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QuantLib v1.17 Release Notes

Release Date: 2019-12-03 // over 4 years ago

  • 🔄 Changes for QuantLib 1.17:

    QuantLib 1.17 includes 30 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/13?closed=1.

    Portability

    • 🚀 As of this release, support of Visual C++ 2010 is deprecated; it will be dropped in next release. Also, we'll probably deprecate Visual C++ 2012 in one of the next few releases in order to drop it around the end of 2020.

    🔧 Configuration

    • A new function compiledBoostVersion() is available, (thanks to Andrew Smith). It returns the version of Boost used to compile the library, as reported by the BOOST_VERSION macro. This can help avoid linking the library with user code compiled with a different Boost version (which can result in erratic behavior).
    • 🔧 It is now possible to specify at run time whether to use indexed coupons (thanks to Ralf Konrad). The compile-time configuration is still used as a default, but it is also possible to call either of the static methods IborCoupon::createAtParCoupons or IborCoupon::createIndexedCoupons to specify your preference. For the time being, the methods above must necessarily be called before creating any instance of IborCoupon or of its derived classes.

    🏗 Build

    • As of this version, the names of the binaries produced by the included Visual C++ solution no longer contain the toolset version (e.g., v142).

    Instruments

    • ➕ Added ex-coupon functionality to floating-rate bonds (thanks to Steven Van Haren).
    • 🚚 The inner structure Callability::Price was moved to the class Bond and can now be used to specify what kind of price was passed to the BondFunctions::yield method (thanks to Francois Botha).
    • It is now possible to use a par-coupon approximation for FRAs like the one used in Ibor coupons (thanks to Peter Caspers).

    Pricing engines

    • ➕ Added escrowed dividend model to the new-style FD engine for DividendVanillaOption (thanks to Klaus Spanderen).
    • Black cap/floor engine now also returns caplet deltas (thanks to Wojciech Slusarski).

    Term structures

    • OIS rate helpers can now choose whether to use as a pillar for the bootstrap either their maturity date or the end date of the last underlying fixing. This provides an alternative if the bootstrap should fail. (Thanks to Drew Saunders for the heads-up.)
    • Instances of the FittedBondDiscountCurve class now behave as simple evaluators (that is, they use the given paramters without performing root-solving) when the maxIterations parameter is set to 0. (Thanks to Nick Firoozye for the heads-up.)

    Date/time

    • ➕ Added a few special closing days to the US government bond calendar (thanks to Mike DelMedico).
    • 🛠 Fixed an incorrect 2019 holiday in Chinese calendar (thanks to Cheng Li).
    • ➕ Added missing holiday to Swedish calendar (thanks to GitHub users periculus and tonyzhipengzhou).

    🗄 Deprecated features

    • 🗄 The classes FDEuropeanEngine, FDAmericanEngine, FDBermudanEngine, FDDividendEuropeanEngine, FDDividendEuropeanEngineShiftScale, FDDividendAmericanEngine, FDDividendAmericanEngineShiftScale are now deprecated. They are superseded by FdBlackScholesVanillaEngine.

    🛠 Thanks go also to Joel King, Kai Striega, Francis Duffy, Tom Anderson and GitHub user lab4quant for smaller fixes, enhancements, and bug reports.