quantlib-announce — Announcement list (very low traffic)

[Quantlib-announce] QuantLibXL 0.3.8

[Ferdinando A. <na...@qu...>]

QuantLibXL 0.3.8 has been released today: no big changes, it's just in 
synch with QuantLib 0.3.8
Hopefully 0.3.9 will see *many* changes

This completes the 0.3.8 "QL suite" release

ciao -- Nando

[Quantlib-announce] Announcing QuantLib 0.3.8

[Ferdinando A. <na...@qu...>]

QuantLib is a cross-platform, free/open-source quantitative finance C++
library for modeling, pricing, trading, and risk management in real-life.

Version 0.3.8 has been released and is available for download at
<http://quantlib.org/download.shtml>.
See <http://quantlib.org/reference/history.html>
for a summary of the changes since version 0.3.7.

QuantLib 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...)

Python, Ruby, Guile, and MzScheme bindings are available for QuantLib
0.3.8. The Excel add-in will follow in January. Instructions for download 
are at
<http://quantlib.org/download.shtml>.

Please log any problems you have with this release in the SourceForge
bug tracker at
<http://sourceforge.net/tracker/?group_id=12740&atid=112740>
specifying that you're using QuantLib 0.3.8.

         The QuantLib group

[Quantlib-announce] [ANN] QuantLib 0.3.7 released

[Ferdinando A. <na...@qu...>]

QuantLib is a cross-platform, free/open-source quantitative finance C++ 
library for modeling, pricing, trading, and risk management in real-life.

Version 0.3.7 has been released. See 
http://sourceforge.net/project/shownotes.php?group_id=12740&release_id=252500 
for a summary of the changes since version 0.3.6

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...)

Furthermore, Python, Ruby, Guile, and MzScheme bindings are available 
for QuantLib 0.3.7 as well as an Excel add-in.

Feedback is welcome.

Ferdinando Ametrano

[Quantlib-announce] Announcing QuantLib 0.3.6

[Ferdinando A. <na...@qu...>]

QuantLib is a cross-platform, free/open-source quantitative finance C++
library for modeling, pricing, trading, and risk management in real-life.

Release 0.3.6 fixes a serious bug in release 0.3.5 where a call to
OneAssetOption::impliedVolatility() from any of its derived classes
would break the state of the option and possibly of other options
sharing the same data.

Ferdinando Ametrano

[Quantlib-announce] QuantLib 0.3.5 released

[Ferdinando A. <na...@qu...>]

QuantLib [1] is a cross-platform, free/open-source quantitative finance C++ 
library for modeling, pricing, trading, and risk management in real-life. 
Version 0.3.5 has been released: see [2] for an overview of the library and 
[3] for a summary of the changes since version 0.3.4.

QuantLib is distributed in a number of formats suitable for most operating 
systems. Debian, Fink, and RPM packages are also available.

Furthermore, Python, Ruby, Guile, and MzScheme bindings are available for 
QuantLib 0.3.5 as well as an Excel add-in.

Feedback is welcome.

Ferdinando Ametrano

[1] http://quantlib.org
[2] http://quantlib.org/html/overview.html
[3] http://sf.net/project/shownotes.php?group_id=12740&release_id=223212
  

[Quantlib-announce] QuantLib 0.3.4 released

[Ferdinando A. <na...@qu...>]

To celebrate the third anniversary of the QuantLib project, version 0.3.4 
of the library has been released.

Monte Carlo valuation of barrier and binary options has been added. More 
option pricers have been ported to the new Pricing Engine framework. The 
test suite has been extended and it is now also available for Borland.

In QuantLibXL 0.3.4 (the Excel add-in) risk measures, pseudo-random and 
quasi-random number generators have been added, along with example 
spreadsheets.

The Python/Ruby/Guile/MzScheme wrappers are also released in their 0.3.4 
versions.

RPM and Debian packages of QuantLib, QuantLib-docs and some wrappers are 
available or will be available in a few days.

Feedback welcome


------------
ciao -- Nando 

[Quantlib-announce] QuantLib-0.3.3 documentation RPM package available

[Ferdinando A. <na...@qu...>]

The documentation for QuantLib-0.3.3 is now also available as RPM package. 
Also, the source package has been updated, so it can generate the 
documentation package.

Both of these packages can be downloaded from http://quantlib.org/download.html

Please check them out if you prefer the RPM format.


------------
ciao -- Nando 

[Quantlib-announce] Announcing QuantLib 0.3.3, actually...

[Luigi B. <lui...@fa...>]

...but you already know that if you read Nando's mail.

As an aside, I expect the usual number of bugs to surface once the library 
is used by a fair number of people. My advice is that besides posting them 
on the list, you file your bug reports in the project Bug Tracker 
(http://sourceforge.net/tracker/?atid=112740&group_id=12740)
so that we don't just forget about them when we make next release.
The same holds for patches, which can be contributed at the address
http://sourceforge.net/tracker/?atid=312740&group_id=12740
and feature requests, for which the address is
http://sourceforge.net/tracker/?atid=362740&group_id=12740

Cheers,
	Luigi

[Quantlib-announce] Announcing QuantLib 0.3.1

[Ferdinando A. <na...@qu...>]

Version 0.3.3 of QuantLib (http://quantlib.org) has been released. QuantLib 
is a cross-platform free/open-source quantitative finance C++ library for 
modeling, pricing, trading, and risk management in real-life. A tool for 
derivatives and financial engineering.

Major additions of this release are an extensive test suite, a partial port 
to the new Pricing Engine framework, and the support of low-discrepancy 
Monte Carlo simulation.

The first release of QuantLibXL - a tentative Excel addin - is also 
available. The Python/Ruby/Guile/MzScheme wrappers are also released in 
their 0.3.3 versions. RPM and Debian packages of QuantLib, QuantLib-docs 
and some wrappers are available.

Feedback welcome

Ferdinando Ametrano

[Quantlib-announce] QuantLib 0.3.1 released

[Ferdinando A. <na...@qu...>]

Hi all

Version 0.3.1 of QuantLib and QuantLib-docs have been released.

SWIG generated wrappers are also released in their 0.3.1 versions: 
QuantLib-Guile and QuantLib-MzScheme are included for the first time, 
joining the existing wrappers QuantLib-Python and QuantLib-Ruby.

Another new package is the first official QuantLib.NET release. This is a 
port of the original QuantLib (C++) to the .NET Framework. The port has 
been done in C#, providing full compatibilty with the CLI. QuantLib.NET can 
also use existing native libraries (eg. BLAS, MKL, ATLAS) to speed up 
computation and random number generation.

Debian packages of QuantLib, QuantLib-docs and some wrappers will be 
available shortly.

Feedback welcome

------------
ciao -- Nando

[Quantlib-announce] [ANN] QuantLib-Ruby 0.3.0

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

                       QuantLib-Ruby 0.3.0
                       ---------------------
                        http://quantlib.org

QuantLib-Ruby is a SWIG wrap of QuantLib.
QuantLib is a free/open-source quantitative finance C++ library for 
modeling, pricing, trading, and risk management in real-life. A tool for 
derivatives and financial engineering.
Version 0.3.0 of the C++ library and the Ruby extension have been released.


                              What's new
                             ------------

     - in sync with QuantLib 0.3.0
     - using old version of the library forbidden
     - Extended Monte Carlo tests

URL:  http://quantlib.org

License:  BSD style

Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net

[Quantlib-announce] [ANN] QuantLib-Python 0.3.0

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

                       QuantLib-Python 0.3.0
                       ---------------------
                        http://quantlib.org

QuantLib-Python is a SWIG wrap of QuantLib.
QuantLib is a free/open-source quantitative finance C++ library for 
modeling, pricing, trading, and risk management in real-life. A tool for 
derivatives and financial engineering.
Version 0.3.0 of the C++ library and the Python extension have been released.


                              What's new
                             ------------

     - in sync with QuantLib 0.3.0
     - more info on the tested library
     - using old version of the library forbidden
     - Using unittest methods for signaling failures
     - bug fixing
     - Exported derived and composite market element
     - Extended Monte Carlo tests


URL:  http://quantlib.org

License:  BSD style

Categories: Miscellany



Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net


--

<P><A HREF="http://quantlib.org">QuantLib-Python 0.3.0</A> - A module for 
quantititative finance. (6-May-02)</P>

--

[Quantlib-announce] Announcing QuantLib 0.3.0

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

                           QuantLib 0.3.0
                        ---------------------
                         http://quantlib.org

QuantLib is a free/open-source quantitative finance C++ library for 
modeling, pricing, trading, and risk management in real-life. A tool for 
derivatives and financial engineering.

                              What's new
                             ------------

- Library:
     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

- Documentation:
     - Added a page for lattice methods
     - Added a page for interest rate models



URL:  http://quantlib.org

License:  BSD style

Categories: Financial, Scientific/Engineering

Ferdinando Ametrano 

[Quantlib-announce] [ANN] announcing QuantLib-Jobs

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

I forgot to add the quantlib-jobs address:

https://lists.sourceforge.net/lists/listinfo/quantlib-jobs

ciao -- Nando

[Quantlib-announce] [ANN] announcing QuantLib-Jobs

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

Hi all

I've just created a new mailing list: qua...@li...

This list is for supply and demand of quantitative finance jobs.
You can post here:
1) job offers
2) links to job offers
3) your resume

HTML and PDF are preferred. Attachment are allowed as long as they are not 
too big.

All messages are archived for later browsing: please state how long your 
message is valid. No multiple post, please.

ciao -- Nando

[Quantlib-announce] [ANN] QuantLib-Python 0.2.1

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

                       QuantLib-Python 0.2.1
                       ---------------------
                        http://quantlib.org

QuantLib-Python is a SWIG wrap of QuantLib.
QuantLib is a quantitative finance C++ library for modeling, pricing, 
trading, and risk management in real-life. A tool for derivatives and 
financial engineering.
Version 0.2.1 of the C++ library and the Python extension have been released.


                              What's new
                             ------------

     - in sync with QuantLib 0.2.1
     - Upgraded to SWIG 1.3.9
     - changed iterator behavior in Python module
     - added __version__ and __hexversion__ export of C++ QL_VERSION and
       QL_HEX_VERSION
     - added 'testing QuantLib x.x.x' message to tests
     - updated and expanded test suite
     - updated Swig files' dependencies for MS VC++ project




URL:  http://quantlib.org

License:  XFree86 style

Categories: Miscellany



Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net


--

<P><A HREF="http://quantlib.org">QuantLib-Python 0.1.9</A> - A module for 
quantititative finance. (18-Sep-01)</P>

--

[Quantlib-announce] Announcing QuantLib 0.2.1

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

                           QuantLib 0.2.1
                        ---------------------
                         http://quantlib.org

QuantLib is a quantitative finance C++ library for modeling, pricing, 
trading, and risk management in real-life. A tool for derivatives and 
financial engineering.

                              What's new
                             ------------

- Library:
     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:
     - improved and smoother Win32 binary installer

- Documentation:
     - general re-hauling
     - improved and extended Monte Carlo documentation
     - improved and extended examples
     - Upgraded to Doxygen 1.2.11.1
     - Added man pages for installed executables
     - added docs in Windows Help format
     - added info on "Win32 OnTheEdgeRelease" and  "Win32 OnTheEdgeDebug" MS
       VC++ configurations
     - additional information on how to create a MS VC++ project based on
       QuantLib



URL:  http://quantlib.org

License:  XFree86 style

Categories: Financial, Scientific/Engineering


Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net

[Quantlib-announce] [ANN] QuantLib-Python 0.2.0

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

                       QuantLib-Python 0.2.0
                       ---------------------
                        http://quantlib.org

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.


                              What's new
                             ------------

   - 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




URL:  http://quantlib.org

License:  XFree86 style

Categories: Miscellany



Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net


--

<P><A HREF="http://quantlib.org">QuantLib-Python 0.1.9</A> - A module for 
quantititative finance. (18-Sep-01)</P>

--

[Quantlib-announce] Announcing QuantLib 0.2.0

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

                           QuantLib 0.2.0
                        ---------------------
                         http://quantlib.org

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 Python and Ruby. Bindings to other languages 
(including Java), and porting to Excel/Gnumeric, Matlab/Octave, S-PLUS/R, 
COM/CORBA/SOAP architectures, FpML, are planned for the near future.

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.


                              What's new
                             ------------

- 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 QuantLib usage and of projects based on QL



URL:  http://quantlib.org

License:  XFree86 style

Categories: Financial, Scientific/Engineering


Ferdinando Ametrano (fer...@am...)
http://www.ametrano.net

[Quantlib-announce] announcing quantlib.org

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

Hi all

quantlib.org is here.
Take a look at http://quantlib.org and update your bookmarks!

The site content has been revised, especially the project status page 
(http://quantlib.org/status.html) and the coding guidelines 
(http://quantlib.org/style.html).

New pages: CVS (http://quantlib.org/cvs.html), and QuantLib Group 
(http://quantlib.org/group.html).

The new section "General Resources" will collect useful on-line resources. 
As of now it offers a page about mailing "Lists of interest for financial 
quantitative analysts". Feel free to suggest worthwhile additions.

Feedback is welcome.

ciao -- Nando

PS anyone willing to host an MX server for quantlib.org? 

Re: [Quantlib-announce] Test

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

Hi all

I'm sorry for the abuse of the announce list.
I've made this list moderated so that it shouldn't happen anymore.

ciao -- Nando

[Quantlib-announce] Test

[Marcello G. C. S. <m.g...@co...>]

Ho scaricato la library QuantLib che giudico molto interessante e che ho
compilato con Ms Visual C++ 6.0.
Non sono riuscito per=F2 a chiamare le singole classi da un'altro progett=
o.
Se qualcuno avesse un codice di esempio per poter  poter utilizzare le
classi della Library gliene sarei molto grato( se, ad esempio volessi usa=
re
il modello Black & Sholes  per prezzare un'opzione?)
Saluti
Marcello






Marcello Gambacorta
Customer Desk Cofiri SIM S.p.A.
Tel: 0039-(0)64733571
Fax:0039-(0)64884322
mail: m.g...@co...

[Quantlib-announce] QuantLib release 0.1.9

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

Hi all

The big news: QuantLib 0.1.9 release is out.

This is an intermediate release, looking forward to release 0.2 which, I 
hope, will be ready before August 2001.
Much work has been devoted to raise QuantLib to a higher standard as far as 
development tools are concerned.

The release 0.2 will include piecewise-flat-forward yield-curve 
bootstrapping using deposits, futures, and swaps, together with some 
feedback from QuantLib users.
This feedback is the primary reason behind the current release 0.1.9

Please feel free to report any build/compile/install problem which you may 
experience on  any platform. Also, I would like to know your opinion about 
the documentation, the existing one and where should be added.
Last but not least, please share your ideas about what's good and what's 
bad in the library: I'm really committed to have 0.2 include as much 
feedback as possible.

Changes since Release 0.1.1:
- Library:
   - Style guidelines introduced (see 
http://quantlib.sourceforge.net/style.html)
     and partially enforced
   - full support for Microsoft Visual Studio
   - full support for Linux/gcc
   - momentarily broken support for Metrowerks CodeWarrior
   - autoconfiscation for Unix(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

- Python extension:
   moved into its own cvs module

- Ruby extension:
   added into its own cvs module (only partially implemented at this time)


ciao -- Nando 

[Quantlib-announce] Announcing QuantLib: a open-source library for quantitative finance

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

The QuantLib project (http://quantlib.sourceforge.net/) is aimed to provide 
a comprehensive software framework for quantitative finance. The goal is to 
provide a standard free/open-source library to quantitative analysts and 
developers for modelling, trading, and risk management in real-life. The 
core library is written in C++ and currently exported as a Python module. 
Modules are planned for other scripting languages, Excel, MatLab, etc.

QuantLib plans to offer tools that are useful for both practical 
implementation, with features such as market conventions, solvers, PDEs, 
etc., and advanced modelling, e.g., exotic options and interest rate models.

QuantLib is for academics and practitioners. The project is in alpha 
status, not ready for end-users yet but the time is right for major 
contributions to the design and the code base.

Please consider joining one of the available mailing lists:
quantlib-announce 
http://lists.sourceforge.net/mailman/listinfo/quantlib-announce
quantlib-dev http://lists.sourceforge.net/mailman/listinfo/quantlib-dev
quantlib-users http://lists.sourceforge.net/mailman/listinfo/quantlib-users
quantlib-cvs http://lists.sourceforge.net/mailman/listinfo/quantlib-cvs

More details at the web site http://quantlib.sourceforge.net/

Ferdinando Ametrano (fer...@am...)
Luigi Ballabio (lui...@ri...)
Marco Marchioro (mar...@ri...)