1.43

Downloads:

• QuantLib-1.43.tar.gz
• QuantLib-1.43.zip

Changes for QuantLib 1.43

Features deprecated in release 1.38 were removed in this release; see #2539 for a full list.

A number of features were deprecated in this release and will be removed in a future release (probably release 1.48):

• The AsIndex element of the CPI::InterpolationType enumeration; use either Linear or Flat.
• The YoYInflationIndex::interpolated method and the corresponding interpolated_ data member; indexes no longer interpolate, coupons do.
• The Settlement element of the Israel::Market enumeration; use an explicit market (TASE, Shir or Telbor).
• Test selection based on speed (that is, passing --slow, --fast or --faster to the test suite) is no longer supported.

What's Changed

• Set version to 1.43-dev by @lballabio-bot in #2538
• Remove features deprecated in version 1.38 by @lballabio in #2539
• Add fuzzing harness for Black formula by @DavidKorczynski in #2523
• Fix const-correctness of element access in Matrix class by @jewonj0620 in #2527
• Deprecated obsolete bits of interpolation code in year-on-year inflation indexes by @lballabio in #2541
• Add support and CI build for Visual Studio 2026 by @lballabio in #2542
• Add ZARONIA (South African Rand Overnight Index Average) by @igitur in #2537
• Cache invariants in ImpliedTermStructure by @eltoder in #2533
• Update generated headers by @lballabio-bot in #2549
• Add FlatExtrapolator wrapper for 1-D interpolations by @gjunjie in #2540
• Update old license links by @github-actions[bot] in #2548
• Update copyright list in license by @github-actions[bot] in #2547
• Automated fixes by clang-tidy by @lballabio-bot in #2551
• Avoid repeated calls to Interpolation::update() by @eltoder in #2513
• Pass allowExtrapolation=true to mixed-interpolation derivative() by @eltoder in #2550
• Deprecate selection of test cases via speed by @lballabio in #2552
• Prevent using non-default boost::optional with Boost 1.91 or later by @lballabio in #2560
• Make performCalculations methods protected on some curves by @eltoder in #2554
• Add missing <vector> include in blackvoltimeextrapolation.hpp by @Krish0909 in #2558
• Remove unused yearFractionGuess by @eltoder in #2559
• Improve CompoundingOvernightIndexedCouponPricer::compute calculation by @sdacek in #2556
• Add additional harnesses to be consumed by OSS-Fuzz by @DavidKorczynski in #2562
• Modernize small C++ constructs in selected files by @jewonj0620 in #2561
• Add term structure to G2 processes by @gjunjie in #2555
• Automated fixes by clang-tidy by @lballabio-bot in #2567
• Avoid dangling references in FdmCEVOp and TrBDF2Scheme classes by @quantales in #2568
• Add some calendars, currencies, and the NOK NIBOR index by @ArsenP0doba in #2564
• Update generated headers by @lballabio-bot in #2573
• Update copyright list in license by @github-actions[bot] in #2572
• Update old license links by @github-actions[bot] in #2571
• Add PearsonSpreadEngine for spread option pricing by @quantales in #2569
• Add smileSection(...) methods to BlackVolTermStructure by @quantales in #2487
• Use Real instead of double in CompoundingOvernightIndexedCouponPricer lambda by @auto-differentiation-dev in #2577
• Add const-notional cross-currency swaps by @paolodelia99 in #2248
• Review default arguments in cross-currency swap constructors by @lballabio in #2588
• Add SmileSectionRNDCalculator for smile-implied marginals by @quantales in #2580
• Override atmLevel(Time) on Heston and Andreasen-Huge vol surfaces by @quantales in #2581
• Use make_unique for unique_ptr construction by @jewonj0620 in #2579
• Allow MakeCapFloor to calculate ATM level when using the Bachelier engine by @Croudxd in #2582
• Fix incorrect 10-year label in BasketLosses example by @Croudxd in #2584
• Fix inclusions of ql headers in double quotes by @lballabio-bot in #2594
• Use make_shared in indexes by @jewonj0620 in #2590
• Rename a couple of inspectors in the cross-currency swap engine by @lballabio in #2595
• Fix error message in yield term structure by @jewonj0620 in #2593
• Update Hull/White's r0 when the underlying term structure is relinked by @jewonj0620 in #2592
• A few fixes for AD type compatibility by @auto-differentiation-dev in #2596
• Add 2025 South Korea temporary holiday by @jewonj0620 in #2598
• Fix Vasicek zero-reversion limit by @jewonj0620 in #2599
• Fix out-of-bounds write in FastFourierTransform constructor for order=0 by @metsw24-max in #2597
• Added India (NSE) clearing holidays for 2026 by @Pratzz1202 in #2586
• Fix IrrFinder::derivative() returning modified duration instead of dP/dy by @Croudxd in #2589
• Fix out-of-bounds read in discrete integrals on degenerate grids by @metsw24-max in #2604
• Fix fair-rate calculation for FX forward by @jewonj0620 in #2601
• Use make_shared in day counters by @jewonj0620 in #2607
• Fix out-of-bounds read in Akima cubic interpolation with 3 points by @metsw24-max in #2603
• Replace Boost macros that might not work with AAD types by @lballabio-bot in #2609
• Fix out-of-bounds read in mixed interpolation switch point by @metsw24-max in #2605
• Added asymmetric payment frequency support for cross-currency basis swap rate helpers by @justinli500 in #2528
• Automated fixes by clang-tidy by @lballabio-bot in #2585
• Use make_shared in cap/floor volatilities and null calendar by @jewonj0620 in #2610
• Discount FX-forward NPV to reference date by @jewonj0620 in #2606
• Derive MakeVanillaSwap spot date on the index fixing calendar by @Lawson-Darrow in #2611
• Add warning to RelativeDateBootstrapHelper documentation by @MrC-D3 in #2614
• Fix excessive branching in trinomial tree by @pandashark in #2615
• Use Real-compatible types so AAD builds compile (FX forward engine, variance surface test) by @auto-differentiation-dev in #2616
• Remove redundant calls to interpolation.update() by @eltoder in #2618
• New TELBOR case for Israel calendar; update weekdays for TASE by @sebastienbou in #2613
• Avoid constexpr Real so AAD builds compile by @auto-differentiation-dev in #2620
• Add GaussianCopulaSpreadEngine for spread option pricing by @quantales in #2621
• Fix AAD build of GaussianCopulaSpreadEngine by @auto-differentiation-dev in #2623
• Allow passing a coupon pricer to SwapRateHelper by @prathmesh-sananse in #2626
• Added virtual inheritance and prevent performance issue for DefaultLossModel class. by @MrC-D3 in #2625
• Reorder Israel calendar enumeration for backward compatibility by @lballabio in #2627
• Add optional rounding precision to OvernightIndexedCoupon and OvernightLeg by @dishadugad16 in #2624
• Use make_shared in volatility-related code by @jewonj0620 in #2619
• Replace Boost macros that might not work with AAD types by @lballabio-bot in #2629
• Add Shir overnight index for ILS by @Pratzz1202 in #2628
• Update copyright list in license by @github-actions[bot] in #2630
• Make a few inspectors public in GeneralizedHullWhite by @lballabio in #2634
• Bump actions/checkout from 6 to 7 by @dependabot[bot] in #2639
• Document the current management of bonds with face value other than 100 by @sharmaahetal in #2637
• Introduce CashFlow::isCoupon() and coupon_cast to replace dynamic casts by @pcaspers in #2638
• Add L-BFGS-B limited-memory bound-constrained optimizer by @colalb1 in #2635
• Update copyright list in license by @github-actions[bot] in #2640
• Automated fixes by clang-tidy by @lballabio-bot in #2641
• Automated fixes by clang-tidy by @lballabio-bot in #2645
• Set version to 1.43-rc by @lballabio-bot in #2646
• Make L-BFGS-B compatible with expression-template Real types by @auto-differentiation-dev in #2647
• Set version to 1.43 final by @lballabio-bot in #2657

New Contributors

• @jewonj0620 made their first contribution in #2527
• @gjunjie made their first contribution in #2540
• @Krish0909 made their first contribution in #2558
• @ArsenP0doba made their first contribution in #2564
• @Croudxd made their first contribution in #2582
• @metsw24-max made their first contribution in #2597
• @Pratzz1202 made their first contribution in #2586
• @justinli500 made their first contribution in #2528
• @Lawson-Darrow made their first contribution in #2611
• @MrC-D3 made their first contribution in #2614
• @sebastienbou made their first contribution in #2613
• @prathmesh-sananse made their first contribution in #2626
• @dishadugad16 made their first contribution in #2624
• @sharmaahetal made their first contribution in #2637
• @colalb1 made their first contribution in #2635

Full Changelog: v1.42.1...v1.43