7 +111,7 @@ namespace QuantLib {
                                  process->riskFreeRate()->dayCounter());
 
         // 5. Boundary conditions
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
index 7699cb38fd..679fe99022 100644
--- a/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
+++ b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
@@ -102,7 +102,7 @@ namespace QuantLib {
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
         
         // 5. Boundary conditions
-        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
         
         // 6. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index aa98b48473..009e8a1295 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -621,7 +621,7 @@ void FdmLinearOpTest::testFdmHestonBarrier() {
         rhs[iter.index()]=std::max(std::exp(mesher->location(iter,0))-100, 0.0);
     }
 
-    std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet;
+    FdmBoundaryConditionSet bcSet;
     bcSet.push_back(boost::shared_ptr<FdmDirichletBoundary>(
         new FdmDirichletBoundary(mesher, 0.0, 0,
                                  FdmDirichletBoundary::Upper)));
@@ -819,7 +819,7 @@ void FdmLinearOpTest::testFdmHestonExpress() {
     boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                     new FdmLogInnerValue(payoff, mesher, 0));
 
-    std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet;
+    const FdmBoundaryConditionSet bcSet;
     const FdmSolverDesc solverDesc = { mesher, bcSet,
                                        condition, calculator, 1.0, 50, 0 };
     FdmHestonSolver solver(hestonProcess, solverDesc);
@@ -911,7 +911,7 @@ namespace {
         boost::shared_ptr<FdmMesher> mesher(
                                      new FdmMesherComposite(layout, mesher1d));
 
-        const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
+        const FdmBoundaryConditionSet boundaries;
 
         std::list<std::vector<Time> > stoppingTimes;
         std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;

From 2c169be02d94e4e449d44aa87e1d27f7a3fb9f68 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 17 Jun 2012 11:49:00 +0000
Subject: [PATCH 374/410] removed obsolete includes

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18272 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp | 1 -
 ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp | 1 -
 2 files changed, 2 deletions(-)

diff --git a/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp b/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
index 0f2b306f39..fefd2cd06a 100644
--- a/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp
@@ -22,7 +22,6 @@
 #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
diff --git a/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp b/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
index 52f6b82f12..1e583a6cfe 100644
--- a/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp
@@ -22,7 +22,6 @@
 #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>

From c847957cbdea9134077305e5b5c55521f3c16119 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 17 Jun 2012 12:04:24 +0000
Subject: [PATCH 375/410] small refactoring of fdm schemes

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18273 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/schemes/Makefile.am     |  1 +
 ql/methods/finitedifferences/schemes/all.hpp  |  1 +
 .../schemes/boundaryconditionschemehelper.hpp | 66 +++++++++++++++++++
 .../schemes/craigsneydscheme.cpp              | 14 ++--
 .../schemes/craigsneydscheme.hpp              |  4 +-
 .../schemes/douglasscheme.cpp                 | 11 ++--
 .../schemes/douglasscheme.hpp                 |  4 +-
 .../schemes/expliciteulerscheme.cpp           | 37 ++++++-----
 .../schemes/expliciteulerscheme.hpp           |  4 +-
 .../schemes/hundsdorferscheme.cpp             | 15 +++--
 .../schemes/hundsdorferscheme.hpp             |  4 +-
 .../schemes/impliciteulerscheme.cpp           |  6 +-
 .../schemes/impliciteulerscheme.hpp           |  4 +-
 .../schemes/modifiedcraigsneydscheme.cpp      | 15 ++---
 .../schemes/modifiedcraigsneydscheme.hpp      |  4 +-
 .../utilities/fdmdirichletboundary.cpp        | 11 +++-
 .../utilities/fdmdirichletboundary.hpp        |  4 +-
 17 files changed, 141 insertions(+), 64 deletions(-)
 create mode 100644 ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp

diff --git a/ql/methods/finitedifferences/schemes/Makefile.am b/ql/methods/finitedifferences/schemes/Makefile.am
index 29f81ebd45..222019ad5c 100644
--- a/ql/methods/finitedifferences/schemes/Makefile.am
+++ b/ql/methods/finitedifferences/schemes/Makefile.am
@@ -4,6 +4,7 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
+	boundaryconditionschemehelper.hpp \
 	craigsneydscheme.hpp \
 	douglasscheme.hpp \
 	expliciteulerscheme.hpp \
diff --git a/ql/methods/finitedifferences/schemes/all.hpp b/ql/methods/finitedifferences/schemes/all.hpp
index edd0f5fcfb..e2d8c2526b 100644
--- a/ql/methods/finitedifferences/schemes/all.hpp
+++ b/ql/methods/finitedifferences/schemes/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 #include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
 #include <ql/methods/finitedifferences/schemes/douglasscheme.hpp>
 #include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
diff --git a/ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp b/ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp
new file mode 100644
index 0000000000..a98d1e9f0d
--- /dev/null
+++ b/ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp
@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+/*! \file boundaryconditionschemehelper.hpp
+*/
+
+#ifndef quantlib_boundary_condition_scheme_helper_hpp
+#define quantlib_boundary_condition_scheme_helper_hpp
+
+#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+
+namespace QuantLib {
+    class BoundaryConditionSchemeHelper {
+      public:
+        typedef OperatorTraits<FdmLinearOp>::array_type array_type;
+        typedef OperatorTraits<FdmLinearOp>::operator_type operator_type;
+
+        explicit BoundaryConditionSchemeHelper(
+            const OperatorTraits<FdmLinearOp>::bc_set& bcSet)
+            : bcSet_(bcSet) {  }
+
+        void applyBeforeApplying(operator_type& op) const {
+            for (Size i=0; i < bcSet_.size(); ++i)
+                bcSet_[i]->applyBeforeApplying(op);
+        }
+        void applyBeforeSolving(operator_type& op, array_type& a) const {
+            for (Size i=0; i < bcSet_.size(); ++i)
+                bcSet_[i]->applyBeforeSolving(op, a);
+        }
+        void applyAfterApplying(array_type& a) const {
+            for (Size i=0; i < bcSet_.size(); ++i)
+                bcSet_[i]->applyAfterApplying(a);
+        }
+        void applyAfterSolving(array_type& a) const {
+            for (Size i=0; i < bcSet_.size(); ++i)
+                bcSet_[i]->applyAfterSolving(a);
+        }
+        void setTime(Time t) const {
+            for (Size i=0; i < bcSet_.size(); ++i)
+                bcSet_[i]->setTime(t);
+        }
+
+      private:
+        BoundaryConditionSchemeHelper() {}
+        const OperatorTraits<FdmLinearOp>::bc_set bcSet_;
+    };
+}
+
+#endif
diff --git a/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
index c10a842dab..3e856d20ce 100644
--- a/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.cpp
@@ -36,11 +36,13 @@ namespace QuantLib {
 
     void CraigSneydScheme::step(array_type& a, Time t) {
         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
+
         map_->setTime(std::max(0.0, t-dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
 
+        bcSet_.applyBeforeApplying(*map_);
         Array y = a + dt_*map_->apply(a);
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(y);
+        bcSet_.applyAfterApplying(y);
 
         Array y0 = y;
 
@@ -49,19 +51,17 @@ namespace QuantLib {
             y = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
 
+        bcSet_.applyBeforeApplying(*map_);
         Array yt = y0 + mu_*dt_*map_->apply_mixed(y-a);
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(yt);
+        bcSet_.applyAfterApplying(yt);
 
         for (Size i=0; i < map_->size(); ++i) {
             Array rhs = yt - theta_*dt_*map_->apply_direction(i, a);
             yt = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
+        bcSet_.applyAfterSolving(yt);
 
         a = yt;
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
-
     }
 
     void CraigSneydScheme::setStep(Time dt) {
diff --git a/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
index 43e2a14b45..395982f410 100644
--- a/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 namespace QuantLib {
 
@@ -54,7 +54,7 @@ namespace QuantLib {
         const Real theta_;
         const Real mu_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/douglasscheme.cpp b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
index 3546c6323e..b2cf500424 100644
--- a/ql/methods/finitedifferences/schemes/douglasscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.cpp
@@ -35,18 +35,19 @@ namespace QuantLib {
     void DouglasScheme::step(array_type& a, Time t) {
         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
         map_->setTime(std::max(0.0, t-dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
+
+        bcSet_.applyBeforeApplying(*map_);
         Array y = a + dt_*map_->apply(a);
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(y);
+        bcSet_.applyAfterApplying(y);
 
         for (Size i=0; i < map_->size(); ++i) {
             Array rhs = y - theta_*dt_*map_->apply_direction(i, a);
             y = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
-        a = y;
+        bcSet_.applyAfterSolving(y);
 
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
+        a = y;
     }
 
     void DouglasScheme::setStep(Time dt) {
diff --git a/ql/methods/finitedifferences/schemes/douglasscheme.hpp b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
index f0374fbfaa..1c12c17e9c 100644
--- a/ql/methods/finitedifferences/schemes/douglasscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/douglasscheme.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 namespace QuantLib {
 
@@ -53,7 +53,7 @@ namespace QuantLib {
         Time dt_;
         const Real theta_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
index 02271b72e0..67efce9cbb 100644
--- a/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp
@@ -22,22 +22,23 @@
 #include <ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp>
 
 namespace QuantLib {
-
-ExplicitEulerScheme::ExplicitEulerScheme(
-        const boost::shared_ptr<FdmLinearOpComposite> & map,
-        const bc_set& bcSet) :
-        dt_(Null<Real>()), map_(map), bcSet_(bcSet) {
-}
-
-void ExplicitEulerScheme::step(array_type& a, Time t) {
-    QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
-    map_->setTime(std::max(0.0, t - dt_), t);
-    a += dt_ * map_->apply(a);
-    for (Size i = 0; i < bcSet_.size(); i++)
-        bcSet_[i]->applyAfterApplying(a);
-}
-
-void ExplicitEulerScheme::setStep(Time dt) {
-    dt_ = dt;
-}
+    ExplicitEulerScheme::ExplicitEulerScheme(
+            const boost::shared_ptr<FdmLinearOpComposite> & map,
+            const bc_set& bcSet) :
+            dt_(Null<Real>()), map_(map), bcSet_(bcSet) {
+    }
+
+    void ExplicitEulerScheme::step(array_type& a, Time t) {
+        QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
+        map_->setTime(std::max(0.0, t - dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
+
+        bcSet_.applyBeforeApplying(*map_);
+        a += dt_ * map_->apply(a);
+        bcSet_.applyAfterApplying(a);
+    }
+
+    void ExplicitEulerScheme::setStep(Time dt) {
+        dt_ = dt;
+    }
 }
diff --git a/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
index c057d49259..d5656a0202 100644
--- a/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 namespace QuantLib {
 
@@ -52,7 +52,7 @@ namespace QuantLib {
       protected:
         Time dt_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
index 20dd521fd7..3c9f88315b 100644
--- a/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp
@@ -36,11 +36,14 @@ namespace QuantLib {
 
     void HundsdorferScheme::step(array_type& a, Time t) {
         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
+
         map_->setTime(std::max(0.0, t-dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
 
+        bcSet_.applyBeforeApplying(*map_);
         Array y = a + dt_*map_->apply(a);
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(y);
+        bcSet_.applyAfterApplying(y);
+
         Array y0 = y;
 
         for (Size i=0; i < map_->size(); ++i) {
@@ -48,19 +51,17 @@ namespace QuantLib {
             y = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
 
+        bcSet_.applyBeforeApplying(*map_);
         Array yt = y0 + mu_*dt_*map_->apply(y-a);
-        for (Size i=0; i<bcSet_.size(); i++) {
-            bcSet_[i]->applyAfterApplying(yt);
-        }
+        bcSet_.applyAfterApplying(yt);
 
         for (Size i=0; i < map_->size(); ++i) {
             Array rhs = yt - theta_*dt_*map_->apply_direction(i, y);
             yt = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
+        bcSet_.applyAfterSolving(yt);
 
         a = yt;
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
     }
 
     void HundsdorferScheme::setStep(Time dt) {
diff --git a/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
index 07394ef769..446d9ae4e0 100644
--- a/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp
@@ -29,7 +29,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 #include <vector>
 
@@ -58,7 +58,7 @@ namespace QuantLib {
         const Real mu_;
 
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
index eac3cb68fd..b15009ad05 100644
--- a/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp
@@ -44,6 +44,9 @@ namespace QuantLib {
     void ImplicitEulerScheme::step(array_type& a, Time t) {
         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
         map_->setTime(std::max(0.0, t-dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
+
+        bcSet_.applyBeforeSolving(*map_, a);
 
         a = BiCGstab(
                 boost::function<Disposable<Array>(const Array&)>(
@@ -54,8 +57,7 @@ namespace QuantLib {
                                 map_, _1, -dt_))
             ).solve(a).x;
         
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
+        bcSet_.applyAfterSolving(a);
     }
 
     void ImplicitEulerScheme::setStep(Time dt) {
diff --git a/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
index bbb399c09c..8f5ab32438 100644
--- a/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp
@@ -28,7 +28,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 namespace QuantLib {
 
@@ -56,7 +56,7 @@ namespace QuantLib {
         Time dt_;
         const Real relTol_;
         const boost::shared_ptr<FdmLinearOpComposite> map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
index 0832efecf3..9d32018ad1 100644
--- a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp
@@ -35,11 +35,11 @@ namespace QuantLib {
     void ModifiedCraigSneydScheme::step(array_type& a, Time t) {
         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
         map_->setTime(std::max(0.0, t-dt_), t);
+        bcSet_.setTime(std::max(0.0, t-dt_));
 
+        bcSet_.applyBeforeApplying(*map_);
         Array y = a + dt_*map_->apply(a);
-        
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(y);
+        bcSet_.applyAfterApplying(y);
 
         Array y0 = y;
 
@@ -48,21 +48,18 @@ namespace QuantLib {
             y = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
 
+        bcSet_.applyBeforeApplying(*map_);
         Array yt =  y0 + mu_*dt_*map_->apply_mixed(y-a)
                   +(0.5-mu_)*dt_*map_->apply(y-a);;
-        
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(yt);
+        bcSet_.applyAfterApplying(yt);
 
         for (Size i=0; i < map_->size(); ++i) {
             Array rhs = yt - theta_*dt_*map_->apply_direction(i, a);
             yt = map_->solve_splitting(i, rhs, -theta_*dt_);
         }
+        bcSet_.applyAfterSolving(yt);
 
         a = yt;
-        for (Size i=0; i<bcSet_.size(); i++)
-            bcSet_[i]->applyAfterApplying(a);
-
     }
 
     void ModifiedCraigSneydScheme::setStep(Time dt) {
diff --git a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
index 9d4ddfff8d..196089b89d 100644
--- a/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
+++ b/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp
@@ -26,7 +26,7 @@
 
 #include <ql/methods/finitedifferences/operatortraits.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
+#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
 
 namespace QuantLib {
     //! modified Craig-Sneyd scheme
@@ -59,7 +59,7 @@ namespace QuantLib {
         const Real theta_;
         const Real mu_;
         const boost::shared_ptr<FdmLinearOpComposite> & map_;
-        const bc_set bcSet_;
+        const BoundaryConditionSchemeHelper bcSet_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
index 170aa2f3d2..aaaae6fbc7 100644
--- a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
@@ -63,13 +63,20 @@ namespace QuantLib {
         }
     }
 
-    void FdmDirichletBoundary::applyAfterApplying(Array& rhs) const {
+    void FdmDirichletBoundary::applyBeforeApplying(operator_type&) const {
+    }
+
+    void FdmDirichletBoundary::applyAfterApplying(Array& x) const {
         for (std::vector<Size>::const_iterator iter = indicies_.begin();
              iter != indicies_.end(); ++iter) {
-            rhs[*iter] = valueOnBoundary_;
+            x[*iter] = valueOnBoundary_;
         }
     }
     
+    void FdmDirichletBoundary::applyBeforeSolving(operator_type&,
+                                                  array_type& rhs) const {
+    }
+
     void FdmDirichletBoundary::applyAfterSolving(Array& rhs) const {
         this->applyAfterApplying(rhs);
     }
diff --git a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
index 1986f07bb1..38e5e5ddba 100644
--- a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
@@ -45,8 +45,8 @@ namespace QuantLib {
         FdmDirichletBoundary(const boost::shared_ptr<FdmMesher>& layout,
                              Real valueOnBoundary, Size direction, Side side);
 
-        void applyBeforeApplying(operator_type&) const {}
-        void applyBeforeSolving(operator_type&, array_type&) const {}
+        void applyBeforeApplying(operator_type&) const;
+        void applyBeforeSolving(operator_type&, array_type&) const;
         void applyAfterApplying(array_type&) const;
         void applyAfterSolving(array_type&) const;
         void setTime(Time) {}

From 6a9e2216dd55e68cc4425de954aedc106617c14f Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 18 Jun 2012 19:41:42 +0000
Subject: [PATCH 376/410] added time dependent Dirichlet boundary condition
 (thanks to Peter Caspers)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18274 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/utilities/Makefile.am   |  8 +-
 .../finitedifferences/utilities/all.hpp       |  2 +
 .../utilities/fdmboundaryconditionset.hpp     |  2 +-
 .../utilities/fdmdirichletboundary.cpp        | 39 +++------
 .../utilities/fdmdirichletboundary.hpp        |  4 +-
 .../utilities/fdmindicesonboundary.cpp        | 58 ++++++++++++++
 .../utilities/fdmindicesonboundary.hpp        | 46 +++++++++++
 .../utilities/fdmtimedepdirichletboundary.cpp | 80 +++++++++++++++++++
 .../utilities/fdmtimedepdirichletboundary.hpp | 70 ++++++++++++++++
 9 files changed, 277 insertions(+), 32 deletions(-)
 create mode 100644 ql/methods/finitedifferences/utilities/fdmindicesonboundary.cpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.cpp
 create mode 100644 ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp

diff --git a/ql/methods/finitedifferences/utilities/Makefile.am b/ql/methods/finitedifferences/utilities/Makefile.am
index a00ee88488..6081055354 100644
--- a/ql/methods/finitedifferences/utilities/Makefile.am
+++ b/ql/methods/finitedifferences/utilities/Makefile.am
@@ -9,16 +9,20 @@ this_include_HEADERS = \
 	fdmboundaryconditionset.hpp \
 	fdmdirichletboundary.hpp \
 	fdmdividendhandler.hpp \
+	fdmindicesonboundary.hpp \
 	fdminnervaluecalculator.hpp \
-	fdmquantohelper.hpp
+	fdmquantohelper.hpp \
+	fdmtimedepdirichletboundary.hpp
 
 libFdmUtils_la_SOURCES = \
 	fdmaffinemodeltermstructure.cpp \
 	fdmaffinemodelswapinnervalue.cpp \
 	fdmdirichletboundary.cpp \
 	fdmdividendhandler.cpp \
+	fdmindicesonboundary.cpp \
 	fdminnervaluecalculator.cpp \
-	fdmquantohelper.cpp
+	fdmquantohelper.cpp \
+	fdmtimedepdirichletboundary.cpp
 
 noinst_LTLIBRARIES = libFdmUtils.la
 
diff --git a/ql/methods/finitedifferences/utilities/all.hpp b/ql/methods/finitedifferences/utilities/all.hpp
index f12eed0b96..2e8a5e8752 100644
--- a/ql/methods/finitedifferences/utilities/all.hpp
+++ b/ql/methods/finitedifferences/utilities/all.hpp
@@ -6,6 +6,8 @@
 #include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp>
 
diff --git a/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp b/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp
index 22f142b8f3..1e7d0af8f7 100644
--- a/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2012 Klaus Spanderen
+ Copyright (C) 2012 Peter Caspers
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
diff --git a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
index aaaae6fbc7..49cead7aa4 100644
--- a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp
@@ -21,8 +21,9 @@
 
 
 #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp>
 
 namespace QuantLib {
 
@@ -31,35 +32,19 @@ namespace QuantLib {
                             Real valueOnBoundary, Size direction,
                             FdmDirichletBoundary::Side side)
     : side_(side),
-      valueOnBoundary_(valueOnBoundary) {
-                                
-        const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
-                                
-        std::vector<Size> newDim(layout->dim());
-        newDim[direction] = 1;
-        const Size hyperSize = std::accumulate(newDim.begin(), newDim.end(),
-                                               Size(1), std::multiplies<Size>());
-        indicies_.resize(hyperSize);
-
-        Size i=0;
-        const FdmLinearOpIterator endIter = layout->end();
-        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-            ++iter) {
-            if (   (side == Lower && iter.coordinates()[direction] == 0)
-                || (side == Upper && iter.coordinates()[direction] 
-                                            == layout->dim()[direction]-1)) {
+      valueOnBoundary_(valueOnBoundary),
+      indices_(FdmIndicesOnBoundary(mesher->layout(),
+                                    direction, side).getIndices()) {
 
-                QL_REQUIRE(hyperSize > i, "index missmatch");
-                indicies_[i++] = iter.index();
-            }
-        }
-        
         if (side_ == Lower) {
             xExtreme_ = mesher->locations(direction)[0];
         }
         else if (side_ == Upper) {
-            xExtreme_ 
-                = mesher->locations(direction)[layout->dim()[direction]-1];
+            xExtreme_ = mesher
+                ->locations(direction)[mesher->layout()->dim()[direction]-1];
+        }
+        else {
+            QL_FAIL("internal error");
         }
     }
 
@@ -67,8 +52,8 @@ namespace QuantLib {
     }
 
     void FdmDirichletBoundary::applyAfterApplying(Array& x) const {
-        for (std::vector<Size>::const_iterator iter = indicies_.begin();
-             iter != indicies_.end(); ++iter) {
+        for (std::vector<Size>::const_iterator iter = indices_.begin();
+             iter != indices_.end(); ++iter) {
             x[*iter] = valueOnBoundary_;
         }
     }
diff --git a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
index 38e5e5ddba..5bbd2bb8e8 100644
--- a/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp
@@ -42,7 +42,7 @@ namespace QuantLib {
         typedef FdmLinearOp::array_type array_type;
         typedef BoundaryCondition<FdmLinearOp>::Side Side;
 
-        FdmDirichletBoundary(const boost::shared_ptr<FdmMesher>& layout,
+        FdmDirichletBoundary(const boost::shared_ptr<FdmMesher>& mesher,
                              Real valueOnBoundary, Size direction, Side side);
 
         void applyBeforeApplying(operator_type&) const;
@@ -56,9 +56,9 @@ namespace QuantLib {
       private:
         const Side side_;  
         const Real valueOnBoundary_;
+        const std::vector<Size> indices_;
 
         Real xExtreme_;
-        std::vector<Size> indicies_;
     };
 }
 
diff --git a/ql/methods/finitedifferences/utilities/fdmindicesonboundary.cpp b/ql/methods/finitedifferences/utilities/fdmindicesonboundary.cpp
new file mode 100644
index 0000000000..4ca05b544a
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmindicesonboundary.cpp
@@ -0,0 +1,58 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2008 Andreas Gaida
+ Copyright (C) 2008 Ralph Schreyer
+ Copyright (C) 2008 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp>
+
+namespace QuantLib {
+    FdmIndicesOnBoundary::FdmIndicesOnBoundary(
+        const boost::shared_ptr<FdmLinearOpLayout>& layout,
+        Size direction, FdmDirichletBoundary::Side side) {
+
+        std::vector<Size> newDim(layout->dim());
+        newDim[direction] = 1;
+        const Size hyperSize
+            = std::accumulate(newDim.begin(), newDim.end(), Size(1),
+                              std::multiplies<Size>());
+        indices_.resize(hyperSize);
+
+        Size i=0;
+        const FdmLinearOpIterator endIter = layout->end();
+        for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
+            ++iter) {
+            if (   (   side == FdmDirichletBoundary::Lower
+                    && iter.coordinates()[direction] == 0)
+                || (   side == FdmDirichletBoundary::Upper
+                    && iter.coordinates()[direction]
+                                            == layout->dim()[direction]-1)) {
+                QL_REQUIRE(hyperSize > i, "index missmatch");
+                indices_[i++] = iter.index();
+            }
+        }
+
+
+    }
+
+    const std::vector<Size>& FdmIndicesOnBoundary::getIndices() const {
+        return indices_;
+    }
+}
diff --git a/ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp b/ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp
new file mode 100644
index 0000000000..5e10927d63
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp
@@ -0,0 +1,46 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2008 Andreas Gaida
+ Copyright (C) 2008 Ralph Schreyer
+ Copyright (C) 2008 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmindicesonboundary.hpp
+    \brief helper class to extract the indices on a boundary
+*/
+
+#ifndef quantlib_fdm_indices_on_boundary_hpp
+#define quantlib_fdm_indices_on_boundary_hpp
+
+#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
+
+namespace QuantLib {
+
+    class FdmLinearOpLayout;
+
+    class FdmIndicesOnBoundary {
+      public:
+        FdmIndicesOnBoundary(const boost::shared_ptr<FdmLinearOpLayout>& l,
+                              Size direction, FdmDirichletBoundary::Side side);
+
+        const std::vector<Size>& getIndices() const;
+      private:
+        std::vector<Size> indices_;
+    };
+}
+#endif
+
diff --git a/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.cpp b/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.cpp
new file mode 100644
index 0000000000..319252da76
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.cpp
@@ -0,0 +1,80 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+/*! \file fdmtimedepdirichletboundary.cpp
+*/
+
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp>
+#include <ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp>
+
+#include <algorithm>
+
+namespace QuantLib {
+
+    FdmTimeDepDirichletBoundary::FdmTimeDepDirichletBoundary(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::function<Real (Real)>& valueOnBoundary,
+        Size direction, Side side)
+    : indices_(FdmIndicesOnBoundary(mesher->layout(),
+                                    direction, side).getIndices()),
+      valueOnBoundary_(valueOnBoundary),
+      values_(indices_.size()) {
+    }
+
+    FdmTimeDepDirichletBoundary::FdmTimeDepDirichletBoundary(
+        const boost::shared_ptr<FdmMesher>& mesher,
+        const boost::function<Disposable<Array> (Real)>& valuesOnBoundary,
+        Size direction, Side side)
+    : indices_(FdmIndicesOnBoundary(mesher->layout(),
+                                    direction, side).getIndices()),
+      valuesOnBoundary_(valuesOnBoundary),
+      values_(indices_.size()) {
+    }
+
+    void FdmTimeDepDirichletBoundary::setTime(Time t) {
+        if (valueOnBoundary_) {
+            std::fill(values_.begin(), values_.end(), valueOnBoundary_(t));
+        }
+        else if (valuesOnBoundary_) {
+            values_ = valuesOnBoundary_(t);
+            std::cout << "now it s me" << std::endl;
+        }
+        else {
+            QL_FAIL("no time dependent function is defined");
+        }
+    }
+
+    void FdmTimeDepDirichletBoundary::applyAfterApplying(array_type& a) const {
+        QL_REQUIRE(indices_.size() == values_.size(),
+                   "values on boundary size (" << values_.size()
+                   << ") does not match hypersurface size ("
+                   << indices_.size() << ")");
+        for (std::vector<Size>::const_iterator iter = indices_.begin();
+             iter != indices_.end(); ++iter) {
+            a[*iter] = values_[iter - indices_.begin()];
+        }
+    }
+
+    void FdmTimeDepDirichletBoundary::applyAfterSolving(array_type& a) const {
+        this->applyAfterApplying(a);
+    }
+}
diff --git a/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp b/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp
new file mode 100644
index 0000000000..910018cd61
--- /dev/null
+++ b/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp
@@ -0,0 +1,70 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+
+/*! \file fdmtimedepdirichletboundary.hpp
+    \brief time dependent Dirichlet boundary conditions
+*/
+
+#ifndef quantlib_fdm_time_dep_dirichlet_boundary_hpp
+#define quantlib_fdm_time_dep_dirichlet_boundary_hpp
+
+#include <ql/methods/finitedifferences/boundarycondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
+
+#include <boost/function.hpp>
+
+namespace QuantLib {
+
+    class FdmMesher;
+    class FdmLinearOpLayout;
+
+    class FdmTimeDepDirichletBoundary : public BoundaryCondition<FdmLinearOp> {
+      public:
+        // types and enumerations
+        typedef FdmLinearOp operator_type;
+        typedef FdmLinearOp::array_type array_type;
+        typedef BoundaryCondition<FdmLinearOp>::Side Side;
+
+        FdmTimeDepDirichletBoundary(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::function<Real (Real)>& valueOnBoundary,
+            Size direction, Side side);
+
+        FdmTimeDepDirichletBoundary(
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::function<Disposable<Array> (Real)>& valueOnBoundary,
+            Size direction, Side side);
+
+        void setTime(Time);
+        void applyBeforeApplying(operator_type&) const {}
+        void applyBeforeSolving(operator_type&, array_type&) const {}
+        void applyAfterApplying(array_type&) const;
+        void applyAfterSolving(array_type&) const;
+
+      private:
+        const std::vector<Size> indices_;
+        const boost::function<Real (Real)> valueOnBoundary_;
+        const boost::function<Disposable<Array>(Real)> valuesOnBoundary_;
+
+        Array values_;
+    };
+}
+
+#endif

From 577a3b5fec0cd33af85b1b86e70a2914fab52f5b Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 23 Jun 2012 21:01:58 +0000
Subject: [PATCH 377/410] enable g++ -std=c++0x or g++ -std=c++11

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18275 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/matrixutilities/symmetricschurdecomposition.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/math/matrixutilities/symmetricschurdecomposition.cpp b/ql/math/matrixutilities/symmetricschurdecomposition.cpp
index 2023b0aa59..61d02528b7 100644
--- a/ql/math/matrixutilities/symmetricschurdecomposition.cpp
+++ b/ql/math/matrixutilities/symmetricschurdecomposition.cpp
@@ -119,7 +119,7 @@ namespace QuantLib {
         for (col=0; col<size; col++) {
             std::copy(eigenVectors_.column_begin(col),
                       eigenVectors_.column_end(col), eigenVector.begin());
-            temp[col] = std::make_pair<Real, std::vector<Real> >(
+            temp[col] = std::pair<Real, std::vector<Real> >(
                 diagonal_[col], eigenVector);
         }
         std::sort(temp.begin(), temp.end(),

From 7cf601885b790711051c8b30c3f713778ed133f3 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 29 Jun 2012 21:15:52 +0000
Subject: [PATCH 378/410] replaced double with Real to keep header and source
 files in sync.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18278 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/marketmodels/products/multistep/multistepswap.cpp | 2 +-
 ql/models/marketmodels/proxygreekengine.hpp                 | 2 +-
 ql/processes/batesprocess.cpp                               | 4 ++--
 ql/processes/hestonprocess.cpp                              | 4 ++--
 4 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/ql/models/marketmodels/products/multistep/multistepswap.cpp b/ql/models/marketmodels/products/multistep/multistepswap.cpp
index fd6e93e328..900bff176c 100644
--- a/ql/models/marketmodels/products/multistep/multistepswap.cpp
+++ b/ql/models/marketmodels/products/multistep/multistepswap.cpp
@@ -27,7 +27,7 @@ namespace QuantLib {
                                  const std::vector<Real>& fixedAccruals,
                                  const std::vector<Real>& floatingAccruals,
                                  const std::vector<Time>& paymentTimes,
-                                 double fixedRate,
+                                 Real fixedRate,
                                  bool payer)
     : MultiProductMultiStep(rateTimes),
       fixedAccruals_(fixedAccruals), floatingAccruals_(floatingAccruals),
diff --git a/ql/models/marketmodels/proxygreekengine.hpp b/ql/models/marketmodels/proxygreekengine.hpp
index 770b868803..8a785026b7 100644
--- a/ql/models/marketmodels/proxygreekengine.hpp
+++ b/ql/models/marketmodels/proxygreekengine.hpp
@@ -45,7 +45,7 @@ namespace QuantLib {
             const std::vector<Size>& startIndexOfConstraint,
             const std::vector<Size>& endIndexOfConstraint,
             const Clone<MarketModelMultiProduct>& product,
-            double initialNumeraireValue);
+            Real initialNumeraireValue);
         void multiplePathValues(
                   SequenceStatisticsInc& stats,
                   std::vector<std::vector<SequenceStatisticsInc> >& modifiedStats,
diff --git a/ql/processes/batesprocess.cpp b/ql/processes/batesprocess.cpp
index 244760de0a..0738ce12af 100644
--- a/ql/processes/batesprocess.cpp
+++ b/ql/processes/batesprocess.cpp
@@ -26,8 +26,8 @@ namespace QuantLib {
                               const Handle<YieldTermStructure>& riskFreeRate,
                               const Handle<YieldTermStructure>& dividendYield,
                               const Handle<Quote>& s0,
-                              double v0, double kappa,
-                              double theta, double sigma, double rho,
+                              Real v0, Real kappa,
+                              Real theta, Real sigma, Real rho,
                               Real lambda, Real nu, Real delta, 
                               HestonProcess::Discretization d)
     : HestonProcess(riskFreeRate, dividendYield, 
diff --git a/ql/processes/hestonprocess.cpp b/ql/processes/hestonprocess.cpp
index d8d52036b8..65af0b144e 100644
--- a/ql/processes/hestonprocess.cpp
+++ b/ql/processes/hestonprocess.cpp
@@ -29,8 +29,8 @@ namespace QuantLib {
                               const Handle<YieldTermStructure>& riskFreeRate,
                               const Handle<YieldTermStructure>& dividendYield,
                               const Handle<Quote>& s0,
-                              double v0, double kappa,
-                              double theta, double sigma, double rho,
+                              Real v0, Real kappa,
+                              Real theta, Real sigma, Real rho,
                               Discretization d)
     : StochasticProcess(boost::shared_ptr<discretization>(
                                                     new EulerDiscretization)),

From dd20a3b6f5ad9cba587da01a4b1fec9b484d126e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 29 Jun 2012 21:17:35 +0000
Subject: [PATCH 379/410] replaced double with Real to keep header and source
 files in sync.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18279 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/fdmlinearop.cpp | 40 +++++++++++++++++++-------------------
 1 file changed, 20 insertions(+), 20 deletions(-)

diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 009e8a1295..592edb4083 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -528,7 +528,7 @@ void FdmLinearOpTest::testTripleBandMapSolve() {
     Array t(dy.solve_splitting(copyOfDy.apply(u), 1.0, 0.0));
     for (Size i=0; i < u.size(); ++i) {
         if (std::fabs(u[i] - t[i]) > 1e-6) {
-            QL_FAIL("solve and apply are not consistent "
+            BOOST_FAIL("solve and apply are not consistent "
                     << "\n expected      : " << u[i]
                     << "\n calculated    : " << t[i]);
         }
@@ -544,7 +544,7 @@ void FdmLinearOpTest::testTripleBandMapSolve() {
     t = dx.solve_splitting(copyOfDx.apply(u), 1.0, 0.0);
     for (Size i=0; i < u.size(); ++i) {
         if (std::fabs(u[i] - t[i]) > 1e-6) {
-            QL_FAIL("solve and apply are not consistent "
+            BOOST_FAIL("solve and apply are not consistent "
                 << "\n expected      : " << u[i]
                 << "\n calculated    : " << t[i]);
         }
@@ -560,7 +560,7 @@ void FdmLinearOpTest::testTripleBandMapSolve() {
 
     for (Size i=0; i < u.size(); ++i) {
         if (std::fabs(u[i] - t[i]) > 1e-6) {
-            QL_FAIL("solve and apply are not consistent "
+            BOOST_FAIL("solve and apply are not consistent "
                 << "\n expected      : " << u[i]
                 << "\n calculated    : " << t[i]);
         }
@@ -574,7 +574,7 @@ void FdmLinearOpTest::testTripleBandMapSolve() {
 
     for (Size i=0; i < u.size(); ++i) {
         if (std::fabs(u[i] - t[i]) > 1e-6) {
-            QL_FAIL("solve and apply are not consistent "
+            BOOST_FAIL("solve and apply are not consistent "
                 << "\n expected      : " << u[i]
                 << "\n calculated    : " << t[i]);
         }
@@ -664,15 +664,15 @@ void FdmLinearOpTest::testFdmHestonBarrier() {
     const Real gammaExpected = -0.034296;
 
     if (std::fabs(npv - npvExpected) > 0.000001) {
-        QL_FAIL("Error in calculating PV for Heston barrier option");
+        BOOST_FAIL("Error in calculating PV for Heston barrier option");
     }
 
     if (std::fabs(delta - deltaExpected) > 0.000001) {
-        QL_FAIL("Error in calculating Delta for Heston barrier option");
+        BOOST_FAIL("Error in calculating Delta for Heston barrier option");
     }
 
     if (std::fabs(gamma - gammaExpected) > 0.000001) {
-            QL_FAIL("Error in calculating Gamma for Heston barrier option");
+            BOOST_FAIL("Error in calculating Gamma for Heston barrier option");
     }
 }
 
@@ -751,7 +751,7 @@ void FdmLinearOpTest::testFdmHestonAmerican() {
     const Real npvExpected = 5.641648;
 
     if (std::fabs(npv - npvExpected) > 0.000001) {
-        QL_FAIL("Error in calculating PV for Heston American Option");
+        BOOST_FAIL("Error in calculating PV for Heston American Option");
     }
 }
 
@@ -828,24 +828,24 @@ void FdmLinearOpTest::testFdmHestonExpress() {
     const Real v0 = 0.04;
 
     if (std::fabs(solver.valueAt(s, v0) - 101.027) > 0.01) {
-        QL_FAIL("Error in calculating PV for Heston Express Certificate");
+        BOOST_FAIL("Error in calculating PV for Heston Express Certificate");
     }
 
     if (std::fabs(solver.deltaAt(s, v0) - 0.4181) > 0.001) {
-        QL_FAIL("Error in calculating Delta for Heston Express Certificate");
+        BOOST_FAIL("Error in calculating Delta for Heston Express Certificate");
     }
 
     if (std::fabs(solver.gammaAt(s, v0) + 0.0400) > 0.001) {
-        QL_FAIL("Error in calculating Gamma for Heston Express Certificate");
+        BOOST_FAIL("Error in calculating Gamma for Heston Express Certificate");
     }
 
     if (std::fabs(solver.meanVarianceDeltaAt(s, v0) - 0.6602) > 0.001) {
-        QL_FAIL("Error in calculating mean variance Delta for "
+        BOOST_FAIL("Error in calculating mean variance Delta for "
                 "Heston Express Certificate");
     }
 
     if (std::fabs(solver.meanVarianceGammaAt(s, v0) + 0.0316) > 0.001) {
-        QL_FAIL("Error in calculating mean variance Delta for "
+        BOOST_FAIL("Error in calculating mean variance Delta for "
                 "Heston Express Certificate");
     }
 }
@@ -1021,7 +1021,7 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     const Real solverTheta = solver3d.thetaAt(x[0], x[1], x[2]);
 
     if (std::fabs(directCalc - solverCalc) > 1e-4) {
-        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+        BOOST_FAIL("Error in calculating PV for Heston Hull White Option");
     }
 
 
@@ -1030,10 +1030,10 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     const Real solverNdTheta = solverNd.thetaAt(x);
 
     if (std::fabs(solverNdCalc - solverCalc) > 1e-4) {
-        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+        BOOST_FAIL("Error in calculating PV for Heston Hull White Option");
     }
     if (std::fabs(solverNdTheta - solverTheta) > 1e-4) {
-        QL_FAIL("Error in calculating PV for Heston Hull White Option");
+        BOOST_FAIL("Error in calculating PV for Heston Hull White Option");
     }
 
     VanillaOption option(
@@ -1056,7 +1056,7 @@ void FdmLinearOpTest::testFdmHestonHullWhiteOp() {
     const Real expected = 4.73;
 
     if (std::fabs(directCalc - expected) > 3*tol) {
-        QL_FAIL("Error in calculating MC PV for Heston Hull White Option");
+        BOOST_FAIL("Error in calculating MC PV for Heston Hull White Option");
     }
 }
 
@@ -1129,7 +1129,7 @@ void FdmLinearOpTest::testBiCGstab() {
                                  b-axpy(a, x))/DotProduct(b,b));
 
     if (error > tol) {
-        QL_FAIL("Error calculating the inverse using BiCGstab" <<
+        BOOST_FAIL("Error calculating the inverse using BiCGstab" <<
                 "\n tolerance:  " << tol <<
                 "\n error:      " << error);
     }  
@@ -1216,13 +1216,13 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
     Real relTol = 2e-3;
 
     if (std::fabs(calculatedPV - expectedPV) > relTol*expectedPV) {
-        QL_FAIL("Error calculating the PV of the digital option" <<
+        BOOST_FAIL("Error calculating the PV of the digital option" <<
                 "\n rel. tolerance:  " << relTol <<
                 "\n expected:        " << expectedPV <<
                 "\n calculated:      " << calculatedPV);
     }
     if (std::fabs(calculatedGamma - expectedGamma) > relTol*expectedGamma) {
-        QL_FAIL("Error calculating the Gamma of the digital option" <<
+        BOOST_FAIL("Error calculating the Gamma of the digital option" <<
                 "\n rel. tolerance:  " << relTol <<
                 "\n expected:        " << expectedGamma <<
                 "\n calculated:      " << calculatedGamma);

From 82f3eb0e1047441349d61f2a955e1be26a3b7e21 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 1 Jul 2012 12:34:10 +0000
Subject: [PATCH 380/410] improved interface of RichardsonExtrapolation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18280 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/richardsonextrapolation.cpp | 34 ++++++++++++++++------------
 ql/math/richardsonextrapolation.hpp | 35 +++++++++++++++++++----------
 test-suite/interpolations.cpp       | 28 ++++++++++++++++++-----
 3 files changed, 65 insertions(+), 32 deletions(-)

diff --git a/ql/math/richardsonextrapolation.cpp b/ql/math/richardsonextrapolation.cpp
index 93aa043511..f77fb3ec5b 100644
--- a/ql/math/richardsonextrapolation.cpp
+++ b/ql/math/richardsonextrapolation.cpp
@@ -31,43 +31,49 @@ namespace QuantLib {
         class RichardsonEqn {
           public:
             RichardsonEqn(Real fh, Real ft, Real fs, Real t, Real s)
-            : fh_(fh), ft_(ft), fs_(fs), t_(t), s_(s) { }
+            : fdelta_h_(fh), ft_(ft), fs_(fs), t_(t), s_(s) { }
 
             Real operator()(Real k) const {
-                return      ft_ + (ft_-fh_)/(std::pow(t_, k)-1.0)
-                        - ( fs_ + (fs_-fh_)/(std::pow(s_, k)-1.0));
+                return      ft_ + (ft_-fdelta_h_)/(std::pow(t_, k)-1.0)
+                        - ( fs_ + (fs_-fdelta_h_)/(std::pow(s_, k)-1.0));
             }
           private:
-            const Real fh_, ft_, fs_, t_, s_;
+            const Real fdelta_h_, ft_, fs_, t_, s_;
         };
 
     }
 
     RichardsonExtrapolation::RichardsonExtrapolation(
-        Real h, const boost::function<Real (Real)>& f)
-    : h_(h), fh_(f(h)), f_(f) { }
+        const boost::function<Real (Real)>& f, Real delta_h, Real n)
+    : delta_h_(delta_h),
+      fdelta_h_(f(delta_h)),
+      n_(n),
+      f_(f) {
+    }
 
 
-    Real RichardsonExtrapolation::formula(Real t, Real k) const {
+    Real RichardsonExtrapolation::operator()(Real t) const {
 
         QL_REQUIRE(t > 1, "scaling factor must be greater than 1");
-        const Real tk = std::pow(t,k);
+        QL_REQUIRE(n_ != Null<Real>(), "order of convergence must be known");
+
+        const Real tk = std::pow(t,n_);
 
-        return (tk*f_(h_/t)-fh_)/(tk-1.0);
+        return (tk*f_(delta_h_/t)-fdelta_h_)/(tk-1.0);
     }
 
-    Real RichardsonExtrapolation::formulaUnknownConvergence(Real t, Real s)
+    Real RichardsonExtrapolation::operator()(Real t, Real s)
     const {
         QL_REQUIRE(t > 1 && s > 1, "scaling factors must be greater than 1");
 
-        const Real ft = f_(h_/t);
-        const Real fs = f_(h_/s);
+        const Real ft = f_(delta_h_/t);
+        const Real fs = f_(delta_h_/s);
 
-        const Real k = Brent().solve(RichardsonEqn(fh_, ft, fs, t, s),
+        const Real k = Brent().solve(RichardsonEqn(fdelta_h_, ft, fs, t, s),
                                      1e-8, 0.05, 10);
 
         const Real ts = std::pow(s,k);
 
-        return (ts*fs-fh_)/(ts-1.0);
+        return (ts*fs-fdelta_h_)/(ts-1.0);
     }
 }
diff --git a/ql/math/richardsonextrapolation.hpp b/ql/math/richardsonextrapolation.hpp
index 01747ec93a..b2eb3dac00 100644
--- a/ql/math/richardsonextrapolation.hpp
+++ b/ql/math/richardsonextrapolation.hpp
@@ -29,32 +29,43 @@
 
 namespace QuantLib {
 
-    //! Richardson Extrapolatio
-    /*! References:
+    //! Richardson Extrapolation
+    /*! Richardson Extrapolation is a sequence acceleration technique for
+      \f[
+          f(\Delta h) = f_0 + \alpha\cdot (\Delta h)^n + O((\Delta h)^{n+1})
+      \f]
+     */
 
+    /*! References:
         http://en.wikipedia.org/wiki/Richardson_extrapolation
      */
 
     class RichardsonExtrapolation {
       public:
-        RichardsonExtrapolation(Real h,
-                                const boost::function<Real (Real)>& f);
+        /*! Richardon Extrapolation
+           \param f function to be extrapolated to delta_h -> 0
+           \param delta_h step size
+           \param n if known, n is the order of convergence
+         */
+        RichardsonExtrapolation(const boost::function<Real (Real)>& f,
+                                Real delta_h, Real n = Null<Real>());
+
 
         /*! Extrapolation for known order of convergence
-            \param  step size for extrapolation. Is often 2
-            \param k order of convergence
+            \param t scaling factor for the step size
         */
-        Real formula(Real t, Real k) const;
+        Real operator()(Real t=2.0) const;
 
         /*! Extrapolation for unknown order of convergence
-            \param t first step size for the extrapolation.
-            \param s second step size for the extrapolation
+            \param t first scaling factor for the step size
+            \param s second scaling factor for the step size
         */
-        Real formulaUnknownConvergence(Real t, Real s) const;
+        Real operator()(Real t, Real s) const;
 
       private:
-        const Real h_;
-        const Real fh_;
+        const Real delta_h_;
+        const Real fdelta_h_;
+        const Real n_;
         const boost::function<Real (Real)> f_;
     };
 }
diff --git a/test-suite/interpolations.cpp b/test-suite/interpolations.cpp
index 98a069b0eb..b4440f446b 100644
--- a/test-suite/interpolations.cpp
+++ b/test-suite/interpolations.cpp
@@ -1626,14 +1626,30 @@ void InterpolationTest::testRichardsonExtrapolation() {
      *      NSG_termine/dateien/Richardson.pdf
      */
 
-    const RichardsonExtrapolation extrap(0.1, f);
-
-    const Real stepSize = 2.0;
+    const Real stepSize = 0.1;
     const Real orderOfConvergence = 1.0;
+    const RichardsonExtrapolation extrap(f, stepSize, orderOfConvergence);
+
+
+    Real tol = 0.00002;
+    Real expected = 2.71285;
+
+    const Real scalingFactor = 2.0;
+    Real calculated = extrap(scalingFactor);
+
+    if (std::fabs(expected-calculated) > tol) {
+        BOOST_ERROR("failed to reproduce Richardson extrapolation");
+    }
+
+    calculated = extrap();
+    if (std::fabs(expected-calculated) > tol) {
+        BOOST_ERROR("failed to reproduce Richardson extrapolation");
+    }
+
+    expected = 2.721376;
 
-    const Real tol = 0.00001;
-    const Real expected = 2.71285;
-    const Real calculated = extrap.formula(stepSize, orderOfConvergence);
+    const Real scalingFactor2 = 4.0;
+    calculated = extrap(scalingFactor, scalingFactor2);
 
     if (std::fabs(expected-calculated) > tol) {
         BOOST_ERROR("failed to reproduce Richardson extrapolation");

From da9eb438314837caf8aaec8ea587aee4be35ee33 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 17 Jul 2012 12:22:15 +0000
Subject: [PATCH 381/410] Fixed access specifiers for Calendar::WesternImpl.

Thanks to Mike Jake for the heads-up.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18298 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendar.hpp | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

diff --git a/ql/time/calendar.hpp b/ql/time/calendar.hpp
index e9df64b6bf..22d57bb995 100644
--- a/ql/time/calendar.hpp
+++ b/ql/time/calendar.hpp
@@ -144,13 +144,14 @@ namespace QuantLib {
                                        bool includeLast = false) const;
         //@}
 
+      protected:
         //! partial calendar implementation
         /*! This class provides the means of determining the Easter
             Monday for a given year, as well as specifying Saturdays
             and Sundays as weekend days.
         */
         class WesternImpl : public Impl {
-          protected:
+          public:
             bool isWeekend(Weekday) const;
             //! expressed relative to first day of year
             static Day easterMonday(Year);
@@ -161,7 +162,7 @@ namespace QuantLib {
             Saturdays and Sundays as weekend days.
         */
         class OrthodoxImpl : public Impl {
-          protected:
+          public:
             bool isWeekend(Weekday) const;
             //! expressed relative to first day of year
             static Day easterMonday(Year);

From 8563ed8d6381a7f1fecc01aa42e6f41d1c7f79fe Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 17 Jul 2012 12:22:31 +0000
Subject: [PATCH 382/410] Added inspector for the joint calendar used by Libor
 indexes.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18299 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/ibor/libor.cpp | 27 ++++++++++++++++-----------
 ql/indexes/ibor/libor.hpp |  4 ++++
 2 files changed, 20 insertions(+), 11 deletions(-)

diff --git a/ql/indexes/ibor/libor.cpp b/ql/indexes/ibor/libor.cpp
index 509e493317..b17a1d3f13 100644
--- a/ql/indexes/ibor/libor.cpp
+++ b/ql/indexes/ibor/libor.cpp
@@ -112,6 +112,22 @@ namespace QuantLib {
                                                          endOfMonth());
     }
 
+    Calendar Libor::jointCalendar() const {
+        return jointCalendar_;
+    }
+
+    boost::shared_ptr<IborIndex> Libor::clone(
+                                  const Handle<YieldTermStructure>& h) const {
+        return boost::shared_ptr<IborIndex>(new Libor(familyName(),
+                                                      tenor(),
+                                                      fixingDays(),
+                                                      currency(),
+                                                      financialCenterCalendar_,
+                                                      dayCounter(),
+                                                      h));
+    }
+
+
     DailyTenorLibor::DailyTenorLibor(
                  const std::string& familyName,
                  Natural settlementDays,
@@ -133,15 +149,4 @@ namespace QuantLib {
                    "for EUR Libor dedicated EurLibor constructor must be used");
     }
 
-    boost::shared_ptr<IborIndex> Libor::clone(
-                                  const Handle<YieldTermStructure>& h) const {
-        return boost::shared_ptr<IborIndex>(new Libor(familyName(),
-                                                      tenor(),
-                                                      fixingDays(),
-                                                      currency(),
-                                                      financialCenterCalendar_,
-                                                      dayCounter(),
-                                                      h));
-    }
-
 }
diff --git a/ql/indexes/ibor/libor.hpp b/ql/indexes/ibor/libor.hpp
index b4970f8fa6..1153380ab1 100644
--- a/ql/indexes/ibor/libor.hpp
+++ b/ql/indexes/ibor/libor.hpp
@@ -58,6 +58,10 @@ namespace QuantLib {
         boost::shared_ptr<IborIndex> clone(
                                    const Handle<YieldTermStructure>& h) const;
         // @}
+        //! \name Other inspectors
+        //@{
+        Calendar jointCalendar() const;
+        // @}
       private:
         Calendar financialCenterCalendar_;
         Calendar jointCalendar_;

From 30c3506e2bd8d0ca5dbe5f50fec211f14cd11b20 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 17 Jul 2012 12:22:45 +0000
Subject: [PATCH 383/410] Added method to clone a swap index with a different
 discount curve.

Thanks to Peter Caspers.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18300 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/indexes/swapindex.cpp | 17 +++++++++++++++++
 ql/indexes/swapindex.hpp |  4 ++++
 2 files changed, 21 insertions(+)

diff --git a/ql/indexes/swapindex.cpp b/ql/indexes/swapindex.cpp
index 1879b0ede6..7fc8251691 100644
--- a/ql/indexes/swapindex.cpp
+++ b/ql/indexes/swapindex.cpp
@@ -142,6 +142,23 @@ namespace QuantLib {
                           iborIndex_->clone(forwarding)));
     }
 
+    shared_ptr<SwapIndex>
+    SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
+                     const Handle<YieldTermStructure>& discounting) const {
+        return shared_ptr<SwapIndex>(new
+             SwapIndex(familyName(),
+                       tenor(),
+                       fixingDays(),
+                       currency(),
+                       fixingCalendar(),
+                       fixedLegTenor(),
+                       fixedLegConvention(),
+                       dayCounter(),
+                       iborIndex_->clone(forwarding),
+                       discounting));
+    }
+
+
     OvernightIndexedSwapIndex::OvernightIndexedSwapIndex(
                             const std::string& familyName,
                             const Period& tenor,
diff --git a/ql/indexes/swapindex.hpp b/ql/indexes/swapindex.hpp
index b97c72abcd..89e4aa0a30 100644
--- a/ql/indexes/swapindex.hpp
+++ b/ql/indexes/swapindex.hpp
@@ -81,6 +81,10 @@ namespace QuantLib {
         //! returns a copy of itself linked to a different forwarding curve
         virtual boost::shared_ptr<SwapIndex> clone(
                         const Handle<YieldTermStructure>& forwarding) const;
+        //! returns a copy of itself linked to different curves
+        virtual boost::shared_ptr<SwapIndex> clone(
+                        const Handle<YieldTermStructure>& forwarding,
+                        const Handle<YieldTermStructure>& discounting) const;
         // @}
       protected:
         Rate forecastFixing(const Date& fixingDate) const;

From ead0dfb62c7042660972c835de6763b7b9e547a9 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 4 Aug 2012 12:11:15 +0000
Subject: [PATCH 384/410] added benchmark result for Raspberry Pi

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18306 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/quantlibbenchmark.cpp | 26 ++++++++++++++------------
 1 file changed, 14 insertions(+), 12 deletions(-)

diff --git a/test-suite/quantlibbenchmark.cpp b/test-suite/quantlibbenchmark.cpp
index 593a45e470..19182772ce 100644
--- a/test-suite/quantlibbenchmark.cpp
+++ b/test-suite/quantlibbenchmark.cpp
@@ -29,17 +29,18 @@
  using the perfex library, http://user.it.uu.se/~mikpe/linux/perfctr
  and PAPI, http://icl.cs.utk.edu/papi
 
- Example results: 1. Core2 Q9300@2.5Ghz  :2272.6 mflops
-                  2. Core2 Q6600@2.4Ghz  :1984.0 mflops
-                  3. i3 540@3.1Ghz       :1755.3 mflops
-                  4. Core2 Dual@2.0Ghz   : 835.9 mflops
-                  5. Athlon 64 X2 4400+  : 824.2 mflops
-                  6. Core2 Dual@2.0Ghz   : 754.1 mflops
-                  7. Pentium4 Dual@2.8Ghz: 423.8 mflops
-                  8. Pentium4@3.0Ghz     : 266.3 mflops
-                  9. PentiumIII@1.1Ghz   : 146.2 mflops
-                 10. Alpha 2xEV68@833Mhz : 184.6 mflops
-                 11. Strong ARM@206Mhz   :   1.4 mflops
+ Example results: 1. Core2 Q9300@2.5Ghz     :2272.6 mflops
+                  2. Core2 Q6600@2.4Ghz     :1984.0 mflops
+                  3. i3 540@3.1Ghz          :1755.3 mflops
+                  4. Core2 Dual@2.0Ghz      : 835.9 mflops
+                  5. Athlon 64 X2 4400+     : 824.2 mflops
+                  6. Core2 Dual@2.0Ghz      : 754.1 mflops
+                  7. Pentium4 Dual@2.8Ghz   : 423.8 mflops
+                  8. Pentium4@3.0Ghz        : 266.3 mflops
+                  9. PentiumIII@1.1Ghz      : 146.2 mflops
+                 10. Alpha 2xEV68@833Mhz    : 184.6 mflops
+                 11. Raspberry Pi ARM@700Mhz:  28.3 mflops
+                 12. Strong ARM@206Mhz      :   1.4 mflops
 
  Remarks: OS: Linux, static libs
   1. icc-11.0,  -gcc-version=420 -fast -fp-model fast=2 -ipo-jobs2
@@ -61,7 +62,8 @@
   9. gcc-4.1.1, -O3 -march=pentium3 -ffast-math
                 -mfpmath=sse,387 -msse -funroll-all-loops
  10. gcc-3.3.5, -O3 -mcpu=e67 -funroll-all-loops, Remark: two processes
- 11. gcc-3.4.3, -O2 -g on a Zaurus PDA
+ 11. gcc-4.6.3, -O3
+ 12. gcc-3.4.3, -O2 -g on a Zaurus PDA
 
   This benchmark is derived from quantlibtestsuite.cpp. Please see the
   copyrights therein.

From 289af4f4c4d86e91250d5bcad43b63d989bffbae Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sat, 4 Aug 2012 16:13:16 +0000
Subject: [PATCH 385/410] added Heston-Hull-White pricing engine using the H1HW
 approximation

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18307 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/Makefile.am         |   2 +
 ql/pricingengines/vanilla/all.hpp             |   1 +
 .../vanilla/analytich1hwengine.cpp            | 167 ++++++++++++++++++
 .../vanilla/analytich1hwengine.hpp            |  88 +++++++++
 .../vanilla/analytichestonengine.cpp          |  23 +--
 .../vanilla/analytichestonhullwhiteengine.hpp |  10 +-
 .../vanilla/analyticptdhestonengine.cpp       |   9 +-
 test-suite/hybridhestonhullwhiteprocess.cpp   | 120 +++++++++++--
 test-suite/hybridhestonhullwhiteprocess.hpp   |   1 +
 9 files changed, 378 insertions(+), 43 deletions(-)
 create mode 100644 ql/pricingengines/vanilla/analytich1hwengine.cpp
 create mode 100644 ql/pricingengines/vanilla/analytich1hwengine.hpp

diff --git a/ql/pricingengines/vanilla/Makefile.am b/ql/pricingengines/vanilla/Makefile.am
index 4fc4b80bae..bc617608d7 100644
--- a/ql/pricingengines/vanilla/Makefile.am
+++ b/ql/pricingengines/vanilla/Makefile.am
@@ -9,6 +9,7 @@ this_include_HEADERS = \
     analyticdividendeuropeanengine.hpp \
     analyticeuropeanengine.hpp \
     analyticgjrgarchengine.hpp \
+    analytich1hwengine.hpp \
     analytichestonengine.hpp \
     analytichestonhullwhiteengine.hpp \
     analyticptdhestonengine.hpp \
@@ -51,6 +52,7 @@ libVanillaEngines_la_SOURCES = \
     analyticdividendeuropeanengine.cpp \
     analyticeuropeanengine.cpp \
     analyticgjrgarchengine.cpp \
+    analytich1hwengine.cpp \
     analytichestonengine.cpp \
     analytichestonhullwhiteengine.cpp \
     analyticptdhestonengine.cpp \
diff --git a/ql/pricingengines/vanilla/all.hpp b/ql/pricingengines/vanilla/all.hpp
index 8ddb90faed..0d65f6b6f0 100644
--- a/ql/pricingengines/vanilla/all.hpp
+++ b/ql/pricingengines/vanilla/all.hpp
@@ -6,6 +6,7 @@
 #include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
+#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
 #include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
diff --git a/ql/pricingengines/vanilla/analytich1hwengine.cpp b/ql/pricingengines/vanilla/analytich1hwengine.cpp
new file mode 100644
index 0000000000..f675a26467
--- /dev/null
+++ b/ql/pricingengines/vanilla/analytich1hwengine.cpp
@@ -0,0 +1,167 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analytichestonengine.cpp
+    \brief analytic Heston-Hull-White engine based on the H1-HW approximation
+*/
+
+#include <ql/math/distributions/gammadistribution.hpp>
+#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
+
+#include <stdio.h>
+
+namespace QuantLib {
+    // integration helper class
+    class AnalyticH1HWEngine::Fj_Helper
+        : public std::unary_function<std::complex<Real>, Real> {
+
+      public:
+        Fj_Helper(const Handle<HestonModel>& hestonModel,
+                  const boost::shared_ptr<HullWhite>& hullWhiteModel,
+                  Real rho_xr, Time term, Real strike, Size j);
+
+        std::complex<Real> operator()(Real u) const;
+
+      private:
+        Real c(Time t) const;
+        Real lambda(Time t) const;
+        Real Lambda(Time t) const;
+        Real LambdaApprox(Time t) const;
+
+        const Size j_;
+        const Real lambda_, eta_;
+        const Real v0_, kappa_, theta_, gamma_;
+        const Real d_;
+        const Real rhoSr_;
+        const Time term_;
+    };
+
+    AnalyticH1HWEngine::Fj_Helper::Fj_Helper(
+        const Handle<HestonModel>& hestonModel,
+        const boost::shared_ptr<HullWhite>& hullWhiteModel,
+        Real rhoSr, Time term, Real, Size j)
+    : j_     (j),
+      lambda_(hullWhiteModel->a()),
+      eta_   (hullWhiteModel->sigma()),
+      v0_    (hestonModel->v0()),
+      kappa_ (hestonModel->kappa()),
+      theta_ (hestonModel->theta()),
+      gamma_ (hestonModel->sigma()),
+      d_     (4.0*kappa_*theta_/(gamma_*gamma_)),
+      rhoSr_ (rhoSr),
+      term_  (term) {
+    }
+
+    Real AnalyticH1HWEngine::Fj_Helper::c(Time t) const {
+        return gamma_*gamma_/(4*kappa_)*(1.0-std::exp(-kappa_*t));
+    }
+
+    Real AnalyticH1HWEngine::Fj_Helper::lambda(Time t) const {
+        return  4.0*kappa_*v0_*std::exp(-kappa_*t)
+               /(gamma_*gamma_*(1.0-std::exp(-kappa_*t)));
+    }
+
+    Real AnalyticH1HWEngine::Fj_Helper::LambdaApprox(Time t) const {
+        return std::sqrt( c(t)*(lambda(t)-1.0)
+                        + c(t)*d_*(1.0 + 1.0/(2.0*(d_+lambda(t)))));
+    }
+
+    Real AnalyticH1HWEngine::Fj_Helper::Lambda(Time t) const {
+        const GammaFunction g;
+        const Size maxIter = 1000;
+        const Real lambdaT = lambda(t);
+
+        Size k=0;
+        Real retVal = 0.0, s;
+
+        do {
+            s=std::exp(k*std::log(0.5*lambdaT) + g.logValue(0.5*(1+d_)+k)
+                        - g.logValue(k+1) - g.logValue(0.5*d_+k));
+            retVal += s;
+        } while (s > std::numeric_limits<float>::epsilon() && ++k < maxIter);
+
+        QL_REQUIRE(k < maxIter, "can not calculate Lambda");
+
+        retVal *= std::sqrt(2*c(t)) * std::exp(-0.5*lambdaT);
+        return retVal;
+    }
+
+    std::complex<Real> AnalyticH1HWEngine::Fj_Helper::operator()(Real u) const {
+
+        const Real gamma2 = gamma_*gamma_;
+
+        Real a, b, c;
+        if (8.0*kappa_*theta_/gamma2 > 1.0) {
+            a = std::sqrt(theta_-gamma2/(8.0*kappa_));
+            b = std::sqrt(v0_) - a;
+            c =-std::log((LambdaApprox(1.0)-a)/b);
+        }
+        else {
+            a = std::sqrt(gamma2/(2.0*kappa_))
+                *std::exp(  GammaFunction().logValue(0.5*(d_+1.0))
+                          - GammaFunction().logValue(0.5*d_));
+
+            const Time t1 = 0.0;
+            const Time t2 = 1.0/kappa_;
+
+            const Real Lambda_t1 = std::sqrt(v0_);
+            const Real Lambda_t2 = Lambda(t2);
+
+            c = std::log((Lambda_t2-a)/(Lambda_t1-a))/(t1-t2);
+            b = std::exp(c*t1)*(Lambda_t1-a);
+        }
+
+        const std::complex<Real> I4 =
+            -1.0/lambda_* std::complex<Real>(u*u, ((j_ == 1u)? -u : u))
+              *(  b/c*(1.0 - std::exp(-c*term_))
+                + a*term_
+                + a/lambda_*(std::exp(-lambda_*term_) - 1.0)
+                + b/(c-lambda_)*std::exp(-c*term_)
+                    *(1.0 - std::exp(-term_*(lambda_-c))) );
+
+        return eta_*rhoSr_*I4;
+    }
+
+
+    AnalyticH1HWEngine::AnalyticH1HWEngine(
+        const boost::shared_ptr<HestonModel>& model,
+        const boost::shared_ptr<HullWhite>& hullWhiteModel,
+        Real rhoSr, Size integrationOrder)
+    : AnalyticHestonHullWhiteEngine(model, hullWhiteModel, integrationOrder),
+      rhoSr_(rhoSr) {
+        QL_REQUIRE(rhoSr_ >= 0.0, "Fourier integration is not stable if "
+                    "the equity interest rate correlation is negative");
+    }
+
+    AnalyticH1HWEngine::AnalyticH1HWEngine(
+        const boost::shared_ptr<HestonModel>& model,
+        const boost::shared_ptr<HullWhite>& hullWhiteModel,
+        Real rhoSr, Real relTolerance, Size maxEvaluations)
+    : AnalyticHestonHullWhiteEngine(model, hullWhiteModel,
+                                    relTolerance, maxEvaluations),
+      rhoSr_(rhoSr) {
+    }
+
+    std::complex<Real> AnalyticH1HWEngine::addOnTerm(Real u, Time t, Size j)
+    const {
+        return AnalyticHestonHullWhiteEngine::addOnTerm(u, t, j)
+               + Fj_Helper(model_, hullWhiteModel_, rhoSr_, t, 0.0, j)(u);
+    }
+}
+
diff --git a/ql/pricingengines/vanilla/analytich1hwengine.hpp b/ql/pricingengines/vanilla/analytich1hwengine.hpp
new file mode 100644
index 0000000000..adf1d10e6b
--- /dev/null
+++ b/ql/pricingengines/vanilla/analytich1hwengine.hpp
@@ -0,0 +1,88 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analytich1hwengine.hpp
+    \brief analytic Heston-Hull-White engine based on the H1-HW approximation
+*/
+
+#ifndef quantlib_analytic_h1_hw_engine_hpp
+#define quantlib_analytic_h1_hw_engine_hpp
+
+#include <ql/models/equity/hestonmodel.hpp>
+#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
+#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
+
+namespace QuantLib {
+
+    //! Analytic Heston-Hull-White engine based on the H1-HW approximation
+    /*! This class is pricing a european option under the following process
+
+        \f[
+        \begin{array}{rcl}
+        dS(t, S)  &=& (r-d) S dt +\sqrt{v} S dW_1 \\
+        dv(t, S)  &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\
+        dr(t)     &=& (\theta(t) - a r) dt + \eta dW_3 \\
+        dW_1 dW_2 &=& \rho_{S,v} dt, \rho_{S,r} >= 0 \\
+        dW_1 dW_3 &=& \rho_{S.r} dt \\
+        dW_2 dW_3 &=& 0 dt \\
+        \end{array}
+        \f]
+    */
+
+    /*! References:
+
+        Lech A. Grzelak, Cornelis W. Oosterlee,
+        On The Heston Model with Stochastic,
+        http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1382902
+
+        Lech A. Grzelak,
+        Equity and Foreign Exchange Hybrid Models for
+        Pricing Long-Maturity Financial Derivatives,
+        http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
+
+        \ingroup vanillaengines
+
+        \test the correctness of the returned value is tested by
+              reproducing results available in web/literature, testing
+              against QuantLib's analytic Heston,
+              the Black-Scholes-Merton Hull-White engine and
+              the finite difference Heston-Hull-White engine
+    */
+
+    class AnalyticH1HWEngine : public AnalyticHestonHullWhiteEngine {
+      public:
+        AnalyticH1HWEngine(const boost::shared_ptr<HestonModel>& model,
+                           const boost::shared_ptr<HullWhite>& hullWhiteModel,
+                           Real rhoXV, Size integrationOrder = 144);
+
+        AnalyticH1HWEngine(const boost::shared_ptr<HestonModel>& model,
+                           const boost::shared_ptr<HullWhite>& hullWhiteModel,
+                           Real rhoSr, Real relTolerance, Size maxEvaluations);
+
+      protected:
+        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const;
+
+      private:
+        class Fj_Helper;
+
+        const Real rhoSr_;
+    };
+}
+
+#endif
diff --git a/ql/pricingengines/vanilla/analytichestonengine.cpp b/ql/pricingengines/vanilla/analytichestonengine.cpp
index 571aab0aea..7c16430387 100644
--- a/ql/pricingengines/vanilla/analytichestonengine.cpp
+++ b/ql/pricingengines/vanilla/analytichestonengine.cpp
@@ -55,7 +55,8 @@ namespace QuantLib {
             ComplexLogFormula cpxLog,
             Time term, Real ratio, Size j);
 
-        Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
+        Fj_Helper(Real kappa, Real theta, Real sigma,
+            Real v0, Real s0, Real rho,
             const AnalyticHestonEngine* const engine,
             ComplexLogFormula cpxLog,
             Time term,
@@ -63,7 +64,8 @@ namespace QuantLib {
             Real ratio,
             Size j);
 
-         Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
+         Fj_Helper(Real kappa, Real theta, Real sigma,
+            Real v0, Real s0, Real rho,
             ComplexLogFormula cpxLog,
             Time term,
             Real strike,
@@ -114,7 +116,8 @@ namespace QuantLib {
     {
     }
 
-    AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
+    AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta,
+        Real sigma, Real v0, Real s0, Real rho,
         const AnalyticHestonEngine* const engine,
         ComplexLogFormula cpxLog,
         Time term,
@@ -141,7 +144,8 @@ namespace QuantLib {
     {
     }
 
-    AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
+    AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta,
+        Real sigma, Real v0, Real s0, Real rho,
         ComplexLogFormula cpxLog,
         Time term,
         Real strike,
@@ -348,16 +352,13 @@ namespace QuantLib {
 
         evaluations = 0;
         const Real p1 = integration.calculate(c_inf,
-
-            Fj_Helper(kappa,theta,sigma,v0,spotPrice,rho, enginePtr, cpxLog, term, strikePrice, ratio, 1))
-            //Fj_Helper(arguments_, model_, this, cpxLog_, term, ratio, 1))
-            /M_PI;
+            Fj_Helper(kappa, theta, sigma, v0, spotPrice, rho, enginePtr,
+                      cpxLog, term, strikePrice, ratio, 1))/M_PI;
         evaluations+= integration.numberOfEvaluations();
 
         const Real p2 = integration.calculate(c_inf,
-                  Fj_Helper(kappa,theta,sigma,v0,spotPrice,rho, enginePtr, cpxLog, term, strikePrice, ratio, 2))
-            //Fj_Helper(arguments_, model_, this, cpxLog_, term, ratio, 2))
-            /M_PI;
+            Fj_Helper(kappa, theta, sigma, v0, spotPrice, rho, enginePtr,
+                      cpxLog, term, strikePrice, ratio, 2))/M_PI;
         evaluations+= integration.numberOfEvaluations();
 
         switch (type.optionType())
diff --git a/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp b/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp
index 788c5e7c5d..9bf3280641 100644
--- a/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp
+++ b/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp
@@ -32,7 +32,7 @@
 namespace QuantLib {
 
     //! Analytic Heston engine incl. stochastic interest rates
-    /*! This class is pricing a european options under the following processes
+    /*! This class is pricing a european option under the following process
 
         \f[
         \begin{array}{rcl}
@@ -80,13 +80,11 @@ namespace QuantLib {
         void calculate() const;
 
       protected:
-        std::complex<Real> addOnTerm(Real phi,
-                                     Time t,
-                                     Size j) const;
+        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const;
 
-      private:
-        boost::shared_ptr<HullWhite> hullWhiteModel_;
+        const boost::shared_ptr<HullWhite> hullWhiteModel_;
 
+      private:
         mutable Real m_;
         mutable Real a_, sigma_;
     };
diff --git a/ql/pricingengines/vanilla/analyticptdhestonengine.cpp b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
index fbad24d672..d3a3d64c85 100644
--- a/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
+++ b/ql/pricingengines/vanilla/analyticptdhestonengine.cpp
@@ -34,7 +34,6 @@ namespace QuantLib {
       public:
         Fj_Helper(
             const Handle<PiecewiseTimeDependentHestonModel>& model,
-            const AnalyticPTDHestonEngine* const engine,
             Time term, Real strike, Size j);
     
         Real operator()(Real phi) const;
@@ -44,8 +43,6 @@ namespace QuantLib {
         const Time term_;
         const Real v0_, x_, sx_;
         
-        const AnalyticPTDHestonEngine* const engine_;
-        
         std::vector<Rate> r_, q_;
         const boost::shared_ptr<YieldTermStructure> qTS_;
         const Handle<PiecewiseTimeDependentHestonModel> model_;
@@ -55,7 +52,6 @@ namespace QuantLib {
         
     AnalyticPTDHestonEngine::Fj_Helper::Fj_Helper(
         const Handle<PiecewiseTimeDependentHestonModel>& model,
-        const AnalyticPTDHestonEngine* const engine,
         Time term, Real strike, Size j)
     : j_(j),
       term_(term),
@@ -63,7 +59,6 @@ namespace QuantLib {
       v0_(model->v0()),
       x_ (std::log(model->s0())),
       sx_(std::log(strike)),
-      engine_(engine),
       r_(model->timeGrid().size()-1),
       q_(model->timeGrid().size()-1),
       model_(model),
@@ -191,10 +186,10 @@ namespace QuantLib {
                 *(v0 + kappaAvg*thetaAvg*term);
 
         const Real p1 = integration_->calculate(c_inf,
-                                Fj_Helper(model_, this, term, strike, 1))/M_PI;
+                                Fj_Helper(model_, term, strike, 1))/M_PI;
 
         const Real p2 = integration_->calculate(c_inf,
-                                Fj_Helper(model_, this, term, strike, 2))/M_PI;
+                                Fj_Helper(model_, term, strike, 2))/M_PI;
 
         switch (payoff->optionType())
         {
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index 43897104e8..eb453d6103 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -44,6 +44,7 @@
 #include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
 #include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
+#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
 #include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
 #include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>
 #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
@@ -313,7 +314,7 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
     std::vector<GeneralStatistics> zeroStat(m);
     std::vector<GeneralStatistics> optionStat(m);
 
-    const Size nrTrails = 4095;
+    const Size nrTrails = 8191;
     const Size optionTenor = 24;
     const DiscountFactor strike = 0.5;
 
@@ -345,14 +346,12 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
     for (Size j=1; j < m; ++j) {
         const Time t = grid[j];
         Real calculated = zeroStat[j].mean();
-        Real error = zeroStat[j].errorEstimate();
         Real expected = ts->discount(t);
 
-        if (std::fabs(calculated - expected) > 0.025) {
+        if (std::fabs(calculated - expected) > 0.03) {
             BOOST_ERROR("Failed to reproduce expected zero bond prices"
                         << "\n   t:          " << t
                         << "\n   calculated: " << calculated
-                        << "\n   error:      " << error
                         << "\n   expected:   " << expected);
         }
 
@@ -366,7 +365,6 @@ void HybridHestonHullWhiteProcessTest::testZeroBondPricing() {
                         << "\n   t:          " << t
                         << "\n   T:          " << T
                         << "\n   calculated: " << calculated
-                        << "\n   error:      " << error
                         << "\n   expected:   " << expected);
         }
     }
@@ -1220,16 +1218,18 @@ namespace {
     };
 }
 
+
 void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
     BOOST_MESSAGE("Testing the Heston Hull-White calibration...");
 
     // Calibration of a hybrid Heston-Hull-White model using 
     // the finite difference HestonHullWhite pricing engine
     //
-    // Imput surface is based on a Heston-Hull-White model with
+    // Input surface is based on a Heston-Hull-White model with
     // Hull-White: a = 0.00883, \sigma = 0.00631
     // Heston    : \nu = 0.12, \kappa = 2.0, 
     //             \theta = 0.09, \sigma = 0.5, \rho=-0.75
+    // Equity Short rate correlation: -0.5
     
     SavedSettings backup;
 
@@ -1257,18 +1257,18 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
     const Real start_sigma = 0.25;
     const Real start_rho   = -0.5;
     
-    boost::shared_ptr<HestonProcess> hestonProcess(
+    const boost::shared_ptr<HestonProcess> hestonProcess(
         new HestonProcess(rTS, qTS, s0, start_v0, start_kappa, 
                           start_theta, start_sigma, start_rho));
-    boost::shared_ptr<HestonModel> analyticHestonModel
+    const boost::shared_ptr<HestonModel> analyticHestonModel
                                             (new HestonModel(hestonProcess));
-    boost::shared_ptr<PricingEngine> analyticHestonEngine(
+    const boost::shared_ptr<PricingEngine> analyticHestonEngine(
                          new AnalyticHestonEngine(analyticHestonModel, 164));
-    boost::shared_ptr<HestonModel> fdmHestonModel
+    const boost::shared_ptr<HestonModel> fdmHestonModel
                                             (new HestonModel(hestonProcess));
-  
+
     const Real equityShortRateCorr = -0.5;
-    
+
     const Real strikes[]    = { 50, 75, 90, 100, 110, 125, 150, 200 };
     const Time maturities[] = { 1/12., 3/12., 0.5, 1.0, 2.0, 3.0, 5.0, 7.5, 10};
     
@@ -1312,17 +1312,17 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
                             s0, qTS, rTS, Handle<BlackVolTermStructure>(
                                                     flatVol(v->value(), dc)))),
                         volQuote);
-            
+
             VanillaOption dummyOption(payoff, exercise);
 
             boost::shared_ptr<PricingEngine> bshwEngine(
-                new AnalyticBSMHullWhiteEngine(equityShortRateCorr, 
+                new AnalyticBSMHullWhiteEngine(equityShortRateCorr,
                                                bsProcess, hullWhiteModel));
-            
+
             Volatility vt = detail::ImpliedVolatilityHelper::calculate(
-                dummyOption, *bshwEngine, *volQuote, 
+                dummyOption, *bshwEngine, *volQuote,
                 marketValue, 1e-8, 100, 0.0001, 10);
-            
+
             v.linkTo(boost::shared_ptr<Quote>(new SimpleQuote(vt)));
             
             options.back()->setPricingEngine(
@@ -1332,7 +1332,7 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
         
     HestonHullWhiteCorrelationConstraint corrConstraint(equityShortRateCorr);
     LevenbergMarquardt om(1e-6, 1e-8, 1e-8);
-    analyticHestonModel->calibrate(options, om, 
+    analyticHestonModel->calibrate(options, om,
                                    EndCriteria(400, 40, 1.0e-8, 1.0e-4, 1.0e-8),
                                    corrConstraint);
 
@@ -1417,7 +1417,87 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
                  << "\n   relatove tol  : " << relTol);
     }
 }
-    
+
+void HybridHestonHullWhiteProcessTest::testH1HWPricingEngine() {
+    SavedSettings backup;
+
+    /*
+     * Example taken from Lech Aleksander Grzelak,
+     * Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity
+     * Financial Derivatives,
+     * http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
+    */
+
+    const Date today = Date(15, July, 2012);
+    Settings::instance().evaluationDate() = today;
+    const Date exerciseDate = Date(13, July, 2022);
+    const DayCounter dc = Actual365Fixed();
+
+    const boost::shared_ptr<Exercise> exercise(
+        new EuropeanExercise(exerciseDate));
+
+    const Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(100.0)));
+
+    const Real r       = 0.02;
+    const Real q       = 0.00;
+    const Real v0      = 0.05;
+    const Real theta   = 0.05;
+    const Real kappa_v = 0.3;
+    const Real sigma_v[] = { 0.3, 0.6 };
+    const Real rho_sv  =-0.30;
+    const Real rho_sr  = 0.6;
+    const Real kappa_r = 0.01;
+    const Real sigma_r = 0.01;
+
+    const Handle<YieldTermStructure> rTS(flatRate(today, r, dc));
+    const Handle<YieldTermStructure> qTS(flatRate(today, q, dc));
+
+    const Handle<BlackVolTermStructure> flatVolTS(flatVol(today, 0.20, dc));
+    const boost::shared_ptr<GeneralizedBlackScholesProcess> bsProcess(
+        new GeneralizedBlackScholesProcess(s0, qTS, rTS, flatVolTS));
+
+    const boost::shared_ptr<HullWhiteProcess> hwProcess(
+        new HullWhiteProcess(rTS, kappa_r, sigma_r));
+    const boost::shared_ptr<HullWhite> hullWhiteModel(
+        new HullWhite(Handle<YieldTermStructure>(rTS), kappa_r, sigma_r));
+
+    const Real tol = 0.00001;
+    const Real strikes[] = {40, 80, 100, 120, 180 };
+    const Real expected[LENGTH(sigma_v)][LENGTH(strikes)]
+        = { { 0.267521, 0.235730, 0.228209, 0.223462, 0.217844 },
+            { 0.263605, 0.211616, 0.199911, 0.193473, 0.190017 } };
+
+    for (Size j=0; j < LENGTH(sigma_v); ++j) {
+        const boost::shared_ptr<HestonProcess> hestonProcess(
+            new HestonProcess(rTS, qTS, s0, v0, kappa_v, theta,
+                              sigma_v[j], rho_sv));
+        const boost::shared_ptr<HestonModel> hestonModel(
+            new HestonModel(hestonProcess));
+
+        for (Size i=0; i < LENGTH(strikes); ++i) {
+            const boost::shared_ptr<StrikedTypePayoff> payoff(
+                new PlainVanillaPayoff(Option::Call, strikes[i]));
+
+            VanillaOption option(payoff, exercise);
+
+            const boost::shared_ptr<PricingEngine> analyticH1HWEngine(
+                new AnalyticH1HWEngine(hestonModel, hullWhiteModel,
+                                       rho_sr, 192u));
+            option.setPricingEngine(analyticH1HWEngine);
+            const Real impliedH1HW
+                = option.impliedVolatility(option.NPV(), bsProcess);
+
+            if (std::fabs(expected[j][i] - impliedH1HW) > tol) {
+                BOOST_ERROR("Failed to reproduce H1HW implied volatility"
+                        << "\n   expected       : " << expected[j][i]
+                        << "\n   calculated     : " << impliedH1HW
+                        << "\n   tol            : " << tol
+                        << "\n   strike         : " << strikes[i]
+                        << "\n   sigma          : " << sigma_v[j]);
+            }
+        }
+    }
+}
     
 test_suite* HybridHestonHullWhiteProcessTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Hybrid Heston-HullWhite tests");
@@ -1451,6 +1531,8 @@ test_suite* HybridHestonHullWhiteProcessTest::suite() {
         &HybridHestonHullWhiteProcessTest::testBsmHullWhitePricing));
     suite->add(QUANTLIB_TEST_CASE(
         &HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError));
+    suite->add(QUANTLIB_TEST_CASE(
+        &HybridHestonHullWhiteProcessTest::testH1HWPricingEngine));
 
     return suite;
 }
diff --git a/test-suite/hybridhestonhullwhiteprocess.hpp b/test-suite/hybridhestonhullwhiteprocess.hpp
index d9d62acd84..71889da017 100644
--- a/test-suite/hybridhestonhullwhiteprocess.hpp
+++ b/test-suite/hybridhestonhullwhiteprocess.hpp
@@ -39,6 +39,7 @@ class HybridHestonHullWhiteProcessTest {
     static void testBsmHullWhitePricing();
     static void testSpatialDiscretizatinError();
     static void testHestonHullWhiteCalibration();
+    static void testH1HWPricingEngine();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From 44ff710d3069dd0ffe7c27fb654518f426dc3f1b Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 10 Aug 2012 22:40:49 +0000
Subject: [PATCH 386/410] support g++ version 4.7 with -std=c++11 enabled

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18308 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/cdo.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/cdo.cpp b/test-suite/cdo.cpp
index a6c11e8733..31f94dcb3a 100644
--- a/test-suite/cdo.cpp
+++ b/test-suite/cdo.cpp
@@ -122,7 +122,7 @@ void CdoTest::testHW() {
                                    SeniorSec,
                                    Period(0,Weeks),
                                    10.),
-       ptr));
+       Handle<DefaultProbabilityTermStructure>(ptr)));
 
     for (Size i=0; i<poolSize; ++i) {
         ostringstream o;

From ea4de220e1874b58813655e061f3e0fa84aa8e7e Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 22 Aug 2012 22:25:17 +0000
Subject: [PATCH 387/410] removed useless include statement

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18312 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/analytich1hwengine.cpp | 2 --
 1 file changed, 2 deletions(-)

diff --git a/ql/pricingengines/vanilla/analytich1hwengine.cpp b/ql/pricingengines/vanilla/analytich1hwengine.cpp
index f675a26467..650621b88f 100644
--- a/ql/pricingengines/vanilla/analytich1hwengine.cpp
+++ b/ql/pricingengines/vanilla/analytich1hwengine.cpp
@@ -24,8 +24,6 @@
 #include <ql/math/distributions/gammadistribution.hpp>
 #include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
 
-#include <stdio.h>
-
 namespace QuantLib {
     // integration helper class
     class AnalyticH1HWEngine::Fj_Helper

From 8c5b59eee79cae004f21a411ca280d3b00e7edd4 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Mon, 3 Sep 2012 11:25:26 +0000
Subject: [PATCH 388/410] Fixed build for MinGW (thanks to Bojan Nikolic).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18324 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/vanilla/analytich1hwengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/pricingengines/vanilla/analytich1hwengine.cpp b/ql/pricingengines/vanilla/analytich1hwengine.cpp
index 650621b88f..8081955565 100644
--- a/ql/pricingengines/vanilla/analytich1hwengine.cpp
+++ b/ql/pricingengines/vanilla/analytich1hwengine.cpp
@@ -81,7 +81,7 @@ namespace QuantLib {
     }
 
     Real AnalyticH1HWEngine::Fj_Helper::Lambda(Time t) const {
-        const GammaFunction g;
+        const GammaFunction g = GammaFunction();
         const Size maxIter = 1000;
         const Real lambdaT = lambda(t);
 

From 535dbacf3b1a01aa1ab036d78704ee26a5b82dd7 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 5 Sep 2012 21:37:10 +0000
Subject: [PATCH 389/410] fd black scholes pricing engines are now observers of
 the BS process.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18336 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp | 6 +++---
 ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp | 4 +---
 ql/pricingengines/barrier/fdblackscholesrebateengine.cpp  | 6 +++---
 ql/pricingengines/barrier/fdblackscholesrebateengine.hpp  | 4 +---
 ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp | 6 +++---
 ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp | 4 +---
 6 files changed, 12 insertions(+), 18 deletions(-)

diff --git a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
index d857c3147b..5c9e8ecb09 100644
--- a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
@@ -40,11 +40,11 @@ namespace QuantLib {
             Size tGrid, Size xGrid, Size dampingSteps, 
             const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
-    : GenericEngine<DividendBarrierOption::arguments,
-                    DividendBarrierOption::results>(),
-      process_(process), tGrid_(tGrid), xGrid_(xGrid), 
+    : process_(process), tGrid_(tGrid), xGrid_(xGrid),
       dampingSteps_(dampingSteps), schemeDesc_(schemeDesc),
       localVol_(localVol), illegalLocalVolOverwrite_(illegalLocalVolOverwrite){
+
+        registerWith(process_);
     }
 
     void FdBlackScholesBarrierEngine::calculate() const {
diff --git a/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
index 7f57223387..cf6b40bc27 100644
--- a/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp
@@ -41,9 +41,7 @@ namespace QuantLib {
               reproducing results available in web/literature
               and comparison with Black pricing.
     */
-    class FdBlackScholesBarrierEngine
-        : public GenericEngine<DividendBarrierOption::arguments,
-                               DividendBarrierOption::results> {
+    class FdBlackScholesBarrierEngine : public DividendBarrierOption::engine {
       public:
         // Constructor
           FdBlackScholesBarrierEngine(
diff --git a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
index 0e39b9248f..bda886689c 100644
--- a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
@@ -36,12 +36,12 @@ namespace QuantLib {
             Size tGrid, Size xGrid, Size dampingSteps, 
             const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
-    : GenericEngine<DividendBarrierOption::arguments,
-                    DividendBarrierOption::results>(),
-      process_(process), tGrid_(tGrid), xGrid_(xGrid), 
+    : process_(process), tGrid_(tGrid), xGrid_(xGrid),
       dampingSteps_(dampingSteps), 
       schemeDesc_(schemeDesc),
       localVol_(localVol), illegalLocalVolOverwrite_(illegalLocalVolOverwrite){
+
+        registerWith(process_);
     }
 
     void FdBlackScholesRebateEngine::calculate() const {
diff --git a/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
index 4a521b7598..d1c6f6278f 100644
--- a/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp
@@ -37,9 +37,7 @@ namespace QuantLib {
     /*!
         \ingroup barrierengines
     */
-    class FdBlackScholesRebateEngine
-        : public GenericEngine<DividendBarrierOption::arguments,
-                               DividendBarrierOption::results> {
+    class FdBlackScholesRebateEngine : public DividendBarrierOption::engine {
       public:
         // Constructor
           FdBlackScholesRebateEngine(
diff --git a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
index 99b6e72e1d..2533d93abc 100644
--- a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
@@ -36,13 +36,13 @@ namespace QuantLib {
             Size tGrid, Size xGrid, Size dampingSteps, 
             const FdmSchemeDesc& schemeDesc,
             bool localVol, Real illegalLocalVolOverwrite)
-    : GenericEngine<DividendVanillaOption::arguments,
-                    DividendVanillaOption::results>(),
-      process_(process),
+    : process_(process),
       tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
       schemeDesc_(schemeDesc), 
       localVol_(localVol),
       illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
+
+        registerWith(process_);
     }
 
     void FdBlackScholesVanillaEngine::calculate() const {
diff --git a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
index cd09aaaa56..fe556b34e1 100644
--- a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp
@@ -42,9 +42,7 @@ namespace QuantLib {
     */
     class GeneralizedBlackScholesProcess;
 
-    class FdBlackScholesVanillaEngine
-        : public GenericEngine<DividendVanillaOption::arguments,
-                               DividendVanillaOption::results> {
+    class FdBlackScholesVanillaEngine : public DividendVanillaOption::engine {
       public:
         // Constructor
           FdBlackScholesVanillaEngine(

From 30c8314a18994703ba025e91b145cd9984761049 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 25 Sep 2012 11:10:31 +0000
Subject: [PATCH 390/410] added differential evolution optimization (thanks to
 Ralph Schreyer)

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18344 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/optimization/Makefile.am              |   2 +
 ql/math/optimization/all.hpp                  |   1 +
 .../optimization/differentialevolution.cpp    | 236 ++++++++++++++++++
 .../optimization/differentialevolution.hpp    |  98 ++++++++
 test-suite/optimizers.cpp                     | 166 ++++++++++++
 test-suite/optimizers.hpp                     |   2 +
 6 files changed, 505 insertions(+)
 create mode 100644 ql/math/optimization/differentialevolution.cpp
 create mode 100644 ql/math/optimization/differentialevolution.hpp

diff --git a/ql/math/optimization/Makefile.am b/ql/math/optimization/Makefile.am
index 213dca5389..9c747ea58d 100644
--- a/ql/math/optimization/Makefile.am
+++ b/ql/math/optimization/Makefile.am
@@ -9,6 +9,7 @@ this_include_HEADERS = \
     conjugategradient.hpp \
     constraint.hpp \
     costfunction.hpp \
+    differentialevolution.hpp \
     endcriteria.hpp \
     leastsquare.hpp \
     levenbergmarquardt.hpp \
@@ -27,6 +28,7 @@ libOptimization_la_SOURCES = \
     bfgs.cpp \
     conjugategradient.cpp \
     constraint.cpp \
+    differentialevolution.cpp \
     endcriteria.cpp \
     leastsquare.cpp \
     levenbergmarquardt.cpp \
diff --git a/ql/math/optimization/all.hpp b/ql/math/optimization/all.hpp
index 72403406d9..fabc2d028e 100644
--- a/ql/math/optimization/all.hpp
+++ b/ql/math/optimization/all.hpp
@@ -6,6 +6,7 @@
 #include <ql/math/optimization/conjugategradient.hpp>
 #include <ql/math/optimization/constraint.hpp>
 #include <ql/math/optimization/costfunction.hpp>
+#include <ql/math/optimization/differentialevolution.hpp>
 #include <ql/math/optimization/endcriteria.hpp>
 #include <ql/math/optimization/leastsquare.hpp>
 #include <ql/math/optimization/levenbergmarquardt.hpp>
diff --git a/ql/math/optimization/differentialevolution.cpp b/ql/math/optimization/differentialevolution.cpp
new file mode 100644
index 0000000000..ab1af44fe4
--- /dev/null
+++ b/ql/math/optimization/differentialevolution.cpp
@@ -0,0 +1,236 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Ralph Schreyer
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/math/optimization/differentialevolution.hpp>
+
+namespace QuantLib {
+
+    DifferentialEvolution::DifferentialEvolution(
+		const Array& minParams, const Array& maxParams,
+		DifferentialEvolution::Strategy strategy,
+		Real F, Real CR, bool adaptive, Size nPop)
+	: minParams_(minParams), maxParams_(maxParams),
+	  nParam_(minParams_.size()),
+      nPop_(nPop == Null<Size>() ? minParams.size()*10 : nPop),
+	  strategy_(strategy), adaptive_(adaptive),F_(F), CR_(CR) {
+
+		QL_REQUIRE(minParams_.size() == maxParams_.size(),
+			"Need same number of minimum and maximum start parameters");
+		for (Size i=0; i<nParam_; ++i) {
+			QL_REQUIRE(minParams_[i] < maxParams_[i],
+				"Minimum start parameter number " << i 
+				<< " must be smaller than maximum start parameter");
+		}
+		QL_REQUIRE(F_ >= 0.0 && F_ <= 2.0,
+			"F must be between 0.0 and 2.0");
+		QL_REQUIRE(CR_ >= 0.0 && CR_ <= 1.0,
+			"CR must be between 0.0 and 1.0");
+
+		setStrategy();
+	}
+
+
+    EndCriteria::Type DifferentialEvolution::minimize(Problem& P,
+											const EndCriteria& endCriteria) {
+
+		EndCriteria::Type ecType = EndCriteria::MaxIterations;
+	    QL_REQUIRE(P.currentValue().size() == nParam_,
+			"Number of parameters mismatch between problem and DE optimizer");
+        P.reset();		
+		init();
+
+		Real bestCost = QL_MAX_REAL;
+		Size bestPop  = 0;
+		for (Size p = 0; p < nPop_; ++p) {
+			Array tmp(currGen_[p].pop_);
+			try {
+				currGen_[p].cost_ = P.costFunction().value(tmp);
+			} catch (Error&) {
+				currGen_[p].cost_ = QL_MAX_REAL;
+			}
+			if (currGen_[p].cost_ < bestCost) {
+				bestPop = p;
+				bestCost = currGen_[p].cost_;
+			}
+		}
+
+		Size lastChange = 0;
+		Size lastParamChange = 0;
+		for(Size i=0; i<endCriteria.maxIterations(); ++i) {
+
+			Size newBestPop = bestPop;
+			Real newBestCost = bestCost;
+
+			for (Size p=0; p<nPop_; ++p) {
+				// Find 3 different populations randomly
+				Size r1;
+				do {
+					r1 = static_cast <Size> (uniformRng_.nextInt32() % nPop_);
+				}		
+				while(r1 == p || r1 == bestPop);
+
+				Size r2;
+				do {
+					r2 = static_cast <Size> (uniformRng_.nextInt32() % nPop_);
+				}
+				while ( r2 == p || r2 == bestPop || r2 == r1);
+
+				Size r3;
+				do {
+					r3 = static_cast <Size> (uniformRng_.nextInt32() % nPop_);
+				} while ( r3 == p || r3 == bestPop || r3 == r1 || r3 == r2);
+
+				for(Size j=0; j<nParam_; ++j) {
+					nextGen_[p].pop_[j] = currGen_[p].pop_[j];
+				}
+
+				Size j = static_cast <Size> (uniformRng_.nextInt32() % nParam_);
+				Size L = 0;
+				do {
+					const double tmp = 
+						currGen_[      p].pop_[j] * a0_
+					  + currGen_[     r1].pop_[j] * a1_
+					  + currGen_[     r2].pop_[j] * a2_
+					  + currGen_[     r3].pop_[j] * a3_
+					  + currGen_[bestPop].pop_[j] * aBest_;
+
+					nextGen_[p].pop_[j] =
+						std::min(maxParams_[j], std::max(minParams_[j], tmp));
+
+					j = (j+1)%nParam_;
+					++L;
+				} while ((uniformRng_.nextReal() < CR_) && (L < nParam_));
+
+				// Evaluate the new population
+				Array tmp(nextGen_[p].pop_);
+				try {
+					nextGen_[p].cost_ = P.costFunction().value(tmp);
+                } catch (Error&) {
+					nextGen_[p].cost_ = QL_MAX_REAL;
+                }
+
+				// Not better, discard it and keep the old one.
+				if (nextGen_[p].cost_ >= currGen_[p].cost_) {
+					nextGen_[p] = currGen_[p];
+				}
+				// Better, keep it.
+				else {
+					// New best?
+					if (nextGen_[p].cost_ < newBestCost) {
+						newBestPop = p;
+						newBestCost = nextGen_[p].cost_;
+					}
+				}
+			}
+
+			if(std::abs(newBestCost-bestCost) > endCriteria.functionEpsilon()) {
+				lastChange = i;
+			}
+			const Array absDiff = Abs(nextGen_[newBestPop].pop_-currGen_[bestPop].pop_);
+			if(*std::max_element(absDiff.begin(), absDiff.end()) > endCriteria.rootEpsilon()) {
+				lastParamChange = i;
+			}
+
+			bestPop = newBestPop;
+			bestCost = newBestCost;
+			currGen_ = nextGen_;
+
+            if(i-lastChange > endCriteria.maxStationaryStateIterations()) {
+				ecType = EndCriteria::StationaryFunctionValue;
+				break;
+			}
+			if(i-lastParamChange > endCriteria.maxStationaryStateIterations()) {
+				ecType = EndCriteria::StationaryPoint;
+				break;
+			}
+
+            if (adaptive_) adaptParameters();
+		}
+		
+		const Array res(currGen_[bestPop].pop_);
+        P.setCurrentValue(res);
+        P.setFunctionValue(bestCost);
+        
+        return ecType;
+    }
+
+	
+	void DifferentialEvolution::init () {
+		// Initialize RNG
+		uniformRng_ = MersenneTwisterUniformRng(4711);
+		// Size all the arrays
+		currGen_.resize(nPop_);
+		nextGen_.resize(nPop_);
+		for (Size i = 0; i < nPop_; ++i) {
+			currGen_[i].pop_ = Array(nParam_);
+			nextGen_[i].pop_ = Array(nParam_);
+		}
+		// Initialize populations with random values
+		for (Size i=0; i<nParam_; ++i) {
+			const double offset = minParams_[i];
+			const double mul = maxParams_[i] - minParams_[i];
+
+			for (Size j=0; j<nPop_; ++j) {
+				const double val_rnd = uniformRng_.nextReal();
+				currGen_[j].pop_[i] = val_rnd*mul + offset;
+			}
+		}
+	}
+
+
+	void DifferentialEvolution::setStrategy() {
+        switch (strategy_) {
+		  case DifferentialEvolution::Rand1Exp:
+			a0_    =  0.0;
+			a1_    =  1.0;
+			a2_    =  F_;
+			a3_    = -F_;
+			aBest_ =  0.0;
+            break;
+          case DifferentialEvolution::RandToBest1Exp:
+			a0_    =  1.0-F_;
+			a1_    =  F_;
+			a2_    = -F_;
+			a3_    =  0.0;
+			aBest_ =  F_;
+            break;
+          default:
+            QL_FAIL("Unknown Differential Evolution strategy " << strategy_);
+        }
+	}
+
+
+	void DifferentialEvolution::adaptParameters() {
+		const Real F_l = 0.1;
+		const Real F_u = 0.9;
+		const Real tau_1 = 0.1;
+		const Real tau_2 = 0.1;
+
+		const Real r_1 = uniformRng_.nextReal();
+		const Real r_2 = uniformRng_.nextReal();
+		const Real r_3 = uniformRng_.nextReal();
+		const Real r_4 = uniformRng_.nextReal();
+
+		F_  = r_2 < tau_1 ? F_l + r_1*F_u : F_;
+		CR_ = r_4 < tau_2 ? r_3 : CR_;
+
+		setStrategy();
+	}
+}
+
diff --git a/ql/math/optimization/differentialevolution.hpp b/ql/math/optimization/differentialevolution.hpp
new file mode 100644
index 0000000000..343c2c70d3
--- /dev/null
+++ b/ql/math/optimization/differentialevolution.hpp
@@ -0,0 +1,98 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Ralph Schreyer
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file differentialevolution.hpp
+    \brief Differential Evolution optimization method
+*/
+
+#ifndef quantlib_optimization_differential_evolution_hpp
+#define quantlib_optimization_differential_evolution_hpp
+
+#include <ql/math/optimization/costfunction.hpp>
+#include <ql/math/optimization/problem.hpp>
+#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
+
+namespace QuantLib {
+
+    //! Differential evolution optimizer
+    /*! The algorithm and strategy names are taken from here:
+
+        Price, K., Storn, R., 1997. Differential Evolution – 
+        A Simple and Efficient Heuristic for Global Optimization 
+        over Continuous Spaces.
+        Journal of Global Optimization, Kluwer Academic Publishers, 
+        1997, Vol. 11, pp. 341 - 359.
+
+        The binomial crossover is not yet implemented, neither the
+        strategies with a fourth random population. One should
+        factor out the mutation functions before doing so ...
+
+
+        The adaptive parameter algorithm is described here:
+
+        Brest, J. et al., 2006. Self-Adapting Control Parameters 
+        in Differential Evolution: A Comparative Study on Numerical 
+        Benchmark Problems.
+        IEEE Transactions on Evolutionary Computation, Vol. 10, 
+        No. 6, December 2006.
+
+        \test optimization of known test functions.
+    */
+    class DifferentialEvolution : public OptimizationMethod {
+      public:
+		enum Strategy {Rand1Exp, RandToBest1Exp};
+
+        DifferentialEvolution(
+			const Array& minParams, const Array& maxParams,
+			DifferentialEvolution::Strategy strategy = 
+						DifferentialEvolution::RandToBest1Exp,
+            Real F = 0.85, Real CR = 1.0, bool adaptive = false, 
+            Size nPop = Null<Size>());
+
+        virtual EndCriteria::Type minimize(Problem& P,
+                                           const EndCriteria& endCriteria);
+      private:
+		void init();
+		void setStrategy();
+		void adaptParameters();
+
+		const Array minParams_;
+		const Array maxParams_;
+		const Size nParam_;
+		const Size nPop_;
+		const DifferentialEvolution::Strategy strategy_;
+        const bool adaptive_;
+		Real F_, CR_, a0_, a1_, a2_, a3_, aBest_;
+		MersenneTwisterUniformRng uniformRng_;
+
+	  private:
+		struct Population {
+			Array pop_;
+			Real  cost_;
+		};
+
+		typedef	std::vector<Population> Generation;
+
+		Generation currGen_;
+		Generation nextGen_;
+	};
+}
+
+
+#endif
diff --git a/test-suite/optimizers.cpp b/test-suite/optimizers.cpp
index 877e0be403..7ba59eb731 100644
--- a/test-suite/optimizers.cpp
+++ b/test-suite/optimizers.cpp
@@ -4,6 +4,7 @@
  Copyright (C) 2007 Marco Bianchetti
  Copyright (C) 2007 François du Vignaud
  Copyright (C) 2007 Giorgio Facchinetti
+ Copyright (C) 2012 Ralph Schreyer
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -27,6 +28,7 @@
 #include <ql/math/optimization/steepestdescent.hpp>
 #include <ql/math/optimization/bfgs.hpp>
 #include <ql/math/optimization/constraint.hpp>
+#include <ql/math/optimization/differentialevolution.hpp>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -336,10 +338,174 @@ void OptimizersTest::nestedOptimizationTest() {
 
 }
 
+namespace {
+
+    class FirstDeJong : public CostFunction {
+      public:
+        Disposable<Array> values(const Array& x) const {
+            Array retVal(x.size(),value(x));
+            return retVal;
+        }
+        Real value(const Array& x) const {
+            return DotProduct(x,x);
+        }
+    };
+
+    class SecondDeJong : public CostFunction {
+      public:
+        Disposable<Array> values(const Array& x) const {
+            Array retVal(x.size(),value(x));
+            return retVal;
+        }
+        Real value(const Array& x) const {
+            return  100.0*(x[0]*x[0]-x[1])*(x[0]*x[0]-x[1])
+                  + (1.0-x[0])*(1.0-x[0]);
+        }
+    };
+
+    class ModThirdDeJong : public CostFunction {
+      public:
+        Disposable<Array> values(const Array& x) const {
+            Array retVal(x.size(),value(x));
+            return retVal;
+        }
+        Real value(const Array& x) const {
+            Real fx = 0.0;
+            for (Size i=0; i<x.size(); ++i) {
+                fx += floor(x[i])*floor(x[i]);
+            }
+            return fx;
+        }
+    };
+
+    class ModFourthDeJong : public CostFunction {
+      public:
+        ModFourthDeJong()
+        : uniformRng_(MersenneTwisterUniformRng(4711)) {
+        }
+        Disposable<Array> values(const Array& x) const {
+            Array retVal(x.size(),value(x));
+            return retVal;
+        }
+        Real value(const Array& x) const {
+            Real fx = 0.0;
+            for (Size i=0; i<=x.size(); ++i) {
+                fx += (i+1.0)*pow(x[i],4.0) + uniformRng_.nextReal();
+            }
+            return fx;
+        }
+        MersenneTwisterUniformRng uniformRng_;
+    };
+
+    class Griewangk : public CostFunction {
+      public:
+        Disposable<Array> values(const Array& x) const{
+            Array retVal(x.size(),value(x));
+            return retVal;
+        }
+        Real value(const Array& x) const {
+            Real fx = 0.0;
+            for (Size i=0; i<=x.size(); ++i) {
+                fx += x[i]*x[i]/4000.0;
+            }
+            Real p = 1.0;
+            for (Size i=0; i<=x.size(); ++i) {
+                p *= cos(x[i]/sqrt(i+1.0));
+            }
+            return fx - p + 1.0;
+        }
+    };
+}
+
+
+void OptimizersTest::testDifferentialEvolution() {
+
+    /* Note:
+    *
+    * The "ModFourthDeJong" doesn't have a well defined optimum because
+    * of it's noisy part. It just has to be <= 15 in our example.
+    * The concrete value in our case for the values chosen is
+    * 12.3724219287, but might differ for a different input and
+    * different random numbers (as long as it stays below 15).
+    *
+    * The "Griewangk" function is an example where the adaptive
+    * version of DifferentialEvolution turns out to be more successful.
+    */
+    std::vector<boost::shared_ptr<CostFunction> > costFunctions;
+    std::vector<Array> minArrays;
+    std::vector<Array> maxArrays;
+    std::vector<Array> initialValues;
+    std::vector<EndCriteria> endCriteria;
+    std::vector<boost::shared_ptr<OptimizationMethod> > optimizers;
+    std::vector<Real> minima;
+
+    costFunctions.push_back(boost::shared_ptr<CostFunction>(new FirstDeJong()));
+    costFunctions.push_back(boost::shared_ptr<CostFunction>(new SecondDeJong()));
+    costFunctions.push_back(boost::shared_ptr<CostFunction>(new ModThirdDeJong()));
+    costFunctions.push_back(boost::shared_ptr<CostFunction>(new ModFourthDeJong()));
+    costFunctions.push_back(boost::shared_ptr<CostFunction>(new Griewangk()));
+
+    minArrays.push_back(Array(3,  -10.0));
+    minArrays.push_back(Array(2,  -10.0));
+    minArrays.push_back(Array(5,  -10.0));
+    minArrays.push_back(Array(30, -10.0));
+    minArrays.push_back(Array(10, -400.0));
+
+    maxArrays.push_back(Array(3,  10.0));
+    maxArrays.push_back(Array(2,  10.0));
+    maxArrays.push_back(Array(5,  10.0));
+    maxArrays.push_back(Array(30, 10.0));
+    maxArrays.push_back(Array(10, 400.0));
+
+    initialValues.push_back(Array(3,  5.0));
+    initialValues.push_back(Array(2,  5.0));
+    initialValues.push_back(Array(5,  5.0));
+    initialValues.push_back(Array(30, 5.0));
+    initialValues.push_back(Array(10, 100.0));
+
+    endCriteria.push_back(EndCriteria(1000, 100, 1e-10, 1e-8, Null<Real>()));
+    endCriteria.push_back(EndCriteria(1000, 100, 1e-10, 1e-8, Null<Real>()));
+    endCriteria.push_back(EndCriteria(1000, 100, 1e-10, 1e-8, Null<Real>()));
+    endCriteria.push_back(EndCriteria(1000, 100, 1e-10, 1e-8, Null<Real>()));
+    endCriteria.push_back(EndCriteria(10000, 1000, 1e-12, 1e-10, Null<Real>()));
+
+    optimizers.push_back(boost::shared_ptr<OptimizationMethod>(
+        new DifferentialEvolution(minArrays[0], maxArrays[0])));
+    optimizers.push_back(boost::shared_ptr<OptimizationMethod>(
+        new DifferentialEvolution(minArrays[1], maxArrays[1])));
+    optimizers.push_back(boost::shared_ptr<OptimizationMethod>(
+        new DifferentialEvolution(minArrays[2], maxArrays[2])));
+    optimizers.push_back(boost::shared_ptr<OptimizationMethod>(
+        new DifferentialEvolution(minArrays[3], maxArrays[3])));
+    optimizers.push_back(boost::shared_ptr<OptimizationMethod>(
+        new DifferentialEvolution(
+            minArrays[4], maxArrays[4],
+            DifferentialEvolution::RandToBest1Exp, 0.85, 1.0, true)));
+
+    minima.push_back(0.0);
+    minima.push_back(0.0);
+    minima.push_back(0.0);
+    minima.push_back(12.3724219287);
+    minima.push_back(0.0);
+
+    for(Size i=0; i<costFunctions.size(); ++i) {
+        NoConstraint noConstraint;
+        Problem problem(*costFunctions[i], noConstraint,
+                        initialValues[i]);
+        optimizers[i]->minimize(problem,endCriteria[i]);
+        if(fabs(problem.functionValue() - minima[i]) > 1e-8) {
+            BOOST_ERROR("DifferentialEvolution, costFunction # " << i);
+        }
+    }
+}
+
+
 test_suite* OptimizersTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Optimizers tests");
     suite->add(QUANTLIB_TEST_CASE(&OptimizersTest::test));
     suite->add(QUANTLIB_TEST_CASE(&OptimizersTest::nestedOptimizationTest));
+    suite->add(QUANTLIB_TEST_CASE(&OptimizersTest::testDifferentialEvolution));
     return suite;
 }
 
+
diff --git a/test-suite/optimizers.hpp b/test-suite/optimizers.hpp
index d42921872b..f6f27b9ea0 100644
--- a/test-suite/optimizers.hpp
+++ b/test-suite/optimizers.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2007 Marco Bianchetti
  Copyright (C) 2007 Giorgio Facchinetti
+ Copyright (C) 2012 Ralph Schreyer
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -28,6 +29,7 @@ class OptimizersTest {
   public:
     static void test();
     static void nestedOptimizationTest();
+    static void testDifferentialEvolution();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From dc49bb7275c0b7c7bccae76a9230fd721675d7eb Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 3 Oct 2012 20:55:28 +0000
Subject: [PATCH 391/410] Merged latest changes from 1.2.x branch into trunk.

QuantLib and QuantLib-SWIG only.  I'll leave the rest to
more knowledgeable people.



git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18345 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ChangeLog.txt                                 | 311 ++++++++++++++++++
 Contributors.txt                              |   8 +
 Docs/pages/authors.docs                       |  10 +-
 Docs/pages/config.docs                        |   7 -
 Docs/pages/history.docs                       |   4 +
 LICENSE.TXT                                   |   4 +-
 News.txt                                      | 158 ++-------
 configure.ac                                  |  17 +-
 ql/cashflows/cashflows.cpp                    |  64 ++--
 ql/cashflows/conundrumpricer.cpp              |   4 +-
 ql/cashflows/couponpricer.cpp                 |   1 +
 ql/cashflows/overnightindexedcoupon.cpp       |   4 +-
 ql/errors.cpp                                 |   9 +
 ql/experimental/math/autocovariance.hpp       |   9 +-
 ql/instruments/assetswap.cpp                  |   4 +
 ql/instruments/bond.cpp                       |  19 +-
 ql/instruments/bond.hpp                       |   6 +-
 ql/instruments/bonds/btp.hpp                  |  22 ++
 ql/instruments/bonds/cpibond.cpp              |  11 +-
 .../bicubicsplineinterpolation.hpp            |   6 +-
 .../symmetricschurdecomposition.cpp           |   3 +-
 ql/math/optimization/problem.hpp              |   6 +
 ql/math/rounding.cpp                          |   3 +-
 ql/math/solver1d.hpp                          |   2 +-
 ql/math/solvers1d/brent.hpp                   |  19 +-
 .../marketmodels/evolutiondescription.hpp     |   4 +-
 ql/models/marketmodels/models/abcdvol.cpp     |  59 ++--
 ql/models/marketmodels/models/flatvol.cpp     |  82 +++--
 ql/models/model.hpp                           |   2 +-
 ql/patterns/observable.hpp                    |   9 +-
 ql/prices.cpp                                 |   4 +
 ql/pricingengines/bond/bondfunctions.cpp      |   4 +-
 ql/termstructures/yield/oisratehelper.cpp     |  58 +++-
 ql/termstructures/yield/oisratehelper.hpp     |  20 +-
 ql/time/calendars/russia.cpp                  |   2 +-
 ql/time/calendars/russia.hpp                  |   6 +-
 ql/time/schedule.cpp                          |  15 +-
 ql/userconfig.hpp                             |   5 +-
 test-suite/Makefile.am                        |   9 +-
 test-suite/bonds.cpp                          |  87 ++++-
 test-suite/bonds.hpp                          |   1 +
 test-suite/fastfouriertransform.cpp           |   8 +-
 test-suite/inflationcpibond.cpp               | 222 +++++++++++++
 test-suite/inflationcpibond.hpp               |  33 ++
 test-suite/inflationcpiswap.cpp               |   1 +
 test-suite/interpolations.cpp                 |  33 +-
 test-suite/interpolations.hpp                 |   1 +
 test-suite/piecewiseyieldcurve.cpp            |  13 +-
 test-suite/quantlibtestsuite.cpp              |  14 +-
 test-suite/rounding.cpp                       |   1 +
 test-suite/schedule.cpp                       |  27 ++
 test-suite/schedule.hpp                       |   1 +
 test-suite/solvers.cpp                        |  93 +++++-
 test-suite/solvers.hpp                        |   9 +-
 test-suite/testsuite.dev                      |  22 +-
 test-suite/testsuite_vc10.vcxproj             |   2 +
 test-suite/testsuite_vc10.vcxproj.filters     |   6 +
 test-suite/testsuite_vc7.vcproj               |   6 +
 test-suite/testsuite_vc8.vcproj               |   8 +
 test-suite/testsuite_vc9.vcproj               |   8 +
 60 files changed, 1224 insertions(+), 362 deletions(-)
 create mode 100644 test-suite/inflationcpibond.cpp
 create mode 100644 test-suite/inflationcpibond.hpp

diff --git a/ChangeLog.txt b/ChangeLog.txt
index d20c0465c0..0133f94570 100644
--- a/ChangeLog.txt
+++ b/ChangeLog.txt
@@ -1,3 +1,314 @@
+2012-09-04 15:31  Luigi Ballabio
+
+	* [r18332] ql/cashflows/conundrumpricer.cpp,
+	  ql/cashflows/couponpricer.cpp:
+	  
+	  Prevented division by zero in floating-rate coupons.
+	  
+	  This could happen in degenerate cases where the accrual time
+	  is null, which now raise a proper exception.
+	  Another solution might be to turn the calculations around and
+	  calculate the price in terms of the rate, which would remove
+	  the division altogether.
+
+2012-09-04 12:36  Luigi Ballabio
+
+	* [r18331] test-suite/bonds.cpp:
+	  
+	  Removed unused variable.
+
+2012-09-04 12:36  Luigi Ballabio
+
+	* [r18330] LICENSE.TXT:
+	  
+	  Updated copyright years
+
+2012-09-03 15:32  Ferdinando Ametrano
+
+	* [r18329] ql/termstructures/yield/oisratehelper.cpp:
+	  
+	  ooops, removed double withDiscountingTermStructure
+
+2012-09-03 15:25  Ferdinando Ametrano
+
+	* [r18328] ql/termstructures/yield/oisratehelper.cpp,
+	  ql/termstructures/yield/oisratehelper.hpp:
+	  
+	  exposed exogenous discounting for OIS. Thanks to Roland Lichters
+
+2012-09-03 13:53  Luigi Ballabio
+
+	* [r18327] ql/math/matrixutilities/symmetricschurdecomposition.cpp:
+	  
+	  Fix for VC11 build (thanks to Xiangyu Hong).
+	  
+	  And besides, it's a better use of make_pair anyway.
+
+2012-09-03 13:53  Luigi Ballabio
+
+	* [r18326] ql/experimental/math/autocovariance.hpp,
+	  test-suite/cdo.cpp, test-suite/fastfouriertransform.cpp:
+	  
+	  Build fixes for gcc 4.7 in C++11 mode.
+	  
+	  Thanks to Klaus Spanderen and Joao Paulo Magalhaes.
+
+2012-09-03 13:52  Luigi Ballabio
+
+	* [r18325] test-suite/Makefile.am:
+	  
+	  Build fix for MinGW (thanks to Bojan Nikolic).
+	  
+	  External libraries are better added to the LDADD variable instead
+	  of LDFLAGS. Doing so puts them at the end of the command line,
+	  which is less error-prone.
+
+2012-09-03 11:12  Ferdinando Ametrano
+
+	* [r18323] ql/models/marketmodels/models/abcdvol.cpp,
+	  ql/models/marketmodels/models/flatvol.cpp:
+	  
+	  fixed bug for evolution times finer than correlation times. Thanks
+	  to Peter Caspers
+
+2012-09-03 11:05  Ferdinando Ametrano
+
+	* [r18322] ql/models/marketmodels/models/abcdvol.cpp,
+	  ql/models/marketmodels/models/flatvol.cpp:
+	  
+	  improved efficiency and readability
+
+2012-09-03 10:19  Ferdinando Ametrano
+
+	* [r18321] ql/models/marketmodels/models/abcdvol.cpp,
+	  ql/models/marketmodels/models/flatvol.cpp:
+	  
+	  - improved readability
+	  - removed unused vector in flatvol.cpp
+
+2012-09-03 10:17  Ferdinando Ametrano
+
+	* [r18320] ql/models/marketmodels/evolutiondescription.hpp:
+	  
+	  fixed description (thanks to Peter Caspers)
+
+2012-08-31 13:16  Luigi Ballabio
+
+	* [r18319] configure.ac:
+	  
+	  Punctuation fixes.
+
+2012-08-31 13:16  Luigi Ballabio
+
+	* [r18318] configure.ac, ql/userconfig.hpp:
+	  
+	  Negative rates are now enabled by default also on Linux.
+
+2012-08-31 13:16  Luigi Ballabio
+
+	* [r18317] ql/math/solvers1d/brent.hpp, test-suite/solvers.cpp,
+	  test-suite/solvers.hpp:
+	  
+	  Don't discard guess in Brent solver (thanks to Sebastian Poloczek).
+
+2012-08-31 13:15  Luigi Ballabio
+
+	* [r18316] Announce.txt, configure.ac, ql/version.hpp:
+	  
+	  Increased version number to 1.2.1
+
+2012-08-30 13:26  Ferdinando Ametrano
+
+	* [r18315] ql/pricingengines/bond/bondfunctions.cpp,
+	  test-suite/bonds.cpp, test-suite/bonds.hpp:
+	  
+	  fixed bug: atm was wrong if non-coupon cashflows were included.
+	  Unit test added.
+
+2012-08-29 14:03  Ferdinando Ametrano
+
+	* [r18314] ql/cashflows/cashflows.cpp:
+	  
+	  fixed bug: atm was wrong if non-coupon cashflows were included
+
+2012-08-29 13:59  Ferdinando Ametrano
+
+	* [r18313] ql/instruments/bond.cpp:
+	  
+	  
+
+2012-07-31 14:11  Ferdinando Ametrano
+
+	* [r18305] ql/userconfig.hpp, test-suite/piecewiseyieldcurve.cpp:
+	  
+	  defaulted to allow negative rates (define QL_NEGATIVE_RATES) as this
+	  is happening for EUR OIS, CHF and German treasury yields, etc.
+
+2012-07-12 10:29  Luigi Ballabio
+
+	* [r18297] ql/errors.cpp:
+	  
+	  Added implementation of assertion_failed_msg function.
+	  
+	  This is required for linking with recent Boost versions.
+	  Thanks to Piter Dias.
+
+2012-07-05 15:30  Ferdinando Ametrano
+
+	* [r18294] ql/patterns/observable.hpp:
+	  
+	  added unregisterWithAll method
+
+2012-07-04 15:10  Ferdinando Ametrano
+
+	* [r18290] ql/cashflows/cashflows.cpp:
+	  
+	  relaxed constrains
+
+2012-06-26 14:08  Luigi Ballabio
+
+	* [r18276] ql/time/calendars/russia.cpp, ql/time/calendars/russia.hpp:
+	  
+	  Fixed extent of new-year holidays for the Russian calendar.
+	  
+	  Thanks to Kirill Shemyakin.
+
+2012-05-18 15:48  Ferdinando Ametrano
+
+	* [r18264] ql/instruments/bonds/btp.hpp:
+	  
+	  rounded accrued interest as per market convention
+
+2012-05-18 15:46  Ferdinando Ametrano
+
+	* [r18263] ql/instruments/assetswap.cpp, ql/time/schedule.cpp:
+	  
+	  added check
+
+2012-05-15 12:21  Luigi Ballabio
+
+	* [r18262] ql/math/interpolations/bicubicsplineinterpolation.hpp,
+	  test-suite/interpolations.cpp, test-suite/interpolations.hpp:
+	  
+	  Bicubic splines would not update their parameters correctly.
+	  
+	  Thanks to Fabio Ramponi for the fix.
+
+2012-05-14 14:35  Luigi Ballabio
+
+	* [r18261] ql/models/model.hpp:
+	  
+	  Let base class use virtual inheritance from Observer.
+	  
+	  Thanks to Peter Caspers for the heads-up.
+
+2012-05-14 10:16  Luigi Ballabio
+
+	* [r18260] ql/cashflows/overnightindexedcoupon.cpp:
+	  
+	  Prevented out-of-bound access (thanks to Andre Miemiec).
+
+2012-05-04 06:54  Luigi Ballabio
+
+	* [r18259] ql/math/rounding.cpp, test-suite/rounding.cpp:
+	  
+	  Fixed bug in up-rounding (thanks to Simon Shakeshaft).
+	  
+	  When up-rounding a number with no digits after the requested
+	  precision (say, 0.86313 with 5-digits precision) the last
+	  digit of the number would be increased. This is now fixed.
+
+2012-04-27 13:20  Luigi Ballabio
+
+	* [r18258] test-suite/interpolations.cpp:
+	  
+	  Increased tolerance.
+
+2012-04-18 09:04  Luigi Ballabio
+
+	* [r18255] ql/math/optimization/problem.hpp:
+	  
+	  Added warning to class documentation.
+
+2012-04-17 10:26  Luigi Ballabio
+
+	* [r18250] ql/prices.cpp:
+	  
+	  Prevented switch from falling through (thanks to Simon Shakeshaft).
+
+2012-04-17 08:26  Luigi Ballabio
+
+	* [r18249] ql/instruments/bond.hpp, ql/instruments/bonds/cpibond.cpp,
+	  test-suite/Makefile.am, test-suite/inflationcpibond.cpp,
+	  test-suite/inflationcpibond.hpp, test-suite/inflationcpiswap.cpp,
+	  test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev,
+	  test-suite/testsuite_vc10.vcxproj,
+	  test-suite/testsuite_vc10.vcxproj.filters,
+	  test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj,
+	  test-suite/testsuite_vc9.vcproj:
+	  
+	  Added notional calculation to CPI bond.
+	  
+	  This enables the user to use the full bond machinery besides
+	  NPV calculation.
+	  
+	  Thanks to Seyfullah Çetin for the heads-up and to Raso Mirko
+	  and Billy Ng for the fix.
+
+2012-03-28 12:47  Luigi Ballabio
+
+	* [r18248] ql/time/schedule.cpp, test-suite/schedule.cpp,
+	  test-suite/schedule.hpp:
+	  
+	  Fixed problem with EOM adjustment in schedule.
+	  
+	  When the end date was not adjusted, the next-to-last date could
+	  end up after the end date due to EOM adjustment. This is now
+	  checked and fixed.
+
+2012-03-14 11:29  Luigi Ballabio
+
+	* [r18242] ql/math/solver1d.hpp:
+	  
+	  Fixed initialization of 1-D solver.
+
+2012-03-12 12:08  Luigi Ballabio
+
+	* [r18241] Docs/pages/config.docs:
+	  
+	  Removed documentation for obsolete flag
+
+2012-03-06 09:38  Luigi Ballabio
+
+	* [r18236] Docs/pages/history.docs:
+	  
+	  Updated release dates
+
+2012-03-05 15:28  Luigi Ballabio
+
+	* [r18233] News.txt:
+	  
+	  Last-minute doc fix
+
+2012-02-22 11:39  Luigi Ballabio
+
+	* [r18221] Contributors.txt, Docs/pages/authors.docs,
+	  Docs/pages/history.docs, News.txt:
+	  
+	  Updated news and contributor list.
+
+2012-02-22 11:39  Luigi Ballabio
+
+	* [r18220] Makefile.am:
+	  
+	  Added RPM spec file to distributed tarball.
+
+2012-02-22 10:35  Luigi Ballabio
+
+	* [r18219] ChangeLog.txt:
+	  
+	  Updated ChangeLog.
+
 2012-02-22 09:14  Luigi Ballabio
 
 	* [r18218] Docs/pages/index.docs, Docs/quantlib.css,
diff --git a/Contributors.txt b/Contributors.txt
index 5093e1774a..d506e27e72 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -60,6 +60,7 @@ Florent Grenier
 Cavit Hafizoglu
 Michael Heckl
 Laurent Hoffmann
+Xiangyu Hong
 Benoît Houzelle
 Frank Hövermann
 Charles Chongseok Hyun
@@ -81,14 +82,18 @@ Samuel Lerouge
 Gang Liang
 Robert Lopez
 André Louw
+Joao Paulo Magalhaes
 John Maiden
 Katiuscia Manzoni
 Francesca Mariani
 Slava Mazur
 Enrico Michelotti
+Andre Miemiec
+Raso Mirko
 Radu Mondescu
 Bart Mosley
 Tiziano Müller
+Billy Ng
 Bojan Nikolic
 Jean Nkeng
 Adrian O'Neill
@@ -101,6 +106,7 @@ Francesco Perissin
 Robert Philipp
 Adrien Pinatton
 Gianni Piolanti
+Sebastian Poloczek
 Mario Pucci
 J. Erik Radmall
 Fabio Ramponi
@@ -115,6 +121,8 @@ Tamas Sashalmi
 Peter Schmitteckert
 Ralph Schreyer
 David Schwartz
+Simon Shakeshaft
+Kirill Shemyakin
 Eugene Shevkoplyas
 Enrico Sirola
 Leon Sit
diff --git a/Docs/pages/authors.docs b/Docs/pages/authors.docs
index 75236db636..d2cba02f62 100644
--- a/Docs/pages/authors.docs
+++ b/Docs/pages/authors.docs
@@ -30,7 +30,7 @@
     - Dirk Eddelbuettel
     - Neil Firth, Mathematical Institute, University of Oxford
     - Nicola Jean, StatPro Italia srl
-    - Chris Kenyon
+   - Chris Kenyon
     - Roland Lichters
     - Marco Marchioro, StatPro Italia srl
     - Klaus Spanderen
@@ -98,6 +98,7 @@
     Cavit Hafizoglu,
     Michael Heckl,
     Laurent Hoffmann,
+    Xiangyu Hong,
     Beno&icirc;t Houzelle,
     Frank H&ouml;vermann,
     Charles Chongseok Hyun,
@@ -119,14 +120,18 @@
     Gang Liang,
     Robert Lopez,
     Andr&eacute; Louw,
+    Joao Paulo Magalhaes,
     John Maiden,
     Katiuscia Manzoni,
     Francesca Mariani,
     Slava Mazur,
     Enrico Michelotti,
+    Andre Miemiec,
+    Raso Mirko,
     Radu Mondescu,
     Bart Mosley,
     Tiziano M&uuml;ller,
+    Billy Ng,
     Bojan Nikolic,
     Jean Nkeng,
     Adrian O'Neill,
@@ -139,6 +144,7 @@
     Robert Philipp,
     Adrien Pinatton,
     Gianni Piolanti,
+    Sebastian Poloczek,
     Mario Pucci,
     J. Erik Radmall,
     Fabio Ramponi,
@@ -153,6 +159,8 @@
     Peter Schmitteckert,
     Ralph Schreyer,
     David Schwartz,
+    Simon Shakeshaft,
+    Kirill Shemyakin,
     Eugene Shevkoplyas,
     Enrico Sirola,
     Leon Sit,
diff --git a/Docs/pages/config.docs b/Docs/pages/config.docs
index f9a76c6081..069b1ea1e2 100644
--- a/Docs/pages/config.docs
+++ b/Docs/pages/config.docs
@@ -70,13 +70,6 @@
     functions. This can prevent their inlining and degrade
     performance. Undefined by default.
 
-    \code
-    #define QL_TODAYS_PAYMENTS
-    \endcode
-    If undefined (the default,) payments are considered to be settled
-    at the beginning of the day. Therefore, payments occurring at
-    today's date are not included in the NPV of an instrument.
-
     \code
     #define QL_DISABLE_DEPRECATED
     \endcode
diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
index 8b8dd7d5e1..cfa2170cdd 100644
--- a/Docs/pages/history.docs
+++ b/Docs/pages/history.docs
@@ -18,6 +18,10 @@
 
 /*! \page history Version history
 
+    <strong>Release 1.2.1 - September 2012</strong>
+
+    Bug-fix release.
+
     <strong>Release 1.2 - March 6th, 2012</strong>
 
     PORTABILITY
diff --git a/LICENSE.TXT b/LICENSE.TXT
index cc36806c3a..7ee9502f0d 100644
--- a/LICENSE.TXT
+++ b/LICENSE.TXT
@@ -5,9 +5,9 @@ QuantLib is
     Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
     Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
-    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012 Ferdinando Ametrano
 
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
     Copyright (C) 2003, 2004 Roman Gitlin
     Copyright (C) 2003 Niels Elken Sønderby
diff --git a/News.txt b/News.txt
index e5645ff367..261335d82a 100644
--- a/News.txt
+++ b/News.txt
@@ -1,144 +1,38 @@
 
-Notable changes for QuantLib 1.2:
+QuantLib 1.2.1 is a bug-fix release.
 
-PORTABILITY
+Changes:
 
-- Microsoft Visual C++ 2010 no longer needs to disable uBlas code.
+- The library default is now to allow negative rates as this is
+  happening for EUR OIS, CHF and German treasury yields, etc.
 
-- QuantLib now ships with an updated specification file for building
-  RPMs (thanks to Matt Fair).
+- Fixed problem with EOM adjustment in schedule.
+  When the end date was not adjusted, the next-to-last date could end up
+  after the end date due to EOM adjustment. This is now checked and fixed.
 
+- Added notional calculation to CPI bond.
+  This enables the user to use the full bond machinery besides NPV
+  calculation.
+  Thanks to Seyfullah Çetin for the heads-up and to Raso Mirko
+  and Billy Ng for the fix.
 
-DATE/TIME
+- Fixed bug in up-rounding (thanks to Simon Shakeshaft).
+  When up-rounding a number with no digits after the requested
+  precision (say, 0.86313 with 5-digits precision) the last
+  digit of the number would be increased. This is now fixed.
 
-- When EOM was specified, a schedule's end date was moved to the end
-  of month even if the 'Unadjusted' convention was given.  This is now
-  fixed.
+- Bicubic splines would not update their parameters correctly.
+  This is now fixed (thanks to Fabio Ramponi).
 
-- When a daily frequency was used, a schedule could end up containing
-  duplicated dates.  This is now fixed (thanks to Simone Medori for
-  the bug report).
+- Fixed extent of new-year holidays for the Russian calendar.
+  Thanks to Kirill Shemyakin.
 
-- Added method to return truncated schedule.
+- Added implementation of assertion_failed_msg function.
+  This is required for linking with recent Boost versions.
+  Thanks to Piter Dias.
 
-- Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
+- Build fixes for VC++11 and for g++ in c++11 mode (thanks to Xiangyu
+  Hong and Joao Paulo Magalhaes, respectively).
 
-- Added South Korea holidays for 2011/2012 (thanks to Charles
-  Chongseok Hyun and Faycal El Karaa).
-
-- Added holidays for 2011 to China, Hong Kong, India, Indonesia, Saudi
-  Arabia, and Taiwan calendars.
-
-- Added ECB maintenance dates for 2012 and 2013.
-
-- Greatly improved performance of business/252 day counter.  The
-  previous implementation would count the business days between two
-  dates at each invocation. The new implementation caches dynamically
-  the count of business days for whole months and years, so that after
-  a while only the first and last few days are counted.
-
-
-INSTRUMENTS
-
-- The AssetSwap instrument now supports non-par repayment.
-
-- Added specialized class for Italian CCTEU (certificato di credito
-  del tesoro).
-
-- Added CPI-linked swaps, bonds, and cap/floors.
-
-
-CASH FLOWS
-
-- Added CashFlows::npvbps() method to calculate NPV and BPS in a
-  single loop to improve performance.
-
-
-INDEXES
-
-- Better detection of forecast/past fixings for inflation indexes.
-  When an interpolated index is asked for a fixing at the beginning of
-  a month, the fixing for the following (which would have zero weight
-  in the interpolation) is no longer required.  Also, if a fixing is
-  loaded in the index time series, it can be used even its observation
-  lag has not fully elapsed.
-
-
-TERM STRUCTURES
-
-- Vastly improved the performance of piecewise yield curve bootstrap.
-  Anchoring the evaluation date (see below) provides a further
-  improvement.
-
-- Moved CPI-volatility interface from experimental folder to the core
-  library.
-
-
-MATH
-
-- Added Newton 1-D solver with finite difference derivatives.
-
-- Improved interface for linear least-square regression (thanks to
-  Slava Mazur).
-
-
-FINITE DIFFERENCES
-
-- Added TR-BDF2 scheme (thanks to Fabien Le Floc'h).
-
-- Moved stable parts of 2D finite-difference framework from the
-  experimental folder to the core library.
-
-
-UTILITIES
-
-- Added resetEvaluationDate() and anchorEvaluationDate() methods to
-  enable/disable change of evaluation date at midnight, respectively.
-  Anchoring the evaluation date also improves the performance of some
-  calculations.
-
-
-PATTERNS
-
-- Fixed possible problem in LazyObject notification logic.  The
-  previous implementation would pass obsolete information to observers
-  that asked for data in their update() method (which is not advised,
-  but possible).  This is no longer the case.
-
-
-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:
-
-- Spread option and related engine (thanks to IMAFA/Polytech'Nice
-  students Meryem Chibo and Samad Abdessadki).
-
-- Writer-extensible option and related engine (thanks to
-  IMAFA/Polytech'Nice students Delphine Bouthier, Marine Casanova, and
-  Xavier Caron).
-
-- Levy engine for continuous-averaging Asian options (thanks to
-  IMAFA/Polytech'Nice students Yasmine Lahlou and Amine Samani).
-
-- Simple Virtual Power Plant and related finite-difference (FD) engine
-  (thanks to Klaus Spanderen).
-
-- FD solver and vanilla spread engine for Kluge-Ornstein-Uhlenbeck
-  process (thanks to Klaus Spanderen).
-
-- Added generic n-dimensional FD solver (thanks to Klaus Spanderen).
-
-- Added FD pricing engine for a simple storage option based on an
-  exponential Ornstein Uhlenbeck process (thanks to Klaus Spanderen).
-
-- Added vanilla and swing option FD pricer for Kluge model (thanks to
-  Klaus Spanderen).
-
-- Added FD pricing engine for a simple swing option based on the
-  Black-Scholes model (thanks to Klaus Spanderen).
+- A number of minor bug fixes (see the Changelog for full details).
 
diff --git a/configure.ac b/configure.ac
index 46292112dc..9cc54793c3 100644
--- a/configure.ac
+++ b/configure.ac
@@ -184,7 +184,7 @@ AC_ARG_ENABLE([indexed-coupons],
               AC_HELP_STRING([--enable-indexed-coupons],
                              [If enabled, indexed coupons (see the
                               documentation) are used in floating legs.
-                              If disabled (the default,) par coupons
+                              If disabled (the default), par coupons
                               are used.]),
               [ql_indexed_coupon=$enableval],
               [ql_indexed_coupon=no])
@@ -198,16 +198,15 @@ AC_MSG_RESULT([$ql_indexed_coupon])
 AC_MSG_CHECKING([whether to enable negative rates])
 AC_ARG_ENABLE([negative-rates],
               AC_HELP_STRING([--enable-negative-rates],
-                             [If enabled, negative yield rates are allowed
-                              in a few places where they are currently
-                              forbidden. It is still not clear whether
-                              this is safe.]),
+                             [If enabled (the default), negative yield
+                              rates are allowed.  If disabled, some
+                              features (notably, curve bootstrapping)
+                              will throw when negative rates are found.]),
               [ql_negative_rates=$enableval],
-              [ql_negative_rates=no])
+              [ql_negative_rates=yes])
 if test "$ql_negative_rates" = "yes" ; then
    AC_DEFINE([QL_NEGATIVE_RATES],[1],
-             [Define this if negative yield rates should be allowed.
-              This might not be safe.])
+             [Define this if negative yield rates should be allowed.])
 fi
 AC_MSG_RESULT([$ql_negative_rates])
 
@@ -229,7 +228,7 @@ AC_MSG_RESULT([$ql_belt_and_braces])
 AC_MSG_CHECKING([whether to enable deprecated code])
 AC_ARG_ENABLE([deprecated-code],
               AC_HELP_STRING([--enable-deprecated-code],
-                             [If enabled (the default,) deprecated code
+                             [If enabled (the default), deprecated code
                               will be included in the library.]),
               [ql_use_deprecated_code=$enableval],
               [ql_use_deprecated_code=yes])
diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
index ed9bc78564..140a34b3e7 100644
--- a/ql/cashflows/cashflows.cpp
+++ b/ql/cashflows/cashflows.cpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2005, 2006 StatPro Italia srl
  Copyright (C) 2005 Charles Whitmore
- Copyright (C) 2007, 2008, 2009, 2010, 2011 Ferdinando Ametrano
+ Copyright (C) 2007, 2008, 2009, 2010, 2011, 2012 Ferdinando Ametrano
  Copyright (C) 2008 Toyin Akin
 
  This file is part of QuantLib, a free-software/open-source library
@@ -409,17 +409,22 @@ namespace QuantLib {
                               public Visitor<Coupon> {
           public:
             BPSCalculator(const YieldTermStructure& discountCurve)
-            : discountCurve_(discountCurve), result_(0.0) {}
+            : discountCurve_(discountCurve), bps_(0.0), nonSensNPV_(0.0) {}
             void visit(Coupon& c) {
-                result_ += c.nominal() *
+                Real bps = c.nominal() *
                            c.accrualPeriod() *
                            discountCurve_.discount(c.date());
+                bps_ += bps;
             }
-            void visit(CashFlow&) {}
-            Real result() const { return result_; }
+            void visit(CashFlow& cf) {
+                nonSensNPV_ += cf.amount() * 
+                               discountCurve_.discount(cf.date());
+            }
+            Real bps() const { return bps_; }
+            Real nonSensNPV() const { return nonSensNPV_; }
           private:
             const YieldTermStructure& discountCurve_;
-            Real result_;
+            Real bps_, nonSensNPV_;
         };
 
         const Spread basisPoint_ = 1.0e-4;
@@ -471,7 +476,7 @@ namespace QuantLib {
                                      includeSettlementDateFlows))
                 leg[i]->accept(calc);
         }
-        return basisPoint_*calc.result()/discountCurve.discount(npvDate);
+        return basisPoint_*calc.bps()/discountCurve.discount(npvDate);
     }
 
     void CashFlows::npvbps(const Leg& leg,
@@ -500,7 +505,7 @@ namespace QuantLib {
         }
         DiscountFactor d = discountCurve.discount(npvDate);
         npv /= d;
-        bps = basisPoint_ * calc.result() / d;
+        bps = basisPoint_ * calc.bps() / d;
     }
 
     Rate CashFlows::atmRate(const Leg& leg,
@@ -508,8 +513,7 @@ namespace QuantLib {
                             bool includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate,
-                            Real npv) {
-        QL_REQUIRE(!leg.empty(), "empty leg");
+                            Real targetNpv) {
 
         if (settlementDate == Date())
             settlementDate = Settings::instance().evaluationDate();
@@ -517,17 +521,32 @@ namespace QuantLib {
         if (npvDate == Date())
             npvDate = settlementDate;
 
-        Real bps = 0.0;
-        if (npv==Null<Real>())
-            CashFlows::npvbps(leg, discountCurve,
-                              includeSettlementDateFlows,
-                              settlementDate, npvDate,
-                              npv, bps);
-        else
-            bps = CashFlows::bps(leg, discountCurve,
-                                 includeSettlementDateFlows,
-                                 settlementDate, npvDate);
-        return basisPoint_*npv/bps;
+        Real npv = 0.0;
+        BPSCalculator calc(discountCurve);
+        for (Size i=0; i<leg.size(); ++i) {
+            CashFlow& cf = *leg[i];
+            if (!cf.hasOccurred(settlementDate,
+                                includeSettlementDateFlows)) {
+                npv += cf.amount() *
+                       discountCurve.discount(cf.date());
+                cf.accept(calc);
+            }
+        }
+
+        if (targetNpv==Null<Real>())
+            targetNpv = npv - calc.nonSensNPV();
+        else {
+            targetNpv *= discountCurve.discount(npvDate);
+            targetNpv -= calc.nonSensNPV();
+        }
+
+        if (targetNpv==0.0)
+            return 0.0;
+
+        Real bps = calc.bps();
+        QL_REQUIRE(bps!=0.0, "null bps: impossible atm rate");
+
+        return targetNpv/bps;
     }
 
     // IRR utility functions
@@ -664,7 +683,6 @@ namespace QuantLib {
               settlementDate_(settlementDate),
               npvDate_(npvDate) {
 
-                QL_REQUIRE(!leg.empty(), "empty leg");
 
             if (settlementDate == Date())
                 settlementDate = Settings::instance().evaluationDate();
@@ -1090,7 +1108,6 @@ namespace QuantLib {
               includeSettlementDateFlows_(includeSettlementDateFlows),
               settlementDate_(settlementDate),
               npvDate_(npvDate) {
-                QL_REQUIRE(!leg.empty(), "empty leg");
 
                 if (settlementDate == Date())
                     settlementDate = Settings::instance().evaluationDate();
@@ -1164,7 +1181,6 @@ namespace QuantLib {
                               Real accuracy,
                               Size maxIterations,
                               Rate guess) {
-        QL_REQUIRE(!leg.empty(), "empty leg");
 
         if (settlementDate == Date())
             settlementDate = Settings::instance().evaluationDate();
diff --git a/ql/cashflows/conundrumpricer.cpp b/ql/cashflows/conundrumpricer.cpp
index baa4f87d95..dfd13b18cc 100644
--- a/ql/cashflows/conundrumpricer.cpp
+++ b/ql/cashflows/conundrumpricer.cpp
@@ -81,6 +81,8 @@ namespace QuantLib {
         QL_REQUIRE(coupon_, "CMS coupon needed");
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
+        Time accrualPeriod = coupon_->accrualPeriod();
+        QL_REQUIRE(accrualPeriod != 0.0, "null accrual period");
 
         fixingDate_ = coupon_->fixingDate();
         paymentDate_ = coupon_->date();
@@ -93,7 +95,7 @@ namespace QuantLib {
             discount_ = rateCurve_->discount(paymentDate_);
         else discount_= 1.;
 
-        spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
+        spreadLegValue_ = spread_ * accrualPeriod * discount_;
 
         if (fixingDate_ > today){
             swapTenor_ = swapIndex->tenor();
diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
index 21a2710b93..674df60f87 100644
--- a/ql/cashflows/couponpricer.cpp
+++ b/ql/cashflows/couponpricer.cpp
@@ -42,6 +42,7 @@ namespace QuantLib {
         gearing_ = coupon.gearing();
         spread_ = coupon.spread();
         accrualPeriod_ = coupon.accrualPeriod();
+        QL_REQUIRE(accrualPeriod_ != 0.0, "null accrual period");
 
         index_ = dynamic_pointer_cast<IborIndex>(coupon.index());
         if (!index_) {
diff --git a/ql/cashflows/overnightindexedcoupon.cpp b/ql/cashflows/overnightindexedcoupon.cpp
index d9a354466e..484e245259 100644
--- a/ql/cashflows/overnightindexedcoupon.cpp
+++ b/ql/cashflows/overnightindexedcoupon.cpp
@@ -53,7 +53,7 @@ namespace QuantLib {
 
                 // already fixed part
                 Date today = Settings::instance().evaluationDate();
-                while (fixingDates[i]<today && i<n) {
+                while (i<n && fixingDates[i]<today) {
                     // rate must have been fixed
                     Rate pastFixing = IndexManager::instance().getHistory(
                                                 index->name())[fixingDates[i]];
@@ -65,7 +65,7 @@ namespace QuantLib {
                 }
 
                 // today is a border case
-                if (fixingDates[i] == today && i<n) {
+                if (i<n && fixingDates[i] == today) {
                     // might have been fixed
                     try {
                         Rate pastFixing = IndexManager::instance().getHistory(
diff --git a/ql/errors.cpp b/ql/errors.cpp
index 093ab18acf..88049fa014 100644
--- a/ql/errors.cpp
+++ b/ql/errors.cpp
@@ -88,6 +88,15 @@ namespace boost {
                                         std::string(expr)));
     }
 
+    void assertion_failed_msg(char const * expr, char const * msg,
+                              char const * function, char const * file,
+                              long line) {
+        throw std::runtime_error(format(file, line, function,
+                                        "Boost assertion failed: " +
+                                        std::string(expr) + ": " +
+                                        std::string(msg)));
+    }
+
 }
 
 namespace QuantLib {
diff --git a/ql/experimental/math/autocovariance.hpp b/ql/experimental/math/autocovariance.hpp
index 27d624697c..f6d0386945 100644
--- a/ql/experimental/math/autocovariance.hpp
+++ b/ql/experimental/math/autocovariance.hpp
@@ -28,6 +28,8 @@
 #include <ql/math/array.hpp>
 #include <complex>
 #include <vector>
+#include <algorithm>
+#include <functional>
 
 namespace QuantLib {
 
@@ -44,8 +46,11 @@ namespace QuantLib {
             std::vector<std::complex<Real> > ft(fft.output_size());
             fft.transform(begin, end, ft.begin());
             Array tmp(ft.size(), 0.0);
-            std::transform(ft.begin(), ft.end(), tmp.begin(), std::norm<Real>);
-            std::fill(ft.begin(), ft.end(), std::complex<Real>());
+            std::complex<Real> z = std::complex<Real>();
+            for (Size i=0; i<ft.size(); ++i) {
+                tmp[i] = std::norm<Real>(ft[i]);
+                ft[i] = z;
+            }
             fft.transform(tmp.begin(), tmp.end(), ft.begin());
             return ft;
         }
diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 113a34842b..e93528020a 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -61,6 +61,10 @@ namespace QuantLib {
                    "deal maturity " << dealMaturity <<
                    " cannot be later than (adjusted) bond maturity " <<
                    tempSch.dates().back());
+        QL_REQUIRE(dealMaturity > tempSch.dates()[0],
+                   "deal maturity " << dealMaturity <<
+                   " must be later than swap start date " <<
+                   tempSch.dates()[0]);
 
         // the following might become an input parameter
         BusinessDayConvention paymentAdjustment = Following;
diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index a2900d5aea..5693bdd515 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -44,7 +44,7 @@ namespace QuantLib {
 
         if (!coupons.empty()) {
             std::sort(cashflows_.begin(), cashflows_.end(),
-                      earlier_than<boost::shared_ptr<CashFlow> >());
+                      earlier_than<shared_ptr<CashFlow> >());
 
             if (issueDate_ != Date()) {
                 QL_REQUIRE(issueDate_<cashflows_[0]->date(),
@@ -74,7 +74,7 @@ namespace QuantLib {
         if (!cashflows.empty()) {
 
             std::sort(cashflows_.begin(), cashflows_.end()-1,
-                      earlier_than<boost::shared_ptr<CashFlow> >());
+                      earlier_than<shared_ptr<CashFlow> >());
 
             if (maturityDate_ == Date())
                 maturityDate_ = CashFlows::maturityDate(cashflows);
@@ -140,7 +140,7 @@ namespace QuantLib {
         }
     }
 
-    const boost::shared_ptr<CashFlow>& Bond::redemption() const {
+    const shared_ptr<CashFlow>& Bond::redemption() const {
         QL_REQUIRE(redemptions_.size() == 1,
                    "multiple redemption cash flows given");
         return redemptions_.back();
@@ -309,7 +309,7 @@ namespace QuantLib {
                      !redemptions.empty()   ? redemptions.back() :
                                               100.0;
             Real amount = (R/100.0)*(notionals_[i-1]-notionals_[i]);
-            boost::shared_ptr<CashFlow> payment;
+            shared_ptr<CashFlow> payment;
             if (i < notionalSchedule_.size()-1)
                 payment.reset(new AmortizingPayment(amount,
                                                     notionalSchedule_[i]));
@@ -321,21 +321,20 @@ namespace QuantLib {
         // stable_sort now moves the redemptions to the right places
         // while ensuring that they follow coupons with the same date.
         std::stable_sort(cashflows_.begin(), cashflows_.end(),
-                         earlier_than<boost::shared_ptr<CashFlow> >());
+                         earlier_than<shared_ptr<CashFlow> >());
     }
 
     void Bond::setSingleRedemption(Real notional,
                                    Real redemption,
                                    const Date& date) {
 
-        boost::shared_ptr<CashFlow> redemptionCashflow(
+        shared_ptr<CashFlow> redemptionCashflow(
                          new Redemption(notional*redemption/100.0, date));
         setSingleRedemption(notional, redemptionCashflow);
     }
 
-    void Bond::setSingleRedemption(
-                              Real notional,
-                              const boost::shared_ptr<CashFlow>& redemption) {
+    void Bond::setSingleRedemption(Real notional,
+                                   const shared_ptr<CashFlow>& redemption) {
         notionals_.resize(2);
         notionalSchedule_.resize(2);
         redemptions_.clear();
@@ -357,7 +356,7 @@ namespace QuantLib {
         Date lastPaymentDate = Date();
         notionalSchedule_.push_back(Date());
         for (Size i=0; i<cashflows_.size(); ++i) {
-            boost::shared_ptr<Coupon> coupon =
+            shared_ptr<Coupon> coupon =
                 boost::dynamic_pointer_cast<Coupon>(cashflows_[i]);
             if (!coupon)
                 continue;
diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index 0e6bfb9622..7fc07e7f0f 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -249,7 +249,11 @@ namespace QuantLib {
                                  const boost::shared_ptr<CashFlow>& redemption);
 
         /*! used internally to collect notional information from the
-            coupons. It should not be called by derived classes.
+            coupons. It should not be called by derived classes,
+            unless they already provide redemption cash flows (in
+            which case they must set up the redemptions_ data member
+            independently).  It will fill the notionalSchedule_ and
+            notionals_ data members.
         */
         void calculateNotionalsFromCashflows();
 
diff --git a/ql/instruments/bonds/btp.hpp b/ql/instruments/bonds/btp.hpp
index da6c3e6847..ed93d80746 100644
--- a/ql/instruments/bonds/btp.hpp
+++ b/ql/instruments/bonds/btp.hpp
@@ -47,6 +47,12 @@ namespace QuantLib {
                                     Handle<YieldTermStructure>(),
               const Date& startDate = Date(),
               const Date& issueDate = Date());
+        //! \name Bond interface
+        //@{
+        //! accrued amount at a given date
+        /*! The default bond settlement is used if no date is given. */
+        Real accruedAmount(Date d = Date()) const;
+        //@}
     };
 
     //! Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
@@ -67,6 +73,12 @@ namespace QuantLib {
             Real redemption,
             const Date& startDate = Date(),
             const Date& issueDate = Date());
+        //! \name Bond interface
+        //@{
+        //! accrued amount at a given date
+        /*! The default bond settlement is used if no date is given. */
+        Real accruedAmount(Date d = Date()) const;
+        //@}
         //! BTP yield given a (clean) price and settlement date
         /*! The default BTP conventions are used: Actual/Actual (ISMA),
             Compounded, Annual.
@@ -178,6 +190,16 @@ namespace QuantLib {
 
     // inline
 
+    inline Real CCTEU::accruedAmount(Date d) const {
+        Real result = FloatingRateBond::accruedAmount(d);
+        return ClosestRounding(5)(result);
+    }
+
+    inline Real BTP::accruedAmount(Date d) const {
+        Real result = FixedRateBond::accruedAmount(d);
+        return ClosestRounding(5)(result);
+    }
+
     inline const std::vector<boost::shared_ptr<BTP> >&
     RendistatoBasket::btps() const {
         return btps_;
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
index 11279439ed..34f3edd968 100644
--- a/ql/instruments/bonds/cpibond.cpp
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -67,15 +67,16 @@ namespace QuantLib {
         .withObservationInterpolation(observationInterpolation_)
         .withSubtractInflationNominal(growthOnly_);
 
+        calculateNotionalsFromCashflows();
+
+        redemptions_.push_back(cashflows_.back());
+
         registerWith(cpiIndex_);
         Leg::const_iterator i;
         for (i = cashflows_.begin(); i < cashflows_.end(); ++i) {
             registerWith(*i);
         }
-    };
-
-
-
+    }
 
-};
+}
 
diff --git a/ql/math/interpolations/bicubicsplineinterpolation.hpp b/ql/math/interpolations/bicubicsplineinterpolation.hpp
index 8ed90cd4ca..3e3c6e02fa 100644
--- a/ql/math/interpolations/bicubicsplineinterpolation.hpp
+++ b/ql/math/interpolations/bicubicsplineinterpolation.hpp
@@ -55,14 +55,14 @@ namespace QuantLib {
                 calculate();
             }
             void calculate() {
-                splines_.reserve(this->zData_.rows());
+                splines_.resize(this->zData_.rows());
                 for (Size i=0; i<(this->zData_.rows()); ++i)
-                    splines_.push_back(CubicInterpolation(
+                    splines_[i] = CubicInterpolation(
                                 this->xBegin_, this->xEnd_,
                                 this->zData_.row_begin(i),
                                 CubicInterpolation::Spline, false,
                                 CubicInterpolation::SecondDerivative, 0.0,
-                                CubicInterpolation::SecondDerivative, 0.0));
+                                CubicInterpolation::SecondDerivative, 0.0);
             }
             Real value(Real x, Real y) const {
                 std::vector<Real> section(splines_.size());
diff --git a/ql/math/matrixutilities/symmetricschurdecomposition.cpp b/ql/math/matrixutilities/symmetricschurdecomposition.cpp
index 61d02528b7..94919a10f4 100644
--- a/ql/math/matrixutilities/symmetricschurdecomposition.cpp
+++ b/ql/math/matrixutilities/symmetricschurdecomposition.cpp
@@ -119,8 +119,7 @@ namespace QuantLib {
         for (col=0; col<size; col++) {
             std::copy(eigenVectors_.column_begin(col),
                       eigenVectors_.column_end(col), eigenVector.begin());
-            temp[col] = std::pair<Real, std::vector<Real> >(
-                diagonal_[col], eigenVector);
+            temp[col] = std::make_pair(diagonal_[col], eigenVector);
         }
         std::sort(temp.begin(), temp.end(),
             std::greater<std::pair<Real, std::vector<Real> > >());
diff --git a/ql/math/optimization/problem.hpp b/ql/math/optimization/problem.hpp
index 3c9f368037..c55e08161b 100644
--- a/ql/math/optimization/problem.hpp
+++ b/ql/math/optimization/problem.hpp
@@ -32,7 +32,13 @@
 namespace QuantLib {
 
     class Constraint;
+
     //! Constrained optimization problem
+    /*! \warning The passed CostFunction and Constraint instances are
+                 stored by reference.  The user of this class must
+                 make sure that they are not destroyed before the
+                 Problem instance.
+    */
     class Problem {
       public:
         //! default constructor
diff --git a/ql/math/rounding.cpp b/ql/math/rounding.cpp
index 55679056f9..4dbdb7c598 100644
--- a/ql/math/rounding.cpp
+++ b/ql/math/rounding.cpp
@@ -41,7 +41,8 @@ namespace QuantLib {
           case Down:
             break;
           case Up:
-            lvalue += 1.0;
+            if (modVal != 0.0)
+                lvalue += 1.0;
             break;
           case Closest:
             if (modVal >= (digit_/10.0))
diff --git a/ql/math/solver1d.hpp b/ql/math/solver1d.hpp
index 61173087b4..82ae0de8d5 100644
--- a/ql/math/solver1d.hpp
+++ b/ql/math/solver1d.hpp
@@ -101,7 +101,7 @@ namespace QuantLib {
             // monotonically crescent bias, as in optionValue(volatility)
             if (close(fxMax_,0.0))
                 return root_;
-            else if (close(fxMax_, 0.0)) {
+            else if (fxMax_ > 0.0) {
                 xMin_ = enforceBounds_(root_ - step);
                 fxMin_ = f(xMin_);
                 xMax_ = root_;
diff --git a/ql/math/solvers1d/brent.hpp b/ql/math/solvers1d/brent.hpp
index f81c1587c3..69a2ebed35 100644
--- a/ql/math/solvers1d/brent.hpp
+++ b/ql/math/solvers1d/brent.hpp
@@ -46,11 +46,22 @@ namespace QuantLib {
 
             Real min1, min2;
             Real froot, p, q, r, s, xAcc1, xMid;
-            // dummy assignements to avoid compiler warning
-            Real d = 0.0, e = 0.0;
 
-            root_ = xMax_;
-            froot = fxMax_;
+            // we want to start with root_ (which equals the guess) on
+            // one side of the bracket and both xMin_ and xMax_ on the
+            // other.
+            froot = f(root_);
+            ++evaluationNumber_;
+            if (froot * fxMin_ < 0) {
+                xMax_ = xMin_;
+                fxMax_ = fxMin_;
+            } else {
+                xMin_ = xMax_;
+                fxMin_ = fxMax_;
+            }
+            Real d = root_- xMax_;
+            Real e = d;
+
             while (evaluationNumber_<=maxEvaluations_) {
                 if ((froot > 0.0 && fxMax_ > 0.0) ||
                     (froot < 0.0 && fxMax_ < 0.0)) {
diff --git a/ql/models/marketmodels/evolutiondescription.hpp b/ql/models/marketmodels/evolutiondescription.hpp
index d8ff81b21d..74c6b9a996 100644
--- a/ql/models/marketmodels/evolutiondescription.hpp
+++ b/ql/models/marketmodels/evolutiondescription.hpp
@@ -28,8 +28,8 @@ namespace QuantLib {
 
     //! Market-model evolution description
     /*! This class stores:
-        -# evolutionTimes = the times defining the rates that are to be evolved,
-        -# rateTimes = the times at which the rates need to be known,
+        -# evolutionTimes = the times at which the rates need to be known,
+        -# rateTimes = the times defining the rates that are to be evolved,
         -# relevanceRates = which rates need to be known at each time.
 
         This class is really just a tuple of evolution and rate times;
diff --git a/ql/models/marketmodels/models/abcdvol.cpp b/ql/models/marketmodels/models/abcdvol.cpp
index e9935409a6..f2b55229e9 100644
--- a/ql/models/marketmodels/models/abcdvol.cpp
+++ b/ql/models/marketmodels/models/abcdvol.cpp
@@ -24,19 +24,21 @@
 #include <ql/termstructures/volatility/abcd.hpp>
 #include <ql/math/matrixutilities/pseudosqrt.hpp>
 
+using boost::shared_ptr;
+using std::vector;
+
 namespace QuantLib {
 
-    AbcdVol::AbcdVol(
-            Real a,
-            Real b,
-            Real c,
-            Real d,
-            const std::vector<Real>& ks,
-            const boost::shared_ptr<PiecewiseConstantCorrelation>& corr,
-            const EvolutionDescription& evolution,
-            const Size numberOfFactors,
-            const std::vector<Rate>& initialRates,
-            const std::vector<Spread>& displacements)
+    AbcdVol::AbcdVol(Real a,
+                     Real b,
+                     Real c,
+                     Real d,
+                     const vector<Real>& ks,
+                     const shared_ptr<PiecewiseConstantCorrelation>& corr,
+                     const EvolutionDescription& evolution,
+                     const Size numberOfFactors,
+                     const vector<Rate>& initialRates,
+                     const vector<Spread>& displacements)
     : numberOfFactors_(numberOfFactors),
       numberOfRates_(initialRates.size()),
       numberOfSteps_(evolution.evolutionTimes().size()),
@@ -45,7 +47,7 @@ namespace QuantLib {
       evolution_(evolution),
       pseudoRoots_(numberOfSteps_, Matrix(numberOfRates_, numberOfFactors_))
     {
-        const std::vector<Time>& rateTimes = evolution.rateTimes();
+        const vector<Time>& rateTimes = evolution.rateTimes();
         QL_REQUIRE(numberOfRates_==rateTimes.size()-1,
                    "mismatch between number of rates (" << numberOfRates_ <<
                    ") and rate times");
@@ -68,46 +70,41 @@ namespace QuantLib {
                    ") must be greater than zero");
 
         AbcdFunction abcd(a, b, c, d);
-        Real covar;
-        Time effStartTime, effStopTime;
-        Real correlation;
-        const std::vector<Time>& corrTimes = corr->times();
-        const std::vector<Time>& evolTimes = evolution.evolutionTimes();
+        Time effStopTime = 0.0;
+        const vector<Time>& corrTimes = corr->times();
+        const vector<Time>& evolTimes = evolution.evolutionTimes();
+        Matrix covariance(numberOfRates_, numberOfRates_);
         for (Size k=0, kk=0; k<numberOfSteps_; ++k) {
             // one covariance per evolution step
-            Matrix covariance(numberOfRates_, numberOfRates_, 0.0);
+            std::fill(covariance.begin(), covariance.end(), 0.0);
 
             // there might be more than one correlation matrix
-            // in a single evolution step
-            Matrix correlations;
-
+            // in a single evolution step,
             for (; corrTimes[kk]<evolTimes[k]; ++kk) {
-                effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+                Time effStartTime = effStopTime;
                 effStopTime = corrTimes[kk];
-                correlations = corr->correlation(kk);
+                const Matrix& corrMatrix = corr->correlation(kk);
                 for (Size i=0; i<numberOfRates_; ++i) {
                     for (Size j=i; j<numberOfRates_; ++j) {
-                        covar = ks[i] * ks[j] * abcd.covariance(effStartTime,
+                        Real cov = ks[i]*ks[j]* abcd.covariance(effStartTime,
                                                                 effStopTime,
                                                                 rateTimes[i],
                                                                 rateTimes[j]);
-                        correlation = correlations[i][j];
-                        covariance[i][j] += covar * correlation;
+                        covariance[i][j] += cov * corrMatrix[i][j];
                     }
                 }
             }
             // last part in the evolution step
-            effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+            Time effStartTime = effStopTime;
             effStopTime = evolTimes[k];
-            correlations = corr->correlation(kk);
+            const Matrix& corrMatrix = corr->correlation(kk);
             for (Size i=0; i<numberOfRates_; ++i) {
                 for (Size j=i; j<numberOfRates_; ++j) {
-                    covar = ks[i] * ks[j] * abcd.covariance(effStartTime,
+                    Real cov = ks[i]*ks[j]* abcd.covariance(effStartTime,
                                                             effStopTime,
                                                             rateTimes[i],
                                                             rateTimes[j]);
-                    correlation = correlations[i][j];
-                    covariance[i][j] += covar * correlation;
+                    covariance[i][j] += cov * corrMatrix[i][j];
                 }
             }
             // no more use for the kk-th correlation matrix
diff --git a/ql/models/marketmodels/models/flatvol.cpp b/ql/models/marketmodels/models/flatvol.cpp
index bf8c2e95aa..14ad658bf4 100644
--- a/ql/models/marketmodels/models/flatvol.cpp
+++ b/ql/models/marketmodels/models/flatvol.cpp
@@ -26,9 +26,14 @@
 #include <ql/math/interpolations/linearinterpolation.hpp>
 #include <ql/models/marketmodels/correlations/expcorrelations.hpp>
 
+using boost::shared_ptr;
+using std::vector;
+
 namespace QuantLib {
 
-    Real flatVolCovariance(Time t1, Time t2, Time T, Time S, Volatility v1, Volatility v2) {
+    Real flatVolCovariance(Time t1,Time t2,
+                           Time T, Time S,
+                           Volatility v1, Volatility v2) {
         QL_REQUIRE(t1<=t2,
                    "integrations bounds (" << t1 <<
                    "," << t2 << ") are in reverse order");
@@ -42,12 +47,12 @@ namespace QuantLib {
     }
 
     FlatVol::FlatVol(
-            const std::vector<Volatility>& volatilities,
-            const boost::shared_ptr<PiecewiseConstantCorrelation>& corr,
+            const vector<Volatility>& vols,
+            const shared_ptr<PiecewiseConstantCorrelation>& corr,
             const EvolutionDescription& evolution,
             Size numberOfFactors,
-            const std::vector<Rate>& initialRates,
-            const std::vector<Spread>& displacements)
+            const vector<Rate>& initialRates,
+            const vector<Spread>& displacements)
     : numberOfFactors_(numberOfFactors),
       numberOfRates_(initialRates.size()),
       numberOfSteps_(evolution.evolutionTimes().size()),
@@ -56,16 +61,16 @@ namespace QuantLib {
       evolution_(evolution),
       pseudoRoots_(numberOfSteps_, Matrix(numberOfRates_, numberOfFactors_))
     {
-        const std::vector<Time>& rateTimes = evolution.rateTimes();
+        const vector<Time>& rateTimes = evolution.rateTimes();
         QL_REQUIRE(numberOfRates_==rateTimes.size()-1,
                    "mismatch between number of rates (" << numberOfRates_ <<
                    ") and rate times");
         QL_REQUIRE(numberOfRates_==displacements.size(),
                    "mismatch between number of rates (" << numberOfRates_ <<
                    ") and displacements (" << displacements.size() << ")");
-        QL_REQUIRE(numberOfRates_==volatilities.size(),
+        QL_REQUIRE(numberOfRates_==vols.size(),
                    "mismatch between number of rates (" << numberOfRates_ <<
-                   ") and volatilities (" << volatilities.size() << ")");
+                   ") and vols (" << vols.size() << ")");
         QL_REQUIRE(numberOfRates_<=numberOfFactors_*numberOfSteps_,
                    "number of rates (" << numberOfRates_ <<
                    ") greater than number of factors (" << numberOfFactors_
@@ -78,48 +83,39 @@ namespace QuantLib {
                    "number of factors (" << numberOfFactors <<
                    ") must be greater than zero");
 
-        std::vector<Volatility> stdDev(numberOfRates_);
-
-        Real covar;
-        Time effStartTime, effStopTime;
-        Real correlation;
-        const std::vector<Time>& corrTimes = corr->times();
-        const std::vector<Time>& evolTimes = evolution.evolutionTimes();
+        Time effStopTime = 0.0;
+        const vector<Time>& corrTimes = corr->times();
+        const vector<Time>& evolTimes = evolution.evolutionTimes();
+        Matrix covariance(numberOfRates_, numberOfRates_);
         for (Size k=0, kk=0; k<numberOfSteps_; ++k) {
             // one covariance per evolution step
-            Matrix covariance(numberOfRates_, numberOfRates_, 0.0);
+            std::fill(covariance.begin(), covariance.end(), 0.0);
 
             // there might be more than one correlation matrix
             // in a single evolution step
-            Matrix correlations;
-
             for (; corrTimes[kk]<evolTimes[k]; ++kk) {
-                effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+                Time effStartTime = effStopTime;
                 effStopTime = corrTimes[kk];
-                correlations = corr->correlation(kk);
+                const Matrix& corrMatrix = corr->correlation(kk);
                 for (Size i=0; i<numberOfRates_; ++i) {
                     for (Size j=i; j<numberOfRates_; ++j) {
-                        covar = flatVolCovariance(effStartTime,
-                                                  effStopTime,
-                                                  rateTimes[i], rateTimes[j],
-                                                  volatilities[i], volatilities[j]);
-                        correlation = correlations[i][j];
-                        covariance[i][j] += covar * correlations[i][j];
+                        Real cov = flatVolCovariance(effStartTime, effStopTime,
+                                                     rateTimes[i], rateTimes[j],
+                                                     vols[i], vols[j]);
+                        covariance[i][j] += cov * corrMatrix[i][j];
                      }
                 }
             }
             // last part in the evolution step
-            effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+            Time effStartTime = effStopTime;
             effStopTime = evolTimes[k];
-            correlations = corr->correlation(kk);
+            const Matrix& corrMatrix = corr->correlation(kk);
             for (Size i=0; i<numberOfRates_; ++i) {
                 for (Size j=i; j<numberOfRates_; ++j) {
-                    covar = flatVolCovariance(effStartTime,
-                                              effStopTime,
-                                              rateTimes[i], rateTimes[j],
-                                              volatilities[i], volatilities[j]);
-                    correlation = correlations[i][j];
-                    covariance[i][j] += covar * correlation;
+                    Real cov = flatVolCovariance(effStartTime, effStopTime,
+                                                 rateTimes[i], rateTimes[j],
+                                                 vols[i], vols[j]);
+                    covariance[i][j] += cov * corrMatrix[i][j];
                  }
             }
             // no more use for the kk-th correlation matrix
@@ -154,8 +150,8 @@ namespace QuantLib {
     FlatVolFactory::FlatVolFactory(
                                 Real longTermCorrelation,
                                 Real beta,
-                                const std::vector<Time>& times,
-                                const std::vector<Volatility>& vols,
+                                const vector<Time>& times,
+                                const vector<Volatility>& vols,
                                 const Handle<YieldTermStructure>& yieldCurve,
                                 Spread displacement)
     : longTermCorrelation_(longTermCorrelation), beta_(beta),
@@ -167,19 +163,19 @@ namespace QuantLib {
         registerWith(yieldCurve_);
     }
 
-    boost::shared_ptr<MarketModel>
+    shared_ptr<MarketModel>
     FlatVolFactory::create(const EvolutionDescription& evolution,
                                   Size numberOfFactors) const {
-        const std::vector<Time>& rateTimes = evolution.rateTimes();
+        const vector<Time>& rateTimes = evolution.rateTimes();
         Size numberOfRates = rateTimes.size()-1;
 
-        std::vector<Rate> initialRates(numberOfRates);
+        vector<Rate> initialRates(numberOfRates);
         for (Size i=0; i<numberOfRates; ++i)
             initialRates[i] = yieldCurve_->forwardRate(rateTimes[i],
                                                        rateTimes[i+1],
                                                        Simple);
 
-        std::vector<Volatility> displacedVolatilities(numberOfRates);
+        vector<Volatility> displacedVolatilities(numberOfRates);
         for (Size i=0; i<numberOfRates; ++i) {
             Volatility vol = // to be changes
                 volatility_(rateTimes[i]);
@@ -187,15 +183,15 @@ namespace QuantLib {
                 initialRates[i]*vol/(initialRates[i]+displacement_);
         }
 
-        std::vector<Spread> displacements(numberOfRates, displacement_);
+        vector<Spread> displacements(numberOfRates, displacement_);
 
         Matrix correlations = exponentialCorrelations(evolution.rateTimes(),
                                                       longTermCorrelation_,
                                                       beta_);
-        boost::shared_ptr<PiecewiseConstantCorrelation> corr(new
+        shared_ptr<PiecewiseConstantCorrelation> corr(new
             TimeHomogeneousForwardCorrelation(correlations,
                                               rateTimes));
-        return boost::shared_ptr<MarketModel>(new
+        return shared_ptr<MarketModel>(new
             FlatVol(displacedVolatilities,
                            corr,
                            evolution,
diff --git a/ql/models/model.hpp b/ql/models/model.hpp
index b63c400060..a434589c06 100644
--- a/ql/models/model.hpp
+++ b/ql/models/model.hpp
@@ -76,7 +76,7 @@ namespace QuantLib {
 
 
     //! Calibrated model class
-    class CalibratedModel : public Observer, public virtual Observable {
+    class CalibratedModel : public virtual Observer, public virtual Observable {
       public:
         CalibratedModel(Size nArguments);
 
diff --git a/ql/patterns/observable.hpp b/ql/patterns/observable.hpp
index 8d216e7065..d5a790421a 100644
--- a/ql/patterns/observable.hpp
+++ b/ql/patterns/observable.hpp
@@ -3,7 +3,7 @@
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
- Copyright (C) 2011 Ferdinando Ametrano
+ Copyright (C) 2011, 2012 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -76,6 +76,7 @@ namespace QuantLib {
             instead, it will be called by the observables the instance
             registered with when they need to notify any changes.
         */
+        void unregisterWithAll();
         virtual void update() = 0;
       private:
         std::set<boost::shared_ptr<Observable> > observables_;
@@ -177,6 +178,12 @@ namespace QuantLib {
         return observables_.erase(h);
     }
 
+    inline void Observer::unregisterWithAll() {
+        for (iterator i=observables_.begin(); i!=observables_.end(); ++i)
+            (*i)->unregisterObserver(this);
+        observables_.clear();
+    }
+
 }
 
 #endif
diff --git a/ql/prices.cpp b/ql/prices.cpp
index 23ec52375d..9c1652425d 100644
--- a/ql/prices.cpp
+++ b/ql/prices.cpp
@@ -81,12 +81,16 @@ namespace QuantLib {
         switch(t) {
           case Open:
             open_ = value;
+            break;
           case Close:
             close_ = value;
+            break;
           case High:
             high_ = value;
+            break;
           case Low:
             low_ = value;
+            break;
           default:
             QL_FAIL("Unknown price type");
         }
diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index 09e6f4d15e..efb48e44c3 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -285,10 +285,12 @@ namespace QuantLib {
 
         Real dirtyPrice = cleanPrice==Null<Real>() ? Null<Real>() :
                           cleanPrice + bond.accruedAmount(settlement);
+        Real currentNotional = bond.notional(settlement);
+        Real npv = dirtyPrice/100.0 * currentNotional;
 
         return CashFlows::atmRate(bond.cashflows(), discountCurve,
                                   false, settlement, settlement,
-                                  dirtyPrice);
+                                  npv);
     }
 
     Real BondFunctions::cleanPrice(const Bond& bond,
diff --git a/ql/termstructures/yield/oisratehelper.cpp b/ql/termstructures/yield/oisratehelper.cpp
index 89adb97ca8..0d12b3caeb 100644
--- a/ql/termstructures/yield/oisratehelper.cpp
+++ b/ql/termstructures/yield/oisratehelper.cpp
@@ -1,8 +1,8 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2009 Roland Lichters
- Copyright (C) 2009 Ferdinando Ametrano
+ Copyright (C) 2009, 2012 Roland Lichters
+ Copyright (C) 2009. 2012 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -34,11 +34,13 @@ namespace QuantLib {
                     Natural settlementDays,
                     const Period& tenor, // swap maturity
                     const Handle<Quote>& fixedRate,
-                    const boost::shared_ptr<OvernightIndex>& overnightIndex)
+                    const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                    const Handle<YieldTermStructure>& discount)
     : RelativeDateRateHelper(fixedRate),
       settlementDays_(settlementDays), tenor_(tenor),
-      overnightIndex_(overnightIndex) {
+      overnightIndex_(overnightIndex), discountHandle_(discount) {
         registerWith(overnightIndex_);
+        registerWith(discountHandle_);
         initializeDates();
     }
 
@@ -51,9 +53,11 @@ namespace QuantLib {
         shared_ptr<OvernightIndex> clonedOvernightIndex =
             boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
 
+        // input discount curve Handle might be empty now but it could
+        //    be assigned a curve later; use a RelinkableHandle here
         swap_ = MakeOIS(tenor_, clonedOvernightIndex, 0.0)
-            .withSettlementDays(settlementDays_)
-            .withDiscountingTermStructure(termStructureHandle_);
+            .withDiscountingTermStructure(discountRelinkableHandle_)
+            .withSettlementDays(settlementDays_);
 
         earliestDate_ = swap_->startDate();
         latestDate_ = swap_->maturityDate();
@@ -62,9 +66,16 @@ namespace QuantLib {
     void OISRateHelper::setTermStructure(YieldTermStructure* t) {
         // do not set the relinkable handle as an observer -
         // force recalculation when needed
-        termStructureHandle_.linkTo(
-                         shared_ptr<YieldTermStructure>(t,no_deletion),
-                         false);
+        bool observer = false;
+
+        shared_ptr<YieldTermStructure> temp(t, no_deletion);
+        termStructureHandle_.linkTo(temp, observer);
+
+        if (discountHandle_.empty())
+            discountRelinkableHandle_.linkTo(temp, observer);
+        else
+            discountRelinkableHandle_.linkTo(*discountHandle_, observer);
+
         RelativeDateRateHelper::setTermStructure(t);
     }
 
@@ -88,10 +99,12 @@ namespace QuantLib {
                     const Date& startDate,
                     const Date& endDate,
                     const Handle<Quote>& fixedRate,
-                    const boost::shared_ptr<OvernightIndex>& overnightIndex)
-    : RateHelper(fixedRate) {
+                    const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                    const Handle<YieldTermStructure>& discount)
+    : RateHelper(fixedRate), discountHandle_(discount) {
 
         registerWith(overnightIndex);
+        registerWith(discountHandle_);
 
         // dummy OvernightIndex with curve/swap arguments
         // review here
@@ -100,10 +113,12 @@ namespace QuantLib {
         shared_ptr<OvernightIndex> clonedOvernightIndex =
             boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
 
-       swap_ = MakeOIS(Period(), clonedOvernightIndex, 0.0)
-           .withEffectiveDate(startDate)
-           .withTerminationDate(endDate)
-           .withDiscountingTermStructure(termStructureHandle_);
+        // input discount curve Handle might be empty now but it could
+        //    be assigned a curve later; use a RelinkableHandle here
+        swap_ = MakeOIS(Period(), clonedOvernightIndex, 0.0)
+            .withDiscountingTermStructure(discountRelinkableHandle_)
+            .withEffectiveDate(startDate)
+            .withTerminationDate(endDate);
 
         earliestDate_ = swap_->startDate();
         latestDate_ = swap_->maturityDate();
@@ -112,9 +127,16 @@ namespace QuantLib {
     void DatedOISRateHelper::setTermStructure(YieldTermStructure* t) {
         // do not set the relinkable handle as an observer -
         // force recalculation when needed
-        termStructureHandle_.linkTo(
-                         shared_ptr<YieldTermStructure>(t,no_deletion),
-                         false);
+        bool observer = false;
+
+        shared_ptr<YieldTermStructure> temp(t, no_deletion);
+        termStructureHandle_.linkTo(temp, observer);
+
+        if (discountHandle_.empty())
+            discountRelinkableHandle_.linkTo(temp, observer);
+        else
+            discountRelinkableHandle_.linkTo(*discountHandle_, observer);
+
         RateHelper::setTermStructure(t);
     }
 
diff --git a/ql/termstructures/yield/oisratehelper.hpp b/ql/termstructures/yield/oisratehelper.hpp
index 6e330b64c4..ff9fcee587 100644
--- a/ql/termstructures/yield/oisratehelper.hpp
+++ b/ql/termstructures/yield/oisratehelper.hpp
@@ -1,8 +1,8 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2009 Roland Lichters
- Copyright (C) 2009 Ferdinando Ametrano
+ Copyright (C) 2009, 2012 Roland Lichters
+ Copyright (C) 2009, 2012 Ferdinando Ametrano
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -36,7 +36,10 @@ namespace QuantLib {
         OISRateHelper(Natural settlementDays,
                       const Period& tenor, // swap maturity
                       const Handle<Quote>& fixedRate,
-                      const boost::shared_ptr<OvernightIndex>& overnightIndex);
+                      const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                      // exogenous discounting curve
+                      const Handle<YieldTermStructure>& discountingCurve
+                                            = Handle<YieldTermStructure>());
         //! \name RateHelper interface
         //@{
         Real impliedQuote() const;
@@ -59,6 +62,9 @@ namespace QuantLib {
 
         boost::shared_ptr<OvernightIndexedSwap> swap_;
         RelinkableHandle<YieldTermStructure> termStructureHandle_;
+
+        Handle<YieldTermStructure> discountHandle_;
+        RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
     };
 
     //! Rate helper for bootstrapping over Overnight Indexed Swap rates
@@ -68,7 +74,10 @@ namespace QuantLib {
                     const Date& startDate,
                     const Date& endDate,
                     const Handle<Quote>& fixedRate,
-                    const boost::shared_ptr<OvernightIndex>& overnightIndex);
+                    const boost::shared_ptr<OvernightIndex>& overnightIndex,
+                      // exogenous discounting curve
+                      const Handle<YieldTermStructure>& discountingCurve
+                                            = Handle<YieldTermStructure>());
         //! \name RateHelper interface
         //@{
         Real impliedQuote() const;
@@ -81,6 +90,9 @@ namespace QuantLib {
     protected:
         boost::shared_ptr<OvernightIndexedSwap> swap_;
         RelinkableHandle<YieldTermStructure> termStructureHandle_;
+
+        Handle<YieldTermStructure> discountHandle_;
+        RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
     };
 
 }
diff --git a/ql/time/calendars/russia.cpp b/ql/time/calendars/russia.cpp
index ea9aeb70af..aca21c41eb 100644
--- a/ql/time/calendars/russia.cpp
+++ b/ql/time/calendars/russia.cpp
@@ -37,7 +37,7 @@ namespace QuantLib {
         Month m = date.month();
         if (isWeekend(w)
             // New Year's holidays
-            || (d >= 1 && d <= 10 && m == January)
+            || (d >= 1 && d <= 8 && m == January)
             // Defender of the Fatherland Day (possibly moved to Monday)
             || ((d == 23 || ((d == 24 || d == 25) && w == Monday)) &&
                 m == February)
diff --git a/ql/time/calendars/russia.hpp b/ql/time/calendars/russia.hpp
index ff7d11dbc5..bb376daf02 100644
--- a/ql/time/calendars/russia.hpp
+++ b/ql/time/calendars/russia.hpp
@@ -29,11 +29,11 @@
 namespace QuantLib {
 
     //! Russian calendar
-    /*! Public holidays (see <http://www.rts.ru/en/>:):
+    /*! Public holidays (see <http://www.cbr.ru/eng/>:):
         <ul>
         <li>Saturdays</li>
         <li>Sundays</li>
-        <li>New Year holidays and Christmas, January 1st to 10th</li>
+        <li>New Year holidays and Christmas, January 1st to 8th</li>
         <li>Defender of the Fatherland Day, February 23rd (possibly
             moved to Monday)</li>
         <li>International Women's Day, March 8th (possibly moved to
@@ -50,7 +50,7 @@ namespace QuantLib {
       private:
         class SettlementImpl : public Calendar::WesternImpl {
           public:
-            std::string name() const { return "Russia settlement"; }
+            std::string name() const { return "Russian settlement"; }
             bool isBusinessDay(const Date&) const;
         };
       public:
diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index bfc506bafc..f894c9b21b 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -376,9 +376,14 @@ namespace QuantLib {
             }
         }
 
-        // final safety check to remove duplicated last dates, if any
-        // it can happen if EOM is applied to two near dates
-        if (dates_.back() == dates_[dates_.size()-2]) {
+        // Final safety check to remove extra next-to-last date, if
+        // necessary.  It can happen to be equal or later than the end
+        // date due to EOM adjustments (see the Schedule test suite
+        // for an example).
+        if (dates_[dates_.size()-2] >= dates_.back()) {
+            isRegular_[dates_.size()-2] =
+                (dates_[dates_.size()-2] == dates_.back());
+            dates_[dates_.size()-2] = dates_.back();
             dates_.pop_back();
             isRegular_.pop_back();
         }
@@ -389,6 +394,10 @@ namespace QuantLib {
     Schedule Schedule::until(const Date& truncationDate) const {
         Schedule result = *this;
 
+        QL_REQUIRE(truncationDate>result.dates_[0],
+                   "truncation date " << truncationDate <<
+                   " must be later than schedule first date " <<
+                   result.dates_[0]);
         if (truncationDate<result.dates_.back()) {
             // remove later dates
             while (result.dates_.back()>truncationDate) {
diff --git a/ql/userconfig.hpp b/ql/userconfig.hpp
index 19904b1c82..388828715a 100644
--- a/ql/userconfig.hpp
+++ b/ql/userconfig.hpp
@@ -47,10 +47,9 @@
 //#   define QL_ENABLE_TRACING
 #endif
 
-/* Define this if negative yield rates should be allowed. This might not be
-   safe. */
+/* Define this if negative rates should be allowed. */
 #ifndef QL_NEGATIVE_RATES
-//#   define QL_NEGATIVE_RATES
+#   define QL_NEGATIVE_RATES
 #endif
 
 /* Define this if extra safety checks should be performed. This can degrade
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index eb5b5eaaf9..4a950b7d6a 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -52,6 +52,7 @@ QL_TESTS = \
 	inflation.hpp inflation.cpp \
 	inflationcapfloor.hpp inflationcapfloor.cpp \
 	inflationcapflooredcoupon.hpp inflationcapflooredcoupon.cpp \
+    inflationcpibond.hpp inflationcpibond.cpp \
     inflationcpicapfloor.hpp inflationcpicapfloor.cpp \
 	inflationcpiswap.hpp inflationcpiswap.cpp \
 	inflationvolatility.hpp inflationvolatility.cpp \
@@ -179,12 +180,12 @@ noinst_PROGRAMS = quantlib-benchmark
 endif
 
 quantlib_test_suite_SOURCES = ${QL_TESTS}
-quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la
-quantlib_test_suite_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}
+quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la \
+                            -l${BOOST_UNIT_TEST_LIB}
 
 quantlib_benchmark_SOURCES = ${QL_BENCHMARKS}
-quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la
-quantlib_benchmark_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}
+quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la \
+                           -l${BOOST_UNIT_TEST_LIB}
 
 TESTS = quantlib-test-suite$(EXEEXT)
 TESTS_ENVIRONMENT = BOOST_TEST_LOG_LEVEL=message
diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index 070379a3c9..5e9a18cf6b 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2004, 2005 StatPro Italia srl
- Copyright (C) 2007 Ferdinando Ametrano
+ Copyright (C) 2007, 2012 Ferdinando Ametrano
  Copyright (C) 2007, 2009 Piter Dias
 
  This file is part of QuantLib, a free-software/open-source library
@@ -45,6 +45,7 @@
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
+using boost::shared_ptr;
 
 namespace {
 
@@ -154,6 +155,71 @@ void BondTest::testYield() {
     }
 }
 
+void BondTest::testAtmRate() {
+
+    BOOST_MESSAGE("Testing consistency of bond price/atmRate calculation...");
+
+    CommonVars vars;
+
+    Real tolerance = 1.0e-7;
+
+    Integer issueMonths[] = { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
+    Integer lengths[] = { 3, 5, 10, 15, 20 };
+    Natural settlementDays = 3;
+    Real coupons[] = { 0.02, 0.05, 0.08 };
+    Frequency frequencies[] = { Semiannual, Annual };
+    DayCounter bondDayCount = Thirty360();
+    BusinessDayConvention accrualConvention = Unadjusted;
+    BusinessDayConvention paymentConvention = ModifiedFollowing;
+    Real redemption = 100.0;
+    Handle<YieldTermStructure> disc(flatRate(vars.today,0.03,Actual360()));
+    shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine(disc));
+
+    for (Size i=0; i<LENGTH(issueMonths); i++) {
+      for (Size j=0; j<LENGTH(lengths); j++) {
+        for (Size k=0; k<LENGTH(coupons); k++) {
+          for (Size l=0; l<LENGTH(frequencies); l++) {
+            Date dated = vars.calendar.advance(vars.today,
+                                               issueMonths[i], Months);
+            Date issue = dated;
+            Date maturity = vars.calendar.advance(issue,
+                                                  lengths[j], Years);
+
+            Schedule sch(dated, maturity,
+                         Period(frequencies[l]), vars.calendar,
+                         accrualConvention, accrualConvention,
+                         DateGeneration::Backward, false);
+
+            FixedRateBond bond(settlementDays, vars.faceAmount, sch,
+                             std::vector<Rate>(1, coupons[k]),
+                             bondDayCount, paymentConvention,
+                             redemption, issue);
+
+            bond.setPricingEngine(bondEngine);
+            Real price = bond.cleanPrice();
+            Rate calculated = BondFunctions::atmRate(bond,
+                                                     **disc,
+                                                     bond.settlementDate(),
+                                                     price);
+
+            if (std::fabs(coupons[k]-calculated) > tolerance) {
+                  BOOST_FAIL("\natm rate recalculation failed:"
+                      "\n today:           " << vars.today <<
+                      "\n settlement date: " << bond.settlementDate() <<
+                      "\n issue:           " << issue <<
+                      "\n maturity:        " << maturity <<
+                      "\n coupon:          " << io::rate(coupons[k]) <<
+                      "\n frequency:       " << frequencies[l] <<
+                      "\n clean price:     " << price <<
+                      "\n dirty price:     " << price + bond.accruedAmount() <<
+                      "\n atm rate:        " << io::rate(calculated));
+            }
+          }
+        }
+      }
+    }
+}
+
 void BondTest::testZspread() {
 
     BOOST_MESSAGE("Testing consistency of bond price/z-spread calculation...");
@@ -277,7 +343,7 @@ void BondTest::testTheoretical() {
             Date issue = dated;
             Date maturity = vars.calendar.advance(issue, lengths[j], Years);
 
-            boost::shared_ptr<SimpleQuote> rate(new SimpleQuote(0.0));
+            shared_ptr<SimpleQuote> rate(new SimpleQuote(0.0));
             Handle<YieldTermStructure> discountCurve(flatRate(vars.today,
                                                               rate,
                                                               bondDayCount));
@@ -292,7 +358,7 @@ void BondTest::testTheoretical() {
                                bondDayCount, paymentConvention,
                                redemption, issue);
 
-            boost::shared_ptr<PricingEngine> bondEngine(
+            shared_ptr<PricingEngine> bondEngine(
                                     new DiscountingBondEngine(discountCurve));
             bond.setPricingEngine(bondEngine);
 
@@ -370,7 +436,7 @@ void BondTest::testCached() {
                         bondDayCount, ModifiedFollowing,
                         100.0, Date(1, November, 2004));
 
-    boost::shared_ptr<PricingEngine> bondEngine(
+    shared_ptr<PricingEngine> bondEngine(
                                     new DiscountingBondEngine(discountCurve));
     bond1.setPricingEngine(bondEngine);
 
@@ -576,7 +642,7 @@ void BondTest::testCachedZero() {
                          ModifiedFollowing,
                          100.0, Date(30,November,2004));
 
-    boost::shared_ptr<PricingEngine> bondEngine(
+    shared_ptr<PricingEngine> bondEngine(
                                     new DiscountingBondEngine(discountCurve));
     bond1.setPricingEngine(bondEngine);
 
@@ -661,7 +727,7 @@ void BondTest::testCachedFixed() {
                         ModifiedFollowing,
                         100.0, Date(30,November,2004));
 
-    boost::shared_ptr<PricingEngine> bondEngine(
+    shared_ptr<PricingEngine> bondEngine(
                                     new DiscountingBondEngine(discountCurve));
     bond1.setPricingEngine(bondEngine);
 
@@ -745,12 +811,12 @@ void BondTest::testCachedFloating() {
     Handle<YieldTermStructure> riskFreeRate(flatRate(today,0.025,Actual360()));
     Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));
 
-    boost::shared_ptr<IborIndex> index(new USDLibor(6*Months, riskFreeRate));
+    shared_ptr<IborIndex> index(new USDLibor(6*Months, riskFreeRate));
     Natural fixingDays = 1;
 
     Real tolerance = 1.0e-6;
 
-    boost::shared_ptr<IborCouponPricer> pricer(new
+    shared_ptr<IborCouponPricer> pricer(new
         BlackIborCouponPricer(Handle<OptionletVolatilityStructure>()));
 
     // plain
@@ -770,7 +836,7 @@ void BondTest::testCachedFloating() {
                            false,
                            100.0, Date(30,November,2004));
 
-    boost::shared_ptr<PricingEngine> bondEngine(
+    shared_ptr<PricingEngine> bondEngine(
                                      new DiscountingBondEngine(riskFreeRate));
     bond1.setPricingEngine(bondEngine);
 
@@ -802,7 +868,7 @@ void BondTest::testCachedFloating() {
                            false,
                            100.0, Date(30,November,2004));
 
-    boost::shared_ptr<PricingEngine> bondEngine2(
+    shared_ptr<PricingEngine> bondEngine2(
                                     new DiscountingBondEngine(discountCurve));
     bond2.setPricingEngine(bondEngine2);
 
@@ -951,6 +1017,7 @@ test_suite* BondTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Bond tests");
 
     suite->add(QUANTLIB_TEST_CASE(&BondTest::testYield));
+    suite->add(QUANTLIB_TEST_CASE(&BondTest::testAtmRate));
     suite->add(QUANTLIB_TEST_CASE(&BondTest::testZspread));
     suite->add(QUANTLIB_TEST_CASE(&BondTest::testTheoretical));
     suite->add(QUANTLIB_TEST_CASE(&BondTest::testCached));
diff --git a/test-suite/bonds.hpp b/test-suite/bonds.hpp
index 888b1f1b08..71ff980089 100644
--- a/test-suite/bonds.hpp
+++ b/test-suite/bonds.hpp
@@ -28,6 +28,7 @@
 class BondTest {
   public:
     static void testYield();
+    static void testAtmRate();
     static void testZspread();
     static void testTheoretical();
     static void testCached();
diff --git a/test-suite/fastfouriertransform.cpp b/test-suite/fastfouriertransform.cpp
index a63aeb2297..974a5dd8f9 100644
--- a/test-suite/fastfouriertransform.cpp
+++ b/test-suite/fastfouriertransform.cpp
@@ -24,6 +24,7 @@
 #include <ql/math/array.hpp>
 #include <complex>
 #include <vector>
+#include <functional>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -63,10 +64,13 @@ void FastFourierTransformTest::testInverse() {
     size_t nFrq = fft.output_size();
     std::vector< std::complex<Real> > ft (nFrq);
     std::vector< Real > tmp (nFrq);
+    std::complex<Real> z = std::complex<Real>();
 
     fft.inverse_transform(x.begin(), x.end(), ft.begin());
-    std::transform (ft.begin(), ft.end(), tmp.begin(), std::norm<Real>);
-    std::fill (ft.begin(), ft.end(), std::complex<Real>());
+    for (Size i=0; i<nFrq; ++i) {
+        tmp[i] = std::norm<Real>(ft[i]);
+        ft[i] = z;
+    }
     fft.inverse_transform(tmp.begin(), tmp.end(), ft.begin());
 
     // 0
diff --git a/test-suite/inflationcpibond.cpp b/test-suite/inflationcpibond.cpp
new file mode 100644
index 0000000000..8f86fd5140
--- /dev/null
+++ b/test-suite/inflationcpibond.cpp
@@ -0,0 +1,222 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011 Chris Kenyon
+ Copyright (C) 2012 StatPro Italia srl
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "inflationcpibond.hpp"
+#include "utilities.hpp"
+#include <ql/indexes/inflation/ukrpi.hpp>
+#include <ql/time/calendars/unitedkingdom.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/actual365fixed.hpp>
+#include <ql/termstructures/yield/flatforward.hpp>
+#include <ql/indexes/ibor/gbplibor.hpp>
+#include <ql/termstructures/inflation/inflationhelpers.hpp>
+#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
+#include <ql/cashflows/indexedcashflow.hpp>
+#include <ql/pricingengines/swap/discountingswapengine.hpp>
+#include <ql/instruments/zerocouponinflationswap.hpp>
+#include <ql/pricingengines/bond/discountingbondengine.hpp>
+#include <ql/cashflows/cpicoupon.hpp>
+#include <ql/cashflows/cpicouponpricer.hpp>
+#include <ql/instruments/cpiswap.hpp>
+#include <ql/instruments/bonds/cpibond.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+#include <iostream>
+
+namespace {
+
+    struct Datum {
+        Date date;
+        Rate rate;
+    };
+
+    typedef BootstrapHelper<ZeroInflationTermStructure> Helper;
+
+    std::vector<boost::shared_ptr<Helper> > makeHelpers(
+        Datum iiData[], Size N,
+        const boost::shared_ptr<ZeroInflationIndex>& ii,
+        const Period& observationLag,
+        const Calendar& calendar,
+        const BusinessDayConvention& bdc,
+        const DayCounter& dc) {
+
+        std::vector<boost::shared_ptr<Helper> > instruments;
+        for (Size i=0; i<N; i++) {
+            Date maturity = iiData[i].date;
+            Handle<Quote> quote(boost::shared_ptr<Quote>(
+                                new SimpleQuote(iiData[i].rate/100.0)));
+            boost::shared_ptr<Helper> h(
+                      new ZeroCouponInflationSwapHelper(quote, observationLag,
+                                                        maturity, calendar,
+                                                        bdc, dc, ii));
+            instruments.push_back(h);
+        }
+        return instruments;
+    }
+
+
+    struct CommonVars {
+
+        Calendar calendar;
+        BusinessDayConvention convention;
+        Date evaluationDate;
+        Period observationLag;
+        DayCounter dayCounter;
+
+        boost::shared_ptr<UKRPI> ii;
+
+        RelinkableHandle<YieldTermStructure> yTS;
+        RelinkableHandle<ZeroInflationTermStructure> cpiTS;
+
+        // cleanup
+
+        SavedSettings backup;
+        IndexHistoryCleaner cleaner;
+
+        // setup
+        CommonVars() {
+            // usual setup
+            calendar = UnitedKingdom();
+            convention = ModifiedFollowing;
+            Date today(25, November, 2009);
+            evaluationDate = calendar.adjust(today);
+            Settings::instance().evaluationDate() = evaluationDate;
+            dayCounter = ActualActual();
+
+            Date from(20, July, 2007);
+            Date to(20, November, 2009);
+            Schedule rpiSchedule =
+                MakeSchedule().from(from).to(to)
+                .withTenor(1*Months)
+                .withCalendar(UnitedKingdom())
+                .withConvention(ModifiedFollowing);
+
+            bool interp = false;
+            ii = boost::shared_ptr<UKRPI>(new UKRPI(interp, cpiTS));
+
+            Real fixData[] = {
+                206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
+                209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
+                216.5, 217.2, 218.4, 217.7, 216,
+                212.9, 210.1, 211.4, 211.3, 211.5,
+                212.8, 213.4, 213.4, 213.4, 214.4
+            };
+            for (Size i=0; i<LENGTH(fixData); ++i) {
+                ii->addFixing(rpiSchedule[i], fixData[i]);
+            }
+
+            yTS.linkTo(boost::shared_ptr<YieldTermStructure>(
+                          new FlatForward(evaluationDate, 0.05, dayCounter)));
+
+            // now build the zero inflation curve
+            observationLag = Period(2,Months);
+
+            Datum zciisData[] = {
+                { Date(25, November, 2010), 3.0495 },
+                { Date(25, November, 2011), 2.93 },
+                { Date(26, November, 2012), 2.9795 },
+                { Date(25, November, 2013), 3.029 },
+                { Date(25, November, 2014), 3.1425 },
+                { Date(25, November, 2015), 3.211 },
+                { Date(25, November, 2016), 3.2675 },
+                { Date(25, November, 2017), 3.3625 },
+                { Date(25, November, 2018), 3.405 },
+                { Date(25, November, 2019), 3.48 },
+                { Date(25, November, 2021), 3.576 },
+                { Date(25, November, 2024), 3.649 },
+                { Date(26, November, 2029), 3.751 },
+                { Date(27, November, 2034), 3.77225 },
+                { Date(25, November, 2039), 3.77 },
+                { Date(25, November, 2049), 3.734 },
+                { Date(25, November, 2059), 3.714 },
+            };
+
+            std::vector<boost::shared_ptr<Helper> > helpers =
+                makeHelpers(zciisData, LENGTH(zciisData), ii,
+                            observationLag, calendar, convention, dayCounter);
+
+            Rate baseZeroRate = zciisData[0].rate/100.0;
+            cpiTS.linkTo(boost::shared_ptr<ZeroInflationTermStructure>(
+                  new PiecewiseZeroInflationCurve<Linear>(
+                         evaluationDate, calendar, dayCounter, observationLag,
+                         ii->frequency(),ii->interpolated(), baseZeroRate,
+                         Handle<YieldTermStructure>(yTS), helpers)));
+        }
+    };
+
+}
+
+
+void InflationCPIBondTest::testCleanPrice() {
+    CommonVars common;
+
+    Real notional = 1000000.0;
+    std::vector<Rate> fixedRates(1, 0.1);
+    DayCounter fixedDayCount = Actual365Fixed();
+    BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
+    Calendar fixedPaymentCalendar = UnitedKingdom();
+    boost::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
+    Period contractObservationLag = Period(3,Months);
+    CPI::InterpolationType observationInterpolation = CPI::Flat;
+    Natural settlementDays = 3;
+    bool growthOnly = true;
+
+    Real baseCPI = 206.1;
+    // set the schedules
+    Date startDate(2, October, 2007);
+    Date endDate(2, October, 2052);
+    Schedule fixedSchedule =
+        MakeSchedule().from(startDate).to(endDate)
+                      .withTenor(Period(6,Months))
+                      .withCalendar(UnitedKingdom())
+                      .withConvention(Unadjusted)
+                      .backwards();
+
+    CPIBond bond(settlementDays, notional, growthOnly,
+                 baseCPI, contractObservationLag, fixedIndex,
+                 observationInterpolation, fixedSchedule,
+                 fixedRates, fixedDayCount, fixedPaymentConvention);
+
+    boost::shared_ptr<DiscountingBondEngine> engine(
+                                 new DiscountingBondEngine(common.yTS));
+    bond.setPricingEngine(engine);
+
+    Real storedPrice = 383.01816406;
+    Real calculated = bond.cleanPrice();
+    Real tolerance = 1.0e-8;
+    if (std::fabs(calculated-storedPrice) > tolerance) {
+        BOOST_FAIL("failed to reproduce expected CPI-bond clean price"
+                   << QL_FIXED << std::setprecision(12)
+                   << "\n  expected:   " << storedPrice
+                   << "\n  calculated: " << calculated);
+    }
+}
+
+
+test_suite* InflationCPIBondTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("CPI bond tests");
+
+    suite->add(QUANTLIB_TEST_CASE(&InflationCPIBondTest::testCleanPrice));
+
+    return suite;
+}
+
diff --git a/test-suite/inflationcpibond.hpp b/test-suite/inflationcpibond.hpp
new file mode 100644
index 0000000000..f08023c7fd
--- /dev/null
+++ b/test-suite/inflationcpibond.hpp
@@ -0,0 +1,33 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 StatPro Italia srl
+ 
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+ 
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+ 
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+ */
+
+#ifndef quantlib_test_inflationcpibond_hpp
+#define quantlib_test_inflationcpibond_hpp
+
+#include <boost/test/unit_test.hpp>
+
+class InflationCPIBondTest {
+  public:
+    static void testCleanPrice();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+
+#endif
diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
index 48b8f88d97..d6edfb37a0 100644
--- a/test-suite/inflationcpiswap.cpp
+++ b/test-suite/inflationcpiswap.cpp
@@ -105,6 +105,7 @@ namespace {
         // cleanup
 
         SavedSettings backup;
+        IndexHistoryCleaner cleaner;
 
         // setup
         CommonVars() {
diff --git a/test-suite/interpolations.cpp b/test-suite/interpolations.cpp
index b4440f446b..c3d1ce2e7c 100644
--- a/test-suite/interpolations.cpp
+++ b/test-suite/interpolations.cpp
@@ -1181,7 +1181,7 @@ void InterpolationTest::testSabrInterpolation(){
     BOOST_MESSAGE("Testing Sabr interpolation...");
 
     // Test SABR function against input volatilities
-    Real tolerance = 2.0e-13;
+    Real tolerance = 1.0e-12;
     std::vector<Real> strikes(31);
     std::vector<Real> volatilities(31);
     // input strikes
@@ -1611,6 +1611,35 @@ void InterpolationTest::testBicubicDerivatives() {
     }
 }
 
+
+void InterpolationTest::testBicubicUpdate() {
+    BOOST_MESSAGE("Testing that bicubic splines actually update...");
+
+    Size N=6;
+    std::vector<Real> x(N), y(N);
+    for (Size i=0; i < N; ++i) {
+        x[i] = y[i] = i*0.2;
+    }
+
+    Matrix f(N, N);
+    for (Size i=0; i < N; ++i)
+        for (Size j=0; j < N; ++j)
+            f[i][j] = x[j]*(x[j] + y[i]);
+
+    BicubicSpline spline(x.begin(), x.end(), y.begin(), y.end(), f);
+
+    Real old_result = spline(x[2]+0.1, y[4]);
+
+    // modify input matrix and update.
+    f[4][3] += 1.0;
+    spline.update();
+
+    Real new_result = spline(x[2]+0.1, y[4]);
+    if (std::fabs(old_result-new_result) < 0.5) {
+        BOOST_ERROR("Failed to update bicubic spline");
+    }
+}
+
 namespace {
     Real f(Real h) {
         return std::pow( 1.0 + h, 1/h);
@@ -1656,6 +1685,7 @@ void InterpolationTest::testRichardsonExtrapolation() {
     }
 }
 
+
 test_suite* InterpolationTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Interpolation tests");
 
@@ -1682,6 +1712,7 @@ test_suite* InterpolationTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(
                               &InterpolationTest::testKernelInterpolation2D));
     suite->add(QUANTLIB_TEST_CASE(&InterpolationTest::testBicubicDerivatives));
+    suite->add(QUANTLIB_TEST_CASE(&InterpolationTest::testBicubicUpdate));
     suite->add(QUANTLIB_TEST_CASE(
                             &InterpolationTest::testRichardsonExtrapolation));
 
diff --git a/test-suite/interpolations.hpp b/test-suite/interpolations.hpp
index 28505ae5e0..26f6e41c68 100644
--- a/test-suite/interpolations.hpp
+++ b/test-suite/interpolations.hpp
@@ -46,6 +46,7 @@ class InterpolationTest {
     static void testKernelInterpolation();
     static void testKernelInterpolation2D();
     static void testBicubicDerivatives();
+    static void testBicubicUpdate();
     static void testRichardsonExtrapolation();
 
     static boost::unit_test_framework::test_suite* suite();
diff --git a/test-suite/piecewiseyieldcurve.cpp b/test-suite/piecewiseyieldcurve.cpp
index 366fb6aa38..51865f2a88 100644
--- a/test-suite/piecewiseyieldcurve.cpp
+++ b/test-suite/piecewiseyieldcurve.cpp
@@ -911,6 +911,8 @@ void PiecewiseYieldCurveTest::testZeroCopy() {
 test_suite* PiecewiseYieldCurveTest::suite() {
 
     test_suite* suite = BOOST_TEST_SUITE("Piecewise yield curve tests");
+
+    // unstable
     //suite->add(QUANTLIB_TEST_CASE(
     //             &PiecewiseYieldCurveTest::testLogCubicDiscountConsistency));
     suite->add(QUANTLIB_TEST_CASE(
@@ -918,10 +920,14 @@ test_suite* PiecewiseYieldCurveTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(
                  &PiecewiseYieldCurveTest::testLinearDiscountConsistency));
 
-    #if !defined(QL_USE_INDEXED_COUPON)
+// why?
+#if !defined(QL_USE_INDEXED_COUPON)
+  // if rates can be negative it makes no sense to interpolate loglinearly
+  #if !defined(QL_NEGATIVE_RATES)
     suite->add(QUANTLIB_TEST_CASE(
-                 &PiecewiseYieldCurveTest::testLogLinearZeroConsistency));
-    #endif
+                     &PiecewiseYieldCurveTest::testLogLinearZeroConsistency));
+  #endif
+#endif
     suite->add(QUANTLIB_TEST_CASE(
                  &PiecewiseYieldCurveTest::testLinearZeroConsistency));
     suite->add(QUANTLIB_TEST_CASE(
@@ -931,6 +937,7 @@ test_suite* PiecewiseYieldCurveTest::suite() {
                  &PiecewiseYieldCurveTest::testLinearForwardConsistency));
     suite->add(QUANTLIB_TEST_CASE(
                  &PiecewiseYieldCurveTest::testFlatForwardConsistency));
+    // unstable
     //suite->add(QUANTLIB_TEST_CASE(
     //             &PiecewiseYieldCurveTest::testSplineForwardConsistency));
 
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index e6aa28008f..70a313e797 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -93,6 +93,7 @@
 #include "inflation.hpp"
 #include "inflationcapfloor.hpp"
 #include "inflationcapflooredcoupon.hpp"
+#include "inflationcpibond.hpp"
 #include "inflationcpicapfloor.hpp"
 #include "inflationcpiswap.hpp"
 #include "inflationvolatility.hpp"
@@ -272,6 +273,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(CompoundOptionTest::suite());
     test->add(ConvertibleBondTest::suite());
     test->add(CovarianceTest::suite());
+    test->add(CPISwapTest::suite());
     test->add(CreditDefaultSwapTest::suite());
     test->add(CurveStatesTest::suite());
     test->add(DateTest::suite());
@@ -295,12 +297,12 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(HestonModelTest::suite());
     test->add(HimalayaOptionTest::suite());
     test->add(HybridHestonHullWhiteProcessTest::suite());
-    test->add(InflationTest::suite());                  // in general inflation & tests
-    test->add(InflationCapFloorTest::suite());          // use indexed coupons, i.e.
-    test->add(InflationCapFlooredCouponTest::suite());  // QL_USE_INDEXED_COUPON has no effect
-    test->add(CPISwapTest::suite());                    //
-    test->add(InflationCPICapFloorTest::suite());       //
-    test->add(InflationVolTest::suite());               //
+    test->add(InflationTest::suite());
+    test->add(InflationCapFloorTest::suite());
+    test->add(InflationCapFlooredCouponTest::suite());
+    test->add(InflationCPIBondTest::suite());
+    test->add(InflationCPICapFloorTest::suite());
+    test->add(InflationVolTest::suite());
     test->add(InstrumentTest::suite());
     test->add(IntegralTest::suite());
     test->add(InterestRateTest::suite());
diff --git a/test-suite/rounding.cpp b/test-suite/rounding.cpp
index a9d014203d..cf5fd67593 100644
--- a/test-suite/rounding.cpp
+++ b/test-suite/rounding.cpp
@@ -39,6 +39,7 @@ namespace {
 
     TestCase testData[] = {
         {  0.86313513, 5,  0.86314,  0.86314,  0.86313,  0.86314,  0.86313 },
+        {  0.86313,    5,  0.86313,  0.86313,  0.86313,  0.86313,  0.86313 },
         { -7.64555346, 1, -7.6,     -7.7,     -7.6,     -7.6,     -7.6     },
         {  0.13961605, 2,  0.14,     0.14,     0.13,     0.14,     0.13    },
         {  0.14344179, 4,  0.1434,   0.1435,   0.1434,   0.1434,   0.1434  },
diff --git a/test-suite/schedule.cpp b/test-suite/schedule.cpp
index e8f7c733ce..76a840e229 100644
--- a/test-suite/schedule.cpp
+++ b/test-suite/schedule.cpp
@@ -114,10 +114,37 @@ void ScheduleTest::testEndDateWithEomAdjustment() {
 }
 
 
+void ScheduleTest::testDatesPastEndDateWithEomAdjustment() {
+    BOOST_MESSAGE(
+        "Testing that no dates are past the end date with EOM adjustment...");
+
+    Schedule s =
+        MakeSchedule().from(Date(28,March,2013))
+                      .to(Date(30,March,2015))
+                      .withCalendar(TARGET())
+                      .withTenor(1*Years)
+                      .withConvention(Unadjusted)
+                      .withTerminationDateConvention(Unadjusted)
+                      .forwards()
+                      .endOfMonth();
+
+    std::vector<Date> expected(3);
+    expected[0] = Date(31,March,2013);
+    expected[1] = Date(31,March,2014);
+    // March 31st 2015, coming from the EOM adjustment of March 28th,
+    // should be discarded as past the end date.
+    expected[2] = Date(30,March,2015);
+
+    check_dates(s, expected);
+}
+
+
 test_suite* ScheduleTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Schedule tests");
     suite->add(QUANTLIB_TEST_CASE(&ScheduleTest::testDailySchedule));
     suite->add(QUANTLIB_TEST_CASE(&ScheduleTest::testEndDateWithEomAdjustment));
+    suite->add(QUANTLIB_TEST_CASE(
+                       &ScheduleTest::testDatesPastEndDateWithEomAdjustment));
     return suite;
 }
 
diff --git a/test-suite/schedule.hpp b/test-suite/schedule.hpp
index 73e40b49a6..b0a9be8b70 100644
--- a/test-suite/schedule.hpp
+++ b/test-suite/schedule.hpp
@@ -29,6 +29,7 @@ class ScheduleTest {
   public:
     static void testDailySchedule();
     static void testEndDateWithEomAdjustment();
+    static void testDatesPastEndDateWithEomAdjustment();
     static boost::unit_test_framework::test_suite* suite();
 };
 
diff --git a/test-suite/solvers.cpp b/test-suite/solvers.cpp
index 89c4b43f0b..88a9436b0b 100644
--- a/test-suite/solvers.cpp
+++ b/test-suite/solvers.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 RiskMap srl
+ Copyright (C) 2012 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -32,25 +33,42 @@ using namespace boost::unit_test_framework;
 
 namespace {
 
-    class Foo {
+    class F1 {
       public:
         Real operator()(Real x) const { return x*x-1.0; }
         Real derivative(Real x) const { return 2.0*x; }
     };
 
-    template <class S>
-    void test(const S& solver, const std::string& name) {
+    class F2 {
+      public:
+        Real operator()(Real x) const { return 1.0-x*x; }
+        Real derivative(Real x) const { return -2.0*x; }
+    };
+
+    template <class S, class F>
+    void test_not_bracketed(const S& solver, const std::string& name,
+                            const F& f, Real guess) {
         Real accuracy[] = { 1.0e-4, 1.0e-6, 1.0e-8 };
         Real expected = 1.0;
         for (Size i=0; i<LENGTH(accuracy); i++) {
-            Real root = solver.solve(Foo(),accuracy[i],1.5,0.1);
+            Real root = solver.solve(f,accuracy[i],guess,0.1);
             if (std::fabs(root-expected) > accuracy[i]) {
-                BOOST_FAIL(name << " solver:\n"
+                BOOST_FAIL(name << " solver (not bracketed):\n"
                            << "    expected:   " << expected << "\n"
                            << "    calculated: " << root << "\n"
                            << "    accuracy:   " << accuracy[i]);
             }
-            root = solver.solve(Foo(),accuracy[i],1.5,0.0,1.0);
+        }
+    }
+
+    template <class S, class F>
+    void test_bracketed(const S& solver, const std::string& name,
+                        const F& f, Real guess) {
+        Real accuracy[] = { 1.0e-4, 1.0e-6, 1.0e-8 };
+        Real expected = 1.0;
+        for (Size i=0; i<LENGTH(accuracy); i++) {
+            // guess on the left side of the root, increasing function
+            Real root = solver.solve(f,accuracy[i],guess,0.0,2.0);
             if (std::fabs(root-expected) > accuracy[i]) {
                 BOOST_FAIL(name << " solver (bracketed):\n"
                            << "    expected:   " << expected << "\n"
@@ -60,27 +78,70 @@ namespace {
         }
     }
 
+
+    template <class S>
+    void test_solver(const S& solver, const std::string& name) {
+        // guess on the left side of the root, increasing function
+        test_not_bracketed(solver, name, F1(), 0.5);
+        test_bracketed(solver, name, F1(), 0.5);
+        // guess on the right side of the root, increasing function
+        test_not_bracketed(solver, name, F1(), 1.5);
+        test_bracketed(solver, name, F1(), 1.5);
+        // guess on the left side of the root, decreasing function
+        test_not_bracketed(solver, name, F2(), 0.5);
+        test_bracketed(solver, name, F2(), 0.5);
+        // guess on the right side of the root, decreasing function
+        test_not_bracketed(solver, name, F2(), 1.5);
+        test_bracketed(solver, name, F2(), 1.5);
+    }
+}
+
+
+void Solver1DTest::testBrent() {
+    BOOST_MESSAGE("Testing Brent solver...");
+    test_solver(Brent(),"Brent");
 }
 
+void Solver1DTest::testBisection() {
+    BOOST_MESSAGE("Testing bisection solver...");
+    test_solver(Bisection(),"Bisection");
+}
 
-void Solver1DTest::testResults() {
+void Solver1DTest::testFalsePosition() {
+    BOOST_MESSAGE("Testing false-position solver...");
+    test_solver(FalsePosition(),"FalsePosition");
+}
 
-    BOOST_MESSAGE("Testing 1-D solvers...");
+void Solver1DTest::testNewton() {
+    BOOST_MESSAGE("Testing Newton solver...");
+    test_solver(Newton(),"Newton");
+}
 
-    test(Brent(),"Brent");
-    test(Bisection(),"Bisection");
-    test(FalsePosition(),"FalsePosition");
-    test(Ridder(),"Ridder");
-    test(Secant(),"Secant");
-    test(Newton(),"Newton");
-    test(NewtonSafe(),"NewtonSafe");
+void Solver1DTest::testNewtonSafe() {
+    BOOST_MESSAGE("Testing Newton-safe solver...");
+    test_solver(NewtonSafe(),"NewtonSafe");
+}
+
+void Solver1DTest::testRidder() {
+    BOOST_MESSAGE("Testing Ridder solver...");
+    test_solver(Ridder(),"Ridder");
+}
 
+void Solver1DTest::testSecant() {
+    BOOST_MESSAGE("Testing secant solver...");
+    test_solver(Secant(),"Secant");
 }
 
 
 test_suite* Solver1DTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("1-D solver tests");
-    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testResults));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testBrent));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testBisection));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testFalsePosition));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testNewton));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testNewtonSafe));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testRidder));
+    suite->add(QUANTLIB_TEST_CASE(&Solver1DTest::testSecant));
     return suite;
 }
 
diff --git a/test-suite/solvers.hpp b/test-suite/solvers.hpp
index ecbfd07d88..5888d57d90 100644
--- a/test-suite/solvers.hpp
+++ b/test-suite/solvers.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2003 RiskMap srl
+ Copyright (C) 2012 StatPro Italia srl
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -27,7 +28,13 @@
 
 class Solver1DTest {
   public:
-    static void testResults();
+    static void testBrent();
+    static void testBisection();
+    static void testFalsePosition();
+    static void testNewton();
+    static void testNewtonSafe();
+    static void testRidder();
+    static void testSecant();
     static boost::unit_test_framework::test_suite* suite();
 };
 
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index d63114a1ca..939782b0d4 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=232
+UnitCount=234
 Type=1
 Ver=1
 ObjFiles=
@@ -2366,3 +2366,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit233]
+FileName=inflationcpibond.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit234]
+FileName=inflationcpibond.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index d907c62cec..9f0bc0e9cd 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -373,6 +373,7 @@
     <ClCompile Include="inflation.cpp" />
     <ClCompile Include="inflationcapfloor.cpp" />
     <ClCompile Include="inflationcapflooredcoupon.cpp" />
+    <ClCompile Include="inflationcpibond.cpp" />
     <ClCompile Include="inflationcpicapfloor.cpp" />
     <ClCompile Include="inflationcpiswap.cpp" />
     <ClCompile Include="inflationvolatility.cpp" />
@@ -491,6 +492,7 @@
     <ClInclude Include="inflation.hpp" />
     <ClInclude Include="inflationcapfloor.hpp" />
     <ClInclude Include="inflationcapflooredcoupon.hpp" />
+    <ClInclude Include="inflationcpibond.hpp" />
     <ClInclude Include="inflationcpicapfloor.hpp" />
     <ClInclude Include="inflationcpiswap.hpp" />
     <ClInclude Include="inflationvolatility.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 1f25125830..5e422a9e20 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -341,6 +341,9 @@
     <ClCompile Include="volatilitymodels.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="inflationcpibond.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="inflationcpicapfloor.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -695,6 +698,9 @@
     <ClInclude Include="swingoption.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="inflationcpibond.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="inflationcpicapfloor.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index 94d905d735..32229a1e89 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -599,6 +599,9 @@
 			<File
 				RelativePath=".\inflationcapflooredcoupon.cpp">
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.cpp">
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.cpp">
 			</File>
@@ -948,6 +951,9 @@
 			<File
 				RelativePath=".\inflationcapflooredcoupon.hpp">
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.hpp">
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index c430be4a95..6bbb2a6abf 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -642,6 +642,10 @@
 				RelativePath=".\inflationcapflooredcoupon.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.cpp"
 				>
@@ -1107,6 +1111,10 @@
 				RelativePath=".\inflationcapflooredcoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 47b32b6eee..5a92766c4d 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1059,6 +1059,10 @@
 				RelativePath=".\inflationcapflooredcoupon.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.cpp"
 				>
@@ -1524,6 +1528,10 @@
 				RelativePath=".\inflationcapflooredcoupon.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\inflationcpibond.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\inflationcpicapfloor.hpp"
 				>

From 124d510b271d94ca868e074e4aada8380032fcff Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Thu, 18 Oct 2012 11:18:46 +0000
Subject: [PATCH 392/410] Added experimental two-asset barrier option.

Thanks to Qingxiao Wang and Nabila Barkati from
IMAFA, Polytech'Nice Sophia.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18347 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                  |  41 ++-
 QuantLib_vc10.vcxproj                         |   4 +
 QuantLib_vc10.vcxproj.filters                 |  12 +
 QuantLib_vc7.vcproj                           |  12 +
 QuantLib_vc8.vcproj                           |  16 ++
 QuantLib_vc9.vcproj                           |  16 ++
 ql/experimental/exoticoptions/Makefile.am     |   4 +
 ql/experimental/exoticoptions/all.hpp         |   2 +
 .../analytictwoassetbarrierengine.cpp         | 244 ++++++++++++++++++
 .../analytictwoassetbarrierengine.hpp         |  99 +++++++
 .../exoticoptions/twoassetbarrieroption.cpp   |  80 ++++++
 .../exoticoptions/twoassetbarrieroption.hpp   |  76 ++++++
 test-suite/Makefile.am                        |   1 +
 test-suite/quantlibtestsuite.cpp              |   2 +
 test-suite/testsuite.dev                      |  22 +-
 test-suite/testsuite_vc10.vcxproj             |   2 +
 test-suite/testsuite_vc10.vcxproj.filters     |   6 +
 test-suite/testsuite_vc7.vcproj               |   6 +
 test-suite/testsuite_vc8.vcproj               |   8 +
 test-suite/testsuite_vc9.vcproj               |   8 +
 test-suite/twoassetbarrieroption.cpp          | 150 +++++++++++
 test-suite/twoassetbarrieroption.hpp          |  35 +++
 22 files changed, 844 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/exoticoptions/analytictwoassetbarrierengine.cpp
 create mode 100644 ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp
 create mode 100644 ql/experimental/exoticoptions/twoassetbarrieroption.cpp
 create mode 100644 ql/experimental/exoticoptions/twoassetbarrieroption.hpp
 create mode 100644 test-suite/twoassetbarrieroption.cpp
 create mode 100644 test-suite/twoassetbarrieroption.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index af40e1656d..297c5d5347 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1799
+UnitCount=1803
 Type=2
 Ver=1
 ObjFiles=
@@ -18037,3 +18037,42 @@ Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
 
+[Unit1800]
+FileName=ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1801]
+FileName=ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1802]
+FileName=ql\experimental\exoticoptions\twoassetbarrieroption.cpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1803]
+FileName=ql\experimental\exoticoptions\twoassetbarrieroption.hpp
+CompileCpp=1
+Folder=experimental/exoticoptions
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 50ee439f48..accc38e299 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1187,6 +1187,7 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp" />
@@ -1199,6 +1200,7 @@
     <ClInclude Include="ql\experimental\exoticoptions\pagodaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp" />
+    <ClInclude Include="ql\experimental\exoticoptions\twoassetbarrieroption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp" />
     <ClInclude Include="ql\experimental\credit\all.hpp" />
     <ClInclude Include="ql\experimental\credit\basket.hpp" />
@@ -1967,6 +1969,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
@@ -1978,6 +1981,7 @@
     <ClCompile Include="ql\experimental\exoticoptions\mcpagodaengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\pagodaoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp" />
+    <ClCompile Include="ql\experimental\exoticoptions\twoassetbarrieroption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\writerextensibleoption.cpp" />
     <ClCompile Include="ql\experimental\credit\basket.cpp" />
     <ClCompile Include="ql\experimental\credit\blackcdsoptionengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index 3e28d83993..eb8496de55 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -2802,6 +2802,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -2838,6 +2841,9 @@
     <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\exoticoptions\twoassetbarrieroption.hpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\writerextensibleoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -5123,6 +5129,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
@@ -5156,6 +5165,9 @@
     <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\exoticoptions\twoassetbarrieroption.cpp">
+      <Filter>experimental\exoticoptions</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\writerextensibleoption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 8db5468204..918804ca9c 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1057,6 +1057,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp">
 				</File>
@@ -1126,6 +1132,12 @@
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index a2ce7c6849..3403b2c91f 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -6730,6 +6730,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp"
 					>
@@ -6822,6 +6830,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 1b0cdc84f2..833ca2354a 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -7045,6 +7045,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\analyticsimplechooserengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp"
 					>
@@ -7137,6 +7145,14 @@
 					RelativePath=".\ql\experimental\exoticoptions\spreadoption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\exoticoptions\twoassetbarrieroption.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\exoticoptions\writerextensibleoption.cpp"
 					>
diff --git a/ql/experimental/exoticoptions/Makefile.am b/ql/experimental/exoticoptions/Makefile.am
index 3eb631473c..0f80c3448c 100644
--- a/ql/experimental/exoticoptions/Makefile.am
+++ b/ql/experimental/exoticoptions/Makefile.am
@@ -7,6 +7,7 @@ this_include_HEADERS = \
     analyticamericanmargrabeengine.hpp \
     analyticeuropeanmargrabeengine.hpp \
     analyticsimplechooserengine.hpp \
+    analytictwoassetbarrierengine.hpp \
     analyticwriterextensibleoptionengine.hpp \
     continuousarithmeticasianlevyengine.hpp \
     everestoption.hpp \
@@ -19,12 +20,14 @@ this_include_HEADERS = \
     pagodaoption.hpp \
     simplechooseroption.hpp \
     spreadoption.hpp \
+    twoassetbarrieroption.hpp \
     writerextensibleoption.hpp
 
 libExoticOptions_la_SOURCES = \
     analyticamericanmargrabeengine.cpp \
     analyticeuropeanmargrabeengine.cpp \
     analyticsimplechooserengine.cpp \
+    analytictwoassetbarrierengine.cpp \
     analyticwriterextensibleoptionengine.cpp \
     continuousarithmeticasianlevyengine.cpp \
     everestoption.cpp \
@@ -36,6 +39,7 @@ libExoticOptions_la_SOURCES = \
     mcpagodaengine.cpp \
     pagodaoption.cpp \
     simplechooseroption.cpp \
+    twoassetbarrieroption.cpp \
     writerextensibleoption.cpp
 
 noinst_LTLIBRARIES = libExoticOptions.la
diff --git a/ql/experimental/exoticoptions/all.hpp b/ql/experimental/exoticoptions/all.hpp
index b93900b0d7..f23fb54fdc 100644
--- a/ql/experimental/exoticoptions/all.hpp
+++ b/ql/experimental/exoticoptions/all.hpp
@@ -4,6 +4,7 @@
 #include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
 #include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>
+#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>
 #include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>
@@ -16,5 +17,6 @@
 #include <ql/experimental/exoticoptions/pagodaoption.hpp>
 #include <ql/experimental/exoticoptions/simplechooseroption.hpp>
 #include <ql/experimental/exoticoptions/spreadoption.hpp>
+#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
 #include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
 
diff --git a/ql/experimental/exoticoptions/analytictwoassetbarrierengine.cpp b/ql/experimental/exoticoptions/analytictwoassetbarrierengine.cpp
new file mode 100644
index 0000000000..7ef5364b07
--- /dev/null
+++ b/ql/experimental/exoticoptions/analytictwoassetbarrierengine.cpp
@@ -0,0 +1,244 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>
+#include <ql/exercise.hpp>
+#include <ql/math/distributions/normaldistribution.hpp>
+#include <ql/math/distributions/bivariatenormaldistribution.hpp>
+
+namespace QuantLib {
+
+    AnalyticTwoAssetBarrierEngine::AnalyticTwoAssetBarrierEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            const Handle<Quote>& rho)
+    : process1_(process1), process2_(process2), rho_(rho) {
+        registerWith(process1_);
+        registerWith(process2_);
+        registerWith(rho_);
+    }
+
+    void AnalyticTwoAssetBarrierEngine::calculate() const {
+        boost::shared_ptr<PlainVanillaPayoff> payoff =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff, "non-plain payoff given");
+        QL_REQUIRE(payoff->strike()>0.0,"strike must be positive");
+
+        Real strike = payoff->strike();
+        Real spot2 = process2_->x0();
+        // option is triggered by S2
+        QL_REQUIRE(spot2 >= 0.0, "negative or null underlying given");
+        QL_REQUIRE(!triggered(spot2), "barrier touched");
+
+        Barrier::Type barrierType = arguments_.barrierType;
+
+        switch (payoff->optionType()) {
+          case Option::Call:
+            switch (barrierType) {
+              case Barrier::DownOut:
+                results_.value = A(1,-1) +B(1,-1) ;
+                break;
+              case Barrier::UpOut:
+                results_.value = A(1,1) + B(1,1) ;
+                break;
+              case Barrier::DownIn:
+                results_.value = call()-(A(1,-1) +B(1,-1) );
+                break;
+              case Barrier::UpIn:
+                results_.value = call()-(A(1,1) +B(1,1));
+                break;
+            }
+            break;
+          case Option::Put:
+            switch (barrierType) {
+              case Barrier::DownOut:
+                results_.value = A(-1,-1)+B(-1,-1) ;
+                break;
+              case Barrier::UpOut:
+                results_.value = A(-1,1)+B(-1,1) ;
+                break;
+              case Barrier::DownIn:
+                results_.value = put()-(A(-1,-1) +B(-1,-1) );
+                break;
+              case Barrier::UpIn:
+                results_.value = put()-(A(-1,1) +B(-1,1) );
+                break;
+            }
+            break;
+          default:
+            QL_FAIL("unknown type");
+        }
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::underlying1() const {
+        return process1_->x0();
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::underlying2() const {
+        return process2_->x0();
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::strike() const {
+        boost::shared_ptr<PlainVanillaPayoff> payoff =
+            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
+        QL_REQUIRE(payoff, "non-plain payoff given");
+        return payoff->strike();
+    }
+
+    Time AnalyticTwoAssetBarrierEngine::residualTime() const {
+        return process1_->time(arguments_.exercise->lastDate());
+    }
+
+    Volatility AnalyticTwoAssetBarrierEngine::volatility1() const {
+        return process1_->blackVolatility()->blackVol(residualTime(), strike());
+    }
+
+    Volatility AnalyticTwoAssetBarrierEngine::volatility2() const {
+        return process2_->blackVolatility()->blackVol(residualTime(), strike());
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::barrier() const {
+        return arguments_.barrier;
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::rho() const {
+        return rho_->value();
+    }
+
+    Rate AnalyticTwoAssetBarrierEngine::riskFreeRate() const {
+        return process1_->riskFreeRate()->zeroRate(residualTime(),
+                                                   Continuous, NoFrequency);
+    }
+
+
+    Rate AnalyticTwoAssetBarrierEngine::dividendYield1() const {
+        return process1_->dividendYield()->zeroRate(residualTime(),
+                                                    Continuous, NoFrequency);
+    }
+
+    Rate AnalyticTwoAssetBarrierEngine::dividendYield2() const {
+        return process2_->dividendYield()->zeroRate(residualTime(),
+                                                    Continuous, NoFrequency);
+    }
+
+    Rate AnalyticTwoAssetBarrierEngine::costOfCarry1() const {
+        return riskFreeRate() - dividendYield1();
+    }
+
+    Rate AnalyticTwoAssetBarrierEngine::costOfCarry2() const {
+        return riskFreeRate() - dividendYield2();
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::d1() const {
+        return (std::log(underlying1()/strike())+(mu(costOfCarry1(),volatility1())+volatility1()*volatility1())*residualTime())/
+            (volatility1()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::d2() const {
+        return d1() - volatility1()*std::sqrt(residualTime());
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::d3() const {
+        return d1()+ (2*rho()*std::log(barrier()/underlying2()))/(volatility2()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::d4() const {
+        return d2()+ (2*rho()*std::log(barrier()/underlying2()))/(volatility2()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::e1() const {
+        return (std::log(barrier()/underlying2())-(mu(costOfCarry2(),volatility2())+rho()*volatility1()*volatility2())*residualTime())/
+        (volatility2()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::e2() const {
+         return e1()+rho()*volatility1()*std::sqrt(residualTime());
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::e3() const {
+            return e1()-(2*std::log(barrier()/underlying2()))/(volatility2()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::e4() const {
+        return e2()-(2*std::log(barrier()/underlying2()))/(volatility2()*std::sqrt(residualTime()));
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::mu(Real b, Real vol) const {
+        return b-(vol*vol)/2;
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::call() const {
+        CumulativeNormalDistribution nd;
+        return underlying1()*nd(d1())-strike()*std::exp(-riskFreeRate()*residualTime())*nd(d2());
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::put() const {
+        CumulativeNormalDistribution nd;
+        return strike()*std::exp(-riskFreeRate()*residualTime())*nd(-d2())-underlying1()*nd(-d1());
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::A(Real eta, Real phi) const {
+        Real S1 = underlying1(), S2 = underlying2();
+        Rate b1 = costOfCarry1(), b2 = costOfCarry2();
+        Rate r = riskFreeRate();
+        Time T = residualTime();
+        Real H = barrier(), X = strike();
+        Volatility sigma1 = volatility1(), sigma2 = volatility2();
+        Real rho = rho_->value();
+
+        Rate mu1 = b1 - sigma1*sigma1/2.0;
+        Rate mu2 = b2 - sigma2*sigma2/2.0;
+
+        Real d1 = (std::log(S1/X)+(mu1+sigma1*sigma1)*T)/
+            (sigma1*std::sqrt(T));
+        Real d2 = d1 - sigma1*std::sqrt(T);
+        Real d3 = d1 + (2*rho*std::log(H/S2))/(sigma2*std::sqrt(T));
+        Real d4 = d2 + (2*rho*std::log(H/S2))/(sigma2*std::sqrt(T));
+
+        Real e1 = (std::log(H/S2)-(mu2+rho*sigma1*sigma2)*T)/
+            (sigma2*std::sqrt(T));
+        Real e2 = e1 + rho*sigma1*std::sqrt(T);
+        Real e3 = e1 - (2*std::log(H/S2))/(sigma2*std::sqrt(T));
+        Real e4 = e2 - (2*std::log(H/S2))/(sigma2*std::sqrt(T));
+
+        Real w =
+            eta*S1*std::exp((b1-r)*T) *
+            (M(eta*d1, phi*e1,-eta*phi*rho)
+             -std::exp((2*(mu2+rho*sigma1*sigma2)*std::log(H/S2))/(sigma2*sigma2))
+             *M(eta*d3, phi*e3, -eta*phi*rho))
+
+            - eta*X*std::exp(-r*T) *
+            (M(eta*d2, phi*e2, -eta*phi*rho)
+             -std::exp((2*mu2*std::log(H/S2))/(sigma2*sigma2))*
+             M(eta*d4, phi*e4, -eta*phi*rho) ) ;
+
+        return w;
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::B(Real eta, Real phi) const {
+        return 0.0;
+    }
+
+    Real AnalyticTwoAssetBarrierEngine::M(Real m_a, Real m_b, Real rho) const {
+        BivariateCumulativeNormalDistributionDr78 f(rho);
+        return f(m_a, m_b);
+    }
+
+}
+
diff --git a/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp b/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp
new file mode 100644
index 0000000000..72334c4e32
--- /dev/null
+++ b/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp
@@ -0,0 +1,99 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file analytictwoassetbarrierengine.hpp
+    \brief Analytic engine for barrier option on two assets
+*/
+
+#ifndef quantlib_analytic_two_asset_barrier_engine_hpp
+#define quantlib_analytic_two_asset_barrier_engine_hpp
+
+#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
+#include <ql/processes/blackscholesprocess.hpp>
+
+namespace QuantLib {
+
+    //! Analytic engine for barrier option on two assets
+    /*! The formulas are taken from "Option pricing formulas",
+        E.G. Haug, McGraw-Hill,
+
+        \ingroup barrierengines
+
+        \test the correctness of the returned value is tested by
+              reproducing results available in literature.
+     */
+    class AnalyticTwoAssetBarrierEngine
+        : public TwoAssetBarrierOption::engine {
+      public:
+        AnalyticTwoAssetBarrierEngine(
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
+            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
+            const Handle<Quote>& rho);
+        void calculate() const;
+      private:
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
+        boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
+        Handle<Quote> rho_;
+
+        // helper methods
+        Real underlying1() const;
+        Real underlying2() const;
+
+        Real strike() const;
+        Time residualTime() const;
+
+        Volatility volatility1() const;
+        Volatility volatility2() const;
+
+        Real barrier() const;
+        Real rho() const;
+
+        Rate riskFreeRate() const;
+
+        Rate dividendYield1() const;
+        Rate dividendYield2() const;
+
+        Rate costOfCarry1() const;
+        Rate costOfCarry2() const;
+
+        Real mu(Real b, Real vol) const;
+
+        Real d1() const;
+        Real d2() const;
+        Real d3() const;
+        Real d4() const;
+
+        Real e1() const;
+        Real e2() const;
+        Real e3() const;
+        Real e4() const;
+
+        Real call() const;
+        Real put() const;
+
+        Real A(Real eta, Real phi) const;
+        Real B(Real eta, Real phi) const;
+
+        Real M(Real m_a, Real m_b,Real rho) const;
+    };
+
+}
+
+
+#endif
diff --git a/ql/experimental/exoticoptions/twoassetbarrieroption.cpp b/ql/experimental/exoticoptions/twoassetbarrieroption.cpp
new file mode 100644
index 0000000000..24f7aed907
--- /dev/null
+++ b/ql/experimental/exoticoptions/twoassetbarrieroption.cpp
@@ -0,0 +1,80 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
+#include <ql/exercise.hpp>
+#include <ql/event.hpp>
+
+namespace QuantLib {
+
+    TwoAssetBarrierOption::TwoAssetBarrierOption(
+                           Barrier::Type barrierType,
+                           Real barrier,
+                           const boost::shared_ptr<StrikedTypePayoff>& payoff,
+                           const boost::shared_ptr<Exercise>& exercise)
+    : Option(payoff, exercise), barrierType_(barrierType), barrier_(barrier) {}
+
+    void TwoAssetBarrierOption::setupArguments(
+                                       PricingEngine::arguments* args) const {
+        Option::setupArguments(args);
+        TwoAssetBarrierOption::arguments* moreArgs =
+            dynamic_cast<TwoAssetBarrierOption::arguments*>(args);
+        QL_REQUIRE(moreArgs != 0, "wrong argument type");
+        moreArgs->barrierType = barrierType_;
+        moreArgs->barrier = barrier_;
+    }
+    
+    bool TwoAssetBarrierOption::isExpired() const {
+        return detail::simple_event(exercise_->lastDate()).hasOccurred();
+    }
+
+    TwoAssetBarrierOption::arguments::arguments()
+    : barrierType(Barrier::Type(-1)), barrier(Null<Real>()) {}
+
+    void TwoAssetBarrierOption::arguments::validate() const {
+        Option::arguments::validate();
+
+        switch (barrierType) {
+          case Barrier::DownIn:
+          case Barrier::UpIn:
+          case Barrier::DownOut:
+          case Barrier::UpOut:
+            break;
+          default:
+            QL_FAIL("unknown type");
+        }
+
+        QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
+    }
+
+    bool TwoAssetBarrierOption::engine::triggered(Real underlying) const {
+        switch (arguments_.barrierType) {
+          case Barrier::DownIn:
+          case Barrier::DownOut:
+            return underlying < arguments_.barrier;
+          case Barrier::UpIn:
+          case Barrier::UpOut:
+            return underlying > arguments_.barrier;
+          default:
+            QL_FAIL("unknown type");
+        }
+    }
+
+}
+
diff --git a/ql/experimental/exoticoptions/twoassetbarrieroption.hpp b/ql/experimental/exoticoptions/twoassetbarrieroption.hpp
new file mode 100644
index 0000000000..99414d5695
--- /dev/null
+++ b/ql/experimental/exoticoptions/twoassetbarrieroption.hpp
@@ -0,0 +1,76 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file twoassetbarrieroption.hpp
+    \brief Barrier option on two assets
+*/
+
+#ifndef quantlib_two_asset_barrier_option_hpp
+#define quantlib_two_asset_barrier_option_hpp
+
+#include <ql/instruments/oneassetoption.hpp>
+#include <ql/instruments/barriertype.hpp>
+#include <ql/instruments/payoffs.hpp>
+
+namespace QuantLib {
+
+    class GeneralizedBlackScholesProcess;
+
+    //! %Barrier option on two assets
+    /*! \ingroup instruments */
+    class TwoAssetBarrierOption : public Option {
+      public:
+        class arguments;
+        class engine;
+        TwoAssetBarrierOption(
+                      Barrier::Type barrierType,
+                      Real barrier,
+                      const boost::shared_ptr<StrikedTypePayoff>& payoff,
+                      const boost::shared_ptr<Exercise>& exercise);
+
+        bool isExpired() const;
+        void setupArguments(PricingEngine::arguments*) const;
+      protected:
+        // arguments
+        Barrier::Type barrierType_;
+        Real barrier_;
+    };
+
+
+    //! %Arguments for two-asset %barrier %option calculation
+    class TwoAssetBarrierOption::arguments : public Option::arguments {
+      public:
+        arguments();
+        Barrier::Type barrierType;
+        Real barrier;
+        void validate() const;
+    };
+
+    //! %Two-asset barrier-option %engine base class
+    class TwoAssetBarrierOption::engine
+        : public GenericEngine<TwoAssetBarrierOption::arguments,
+                               TwoAssetBarrierOption::results> {
+      protected:
+        bool triggered(Real underlying) const;
+    };
+
+}
+
+
+#endif
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 4a950b7d6a..d25be71f2b 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -111,6 +111,7 @@ QL_TESTS = \
 	transformedgrid.hpp transformedgrid.cpp \
 	tqreigendecomposition.hpp tqreigendecomposition.cpp \
 	tracing.hpp tracing.cpp \
+	twoassetbarrieroption.hpp twoassetbarrieroption.cpp \
 	utilities.hpp utilities.cpp \
 	variancegamma.hpp variancegamma.cpp \
 	varianceoption.hpp varianceoption.cpp \
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 70a313e797..282497723a 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -150,6 +150,7 @@
 #include "tqreigendecomposition.hpp"
 #include "tracing.hpp"
 #include "transformedgrid.hpp"
+#include "twoassetbarrieroption.hpp"
 #include "variancegamma.hpp"
 #include "varianceoption.hpp"
 #include "varianceswaps.hpp"
@@ -354,6 +355,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(TqrEigenDecompositionTest::suite());
     test->add(TracingTest::suite());
     test->add(TransformedGridTest::suite());
+    test->add(TwoAssetBarrierOptionTest::suite());
     test->add(VarianceGammaTest::suite());
     test->add(VarianceOptionTest::suite());
     test->add(VarianceSwapTest::suite());
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 939782b0d4..54f8f88d24 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=234
+UnitCount=236
 Type=1
 Ver=1
 ObjFiles=
@@ -2386,3 +2386,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit235]
+FileName=twoassetbarrieroption.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit236]
+FileName=twoassetbarrieroption.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 9f0bc0e9cd..d1ba0ff2a4 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -431,6 +431,7 @@
     <ClCompile Include="tqreigendecomposition.cpp" />
     <ClCompile Include="tracing.cpp" />
     <ClCompile Include="transformedgrid.cpp" />
+    <ClCompile Include="twoassetbarrieroption.cpp" />
     <ClCompile Include="utilities.cpp" />
     <ClCompile Include="variancegamma.cpp" />
     <ClCompile Include="varianceoption.cpp" />
@@ -551,6 +552,7 @@
     <ClInclude Include="tqreigendecomposition.hpp" />
     <ClInclude Include="tracing.hpp" />
     <ClInclude Include="transformedgrid.hpp" />
+    <ClInclude Include="twoassetbarrieroption.hpp" />
     <ClInclude Include="utilities.hpp" />
     <ClInclude Include="variancegamma.hpp" />
     <ClInclude Include="varianceoption.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 5e422a9e20..88474a94b0 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -326,6 +326,9 @@
     <ClCompile Include="transformedgrid.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="twoassetbarrieroption.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="utilities.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -680,6 +683,9 @@
     <ClInclude Include="transformedgrid.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="twoassetbarrieroption.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="utilities.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index 32229a1e89..1a6a3ab9a4 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -773,6 +773,9 @@
 			<File
 				RelativePath=".\transformedgrid.cpp">
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.cpp">
+			</File>
 			<File
 				RelativePath="utilities.cpp">
 			</File>
@@ -1128,6 +1131,9 @@
 			<File
 				RelativePath=".\transformedgrid.hpp">
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.hpp">
+			</File>
 			<File
 				RelativePath="utilities.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 6bbb2a6abf..53c1c8d9d7 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -874,6 +874,10 @@
 				RelativePath=".\transformedgrid.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="utilities.cpp"
 				>
@@ -1347,6 +1351,10 @@
 				RelativePath=".\transformedgrid.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="utilities.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 5a92766c4d..0bf430d73c 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1291,6 +1291,10 @@
 				RelativePath=".\transformedgrid.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.cpp"
+				>
+			</File>
 			<File
 				RelativePath="utilities.cpp"
 				>
@@ -1764,6 +1768,10 @@
 				RelativePath=".\transformedgrid.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\twoassetbarrieroption.hpp"
+				>
+			</File>
 			<File
 				RelativePath="utilities.hpp"
 				>
diff --git a/test-suite/twoassetbarrieroption.cpp b/test-suite/twoassetbarrieroption.cpp
new file mode 100644
index 0000000000..c7f40dc19b
--- /dev/null
+++ b/test-suite/twoassetbarrieroption.cpp
@@ -0,0 +1,150 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "twoassetbarrieroption.hpp"
+#include "utilities.hpp"
+#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
+#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>
+#include <ql/time/calendars/target.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/quotes/simplequote.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+namespace {
+
+    struct OptionData {
+        Barrier::Type barrierType;
+        Option::Type type;
+        Real barrier;
+        Real strike;
+        Real s1;       // spot
+        Rate q1;       // dividend
+        Volatility v1; // volatility
+        Real s2;
+        Rate q2;
+        Volatility v2;
+        Real correlation;
+        Rate r;        // risk-free rate
+        Real result;   // result
+    };
+
+}
+
+
+void TwoAssetBarrierOptionTest::testHaugValues() {
+
+    BOOST_MESSAGE("Testing two-asset barrier options against Haug's values...");
+
+    OptionData values[] = {
+        /* The data below are from
+          "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
+        */
+        { Barrier::DownOut, Option::Call, 95, 90,
+          100.0, 0.0, 0.2, 100.0, 0.0, 0.2, 0.5, 0.08, 6.6592 },
+        { Barrier::UpOut, Option::Call, 105, 90,
+          100.0, 0.0, 0.2, 100.0, 0.0, 0.2, -0.5, 0.08, 4.6670 },
+        { Barrier::DownOut, Option::Put, 95, 90,
+          100.0, 0.0, 0.2, 100.0, 0.0, 0.2, -0.5, 0.08, 0.6184 },
+        { Barrier::UpOut, Option::Put, 105, 100,
+          100.0, 0.0, 0.2, 100.0, 0.0, 0.2, 0.0, 0.08, 0.8246 }
+    };
+
+    DayCounter dc = Actual360();
+    Calendar calendar = TARGET();
+    Date today = Date::todaysDate();
+    Date maturity = today + 180;
+    boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturity));
+
+    boost::shared_ptr<SimpleQuote> r(new SimpleQuote);
+    boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, r, dc);
+
+    boost::shared_ptr<SimpleQuote> s1(new SimpleQuote);
+    boost::shared_ptr<SimpleQuote> q1(new SimpleQuote);
+    boost::shared_ptr<YieldTermStructure> qTS1 = flatRate(today, q1, dc);
+    boost::shared_ptr<SimpleQuote> vol1(new SimpleQuote);
+    boost::shared_ptr<BlackVolTermStructure> volTS1 = flatVol(today, vol1, dc);
+
+    boost::shared_ptr<BlackScholesMertonProcess> process1(
+        new BlackScholesMertonProcess(Handle<Quote>(s1),
+                                      Handle<YieldTermStructure>(qTS1),
+                                      Handle<YieldTermStructure>(rTS),
+                                      Handle<BlackVolTermStructure>(volTS1)));
+
+    boost::shared_ptr<SimpleQuote> s2(new SimpleQuote);
+    boost::shared_ptr<SimpleQuote> q2(new SimpleQuote);
+    boost::shared_ptr<YieldTermStructure> qTS2 = flatRate(today, q2, dc);
+    boost::shared_ptr<SimpleQuote> vol2(new SimpleQuote);
+    boost::shared_ptr<BlackVolTermStructure> volTS2 = flatVol(today, vol2, dc);
+
+    boost::shared_ptr<BlackScholesMertonProcess> process2(
+        new BlackScholesMertonProcess(Handle<Quote>(s2),
+                                      Handle<YieldTermStructure>(qTS2),
+                                      Handle<YieldTermStructure>(rTS),
+                                      Handle<BlackVolTermStructure>(volTS2)));
+
+    boost::shared_ptr<SimpleQuote> rho(new SimpleQuote);
+
+    boost::shared_ptr<PricingEngine> engine(
+                       new AnalyticTwoAssetBarrierEngine(process1, process2,
+                                                         Handle<Quote>(rho)));
+
+    for (Size i=0; i<LENGTH(values); i++) {
+
+        s1->setValue(values[i].s1);
+        q1->setValue(values[i].q1);
+        vol1->setValue(values[i].v1);
+
+        s2->setValue(values[i].s2);
+        q2->setValue(values[i].q2);
+        vol2->setValue(values[i].v2);
+
+        rho->setValue(values[i].correlation);
+
+        r->setValue(values[i].r);
+
+        boost::shared_ptr<StrikedTypePayoff> payoff(
+                    new PlainVanillaPayoff(values[i].type, values[i].strike));
+
+        TwoAssetBarrierOption barrierOption(values[i].barrierType,
+                                            values[i].barrier,
+                                            payoff,
+                                            exercise);
+        barrierOption.setPricingEngine(engine);
+
+        Real calculated = barrierOption.NPV();
+        Real expected = values[i].result;
+        Real error = std::fabs(calculated-expected);
+        Real tolerance = 4.0e-3;
+        if (error > tolerance) {
+            BOOST_ERROR("failed to reproduce expected price"
+                        << "\n    expected:   " << expected
+                        << "\n    calculated: " << calculated
+                        << "\n    tolerance:  " << tolerance
+                        << "\n    error:      " << error);
+        }
+    }
+}
+
+test_suite* TwoAssetBarrierOptionTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("Two-asset barrier option tests");
+    suite->add(QUANTLIB_TEST_CASE(&TwoAssetBarrierOptionTest::testHaugValues));
+    return suite;
+}
diff --git a/test-suite/twoassetbarrieroption.hpp b/test-suite/twoassetbarrieroption.hpp
new file mode 100644
index 0000000000..c34bc68f4e
--- /dev/null
+++ b/test-suite/twoassetbarrieroption.hpp
@@ -0,0 +1,35 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_two_asset_barrier_option_hpp
+#define quantlib_test_two_asset_barrier_option_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class TwoAssetBarrierOptionTest {
+  public:
+    static void testHaugValues();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif

From 5809d5fb8dcbaeb16c2b19cf1f9d3037e75eb9b1 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Oct 2012 15:47:11 +0000
Subject: [PATCH 393/410] fixed broken test cases

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18348 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/richardsonextrapolation.cpp         | 5 +++--
 test-suite/hybridhestonhullwhiteprocess.cpp | 9 +++++----
 test-suite/interpolations.cpp               | 3 +--
 3 files changed, 9 insertions(+), 8 deletions(-)

diff --git a/ql/math/richardsonextrapolation.cpp b/ql/math/richardsonextrapolation.cpp
index f77fb3ec5b..b01e0228cc 100644
--- a/ql/math/richardsonextrapolation.cpp
+++ b/ql/math/richardsonextrapolation.cpp
@@ -57,7 +57,7 @@ namespace QuantLib {
         QL_REQUIRE(t > 1, "scaling factor must be greater than 1");
         QL_REQUIRE(n_ != Null<Real>(), "order of convergence must be known");
 
-        const Real tk = std::pow(t,n_);
+        const Real tk = std::pow(t, n_);
 
         return (tk*f_(delta_h_/t)-fdelta_h_)/(tk-1.0);
     }
@@ -65,6 +65,7 @@ namespace QuantLib {
     Real RichardsonExtrapolation::operator()(Real t, Real s)
     const {
         QL_REQUIRE(t > 1 && s > 1, "scaling factors must be greater than 1");
+        QL_REQUIRE(t > s, "t must be greater than s");
 
         const Real ft = f_(delta_h_/t);
         const Real fs = f_(delta_h_/s);
@@ -72,7 +73,7 @@ namespace QuantLib {
         const Real k = Brent().solve(RichardsonEqn(fdelta_h_, ft, fs, t, s),
                                      1e-8, 0.05, 10);
 
-        const Real ts = std::pow(s,k);
+        const Real ts = std::pow(s, k);
 
         return (ts*fs-fdelta_h_)/(ts-1.0);
     }
diff --git a/test-suite/hybridhestonhullwhiteprocess.cpp b/test-suite/hybridhestonhullwhiteprocess.cpp
index eb453d6103..5a57052ace 100644
--- a/test-suite/hybridhestonhullwhiteprocess.cpp
+++ b/test-suite/hybridhestonhullwhiteprocess.cpp
@@ -1419,6 +1419,7 @@ void HybridHestonHullWhiteProcessTest::testHestonHullWhiteCalibration() {
 }
 
 void HybridHestonHullWhiteProcessTest::testH1HWPricingEngine() {
+
     SavedSettings backup;
 
     /*
@@ -1461,11 +1462,11 @@ void HybridHestonHullWhiteProcessTest::testH1HWPricingEngine() {
     const boost::shared_ptr<HullWhite> hullWhiteModel(
         new HullWhite(Handle<YieldTermStructure>(rTS), kappa_r, sigma_r));
 
-    const Real tol = 0.00001;
+    const Real tol = 0.0001;
     const Real strikes[] = {40, 80, 100, 120, 180 };
     const Real expected[LENGTH(sigma_v)][LENGTH(strikes)]
-        = { { 0.267521, 0.235730, 0.228209, 0.223462, 0.217844 },
-            { 0.263605, 0.211616, 0.199911, 0.193473, 0.190017 } };
+        = { { 0.267503, 0.235742, 0.228223, 0.223461, 0.217855 },
+            { 0.263626, 0.211625, 0.199907, 0.193502, 0.190025 } };
 
     for (Size j=0; j < LENGTH(sigma_v); ++j) {
         const boost::shared_ptr<HestonProcess> hestonProcess(
@@ -1482,7 +1483,7 @@ void HybridHestonHullWhiteProcessTest::testH1HWPricingEngine() {
 
             const boost::shared_ptr<PricingEngine> analyticH1HWEngine(
                 new AnalyticH1HWEngine(hestonModel, hullWhiteModel,
-                                       rho_sr, 192u));
+                                       rho_sr, 144));
             option.setPricingEngine(analyticH1HWEngine);
             const Real impliedH1HW
                 = option.impliedVolatility(option.NPV(), bsProcess);
diff --git a/test-suite/interpolations.cpp b/test-suite/interpolations.cpp
index c3d1ce2e7c..6a43f0d7e0 100644
--- a/test-suite/interpolations.cpp
+++ b/test-suite/interpolations.cpp
@@ -1676,9 +1676,8 @@ void InterpolationTest::testRichardsonExtrapolation() {
     }
 
     expected = 2.721376;
-
     const Real scalingFactor2 = 4.0;
-    calculated = extrap(scalingFactor, scalingFactor2);
+    calculated = extrap(scalingFactor2, scalingFactor);
 
     if (std::fabs(expected-calculated) > tol) {
         BOOST_ERROR("failed to reproduce Richardson extrapolation");

From e6410643dcbeb79e91b8373930b8d16af232d573 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Oct 2012 16:42:00 +0000
Subject: [PATCH 394/410] refactoring of FdmMesherComposite

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18349 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/experimental/finitedifferences/Makefile.am |   6 +
 ql/experimental/finitedifferences/all.hpp     |   3 +
 .../dynprogvppintrinsicvalueengine.cpp        | 112 +++++++++
 .../dynprogvppintrinsicvalueengine.hpp        |  55 +++++
 .../fddstartlimitstepcondition.hpp            |  80 +++++++
 .../fdextoujumpvanillaengine.cpp              |  25 +-
 .../fdklugeextouspreadengine.cpp              |  26 +--
 .../fdmvppstartlimitstepcondition.cpp         |  99 ++++++++
 .../fdmvppstartlimitstepcondition.hpp         |  55 +++++
 .../finitedifferences/fdmvppstepcondition.cpp |  98 ++------
 .../finitedifferences/fdmvppstepcondition.hpp |  40 ++--
 .../fdmvppstepconditionfactory.cpp            |  91 ++++++++
 .../fdmvppstepconditionfactory.hpp            |  53 +++++
 .../fdsimpleextoujumpswingengine.cpp          |  17 +-
 .../fdsimpleextoustorageengine.cpp            |  16 +-
 .../fdsimpleklugeextouvppengine.cpp           |  98 ++++----
 .../fdsimpleklugeextouvppengine.hpp           |  16 +-
 .../finitedifferences/vanillavppoption.cpp    |  15 +-
 .../finitedifferences/vanillavppoption.hpp    |   9 +-
 .../meshers/fdmmeshercomposite.cpp            |  75 +++++-
 .../meshers/fdmmeshercomposite.hpp            |  16 ++
 .../asian/fdblackscholesasianengine.cpp       |  26 +--
 .../barrier/fdblackscholesbarrierengine.cpp   |  26 +--
 .../barrier/fdblackscholesrebateengine.cpp    |  17 +-
 .../barrier/fdhestonbarrierengine.cpp         |  29 +--
 .../barrier/fdhestonrebateengine.cpp          |  27 +--
 .../basket/fd2dblackscholesvanillaengine.cpp  |  12 +-
 .../swaption/fdg2swaptionengine.cpp           |  13 +-
 .../swaption/fdhullwhiteswaptionengine.cpp    |   9 +-
 .../vanilla/fdblackscholesvanillaengine.cpp   |  17 +-
 .../fdhestonhullwhitevanillaengine.cpp        |  62 +++--
 .../vanilla/fdhestonvanillaengine.cpp         |  27 +--
 .../vanilla/fdsimplebsswingengine.cpp         |  28 +--
 test-suite/fdmlinearop.cpp                    |   9 +-
 test-suite/vpp.cpp                            | 221 +++++++-----------
 35 files changed, 965 insertions(+), 563 deletions(-)
 create mode 100644 ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.cpp
 create mode 100644 ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp
 create mode 100644 ql/experimental/finitedifferences/fddstartlimitstepcondition.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp
 create mode 100644 ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp
 create mode 100644 ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp

diff --git a/ql/experimental/finitedifferences/Makefile.am b/ql/experimental/finitedifferences/Makefile.am
index d1870fa944..e3a88cf36c 100644
--- a/ql/experimental/finitedifferences/Makefile.am
+++ b/ql/experimental/finitedifferences/Makefile.am
@@ -4,6 +4,7 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    dynprogvppintrinsicvalueengine.hpp \
     fdextoujumpvanillaengine.hpp \
 	fdklugeextouspreadengine.hpp \
 	fdmexpextouinnervaluecalculator.hpp \
@@ -16,7 +17,9 @@ this_include_HEADERS = \
 	fdmsimple2dextousolver.hpp \
     fdmsimple3dextoujumpsolver.hpp \
 	fdmspreadpayoffinnervalue.hpp \
+	fdmvppstartlimitstepcondition.hpp \
 	fdmvppstepcondition.hpp \
+	fdmvppstepconditionfactory.hpp \
 	fdsimpleextoujumpswingengine.hpp \
     fdsimpleextoustorageengine.hpp \
 	fdsimpleklugeextouvppengine.hpp \
@@ -24,13 +27,16 @@ this_include_HEADERS = \
 	vanillavppoption.hpp
 
 libMultiDimFDM_la_SOURCES = \
+	dynprogvppintrinsicvalueengine.cpp \
     fdextoujumpvanillaengine.cpp \
 	fdklugeextouspreadengine.cpp \
 	fdmextendedornsteinuhlenbeckop.cpp \
 	fdmextoujumpop.cpp \
 	fdmextoujumpsolver.cpp \
 	fdmklugeextouop.cpp \
+	fdmvppstartlimitstepcondition.cpp \
 	fdmvppstepcondition.cpp \
+	fdmvppstepconditionfactory.cpp \
 	fdsimpleextoujumpswingengine.cpp \
     fdsimpleextoustorageengine.cpp \
     fdsimpleklugeextouvppengine.cpp \
diff --git a/ql/experimental/finitedifferences/all.hpp b/ql/experimental/finitedifferences/all.hpp
index 1fe5aa171c..2f3670e4b4 100644
--- a/ql/experimental/finitedifferences/all.hpp
+++ b/ql/experimental/finitedifferences/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>
 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
@@ -13,7 +14,9 @@
 #include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
 #include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
 #include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
 #include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
diff --git a/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.cpp b/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.cpp
new file mode 100644
index 0000000000..db39ddc94a
--- /dev/null
+++ b/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.cpp
@@ -0,0 +1,112 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file dynprogvppintrinsicvalueengine.cpp
+*/
+
+#include <ql/termstructures/yieldtermstructure.hpp>
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
+#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>
+
+
+namespace QuantLib {
+    namespace {
+        class SparkSpreadPrice : public FdmInnerValueCalculator {
+          public:
+            SparkSpreadPrice(Real heatRate,
+                             const std::vector<Real>& fuelPrices,
+                             const std::vector<Real>& powerPrices)
+            : heatRate_(heatRate),
+              fuelPrices_(fuelPrices),
+              powerPrices_(powerPrices) {}
+
+            Real innerValue(const FdmLinearOpIterator&, Time t) {
+                Size i = (Size) t;
+                QL_REQUIRE(i < powerPrices_.size(), "invalid time");
+                return powerPrices_[i] - heatRate_*fuelPrices_[i];
+            }
+            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+                return innerValue(iter, t);
+            }
+          private:
+            const Real heatRate_;
+            const std::vector<Real>& fuelPrices_;
+            const std::vector<Real>& powerPrices_;
+        };
+
+
+        class FuelPrice : public FdmInnerValueCalculator {
+          public:
+            FuelPrice(const std::vector<Real>& fuelPrices)
+            : fuelPrices_(fuelPrices) {}
+
+            Real innerValue(const FdmLinearOpIterator&, Time t) {
+                Size i = (Size) t;
+                QL_REQUIRE(i < fuelPrices_.size(), "invalid time");
+                return fuelPrices_[(Size) t]; }
+            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
+                return innerValue(iter, t);
+            }
+
+          private:
+            const std::vector<Real>& fuelPrices_;
+        };
+    }
+
+    DynProgVPPIntrinsicValueEngine::DynProgVPPIntrinsicValueEngine(
+        const std::vector<Real>& fuelPrices,
+        const std::vector<Real>& powerPrices,
+        Real fuelCostAddon,
+        const boost::shared_ptr<YieldTermStructure>& rTS)
+    : fuelPrices_   (fuelPrices),
+      powerPrices_  (powerPrices),
+      fuelCostAddon_(fuelCostAddon),
+      rTS_(rTS) {
+    }
+
+    void DynProgVPPIntrinsicValueEngine::calculate() const {
+        const boost::shared_ptr<FdmInnerValueCalculator> fuelPrice(
+            new FuelPrice(fuelPrices_));
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
+            new SparkSpreadPrice(arguments_.heatRate,fuelPrices_,powerPrices_));
+
+        const FdmVPPStepConditionFactory stepConditionFactory(arguments_);
+
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(stepConditionFactory.stateMesher()));
+
+        const FdmVPPStepConditionMesher mesh = { 0, mesher };
+
+        const boost::shared_ptr<FdmVPPStepCondition> stepCondition(
+            stepConditionFactory.build(mesh, fuelCostAddon_,
+                                       fuelPrice, sparkSpreadPrice));
+
+        Array state(mesher->layout()->dim()[0], 0.0);
+        for (Size j=powerPrices_.size(); j > 0; --j) {
+            stepCondition->applyTo(state, (Time) j-1);
+        }
+
+        results_.value = stepCondition->maxValue(state);
+    }
+}
+
diff --git a/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp b/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp
new file mode 100644
index 0000000000..19cddff556
--- /dev/null
+++ b/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp
@@ -0,0 +1,55 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file dynprogvppintrinsicvalueengine.hpp
+    \brief intrinsic value engine using dynamic programming
+*/
+
+#ifndef quantlib_dp_vpp_intrinsic_value_engine_hpp
+#define quantlib_dp_vpp_intrinsic_value_engine_hpp
+
+#include <ql/pricingengine.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
+
+namespace QuantLib {
+
+    class YieldTermStructure;
+
+    class DynProgVPPIntrinsicValueEngine
+        : public GenericEngine<VanillaVPPOption::arguments,
+                               VanillaVPPOption::results> {
+      public:
+        DynProgVPPIntrinsicValueEngine(
+            const std::vector<Real>& fuelPrices,
+            const std::vector<Real>& powerPrices,
+            Real fuelCostAddon,
+            const boost::shared_ptr<YieldTermStructure>& rTS);
+
+        void calculate() const;
+
+      private:
+        const std::vector<Real> fuelPrices_;
+        const std::vector<Real> powerPrices_;
+        const Real fuelCostAddon_;
+        const boost::shared_ptr<YieldTermStructure> rTS_;
+    };
+}
+
+#endif
+
diff --git a/ql/experimental/finitedifferences/fddstartlimitstepcondition.hpp b/ql/experimental/finitedifferences/fddstartlimitstepcondition.hpp
new file mode 100644
index 0000000000..5560290793
--- /dev/null
+++ b/ql/experimental/finitedifferences/fddstartlimitstepcondition.hpp
@@ -0,0 +1,80 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstepcondition.hpp
+    \brief VPP incl. start limit step condition for FD models
+*/
+
+#ifndef quantlib_fdm_start_limit_step_condition_hpp
+#define quantlib_fdm_start_limit_step_condition_hpp
+
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+
+#include <boost/function.hpp>
+#include <boost/shared_ptr.hpp>
+#include <vector>
+
+namespace QuantLib {
+    class FdmMesher;
+    class FdmLinearOpIterator;
+    class FdmInnerValueCalculator;
+
+    class FdmStartLimitStepCondition : public StepCondition<Array> {
+      public:
+        FdmStartLimitStepCondition(
+            Real heatRate,
+            Real pMin, Real pMax,
+            Size tMinUp, Size tMinDown,
+            Size nStarts,
+            Real startUpFuel, Real startUpFixCost,
+            Real carbonPrice,
+            Size stateDirection,
+            const boost::shared_ptr<FdmMesher>& mesher,
+            const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+            const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
+
+        Size nStates() const;
+        void applyTo(Array& a, Time t) const;
+
+      private:
+        Real evolveAtPMin(Real sparkSpread) const;
+        Real evolveAtPMax(Real sparkSpread) const;
+
+        Real evolve(const FdmLinearOpIterator& iter, Time t) const;
+        Disposable<Array> changeState(Real gasPrice,
+                                      const Array& state, Time t) const;
+
+        const Real heatRate_;
+        const Real pMin_, pMax_;
+        const Size tMinUp_, tMinDown_;
+        const Size nStarts_;
+        const Real startUpFuel_, startUpFixCost_;
+        const Real carbonPrice_;
+        const Size stateDirection_;
+
+        const boost::shared_ptr<FdmMesher> mesher_;
+        const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
+        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice_;
+
+        const Size nStates_;
+        std::vector<boost::function<Real (Real)> > stateEvolveFcts_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
index 94e055c8c7..228c246cd2 100644
--- a/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
+++ b/ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp
@@ -53,15 +53,7 @@ namespace QuantLib {
     }
                       
     void FdExtOUJumpVanillaEngine::calculate() const {
-        // 1. Layout
-
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                            new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const Time maturity 
             = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
                                               arguments_.exercise->lastDate());
@@ -76,27 +68,24 @@ namespace QuantLib {
                                         process_->jumpIntensity(),
                                         process_->eta()));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(yMesher);
-        const boost::shared_ptr<FdmMesher> mesher (
-                                   new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(xMesher, yMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                     new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher));
 
-        // 4. Step conditions
+        // 3. Step conditions
         const boost::shared_ptr<FdmStepConditionComposite> conditions =
             FdmStepConditionComposite::vanillaComposite(
                                 DividendSchedule(), arguments_.exercise, 
                                 mesher, calculator, 
                                 rTS_->referenceDate(), rTS_->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
         
-        // 6. set-up solver
+        // 5. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                     calculator, maturity, tGrid_, 0 };
 
diff --git a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
index 16bf4e7daf..4737420753 100644
--- a/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
+++ b/ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp
@@ -55,15 +55,7 @@ namespace QuantLib {
     }
 
     void FdKlugeExtOUSpreadEngine::calculate() const {
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid_);
-        dim.push_back(uGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                            new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const Time maturity
             = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
                                               arguments_.exercise->lastDate());
@@ -85,14 +77,10 @@ namespace QuantLib {
                                          klugeOUProcess_->getExtOUProcess(),
                                          maturity));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(yMesher);
-        meshers.push_back(uMesher);
-        const boost::shared_ptr<FdmMesher> mesher (
-                                   new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(xMesher, yMesher, uMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         boost::shared_ptr<BasketPayoff> basketPayoff =
             boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
         QL_REQUIRE(basketPayoff," basket payoff expected");
@@ -110,17 +98,17 @@ namespace QuantLib {
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
             new FdmSpreadPayoffInnerValue(basketPayoff, powerPrice, gasPrice));
 
-        // 4. Step conditions
+        // 3. Step conditions
         const boost::shared_ptr<FdmStepConditionComposite> conditions =
             FdmStepConditionComposite::vanillaComposite(
                                 DividendSchedule(), arguments_.exercise,
                                 mesher, calculator,
                                 rTS_->referenceDate(), rTS_->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
 
-        // 6. set-up solver
+        // 5. set-up solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity, tGrid_, 0 };
 
diff --git a/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.cpp
new file mode 100644
index 0000000000..e4d7791959
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.cpp
@@ -0,0 +1,99 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011, 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstartlimitstepcondition.cpp
+*/
+
+#include <ql/math/array.hpp>
+#include <ql/math/functional.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
+#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
+
+
+namespace QuantLib {
+
+    FdmVPPStartLimitStepCondition::FdmVPPStartLimitStepCondition(
+        const FdmVPPStepConditionParams& params,
+        Size nStarts,
+        const FdmVPPStepConditionMesher& mesh,
+        const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+        const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice)
+    : FdmVPPStepCondition(params,
+                          nStates(params.tMinUp, params.tMinDown, nStarts),
+                          mesh, gasPrice, sparkSpreadPrice),
+      nStarts_(nStarts) {
+        QL_REQUIRE(tMinUp_ > 0,   "minimum up time must be greater than one");
+        QL_REQUIRE(tMinDown_ > 0, "minimum down time must be greater than one");
+    }
+
+    Disposable<Array> FdmVPPStartLimitStepCondition::changeState(
+        const Real gasPrice, const Array& state, Time t) const {
+        const Real startUpCost
+                = startUpFixCost_ + (gasPrice + fuelCostAddon_)*startUpFuel_;
+
+        Array retVal(state.size());
+        const Size sss = 2*tMinUp_ + tMinDown_;
+
+        for (Size i=0; i < nStates_; ++i) {
+            const Size j = i % sss;
+
+            if (j < tMinUp_-1) {
+                retVal[i] = std::max(state[i+1], state[tMinUp_+i+1]);
+            }
+            else if (j == tMinUp_-1) {
+                retVal[i] = std::max(state[i+tMinUp_+1],
+                                     std::max(state[i], state[i+tMinUp_]));
+            }
+            else if (j < 2*tMinUp_) {
+                retVal[i] = retVal[i-tMinUp_];
+            }
+            else if (j <  2*tMinUp_+tMinDown_-1) {
+                retVal[i] = state[i+1];
+            }
+            else if (nStarts_ == Null<Size>()) {
+                retVal[i] = std::max(state[i],
+                    std::max(state.front(), state[tMinUp_]) - startUpCost);
+
+            }
+            else if (i >= sss) {
+                retVal[i] = std::max(state[i],
+                    std::max(state[i+1-2*sss], state[i+1-2*sss+tMinUp_])
+                            - startUpCost);
+            }
+            else {
+                retVal[i] = state[i];
+            }
+        }
+
+        return retVal;
+    }
+
+    Size FdmVPPStartLimitStepCondition::nStates(Size tMinUp, Size tMinDown,
+                                                Size nStarts) {
+        return (2*tMinUp+tMinDown)*((nStarts == Null<Size>())? 1 : nStarts+1);
+    }
+
+    Real FdmVPPStartLimitStepCondition::maxValue(const Array& states) const {
+        return *std::max_element(states.begin(), states.end());
+    }
+
+}
diff --git a/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp b/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp
new file mode 100644
index 0000000000..c0563ebe5d
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp
@@ -0,0 +1,55 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2011, 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstartlimitstepcondition.hpp
+    \brief VPP incl start limit step condition for FD models
+*/
+
+#ifndef quantlib_fdm_vpp_start_limit_step_condition_hpp
+#define quantlib_fdm_vpp_start_limit_step_condition_hpp
+
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+
+#include <boost/function.hpp>
+#include <boost/shared_ptr.hpp>
+#include <vector>
+
+namespace QuantLib {
+
+    class FdmVPPStartLimitStepCondition : public FdmVPPStepCondition {
+      public:
+        FdmVPPStartLimitStepCondition(
+            const FdmVPPStepConditionParams& params,
+            Size nStarts,
+            const FdmVPPStepConditionMesher& mesh,
+            const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+            const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
+
+        static Size nStates(Size tMinUp, Size tMinDown, Size nStarts);
+        Real maxValue(const Array& states) const;
+
+      private:
+        Disposable<Array> changeState(Real gasPrice,
+                                      const Array& state, Time t) const;
+
+        const Size nStarts_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
index 21d9d8864e..7db3c8c2c3 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2011 Klaus Spanderen
+ Copyright (C) 2011, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file fdmvppstatetransitionmatrix.cpp
+/*! \file fdmvppstepcondition.cpp
 */
 
 #include <ql/math/array.hpp>
@@ -32,47 +32,37 @@
 
 namespace QuantLib {
     FdmVPPStepCondition::FdmVPPStepCondition(
-        Real heatRate,
-        Real pMin, Real pMax,
-        Size tMinUp, Size tMinDown,
-        Size nStarts,
-        Real startUpFuel, Real startUpFixCost,
-        Real carbonPrice,
-        Size stateDirection,
-        const boost::shared_ptr<FdmMesher>& mesher,
+        const FdmVPPStepConditionParams& params,
+        Size nStates,
+        const FdmVPPStepConditionMesher& mesh,
         const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
         const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice)
-    : heatRate_        (heatRate),
-      pMin_            (pMin),
-      pMax_            (pMax),
-      tMinUp_          (tMinUp),
-      tMinDown_        (tMinDown),
-      nStarts_         (nStarts),
-      startUpFuel_     (startUpFuel),
-      startUpFixCost_  (startUpFixCost),
-      carbonPrice_     (carbonPrice),
-      stateDirection_  (stateDirection),
-      mesher_          (mesher),
+    : heatRate_        (params.heatRate),
+      pMin_            (params.pMin),
+      pMax_            (params.pMax),
+      tMinUp_          (params.tMinUp),
+      tMinDown_        (params.tMinDown),
+      startUpFuel_     (params.startUpFuel),
+      startUpFixCost_  (params.startUpFixCost),
+      fuelCostAddon_   (params.fuelCostAddon),
+      stateDirection_  (mesh.stateDirection),
+      nStates_         (nStates),
+      mesher_          (mesh.mesher),
       gasPrice_        (gasPrice),
       sparkSpreadPrice_(sparkSpreadPrice),
-      nStates_         ((2*tMinUp + tMinDown)
-                          *((nStarts == Null<Size>()) ? 1 : nStarts+1)),
       stateEvolveFcts_ (nStates_) {
 
-        QL_REQUIRE(tMinUp_ > 1,   "minimum up time must be greater than one");
-        QL_REQUIRE(tMinDown_ > 1, "minimum down time must be greater than one");
-        QL_REQUIRE(stateEvolveFcts_.size() ==
-                   mesher_->layout()->dim()[stateDirection_],
+        QL_REQUIRE(nStates_ == mesher_->layout()->dim()[stateDirection_],
                    "mesher does not fit to vpp arguments");
 
         for (Size i=0; i < nStates_; ++i) {
-            const Size j = i % (2*tMinUp + tMinDown);
+            const Size j = i % (2*tMinUp_ + tMinDown_);
 
-            if (j < tMinUp) {
+            if (j < tMinUp_) {
                 stateEvolveFcts_[i] = boost::function<Real (Real)>(
                     boost::bind(&FdmVPPStepCondition::evolveAtPMin,this, _1));
             }
-            else if (j < 2*tMinUp){
+            else if (j < 2*tMinUp_){
                 stateEvolveFcts_[i] = boost::function<Real (Real)>(
                     boost::bind(&FdmVPPStepCondition::evolveAtPMax,this, _1));
             }
@@ -113,7 +103,7 @@ namespace QuantLib {
     }
 
     Real FdmVPPStepCondition::evolve(
-                               const FdmLinearOpIterator& iter, Time t) const {
+        const FdmLinearOpIterator& iter, Time t) const {
 
         const Size state = iter.coordinates()[stateDirection_];
 
@@ -126,54 +116,12 @@ namespace QuantLib {
         }
     }
 
-    Disposable<Array> FdmVPPStepCondition::changeState(
-                        const Real gasPrice, const Array& state, Time t) const {
-        const Real startUpCost
-                = startUpFixCost_ + (gasPrice + carbonPrice_)*startUpFuel_;
-
-        Array retVal(state.size());
-        const Size sss = 2*tMinUp_ + tMinDown_;
-        const Size n = sss * (nStarts_ == Null<Size>() ? 1 : nStarts_+1);
-
-        for (Size i=0; i < n; ++i) {
-            const Size j = i % sss;
-
-            if (j < tMinUp_-1) {
-                retVal[i] = std::max(state[i+1], state[tMinUp_+i+1]);
-            }
-            else if (j == tMinUp_-1) {
-                retVal[i] = std::max(state[i+tMinUp_+1],
-                                     std::max(state[i], state[i+tMinUp_]));
-            }
-            else if (j < 2*tMinUp_) {
-                retVal[i] = retVal[i-tMinUp_];
-            }
-            else if (j <  2*tMinUp_+tMinDown_-1) {
-                retVal[i] = state[i+1];
-            }
-            else if (nStarts_ == Null<Size>()) {
-                retVal[i] = std::max(state[i],
-                    std::max(state.front(), state[tMinUp_]) - startUpCost);
-
-            }
-            else if (i >= sss) {
-                retVal[i] = std::max(state[i],
-                    std::max(state[i+1-2*sss], state[i+1-2*sss+tMinUp_])
-                            - startUpCost);
-            }
-            else {
-                retVal[i] = state[i];
-            }
-        }
-
-        return retVal;
-    }
 
     Real FdmVPPStepCondition::evolveAtPMin(Real sparkSpread) const {
-        return pMin_*(sparkSpread - heatRate_*carbonPrice_);
+        return pMin_*(sparkSpread - heatRate_*fuelCostAddon_);
     }
 
     Real FdmVPPStepCondition::evolveAtPMax(Real sparkSpread) const {
-        return pMax_*(sparkSpread - heatRate_*carbonPrice_);
+        return pMax_*(sparkSpread - heatRate_*fuelCostAddon_);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
index 3ff26a2b42..42000d63a0 100644
--- a/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
+++ b/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2011 Klaus Spanderen
+ Copyright (C) 2011, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -35,44 +35,54 @@ namespace QuantLib {
     class FdmLinearOpIterator;
     class FdmInnerValueCalculator;
 
+    struct FdmVPPStepConditionParams {
+        const Real heatRate;
+        const Real pMin; const Real pMax;
+        const Size tMinUp; const Size tMinDown;
+        const Real startUpFuel; const Real startUpFixCost;
+        const Real fuelCostAddon;
+    };
+
+    struct FdmVPPStepConditionMesher {
+        const Size stateDirection;
+        const boost::shared_ptr<FdmMesher> mesher;
+    };
+
     class FdmVPPStepCondition : public StepCondition<Array> {
       public:
         FdmVPPStepCondition(
-            Real heatRate,
-            Real pMin, Real pMax,
-            Size tMinUp, Size tMinDown,
-            Size nStarts,
-            Real startUpFuel, Real startUpFixCost,
-            Real carbonPrice,
-            Size stateDirection,
-            const boost::shared_ptr<FdmMesher>& mesher,
+            const FdmVPPStepConditionParams& params,
+            Size nStates,
+            const FdmVPPStepConditionMesher& mesh,
             const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
             const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
 
         Size nStates() const;
         void applyTo(Array& a, Time t) const;
 
-      private:
+        virtual Real maxValue(const Array& states) const = 0;
+
+      protected:
         Real evolveAtPMin(Real sparkSpread) const;
         Real evolveAtPMax(Real sparkSpread) const;
 
         Real evolve(const FdmLinearOpIterator& iter, Time t) const;
-        Disposable<Array> changeState(Real gasPrice,
-                                      const Array& state, Time t) const;
+
+        virtual Disposable<Array> changeState(
+            Real gasPrice, const Array& state, Time t) const = 0;
 
         const Real heatRate_;
         const Real pMin_, pMax_;
         const Size tMinUp_, tMinDown_;
-        const Size nStarts_;
         const Real startUpFuel_, startUpFixCost_;
-        const Real carbonPrice_;
+        const Real fuelCostAddon_;
         const Size stateDirection_;
+        const Size nStates_;
 
         const boost::shared_ptr<FdmMesher> mesher_;
         const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
         const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice_;
 
-        const Size nStates_;
         std::vector<boost::function<Real (Real)> > stateEvolveFcts_;
     };
 }
diff --git a/ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp b/ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp
new file mode 100644
index 0000000000..054b246f91
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp
@@ -0,0 +1,91 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstepconditionfactory.cpp
+*/
+
+#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
+
+namespace QuantLib {
+
+    FdmVPPStepConditionFactory::FdmVPPStepConditionFactory(
+        const VanillaVPPOption::arguments& args)
+    : args_(args) {
+        QL_REQUIRE(!(   args_.nStarts       != Null<Size>()
+                     && args_.nRunningHours != Null<Size>()),
+                   "start and running hour limt together is not supported");
+
+        if (   args_.nRunningHours == Null<Size>()
+            && args_.nStarts == Null<Size>()) {
+            type_ = Vanilla;
+        }
+        else if (args_.nRunningHours == Null<Size>()) {
+            type_ = StartLimit;
+        }
+        else {
+            type_ = RunningHourLimit;
+        }
+    }
+
+    boost::shared_ptr<Fdm1dMesher>
+    FdmVPPStepConditionFactory::stateMesher() const {
+        Size nStates;
+        switch (type_) {
+          case Vanilla:
+            nStates = 2*args_.tMinUp + args_.tMinDown;
+            break;
+          case StartLimit:
+            nStates = FdmVPPStartLimitStepCondition::nStates(
+                       args_.tMinUp,args_.tMinDown, args_.nStarts);
+            break;
+          default:
+            QL_FAIL("vpp type is not supported");
+        }
+
+        return boost::shared_ptr<Fdm1dMesher>(
+            new Uniform1dMesher(0.0, 1.0, nStates));
+    }
+
+    boost::shared_ptr<FdmVPPStepCondition> FdmVPPStepConditionFactory::build(
+        const FdmVPPStepConditionMesher& mesh,
+        Real fuelCostAddon,
+        const boost::shared_ptr<FdmInnerValueCalculator>& fuel,
+        const boost::shared_ptr<FdmInnerValueCalculator>& spark) const {
+
+        const FdmVPPStepConditionParams params = {
+            args_.heatRate, args_.pMin, args_.pMax,
+            args_.tMinUp, args_.tMinDown,
+            args_.startUpFuel, args_.startUpFixCost,
+            fuelCostAddon
+        };
+
+        switch (type_) {
+          case Vanilla:
+          case StartLimit:
+              return boost::shared_ptr<FdmVPPStepCondition>(
+                  new FdmVPPStartLimitStepCondition(params, args_.nStarts,
+                          mesh, fuel, spark));
+              break;
+          default:
+            QL_FAIL("vpp type is not supported");
+        }
+    }
+}
diff --git a/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp b/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp
new file mode 100644
index 0000000000..5420c43c09
--- /dev/null
+++ b/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp
@@ -0,0 +1,53 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Klaus Spanderen
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file fdmvppstepconditionfactory.hpp
+    \brief factory for VPP step conditions for FD models
+*/
+
+#ifndef quantlib_fdm_vpp_step_condition_factory_hpp
+#define quantlib_fdm_vpp_step_condition_factory_hpp
+
+#include <ql/math/array.hpp>
+#include <ql/methods/finitedifferences/stepcondition.hpp>
+#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+
+namespace QuantLib {
+    class Fdm1dMesher;
+
+    class FdmVPPStepConditionFactory {
+      public:
+        FdmVPPStepConditionFactory(const VanillaVPPOption::arguments& args);
+
+        boost::shared_ptr<Fdm1dMesher> stateMesher() const;
+        boost::shared_ptr<FdmVPPStepCondition> build(
+            const FdmVPPStepConditionMesher& mesh,
+            Real fuelCostAddon,
+            const boost::shared_ptr<FdmInnerValueCalculator>& fuel,
+            const boost::shared_ptr<FdmInnerValueCalculator>& spark) const;
+
+      private:
+        enum Type { Vanilla, StartLimit, RunningHourLimit } type_;
+
+        const VanillaVPPOption::arguments args_;
+    };
+}
+
+#endif
diff --git a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
index db9d560a7f..a617407593 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp
@@ -55,19 +55,12 @@ namespace QuantLib {
 
     void FdSimpleExtOUJumpSwingEngine::calculate() const {
 
+        // 1. Exercise
         boost::shared_ptr<SwingExercise> swingExercise(
             boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
 
         QL_REQUIRE(swingExercise, "Swing exercise supported only");
 
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid_);
-        dim.push_back(arguments_.maxExerciseRights+1);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                            new FdmLinearOpLayout(dim));
-
         // 2. Mesher
         const std::vector<Time> exerciseTimes
             = swingExercise->exerciseTimes(rTS_->dayCounter(),
@@ -88,12 +81,8 @@ namespace QuantLib {
                        new Uniform1dMesher(0, arguments_.maxExerciseRights,
                                               arguments_.maxExerciseRights+1));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(yMesher);
-        meshers.push_back(exerciseMesher);
-        const boost::shared_ptr<FdmMesher> mesher (
-                                   new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(xMesher, yMesher, exerciseMesher));
 
         // 3. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
diff --git a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
index cafebb0419..7a97971a19 100644
--- a/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp
@@ -74,17 +74,10 @@ namespace QuantLib {
 
     void FdSimpleExtOUStorageEngine::calculate() const {
 
+        // 1. Exercise
         QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
                    "Bermudan exercise supported only");
 
-        // 1. Layout
-        const Size yGrid = Size(arguments_.capacity/arguments_.changeRate+1);
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
-
         // 2. Mesher
         const Time maturity
             = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
@@ -97,11 +90,8 @@ namespace QuantLib {
             new Uniform1dMesher(0, arguments_.capacity,
                                 Size(arguments_.capacity/arguments_.changeRate+1)));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(storageMesher);
-        boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher (
+            new FdmMesherComposite(xMesher, storageMesher));
 
         // 3. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> storageCalculator(
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index ff384215e5..a55202ab12 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -35,12 +35,13 @@
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
 #include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
-#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
+#include <boost/assign/list_of.hpp>
 #include <list>
 
 namespace QuantLib {
@@ -51,16 +52,16 @@ namespace QuantLib {
           public:
             FdmSparkSpreadInnerValue(
                 const boost::shared_ptr<BasketPayoff>& basketPayoff,
-                const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
+                const boost::shared_ptr<FdmInnerValueCalculator>& fuelPrice,
                 const boost::shared_ptr<FdmInnerValueCalculator>& powerPrice)
             : basketPayoff_(basketPayoff),
-              gasPrice_(gasPrice),
+              fuelPrice_(fuelPrice),
               powerPrice_(powerPrice) { }
 
             Real innerValue(const FdmLinearOpIterator& iter, Time t) {
                 Array s(2);
                 s[0] = powerPrice_->innerValue(iter, t);
-                s[1] = gasPrice_->innerValue(iter, t);
+                s[1] = fuelPrice_->innerValue(iter, t);
 
                 return (*basketPayoff_)(s);
             }
@@ -70,7 +71,7 @@ namespace QuantLib {
 
           private:
             const boost::shared_ptr<BasketPayoff> basketPayoff_;
-            const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
+            const boost::shared_ptr<FdmInnerValueCalculator> fuelPrice_;
             const boost::shared_ptr<FdmInnerValueCalculator> powerPrice_;
         };
     }
@@ -79,21 +80,21 @@ namespace QuantLib {
     FdSimpleKlugeExtOUVPPEngine::FdSimpleKlugeExtOUVPPEngine(
         const boost::shared_ptr<KlugeExtOUProcess>& process,
         const boost::shared_ptr<YieldTermStructure>& rTS,
-        Real carbonPrice,
-        Size tGrid, Size xGrid, Size yGrid, Size gGrid,
-        const boost::shared_ptr<Shape>& gasShape,
+        const boost::shared_ptr<Shape>& fuelShape,
         const boost::shared_ptr<Shape>& powerShape,
+        Real fuelCostAddon,
+        Size tGrid, Size xGrid, Size yGrid, Size gGrid,
         const FdmSchemeDesc& schemeDesc)
-    : process_    (process),
-      rTS_        (rTS),
-      carbonPrice_(carbonPrice),
-      gasShape_   (gasShape),
-      powerShape_ (powerShape),
-      tGrid_      (tGrid),
-      xGrid_      (xGrid),
-      yGrid_      (yGrid),
-      gGrid_      (gGrid),
-      schemeDesc_ (schemeDesc) {
+    : process_      (process),
+      rTS_          (rTS),
+      fuelCostAddon_(fuelCostAddon),
+      fuelShape_     (fuelShape),
+      powerShape_   (powerShape),
+      tGrid_        (tGrid),
+      xGrid_        (xGrid),
+      yGrid_        (yGrid),
+      gGrid_        (gGrid),
+      schemeDesc_   (schemeDesc) {
     }
 
     void FdSimpleKlugeExtOUVPPEngine::calculate() const {
@@ -103,19 +104,9 @@ namespace QuantLib {
 
         QL_REQUIRE(swingExercise, "Swing exercise supported only");
 
-        const Size nStates = (arguments_.nStarts == Null<Size>())
-            ? 2*arguments_.tMinUp + arguments_.tMinDown
-            : (arguments_.nStarts+1)*(2*arguments_.tMinUp+arguments_.tMinDown);
-
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid_);
-        dim.push_back(gGrid_);
-        dim.push_back(nStates);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-            new FdmLinearOpLayout(dim));
+        const FdmVPPStepConditionFactory stepConditionFactory(arguments_);
 
+        // 1. Exercise definition
         const std::vector<Time> exerciseTimes
             = swingExercise->exerciseTimes(rTS_->dayCounter(),
                                            rTS_->referenceDate());
@@ -142,15 +133,10 @@ namespace QuantLib {
                                          process_->getExtOUProcess(),maturity));
 
         const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
-            new Uniform1dMesher(0.0, nStates-1.0, nStates));
+            stepConditionFactory.stateMesher());
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(yMesher);
-        meshers.push_back(gMesher);
-        meshers.push_back(exerciseMesher);
         const boost::shared_ptr<FdmMesher> mesher (
-            new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(xMesher, yMesher, gMesher, exerciseMesher));
 
         // 3. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> zeroInnerValue(
@@ -159,9 +145,9 @@ namespace QuantLib {
         const boost::shared_ptr<Payoff> zeroStrikeCall(
             new PlainVanillaPayoff(Option::Call, 0.0));
 
-        const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(
+        const boost::shared_ptr<FdmInnerValueCalculator> fuelPrice(
             new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
-                                                mesher, gasShape_, 2));
+                                                mesher, fuelShape_, 2));
 
         const boost::shared_ptr<FdmInnerValueCalculator> powerPrice(
             new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
@@ -169,7 +155,7 @@ namespace QuantLib {
         const boost::shared_ptr<FdmInnerValueCalculator> sparkSpread(
             new FdmSparkSpreadInnerValue(
                 boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff),
-                gasPrice, powerPrice));
+                fuelPrice, powerPrice));
 
         // 4. Step conditions
         std::list<std::vector<Time> > stoppingTimes;
@@ -177,18 +163,16 @@ namespace QuantLib {
 
         // 4.1 Bermudan step conditions
         stoppingTimes.push_back(exerciseTimes);
-        stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
-            new FdmVPPStepCondition(arguments_.heatRate,
-                                    arguments_.pMin, arguments_.pMax,
-                                    arguments_.tMinUp, arguments_.tMinDown,
-                                    arguments_.nStarts,
-                                    arguments_.startUpFuel,
-                                    arguments_.startUpFixCost,
-                                    carbonPrice_, 3,
-                                    mesher, gasPrice, sparkSpread)));
+        const FdmVPPStepConditionMesher mesh = { 3u, mesher };
         
-        boost::shared_ptr<FdmStepConditionComposite> conditions(
-                new FdmStepConditionComposite(stoppingTimes, stepConditions));
+        const boost::shared_ptr<FdmVPPStepCondition> stepCondition(
+            stepConditionFactory.build(mesh, fuelCostAddon_,
+                                       fuelPrice, sparkSpread));
+
+        stepConditions.push_back(stepCondition);
+
+        const boost::shared_ptr<FdmStepConditionComposite> conditions(
+            new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
         // 5. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
@@ -207,13 +191,17 @@ namespace QuantLib {
         x[2] = process_->initialValues()[2];
         
         const Real tol = 1e-8;
-        Array results(2*arguments_.tMinUp + arguments_.tMinDown);
+        const Real maxExerciseValue = exerciseMesher->locations().back();
+        const Real minExerciseValue = exerciseMesher->locations().front();
+
+        Array results(exerciseMesher->size());
         for (Size i=0; i < results.size(); ++i) {
 
-            x[3] = std::max(tol, std::min(
-                (Real) (nStates-results.size()+i), nStates-1-tol));
+            x[3] = std::max(minExerciseValue + tol,
+                            std::min(exerciseMesher->location(i),
+                                     maxExerciseValue - tol));
             results[i] = solver->valueAt(x);
         }
-        results_.value = *std::max_element(results.begin(), results.end());
+        results_.value = stepCondition->maxValue(results);
     }
 }
diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
index 81726455d0..8d4cce3952 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2011 Klaus Spanderen
+ Copyright (C) 2011, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,7 +18,7 @@
 */
 
 /*! \file fdsimpleextoujumpswingengine.hpp
-    \brief Finite Differences engine for simple swing options
+    \brief Finite Differences engine for simple vpp options
 */
 
 #ifndef quantlib_fd_simple_kluge_ou_vpp_engine_hpp
@@ -45,13 +45,11 @@ namespace QuantLib {
         FdSimpleKlugeExtOUVPPEngine(
             const boost::shared_ptr<KlugeExtOUProcess>& process,
             const boost::shared_ptr<YieldTermStructure>& rTS,
-            Real carbonPrice,
+            const boost::shared_ptr<Shape>& fuelShape,
+            const boost::shared_ptr<Shape>& powerShape,
+            Real fuelCostAddon,
             Size tGrid = 1 , Size xGrid = 50,
             Size yGrid = 10, Size gGrid = 20,
-            const boost::shared_ptr<Shape>& gasShape
-                                                = boost::shared_ptr<Shape>(),
-            const boost::shared_ptr<Shape>& powerShape
-                                                = boost::shared_ptr<Shape>(),
             const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
         void calculate() const;
@@ -59,8 +57,8 @@ namespace QuantLib {
       private:
         const boost::shared_ptr<KlugeExtOUProcess> process_;
         const boost::shared_ptr<YieldTermStructure> rTS_;
-        const Real carbonPrice_;
-        const boost::shared_ptr<Shape> gasShape_;
+        const Real fuelCostAddon_;
+        const boost::shared_ptr<Shape> fuelShape_;
         const boost::shared_ptr<Shape> powerShape_;
         const Size tGrid_, xGrid_, yGrid_, gGrid_;
         const FdmSchemeDesc schemeDesc_;
diff --git a/ql/experimental/finitedifferences/vanillavppoption.cpp b/ql/experimental/finitedifferences/vanillavppoption.cpp
index b18cc1a550..41ca9714ab 100644
--- a/ql/experimental/finitedifferences/vanillavppoption.cpp
+++ b/ql/experimental/finitedifferences/vanillavppoption.cpp
@@ -41,17 +41,17 @@ namespace QuantLib {
         Real heatRate,
         Real pMin, Real pMax,
         Size tMinUp, Size tMinDown,
-        Size nStarts,
         Real startUpFuel, Real startUpFixCost,
-        const boost::shared_ptr<SwingExercise>& exercise)
+        const boost::shared_ptr<SwingExercise>& exercise,
+        Size nStarts, Size nRunningHours)
     : MultiAssetOption(boost::shared_ptr<Payoff>(), exercise),
       heatRate_(heatRate),
       pMin_(pMin), pMax_(pMax),
       tMinUp_(tMinUp), tMinDown_(tMinDown),
-      nStarts_(nStarts),
       startUpFuel_(startUpFuel),
-      startUpFixCost_(startUpFixCost) {
-
+      startUpFixCost_(startUpFixCost),
+      nStarts_(nStarts),
+      nRunningHours_(nRunningHours) {
         Array weigths(2);
         weigths[0] = 1.0; weigths[1] = -heatRate;
 
@@ -61,6 +61,8 @@ namespace QuantLib {
 
     void VanillaVPPOption::arguments::validate() const {
         QL_REQUIRE(exercise, "no exercise given");
+        QL_REQUIRE(nStarts == Null<Size>() || nRunningHours == Null<Size>(),
+                "either a start limit or fuel limit is supported");
     }
 
     void VanillaVPPOption::setupArguments(
@@ -77,9 +79,10 @@ namespace QuantLib {
         arguments->pMax           = pMax_;
         arguments->tMinUp         = tMinUp_;
         arguments->tMinDown       = tMinDown_;
-        arguments->nStarts        = nStarts_;
         arguments->startUpFuel    = startUpFuel_;
         arguments->startUpFixCost = startUpFixCost_;
+        arguments->nStarts        = nStarts_;
+        arguments->nRunningHours  = nRunningHours_;
     }
 
     bool VanillaVPPOption::isExpired() const {
diff --git a/ql/experimental/finitedifferences/vanillavppoption.hpp b/ql/experimental/finitedifferences/vanillavppoption.hpp
index 114d7330a1..21e868eb5a 100644
--- a/ql/experimental/finitedifferences/vanillavppoption.hpp
+++ b/ql/experimental/finitedifferences/vanillavppoption.hpp
@@ -36,9 +36,10 @@ namespace QuantLib {
         VanillaVPPOption(Real heatRate,
                          Real pMin, Real pMax,
                          Size tMinUp, Size tMinDown,
-                         Size nStarts,
                          Real startUpFuel, Real startUpFixCost,
-                         const boost::shared_ptr<SwingExercise>& exercise);
+                         const boost::shared_ptr<SwingExercise>& exercise,
+                         Size nStarts = Null<Size>(),
+                         Size nRunningHours = Null<Size>());
 
         bool isExpired() const;
         void setupArguments(PricingEngine::arguments*) const;
@@ -47,8 +48,8 @@ namespace QuantLib {
         const Real heatRate_;
         const Real pMin_, pMax_;
         const Size tMinUp_, tMinDown_;
-        const Size nStarts_;
         const Real startUpFuel_, startUpFixCost_;
+        const Size nStarts_, nRunningHours_;
     };
 
     class VanillaVPPOption::arguments
@@ -60,8 +61,8 @@ namespace QuantLib {
         Real heatRate;
         Real pMin, pMax;
         Size tMinUp, tMinDown;
-        Size nStarts;
         Real startUpFuel, startUpFixCost;
+        Size nStarts, nRunningHours;
     };
 }
 
diff --git a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
index b0b693aa31..9a80cdbd5c 100644
--- a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
+++ b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp
@@ -22,8 +22,82 @@
 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 
+#include <boost/assign/list_of.hpp>
+
 namespace QuantLib {
 
+    namespace {
+        typedef boost::shared_ptr<Fdm1dMesher> T;
+
+        std::vector<T> build_vector(const T& m1) {
+            return std::vector<T>(1, m1);
+        }
+
+        std::vector<T> build_vector(const T& m1, const T& m2) {
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
+                = boost::assign::list_of(m1)(m2);
+            return retVal;
+        }
+
+        std::vector<T> build_vector(const T& m1, const T& m2, const T& m3) {
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
+                = boost::assign::list_of(m1)(m2)(m3);
+            return retVal;
+        }
+
+        std::vector<T> build_vector(const T& m1, const T& m2,
+                                    const T& m3, const T& m4) {
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
+                = boost::assign::list_of(m1)(m2)(m3)(m4);
+            return retVal;
+        }
+
+        boost::shared_ptr<FdmLinearOpLayout> getLayoutFromMeshers(
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > & meshers) {
+                std::vector<Size> dim(meshers.size());
+                for (Size i=0; i < dim.size(); ++i) {
+                    dim[i] = meshers[i]->size();
+                }
+            return boost::shared_ptr<FdmLinearOpLayout>(
+                new FdmLinearOpLayout(dim));
+        }
+    }
+
+    FdmMesherComposite::FdmMesherComposite(
+        const boost::shared_ptr<Fdm1dMesher>& mesher)
+    : FdmMesher(getLayoutFromMeshers(build_vector(mesher))),
+      mesher_(build_vector(mesher)) {
+    }
+
+
+    FdmMesherComposite::FdmMesherComposite(
+        const boost::shared_ptr<Fdm1dMesher>& m1,
+        const boost::shared_ptr<Fdm1dMesher>& m2)
+    : FdmMesher(getLayoutFromMeshers(build_vector(m1, m2))),
+      mesher_(build_vector(m1, m2)) {
+    }
+
+    FdmMesherComposite::FdmMesherComposite(
+        const boost::shared_ptr<Fdm1dMesher>& m1,
+        const boost::shared_ptr<Fdm1dMesher>& m2,
+        const boost::shared_ptr<Fdm1dMesher>& m3)
+    : FdmMesher(getLayoutFromMeshers(build_vector(m1, m2, m3))),
+      mesher_(build_vector(m1, m2, m3)) {
+    }
+
+    FdmMesherComposite::FdmMesherComposite(
+        const boost::shared_ptr<Fdm1dMesher>& m1,
+        const boost::shared_ptr<Fdm1dMesher>& m2,
+        const boost::shared_ptr<Fdm1dMesher>& m3,
+        const boost::shared_ptr<Fdm1dMesher>& m4)
+    : FdmMesher(getLayoutFromMeshers(build_vector(m1, m2, m3, m4))),
+      mesher_(build_vector(m1, m2, m3, m4)) {
+    }
+    FdmMesherComposite::FdmMesherComposite(
+        const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
+    : FdmMesher(getLayoutFromMeshers(mesher)), mesher_(mesher) {
+    }
+
     FdmMesherComposite::FdmMesherComposite(
         const boost::shared_ptr<FdmLinearOpLayout>& layout,
         const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
@@ -34,7 +108,6 @@ namespace QuantLib {
         }
     }
 
-
     Real FdmMesherComposite::dplus(const FdmLinearOpIterator& iter,
                                    Size direction) const {
         return mesher_[direction]->dplus(iter.coordinates()[direction]);
diff --git a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
index 3c5ee0ba48..019db8c49b 100644
--- a/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
+++ b/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp
@@ -38,6 +38,22 @@ namespace QuantLib {
             const boost::shared_ptr<FdmLinearOpLayout>& layout,
             const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher);
 
+        // convenient constructors
+        explicit FdmMesherComposite(
+            const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher);
+        explicit FdmMesherComposite(
+            const boost::shared_ptr<Fdm1dMesher>& mesher);
+        FdmMesherComposite(const boost::shared_ptr<Fdm1dMesher>& m1,
+                           const boost::shared_ptr<Fdm1dMesher>& m2);
+        FdmMesherComposite(const boost::shared_ptr<Fdm1dMesher>& m1,
+                           const boost::shared_ptr<Fdm1dMesher>& m2,
+                           const boost::shared_ptr<Fdm1dMesher>& m3);
+        FdmMesherComposite(const boost::shared_ptr<Fdm1dMesher>& m1,
+                           const boost::shared_ptr<Fdm1dMesher>& m2,
+                           const boost::shared_ptr<Fdm1dMesher>& m3,
+                           const boost::shared_ptr<Fdm1dMesher>& m4);
+
+
         Real dplus(const FdmLinearOpIterator& iter, Size direction) const;
         Real dminus(const FdmLinearOpIterator& iter, Size direction) const;
         Real location(const FdmLinearOpIterator& iter, Size direction) const;
diff --git a/ql/pricingengines/asian/fdblackscholesasianengine.cpp b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
index 3b8b38a9bd..4b15b5ea8b 100644
--- a/ql/pricingengines/asian/fdblackscholesasianengine.cpp
+++ b/ql/pricingengines/asian/fdblackscholesasianengine.cpp
@@ -51,14 +51,7 @@ namespace QuantLib {
                    || arguments_.pastFixings > 0,
                    "Running average requires at least one past fixing");
 
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(aGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         const Time maturity = process_->time(arguments_.exercise->lastDate());
@@ -69,21 +62,18 @@ namespace QuantLib {
             new FdmBlackScholesMesher(aGrid_, process_, maturity,
                                       payoff->strike()));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(averageMesher);
-        boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher (
+            new FdmMesherComposite(equityMesher, averageMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(payoff, mesher, 1));
 
-        // 4. Step conditions
+        // 3. Step conditions
         std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
         std::list<std::vector<Time> > stoppingTimes;
 
-        // 4.1 Arithmetic average step conditions
+        // 3.1 Arithmetic average step conditions
         std::vector<Time> averageTimes;
         for (Size i=0; i<arguments_.fixingDates.size(); ++i) {
             Time t = process_->time(arguments_.fixingDates[i]);
@@ -99,10 +89,10 @@ namespace QuantLib {
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity, tGrid_, 0 };
         boost::shared_ptr<FdmSimple2dBSSolver> solver(
diff --git a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
index 5c9e8ecb09..5b37c801da 100644
--- a/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
@@ -49,13 +49,7 @@ namespace QuantLib {
 
     void FdBlackScholesBarrierEngine::calculate() const {
 
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         const Time maturity = process_->time(arguments_.exercise->lastDate());
@@ -75,20 +69,18 @@ namespace QuantLib {
             new FdmBlackScholesMesher(xGrid_, process_, maturity,
                                       payoff->strike(), xMin, xMax));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher (
+            new FdmMesherComposite(equityMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(payoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
         std::list<std::vector<Time> > stoppingTimes;
 
-        // 4.1 Step condition if discrete dividends
+        // 3.1 Step condition if discrete dividends
         boost::shared_ptr<FdmDividendHandler> dividendCondition(
             new FdmDividendHandler(arguments_.cashFlow, mesher,
                                    process_->riskFreeRate()->referenceDate(),
@@ -105,7 +97,7 @@ namespace QuantLib {
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
@@ -122,7 +114,7 @@ namespace QuantLib {
                                          FdmDirichletBoundary::Upper)));
         }
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
                                      maturity, tGrid_, dampingSteps_ };
 
@@ -138,7 +130,7 @@ namespace QuantLib {
         results_.gamma = solver->gammaAt(spot);
         results_.theta = solver->thetaAt(spot);
 
-        // 7. Calculate vanilla option and rebate for in-barriers
+        // 6. Calculate vanilla option and rebate for in-barriers
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::UpIn) {
             // Cast the payoff
diff --git a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
index bda886689c..6ffe111d23 100644
--- a/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdblackscholesrebateengine.cpp
@@ -46,11 +46,7 @@ namespace QuantLib {
 
     void FdBlackScholesRebateEngine::calculate() const {
 
-        // 1. Layout
-        std::vector<Size> dim(1, xGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         const Time maturity = process_->time(arguments_.exercise->lastDate());
@@ -70,17 +66,16 @@ namespace QuantLib {
             new FdmBlackScholesMesher(xGrid_, process_, maturity,
                                       payoff->strike(), xMin, xMax));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers(1, equityMesher);
         const boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher));
         
-        // 3. Calculator
+        // 2. Calculator
         const boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
                 new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(rebatePayoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "only european style option are supported");
         
@@ -91,7 +86,7 @@ namespace QuantLib {
                                 process_->riskFreeRate()->referenceDate(),
                                 process_->riskFreeRate()->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         FdmBoundaryConditionSet  boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
@@ -107,7 +102,7 @@ namespace QuantLib {
                                          FdmDirichletBoundary::Upper)));
         }
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
                                      maturity, tGrid_, dampingSteps_ };
 
diff --git a/ql/pricingengines/barrier/fdhestonbarrierengine.cpp b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
index 367cc2c53f..76f23e136a 100644
--- a/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonbarrierengine.cpp
@@ -47,23 +47,17 @@ namespace QuantLib {
 
     void FdHestonBarrierEngine::calculate() const {
 
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(vGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<HestonProcess>& process = model_->process();
         const Time maturity = process->time(arguments_.exercise->lastDate());
 
-        // 2.1 The variance mesher
+        // 1.1 The variance mesher
         const Size tGridMin = 5;
         const boost::shared_ptr<FdmHestonVarianceMesher> varianceMesher(
-            new FdmHestonVarianceMesher(layout->dim()[1], process, maturity,
+            new FdmHestonVarianceMesher(vGrid_, process, maturity,
                                         std::max(tGridMin, tGrid_/50)));
 
-        // 2.2 The equity mesher
+        // 1.2 The equity mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
 
@@ -86,21 +80,18 @@ namespace QuantLib {
                     process->riskFreeRate(), varianceMesher->volaEstimate()),
                 maturity, payoff->strike(), xMin, xMax));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(varianceMesher);
         const boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher, varianceMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(payoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
         std::list<std::vector<Time> > stoppingTimes;
 
-        // 4.1 Step condition if discrete dividends
+        // 3.1 Step condition if discrete dividends
         boost::shared_ptr<FdmDividendHandler> dividendCondition(
             new FdmDividendHandler(arguments_.cashFlow, mesher,
                                    process->riskFreeRate()->referenceDate(),
@@ -117,7 +108,7 @@ namespace QuantLib {
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
@@ -133,7 +124,7 @@ namespace QuantLib {
                                          FdmDirichletBoundary::Upper)));
         }
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity,
                                      tGrid_, dampingSteps_ };
diff --git a/ql/pricingengines/barrier/fdhestonrebateengine.cpp b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
index 5738b801ea..8b418e7b52 100644
--- a/ql/pricingengines/barrier/fdhestonrebateengine.cpp
+++ b/ql/pricingengines/barrier/fdhestonrebateengine.cpp
@@ -45,23 +45,17 @@ namespace QuantLib {
 
     void FdHestonRebateEngine::calculate() const {
 
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(vGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<HestonProcess>& process = model_->process();
         const Time maturity = process->time(arguments_.exercise->lastDate());
 
-        // 2.1 The variance mesher
+        // 1.1 The variance mesher
         const Size tGridMin = 5;
         const boost::shared_ptr<FdmHestonVarianceMesher> varianceMesher(
-            new FdmHestonVarianceMesher(layout->dim()[1], process, maturity,
+            new FdmHestonVarianceMesher(vGrid_, process, maturity,
                                         std::max(tGridMin, tGrid_/50)));
 
-        // 2.2 The equity mesher
+        // 1.2 The equity mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
 
@@ -84,19 +78,16 @@ namespace QuantLib {
                     process->riskFreeRate(), varianceMesher->volaEstimate()),
                 maturity, payoff->strike(), xMin, xMax));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(varianceMesher);
         const boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher, varianceMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         const boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
                 new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                 new FdmLogInnerValue(rebatePayoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                    "only european style option are supported");
 
@@ -107,7 +98,7 @@ namespace QuantLib {
                                  process->riskFreeRate()->referenceDate(),
                                  process->riskFreeRate()->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         FdmBoundaryConditionSet boundaries;
         if (   arguments_.barrierType == Barrier::DownIn
             || arguments_.barrierType == Barrier::DownOut) {
@@ -123,7 +114,7 @@ namespace QuantLib {
                                          FdmDirichletBoundary::Upper)));
         }
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity,
                                      tGrid_, dampingSteps_ };
diff --git a/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
index 840cbb5ccd..9a6a5d6bc9 100644
--- a/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp
@@ -44,12 +44,7 @@ namespace QuantLib {
     }
 
     void Fd2dBlackScholesVanillaEngine::calculate() const {
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(yGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
+        // 1. Payoff
         const boost::shared_ptr<BasketPayoff> payoff =
             boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
 
@@ -67,11 +62,8 @@ namespace QuantLib {
                     Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                     std::pair<Real, Real>(p2_->x0(), 0.1)));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(em1);
-        meshers.push_back(em2);
         const boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(em1, em2));
 
         // 3. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
diff --git a/ql/pricingengines/swaption/fdg2swaptionengine.cpp b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
index 0fa57d5a6b..557a838efd 100644
--- a/ql/pricingengines/swaption/fdg2swaptionengine.cpp
+++ b/ql/pricingengines/swaption/fdg2swaptionengine.cpp
@@ -51,13 +51,9 @@ namespace QuantLib {
     }
 
     void FdG2SwaptionEngine::calculate() const {
-        const Handle<YieldTermStructure> ts = model_->termStructure();
 
-        // 1. Layout
-        std::vector<Size> dims;
-        dims.push_back(xGrid_); dims.push_back(yGrid_);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-            new FdmLinearOpLayout(dims));
+        // 1. Term structure
+        const Handle<YieldTermStructure> ts = model_->termStructure();
 
         // 2. Mesher
         const DayCounter dc = ts->dayCounter();
@@ -77,11 +73,8 @@ namespace QuantLib {
         const boost::shared_ptr<Fdm1dMesher> yMesher(
             new FdmSimpleProcess1dMesher(yGrid_,process2,maturity,1,invEps_));
 
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(xMesher);
-        meshers.push_back(yMesher);
         const boost::shared_ptr<FdmMesher> mesher(
-            new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(xMesher, yMesher));
 
         // 3. Inner Value Calculator
         const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
diff --git a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
index 50966c71fa..b9b451c5a4 100644
--- a/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
+++ b/ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp
@@ -51,12 +51,9 @@ namespace QuantLib {
     }
 
     void FdHullWhiteSwaptionEngine::calculate() const {
+        // 1. Term structure
         const Handle<YieldTermStructure> ts = model_->termStructure();
 
-        // 1. Layout
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-            new FdmLinearOpLayout(std::vector<Size>(1u, xGrid_)));
-
         // 2. Mesher
         const DayCounter dc = ts->dayCounter();
         const Date referenceDate = ts->referenceDate();
@@ -71,9 +68,7 @@ namespace QuantLib {
             new FdmSimpleProcess1dMesher(xGrid_, process, maturity,1,invEps_));
 
         const boost::shared_ptr<FdmMesher> mesher(
-            new FdmMesherComposite(layout,
-                std::vector<boost::shared_ptr<Fdm1dMesher> >(
-                    1, shortRateMesher)));
+            new FdmMesherComposite(shortRateMesher));
 
         // 3. Inner Value Calculator
         const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
diff --git a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
index 2533d93abc..7f8109a495 100644
--- a/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
@@ -47,11 +47,7 @@ namespace QuantLib {
 
     void FdBlackScholesVanillaEngine::calculate() const {
 
-        // 1. Layout
-        std::vector<Size> dim(1, xGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
 
@@ -62,15 +58,14 @@ namespace QuantLib {
                     Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                     std::pair<Real, Real>(payoff->strike(), 0.1)));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers(1, equityMesher);
         const boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher));
         
-        // 3. Calculator
+        // 2. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                       new FdmLogInnerValue(payoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         const boost::shared_ptr<FdmStepConditionComposite> conditions = 
             FdmStepConditionComposite::vanillaComposite(
                                     arguments_.cashFlow, arguments_.exercise, 
@@ -78,10 +73,10 @@ namespace QuantLib {
                                     process_->riskFreeRate()->referenceDate(),
                                     process_->riskFreeRate()->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
                                      maturity, tGrid_, dampingSteps_ };
 
diff --git a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
index d3e0fadeab..033f473bc1 100644
--- a/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
@@ -55,36 +55,29 @@ namespace QuantLib {
 
     void FdHestonHullWhiteVanillaEngine::calculate() const {
   
-        // cache lookup for precalculated results
-         for (Size i=0; i < cachedArgs2results_.size(); ++i) {
-             if (   cachedArgs2results_[i].first.exercise->type() 
-                         == arguments_.exercise->type()
-                 && cachedArgs2results_[i].first.exercise->dates()
-                         == arguments_.exercise->dates()) {
-                 boost::shared_ptr<PlainVanillaPayoff> p1 =
-                     boost::dynamic_pointer_cast<PlainVanillaPayoff>(
-                                                             arguments_.payoff);
-                 boost::shared_ptr<PlainVanillaPayoff> p2 =
-                     boost::dynamic_pointer_cast<PlainVanillaPayoff>(
-                                           cachedArgs2results_[i].first.payoff);
-                 
-                 if (p1 && p1->strike()     == p2->strike() 
-                        && p1->optionType() == p2->optionType()) {
-                     QL_REQUIRE(arguments_.cashFlow.empty(),
-                                "multiple strikes engine does "
-                                "not work with discrete dividends");
-                     results_ = cachedArgs2results_[i].second;
-                     return;
-                 }
-             }
-         }
-       
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(vGrid_);
-        dim.push_back(rGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
+        // 1. cache lookup for precalculated results
+        for (Size i=0; i < cachedArgs2results_.size(); ++i) {
+            if (   cachedArgs2results_[i].first.exercise->type()
+                        == arguments_.exercise->type()
+                && cachedArgs2results_[i].first.exercise->dates()
+                        == arguments_.exercise->dates()) {
+                boost::shared_ptr<PlainVanillaPayoff> p1 =
+                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
+                                                            arguments_.payoff);
+                boost::shared_ptr<PlainVanillaPayoff> p2 =
+                    boost::dynamic_pointer_cast<PlainVanillaPayoff>(
+                                          cachedArgs2results_[i].first.payoff);
+
+                if (p1 && p1->strike()     == p2->strike()
+                       && p1->optionType() == p2->optionType()) {
+                    QL_REQUIRE(arguments_.cashFlow.empty(),
+                               "multiple strikes engine does "
+                               "not work with discrete dividends");
+                    results_ = cachedArgs2results_[i].second;
+                    return;
+                }
+            }
+        }
 
         // 2. Mesher
         const boost::shared_ptr<HestonProcess> hestonProcess=model_->process();
@@ -93,7 +86,7 @@ namespace QuantLib {
         // 2.1 The variance mesher
         const Size tGridMin = 5;
         const boost::shared_ptr<FdmHestonVarianceMesher> varianceMesher(
-            new FdmHestonVarianceMesher(layout->dim()[1], hestonProcess, 
+            new FdmHestonVarianceMesher(vGrid_, hestonProcess,
                                         maturity,std::max(tGridMin,tGrid_/50)));
 
         // 2.2 The equity mesher
@@ -134,12 +127,9 @@ namespace QuantLib {
         const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
                    new FdmSimpleProcess1dMesher(rGrid_, ouProcess, maturity));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(varianceMesher);
-        meshers.push_back(shortRateMesher);
         const boost::shared_ptr<FdmMesher> mesher(
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher, varianceMesher,
+                                   shortRateMesher));
 
         // 3. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
diff --git a/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
index 67a42d57de..0f77a620dc 100644
--- a/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
+++ b/ql/pricingengines/vanilla/fdhestonvanillaengine.cpp
@@ -47,23 +47,17 @@ namespace QuantLib {
 
 
     FdmSolverDesc FdHestonVanillaEngine::getSolverDesc(Real scaleFactor) const {
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(vGrid_);
-        boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
-
-        // 2. Mesher
+        // 1. Mesher
         const boost::shared_ptr<HestonProcess> process = model_->process();
         const Time maturity = process->time(arguments_.exercise->lastDate());
 
-        // 2.1 The variance mesher
+        // 1.1 The variance mesher
         const Size tGridMin = 5;
         const boost::shared_ptr<FdmHestonVarianceMesher> varianceMesher(
-            new FdmHestonVarianceMesher(layout->dim()[1], process, 
+            new FdmHestonVarianceMesher(vGrid_, process,
                                         maturity,std::max(tGridMin,tGrid_/50)));
 
-        // 2.2 The equity mesher
+        // 1.2 The equity mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
 
@@ -92,17 +86,14 @@ namespace QuantLib {
                     std::pair<Real, Real>(payoff->strike(), 0.075)));            
         }
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(varianceMesher);
         const boost::shared_ptr<FdmMesher> mesher(
-                                     new FdmMesherComposite(layout, meshers));
+            new FdmMesherComposite(equityMesher, varianceMesher));
 
-        // 3. Calculator
+        // 2. Calculator
         const boost::shared_ptr<FdmInnerValueCalculator> calculator(
                           new FdmLogInnerValue(arguments_.payoff, mesher, 0));
 
-        // 4. Step conditions
+        // 3. Step conditions
         const boost::shared_ptr<FdmStepConditionComposite> conditions = 
              FdmStepConditionComposite::vanillaComposite(
                                  arguments_.cashFlow, arguments_.exercise, 
@@ -110,10 +101,10 @@ namespace QuantLib {
                                  process->riskFreeRate()->referenceDate(),
                                  process->riskFreeRate()->dayCounter());
 
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
 
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity,
                                      tGrid_, dampingSteps_ };
diff --git a/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
index 679fe99022..db1cd22cfe 100644
--- a/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
+++ b/ql/pricingengines/vanilla/fdsimplebsswingengine.cpp
@@ -48,15 +48,8 @@ namespace QuantLib {
 
         QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
                    "Bermudan exercise supported only");
-        
-        // 1. Layout
-        std::vector<Size> dim;
-        dim.push_back(xGrid_);
-        dim.push_back(arguments_.maxExerciseRights+1);
-        const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                              new FdmLinearOpLayout(dim));
-        
-        // 2. Mesher
+
+        // 1. Mesher
         const boost::shared_ptr<StrikedTypePayoff> payoff =
             boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
         const Time maturity = process_->time(arguments_.exercise->lastDate());
@@ -68,21 +61,18 @@ namespace QuantLib {
                  new Uniform1dMesher(0, arguments_.maxExerciseRights,
                                         arguments_.maxExerciseRights+1));
         
-        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
-        meshers.push_back(equityMesher);
-        meshers.push_back(exerciseMesher);
-        boost::shared_ptr<FdmMesher> mesher (
-                                     new FdmMesherComposite(layout, meshers));
+        const boost::shared_ptr<FdmMesher> mesher (
+            new FdmMesherComposite(equityMesher, exerciseMesher));
         
-        // 3. Calculator
+        // 2. Calculator
         boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                                     new FdmZeroInnerValue());
         
-        // 4. Step conditions
+        // 3. Step conditions
         std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
         std::list<std::vector<Time> > stoppingTimes;
         
-        // 4.1 Bermudan step conditions
+        // 3.1 Bermudan step conditions
         std::vector<Time> exerciseTimes;
         for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
             Time t = process_->time(arguments_.exercise->dates()[i]);
@@ -101,10 +91,10 @@ namespace QuantLib {
         boost::shared_ptr<FdmStepConditionComposite> conditions(
                 new FdmStepConditionComposite(stoppingTimes, stepConditions));
         
-        // 5. Boundary conditions
+        // 4. Boundary conditions
         const FdmBoundaryConditionSet boundaries;
         
-        // 6. Solver
+        // 5. Solver
         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                      calculator, maturity, tGrid_, 0 };
         boost::shared_ptr<FdmSimple2dBSSolver> solver(
diff --git a/test-suite/fdmlinearop.cpp b/test-suite/fdmlinearop.cpp
index 592edb4083..68c0ec5119 100644
--- a/test-suite/fdmlinearop.cpp
+++ b/test-suite/fdmlinearop.cpp
@@ -908,8 +908,8 @@ namespace {
         mesher1d.push_back(boost::shared_ptr<Fdm1dMesher>(
                 new Uniform1dMesher(-0.15, 0.15, dim[2])));
 
-        boost::shared_ptr<FdmMesher> mesher(
-                                     new FdmMesherComposite(layout, mesher1d));
+        const boost::shared_ptr<FdmMesher> mesher(
+            new FdmMesherComposite(mesher1d));
 
         const FdmBoundaryConditionSet boundaries;
 
@@ -1182,9 +1182,8 @@ void FdmLinearOpTest::testCrankNicolsonWithDamping() {
                 Null<Real>(), Null<Real>(), 0.0001, 1.5,
                 std::pair<Real, Real>(payoff->strike(), 0.01)));
 
-    boost::shared_ptr<FdmMesher> mesher (
-        new FdmMesherComposite(layout,
-              std::vector<boost::shared_ptr<Fdm1dMesher> >(1, equityMesher)));
+    const boost::shared_ptr<FdmMesher> mesher (
+        new FdmMesherComposite(equityMesher));
 
     boost::shared_ptr<FdmBlackScholesOp> map(
                      new FdmBlackScholesOp(mesher, process, payoff->strike()));
diff --git a/test-suite/vpp.cpp b/test-suite/vpp.cpp
index 4dc3c091d4..197fc2ae0c 100644
--- a/test-suite/vpp.cpp
+++ b/test-suite/vpp.cpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2010, 2011 Klaus Spanderen
+ Copyright (C) 2010, 2011, 2012 Klaus Spanderen
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -44,8 +44,9 @@
 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
 #include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
+#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
 #include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
-#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
+#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>
 #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
 #include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
 
@@ -55,7 +56,6 @@
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
 
-
 namespace {
     boost::shared_ptr<ExtOUWithJumpsProcess> createKlugeProcess() {
         Array x0(2);
@@ -167,10 +167,10 @@ void VPPTest::testGemanRoncoroniProcess() {
             const Time t = Real(i)/stepsPerYear;
             const DiscountFactor df = rTS->discount(t);
 
-            const Real gasPrice         = std::exp(path.value[1][i]);
+            const Real fuelPrice         = std::exp(path.value[1][i]);
             const Real electricityPrice = std::exp(path.value[0][i]);
 
-            const Real sparkSpread = electricityPrice - heatRate*gasPrice;
+            const Real sparkSpread = electricityPrice - heatRate*fuelPrice;
             plantValue += std::max(0.0, sparkSpread)*df;
             onTime.add((sparkSpread > 0.0) ? 1.0 : 0.0);
         }
@@ -338,7 +338,7 @@ void VPPTest::testKlugeExtOUSpreadOption() {
 namespace {
     // for a "real" gas and power forward curve
     // please see. e.g. http://www.kyos.com/?content=64
-    const Real gasPrices[] = {20.74,21.65,20.78,21.58,21.43,20.82,22.02,21.52,
+    const Real fuelPrices[] = {20.74,21.65,20.78,21.58,21.43,20.82,22.02,21.52,
                               21.02,21.46,21.75,20.69,22.16,20.38,20.82,20.68,
                               20.57,21.92,22.04,20.45,20.75,21.92,20.53,20.67,
                               20.88,21.02,20.82,21.67,21.82,22.12,20.45,20.74,
@@ -381,31 +381,6 @@ namespace {
                               52.65,55.57,57.67,56.79,55.15,54.74,50.31,47.49,
                               53.72,55.62,55.89,58.11,54.46,52.92,49.61,44.68,
                               51.59,57.44,56.50,55.12,57.22,54.61,49.92,45.20};
-
-    class GasPrice : public FdmInnerValueCalculator {
-      public:
-        Real innerValue(const FdmLinearOpIterator&, Time t) {
-            Size i = (Size) t;
-            QL_REQUIRE(i < LENGTH(gasPrices), "invalid time");
-            return gasPrices[(Size) t]; }
-        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-            return innerValue(iter, t);
-        }
-    };
-    class SparkSpreadPrice : public FdmInnerValueCalculator {
-      public:
-        SparkSpreadPrice(Real heatRate) : heatRate_(heatRate) {}
-        Real innerValue(const FdmLinearOpIterator&, Time t) {
-            Size i = (Size) t;
-            QL_REQUIRE(i < LENGTH(powerPrices), "invalid time");
-            return powerPrices[i] - heatRate_*gasPrices[i];
-        }
-        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
-            return innerValue(iter, t);
-        }
-      private:
-        const Real heatRate_;
-    };
 }
 
 void VPPTest::testVPPIntrinsicValue() {
@@ -414,6 +389,10 @@ void VPPTest::testVPPIntrinsicValue() {
 
     SavedSettings backup;
 
+    const Date today = Date(18, December, 2011);
+    const DayCounter dc = ActualActual();
+    Settings::instance().evaluationDate() = today;
+
     // vpp parameters
     const Real pMin           = 8;
     const Real pMax           = 40;
@@ -421,54 +400,36 @@ void VPPTest::testVPPIntrinsicValue() {
     const Size tMinDown       = 2;
     const Real startUpFuel    = 20;
     const Real startUpFixCost = 100;
-    const Real carbonPrice    = 3.0;
+    const Real fuelCostAddon    = 3.0;
     const Size nStarts        = Null<Size>();
     const Size stateDirection = 0;
 
-    const Size nStates = ((nStarts == Null<Size>()) ? 1 : nStarts)*
-                         (2*tMinUp + tMinDown);
-
-    const std::vector<Size> dim(1, nStates);
-    const boost::shared_ptr<FdmLinearOpLayout> layout(
-                                                   new FdmLinearOpLayout(dim));
-
-    const boost::shared_ptr<FdmMesher> mesher(
-        new FdmMesherComposite(layout,
-             std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
-                                boost::shared_ptr<Fdm1dMesher>(
-                                    new Uniform1dMesher(0.0, 1.0, nStates)))));
-
-    const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(new GasPrice());
-
-    const Real efficiency[] = { 0.35, 0.4, 0.45, 0.5, 0.55, 0.6, 0.9 };
+    const boost::shared_ptr<SwingExercise> exercise(
+                                new SwingExercise(today, today+6, 3600u));
 
     // Expected values are calculated using mixed integer programming
     // based on the gnu linear programming toolkit. For details please see:
     // http://spanderen.de/
     //        2011/06/23/vpp-pricing-ii-mixed-integer-linear-programming/
+    const Real efficiency[] = { 0.35, 0.4, 0.45, 0.5, 0.55, 0.6, 0.9 };
     const Real expected[] = { 0.0, 2056.04, 11145.577778, 26452.04,
                               44512.461818, 62000.626667, 137591.911111};
 
     for (Size i=0; i < LENGTH(efficiency); ++i) {
         const Real heatRate = 1.0/efficiency[i];
-        const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
-                                              new SparkSpreadPrice(heatRate));
-
-        boost::shared_ptr<StepCondition<Array> > stepCondition(
-            new FdmVPPStepCondition(heatRate,
-                                    pMin, pMax,
-                                    tMinUp, tMinDown,
-                                    nStarts,
-                                    startUpFuel, startUpFixCost,
-                                    carbonPrice, stateDirection,
-                                    mesher, gasPrice, sparkSpreadPrice));
 
-        Array state(nStates, 0.0);
-        for (Size j=LENGTH(gasPrices); j > 0; --j) {
-            stepCondition->applyTo(state, (Time) j-1);
-        }
-        const Real calculated = *std::max_element(state.begin(), state.end());
-        if (std::fabs(expected[i] - calculated) > 1e-2) {
+        VanillaVPPOption option(heatRate, pMin, pMax, tMinUp, tMinDown,
+                                startUpFuel, startUpFixCost, exercise);
+
+        option.setPricingEngine(boost::shared_ptr<PricingEngine>(
+            new DynProgVPPIntrinsicValueEngine(
+                std::vector<Real>(fuelPrices,fuelPrices+LENGTH(fuelPrices)),
+                std::vector<Real>(powerPrices,powerPrices+LENGTH(powerPrices)),
+                fuelCostAddon, flatRate(0.0, dc))));
+
+        const Real calculated = option.NPV();
+
+        if (std::fabs(expected[i] - calculated) > 1e-4) {
             BOOST_ERROR("Failed to reproduce reference values"
                        << "\n    calculated: " << calculated
                        << "\n    expected:   " << expected[i]);
@@ -479,11 +440,11 @@ void VPPTest::testVPPIntrinsicValue() {
 
 namespace {
 
-    class PathGasPrice : public FdmInnerValueCalculator {
+    class PathfuelPrice : public FdmInnerValueCalculator {
       public:
         typedef FdSimpleKlugeExtOUVPPEngine::Shape Shape;
 
-        PathGasPrice(
+        PathfuelPrice(
             const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path,
             const boost::shared_ptr<Shape>& shape)
         : path_(path),
@@ -513,11 +474,11 @@ namespace {
         PathSparkSpreadPrice(
             Real heatRate,
             const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path,
-            const boost::shared_ptr<Shape>& gasShape,
+            const boost::shared_ptr<Shape>& fuelShape,
             const boost::shared_ptr<Shape>& powerShape)
         : heatRate_(heatRate),
           path_(path),
-          gasShape_(gasShape),
+          fuelShape_(fuelShape),
           powerShape_(powerShape) {}
 
         Real innerValue(const FdmLinearOpIterator&, Time t) {
@@ -529,7 +490,7 @@ namespace {
                 powerShape_->begin(), powerShape_->end(),
                 std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
             const Real g = std::lower_bound(
-                gasShape_->begin(),gasShape_->end(),
+                fuelShape_->begin(),fuelShape_->end(),
                 std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
 
             return std::exp(f + path_[0][i]+path_[1][i])
@@ -541,7 +502,7 @@ namespace {
       private:
         const Real heatRate_;
         const MultiPathGenerator<PseudoRandom>::sample_type::value_type& path_;
-        const boost::shared_ptr<Shape> gasShape_;
+        const boost::shared_ptr<Shape> fuelShape_;
         const boost::shared_ptr<Shape> powerShape_;
     };
 }
@@ -563,16 +524,12 @@ void VPPTest::testVPPPricing() {
     const Size tMinDown       = 2;
     const Real startUpFuel    = 20;
     const Real startUpFixCost = 100;
-    const Size nStates        = 2u*tMinUp + tMinDown;
 
-    boost::shared_ptr<SwingExercise> exercise(
+    const boost::shared_ptr<SwingExercise> exercise(
                                 new SwingExercise(today, today+6, 3600u));
 
-    VanillaVPPOption vppOption(heatRate, pMin, pMax,
-                               tMinUp, tMinDown,
-                               Null<Size>(),
-                               startUpFuel, startUpFixCost,
-                               exercise);
+    VanillaVPPOption vppOption(heatRate, pMin, pMax, tMinUp, tMinDown,
+                               startUpFuel, startUpFixCost, exercise);
 
     // model definition
     const Real beta         = 200;
@@ -584,7 +541,7 @@ void VPPTest::testVPPPricing() {
     const Real volatility_u = std::sqrt(1.3);
     const Real rho          = 0.7;
     const Rate irRate       = 0.00;
-    const Real carbonPrice  = 3.0;
+    const Real fuelCostAddon  = 3.0;
 
     Array x0(2);
     x0[0] = 0.0; x0[1] = 0.0;
@@ -610,16 +567,16 @@ void VPPTest::testVPPPricing() {
     const Size nHours = LENGTH(powerPrices);
 
     typedef FdSimpleKlugeExtOUVPPEngine::Shape Shape;
-    boost::shared_ptr<Shape> gasShape(new Shape(nHours));
+    boost::shared_ptr<Shape> fuelShape(new Shape(nHours));
     boost::shared_ptr<Shape> powerShape(new Shape(nHours));
 
     for (Size i=0; i < nHours; ++i) {
         const Time t = (i+1)/(365*24.);
 
-        const Real gasPrice = gasPrices[i];
-        const Real gs = std::log(gasPrice)-square<Real>()(volatility_u)
+        const Real fuelPrice = fuelPrices[i];
+        const Real gs = std::log(fuelPrice)-square<Real>()(volatility_u)
                                /(4*kappa)*(1-std::exp(-2*kappa*t));
-        (*gasShape)[i] = Shape::value_type(t, gs);
+        (*fuelShape)[i] = Shape::value_type(t, gs);
 
         const Real powerPrice = powerPrices[i];
         const Real ps = std::log(powerPrice)-square<Real>()(volatility_x)
@@ -630,25 +587,13 @@ void VPPTest::testVPPPricing() {
     }
 
     // Test: intrinsic value
-    const boost::shared_ptr<FdmMesher> oneDimMesher(
-        new FdmMesherComposite(boost::shared_ptr<FdmLinearOpLayout>(
-            new FdmLinearOpLayout(std::vector<Size>(1, nStates))),
-            std::vector<boost::shared_ptr<Fdm1dMesher> >(1,
-                boost::shared_ptr<Fdm1dMesher>(
-                    new Uniform1dMesher(0.0, 1.0, nStates)))));
-
-    const FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown, Null<Size>(),
-            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
-            boost::shared_ptr<FdmInnerValueCalculator>(new GasPrice()),
-            boost::shared_ptr<FdmInnerValueCalculator>(
-               new SparkSpreadPrice(heatRate)));
+    vppOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
+        new DynProgVPPIntrinsicValueEngine(
+            std::vector<Real>(fuelPrices, fuelPrices+nHours),
+            std::vector<Real>(powerPrices, powerPrices+nHours),
+            fuelCostAddon, flatRate(0.0, dc))));
 
-    Array state(nStates, 0.0);
-    for (Size j=exercise->dates().size(); j > 0; --j) {
-        stepCondition.applyTo(state, (Time) j-1);
-    }
-    const Real intrinsic = state.back();
+    const Real intrinsic = vppOption.NPV();
     const Real expectedIntrinsic = 2056.04;
     if (std::fabs(intrinsic - expectedIntrinsic) > 0.1) {
         BOOST_ERROR("Failed to reproduce intrinsic value"
@@ -658,9 +603,9 @@ void VPPTest::testVPPPricing() {
 
     // Test: finite difference price
     const boost::shared_ptr<PricingEngine> engine(
-        new FdSimpleKlugeExtOUVPPEngine(klugeOUProcess, rTS, carbonPrice,
-                                        1, 25, 11, 10,
-                                        gasShape, powerShape));
+        new FdSimpleKlugeExtOUVPPEngine(klugeOUProcess, rTS,
+                                        fuelShape, powerShape, fuelCostAddon,
+                                        1, 25, 11, 10));
 
     vppOption.setPricingEngine(engine);
 
@@ -673,6 +618,21 @@ void VPPTest::testVPPPricing() {
     }
 
     // Test: Monte-Carlo perfect foresight price
+    VanillaVPPOption::arguments args;
+    vppOption.setupArguments(&args);
+
+    const FdmVPPStepConditionFactory stepConditionFactory(args);
+
+    const boost::shared_ptr<FdmMesher> oneDimMesher(new FdmMesherComposite(
+        stepConditionFactory.stateMesher()));
+    const Size nStates = oneDimMesher->layout()->dim()[0];
+
+    const FdmVPPStepConditionParams vppParams = {
+        heatRate, pMin, pMax, tMinUp, tMinDown,
+        startUpFuel, startUpFixCost, fuelCostAddon,
+    };
+    const FdmVPPStepConditionMesher vppMesh = { 0u, oneDimMesher };
+
     const TimeGrid grid(dc.yearFraction(today, exercise->lastDate()+1),
                         exercise->dates().size());
     typedef PseudoRandom::rsg_type rsg_type;
@@ -687,19 +647,18 @@ void VPPTest::testVPPPricing() {
 
     for (Size i=0; i < nTrails; ++i) {
         const sample_type& path = generator.next();
-
-        FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown, Null<Size>(),
-            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
-            boost::shared_ptr<FdmInnerValueCalculator>(
-                new PathGasPrice(path.value, gasShape)),
-            boost::shared_ptr<FdmInnerValueCalculator>(
-                new PathSparkSpreadPrice(heatRate, path.value,
-                                         gasShape, powerShape)));
+        const boost::shared_ptr<FdmVPPStepCondition> stepCondition(
+            stepConditionFactory.build(
+                vppMesh, fuelCostAddon,
+                boost::shared_ptr<FdmInnerValueCalculator>(
+                    new PathfuelPrice(path.value, fuelShape)),
+                boost::shared_ptr<FdmInnerValueCalculator>(
+                    new PathSparkSpreadPrice(heatRate, path.value,
+                                             fuelShape, powerShape))));
 
         Array state(nStates, 0.0);
         for (Size j=exercise->dates().size(); j > 0; --j) {
-            stepCondition.applyTo(state, grid.at(j));
+            stepCondition->applyTo(state, grid.at(j));
             state*=rTS->discount(grid.at(j))/rTS->discount(grid.at(j-1));
         }
 
@@ -731,15 +690,12 @@ void VPPTest::testVPPPricing() {
 
         sparkSpreads.push_back(boost::shared_ptr<FdmInnerValueCalculator>(
             new PathSparkSpreadPrice(heatRate, calibrationPaths.back().value,
-                                     gasShape, powerShape)));
-
-        stepConditions.push_back(boost::shared_ptr<FdmVPPStepCondition>(
-            new FdmVPPStepCondition(
-                heatRate, pMin, pMax, tMinUp, tMinDown,Null<Size>(),
-                startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
-                boost::shared_ptr<FdmInnerValueCalculator>(
-                    new PathGasPrice(calibrationPaths.back().value, gasShape)),
-                sparkSpreads.back())));
+                                     fuelShape, powerShape)));
+        stepConditions.push_back(stepConditionFactory.build(
+            vppMesh, fuelCostAddon,
+            boost::shared_ptr<FdmInnerValueCalculator>(
+                new PathfuelPrice(calibrationPaths.back().value, fuelShape)),
+            sparkSpreads.back()));
     }
 
 
@@ -794,24 +750,19 @@ void VPPTest::testVPPPricing() {
         const sample_type& path = (i % 2) ? generator.antithetic()
                                           : generator.next();
 
-        const boost::shared_ptr<FdmInnerValueCalculator> gasPrices(
-            new PathGasPrice(path.value, gasShape));
+        const boost::shared_ptr<FdmInnerValueCalculator> fuelPrices(
+            new PathfuelPrice(path.value, fuelShape));
 
         const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreads(
             new PathSparkSpreadPrice(heatRate, path.value,
-                                     gasShape, powerShape));
-
-        FdmVPPStepCondition stepCondition(
-            heatRate, pMin, pMax, tMinUp, tMinDown,Null<Size>(),
-            startUpFuel, startUpFixCost, carbonPrice, 0u, oneDimMesher,
-            gasPrices, sparkSpreads);
+                                     fuelShape, powerShape));
 
         for (Size j=exercise->dates().size(); j > 0u; --j) {
             const Time t = grid.at(j);
-            const Real gasPrice = gasPrices->innerValue(iter, t);
+            const Real fuelPrice = fuelPrices->innerValue(iter, t);
             const Real sparkSpread = sparkSpreads->innerValue(iter, t);
             const Real startUpCost
-                    = startUpFixCost + (gasPrice + carbonPrice)*startUpFuel;
+                    = startUpFixCost + (fuelPrice + fuelCostAddon)*startUpFuel;
 
             x[0] = sparkSpread;
             for (Size k=0; k < nStates; ++k) {
@@ -821,8 +772,8 @@ void VPPTest::testVPPPricing() {
                 }
             }
 
-            const Real pMinFlow = pMin*(sparkSpread - heatRate*carbonPrice);
-            const Real pMaxFlow = pMax*(sparkSpread - heatRate*carbonPrice);
+            const Real pMinFlow = pMin*(sparkSpread - heatRate*fuelCostAddon);
+            const Real pMaxFlow = pMax*(sparkSpread - heatRate*fuelCostAddon);
 
             // rollback continuation states and the path states
             for (Size i=0; i < 2*tMinUp; ++i) {

From d96eb7ca7df48b2103e54f8d9049bfc0bda23b58 Mon Sep 17 00:00:00 2001
From: klausspanderen <klausspanderen@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Sun, 21 Oct 2012 16:45:56 +0000
Subject: [PATCH 395/410] refactoring of FdmMesherComposite

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18350 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 .../finitedifferences/fdsimpleklugeextouvppengine.cpp            | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
index a55202ab12..012503a25d 100644
--- a/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
+++ b/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
@@ -41,7 +41,6 @@
 #include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
 #include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
 
-#include <boost/assign/list_of.hpp>
 #include <list>
 
 namespace QuantLib {

From 4e8f849b6aa72bf3b56df19918fb2c9e8a65651a Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 07:56:24 +0000
Subject: [PATCH 396/410] Don't use floating-point comparison to check for
 Null<Real>.

Thanks to Simon Shakeshaft for the heads-up.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18351 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/index.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/index.hpp b/ql/index.hpp
index d039bebe04..d4c24a2844 100644
--- a/ql/index.hpp
+++ b/ql/index.hpp
@@ -96,7 +96,7 @@ namespace QuantLib {
             while (dBegin != dEnd) {
                 validFixing = isValidFixingDate(*dBegin);
                 Real currentValue = h[*dBegin];
-                missingFixing= forceOverwrite || close(currentValue,nullValue);
+                missingFixing = forceOverwrite || currentValue == nullValue;
                 if (validFixing) {
                     if (missingFixing)
                         h[*(dBegin++)] = *(vBegin++);

From dd7b00ec2d10db1c3d4195cd60182896536192b1 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 07:56:40 +0000
Subject: [PATCH 397/410] Added special case to close()/close_enough() when
 either value is 0.

Previously, they would always return false which could be surprising.
Thanks to Simon Shakeshaft for the fix.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18352 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/math/comparison.hpp | 21 ++++++++++++++++++---
 1 file changed, 18 insertions(+), 3 deletions(-)

diff --git a/ql/math/comparison.hpp b/ql/math/comparison.hpp
index bcf2d0044b..79ad7f78e2 100644
--- a/ql/math/comparison.hpp
+++ b/ql/math/comparison.hpp
@@ -61,8 +61,15 @@ namespace QuantLib {
     }
 
     inline bool close(Real x, Real y, Size n) {
-        Real diff = std::fabs(x-y), tolerance = n*QL_EPSILON;
-        // FLOATING_POINT_EXCEPTION
+        // Deals with +infinity and -infinity representations etc.
+        if (x == y)
+            return true;
+
+        Real diff = std::fabs(x-y), tolerance = n * QL_EPSILON;
+
+        if (x * y == 0.0) // x or y = 0.0
+            return diff < (tolerance * tolerance);
+
         return diff <= tolerance*std::fabs(x) &&
                diff <= tolerance*std::fabs(y);
     }
@@ -72,7 +79,15 @@ namespace QuantLib {
     }
 
     inline bool close_enough(Real x, Real y, Size n) {
-        Real diff = std::fabs(x-y), tolerance = n*QL_EPSILON;
+        // Deals with +infinity and -infinity representations etc.
+        if (x == y)
+            return true;
+
+        Real diff = std::fabs(x-y), tolerance = n * QL_EPSILON;
+
+        if (x * y == 0.0) // x or y = 0.0
+            return diff < (tolerance * tolerance);
+
         return diff <= tolerance*std::fabs(x) ||
                diff <= tolerance*std::fabs(y);
     }

From 15124f9b58f7668bff4bd023be749875dbd135c4 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 07:57:22 +0000
Subject: [PATCH 398/410] Added experimental ODE solver (thanks to Peter
 Caspers).

A few tests are included.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18353 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                                |  12 +-
 QuantLib_vc10.vcxproj                       |   1 +
 QuantLib_vc10.vcxproj.filters               |   3 +
 QuantLib_vc7.vcproj                         |   3 +
 QuantLib_vc8.vcproj                         |   4 +
 QuantLib_vc9.vcproj                         |   4 +
 ql/experimental/math/Makefile.am            |   1 +
 ql/experimental/math/adaptiverungekutta.hpp | 261 ++++++++++++++++++++
 ql/experimental/math/all.hpp                |   1 +
 test-suite/Makefile.am                      |   1 +
 test-suite/ode.cpp                          | 137 ++++++++++
 test-suite/ode.hpp                          |  35 +++
 test-suite/quantlibtestsuite.cpp            |   2 +
 test-suite/testsuite.dev                    |  22 +-
 test-suite/testsuite_vc10.vcxproj           |   2 +
 test-suite/testsuite_vc10.vcxproj.filters   |   6 +
 test-suite/testsuite_vc7.vcproj             |   6 +
 test-suite/testsuite_vc8.vcproj             |   8 +
 test-suite/testsuite_vc9.vcproj             |   8 +
 19 files changed, 515 insertions(+), 2 deletions(-)
 create mode 100644 ql/experimental/math/adaptiverungekutta.hpp
 create mode 100644 test-suite/ode.cpp
 create mode 100644 test-suite/ode.hpp

diff --git a/QuantLib.dev b/QuantLib.dev
index 297c5d5347..c8655def25 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1803
+UnitCount=1804
 Type=2
 Ver=1
 ObjFiles=
@@ -18076,3 +18076,13 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1804]
+FileName=ql\experimental\math\adaptiverungekutta.hpp
+CompileCpp=1
+Folder=experimental/math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index accc38e299..1afc0e54fb 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1308,6 +1308,7 @@
     <ClInclude Include="ql\experimental\inflation\yoyoptionlethelpers.hpp" />
     <ClInclude Include="ql\experimental\inflation\yoyoptionletstripper.hpp" />
     <ClInclude Include="ql\experimental\math\all.hpp" />
+    <ClInclude Include="ql\experimental\math\adaptiverungekutta.hpp" />
     <ClInclude Include="ql\experimental\math\autocovariance.hpp" />
     <ClInclude Include="ql\experimental\math\claytoncopularng.hpp" />
     <ClInclude Include="ql\experimental\math\farliegumbelmorgensterncopularng.hpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index eb8496de55..b55fe4885b 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -3165,6 +3165,9 @@
     <ClInclude Include="ql\experimental\math\all.hpp">
       <Filter>experimental\math</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\math\adaptiverungekutta.hpp">
+      <Filter>experimental\math</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\math\autocovariance.hpp">
       <Filter>experimental\math</Filter>
     </ClInclude>
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index 918804ca9c..c875853b92 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1326,6 +1326,9 @@
 				<File
 					RelativePath=".\ql\experimental\math\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\autocovariance.hpp">
 				</File>
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 3403b2c91f..6cfc13ca72 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -7730,6 +7730,10 @@
 					RelativePath=".\ql\experimental\math\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\autocovariance.hpp"
 					>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index 833ca2354a..d28077c59b 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -8085,6 +8085,10 @@
 					RelativePath=".\ql\experimental\math\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\math\autocovariance.hpp"
 					>
diff --git a/ql/experimental/math/Makefile.am b/ql/experimental/math/Makefile.am
index 6d606c7a25..7727effd0a 100644
--- a/ql/experimental/math/Makefile.am
+++ b/ql/experimental/math/Makefile.am
@@ -4,6 +4,7 @@ AM_CPPFLAGS = -I${top_srcdir} -I${top_builddir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    adaptiverungekutta.hpp \
     autocovariance.hpp \
     claytoncopularng.hpp \
     farliegumbelmorgensterncopularng.hpp \
diff --git a/ql/experimental/math/adaptiverungekutta.hpp b/ql/experimental/math/adaptiverungekutta.hpp
new file mode 100644
index 0000000000..fd5a7de203
--- /dev/null
+++ b/ql/experimental/math/adaptiverungekutta.hpp
@@ -0,0 +1,261 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file adaptiverungekutta.hpp
+    \brief Runge-Kutta ODE integration
+
+    Runge Kutta method with adaptive stepsize as described in
+    Numerical Recipes in C, Chapter 16.2
+*/
+
+#ifndef quantlib_adaptive_runge_kutta_hpp
+#define quantlib_adaptive_runge_kutta_hpp
+
+#include <ql/types.hpp>
+#include <ql/errors.hpp>
+#include <ql/utilities/disposable.hpp>
+#include <boost/function.hpp>
+#include <vector>
+#include <cmath>
+
+namespace QuantLib {
+
+    template <class T = Real>
+    class AdaptiveRungeKutta {
+      public:
+        typedef boost::function<
+          Disposable<std::vector<T> >(const Real,
+                                      const std::vector<T>&)> OdeFct;
+        typedef boost::function<T(const Real, const T)> OdeFct1d;
+
+        /*! The class is constructed with the following inputs:
+            - eps       prescribed error for the solution
+            - h1        start step size
+            - hmin      smallest step size allowed
+        */
+
+        AdaptiveRungeKutta(const Real eps=1.0e-6,
+                           const Real h1=1.0e-4,
+                           const Real hmin=0.0)
+        : eps_(eps), h1_(h1), hmin_(hmin),
+          a2(0.2), a3(0.3), a4(0.6), a5(1.0), a6(0.875),
+          b21(0.2), b31(3.0/40.0), b32(9.0/40.0), b41(0.3), b42(-0.9), b43(1.2),
+          b51(-11.0/54.0), b52(2.5), b53(-70.0/27.0), b54(35.0/27.0),
+          b61(1631.0/55296.0), b62(175.0/512.0), b63(575.0/13824.0),
+          b64(44275.0/110592.0), b65(253.0/4096.0),
+          c1(37.0/378.0), c3(250.0/621.0), c4(125.0/594.0), c6(512.0/1771.0),
+          dc1(c1-2825.0/27648.0), dc3(c3-18575.0/48384.0),
+          dc4(c4-13525.0/55296.0), dc5(-277.0/14336.0), dc6(c6-0.25),
+          ADAPTIVERK_MAXSTP(10000), ADAPTIVERK_TINY(1.0E-30),
+          ADAPTIVERK_SAFETY(0.9), ADAPTIVERK_PGROW(-0.2),
+          ADAPTIVERK_PSHRINK(-0.25), ADAPTIVERK_ERRCON(1.89E-4) {}
+
+        /*! Integrate the ode from \f$ x1 \f$ to \f$ x2 \f$ with
+            initial value condition \f$ f(x1)=y1 \f$.
+
+            The ode is given by a function \f$ F: R \times K^n
+            \rightarrow K^n \f$ as \f$ f'(x) = F(x,f(x)) \f$, $K=R,
+            C$ */
+        Disposable<std::vector<T> > operator()(const OdeFct& ode,
+                                               const std::vector<T>& y1,
+                                               const Real x1,
+                                               const Real x2);
+        T operator()(const OdeFct1d& ode,
+                     const T y1,
+                     const Real x1,
+                     const Real x2);
+
+    private:
+        void rkqs(std::vector<T>& y,
+                  const std::vector<T>& dydx,
+                  Real& x,
+                  const Real htry,
+                  const Real eps,
+                  const std::vector<Real>& yScale,
+                  Real &hdid,
+                  Real &hnext,
+                  const OdeFct& derivs);
+        void rkck(const std::vector<T>& y,
+                  const std::vector<T>& dydx,
+                  Real x,
+                  const Real h,
+                  std::vector<T>& yout,
+                  std::vector<T>& yerr,
+                  const OdeFct& derivs);
+
+        const std::vector<T> yStart_;
+        const Real eps_, h1_, hmin_;
+        const Real a2,a3,a4,a5,a6,
+                   b21,b31,b32,b41,b42,b43,b51,b52,b53,b54,b61,b62,b63,b64,b65,
+                   c1,c3,c4,c6,dc1,dc3,dc4,dc5,dc6;
+        const Real ADAPTIVERK_MAXSTP, ADAPTIVERK_TINY, ADAPTIVERK_SAFETY,
+                   ADAPTIVERK_PGROW, ADAPTIVERK_PSHRINK, ADAPTIVERK_ERRCON;
+    };
+
+
+
+    template<class T>
+    Disposable<std::vector<T> > AdaptiveRungeKutta<T>::operator()(
+                                                     const OdeFct& ode,
+                                                     const std::vector<T>& y1,
+                                                     const Real x1,
+                                                     const Real x2) {
+        Size n = y1.size();
+        std::vector<T> y(y1);
+        std::vector<Real> yScale(n);
+        Real x = x1;
+        Real h = h1_* (x1<=x2 ? 1 : -1);
+        Real hnext,hdid;
+
+        for (Size nstp=1; nstp<=ADAPTIVERK_MAXSTP; nstp++) {
+            std::vector<T> dydx=ode(x,y);
+            for (Size i=0;i<n;i++)
+                yScale[i] = std::abs(y[i])+std::abs(dydx[i]*h)+ADAPTIVERK_TINY;
+            if ((x+h-x2)*(x+h-x1) > 0.0)
+                h=x2-x;
+            rkqs(y,dydx,x,h,eps_,yScale,hdid,hnext,ode);
+
+            if ((x-x2)*(x2-x1) >= 0.0)
+                return y;
+
+            if (std::fabs(hnext) <= hmin_)
+                QL_FAIL("Step size (" << hnext << ") too small ("
+                        << hmin_ << " min) in AdaptiveRungeKutta");
+            h=hnext;
+        }
+        QL_FAIL("Too many steps (" << ADAPTIVERK_MAXSTP
+                << ") in AdaptiveRungeKutta");
+    }
+
+    namespace detail {
+
+        template <class T>
+        struct OdeFctWrapper {
+            typedef typename AdaptiveRungeKutta<T>::OdeFct1d OdeFct1d;
+            OdeFctWrapper(const OdeFct1d& ode1d)
+            : ode1d_(ode1d) {}
+            Disposable<std::vector<T> > operator()(const Real x,
+                                                   const std::vector<T>& y) {
+                std::vector<T> res(1,ode1d_(x,y[0]));
+                return res;
+            }
+            const OdeFct1d& ode1d_;
+        };
+
+    }
+
+    template<class T>
+    T AdaptiveRungeKutta<T>::operator()(const OdeFct1d& ode,
+                                        const T y1,
+                                        const Real x1,
+                                        const Real x2) {
+        return operator()(detail::OdeFctWrapper<T>(ode),
+                          std::vector<T>(1,y1),x1,x2)[0];
+    }
+
+    template<class T>
+    void AdaptiveRungeKutta<T>::rkqs(std::vector<T>& y,
+                                     const std::vector<T>& dydx,
+                                     Real& x,
+                                     const Real htry,
+                                     const Real eps,
+                                     const std::vector<Real>& yScale,
+                                     Real& hdid,
+                                     Real& hnext,
+                                     const OdeFct& derivs) {
+        Size n=y.size();
+        Real errmax,htemp,xnew;
+        std::vector<T> yerr(n),ytemp(n);
+
+        Real h=htry;
+
+        for(;;) {
+            rkck(y,dydx,x,h,ytemp,yerr,derivs);
+            errmax=0.0;
+            for (Size i=0;i<n;i++)
+                errmax=std::max(errmax,std::abs(yerr[i]/yScale[i]));
+            errmax/=eps;
+            if (errmax>1.0) {
+                htemp=ADAPTIVERK_SAFETY*h*pow(errmax,ADAPTIVERK_PSHRINK);
+                h = (h>=0.0 ? std::max(htemp,h/10) : std::min(htemp,h/10));
+                xnew=x+h;
+                if (xnew==x)
+                    QL_FAIL("Stepsize (" << xnew
+                            << ") underflow in AdaptiveRungeKutta::rkqs");
+                continue;
+            } else {
+                if (errmax>ADAPTIVERK_ERRCON)
+                    hnext=ADAPTIVERK_SAFETY*h*pow(errmax,ADAPTIVERK_PGROW);
+                else
+                    hnext=5.0*h;
+                x+=(hdid=h);
+                for (Size i=0;i<n;i++)
+                    y[i]=ytemp[i];
+                break;
+            }
+        }
+    }
+
+    template <class T>
+    void AdaptiveRungeKutta<T>::rkck(const std::vector<T>& y,
+                                     const std::vector<T>& dydx,
+                                     Real x,
+                                     const Real h,
+                                     std::vector<T>& yout,
+                                     std::vector<T> &yerr,
+                                     const OdeFct& derivs) {
+
+        Size n=y.size();
+        std::vector<T> ak2(n),ak3(n),ak4(n),ak5(n),ak6(n),ytemp(n);
+
+        // first step
+        for (Size i=0;i<n;i++)
+            ytemp[i]=y[i]+b21*h*dydx[i];
+
+        // second step
+        ak2=derivs(x+a2*h,ytemp);
+        for (Size i=0;i<n;i++)
+            ytemp[i]=y[i]+h*(b31*dydx[i]+b32*ak2[i]);
+
+        // third step
+        ak3=derivs(x+a3*h,ytemp);
+        for (Size i=0;i<n;i++)
+            ytemp[i]=y[i]+h*(b41*dydx[i]+b42*ak2[i]+b43*ak3[i]);
+
+        // fourth step
+        ak4=derivs(x+a4*h,ytemp);
+        for (Size i=0;i<n;i++)
+            ytemp[i]=y[i]+h*(b51*dydx[i]+b52*ak2[i]+b53*ak3[i]+b54*ak4[i]);
+
+        // fifth step
+        ak5=derivs(x+a5*h,ytemp);
+        for (Size i=0;i<n;i++)
+            ytemp[i]=y[i]+h*(b61*dydx[i]+b62*ak2[i]+b63*ak3[i]+b64*ak4[i]+b65*ak5[i]);
+
+        // sixth step
+        ak6=derivs(x+a6*h,ytemp);
+        for (Size i=0;i<n;i++) {
+            yout[i]=y[i]+h*(c1*dydx[i]+c3*ak3[i]+c4*ak4[i]+c6*ak6[i]);
+            yerr[i]=h*(dc1*dydx[i]+dc3*ak3[i]+dc4*ak4[i]+dc5*ak5[i]+dc6*ak6[i]);
+        }
+    }
+
+}
+
+#endif
diff --git a/ql/experimental/math/all.hpp b/ql/experimental/math/all.hpp
index 7362f926be..150b3e26f5 100644
--- a/ql/experimental/math/all.hpp
+++ b/ql/experimental/math/all.hpp
@@ -1,6 +1,7 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/experimental/math/adaptiverungekutta.hpp>
 #include <ql/experimental/math/autocovariance.hpp>
 #include <ql/experimental/math/claytoncopularng.hpp>
 #include <ql/experimental/math/farliegumbelmorgensterncopularng.hpp>
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index d25be71f2b..697d1347d3 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -78,6 +78,7 @@ QL_TESTS = \
 	mersennetwister.hpp mersennetwister.cpp \
 	money.hpp money.cpp \
 	nthtodefault.hpp nthtodefault.cpp \
+	ode.hpp ode.cpp \
 	operators.hpp operators.cpp \
 	optimizers.hpp optimizers.cpp \
 	optionletstripper.hpp optionletstripper.cpp \
diff --git a/test-suite/ode.cpp b/test-suite/ode.cpp
new file mode 100644
index 0000000000..b8a0920ebe
--- /dev/null
+++ b/test-suite/ode.cpp
@@ -0,0 +1,137 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "ode.hpp"
+#include "utilities.hpp"
+#include <ql/experimental/math/adaptiverungekutta.hpp>
+#include <complex>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+namespace {
+
+    struct ode1 {
+        Real operator()(Real x, Real y) const { return y; }
+    };
+
+    struct ode2 {
+        std::complex<Real> operator()(Real x,
+                                      std::complex<Real> y) {
+            return std::complex<Real>(0.0,1.0)*y;
+        }
+    };
+
+    struct ode3 {
+        Disposable<std::vector<Real> > operator()(Real x,
+                                                  const std::vector<Real>& y) {
+            std::vector<Real> r(2);
+            r[0] = y[1]; r[1] = -y[0];
+            return r;
+        }
+    };
+
+    struct ode4 {
+        Disposable<std::vector<std::complex<Real> > > operator()(
+                                  std::complex<Real> x,
+                                  const std::vector<std::complex<Real> >& y) {
+            std::vector<std::complex<Real> > r(2);
+            r[0] = y[1]; r[1] = -y[0];
+            return r;
+        }
+    };
+
+}
+
+void OdeTest::testAdaptiveRungeKutta() {
+
+    BOOST_MESSAGE("Testing adaptive Runge Kutta...");
+
+    AdaptiveRungeKutta<Real> rk_real(1E-12,1E-4,0.0);
+    AdaptiveRungeKutta<std::complex<Real> > rk_complex(1E-12,1E-4,0.0);
+    Real tol1 = 5E-10, tol2 = 2E-12, tol3 = 2E-12, tol4 = 2E-12;
+
+    // f'=f, f(0)=1
+    AdaptiveRungeKutta<Real>::OdeFct1d ode1_ = ode1();
+    Real y10=1;
+
+    // f'=f, f(0)=i
+    AdaptiveRungeKutta<std::complex<Real> >::OdeFct1d ode2_ = ode2();
+    std::complex<Real> y20(0.0,1.0);
+
+    // f''=-f, f(0)=0, f'(0)=1
+    AdaptiveRungeKutta<Real>::OdeFct ode3_ = ode3();
+    std::vector<Real> y30(2); y30[0] = 0.0; y30[1] = 1.0;
+
+    // f''=-f, f(0)=1, f'(0)=i
+    AdaptiveRungeKutta<std::complex<Real> >::OdeFct ode4_ = ode4();
+    std::vector<std::complex<Real> > y40(2);
+    y40[0] = 1.0;
+    y40[1] = std::complex<Real>(0.0,1.0);
+
+    Real x=0.0;
+    Real y1 = y10;
+    std::complex<Real> y2 = y20;
+    std::vector<Real> y3 = y30;
+    std::vector<std::complex<Real> > y4 = y40;
+
+    while (x<5.0) {
+        Real exact1 = exp(x);
+        std::complex<Real> exact2 =
+            std::exp(std::complex<Real>(0.0,x)) * std::complex<Real>(0.0,1.0);
+        Real exact3 = sin(x);
+        std::complex<Real> exact4 = std::exp(std::complex<Real>(0.0,x));
+
+        if ( abs( exact1 - y1 ) > tol1 )
+            BOOST_FAIL("Error in ode #1: exact solution at x=" << x
+                       << " is " << exact1
+                       << ", numerical solution is " << y1
+                       << " difference " << abs(exact1-y1)
+                       << " outside tolerance " << tol1);
+        if ( abs( exact2 - y2 ) > tol2 )
+            BOOST_FAIL("Error in ode #2: exact solution at x=" << x
+                       << " is " << exact2
+                       << ", numerical solution is " << y2
+                       << " difference " << abs(exact2-y2)
+                       << " outside tolerance " << tol2);
+        if ( abs( exact3 - y3[0] ) > tol3 )
+            BOOST_FAIL("Error in ode #3: exact solution at x=" << x
+                       << " is " << exact3
+                       << ", numerical solution is " << y3[0]
+                       << " difference " << abs(exact3-y3[0])
+                       << " outside tolerance " << tol3);
+        if ( abs( exact4 - y4[0] ) > tol4 )
+            BOOST_FAIL("Error in ode #4: exact solution at x=" << x
+                       << " is " << exact4
+                       << ", numerical solution is " << y4[0]
+                       << " difference " << abs(exact4-y4[0])
+                       << " outside tolerance " << tol4);
+        x+=0.01;
+        y1=rk_real(ode1_,y10,0.0,x);
+        y2=rk_complex(ode2_,y20,0.0,x);
+        y3=rk_real(ode3_,y30,0.0,x);
+        y4=rk_complex(ode4_,y40,0.0,x);
+    }
+}
+
+test_suite* OdeTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("ode tests");
+    suite->add(QUANTLIB_TEST_CASE(&OdeTest::testAdaptiveRungeKutta));
+    return suite;
+}
diff --git a/test-suite/ode.hpp b/test-suite/ode.hpp
new file mode 100644
index 0000000000..ab31c2859e
--- /dev/null
+++ b/test-suite/ode.hpp
@@ -0,0 +1,35 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_ode_hpp
+#define quantlib_test_ode_hpp
+
+#include <boost/test/unit_test.hpp>
+
+/* remember to document new and/or updated tests in the Doxygen
+   comment block of the corresponding class */
+
+class OdeTest {
+  public:
+    static void testAdaptiveRungeKutta();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 282497723a..188052a0f8 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -119,6 +119,7 @@
 #include "mersennetwister.hpp"
 #include "money.hpp"
 #include "nthtodefault.hpp"
+#include "ode.hpp"
 #include "operators.hpp"
 #include "optimizers.hpp"
 #include "optionletstripper.hpp"
@@ -324,6 +325,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(MersenneTwisterTest::suite());
     test->add(MoneyTest::suite());
     test->add(NthToDefaultTest::suite());
+    test->add(OdeTest::suite());
     test->add(OperatorTest::suite());
     test->add(OptimizersTest::suite());
     test->add(OptionletStripperTest::suite());
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index 54f8f88d24..db0b14446a 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=236
+UnitCount=238
 Type=1
 Ver=1
 ObjFiles=
@@ -2406,3 +2406,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit237]
+FileName=ode.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit238]
+FileName=ode.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index d1ba0ff2a4..40ab7fd23f 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -399,6 +399,7 @@
     <ClCompile Include="mersennetwister.cpp" />
     <ClCompile Include="money.cpp" />
     <ClCompile Include="nthtodefault.cpp" />
+    <ClCompile Include="ode.cpp" />
     <ClCompile Include="operators.cpp" />
     <ClCompile Include="optimizers.cpp" />
     <ClCompile Include="optionletstripper.cpp" />
@@ -519,6 +520,7 @@
     <ClInclude Include="mersennetwister.hpp" />
     <ClInclude Include="money.hpp" />
     <ClInclude Include="nthtodefault.hpp" />
+    <ClInclude Include="ode.hpp" />
     <ClInclude Include="operators.hpp" />
     <ClInclude Include="optimizers.hpp" />
     <ClInclude Include="optionletstripper.hpp" />
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 88474a94b0..3a1c0062ef 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -233,6 +233,9 @@
     <ClCompile Include="nthtodefault.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="ode.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="operators.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -587,6 +590,9 @@
     <ClInclude Include="nthtodefault.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="ode.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="operators.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index 1a6a3ab9a4..a2066c04b3 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -677,6 +677,9 @@
 			<File
 				RelativePath=".\nthtodefault.cpp">
 			</File>
+			<File
+				RelativePath=".\ode.cpp">
+			</File>
 			<File
 				RelativePath="operators.cpp">
 			</File>
@@ -1032,6 +1035,9 @@
 			<File
 				RelativePath=".\nthtodefault.hpp">
 			</File>
+			<File
+				RelativePath=".\ode.hpp">
+			</File>
 			<File
 				RelativePath="operators.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 53c1c8d9d7..0744349570 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -746,6 +746,10 @@
 				RelativePath=".\nthtodefault.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ode.cpp"
+				>
+			</File>
 			<File
 				RelativePath="operators.cpp"
 				>
@@ -1219,6 +1223,10 @@
 				RelativePath=".\nthtodefault.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ode.hpp"
+				>
+			</File>
 			<File
 				RelativePath="operators.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index 0bf430d73c..c81c40aebc 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1163,6 +1163,10 @@
 				RelativePath=".\nthtodefault.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ode.cpp"
+				>
+			</File>
 			<File
 				RelativePath="operators.cpp"
 				>
@@ -1636,6 +1640,10 @@
 				RelativePath=".\nthtodefault.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ode.hpp"
+				>
+			</File>
 			<File
 				RelativePath="operators.hpp"
 				>

From 035d8c7b49ac16715e6d47d94ce04f905bd1e7df Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 07:57:49 +0000
Subject: [PATCH 399/410] Grouped together tests for experimental code

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18354 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/asianoptions.cpp      |  8 +++--
 test-suite/asianoptions.hpp      |  1 +
 test-suite/barrieroption.cpp     |  7 ++++-
 test-suite/barrieroption.hpp     |  1 +
 test-suite/europeanoption.cpp    |  7 ++++-
 test-suite/europeanoption.hpp    |  1 +
 test-suite/quantlibtestsuite.cpp | 51 ++++++++++++++++++--------------
 7 files changed, 49 insertions(+), 27 deletions(-)

diff --git a/test-suite/asianoptions.cpp b/test-suite/asianoptions.cpp
index 78891e2c73..be960830a7 100644
--- a/test-suite/asianoptions.cpp
+++ b/test-suite/asianoptions.cpp
@@ -1253,9 +1253,13 @@ test_suite* AsianOptionTest::suite() {
         &AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceGreeks));
     suite->add(QUANTLIB_TEST_CASE(
         &AsianOptionTest::testPastFixings));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testLevyEngine));
 
     return suite;
 }
 
+test_suite* AsianOptionTest::experimental() {
+    test_suite* suite = BOOST_TEST_SUITE("Asian option tests");
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testLevyEngine));
+    return suite;
+}
+
diff --git a/test-suite/asianoptions.hpp b/test-suite/asianoptions.hpp
index fb472877b9..5c809785e5 100644
--- a/test-suite/asianoptions.hpp
+++ b/test-suite/asianoptions.hpp
@@ -40,6 +40,7 @@ class AsianOptionTest {
     static void testPastFixings();
     static void testLevyEngine();
     static boost::unit_test_framework::test_suite* suite();
+    static boost::unit_test_framework::test_suite* experimental();
 };
 
 
diff --git a/test-suite/barrieroption.cpp b/test-suite/barrieroption.cpp
index 968aa39e4f..0a3312380c 100644
--- a/test-suite/barrieroption.cpp
+++ b/test-suite/barrieroption.cpp
@@ -704,8 +704,13 @@ test_suite* BarrierOptionTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testHaugValues));
     suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testBabsiriValues));
     suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testBeagleholeValues));
-    suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testPerturbative));
     suite->add(QUANTLIB_TEST_CASE(
                         &BarrierOptionTest::testLocalVolAndHestonComparison));
     return suite;
 }
+
+test_suite* BarrierOptionTest::experimental() {
+    test_suite* suite = BOOST_TEST_SUITE("Barrier option tests");
+    suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testPerturbative));
+    return suite;
+}
diff --git a/test-suite/barrieroption.hpp b/test-suite/barrieroption.hpp
index 0defba93d2..a563a742ad 100644
--- a/test-suite/barrieroption.hpp
+++ b/test-suite/barrieroption.hpp
@@ -33,6 +33,7 @@ class BarrierOptionTest {
     static void testPerturbative();
     static void testLocalVolAndHestonComparison();
     static boost::unit_test_framework::test_suite* suite();
+    static boost::unit_test_framework::test_suite* experimental();
 };
 
 
diff --git a/test-suite/europeanoption.cpp b/test-suite/europeanoption.cpp
index 91f0c203a0..bd2bfc482a 100644
--- a/test-suite/europeanoption.cpp
+++ b/test-suite/europeanoption.cpp
@@ -1570,7 +1570,6 @@ test_suite* EuropeanOptionTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testIntegralEngines));
     suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testMcEngines));
     suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testQmcEngines));
-    suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testFFTEngines));
 
     // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testPriceCurve));
@@ -1578,3 +1577,9 @@ test_suite* EuropeanOptionTest::suite() {
 
     return suite;
 }
+
+test_suite* EuropeanOptionTest::experimental() {
+    test_suite* suite = BOOST_TEST_SUITE("European option tests");
+    suite->add(QUANTLIB_TEST_CASE(&EuropeanOptionTest::testFFTEngines));
+    return suite;
+}
diff --git a/test-suite/europeanoption.hpp b/test-suite/europeanoption.hpp
index d7236396d7..13e45b2156 100644
--- a/test-suite/europeanoption.hpp
+++ b/test-suite/europeanoption.hpp
@@ -48,6 +48,7 @@ class EuropeanOptionTest {
     static void testPriceCurve();
     static void testLocalVolatility();
     static boost::unit_test_framework::test_suite* suite();
+    static boost::unit_test_framework::test_suite* experimental();
 };
 
 
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 188052a0f8..494ca00843 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -254,26 +254,18 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(ArrayTest::suite());
     test->add(AsianOptionTest::suite());
     test->add(AssetSwapTest::suite()); // fails with QL_USE_INDEXED_COUPON
-    test->add(AutocovariancesTest::suite());
     test->add(BarrierOptionTest::suite());
     test->add(BasketOptionTest::suite());
     test->add(BatesModelTest::suite());
     test->add(BermudanSwaptionTest::suite());
-    test->add(BlackDeltaCalculatorTest::suite());
     test->add(BondTest::suite());
     test->add(BrownianBridgeTest::suite());
     test->add(CalendarTest::suite());
     test->add(CapFloorTest::suite());
     test->add(CapFlooredCouponTest::suite());
     test->add(CashFlowsTest::suite());
-    test->add(CdsOptionTest::suite());
-    test->add(CdoTest::suite());
-    test->add(ChooserOptionTest::suite());
     test->add(CliquetOptionTest::suite());
     test->add(CmsTest::suite());
-    test->add(CommodityUnitOfMeasureTest::suite());
-    test->add(CompoundOptionTest::suite());
-    test->add(ConvertibleBondTest::suite());
     test->add(CovarianceTest::suite());
     test->add(CPISwapTest::suite());
     test->add(CreditDefaultSwapTest::suite());
@@ -286,25 +278,19 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(DistributionTest::suite());
     test->add(DividendOptionTest::suite());
     test->add(EuropeanOptionTest::suite());
-    test->add(EverestOptionTest::suite());
     test->add(ExchangeRateTest::suite());
-    test->add(ExtendedTreesTest::suite());
     test->add(FactorialTest::suite());
-    test->add(FastFourierTransformTest::suite());
     test->add(FdHestonTest::suite());
     test->add(FdmLinearOpTest::suite());
     test->add(ForwardOptionTest::suite());
     test->add(GaussianQuadraturesTest::suite());
     test->add(GJRGARCHModelTest::suite());
     test->add(HestonModelTest::suite());
-    test->add(HimalayaOptionTest::suite());
     test->add(HybridHestonHullWhiteProcessTest::suite());
     test->add(InflationTest::suite());
     test->add(InflationCapFloorTest::suite());
     test->add(InflationCapFlooredCouponTest::suite());
     test->add(InflationCPIBondTest::suite());
-    test->add(InflationCPICapFloorTest::suite());
-    test->add(InflationVolTest::suite());
     test->add(InstrumentTest::suite());
     test->add(IntegralTest::suite());
     test->add(InterestRateTest::suite());
@@ -313,7 +299,6 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(LinearLeastSquaresRegressionTest::suite());
     test->add(LookbackOptionTest::suite());
     test->add(LowDiscrepancyTest::suite());
-    test->add(MargrabeOptionTest::suite());
     test->add(MarketModelTest::suite());
     test->add(MarketModelCmsTest::suite());
     test->add(MarketModelSmmTest::suite());
@@ -324,13 +309,10 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(MCLongstaffSchwartzEngineTest::suite());
     test->add(MersenneTwisterTest::suite());
     test->add(MoneyTest::suite());
-    test->add(NthToDefaultTest::suite());
-    test->add(OdeTest::suite());
     test->add(OperatorTest::suite());
     test->add(OptimizersTest::suite());
     test->add(OptionletStripperTest::suite());
     test->add(OvernightIndexedSwapTest::suite());
-    test->add(PagodaOptionTest::suite());
     test->add(PathGeneratorTest::suite());
     test->add(PeriodTest::suite());
     test->add(PiecewiseYieldCurveTest::suite());
@@ -343,8 +325,6 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(ScheduleTest::suite());
     test->add(ShortRateModelTest::suite()); // fails with QL_USE_INDEXED_COUPON
     test->add(Solver1DTest::suite());
-    test->add(SpreadOptionTest::suite());
-    test->add(SwingOptionTest::suite());
     test->add(StatisticsTest::suite());
     test->add(SurfaceTest::suite());
     test->add(SwapTest::suite());
@@ -357,15 +337,40 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(TqrEigenDecompositionTest::suite());
     test->add(TracingTest::suite());
     test->add(TransformedGridTest::suite());
+    test->add(VarianceSwapTest::suite());
+    test->add(VolatilityModelsTest::suite());
+
+    // tests for experimental classes
+    test->add(AsianOptionTest::experimental());
+    test->add(AutocovariancesTest::suite());
+    test->add(BarrierOptionTest::experimental());
+    test->add(BlackDeltaCalculatorTest::suite());
+    test->add(CdoTest::suite());
+    test->add(CdsOptionTest::suite());
+    test->add(ChooserOptionTest::suite());
+    test->add(CommodityUnitOfMeasureTest::suite());
+    test->add(CompoundOptionTest::suite());
+    test->add(ConvertibleBondTest::suite());
+    test->add(EuropeanOptionTest::experimental());
+    test->add(EverestOptionTest::suite());
+    test->add(ExtendedTreesTest::suite());
+    test->add(FastFourierTransformTest::suite());
+    test->add(HimalayaOptionTest::suite());
+    test->add(InflationCPICapFloorTest::suite());
+    test->add(InflationVolTest::suite());
+    test->add(MargrabeOptionTest::suite());
+    test->add(NthToDefaultTest::suite());
+    test->add(OdeTest::suite());
+    test->add(PagodaOptionTest::suite());
+    test->add(SpreadOptionTest::suite());
+    test->add(SwingOptionTest::suite());
     test->add(TwoAssetBarrierOptionTest::suite());
     test->add(VarianceGammaTest::suite());
     test->add(VarianceOptionTest::suite());
-    test->add(VarianceSwapTest::suite());
-    test->add(VolatilityModelsTest::suite());
     test->add(VPPTest::suite());
     test->add(WriterExtensibleOptionTest::suite());
 
-    //tests for deprecated classes
+    // tests for deprecated classes
     test->add(LiborMarketModelTest::suite());
     test->add(LiborMarketModelProcessTest::suite());
 

From 0e2070da8465290484f9d9743bc8a85be5ad08a3 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 14:47:39 +0000
Subject: [PATCH 400/410] Re-enabled test.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18355 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 test-suite/marketmodel.cpp | 20 ++++----------------
 1 file changed, 4 insertions(+), 16 deletions(-)

diff --git a/test-suite/marketmodel.cpp b/test-suite/marketmodel.cpp
index 9e7f9b8017..83665cffd4 100644
--- a/test-suite/marketmodel.cpp
+++ b/test-suite/marketmodel.cpp
@@ -4773,34 +4773,22 @@ void MarketModelTest::testIsInSubset() {
 // --- Call the desired tests
 test_suite* MarketModelTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Market-model tests");
- 
- suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testInverseFloater));
- suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testCallableSwapLS));
 
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testInverseFloater));
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testCallableSwapLS));
  
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testPathwiseVegas));
-
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testPathwiseMarketVegas));
-
-    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testStochVolForwardsAndOptionlets));
-
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testPathwiseGreeks));
 
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testStochVolForwardsAndOptionlets));
 
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testAllMultiStepProducts));
 
-
-
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testOneStepForwardsAndOptionlets));
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testOneStepNormalForwardsAndOptionlets));
 
-    // FLOATING_POINT_EXCEPTION
-
-    //// just one of the tests below is run in order to reduce running times...
-    //// uncomment as much as you prefer...
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testCallableSwapNaif));
-
-    // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testCallableSwapAnderson));
 
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testGreeks));
@@ -4812,7 +4800,7 @@ test_suite* MarketModelTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testPeriodAdapter));
 
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testDriftCalculator));
-    //suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testIsInSubset));
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testIsInSubset));
 
     return suite;
 }

From 1fcc28828e0472402d0943a4ff394a339072a78a Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Wed, 24 Oct 2012 15:21:39 +0000
Subject: [PATCH 401/410] Fixed degenerate case for ABCD volatility (thanks to
 Peter Caspers).

Tests added.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18356 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/termstructures/volatility/abcd.cpp |   6 ++
 test-suite/marketmodel.cpp            | 113 +++++++++++++++++++++++++-
 test-suite/marketmodel.hpp            |   3 +
 3 files changed, 121 insertions(+), 1 deletion(-)

diff --git a/ql/termstructures/volatility/abcd.cpp b/ql/termstructures/volatility/abcd.cpp
index 14a4125d88..86995a49ac 100644
--- a/ql/termstructures/volatility/abcd.cpp
+++ b/ql/termstructures/volatility/abcd.cpp
@@ -21,6 +21,7 @@
 */
 
 #include <ql/termstructures/volatility/abcd.hpp>
+#include <ql/math/comparison.hpp>
 
 namespace QuantLib {
 
@@ -99,6 +100,11 @@ namespace QuantLib {
     Real AbcdFunction::primitive(Time t, Time T, Time S) const {
         if (T<t || S<t) return 0.0;
 
+        if (close(c_,0.0)) {
+            Real v = a_+d_;
+            return t*(v*v+v*b_*S+v*b_*T-v*b_*t+b_*b_*S*T-0.5*b_*b_*t*(S+T)+b_*b_*t*t/3.0);
+        }
+
         Real k1=std::exp(c_*t), k2=std::exp(c_*S), k3=std::exp(c_*T);
 
         return (b_*b_*(-1 - 2*c_*c_*S*T - c_*(S + T)
diff --git a/test-suite/marketmodel.cpp b/test-suite/marketmodel.cpp
index 83665cffd4..a7917b8dfc 100644
--- a/test-suite/marketmodel.cpp
+++ b/test-suite/marketmodel.cpp
@@ -6,6 +6,7 @@ Copyright (C) 2006 Marco Bianchetti
 Copyright (C) 2006 Cristina Duminuco
 Copyright (C) 2006 StatPro Italia srl
 Copyright (C) 2008 Mark Joshi
+Copyright (C) 2012 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
@@ -83,7 +84,6 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #include <ql/math/functional.hpp>
 #include <ql/math/optimization/simplex.hpp>
 #include <ql/quotes/simplequote.hpp>
-#include <sstream>
 
 #include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>
 #include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp>
@@ -108,6 +108,9 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 #include <ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp>
 #include <ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp>
 
+#include <boost/math/special_functions/fpclassify.hpp>
+#include <sstream>
+
 #if defined(BOOST_MSVC)
 #include <float.h>
 //namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }
@@ -4770,6 +4773,111 @@ void MarketModelTest::testIsInSubset() {
     }
 }
 
+
+void MarketModelTest::testAbcdDegenerateCases() {
+    BOOST_MESSAGE("Testing abcd degenerate cases...");
+
+    AbcdFunction f1(0.0,0.0,0.0,1.0);
+    AbcdFunction f2(1.0,0.0,0.0,0.0);
+
+    Real cov1 = f1.covariance(0.0,1.0,1.0,1.0);
+    if (std::fabs(cov1-1.0) > 1.0E-14
+        || boost::math::isnan(cov1) || boost::math::isinf(cov1))
+        BOOST_FAIL("(a,b,c,d)=(0,0,0,1): true covariance is 1.0, "
+                   << "actual value is " << cov1);
+
+    Real cov2 = f2.covariance(0.0,1.0,1.0,1.0);
+    if (std::fabs(cov2-1.0) > 1.0E-14
+        || boost::math::isnan(cov2) || boost::math::isinf(cov2))
+        BOOST_FAIL("(a,b,c,d)=(1,0,0,0): true covariance is 1.0, "
+                   << "actual value is " << cov2);
+}
+
+void MarketModelTest::testCovariance() {
+    BOOST_MESSAGE("Testing market models covariance...");
+
+    const Size n = 10;
+
+    std::vector<Real> rateTimes;
+    std::vector<Real> evolTimes1;
+    std::vector<Real> evolTimes2;
+    std::vector<Real> evolTimes3;
+    std::vector<Real> evolTimes4;
+    std::vector<std::vector<Real> > evolTimes;
+
+    for(Size i=1;i<=n;i++) rateTimes.push_back(i);
+    evolTimes1.push_back(n-1);
+    for(Size i=1;i<=n-1;i++) evolTimes2.push_back(i);
+    for(Size i=1;i<=2*n-2;i++) evolTimes3.push_back(0.5*i);
+    evolTimes4.push_back(0.3);
+    evolTimes4.push_back(1.3);
+    evolTimes4.push_back(2.0);
+    evolTimes4.push_back(4.5);
+    evolTimes4.push_back(8.2);
+
+    evolTimes.push_back(evolTimes1);
+    evolTimes.push_back(evolTimes2);
+    evolTimes.push_back(evolTimes3);
+    evolTimes.push_back(evolTimes4);
+
+    std::vector<std::string> evolNames;
+    evolNames.push_back("one evolution time");
+    evolNames.push_back("evolution times on rate fixings");
+    evolNames.push_back("evolution times on rate fixings and midpoints between fixings");
+    evolNames.push_back("irregular evolution times");
+
+    std::vector<Real> ks(n-1,1.0);
+    std::vector<Real> displ(n-1,0.0);
+    std::vector<Real> rates(n-1,0.0);
+    std::vector<Real> vols(n-1,1.0);
+
+    Matrix c = exponentialCorrelations(rateTimes,0.5,0.2,1.0,0.0);
+    boost::shared_ptr<PiecewiseConstantCorrelation> corr(
+                          new TimeHomogeneousForwardCorrelation(c,rateTimes));
+
+    std::vector<std::string> modelNames;
+    modelNames.push_back("FlatVol");
+    modelNames.push_back("AbcdVol");
+
+    for(Size k=0;k<modelNames.size();k++) {
+        for(Size l=0;l<evolNames.size();l++) {
+            EvolutionDescription evolution(rateTimes,evolTimes[l]);
+            boost::shared_ptr<MarketModel> model;
+            switch(k) {
+              case 0:
+                model = boost::shared_ptr<MarketModel>(
+                            new FlatVol(vols,corr,evolution,n-1,rates,displ));
+                break;
+              case 1:
+                model = boost::shared_ptr<MarketModel>(
+                                 new AbcdVol(1.0,0.0,0.0,0.0,ks,
+                                             corr,evolution,n-1,rates,displ));
+                break;
+              default:
+                BOOST_FAIL("Unknown model " << modelNames[k]);
+            }
+            if (model) {
+                for(Size i=0;i<evolTimes[l].size();i++) {
+                    Matrix cov = model->covariance(i);
+                    Real dt = evolTimes[l][i] - (i>0 ? evolTimes[l][i-1] : 0.0);
+                    for(Size x=0;x<n-1;x++) {
+                        for(Size y=0;y<n-1;y++) {
+                            if(std::min(rateTimes[x],rateTimes[y])>=evolTimes[l][i]
+                               && fabs(cov[x][y]-c[x][y]*dt)>1.0E-14) 
+                                BOOST_FAIL("Model " << modelNames[k]
+                                           << " with " << evolNames[l]
+                                           << ": covariance matrix in step " << i
+                                           << ": true value at (" << x << "," << y
+                                           << ") is " << c[x][y]*dt
+                                           << " actual value is " << cov[x][y]);
+                        }
+                    }
+                }
+            }
+        }
+    }
+}
+
 // --- Call the desired tests
 test_suite* MarketModelTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Market-model tests");
@@ -4802,5 +4910,8 @@ test_suite* MarketModelTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testDriftCalculator));
     suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testIsInSubset));
 
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testAbcdDegenerateCases));
+    suite->add(QUANTLIB_TEST_CASE(&MarketModelTest::testCovariance));
+
     return suite;
 }
diff --git a/test-suite/marketmodel.hpp b/test-suite/marketmodel.hpp
index 8ec42700a1..69a9938846 100644
--- a/test-suite/marketmodel.hpp
+++ b/test-suite/marketmodel.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2006 Ferdinando Ametrano
  Copyright (C) 2006 StatPro Italia srl
+ Copyright (C) 2012 Peter Caspers
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -46,6 +47,8 @@ class MarketModelTest {
     static void testAbcdVolatilityFit();
     static void testDriftCalculator();
     static void testIsInSubset();
+	static void testAbcdDegenerateCases();
+	static void testCovariance();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From a388e18dfb36ba67ed68b9754cd8a63bf042b33e Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 6 Nov 2012 11:29:12 +0000
Subject: [PATCH 402/410] Fixed holiday for Japanese calendar (thanks to
 Sebastien Gurrieri).

When two holidays are on a consecutive Saturday and Sunday, only the
one falling on Sunday is moved to the following business day.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18357 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/japan.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/time/calendars/japan.cpp b/ql/time/calendars/japan.cpp
index d677a1f8a9..7b5754c318 100644
--- a/ql/time/calendars/japan.cpp
+++ b/ql/time/calendars/japan.cpp
@@ -76,7 +76,7 @@ namespace QuantLib {
             // Children's Day
             || (d == 5  && m == May)
             // any of the three above observed later if on Saturday or Sunday
-            || ((d == 6 || d == 7) && m == May
+            || (d == 6 && m == May
                 && (w == Monday || w == Tuesday || w == Wednesday))
             // Marine Day (3rd Monday in July),
             // was July 20th until 2003, not a holiday before 1996

From cec1c87fb44dea980094dc9d477f88bf9021d33c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 6 Nov 2012 11:29:30 +0000
Subject: [PATCH 403/410] Updated Chinese calendar for 2012 (thanks to Cheng
 Li).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18358 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/china.cpp | 8 ++++++++
 ql/time/calendars/china.hpp | 2 +-
 2 files changed, 9 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendars/china.cpp b/ql/time/calendars/china.cpp
index 00fa61d140..e5bfc5fa0b 100644
--- a/ql/time/calendars/china.cpp
+++ b/ql/time/calendars/china.cpp
@@ -54,6 +54,7 @@ namespace QuantLib {
             || (y == 2007 && d == 31 && m == December)
             || (y == 2009 && d == 2 && m == January)
             || (y == 2011 && d == 3 && m == January)
+            || (y == 2012 && (d == 2 || d == 3) && m == January)
             // Chinese New Year
             || (y == 2004 && d >= 19 && d <= 28 && m == January)
             || (y == 2005 && d >=  7 && d <= 15 && m == February)
@@ -64,26 +65,32 @@ namespace QuantLib {
             || (y == 2009 && d >= 26 && d <= 30 && m == January)
             || (y == 2010 && d >= 15 && d <= 19 && m == January)
             || (y == 2011 && d >= 2 && d <= 8 && m == February)
+            || (y == 2012 && d >= 23 && d <= 28 && m == January)
             // Ching Ming Festival
             || (y <= 2008 && d == 4 && m == April)
             || (y == 2009 && d == 6 && m == April)
             || (y == 2010 && d == 5 && m == April)
             || (y == 2011 && d >=3 && d <= 5 && m == April)
+            || (y == 2012 && d ==4 && 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)
             || (y == 2011 && d == 2 && m == May)
+            || (y == 2012 && ((d == 30 && m == April) ||
+                              (d == 1 && 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)
             || (y == 2011 && d >= 4 && d <= 6 && m == June)
+            || (y == 2012 && d >= 22 && d <= 24 && m == June)
             // Mid-Autumn Festival
             || (y <= 2008 && d == 15 && m == September)
             || (y == 2010 && d >= 22 && d <= 24 && m == September)
             || (y == 2011 && d >= 10 && d <= 12 && m == September)
+            || (y == 2012 && d == 30  && m == September)
             // National Day
             || (y <= 2007 && d >= 1 && d <= 7 && m == October)
             || (y == 2008 && ((d >= 29 && m == September) ||
@@ -91,6 +98,7 @@ namespace QuantLib {
             || (y == 2009 && d >= 1 && d <= 8 && m == October)
             || (y == 2010 && d >= 1 && d <= 7 && m == October)
             || (y == 2011 && d >= 1 && d <= 7 && m == October)
+            || (y == 2012 && d >= 1 && d <= 7 && m == October)
             )
             return false;
         return true;
diff --git a/ql/time/calendars/china.hpp b/ql/time/calendars/china.hpp
index 0c037e3d19..1a78dd618b 100644
--- a/ql/time/calendars/china.hpp
+++ b/ql/time/calendars/china.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given (data available for
-        2004-2011 only):
+        2004-2012 only):
         <ul>
         <li>Chinese New Year</li>
         <li>Ching Ming Festival</li>

From 87bf173e96e919c05107d0fbc683e446ca0c7077 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 6 Nov 2012 11:29:50 +0000
Subject: [PATCH 404/410] Added Epiphany (introduced in 2011) to Polish
 calendar.

Thanks to katastrofa, whoever that is.

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18359 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/poland.cpp | 2 ++
 ql/time/calendars/poland.hpp | 1 +
 2 files changed, 3 insertions(+)

diff --git a/ql/time/calendars/poland.cpp b/ql/time/calendars/poland.cpp
index 5dc5be67bc..bd14e32612 100644
--- a/ql/time/calendars/poland.cpp
+++ b/ql/time/calendars/poland.cpp
@@ -40,6 +40,8 @@ namespace QuantLib {
             || (dd == em+59)
             // New Year's Day
             || (d == 1  && m == January)
+            // Epiphany
+            || (d == 6  && m == January && y >= 2011)
             // May Day
             || (d == 1  && m == May)
             // Constitution Day
diff --git a/ql/time/calendars/poland.hpp b/ql/time/calendars/poland.hpp
index ef63216948..260950dd4f 100644
--- a/ql/time/calendars/poland.hpp
+++ b/ql/time/calendars/poland.hpp
@@ -36,6 +36,7 @@ namespace QuantLib {
         <li>Easter Monday</li>
         <li>Corpus Christi</li>
         <li>New Year's Day, January 1st</li>
+        <li>Epiphany, January 6th (since 2011)</li>
         <li>May Day, May 1st</li>
         <li>Constitution Day, May 3rd</li>
         <li>Assumption of the Blessed Virgin Mary, August 15th</li>

From cd1b274cad2b15b13e220f0dfeec5ae975bb5fd7 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 6 Nov 2012 11:33:07 +0000
Subject: [PATCH 405/410] Updated South-Korean calendar for 2013 (thanks to
 Faycal El Karaa).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18360 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/time/calendars/southkorea.cpp | 4 ++++
 ql/time/calendars/southkorea.hpp | 2 +-
 2 files changed, 5 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendars/southkorea.cpp b/ql/time/calendars/southkorea.cpp
index 2a4c820c38..a43dc7e82a 100644
--- a/ql/time/calendars/southkorea.cpp
+++ b/ql/time/calendars/southkorea.cpp
@@ -84,6 +84,7 @@ namespace QuantLib {
             || ((d == 13 || d == 14 || d == 15) && m == February && y == 2010)
             || ((d == 2 || d == 3 || d == 4) && m == February && y == 2011)
             || ((d == 23 || d == 24) && m == January && y == 2012)
+            || (d == 11 && m == February && y == 2013)
             // Election Days
             || (d == 15 && m == April && y == 2004)    // National Assembly
             || (d == 31 && m == May && y == 2006)      // Regional election
@@ -102,6 +103,7 @@ namespace QuantLib {
             || (d == 21 && m == May && y == 2010)
             || (d == 10 && m == May && y == 2011)
             || (d == 28 && m == May && y == 2012)
+            || (d == 17 && m == May && y == 2013)
             // Harvest Moon Day
             || ((d == 27 || d == 28 || d == 29) && m == September && y == 2004)
             || ((d == 17 || d == 18 || d == 19) && m == September && y == 2005)
@@ -112,6 +114,7 @@ namespace QuantLib {
             || ((d == 21 || d == 22 || d == 23) && m == September && y == 2010)
             || ((d == 12 || d == 13) && m == September && y == 2011)
             || (d == 1 && m == October && y == 2012)
+            || ((d == 18 || d == 19 || d == 20) && m == September && y == 2013)
             )
             return false;
 
@@ -137,6 +140,7 @@ namespace QuantLib {
             || (d == 31 && m == December && y == 2010)
             || (d == 30 && m == December && y == 2011)
             || (d == 31 && m == December && y == 2012)
+            || (d == 31 && m == December && y == 2013)
             )
             return false;
 
diff --git a/ql/time/calendars/southkorea.hpp b/ql/time/calendars/southkorea.hpp
index 0d63cd0fad..366b0dc337 100644
--- a/ql/time/calendars/southkorea.hpp
+++ b/ql/time/calendars/southkorea.hpp
@@ -48,7 +48,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2004-2012 only:)
+        (data available for 2004-2013 only:)
         <ul>
         <li>Lunar New Year, the last day of the previous lunar year,
             January 1st, 2nd in lunar calendar</li>

From d4a33e1c0658530612d077ec45d7763c04da9a5c Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Tue, 13 Nov 2012 11:58:51 +0000
Subject: [PATCH 406/410] Added calibration to GARCH model (thanks to Slava
 Mazur).

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18361 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 ql/models/volatility/garch.cpp            | 584 ++++++++++++++++++++--
 ql/models/volatility/garch.hpp            | 232 ++++++++-
 ql/volatilitymodel.hpp                    |   8 +-
 test-suite/Makefile.am                    |   1 +
 test-suite/garch.cpp                      | 155 ++++++
 test-suite/garch.hpp                      |  32 ++
 test-suite/quantlibtestsuite.cpp          |   2 +
 test-suite/testsuite.dev                  |  22 +-
 test-suite/testsuite_vc10.vcxproj         |   4 +-
 test-suite/testsuite_vc10.vcxproj.filters |   8 +-
 test-suite/testsuite_vc7.vcproj           |   6 +
 test-suite/testsuite_vc8.vcproj           |   8 +
 test-suite/testsuite_vc9.vcproj           |   8 +
 13 files changed, 1003 insertions(+), 67 deletions(-)
 create mode 100644 test-suite/garch.cpp
 create mode 100644 test-suite/garch.hpp

diff --git a/ql/models/volatility/garch.cpp b/ql/models/volatility/garch.cpp
index adb50b07d4..851773d578 100644
--- a/ql/models/volatility/garch.cpp
+++ b/ql/models/volatility/garch.cpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Joseph Wang
+ Copyright (C) 2012 Liquidnet Holdings, Inc.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -18,54 +19,545 @@
 */
 
 #include <ql/models/volatility/garch.hpp>
-#include <ql/errors.hpp>
+#include <ql/math/optimization/leastsquare.hpp>
+#include <ql/math/optimization/simplex.hpp>
+#include <ql/experimental/math/autocovariance.hpp>
+#include <boost/foreach.hpp>
 
 namespace QuantLib {
-  TimeSeries<Volatility>
-  Garch11::calculate(const TimeSeries<Volatility>& qs) {
-    return calculate(qs, alpha_, beta_, gamma_* vl_);
-  }
-
-  TimeSeries<Volatility>
-  Garch11::calculate(const TimeSeries<Volatility>& qs,
-             Real alpha, Real beta, Real omega) {
-    TimeSeries<Volatility> retval;
-    TimeSeries<Volatility>::const_iterator cur = qs.begin();
-    retval[cur->first] = cur->second;
-    Real sigma2 = cur->second * cur->second;
-    ++cur;
-    while (cur != qs.end()) {
-      Real u = cur->second;
-      sigma2 = omega + alpha * u * u +
-          beta * sigma2;
-      retval[cur->first] = std::sqrt(sigma2);
-      ++cur;
+
+    namespace {
+
+        const Real tol_level = 1.0e-8;
+
+        class Garch11Constraint : public Constraint {
+          private:
+            class Impl : public Constraint::Impl {
+                Real gammaLower_, gammaUpper_;
+              public:
+                Impl (Real gammaLower, Real gammaUpper)
+                : gammaLower_(gammaLower), gammaUpper_(gammaUpper) {}
+                bool test(const Array &x) const {
+                    QL_REQUIRE(x.size() >= 3, "size of parameters vector < 3");
+                    return x[0] > 0 && x[1] >= 0 && x[2] >= 0
+                        && x[1] + x[2] < gammaUpper_
+                        && x[1] + x[2] >= gammaLower_;
+                }
+            };
+          public:
+            Garch11Constraint(Real gammaLower, Real gammaUpper)
+            : Constraint(boost::shared_ptr<Constraint::Impl>(
+                      new Garch11Constraint::Impl(gammaLower, gammaUpper))) {}
+        };
+
+
+        class Garch11CostFunction : public CostFunction {
+          public:
+            Garch11CostFunction (const std::vector<Volatility> &);
+            virtual Real value(const Array& x) const;
+            virtual Disposable<Array> values(const Array& x) const;
+            virtual void gradient(Array& grad, const Array& x) const;
+            virtual Real valueAndGradient(Array& grad, const Array& x) const;
+          private:
+            const std::vector<Volatility> &r2_;
+        };
+
+        Garch11CostFunction::Garch11CostFunction(
+                                            const std::vector<Volatility> &r2)
+        : r2_(r2) {}
+
+        Real Garch11CostFunction::value(const Array& x) const {
+            Real retval(0.0);
+            Real sigma2 = 0;
+            Real u2 = 0;
+            BOOST_FOREACH (Volatility r2, r2_) {
+                sigma2 = x[0] + x[1] * u2 + x[2] * sigma2;
+                u2 = r2;
+                retval += std::log(sigma2) + u2 / sigma2;
+            }
+            return retval / (2.0*r2_.size());
+        }
+
+        Disposable<Array> Garch11CostFunction::values(const Array& x) const {
+            Array retval (r2_.size());
+            Real sigma2 = 0;
+            Real u2 = 0;
+            Size i = 0;
+            BOOST_FOREACH (Volatility r2, r2_) {
+                sigma2 = x[0] + x[1] * u2 + x[2] * sigma2;
+                u2 = r2;
+                retval[i++] = (std::log(sigma2) + u2 / sigma2)/(2.0*r2_.size());
+            }
+            return retval;
+        }
+
+        void Garch11CostFunction::gradient(Array& grad, const Array& x) const {
+            std::fill (grad.begin(), grad.end(), 0.0);
+            Real sigma2 = 0;
+            Real u2 = 0;
+            Real sigma2prev = sigma2;
+            Real u2prev = u2;
+            Real norm = 2.0 * r2_.size();
+            BOOST_FOREACH (Volatility r2, r2_) {
+                sigma2 = x[0] + x[1] * u2 + x[2] * sigma2;
+                u2 = r2;
+                Real w = (sigma2 - u2) / (sigma2*sigma2);
+                grad[0] += w;
+                grad[1] += u2prev * w;
+                grad[2] += sigma2prev * w;
+                u2prev = u2;
+                sigma2prev = sigma2;
+            }
+            std::transform(grad.begin(), grad.end(), grad.begin(),
+                           std::bind2nd(std::divides<Real>(), norm));
+        }
+
+        Real Garch11CostFunction::valueAndGradient(Array& grad,
+                                                   const Array& x) const {
+            std::fill (grad.begin(), grad.end(), 0.0);
+            Real retval(0.0);
+            Real sigma2 = 0;
+            Real u2 = 0;
+            Real sigma2prev = sigma2;
+            Real u2prev = u2;
+            Real norm = 2.0 * r2_.size();
+            BOOST_FOREACH (Volatility r2, r2_) {
+                sigma2 = x[0] + x[1] * u2 + x[2] * sigma2;
+                u2 = r2;
+                retval += std::log(sigma2) + u2 / sigma2;
+                Real w = (sigma2 - u2) / (sigma2*sigma2);
+                grad[0] += w;
+                grad[1] += u2prev * w;
+                grad[2] += sigma2prev * w;
+                u2prev = u2;
+                sigma2prev = sigma2;
+            }
+            std::transform(grad.begin(), grad.end(), grad.begin(),
+                           std::bind2nd(std::divides<Real>(), norm));
+            return retval / norm;
+        }
+
+
+        class FitAcfProblem : public LeastSquareProblem {
+          public:
+            FitAcfProblem(Real A2, const Array &acf,
+                          const std::vector<std::size_t> &idx);
+            virtual Size size();
+            virtual void targetAndValue(const Array& x, Array& target,
+                                        Array& fct2fit);
+            virtual void targetValueAndGradient(const Array& x,
+                                                Matrix& grad_fct2fit,
+                                                Array& target, Array& fct2fit);
+          private:
+            Real A2_;
+            Array acf_;
+            std::vector<std::size_t> idx_;
+        };
+
+        FitAcfProblem::FitAcfProblem(Real A2, const Array &acf,
+                                     const std::vector<std::size_t> &idx)
+        : A2_(A2), acf_(acf), idx_(idx) {}
+
+        Size FitAcfProblem::size() { return idx_.size(); }
+
+        void FitAcfProblem::targetAndValue(const Array& x, Array& target,
+                                           Array& fct2fit) {
+            Real A4 = acf_[0] + A2_*A2_;
+            Real gamma = x[0];
+            Real beta = x[1];
+            target[0] = A2_*A2_/A4;
+            fct2fit[0] =
+                (1 - 3*gamma*gamma - 2*beta*beta + 4*beta*gamma)
+                / (3*(1 - gamma*gamma));
+            target[1] = acf_[1] / A4;
+            fct2fit[1] = gamma * (1 - fct2fit[0]) - beta;
+            for (std::size_t i = 2; i < idx_.size(); ++i) {
+                target[i] = acf_[idx_[i]] / A4;
+                fct2fit[i] = std::pow(gamma, (int)idx_[i]-1)* fct2fit[1];
+            }
+        }
+
+        void FitAcfProblem::targetValueAndGradient(const Array& x,
+                                                   Matrix& grad_fct2fit,
+                                                   Array& target,
+                                                   Array& fct2fit) {
+            Real A4 = acf_[0] + A2_*A2_;
+            Real gamma = x[0];
+            Real beta = x[1];
+            target[0] = A2_*A2_/A4;
+            Real w1 = (1 - 3*gamma*gamma - 2*beta*beta + 4*beta*gamma);
+            Real w2 = (1 - gamma*gamma);
+            fct2fit[0] = w1 / (3*w2);
+            grad_fct2fit[0][0] = (2.0/3.0) * ((2*beta-3*gamma)*w2 + 2*w1*gamma) / (w2*w2);
+            grad_fct2fit[0][1] = (4.0/3.0) * (gamma - beta) / w2;
+            target[1] = acf_[1] / A4;
+            fct2fit[1] = gamma * (1 - fct2fit[0]) - beta;
+            grad_fct2fit[1][0] = (1 - fct2fit[0]) - gamma * grad_fct2fit[0][0];
+            grad_fct2fit[1][1] = -gamma * grad_fct2fit[0][1] - 1;
+            for (std::size_t i = 2; i < idx_.size(); ++i) {
+                target[i] = acf_[idx_[i]] / A4;
+                w1 = std::pow(gamma, (int)idx_[i]-1);
+                fct2fit[i] = w1 * fct2fit[1];
+                grad_fct2fit[i][0] = (idx_[i]-1) * (w1/gamma)*fct2fit[1] + w1*grad_fct2fit[1][0];
+                grad_fct2fit[i][1] = w1 * grad_fct2fit[1][1];
+            }
+        }
+
+
+        class FitAcfConstraint : public Constraint {
+          private:
+            class Impl : public Constraint::Impl {
+                Real gammaLower_, gammaUpper_;
+              public:
+                Impl(Real gammaLower, Real gammaUpper)
+                : gammaLower_(gammaLower), gammaUpper_(gammaUpper) {}
+                bool test(const Array &x) const {
+                    QL_REQUIRE(x.size() >= 2, "size of parameters vector < 2");
+                    return x[0] >= gammaLower_ && x[0] < gammaUpper_
+                        && x[1] >= 0 && x[1] <= x[0];
+                }
+            };
+          public:
+            FitAcfConstraint(Real gammaLower, Real gammaUpper)
+            : Constraint(boost::shared_ptr<Constraint::Impl>(
+                       new FitAcfConstraint::Impl(gammaLower, gammaUpper))) {}
+        };
+
+
+        Real fGamma(Real gamma, Real A, Real B) {
+            Real beta = gamma * (1 - A) - B;
+            return 3*A*(1 - gamma*gamma) - 1 + 3*gamma*gamma + 2*beta*beta - 4*beta*gamma;
+        }
+
+
+        // Initial guess based on fitting ACF - initial guess for
+        // fitting acf is a moment matching estimates for mean(r2),
+        // acf(0), and acf(1).
+        Real initialGuess1(const Array &acf, Real mean_r2,
+                           Real &alpha, Real &beta, Real &omega) {
+            Real A21 = acf[1];
+            Real A4 = acf[0] + mean_r2*mean_r2;
+
+            Real A = mean_r2*mean_r2/A4; // 1/sigma^2
+            Real B = A21 / A4; // rho(1)
+
+            Real gammaLower = A <= 1./3. - tol_level ? std::sqrt((1 - 3*A)/(3 - 3*A)) + tol_level : tol_level;
+            Garch11Constraint constraints(gammaLower, 1.0 - tol_level);
+
+            Real gamma = gammaLower + (1 - gammaLower) * 0.5;
+            beta = std::min(gamma, std::max(gamma * (1 - A) - B, 0.0));
+            alpha = gamma - beta;
+            omega = mean_r2 * (1 - gamma);
+
+            if (std::fabs(A-0.5) < QL_EPSILON) {
+                gamma = std::max(gammaLower, -(1+4*B*B)/(4*B));
+                beta = std::min(gamma, std::max(gamma * (1 - A) - B, 0.0));
+                alpha = gamma - beta;
+                omega = mean_r2 * (1 - gamma);
+            } else {
+                if (A > 1.0 - QL_EPSILON) {
+                    gamma = std::max(gammaLower, -(1+B*B)/(2*B));
+                    beta = std::min(gamma, std::max(gamma * (1 - A) - B, 0.0));
+                    alpha = gamma - beta;
+                    omega = mean_r2 * (1 - gamma);
+                } else {
+                    Real D = (3*A-1)*(2*B*B+(1-A)*(2*A-1));
+                    if (D >= 0) {
+                        Real d = std::sqrt(D);
+                        Real b = (B - d)/(2*A-1);
+                        Real g = 0;
+                        if (b >= tol_level && b <= 1.0 - tol_level) {
+                            g = (b + B) / (1 - A);
+                        }
+                        if (g < gammaLower) {
+                            b = (B + d)/(2*A-1);
+                            if (b >= tol_level && b <= 1.0 - tol_level) {
+                                g = (b + B) / (1 - A);
+                            }
+                        }
+                        if (g >= gammaLower) {
+                            gamma = g;
+                            beta = std::min(gamma, std::max(gamma * (1 - A) - B, 0.0));
+                            alpha = gamma - beta;
+                            omega = mean_r2 * (1 - gamma);
+                        }
+                    }
+                }
+            }
+
+            std::vector<std::size_t> idx;
+            std::size_t nCov = acf.size() - 1;
+            for (std::size_t i = 0; i <= nCov; ++i) {
+                if (i < 2 || i > 1 && acf[i] > 0 && acf[i-1] > 0 && acf[i-1] > acf[i]) {
+                    idx.push_back(i);
+                }
+            }
+
+            Array x(2);
+            x[0] = gamma;
+            x[1] = beta;
+
+            try {
+                FitAcfConstraint c(gammaLower, 1.0 - tol_level);
+                NonLinearLeastSquare nnls(c);
+                nnls.setInitialValue(x);
+                FitAcfProblem pr(mean_r2, acf, idx);
+                x = nnls.perform(pr);
+                Array guess(3);
+                guess[0] = mean_r2 * (1 - x[0]);
+                guess[1] = x[0] - x[1];
+                guess[2] = x[1];
+                if (constraints.test(guess)) {
+                    omega = guess[0];
+                    alpha = guess[1];
+                    beta = guess[2];
+                }
+            } catch (const std::exception &) {
+                // failed -- returning initial values
+            }
+            return gammaLower;
+        }
+
+        // Initial guess based on fitting ACF - initial guess for
+        // fitting acf is an estimate of gamma = alpfa+beta based on
+        // the property: acf(i+1) = gamma*acf(i) for i > 1.
+        Real initialGuess2 (const Array &acf, Real mean_r2,
+                            Real &alpha, Real &beta, Real &omega) {
+            Real A21 = acf[1];
+            Real A4 = acf[0] + mean_r2*mean_r2;
+            Real A = mean_r2*mean_r2/A4; // 1/sigma^2
+            Real B = A21 / A4; // rho(1)
+            Real gammaLower = A <= 1./3. - tol_level ? std::sqrt((1 - 3*A)/(3 - 3*A)) + tol_level : tol_level;
+            Garch11Constraint constraints(gammaLower, 1.0 - tol_level);
+
+            // ACF
+            Real gamma = 0;
+            std::size_t nn = 0;
+            std::vector<std::size_t> idx;
+            std::size_t nCov = acf.size() - 1;
+            for (std::size_t i = 0; i <= nCov; ++i) {
+                if (i < 2) idx.push_back(i);
+                if (i > 1 && acf[i] > 0 && acf[i-1] > 0 && acf[i-1] > acf[i]) {
+                    gamma += acf[i]/acf[i-1];
+                    nn++;
+                    idx.push_back(i);
+                }
+            }
+            if (nn > 0)
+                gamma /= nn;
+            if (gamma < gammaLower) gamma = gammaLower;
+            beta = std::min(gamma, std::max(gamma * (1 - A) - B, 0.0));
+            omega = mean_r2 * (1 - gamma);
+
+            Array x(2);
+            x[0] = gamma;
+            x[1] = beta;
+
+            try {
+                FitAcfConstraint c(gammaLower, 1 - tol_level);
+                NonLinearLeastSquare nnls(c);
+                nnls.setInitialValue(x);
+                FitAcfProblem pr(mean_r2, acf, idx);
+                x = nnls.perform(pr);
+                Array guess(3);
+                guess[0] = mean_r2 * (1 - x[0]);
+                guess[1] = x[0] - x[1];
+                guess[2] = x[1];
+                if (constraints.test(guess)) {
+                    omega = guess[0];
+                    alpha = guess[1];
+                    beta = guess[2];
+                }
+            } catch (const std::exception &) {
+                // failed -- returning initial values
+            }
+            return gammaLower;
+        }
+
+    }
+
+    Garch11::time_series
+    Garch11::calculate(const time_series& quoteSeries,
+                       Real alpha, Real beta, Real omega) {
+        time_series retval;
+        const_iterator cur = quoteSeries.cbegin();
+        Real u = cur->second;
+        Real sigma2 = u*u;
+        retval[cur->first] = u;
+        while (++cur != quoteSeries.end()) {
+            u = cur->second; // here?
+            sigma2 = omega + alpha * u * u + beta * sigma2;
+            retval[cur->first] = std::sqrt(sigma2);
+            // u = cur->second; // or here?
+        }
+        return retval;
     }
-    return retval;
-  }
-
-  void Garch11::calibrate(const TimeSeries<Volatility>&) {}
-
-  Real Garch11::costFunction(const TimeSeries<Volatility>& qs,
-                             Real alpha, Real beta, Real omega) {
-      Real retval(0.0);
-      TimeSeries<Volatility> test =
-          calculate(qs, alpha, beta, omega);
-      std::vector<Volatility> testValues = test.values();
-      std::vector<Volatility> quoteValues = qs.values();
-      QL_REQUIRE(testValues.size() == quoteValues.size(),
-                 "quote and test values do not match");
-      std::vector<Volatility>::const_iterator i_t, i_q;
-      i_t = testValues.begin();
-      i_q = quoteValues.begin();
-      while (i_t != testValues.end()) {
-          Real v = (*i_q) * (*i_q);
-          Real u2 = (*i_t) * (*i_t);
-          retval += 2.0 * std::log(v) + u2/ (v*v);
-          i_t++;
-          i_q++;
-      }
-      return retval;
-  }
+
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+                   Mode mode, const std::vector<Volatility> &r2, Real mean_r2,
+                   Real &alpha, Real &beta, Real &omega) {
+        EndCriteria endCriteria(10000, 500, tol_level, tol_level, tol_level);
+        Simplex method(0.001);
+        return calibrate_r2(mode, r2, mean_r2, method, endCriteria,
+                            alpha, beta, omega);
+    }
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+                   Mode mode, const std::vector<Volatility> &r2, Real mean_r2,
+                   OptimizationMethod &method, const EndCriteria &endCriteria,
+                   Real &alpha, Real &beta, Real &omega) {
+        Real dataSize = Real(r2.size());
+        alpha = 0.0;
+        beta = 0.0;
+        omega = 0.0;
+        QL_REQUIRE (dataSize >= 4,
+                    "Data series is too short to fit GARCH model");
+        QL_REQUIRE (mean_r2 > 0, "Data series is constant");
+        omega = mean_r2 * dataSize / (dataSize - 1);
+
+        // ACF
+        Size maxLag = (Size)std::sqrt(dataSize);
+        Array acf(maxLag+1);
+        std::vector<Volatility> tmp(r2.size());
+        std::transform (r2.begin(), r2.end(), tmp.begin(),
+                        std::bind2nd(std::minus<double>(), mean_r2));
+        autocovariances (tmp.begin(), tmp.end(), acf.begin(), maxLag);
+        QL_REQUIRE (acf[0] > 0, "Data series is constant");
+
+        Garch11CostFunction cost (r2);
+
+        // two initial guesses based on fitting ACF
+        Real gammaLower = 0.0;
+        Array opt1(3);
+        Real fCost1 = QL_MAX_REAL;
+        if (mode != GammaGuess) {
+            gammaLower = initialGuess1(acf, mean_r2, opt1[1], opt1[2], opt1[0]);
+            fCost1 = cost.value(opt1);
+        }
+
+        Array opt2(3);
+        Real fCost2 = QL_MAX_REAL;
+        if (mode != MomentMatchingGuess) {
+            gammaLower = initialGuess2(acf, mean_r2, opt2[1], opt2[2], opt2[0]);
+            fCost2 = cost.value(opt2);
+        }
+
+        Garch11Constraint constraints(gammaLower, 1.0 - tol_level);
+
+        boost::shared_ptr<Problem> ret;
+        if (mode != DoubleOptimization) {
+            try {
+                ret = calibrate_r2(r2, method, constraints, endCriteria,
+                                   fCost1 <= fCost2 ? opt1 : opt2,
+                                   alpha, beta, omega);
+            } catch (const std::exception &) {
+                if (fCost1 <= fCost2) {
+                    alpha = opt1[1];
+                    beta = opt1[2];
+                    omega = opt1[0];
+                } else {
+                    alpha = opt2[1];
+                    beta = opt2[2];
+                    omega = opt2[0];
+                }
+            }
+        } else {
+            boost::shared_ptr<Problem> ret1, ret2;
+            try {
+                ret1 = calibrate_r2(r2, method, constraints, endCriteria,
+                                    opt1, alpha, beta, omega);
+                opt1[1] = alpha;
+                opt1[2] = beta;
+                opt1[0] = omega;
+                double fCost = QL_MAX_REAL;
+                if (constraints.test(opt1) && (fCost = cost.value(opt1)) < fCost1)
+                    fCost1 = fCost;
+            } catch (const std::exception &) {
+                fCost1 = QL_MAX_REAL;
+            }
+
+            try {
+                ret2 = calibrate_r2(r2, method, constraints, endCriteria,
+                                    opt2, alpha, beta, omega);
+                opt2[1] = alpha;
+                opt2[2] = beta;
+                opt2[0] = omega;
+                double fCost = QL_MAX_REAL;
+                if (constraints.test(opt2) && (fCost = cost.value(opt2)) < fCost2)
+                    fCost2 = fCost;
+            } catch (const std::exception &) {
+                fCost2 = QL_MAX_REAL;
+            }
+
+            if (fCost1 <= fCost2) {
+                alpha = opt1[1];
+                beta = opt1[2];
+                omega = opt1[0];
+                ret = ret1;
+            } else {
+                alpha = opt2[1];
+                beta = opt2[2];
+                omega = opt2[0];
+                ret = ret2;
+            }
+        }
+        return ret;
+    }
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+               const std::vector<Volatility> &r2,
+               OptimizationMethod &method,
+               const EndCriteria &endCriteria,
+               const Array &initGuess, Real &alpha, Real &beta, Real &omega) {
+        Garch11Constraint constraints(0.0, 1.0 - tol_level);
+        return calibrate_r2(r2, method, constraints, endCriteria,
+                            initGuess, alpha, beta, omega);
+    }
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+               const std::vector<Volatility> &r2,
+               Real mean_r2,
+               OptimizationMethod &method,
+               const EndCriteria &endCriteria,
+               const Array &initGuess, Real &alpha, Real &beta, Real &omega) {
+        std::vector<Volatility> tmp(r2.size());
+        std::transform (r2.begin(), r2.end(), tmp.begin(),
+                        std::bind2nd(std::minus<double>(), mean_r2));
+        return calibrate_r2(tmp, method, endCriteria, initGuess,
+                            alpha, beta, omega);
+    }
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+               const std::vector<Volatility> &r2,
+               OptimizationMethod &method,
+               Constraint &constraints,
+               const EndCriteria &endCriteria,
+               const Array &initGuess, Real &alpha, Real &beta, Real &omega) {
+        Garch11CostFunction cost(r2);
+        boost::shared_ptr<Problem> problem(
+                               new Problem(cost, constraints, initGuess));
+        EndCriteria::Type ret = method.minimize(*problem, endCriteria);
+        const Array &optimum = problem->currentValue();
+        alpha = optimum[1];
+        beta = optimum[2];
+        omega = optimum[0];
+        return problem;
+    }
+
+    boost::shared_ptr<Problem> Garch11::calibrate_r2(
+               const std::vector<Volatility> &r2,
+               Real mean_r2,
+               OptimizationMethod &method,
+               Constraint &constraints,
+               const EndCriteria &endCriteria,
+               const Array &initGuess, Real &alpha, Real &beta, Real &omega) {
+        std::vector<Volatility> tmp(r2.size());
+        std::transform (r2.begin(), r2.end(), tmp.begin(),
+                        std::bind2nd(std::minus<double>(), mean_r2));
+        return calibrate_r2(tmp, method, constraints, endCriteria,
+                            initGuess, alpha, beta, omega);
+    }
+
 }
 
diff --git a/ql/models/volatility/garch.hpp b/ql/models/volatility/garch.hpp
index dce813d974..456e082565 100644
--- a/ql/models/volatility/garch.hpp
+++ b/ql/models/volatility/garch.hpp
@@ -2,6 +2,7 @@
 
 /*
  Copyright (C) 2006 Joseph Wang
+ Copyright (C) 2012 Liquidnet Holdings Inc.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -25,6 +26,8 @@
 #define quantlib_garch_volatility_model_hpp
 
 #include <ql/volatilitymodel.hpp>
+#include <ql/math/optimization/problem.hpp>
+#include <ql/math/optimization/constraint.hpp>
 #include <vector>
 
 namespace QuantLib {
@@ -33,25 +36,226 @@ namespace QuantLib {
     /*! Volatilities are assumed to be expressed on an annual basis.
     */
     class Garch11 : public VolatilityCompositor {
-      private:
-        Real alpha_, beta_, gamma_, vl_;
       public:
-        Garch11(Real a, Real b, Real vl) :
-            alpha_(a), beta_(b), vl_(vl) {gamma_ = 1 - a - b;};
-        Garch11(const TimeSeries<Volatility>& qs) {
+        typedef TimeSeries<Volatility> time_series;
+        typedef time_series::const_iterator const_iterator;
+        typedef time_series::const_value_iterator const_value_iterator;
+
+        enum Mode {
+            MomentMatchingGuess,   /*!< The initial guess is a moment
+                                        matching estimates for
+                                        mean(r2), acf(0), and acf(1). */
+            GammaGuess,            /*!< The initial guess is an
+                                        estimate of gamma based on the
+                                        property:
+                                        acf(i+1) = gamma*acf(i) for i > 1. */
+            BestOfTwo,             /*!< The best of the two above modes */
+            DoubleOptimization     /*!< Double optimization */
+        };
+
+        //! \name Constructors
+        //@{
+        Garch11(Real a, Real b, Real vl)
+        : alpha_(a), beta_(b), gamma_(1 - a - b),
+          vl_(vl), logLikelihood_(0), mode_(BestOfTwo) {}
+
+        Garch11(const time_series& qs, Mode mode = BestOfTwo)
+        : alpha_(0), beta_(0), vl_(0), logLikelihood_(0), mode_(mode) {
             calibrate(qs);
         };
-        TimeSeries<Volatility>
-        calculate(const TimeSeries<Volatility>& quoteSeries);
+        //@}
+
+        //! \name Inspectors
+        //@{
+        Real alpha() const { return alpha_; }
+        Real beta() const { return beta_; }
+        Real omega() const { return vl_ * gamma_; }
+        Real ltVol() const { return vl_; }
+        Real logLikelihood() const { return logLikelihood_; }
+        Mode mode() const { return mode_; }
+        //@}
+
+        //! \name VolatilityCompositor interface
+        //@{
+        time_series calculate(const time_series& quoteSeries) {
+            return calculate(quoteSeries, alpha(), beta(), omega());
+        }
+        void calibrate(const time_series& quoteSeries) {
+            calibrate(quoteSeries.cbegin_values(), quoteSeries.cend_values());
+        }
+        //@}
+
+        //! \name Additional interface
+        //@{
+        static time_series calculate(const time_series& quoteSeries,
+                                     Real alpha, Real beta, Real omega);
+
+        void calibrate(const time_series& quoteSeries,
+                       OptimizationMethod& method,
+                       const EndCriteria& endCriteria) {
+            calibrate(quoteSeries.cbegin_values(), quoteSeries.cend_values(),
+                      method, endCriteria);
+        }
+
+        void calibrate(const time_series& quoteSeries,
+                       OptimizationMethod& method,
+                       const EndCriteria& endCriteria,
+                       const Array& initialGuess) {
+            calibrate(quoteSeries.cbegin_values(), quoteSeries.cend_values(),
+                      method, endCriteria, initialGuess);
+        }
+
+        template <typename ForwardIterator>
+        void calibrate(ForwardIterator begin, ForwardIterator end) {
+            std::vector<Volatility> r2;
+            Real mean_r2 = to_r2(begin, end, r2);
+            boost::shared_ptr<Problem> p =
+                calibrate_r2(mode_, r2, mean_r2, alpha_, beta_, vl_);
+            gamma_ = 1 - alpha_ - beta_;
+            vl_ /= gamma_;
+            logLikelihood_ = p ? -p->functionValue() :
+                                 -costFunction(begin, end);
+        }
 
-        TimeSeries<Volatility>
-        calculate(const TimeSeries<Volatility>& quoteSeries,
-                  Real, Real, Real);
+        template <typename ForwardIterator>
+        void calibrate(ForwardIterator begin, ForwardIterator end,
+                       OptimizationMethod& method,
+                       EndCriteria endCriteria) {
+            std::vector<Volatility> r2;
+            Real mean_r2 = to_r2(begin, end, r2);
+            boost::shared_ptr<Problem> p =
+                calibrate_r2(mode_, r2, mean_r2, method,
+                             endCriteria, alpha_, beta_, vl_);
+            gamma_ = 1 - alpha_ - beta_;
+            vl_ /= gamma_;
+            logLikelihood_ = p ? -p->functionValue() :
+                                 -costFunction(begin, end);
+        }
+
+        template <typename ForwardIterator>
+        void calibrate(ForwardIterator begin, ForwardIterator end,
+                       OptimizationMethod& method,
+                       EndCriteria endCriteria,
+                       const Array& initialGuess) {
+            std::vector<Volatility> r2;
+            to_r2(begin, end, r2);
+            boost::shared_ptr<Problem> p =
+                calibrate_r2(r2, method, endCriteria, initialGuess,
+                             alpha_, beta_, vl_);
+            gamma_ = 1 - alpha_ - beta_;
+            vl_ /= gamma_;
+            logLikelihood_ = p ? -p->functionValue() :
+                                 -costFunction(begin, end);
+        }
+
+        Real forecast(Real r, Real sigma2) const {
+            return gamma_* vl_ + alpha_ * r * r + beta_ * sigma2;
+        }
+
+        // a helper for calculation of r^2 and <r^2>
+        template <typename InputIterator>
+        static Real to_r2(InputIterator begin, InputIterator end,
+                          std::vector<Volatility>& r2) {
+            Real u2(0.0), mean_r2(0.0), w(1.0);
+            for (; begin != end; ++begin) {
+                u2 = *begin; u2 *= u2;
+                mean_r2 = (1.0 - w) * mean_r2 + w * u2;
+                r2.push_back(u2);
+                w /= (w + 1.0);
+            }
+            return mean_r2;
+        }
+
+        /*! calibrates GARCH for r^2 */
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        Mode mode,
+                                        const std::vector<Volatility>& r2,
+                                        Real mean_r2,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        /*! calibrates GARCH for r^2 with user-defined optimization
+            method and end criteria */
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        Mode mode,
+                                        const std::vector<Volatility>& r2,
+                                        Real mean_r2,
+                                        OptimizationMethod& method,
+                                        const EndCriteria& endCriteria,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        /*! calibrates GARCH for r^2 with user-defined optimization
+            method, end criteria and initial guess */
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        const std::vector<Volatility>& r2,
+                                        Real mean_r2,
+                                        OptimizationMethod& method,
+                                        const EndCriteria& endCriteria,
+                                        const Array& initialGuess,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        /*! calibrates GARCH for r^2 with user-defined optimization
+            method, end criteria and initial guess */
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        const std::vector<Volatility> &r2,
+                                        OptimizationMethod& method,
+                                        const EndCriteria& endCriteria,
+                                        const Array& initialGuess,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        /*! calibrates GARCH for r^2 with user-defined optimization
+            method, end criteria, constraints and initial guess */
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        const std::vector<Volatility>& r2,
+                                        Real mean_r2,
+                                        OptimizationMethod& method,
+                                        Constraint& constraints,
+                                        const EndCriteria& endCriteria,
+                                        const Array& initialGuess,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        static boost::shared_ptr<Problem> calibrate_r2(
+                                        const std::vector<Volatility> &r2,
+                                        OptimizationMethod& method,
+                                        Constraint& constraints,
+                                        const EndCriteria& endCriteria,
+                                        const Array& initialGuess,
+                                        Real& alpha,
+                                        Real& beta,
+                                        Real& omega);
+
+        template<class InputIterator>
+        static Real costFunction(InputIterator begin, InputIterator end,
+                                 Real alpha, Real beta, Real omega) {
+            Real retval(0.0);
+            Real u2(0.0), sigma2(0.0);
+            Size N = 0;
+            for (; begin != end; ++begin, ++N) {
+                sigma2 = omega + alpha * u2 + beta * sigma2;
+                u2 = *begin; u2 *= u2;
+                retval += std::log(sigma2) + u2 / sigma2;
+            }
+            return N > 0 ? retval / (2*N) : 0.0;
+        }
+        //@}
+      private:
+        Real alpha_, beta_, gamma_, vl_;
+        Real logLikelihood_;
+        Mode mode_;
 
-        void calibrate(const TimeSeries<Volatility>& quoteSeries);
-    private:
-        Real costFunction(const TimeSeries<Volatility>& qs,
-                          Real alpha, Real beta, Real omega);
+        template<class InputIterator>
+        Real costFunction(InputIterator begin, InputIterator end) const {
+            return costFunction(begin, end, alpha(), beta(), omega());
+        }
     };
 
 }
diff --git a/ql/volatilitymodel.hpp b/ql/volatilitymodel.hpp
index a3ca3c022d..0e637373ba 100644
--- a/ql/volatilitymodel.hpp
+++ b/ql/volatilitymodel.hpp
@@ -32,7 +32,7 @@ namespace QuantLib {
 
     template <class T>
     class LocalVolatilityEstimator {
-    public:
+      public:
         virtual ~LocalVolatilityEstimator() {}
         virtual TimeSeries<Volatility>
         calculate(const TimeSeries<T> &quoteSeries) = 0;
@@ -40,10 +40,10 @@ namespace QuantLib {
 
     class VolatilityCompositor {
       public:
+        typedef TimeSeries<Volatility> time_series;
         virtual ~VolatilityCompositor() {}
-        virtual TimeSeries<Volatility>
-        calculate(const TimeSeries<Volatility>& volatilitySeries) = 0;
-        virtual void calibrate(const TimeSeries<Volatility>& volatilitySeries) = 0;
+        virtual time_series calculate(const time_series& volatilitySeries) = 0;
+        virtual void calibrate(const time_series& volatilitySeries) = 0;
     };
 
 }
diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
index 697d1347d3..2891604c8a 100644
--- a/test-suite/Makefile.am
+++ b/test-suite/Makefile.am
@@ -44,6 +44,7 @@ QL_TESTS = \
 	fdheston.hpp fdheston.cpp \
 	fdmlinearop.hpp fdmlinearop.cpp \
 	forwardoption.hpp forwardoption.cpp \
+	garch.hpp garch.cpp \
 	gaussianquadratures.hpp gaussianquadratures.cpp \
 	gjrgarchmodel.hpp gjrgarchmodel.cpp \
 	hestonmodel.hpp hestonmodel.cpp \
diff --git a/test-suite/garch.cpp b/test-suite/garch.cpp
new file mode 100644
index 0000000000..0d42dcb49b
--- /dev/null
+++ b/test-suite/garch.cpp
@@ -0,0 +1,155 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Liquidnet Holdings, Inc.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include "garch.hpp"
+#include "utilities.hpp"
+#include <ql/models/volatility/garch.hpp>
+#include <ql/time/calendars/target.hpp>
+#include <ql/math/optimization/levenbergmarquardt.hpp>
+#include <boost/random.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+namespace {
+
+    class DummyOptimizationMethod : public OptimizationMethod {
+      public:
+        virtual EndCriteria::Type minimize(Problem& P,
+                                           const EndCriteria& endCriteria) {
+            P.setFunctionValue(P.value(P.currentValue()));
+            return EndCriteria::None;
+        }
+    };
+
+    struct Results {
+        Real alpha;
+        Real beta;
+        Real omega;
+        Real logLikelihood;
+    };
+
+}
+
+#define CHECK(results, garch, member, tolerance) \
+    if (std::fabs(results.member - garch.member()) > tolerance) { \
+        BOOST_ERROR("Failed to reproduce expected " #member \
+                    << "\n    calculated: " << garch.member() \
+                    << "\n    expected:   " << results.member); \
+    }
+
+void GARCHTest::testCalibration() {
+
+    BOOST_MESSAGE("Testing GARCH model calibration ...");
+
+    typedef boost::variate_generator<boost::minstd_rand,
+                                     boost::normal_distribution<Real> >
+        GaussianGenerator;
+
+    Date start(7, July, 1962), d = start;
+    Calendar calendar = TARGET();
+    TimeSeries<Volatility> ts;
+    Garch11 garch(0.2, 0.3, 0.4);
+    GaussianGenerator g(boost::minstd_rand(48),
+                        boost::normal_distribution<Real>(0.0, 1.0));
+
+    Volatility r = 0.0, v = 0.0;
+    for (std::size_t i = 0; i < 50000; ++i, d = calendar.advance(d, 1, Days)) {
+        v = garch.forecast(r, v);
+        r = g() * std::sqrt(v);
+        ts[d] = r;
+    }
+
+    // Default calibration; works fine in most cases
+    Garch11 cgarch1(ts);
+    Real f1 = cgarch1.logLikelihood();
+    Real f2 = -cgarch1.costFunction(ts.cbegin_values(), ts.cend_values(),
+                                    garch.alpha(), garch.beta(), garch.omega());
+
+    Results calibrated = { 0.193890, 0.290606, 0.204217, -0.018323 };
+    Real tolerance = 1e-6;
+
+    CHECK(calibrated, cgarch1, alpha, tolerance);
+    CHECK(calibrated, cgarch1, beta, tolerance);
+    CHECK(calibrated, cgarch1, omega, tolerance);
+    CHECK(calibrated, cgarch1, logLikelihood, tolerance);
+
+    // Type 1 initial guess - no further optimization
+    Garch11 cgarch2(ts, Garch11::MomentMatchingGuess);
+    DummyOptimizationMethod m;
+    cgarch2.calibrate(ts, m, EndCriteria (3, 2, 0.0, 0.0, 0.0));
+    Results expected1 = { 0.325500, 0.293661, 0.150953, -0.025423 };
+
+    CHECK(expected1, cgarch2, alpha, tolerance);
+    CHECK(expected1, cgarch2, beta, tolerance);
+    CHECK(expected1, cgarch2, omega, tolerance);
+    CHECK(expected1, cgarch2, logLikelihood, tolerance);
+
+    // Optimization from this initial guess
+    cgarch2.calibrate(ts);
+
+    CHECK(calibrated, cgarch2, alpha, tolerance);
+    CHECK(calibrated, cgarch2, beta, tolerance);
+    CHECK(calibrated, cgarch2, omega, tolerance);
+    CHECK(calibrated, cgarch2, logLikelihood, tolerance);
+
+    // Type 2 initial guess - no further optimization
+    Garch11 cgarch3(ts, Garch11::GammaGuess);
+    cgarch3.calibrate(ts, m, EndCriteria (3, 2, 0.0, 0.0, 0.0));
+    Results expected2 = { 0.341533, 0.160356, 0.197436, -0.024357 };
+
+    CHECK(expected2, cgarch3, alpha, tolerance);
+    CHECK(expected2, cgarch3, beta, tolerance);
+    CHECK(expected2, cgarch3, omega, tolerance);
+    CHECK(expected2, cgarch3, logLikelihood, tolerance);
+
+    // Optimization from this initial guess
+    cgarch3.calibrate(ts);
+
+    CHECK(calibrated, cgarch3, alpha, tolerance);
+    CHECK(calibrated, cgarch3, beta, tolerance);
+    CHECK(calibrated, cgarch3, omega, tolerance);
+    CHECK(calibrated, cgarch3, logLikelihood, tolerance);
+
+    // Double optimization using type 1 and 2 initial guesses
+    Garch11 cgarch4(ts,  Garch11::DoubleOptimization);
+    cgarch4.calibrate(ts);
+
+    CHECK(calibrated, cgarch4, alpha, tolerance);
+    CHECK(calibrated, cgarch4, beta, tolerance);
+    CHECK(calibrated, cgarch4, omega, tolerance);
+    CHECK(calibrated, cgarch4, logLikelihood, tolerance);
+
+    // Alternative, gradient based optimization - usually gives worse
+    // results than simplex
+    LevenbergMarquardt lm;
+    cgarch4.calibrate(ts, lm, EndCriteria (100000, 500, 1e-8, 1e-8, 1e-8));
+    Results expected3 = { 0.253443, 0.267758, 0.687105, -0.21211 };
+
+    CHECK(expected3, cgarch4, alpha, tolerance);
+    CHECK(expected3, cgarch4, beta, tolerance);
+    CHECK(expected3, cgarch4, omega, tolerance);
+    CHECK(expected3, cgarch4, logLikelihood, tolerance);
+}
+
+test_suite* GARCHTest::suite() {
+    test_suite* suite = BOOST_TEST_SUITE("GARCH model tests");
+    suite->add(QUANTLIB_TEST_CASE(&GARCHTest::testCalibration));
+    return suite;
+}
diff --git a/test-suite/garch.hpp b/test-suite/garch.hpp
new file mode 100644
index 0000000000..2c5ce85b6f
--- /dev/null
+++ b/test-suite/garch.hpp
@@ -0,0 +1,32 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2012 Liquidnet Holdings Inc.
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_test_garch_hpp
+#define quantlib_test_garch_hpp
+
+#include <boost/test/unit_test.hpp>
+
+class GARCHTest {
+  public:
+    static void testCalibration();
+    static boost::unit_test_framework::test_suite* suite();
+};
+
+
+#endif
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
index 494ca00843..46f9adea2e 100644
--- a/test-suite/quantlibtestsuite.cpp
+++ b/test-suite/quantlibtestsuite.cpp
@@ -86,6 +86,7 @@
 #include "fdmlinearop.hpp"
 #include "forwardoption.hpp"
 #include "gaussianquadratures.hpp"
+#include "garch.hpp"
 #include "gjrgarchmodel.hpp"
 #include "hestonmodel.hpp"
 #include "himalayaoption.hpp"
@@ -283,6 +284,7 @@ test_suite* init_unit_test_suite(int, char* []) {
     test->add(FdHestonTest::suite());
     test->add(FdmLinearOpTest::suite());
     test->add(ForwardOptionTest::suite());
+    test->add(GARCHTest::suite());
     test->add(GaussianQuadraturesTest::suite());
     test->add(GJRGARCHModelTest::suite());
     test->add(HestonModelTest::suite());
diff --git a/test-suite/testsuite.dev b/test-suite/testsuite.dev
index db0b14446a..5fcfb15d28 100644
--- a/test-suite/testsuite.dev
+++ b/test-suite/testsuite.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=testsuite.dev
 Name=QuantLib-test-suite
-UnitCount=238
+UnitCount=240
 Type=1
 Ver=1
 ObjFiles=
@@ -2426,3 +2426,23 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit239]
+FileName=garch.cpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit240]
+FileName=garch.hpp
+CompileCpp=1
+Folder=QuantLib-test-suite
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/test-suite/testsuite_vc10.vcxproj b/test-suite/testsuite_vc10.vcxproj
index 40ab7fd23f..55c4debc96 100644
--- a/test-suite/testsuite_vc10.vcxproj
+++ b/test-suite/testsuite_vc10.vcxproj
@@ -365,6 +365,7 @@
     <ClCompile Include="fdheston.cpp" />
     <ClCompile Include="fdmlinearop.cpp" />
     <ClCompile Include="forwardoption.cpp" />
+    <ClCompile Include="garch.cpp" />
     <ClCompile Include="gaussianquadratures.cpp" />
     <ClCompile Include="gjrgarchmodel.cpp" />
     <ClCompile Include="hestonmodel.cpp" />
@@ -486,6 +487,7 @@
     <ClInclude Include="fdheston.hpp" />
     <ClInclude Include="fdmlinearop.hpp" />
     <ClInclude Include="forwardoption.hpp" />
+    <ClInclude Include="garch.hpp" />
     <ClInclude Include="gaussianquadratures.hpp" />
     <ClInclude Include="gjrgarchmodel.hpp" />
     <ClInclude Include="hestonmodel.hpp" />
@@ -572,4 +574,4 @@
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
\ No newline at end of file
+</Project>
diff --git a/test-suite/testsuite_vc10.vcxproj.filters b/test-suite/testsuite_vc10.vcxproj.filters
index 3a1c0062ef..56f4ca5a5d 100644
--- a/test-suite/testsuite_vc10.vcxproj.filters
+++ b/test-suite/testsuite_vc10.vcxproj.filters
@@ -140,6 +140,9 @@
     <ClCompile Include="forwardoption.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
+    <ClCompile Include="garch.cpp">
+      <Filter>Source Files</Filter>
+    </ClCompile>
     <ClCompile Include="gaussianquadratures.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
@@ -497,6 +500,9 @@
     <ClInclude Include="forwardoption.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
+    <ClInclude Include="garch.hpp">
+      <Filter>Header Files</Filter>
+    </ClInclude>
     <ClInclude Include="gaussianquadratures.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>
@@ -726,4 +732,4 @@
       <Filter>Header Files</Filter>
     </ClInclude>
   </ItemGroup>
-</Project>
\ No newline at end of file
+</Project>
diff --git a/test-suite/testsuite_vc7.vcproj b/test-suite/testsuite_vc7.vcproj
index a2066c04b3..b2554522c6 100644
--- a/test-suite/testsuite_vc7.vcproj
+++ b/test-suite/testsuite_vc7.vcproj
@@ -575,6 +575,9 @@
 			<File
 				RelativePath=".\forwardoption.cpp">
 			</File>
+			<File
+				RelativePath=".\garch.cpp">
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.cpp">
 			</File>
@@ -933,6 +936,9 @@
 			<File
 				RelativePath=".\forwardoption.hpp">
 			</File>
+			<File
+				RelativePath=".\garch.hpp">
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.hpp">
 			</File>
diff --git a/test-suite/testsuite_vc8.vcproj b/test-suite/testsuite_vc8.vcproj
index 0744349570..afc41efc78 100644
--- a/test-suite/testsuite_vc8.vcproj
+++ b/test-suite/testsuite_vc8.vcproj
@@ -610,6 +610,10 @@
 				RelativePath=".\forwardoption.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\garch.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.cpp"
 				>
@@ -1087,6 +1091,10 @@
 				RelativePath=".\forwardoption.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\garch.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.hpp"
 				>
diff --git a/test-suite/testsuite_vc9.vcproj b/test-suite/testsuite_vc9.vcproj
index c81c40aebc..9f7c7051dc 100644
--- a/test-suite/testsuite_vc9.vcproj
+++ b/test-suite/testsuite_vc9.vcproj
@@ -1027,6 +1027,10 @@
 				RelativePath=".\forwardoption.cpp"
 				>
 			</File>
+			<File
+				RelativePath=".\garch.cpp"
+				>
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.cpp"
 				>
@@ -1504,6 +1508,10 @@
 				RelativePath=".\forwardoption.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\garch.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\gaussianquadratures.hpp"
 				>

From c97a4f1ed7a19bd2f275f0d05cbeb633f54147e5 Mon Sep 17 00:00:00 2001
From: lballabio <lballabio@8618b1d8-e22c-0410-b026-96a5dba3e089>
Date: Fri, 16 Nov 2012 14:21:22 +0000
Subject: [PATCH 407/410] Updated Windows projects

git-svn-id: https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib@18362 8618b1d8-e22c-0410-b026-96a5dba3e089
---
 QuantLib.dev                  | 413 +++++++++++++++++++++++++++++++++-
 QuantLib_vc10.vcxproj         |  25 +-
 QuantLib_vc10.vcxproj.filters |  71 +++++-
 QuantLib_vc7.vcproj           | 129 ++++++++++-
 QuantLib_vc8.vcproj           | 168 +++++++++++++-
 QuantLib_vc9.vcproj           | 168 +++++++++++++-
 6 files changed, 964 insertions(+), 10 deletions(-)

diff --git a/QuantLib.dev b/QuantLib.dev
index c8655def25..272c8f37eb 100644
--- a/QuantLib.dev
+++ b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=1804
+UnitCount=1845
 Type=2
 Ver=1
 ObjFiles=
@@ -18086,3 +18086,414 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit1805]
+FileName=ql\experimental\finitedifferences\glued1dmesher.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1806]
+FileName=ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1807]
+FileName=ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1808]
+FileName=ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1809]
+FileName=ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1810]
+FileName=ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1811]
+FileName=ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1812]
+FileName=ql\experimental\finitedifferences\glued1dmesher.cpp
+CompileCpp=1
+Folder=experimental/finitedifferences
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1813]
+FileName=ql\math\matrixutilities\sparsematrix.hpp
+CompileCpp=1
+Folder=math/matrixutilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1814]
+FileName=ql\math\optimization\differentialevolution.hpp
+CompileCpp=1
+Folder=math/optimization
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1815]
+FileName=ql\math\optimization\differentialevolution.cpp
+CompileCpp=1
+Folder=math/optimization
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1816]
+FileName=ql\math\randomnumbers\sobolbrownianbridgersg.hpp
+CompileCpp=1
+Folder=math/randomnumbers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1817]
+FileName=ql\math\randomnumbers\sobolbrownianbridgersg.cpp
+CompileCpp=1
+Folder=math/randomnumbers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1818]
+FileName=ql\math\richardsonextrapolation.hpp
+CompileCpp=1
+Folder=math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1819]
+FileName=ql\math\richardsonextrapolation.cpp
+CompileCpp=1
+Folder=math
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1820]
+FileName=ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/operators
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1821]
+FileName=ql\methods\finitedifferences\operators\fdmg2op.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/operators
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1822]
+FileName=ql\methods\finitedifferences\operators\fdmg2op.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/operators
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1823]
+FileName=ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/operators
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1824]
+FileName=ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/schemes
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1825]
+FileName=ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1826]
+FileName=ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1827]
+FileName=ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1828]
+FileName=ql\methods\finitedifferences\solvers\fdmg2solver.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1829]
+FileName=ql\methods\finitedifferences\solvers\fdmg2solver.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1830]
+FileName=ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/solvers
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1831]
+FileName=ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1832]
+FileName=ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1833]
+FileName=ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1834]
+FileName=ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1835]
+FileName=ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1836]
+FileName=ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1837]
+FileName=ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1838]
+FileName=ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1839]
+FileName=ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp
+CompileCpp=1
+Folder=methods/finitedifferences/utilities
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1840]
+FileName=ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp
+CompileCpp=1
+Folder=pricingengines/swaption
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1841]
+FileName=ql\pricingengines\swaption\fdg2swaptionengine.cpp
+CompileCpp=1
+Folder=pricingengines/swaption
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1842]
+FileName=ql\pricingengines\swaption\fdg2swaptionengine.hpp
+CompileCpp=1
+Folder=pricingengines/swaption
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1843]
+FileName=ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp
+CompileCpp=1
+Folder=pricingengines/swaption
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1844]
+FileName=ql\pricingengines\vanilla\analytich1hwengine.hpp
+CompileCpp=1
+Folder=pricingengines/vanilla
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit1845]
+FileName=ql\pricingengines\vanilla\analytich1hwengine.cpp
+CompileCpp=1
+Folder=pricingengines/vanilla
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
diff --git a/QuantLib_vc10.vcxproj b/QuantLib_vc10.vcxproj
index 1afc0e54fb..d734879851 100644
--- a/QuantLib_vc10.vcxproj
+++ b/QuantLib_vc10.vcxproj
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project DefaultTargets="Build" ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup Label="ProjectConfigurations">
     <ProjectConfiguration Include="Debug (static runtime)|Win32">
@@ -250,6 +250,7 @@
   <ItemGroup>
     <ClInclude Include="ql\cashflows\cpicoupon.hpp" />
     <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmexpextouinnervaluecalculator.hpp" />
@@ -262,10 +263,13 @@
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple2dextousolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmsimple3dextoujumpsolver.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepcondition.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp" />
+    <ClInclude Include="ql\experimental\finitedifferences\glued1dmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpicapfloorengines.hpp" />
     <ClInclude Include="ql\experimental\inflation\cpicapfloortermpricesurface.hpp" />
@@ -280,6 +284,10 @@
     <ClInclude Include="ql\instruments\vanillaswingoption.hpp" />
     <ClInclude Include="ql\math\matrixutilities\bicgstab.hpp" />
     <ClInclude Include="ql\math\matrixutilities\sparseilupreconditioner.hpp" />
+    <ClInclude Include="ql\math\matrixutilities\sparsematrix.hpp" />
+    <ClInclude Include="ql\math\optimization\differentialevolution.hpp" />
+    <ClInclude Include="ql\math\randomnumbers\sobolbrownianbridgersg.hpp" />
+    <ClInclude Include="ql\math\richardsonextrapolation.hpp" />
     <ClInclude Include="ql\methods\all.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\meshers\all.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\meshers\concentrating1dmesher.hpp" />
@@ -311,6 +319,7 @@
     <ClInclude Include="ql\methods\finitedifferences\operators\secondordermixedderivativeop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\triplebandlinearop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\all.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\craigsneydscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\douglasscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\expliciteulerscheme.hpp" />
@@ -343,10 +352,13 @@
     <ClInclude Include="ql\methods\finitedifferences\utilities\all.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmquantohelper.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp" />
     <ClInclude Include="ql\methods\montecarlo\all.hpp" />
     <ClInclude Include="ql\methods\montecarlo\brownianbridge.hpp" />
     <ClInclude Include="ql\methods\montecarlo\earlyexercisepathpricer.hpp" />
@@ -831,6 +843,7 @@
     <ClInclude Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\swaption\fdg2swaptionengine.hpp" />
     <ClInclude Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\analytich1hwengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdbatesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp" />
@@ -1358,16 +1371,20 @@
   <ItemGroup>
     <ClCompile Include="ql\cashflows\cpicoupon.cpp" />
     <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdklugeextouspreadengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextendedornsteinuhlenbeckop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpop.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmextoujumpsolver.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmklugeextouop.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepcondition.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleextoustorageengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
+    <ClCompile Include="ql\experimental\finitedifferences\glued1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpicapfloorengines.cpp" />
     <ClCompile Include="ql\experimental\inflation\cpicapfloortermpricesurface.cpp" />
@@ -1381,6 +1398,9 @@
     <ClCompile Include="ql\instruments\vanillaswingoption.cpp" />
     <ClCompile Include="ql\math\matrixutilities\bicgstab.cpp" />
     <ClCompile Include="ql\math\matrixutilities\sparseilupreconditioner.cpp" />
+    <ClCompile Include="ql\math\optimization\differentialevolution.cpp" />
+    <ClCompile Include="ql\math\randomnumbers\sobolbrownianbridgersg.cpp" />
+    <ClCompile Include="ql\math\richardsonextrapolation.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\meshers\concentrating1dmesher.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\meshers\exponentialjump1dmesher.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.cpp" />
@@ -1431,8 +1451,10 @@
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmdividendhandler.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmquantohelper.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp" />
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp" />
     <ClCompile Include="ql\methods\montecarlo\genericlsregression.cpp" />
     <ClCompile Include="ql\methods\montecarlo\lsmbasissystem.cpp" />
@@ -1735,6 +1757,7 @@
     <ClCompile Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\swaption\fdg2swaptionengine.cpp" />
     <ClCompile Include="ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\analytich1hwengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdbatesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.cpp" />
diff --git a/QuantLib_vc10.vcxproj.filters b/QuantLib_vc10.vcxproj.filters
index b55fe4885b..86f8bb722e 100644
--- a/QuantLib_vc10.vcxproj.filters
+++ b/QuantLib_vc10.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Filter Include="methods">
@@ -3558,6 +3558,45 @@
     <ClInclude Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp">
       <Filter>methods\finitedifferences\utilities</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\glued1dmesher.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\math\matrixutilities\sparsematrix.hpp">
+      <Filter>math\matrixutilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\math\optimization\differentialevolution.hpp">
+      <Filter>math\optimization</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\math\randomnumbers\sobolbrownianbridgersg.hpp">
+      <Filter>math\randomnumbers</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\math\richardsonextrapolation.hpp">
+      <Filter>math</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp">
+      <Filter>methods\finitedifferences\schemes</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\vanilla\analytich1hwengine.hpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -5676,5 +5715,35 @@
     <ClCompile Include="ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp">
       <Filter>methods\finitedifferences\utilities</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\experimental\finitedifferences\glued1dmesher.cpp">
+      <Filter>experimental\finitedifferences</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\math\optimization\differentialevolution.cpp">
+      <Filter>math\optimization</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\math\randomnumbers\sobolbrownianbridgersg.cpp">
+      <Filter>math\randomnumbers</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\math\richardsonextrapolation.cpp">
+      <Filter>math</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp">
+      <Filter>methods\finitedifferences\utilities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\vanilla\analytich1hwengine.cpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>
\ No newline at end of file
diff --git a/QuantLib_vc7.vcproj b/QuantLib_vc7.vcproj
index c875853b92..ab0f401a54 100644
--- a/QuantLib_vc7.vcproj
+++ b/QuantLib_vc7.vcproj
@@ -1151,6 +1151,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\all.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp">
 				</File>
@@ -1205,12 +1211,24 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp">
 				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp">
 				</File>
@@ -1229,6 +1247,12 @@
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp">
 				</File>
@@ -1324,10 +1348,10 @@
 				Name="math"
 				Filter="">
 				<File
-					RelativePath=".\ql\experimental\math\all.hpp">
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp">
 				</File>
 				<File
-					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp">
+					RelativePath=".\ql\experimental\math\all.hpp">
 				</File>
 				<File
 					RelativePath=".\ql\experimental\math\autocovariance.hpp">
@@ -2312,6 +2336,12 @@
 			<File
 				RelativePath=".\ql\math\quadratic.hpp">
 			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.cpp">
+			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.hpp">
+			</File>
 			<File
 				RelativePath=".\ql\math\rounding.cpp">
 			</File>
@@ -2625,6 +2655,9 @@
 				<File
 					RelativePath=".\ql\math\matrixutilities\sparseilupreconditioner.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\math\matrixutilities\sparsematrix.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\math\matrixutilities\svd.cpp">
 				</File>
@@ -2683,6 +2716,12 @@
 				<File
 					RelativePath=".\ql\math\optimization\costfunction.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\math\optimization\endcriteria.cpp">
 				</File>
@@ -2834,6 +2873,12 @@
 				<File
 					RelativePath=".\ql\math\randomnumbers\seedgenerator.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\math\randomnumbers\sobolrsg.cpp">
 				</File>
@@ -3106,6 +3151,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmblackscholesop.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmg2op.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmg2op.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp">
 					</File>
@@ -3118,6 +3169,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonop.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmlinearop.hpp">
 					</File>
@@ -3170,6 +3227,9 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\schemes\all.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\schemes\craigsneydscheme.cpp">
 					</File>
@@ -3213,6 +3273,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\all.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.cpp">
 					</File>
@@ -3249,6 +3315,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp">
 					</File>
@@ -3261,6 +3333,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmndimsolver.hpp">
 					</File>
@@ -3329,6 +3407,21 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\all.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp">
 					</File>
@@ -3341,6 +3434,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp">
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp">
 					</File>
@@ -3353,6 +3452,12 @@
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmquantohelper.hpp">
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp">
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp">
+					</File>
 				</Filter>
 			</Filter>
 			<Filter
@@ -4781,6 +4886,18 @@
 				<File
 					RelativePath=".\ql\pricingengines\swaption\discretizedswaption.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.hpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\swaption\g2swaptionengine.hpp">
 				</File>
@@ -4833,6 +4950,12 @@
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\analyticgjrgarchengine.hpp">
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.cpp">
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.hpp">
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonengine.cpp">
 				</File>
@@ -5986,7 +6109,7 @@
 					RelativePath=".\ql\time\daycounters\actualactual.hpp">
 				</File>
 				<File
-					RelativePath=".\ql\time\daycounters\all.hpp">

+					RelativePath=".\ql\time\daycounters\all.hpp">
 				</File>
 				<File
 					RelativePath=".\ql\time\daycounters\business252.cpp">
diff --git a/QuantLib_vc8.vcproj b/QuantLib_vc8.vcproj
index 6cfc13ca72..1d026eb0a4 100644
--- a/QuantLib_vc8.vcproj
+++ b/QuantLib_vc8.vcproj
@@ -689,6 +689,14 @@
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmblackscholesop.hpp"
 						>
 					</File>
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+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmg2op.hpp"
+						>
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 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp"
 						>
@@ -705,6 +713,14 @@
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonop.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp"
+						>
+					</File>
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 						RelativePath=".\ql\methods\finitedifferences\operators\fdmlinearop.hpp"
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@@ -773,6 +789,10 @@
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 						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp"
+						>
+					</File>
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 						RelativePath=".\ql\methods\finitedifferences\schemes\craigsneydscheme.cpp"
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@@ -829,6 +849,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\all.hpp"
 						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp"
+						>
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 						RelativePath=".\ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.cpp"
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@@ -877,6 +905,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.cpp"
+						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.hpp"
+						>
+					</File>
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 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp"
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@@ -893,6 +929,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmndimsolver.hpp"
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@@ -981,6 +1025,26 @@
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 						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp"
+						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp"
+						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp"
 						>
@@ -997,6 +1061,14 @@
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 						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp"
+						>
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+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp"
 						>
@@ -1013,6 +1085,14 @@
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 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp"
+						>
+					</File>
 				</Filter>
 			</Filter>
 			<Filter
@@ -2123,6 +2203,14 @@
 				RelativePath=".\ql\math\quadratic.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\math\rounding.cpp"
 				>
@@ -2482,6 +2570,10 @@
 					RelativePath=".\ql\math\matrixutilities\sparseilupreconditioner.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\matrixutilities\sparsematrix.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\matrixutilities\svd.cpp"
 					>
@@ -2626,6 +2718,14 @@
 					RelativePath=".\ql\math\randomnumbers\seedgenerator.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\randomnumbers\sobolrsg.cpp"
 					>
@@ -2718,6 +2818,14 @@
 					RelativePath=".\ql\math\optimization\costfunction.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\optimization\endcriteria.cpp"
 					>
@@ -5342,6 +5450,14 @@
 					RelativePath=".\ql\pricingengines\vanilla\analyticgjrgarchengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonengine.cpp"
 					>
@@ -5630,6 +5746,22 @@
 					RelativePath=".\ql\pricingengines\swaption\discretizedswaption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\swaption\g2swaptionengine.hpp"
 					>
@@ -6530,6 +6662,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
 					>
@@ -6602,6 +6742,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp"
 					>
@@ -6610,6 +6758,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
 					>
@@ -6634,6 +6790,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp"
 					>
@@ -7727,11 +7891,11 @@
 				Name="math"
 				>
 				<File
-					RelativePath=".\ql\experimental\math\all.hpp"
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
+					RelativePath=".\ql\experimental\math\all.hpp"
 					>
 				</File>
 				<File
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
index d28077c59b..03e12816ff 100644
--- a/QuantLib_vc9.vcproj
+++ b/QuantLib_vc9.vcproj
@@ -1036,6 +1036,14 @@
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmblackscholesop.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmg2op.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmg2op.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp"
 						>
@@ -1052,6 +1060,14 @@
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmhestonop.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\operators\fdmlinearop.hpp"
 						>
@@ -1120,6 +1136,10 @@
 						RelativePath=".\ql\methods\finitedifferences\schemes\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\schemes\craigsneydscheme.cpp"
 						>
@@ -1176,6 +1196,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.cpp"
 						>
@@ -1224,6 +1252,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmblackscholessolver.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmg2solver.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp"
 						>
@@ -1240,6 +1276,14 @@
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\solvers\fdmndimsolver.hpp"
 						>
@@ -1328,6 +1372,26 @@
 						RelativePath=".\ql\methods\finitedifferences\utilities\all.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodelswapinnervalue.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmaffinemodeltermstructure.hpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmboundaryconditionset.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdirichletboundary.cpp"
 						>
@@ -1344,6 +1408,14 @@
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmdividendhandler.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmindicesonboundary.hpp"
+						>
+					</File>
 					<File
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdminnervaluecalculator.cpp"
 						>
@@ -1360,6 +1432,14 @@
 						RelativePath=".\ql\methods\finitedifferences\utilities\fdmquantohelper.hpp"
 						>
 					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.cpp"
+						>
+					</File>
+					<File
+						RelativePath=".\ql\methods\finitedifferences\utilities\fdmtimedepdirichletboundary.hpp"
+						>
+					</File>
 				</Filter>
 			</Filter>
 			<Filter
@@ -2470,6 +2550,14 @@
 				RelativePath=".\ql\math\quadratic.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\math\richardsonextrapolation.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\math\rounding.cpp"
 				>
@@ -2829,6 +2917,10 @@
 					RelativePath=".\ql\math\matrixutilities\sparseilupreconditioner.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\matrixutilities\sparsematrix.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\matrixutilities\svd.cpp"
 					>
@@ -2973,6 +3065,14 @@
 					RelativePath=".\ql\math\randomnumbers\seedgenerator.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\math\randomnumbers\sobolbrownianbridgersg.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\randomnumbers\sobolrsg.cpp"
 					>
@@ -3065,6 +3165,14 @@
 					RelativePath=".\ql\math\optimization\costfunction.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\math\optimization\differentialevolution.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\math\optimization\endcriteria.cpp"
 					>
@@ -5697,6 +5805,14 @@
 					RelativePath=".\ql\pricingengines\vanilla\analyticgjrgarchengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\vanilla\analytich1hwengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\vanilla\analytichestonengine.cpp"
 					>
@@ -5985,6 +6101,22 @@
 					RelativePath=".\ql\pricingengines\swaption\discretizedswaption.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdg2swaptionengine.hpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\swaption\fdhullwhiteswaptionengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\swaption\g2swaptionengine.hpp"
 					>
@@ -7377,6 +7509,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\all.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\dynprogvppintrinsicvalueengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdextoujumpvanillaengine.cpp"
 					>
@@ -7449,6 +7589,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmspreadpayoffinnervalue.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstartlimitstepcondition.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.cpp"
 					>
@@ -7457,6 +7605,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepcondition.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\fdmvppstepconditionfactory.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleextoujumpswingengine.cpp"
 					>
@@ -7481,6 +7637,14 @@
 					RelativePath=".\ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\experimental\finitedifferences\glued1dmesher.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\experimental\finitedifferences\vanillavppoption.cpp"
 					>
@@ -8082,11 +8246,11 @@
 				Name="math"
 				>
 				<File
-					RelativePath=".\ql\experimental\math\all.hpp"
+					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
 					>
 				</File>
 				<File
-					RelativePath=".\ql\experimental\math\adaptiverungekutta.hpp"
+					RelativePath=".\ql\experimental\math\all.hpp"
 					>
 				</File>
 				<File

From d3af8715c5cac8d6bf51e8094af9d5ccd05adffc Mon Sep 17 00:00:00 2001
From: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
Date: Fri, 16 Nov 2012 15:38:28 +0000
Subject: [PATCH 408/410] Added 'CLI-safe' versions of singleton.hpp and
 currency classes to new folder CLI.  These files are intended to replace the
 existing QuantLib where CLI wrappers are being used and avoids issues
 associated with static variables and CLR shutdown.  Please see the ReadMe
 file in the CLI folder for further details.

Added comment to existing singleton.hpp to clarify the use of 'construct on first use Idiom' and the 'static initialisation order fiasco'

Signed-off-by: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
---
 CLI/ReadMe.txt            |  16 ++
 CLI/africa.hpp            |  51 ++++
 CLI/america.cpp           | 141 ++++++++++
 CLI/america.hpp           | 200 +++++++++++++++
 CLI/asia.cpp              | 178 +++++++++++++
 CLI/asia.hpp              | 244 ++++++++++++++++++
 CLI/europe.cpp            | 365 ++++++++++++++++++++++++++
 CLI/europe.hpp            | 522 ++++++++++++++++++++++++++++++++++++++
 CLI/oceania.cpp           |  52 ++++
 CLI/oceania.hpp           |  63 +++++
 CLI/singleton.hpp         | 117 +++++++++
 ql/patterns/singleton.hpp |   3 +
 12 files changed, 1952 insertions(+)
 create mode 100644 CLI/ReadMe.txt
 create mode 100644 CLI/africa.hpp
 create mode 100644 CLI/america.cpp
 create mode 100644 CLI/america.hpp
 create mode 100644 CLI/asia.cpp
 create mode 100644 CLI/asia.hpp
 create mode 100644 CLI/europe.cpp
 create mode 100644 CLI/europe.hpp
 create mode 100644 CLI/oceania.cpp
 create mode 100644 CLI/oceania.hpp
 create mode 100644 CLI/singleton.hpp

diff --git a/CLI/ReadMe.txt b/CLI/ReadMe.txt
new file mode 100644
index 0000000000..56b88577c1
--- /dev/null
+++ b/CLI/ReadMe.txt
@@ -0,0 +1,16 @@
+see https://sourceforge.net/mailarchive/message.php?msg_id=29716902.
+
+and
+
+http://connect.microsoft.com/VisualStudio/feedback/details/336844/static-variable-in-native-method-causes-exception-c0020001-during-process-exit
+
+
+As a workaround:
+
+copy africa.hpp/cpp; america.hpp/cpp; asia.hpp/cpp; europe.hpp/cpp; and oceania.hpp/cpp 
+to ql/currencies folder.
+
+copy singleton.hpp to ql/patterns folder.
+
+rebuild QuantLib.
+
diff --git a/CLI/africa.hpp b/CLI/africa.hpp
new file mode 100644
index 0000000000..2e029d70f5
--- /dev/null
+++ b/CLI/africa.hpp
@@ -0,0 +1,51 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005 StatPro Italia srl
+ Copyright (c) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file africa.hpp
+    \brief African currencies
+
+    Data from http://fx.sauder.ubc.ca/currency_table.html
+    and http://www.thefinancials.com/vortex/CurrencyFormats.html
+*/
+
+#ifndef quantlib_african_currencies_hpp
+#define quantlib_african_currencies_hpp
+
+#include <ql/currency.hpp>
+
+namespace QuantLib {
+
+    //! South-African rand
+    /*! The ISO three-letter code is ZAR; the numeric code is 710.
+        It is divided into 100 cents.
+
+        \ingroup currencies
+    */
+    class ZARCurrency : public Currency {
+      public:
+        ZARCurrency();
+      protected:
+        static Data zarData_;
+    };
+
+}
+
+
+#endif
diff --git a/CLI/america.cpp b/CLI/america.cpp
new file mode 100644
index 0000000000..2570a8f696
--- /dev/null
+++ b/CLI/america.cpp
@@ -0,0 +1,141 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2008 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/currencies/america.hpp>
+
+namespace QuantLib {
+
+    namespace {
+
+        struct null_deleter {
+            void operator()(void const *) const {
+            }
+        };
+
+    }
+
+    Currency::Data ARSCurrency::arsData_("Argentinian peso", "ARS", 32,
+                                         "", "", 100,
+                                         Rounding(),
+                                         "%2% %1$.2f");
+
+    Currency::Data BRLCurrency::brlData_("Brazilian real", "BRL", 986,
+                                         "R$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data CADCurrency::cadData_("Canadian dollar", "CAD", 124,
+                                         "Can$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data CLPCurrency::clpData_("Chilean peso", "CLP", 152,
+                                         "Ch$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.0f");
+
+    Currency::Data COPCurrency::copData_("Colombian peso", "COP", 170,
+                                         "Col$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data MXNCurrency::mxnData_("Mexican peso", "MXN", 484,
+                                         "Mex$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data PEHCurrency::pehData_("Peruvian sol", "PEH", 999,
+                                         "S./", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data PEICurrency::peiData_("Peruvian inti", "PEI", 998,
+                                         "I/.", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data PENCurrency::penData_("Peruvian nuevo sol", "PEN", 604,
+                                         "S/.", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data TTDCurrency::ttdData_("Trinidad & Tobago dollar", "TTD", 780,
+                                         "TT$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data USDCurrency::usdData_("U.S. dollar", "USD", 840,
+                                        "$", "\xA2", 100,
+                                        Rounding(),
+                                        "%3% %1$.2f");
+
+    Currency::Data VEBCurrency::vebData_("Venezuelan bolivar", "VEB", 862,
+                                         "Bs", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    ARSCurrency::ARSCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&arsData_, null_deleter());
+    }
+
+    BRLCurrency::BRLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&brlData_, null_deleter());
+    }
+
+    CADCurrency::CADCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&cadData_, null_deleter());
+    }
+
+    CLPCurrency::CLPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&clpData_, null_deleter());
+    }
+
+    COPCurrency::COPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&copData_, null_deleter());
+    }
+
+    MXNCurrency::MXNCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&mxnData_, null_deleter());
+    }
+
+    PEHCurrency::PEHCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&pehData_, null_deleter());
+    }
+
+    PEICurrency::PEICurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&peiData_, null_deleter());
+    }
+
+    PENCurrency::PENCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&penData_, null_deleter());
+    }
+
+    TTDCurrency::TTDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&ttdData_, null_deleter());
+    }
+
+    USDCurrency::USDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&usdData_, null_deleter());
+    }
+
+    VEBCurrency::VEBCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&vebData_, null_deleter());
+    }
+}
diff --git a/CLI/america.hpp b/CLI/america.hpp
new file mode 100644
index 0000000000..a499ac14b0
--- /dev/null
+++ b/CLI/america.hpp
@@ -0,0 +1,200 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2008 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file america.hpp
+    \brief American currencies
+
+    Data from http://fx.sauder.ubc.ca/currency_table.html
+    and http://www.thefinancials.com/vortex/CurrencyFormats.html
+*/
+
+#ifndef quantlib_american_currencies_hpp
+#define quantlib_american_currencies_hpp
+
+#include <ql/currency.hpp>
+
+namespace QuantLib {
+
+    //! Argentinian peso
+    /*! The ISO three-letter code is ARS; the numeric code is 32.
+        It is divided in 100 centavos.
+
+        \ingroup currencies
+    */
+    class ARSCurrency : public Currency {
+      public:
+        ARSCurrency();
+      protected:
+        static Data arsData_;
+    };
+
+    //! Brazilian real
+    /*! The ISO three-letter code is BRL; the numeric code is 986.
+        It is divided in 100 centavos.
+
+        \ingroup currencies
+    */
+    class BRLCurrency : public Currency {
+      public:
+        BRLCurrency();
+      protected:
+        static Data brlData_;
+    };
+
+    //! Canadian dollar
+    /*! The ISO three-letter code is CAD; the numeric code is 124.
+        It is divided into 100 cents.
+
+        \ingroup currencies
+    */
+    class CADCurrency : public Currency {
+      public:
+        CADCurrency();
+      protected:
+        static Data cadData_;
+    };
+
+    //! Chilean peso
+    /*! The ISO three-letter code is CLP; the numeric code is 152.
+        It is divided in 100 centavos.
+
+        \ingroup currencies
+    */
+    class CLPCurrency : public Currency {
+      public:
+        CLPCurrency();
+      protected:
+        static Data clpData_;
+    };
+
+    //! Colombian peso
+    /*! The ISO three-letter code is COP; the numeric code is 170.
+        It is divided in 100 centavos.
+
+        \ingroup currencies
+    */
+    class COPCurrency : public Currency {
+      public:
+        COPCurrency();
+      protected:
+        static Data copData_;
+    };
+
+    //! Mexican peso
+    /*! The ISO three-letter code is MXN; the numeric code is 484.
+        It is divided in 100 centavos.
+
+        \ingroup currencies
+    */
+    class MXNCurrency : public Currency {
+      public:
+        MXNCurrency();
+      protected:
+        static Data mxnData_;
+    };
+
+    //! Peruvian nuevo sol
+    /*! The ISO three-letter code is PEN; the numeric code is 604.
+        It is divided in 100 centimos.
+
+        \ingroup currencies
+    */
+    class PENCurrency : public Currency {
+      public:
+        PENCurrency();
+      protected:
+        static Data penData_;
+    };
+
+    //! Peruvian inti
+    /*! The ISO three-letter code was PEI.
+        It was divided in 100 centimos. A numeric code is not available;
+        as per ISO 3166-1, we assign 998 as a user-defined code.
+
+        Obsoleted by the nuevo sol since July 1991.
+
+        \ingroup currencies
+    */
+    class PEICurrency : public Currency {
+      public:
+        PEICurrency();
+      protected:
+        static Data peiData_;
+    };
+
+    //! Peruvian sol
+    /*! The ISO three-letter code was PEH. A numeric code is not available;
+        as per ISO 3166-1, we assign 999 as a user-defined code.
+        It was divided in 100 centavos.
+
+        Obsoleted by the inti since February 1985.
+
+        \ingroup currencies
+    */
+    class PEHCurrency : public Currency {
+      public:
+        PEHCurrency();
+      protected:
+        static Data pehData_;
+    };
+
+    //! Trinidad & Tobago dollar
+    /*! The ISO three-letter code is TTD; the numeric code is 780.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class TTDCurrency : public Currency {
+      public:
+        TTDCurrency();
+      protected:
+        static Data ttdData_;
+    };
+
+    //! U.S. dollar
+    /*! The ISO three-letter code is USD; the numeric code is 840.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class USDCurrency : public Currency {
+      public:
+        USDCurrency();
+      protected:
+        static Data usdData_;
+    };
+
+    //! Venezuelan bolivar
+    /*! The ISO three-letter code is VEB; the numeric code is 862.
+        It is divided in 100 centimos.
+
+        \ingroup currencies
+    */
+    class VEBCurrency : public Currency {
+      public:
+        VEBCurrency();
+      protected:
+        static Data vebData_;
+    };
+
+}
+
+
+#endif
diff --git a/CLI/asia.cpp b/CLI/asia.cpp
new file mode 100644
index 0000000000..a26a6c33ee
--- /dev/null
+++ b/CLI/asia.cpp
@@ -0,0 +1,178 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2008 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/currencies/asia.hpp>
+
+namespace QuantLib {
+
+    namespace {
+
+        struct null_deleter {
+            void operator()(void const *) const {
+            }
+        };
+
+    }
+
+    Currency::Data BDTCurrency::bdtData_("Bangladesh taka", "BDT", 50,
+                                         "Bt", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data CNYCurrency::cnyData_("Chinese yuan", "CNY", 156,
+                                         "Y", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data HKDCurrency::hkdData_("Honk Kong dollar", "HKD", 344,
+                                         "HK$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data ILSCurrency::ilsData_("Israeli shekel", "ILS", 376,
+                                         "NIS", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data INRCurrency::inrData_("Indian rupee", "INR", 356,
+                                         "Rs", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data IQDCurrency::iqdData_("Iraqi dinar", "IQD", 368,
+                                         "ID", "", 1000,
+                                         Rounding(),
+                                         "%2% %1$.3f");
+
+    Currency::Data IRRCurrency::irrData_("Iranian rial", "IRR", 364,
+                                         "Rls", "", 1,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data JPYCurrency::jpyData_("Japanese yen", "JPY", 392,
+                                                   "\xA5", "", 100,
+                                                   Rounding(),
+                                                   "%3% %1$.0f");
+
+    Currency::Data KRWCurrency::krwData_("South-Korean won", "KRW", 410,
+                                         "W", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.0f");
+
+    Currency::Data KWDCurrency::kwdData_("Kuwaiti dinar", "KWD", 414,
+                                         "KD", "", 1000,
+                                         Rounding(),
+                                         "%3% %1$.3f");
+
+    Currency::Data NPRCurrency::nprData_("Nepal rupee", "NPR", 524,
+                                         "NRs", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data PKRCurrency::pkrData_("Pakistani rupee", "PKR", 586,
+                                         "Rs", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data SARCurrency::sarData_("Saudi riyal", "SAR", 682,
+                                         "SRls", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data SGDCurrency::sgdData_("Singapore dollar", "SGD", 702,
+                                         "S$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data THBCurrency::thbData_("Thai baht", "THB", 764,
+                                         "Bht", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data TWDCurrency::twdData_("Taiwan dollar", "TWD", 901,
+                                                  "NT$", "", 100,
+                                                  Rounding(),
+                                                  "%3% %1$.2f");
+
+    BDTCurrency::BDTCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&bdtData_, null_deleter());
+    }
+
+    CNYCurrency::CNYCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&cnyData_, null_deleter());
+    }
+
+    HKDCurrency::HKDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&hkdData_, null_deleter());
+    }
+
+    ILSCurrency::ILSCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&ilsData_, null_deleter());
+    }
+
+    INRCurrency::INRCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&inrData_, null_deleter());
+    }
+
+    IQDCurrency::IQDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&iqdData_, null_deleter());
+    }
+
+    IRRCurrency::IRRCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&irrData_, null_deleter());
+    }
+
+    JPYCurrency::JPYCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&jpyData_, null_deleter());
+    }
+
+    KRWCurrency::KRWCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&krwData_, null_deleter());
+    }
+
+    KWDCurrency::KWDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&kwdData_, null_deleter());
+    }
+
+    NPRCurrency::NPRCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&nprData_, null_deleter());
+    }
+
+    PKRCurrency::PKRCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&pkrData_, null_deleter());
+    }
+
+    SARCurrency::SARCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&sarData_, null_deleter());
+    }
+
+    SGDCurrency::SGDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&sgdData_, null_deleter());
+    }
+
+    THBCurrency::THBCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&thbData_, null_deleter());
+    }
+
+    TWDCurrency::TWDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&twdData_, null_deleter());
+    }
+
+}
diff --git a/CLI/asia.hpp b/CLI/asia.hpp
new file mode 100644
index 0000000000..b737848f05
--- /dev/null
+++ b/CLI/asia.hpp
@@ -0,0 +1,244 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file asia.hpp
+    \brief Asian currencies
+
+    Data from http://fx.sauder.ubc.ca/currency_table.html
+    and http://www.thefinancials.com/vortex/CurrencyFormats.html
+*/
+
+#ifndef quantlib_asian_currencies_hpp
+#define quantlib_asian_currencies_hpp
+
+#include <ql/currency.hpp>
+
+namespace QuantLib {
+
+    //! Bangladesh taka
+    /*! The ISO three-letter code is BDT; the numeric code is 50.
+        It is divided in 100 paisa.
+
+        \ingroup currencies
+    */
+    class BDTCurrency : public Currency {
+      public:
+        BDTCurrency();
+      protected:
+        static Data bdtData_;
+    };
+
+    //! Chinese yuan
+    /*! The ISO three-letter code is CNY; the numeric code is 156.
+        It is divided in 100 fen.
+
+        \ingroup currencies
+    */
+    class CNYCurrency : public Currency {
+      public:
+        CNYCurrency();
+      protected:
+        static Data cnyData_;
+    };
+
+    //! Honk Kong dollar
+    /*! The ISO three-letter code is HKD; the numeric code is 344.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class HKDCurrency : public Currency {
+      public:
+        HKDCurrency();
+      protected:
+        static Data hkdData_;
+    };
+
+    //! Israeli shekel
+    /*! The ISO three-letter code is ILS; the numeric code is 376.
+        It is divided in 100 agorot.
+
+        \ingroup currencies
+    */
+    class ILSCurrency : public Currency {
+      public:
+        ILSCurrency();
+      protected:
+        static Data ilsData_;
+    };
+
+    //! Indian rupee
+    /*! The ISO three-letter code is INR; the numeric code is 356.
+        It is divided in 100 paise.
+
+        \ingroup currencies
+    */
+    class INRCurrency : public Currency {
+      public:
+        INRCurrency();
+      protected:
+        static Data inrData_;
+    };
+
+    //! Iraqi dinar
+    /*! The ISO three-letter code is IQD; the numeric code is 368.
+        It is divided in 1000 fils.
+
+        \ingroup currencies
+    */
+    class IQDCurrency : public Currency {
+      public:
+        IQDCurrency();
+      protected:
+        static Data iqdData_;
+    };
+
+    //! Iranian rial
+    /*! The ISO three-letter code is IRR; the numeric code is 364.
+        It has no subdivisions.
+
+        \ingroup currencies
+    */
+    class IRRCurrency : public Currency {
+      public:
+        IRRCurrency();
+      protected:
+        static Data irrData_;
+    };
+
+    //! Japanese yen
+    /*! The ISO three-letter code is JPY; the numeric code is 392.
+        It is divided into 100 sen.
+
+        \ingroup currencies
+    */
+    class JPYCurrency : public Currency {
+      public:
+        JPYCurrency();
+      protected:
+        static Data jpyData_;
+    };
+
+    //! South-Korean won
+    /*! The ISO three-letter code is KRW; the numeric code is 410.
+        It is divided in 100 chon.
+
+        \ingroup currencies
+    */
+    class KRWCurrency : public Currency {
+      public:
+        KRWCurrency();
+      protected:
+        static Data krwData_;
+    };
+
+    //! Kuwaiti dinar
+    /*! The ISO three-letter code is KWD; the numeric code is 414.
+        It is divided in 1000 fils.
+
+        \ingroup currencies
+    */
+    class KWDCurrency : public Currency {
+      public:
+        KWDCurrency();
+      protected:
+        static Data kwdData_;
+    };
+
+    //! Nepal rupee
+    /*! The ISO three-letter code is NPR; the numeric code is 524.
+        It is divided in 100 paise.
+
+        \ingroup currencies
+    */
+    class NPRCurrency : public Currency {
+      public:
+        NPRCurrency();
+      protected:
+        static Data nprData_;
+    };
+
+    //! Pakistani rupee
+    /*! The ISO three-letter code is PKR; the numeric code is 586.
+        It is divided in 100 paisa.
+
+        \ingroup currencies
+    */
+    class PKRCurrency : public Currency {
+      public:
+        PKRCurrency();
+      protected:
+        static Data pkrData_;
+    };
+
+    //! Saudi riyal
+    /*! The ISO three-letter code is SAR; the numeric code is 682.
+        It is divided in 100 halalat.
+
+        \ingroup currencies
+    */
+    class SARCurrency : public Currency {
+      public:
+        SARCurrency();
+      protected:
+        static Data sarData_;
+    };
+
+    //! %Singapore dollar
+    /*! The ISO three-letter code is SGD; the numeric code is 702.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class SGDCurrency : public Currency {
+      public:
+        SGDCurrency();
+      protected:
+        static Data sgdData_;
+    };
+
+    //! Thai baht
+    /*! The ISO three-letter code is THB; the numeric code is 764.
+        It is divided in 100 stang.
+
+        \ingroup currencies
+    */
+    class THBCurrency : public Currency {
+      public:
+        THBCurrency();
+      protected:
+        static Data thbData_;
+    };
+
+    //! %Taiwan dollar
+    /*! The ISO three-letter code is TWD; the numeric code is 901.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class TWDCurrency : public Currency {
+      public:
+        TWDCurrency();
+      protected:
+        static Data twdData_;
+    };
+}
+
+#endif
diff --git a/CLI/europe.cpp b/CLI/europe.cpp
new file mode 100644
index 0000000000..7533797b57
--- /dev/null
+++ b/CLI/europe.cpp
@@ -0,0 +1,365 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2006 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/currencies/europe.hpp>
+
+namespace QuantLib {
+
+    namespace {
+
+        struct null_deleter {
+            void operator()(void const *) const {
+            }
+        };
+
+    }
+
+    Currency::Data BGLCurrency::bglData_("Bulgarian lev", "BGL", 100,
+                                         "lv", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data BYRCurrency::byrData_("Belarussian ruble", "BYR", 974,
+                                         "BR", "", 1,
+                                         Rounding(),
+                                         "%2% %1$.0f");
+
+    Currency::Data CHFCurrency::chfData_("Swiss franc", "CHF", 756,
+                                         "SwF", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data CYPCurrency::cypData_("Cyprus pound", "CYP", 196,
+                                         "\xA3" "C", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data CZKCurrency::czkData_("Czech koruna", "CZK", 203,
+                                         "Kc", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data DKKCurrency::dkkData_("Danish krone", "DKK", 208,
+                                         "Dkr", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+    
+    Currency::Data EEKCurrency::eekData_("Estonian kroon", "EEK", 233,
+                                         "KR", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %2%");
+                                                   
+    Currency::Data EURCurrency::eurData_("European Euro", "EUR", 978,
+                                         "", "", 100,
+                                         ClosestRounding(2),
+                                         "%2% %1$.2f");
+
+    Currency::Data GBPCurrency::gbpData_("British pound sterling", "GBP", 826,
+                                         "\xA3", "p", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data HUFCurrency::hufData_("Hungarian forint", "HUF", 348,
+                                         "Ft", "", 1,
+                                         Rounding(),
+                                         "%1$.0f %3%");
+
+    Currency::Data ISKCurrency::iskData_("Iceland krona", "ISK", 352,
+                                         "IKr", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data LTLCurrency::ltlData_("Lithuanian litas", "LTL", 440,
+                                         "Lt", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+
+    Currency::Data LVLCurrency::lvlData_("Latvian lat", "LVL", 428,
+                                         "Ls", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data MTLCurrency::mtlData_("Maltese lira", "MTL", 470,
+                                         "Lm", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data NOKCurrency::nokData_("Norwegian krone", "NOK", 578,
+                                         "NKr", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data PLNCurrency::plnData_("Polish zloty", "PLN", 985,
+                                         "zl", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data ROLCurrency::rolData_("Romanian leu", "ROL", 642,
+                                         "L", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data RONCurrency::ronData_("Romanian new leu",
+                                         "RON", 946,
+                                         "L", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+    
+    Currency::Data SEKCurrency::sekData_("Swedish krona", "SEK", 752,
+                                         "kr", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data SITCurrency::sitData_("Slovenian tolar", "SIT", 705,
+                                         "SlT", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data SKKCurrency::skkData_("Slovak koruna", "SKK", 703,
+                                         "Sk", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+    Currency::Data TRLCurrency::trlData_("Turkish lira", "TRL", 792,
+                                         "TL", "", 100,
+                                         Rounding(),
+                                         "%1$.0f %3%");
+
+    Currency::Data TRYCurrency::tryData_("New Turkish lira", "TRY", 949,
+                                         "YTL", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%");
+
+
+    Currency::Data ATSCurrency::atsData_("Austrian shilling", "ATS", 40,
+                                         "", "", 100,
+                                         Rounding(),
+                                         "%2% %1$.2f",
+                                         EURCurrency());
+    
+    Currency::Data BEFCurrency::befData_("Belgian franc", "BEF", 56,
+                                         "", "", 1,
+                                         Rounding(),
+                                         "%2% %1$.0f",
+                                         EURCurrency());
+
+    Currency::Data DEMCurrency::demData_("Deutsche mark", "DEM", 276,
+                                         "DM", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %3%",
+                                         EURCurrency());
+
+    Currency::Data ESPCurrency::espData_("Spanish peseta", "ESP", 724,
+                                         "Pta", "", 100,
+                                         Rounding(),
+                                         "%1$.0f %3%",
+                                         EURCurrency());
+
+    Currency::Data FIMCurrency::fimData_("Finnish markka", "FIM", 246,
+                                                 "mk", "", 100,
+                                                 Rounding(),
+                                                 "%1$.2f %3%",
+                                                 EURCurrency());
+
+    Currency::Data FRFCurrency::frfData_("French franc", "FRF", 250,
+                                         "", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %2%",
+                                         EURCurrency());
+
+    Currency::Data GRDCurrency::grdData_("Greek drachma", "GRD", 300,
+                                         "", "", 100,
+                                         Rounding(),
+                                         "%1$.2f %2%",
+                                         EURCurrency());
+
+    Currency::Data IEPCurrency::iepData_("Irish punt", "IEP", 372,
+                                         "", "", 100,
+                                         Rounding(),
+                                         "%2% %1$.2f",
+                                         EURCurrency());
+
+    Currency::Data ITLCurrency::itlData_("Italian lira", "ITL", 380,
+                                         "L", "", 1,
+                                         Rounding(),
+                                         "%3% %1$.0f",
+                                         EURCurrency());
+
+    Currency::Data LUFCurrency::lufData_("Luxembourg franc", "LUF", 442,
+                                         "F", "", 100,
+                                         Rounding(),
+                                         "%1$.0f %3%",
+                                         EURCurrency());
+
+    Currency::Data NLGCurrency::nlgData_("Dutch guilder", "NLG", 528,
+                                                  "f", "", 100,
+                                                  Rounding(),
+                                                  "%3% %1$.2f",
+                                                  EURCurrency());
+
+    Currency::Data PTECurrency::pteData_("Portuguese escudo", "PTE", 620,
+                                         "Esc", "", 100,
+                                         Rounding(),
+                                         "%1$.0f %3%",
+                                         EURCurrency());
+
+    BGLCurrency::BGLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&bglData_, null_deleter());
+    }
+
+    BYRCurrency::BYRCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&byrData_, null_deleter());
+    }
+
+    CHFCurrency::CHFCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&chfData_, null_deleter());
+    }
+
+    CYPCurrency::CYPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&cypData_, null_deleter());
+    }
+
+    CZKCurrency::CZKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&czkData_, null_deleter());
+    }
+
+    DKKCurrency::DKKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&dkkData_, null_deleter());
+    }
+
+    EEKCurrency::EEKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&eekData_, null_deleter());
+    }
+
+    EURCurrency::EURCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&eurData_, null_deleter());
+    }
+
+    GBPCurrency::GBPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&gbpData_, null_deleter());
+    }
+
+    HUFCurrency::HUFCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&hufData_, null_deleter());
+    }
+
+    ISKCurrency::ISKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&iskData_, null_deleter());
+    }
+
+    LTLCurrency::LTLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&ltlData_, null_deleter());
+    }
+
+    LVLCurrency::LVLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&lvlData_, null_deleter());
+    }
+
+    MTLCurrency::MTLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&mtlData_, null_deleter());
+    }
+
+    NOKCurrency::NOKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&nokData_, null_deleter());
+    }
+
+    PLNCurrency::PLNCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&plnData_, null_deleter());
+    }
+
+    ROLCurrency::ROLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&rolData_, null_deleter());
+    }
+
+    RONCurrency::RONCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&ronData_, null_deleter());
+    }
+
+    SEKCurrency::SEKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&sekData_, null_deleter());
+    }
+
+    SITCurrency::SITCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&sitData_, null_deleter());
+    }
+
+    SKKCurrency::SKKCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&skkData_, null_deleter());
+    }
+
+    TRLCurrency::TRLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&trlData_, null_deleter());
+    }
+
+    TRYCurrency::TRYCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&tryData_, null_deleter());
+    }
+
+    ATSCurrency::ATSCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&atsData_, null_deleter());
+    }
+
+    BEFCurrency::BEFCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&befData_, null_deleter());
+    }
+
+    DEMCurrency::DEMCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&demData_, null_deleter());
+    }
+
+    ESPCurrency::ESPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&espData_, null_deleter());
+    }
+
+    FIMCurrency::FIMCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&fimData_, null_deleter());
+    }
+
+    FRFCurrency::FRFCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&frfData_, null_deleter());
+    }
+
+    GRDCurrency::GRDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&grdData_, null_deleter());
+    }
+
+    IEPCurrency::IEPCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&iepData_, null_deleter());
+    }
+
+    ITLCurrency::ITLCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&itlData_, null_deleter());
+    }
+
+    LUFCurrency::LUFCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&lufData_, null_deleter());
+    }
+
+    NLGCurrency::NLGCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&nlgData_, null_deleter());
+    }
+
+    PTECurrency::PTECurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&pteData_, null_deleter());
+    }
+
+}
+
diff --git a/CLI/europe.hpp b/CLI/europe.hpp
new file mode 100644
index 0000000000..bd72e1c14d
--- /dev/null
+++ b/CLI/europe.hpp
@@ -0,0 +1,522 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2006 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file europe.hpp
+    \brief European currencies
+
+    Data from http://fx.sauder.ubc.ca/currency_table.html
+    and http://www.thefinancials.com/vortex/CurrencyFormats.html
+*/
+
+#ifndef quantlib_european_currencies_hpp
+#define quantlib_european_currencies_hpp
+
+#include <ql/currency.hpp>
+
+namespace QuantLib {
+
+    //! Bulgarian lev
+    /*! The ISO three-letter code is BGL; the numeric code is 100.
+        It is divided in 100 stotinki.
+
+        \ingroup currencies
+    */
+    class BGLCurrency : public Currency {
+      public:
+        BGLCurrency();
+      protected:
+        static Data bglData_;
+    };
+
+    //! Belarussian ruble
+    /*! The ISO three-letter code is BYR; the numeric code is 974.
+        It has no subdivisions.
+
+        \ingroup currencies
+    */
+    class BYRCurrency : public Currency {
+      public:
+        BYRCurrency();
+      protected:
+        static Data byrData_;
+    };
+
+    //! Swiss franc
+    /*! The ISO three-letter code is CHF; the numeric code is 756.
+        It is divided into 100 cents.
+
+        \ingroup currencies
+    */
+    class CHFCurrency : public Currency {
+      public:
+        CHFCurrency();
+      protected:
+        static Data chfData_;
+    };
+
+    //! Cyprus pound
+    /*! The ISO three-letter code is CYP; the numeric code is 196.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class CYPCurrency : public Currency {
+      public:
+        CYPCurrency();
+      protected:
+        static Data cypData_;
+    };
+
+    //! Czech koruna
+    /*! The ISO three-letter code is CZK; the numeric code is 203.
+        It is divided in 100 haleru.
+
+        \ingroup currencies
+    */
+    class CZKCurrency : public Currency {
+      public:
+        CZKCurrency();
+      protected:
+        static Data czkData_;
+    };
+
+    //! Danish krone
+    /*! The ISO three-letter code is DKK; the numeric code is 208.
+        It is divided in 100 øre.
+
+        \ingroup currencies
+    */
+    class DKKCurrency : public Currency {
+      public:
+        DKKCurrency();
+      protected:
+        static Data dkkData_;
+    };
+
+    //! Estonian kroon
+    /*! The ISO three-letter code is EEK; the numeric code is 233.
+        It is divided in 100 senti.
+
+        \ingroup currencies
+    */
+    class EEKCurrency : public Currency {
+      public:
+        EEKCurrency();
+      protected:
+        static Data eekData_;
+    };
+
+    //! European Euro
+    /*! The ISO three-letter code is EUR; the numeric code is 978.
+        It is divided into 100 cents.
+
+        \ingroup currencies
+    */
+    class EURCurrency : public Currency {
+      public:
+        EURCurrency();
+      protected:
+        static Data eurData_;
+    };
+
+    //! British pound sterling
+    /*! The ISO three-letter code is GBP; the numeric code is 826.
+        It is divided into 100 pence.
+
+        \ingroup currencies
+    */
+    class GBPCurrency : public Currency {
+      public:
+        GBPCurrency();
+      protected:
+        static Data gbpData_;
+    };
+
+    //! Hungarian forint
+    /*! The ISO three-letter code is HUF; the numeric code is 348.
+        It has no subdivisions.
+
+        \ingroup currencies
+    */
+    class HUFCurrency : public Currency {
+      public:
+        HUFCurrency();
+      protected:
+        static Data hufData_;
+    };
+
+    //! Icelandic krona
+    /*! The ISO three-letter code is ISK; the numeric code is 352.
+        It is divided in 100 aurar.
+
+        \ingroup currencies
+    */
+    class ISKCurrency : public Currency {
+      public:
+        ISKCurrency();
+      protected:
+        static Data iskData_;
+    };
+
+    //! Lithuanian litas
+    /*! The ISO three-letter code is LTL; the numeric code is 440.
+        It is divided in 100 centu.
+
+        \ingroup currencies
+    */
+    class LTLCurrency : public Currency {
+      public:
+        LTLCurrency();
+      protected:
+        static Data ltlData_;
+    };
+
+    //! Latvian lat
+    /*! The ISO three-letter code is LVL; the numeric code is 428.
+        It is divided in 100 santims.
+
+        \ingroup currencies
+    */
+    class LVLCurrency : public Currency {
+      public:
+        LVLCurrency();
+      protected:
+        static Data lvlData_;
+    };
+
+    //! Maltese lira
+    /*! The ISO three-letter code is MTL; the numeric code is 470.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class MTLCurrency : public Currency {
+      public:
+        MTLCurrency();
+      protected:
+        static Data mtlData_;
+    };
+
+    //! Norwegian krone
+    /*! The ISO three-letter code is NOK; the numeric code is 578.
+        It is divided in 100 øre.
+
+        \ingroup currencies
+    */
+    class NOKCurrency : public Currency {
+      public:
+        NOKCurrency();
+      protected:
+        static Data nokData_;
+    };
+
+    //! Polish zloty
+    /*! The ISO three-letter code is PLN; the numeric code is 985.
+        It is divided in 100 groszy.
+
+        \ingroup currencies
+    */
+    class PLNCurrency : public Currency {
+      public:
+        PLNCurrency();
+      protected:
+        static Data plnData_;
+    };
+
+    //! Romanian leu
+    /*! The ISO three-letter code was ROL; the numeric code was 642.
+        It was divided in 100 bani.
+
+        Obsoleted by the new leu since July 2005.
+
+        \ingroup currencies
+    */
+    class ROLCurrency : public Currency {
+      public:
+       ROLCurrency();
+      protected:
+        static Data rolData_;
+    };
+
+    //! Romanian new leu
+    /*! The ISO three-letter code is RON; the numeric code is 946.
+        It is divided in 100 bani.
+
+        \ingroup currencies
+    */
+    class RONCurrency : public Currency {
+      public:
+        RONCurrency();
+      protected:
+        static Data ronData_;
+    };
+
+    //! Swedish krona
+    /*! The ISO three-letter code is SEK; the numeric code is 752.
+        It is divided in 100 öre.
+
+        \ingroup currencies
+    */
+    class SEKCurrency : public Currency {
+      public:
+        SEKCurrency();
+      protected:
+        static Data sekData_;
+    };
+
+    //! Slovenian tolar
+    /*! The ISO three-letter code is SIT; the numeric code is 705.
+        It is divided in 100 stotinov.
+
+        \ingroup currencies
+    */
+    class SITCurrency : public Currency {
+      public:
+        SITCurrency();
+      protected:
+        static Data sitData_;
+    };
+
+    //! Slovak koruna
+    /*! The ISO three-letter code is SKK; the numeric code is 703.
+        It is divided in 100 halierov.
+
+        \ingroup currencies
+    */
+    class SKKCurrency : public Currency {
+      public:
+        SKKCurrency();
+      protected:
+        static Data skkData_;
+    };
+
+    //! Turkish lira
+    /*! The ISO three-letter code was TRL; the numeric code was 792.
+        It was divided in 100 kurus.
+
+        Obsoleted by the new Turkish lira since 2005.
+
+        \ingroup currencies
+    */
+    class TRLCurrency : public Currency {
+      public:
+        TRLCurrency();
+      protected:
+        static Data trlData_;
+    };
+
+    //! New Turkish lira
+    /*! The ISO three-letter code is TRY; the numeric code is 949.
+        It is divided in 100 new kurus.
+
+        \ingroup currencies
+    */
+    class TRYCurrency : public Currency {
+      public:
+        TRYCurrency();
+      protected:
+        static Data tryData_;
+    };
+
+    // currencies obsoleted by Euro
+
+    //! Austrian shilling
+    /*! The ISO three-letter code was ATS; the numeric code was 40.
+        It was divided in 100 groschen.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class ATSCurrency : public Currency {
+      public:
+        ATSCurrency();
+      protected:
+        static Data atsData_;
+    };
+
+    //! Belgian franc
+    /*! The ISO three-letter code was BEF; the numeric code was 56.
+        It had no subdivisions.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class BEFCurrency : public Currency {
+      public:
+        BEFCurrency();
+      protected:
+        static Data befData_;
+    };
+
+    //! Deutsche mark
+    /*! The ISO three-letter code was DEM; the numeric code was 276.
+        It was divided into 100 pfennig.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class DEMCurrency : public Currency {
+      public:
+        DEMCurrency();
+      protected:
+        static Data demData_;
+    };
+
+    //! Spanish peseta
+    /*! The ISO three-letter code was ESP; the numeric code was 724.
+        It was divided in 100 centimos.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class ESPCurrency : public Currency {
+      public:
+        ESPCurrency();
+      protected:
+        static Data espData_;
+    };
+
+    //! Finnish markka
+    /*! The ISO three-letter code was FIM; the numeric code was 246.
+        It was divided in 100 penniä.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class FIMCurrency : public Currency {
+      public:
+        FIMCurrency();
+      protected:
+        static Data fimData_;
+    };
+
+    //! French franc
+    /*! The ISO three-letter code was FRF; the numeric code was 250.
+        It was divided in 100 centimes.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class FRFCurrency : public Currency {
+      public:
+        FRFCurrency();
+      protected:
+        static Data frfData_;
+    };
+
+    //! Greek drachma
+    /*! The ISO three-letter code was GRD; the numeric code was 300.
+        It was divided in 100 lepta.
+
+        Obsoleted by the Euro since 2001.
+
+        \ingroup currencies
+    */
+    class GRDCurrency : public Currency {
+      public:
+        GRDCurrency();
+      protected:
+        static Data grdData_;
+    };
+
+    //! Irish punt
+    /*! The ISO three-letter code was IEP; the numeric code was 372.
+        It was divided in 100 pence.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class IEPCurrency : public Currency {
+      public:
+        IEPCurrency();
+      protected:
+        static Data iepData_;
+    };
+
+    //! Italian lira
+    /*! The ISO three-letter code was ITL; the numeric code was 380.
+        It had no subdivisions.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class ITLCurrency : public Currency {
+      public:
+        ITLCurrency();
+      protected:
+        static Data itlData_;
+    };
+
+    //! Luxembourg franc
+    /*! The ISO three-letter code was LUF; the numeric code was 442.
+        It was divided in 100 centimes.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class LUFCurrency : public Currency {
+      public:
+        LUFCurrency();
+      protected:
+        static Data lufData_;
+    };
+
+    //! Dutch guilder
+    /*! The ISO three-letter code was NLG; the numeric code was 528.
+        It was divided in 100 cents.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class NLGCurrency : public Currency {
+      public:
+        NLGCurrency();
+      protected:
+        static Data nlgData_;
+    };
+
+    //! Portuguese escudo
+    /*! The ISO three-letter code was PTE; the numeric code was 620.
+        It was divided in 100 centavos.
+
+        Obsoleted by the Euro since 1999.
+
+        \ingroup currencies
+    */
+    class PTECurrency : public Currency {
+      public:
+        PTECurrency();
+      protected:
+        static Data pteData_;
+    };
+
+}
+
+#endif
diff --git a/CLI/oceania.cpp b/CLI/oceania.cpp
new file mode 100644
index 0000000000..6ed6ae60e8
--- /dev/null
+++ b/CLI/oceania.cpp
@@ -0,0 +1,52 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005 StatPro Italia srl
+ Copyright (C) 2012 Simon Shakeshaft
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#include <ql/currencies/oceania.hpp>
+
+namespace QuantLib {
+
+    namespace {
+
+        struct null_deleter {
+            void operator()(void const *) const {
+            }
+        };
+
+    }
+
+    Currency::Data AUDCurrency::audData_("Australian dollar", "AUD", 36,
+                                         "A$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    Currency::Data NZDCurrency::nzdData_("New Zealand dollar", "NZD", 554,
+                                         "NZ$", "", 100,
+                                         Rounding(),
+                                         "%3% %1$.2f");
+
+    AUDCurrency::AUDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&audData_, null_deleter());
+    }
+
+    NZDCurrency::NZDCurrency() {
+        data_ = boost::shared_ptr<Currency::Data>(&nzdData_, null_deleter());
+    }
+
+}
\ No newline at end of file
diff --git a/CLI/oceania.hpp b/CLI/oceania.hpp
new file mode 100644
index 0000000000..60f85f4868
--- /dev/null
+++ b/CLI/oceania.hpp
@@ -0,0 +1,63 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file oceania.hpp
+    \brief Oceanian currencies
+
+    Data from http://fx.sauder.ubc.ca/currency_table.html
+    and http://www.thefinancials.com/vortex/CurrencyFormats.html
+*/
+
+#ifndef quantlib_oceanian_currencies_hpp
+#define quantlib_oceanian_currencies_hpp
+
+#include <ql/currency.hpp>
+
+namespace QuantLib {
+
+    //! Australian dollar
+    /*! The ISO three-letter code is AUD; the numeric code is 36.
+        It is divided into 100 cents.
+
+        \ingroup currencies
+    */
+    class AUDCurrency : public Currency {
+      public:
+        AUDCurrency();
+      protected:
+        static Data audData_;
+    };
+
+    //! New Zealand dollar
+    /*! The ISO three-letter code is NZD; the numeric code is 554.
+        It is divided in 100 cents.
+
+        \ingroup currencies
+    */
+    class NZDCurrency : public Currency {
+      public:
+        NZDCurrency();
+      protected:
+        static Data nzdData_;
+    };
+
+}
+
+
+#endif
diff --git a/CLI/singleton.hpp b/CLI/singleton.hpp
new file mode 100644
index 0000000000..a40469a94f
--- /dev/null
+++ b/CLI/singleton.hpp
@@ -0,0 +1,117 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2005, 2007 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file singleton.hpp
+    \brief basic support for the singleton pattern
+*/
+
+#ifndef quantlib_singleton_hpp
+#define quantlib_singleton_hpp
+
+#include <ql/types.hpp>
+#include <boost/shared_ptr.hpp>
+#if defined(QL_PATCH_MSVC71)
+    #pragma unmanaged
+#elif defined(QL_PATCH_MSVC)
+    #pragma managed(push, off)
+#endif
+#include <boost/noncopyable.hpp>
+#if defined(QL_PATCH_MSVC71)
+    #pragma managed
+#elif defined(QL_PATCH_MSVC)
+    #pragma managed(pop)
+#endif
+#include <map>
+
+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
+        class Foo : public Singleton<Foo> {
+            friend class Singleton<Foo>;
+          private:
+            Foo() {}
+          public:
+            ...
+        };
+        \endcode
+        which, albeit sub-optimal, frees one from the concerns of
+        creating and managing the unique instance and can serve later
+        as a single implemementation point should synchronization
+        features be added.
+
+        \ingroup patterns
+    */
+    template <class T>
+    class Singleton : private boost::noncopyable {
+      private:
+        //! the unique instance
+        static std::map<Integer, boost::shared_ptr<T> > instances_;
+      public:
+        //! access to the unique instance
+        static T& instance();
+      protected:
+        Singleton() {}
+    };
+
+    // static member definition 
+    template <class T>
+    std::map<Integer, boost::shared_ptr<T> > Singleton<T>::instances_;
+
+    // template definitions
+
+    template <class T>
+    T& Singleton<T>::instance() {
+        //static std::map<Integer, boost::shared_ptr<T> > instances_;
+        #if defined(QL_ENABLE_SESSIONS)
+        Integer id = sessionId();
+        #else
+        Integer id = 0;
+        #endif
+        boost::shared_ptr<T>& instance = instances_[id];
+        if (!instance)
+            instance = boost::shared_ptr<T>(new T);
+        return *instance;
+    }
+
+    // reverts the change above
+    #if defined(QL_PATCH_MSVC71)
+        #pragma managed
+    #elif defined(QL_PATCH_MSVC)
+        #pragma managed(pop)
+    #endif
+
+}
+
+
+#endif
diff --git a/ql/patterns/singleton.hpp b/ql/patterns/singleton.hpp
index 35c3f3dd01..7c097a4156 100644
--- a/ql/patterns/singleton.hpp
+++ b/ql/patterns/singleton.hpp
@@ -75,6 +75,9 @@ namespace QuantLib {
 
     template <class T>
     T& Singleton<T>::instance() {
+        // Construct on first use Idiom
+        // Avoids 'static initialisation order fiasco' - See C++ FAQ 10.14
+        // http://www.parashift.com/c++-faq/static-init-order.html
         static std::map<Integer, boost::shared_ptr<T> > instances_;
         #if defined(QL_ENABLE_SESSIONS)
         Integer id = sessionId();

From c43c5d2002bd71e4611a1e61cbb684efcbf268e2 Mon Sep 17 00:00:00 2001
From: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
Date: Fri, 16 Nov 2012 15:41:33 +0000
Subject: [PATCH 409/410] Added additional test case for Thirty360 daycounter
 (BondBasis and EurobondBasis).

Signed-off-by: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
---
 test-suite/daycounters.cpp | 136 +++++++++++++++++++++++++++++++++++++
 test-suite/daycounters.hpp |   2 +
 2 files changed, 138 insertions(+)

diff --git a/test-suite/daycounters.cpp b/test-suite/daycounters.cpp
index ffd29d6131..5d6678239e 100644
--- a/test-suite/daycounters.cpp
+++ b/test-suite/daycounters.cpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2003 RiskMap srl
  Copyright (C) 2006 Piter Dias
+ Copyright (C) 2012 Simon Shakeshaft
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -24,6 +25,7 @@
 #include <ql/time/daycounters/one.hpp>
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/daycounters/business252.hpp>
+#include <ql/time/daycounters/thirty360.hpp>
 #include <ql/time/calendars/brazil.hpp>
 #include <ql/time/period.hpp>
 #include <iomanip>
@@ -287,6 +289,138 @@ void DayCounterTest::testBusiness252() {
     }
 }
 
+void DayCounterTest::testThirty360_BondBasis() {
+
+    BOOST_MESSAGE("Testing thirty/360 day counter (Bond Basis)...");
+
+    // http://www.isda.org/c_and_a/docs/30-360-2006ISDADefs.xls
+    // Source: 2006 ISDA Definitions, Sec. 4.16 (f)
+    // 30/360 (or Bond Basis)
+
+    DayCounter dayCounter = Thirty360(Thirty360::BondBasis);
+    std::vector<Date> testStartDates;
+    std::vector<Date> testEndDates;
+    Time calculated;
+
+    // ISDA - Example 1: End dates do not involve the last day of February
+    testStartDates.push_back(Date(20, August, 2006)); testEndDates.push_back(Date(20, February, 2007));
+    testStartDates.push_back(Date(20, February, 2007)); testEndDates.push_back(Date(20, August, 2007));
+    testStartDates.push_back(Date(20, August, 2007)); testEndDates.push_back(Date(20, February, 2008));
+    testStartDates.push_back(Date(20, February, 2008)); testEndDates.push_back(Date(20, August, 2008));
+    testStartDates.push_back(Date(20, August, 2008)); testEndDates.push_back(Date(20, February, 2009));
+    testStartDates.push_back(Date(20, February, 2009)); testEndDates.push_back(Date(20, August, 2009));
+
+    // ISDA - Example 2: End dates include some end-February dates
+    testStartDates.push_back(Date(31, August, 2006)); testEndDates.push_back(Date(28, February, 2007));
+    testStartDates.push_back(Date(28, February, 2007)); testEndDates.push_back(Date(31, August, 2007));
+    testStartDates.push_back(Date(31, August, 2007)); testEndDates.push_back(Date(29, February, 2008));
+    testStartDates.push_back(Date(29, February, 2008)); testEndDates.push_back(Date(31, August, 2008));
+    testStartDates.push_back(Date(31, August, 2008)); testEndDates.push_back(Date(28, February, 2009));
+    testStartDates.push_back(Date(28, February, 2009)); testEndDates.push_back(Date(31, August, 2009));
+
+    //// ISDA - Example 3: Miscellaneous calculations
+    testStartDates.push_back(Date(31, January, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(30, January, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(28, February, 2006)); testEndDates.push_back(Date(3, March, 2006));
+    testStartDates.push_back(Date(14, February, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(30, September, 2006)); testEndDates.push_back(Date(31, October, 2006));
+    testStartDates.push_back(Date(31, October, 2006)); testEndDates.push_back(Date(28, November, 2006));
+    testStartDates.push_back(Date(31, August, 2007)); testEndDates.push_back(Date(28, February, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(28, August, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(30, August, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(31, August, 2008));
+    testStartDates.push_back(Date(26, February, 2007)); testEndDates.push_back(Date(28, February, 2008));
+    testStartDates.push_back(Date(26, February, 2007)); testEndDates.push_back(Date(29, February, 2008));
+    testStartDates.push_back(Date(29, February, 2008)); testEndDates.push_back(Date(28, February, 2009));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(30, March, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(31, March, 2008));
+
+    int expected[] = { 180, 180, 180, 180, 180, 180,
+                       178, 183, 179, 182, 178, 183,
+                        28,  28,   5,  14,  30,  28,
+                       178, 180, 182, 183, 362, 363,
+                       359,  32,  33};
+
+    for (Size i = 0; i < testStartDates.size(); i++) {
+        calculated = dayCounter.dayCount(testStartDates[i], testEndDates[i]);
+        if (calculated != expected[i]) {
+                BOOST_ERROR("from " << testStartDates[i]
+                            << " to " << testEndDates[i] << ":\n"
+                            << "    calculated: " << calculated << "\n"
+                            << "    expected:   " << expected[i-1]);
+        }
+    }
+}
+
+void DayCounterTest::testThirty360_EurobondBasis() {
+
+    BOOST_MESSAGE("Testing thirty/360 day counter (Eurobond Basis)...");
+
+    // Source: ISDA 2006 Definitions 4.16 (g)
+    // 30E/360 (or Eurobond Basis)
+    // Based on ICMA (Rule 251) and FBF; this is the version of 30E/360 used by Excel
+
+    DayCounter dayCounter = Thirty360(Thirty360::EurobondBasis);
+    std::vector<Date> testStartDates;
+    std::vector<Date> testEndDates;
+    Time calculated;
+
+    // ISDA - Example 1: End dates do not involve the last day of February
+    testStartDates.push_back(Date(20, August, 2006)); testEndDates.push_back(Date(20, February, 2007));
+    testStartDates.push_back(Date(20, February, 2007)); testEndDates.push_back(Date(20, August, 2007));
+    testStartDates.push_back(Date(20, August, 2007)); testEndDates.push_back(Date(20, February, 2008));
+    testStartDates.push_back(Date(20, February, 2008)); testEndDates.push_back(Date(20, August, 2008));
+    testStartDates.push_back(Date(20, August, 2008)); testEndDates.push_back(Date(20, February, 2009));
+    testStartDates.push_back(Date(20, February, 2009)); testEndDates.push_back(Date(20, August, 2009));
+
+    //// ISDA - Example 2: End dates include some end-February dates
+    testStartDates.push_back(Date(28, February, 2006)); testEndDates.push_back(Date(31, August, 2006));
+    testStartDates.push_back(Date(31, August, 2006)); testEndDates.push_back(Date(28, February, 2007));
+    testStartDates.push_back(Date(28, February, 2007)); testEndDates.push_back(Date(31, August, 2007));
+    testStartDates.push_back(Date(31, August, 2007)); testEndDates.push_back(Date(29, February, 2008));
+    testStartDates.push_back(Date(29, February, 2008)); testEndDates.push_back(Date(31, August, 2008));
+    testStartDates.push_back(Date(31, August, 2008)); testEndDates.push_back(Date(28, Feb, 2009));
+    testStartDates.push_back(Date(28, February, 2009)); testEndDates.push_back(Date(31, August, 2009));
+    testStartDates.push_back(Date(31, August, 2009)); testEndDates.push_back(Date(28, Feb, 2010));
+    testStartDates.push_back(Date(28, February, 2010)); testEndDates.push_back(Date(31, August, 2010));
+    testStartDates.push_back(Date(31, August, 2010)); testEndDates.push_back(Date(28, Feb, 2011));
+    testStartDates.push_back(Date(28, February, 2011)); testEndDates.push_back(Date(31, August, 2011));
+    testStartDates.push_back(Date(31, August, 2011)); testEndDates.push_back(Date(29, Feb, 2012));
+
+    //// ISDA - Example 3: Miscellaneous calculations
+    testStartDates.push_back(Date(31, January, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(30, January, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(28, February, 2006)); testEndDates.push_back(Date(3, March, 2006));
+    testStartDates.push_back(Date(14, February, 2006)); testEndDates.push_back(Date(28, February, 2006));
+    testStartDates.push_back(Date(30, September, 2006)); testEndDates.push_back(Date(31, October, 2006));
+    testStartDates.push_back(Date(31, October, 2006)); testEndDates.push_back(Date(28, November, 2006));
+    testStartDates.push_back(Date(31, August, 2007)); testEndDates.push_back(Date(28, February, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(28, August, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(30, August, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(31, August, 2008));
+    testStartDates.push_back(Date(26, February, 2007)); testEndDates.push_back(Date(28, February, 2008));
+    testStartDates.push_back(Date(26, February, 2007)); testEndDates.push_back(Date(29, February, 2008));
+    testStartDates.push_back(Date(29, February, 2008)); testEndDates.push_back(Date(28, February, 2009));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(30, March, 2008));
+    testStartDates.push_back(Date(28, February, 2008)); testEndDates.push_back(Date(31, March, 2008));
+
+    int expected[] = { 180, 180, 180, 180, 180, 180,
+                       182, 178, 182, 179, 181, 178,
+                       182, 178, 182, 178, 182, 179,
+                        28,  28,   5,  14,  30,  28,
+                       178, 180, 182, 182, 362, 363,
+                       359,  32,  32 };
+
+    for (Size i = 0; i < testStartDates.size(); i++) {
+        calculated = dayCounter.dayCount(testStartDates[i], testEndDates[i]);
+        if (calculated != expected[i]) {
+                BOOST_ERROR("from " << testStartDates[i]
+                            << " to " << testEndDates[i] << ":\n"
+                            << "    calculated: " << calculated << "\n"
+                            << "    expected:   " << expected[i]);
+        }
+    }
+}
 
 test_suite* DayCounterTest::suite() {
     test_suite* suite = BOOST_TEST_SUITE("Day counter tests");
@@ -294,6 +428,8 @@ test_suite* DayCounterTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testSimple));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testOne));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testBusiness252));
+    suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_BondBasis));
+    suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_EurobondBasis));
     return suite;
 }
 
diff --git a/test-suite/daycounters.hpp b/test-suite/daycounters.hpp
index f1fd937583..ac206c0117 100644
--- a/test-suite/daycounters.hpp
+++ b/test-suite/daycounters.hpp
@@ -31,6 +31,8 @@ class DayCounterTest {
     static void testSimple();
     static void testOne();
     static void testBusiness252();
+    static void testThirty360_BondBasis();
+    static void testThirty360_EurobondBasis();
     static boost::unit_test_framework::test_suite* suite();
 };
 

From b482cc358835699ca60e1b66573435200976ef9d Mon Sep 17 00:00:00 2001
From: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
Date: Fri, 16 Nov 2012 15:43:32 +0000
Subject: [PATCH 410/410] Corrected flag usage in test-suite/bin/runtest.bat.

Signed-off-by: Simon Shakeshaft <simon.shakeshaft@estrategy-solutions.com>
---
 test-suite/bin/runtest.bat | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/bin/runtest.bat b/test-suite/bin/runtest.bat
index e7040d1d72..04e4a751a2 100644
--- a/test-suite/bin/runtest.bat
+++ b/test-suite/bin/runtest.bat
@@ -1,3 +1,3 @@
 cls
 
-%1 --log_level=messages --build_info=yes --result_code=no --report_level=short
+%1 --log_level=message --build_info=yes --result_code=no --report_level=short