Downloads:

• QuantLib-1.40.tar.gz
• QuantLib-1.40.zip

Changes for QuantLib 1.40

Removals and deprecations

Features deprecated in release 1.35 were removed in this release; see
#2268 for a full list.

A number of features were deprecated in this release and will be
removed in a future release:

• The overload of the RangeAccrualFloatersCoupon constructor taking a shared_ptr to a schedule; use the other overload instead.
• The method observationsSchedule of the same class; use observationSchedule instead.
• The <ql/experimental/fx/blackdeltacalculator.hpp> and ql/experimental/fx/deltavolquote.hpp headers; use <ql/pricingengines/blackdeltacalculator.hpp> and <ql/quotes/deltavolquote.hpp> instead.
• The overload of the CPIBond and CPIBondHelper constructors taking the growthOnly parameter; use the other overload instead.
• The methods cumD1, cumD2, nD1 and nD2 of the BlackDeltaCalculator class; they are internal methods and will be moved to the private section.
• The BlackDeltaPremiumAdjustedSolverClass and BlackDeltaPremiumAdjustedMaxStrikeClass; they were used in the implementation of BlackDeltaCalculator but are now obsolete.
• The BootstrapError class template; use a lambda instead (see #2263 for an example).
• The PenaltyFunction class; use SimpleCostFunction instead.
• The Tona index was renamed to Tonar; use the latter instead.

What's Changed

• Make Null constexpr by @eltoder in #2260
• Remove features deprecated in version 1.35 by @lballabio in #2268
• Allow specifying business-day convention in OISRateHelper by @eltoder in #2264
• Allow specifying business-day convention for floating leg in SwapRateHelper by @eltoder in #2269
• Replace BootstrapError class with a lambda and deprecate it by @eltoder in #2263
• Cleanup includes in interpolated curves by @eltoder in #2274
• Expose swap on inflation swap bootstrap helpers by @eltoder in #2275
• Auto-enable extrapolation for ForwardSpreadedTermStructure by @eltoder in #2273
• Replace and deprecate LocalBootstrap's PenaltyFunction by @eltoder in #2272
• Replacing std::pow() with test-specific LUT implementation for rounding tests in quantlib benchmarking. by @vladimir-polin in #2270
• Support custom pillar dates after the latest relevant date in IterativeBootstrap by @eltoder in #2262
• Renamed Tona index to Tonar by @lballabio in #2277
• Don't use shared_ptr<Schedule> by @lballabio in #2280
• Automated fixes by clang-tidy by @github-actions[bot] in #2283
• Use double for constexpr variable to maintain AAD compatibility by @auto-differentiation-dev in #2282
• Add soft-barrier options by @wday0507 in #2271
• Allow creating PiecewiseZeroInflationCurve before the base date is known by @eltoder in #2279
• Update copyright list in license by @lballabio-bot in #2290
• Update generated headers by @lballabio-bot in #2291
• Deprecate growthOnly parameter in CPI bond and helper by @lballabio in #2287
• Refactor inflation helpers by @eltoder in #2293
• Add cmake_runners-latest-matrix.yml workflow by @ralfkonrad in #2249
• Automated fixes by clang-tidy by @lballabio-bot in #2294
• Add InterpolatedSpreadDiscountCurve and PiecewiseSpreadYieldCurve by @eltoder in #2292
• Fix typo in uniform1dmesher by @quantresearch1 in #2298
• Add BRL CDI index by @sophistis42 in #2295
• Update copyright list in license by @lballabio-bot in #2300
• Bump actions/checkout from 4 to 5 by @dependabot[bot] in #2299
• Fix consistent test macro usage for AAD compatibility by @auto-differentiation-dev in #2303
• Add checks in Schedule's startDate and endDate methods to avoid segfault by @davidizzle in #2304
• Update old license links by @lballabio-bot in #2308
• Better docs string BlackDeltaCalculator by @paolodelia99 in #2301
• Move BlackDeltaCalculator and DeltaVolQuote from experimental to core by @lballabio in #2309
• Bump actions/stale from 9 to 10 by @dependabot[bot] in #2313
• Replace ImpliedVolatilityHelper with lambda by @lballabio in #2318
• Add BachelierCalculator class by @kp9991-git in #2316
• Update old license links by @lballabio-bot in #2322
• Update generated headers by @lballabio-bot in #2323
• Add perpetual futures by @drxyzw in #2315
• Update copyright list in license by @lballabio-bot in #2325
• Fixing naming and styles in pull request #2315 (perpetual futures) by @drxyzw in #2329
• Add Singapore public holidays for 2025 by @sergioUjo in #2330
• Speedup Sobol Sequence Generator by transposing directionIntegers_ matrix by @dmardavies in #2333
• Simplify and generalize the implementation of inflationPeriod by @eltoder in #2334
• Removing trailing spaces in quantlibbenchmark.cpp by @vladimir-polin in #2335
• Improvement to Latent model execution time by @vladimir-polin in #2336
• Add explicit return type for lambdas to work with expression templates by @auto-differentiation-dev in #2338
• Add end-of-month date adjustment rules for 30/365 by @ragibson in #2337
• Fix potential dangling reference in MultiCubicSpline by @ipenas-cl in #2265
• Automated fixes by clang-tidy by @lballabio-bot in #2332
• Set version to 1.40-rc by @lballabio-bot in #2341
• Set version to 1.40 final by @lballabio-bot in #2343

New Contributors

• @vladimir-polin made their first contribution in #2270
• @wday0507 made their first contribution in #2271
• @lballabio-bot made their first contribution in #2290
• @quantresearch1 made their first contribution in #2298
• @davidizzle made their first contribution in #2304
• @drxyzw made their first contribution in #2315
• @sergioUjo made their first contribution in #2330
• @dmardavies made their first contribution in #2333
• @ragibson made their first contribution in #2337
• @ipenas-cl made their first contribution in #2265

Full Changelog: v1.39...v1.40

Downloads:

• QuantLib-1.39.tar.gz
• QuantLib-1.39.zip

Changes for QuantLib 1.39:

QuantLib 1.39 includes 28 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/37?closed=1.

Portability

• Bug in recent Visual C++ versions: a few recent versions of the Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug that, unfortunately, affected QuantLib heavily and made it basically unusable. A fix was released in version 17.14.9; if you’re compiling QuantLib on Windows, make sure you're using at least that version (or, if you can't upgrade, use the Visual C++ 2019 toolset; you can do that from VC++ 2022, as well).
• Change of default: as already announced, in this release we're switching 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.

Dates, calendars and day-count conventions

• Fixed a corner case of Calendar::advance when using EOM and the unadjusted business-day convention; thanks to Eugene Toder (@eltoder).
• Fixed an error when asking for the serial number of a null date with intraday support enabled (@lballabio); thanks to @UnitedMarsupial for the heads-up.
• Added the SHIR fixing calendar (@lballabio).
• Fixed the order of operations in the 30/360 USA day-count convention; thanks to Eugene Toder (@eltoder).

Indexes

• Added the SARON index; thanks to Paolo D'Elia (@paolodelia99).
• Added a CustomIborIndex class that allows to create an IBOR-like index with custom calendars for value and maturity dates calculations; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines

• The MakeOIS class now knows the default number of settlement days for a few currencies; thanks to Zak Kraehling (@7astro7).

Interest rates

• The FxSwapRateHelper class can now be built specifying fixed dates instead of a tenor; thanks to Eugene Toder (@eltoder).
• A number of helpers can now take quoted rates either as numbers or Handle<Quote> via the use of std::variant; this reduces the number of overloaded constructors and in some cases allows the use of keyword arguments when exported to Python. Thanks to Paolo D'Elia (@paolodelia99) and Eugene Toder (@eltoder).
• The OISRateHelper class can now specify a calendar for the overnight leg; thanks to Eugene Toder (@eltoder).
• The ZeroCouponInflationSwapHelper class now doesn't need to be passed a nominal curve, which wouldn't affect the results anyway (@lballabio).

Volatility

• Optionlet strippers can now use overnight indexes; thanks to Paolo D'Elia (@paolodelia99).
• Added calculation of better guesses for SABR calibration as detailed in the Le Floc'h and Kennedy paper (@lballabio).

Deprecated features

• Removed features deprecated in version 1.34:
  • the overloads of Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread taking a price as a Real instead of a Bond::Price instance;
  • the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods;
  • the constructors of InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure, InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag;
  • the overload of InflationTermStructure::setSeasonality taking no arguments;
  • the InflationTermStructure::setBaseRate method;
  • the fixedRateBond method and fixedRateBond_ data member of the FixedRateBondHelper class, and the cpiBond method and cpiBond_ data member of the CPIBondHelper class.
• Deprecated the observationLag and hasExplicitBaseDate methods and the observationLag_ data member of the InflationTermStructure class; inflation term structures always have an explicit base date now.
• Deprecated the usage of boost::any and boost::optional; their standard counterparts are used by default now.
• Deprecated the constructor of ZeroCouponInflationSwapHelper taking a nominal curve; use the other constructor instead.

Thanks go also to Imrane Amri (@raneamri), Ralf Konrad Eckel (@ralfkonrad), Joan Carlos Naftanaila (@MiDDiz), Eugene Toder (@eltoder), Paolo D'Elia (@paolodelia99) and Holger Rother (@hrother) for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @MiDDiz made their first contribution in #2219
• @7astro7 made their first contribution in #2237

Full Changelog: v1.38...v1.39

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

Downloads:

• QuantLib-1.37.tar.gz
• QuantLib-1.37.zip

Changes for QuantLib 1.37:

QuantLib 1.37 includes 27 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/35?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.

Dates and calendars

• Added closure for President Carter's funeral to the NYSE calendar; thanks to Dirk Eddelbuettel (@eddelbuettel).
• Added distinct Wellington and Auckland variants for New Zealand calendar (@lballabio).

Indexes

• Improved the performance of the addFixing and addFixings method in the Index class; thanks to Peter Caspers (@pcaspers).
• Added the KOFR index; thanks to Jongbong An (@jongbongan).

Instruments and pricing engines

• Added Choi pricing engine for Asian options; thanks to Klaus Spanderen (@klausspanderen).
• Passing a risk-free overnight index to an asset swap now implies using OIS-like coupons (@lballabio).
• Added Bjerksund-Stensland, Operator-Splitting, Deng-Li-Zhou, Choi and n-dim PDE engines for spread options; thanks to Klaus Spanderen (@klausspanderen).
• Deng-Li-Zhou, Choi and n-dim PDE engines for basket options; thanks to Klaus Spanderen (@klausspanderen).

Term structures

• Possibly breaking: better upper and lower bounds for global bootstrap; thanks to Eugene Toder (@eltoder). If you created your own bootstrap traits, you'll need to add transformDirect and transformInverse methods for them to work with the GlobalBootstrap class.
• Fitted bond curves can now be passed precomputed parameters without the need for bond helpers (@lballabio).
• Use correct guess in SABR swaption vol cube (@lballabio).
• OIS rate helpers can now be passed a date-generation rule; thanks to Sotirios Papathanasopoulos (@sophistis42).
• Swap rate helpers can now be passed explicit start and end dates; thanks to Eugene Toder (@eltoder).
• OIS rate helpers can now be passed explicit start and end dates, making a distinct DatedOISRateHelper class unnecessary; thanks to Eugene Toder (@eltoder).

Cash flows

• Added new MultipleResetsCoupon and MultipleResetsLeg classes to manage coupons with multiple resets (@lballabio). They fix and replace SubPeriodsCoupon and SubPeriodsLeg.

Deprecated features

• Removed features deprecated in version 1.32:
  • the FixedRateBondForward class;
  • the SampledCurve and SampledCurveSet classes;
  • the StepConditionSet and BoundaryConditionSet classes;
  • the ParallelEvolver and ParallelEvolverTraits classes;
  • the FDVanillaEngine and FDMultiPeriodEngine classes;
  • the BSMTermOperator, StandardFiniteDifferenceModel, StandardSystemFiniteDifferenceModel and StandardStepCondition typedefs;
  • the QL_NULL_FUNCTION macro;
  • the overloads of DigitalCmsLeg::withReplication , DigitalCmsSpreadLeg::withReplication and DigitalIborLeg::withReplication taking no arguments;
  • the empty headers analyticamericanmargrabeengine.hpp, analyticcomplexchooserengine.hpp, analyticcomplexchooserengine.hpp, analyticcompoundoptionengine.hpp, analyticeuropeanmargrabeengine.hpp, analyticsimplechooserengine.hpp, complexchooseroption.hpp, compoundoption.hpp, margrabeoption.hpp and simplechooseroption.hpp in the ql/experimental/exoticoptions folder;
  • the empty header ql/experimental/termstructures/multicurvesensitivities.hpp;
  • the empty headers pdeshortrate.hpp and shoutcondition.hpp in the ql/methods/finitedifferences folder;
  • the empty header ql/models/marketmodels/duffsdeviceinnerproduct.hpp;
  • the empty headers fdconditions.hpp, fddividendengine.hpp and fdstepconditionengine.hpp in the ql/pricingengines/vanilla folder.
• Deprecated the SubPeriodsCoupon, SubPeriodsPricer, AveragingRatePricer and CompoundingRatePricer classes; renamed to MultipleResetsCoupon, MultipleResetsPricer, AveragingMultipleResetsPricer and CompoundingMultipleResetsPricer, respectively.
• Deprecated the SubPeriodsLeg class; use MultipleResetsLeg instead.
• Deprecated the MultipleResetsCoupon constructor without a reset schedule; use the other constructor.
• Deprecated the calendar, price, addQuote, addQuotes, clearQuotes, isValidQuoteDate and quotes methods in the CommodityIndex class; use fixingCalendar, fixing, addFixing, addFixings, clearFixings, isValidFixingDate and timeSeries instead.
• Deprecated the experimental SpreadOption and KirkSpreadOptionEngine classes; use BasketOption and KirkEngine instead.
• Deprecated the TransformedGrid and LogGrid classes and the CenteredGrid, BoundedGrid and BoundedLogGrid functions; use the new FD framework instead.
• Deprecated the PdeOperator and BSMOperator classes; use the new FD framework instead.
• Deprecated the PdeSecondOrderParabolic, PdeConstantCoeff, PdeBSM and GenericTimeSetter classes; use the new FD framework instead.
• Deprecated the hasHistory, getHistory, clearHistory, hasHistoricalFixing and setHistory in the IndexManager class; use Index::hasHistoricalFixing, Index::timeSeries, Index::clearFixings, Index::hasHistoricalFixing and Index::addFixings instead.
• Deprecated the notifier method in the IndexManager class; register with the relevant index instead.
• Deprecated one of the AssetSwap constructors; use the other overload.
• Deprecated the fcn and jacFcn methods in the LevenbergMarquardt class; they are for internal use only.
• Deprecated the indexIsInterpolated parameter in YoY inflation curve constructors; use another overload. Fixings will be interpolated by coupons instead, so curves and indexes will only be asked for fixing at the start of a month.
• Deprecated the indexIsInterpolated method and the indexIsInterpolated_ data member in the YoYInflationTermStructure class.
• Deprecated the DatedOISRateHelper class; use OISRateHelper instead.

Thanks go also to Eugene Toder (@eltoder), Ben Watson (@sonben) and the XAD team (@auto-differentiation-dev) for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @sophistis42 made their first contribution in #2107

Full Changelog: v1.36...v1.37

Downloads:

• QuantLib-1.36.tar.gz
• QuantLib-1.36.zip

Changes for QuantLib 1.36:

QuantLib 1.36 includes 34 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/34?closed=1.

Portability

• New minimum C++ standard: starting from this release, a compiler supporting C++17 is required. Passing --enable-std-classes to configure now causes std::any and std::optional to be used.
• End of support: related to the above, and as announced since release 1.32, this release drops support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4. Also, given the testing environments available on GitHub actions, clang 5 and 6 are no longer available to us for testing, and the same holds for g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
• End of support: this release also removes the configure switch that allowed to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes were already the default since release 1.32. The corresponding classes in the ext namespace are now deprecated.
• Future change of default: in a couple of releases, we're going to switch the default for ext::any and ext::optional from the Boost implementation to the standard one.

Dates and calendars

• Added startOfMonth and isStartOfMonth methods to both Date and Calendar; thanks to Francois Botha (@igitur).
• Added specialized Warsaw Stock Exchange (WSE) calendar to Poland; thanks to Marcin Bogusz (@marcinfair).
• Added a new one-off holiday to South Korean calendar; thanks to Jongbong An (@jongbongan).

Cash flows

• Made OvernightIndexedCouponPricer public and renamed to CompoundingOvernightIndexedCouponPricer, and moved ArithmeticAveragedOvernightIndexedCouponPricer from experimental to core library; thanks to Ralf Konrad Eckel (@ralfkonrad).

Indexes

• Possibly breaking: inherited the Index class from Observer and added a virtual pastFixing method. If you inherited a class from both Index and Observer, change your code to avoid inheriting twice from Observer. Thanks to Ralf Konrad Eckel (@ralfkonrad).
• Added currency information to EquityIndex; thanks to Ralf Konrad Eckel (@ralfkonrad).

Inflation

• Inflation indexes are now better at deciding when to forecast (@lballabio); also added a needsForecast method that makes the information available.
• Added CPI::laggedYoYRate; also, YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper and the experimental YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface can now take an explicit CPI::InterpolationType parameter instead of relying on the index being defined as interpolated or not (@lballabio). This is a first step in removing interpolation from YoYInflationIndex and moving it into the coupons where it belongs.
• Added method to YoY inflation index returning the date of the last available fixing (@lballabio).

Term structures

• Allow passing a pricer to the constructor of the OISRateHelper and DatedOISRateHelper classes (@lballabio); this makes it possible to use arithmetic averaging of overnight rates.
• Allow custom constraint in non-linear fitting methods; thanks to Kai Lin (@klin333).
• Allow creating a swap helper with frequency "Once" (@lballabio).
• The GlobalBootstrap constructor can now take an optional optimizer and end criteria, allowing for better configuration; thanks to Eugene Toder (@eltoder).

Volatility

• Added exact Bachelier implied-vol formula from Jäckel's paper; thanks to Peter Caspers (@pcaspers).

Deprecated features

• Removed features deprecated in version 1.31:
  • the BlackVanillaOptionPricer typedef;
  • the constructors of CPICoupon taking a spread parameter, its spread method, and its protected spread_ data member;
  • the withSpreads method of CPILeg;
  • the protected adjustedFixing method and spread_ data member of CPICouponPricer;
  • the YYAUCPIr, YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr indexes and the experimental YYGenericCPIr class;
  • the constructor of YoYInflationIndex taking a ratio parameter;
  • a couple of constructors of ForwardRateAgreement;
  • the empty files ql/math/curve.hpp, ql/math/lexicographicalview.hpp, ql/termstructures/yield/drifttermstructure.hpp and ql/patterns/composite.hpp;
  • the const_iterator and const_value_iterator typedefs in the Garch11 class;
  • the const_time_iterator, const_value_iterator, const_reverse_time_iterator and const_reverse_value_iterator typedefs and the cbegin_values, cend_values, crbegin_values, crend_values, cbegin_time, cend_time, crbegin_time and crend_time methods of the TimeSeries class;
  • the base, increment, decrement, advance and distance_to method of the step_iterator class.
• Deprecated ext::function, ext::bind, ext::ref, ext::cref, ext::placeholders, ext::tuple, ext::make_tuple, ext::get and ext::tie; use the corresponding std:: classes and functions instead.
• Deprecated the ArithmeticAverageOIS, MakeArithmeticAverageOIS and ArithmeticOISRateHelper classes; use OvernightIndexedSwap, MakeOIS and OISRateHelper instead.
• Deprecated the YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper, YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface constructors that don't take an explicit CPI interpolation type.
• Deprecated the getInfo method of LevenbergMarquardt; inspect the result of minimize instead.
• Deprecated the ql/experimental/averageois/averageoiscouponpricer.hpp file; include ql/cashflows/overnightindexedcouponpricer.hpp instead.
• Deprecated the somewhat out-of-scope and experimental CreditRiskPlus, SensitivityAnalysis, aggregateNPV, parallelAnalysis and bucketAnalysis.

Thanks go also to Jonathan Sweemer (@sweemer), Eugene Toder (@eltoder), Ralf Konrad Eckel (@ralfkonrad), Tony Wang (@twan3617) and the XAD team (@auto-differentiation-dev) for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @raneamri made their first contribution in #2056
• @twan3617 made their first contribution in #2057
• @klin333 made their first contribution in #2059
• @marcinfair made their first contribution in #2063
• @jongbongan made their first contribution in #2086

Full Changelog: v1.35...v1.36

Downloads:

• QuantLib-1.35.tar.gz
• QuantLib-1.35.zip

Changes for QuantLib 1.35:

QuantLib 1.35 includes 32 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/33?closed=1.

Portability

• Future end of support: as announced since release 1.32, this release is the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in next release, 1.36, about three months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base. Also, given the testing environments available on GitHub actions, clang 5 and 6 are no longer available to us for testing, and the same holds for g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
• Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
• The config.hpp generated by cmake now behaves like the one generated by autotools and provides values for the defines so that they can be used in static_assert (@lballabio). Thanks to Tom Anderson (@tomwhoiscontrary) for the heads-up.

Calendars

• Some fixes for the Chilean calendar; thanks to Eugene Toder (@eltoder).
• Better NFP/SIFMA rule for Good Friday in U.S. government bond calendar; thanks to Eugene Toder (@eltoder).
• Updated Indian NSE holidays for 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Some fixes for the Mexican calendar; thanks to Lucas Dias (@lukedays).

Cash flows

• Added lookback days, lockout days and observation shift to overnight-indexed coupons; thanks to Marcin Rybacki (@marcin-rybacki). The same parameters were propagated to overnight-indexed swaps and to the corresponding helpers.
• Added the hasFixed method to IBOR coupons that detects whether they have fixed or still need to be forecast; thanks to Tom Anderson (@tomwhoiscontrary).

Instruments

• Overnight index futures didn't manage a start date falling on a holiday; this is now fixed (@lballabio). Thanks to GitHub user @JustCallMeDavid for the heads-up.
• Callable bonds didn't account for nominal when calculating OAS; this is now fixed. Thanks to Hristo Raykov (@HristoRaykov).
• For European swaption, sometimes the price is quoted as a forward price to be paid at exercise time. Such a quoted price can now be used for implied-volatility calculation. The forward price is also returned by the Black and Bachelier swaption engines as an additional result (@lballabio).

Random numbers

• Added the fast ZigguratGaussianRng generator; thanks to Ralf Konrad Eckel (@ralfkonrad).

Term structures

• Fix treatment of custom end date in FuturesRateHelper (@lballabio).
• Add possibility to reset guess in fitted bond curves (@lballabio). Thanks to GitHub user @klin333 for the suggestion.

Utilities

• Overloaded Handle and RelinkableHandle constructors on lvalue and rvalue references for performance; thanks to Jonathan Sweemer (@sweemer).

Tools

• Better benchmark utility; thanks to Jacques du Toit (@amd-jadutoit).

Examples

• Reworked bond example (@lballabio).

Deprecated features

• Removed features deprecated in version 1.30:
  • the DividendVanillaOption and DividendBarrierOption classes;
  • the constructor of AnalyticDividendEuropeanEngine taking only a process and no dividends;
  • the SwaptionVolCube1, SwaptionVolCube1a, SwaptionVolCube1x and SwaptionVolCube2 typedefs and the empty headers ql/experimental/volatility/swaptionvolcube1.hpp, ql/experimental/volatility/swaptionvolcube1a.hpp and ql/experimental/volatility/swaptionvolcube2.hpp;
  • the setCommon method of CappedFlooredYoYInflationCoupon.
• Deprecated the constructor of DatedOISRateHelper taking a forward start; use the other overload instead.
• Deprecated the specialized Bibor9M, Euribor2W, Euribor3W, Euribor2M, Euribor4M, Euribor5M, Euribor7M, Euribor8M, Euribor9M, Euribor10M, Euribor11M, Euribor365_SW, Euribor365_2W, Euribor365_3W, Euribor365_1M, Euribor365_2M, Euribor365_3M, Euribor365_4M, Euribor365_5M, Euribor365_6M, Euribor365_7M, Euribor365_8M, Euribor365_9M, Euribor365_10M, Euribor365_11M, Euribor365_1Y, EURLiborSW, EURLibor2W, EURLibor2M, EURLibor4M, EURLibor5M, EURLibor7M, EURLibor8M, EURLibor9M, EURLibor10M, EURLibor11M; if needed, use the corresponding generic class and pass the tenor (for instance, Euribor(4 * Months)).
• Renamed EuriborSW to Euribor1W and deprecated the old name.
• Deprecated the constructor of RelinkableHandle taking a raw pointer.

Thanks go also to Dmitri Goloubentsev (@DmitriGoloubentsev), Eleanor Green (@eleanorTurintech), Tom Anderson (@tomwhoiscontrary), Peter Caspers (@pcaspers), Jonghee Lee (@nistick21), Ralf Konrad Eckel (@ralfkonrad) and the XAD team (@auto-differentiation-dev) for miscellaneous fixes, improvements or reports.

New Contributors

• @DmitriGoloubentsev made their first contribution in #1957
• @eleanorTurintech made their first contribution in #1965
• @amd-jadutoit made their first contribution in #1962
• @lukedays made their first contribution in #2018

Full Changelog: v1.34...v1.35

Downloads:

• QuantLib-1.34.tar.gz
• QuantLib-1.34.zip

Changes for QuantLib 1.34:

QuantLib 1.34 includes 35 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/32?closed=1.

Portability

• Future end of support: as announced in release 1.32, we're targeting next release (1.35) as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about six months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base. Also, given the testing environments available on GitHub actions, clang 5 is already no longer available to us for testing, and in a while the same will hold for clang 6 and g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
• Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
• Generate and install pkg-config files in CMake builds; thanks to GitHub user @jez6.

Dates and calendars

• Prevent Calendar::advance from returning the business end of month (instead of the calendar end) when endOfMonth is true and convention is Unadjusted; thanks to GitHub user @DeimosXing.
• Add good Friday holiday for SOFR fixing; thanks to GitHub user @PaulXiCao.
• Properly restrict São Paulo city holiday to years before 2022; thanks to Marco Bruno Ferreira Vasconcellos (@marcobfv).
• Update holidays for 2023 and 2024 in calendars for India, Thailand, Singapore and South Africa; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

Cash flows

• Fixed a couple of cases in which notifications were not forwarded properly; thanks to GitHub user @djkrystul for the heads-up.
• Fixed past payment dates and added support for OIS in LinearTsrPricer; thanks to Peter Caspers (@pcaspers).

Instruments

• Swaptions can now take an OIS as underlying; thanks to Guillaume Horel (@thrasibule) and Peter Caspers (@pcaspers). So far, only BlackSwaptionEngine manages OIS explicitly; other engines might work and return approximated values.
• More methods in MakeOIS and MakeVanillaSwap; thanks to Eugene Toder (@eltoder).
• More methods in the BondFunctions class now support either clean or dirty prices; thanks to Francois Botha (@igitur).
• The basisPointValue and yieldValueBasisPoint methods in BondFunctions didn't always manage the settlement date correctly; this is now fixed (thanks to GitHub user @jez6).
• Add Custom to Futures::Type enumeration to allow passing custom dates to futures; thanks to Eugene Toder (@eltoder).

Term structures

• Inflation curves can now be built passing an explicit base date (corresponding to the last published fixing) instead of an observation lag (@lballabio).
• Fixed calculation of year fraction under Actual/365 Canadian convention in FuturesRateHelper; thanks to GitHub user @PaulXiCao.
• Fixed settlement date calculation in cross-currency basis-swap rate helpers in some cases; thanks to Marcin Rybacki (@marcin-rybacki) for the fix and to Aleksis Ali Raza for the heads-up.

Math

• Handle non-equidistant grids and arbitrary dimensions in Laplace interpolation; thanks to Peter Caspers (@pcaspers).

Deprecated features

• Removed features deprecated in version 1.29:
  • The argument_type, first_argument_type, second_argument_type and result_type typedefs in several classes;
  • The overloads of zero-rate inflation index constructors taking an interpolated argument;
  • The interpolated method and the protected interpolated_ data member in InflationIndex;
  • The overload of CashFlows::npvbps taking the result by reference;
  • The protected rateCurve_ method in InflationCouponPricer;
  • The ThreadKey typedef;
  • The empty header ql/experimental/credit/riskybond.hpp.
• Deprecated the constructors of InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure, InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag; use the overloads taking an explicit base date instead.
• Deprecated the Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread overloads taking a clean price as a number; use the overloads taking a Bond::Price instead.
• Deprecated the InflationTermStructure::setSeasonality overload taking no arguments; use the overload taking a pointer and pass an empty one to remove seasonality.
• Deprecated the InflationTermStructure::setBaseRate method; set baseRate_ directly if needed.
• Deprecated the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods; use underlying instead.
• Deprecated the broken FixedRateBondHelper::fixedRateBond and CPIBondHelper::cpiBond methods and the corresponding fixedRateBond_ and cpiBond_ data members.

Thanks go also to Isuru Fernando (@isuruf), Viktor Zhou (@yyuuhhjjnnmm), Stephen Dacek (@sdacek), Yi Jiang (@yjian012), Jonathan Sweemer (@sweemer), Eugene Toder (@eltoder), the XAD team (@auto-differentiation-dev) and GitHub user @PaulXiCao and @klin333 for miscellaneous fixes, improvements or reports.

New Contributors

• @isuruf made their first contribution in #1893
• @yyuuhhjjnnmm made their first contribution in #1895
• @jez6 made their first contribution in #1900
• @marcobfv made their first contribution in #1897
• @sdacek made their first contribution in #1906
• @DeimosXing made their first contribution in #1917

Full Changelog: v1.33...v1.34

Downloads:

• QuantLib-1.33.tar.gz
• QuantLib-1.33.zip

Changes for QuantLib 1.33:

QuantLib 1.33 includes 43 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/31?closed=1.

Portability

• Future end of support: as announced in release 1.32, we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about nine months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
• Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
• Added CMake presets for Apple; thanks to Christian Köhnenkamp (@kohnech).

Dates and calendars

• Added New Year's Eve as a holiday to the Chilean calendar; thanks to GitHub user @MoixaStrikes.
• Added Black Awareness Day as a holiday to the Brazilian calendar starting from 2024; thanks to GitHub user @PaulXiCao.
• Added Inauguration Day as a holiday to the Mexican calendar starting from 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc).
• Updated list of known ECB dates; thanks to GitHub user @PaulXiCao.
• Added Thailandese and Taiwanese holidays up to 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added a one-time holiday to the South African calendar; thanks to Francois Botha (@igitur).

Models

• Added support for angled contour shift integrals to Heston model; thanks to Klaus Spanderen (@klausspanderen).

Instruments

• Allow different calendars and frequencies for different legs in MakeOIS and OISRateHelper; thanks to Eugene Toder (@eltoder).
• Enabled negative payment lag in swap legs; thanks to GitHub user @Stoozy.

Random numbers

• Added Burley 2020 scrambled Sobol sequence generator; thanks to Peter Caspers (@pcaspers).

Tests

• Use automated registration of unit tests; thanks to Siddharth Mehrotra (@Sidsky).
• Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp).
• Improved test coverage for a few classes; thanks to GitHub user @PaulXiCao.

Deprecated features

• Removed features deprecated in version 1.28:
  • The overload of CallableBond::impliedVolatility taking an NPV as target.
  • The constructor of AmortizingFixedRateBond taking a sinking frequency.
  • The constructor of AmortizingFixedRateBond taking a vector of InterestRate instances.
  • The constructor of FixedRateBond taking start date, maturity date etc. instead of a schedule.
  • The constructor of FixedRateBond taking a vector of InterestRate instances.
  • The constructor of FloatingRateBond taking start date, maturity date etc. instead of a schedule.
  • The constructor of CPICapFloor taking a handle to an interest-rate index.
  • The CPICapFloor::inflationIndex method.
  • The infIndex data member of the CPICapFloor::arguments class.
  • A redundant constructor of SabrSmileSection.
  • The empty headers ql/experimental/amortizingbonds/amortizingcmsratebond.hpp, ql/experimental/amortizingbonds/amortizingfixedratebond.hpp and ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp.
• Deprecated the constructor of Currency and Currency::Data taking a format string, and the Currency::format method.

Thanks go also to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116), Jonathan Sweemer (@sweemer) and the XAD team (@auto-differentiation-dev) for smaller fixes and improvements.

New Contributors

• @Stoozy made their first contribution in #1818
• @silvergasp made their first contribution in #1807
• @PaulXiCao made their first contribution in #1825
• @Sidsky made their first contribution in #1811
• @hgv79116 made their first contribution in #1858
• @yjian012 made their first contribution in #1876
• @MoixaStrikes made their first contribution in #1846

Full Changelog: v1.32...v1.33

Downloads:

• QuantLib-1.32.tar.gz
• QuantLib-1.32.zip

Changes for QuantLib 1.32:

QuantLib 1.32 includes 34 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/29?closed=1.

Portability

• Possibly breaking change: the protected evaluationDate_ data member of the SwaptionVolatilityDiscrete class was renamed to cachedReferenceDate_.
• Future end of support: we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about one year from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
• Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; starting from this release, the std classes are already the default.
• Reorganized the CMake presets; thanks to the XAD team (@auto-differentiation-dev).

Cash flows

• All cash flows are now lazy; thanks to Peter Caspers (@pcaspers).

Instruments

• Overnight-indexed swaps can now have different schedules and nominals on the two legs; thanks to Tom Anderson (@tomwhoiscontrary).
• Margrabe options, compound options and chooser options were moved from experimental to core (@lballabio).
• Introduced common base class FixedVsFloatingSwap for vanilla swap and overnight-indexed swaps; this will be used in the future to help a few existing swap engines support OIS (@lballabio).
• Added optional redemptions argument to amortizing bond constructors. This allows them to be used for pools of loans where a certain proportion of the underlying loans are subject to defaults and losses. Thanks to Gyan Sinha (@gyansinha).
• It is now possible to manually prune the notification tree for swaps and bonds if one knows that the cashflows won't change pricer; thanks to Peter Caspers (@pcaspers).

Models

• Fixed the algorithm to add instruments to the calibration set of the Markov model; thanks to Peter Caspers (@pcaspers) for the fix and Giuseppe Trapani (@lePidduN7) for the heads-up.

Term structures

• Time-to-date conversion in some swaption volatility classes could return the wrong date before the first exercise date; this is now fixed, thanks to Peter Caspers (@pcaspers).
• It's now possible to specify the maximum number of iteration for the solver inside a bootstrapped term structure; thanks to Jonathan Sweemer (@sweemer) for the change and Daniel Ángeles Ortiz (@Danie8) for the heads-up.
• Reduced the number of notifications for bootstrap helpers; thanks to Peter Caspers (@pcaspers).

Random numbers

• Added the xoshiro265** random-number generator; thanks to Ralf Konrad (@ralfkonrad). It is faster than the Mersenne Twister and might be used as default in the future.

Examples

• The code of the examples has been modernized a bit; thanks to Jonathan Sweemer (@sweemer).

Patterns

• Avoided a possible crash when using observables in a multi-threaded setting; thanks to Peter Caspers (@pcaspers).

Deprecated features

• Removed features deprecated in version 1.27:
  • The QL_NULL_INTEGER, QL_NULL_REAL, QL_NOEXCEPT, QL_CONSTEXPR and QL_USE_STD_UNIQUE_PTR macros.
  • The MultiCurveSensitivities class.
  • The constant, identity, square, cube, fourth_power, add, subtract, subtract_from, multiply_by, divide, divide_by, less_than, greater_than, greater_or_equal_to, not_zero, not_null, everywhere, nowhere, equal_within, clipped_function, clip, composed_function, compose, binary_compose3_function and compose3 functors.
  • The PdeShortRate, ShoutCondition, FDShoutCondition, FDStepConditionEngine and FDEngineAdapter classes from the old finite-differences framework.
  • The dsd::inner_product function.
  • The FDDividendEngineBase, FDDividendEngineMerton73, FDDividendEngineShiftScale and FDDividendEngine pricing engines.
  • The empty headers ql/auto_ptr.hpp, ql/math/initializers.hpp, ql/methods/finitedifferences/americancondition.hpp, ql/methods/finitedifferences/onefactoroperator.hpp, ql/pricingengines/vanilla/fddividendshoutengine.hpp, ql/pricingengines/vanilla/fdshoutengine.hpp and ql/utilities/disposable.hpp.
• Deprecated the overload of the withReplication method in the DigitalIborLeg, DigitalCmsLeg and DigitalCmsSpreadLeg classes that takes no arguments; use the other overload instead.
• Deprecated the StandardFiniteDifferenceModel, StandardSystemFiniteDifferenceModel and StandardStepCondition typedefs; define your own typedefs if needed.
• Deprecated the FDVanillaEngine, FDMultiPeriodEngine, StepConditionSet, ParallelEvolverTraits, ParallelEvolver and SampledCurveclasses and the BSMTermOperator and SampledCurveSet typedefs; use the new finite-differences framework instead.
• Deprecated the QL_NULL_FUNCTION macro; to check if a function is empty, use it in a bool context instead.
• Deprecated the now empty headers ql/experimental/exoticoptions/margrabeoption.hpp, ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp, ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp, ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp, ql/experimental/exoticoptions/simplechooseroption.hpp, ql/experimental/exoticoptions/compoundoption.hpp, ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp, ql/experimental/exoticoptions/analyticsimplechooserengine.hpp, ql/experimental/exoticoptions/complexchooseroption.hpp, ql/experimental/termstructures/multicurvesensitivities.hpp, ql/methods/finitedifferences/shoutcondition.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fdstepconditionengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp and ql/models/marketmodels/duffsdeviceinnerproduct.hpp.

Thanks go also to Jonathan Sweemer (@sweemer), Ralf Konrad (@ralfkonrad), Klaus Spanderen (@klausspanderen), Peter Caspers (@pcaspers), Tom Anderson (@tomwhoiscontrary), Fredrik Gerdin Börjesson (@gbfredrik), Guillaume Horel (@thrasibule) and the XAD team (@auto-differentiation-dev) for a number of smaller fixes and improvements.

New Contributors

• @gyansinha made their first contribution in #1790

Full Changelog: v1.31.1...v1.32

Downloads:

• QuantLib-1.31.1.tar.gz
• QuantLib-1.31.1.zip

Changes for QuantLib 1.31.1:

QuantLib 1.31.1 is a bug-fix release for QuantLib 1.31.

It fixes a regression that could cause a segmentation fault when bootstrapping an interest-rate curve using OIS rates.

Details are available at https://github.com/lballabio/QuantLib/milestone/30?closed=1.

Full Changelog: v1.31...v1.31.1