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QuantLib v1.18 Release Notes

Release Date: 2020-03-23 // about 4 years 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.

    Portability

    • 🚀 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.

    🏗 Build

    Term structures

    • A new GlobalBootstrap class can now be used with PiecewiseYieldCurve and other bootstrapped curves (thanks to Peter Caspers). It allows to produce curves close to Bloomberg's.
    • The experimental SofrFutureRateHelper class and its parent OvernightIndexFutureRateHelper can now choose to use either compounding or averaging, in order to accommodate different conventions for 1M and 3M SOFR futures (thanks to GitHub user tani3010).
    • The FraRateHelper class 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 IterativeBootstrap class. The accuracy parameter was also moved to the same class; passing it to the curve constructor is now deprecated.

    Instruments

    • ⏱ It is now possible to build fixed-rate bonds with an arbitrary schedule, even without a regular tenor (thanks to Steven Van Haren).

    Models

    • It is now possible to use normal volatilities to calibrate a short-rate model over caps.

    Date/time

    • 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 fayce66).
    • 🗄 In the calendar class, holidayList is now an instance method; the static version is deprecated. The businessDayList method 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).

    ⚡️ Optimizers

    • ⚡️ The differential evolution optimizer was updated (thanks to Peter Caspers).

    Currencies

    • ➕ 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 BSMOperator class, the whole OperatorFactory class, and the typedef CalibrationHelper which was used to alias the BlackCalibrationHelper class.
    • 🗄 The CalibrationHelperBase class is now called CalibrationHelper. The old name remains as a typedef but is deprecated.
    • 🗄 The overload of CalibratedModel::calibrate and CalibratedModel::value taking a vector of BlackCalibrationHelpers are deprecated in favor of the ones taking a vector of CalibrationHelpers.
    • 🗄 The static method Calendar::holidayList is deprecated in favor of the instance method by the same name.
    • 🗄 The constructors of PiecewiseDefaultCurve and PiecewiseYieldCurve taking an accuracy parameter are deprecated in favor of passing the parameter to an instance of the bootstrap class.
    • 🗄 The constructors of BondHelper and derived classes taking a boolean flag to choose between clean and dirty price are deprecated in favor of the ones taking a Bond::Price::Type argument. The useCleanPrice method is also deprecated in favor of priceType.

    🛠 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.