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Published by lballabio almost 5 years ago
QuantLib 1.17 includes 30 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/13?closed=1.
compiledBoostVersion()
is available, (thanks to Andrew Smith). It returns the version of Boost used to compile the library, as reported by the BOOST_VERSION
macro. This can help avoid linking the library with user code compiled with a different Boost version (which can result in erratic behavior).IborCoupon::createAtParCoupons
or IborCoupon::createIndexedCoupons
to specify your preference. For the time being, the methods above must necessarily be called before creating any instance of IborCoupon
or of its derived classes.Callability::Price
was moved to the class Bond
and can now be used to specify what kind of price was passed to the BondFunctions::yield
method (thanks to Francois Botha).DividendVanillaOption
(thanks to Klaus Spanderen).FittedBondDiscountCurve
class now behave as simple evaluators (that is, they use the given paramters without performing root-solving) when the maxIterations
parameter is set to 0. (Thanks to Nick Firoozye for the heads-up.)periculus
and tonyzhipengzhou
).FDEuropeanEngine
, FDAmericanEngine
, FDBermudanEngine
, FDDividendEuropeanEngine
, FDDividendEuropeanEngineShiftScale
, FDDividendAmericanEngine
, FDDividendAmericanEngineShiftScale
are now deprecated. They are superseded by FdBlackScholesVanillaEngine
.Thanks go also to Joel King, Kai Striega, Francis Duffy, Tom Anderson and GitHub user lab4quant
for smaller fixes, enhancements, and bug reports.
Published by lballabio about 5 years ago
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.
DividendVanillaOption
(thanks to Klaus Spanderen).SwaptionVolatilityMatrix
class that didn't take a calendar.GammaDistribution
, ChiSquareDistribution
, NonCentralChiSquareDistribution
and InverseNonCentralChiSquareDistribution
, deprecated in version 1.12. Use CumulativeGammaDistribution
, CumulativeChiSquareDistribution
, NonCentralCumulativeChiSquareDistribution
and InverseNonCentralCumulativeChiSquareDistribution
instead.Actual365NoLeap
class, deprecated in version 1.11. It was folded into Actual365Fixed
.Published by lballabio over 5 years ago
QuantLib 1.15 includes 32 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/11?closed=1.
.clang-format
file to the repository. The format is not going to be enforced, but the style file is provided as a convenience in case you want to format new code according to the conventions of the library.boost::function
, boost::bind
and a few related classes and functions were imported into the new namespace QuantLib::ext
. This allows them to be conditionally replaced with their std::
versions (see the "opt-in features" section below). The default is still to use the Boost implementation. Client code using the boost
namespace explicitly doesn't need to be updated.MCAmericanBasketEngine
instance (thanks to Klaus Spanderen).Calendar::businessDaysBetween
method when the initial and final date are the same (thanks to Weston Steimel).TimeGrid
class (thanks to Kai Striega).QL_NEGATIVE_RATES
macro in ql/userconfig.hpp
on Visual C++ or by passing the --disable-negative-rates
switch to ./configure
on other systems. This possibility will no longer be supported in future releases.std::function
, std::bind
and their related classes instead of boost::function
and boost::bind
. The feature can be enabled by uncommenting the QL_USE_STD_FUNCTION
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-std-function
switch to ./configure
on other systems. This requires using at least the C++11 standard during compilation../configure
switch, --enable-std-classes
, was added as a shortcut for --enable-std-pointers
--enable-std-unique-ptr
--enable-std-function
.Published by lballabio about 6 years ago
QuantLib 1.14 includes 40 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/10?closed=1.
boost::shared_ptr
and a few related classes and functions were imported into the new namespace QuantLib::ext
. This allows them to be conditionally replaced with their std::
versions (see the "opt-in features" section below). The default is still to use the boost implementation. Client code using the boost namespace explicitly doesn't need to be updated.-ffast-math
compilation flag enabled (thanks to Klaus Spanderen and to Jon Davies for the heads-up).CalibrationHelperBase
to the hierarchy of calibration helpers in order to allow for helpers not using the Black model.std::shared_ptr
and its related classes instead of boost::shared_ptr
. Note that, unlike its boost counterpart, std::shared_ptr
doesn't check for null pointers before access; this can lead to crashes. The feature can be enabled by uncommenting the QL_USE_STD_SHARED_PTR
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-std-pointers
to ./configure
on other systems. This requires using at least the C++11 standard during compilation.std::unique_ptr
instead of std::auto_ptr
; this makes it possible to compile the library in strict C++17 mode and to avoid deprecation warnings in C++11 and C++14 mode. The feature can be enabled by uncommenting the QL_USE_STD_UNIQUE_PTR
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-std-unique-ptr
to ./configure
on other systems.Thanks go also to Sam Danbury, Barry Devlin, Roland Kapl, and GitHub user todatamining for smaller fixes, enhancements, and bug reports.
Published by lballabio over 6 years ago
QuantLib 1.13 includes 42 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/8?closed=1.
ForwardRateAgreement
instance even if the interest-rate curve is not yet linked (thanks to Tom Anderson).TwoFactorModel::ShortRateDynamics::process
method (thanks to Weston Steimel).Thanks go also to Jose Aparicio, Roland Kapl and GitHub user lab4quant for smaller fixes and enhancements.
Published by lballabio over 6 years ago
QuantLib 1.12.1 is a bug-fix release for version 1.12.
It fixes an error that would occur during initialization of the test suite when using the newly released Boost 1.67.0 (see https://github.com/lballabio/QuantLib/pull/446 for details). Thanks to Klaus Spanderen for the prompt fix.
The library code is unchanged from version 1.12.
Published by lballabio over 6 years ago
QuantLib 1.12 includes 54 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/7?closed=1.
Thanks go also to Marco Craveiro, Dirk Eddelbuettel, Lakshay Garg, Guillaume Horel, Alix Lassauzet, Patrick Lewis, and GitHub users bmmay, bingoko and tournierjc for smaller fixes and enhancements.
Published by lballabio over 6 years ago
QuantLib 1.11 includes 47 pull requests and fixed issues 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/6?closed=1.
--fast
and --faster
flags to the test-suite executable. When passed, slower tests are discarded so that the test suite runs in just a few minutes.HestonExpansionEngine::numberOfEvaluations
method (deprecated in version 1.9).MixedLinearCubicInterpolation
and MixedLinearCubic
constructors not specifying the behavior of the mixed interpolation (deprecated in version 1.8).Swaption::impliedVolatility
and CapFloor::impliedVolatility
methods (deprecated in version 1.9).NoArbSabrModel::checkAbsorptionMatrix
method (deprecated in version 1.8.1).Published by lballabio over 6 years ago
QuantLib 1.10.1 is a bug-fix release for version 1.10.
Published by lballabio over 6 years ago
QuantLib 1.10 includes 59 pull requests and fixed issues 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/5?closed=1.
The constructors of a few Libor-like indexes were made explicit. This means that code such as the following, which used to compile, will now break. That's probably a good thing.
Handle<YieldTermStructure> forecast_curve;
Euribor6M index = forecast_curve;
Published by lballabio over 6 years ago
QuantLib 1.9.2 is a bug-fix release for QuantLib 1.9.1.
Published by lballabio over 6 years ago
QuantLib 1.9.1 is a bug-fix release for QuantLib 1.9.
Published by lballabio over 6 years ago
QuantLib 1.9 includes 27 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/3?closed=1.
CompositeInstrument
instance would stop receiving notifications (thanks to Peter Caspers for the heads-up).Date
serial numbers to int_fast_32t
to improve performance of date calculations (thanks to Peter Caspers).These features are disabled by default and can be enabled by defining a macro or passing a flag to ./configure
. Feedback is appreciated.
QL_ENABLE_SINGLETON_THREAD_SAFE_INIT
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-thread-safe-singleton-init
to ./configure
on other systems.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.
Changes and new contributions for this release were:
Published by lballabio over 6 years ago
QuantLib 1.8.1 is a bug-fix release for version 1.8.
Published by lballabio over 6 years ago
QuantLib 1.8 includes 45 pull requests from several contributors.
The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt.
DateParser::split
method (deprecated in version 1.6).The test suite is now run with a fixed evaluation date instead of using today's date. This helps avoid transient errors due to holidays. It is still possible to use today's date (or any other date) by running it as:
$ quantlib-test-suite -- --date=today
or
$ quantlib-test-suite -- --date=2016-02-08
(Thanks to Peter Caspers.)
These features are disabled by default and can be enabled by defining a macro or passing a flag to ./configure
. Feedback is appreciated.
QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-parallel-unit-test-runner
to ./configure
on other systems.The ql/experimental
folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.
Changes and new contributions for this release were:
Published by lballabio over 6 years ago
QuantLib 1.7.1 is a bug-fix release for version 1.7.
Published by lballabio over 6 years ago
QuantLib 1.7 includes over 50 pull requests from several contributors.
The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt.
These features are disabled by default and can be enabled by defining a macro or passing a flag to ./configure
. Feedback is appreciated.
QL_HIGH_RESOLUTION_DATE
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-intraday
flag to ./configure
on other systems.QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
macro in ql/userconfig.hpp
on Visual C++ or by passing the --enable-thread-safe-observer-pattern
to ./configure
on other systems.Published by lballabio over 6 years ago
QuantLib 1.6.2 is a compatibility release. It solves an ambiguous name resolution in the test-suite code when Visual Studio and the newly released Boost 1.59.0 are used together.
The library code did not change.
Published by lballabio over 6 years ago
QuantLib 1.6.1 is a compatibility release. It adds out-of-the-box support for the newly released Visual Studio 2015, and avoids use of deprecated Boost macros that will be removed in the upcoming Boost 1.59.0 release.
It is otherwise the same as version 1.6.
Published by lballabio over 6 years ago
QuantLib 1.6 includes 65 pull requests from several contributors.
The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt.
The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.
Changes and new contributions for this release were: