File: News.txt

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quantlib 0.3.13-2
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CALENDARS

- Added NERC calendar (thanks to Joe Byers.)

INSTRUMENTS AND PRICING ENGINES

- Added continuous fixed and floating lookback options (thanks to
  Warren Chou.)

- Added FRA and forward fixed-coupon bonds; examples provided (thanks
  to Allen Kuo)

- Added variance swaps (thanks to Warren Chou.)

- Added composite instrument; example provided.

- Added cash-settled swaption pricing in Black swaption engine; test
  provided.

- Added discrete dividends and soft callability to convertible bonds.

INTEREST RATES

- Fixed business-day conventions for Euribor and LIBOR indices
  (following below one month, month-end from one month onwards.)

MODELS

- Added more complex market parameterizations and performance
  improvements for Libor market model (thanks to Klaus Spanderen.)

PROCESSES

- Renamed BlackScholedProcess to GeneralizedBlackScholedProcess;
  specialized classes added for Black-Scholes, Merton, Black and
  Garman-Kohlhagen processes.

- Added Hull-White and G2 processes for Monte Carlo simulation
  (thanks to Banca Profilo.)

RANDOM NUMBERS

- Added possibility to skip directly to the n-th item in a Sobol
  sequence (thanks to Richard Gould.)

MATH

- Added SABR interpolation for volatilities.

- Added general linear least-squares regression (thanks to Klaus
  Spanderen.)