[ANN] QuantLib-Python 0.2.0
Thu, 20 Sep 2001 13:09:58 +0200
QuantLib-Python is a module for quantitative finance.
It is a SWIG wrap of QuantLib, a C++ open source library.
Version 0.2.0 of the C++ library and the Python extension have been released.
The QuantLib project is aimed at providing a comprehensive software framework
for quantitative finance. QuantLib is a free/open source library for modeling,
trading, and risk management in real-life.
Appreciated by quantitative analysts and developers, it is intended for
academics and practitioners alike, eventually promoting a stronger interaction
between them. Quantlib offers tools that are useful both for practical
implementation and for advanced modeling, with features such as market
conventions, yield curve bootstrapping, solvers, PDEs, Monte Carlo, exotic
options, VAR, and so on. More complex tools such as interest rate models are
next on the to-do list.
- added MS VC++ Project (useful for debugging and more)
- added Actual/Actual classes
- added day counter test
- compiles with Borland free C++ compiler
- Added more aliases for option types and rolling conventions
- installation folders changed (for win32 and unixes)
- improved default arguments
- added many currencies
- Added swaps to piecewise flat forward
- clean compilation (no warnings)
- 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
- Debian packages available
License: XFree86 style
Ferdinando Ametrano (email@example.com)
<P><A HREF="http://quantlib.org">QuantLib-Python 0.1.9</A> - A module for
quantititative finance. (18-Sep-01)</P>