1.1

Changes for QuantLib 1.1

Portability

• Added support for Microsoft Visual C++ 2010.
• Fixed m4 macro for QuantLib detection. It now works also when asked
  for versions such as 1.1 (as opposed to 1.1.0).

Date/time

• Added Russian calendar.
• Revamped time-series iterators (thanks to Slava Mazur.) Iterators
  on dates and values were added, as well as C++0X-style cbegin() and
  cend() iterators.

Instruments

• Added a few inspectors to zero-coupon inflation swaps.
• Added Kirk approximation for two-asset spread options.
• Added specialized BTP class (Italian government bonds) and related
  RendistatoCalculator class to help instantiation of this type of
  FixedRateBond.
• Added analytic pricing engine for the piecewise-constant
  time-dependent Heston model.
• Added paymentCalendar to FixedRateBond, possibly different
  than the one used for accrual-date calculation.

Processes

• Added Quadratic Exponential discretization scheme for the Heston
  process, including martingale correction.

Indexes

• Added inspector for discounting curve to swap index (thanks to Peter
  Caspers.)
• Added exogenous discounting to all swap indexes.
• Added SONIA index.
• Added HICPXT indexes.

Term structures

• Added time-based interface to inflation curves.
• Piecewise zero-spreaded term structure can now manage spread with
  any compounding (thanks to Robert Philipp.)
• FittedBondDiscountCurve now works with any BondHelpers, not only
  FixedRateBondHelpers.
• Added Svensson curve-fitting method (thanks to Alessandro Roveda.)

Math

• Added Ziggurat random-number generator (thanks to Kakhkhor
  Abdijalilov.)
• Added experimental copula-based random-number generators (thanks to
  Hachemi Benyahia.)
• More performant implementation of inverse cumulative distribution
  (thanks to Kakhkhor Abdijalilov.)
• More performant mt19937 implementation (thanks to Kakhkhor
  Abdijalilov.)
• Added more copulas (thanks to Hachemi Benyahia.) The new formulas
  are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss
  copula, and Plackett copula.
• Added autocovariance calculation (thanks to Slava Mazur.)

Monte Carlo

• Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)

Utilities

• Reworked Null class template (thanks to Kakhkhor Abdijalilov.) The
  new implementation avoids the need for a macro on 64-bit systems and
  automatically covers all floating-point and integer types.

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:

• 2D finite-difference Bates engine based on the partial integro
  differential equation.
• 2D finite-difference engine for Black-Scholes processes (including
  local volatility.)
• Black-Scholes process with support for vega stress test (thanks to
  Michael Heckl.)
• Extended Ornstein-Uhlenbeck process.
• Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre,
  Michael Benguigui, and Yanice Cherrak.)
• Simple chooser option (thanks to IMAFA/Polytech'Nice students
  Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
• Generalized Hull-White model (thanks to Cavit Hafizoglu.) The
  generalized model can take piecewise-constant parameters instead of
  constant ones. A matching generalized Ornstein-Uhlenbeck process was
  also added.
• Variance-gamma implementation (thanks to Adrian O'Neill.)
  Contributed classes include a variance-gamma process and model (with
  data but no behavior at this time) and a couple of working engines
  for European options.
• Hybrid products in the McBasket framework (thanks to Andrea Odetti.)
  Path pricers now take a vector of YieldTermStructures that contains
  the (possibly stochastic) yield curves.
• Delta calculator for FX options (thanks to Dimitri Reiswich.)