
December 2004 - Release 0.3.8
Changes since release 0.3.7:

REQUIRED PACKAGES

- Boost version 1.31.0 or later is now required.

DOCUMENTATION

- Documentation now includes a FAQ page. Such page is also available at
  <http://quantlib.org/reference/faq.html>.

GLOBAL FEATURES

- Global evaluation date added through Settings class.  Used for
  index-fixing and exchange-rate lookup.
- added InterestRate class, which encapsulate the interest rate
  compounding algebra. It manages day-counting convention, compounding
  convention, conversion between different conventions, and
  discount/compounding factor calculations. It also has its own
  formatter.

INSTRUMENTS

- Bond and FixedCouponBond classes added (thanks to Jeff Yu) providing
  price/yield conversions; tests provided.

DATE, CALENDARS, AND DAY COUNT CONVENTIONS

- Reworked Date interface. Added nextWeekday() and nthWeekday() static
  methods to the class Date. Added nextIMM() for the calculation of
  the next IMM date.
- Added WeekdayFormatter and FrequencyFormatter
- Added "1/1" day counter. The Actual365 is deprecated: as per ISDA
  documentation "Actual/365" is the same as "Actual/Actual". Use the
  ActualActual class instead, or the Actual365Fixed class.
- Added dayCounterFromString(std::string) to QuantLibFunctions.
- Improved Beijing calendar (thanks to Zhou Wu.)

CURRENCIES AND FX RATES

- Added currency classes; CurrencyTag replaced in library code.
- Added money class providing arithmetic with or without conversions;
  tests provided.
- Added exchange-rate class; tests provided.
- Added exchange-rate manager with smart rate lookup, i.e., able to
  derive a missing exchange rate as a chain of provided rates; tests
  provided.

MONTE CARLO FRAMEWORK

- Added Faure low-discrepancy sequence (thanks to Gianni Piolanti;)
  tests provided.
- Added randomized (shifted) low discrepancy sequences that will be
  used for randomized quasi Monte Carlo.
- Added SeedGenerator class, for random generation of seeds when they
  are not given by the user.
- Added the implementation of Sobol sequences using the coefficients
  of the free direction integers as provided by Bratley and Fox, who
  credited unpublished work of Sobol's and Levitan's.
- Added an implementation of Sobol sequences using the coefficients of
  the free direction integers of Lemieux, Cieslak, and
  Luttmer. Coefficients for d<=40 are the same as in Bradley-Fox. For
  dimension 40<d<=360 the coefficients have been calculated as optimal
  values based on the "resolution" criterion. The values has been
  provided by Christiane Lemieux, private communication, September
  2004.
- PathGenerator now works correctly with processes describing S
  instead of log S. Geometric Brownian process added (thanks to Walter
  Penschke.)

LATTICE FRAMEWORK

- Reworked the DiscretizedAsset interface.

PRICING ENGINES FRAMEWORK

- Added pricing engine for American options with Ju quadratic
  approximation.
- Average-price Asian pricers have been deprecated. New equivalent
  pricing engines added.

FIXED INCOME

- Added current coupon to discretized swap and cap/floor.
- Added IndexManager as a singleton (will replace
  XiborManager--already obsoleted in library code.)
- Added DayCounter parameter to ParCoupon (to be used for accruing
  spreads and past fixings.) When missing, it defaults to that of the
  term structure.
- Added compilation flag to select default floating-coupon type
- IndexedCoupon can now take a generic index rather than a Libor
  (thanks to Daniele De Francesco.)
- Added hooks for convexity adjustment in floating-rate coupons;
  implemented adjustment for InArrearIndexedCoupon.

YIELD TERM STRUCTURE

- TermStructure renamed to YieldTermStructure (the former name was
  deprecated.)
- New base class BaseTermStructure which can calculate its reference
  date based on the global evaluation date.  YieldTermStructure,
  BlackVolTermStructure, LocalVolTermStructure,
  CapFlatVolatilityStructure, CapletForwardVolatilityStructure, and
  SwaptionVolatilityStructure are now derived from BaseTermStructure
  so that they inherit its functionality.

PATTERNS

- Added Singleton pattern.

MATH

- Added N-dimensional cubic spline (thanks to Roman Gitlin.)
- Added CovarianceDecomposition class (decompose a covariance matrix
  into standard deviations and correlations)

MISCELLANEA

- Renamed RelinkableHandle to Handle.

PORTABILITY

- Support for Dev-C++ IDE added.
- Fixes for gcc 2.95 added (thanks to Michael Dirkmann.)


