The QuantLib C++ library
QuantLib 1.27 includes 37 pull requests from several contributors.
Some of 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/23?closed=1.
sessionId function. Future releases will use the built-in language support for thread-local variables.Real type is now used consistently throughout the codebase, thanks to the Xcelerit dev team (@xcelerit-dev). This, along with other changes, allows its default definition to double to be replaced with one of the available third-party AAD types.--enable-disposable and --enable-std-unique-ptr
configure switches.AmericanCondition and FDAmericanCondition classes;OneFactorOperator class;io::to_integer function;ArrayProxy and MatrixProxy classes.QL_NOEXCEPT and QL_CONSTEXPR macros.QL_NULL_INTEGER and QL_NULL_REAL macros.PdeShortRate class;ShoutCondition and FDShoutCondition classes;FDDividendEngineBase, FDDividendEngineMerton73, FDDividendEngineShiftScale and FDDividendEngine classes;FDStepConditionEngine and FDEngineAdapter classes.ql/math/functional.hpp header.MultiCurveSensitivities class.inner_product function.Thanks go also to Ryan Russell (@ryanrussell) for documentation fixes.
Full Changelog: https://github.com/lballabio/QuantLib/compare/QuantLib-v1.26...QuantLib-v1.27
QuantLib 1.26 includes 26 pull requests from several contributors.
Some of 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/22?closed=1.
--enable-disposable and --enable-std-unique-ptr. From the next release, Disposable will always be disabled (and eventually removed) and std::unique_ptr will always be used instead of std::auto_ptr. This has already been the default in the last few releases.QuantLib-x64-mt-s instead of QuantLib-mt-s-x64) so that the pragma in ql/auto_link.hpp works.Period instances now display transparently what their units and length are, instead of doing more fancy formatting (e.g., "16 months" is now displayed instead of "1 year 4 months"). Also, Period instances that compare as equal now return the same period from their normalize method (@lballabio).laggedFixing method to CPI structure which provides interpolation of inflation index fixings (@lballabio).CPICoupon and CPICashFlow classes now take into account the correct dates and observation lag for interpolation (@lballabio).BondForward class that generalizes the existing FixedRateBondForward to any kind of bond (thanks to @marcin-rybacki).TreeSwaptionEngine mispricing when adjusting the instrument schedule to a near exercise date (thanks to @ralfkonrad).ForwardRateAgreement class now works correctly without an explicit discount curve (@lballabio).InterpolatedZeroInflationCurve are no longer adjusted automatically to the beginning of their inflation period (@lballabio).MCDiscreteAveragingAsianEngine class, deprecated in version 1.21.LsmBasisSystem::PolynomType typedef, now renamed to PolynomialType; MakeMCAmericanEngine::withPolynomOrder was also deprecated and renamed to withPolynomialOrder.ZeroInflationCashFlow constructor taking an unused calendar and business-day convention.CPICoupon constructor taking a number of fixing days, as well as the CPICoupon::indexObservation, CPICoupon::adjustedFixing and CPICoupon::indexFixing methods and the CPILeg::withFixingDays method.CPICashFlow constructor taking a precalculated fixing date and a frequency.Observer::set_type and Observable::set_type typedefs.Curve class.LexicographicalView class.Composite class.DriftTermStructure class.Thanks go also to @mgroncki, @sweemer and @FloridSleeves for smaller fixes, enhancements and bug reports.
Full Changelog: https://github.com/lballabio/QuantLib/compare/QuantLib-v1.25...QuantLib-v1.26
QuantLib 1.25 includes 35 pull requests from several contributors.
Some of 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/21?closed=1.
QuantLibConfig.cmake file that allows other CMake projects to find and use QuantLib (thanks to @sweemer).SubPeriodsCoupon class (thanks to @marcin-rybacki).ZeroInflationIndex class no longer rely on their forecast curve for interpolation. For coupons that already took care of interpolation (as in the case of CPICoupon and ZeroInflationCashFlow) this should not change the results. In other cases, figures will change but should be more correct as the interpolation is now performed according to market conventions. Also, most inflation curves now assume that the index is not implemented. Year-on-year inflation indexes and curves are not affected (@lballabio).ql/experimental folder. Also, being market values and not part of the contract, dividends and credit spread were moved from the bond to the BinomialConvertibleEngine class (thanks to @w31ha0).ForwardRateAgreement no longer inherits from Forward. This also made it possible to implement the amount method returning the expected cash settlement (thanks to @w31ha0). The methods from Forward were kept available but deprecated so code using them won't break. Client code might break if it performed casts to Forward.SwaptionVolCube1 class (thanks to @w31ha0).QuantExt project (thanks to @OleBueker).The ql/experimental folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases.
WulinYongDoubleBarrierEngine to SuoWangDoubleBarrierEngine (thanks to @aditya113141 for the fix and @xuruilong100 for the heads-up).indexIsInterpolated boolean argument.ForwardRateAgreement class that used to be inherited from Forward.SofrFutureRateHelper class.WulinYongDoubleBarrierEngine alias for SuoWangDoubleBarrierEngine.spreadLegValue_ data member in the BlackIborCouponPricer class.Thanks go also to @tomwhoiscontrary, @igitur, @matthewkolbe, @bensonluk, @hsegger, @klausspanderen, @jxcv0 and @azsrz for smaller fixes, enhancements and bug reports.
QuantLib 1.24 includes 25 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/20?closed=1.
cmake invocation and adds the required Boost libraries accordingly.RiskyBondEngine is available for bonds (thanks to @w31ha0). It prices bonds based on a risk-free discount cure and a default-probability curve used to assess the probability of each coupon payment. It makes accessible to all bonds the calculations previously available in the experimental RiskyBond class.IborCouponPricer (thanks to @pcaspers). This also made it possible to override the choice locally when building a VanillaSwap or a SwapRateHelper, so that coupons with both behaviors can now be used at the same time.ThirdWednesdayInclusive date-generation rule that also adjusts start and end dates (thanks to @w31ha0).Singleton implementation (thanks to @pcaspers). Singletons are now initialized in a thread-safe way when sessions are enabled, global singletons (that is, independent of sessions) were made available, and static initialization was made safer.nominalTermStructure method and the corresponding data member in inflation term structures. Any object needing the nominal term structure should have it passed explicitly.termStructure_ data member in BlackCalibrationHelper. It you're inheriting from BlackCalibrationHelper and need it, declare it in your derived class.createAtParCoupons, createIndexedCoupons and usingAtParCoupons methods of IborCoupon, now moved to a new IborCoupon::Settings singleton (thanks to @pkovacs).conversionType and baseCurrency static data members of Money, now moved to a new Money::Settings singleton (thanks to @pkovacs).BMAIndex constructor taking a calendar, the AmericanCondition and ShoutCondition constructors taking an option type and strike, the CurveDependentStepCondition class and the StandardCurveDependentStepCondition typedef, the BlackCalibrationHelper constructor taking a yield term structure, the various inflation term structure constructors taking a yield term structure, the various yield term constructors taking a vector of jumps but not specifying a reference date.Thanks go also to @lballabio, @laaouini, @jackgillett101, @bnalgo and @klausspanderen for smaller fixes, enhancements and bug reports.
QuantLib-1.23.tar.gz QuantLib-1.23.zip
QuantLib 1.23 includes 30 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/19?closed=1.
-std=c++11 flag is now added automatically when needed. This applies to both configure and cmake (thanks to Leander Schulten).Period, InterestRate and InterestRateIndex classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).ZeroInflationCashFlow class, used in zero-coupon inflation swaps (thanks to Ralf Konrad).qiubill for the heads-up).Type enumeration defined in several swap classes was moved to their base Swap class.CalibrationHelperBase typedef (now CalibrationHelper), some overloads of the CalibratedModel::calibrate and CalibratedModel::value methods, the constructors of PiecewiseYieldCurve and PiecewiseDefaultCurve taking an accuracy parameter, the constructors of BondHelper, FixedRateBondHelper and CPIBondHelper taking a boolean useCleanPrice parameter, the BondHelper::useCleanPrice() method, and the non-static Calendar::holidayList method.Thanks go also to Francis Duffy, Kevin Kirchhoff, Magnus Mencke and Klaus Spanderen for smaller fixes, enhancements and bug reports.
QuantLib-1.22.tar.gz QuantLib-1.22.zip
QuantLib 1.22 includes 54 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/18?closed=1.
Date and Array classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).SubPeriodCoupon class (thanks to Marcin Rybacki). The class was moved out of the ql/experimental folder and its interface can now be considered stable.bachhani).hasHistoricalFixing inspector to Index class to check if the fixing for a given past date is available (thanks to Ralf Konrad).OvernightIndexFutures class. The class was moved out of the ql/experimental folder and its interface can now be considered stable.Observable class in the thread-safe case (thanks to Klaus Spanderen).Callability::Type typedef (now Bond::Price), the FdmOrnsteinUhlenbackOp typedef (now correctly spelled as FdmOrnsteinUhlenbeckOp, and a number of old-style finite-difference engines (FDAmericanEngine, FDBermudanEngine, FDDividendAmericanEngine and its variants, FDDividendEuropeanEngine and its variants, and FDEuropeanEngine) all replaced by the FdBlackScholesVanillaEngine class.FDDividendShoutEngine class.AmericanCondition class, the OneFactorOperator typedef, and the FDAmericanCondition class.Thanks go also to Francis Duffy and Cay Oest for smaller fixes, enhancements and bug reports.
QuantLib 1.21 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/17?closed=1.
InterestRate object (thanks to Piter Dias).phil-zxx for the heads-up).Thanks go also to Francois Botha, Peter Caspers, Ralf Konrad, Matthias Siemering, Klaus Spanderen and Joseph Wang for smaller fixes, enhancements and bug reports.
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.
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.)LogCubic and LogMixedLinearCubic hiding a few default parameters (thanks to Andrea Maffezzoli).CarrieMY).fayce66).martinbrose).FdmOrnsteinUhlenbeckOp class and a constructor of the SwaptionVolatilityMatrix class.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.
UnitedMarsupials for the heads-up).Bond::yield method can now specify a guess and whether the passed price is clean or dirty (thanks to Francois Botha).phil-zxx for the heads-up).BMAIndex taking a calendar was deprecated.CurveDependentStepCondition class and related typedefs were deprecated.BlackCalibrationHelper taking an interest-rate structure was deprecated.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.
--enable-unity-build flag passed to configure now also causes the test suite to be built as a single source file.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.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).FraRateHelper class has new constructors that take IMM start / end offsets (thanks to Peter Caspers).IterativeBootstrap class. The accuracy parameter was also moved to the same class; passing it to the curve constructor is now deprecated.fayce66).holidayList is now an instance method; the static version is deprecated. The businessDayList method was also added. (Thanks to Piotr Siejda.)BSMOperator class, the whole OperatorFactory class, and the typedef CalibrationHelper which was used to alias the BlackCalibrationHelper class.CalibrationHelperBase class is now called CalibrationHelper. The old name remains as a typedef but is deprecated.CalibratedModel::calibrate and CalibratedModel::value taking a vector of BlackCalibrationHelpers are deprecated in favor of the ones taking a vector of CalibrationHelpers.Calendar::holidayList is deprecated in favor of the instance method by the same name.PiecewiseDefaultCurve and PiecewiseYieldCurve taking an accuracy parameter are deprecated in favor of passing the parameter to an instance of the bootstrap class.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.