All Versions
12
Latest Version
Avg Release Cycle
88 days
Latest Release
1275 days ago
Changelog History
Page 2
Changelog History
Page 2
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v1.11 Changes
March 01, 2018๐ Changes for QuantLib 1.11:
๐ QuantLib 1.11 includes 47 pull requests and fixed issues 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/6?closed=1.
Portability
- ๐ This is the last version of QuantLib to support the now obsolete Dev-C++ IDE with a maintained project file. The project will be removed in next release.
Instruments and pricing engines
- โ Added ISDA pricing engine for credit default swaps (thanks to Guillaume Horel, Jose Aparicio and Peter Caspers).
- โ Added Andersen-Piterbarg engine for the Heston model (thanks to Klaus Spanderen).
- ๐ Improved experimental vanna-volga engine for double-barrier knock-in options (thanks to Giorgio Pazmandi).
- โ Added theta calculation to experimental Kirk spread-option engine (thanks to Krzysztof Wos).
Cash flows
- โ Added optional payment lag to fixed, floating and OIS legs (thanks to Fabrice Lecuyer and Joseph Jeisman).
- ๐ Fixed yield calculation with 30/360 US day count convention and settlement on the 31st of the month (thanks to Frank Xue).
Models
- โ Added adaptive successive over-relaxation method for implied volatility calculation (thanks to Klaus Spanderen).
Indexes
- ๐ Fixed day-count convention and spot lag for CAD LIBOR (thanks to Oleg Kulkov).
Term structures
- โก๏ธ Optionally optimize setting up OIS helpers (thanks to Peter Caspers).
Date/time
- โ Added Actual/365 Canadian day count convention (thanks to Andrea Maggiulli).
Math
- โ Added GMRES iterative solver for large linear systems (thanks to Klaus Spanderen).
- โก๏ธ Updated Hong Kong calendar up to 2020 (thanks to Nicholas Bertocchi and Alix Lassauzet).
๐ Build
- โ Added configure switch to enable unity build.
โ Test suite
- โ Added
--fast
and--faster
flags to the test-suite executable. When passed, slower tests are discarded so that the test suite runs in just a few minutes.
๐ Deprecated features
- โ Remove the
HestonExpansionEngine::numberOfEvaluations
method (deprecated in version 1.9). - โ Remove the
MixedLinearCubicInterpolation
andMixedLinearCubic
constructors not specifying the behavior of the mixed interpolation (deprecated in version 1.8). - โ Remove deprecated overloads of the
Swaption::impliedVolatility
andCapFloor::impliedVolatility
methods (deprecated in version 1.9). - โ Remove
NoArbSabrModel::checkAbsorptionMatrix
method (deprecated in version 1.8.1).
-
v1.10.1 Changes
March 01, 2018๐ Changes for QuantLib 1.10.1:
๐ QuantLib 1.10.1 is a bug-fix release for version 1.10.
- ๐ Prevented a name clash when using the newly-released Boost 1.65.0 with g++ 6.3.
- โ Added a few missing function declarations in the SwaptionVolatilityStructure class (thanks to Peter Caspers).