ql-history man page

historyVersion history
Release 1.9.1 — January 2017

QuantLib 1.9.1 is a bug-fix release for version 1.9.

Release 1.9 — November 8th, 2016

PORTABILITY

INTEREST RATES

VOLATILITY

INSTRUMENTS

DATE/TIME

NEW OPT-IN FEATURES

These features are disabled by default and can be enabled by defining a macro or passing a flag to ./configure. Feedback is appreciated.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases.

Changes and new contributions for this release were:

Release 1.8.1 — September 23rd, 2016

QuantLib 1.8.1 is a bug-fix release for version 1.8.

Release 1.8 — May 18th, 2016

PORTABILITY

INTEREST RATES

VOLATILITY

INSTRUMENTS

MODELS

CURRENCIES

MONTE CARLO

DATE/TIME

MATH

DEPRECATED FEATURES

TEST SUITE

quantlib-test-suite -- --date=today

or

quantlib-test-suite -- --date=2016-02-08

(Thanks to Peter Caspers.)

NEW OPT-IN FEATURES

EXPERIMENTAL FOLDER

Release 1.7.1 — January 18th, 2016

QuantLib 1.7.1 is a bug-fix release for version 1.7.

Release 1.7 — November 23rd, 2015

INTEREST RATES

INFLATION

VOLATILITY

INSTRUMENTS

MODELS

MONTE CARLO

SETTINGS

DATE/TIME

MATH

NEW OPT-IN FEATURES

Release 1.6.2 — September 2015

QuantLib 1.6.2 is a compatibility release. It solves an ambiguous name resolution in the test-suite code when Visual Studio and the newly released Boost 1.59.0 are used together.

The library code did not change.

Release 1.6.1 — August 3rd, 2015

QuantLib 1.6.1 is a compatibility release. It adds out-of-the-box support for the newly released Visual Studio 2015, and avoids use of deprecated Boost macros that will be removed in the upcoming Boost 1.59.0 release.

Release 1.6 — June 23rd, 2015

PORTABILITY

DATE/TIME

INSTRUMENTS

MODELS

CASH FLOWS

INDEXES

TERM STRUCTURES

VOLATILITY

MATH

MISCELLANEA

DEPRECATED FEATURES

EXPERIMENTAL FOLDER

Release 1.5 — February 10th, 2015

PORTABILITY

DATE/TIME

INSTRUMENTS

CASH FLOWS

INDEXES

TERM STRUCTURES

MATH

LATTICES

MISCELLANEA

EXAMPLES

DEPRECATED CLASSES

EXPERIMENTAL FOLDER

Release 1.4.1 — November 17th, 2014

QuantLib 1.4.1 is a compatibility release. It fixes a number of compilation errors that surfaced when using QuantLib 1.4 with Clang 3.5 and Boost 1.57. Thanks to Tim Smith for the heads-up.

If you are not using Clang, you don't need to upgrade from QuantLib 1.4 to 1.4.1.

Release 1.4 — February 26th, 2014

PORTABILITY

CONFIGURATION

DATE/TIME

INSTRUMENTS

MODELS

CASH FLOWS

INDEXES

TERM STRUCTURES

MATH

EXPERIMENTAL FOLDER

Release 1.3 — July 24th, 2013

PORTABILITY

DATE/TIME

INSTRUMENTS

MODELS

CASH FLOWS

INDEXES

TERM STRUCTURES

MATH

FINITE DIFFERENCES

UTILITIES

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Release 1.2.1 — September 10th, 2012

Bug-fix release.

Release 1.2 — March 6th, 2012

PORTABILITY

DATE/TIME

INSTRUMENTS

CASH FLOWS

INDEXES

TERM STRUCTURES

MATH

FINITE DIFFERENCES

UTILITIES

PATTERNS

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Release 1.1 — May 23rd, 2011

PORTABILITY

DATE/TIME

INSTRUMENTS

PROCESSES

INDEXES

TERM STRUCTURES

MATH

MONTE CARLO

UTILITIES

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Release 1.0.1 — September 17th, 2010

Bug-fix release.

Release 1.0 — February 24th, 2010

PORTABILITY

DATE/TIME

INSTRUMENTS

CASH FLOWS

PROCESSES

TERM STRUCTURES

EXAMPLES

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Release 0.9.9 — November 2009

PORTABILITY

CASH FLOWS

DATE/TIME

INDEXES

INSTRUMENTS

PRICING ENGINES

MATH

RANDOM NUMBERS

TERM STRUCTURES

EXPERIMENTAL FOLDER

New contributions for this release were:

Release 0.9.7 — November 18th, 2008

PORTABILITY

BONDS

CASH FLOWS

DATE/TIME

INDEXES

MARKET MODELS

PRICING ENGINES

QUOTES

EXPERIMENTAL FOLDER

New contributions for this release were:

Release 0.9.6 — August 6th, 2008

Bug-fix release for QuantLib 0.9.5. It fixes a bug that would cause bootstrapped term structures to silently switch to linear interpolation when log-linear was requested.

Release 0.9.5 — July 30th, 2008

CREDIT FRAMEWORK

New credit framework due to the joint efforts of StatPro Italia, Roland Lichters, Chris Kenyon, and Jose Aparicio. The framework currently include:

PORTABILITY

EXPERIMENTAL FOLDER

The new ql/experimental folder contains code which is still not fully integrated with the library, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces are likely to change in future releases. The folder currently include:

CALENDARS

CURRENCIES

DATES

INDEXES

INSTRUMENTS

MATH

MODELS

PRICING ENGINES

PROCESSES

TERM STRUCTURES

VOLATILITY

Release 0.9.0 — December 24th, 2007

PORTABILITY

CALENDARS

CASH FLOWS

DATES

INDEXES

INSTRUMENTS

LATTICES

MATH

PRICING ENGINES

PROCESSES

QUOTES

RANDOM NUMBERS

TERM STRUCTURES

Release 0.8.1 — June 4th, 2007

PORTABILITY

Release 0.8.0 — May 30th, 2007

PORTABILITY

SOURCE TREE

CALENDARS

CASH FLOWS

INDEXES

INSTRUMENTS

LIBOR MARKET MODEL

MATH

PROCESSES

UTILITIES

Release 0.4.0 — February 20th, 2007

PORTABILITY

CALENDARS

LIBOR MARKET MODEL

INSTRUMENTS

INTEREST RATES

MATH

PROCESSES

VOLATILITY TERM STRUCTURES

Release 0.3.14 — November 6th, 2006

PORTABILITY

LIBOR MARKET MODEL

CURRENCIES

DATES, CALENDARS, AND DAY COUNTERS

INTEREST RATES

INSTRUMENTS

MATH

PRICING ENGINES

TERM STRUCTURE

Release 0.3.13 — July 31st, 2006

CALENDARS

INSTRUMENTS AND PRICING ENGINES

INTEREST RATES

MODELS

PROCESSES

RANDOM NUMBERS

MATH

Release 0.3.12 — March 27th, 2006

CALENDARS

INSTRUMENTS AND PRICING ENGINES

MODELS

OPTIMIZATION

EXAMPLES

Release 0.3.11 — October 20th, 2005

GLOBAL FEATURES

CALENDARS

CURRENCIES

INDEXES

PRICING ENGINES

TERM STRUCTURES

MATH

Release 0.3.10 — July 14th, 2005

GLOBAL FEATURES

Settings::instance().evaluationDate() = date;
registerWith(Settings::instance().evaluationDate());

CALENDARS

LATTICE FRAMEWORK

MONTE CARLO FRAMEWORK

INSTRUMENTS

MODELS

·

Added Heston stochastic-volatility model; tests provided (thanks to Klaus Spanderen.) Provided code include:

 ·

a corresponding stochastic process;

 ·

analytic and Monte Carlo option-pricing engines;

 ·

parameter calibration.

CASH FLOWS

MATH

Release 0.3.9 — May 2nd, 2005

GLOBAL FEATURES

QL_FAIL("forward at date " << d << " is " << io::rate(f));

INSTRUMENTS

·

Improved Bond class

 ·

yield-related calculation can be performed with either compounded or continuous compounding;

 ·

added theoretical price based on discount curve;

 ·

fixed-rate coupon bonds can define different rates for each coupon;

 ·

added zero-coupon and floating-rate bonds (thanks to StatPro.)

·

Option instruments now take a generic StochasticProcess; however, most pricing engines still require a BlackScholesProcess. They should be checked to see whether the requirement can be relaxed. Following this change, Merton76Process no longer inherits from BlackScholesProcess. This avoids erroneous upcasts.

·

Partial fix for Bermudan swaptions with exercise lag (thanks to Luca Berardi for the report and discussion.)

·

Fix for analytic cap/floor engine; caplets/floorlets whose fixing is in the past are now calculated correctly (thanks to Aurelien Chanudet.)

CALENDARS

INDICES

FINITE_DIFFERENCES FRAMEWORK

YIELD TERM STRUCTURES

PiecewiseYieldCurve<Discount,LogLinear>
PiecewiseYieldCurve<ZeroYield,Linear>
PiecewiseYieldCurve<ForwardRate,Linear>

MATH

Release 0.3.8 — December 22nd, 2004

REQUIRED PACKAGES

DOCUMENTATION

GLOBAL FEATURES

INSTRUMENTS

DATE, CALENDARS, AND DAY COUNT CONVENTIONS

CURRENCIES AND FX RATES

MONTE CARLO FRAMEWORK

LATTICE FRAMEWORK

PRICING ENGINES FRAMEWORK

FIXED INCOME

YIELD TERM STRUCTURE

PATTERNS

MATH

MISCELLANEA

PORTABILITY

Release 0.3.7 — July 23rd, 2004

IMPORTANT

QuantLib now depends on the Boost library (www.boost.org).

You will need a working Boost installation in order to compile and use QuantLib. Instructions for installing Boost from sources are available at http://www.boost.org/more/getting_started.html. Pre-packaged binaries might be available from other sources. Google is your friend (or Debian, or Fink...)

DATE, CALENDARS, AND DAY COUNT CONVENTIONS

MATH

TEST SUITE

MISCELLANEA

PORTABILITY

Release 0.3.6 — April 15th, 2004

Bug-fix release for QuantLib 0.3.5. A bug was removed where calls to impliedVolatility() would break the state of the option and of all options sharing the same stochastic process.

Release 0.3.5 — March 31th, 2004

BOOST SUPPORT

MONTE CARLO FRAMEWORK

PRICING ENGINES FRAMEWORK

SHORT RATE MODELS

VOLATILITY FRAMEWORK

OPTIMIZATION FRAMEWORK

PATTERNS

MATH

TEST SUITE

MISCELLANEA

Release 0.3.4 — November 21th, 2003

MONTE CARLO FRAMEWORK

PRICING ENGINES FRAMEWORK

FIXED INCOME

SHORT RATE MODELS

VOLATILITY FRAMEWORK

OPTIMIZATION FRAMEWORK

PATTERNS

MATH

TEST SUITE

MISCELLANEA

Release 0.3.3 — September 3rd, 2003

MONTE CARLO FRAMEWORK

FINITE DIFFERENCE FRAMEWORK

LATTICE FRAMEWORK

PRICING ENGINES FRAMEWORK

YIELD TERM STRUCTURE

FIXED INCOME

OPTIMIZATION FRAMEWORK

PATTERNS

DATE AND CALENDARS

MATH

RISK MEASURES

MISCELLANEA

Release 0.3.1 — February 4th, 2003

FINITE DIFFERENCE FRAMEWORK

VOLATILITY FRAMEWORK

PRICING ENGINES FRAMEWORK

YIELD TERM STRUCTURE

FIXED INCOME

MISCELLANEA

BUILD PROCESS

Release 0.3.0 — May 6th, 2002

MONTE CARLO FRAMEWORK — Path and MultiPath are time-aware — McPricer: extended interface, improved convergency algorithm

FINITE DIFFERENCE FRAMEWORK — added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
  ImplicitEuler, and ExplicitEuler are now derived — Finite Difference exercise conditions are now in the
  FiniteDifferences folder/namespace — Finite Difference pricers now start with 'Fd' letters — BSMNumericalOption became BsmFdOption

LATTICE FRAMEWORK — introduced first version of the framework — CRR and JR binomial trees

VOLATILITY FRAMEWORK — early works on reorganization of vol structures

YIELD TERM STRUCTURE — new TermStructure class based on affine model — yield curves can be spreaded in term of zeros
 (ZeroSpreadedTermStructure) and forwards
 (ForwardSpreadedTermStructure) — Added dates() and times() to PiecewiseFlatForward — discount factor accuracy in the yield curve bootstrapping is an
  input — added single factor short-rate models (Hull-White, Black-Karasinski) — added two factor short-rate models framework — cap/floor and swaption calibration helpers — added bermudan swaption pricing example (including BK and HW
  calibrations)

FIXED INCOME — cap/floor and  swaption tree pricer — cap/floor analytical pricer — vanilla swaption Jamshidian pricer — Added accruedAmount() to coupons — Made cash flow vector builders into functions

OPTIMIZATION FRAMEWORK — added conjugate gradient, simplex

PATTERNS — implemented QuEP 8 and 10

MISCELLANEA — added allowExtrapolation parameter to interpolaton classes — added 2D bilinear interpolation — better spline interpolation algorithm — Added non-central chi-square distribution function. — Improved Inverse Cumulative Normal Distribution using Moro's
  algorithm — Introduced class representing stochastic processes — added isExpired() to Instrument interface — added functions folder and namespace for %QuantLibXL and any other
  function-like interface to %QuantLib — Handle is now castable to an Handle of a compatible type — added downsideVariance to the Statistics class — kustosis() and skewness() now handles the case of stddev == 0 and/or
  variance == 0 — added Correlation Matrix to MultiVariateAccumulator — enforced MS VC compilation settings — added "-debug" to the QL_VERSION version string ifdef QL_DEBUG — "make check" runs the example programs under Borland C++ — fixed compilation with "g++ -pedantic" — Spread as market element — new calendars introduced — new Xibor Indexes introduced — Added optional day count to libor indexes — Shortened file names within 31 char limit to support HFS

Release 0.2.1 — December 3rd, 2001

MONTE CARLO FRAMEWORK — Path and MultiPath are now classes on their own — PathPricer now handles both Path and MultiPath — MonteCarloModel now handles both single factor and
  multi factors simulations. — McPricer now handles both single factor and
  multi factors pricing. New pricing interface — antithetic variance-reduction technique made possible in Monte Carlo
  for both single factor and multi factors — Control Variate specific class removed: control variation
  technique is now handled by the general MC model — average price and average strike asian option refactored — Sample as a (value,weight) struct — random number generators moved under RandomNumbers folder and
  namespace

FINITE DIFFERENCE FRAMEWORK — BackwardEuler and ForwardEuler renamed ImplicitEuler and
  ExplicitEuler,
  respectively — refactoring of TridiagonalOperator and derived classes

YIELD TERM STRUCTURE AND FIXED INCOME — Added some useful methods to term structure classes — Allowed passing a quote to RateHelpers as double — added FuturesRateHelpers (no convexity adjustment yet) — PiecewiseFlatForward now observer of rates passed as MarketElements — Unified Date and Time interface in TermStructure — Added BPS to generic swap legs — added term_structure+swap example — Fixing days introduced for floating-coupon bond

PATTERNS — Added factory pattern — Calendar and DayCounter now use the Strategy pattern

VARIOUS — used do-while-false idiom in QL_REQUIRE-like macros — now using size_t where appropriate — dividendYield is now a Spread instead of a Rate (that is: cost of
  carry is allowed) — RelinkableHandle initialized with an optional Handle — Worked around VC++ problems in History constructor — added QL_VERSION and QL_HEX_VERSION — generic bug fixes — removed classes deprecated in 0.2.0

INSTALLATION FACILITIES

DOCUMENTATION

Release 0.2.0 — September 18th, 2001

·

Library:

 ·

source code moved under ql, better GNU standards

 ·

gcc build dir can now be separated from source tree

 ·

gcc 3.0.1 port

 ·

clean compilation (no warnings)

 ·

bootstrap script on cygwin

 ·

Fixed automatic choice of seed for random number generators

 ·

Actual/actual classes

 ·

extended platform support (see table in documentation)

 ·

antithetic variance-reduction technique made possible in Monte Carlo

 ·

added dividend-Rho greek

 ·

First implementation of segment integral (to be redesigned)

 ·

Knuth random generator

 ·

Cash flows, scheduler, and swap (both generic and simple) added

 ·

added ICGaussian random generator

 ·

generic bug fixes

·

Installation facilities:

 ·

improved and smoother Win32 binary installer

 ·

better distribution

 ·

debian packages available

·

Documentation:

 ·

general re-hauling

 ·

added examples of using QuantLib and of projects based on QL

Release 0.1.9 — May 31st, 2001

·

Library:

 ·

Style guidelines introduced (see http://quantlib.org/style.shtml) and partially enforced

 ·

full support for Microsoft Visual Studio

 ·

full support for Linux/gcc

 ·

momentarily broken support for Metrowerks CodeWarrior

 ·

autoconfiscation (with specialized config.*.hpp files for platforms without automake/autoconf support)

 ·

Include files moved under Include/ql folder and referenced as 'ql/header.hpp'

 ·

Implemented expression templates techniques for array algebra optimization

 ·

Added custom iterators

 ·

Improved term structure

 ·

Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier options (all with greeks calculation, control variated where possible)

 ·

Added Helsinki and Wellington calendars

 ·

Improved Normal distribution related functions: cumulative, inverse cumulative, etc.

 ·

Added uniform and Gaussian random number generators

 ·

Added Statistics class (mean, variance, skewness, downside variance, etc.)

 ·

Added RiskMeasures class: VAR, average shortfall, expected shortfall, etc.

 ·

Added RiskStatistics class combining Statistics and RiskMeasures

 ·

Added sample accumulator for multivariate analysis

 ·

Added Monte Carlo tools

 ·

Added matrix-related functions (square root, symmetric Schur decomposition)

 ·

Added interpolation framework (linear and cubic spline interpolation implemented).

·

Installation facilities:

 ·

Added Win32 GUI installer for binaries

·

Documentation:

 ·

support for Doxygen 1.2.7

 ·

Added man documentation

Release 0.1.1 — November 21st, 2000

Initial release.

Info

Fri Feb 10 2017 Version 1.9.1 QuantLib