November 18th, 2008PORTABILITY:
· Microsoft Visual C++ configurations have been renamed. The default Debug and Release configurations now link to the DLL version of the common runtime library. The names of other configuration should now be more descriptive.
· Fixes for Solaris build.
· Added bond example (thanks to Florent Grenier.)
· Added support for amortizing bonds (thanks to Simon Ibbotson.) CASH FLOWS
· Added two more cashflow analysis functions (thanks to Toyin Akin.) DATE/TIME
· Added bespoke calendar.
· Added GBP/USD/CHF/JPY swap-rate indexes.
· Fixed USD LIBOR calendar (settlement, not NYSE.)
· Added first displaced-diffusion stochastic-volatility evolver.
· Monte Carlo average-price options now uses past fixings correctly.
· added LastFixingQuote, a Quote adapter for the last available fixing of a given index.
· 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 are likely to change in future releases. New contributions for this release were...
· time-dependent binomial trees (thanks to John Maiden.)
· a new multidimensional FDM framework based on operator splitting using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to Andreas Gaida, Ralph Schreyer, and Klaus Spanderen.)
· implementations of Black-variance curve and surface taking a set of quotes as input (thanks to Frank Hövermann.)
· synthetic CDO engines (thanks to Roland Lichters.)
· variance options, together with a Heston-process engine (thanks to Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli.)
· a commodity framework, including instruments such as energy futures and energy swaps (thanks to J. Erik Radmall.)
· quanto-barrier options (thanks to Paul Farrington.)
· amortizing bonds (thanks to Simon Ibbotson.)
· a perturbative engine for barrier options (thanks to Lorella Fatone, Maria Cristina Recchioni, and Francesco Zirilli.)