1history(3) QuantLib history(3)
2
6 history - .TH "history" 3 "Thu Aug 19 2010" "Version 1.0.1" "QuantLib"
7
9 history - Release 1.0 - February 2010
10 PORTABILITY
12 · Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
14 · Enabled language extensions in Visual Studio projects.
16 · Prevented make errors with older shells (thanks to Walter Eaves.)
18 DATE/TIME
20 · Changes to end-of-month adjustment. In a schedule, the Unadjusted
22 convention now supersedes a non-null calendar and causes dates to
23 roll on the unadjusted end of month (possibly a holiday.)
24 · Added new date-generation rule for CDS (thanks to Jose Aparicio.)
26 · Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.)
28 Previously, fair-upfront calculation required a non-null upfront to
29 begin with. This is no longer the case.
30 INSTRUMENTS
32 · Fixed discounting of dividends on convertible-bond grid (thanks to
34 Benoit Houzelle and Samuel Lerouge.)
35 CASH FLOWS
37 · A number of CashFlows methods now return a meaningful result even if
39 the passed leg is empty.
40 PROCESSES
42 · Changed default discretization for Heston process. The new default
44 (giving a better performance) is quadratic exponential with
45 Martingale correction.
46 TERM STRUCTURES
48 · Removed ambiguous parRate member functions from YieldTermStructure
50 interface.
51 EXAMPLES
53 · Added market-model example.
55 EXPERIMENTAL FOLDER
57 The ql/experimental folder contains code which is still not fully
59 integrated with the library or even fully tested, but is released in
60 order to get user feedback. Experimental classes are considered
61 unstable; their interfaces might change in future releases.
62 New contributions for this release were:
64 · Longstaff-Schwartz algorithm for basket products including coupon
66 payments (thanks to Andrea Odetti;)
67 · added sparse incomplete LU preconditioner for 2D finite-difference
69 models (thanks to Ralph Schreyer.)
70 Release 0.9.9 - November 2009
72 PORTABILITY
74 · Fixes for 64-bit compilation.
76 · Fixes for Sun Solaris compilation (thanks to Andreas Spengler.)
78 CASH FLOWS
80 · Added overnight-index coupon.
82 · Added inflation coupons.
84 · Parameterized CashFlows functions with explicit flag specifying
86 whether to include settlement-date cash flows.
87 · Added cash-flow related flags to Settings class. They determine
89 whether or not to include today's and/or settlement date's cash
90 flows. They can be overridden while calling CashFlows functions.
91 DATE/TIME
93 · Added EUWAX calendar.
95 · Updated 2009 holidays for China, Hong Kong, India, Indonesia,
97 Singapore, and Taiwan.
98 · Removed Easter Monday from Canadian holidays (thanks to Matt Knox.)
100 · Added weekend-only calendar.
102 INDEXES
104 · Added EONIA index.
106 · Added French HICP and Australian CPI inflation indexes.
108 INSTRUMENTS
110 · Added overnight-index swaps (including helper for yield-curve
112 bootstrap.)
113 · Added inflation cap/floors (including interface for inflation
115 cap/floor volatility structures.)
116 · Added inspectors for previous and next coupon dates to Bond class.
118 · Added implied z-spread calculation for bonds (thanks to Nathan
120 Abbott.)
121 · Added inspector to see whether a bond is still tradable (as opposed
123 to not expired.)
124 · Added constructor for fixed-rate bonds taking a generic InterestRate
126 instance (thanks to Piter Dias.)
127 · Added upfront to credit default swaps, including application to CDS
129 helpers (thanks to Jose Aparicio.)
130 · Added conventional CDS spread calculation (thanks to Jose Aparicio.)
132 · Enabled non-spot inflation swaps.
134 · Migrated asset swaps to pricing-engine framework.
136 · Migrated inflation swaps to pricing-engine framework.
138 · Migrated old average-strike Asian option pricer to pricing-engine
140 framework (thanks to IMAFA students Jean Nkeng, Adrien Pinatton, and
141 Alpha Sanou Toure.)
142 PRICING ENGINES
144 · Added builders for a few Monte Carlo engines.
146 · Most Monte Carlo engines can now specify either relative or absolute
148 target tolerance.
149 · Some Monte Carlo engines can now specify either an absolute number of
151 time steps or a number of time steps per year.
152 · Added choice of evolver scheme to finite-difference vanilla engines.
154 MATH
156 · Implemented Parabolic and Fritsch-Butland cubic interpolations.
158 · Added BFGS optimizer (thanks to Frederic Degraeve.)
160 · Added 1D and 2D kernel interpolation (thanks to Dimitri Reiswich.)
162 · Added Akima and overshooting-minimization spline algorithms (thanks
164 to Sylvain Bertrand.)
165 · Added FFT implementation (thanks to Slava Mazur.)
167 RANDOM NUMBERS
169 · Added Luescher's luxury random number generator (a proxy for Boost
171 implementation.)
172 TERM STRUCTURES
174 · Added hook to swap-rate helpers for external discounting term
176 structure (thanks to Roland Lichters.)
177 · Added seasonality to inflation term structures (thanks to Piero Del
179 Boca and Chris Kenyon.)
180 EXPERIMENTAL FOLDER
182 New contributions for this release were:
184 · risky bonds and asset-swap options (thanks to Roland Lichters;)
186 · spreaded hazard-rate curves (thanks to Roland Lichters;)
188 · compound options (thanks to Dimitri Reiswich;)
190 · refactored CDS options (thanks to Jose Aparicio;)
192 · finite-differences solver for the hybrid Heston Hull-White model,
194 including calibration (thanks to Klaus Spanderen;)
195 · finite-differences Asian-option engines (thanks to Ralph Schreyer;)
197 · machinery for default-event specification (thanks to Jose Aparicio;)
199 · recursive CDO engine (thanks to Jose Aparicio.)
201 Release 0.9.7 - November 18th, 2008
203 PORTABILITY
205 · Microsoft Visual C++ configurations have been renamed. The default
207 Debug and Release configurations now link to the DLL version of the
208 common runtime library. The names of other configuration should now
209 be more descriptive.
210 · Fixes for Solaris build.
212 BONDS
214 · Added bond example (thanks to Florent Grenier.)
216 · Added support for amortizing bonds (thanks to Simon Ibbotson.)
218 CASH FLOWS
220 · Added two more cashflow analysis functions (thanks to Toyin Akin.)
222 DATE/TIME
224 · Added bespoke calendar.
226 INDEXES
228 · Added GBP/USD/CHF/JPY swap-rate indexes.
230 · Fixed USD LIBOR calendar (settlement, not NYSE.)
232 MARKET MODELS
234 · Added first displaced-diffusion stochastic-volatility evolver.
236 PRICING ENGINES
238 · Monte Carlo average-price options now uses past fixings correctly.
240 QUOTES
242 · added LastFixingQuote, a Quote adapter for the last available fixing
244 of a given index.
245 EXPERIMENTAL FOLDER
247 New contributions for this release were:
249 · time-dependent binomial trees (thanks to John Maiden.)
251 · a new multidimensional FDM framework based on operator splitting
253 using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to Andreas
254 Gaida, Ralph Schreyer, and Klaus Spanderen.)
255 · implementations of Black-variance curve and surface taking a set of
257 quotes as input (thanks to Frank Hövermann.)
258 · synthetic CDO engines (thanks to Roland Lichters.)
260 · variance options, together with a Heston-process engine (thanks to
262 Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and
263 Francesco Zirilli.)
264 · a commodity framework, including instruments such as energy futures
266 and energy swaps (thanks to J. Erik Radmall.)
267 · quanto-barrier options (thanks to Paul Farrington.)
269 · amortizing bonds (thanks to Simon Ibbotson.)
271 · a perturbative engine for barrier options (thanks to Lorella Fatone,
273 Maria Cristina Recchioni, and Francesco Zirilli.)
274 Release 0.9.6 - August 6th, 2008
276 Bug-fix release for QuantLib 0.9.5. It fixes a bug that would cause
278 bootstrapped term structures to silently switch to linear interpolation
279 when log-linear was requested.
280 Release 0.9.5 - July 30th, 2008
282 CREDIT FRAMEWORK
284 New credit framework due to the joint efforts of StatPro Italia, Roland
286 Lichters, Chris Kenyon, and Jose Aparicio. The framework currently
287 include:
288 · Interface for default-probability term structure and adapters for
290 hazard-rate and default-density structures.
291 · Flat hazard-rate curve.
293 · Interpolated hazard-rate and default-density curves.
295 · Credit-default swaps (mid-point and integral engines.)
297 · Bootstrapped piecewise default-probability curve.
299 · CDS example.
301 PORTABILITY
303 · Added support for Microsoft Visual C++ 2008 (Boost 1.35 is required
305 for this compiler.)
306 · Fixes for Cygwin build.
308 EXPERIMENTAL FOLDER
310 The new ql/experimental folder contains code which is still not fully
312 integrated with the library, but is released in order to get user
313 feedback. Experimental classes are considered unstable; their
314 interfaces are likely to change in future releases. The folder
315 currently include:
316 · Generic MC basket option (thanks to Andrea Odetti.)
318 · CDS option (thanks to Roland Stamm.)
320 · Nth-to-default swap (thanks to Roland Lichters.)
322 · Extended Black-Scholes-Merton process (thanks to Frank Hoermann.)
324 · Quanto-adjusted coupons and averaged coupons (thanks to Toyin Akin.)
326 · Callable bonds (thanks to Allen Kuo.)
328 · New framework for volatility term structures.
330 · Sensitivity analysis functions.
332 CALENDARS
334 · Added 2008 holidays for China, India, Indonesia, Singapore, and
336 Taiwan.
337 · Added one-off holiday (President Reagan's and Ford's funerals) to
339 NYSE calendar.
340 · Fixed South Korea calendar (thanks to Charles Chongseok Hyun.)
342 CURRENCIES
344 · Added Peruvian currency.
346 DATES
348 · Added date-generation rules for CDS schedules (i.e., rolling to the
350 20th of the month.)
351 INDEXES
353 · Added SEK LIBOR index.
355 INSTRUMENTS
357 · Ported Himalaya and Everest options to pricing-engine framework
359 (thanks to the IMAFA students at Polytech'Nice Sophia: Jeome Bessi,
360 Seastien Bonifaci, Benjamin Degerbaix and Renaud Pentel.)
361 MATH
363 · Added matrix determinant.
365 · Added QR matrix decomposition.
367 · Added a number of copulas (thanks to Marek Glowacki.)
369 · Added constrained cubic spline.
371 · Implemented derivative and second derivative of log-interpolations.
373 · Added Gauss-Lobatto integration.
375 · Added student-t distribution (thanks to Roland Lichters.)
377 MODELS
379 · Added calibrated GJR-GARCH model (thanks to Yee Man Chan.)
381 · Added Feller constraint to Heston model.
383 PRICING ENGINES
385 · Refactored variance-swap engines (the underlying stochastic process
387 is now passed to the pricing engine.)
388 · Added GJR-GARCH pricing engines for vanilla options (thanks to Yee
390 Man Chan.)
391 PROCESSES
393 · Added Euler end-point discretization (thanks to Frank Hoermann.)
395 · Added GJR-GARCH process (thanks to Yee Man Chan.)
397 · Added Bates process.
399 TERM STRUCTURES
401 · Added turn-of-year effect to yield-curve bootstrapping (generalized
403 to multiple jumps at arbitrary dates.)
404 · Added local bootstrap of forward rates (thanks to Simon Ibbotson.)
406 · Disabled copies of interpolated curves (the existing behavior was
408 incorrect. A fix to re-enable copying will be included in a future
409 release.)
410 VOLATILITY
412 · Added constant cap/floor term volatility structure.
414 · Added stripped optionlet.
416 Release 0.9.0 - December 24th, 2007
418 PORTABILITY
420 · Fixes for MSYS and Cygwin build.
422 · Fixes for VC++ build with CLR support enabled.
424 · Dropped MetroWerks CodeWarrior support.
426 CALENDARS
428 · Fix for business-days calculation (thanks to Piter Dias.)
430 · Updated Hong Kong's holidays for 2008 and China's for 2007.
432 · Added new holiday to Canadian calendars (thanks to Matt Knox.)
434 · Fixed joint-calendar specification (thanks to Jay Walters.)
436 · Split Canadian calendar into settlement and TSX (thanks to Matt
438 Knox.)
439 · Added Brazilian exchange calendar (thanks to Richard Gomes.)
441 · Fixes for the Brazilian calendars (thanks to Piter Dias.)
443 CASH FLOWS
445 · Added average-BMA coupon (thanks to Roland Lichters.)
447 · Fixed-rate coupons can now accept an InterestRate instance (thanks to
449 Piter Dias.)
450 · implemented cash-flow vector builders as helper classes to ease
452 skipping default parameters and single/multiple inputs.
453 DATES
455 · Extended date range up to year 2199.
457 · Fixed period comparison (thanks to Chris Kenyon.)
459 · Fixed short date formatting (thanks to Robert Lopez.)
461 · Enhanced period algebra.
463 INDEXES
465 · Added BMA index (thanks to Roland Lichters.)
467 · Added inflation indexes (thanks to Chris Kenyon.)
469 · Added historical interest-rate index analysis.
471 INSTRUMENTS
473 · Added BMA swaps (thanks to Roland Lichters.)
475 · Added year-on-year and zero-coupon inflation swaps (thanks to Chris
477 Kenyon.)
478 · Fixed stub-date management and backward date generation for fixed-
480 rate bonds (thanks to Toyin Akin.)
481 · Added clean/dirty bond-price calculation from Z-spread.
483 LATTICES
485 · Fixed Tsiveriotis-Fernandes tree initialization (thanks to John
487 Maiden.)
488 MATH
490 · Added multi-dimensional cost function for least-square problems
492 (thanks to Guillaume Pealat.)
493 · Added histogram class (thanks to Gang Liang.)
495 · Added log-cubic interpolation.
497 · Fixed conjugate-gradient bug.
499 · Fixed nested Levenberg-Marquardt bug.
501 PRICING ENGINES
503 · Refactored option engines (the underlying stochastic process is now
505 passed to the pricing engine.)
506 · Refactored bond, cap/floor, swap, and swaption engines (the discount
508 curve is now passed to the pricing engine.)
509 · Added Heston/Hull-White analytic and Monte Carlo engines for vanilla
511 options.
512 · Fixed bug in blackFormulaCashItmProbability in case of non null
514 displacement.
515 PROCESSES
517 · Added hybrid Heston/Hull-White process.
519 · Fixed joint-process bug.
521 QUOTES
523 · Added forward-swap quote.
525 RANDOM NUMBERS
527 · Fixed ordering of primitive polynomials for Sobol/Levitan and
529 Sobol/Levitan/Lemieux methods.
530 · Added JoeKuoD5, JoeKuoD6 and JoeKuoD7 direction integers for Sobol
532 generator.
533 · Added Kuo, Kuo2 and Kuo3 direction integers for Sobol generator.
535 · Added class to generate low-discrepancy sequences using a lattice
537 rule.
538 TERM STRUCTURES
540 · Added discount curve fitted on bond prices (thanks to Allen Kuo.)
542 · Added BMA-swap rate helper (thanks to Roland Lichters.)
544 · Made SwapRateHelper forward-start enabled.
546 · Added universal term-structure bootstrapper (thanks to Chris Kenyon.)
548 · Added abstract inflation term structures (thanks to Chris Kenyon.)
550 · Added piecewise inflation curves (thanks to Chris Kenyon.)
552 Release 0.8.1 - June 4th, 2007
554 PORTABILITY
556 · Version 0.8.1 adds support for Boost 1.34 on Linux systems. If you
558 are using version 0.8.0 on Windows systems, you do not need this
559 upgrade.
560 Release 0.8.0 - May 30th, 2007
562 PORTABILITY
564 · Version 0.8.0 is the last QuantLib release to support the Metrowerks
566 CodeWarrior compiler (which was discountinued by Metrowerks.) If you
567 use such compiler and want support to continue, you can volunteer for
568 maintaining the necessary patches: contact the QuantLib developers
569 for information.
570 SOURCE TREE
572 · Files and folders in the source tree have been reorganized (hopefully
574 for th ebetter.) If you only included <ql/quantlib.hpp>, all changes
575 were taken care of for you. if you included specific headers, you
576 might want to check its current location; in particular, all folder
577 names are now lowercase.
578 CALENDARS
580 · Added 2007 holidays for Indonesia, Saudi Arabia, and South Korea
582 calendars.
583 CASH FLOWS
585 · Added floater range-accrual coupons.
587 INDEXES
589 · Added EuriborSwapFixB family.
591 INSTRUMENTS
593 · Added capped/floored floating-rate bond. It can also be used for
595 reverse floaters.
596 · Added delta, gamma and theta to binomial option engines (thanks to
598 Steve Cook.)
599 · Refactored basket engines to allow for more payoffs.
601 LIBOR MARKET MODEL
603 · This release includes an experimental implementation of a Libor
605 market model developed with Mark Joshi. Improvements since release
606 0.4.0 include normal forward-rate market model, lognormal CMS market
607 model, lognormal coterminal-swap market model, and calibration to
608 caplets and coterminal swaptions. The interface of the model and its
609 integration with the bulk of the library are still in development.
610 MATH
612 · Adaptive Gauss-Kronrod integration added.
614 · Added Higham's nearest correlation matrix method (thanks to Neil
616 Firth)
617 · Refactored optimization framework.
619 PROCESSES
621 · Added new discretization schema to Heston process.
623 UTILITIES
625 · The Handle class was split into RelinkableHandle (behaving like the
627 old Handle class) and Handle (which is notified when its copies are
628 relinked, but cannot itself be relinked.) The former can safely be
629 returned from inspectors.
630 Release 0.4.0 - February 20th, 2007
632 PORTABILITY
634 · Starting with release 0.4.0, the Borland free compiler 5.5 and
636 Microsoft Visual C++ 6.0 are no longer supported. If you use one of
637 these compilers and want support to continue, you can volunteer for
638 maintaining the necessary patches: contact the QuantLib developers
639 for information.
640 CALENDARS
642 · Added 2007 holidays for Hong Kong, India, Singapore, and Taiwan
644 exchanges.
645 LIBOR MARKET MODEL
647 · This release includes an experimental implementation of a Libor
649 market model developed with Mark Joshi. Improvements since release
650 0.3.14 include the use of quasi-random number generators and the
651 calculation of Greeks and of upper bounds for instruments with early-
652 exercise features. The interface of the model and its integration
653 with the bulk of the library are still in development.
654 INSTRUMENTS
656 · Added helper classes to make it easier to instantiate swaps,
658 caps/floors, and CMS instruments.
659 INTEREST RATES
661 · Added capped/floored floating-rate coupons (including convexity
663 adjustment.)
664 MATH
666 · Curve, domain and surface interfaces added.
668 PROCESSES
670 · Added reversion level to Ornstein-Uhlenbeck process (thanks to Roland
672 Lichters.)
673 VOLATILITY TERM STRUCTURES
675 · Added stripping of caplet-volatility term structure from cap quotes.
677 · Improved SABR interpolation and calibration.
679 Release 0.3.14 - November 6th, 2006
681 PORTABILITY
683 · Version 0.3.14 is the last QuantLib release to support the Borland
685 free compiler 5.5 and Microsoft Visual C++ 6.0. If you use one of
686 these compilers and want support to continue, you can volunteer for
687 maintaining the necessary patches: contact the QuantLib developers
688 for information.
689 LIBOR MARKET MODEL
691 · This release includes an experimental implementation of a Libor
693 market model developed with Mark Joshi. The interface and its
694 integration with the bulk of the library are still in development.
695 CURRENCIES
697 · Added Romanian new lev.
699 DATES, CALENDARS, AND DAY COUNTERS
701 · Added all serial 3M IMM futures (thanks to Toyin Akin.)
703 · Reworked the Schedule class so that it follows market conventions
705 more closely.
706 · Added business/252 day-count convention (thanks to Piter Dias.)
708 INTEREST RATES
710 · Added base swap-rate class and a number of actual swap rates.
712 · Added constant-maturity swap coupons (including convexity
714 adjustment.)
715 INSTRUMENTS
717 · Added asset swaps.
719 · Added face amount to bonds (defaulting to 100.)
721 MATH
723 · Added hypersphere and lower-diagonal salvaging algorithms (thanks to
725 Yiping Chen.)
726 PRICING ENGINES
728 · Added Longstaff-Schwartz Monte-Carlo algorithm for American/Bermudan
730 equity options with deterministic interest rates.
731 TERM STRUCTURE
733 · Added piecewise-spreaded yield curve (thanks to Roland Lichters.)
735 Release 0.3.13 - July 31st, 2006
737 CALENDARS
739 · Added NERC calendar (thanks to Joe Byers.)
741 INSTRUMENTS AND PRICING ENGINES
743 · Added continuous fixed and floating lookback options (thanks to
745 Warren Chou.)
746 · Added FRA and forward fixed-coupon bonds; examples provided (thanks
748 to Allen Kuo.)
749 · Added variance swaps (thanks to Warren Chou.)
751 · Added composite instrument; example provided.
753 · Added cash-settled swaption pricing in Black swaption engine; test
755 provided.
756 · Added discrete dividends and soft callability to convertible bonds.
758 INTEREST RATES
760 · Fixed business-day conventions for Euribor and LIBOR indices
762 (following below one month, month-end from one month onwards.)
763 MODELS
765 · Added more complex market parameterizations and performance
767 improvements for Libor market model (thanks to Klaus Spanderen.)
768 PROCESSES
770 · Renamed BlackScholedProcess to GeneralizedBlackScholedProcess;
772 specialized classes added for Black-Scholes, Merton, Black and
773 Garman-Kohlhagen processes.
774 · Added Hull-White and G2 processes for Monte Carlo simulation (thanks
776 to Banca Profilo.)
777 RANDOM NUMBERS
779 · Added possibility to skip directly to the n-th item in a Sobol
781 sequence (thanks to Richard Gould.)
782 MATH
784 · Added SABR interpolation for volatilities.
786 · Added general linear least-squares regression (thanks to Klaus
788 Spanderen.)
789 Release 0.3.12 - March 27th, 2006
791 CALENDARS
793 · Added Brazilian calendar (thanks to Piter Dias.)
795 · Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian
797 calendars.
798 INSTRUMENTS AND PRICING ENGINES
800 · Added convertible bonds (thanks to Theo Boafo.)
802 · The cash flows returned by the Bond::cashflows method now include the
804 redemption.
805 · SimpleSwap can now be set an engine. If none is set, the old cash-
807 flow-based calculation is used.
808 · Generalized McVanillaEngine so that it can manage n-dimensional
810 processes; it now subsumes McHestonEngine.
811 · Added pricing of Bermudan options on binomial trees (thanks to Enrico
813 Michelotti.)
814 · Separated accrual and payment conventions for bonds.
816 · Modified basis-point sensitivity calculation so that it returns the
818 cash variation for a basis-point change in rate (it used to return
819 the figure to be multiplied by the variation in order to obtain the
820 same result.)
821 MODELS
823 · Added weights to short-rate model calibration (thanks to Enrico
825 Michelotti.)
826 · Added Libor market model (thanks to Klaus Spanderen.)
828 OPTIMIZATION
830 · Added Levenberg-Marquardt optimization method (thanks to Klaus
832 Spanderen.)
833 EXAMPLES
835 · Merged American and European option examples; added Bermudan option.
837 · Added convertible-bond example (thanks to Theo Boafo.)
839 Release 0.3.11 - October 20th, 2005
841 GLOBAL FEATURES
843 · Added configuration option for adding current function information to
845 error messages.
846 · Added hook for multiple sessions to Singleton.
848 CALENDARS
850 · Added Bombay and Taipei calendars.
852 CURRENCIES
854 · Added new Turkish lira.
856 INDEXES
858 · More accurate LIBOR calendars (thanks to Daniele de Francesco.)
860 · Added DKKLibor, EURLibor, and NZDLibor indexes.
862 · Added TRLibor index (thanks to Sercan Atalik.)
864 PRICING ENGINES
866 · Added Bates stochastic-volatility model; tests provided (thanks to
868 Klaus Spanderen.)
869 · Added vega to analytic discrete-averaging Asian engine; test provided
871 (thanks to Gary Kennedy.)
872 · Added stochastic process for caplet Libor market model; tests
874 provided (thanks to Klaus Spanderen.)
875 TERM STRUCTURES
877 · Added fixed-coupon bond helper for curve bootstrapping (thanks to
879 Toyin Akin.)
880 MATH
882 · Added tabulated Gauss-Legendre quadratures (thanks to Gary Kennedy.)
884 · Added more precise implementation of bivariate cumulative normal
886 distribution (thanks to Gary Kennedy.)
887 Release 0.3.10 - July 14th, 2005
889 GLOBAL FEATURES
891 · The suggested syntax for setting and registering with the global
893 evaluation date is now:
894 Settings::instance().evaluationDate() = date;
896 registerWith(Settings::instance().evaluationDate());
897 CALENDARS
900 · Istanbul calendar added (thanks to Serkan Atalik.)
902 LATTICE FRAMEWORK
904 · Faster implementation of binomial and trinomial trees.
906 MONTE CARLO FRAMEWORK
908 · Added generic multi-dimensional stochastic process.
910 · Added stochastic process array (thanks to Klaus Spanderen.)
912 · Multi-path generator now takes a generic stochastic process; tests
914 provided.
915 · New Path class implemented which stores asset values rather than
917 variations; this makes pricers independent on whether or not log-
918 variations were calculated. The new class is enabled when
919 QL_DISABLE_DEPRECATED is defined; the old class is used otherwise.
920 INSTRUMENTS
922 · Multi-asset option now takes a generic stochastic process.
924 MODELS
926 · Added Heston stochastic-volatility model; tests provided (thanks to
928 Klaus Spanderen.) Provided code include:
929 · a corresponding stochastic process;
931 · analytic and Monte Carlo option-pricing engines;
933 · parameter calibration.
935 CASH FLOWS
937 · Cash-flow analyses such as NPV, IRR, convexity and duration added
939 (thanks to Charles Whitmore.)
940 MATH
942 · Added Gaussian orthogonal polynomials and Gaussian quadratures; tests
944 provided (thanks to Klaus Spanderen.)
945 · Convergence statistics added; tests provided (thanks to Gary
947 Kennedy.)
948 Release 0.3.9 - May 2nd, 2005
950 GLOBAL FEATURES
952 · QL_SQRT, QL_MIN etc. deprecated in favor of std::sqrt, std::min...
954 · Added a tentative tracing facility to ease debugging.
956 · Formatters deprecated in favor of output manipulators. A number of
958 data types can now be sent directly to output streams.
959 · Stream-based implementation of QL_REQUIRE, QL_TRACE and similar
961 macros. Together with manipulators, this allows one to write simpler
962 error messages, as in:
963 QL_FAIL('forward at date ' << d << ' is ' << io::rate(f));
965 INSTRUMENTS
968 · Improved Bond class
970 · yield-related calculation can be performed with either compounded
972 or continuous compounding;
973 · added theoretical price based on discount curve;
975 · fixed-rate coupon bonds can define different rates for each coupon;
977 · added zero-coupon and floating-rate bonds (thanks to StatPro.)
979 · Option instruments now take a generic StochasticProcess; however,
981 most pricing engines still require a BlackScholesProcess. They should
982 be checked to see whether the requirement can be relaxed. Following
983 this change, Merton76Process no longer inherits from
984 BlackScholesProcess. This avoids erroneous upcasts.
985 · Partial fix for Bermudan swaptions with exercise lag (thanks to Luca
987 Berardi for the report and discussion.)
988 · Fix for analytic cap/floor engine; caplets/floorlets whose fixing is
990 in the past are now calculated correctly (thanks to Aurelien
991 Chanudet.)
992 CALENDARS
994 · Added Bratislava and Prague calendars.
996 INDICES
998 · Fixed calendars for LIBOR fixings (thanks to Daniele De Francesco.)
1000 FINITE_DIFFERENCES FRAMEWORK
1002 · Migrated finite-difference pricers to pricing-engine framework
1004 (thanks to Joseph Wang.)
1005 YIELD TERM STRUCTURES
1007 · Added generic piecewise yield term structure. Client code can choose
1009 what to interpolate (discounts, zero yields, forwards) and how
1010 (linear, log-linear, flat) by instantiating types such as:
1011 PiecewiseYieldCurve<Discount,LogLinear>
1013 PiecewiseYieldCurve<ZeroYield,Linear>
1014 PiecewiseYieldCurve<ForwardRate,Linear>
1015 · Interpolated discount, zero-yield and forward-rate curves can now be
1018 set any interpolation.
1019 · FlatForward can now take rates with compounding other than
1021 continuous.
1022 · Fix for extrapolation in zero-spreaded and forward-spreaded yield
1024 term structure (thanks to Adjriou Belak for the report.)
1025 MATH
1027 · Added backward- and forward-flat interpolations.
1029 Release 0.3.8 - December 22nd, 2004
1031 REQUIRED PACKAGES
1033 · Boost version 1.31.0 or later is now required.
1035 DOCUMENTATION
1037 · Documentation now includes a FAQ page.
1039 GLOBAL FEATURES
1041 · Global evaluation date added through Settings class. Used for index-
1043 fixing and exchange-rate lookup.
1044 · added InterestRate class, which encapsulate the interest rate
1046 compounding algebra. It manages day-counting convention, compounding
1047 convention, conversion between different conventions, and
1048 discount/compounding factor calculations. It also has its own
1049 formatter.
1050 INSTRUMENTS
1052 · Bond and FixedCouponBond classes added (thanks to Jeff Yu) providing
1054 price/yield conversions; tests provided.
1055 DATE, CALENDARS, AND DAY COUNT CONVENTIONS
1057 · Reworked Date interface. Added nextWeekday() and nthWeekday() static
1059 methods to the class Date. Added nextIMM() for the calculation of the
1060 next IMM date.
1061 · Added WeekdayFormatter and FrequencyFormatter
1063 · Added '1/1' day counter. The Actual365 is deprecated: as per ISDA
1065 documentation 'Actual/365' is the same as 'Actual/Actual'. Use the
1066 ActualActual class instead, or the Actual365Fixed class.
1067 · Added dayCounterFromString(std::string) to QuantLibFunctions.
1069 · Improved Beijing calendar (thanks to Zhou Wu.)
1071 CURRENCIES AND FX RATES
1073 · Added currency classes; CurrencyTag replaced in library code.
1075 · Added money class providing arithmetic with or without conversions;
1077 tests provided.
1078 · Added exchange-rate class; tests provided.
1080 · Added exchange-rate manager with smart rate lookup, i.e., able to
1082 derive a missing exchange rate as a chain of provided rates; tests
1083 provided.
1084 MONTE CARLO FRAMEWORK
1086 · Added Faure low-discrepancy sequence (thanks to Gianni Piolanti;)
1088 tests provided.
1089 · Added randomized (shifted) low discrepancy sequences that will be
1091 used for randomized quasi Monte Carlo.
1092 · Added SeedGenerator class, for random generation of seeds when they
1094 are not given by the user.
1095 · Added the implementation of Sobol sequences using the coefficients of
1097 the free direction integers as provided by Bratley and Fox, who
1098 credited unpublished work of Sobol's and Levitan's.
1099 · Added an implementation of Sobol sequences using the coefficients of
1101 the free direction integers of Lemieux, Cieslak, and Luttmer.
1102 Coefficients for d<=40 are the same as in Bradley-Fox. For dimension
1103 40<d<=360 the coefficients have been calculated as optimal values
1104 based on the 'resolution' criterion. The values has been provided by
1105 Christiane Lemieux, private communication, September 2004.
1106 · PathGenerator now works correctly with processes describing S instead
1108 of log S. Geometric Brownian process added (thanks to Walter
1109 Penschke.)
1110 LATTICE FRAMEWORK
1112 · Reworked the DiscretizedAsset interface.
1114 PRICING ENGINES FRAMEWORK
1116 · Added pricing engine for American options with Ju quadratic
1118 approximation.
1119 · Average-price Asian pricers have been deprecated. New equivalent
1121 pricing engines added.
1122 FIXED INCOME
1124 · Added current coupon to discretized swap and cap/floor.
1126 · Added IndexManager as a singleton (will replace XiborManager--already
1128 obsoleted in library code.)
1129 · Added DayCounter parameter to ParCoupon (to be used for accruing
1131 spreads and past fixings.) When missing, it defaults to that of the
1132 term structure.
1133 · Added compilation flag to select default floating-coupon type.
1135 · IndexedCoupon can now take a generic index rather than a Libor
1137 (thanks to Daniele De Francesco.)
1138 · Added hooks for convexity adjustment in floating-rate coupons;
1140 implemented adjustment for InArrearIndexedCoupon.
1141 YIELD TERM STRUCTURE
1143 · TermStructure renamed to YieldTermStructure (the former name was
1145 deprecated.)
1146 · New base class BaseTermStructure which can calculate its reference
1148 date based on the global evaluation date. YieldTermStructure,
1149 BlackVolTermStructure, LocalVolTermStructure,
1150 CapFlatVolatilityStructure, CapletForwardVolatilityStructure, and
1151 SwaptionVolatilityStructure are now derived from BaseTermStructure so
1152 that they inherit its functionality.
1153 PATTERNS
1155 · Added Singleton pattern.
1157 MATH
1159 · Added N-dimensional cubic spline (thanks to Roman Gitlin.)
1161 · Added CovarianceDecomposition class (decomposes a covariance matrix
1163 into standard deviations and correlations)
1164 MISCELLANEA
1166 · Renamed RelinkableHandle to Handle.
1168 PORTABILITY
1170 · Support for Dev-C++ IDE added.
1172 · Fixes for gcc 2.95 added (thanks to Michael Dirkmann.)
1174 Release 0.3.7 - July 23rd, 2004
1176 IMPORTANT
1178 QuantLib now depends on the Boost library (www.boost.org).
1180 You will need a working Boost installation in order to compile and use
1182 QuantLib. Instructions for installing Boost from sources are available
1183 at <http://www.boost.org/more/getting_started.html>. Pre-packaged
1184 binaries might be available from other sources. Google is your friend
1185 (or Debian, or Fink...)
1186 DATE, CALENDARS, AND DAY COUNT CONVENTIONS
1188 · Working on differentiating calendars depending on country or
1190 exchange, instead of city.
1191 · Added Italy (Settlement, Exchange), United Kingdom (Settlement,
1193 Exchange, Metals), United States (Settlement, Exchange,
1194 GovermentBond), Xetra.
1195 · Milan, London, and NewYork calendars have been deprecated.
1197 · Added (old-style) calendars: Beijing, Hong Kong, Riyadh, Seoul,
1199 Singapore, Taiwan.
1200 · RollingConvention has been renamed BusinessDayConvention, as for ISDA
1202 definitions.
1203 MATH
1205 · Added rounding algorythms as per OMG enumeration/definition.
1207 TEST SUITE
1209 · Moved to Boost unit test framework. CppUnit is no longer needed.
1211 · Added test for quanto and forward compound engines.
1213 · Added test for roundings.
1215 · Added test for discrete dividend European options.
1217 · Added test for cliquet options.
1219 MISCELLANEA
1221 · enable/disableExtrapolation() methods were added to a few classes
1223 such as TermStructure. They make it possible to persistently allow
1224 extrapolation without the need of specifying it at every method call.
1225 · Added user-configurable flag to disable usage of deprecated classes.
1227 PORTABILITY
1229 · Fink package available
1231 · Visual C++ 7.x project files added
1233 Release 0.3.6 - April 15th, 2004
1235 Bug-fix release for QuantLib 0.3.5. A bug was removed where calls to
1237 impliedVolatility() would break the state of the option and of all
1238 options sharing the same stochastic process.
1239 Release 0.3.5 - March 31th, 2004
1241 BOOST SUPPORT
1243 · When available, QuantLib 0.3.5 now uses parts of the Boost library.
1245 The presence of Boost is detected automatically under Unix/Linux
1246 systems; on Windows systems, it must be enabled by uncommenting the
1247 relevant line in ql/userconfig.hpp.
1248 · In the next QuantLib release, the presence of the Boost library will
1250 be mandatory.
1251 MONTE CARLO FRAMEWORK
1253 · Modified MultiPath interface to remove drifts. They are now in the
1255 stochastic processes.
1256 · Preliminary implementation of Longstaff-Schwartz least-squares
1258 · Monte Carlo pricer for European basket options
1260 · Brownian-bridge bugs fixed
1262 · StochasticProcess base class and derived classes (diffusion, jump-
1264 diffusion, etc.) have been created.
1265 PRICING ENGINES FRAMEWORK
1267 · Pricing engines now use Payoff and Exercise classes.
1269 · American basket options.
1271 · Binary barrier option replaced by vanilla option with digital payoff.
1273 · Stulz engine for max and min basket calls and puts on two assets.
1275 · American binary option added (a.k.a. one-touch, american digital,
1277 americal barrier, etc.) with different payoffs (cash/asset at
1278 hit/expiry, etc.)
1279 · Added engine for Merton 1976 jump-diffusion process.
1281 · Added Bjerksund and Stensland approximation for American option
1283 (still unstable.)
1284 · Added Barone-Adesi and Whaley approximation for American option.
1286 · Improved Black formula engine with more greeks added.
1288 · Discrete geometric asian option.
1290 · Added Leisen-Reimer binomial tree.
1292 SHORT RATE MODELS
1294 · Model renamed to ShortRateModel. A typedef is provided for backward
1296 compatibility--it will be removed in subsequent releases.
1297 VOLATILITY FRAMEWORK
1299 · bug fix for short time (0<=t<=Tmin) interpolation
1301 OPTIMIZATION FRAMEWORK
1303 · Method renamed to OptimizationMethod. A typedef is provided for
1305 backward compatibility--it will be removed in subsequent releases.
1306 PATTERNS
1308 · Composite pattern
1310 MATH
1312 · Improved cubic spline interpolation. It now handles end conditions
1314 such as first derivative value, second derivative value, not-a-knot.
1315 Hyman filter for monotonically constrained interpolation has been
1316 implemented. Primitive calculation has been enabled in addition to
1317 derivative and second derivative.
1318 · Primitive, first derivative, and second derivative functions are
1320 available for linear interpolator.
1321 · Singular value decomposition improved.
1323 · Added bivariate cumulative normal distribution.
1325 · Added binomial coefficient calculation, binomial distribution,
1327 cumulative binomial distribution, and Peizer-Pratt inversion (method
1328 2.)
1329 · Added beta functions.
1331 · Added Poisson distribution and cumulative distribution.
1333 · Added incomplete gamma functions.
1335 · Added factorial calculation.
1337 · Added rank-reduced square root and improved pseudo-square root of
1339 square symmetric matrices.
1340 · Added Cholesky decomposition.
1342 TEST SUITE
1344 · Added test for cubic spline interpolation.
1346 · Added test for singular value decomposition.
1348 · Added test for two-asset baskets using the Stulz pricing engine.
1350 · Added test for Monte Carlo American cash-at-hit options.
1352 · Added test for jump-diffusion engine.
1354 · Added test for American and European digital options.
1356 MISCELLANEA
1358 · Inner namespaces have been deprecated.
1360 · Added frequency enumeration, including 'once'.
1362 · MarketElement renamed to Quote.
1364 · Handling strike=0.0 where possible.
1366 · More Payoff classes have been introduced: gap, asset-or-nothing,
1368 cash-or-nothing. Payoff is now extensively used.
1369 · Exercise class is now polymorphic. More derived classes have been
1371 introduced, and they are now extensively used.
1372 · Introduced QL_FAIL macro.
1374 · Added calendar for Copenhagen
1376 · 14 April 2004 (election day) added to Johannesburg calendar as a one-
1378 off holiday.
1379 · Documentation generated with Doxygen 1.3.6.
1381 · Win32 installer generated with NSIS 2.0.
1383 Release 0.3.4 - November 21th, 2003
1385 MONTE CARLO FRAMEWORK
1387 · MC European in one step with strike-independent vol curve (hopefully)
1389 · Path pricer for Binary options. It should cover both European and
1391 American style options. Also known as: Digital, Binary, Cash-At-Hit,
1392 Cash-At-Expiry.
1393 · Path pricers for barrier options
1395 PRICING ENGINES FRAMEWORK
1397 · More options moved to the new pricing engine framework: binary,
1399 barrier
1400 · Changed setupEngine() into setupArguments(args)
1402 · Moved pricing-engine machinery up to Instrument class
1404 FIXED INCOME
1406 · New basis-point sensitivity functions
1408 · Added Swap::startDate() and maturity()
1410 · Cap/floor fixing days taken into account
1412 SHORT RATE MODELS
1414 · An additional constraint can now be passed to the calibration
1416 VOLATILITY FRAMEWORK
1418 · Visitable volatility term structures
1420 OPTIMIZATION FRAMEWORK
1422 · Added composite constraint
1424 PATTERNS
1426 · Visitor, Alexandrescu-style (saves some code duplication)
1428 MATH
1430 · Added more integration algorithms contributed by Roman Gitlin
1432 · Relaxed constaints on interval boundaries for integration algorithms
1434 · Interpolation traits
1436 TEST SUITE
1438 · Added implied cap/floor term volatility test
1440 · Added test for binary options in PricingEngine Framework.
1442 · Added tests for Barrier options in PricingEngine Framework. Some
1444 Monte Carlo tests, but not comprehensive.
1445 MISCELLANEA
1447 · Conditionally allowed negative yields (disabled by default)
1449 · Null calendar and simple day counter for reproducing theoretical
1451 calculations
1452 · Fixed for VC++.Net compilation
1454 · Added spec file for RPMs
1456 · Added global flag for early/late payments
1458 · Enabled test suite for Borland
1460 · Removed OnTheEdge VC++ configurations
1462 · Added VC++ configurations for static and dynamic Multithread
1464 libraries
1465 · Upgraded to use Doxygen 1.3.4
1467 Release 0.3.3 - September 3rd, 2003
1469 MONTE CARLO FRAMEWORK
1471 · Re-templatized Monte Carlo model based on traits.
1473 · New path generator based on DiffusionProcess, TimeGrid, and
1475 externally initialized random number generator.
1476 · Added Halton low discrepancy sequence.
1478 · Added sequence generators: random sequence generator creates a
1480 sequence generator out of a random number generator.
1481 InvCumGaussianRsg creates a gaussian sequence generator out of a
1482 uniform (random or low discrepancy) sequence generator.
1483 · RNG as constructor input constructor( long seed) deprecated.
1485 · Mersenne Twister random number generator added
1487 · Old PathPricers, PathGenerators, etc are available with a trailing
1489 _old
1490 · Added Jakel's Brownian Bridge (not used yet.)
1492 · Sobol Random Sequence Generator. Unit and Jakel.
1494 · Added randomized Halton sequences.
1496 FINITE DIFFERENCE FRAMEWORK
1498 · Old class Grid no longer exists, use CenteredGrid to obtain the same
1500 result.
1501 LATTICE FRAMEWORK
1503 · Abstracted discretized option.
1505 · Additive binomial trees. All binomial trees now use DiffusionProcess.
1507 · Added Tian binomial tree.
1509 PRICING ENGINES FRAMEWORK
1511 · Partially implemented.
1513 · Quanto forward compounded engines.
1515 · Integral (european) pricing engine.
1517 YIELD TERM STRUCTURE
1519 · ZeroCurve: a term structure based on linear interpolation of zero
1521 yields.
1522 FIXED INCOME
1524 · Up-front and in-arrear indexed coupon.
1526 · Specific implementation of compound forward rate from zero yield.
1528 · Added compound forward and zero coupon implementations.
1530 · Added Futures rate helper with specified maturity date.
1532 · Added bucketed bps calculation.
1534 · Added swap constructor using specified maturity date as well as added
1536 functionality in Scheduler.
1537 · Added date-bucketed basis point sensitivity based on 1st derivative
1539 of zero coupon rate.
1540 OPTIMIZATION FRAMEWORK
1542 · Solvers now take any function. ObjectiveFunction disappeared.
1544 PATTERNS
1546 · Abstracted lazy object.
1548 · Abstracted the curiously recurring template pattern.
1550 DATE AND CALENDARS
1552 · Added joint calendars.
1554 · Tokyo, Stockholm, Johannesburg calendar improved.
1556 ·
1558 · Added basic date generation starting from the end.
1560 MATH
1562 · Added Gauss-Kronrod integration algorithm.
1564 · Added primitive polynomial modulo 2 up to dimension 18 (available up
1566 to dimension 27.)
1567 · Added BicubicSplineInterpolation.
1569 · Numerical Recipes algorithm is back since there is a problem with
1571 Nicolas' code: it is unable to fit a straight line, it waves around
1572 the line.
1573 · Prime number generation.
1575 · Acklam's approximation for inverse cumulative normal distribution
1577 function (replaced Moro's algorithm as default.)
1578 · Added error function.
1580 · Improved Cumulative Normal Distribution function using the error
1582 function.
1583 · Matrix pseudo square algorithm using salvaging algorithm(s).
1585 · Added SequenceStatistics.
1587 · Major Statistic reworking.
1589 · Added DiscrepancyStatistic that inherits from SequenceStatistic and
1591 extends it with the calculation of L2-discrepancy.
1592 · HStatistics.
1594 · Added first and second derivative ot cubic splines.
1596 RISK MEASURES
1598 · Introduced semiVariance and regret.
1600 · Redefinition of average shorfall (normalization factor now is
1602 cumulative(target) instead of 1.0)
1603 MISCELLANEA
1605 · QuEP 9 'generic disposable objects' implemented.
1607 · Added test suite.
1609 · Dataformatters extended to format long integers, Ordinal numerals,
1611 power of two formatting.
1612 · Exercise class adopted.
1614 · Added user configuration section.
1616 · Inhibited automatic conversion of Handle<T> to RelinkableHandle<T>.
1618 · Diffusion process extended.
1620 · Added strikeSensitivity to the Greeks.
1622 · BS does handle t==0.0 and sigma==0.0.
1624 · TimeGrid has been reworked.
1626 · Added payoff file for Payoff classes. Added Cash-Or-Nothing and
1628 Asset-Or-Nothing payoff classes.
1629 · Upgraded to use Doxygen 1.3.
1631 Release 0.3.1 - February 4th, 2003
1633 FINITE DIFFERENCE FRAMEWORK
1635 · partially implemented QuEP 2 (http://quantlib.org/quep.shtml)
1637 VOLATILITY FRAMEWORK
1639 · added Black and local volatility interface
1641 PRICING ENGINES FRAMEWORK
1643 · partially implemented QuEP 5 (http://quantlib.org/quep.shtml)
1645 YIELD TERM STRUCTURE
1647 · interface revisited
1649 · added discrete time forward methods
1651 · added DiscountCurve (loglinear interpolated) and CompoundForward term
1653 structures
1654 · ForwardSpreadedTermStructure moved under QuantLibTermStructures
1656 namespace
1657 FIXED INCOME
1659 · Modified coupons so that the payment date can be after the end of the
1661 accrual period
1662 MISCELLANEA
1664 · added/verified holidays of many calendars
1666 · added new calendars
1668 · added new currencies
1670 · more date formatters
1672 · added Period(std::string&)
1674 · it is now possible to advance a calandar using a Period
1676 · added LogLinear Interpolation
1678 · the allowExtrapolation boolean in interpolation classes has been
1680 removed from constructors and added to the operator()
1681 · Renamed Solver1D::lowBound and hiBound
1683 · bug fixes
1685 BUILD PROCESS
1687 · More autoconfiscated time functions and types
1689 · Migrated to latest autotools
1691 · added patches for Darwin and Solaris
1693 Release 0.3.0 - May 6th, 2002
1695 MONTE CARLO FRAMEWORK
1697 · Path and MultiPath are time-aware
1699 · McPricer: extended interface, improved convergency algorithm
1701 FINITE DIFFERENCE FRAMEWORK
1703 · added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
1705 ImplicitEuler, and ExplicitEuler are now derived
1706 · Finite Difference exercise conditions are now in the
1708 FiniteDifferences folder/namespace
1709 · Finite Difference pricers now start with 'Fd' letters
1711 · BSMNumericalOption became BsmFdOption
1713 LATTICE FRAMEWORK
1715 · introduced first version of the framework
1717 · CRR and JR binomial trees
1719 VOLATILITY FRAMEWORK
1721 · early works on reorganization of vol structures
1723 YIELD TERM STRUCTURE
1725 · new TermStructure class based on affine model
1727 · yield curves can be spreaded in term of zeros
1729 (ZeroSpreadedTermStructure) and forwards
1730 (ForwardSpreadedTermStructure)
1731 · Added dates() and times() to PiecewiseFlatForward
1733 · discount factor accuracy in the yield curve bootstrapping is an input
1735 · added single factor short-rate models (Hull-White, Black-Karasinski)
1737 · added two factor short-rate models framework
1739 · cap/floor and swaption calibration helpers
1741 · added bermudan swaption pricing example (including BK and HW
1743 calibrations)
1744 FIXED INCOME
1746 · cap/floor and swaption tree pricer
1748 · cap/floor analytical pricer
1750 · vanilla swaption Jamshidian pricer
1752 · Added accruedAmount() to coupons
1754 · Made cash flow vector builders into functions
1756 OPTIMIZATION FRAMEWORK
1758 · added conjugate gradient, simplex
1760 PATTERNS
1762 · implemented QuEP 8 and 10
1764 MISCELLANEA
1766 · added allowExtrapolation parameter to interpolaton classes
1768 · added 2D bilinear interpolation
1770 · better spline interpolation algorithm
1772 · Added non-central chi-square distribution function.
1774 · Improved Inverse Cumulative Normal Distribution using Moro's
1776 algorithm
1777 · Introduced class representing stochastic processes
1779 · added isExpired() to Instrument interface
1781 · added functions folder and namespace for QuantLibXL and any other
1783 function-like interface to QuantLib
1784 · Handle is now castable to an Handle of a compatible type
1786 · added downsideVariance to the Statistics class
1788 · kustosis() and skewness() now handles the case of stddev == 0 and/or
1790 variance == 0
1791 · added Correlation Matrix to MultiVariateAccumulator
1793 · enforced MS VC compilation settings
1795 · added '-debug' to the QL_VERSION version string ifdef QL_DEBUG
1797 ·
1799 · fixed compilation with 'g++ -pedantic'
1801 · Spread as market element
1803 · new calendars introduced
1805 · new Xibor Indexes introduced
1807 · Added optional day count to libor indexes
1809 · Shortened file names within 31 char limit to support HFS
1811 Release 0.2.1 - December 3rd, 2001
1813 MONTE CARLO FRAMEWORK
1815 · Path and MultiPath are now classes on their own
1817 · PathPricer now handles both Path and MultiPath
1819 · MonteCarloModel now handles both single factor and multi factors
1821 simulations.
1822 · McPricer now handles both single factor and multi factors pricing.
1824 New pricing interface
1825 · antithetic variance-reduction technique made possible in Monte Carlo
1827 for both single factor and multi factors
1828 · Control Variate specific class removed: control variation technique
1830 is now handled by the general MC model
1831 · average price and average strike asian option refactored
1833 · Sample as a (value,weight) struct
1835 · random number generators moved under RandomNumbers folder and
1837 namespace
1838 FINITE DIFFERENCE FRAMEWORK
1840 · BackwardEuler and ForwardEuler renamed ImplicitEuler and
1842 ExplicitEuler, respectively
1843 · refactoring of TridiagonalOperator and derived classes
1845 YIELD TERM STRUCTURE AND FIXED INCOME
1847 · Added some useful methods to term structure classes
1849 · Allowed passing a quote to RateHelpers as double
1851 · added FuturesRateHelpers (no convexity adjustment yet)
1853 · PiecewiseFlatForward now observer of rates passed as MarketElements
1855 · Unified Date and Time interface in TermStructure
1857 · Added BPS to generic swap legs
1859 · added term_structure+swap example
1861 · Fixing days introduced for floating-coupon bond
1863 PATTERNS
1865 · Added factory pattern
1867 · Calendar and DayCounter now use the Strategy pattern
1869 VARIOUS
1871 · used do-while-false idiom in QL_REQUIRE-like macros
1873 · now using size_t where appropriate
1875 · dividendYield is now a Spread instead of a Rate (that is: cost of
1877 carry is allowed)
1878 · RelinkableHandle initialized with an optional Handle
1880 · Worked around VC++ problems in History constructor
1882 · added QL_VERSION and QL_HEX_VERSION
1884 · generic bug fixes
1886 · removed classes deprecated in 0.2.0
1888 INSTALLATION FACILITIES
1890 · improved and smoother Win32 binary installer
1892 DOCUMENTATION
1894 · general re-hauling
1896 · improved and extended Monte Carlo documentation
1898 · improved and extended examples
1900 · Upgraded to Doxygen 1.2.11.1
1902 · Added man pages for installed executables
1904 · added docs in Windows Help format
1906 · added info on 'Win32 OnTheEdgeRelease' and 'Win32 OnTheEdgeDebug' MS
1908 VC++ configurations
1909 · additional information on how to create a MS VC++ project based on
1911 QuantLib
1912 Release 0.2.0 - September 18th, 2001
1914 · Library:
1916 · source code moved under ql, better GNU standards
1918 · gcc build dir can now be separated from source tree
1920 · gcc 3.0.1 port
1922 · clean compilation (no warnings)
1924 · bootstrap script on cygwin
1926 · Fixed automatic choice of seed for random number generators
1928 · Actual/actual classes
1930 · extended platform support (see table in documentation)
1932 · antithetic variance-reduction technique made possible in Monte
1934 Carlo
1935 · added dividend-Rho greek
1937 · First implementation of segment integral (to be redesigned)
1939 · Knuth random generator
1941 · Cash flows, scheduler, and swap (both generic and simple) added
1943 · added ICGaussian random generator
1945 · generic bug fixes
1947 · Installation facilities:
1949 · improved and smoother Win32 binary installer
1951 · better distribution
1953 · debian packages available
1955 · Documentation:
1957 · general re-hauling
1959 · added examples of using QuantLib and of projects based on QL
1961 Release 0.1.9 - May 31st, 2001
1963 · Library:
1965 · Style guidelines introduced (see http://quantlib.org/style.shtml)
1967 and partially enforced
1968 · full support for Microsoft Visual Studio
1970 · full support for Linux/gcc
1972 · momentarily broken support for Metrowerks CodeWarrior
1974 · autoconfiscation (with specialized config.*.hpp files for platforms
1976 without automake/autoconf support)
1977 · Include files moved under Include/ql folder and referenced as
1979 'ql/header.hpp'
1980 · Implemented expression templates techniques for array algebra
1982 optimization
1983 · Added custom iterators
1985 · Improved term structure
1987 · Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier
1989 options (all with greeks calculation, control variated where
1990 possible)
1991 · Added Helsinki and Wellington calendars
1993 · Improved Normal distribution related functions: cumulative, inverse
1995 cumulative, etc.
1996 · Added uniform and Gaussian random number generators
1998 · Added Statistics class (mean, variance, skewness, downside
2000 variance, etc.)
2001 · Added RiskMeasures class: VAR, average shortfall, expected
2003 shortfall, etc.
2004 · Added RiskStatistics class combining Statistics and RiskMeasures
2006 · Added sample accumulator for multivariate analysis
2008 · Added Monte Carlo tools
2010 · Added matrix-related functions (square root, symmetric Schur
2012 decomposition)
2013 · Added interpolation framework (linear and cubic spline
2015 interpolation implemented).
2016 · Installation facilities:
2018 · Added Win32 GUI installer for binaries
2020 · Documentation:
2022 · support for Doxygen 1.2.7
2024 · Added man documentation
2026 Release 0.1.1 - November 21st, 2000
2028 Initial release.
2030Version 1.0.1 Thu Aug 19 2010 history(3)