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QuantLib v1.20 Release Notes

Release Date: 2020-10-26 // over 3 years ago

  • 🔄 Changes for QuantLib 1.20:

    QuantLib 1.20 includes 24 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/16?closed=1.

    Portability

    • 👌 Support for Visual C++ 2012 is being deprecated. It will be dropped after the next release in order to enable use of C++11 features.
    • 👉 It is now possible to opt into using std::tuple instead of boost::tuple when the compiler allows it. The default is still to use the Boost implementation. The feature can be enabled by uncommenting the QL_USE_STD_TUPLE macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-std-tuple switch to ./configure on other systems. The --enable-std-tuple switch is also implied by --enable-std-classes. (Thanks to Joseph Wang.)

    Instruments

    • ➕ Added mixing-factor parameter to Heston finite-differences barrier, rebate and double-barrier engines (thanks to Jack Gillett).
    • ➕ Added a few additional results to Black swaption engine and to analytic European option engine (thanks to Peter Caspers and Marcin Rybacki).
    • 👌 Improved calculation of spot date for vanilla swap around holidays (thanks to Paul Giltinan).
    • ➕ Added ex-coupon feature to amortizing bonds, callable bonds and convertible bonds.
    • ➕ Added optional first-coupon day counter to fixed-rate bonds (thanks to Jacob Lee-Howes).

    Math

    • ➕ Added convenience classes LogCubic and LogMixedLinearCubic hiding a few default parameters (thanks to Andrea Maffezzoli).

    Models

    • ➕ Added control variate based on asymptotic expansion for the Heston model (thanks to Klaus Spanderen).

    Date/time

    • ➕ Added missing Hong Kong holiday (thanks to GitHub user CarrieMY).
    • ➕ Added a couple of one-off closing days to the Romanian calendar.
    • ➕ Added a one-off holiday to South Korean calendar (thanks to GitHub user fayce66).
    • ➕ Added a missing holiday to Turkish calendar (thanks to Berat Postalcioglu).

    📚 Documentation

    • ➕ Added basic documentation to optimization methods (thanks to GitHub user martinbrose).

    🗄 Deprecated features

    • 🔋 Features deprecate in version 1.16 were removed: a constructor of the FdmOrnsteinUhlenbeckOp class and a constructor of the SwaptionVolatilityMatrix class.

Previous changes from v1.19

  • 🔄 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.

    Portability

    • 👌 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).

    🏗 Build

    • 🏗 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

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

    Instruments

    • ➕ Added finite-difference pricing engine for equity options under the Cox-Ingersoll-Ross process (thanks to Lew Wei Hao).
    • ➕ Added Heston engine based on exponentially-fitted Laguerre quadrature rule (thanks to Klaus Spanderen).
    • ➕ Added Monte Carlo pricing engines for lookback options (thanks to Lew Wei Hao).
    • ➕ Added Monte Carlo pricing engine for double-barrier options (thanks to Lew Wei Hao).
    • ➕ 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).

    Models

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

    Math

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

    Date/time

    • 👌 Improved performance of the Calendar class (thanks to Leonardo Arcari).
    • ⚡️ Updated holidays for Indian and Russian calendars (thanks to Alexey Indiryakov).
    • ➕ Added missing All Souls Day holiday to Mexican calendar (thanks to GitHub user phil-zxx for the heads-up).
    • ⏪ Restored New Year's Eve holiday to Eurex calendar (thanks to Joshua Engelman).

    🗄 Deprecated features

    • 🔋 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.
    • 🗄 The constructor of BMAIndex taking a calendar was deprecated.
    • 🗄 The constructors of several interest-rate term structures taking jumps without a reference date were deprecated.
    • 🗄 The CurveDependentStepCondition class and related typedefs were deprecated.
    • 🗄 The constructor of BlackCalibrationHelper taking an interest-rate structure was deprecated.
    • 🗄 The constructors of several inflation curves taking a nominal curve were deprecated. The nominal curve should now be passed to the used coupon pricers.