QuantLib v1.20 Release Notes
Release Date: 2020-10-26 // over 4 years ago-
๐ 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
- ๐ 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.
- ๐ It is now possible to opt into using
std::tuple
instead ofboost::tuple
when the compiler allows it. The default is still to use the Boost implementation. The feature can be enabled by uncommenting theQL_USE_STD_TUPLE
macro inql/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
- โ Added mixing-factor parameter to Heston finite-differences barrier, rebate and double-barrier engines (thanks to Jack Gillett).
- โ Added a few additional results to Black swaption engine and to analytic European option engine (thanks to Peter Caspers and Marcin Rybacki).
- ๐ Improved calculation of spot date for vanilla swap around holidays (thanks to Paul Giltinan).
- โ Added ex-coupon feature to amortizing bonds, callable bonds and convertible bonds.
- โ Added optional first-coupon day counter to fixed-rate bonds (thanks to Jacob Lee-Howes).
Math
- โ Added convenience classes
LogCubic
andLogMixedLinearCubic
hiding a few default parameters (thanks to Andrea Maffezzoli).
Models
- โ Added control variate based on asymptotic expansion for the Heston model (thanks to Klaus Spanderen).
Date/time
- โ Added missing Hong Kong holiday (thanks to GitHub user
CarrieMY
). - โ Added a couple of one-off closing days to the Romanian calendar.
- โ Added a one-off holiday to South Korean calendar (thanks to GitHub user
fayce66
). - โ Added a missing holiday to Turkish calendar (thanks to Berat Postalcioglu).
๐ Documentation
- โ Added basic documentation to optimization methods (thanks to GitHub user
martinbrose
).
๐ Deprecated features
- ๐ Features deprecate in version 1.16 were removed: a constructor of the
FdmOrnsteinUhlenbeckOp
class and a constructor of theSwaptionVolatilityMatrix
class.
Previous changes from v1.19
-
๐ 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
- ๐ 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).
๐ Build
- ๐ 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
- โ Added options for iterative bootstrap to widen the search domain or to keep the best result upon failure (thanks to Francis Duffy).
- โ Added flat-extrapolation option to fitted bond curves (thanks to Peter Caspers).
Instruments
- โ Added finite-difference pricing engine for equity options under the Cox-Ingersoll-Ross process (thanks to Lew Wei Hao).
- โ Added Heston engine based on exponentially-fitted Laguerre quadrature rule (thanks to Klaus Spanderen).
- โ Added Monte Carlo pricing engines for lookback options (thanks to Lew Wei Hao).
- โ Added Monte Carlo pricing engine for double-barrier options (thanks to Lew Wei Hao).
- โ 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
- ๐ Improved grid scaling for FDM Heston SLV calibration, and fixed drift and diffusion for Heston SLV process (thanks to Klaus Spanderen and Peter Caspers).
- โ Added mixing factor to Heston SLV process (thanks to Lew Wei Hao).
Math
- ๐ Improved nodes/weights for the exponentially fitted Laguerre quadrature rule and added sine and cosine quadratures (thanks to Klaus Spanderen).
Date/time
- ๐ Improved performance of the Calendar class (thanks to Leonardo Arcari).
- โก๏ธ Updated holidays for Indian and Russian calendars (thanks to Alexey Indiryakov).
- โ Added missing All Souls Day holiday to Mexican calendar (thanks to GitHub user
phil-zxx
for the heads-up). - โช Restored New Year's Eve holiday to Eurex calendar (thanks to Joshua Engelman).
๐ Deprecated features
- ๐ 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.
- ๐ The constructor of
BMAIndex
taking a calendar was deprecated. - ๐ The constructors of several interest-rate term structures taking jumps without a reference date were deprecated.
- ๐ The
CurveDependentStepCondition
class and related typedefs were deprecated. - ๐ The constructor of
BlackCalibrationHelper
taking an interest-rate structure was deprecated. - ๐ The constructors of several inflation curves taking a nominal curve were deprecated. The nominal curve should now be passed to the used coupon pricers.