Hi all
I've downloaded a snapshot of the CVS as of December 18th 2001 (version
0.3.0a3):
http://quantlib.org/snapshot.htmlChanges 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-markupEarly feedback is welcome.
ciao -- Nando
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