MathProgBase NLP interface

I've implemented the MathProgBase NLP interface, but mosek reports
```
MosekError(1291,"The optimization problem is nonconvex.")
```

This is when solving
```
min x - y
st  x + x^2 + x*y + y^2 <= 1
    -2 <= x, y <= 2
```
see https://github.com/JuliaOpt/MathProgBase.jl/blob/master/test/nlp.jl#L118.

The error could be in the instance or in the interface, but it would help to know how Mosek detects nonconvexity. Any guidance on how to debug this? @ulfworsoe @wflu