Posted by
Ferdinando M. Ametrano-2 on
Dec 03, 2001; 10:31am
URL: http://quantlib.414.s1.nabble.com/Announcing-QuantLib-0-2-1-tp1805.html
QuantLib 0.2.1
---------------------
http://quantlib.orgQuantLib 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.orgLicense: XFree86 style
Categories: Financial, Scientific/Engineering
Ferdinando Ametrano (
[hidden email])
http://www.ametrano.net