QuantLib v1.18 Release NotesRelease Date: 2020-03-23 // about 1 year ago
🔄 Changes for QuantLib 1.18:
QuantLib 1.18 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/14?closed=1.
- 🚀 As announced in the past release, support of Visual C++ 2010 is dropped. Also, we'll probably deprecate Visual C++ 2012 in the next release in order to drop it around the end of 2020.
- Cmake now installs headers with the correct folder hierarchy (thanks to Cheng Li).
- 🏗 The
--enable-unity-buildflag passed to configure now also causes the test suite to be built as a single source file.
- 🏗 The Visual Studio projects now allow enabling unity builds as described at https://devblogs.microsoft.com/cppblog/support-for-unity-jumbo-files-in-visual-studio-2017-15-8-experimental/
- A new
GlobalBootstrapclass can now be used with
PiecewiseYieldCurveand other bootstrapped curves (thanks to Peter Caspers). It allows to produce curves close to Bloomberg's.
- The experimental
SofrFutureRateHelperclass and its parent
OvernightIndexFutureRateHelpercan now choose to use either compounding or averaging, in order to accommodate different conventions for 1M and 3M SOFR futures (thanks to GitHub user
FraRateHelperclass has new constructors that take IMM start / end offsets (thanks to Peter Caspers).
- 🚚 It is now possible to pass explicit minimum and maximum values to the
IterativeBootstrapclass. The accuracy parameter was also moved to the same class; passing it to the curve constructor is now deprecated.
- ⏱ It is now possible to build fixed-rate bonds with an arbitrary schedule, even without a regular tenor (thanks to Steven Van Haren).
- It is now possible to use normal volatilities to calibrate a short-rate model over caps.
- The Austrian calendar was added (thanks to Benjamin Schwendinger).
- 🛠 The German calendar incorrectly listed December 31st as a holiday; this is now fixed (thanks to Prasad Somwanshi).
- ⚡️ Chinese holidays were updated for 2020 and the coronavirus event (thanks to Cheng Li).
- ⚡️ South Korea holidays were updated for 2016-2020 (thanks to GitHub user
- 🗄 In the calendar class,
holidayListis now an instance method; the static version is deprecated. The
businessDayListmethod was also added. (Thanks to Piotr Siejda.)
- 🛠 A bug in the 30/360 German day counter was fixed (thanks to Kobe Young for the heads-up).
- ⚡️ The differential evolution optimizer was updated (thanks to Peter Caspers).
- ➕ Added Kazakstani Tenge to currencies (thanks to Jonathan Barber).
🗄 Deprecated features
- 🔋 Features deprecate in version 1.14 were removed: one of the constructors of the
BSMOperatorclass, the whole
OperatorFactoryclass, and the typedef
CalibrationHelperwhich was used to alias the
- 🗄 The
CalibrationHelperBaseclass is now called
CalibrationHelper. The old name remains as a typedef but is deprecated.
- 🗄 The overload of
CalibratedModel::valuetaking a vector of
BlackCalibrationHelpers are deprecated in favor of the ones taking a vector of
- 🗄 The static method
Calendar::holidayListis deprecated in favor of the instance method by the same name.
- 🗄 The constructors of
PiecewiseYieldCurvetaking an accuracy parameter are deprecated in favor of passing the parameter to an instance of the bootstrap class.
- 🗄 The constructors of
BondHelperand derived classes taking a boolean flag to choose between clean and dirty price are deprecated in favor of the ones taking a
useCleanPricemethod is also deprecated in favor of
🛠 Thanks go also to Ralf Konrad, Klaus Spanderen, Carlos Fidel Selva Ochoa, F. Eugene Aumson and Francois Botha for smaller fixes, enhancements, and bug reports.