The QuantLib project is at this time in beta status.
The following list is an overview of the goals set for release 1.0. It is open for suggestions, corrections, and additions which can be submitted through the QuantLib-users mailing list. Every proposal will be seriously considered.
Project goals
Interfaces
- yield term structure---done;
- financial instrument---done;
- deal---to do;
- folder/portfolio/book levels of deal aggregation (strict vertical inclusion)---to do;
- trade-group deal aggregation (horizontal cross section)---to do;
- volatility term structure for cap/floor and swaption---to do;
Generic Tools
- date/time module---done;
- one-dimensional solver---done;
- one-dimensional optimizer---to do;
- multi-dimensional solver---to do;
- multi-dimensional optimizer---in progress;
- linear algebra module---in progress;
- statistical module---in progress;
- PDE framework---in progress;
- Monte Carlo framework---in progress;
Financial Tools
- Black-Scholes analytic implementation---done;
- Black-Scholes PDE implementation (for American and exotic options)---done;
- Deposits, FRA, futures, swaps---partly done;
- Deposit/FRA/futures/swap yield term structure---partly done;
- Swaptions---in progress;
- Caps/floors---in progress;
- Bonds (IRR/duration)---to do;
- Treasury yield term structure (Nelson-Siegel/Vasichek-Fong)---to do;
- Short-rate models (BDT, BK, HW, etc.)---in progress;
- Local volatility models---in progress;
- Stochastic volatility---to do.
Assorted Possible Milestones
- Moving to the generic option pricing engine (see http://quantlib.org/quep/quep005.html) where each option can be priced with different engines: analytic, trees, Finite Differences, Monte Carlo. Allow everywhere for time varying volatilities and interest rates.
- Two dimensions FD framework, with satisfactory solution of the Free Boundary problem (early exercise).
- MC path-wise Greek evaluation.
- Full coverage of analytic models for option pricing.
- Complete coverage of basic Fixed Income instruments (cap/floor, swaption, Bermuda swaption) with all major one-factor models.
- Modeling of stochastic process with jumps, reversion, etc.
- Extraction of local volatilities surface from Black volatility surface.
- Implementation of FI products using FD framework.
- Low-discrepancy sequences for MC simulation.
- FD solution of weak path-dependent options (Asian, look-back, etc).
- Advanced MC variance reduction techniques.
- Implementation of Fixed Income products using MC framework.
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