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Changes for QuantLib 1.24:

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.

Portability

  • Overhauled the CMake build system (thanks to Philip Kovacs). Among other things, it now allows to specify the available configuration options from the cmake invocation and adds the required Boost libraries accordingly.

Instruments

  • Avoid callable-bond mispricing when a call date is close but not equal to a coupon date (thanks to Ralf Konrad for the fix and to GitHub user @aichao for the analysis). See lballabio#930 for details.

  • A new RiskyBondEngine is available for bonds (thanks to Lew Wei Hao). 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.

Cashflows

  • The choice between par and indexed coupons was moved to IborCouponPricer (thanks to Peter Caspers). 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.

Term structures

  • Cross-currency basis swap rate helpers now support both constant-notional and marked-to-market swaps (thanks to Marcin Rybacki).

Date/time

  • Added Chilean calendar (thanks to Anubhav Pandey).

  • Added new ThirdWednesdayInclusive date-generation rule that also adjusts start and end dates (thanks to Lew Wei Hao).

Patterns

  • Overhauled Singleton implementation (thanks to Peter Caspers). 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.

Test suite

  • Sped up some of the longer-running tests (thanks to Mohammad Shojatalab).

Deprecated features

  • Deprecated default constructor for the U.S. calendar; the desired market should now be passed explicitly.

  • Deprecated the nominalTermStructure method and the corresponding data member in inflation term structures. Any object needing the nominal term structure should have it passed explicitly.

  • Deprecated the termStructure_ data member in BlackCalibrationHelper. It you're inheriting from BlackCalibrationHelper and need it, declare it in your derived class.

  • Deprecated the createAtParCoupons, createIndexedCoupons and usingAtParCoupons methods of IborCoupon, now moved to a new IborCoupon::Settings singleton (thanks to Philip Kovacs).

  • Deprecated the conversionType and baseCurrency static data members of Money, now moved to a new Money::Settings singleton (thanks to Philip Kovacs).

  • Removed features deprecated in version 1.19: the 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 Mickael Anas Laaouini, Jack Gillett, Bojan Nikolic and Klaus Spanderen for smaller fixes, enhancements and bug reports.