« Changelog History


QuantLib v1.13 Release Notes

Release Date: 2018-05-24 // almost 6 years ago

  • 🔄 Changes for QuantLib 1.13:

    QuantLib 1.13 includes 42 pull requests 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/8?closed=1.

    Portability

    • 🚀 In April 2018, Microsoft ended its support for Microsoft Visual C++ 2008. This release still includes a solution file for VC++ 2008, but we won't support it further or take bug reports for it. The next release will only contain project files for Visual C++ 2010 and later.
    • 🛠 Fixed build on Solaris 12.5 in C++11 mode (thanks to Nick Glass).

    Instruments and pricing engines

    • 🛠 Fix CDS calculation when the start date falls during the week-end (thanks to Guillaume Horel).
    • 👍 Allow construction of a ForwardRateAgreement instance even if the interest-rate curve is not yet linked (thanks to Tom Anderson).

    Cash flows and interest rates

    • ➕ Added Mosprime, Pribor, Robor and Wibor indices (thanks to Matthias Lungwitz).
    • 👌 Improved performance of Black pricer for LIBOR coupons (thanks to Peter Caspers).
    • 🛠 Fixed experimental quanto coupon pricer (thanks to Peter Caspers).
    • Revised experimental CMS-spread coupon pricer (thanks to Peter Caspers).

    Models

    • 👌 Improvements for the experimental generalized Hull-White model (thanks to Roy Zywina).
    • 🛠 Fixed drift in GSR process (thanks to Peter Caspers for the fix and to Seung Beom Bang for the heads up).
    • 🛠 Fixed an out-of-bound access in the TwoFactorModel::ShortRateDynamics::process method (thanks to Weston Steimel).

    Finite differences

    • 👌 Improved Black-Scholes mesher for low volatilities and high discrete dividends (thanks to Klaus Spanderen).
    • ➕ Added method-of-lines scheme (thanks to Klaus Spanderen).

    Date/time

    • ⏱ Schedule::until can now be used with schedules built from vectors of dates (thanks to GitHub user Grant6899).
    • ➕ Added Good Friday to the list of Hungarian and Czech holidays (thanks to Matthias Lungwitz).
    • ⚡️ Updated the list of Turkish holidays after 2014 (thanks to Matthias Lungwitz).

    Math

    • ➕ Added convenience operators to initialize array and matrices (thanks to Peter Caspers).

    ✅ Test suite

    • ➕ Added test case for CIR++ model (thanks to Klaus Spanderen).

    🛠 Thanks go also to Jose Aparicio, Roland Kapl and GitHub user lab4quant for smaller fixes and enhancements.