Announcing QuantLib 0.2.1

[Ferdinando M. Ametrano-2]

                           QuantLib 0.2.1
                        ---------------------
                         http://quantlib.org

QuantLib is a quantitative finance C++ library for modeling, pricing,
trading, and risk management in real-life. A tool for derivatives and
financial engineering.

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

- Library:
     MONTE CARLO FRAMEWORK
     - Path and MultiPath are now classes on their own
     - PathPricer now handles both Path and MultiPath
     - MonteCarloModel now handles both single factor and
       multi factors simulations.
     - McPricer now handles both single factor and
       multi factors pricing. New pricing interface
     - antithetic variance-reduction technique made possible in Monte Carlo
       for both single factor and multi factors
     - Control Variate specific class removed: control variation technique is
       now handled by the general MC model
     - average price and average strike asian option refactored
     - Sample as a (value,weight) struct
     - random number generators moved under RandomNumbers folder and namespace

     FINITE DIFFERENCE FRAMEWORK
     - BackwardEuler and ForwardEuler renamed ImplicitEuler and ExplicitEuler,
       respectively
     - refactoring of TridiagonalOperator and derived classes

     YIELD TERM STRUCTURE AND FIXED INCOME
     - Added some useful methods to term structure classes
     - Allowed passing a quote to RateHelpers as double
     - added FuturesRateHelpers (no convexity adjustment yet)
     - PiecewiseFlatForward now observer of rates passed as MarketElements
     - Unified Date and Time interface in TermStructure
     - Added BPS to generic swap legs
     - added term_structure+swap example
     - Fixing days introduced for floating-coupon bond

     PATTERNS
     - Added factory pattern
     - Calendar and DayCounter now use the Strategy pattern

     VARIOUS
     - used do-while-false idiom in QL_REQUIRE-like macros
     - now using size_t where appropriate
     - dividendYield is now a Spread instead of a Rate (that is: cost of carry
       is allowed)
     - RelinkableHandle initialized with an optional Handle
     - Worked around VC++ problems in History constructor
     - added QL_VERSION and QL_HEX_VERSION
     - generic bug fixes
     - removed classes deprecated in 0.2.0

- Installation facilities:
     - improved and smoother Win32 binary installer

- Documentation:
     - general re-hauling
     - improved and extended Monte Carlo documentation
     - improved and extended examples
     - Upgraded to Doxygen 1.2.11.1
     - Added man pages for installed executables
     - added docs in Windows Help format
     - added info on "Win32 OnTheEdgeRelease" and  "Win32 OnTheEdgeDebug" MS
       VC++ configurations
     - additional information on how to create a MS VC++ project based on
       QuantLib



URL:  http://quantlib.org

License:  XFree86 style

Categories: Financial, Scientific/Engineering


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