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The 64-bit version of Cygwin defines PyThread_create_key() with a return type of long (instead of int; some background information can be found on the cygwin-apps mailing list). This pull request makes pybind11 use decltype() to deduce the type to use for pybind11::detail::internals::tstate. I also added the flag -Wconversion to CMakeLists.txt to help detect this kind of problems in the future.
I tested pybind11 with the changes on Cygwin (only 64-bit version), Linux (g++) and Windows (VS2015).