QuantLib v1.16 Release Notes

Release Date: 2019-08-05 // almost 3 years ago
  • ๐Ÿ”„ Changes for QuantLib 1.16:

    QuantLib 1.16 includes 34 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/12?closed=1.


    • โž• Added support for Visual Studio 2019 (thanks to Paul Giltinan).

    ๐Ÿ”ง Configuration

    • ๐Ÿš€ As announced in past release, the compile-time switch to force non-negative rates was removed.

    Pricing engines

    • โž• Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
    • โž• Added quanto pricing functionality to a couple of FD engines for DividendVanillaOption (thanks to Klaus Spanderen).

    Cash flows

    • Digital coupons can now optionally return the value of the naked option (thanks to Peter Caspers).


    • โšก๏ธ Updated Taiwan holidays for 2019 (thanks to Hank Liu).
    • โž• Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
    • โšก๏ธ Updated Japan calendar (thanks to Eisuke Tani).
    • ๐Ÿ›  Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
    • โž• Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
    • โž• Added French calendar (thanks to GitHub user NJeanray).
    • โž• Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
    • ๐Ÿ‘ Allow the stub date of a schedule to equal the maturity.

    ๐Ÿ—„ Deprecated features

    • ๐Ÿ—„ Deprecated a constructor of the SwaptionVolatilityMatrix class that didn't take a calendar.
    • โœ‚ Removed typedefs GammaDistribution, ChiSquareDistribution, NonCentralChiSquareDistribution and InverseNonCentralChiSquareDistribution, deprecated in version 1.12. Use CumulativeGammaDistribution, CumulativeChiSquareDistribution, NonCentralCumulativeChiSquareDistribution and InverseNonCentralCumulativeChiSquareDistribution instead.
    • โœ‚ Removed Actual365NoLeap class, deprecated in version 1.11. It was folded into Actual365Fixed.

    Term structures

    • Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.