Release 0.3.1 - February 4th, 2003
FINITE DIFFERENCE FRAMEWORK
VOLATILITY FRAMEWORK
- added Black and local volatility interface
PRICING ENGINES FRAMEWORK
YIELD TERM STRUCTURE
- interface revisited
- added discrete time forward methods
- added DiscountCurve (loglinear interpolated) and CompoundForward term structures
- ForwardSpreadedTermStructure moved under QuantLib::TermStructures namespace
FIXED INCOME
- Modified coupons so that the payment date can be after the end of the accrual period
MISCELLANEA
- added/verified holidays of many calendars
- added new calendars
- added new currencies
- more date formatters
- added Period(std::string&)
- it is now possible to advance a calandar using a Period
- added LogLinear Interpolation
- the allowExtrapolation boolean in interpolation classes has been removed from constructors and added to the operator()
- Renamed Solver1D::lowBound and hiBound
- bug fixes
BUILD PROCESS
- More autoconfiscated time functions and types
- Migrated to latest autotools
- added patches for Darwin and Solaris
Release 0.3.0 - May 6th, 2002
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
Release 0.2.1 - December 3rd, 2001
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
Release 0.2.0 - September 18th, 2001
- Library:
- source code moved under ql, better GNU standards
- gcc build dir can now be separated from source tree
- gcc 3.0.1 port
- clean compilation (no warnings)
- bootstrap script on cygwin
- Fixed automatic choice of seed for random number generators
- Actual/actual classes
- extended platform support (see table in documentation)
- antithetic variance-reduction technique made possible in Monte Carlo
- added dividend-Rho greek
- First implementation of segment integral (to be redesigned)
- Knuth random generator
- Cash flows, scheduler, and swap (both generic and simple) added
- added ICGaussian random generator
- generic bug fixes
- Installation facilities:
- improved and smoother Win32 binary installer
- better distribution
- debian packages available
- Documentation:
- general re-hauling
- added examples of using QuantLib and of projects based on QL
Release 0.1.9 - May 31st, 2001
- Library:
- Style guidelines introduced (see http://quantlib.org/style.html) and partially enforced
- full support for Microsoft Visual Studio
- full support for Linux/gcc
- momentarily broken support for Metrowerks CodeWarrior
- autoconfiscation (with specialized config.*.hpp files for platforms without automake/autoconf support)
- Include files moved under Include/ql folder and referenced as "ql/header.hpp"
- Implemented expression templates techniques for array algebra optimization
- Added custom iterators
- Improved term structure
- Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier options (all with greeks calculation, control variated where possible)
- Added Helsinki and Wellington calendars
- Improved Normal distribution related functions: cumulative, inverse cumulative, etc.
- Added uniform and Gaussian random number generators
- Added Statistics class (mean, variance, skewness, downside variance, etc.)
- Added RiskMeasures class: VAR, average shortfall, expected shortfall, etc.
- Added RiskStatistics class combining Statistics and RiskMeasures
- Added sample accumulator for multivariate analysis
- Added Monte Carlo tools
- Added matrix-related functions (square root, symmetric Schur decomposition)
- Added interpolation framework (linear and cubic spline interpolation implemented).
- Installation facilities:
- Added Win32 GUI installer for binaries
- Documentation:
- support for Doxygen 1.2.7
- Added man documentation
Release 0.1.1 - November 21st, 2000
Initial release.
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