QuantLib v1.16 Release Notes
Release Date: 2019-08-05 // over 4 years ago-
๐ 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.
Portability
- โ Added support for Visual Studio 2019 (thanks to Paul Giltinan).
๐ง Configuration
- ๐ As announced in past release, the compile-time switch to force non-negative rates was removed.
Pricing engines
- โ Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
- โ 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).
Date/time
- โก๏ธ Updated Taiwan holidays for 2019 (thanks to Hank Liu).
- โ Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
- โก๏ธ Updated Japan calendar (thanks to Eisuke Tani).
- ๐ Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
- โ Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
- โ Added French calendar (thanks to GitHub user NJeanray).
- โ Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
- ๐ Allow the stub date of a schedule to equal the maturity.
๐ Deprecated features
- ๐ Deprecated a constructor of the
SwaptionVolatilityMatrix
class that didn't take a calendar. - โ Removed typedefs
GammaDistribution
,ChiSquareDistribution
,NonCentralChiSquareDistribution
andInverseNonCentralChiSquareDistribution
, deprecated in version 1.12. UseCumulativeGammaDistribution
,CumulativeChiSquareDistribution
,NonCentralCumulativeChiSquareDistribution
andInverseNonCentralCumulativeChiSquareDistribution
instead. - โ Removed
Actual365NoLeap
class, deprecated in version 1.11. It was folded intoActual365Fixed
.
Term structures
- Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.