QuantLib v1.19 Release Notes

Release Date: 2020-07-20 // over 1 year ago
  • ๐Ÿ”„ Changes for QuantLib 1.19:

    QuantLib 1.19 includes 40 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/15?closed=1.


    • ๐Ÿ‘Œ Support for Visual C++ 2012 is being deprecated. It will be dropped around the end of 2020 or the beginning of 2021 in order to enable use of C++11 features.
    • Avoided use in Makefiles of functions only available to GNU Make (thanks to GitHub user UnitedMarsupials for the heads-up).

    ๐Ÿ— Build

    • ๐Ÿ— Automated builds on Travis and GitHub Actions were extended. We now have a build for Mac OS X, as well as a few builds that run a number of checks on the code (including clang-tidy) and automatically open pull requests with fixes.

    Term structures

    • โž• Added options for iterative bootstrap to widen the search domain or to keep the best result upon failure (thanks to Francis Duffy).
    • โž• Added flat-extrapolation option to fitted bond curves (thanks to Peter Caspers).


    • โž• Added finite-difference pricing engine for equity options under the Cox-Ingersoll-Ross process (thanks to Lew Wei Hao).
    • โž• Added Heston engine based on exponentially-fitted Laguerre quadrature rule (thanks to Klaus Spanderen).
    • โž• Added Monte Carlo pricing engines for lookback options (thanks to Lew Wei Hao).
    • โž• Added Monte Carlo pricing engine for double-barrier options (thanks to Lew Wei Hao).
    • โž• Added analytic pricing engine for equity options under the Vasicek model (thanks to Lew Wei Hao).
    • The Bond::yield method can now specify a guess and whether the passed price is clean or dirty (thanks to Francois Botha).


    • ๐Ÿ‘Œ Improved grid scaling for FDM Heston SLV calibration, and fixed drift and diffusion for Heston SLV process (thanks to Klaus Spanderen and Peter Caspers).
    • โž• Added mixing factor to Heston SLV process (thanks to Lew Wei Hao).


    • ๐Ÿ‘Œ Improved nodes/weights for the exponentially fitted Laguerre quadrature rule and added sine and cosine quadratures (thanks to Klaus Spanderen).


    • ๐Ÿ‘Œ Improved performance of the Calendar class (thanks to Leonardo Arcari).
    • โšก๏ธ Updated holidays for Indian and Russian calendars (thanks to Alexey Indiryakov).
    • โž• Added missing All Souls Day holiday to Mexican calendar (thanks to GitHub user phil-zxx for the heads-up).
    • โช Restored New Year's Eve holiday to Eurex calendar (thanks to Joshua Engelman).

    ๐Ÿ—„ Deprecated features

    • ๐Ÿ”‹ Features deprecate in version 1.15 were removed: constructors of inflation swap helpers, inflation-based pricing engines and inflation coupon pricers that didn't take a nominal term structure.
    • ๐Ÿ—„ The constructor of BMAIndex taking a calendar was deprecated.
    • ๐Ÿ—„ The constructors of several interest-rate term structures taking jumps without a reference date were deprecated.
    • ๐Ÿ—„ The CurveDependentStepCondition class and related typedefs were deprecated.
    • ๐Ÿ—„ The constructor of BlackCalibrationHelper taking an interest-rate structure was deprecated.
    • ๐Ÿ—„ The constructors of several inflation curves taking a nominal curve were deprecated. The nominal curve should now be passed to the used coupon pricers.