Announcing QuantLib 0.2.0

[Ferdinando M. Ametrano-2]

                           QuantLib 0.2.0
                        ---------------------
                         http://quantlib.org

The QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance. QuantLib is a free/open source library
for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then exported
to different languages such as Python and Ruby. Bindings to other languages
(including Java), and porting to Excel/Gnumeric, Matlab/Octave, S-PLUS/R,
COM/CORBA/SOAP architectures, FpML, are planned for the near future.

Appreciated by quantitative analysts and developers, it is intended for
academics and practitioners alike, eventually promoting a stronger
interaction between them. Quantlib offers tools that are useful both for
practical implementation and for advanced modeling, with features such as
market conventions, yield curve bootstrapping, solvers, PDEs, Monte Carlo,
exotic options, VAR, and so on. More complex tools such as interest rate
models are next on the to-do list.


                              What's new
                             ------------

- Library:
     - source code moved under ql, better GNU standards
     - gcc build dir can now be separated from source tree
     - gcc 3.0.1 port
     - clean compilation (no warnings)
     - bootstrap script on cygwin
     - Fixed automatic choice of seed for random number generators
     - Actual/Actual classes
     - extended platform support (see table in documentation)
     - antithetic variance-reduction technique made possible in Monte Carlo
     - added dividend-Rho greek
     - First implementation of segment integral (to be redesigned)
     - Knuth random generator
     - Cash flows, scheduler, and swap (both generic and simple) added
     - added ICGaussian random generator
     - generic bug fixes

- Installation facilities:
     - improved and smoother Win32 binary installer
     - better distribution
     - Debian packages available

- Documentation:
     - general re-hauling
     - added examples of QuantLib usage and of projects based on QL



URL:  http://quantlib.org

License:  XFree86 style

Categories: Financial, Scientific/Engineering


Ferdinando Ametrano ([hidden email])
http://www.ametrano.net