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@lballabio lballabio released this 20 Jul 08:18
· 3824 commits to master since this release
QuantLib-v1.19
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lballabio Luigi Ballabio
GPG key ID: C9D60370281D63FA
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Learn about vigilant mode.
c2c14e4
This commit was signed with the committer’s verified signature. The key has expired.
lballabio Luigi Ballabio
GPG key ID: C9D60370281D63FA
Expired
Learn about vigilant mode.

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.
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