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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.