[Quantlib-dev] interest rate models and next release

[Ferdinando A. <fer...@am...>]

Hi all

I would like to make the new 0.3.0 release by the end of january.

There are few things that I would try to finish in time for this release: 
implementation of QuEP 5, finite difference refactoring, etc, but these 
won't be release-stopper.

What I think is really important is the interest rate model framework.
While I haven't taken a look at Sad's latest commit yet I see that CIR+, 
BK, and HW are there, plus a g2 2factors model.
To have BDT and HL too would be nice, but it is not really important.
What is badly needed is documentation, namely the InterestRateModelling 
namespace documentation. Sad, do you think you can produce this in time?

I would also like Python bindings for IR models and derivative products 
(cap/floor/swaption), and I volunteer here.

Another key issue would be to solve the problems we have on some platforms, 
as Dirk pointed out. I know Luigi is working on that: Luigi please report 
here your final results.
BTW Luigi told me that next release could be available also on Mac OS9 with 
CodeWarrior.


Do you think I'm missing something? FYI here's the link to the last updated 
TODO file:
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/TODO.txt?rev=HEAD&only_with_tag=HEAD&content-type=text/vnd.viewcvs-markup

ciao -- Nando