QuantLib for Windows Publisher's description
from Ferdinando Ametrano
The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.
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.
QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration. See the extensions page for details.
What's New in This Release:В· PORTABILITY
В· Added support for Microsoft Visual C++ 2010.
В· Fixed m4 macro for QuantLib detection. It now works also when asked for versions such as 1.1 (as opposed to 1.1.0).
В· Added Russian calendar.
В· Revamped time-series iterators. Iterators on dates and values were added, as well as C++0X-style cbegin() and cend() iterators.
В· Added a few inspectors to zero-coupon inflation swaps.
В· Added Kirk approximation for two-asset spread options.
В· Added specialized BTP class (Italian government bonds) and related RendistatoCalculator class to help instantiation of this type of FixedRateBond.
В· Added analytic pricing engine for the piecewise-constant time-dependent Heston model.
В· Added paymentCalendar to FixedRateBond, possibly different than the one used for accrual-date calculation.
В· Added Quadratic Exponential discretization scheme for the Heston process, including martingale correction.
В· Added inspector for discounting curve to swap index
В· Added exogenous discoun...
System Requirements:No special requirements.
Program Release Status: Major Update
Program Install Support: Install and Uninstall