V0.1.2

• Date, Calendar and IMM support;
• Trading calendars for most important markets, covering 2004 to 2012
• Support for generic financial instruments;
• Support for generic pricing engines;
• Support for generic term structures;
• Support for generic 1D and 2D interpolations;
• European Options
• American Options
• Pricing Engines
  • Black & Scholes
  • Barone Adesi Whaley for american exercise
  • Bjerksund Stensland for american exercise
  • IntegralEngine for european exercise
• Methods
  • Lattices: CoxRossRubinstein, Trigeorgis, Additive EQP, JarrodRudd, Joshi4, LeisenReimer, Tian
  • Finite Differences: Shout, Bermudan and American exercises; Tridiagonal operators

Binaries

• Download and Instructions

Sources

svn co https://jquant.svn.sourceforge.net/svnroot/jquant/tags/TAG-0.1.2-RELEASE/jquantlib

• Project home page
• Project site
• JavaDocs and Samples
• Change management

Implementation of Dates and Calendars are compatible with QuantLib/C++ interfaces. Support for JDK interfaces and Joda Time interfaces is planned for next release.