QuantLib v1.16 Release NotesRelease Date: 2019-08-05 // almost 3 years ago
🔄 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.
- ➕ Added support for Visual Studio 2019 (thanks to Paul Giltinan).
- 🚀 As announced in past release, the compile-time switch to force non-negative rates was removed.
- ➕ Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
- ➕ Added quanto pricing functionality to a couple of FD engines for
DividendVanillaOption(thanks to Klaus Spanderen).
- Digital coupons can now optionally return the value of the naked option (thanks to Peter Caspers).
- ⚡️ Updated Taiwan holidays for 2019 (thanks to Hank Liu).
- ➕ Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
- ⚡️ Updated Japan calendar (thanks to Eisuke Tani).
- 🛠 Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
- ➕ Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
- ➕ Added French calendar (thanks to GitHub user NJeanray).
- ➕ Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
- 👍 Allow the stub date of a schedule to equal the maturity.
🗄 Deprecated features
- 🗄 Deprecated a constructor of the
SwaptionVolatilityMatrixclass that didn't take a calendar.
- ✂ Removed typedefs
InverseNonCentralChiSquareDistribution, deprecated in version 1.12. Use
- ✂ Removed
Actual365NoLeapclass, deprecated in version 1.11. It was folded into
- Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.