1. Package Exceptions:
All exceptions such as NoAnalyticMeanException
,... have been
eliminated. Instead of throwing the exception the respective function
sends an error message containing its name and the error condition and then
aborts the program. Reason: most of the exceptions are fatal anyway and this
way we don't have to write the exception handling code.
2. Class Statistics.RandomVariable:
Algebraic operations have been added. Histograms are no longer automatically
smoothed, the user sets the parameter smoothBinHeights
to either
true
or false
.
3. A package RandomVariables
containing some basic families of random
of random variables has been added. These are derived from the distributions
in the cern.jet.random
package contained in the colt
distribution and are all based on uniform random numbers generated by a
Mersenne Twister.
3. Class Options.Option:
The hedge weights have been changed and a post script file
HedgeWeights.ps
included where they are described. Currently some of
these weights are implemented correctly only for
ConstantVolatilityAssets
. Details in HedgeWeights.ps.
4. Package Graphics:
Disfunctional plotting classes have been removed from the
package. A window for displaying paths of stochastic processes has been added
(Graphics.PathFrame
) and several examples (paths of Greeks of European
calls on ConstantVolatilityAssets
) included in the package
Examples
.
4. Package Market:
An asset with jumps has been added.
Libor
added (Libor Market Model). Includes 32 page
description of theory and implementation of the LMM.
2. Package Examples
split into subpackages, subpackage Libor
added.
3. Graphics.PathFrame:
path window resizes itself automatically
so as to contain the complete paths. Path maximum and minimum are computed and
displayed. Paths can be shown in arbitrarily large groups in up to nine
different colours.
4. Statistics.RandomVector:
covariance matrix added.
5. Statistics.FinMath:
methods BSF_Solve, BSF_Solve1
renamed to NewtonSolveBSF, BisectionSolveBSF
. Here BSF
is the Black-Scholes function and we are talking about the computation of
implied volatilities.
6.LinAlg.ColtVector:
algebraic operations changed to have nonvoid
return type even though the pattern is "multiply yourself with a matrix,..."
This increases linguistic flexibility. Will also be implemented for the class
LinAlg.ColtMatrix
but not yet done.