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.