Downloads:

• QuantLib-1.38.tar.gz
• QuantLib-1.38.zip

Changes for QuantLib 1.38:

QuantLib 1.38 includes 29 pull requests from several contributors.

Some of the most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt and at https://github.com/lballabio/QuantLib/milestone/36?closed=1.

Portability

• Future change of default: as already announced, in the next release we're going to switch the default for ext::any and ext::optional from the Boost implementation to the standard one. Using boost::any and boost::optional is still possible for the time being but deprecated.
• Possible future breaking change: in the next release, the SimpleQuote class might be made final. If you're inheriting from it, drop us a line.

Dates and calendars

• The Schedule class now honors the passed business day convention when end-of-month is enabled (@lballabio). Previously, enabling end-of-month caused it to always use the Modified Following convention.
• Added Chinese holidays for 2025; thanks to Cheng Li (@wegamekinglc).
• Added Thailand holidays for 2025; thanks to Paolo D'Elia (@paolodelia99).
• Added Hong Kong holidays for 2025; thanks to Ka Wai Lee (@kawailee).

Indexes

• Year-or-year inflation indexes can (and should) now be built without an interpolated flag (@lballabio). As for zero inflation indexes, the interpolation was moved into the coupons using the indexes.
• Fixed obsolete conventions for the (now discountinued) EUR LIBOR index; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines

• Added implementation of partial-time barrier put options; thanks to Paolo D'Elia (@paolodelia99).
• The OvernightIndexFuture class would not receive notifications when the convexity quote or the evaluation date changed; this is now fixed. Thanks to Eugene Toder (@eltoder).
• The experimental BlackCallableFixedRateBondEngine wouldn't take discount correctly into account when evaluation the embedded option; this is now fixed. Thanks to @RobertS548 for the heads-up.
• Moved a few instruments and engines from the experimental folder to the core library (@lballabio):
  • HolderExtensibleOption and AnalyticHolderExtensibleOptionEngine;
  • WriterExtensibleOption and AnalyticWriterExtensibleOptionEngine;
  • PartialTimeBarrierOption and AnalyticPartialTimeBarrierOptionEngine;
  • TwoAssetBarrierOption and AnalyticTwoAssetBarrierEngine;
  • TwoAssetCorrelationOption and ``AnalyticTwoAssetCorrelationEngine`;
  • ContinuousArithmeticAsianLevyEngine;
  • AnalyticPDFHestonEngine.

Term structures

• The DepositRateHelper and FraRateHelper classes can now be built specifying fixed dates instead of a tenor; thanks to Eugene Toder (@eltoder).
• The cross-currency basis-swap rate helpers can now be passed an overnight index and a corresponding payment frequency; it is also possible to pass a payment lag. Thanks to @kp9991-git.
• The additional penalty functions passed to the GlobalBootstrap class can now take the curve nodes as arguments; thanks to Eugene Toder (@eltoder). This makes it possible, for example, to penalize gradients to make the curve smoother. It is also possible to specify additional variables to be optimized, e.g., futures convexity adjustments.
• Added a piecewise forward-spreaded term structure; thanks to Paolo D'Elia (@paolodelia99).

Deprecated features

• Removed features deprecated in version 1.33:
  • the constructors of Currency and Currency::Data taking a format string, the format method of the Currency class and the formatString data member of Currency::Data.
• Deprecated the constructors of year-on-year inflation indexes taking an interpolated argument; use the other constructors instead.
• Deprecated the header files in ql/experimental/exoticoptions for some classes moved to the core library (see above); use the corresponding new headers in ql/instruments and ql/pricingengines instead.

Thanks go also to Eugene Toder (@eltoder), Konstantin Novitsky (@novitk), Tomas Kalibera (@kalibera) and @raneamri for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @paolodelia99 made their first contribution in #2142
• @kp9991-git made their first contribution in #2168
• @kalibera made their first contribution in #2179
• @kawailee made their first contribution in #2196

Full Changelog: v1.37...v1.38