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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.