1.28

Downloads:

• QuantLib-1.28.tar.gz
• QuantLib-1.28.zip

Changes for QuantLib 1.28:

QuantLib 1.28 includes 33 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/24?closed=1.

Portability

• New language standard: as announced in the notes for the previous release, this release started using some C++14 syntax. This should be supported by most compilers released in the past several years.
• End of support: as announced in the notes for the previous release, this release is the last to manage thread-local singletons via a user-provided sessionId function. Future releases will use the built-in language support for thread-local variables.
• Future end of support: after the next two or three releases, using std::tuple, std::function and std::bind (instead of their boost counterparts) will become the default. If you're using ext::tuple etc. in your code (which is suggested), this should be a transparent change. If not, you'll still be able to choose the boost versions via a configure switch for a while.

Date/time

• Added Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita (@IgnacioAnguita).
• Added H.M. the Queen's funeral to the UK calendars; thanks to Tomass Wilson (@Wilsontomass).

Instruments

• Amortizing bonds were moved out of the experimental folder. Also, a couple of utility functions were provided to calculate amortization schedules and notionals.

Pricing engines

• Fixed results from COSHestonEngine in the case of an option with short time to expiration and deep ITM or deep OTM strike prices; thanks to Ignacio Anguita (@IgnacioAnguita).
• The ISDA engine for CDS could calculate the fair upfront with the wrong sign; this is now fixed, thanks to Gualtiero Chiaia (@gchiaia).

Term structures

• The constructor for OISRateHelper now allows to specify the endOfMonth parameter; thanks to Guillaume Horel (@thrasibule).

Finite differences

• Fixed computation of cds boundaries in LocalVolRNDCalculator; thanks to @mdotlic.

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.

• Breaking change: the constructor of the CPICapFloorTermPriceSurface class now also takes an explicit interpolation type.
• Possibly breaking: the protected constructor for CallableBond changes its arguments. If you inherited from this class, you'll need to update your code. If you're using the existing derived bond classes, the change will be transparent.
• Pricing engines for callable bonds worked incorrectly when the face amount was not 100. This is now fixed.
• The impliedVolatility method for callable bonds was taking a target NPV, not a price. This implementation is now deprecated, and a new overload was added taking a price in base 100.

Deprecated features

• Removed features deprecated in version 1.23:
  • the constructors of ZeroCouponInflationSwap and ZeroCouponInflationSwapHelper missing an explicit CPI interpolation type;
  • the constructors of ActualActual and Thirty360 missing an explicit choice of convention, and the constructor of Thirty360 passing an isLastPeriod boolean flag.
• Deprecated the constructors of FixedRateBond taking an InterestRate instance or not taking a Schedule instance.
• Deprecated the constructor of FloatingRateBond not taking a Schedule instance.
• Deprecated the constructors of AmortizingFixedRateBond taking a sinking frequency or a vector of InterestRate instances.
• Deprecated the constructor of CPICapFloor taking a Handle to an inflation index, and its inflationIndex method returning a Handle. New versions of both were added using shared_ptr instead.
• Deprecated one of the constructors of SabrSmileSection; a new version was added also taking an optional reference date.
• Deprecated the old impliedVolatility method for callable bonds; see above.

Thanks go also to Konstantin Novitsky (@novitk), Peter Caspers (@pcaspers), Klaus Spanderen (@klausspanderen), Fredrik Gerdin Börjesson (@gbfredrik) and Dirk Eddelbuettel (@eddelbuettel) for a number of smaller fixes, and to Jonathan Sweemer (@sweemer) for various improvements to the automated CI builds.

New Contributors

• @novitk made their first contribution in #1448
• @IgnacioAnguita made their first contribution in #1453
• @mdotlic made their first contribution in #1435
• @Wilsontomass made their first contribution in #1481

Full Changelog: QuantLib-v1.27.1...QuantLib-v1.28