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 Peter Caspers). 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. Indexes ------- - Added Tona (Tokyo overnight average) index (thanks to Jonghee Lee). - Added static `laggedFixing` method to `CPI` structure which provides interpolation of inflation index fixings. Cash flows ---------- - The `CPICoupon` and `CPICashFlow` classes now take into account the correct dates and observation lag for interpolation. 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 Ralf Konrad). - Fixed `TreeSwaptionEngine` mispricing when adjusting the instrument schedule to a near exercise date (thanks to Ralf Konrad). - the `ForwardRateAgreement` class now works correctly without an explicit discount curve. Term structures --------------- - Dates explixitly passed to `InterpolatedZeroInflationCurve` are no longer adjusted automatically to the beginning of their inflation period. 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 Matthias Groncki, Jonathan Sweemer and Li Zhong for smaller fixes, enhancements and bug reports.

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 Jonathan 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 Jonathan Sweemer). Cashflows --------- - Fixed the accrual calculation in overnight-indexed coupons (thanks to Mohammad Shojatalab). - 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. 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 implemented. Year-on-year inflation indexes and curves are not affected. 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 Lew Wei Hao). - The `ForwardRateAgreement` no longer inherits from `Forward`. This also made it possible to implement the `amount` method returning the expected cash settlement (thanks to Lew Wei Hao). 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 Magnus Mencke). Term structures --------------- - It is now possible to use normal volatilities in SABR smile sections, and thus in the `SwaptionVolCube1` class (thanks to Lew Wei Hao). Date/time --------- - Added Chinese holidays for 2022 (thanks to Cheng Li). Currencies ---------- - Added a number of African, American, Asian and European currencies from Quaternion's `QuantExt` project (thanks to Ole Bueker). 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. - Renamed `WulinYongDoubleBarrierEngine` to `SuoWangDoubleBarrierEngine` (thanks to Adityakumar Sinha for the fix and Ruilong Xu 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 Tom Anderson, Francois Botha, Matthew Kolbe, Benson Luk, Marcin Rybacki, Henning Segger, Klaus Spanderen, and GitHub users @jxcv0 and @azsrz for smaller fixes, enhancements and bug reports.

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 Philip Kovacs). 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 Ralf Konrad for the fix and to GitHub user @aichao for the analysis). See <lballabio#930> for details. - A new `RiskyBondEngine` is available for bonds (thanks to Lew Wei Hao). 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 Peter Caspers). 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 Pandey). - Added new `ThirdWednesdayInclusive` date-generation rule that also adjusts start and end dates (thanks to Lew Wei Hao). Patterns -------- - Overhauled `Singleton` implementation (thanks to Peter Caspers). 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 Mohammad Shojatalab). 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 Philip Kovacs). - Deprecated the `conversionType` and `baseCurrency` static data members of `Money`, now moved to a new `Money::Settings` singleton (thanks to Philip Kovacs). - 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 Mickael Anas Laaouini, Jack Gillett, Bojan Nikolic and Klaus Spanderen for smaller fixes, enhancements and bug reports.

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.

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.

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.

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.

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.

Changes for QuantLib 1.18: ========================== QuantLib 1.18 includes 34 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/14?closed=1>. Portability ----------- - As announced in the past release, support of Visual C++ 2010 is dropped. Also, we'll probably deprecate Visual C++ 2012 in the next release in order to drop it around the end of 2020. Build ----- - Cmake now installs headers with the correct folder hierarchy (thanks to Cheng Li). - The `--enable-unity-build` flag passed to configure now also causes the test suite to be built as a single source file. - The Visual Studio projects now allow enabling unity builds as described at <https://devblogs.microsoft.com/cppblog/support-for-unity-jumbo-files-in-visual-studio-2017-15-8-experimental/> Term structures --------------- - A new `GlobalBootstrap` class can now be used with `PiecewiseYieldCurve` and other bootstrapped curves (thanks to Peter Caspers). It allows to produce curves close to Bloomberg's. - The experimental `SofrFutureRateHelper` class and its parent `OvernightIndexFutureRateHelper` can now choose to use either compounding or averaging, in order to accommodate different conventions for 1M and 3M SOFR futures (thanks to GitHub user `tani3010`). - The `FraRateHelper` class has new constructors that take IMM start / end offsets (thanks to Peter Caspers). - It is now possible to pass explicit minimum and maximum values to the `IterativeBootstrap` class. The accuracy parameter was also moved to the same class; passing it to the curve constructor is now deprecated. Instruments ----------- - It is now possible to build fixed-rate bonds with an arbitrary schedule, even without a regular tenor (thanks to Steven Van Haren). Models ------ - It is now possible to use normal volatilities to calibrate a short-rate model over caps. Date/time --------- - The Austrian calendar was added (thanks to Benjamin Schwendinger). - The German calendar incorrectly listed December 31st as a holiday; this is now fixed (thanks to Prasad Somwanshi). - Chinese holidays were updated for 2020 and the coronavirus event (thanks to Cheng Li). - South Korea holidays were updated for 2016-2020 (thanks to GitHub user `fayce66`). - In the calendar class, `holidayList` is now an instance method; the static version is deprecated. The `businessDayList` method was also added. (Thanks to Piotr Siejda.) - A bug in the 30/360 German day counter was fixed (thanks to Kobe Young for the heads-up). Optimizers ---------- - The differential evolution optimizer was updated (thanks to Peter Caspers). Currencies ---------- - Added Kazakstani Tenge to currencies (thanks to Jonathan Barber). Deprecated features ------------------- - Features deprecate in version 1.14 were removed: one of the constructors of the `BSMOperator` class, the whole `OperatorFactory` class, and the typedef `CalibrationHelper` which was used to alias the `BlackCalibrationHelper` class. - The `CalibrationHelperBase` class is now called `CalibrationHelper`. The old name remains as a typedef but is deprecated. - The overload of `CalibratedModel::calibrate` and `CalibratedModel::value` taking a vector of `BlackCalibrationHelper`s are deprecated in favor of the ones taking a vector of `CalibrationHelper`s. - The static method `Calendar::holidayList` is deprecated in favor of the instance method by the same name. - The constructors of `PiecewiseDefaultCurve` and `PiecewiseYieldCurve` taking an accuracy parameter are deprecated in favor of passing the parameter to an instance of the bootstrap class. - The constructors of `BondHelper` and derived classes taking a boolean flag to choose between clean and dirty price are deprecated in favor of the ones taking a `Bond::Price::Type` argument. The `useCleanPrice` method is also deprecated in favor of `priceType`. Thanks go also to Ralf Konrad, Klaus Spanderen, Carlos Fidel Selva Ochoa, F. Eugene Aumson and Francois Botha for smaller fixes, enhancements, and bug reports.

Changes for QuantLib 1.17: ========================== QuantLib 1.17 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/13?closed=1>. Portability ----------- - As of this release, support of Visual C++ 2010 is deprecated; it will be dropped in next release. Also, we'll probably deprecate Visual C++ 2012 in one of the next few releases in order to drop it around the end of 2020. Configuration ------------- - A new function `compiledBoostVersion()` is available, (thanks to Andrew Smith). It returns the version of Boost used to compile the library, as reported by the `BOOST_VERSION` macro. This can help avoid linking the library with user code compiled with a different Boost version (which can result in erratic behavior). - It is now possible to specify at run time whether to use indexed coupons (thanks to Ralf Konrad). The compile-time configuration is still used as a default, but it is also possible to call either of the static methods `IborCoupon::createAtParCoupons` or `IborCoupon::createIndexedCoupons` to specify your preference. For the time being, the methods above must necessarily be called before creating any instance of `IborCoupon` or of its derived classes. Build ----- - As of this version, the names of the binaries produced by the included Visual C++ solution no longer contain the toolset version (e.g., v142). Instruments ----------- - Added ex-coupon functionality to floating-rate bonds (thanks to Steven Van Haren). - The inner structure `Callability::Price` was moved to the class `Bond` and can now be used to specify what kind of price was passed to the `BondFunctions::yield` method (thanks to Francois Botha). - It is now possible to use a par-coupon approximation for FRAs like the one used in Ibor coupons (thanks to Peter Caspers). Pricing engines --------------- - Added escrowed dividend model to the new-style FD engine for `DividendVanillaOption` (thanks to Klaus Spanderen). - Black cap/floor engine now also returns caplet deltas (thanks to Wojciech Slusarski). Term structures --------------- - OIS rate helpers can now choose whether to use as a pillar for the bootstrap either their maturity date or the end date of the last underlying fixing. This provides an alternative if the bootstrap should fail. (Thanks to Drew Saunders for the heads-up.) - Instances of the `FittedBondDiscountCurve` class now behave as simple evaluators (that is, they use the given paramters without performing root-solving) when the `maxIterations` parameter is set to 0. (Thanks to Nick Firoozye for the heads-up.) Date/time --------- - Added a few special closing days to the US government bond calendar (thanks to Mike DelMedico). - Fixed an incorrect 2019 holiday in Chinese calendar (thanks to Cheng Li). - Added missing holiday to Swedish calendar (thanks to GitHub users `periculus` and `tonyzhipengzhou`). Deprecated features ------------------- - The classes `FDEuropeanEngine`, `FDAmericanEngine`, `FDBermudanEngine`, `FDDividendEuropeanEngine`, `FDDividendEuropeanEngineShiftScale`, `FDDividendAmericanEngine`, `FDDividendAmericanEngineShiftScale` are now deprecated. They are superseded by `FdBlackScholesVanillaEngine`. Thanks go also to Joel King, Kai Striega, Francis Duffy, Tom Anderson and GitHub user `lab4quant` for smaller fixes, enhancements, and bug reports.