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@lballabio lballabio released this 26 Oct 08:10
· 1940 commits to master since this release
QuantLib-v1.20
aee4bf2

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.