« Changelog History


QuantLib v1.11 Release Notes

Release Date: 2018-03-01 // about 6 years ago

  • 🔄 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.

    Portability

    • 🚀 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).

    Cash flows

    • ➕ 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).

    Models

    • ➕ Added adaptive successive over-relaxation method for implied volatility calculation (thanks to Klaus Spanderen).

    Indexes

    • 🛠 Fixed day-count convention and spot lag for CAD LIBOR (thanks to Oleg Kulkov).

    Term structures

    • ⚡️ Optionally optimize setting up OIS helpers (thanks to Peter Caspers).

    Date/time

    • ➕ Added Actual/365 Canadian day count convention (thanks to Andrea Maggiulli).

    Math

    • ➕ 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).

    🏗 Build

    • ➕ Added configure switch to enable unity build.

    ✅ Test suite

    • ➕ Added --fast and --faster flags 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::numberOfEvaluations method (deprecated in version 1.9).
    • ✂ Remove the MixedLinearCubicInterpolation and MixedLinearCubic constructors not specifying the behavior of the mixed interpolation (deprecated in version 1.8).
    • ✂ Remove deprecated overloads of the Swaption::impliedVolatility and CapFloor::impliedVolatility methods (deprecated in version 1.9).
    • ✂ Remove NoArbSabrModel::checkAbsorptionMatrix method (deprecated in version 1.8.1).