lballabio/quantlib — pull request #63 by pcaspers (2013-12-27 17:00:25+00:00)
Title: Reorganization of Markov model code

Hello Luigi,

I would like to update the Markov model code a bit (as presented at the Duesseldorf workshop in November). There are also some new elements like

- new instruments, e.g. for cms / libor and amortizing swaptions and respective pricing engines
- support for calibration basket generation following the representative basket approach
- support for credit linked swaptions, which in particular also allows the pricing of exotic bonds
- a general one factor gaussian short rate model with piecewise volatility and reversion
- multicurve support througout

Almost all changes are local to experimental / models (i.e. the original Markov model code) except

- adding the underlying indices in the capfloor instrument's arguments
- including pull request #49 (rebated exercise) on which the new pricing engines depend

I strived to ensure that everything compiles under the c++03 standard and the test suite runs without errors. Last but not least I tried to give the code a consistent formatting.

Thanks a lot
Peter