1history(3) QuantLib history(3)
2
6 history - Version history Release 0.8.1 - June 2007
7 PORTABILITY
9 · Version 0.8.1 adds support for Boost 1.34 on Linux systems. If you
11 are using version 0.8.0 on Windows systems, you do not need this
12 upgrade.
13 Release 0.8.0 - May 30th, 2007
15 PORTABILITY
17 · Version 0.8.0 is the last QuantLib release to support the Metrowerks
19 CodeWarrior compiler (which was discountinued by Metrowerks.) If you
20 use such compiler and want support to continue, you can volunteer for
21 maintaining the necessary patches: contact the QuantLib developers
22 for information.
23 SOURCE TREE
25 · Files and folders in the source tree have been reorganized (hopefully
27 for th ebetter.) If you only included <ql/quantlib.hpp>, all changes
28 were taken care of for you. if you included specific headers, you
29 might want to check its current location; in particular, all folder
30 names are now lowercase.
31 CALENDARS
33 · Added 2007 holidays for Indonesia, Saudi Arabia, and South Korea
35 calendars.
36 CASH FLOWS
38 · Added floater range-accrual coupons.
40 INDEXES
42 · Added EuriborSwapFixB family.
44 INSTRUMENTS
46 · Added capped/floored floating-rate bond. It can also be used for
48 reverse floaters.
49 · Added delta, gamma and theta to binomial option engines (thanks to
51 Steve Cook.)
52 · Refactored basket engines to allow for more payoffs.
54 LIBOR MARKET MODEL
56 · This release includes an experimental implementation of a Libor
58 market model developed with Mark Joshi. Improvements since release
59 0.4.0 include normal forward-rate market model, lognormal CMS market
60 model, lognormal coterminal-swap market model, and calibration to
61 caplets and coterminal swaptions. The interface of the model and its
62 integration with the bulk of the library are still in development.
63 MATH
65 · Adaptive Gauss-Kronrod integration added.
67 · Added Higham's nearest correlation matrix method (thanks to Neil
69 Firth)
70 · Refactored optimization framework.
72 PROCESSES
74 · Added new discretization schema to Heston process.
76 UTILITIES
78 · The Handle class was split into RelinkableHandle (behaving like the
80 old Handle class) and Handle (which is notified when its copies are
81 relinked, but cannot itself be relinked.) The former can safely be
82 returned from inspectors.
83 Release 0.4.0 - February 20th, 2007
85 PORTABILITY
87 · Starting with release 0.4.0, the Borland free compiler 5.5 and
89 Microsoft Visual C++ 6.0 are no longer supported. If you use one of
90 these compilers and want support to continue, you can volunteer for
91 maintaining the necessary patches: contact the QuantLib developers
92 for information.
93 CALENDARS
95 · Added 2007 holidays for Hong Kong, India, Singapore, and Taiwan
97 exchanges.
98 LIBOR MARKET MODEL
100 · This release includes an experimental implementation of a Libor
102 market model developed with Mark Joshi. Improvements since release
103 0.3.14 include the use of quasi-random number generators and the
104 calculation of Greeks and of upper bounds for instruments with early-
105 exercise features. The interface of the model and its integration
106 with the bulk of the library are still in development.
107 INSTRUMENTS
109 · Added helper classes to make it easier to instantiate swaps,
111 caps/floors, and CMS instruments.
112 INTEREST RATES
114 · Added capped/floored floating-rate coupons (including convexity
116 adjustment.)
117 MATH
119 · Curve, domain and surface interfaces added.
121 PROCESSES
123 · Added reversion level to Ornstein-Uhlenbeck process (thanks to Roland
125 Lichters.)
126 VOLATILITY TERM STRUCTURES
128 · Added stripping of caplet-volatility term structure from cap quotes.
130 · Improved SABR interpolation and calibration.
132 Release 0.3.14 - November 6th, 2006
134 PORTABILITY
136 · Version 0.3.14 is the last QuantLib release to support the Borland
138 free compiler 5.5 and Microsoft Visual C++ 6.0. If you use one of
139 these compilers and want support to continue, you can volunteer for
140 maintaining the necessary patches: contact the QuantLib developers
141 for information.
142 LIBOR MARKET MODEL
144 · This release includes an experimental implementation of a Libor
146 market model developed with Mark Joshi. The interface and its
147 integration with the bulk of the library are still in development.
148 CURRENCIES
150 · Added Romanian new lev.
152 DATES, CALENDARS, AND DAY COUNTERS
154 · Added all serial 3M IMM futures (thanks to Toyin Akin.)
156 · Reworked the Schedule class so that it follows market conventions
158 more closely.
159 · Added business/252 day-count convention (thanks to Piter Dias.)
161 INTEREST RATES
163 · Added base swap-rate class and a number of actual swap rates.
165 · Added constant-maturity swap coupons (including convexity
167 adjustment.)
168 INSTRUMENTS
170 · Added asset swaps.
172 · Added face amount to bonds (defaulting to 100.)
174 MATH
176 · Added hypersphere and lower-diagonal salvaging algorithms (thanks to
178 Yiping Chen.)
179 PRICING ENGINES
181 · Added Longstaff-Schwartz Monte-Carlo algorithm for American/Bermudan
183 equity options with deterministic interest rates.
184 TERM STRUCTURE
186 · Added piecewise-spreaded yield curve (thanks to Roland Lichters.)
188 Release 0.3.13 - July 31st, 2006
190 CALENDARS
192 · Added NERC calendar (thanks to Joe Byers.)
194 INSTRUMENTS AND PRICING ENGINES
196 · Added continuous fixed and floating lookback options (thanks to
198 Warren Chou.)
199 · Added FRA and forward fixed-coupon bonds; examples provided (thanks
201 to Allen Kuo.)
202 · Added variance swaps (thanks to Warren Chou.)
204 · Added composite instrument; example provided.
206 · Added cash-settled swaption pricing in Black swaption engine; test
208 provided.
209 · Added discrete dividends and soft callability to convertible bonds.
211 INTEREST RATES
213 · Fixed business-day conventions for Euribor and LIBOR indices
215 (following below one month, month-end from one month onwards.)
216 MODELS
218 · Added more complex market parameterizations and performance
220 improvements for Libor market model (thanks to Klaus Spanderen.)
221 PROCESSES
223 · Renamed BlackScholedProcess to GeneralizedBlackScholedProcess;
225 specialized classes added for Black-Scholes, Merton, Black and
226 Garman-Kohlhagen processes.
227 · Added Hull-White and G2 processes for Monte Carlo simulation (thanks
229 to Banca Profilo.)
230 RANDOM NUMBERS
232 · Added possibility to skip directly to the n-th item in a Sobol
234 sequence (thanks to Richard Gould.)
235 MATH
237 · Added SABR interpolation for volatilities.
239 · Added general linear least-squares regression (thanks to Klaus
241 Spanderen.)
242 Release 0.3.12 - March 27th, 2006
244 CALENDARS
246 · Added Brazilian calendar (thanks to Piter Dias.)
248 · Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian
250 calendars.
251 INSTRUMENTS AND PRICING ENGINES
253 · Added convertible bonds (thanks to Theo Boafo.)
255 · The cash flows returned by the Bond::cashflows method now include the
257 redemption.
258 · SimpleSwap can now be set an engine. If none is set, the old cash-
260 flow-based calculation is used.
261 · Generalized McVanillaEngine so that it can manage n-dimensional
263 processes; it now subsumes McHestonEngine.
264 · Added pricing of Bermudan options on binomial trees (thanks to Enrico
266 Michelotti.)
267 · Separated accrual and payment conventions for bonds.
269 · Modified basis-point sensitivity calculation so that it returns the
271 cash variation for a basis-point change in rate (it used to return
272 the figure to be multiplied by the variation in order to obtain the
273 same result.)
274 MODELS
276 · Added weights to short-rate model calibration (thanks to Enrico
278 Michelotti.)
279 · Added Libor market model (thanks to Klaus Spanderen.)
281 OPTIMIZATION
283 · Added Levenberg-Marquardt optimization method (thanks to Klaus
285 Spanderen.)
286 EXAMPLES
288 · Merged American and European option examples; added Bermudan option.
290 · Added convertible-bond example (thanks to Theo Boafo.)
292 Release 0.3.11 - October 20th, 2005
294 GLOBAL FEATURES
296 · Added configuration option for adding current function information to
298 error messages.
299 · Added hook for multiple sessions to Singleton.
301 CALENDARS
303 · Added Bombay and Taipei calendars.
305 CURRENCIES
307 · Added new Turkish lira.
309 INDEXES
311 · More accurate LIBOR calendars (thanks to Daniele de Francesco.)
313 · Added DKKLibor, EURLibor, and NZDLibor indexes.
315 · Added TRLibor index (thanks to Sercan Atalik.)
317 PRICING ENGINES
319 · Added Bates stochastic-volatility model; tests provided (thanks to
321 Klaus Spanderen.)
322 · Added vega to analytic discrete-averaging Asian engine; test provided
324 (thanks to Gary Kennedy.)
325 · Added stochastic process for caplet Libor market model; tests
327 provided (thanks to Klaus Spanderen.)
328 TERM STRUCTURES
330 · Added fixed-coupon bond helper for curve bootstrapping (thanks to
332 Toyin Akin.)
333 MATH
335 · Added tabulated Gauss-Legendre quadratures (thanks to Gary Kennedy.)
337 · Added more precise implementation of bivariate cumulative normal
339 distribution (thanks to Gary Kennedy.)
340 Release 0.3.10 - July 14th, 2005
342 GLOBAL FEATURES
344 · The suggested syntax for setting and registering with the global
346 evaluation date is now:
347 Settings::instance().evaluationDate() = date;
349 registerWith(Settings::instance().evaluationDate());
350 CALENDARS
353 · Istanbul calendar added (thanks to Serkan Atalik.)
355 LATTICE FRAMEWORK
357 · Faster implementation of binomial and trinomial trees.
359 MONTE CARLO FRAMEWORK
361 · Added generic multi-dimensional stochastic process.
363 · Added stochastic process array (thanks to Klaus Spanderen.)
365 · Multi-path generator now takes a generic stochastic process; tests
367 provided.
368 · New Path class implemented which stores asset values rather than
370 variations; this makes pricers independent on whether or not log-
371 variations were calculated. The new class is enabled when
372 QL_DISABLE_DEPRECATED is defined; the old class is used otherwise.
373 INSTRUMENTS
375 · Multi-asset option now takes a generic stochastic process.
377 MODELS
379 · Added Heston stochastic-volatility model; tests provided (thanks to
381 Klaus Spanderen.) Provided code include:
382 · a corresponding stochastic process;
384 · analytic and Monte Carlo option-pricing engines;
386 · parameter calibration.
388 CASH FLOWS
390 · Cash-flow analyses such as NPV, IRR, convexity and duration added
392 (thanks to Charles Whitmore.)
393 MATH
395 · Added Gaussian orthogonal polynomials and Gaussian quadratures; tests
397 provided (thanks to Klaus Spanderen.)
398 · Convergence statistics added; tests provided (thanks to Gary
400 Kennedy.)
401 Release 0.3.9 - May 2nd, 2005
403 GLOBAL FEATURES
405 · QL_SQRT, QL_MIN etc. deprecated in favor of std::sqrt, std::min...
407 · Added a tentative tracing facility to ease debugging.
409 · Formatters deprecated in favor of output manipulators. A number of
411 data types can now be sent directly to output streams.
412 · Stream-based implementation of QL_REQUIRE, QL_TRACE and similar
414 macros. Together with manipulators, this allows one to write simpler
415 error messages, as in:
416 QL_FAIL('forward at date ' << d << ' is ' << io::rate(f));
418 INSTRUMENTS
421 · Improved Bond class
423 · yield-related calculation can be performed with either compounded
425 or continuous compounding;
426 · added theoretical price based on discount curve;
428 · fixed-rate coupon bonds can define different rates for each coupon;
430 · added zero-coupon and floating-rate bonds (thanks to StatPro.)
432 · Option instruments now take a generic StochasticProcess; however,
434 most pricing engines still require a BlackScholesProcess. They should
435 be checked to see whether the requirement can be relaxed. Following
436 this change, Merton76Process no longer inherits from
437 BlackScholesProcess. This avoids erroneous upcasts.
438 · Partial fix for Bermudan swaptions with exercise lag (thanks to Luca
440 Berardi for the report and discussion.)
441 · Fix for analytic cap/floor engine; caplets/floorlets whose fixing is
443 in the past are now calculated correctly (thanks to Aurelien
444 Chanudet.)
445 CALENDARS
447 · Added Bratislava and Prague calendars.
449 INDICES
451 · Fixed calendars for LIBOR fixings (thanks to Daniele De Francesco.)
453 FINITE_DIFFERENCES FRAMEWORK
455 · Migrated finite-difference pricers to pricing-engine framework
457 (thanks to Joseph Wang.)
458 YIELD TERM STRUCTURES
460 · Added generic piecewise yield term structure. Client code can choose
462 what to interpolate (discounts, zero yields, forwards) and how
463 (linear, log-linear, flat) by instantiating types such as:
464 PiecewiseYieldCurve<Discount,LogLinear>
466 PiecewiseYieldCurve<ZeroYield,Linear>
467 PiecewiseYieldCurve<ForwardRate,Linear>
468 · Interpolated discount, zero-yield and forward-rate curves can now be
471 set any interpolation.
472 · FlatForward can now take rates with compounding other than
474 continuous.
475 · Fix for extrapolation in zero-spreaded and forward-spreaded yield
477 term structure (thanks to Adjriou Belak for the report.)
478 MATH
480 · Added backward- and forward-flat interpolations.
482 Release 0.3.8 - December 22nd, 2004
484 REQUIRED PACKAGES
486 · Boost version 1.31.0 or later is now required.
488 DOCUMENTATION
490 · Documentation now includes a FAQ page.
492 GLOBAL FEATURES
494 · Global evaluation date added through Settings class. Used for index-
496 fixing and exchange-rate lookup.
497 · added InterestRate class, which encapsulate the interest rate
499 compounding algebra. It manages day-counting convention, compounding
500 convention, conversion between different conventions, and
501 discount/compounding factor calculations. It also has its own
502 formatter.
503 INSTRUMENTS
505 · Bond and FixedCouponBond classes added (thanks to Jeff Yu) providing
507 price/yield conversions; tests provided.
508 DATE, CALENDARS, AND DAY COUNT CONVENTIONS
510 · Reworked Date interface. Added nextWeekday() and nthWeekday() static
512 methods to the class Date. Added nextIMM() for the calculation of the
513 next IMM date.
514 · Added WeekdayFormatter and FrequencyFormatter
516 · Added '1/1' day counter. The Actual365 is deprecated: as per ISDA
518 documentation 'Actual/365' is the same as 'Actual/Actual'. Use the
519 ActualActual class instead, or the Actual365Fixed class.
520 · Added dayCounterFromString(std::string) to QuantLibFunctions.
522 · Improved Beijing calendar (thanks to Zhou Wu.)
524 CURRENCIES AND FX RATES
526 · Added currency classes; CurrencyTag replaced in library code.
528 · Added money class providing arithmetic with or without conversions;
530 tests provided.
531 · Added exchange-rate class; tests provided.
533 · Added exchange-rate manager with smart rate lookup, i.e., able to
535 derive a missing exchange rate as a chain of provided rates; tests
536 provided.
537 MONTE CARLO FRAMEWORK
539 · Added Faure low-discrepancy sequence (thanks to Gianni Piolanti;)
541 tests provided.
542 · Added randomized (shifted) low discrepancy sequences that will be
544 used for randomized quasi Monte Carlo.
545 · Added SeedGenerator class, for random generation of seeds when they
547 are not given by the user.
548 · Added the implementation of Sobol sequences using the coefficients of
550 the free direction integers as provided by Bratley and Fox, who
551 credited unpublished work of Sobol's and Levitan's.
552 · Added an implementation of Sobol sequences using the coefficients of
554 the free direction integers of Lemieux, Cieslak, and Luttmer.
555 Coefficients for d<=40 are the same as in Bradley-Fox. For dimension
556 40<d<=360 the coefficients have been calculated as optimal values
557 based on the 'resolution' criterion. The values has been provided by
558 Christiane Lemieux, private communication, September 2004.
559 · PathGenerator now works correctly with processes describing S instead
561 of log S. Geometric Brownian process added (thanks to Walter
562 Penschke.)
563 LATTICE FRAMEWORK
565 · Reworked the DiscretizedAsset interface.
567 PRICING ENGINES FRAMEWORK
569 · Added pricing engine for American options with Ju quadratic
571 approximation.
572 · Average-price Asian pricers have been deprecated. New equivalent
574 pricing engines added.
575 FIXED INCOME
577 · Added current coupon to discretized swap and cap/floor.
579 · Added IndexManager as a singleton (will replace XiborManager--already
581 obsoleted in library code.)
582 · Added DayCounter parameter to ParCoupon (to be used for accruing
584 spreads and past fixings.) When missing, it defaults to that of the
585 term structure.
586 · Added compilation flag to select default floating-coupon type.
588 · IndexedCoupon can now take a generic index rather than a Libor
590 (thanks to Daniele De Francesco.)
591 · Added hooks for convexity adjustment in floating-rate coupons;
593 implemented adjustment for InArrearIndexedCoupon.
594 YIELD TERM STRUCTURE
596 · TermStructure renamed to YieldTermStructure (the former name was
598 deprecated.)
599 · New base class BaseTermStructure which can calculate its reference
601 date based on the global evaluation date. YieldTermStructure,
602 BlackVolTermStructure, LocalVolTermStructure,
603 CapFlatVolatilityStructure, CapletForwardVolatilityStructure, and
604 SwaptionVolatilityStructure are now derived from BaseTermStructure so
605 that they inherit its functionality.
606 PATTERNS
608 · Added Singleton pattern.
610 MATH
612 · Added N-dimensional cubic spline (thanks to Roman Gitlin.)
614 · Added CovarianceDecomposition class (decomposes a covariance matrix
616 into standard deviations and correlations)
617 MISCELLANEA
619 · Renamed RelinkableHandle to Handle.
621 PORTABILITY
623 · Support for Dev-C++ IDE added.
625 · Fixes for gcc 2.95 added (thanks to Michael Dirkmann.)
627 Release 0.3.7 - July 23rd, 2004
629 IMPORTANT
631 QuantLib now depends on the Boost library (www.boost.org).
633 You will need a working Boost installation in order to compile and use
635 QuantLib. Instructions for installing Boost from sources are available
636 at <http://www.boost.org/more/getting_started.html>. Pre-packaged
637 binaries might be available from other sources. Google is your friend
638 (or Debian, or Fink...)
639 DATE, CALENDARS, AND DAY COUNT CONVENTIONS
641 · Working on differentiating calendars depending on country or
643 exchange, instead of city.
644 · Added Italy (Settlement, Exchange), United Kingdom (Settlement,
646 Exchange, Metals), United States (Settlement, Exchange,
647 GovermentBond), Xetra.
648 · Milan, London, and NewYork calendars have been deprecated.
650 · Added (old-style) calendars: Beijing, Hong Kong, Riyadh, Seoul,
652 Singapore, Taiwan.
653 · RollingConvention has been renamed BusinessDayConvention, as for ISDA
655 definitions.
656 MATH
658 · Added rounding algorythms as per OMG enumeration/definition.
660 TEST SUITE
662 · Moved to Boost unit test framework. CppUnit is no longer needed.
664 · Added test for quanto and forward compound engines.
666 · Added test for roundings.
668 · Added test for discrete dividend European options.
670 · Added test for cliquet options.
672 MISCELLANEA
674 · enable/disableExtrapolation() methods were added to a few classes
676 such as TermStructure. They make it possible to persistently allow
677 extrapolation without the need of specifying it at every method call.
678 · Added user-configurable flag to disable usage of deprecated classes.
680 PORTABILITY
682 · Fink package available
684 · Visual C++ 7.x project files added
686 Release 0.3.6 - April 15th, 2004
688 Bug-fix release for QuantLib 0.3.5. A bug was removed where calls to
690 impliedVolatility() would break the state of the option and of all
691 options sharing the same stochastic process.
692 Release 0.3.5 - March 31th, 2004
694 BOOST SUPPORT
696 · When available, QuantLib 0.3.5 now uses parts of the Boost library.
698 The presence of Boost is detected automatically under Unix/Linux
699 systems; on Windows systems, it must be enabled by uncommenting the
700 relevant line in ql/userconfig.hpp.
701 · In the next QuantLib release, the presence of the Boost library will
703 be mandatory.
704 MONTE CARLO FRAMEWORK
706 · Modified MultiPath interface to remove drifts. They are now in the
708 stochastic processes.
709 · Preliminary implementation of Longstaff-Schwartz least-squares
711 · Monte Carlo pricer for European basket options
713 · Brownian-bridge bugs fixed
715 · StochasticProcess base class and derived classes (diffusion, jump-
717 diffusion, etc.) have been created.
718 PRICING ENGINES FRAMEWORK
720 · Pricing engines now use Payoff and Exercise classes.
722 · American basket options.
724 · Binary barrier option replaced by vanilla option with digital payoff.
726 · Stulz engine for max and min basket calls and puts on two assets.
728 · American binary option added (a.k.a. one-touch, american digital,
730 americal barrier, etc.) with different payoffs (cash/asset at
731 hit/expiry, etc.)
732 · Added engine for Merton 1976 jump-diffusion process.
734 · Added Bjerksund and Stensland approximation for American option
736 (still unstable.)
737 · Added Barone-Adesi and Whaley approximation for American option.
739 · Improved Black formula engine with more greeks added.
741 · Discrete geometric asian option.
743 · Added Leisen-Reimer binomial tree.
745 SHORT RATE MODELS
747 · Model renamed to ShortRateModel. A typedef is provided for backward
749 compatibility--it will be removed in subsequent releases.
750 VOLATILITY FRAMEWORK
752 · bug fix for short time (0<=t<=Tmin) interpolation
754 OPTIMIZATION FRAMEWORK
756 · Method renamed to OptimizationMethod. A typedef is provided for
758 backward compatibility--it will be removed in subsequent releases.
759 PATTERNS
761 · Composite pattern
763 MATH
765 · Improved cubic spline interpolation. It now handles end conditions
767 such as first derivative value, second derivative value, not-a-knot.
768 Hyman filter for monotonically constrained interpolation has been
769 implemented. Primitive calculation has been enabled in addition to
770 derivative and second derivative.
771 · Primitive, first derivative, and second derivative functions are
773 available for linear interpolator.
774 · Singular value decomposition improved.
776 · Added bivariate cumulative normal distribution.
778 · Added binomial coefficient calculation, binomial distribution,
780 cumulative binomial distribution, and Peizer-Pratt inversion (method
781 2.)
782 · Added beta functions.
784 · Added Poisson distribution and cumulative distribution.
786 · Added incomplete gamma functions.
788 · Added factorial calculation.
790 · Added rank-reduced square root and improved pseudo-square root of
792 square symmetric matrices.
793 · Added Cholesky decomposition.
795 TEST SUITE
797 · Added test for cubic spline interpolation.
799 · Added test for singular value decomposition.
801 · Added test for two-asset baskets using the Stulz pricing engine.
803 · Added test for Monte Carlo American cash-at-hit options.
805 · Added test for jump-diffusion engine.
807 · Added test for American and European digital options.
809 MISCELLANEA
811 · Inner namespaces have been deprecated.
813 · Added frequency enumeration, including 'once'.
815 · MarketElement renamed to Quote.
817 · Handling strike=0.0 where possible.
819 · More Payoff classes have been introduced: gap, asset-or-nothing,
821 cash-or-nothing. Payoff is now extensively used.
822 · Exercise class is now polymorphic. More derived classes have been
824 introduced, and they are now extensively used.
825 · Introduced QL_FAIL macro.
827 · Added calendar for Copenhagen
829 · 14 April 2004 (election day) added to Johannesburg calendar as a one-
831 off holiday.
832 · Documentation generated with Doxygen 1.3.6.
834 · Win32 installer generated with NSIS 2.0.
836 Release 0.3.4 - November 21th, 2003
838 MONTE CARLO FRAMEWORK
840 · MC European in one step with strike-independent vol curve (hopefully)
842 · Path pricer for Binary options. It should cover both European and
844 American style options. Also known as: Digital, Binary, Cash-At-Hit,
845 Cash-At-Expiry.
846 · Path pricers for barrier options
848 PRICING ENGINES FRAMEWORK
850 · More options moved to the new pricing engine framework: binary,
852 barrier
853 · Changed setupEngine() into setupArguments(args)
855 · Moved pricing-engine machinery up to Instrument class
857 FIXED INCOME
859 · New basis-point sensitivity functions
861 · Added Swap::startDate() and maturity()
863 · Cap/floor fixing days taken into account
865 SHORT RATE MODELS
867 · An additional constraint can now be passed to the calibration
869 VOLATILITY FRAMEWORK
871 · Visitable volatility term structures
873 OPTIMIZATION FRAMEWORK
875 · Added composite constraint
877 PATTERNS
879 · Visitor, Alexandrescu-style (saves some code duplication)
881 MATH
883 · Added more integration algorithms contributed by Roman Gitlin
885 · Relaxed constaints on interval boundaries for integration algorithms
887 · Interpolation traits
889 TEST SUITE
891 · Added implied cap/floor term volatility test
893 · Added test for binary options in PricingEngine Framework.
895 · Added tests for Barrier options in PricingEngine Framework. Some
897 Monte Carlo tests, but not comprehensive.
898 MISCELLANEA
900 · Conditionally allowed negative yields (disabled by default)
902 · Null calendar and simple day counter for reproducing theoretical
904 calculations
905 · Fixed for VC++.Net compilation
907 · Added spec file for RPMs
909 · Added global flag for early/late payments
911 · Enabled test suite for Borland
913 · Removed OnTheEdge VC++ configurations
915 · Added VC++ configurations for static and dynamic Multithread
917 libraries
918 · Upgraded to use Doxygen 1.3.4
920 Release 0.3.3 - September 3rd, 2003
922 MONTE CARLO FRAMEWORK
924 · Re-templatized Monte Carlo model based on traits.
926 · New path generator based on DiffusionProcess, TimeGrid, and
928 externally initialized random number generator.
929 · Added Halton low discrepancy sequence.
931 · Added sequence generators: random sequence generator creates a
933 sequence generator out of a random number generator.
934 InvCumGaussianRsg creates a gaussian sequence generator out of a
935 uniform (random or low discrepancy) sequence generator.
936 · RNG as constructor input constructor( long seed) deprecated.
938 · Mersenne Twister random number generator added
940 · Old PathPricers, PathGenerators, etc are available with a trailing
942 _old
943 · Added Jäckel's Brownian Bridge (not used yet.)
945 · Sobol Random Sequence Generator. Unit and Jäckel.
947 · Added randomized Halton sequences.
949 FINITE DIFFERENCE FRAMEWORK
951 · Old class Grid no longer exists, use CenteredGrid to obtain the same
953 result.
954 LATTICE FRAMEWORK
956 · Abstracted discretized option.
958 · Additive binomial trees. All binomial trees now use DiffusionProcess.
960 · Added Tian binomial tree.
962 PRICING ENGINES FRAMEWORK
964 · Partially implemented.
966 · Quanto forward compounded engines.
968 · Integral (european) pricing engine.
970 YIELD TERM STRUCTURE
972 · ZeroCurve: a term structure based on linear interpolation of zero
974 yields.
975 FIXED INCOME
977 · Up-front and in-arrear indexed coupon.
979 · Specific implementation of compound forward rate from zero yield.
981 · Added compound forward and zero coupon implementations.
983 · Added Futures rate helper with specified maturity date.
985 · Added bucketed bps calculation.
987 · Added swap constructor using specified maturity date as well as added
989 functionality in Scheduler.
990 · Added date-bucketed basis point sensitivity based on 1st derivative
992 of zero coupon rate.
993 OPTIMIZATION FRAMEWORK
995 · Solvers now take any function. ObjectiveFunction disappeared.
997 PATTERNS
999 · Abstracted lazy object.
1001 · Abstracted the curiously recurring template pattern.
1003 DATE AND CALENDARS
1005 · Added joint calendars.
1007 · Tokyo, Stockholm, Johannesburg calendar improved.
1009 ·
1011 · Added basic date generation starting from the end.
1013 MATH
1015 · Added Gauss-Kronrod integration algorithm.
1017 · Added primitive polynomial modulo 2 up to dimension 18 (available up
1019 to dimension 27.)
1020 · Added BicubicSplineInterpolation.
1022 · Numerical Recipes algorithm is back since there is a problem with
1024 Nicolas' code: it is unable to fit a straight line, it waves around
1025 the line.
1026 · Prime number generation.
1028 · Acklam's approximation for inverse cumulative normal distribution
1030 function (replaced Moro's algorithm as default.)
1031 · Added error function.
1033 · Improved Cumulative Normal Distribution function using the error
1035 function.
1036 · Matrix pseudo square algorithm using salvaging algorithm(s).
1038 · Added SequenceStatistics.
1040 · Major Statistic reworking.
1042 · Added DiscrepancyStatistic that inherits from SequenceStatistic and
1044 extends it with the calculation of L2-discrepancy.
1045 · HStatistics.
1047 · Added first and second derivative ot cubic splines.
1049 RISK MEASURES
1051 · Introduced semiVariance and regret.
1053 · Redefinition of average shorfall (normalization factor now is
1055 cumulative(target) instead of 1.0)
1056 MISCELLANEA
1058 · QuEP 9 'generic disposable objects' implemented.
1060 · Added test suite.
1062 · Dataformatters extended to format long integers, Ordinal numerals,
1064 power of two formatting.
1065 · Exercise class adopted.
1067 · Added user configuration section.
1069 · Inhibited automatic conversion of Handle<T> to RelinkableHandle<T>.
1071 · Diffusion process extended.
1073 · Added strikeSensitivity to the Greeks.
1075 · BS does handle t==0.0 and sigma==0.0.
1077 · TimeGrid has been reworked.
1079 · Added payoff file for Payoff classes. Added Cash-Or-Nothing and
1081 Asset-Or-Nothing payoff classes.
1082 · Upgraded to use Doxygen 1.3.
1084 Release 0.3.1 - February 4th, 2003
1086 FINITE DIFFERENCE FRAMEWORK
1088 · partially implemented QuEP 2 (http://quantlib.org/quep.shtml)
1090 VOLATILITY FRAMEWORK
1092 · added Black and local volatility interface
1094 PRICING ENGINES FRAMEWORK
1096 · partially implemented QuEP 5 (http://quantlib.org/quep.shtml)
1098 YIELD TERM STRUCTURE
1100 · interface revisited
1102 · added discrete time forward methods
1104 · added DiscountCurve (loglinear interpolated) and CompoundForward term
1106 structures
1107 · ForwardSpreadedTermStructure moved under QuantLib::TermStructures
1109 namespace
1110 FIXED INCOME
1112 · Modified coupons so that the payment date can be after the end of the
1114 accrual period
1115 MISCELLANEA
1117 · added/verified holidays of many calendars
1119 · added new calendars
1121 · added new currencies
1123 · more date formatters
1125 · added Period(std::string&)
1127 · it is now possible to advance a calandar using a Period
1129 · added LogLinear Interpolation
1131 · the allowExtrapolation boolean in interpolation classes has been
1133 removed from constructors and added to the operator()
1134 · Renamed Solver1D::lowBound and hiBound
1136 · bug fixes
1138 BUILD PROCESS
1140 · More autoconfiscated time functions and types
1142 · Migrated to latest autotools
1144 · added patches for Darwin and Solaris
1146 Release 0.3.0 - May 6th, 2002
1148 MONTE CARLO FRAMEWORK
1150 · Path and MultiPath are time-aware
1152 · McPricer: extended interface, improved convergency algorithm
1154 FINITE DIFFERENCE FRAMEWORK
1156 · added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
1158 ImplicitEuler, and ExplicitEuler are now derived
1159 · Finite Difference exercise conditions are now in the
1161 FiniteDifferences folder/namespace
1162 · Finite Difference pricers now start with 'Fd' letters
1164 · BSMNumericalOption became BsmFdOption
1166 LATTICE FRAMEWORK
1168 · introduced first version of the framework
1170 · CRR and JR binomial trees
1172 VOLATILITY FRAMEWORK
1174 · early works on reorganization of vol structures
1176 YIELD TERM STRUCTURE
1178 · new TermStructure class based on affine model
1180 · yield curves can be spreaded in term of zeros
1182 (ZeroSpreadedTermStructure) and forwards
1183 (ForwardSpreadedTermStructure)
1184 · Added dates() and times() to PiecewiseFlatForward
1186 · discount factor accuracy in the yield curve bootstrapping is an input
1188 · added single factor short-rate models (Hull-White, Black-Karasinski)
1190 · added two factor short-rate models framework
1192 · cap/floor and swaption calibration helpers
1194 · added bermudan swaption pricing example (including BK and HW
1196 calibrations)
1197 FIXED INCOME
1199 · cap/floor and swaption tree pricer
1201 · cap/floor analytical pricer
1203 · vanilla swaption Jamshidian pricer
1205 · Added accruedAmount() to coupons
1207 · Made cash flow vector builders into functions
1209 OPTIMIZATION FRAMEWORK
1211 · added conjugate gradient, simplex
1213 PATTERNS
1215 · implemented QuEP 8 and 10
1217 MISCELLANEA
1219 · added allowExtrapolation parameter to interpolaton classes
1221 · added 2D bilinear interpolation
1223 · better spline interpolation algorithm
1225 · Added non-central chi-square distribution function.
1227 · Improved Inverse Cumulative Normal Distribution using Moro's
1229 algorithm
1230 · Introduced class representing stochastic processes
1232 · added isExpired() to Instrument interface
1234 · added functions folder and namespace for QuantLibXL and any other
1236 function-like interface to QuantLib
1237 · Handle is now castable to an Handle of a compatible type
1239 · added downsideVariance to the Statistics class
1241 · kustosis() and skewness() now handles the case of stddev == 0 and/or
1243 variance == 0
1244 · added Correlation Matrix to MultiVariateAccumulator
1246 · enforced MS VC compilation settings
1248 · added '-debug' to the QL_VERSION version string ifdef QL_DEBUG
1250 ·
1252 · fixed compilation with 'g++ -pedantic'
1254 · Spread as market element
1256 · new calendars introduced
1258 · new Xibor Indexes introduced
1260 · Added optional day count to libor indexes
1262 · Shortened file names within 31 char limit to support HFS
1264 Release 0.2.1 - December 3rd, 2001
1266 MONTE CARLO FRAMEWORK
1268 · Path and MultiPath are now classes on their own
1270 · PathPricer now handles both Path and MultiPath
1272 · MonteCarloModel now handles both single factor and multi factors
1274 simulations.
1275 · McPricer now handles both single factor and multi factors pricing.
1277 New pricing interface
1278 · antithetic variance-reduction technique made possible in Monte Carlo
1280 for both single factor and multi factors
1281 · Control Variate specific class removed: control variation technique
1283 is now handled by the general MC model
1284 · average price and average strike asian option refactored
1286 · Sample as a (value,weight) struct
1288 · random number generators moved under RandomNumbers folder and
1290 namespace
1291 FINITE DIFFERENCE FRAMEWORK
1293 · BackwardEuler and ForwardEuler renamed ImplicitEuler and
1295 ExplicitEuler, respectively
1296 · refactoring of TridiagonalOperator and derived classes
1298 YIELD TERM STRUCTURE AND FIXED INCOME
1300 · Added some useful methods to term structure classes
1302 · Allowed passing a quote to RateHelpers as double
1304 · added FuturesRateHelpers (no convexity adjustment yet)
1306 · PiecewiseFlatForward now observer of rates passed as MarketElements
1308 · Unified Date and Time interface in TermStructure
1310 · Added BPS to generic swap legs
1312 · added term_structure+swap example
1314 · Fixing days introduced for floating-coupon bond
1316 PATTERNS
1318 · Added factory pattern
1320 · Calendar and DayCounter now use the Strategy pattern
1322 VARIOUS
1324 · used do-while-false idiom in QL_REQUIRE-like macros
1326 · now using size_t where appropriate
1328 · dividendYield is now a Spread instead of a Rate (that is: cost of
1330 carry is allowed)
1331 · RelinkableHandle initialized with an optional Handle
1333 · Worked around VC++ problems in History constructor
1335 · added QL_VERSION and QL_HEX_VERSION
1337 · generic bug fixes
1339 · removed classes deprecated in 0.2.0
1341 INSTALLATION FACILITIES
1343 · improved and smoother Win32 binary installer
1345 DOCUMENTATION
1347 · general re-hauling
1349 · improved and extended Monte Carlo documentation
1351 · improved and extended examples
1353 · Upgraded to Doxygen 1.2.11.1
1355 · Added man pages for installed executables
1357 · added docs in Windows Help format
1359 · added info on 'Win32 OnTheEdgeRelease' and 'Win32 OnTheEdgeDebug' MS
1361 VC++ configurations
1362 · additional information on how to create a MS VC++ project based on
1364 QuantLib
1365 Release 0.2.0 - September 18th, 2001
1367 · Library:
1369 · source code moved under ql, better GNU standards
1371 · gcc build dir can now be separated from source tree
1373 · gcc 3.0.1 port
1375 · clean compilation (no warnings)
1377 · bootstrap script on cygwin
1379 · Fixed automatic choice of seed for random number generators
1381 · Actual/actual classes
1383 · extended platform support (see table in documentation)
1385 · antithetic variance-reduction technique made possible in Monte
1387 Carlo
1388 · added dividend-Rho greek
1390 · First implementation of segment integral (to be redesigned)
1392 · Knuth random generator
1394 · Cash flows, scheduler, and swap (both generic and simple) added
1396 · added ICGaussian random generator
1398 · generic bug fixes
1400 · Installation facilities:
1402 · improved and smoother Win32 binary installer
1404 · better distribution
1406 · debian packages available
1408 · Documentation:
1410 · general re-hauling
1412 · added examples of using QuantLib and of projects based on QL
1414 Release 0.1.9 - May 31st, 2001
1416 · Library:
1418 · Style guidelines introduced (see http://quantlib.org/style.shtml)
1420 and partially enforced
1421 · full support for Microsoft Visual Studio
1423 · full support for Linux/gcc
1425 · momentarily broken support for Metrowerks CodeWarrior
1427 · autoconfiscation (with specialized config.*.hpp files for platforms
1429 without automake/autoconf support)
1430 · Include files moved under Include/ql folder and referenced as
1432 'ql/header.hpp'
1433 · Implemented expression templates techniques for array algebra
1435 optimization
1436 · Added custom iterators
1438 · Improved term structure
1440 · Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier
1442 options (all with greeks calculation, control variated where
1443 possible)
1444 · Added Helsinki and Wellington calendars
1446 · Improved Normal distribution related functions: cumulative, inverse
1448 cumulative, etc.
1449 · Added uniform and Gaussian random number generators
1451 · Added Statistics class (mean, variance, skewness, downside
1453 variance, etc.)
1454 · Added RiskMeasures class: VAR, average shortfall, expected
1456 shortfall, etc.
1457 · Added RiskStatistics class combining Statistics and RiskMeasures
1459 · Added sample accumulator for multivariate analysis
1461 · Added Monte Carlo tools
1463 · Added matrix-related functions (square root, symmetric Schur
1465 decomposition)
1466 · Added interpolation framework (linear and cubic spline
1468 interpolation implemented).
1469 · Installation facilities:
1471 · Added Win32 GUI installer for binaries
1473 · Documentation:
1475 · support for Doxygen 1.2.7
1477 · Added man documentation
1479 Release 0.1.1 - November 21st, 2000
1481 Initial release.
1483Version 0.8.1 29 Oct 2007 history(3)