1.33
Downloads:
Changes for QuantLib 1.33:
QuantLib 1.33 includes 43 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/31?closed=1.
Portability
- Future end of support: as announced in release 1.32, we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about nine months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
- Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use
boost::tuple
,boost::function
andboost::bind
instead of theirstd
counterparts; thestd
classes are already the default since release 1.32. - Added CMake presets for Apple; thanks to Christian Köhnenkamp (@kohnech).
Dates and calendars
- Added New Year's Eve as a holiday to the Chilean calendar; thanks to GitHub user @MoixaStrikes.
- Added Black Awareness Day as a holiday to the Brazilian calendar starting from 2024; thanks to GitHub user @PaulXiCao.
- Added Inauguration Day as a holiday to the Mexican calendar starting from 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc).
- Updated list of known ECB dates; thanks to GitHub user @PaulXiCao.
- Added Thailandese and Taiwanese holidays up to 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Added a one-time holiday to the South African calendar; thanks to Francois Botha (@igitur).
Models
- Added support for angled contour shift integrals to Heston model; thanks to Klaus Spanderen (@klausspanderen).
Instruments
- Allow different calendars and frequencies for different legs in
MakeOIS
andOISRateHelper
; thanks to Eugene Toder (@eltoder). - Enabled negative payment lag in swap legs; thanks to GitHub user @Stoozy.
Random numbers
- Added Burley 2020 scrambled Sobol sequence generator; thanks to Peter Caspers (@pcaspers).
Tests
- Use automated registration of unit tests; thanks to Siddharth Mehrotra (@Sidsky).
- Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp).
- Improved test coverage for a few classes; thanks to GitHub user @PaulXiCao.
Deprecated features
- Removed features deprecated in version 1.28:
- The overload of
CallableBond::impliedVolatility
taking an NPV as target. - The constructor of
AmortizingFixedRateBond
taking a sinking frequency. - The constructor of
AmortizingFixedRateBond
taking a vector ofInterestRate
instances. - The constructor of
FixedRateBond
taking start date, maturity date etc. instead of a schedule. - The constructor of
FixedRateBond
taking a vector ofInterestRate
instances. - The constructor of
FloatingRateBond
taking start date, maturity date etc. instead of a schedule. - The constructor of
CPICapFloor
taking a handle to an interest-rate index. - The
CPICapFloor::inflationIndex
method. - The
infIndex
data member of theCPICapFloor::arguments
class. - A redundant constructor of
SabrSmileSection
. - The empty headers
ql/experimental/amortizingbonds/amortizingcmsratebond.hpp
,ql/experimental/amortizingbonds/amortizingfixedratebond.hpp
andql/experimental/amortizingbonds/amortizingfloatingratebond.hpp
.
- The overload of
- Deprecated the constructor of
Currency
andCurrency::Data
taking a format string, and theCurrency::format
method.
Thanks go also to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116), Jonathan Sweemer (@sweemer) and the XAD team (@auto-differentiation-dev) for smaller fixes and improvements.
New Contributors
- @Stoozy made their first contribution in #1818
- @silvergasp made their first contribution in #1807
- @PaulXiCao made their first contribution in #1825
- @Sidsky made their first contribution in #1811
- @hgv79116 made their first contribution in #1858
- @yjian012 made their first contribution in #1876
- @MoixaStrikes made their first contribution in #1846
Full Changelog: v1.32...v1.33