Changes for QuantLib 1.16:
QuantLib 1.16 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/12?closed=1.
- Added support for Visual Studio 2019 (thanks to Paul Giltinan).
- As announced in past release, the compile-time switch to force non-negative rates was removed.
- Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
- Added quanto pricing functionality to a couple of FD engines for
DividendVanillaOption(thanks to Klaus Spanderen).
- Digital coupons can now optionally return the value of the naked option (thanks to Peter Caspers).
- Updated Taiwan holidays for 2019 (thanks to Hank Liu).
- Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
- Updated Japan calendar (thanks to Eisuke Tani).
- Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
- Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
- Added French calendar (thanks to GitHub user NJeanray).
- Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
- Allow the stub date of a schedule to equal the maturity.
- Deprecated a constructor of the
SwaptionVolatilityMatrixclass that didn't take a calendar.
- Removed typedefs
InverseNonCentralChiSquareDistribution, deprecated in version 1.12. Use
Actual365NoLeapclass, deprecated in version 1.11. It was folded into
- Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.