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QuantLib v1.14 Release Notes

Release Date: 2018-10-01 // over 5 years ago

  • 🔄 Changes for QuantLib 1.14:

    QuantLib 1.14 includes 40 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/10?closed=1.

    Portability

    • 🚀 In April 2018, Microsoft ended its support for Microsoft Visual C++ 2008. As previously announced, this release drops support for it.
    • 🛠 Fixed generation of RPM from QuantLib.spec (thanks to Simon Rees).
    • 🚚 Avoided uses of some features removed in C++17 so that the library can be compiled under the latest standard if needed.
    • ⚡️ boost::shared_ptr and a few related classes and functions were imported into the new namespace QuantLib::ext. This allows them to be conditionally replaced with their std:: versions (see the "opt-in features" section below). The default is still to use the boost implementation. Client code using the boost namespace explicitly doesn't need to be updated.
    • 🛠 Fixed build and tests on FreeBSD-11 (thanks to Klaus Spanderen and to Mikhail Teterin for the heads-up).
    • 🛠 Fixed tests with the -ffast-math compilation flag enabled (thanks to Klaus Spanderen and to Jon Davies for the heads-up).

    Instruments and pricing engines

    • ➕ Add different settlement methods for swaptions (thanks to Peter Caspers).
    • Take into account distinct day-count conventions for different curves in the analytic barrier-option engine (thanks to GitHub user cosplay-raven).
    • Extract the correct constant coefficients to use in finite-difference vanilla-option engine when using a time-dependent Black-Scholes process (thanks to GitHub user Grant6899 for the analysis).

    Cash flows and interest rates

    • ➕ Added Bibor and THBFIX indices (thanks to Matthias Lungwitz).

    Models

    • ➕ Added a hook for using a custom smile model in the Markov functional model (thanks to Peter Caspers).
    • ➕ Added a base class CalibrationHelperBase to the hierarchy of calibration helpers in order to allow for helpers not using the Black model.
    • Return underlying dynamics from Black-Karasinski model (thanks to Fanis Antoniou).

    Finite differences

    • ➕ Added higher-order spatial operators (thanks to Klaus Spanderen).
    • ➕ Added TR-BDF2 finite-difference scheme (thanks to Klaus Spanderen).

    Term structures

    • 👍 Allow swap helpers to specify end-of-month convention (thanks to Matthias Lungwitz).

    Date/time

    • Prevented division by zero in Actual/365 Canadian day counter (thanks to Ioannis Rigopoulos for the heads-up).
    • ➕ Added Children's Day to the list of Romanian holidays (thanks to Matthias Lungwitz).
    • ➕ Added new calendar for Thailand (thanks to Matthias Lungwitz).
    • ➕ Added 30/360 German day counter (thanks to Peter Caspers and Alexey Indiryakov).

    Math

    • 🛠 Fixed bug in convex-monotone interpolation (thanks to Peter Caspers for the fix and to Tom Anderson for finding the bug).

    🆕 New opt-in features

    • It is now possible to use std::shared_ptr and its related classes instead of boost::shared_ptr. Note that, unlike its boost counterpart, std::shared_ptr doesn't check for null pointers before access; this can lead to crashes. The feature can be enabled by uncommenting the QL_USE_STD_SHARED_PTR macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-std-pointers to ./configure on other systems. This requires using at least the C++11 standard during compilation.
    • It is now possible to use std::unique_ptr instead of std::auto_ptr; this makes it possible to compile the library in strict C++17 mode and to avoid deprecation warnings in C++11 and C++14 mode. The feature can be enabled by uncommenting the QL_USE_STD_UNIQUE_PTR macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-std-unique-ptr to ./configure on other systems.

    🛠 Thanks go also to Sam Danbury, Barry Devlin, Roland Kapl, and GitHub user todatamining for smaller fixes, enhancements, and bug reports.