This is an intermediate release, looking forward to release 0.2 which, I
hope, will be ready before August 2001.
Much work has been devoted to raise QuantLib to a higher standard as far as
development tools are concerned.
The release 0.2 will include piecewise-flat-forward yield-curve
bootstrapping using deposits, futures, and swaps, together with some
feedback from QuantLib users.
This feedback is the primary reason behind the current release 0.1.9
Please feel free to report any build/compile/install problem which you may
experience on any platform. Also, I would like to know your opinion about
the documentation, the existing one and where should be added.
Last but not least, please share your ideas about what's good and what's
bad in the library: I'm really committed to have 0.2 include as much
feedback as possible.
Changes since Release 0.1.1:
- Style guidelines introduced (see
and partially enforced
- full support for Microsoft Visual Studio
- full support for Linux/gcc
- momentarily broken support for Metrowerks CodeWarrior
- autoconfiscation for Unix(with specialized config.*.hpp files for
without automake/autoconf support)
- Include files moved under Include/ql folder and referenced as
- Implemented expression templates techniques for array algebra optimization
- Added custom iterators
- Improved term structure
- Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier
options (all with greeks calculation, control variated where possible)
- Added Helsinki and Wellington calendars
- Improved Normal distribution related functions: cumulative, inverse
- Added uniform and Gaussian random number generators
- Added Statistics class (mean, variance, skewness, downside variance, etc.)
- Added RiskMeasures class: VAR, average shortfall, expected shortfall, etc.
- Added RiskStatistics class combining Statistics and RiskMeasures
- Added sample accumulator for multivariate analysis
- Added Monte Carlo tools
- Added matrix-related functions (square root, symmetric Schur
- Added interpolation framework (linear and cubic spline interpolation
- Installation facilities:
- Added Win32 GUI installer for binaries
- support for Doxygen 1.2.7
- Added man documentation
- Python extension:
moved into its own cvs module
- Ruby extension:
added into its own cvs module (only partially implemented at this time)