recent activities update - 2001-12-18

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recent activities update - 2001-12-18

Ferdinando M. Ametrano-2
Hi all

I've downloaded a snapshot of the CVS as of December 18th 2001 (version
0.3.0a3): http://quantlib.org/snapshot.html

Changes since Release 0.2.1:
- Library:
     MONTE CARLO FRAMEWORK
     - Path and MultiPath are time-aware
     - McPricer: extended interface, improved convergency algorithm

     FINITE DIFFERENCE FRAMEWORK
     - Finite Difference exercise conditions are now in the FiniteDifferences
       folder/namespace
     - Finite Difference pricers now start with 'Fd' letters
     - BSMNumericalOption became BsmFdOption

     YIELD TERM STRUCTURE AND FIXED INCOME
     - added single factor interest rate model (Ho-Lee, Hull-White,
       Black-Derman-Toy, Black-Karasinski)
     - Bermuda swaption finite difference pricer
     - cap/floor and swaption calibration helpers
     - discount factor accuracy in the yield curve bootstrapping is an input
     - yield curves can be spreaded in term of zeros
      (ZeroSpreadedTermStructure) and forwards (ForwardSpreadedTermStructure)

     OPTIMIZATION FRAMEWORK
     - added conjugate gradient

     VARIOUS
     - Handle is now castable to an Handle of a compatible type
     - better spline interpolation algorithm
     - added downsideVariance to the Statistics class
     - kustosis() and skewness() now handles the case of stddev == 0 and/or
       variance == 0
     - enforced MS VC compilation settings
     - added "-debug" to the QL_VERSION version string ifdef QL_DEBUG


Changes in QuantLib-Python since Release 0.2.1:
     - more info on the tested library
     - using old version of the library forbidden
     - Using unittest methods for signaling failures
     - bug fixing
     - Exported derived and composite market element
     - Extended Monte Carlo tests

Changes in QuantLib-Ruby since Release 0.2.1:
     - using old version of the library forbidden
     - Extended Monte Carlo tests


If you want to take a look at the TO-DO list, an informal one is available
at:
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/TODO.txt?rev=HEAD&content-type=text/vnd.viewcvs-markup

Early feedback is welcome.

ciao -- Nando



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Re: recent activities update - 2001-12-18

Ferdinando M. Ametrano-2
At 12:22 PM 12/19/01 +0100, I wrote:
>I've downloaded a snapshot of the CVS
uploaded, of course ;-)

ciao -- Nando