🔄 Changes for QuantLib 1.11:
🛠 QuantLib 1.11 includes 47 pull requests and fixed issues from several contributors.
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/6?closed=1.
- 🚀 This is the last version of QuantLib to support the now obsolete Dev-C++ IDE with a maintained project file. The project will be removed in next release.
Instruments and pricing engines
- ➕ Added ISDA pricing engine for credit default swaps (thanks to Guillaume Horel, Jose Aparicio and Peter Caspers).
- ➕ Added Andersen-Piterbarg engine for the Heston model (thanks to Klaus Spanderen).
- 👌 Improved experimental vanna-volga engine for double-barrier knock-in options (thanks to Giorgio Pazmandi).
- ➕ Added theta calculation to experimental Kirk spread-option engine (thanks to Krzysztof Wos).
- ➕ Added optional payment lag to fixed, floating and OIS legs (thanks to Fabrice Lecuyer and Joseph Jeisman).
- 🛠 Fixed yield calculation with 30/360 US day count convention and settlement on the 31st of the month (thanks to Frank Xue).
- ➕ Added adaptive successive over-relaxation method for implied volatility calculation (thanks to Klaus Spanderen).
- 🛠 Fixed day-count convention and spot lag for CAD LIBOR (thanks to Oleg Kulkov).
- ⚡️ Optionally optimize setting up OIS helpers (thanks to Peter Caspers).
- ➕ Added Actual/365 Canadian day count convention (thanks to Andrea Maggiulli).
- ➕ Added GMRES iterative solver for large linear systems (thanks to Klaus Spanderen).
- ⚡️ Updated Hong Kong calendar up to 2020 (thanks to Nicholas Bertocchi and Alix Lassauzet).
- ➕ Added configure switch to enable unity build.
✅ Test suite
- ➕ Added
--fasterflags to the test-suite executable. When passed, slower tests are discarded so that the test suite runs in just a few minutes.
🗄 Deprecated features
- ✂ Remove the
HestonExpansionEngine::numberOfEvaluationsmethod (deprecated in version 1.9).
- ✂ Remove the
MixedLinearCubicconstructors not specifying the behavior of the mixed interpolation (deprecated in version 1.8).
- ✂ Remove deprecated overloads of the
CapFloor::impliedVolatilitymethods (deprecated in version 1.9).
- ✂ Remove
NoArbSabrModel::checkAbsorptionMatrixmethod (deprecated in version 1.8.1).
🔄 Changes for QuantLib 1.10.1:
🚀 QuantLib 1.10.1 is a bug-fix release for version 1.10.
- 🚀 Prevented a name clash when using the newly-released Boost 1.65.0 with g++ 6.3.
- ➕ Added a few missing function declarations in the SwaptionVolatilityStructure class (thanks to Peter Caspers).