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@lballabio lballabio released this 18 Jul 12:39
· 1303 commits to master since this release
v1.31
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lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.
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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 1.31:

QuantLib 1.31 includes a record 68 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/28?closed=1.

Portability

  • Future end of support: as announced in the notes for the previous release, after this release using std::tuple, std::function and std::bind (instead of their boost counterparts) will become the default. If you're using ext::tuple etc. in your code (which is suggested), this should be a transparent change. If not, you'll still be able to choose the boost versions via a configure switch for a while; but we do suggest you start using ext::tuple etc. in the meantime.
  • The cmake build now creates (but doesn't install) a quantlib-config script that can be used to retrieve flags for compiling QuantLib-dependent projects; thanks to Christian Köhnenkamp (@kohnech).
  • A number of Boost classes and functions only used internally were replaced by their standard-library equivalent; thanks to Jonathan Sweemer (@sweemer).

Patterns

  • Optional change of behavior: by default, the LazyObject class forwards only one notification after recalculating and silently ignores the others. In some edge cases, this could lead to objects not being updated. It's now possible to enable a different behavior where all notifications are forwarded; the new behavior can be chosen at compile time via the configure option --disable-faster-lazy-objects (or disabling QL_FASTER_LAZY_OBJECTS in cmake or userconfig.hpp) or at run time by calling LazyObject::Defaults::instance().alwaysForwardNotifications(). This might cause a slow down, so you're invited to try it out and report on the mailing list. If there are no problems, the new behavior might become the default in future releases. Also, a new configure option --enable-throwing-in-cycles (QL_THROW_IN_CYCLES in cmake or userconfig.hpp) is optionally available; when both this option and the new behavior are enabled, notifications cycles involving a lazy object will throw an exception. It is suggested to try enabling the option and removing such loops, if any. Thanks to Peter Caspers (@pcaspers) for the change and to Ralf Konrad (@ralfkonrad), Jonathan Sweemer (@sweemer) and GitHub user @djkrystul for feedback.

Date/time

  • Change of behavior: when the end-of-month option is true, the constructor of a schedule no longer adjust to the end of their month the effective date and the termination date if they were passed explicitly. Thanks to Hristo Raykov (@HristoRaykov).
  • Added separate US SOFR calendar to manage days that are business days for the US government bond market but in which SOFR doesn't fix; for instance, Good Friday 2023 (@lballabio). Thanks to Tom Anderson (@tomwhoiscontrary) for reporting the issue.
  • Fixed some rolling rules for South Korean calendar; thanks to Jonghee Lee (@nistick21).
  • Fixed incorrect 2023 holidays for Hong Kong calendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • Added Hong Kong holidays for 2021-2024; thanks to Rémy Frèrebeau (@rfrerebe-stx) and Binrui Dong (@BrettDong).
  • Added Singapore holidays for 2019-2023; thanks to Rémy Frèrebeau (@rfrerebe-stx).
  • Added Indian holidays for 2021-2025; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • Added Taiwanese holidays for 2020-2023; thanks to @jsmx.
  • Added a few election days for South African and South Korean calendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • Updated Danish calendar; starting in 2024, General Prayer Day will no longer be a holiday. Thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • Fixed a few holidays in Finland and Singapore calendars; Thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • More day counters (Act/364, Act/365.25, Act/366) now take into account intraday resolution when enabled; thanks to Klaus Spanderen (@klausspanderen).

Cash flows

  • The accrued amount for CPI coupons is now correctly based on the index ratio at settlement date. An inspector for retrieving the index ratio at a given date was also added (@lballabio).
  • Enabled the use of normal volatilities in Hagan pricer for CMS coupons; thanks to Andre Miemiec (@amiemiec).
  • Floating-rate coupons are now lazy; thanks to Peter Caspers (@pcaspers).

Indexes

  • When passed a tenor of 7 or 14 business days, interest-rate indexes would wrongly convert it to 1 or 2 weeks. This is now fixed (@lballabio). Thanks to Eugene Toder (@eltoder) for reporting the issue.
  • Added DESTR and SWESTR indexes; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
  • Added CORRA index; thanks to @AND2797.
  • When an YoY inflation index is calculated as a ratio, the underlying inflation index is available through an inspector and its fixings are used to calculate the fixing of the YoY index (@lballabio).

Instruments

  • Instruments now register automatically with the global evaluation date and are notified when it changes. This makes sense in general (if the evaluation date changes, you probably want to recalculate) and can also help avoid some edge cases when lazy objects only forward their first notification (@lballabio).
  • Allowed passing a schedule without a regular tenor to callable fixed-rate bonds; thanks to Hristo Raykov (@HristoRaykov) for the fix and to @OleBueker for reporting the issue.
  • Reorganized the constructors of FRA instruments; thanks to Jake Heke (@jakeheke75).

Term structures

  • Ensures that upfront CDS helpers update correctly when the global evaluation date changes; thanks to Andrea Pellegatta (@andrea85p) for the fix and to @bkhoor for reporting the issue.
  • Allow more maturities for SOFR quarterly contract in SOFR futures rate helper; thanks to Jake Heke (@jakeheke75).
  • Added constructor for date-dependent strikes to StrippedOptionlet; thanks to Peter Caspers (@pcaspers).

Test suite

  • Global settings (such as the evaluation date) are now restored and index fixings are now cleaned automatically at the end of each test case, making it unnecessary to clean them up manually. Thanks to Eugene Toder (@eltoder).
  • The parallel unit-test runner now passes the --run_test=<filter> option down to the underlying Boost.Test implementation. Thanks to Eugene Toder (@eltoder).

Deprecated features

  • Removed features deprecated in version 1.26:

    • The CPICoupon constructor taking a number of fixing days and its indexObservation, adjustedFixing and indexFixing(date) methods.
    • The CPICashFlow constructor taking a fixing date.
    • The withFixingDays methods of CPILeg.
    • The ZeroInflationCashFlow constructor taking a calendar and business-day convention.
    • The LsmBasisSystem::PolynomType typedef and the MakeMCAmericanEngine::withPolynomOrder method.
    • The Observer::set_type and Observable::set_type typedefs.
    • The Curve class.
    • The LexicographicalView class.
    • The Composite class.
    • The DriftTermStructure class.

  • Deprecated the various time_iterator and value_iterator types in TimeSeries, as well as methods returning them. The more general const_iterator and const_reverse_iterator types can be used instead.

  • Deprecated the constructors of CPICoupon taking a spread, as well as its spread method, its protected spread_ data member, and the withSpreads methods of CPILeg.

  • Deprecated the adjustedFixing method and the protected spread_ data member of CPICouponPricer.

  • Renamed BlackVanillaOptionPricer to MarketQuotedOptionPricer and deprecated the old name.

  • Deprecated a couple of constructors of ForwardRateAgreement.

  • Deprecated the constructor of YoYInflationIndex taking a ratio. Also, deprecated explicit classes for YoY ratio indexes YYGenericCPIr, YYAUCPIr, YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr.

  • Deprecated the base, increment, decrement, advance and distance_to methods of the step_iterator class.

Thanks go also to Jonathan Sweemer (@sweemer), Jose Garcia (@j053g), Jake Heke (@jakeheke75), Eugene Toder (@eltoder), Binrui Dong (@BrettDong), the Xcelerit Dev Team (@xcelerit-dev), Ralf Konrad (@ralfkonrad), Fredrik Gerdin Börjesson (@gbfredrik) and Tom Anderson (@tomwhoiscontrary) for a number of smaller fixes and improvements.

New Contributors

Full Changelog: QuantLib-v1.30...v1.31

Contributors

lballabio, tomwhoiscontrary, and 20 other contributors
Assets 4
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