Version history

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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