QLNet Version 1.11.4

QLNet 1.11.4

QLNet 1.11.4
A detailed list of changes is available in ChangeLog.txt.

WARNING : This is the last version supporting old Visual Studio projects, with
the upcoming version 1.12 the QLNetOld.sln will be removed and a general cleanup
will be done.

MATH

• Added Cumulative Gamma distribution

INSTRUMENTS

• Fixed Weighted Average Life calculation for past dates

TERMSTRUCTURES

• Added Quanto Term Structure

METHODS

• Added Cranck-Nicholson, Method of Lines & TrBDF2 schemes

ENGINES

• Fixed Broadie-Kaya exact scheme [Heston process]
• Added Monte Carlo Barrier Engine
• Fixed AdaptiveRungeKutta
• Added Cumulative & Inverse Cumulative Chi² Distrib

FRAMEWORK

• Added more QLNet Exceptions
• Bug fixing and refactoring.