1.27.1

Downloads:

• QuantLib-1.27.1.tar.gz
• QuantLib-1.27.1.zip

Changes for QuantLib 1.27.1:

QuantLib 1.27.1 is a bug-fix release.

It restores the old implementation of Null<T> which was replaced
in version 1.27 with a new one; the latter was reported to cause
an internal compiler error under Visual C++ 2022 for some client code.
The new version (which avoids some problems when replacing Real
with some AAD-enabled types) is still available; depending on how
you compile QuantLib, it can be enabled through the
--enable-null-as-functions configure flag, the cmake variable
QL_NULL_AS_FUNCTIONS, or the define with the same name in the
ql/userconfig.hpp header (@lballabio).

Full Changelog: QuantLib-v1.27...QuantLib-v1.27.1

1.27

Downloads:

• QuantLib-1.27.tar.gz
• QuantLib-1.27.zip

Changes for QuantLib 1.27:

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.

Portability

• Removed support: as announced in the notes for the previous release, support for Visual Studio 2013 was dropped.
• End of support: as announced in the notes for the previous release, this release will be the last to avoid C++14 syntax. Allowing the newer (but still oldish) standard should still support most compilers released in the past several years.
• Future end of support: this release and the next will be the last to manage thread-local singletons via a user-provided sessionId function. Future releases will use the built-in language support for thread-local variables.
• The 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.
• The test suite is now built using the header-only version of Boost.Test, thanks to Jonathan Sweemer (@sweemer). This might simplify Boost installation for some users, since in the default configuration QuantLib now only needs the Boost headers.
• Replaced some Boost facilities with the corresponding C++11 counterparts; thanks to Klaus Spanderen (@klausspanderen) and Jonathan Sweemer (@sweemer).

Date/time

• Fixed the behavior of a couple of Australian holidays; thanks to Pradeep Krishnamurthy (@pradkrish) and Fredrik Gerdin Börjesson (@gbfredrik).

Instruments

• Added the Turnbull-Wakeman engine for discrete Asian options; thanks to Fredrik Gerdin Börjesson (@gbfredrik) for the main engine code and to Jack Gillett (@jackgillett101) for the Greeks.
• Added more validation to barrier options; thanks to Jonathan Sweemer (@sweemer).

Models

• Fixed the start date of the underlying swap in swaption calibration helpers; thanks to Peter Caspers (@pcaspers).
• Fixed parameter checks in SVI volatility smiles; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

Patterns

• Avoid possible iterator invalidation while notifying observers; thanks to Klaus Spanderen (@klausspanderen).

Deprecated features

• Removed the --enable-disposable and --enable-std-unique-ptr
  configure switches.
• Removed features deprecated in version 1.22 (@lballabio):
  • the unused AmericanCondition and FDAmericanCondition classes;
  • the old-style FD shout and dividend shout engines;
  • the unused OneFactorOperator class;
  • the io::to_integer function;
  • the ArrayProxy and MatrixProxy classes.
• Deprecated the QL_NOEXCEPT and QL_CONSTEXPR macros.
• Deprecated the QL_NULL_INTEGER and QL_NULL_REAL macros.
• Deprecated some unused parts of the old-style FD framework (@lballabio):
  • the PdeShortRate class;
  • the ShoutCondition and FDShoutCondition classes;
  • the FDDividendEngineBase, FDDividendEngineMerton73, FDDividendEngineShiftScale and FDDividendEngine classes;
  • the FDStepConditionEngine and FDEngineAdapter classes.
• Deprecated a number of function objects in the ql/math/functional.hpp header.
• Deprecated the unused MultiCurveSensitivities class.
• Deprecated the unused inner_product function.

Thanks go also to Ryan Russell (@ryanrussell) for documentation fixes.

New Contributors

• @gbfredrik made their first contribution in #1351
• @pradkrish made their first contribution in #1374
• @ryanrussell made their first contribution in #1395
• @xcelerit-dev made their first contribution in #1400
• @lotzej made their first contribution in #1401

Full Changelog: QuantLib-v1.26...QuantLib-v1.27

1.26

Downloads:

• QuantLib-1.26.tar.gz
• QuantLib-1.26.zip

Changes for QuantLib 1.26:

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.

Portability

• End of support: as announced in the notes for the previous release, this release is the last to support Visual Studio 2013.
• End of support: this release is the last to support the long-deprecated configure switches --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.
• Future end of support: this release and the next will be the last to avoid C++14 syntax. This should still support most compilers released in the past several years (except for Visual Studio 2013, which we're already dropping in this release).
• If tagged libraries are specified, as is the default on Windows, CMake now gives the built libraries the same names as the Visual Studio solution (for instance, QuantLib-x64-mt-s instead of QuantLib-mt-s-x64) so that the pragma in ql/auto_link.hpp works.
• QuantLib can now also be built as a subproject in a larger CMake build (thanks to @pcaspers).

Date/time

• When printed, 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).

Indexes

• Added Tona (Tokyo overnight average) index (thanks to @nistick21).
• Added static laggedFixing method to CPI structure which provides interpolation of inflation index fixings (@lballabio).

Cash flows

• The CPICoupon and CPICashFlow classes now take into account the correct dates and observation lag for interpolation (@lballabio).

Instruments

• Added a BondForward class that generalizes the existing FixedRateBondForward to any kind of bond (thanks to @marcin-rybacki).
• Avoided unexpected jumps in callable bond OAS (thanks to @ralfkonrad).
• Fixed TreeSwaptionEngine mispricing when adjusting the instrument schedule to a near exercise date (thanks to @ralfkonrad).
• the ForwardRateAgreement class now works correctly without an explicit discount curve (@lballabio).

Term structures

• Dates explixitly passed to InterpolatedZeroInflationCurve are no longer adjusted automatically to the beginning of their inflation period (@lballabio).

Deprecated features

• Removed the MCDiscreteAveragingAsianEngine class, deprecated in version 1.21.
• Deprecated the LsmBasisSystem::PolynomType typedef, now renamed to PolynomialType; MakeMCAmericanEngine::withPolynomOrder was also deprecated and renamed to withPolynomialOrder.
• Deprecated the ZeroInflationCashFlow constructor taking an unused calendar and business-day convention.
• Deprecated the 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.
• Deprecated the CPICashFlow constructor taking a precalculated fixing date and a frequency.
• Deprecated the Observer::set_type and Observable::set_type typedefs.
• Deprecated the unused Curve class.
• Deprecated the unused LexicographicalView class.
• Deprecated the unused Composite class.
• Deprecated the unused DriftTermStructure class.

Thanks go also to @mgroncki, @sweemer and @FloridSleeves for smaller fixes, enhancements and bug reports.

New Contributors

• @FloridSleeves made their first contribution in #1295
• @nistick21 made their first contribution in #1302

Full Changelog: QuantLib-v1.25...QuantLib-v1.26

1.25

Downloads:

• QuantLib-1.25.tar.gz
• QuantLib-1.25.zip

Changes for QuantLib 1.25:

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.

Portability

• End of support: this release and the next will be the last two to support Visual Studio 2013.
• Added a few CMake presets for building the library (thanks to @sweemer).
• When built and installed through CMake, the library now installs a QuantLibConfig.cmake file that allows other CMake projects to find and use QuantLib (thanks to @sweemer).

Cashflows

• Fixed the accrual calculation in overnight-indexed coupons (thanks to @mshojatalab).
• Fixed fixing-days usage in SubPeriodsCoupon class (thanks to @marcin-rybacki).
• IBOR coupons fixed in the past no longer need a forecast curve to return their amount (@lballabio).

Indexes

• Important change: inflation indexes inherited from the 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 interpolated. Year-on-year inflation indexes and curves are not affected (@lballabio).

Instruments

• Breaking change: convertible bonds were moved out of the 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).
• The 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.

Models

• Fixed formula for discount bond option in CIR++ model (thanks to @mmencke).

Term structures

• It is now possible to use normal volatilities in SABR smile sections, and thus in the SwaptionVolCube1 class (thanks to @w31ha0).

Date/time

• Added Chinese holidays for 2022 (thanks to @wegamekinglc).

Currencies

• Added a number of African, American, Asian and European currencies from Quaternion's QuantExt project (thanks to @OleBueker).

Experimental folder

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.

• Added experimental rate helpers for LIBOR-LIBOR and Overnight-LIBOR basis swaps (@lballabio).
• Renamed WulinYongDoubleBarrierEngine to SuoWangDoubleBarrierEngine (thanks to @aditya113141 for the fix and @xuruilong100 for the heads-up).

Deprecated features

• Deprecated the constructors of zero-coupon inflation term structures taking an indexIsInterpolated boolean argument.
• Deprecated a number of methods in the ForwardRateAgreement class that used to be inherited from Forward.
• Deprecated a couple of constructors in the SofrFutureRateHelper class.
• Deprecated the WulinYongDoubleBarrierEngine alias for SuoWangDoubleBarrierEngine.
• Deprecated the protected 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.

New Contributors

• @sweemer made their first contribution in #1209
• @azsrz made their first contribution in #1242
• @jxcv0 made their first contribution in #1248
• @matthewkolbe made their first contribution in #1254
• @OleBueker made their first contribution in #1262
• @hsegger made their first contribution in #1280
• @aditya113141 made their first contribution in #1279

1.24

Downloads

• QuantLib-1.24.tar.gz
• QuantLib-1.24.zip

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 @pkovacs). 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 @ralfkonrad for the fix and to @aichao for the analysis). See #930 for details.
• A new 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.

Cashflows

• The choice between par and indexed coupons was moved to 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.

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-pandey1).
• Added new ThirdWednesdayInclusive date-generation rule that also adjusts start and end dates (thanks to @w31ha0).

Patterns

• Overhauled 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.

Test suite

• Sped up some of the longer-running tests (thanks to @mshojatalab).

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 @pkovacs).
• Deprecated the conversionType and baseCurrency static data members of Money, now moved to a new Money::Settings singleton (thanks to @pkovacs).
• 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 @lballabio, @laaouini, @jackgillett101, @bnalgo and @klausspanderen for smaller fixes, enhancements and bug reports.

New Contributors

• @laaouini made their first contribution in #1162
• @anubhav-pandey1 made their first contribution in #1155
• @pkovacs made their first contribution in #1183
• @mshojatalab made their first contribution in #1202

1.23

Downloads:

QuantLib-1.23.tar.gz
QuantLib-1.23.zip

Changes for QuantLib 1.23:

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.

Portability

• On Mac OS, the -std=c++11 flag is now added automatically when needed. This applies to both configure and cmake (thanks to Leander Schulten).
• We now assume that the compiler supports Boost::uBLAS and no longer check for it in configure. (The check was originally introduced for versions of gcc before 4.x, which don't support C++ anyway.) Please let us know if this causes problems on some systems.
• The Period, InterestRate and InterestRateIndex classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).

Cashflows

• Year-on-year and CPI legs are now set a default coupon pricer. In most cases, this removes the need for setting it explicitly.
• Add new ZeroInflationCashFlow class, used in zero-coupon inflation swaps (thanks to Ralf Konrad).

Currencies

• Added custom constructor that allows to create bespoke currencies not already included in the library (thanks to Marcin Rybacki).

Date/time

• Fixed implementation of U.S. 30/360 convention (the old one is still available as 30/360 NASD).
• The 30/360 ISDA convention can now take the termination date as a constructor argument and use it to adjust the calculation properly.
• Added the 30/360 ISMA convention; the Bond-Basis convention is now an alias to the former.
• The 30/360 German convention was renamed to ISDA; "German" remains as an alias.
• Added new Canadian holiday (National Day for Truth and Reconciliation) established in 2021 (thanks to GitHub user qiubill for the heads-up).
• Added new U.S. holiday (Juneteenth) established in 2021.
• Added new Platinum Jubilee U.K. holiday for 2022 (thanks to Ioannis Rigopoulos for the heads-up.)
• Added missing Christmas Eve holiday to Norwegian calendar (thanks to Prince Nanda).

Indexes

• Added ESTR index (thanks to Magnus Mencke).

Instruments

• Added zero-coupon swap (thanks to Marcin Rybacki).
• The Type enumeration defined in several swap classes was moved to their base Swap class.
• Fixed sign of theta in experimental Kirk engine for spread options (thanks to Xu Ruilong for the heads-up).

Processes

• Improved discretization of Cox-Ingersoll-Ross process to avoid occasional divergence (thanks to Magnus Mencke).

Deprecated features

• Deprecated default constructor for actual/actual and 30/360 day counters; the desired convention should now be passed explicitly.
• Removed features deprecated in version 1.18: the 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.

1.22

Downloads:

QuantLib-1.22.tar.gz
QuantLib-1.22.zip

Changes for QuantLib 1.22:

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.

Portability

• As previously announced, this release drops support for Visual C++ 2012. VC++ 2013 or later is now required.
• The Date and Array classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).

Language standard

• QuantLib now uses the C++11 standard and no longer compiles in C++03 mode. As before, it can be compiled with later versions of the standard. For details on the C++11 features used, see the pull requests marked "C++11 modernization" at the above link; for information on possible problems, see https://www.implementingquantlib.com/2021/02/leaving-03-for-real.html.

Cashflows

• Revised and tested the SubPeriodCoupon class (thanks to Marcin Rybacki). The class was moved out of the ql/experimental folder and its interface can now be considered stable.
• Add simple averaging to overnight-index coupons in addition to the existing compound averaging (thanks to Marcin Rybacki).
• Fixed accrual calculation for inflation coupon when trading ex-coupon (thanks to GitHub user bachhani).

Currencies

• Added the Nigerian Naira (thanks to Bryte Morio).

Date/time

• Fixed actual/actual (ISMA) day counter calculation for long/short final periods (thanks to Francois Botha).
• Updated a couple of changed rules for New Zealand calendar (thanks to Paul Giltinan).

Indexes

• Added hasHistoricalFixing inspector to Index class to check if the fixing for a given past date is available (thanks to Ralf Konrad).

Instruments

• Added new-style finite-difference engine for shout options (thanks to Klaus Spanderen). In the case of dividend shout options, an escrowed dividend model is used.
• Revised the OvernightIndexFutures class. The class was moved out of the ql/experimental folder and its interface can now be considered stable.
• Added an overloaded constructor for Asian options that takes all past fixings and thus allows to reprice them correctly when the evaluation date changes (thanks to Jack Gillett).
• Added support for seasoned geometric Asian options to the Heston engine (thanks to Jack Gillett).

Patterns

• Faster implementation of the Observable class in the thread-safe case (thanks to Klaus Spanderen).

Term structures

• Added experimental rate helper for constant-notional cross-currency basis swaps (thanks to Marcin Rybacki).
• Added volatility type and displacements to year-on-year inflation volatility surfaces (thanks to Peter Caspers).

Deprecated features

• Removed features deprecated in version 1.17: the 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.
• Deprecated the old-style finite difference engines for shout options; they are now replaced by the new FDDividendShoutEngine class.
• Deprecated a few unused parts of the old-style finite-differences framework: the AmericanCondition class, the OneFactorOperator typedef, and the FDAmericanCondition class.

Test suite

• Reduced the run time for the longest-running test cases.

Thanks go also to Francis Duffy and Cay Oest for smaller fixes, enhancements and bug reports.

1.21

Downloads:

QuantLib-1.21.tar.gz

QuantLib-1.21.zip

Changes for QuantLib 1.21:

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.

Portability

• As previously announced, this is the last release to support Visual C++ 2012. Starting from next release, VC++ 2013 or later will be required in order to enable use of C++11 features.

Instruments

• Improve date generation for CDS schedules under the post-big-bang rules (thanks to Francis Duffy).
• Amortizing fixed-rate bonds can now use a generic InterestRate object (thanks to Piter Dias).
• Added Monte Carlo pricer for discrete-average arithmetic Asian options under the Heston model (thanks to Jack Gillett).
• Added analytic and Monte Carlo pricers for discrete-average geometric Asian options under the Heston model (thanks to Jack Gillett). Together, they can also be used as a control variate in Monte Carlo models for arithmetic Asian options.
• Added analytic pricer for continuous-average geometric Asian options under the Heston model (thanks to Jack Gillett).
• Added analytic pricer for forward options under the Heston model (thanks to Jack Gillett).
• Added Monte Carlo pricers for forward options under the Black-Scholes and the Heston models (thanks to Jack Gillett).

Term structures

• Added Dutch regulatory term structure, a.k.a. ultimate forward term structure (thanks to Marcin Rybacki).
• Generalized exponential spline fitting to an arbitrary number of parameters; it is now also possible to fix kappa (thanks to David Sansom).
• Fixed averaging period for 1-month SOFR futures rate helper (thanks to Eisuke Tani).

Date/time

• Fixed a bug and added 2017 holidays in Thailand calendar (thanks to GitHub user phil-zxx for the heads-up).
• Updated Chinese calendar for 2021 (thanks to Cheng Li).
• Updated Japanese calendar for 2021 (thanks to Eisuke Tani).

Thanks go also to Francois Botha, Peter Caspers, Ralf Konrad, Matthias Siemering, Klaus Spanderen and Joseph Wang for smaller fixes, enhancements and bug reports.

1.20

Changes for QuantLib 1.20:

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.

Portability

• Support for Visual C++ 2012 is being deprecated. It will be dropped after the next release in order to enable use of C++11 features.
• It is now possible to opt into using 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.)

Instruments

• Added mixing-factor parameter to Heston finite-differences barrier, rebate and double-barrier engines (thanks to Jack Gillett).
• Added a few additional results to Black swaption engine and to analytic European option engine (thanks to Peter Caspers and Marcin Rybacki).
• Improved calculation of spot date for vanilla swap around holidays (thanks to Paul Giltinan).
• Added ex-coupon feature to amortizing bonds, callable bonds and convertible bonds.
• Added optional first-coupon day counter to fixed-rate bonds (thanks to Jacob Lee-Howes).

Math

• Added convenience classes LogCubic and LogMixedLinearCubic hiding a few default parameters (thanks to Andrea Maffezzoli).

Models

• Added control variate based on asymptotic expansion for the Heston model (thanks to Klaus Spanderen).

Date/time

• Added missing Hong Kong holiday (thanks to GitHub user CarrieMY).
• Added a couple of one-off closing days to the Romanian calendar.
• Added a one-off holiday to South Korean calendar (thanks to GitHub user fayce66).
• Added a missing holiday to Turkish calendar (thanks to Berat Postalcioglu).

Documentation

• Added basic documentation to optimization methods (thanks to GitHub user martinbrose).

Deprecated features

• Features deprecate in version 1.16 were removed: a constructor of the FdmOrnsteinUhlenbeckOp class and a constructor of the SwaptionVolatilityMatrix class.

1.19

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.