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@lballabio lballabio released this 24 Apr 08:07
· 459 commits to master since this release
v1.34
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lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.
35fba52
This commit was signed with the committer’s verified signature.
lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.

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Changes for QuantLib 1.34:

QuantLib 1.34 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/32?closed=1.

Portability

  • Future end of support: as announced in release 1.32, we're targeting next 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 six months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base. Also, given the testing environments available on GitHub actions, clang 5 is already no longer available to us for testing, and in a while the same will hold for clang 6 and g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
  • 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 and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
  • Generate and install pkg-config files in CMake builds; thanks to GitHub user @jez6.

Dates and calendars

  • Prevent Calendar::advance from returning the business end of month (instead of the calendar end) when endOfMonth is true and convention is Unadjusted; thanks to GitHub user @DeimosXing.
  • Add good Friday holiday for SOFR fixing; thanks to GitHub user @PaulXiCao.
  • Properly restrict São Paulo city holiday to years before 2022; thanks to Marco Bruno Ferreira Vasconcellos (@marcobfv).
  • Update holidays for 2023 and 2024 in calendars for India, Thailand, Singapore and South Africa; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

Cash flows

  • Fixed a couple of cases in which notifications were not forwarded properly; thanks to GitHub user @djkrystul for the heads-up.
  • Fixed past payment dates and added support for OIS in LinearTsrPricer; thanks to Peter Caspers (@pcaspers).

Instruments

  • Swaptions can now take an OIS as underlying; thanks to Guillaume Horel (@thrasibule) and Peter Caspers (@pcaspers). So far, only BlackSwaptionEngine manages OIS explicitly; other engines might work and return approximated values.
  • More methods in MakeOIS and MakeVanillaSwap; thanks to Eugene Toder (@eltoder).
  • More methods in the BondFunctions class now support either clean or dirty prices; thanks to Francois Botha (@igitur).
  • The basisPointValue and yieldValueBasisPoint methods in BondFunctions didn't always manage the settlement date correctly; this is now fixed (thanks to GitHub user @jez6).
  • Add Custom to Futures::Type enumeration to allow passing custom dates to futures; thanks to Eugene Toder (@eltoder).

Term structures

  • Inflation curves can now be built passing an explicit base date (corresponding to the last published fixing) instead of an observation lag (@lballabio).
  • Fixed calculation of year fraction under Actual/365 Canadian convention in FuturesRateHelper; thanks to GitHub user @PaulXiCao.
  • Fixed settlement date calculation in cross-currency basis-swap rate helpers in some cases; thanks to Marcin Rybacki (@marcin-rybacki) for the fix and to Aleksis Ali Raza for the heads-up.

Math

  • Handle non-equidistant grids and arbitrary dimensions in Laplace interpolation; thanks to Peter Caspers (@pcaspers).

Deprecated features

  • Removed features deprecated in version 1.29:
    • The argument_type, first_argument_type, second_argument_type and result_type typedefs in several classes;
    • The overloads of zero-rate inflation index constructors taking an interpolated argument;
    • The interpolated method and the protected interpolated_ data member in InflationIndex;
    • The overload of CashFlows::npvbps taking the result by reference;
    • The protected rateCurve_ method in InflationCouponPricer;
    • The ThreadKey typedef;
    • The empty header ql/experimental/credit/riskybond.hpp.
  • Deprecated the constructors of InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure, InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag; use the overloads taking an explicit base date instead.
  • Deprecated the Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread overloads taking a clean price as a number; use the overloads taking a Bond::Price instead.
  • Deprecated the InflationTermStructure::setSeasonality overload taking no arguments; use the overload taking a pointer and pass an empty one to remove seasonality.
  • Deprecated the InflationTermStructure::setBaseRate method; set baseRate_ directly if needed.
  • Deprecated the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods; use underlying instead.
  • Deprecated the broken FixedRateBondHelper::fixedRateBond and CPIBondHelper::cpiBond methods and the corresponding fixedRateBond_ and cpiBond_ data members.

Thanks go also to Isuru Fernando (@isuruf), Viktor Zhou (@yyuuhhjjnnmm), Stephen Dacek (@sdacek), Yi Jiang (@yjian012), Jonathan Sweemer (@sweemer), Eugene Toder (@eltoder), the XAD team (@auto-differentiation-dev) and GitHub user @PaulXiCao and @klin333 for miscellaneous fixes, improvements or reports.

New Contributors

Full Changelog: v1.33...v1.34

Contributors

igitur, lballabio, and 17 other contributors
Assets 4
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