Announcing QuantLib 0.3.0

Posted by Ferdinando M. Ametrano-2 on May 06, 2002; 1:46am
URL: http://quantlib.414.s1.nabble.com/Announcing-QuantLib-0-3-0-tp2044.html

                           QuantLib 0.3.0
                        ---------------------
                         http://quantlib.org

QuantLib is a free/open-source 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 time-aware
     - McPricer: extended interface, improved convergency algorithm

     FINITE DIFFERENCE FRAMEWORK
     - added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
       ImplicitEuler, and ExplicitEuler are now derived
     - Finite Difference exercise conditions are now in the FiniteDifferences
       folder/namespace
     - Finite Difference pricers now start with 'Fd' letters
     - BSMNumericalOption became BsmFdOption

     LATTICE FRAMEWORK
     - introduced first version of the framework
     - CRR and JR binomial trees

     VOLATILITY FRAMEWORK
     - early works on reorganization of vol structures

        YIELD TERM STRUCTURE
     - new TermStructure class based on affine model
     - yield curves can be spreaded in term of zeros
      (ZeroSpreadedTermStructure) and forwards (ForwardSpreadedTermStructure)
     - Added dates() and times() to PiecewiseFlatForward
     - discount factor accuracy in the yield curve bootstrapping is an input
     - added single factor short-rate models (Hull-White, Black-Karasinski)
     - added two factor short-rate models framework
     - cap/floor and swaption calibration helpers
     - added bermudan swaption pricing example (including BK and HW
       calibrations)

     FIXED INCOME
     - cap/floor and  swaption tree pricer
     - cap/floor analytical pricer
     - vanilla swaption Jamshidian pricer
     - Added accruedAmount() to coupons
     - Made cash flow vector builders into functions

     OPTIMIZATION FRAMEWORK
     - added conjugate gradient, simplex

     PATTERNS
     - implemented QuEP 8 and 10

     MISCELLANEA
     - added allowExtrapolation parameter to interpolaton classes
     - added 2D bilinear interpolation
     - better spline interpolation algorithm
     - Added non-central chi-square distribution function.
     - Improved Inverse Cumulative Normal Distribution using Moro's algorithm
     - Introduced class representing stochastic processes
     - added isExpired() to Instrument interface
     - added functions folder and namespace for QuantLibXL and any other
       function-like interface to QuantLib
     - Handle is now castable to an Handle of a compatible type
     - added downsideVariance to the Statistics class
     - kustosis() and skewness() now handles the case of stddev == 0 and/or
       variance == 0
     - added Correlation Matrix to MultiVariateAccumulator
     - enforced MS VC compilation settings
     - added "-debug" to the QL_VERSION version string ifdef QL_DEBUG
     - "make check" runs the example programs under Borland C++
     - fixed compilation with "g++ -pedantic"
     - Spread as market element
     - new calendars introduced
     - new Xibor Indexes introduced
     - Added optional day count to libor indexes
     - Shortened file names within 31 char limit to support HFS

- Documentation:
     - Added a page for lattice methods
     - Added a page for interest rate models



URL:  http://quantlib.org

License:  BSD style

Categories: Financial, Scientific/Engineering

Ferdinando Ametrano