1.0

Changes for QuantLib 1.0

Portability

• Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
• Enabled language extensions in Visual Studio projects.
• Prevented make errors with older shells (thanks to Walter Eaves.)

Date/time

• Changes to end-of-month adjustment. In a schedule, the Unadjusted convention now supersedes a non-null calendar and causes dates to roll on the unadjusted end of month (possibly a holiday.)
• Added new date-generation rule for CDS (thanks to Jose Aparicio.)
• Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.) Previously, fair-upfront calculation required a non-null upfront to begin with. This is no longer the case.

Instruments

• Fixed discounting of dividends on convertible-bond grid (thanks to Benoit Houzelle and Samuel Lerouge.)

Cash flows

• A number of CashFlows methods now return a meaningful result even if the passed leg is empty.

Processes

• Changed default discretization for Heston process. The new default (giving a better performance) is quadratic exponential with Martingale correction.

Term structures

• Removed ambiguous parRate member functions from YieldTermStructure interface.

Examples

Added market-model example.

Experimental folder

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.
New contributions for this release were:

• Longstaff-Schwartz algorithm for basket products including coupon payments (thanks to Andrea Odetti;)
• added sparse incomplete LU preconditioner for 2D finite-difference models (thanks to Ralph Schreyer.)