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@lballabio lballabio released this 14 Oct 07:14
· 146 commits to master since this release
v1.36
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lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.
66a8487
This commit was signed with the committer’s verified signature.
lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.

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Changes for QuantLib 1.36:

QuantLib 1.36 includes 34 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/34?closed=1.

Portability

  • New minimum C++ standard: starting from this release, a compiler supporting C++17 is required. Passing --enable-std-classes to configure now causes std::any and std::optional to be used.
  • End of support: related to the above, and as announced since release 1.32, this release drops support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4. Also, given the testing environments available on GitHub actions, clang 5 and 6 are no longer available to us for testing, and the same holds for g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
  • End of support: this release also removes the configure switch that allowed to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes were already the default since release 1.32. The corresponding classes in the ext namespace are now deprecated.
  • Future change of default: in a couple of releases, we're going to switch the default for ext::any and ext::optional from the Boost implementation to the standard one.

Dates and calendars

  • Added startOfMonth and isStartOfMonth methods to both Date and Calendar; thanks to Francois Botha (@igitur).
  • Added specialized Warsaw Stock Exchange (WSE) calendar to Poland; thanks to Marcin Bogusz (@marcinfair).
  • Added a new one-off holiday to South Korean calendar; thanks to Jongbong An (@jongbongan).

Cash flows

  • Made OvernightIndexedCouponPricer public and renamed to CompoundingOvernightIndexedCouponPricer, and moved ArithmeticAveragedOvernightIndexedCouponPricer from experimental to core library; thanks to Ralf Konrad Eckel (@ralfkonrad).

Indexes

  • Possibly breaking: inherited the Index class from Observer and added a virtual pastFixing method. If you inherited a class from both Index and Observer, change your code to avoid inheriting twice from Observer. Thanks to Ralf Konrad Eckel (@ralfkonrad).
  • Added currency information to EquityIndex; thanks to Ralf Konrad Eckel (@ralfkonrad).

Inflation

  • Inflation indexes are now better at deciding when to forecast (@lballabio); also added a needsForecast method that makes the information available.
  • Added CPI::laggedYoYRate; also, YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper and the experimental YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface can now take an explicit CPI::InterpolationType parameter instead of relying on the index being defined as interpolated or not (@lballabio). This is a first step in removing interpolation from YoYInflationIndex and moving it into the coupons where it belongs.
  • Added method to YoY inflation index returning the date of the last available fixing (@lballabio).

Term structures

  • Allow passing a pricer to the constructor of the OISRateHelper and DatedOISRateHelper classes (@lballabio); this makes it possible to use arithmetic averaging of overnight rates.
  • Allow custom constraint in non-linear fitting methods; thanks to Kai Lin (@klin333).
  • Allow creating a swap helper with frequency "Once" (@lballabio).
  • The GlobalBootstrap constructor can now take an optional optimizer and end criteria, allowing for better configuration; thanks to Eugene Toder (@eltoder).

Volatility

  • Added exact Bachelier implied-vol formula from Jäckel's paper; thanks to Peter Caspers (@pcaspers).

Deprecated features

  • Removed features deprecated in version 1.31:
    • the BlackVanillaOptionPricer typedef;
    • the constructors of CPICoupon taking a spread parameter, its spread method, and its protected spread_ data member;
    • the withSpreads method of CPILeg;
    • the protected adjustedFixing method and spread_ data member of CPICouponPricer;
    • the YYAUCPIr, YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr indexes and the experimental YYGenericCPIr class;
    • the constructor of YoYInflationIndex taking a ratio parameter;
    • a couple of constructors of ForwardRateAgreement;
    • the empty files ql/math/curve.hpp, ql/math/lexicographicalview.hpp, ql/termstructures/yield/drifttermstructure.hpp and ql/patterns/composite.hpp;
    • the const_iterator and const_value_iterator typedefs in the Garch11 class;
    • the const_time_iterator, const_value_iterator, const_reverse_time_iterator and const_reverse_value_iterator typedefs and the cbegin_values, cend_values, crbegin_values, crend_values, cbegin_time, cend_time, crbegin_time and crend_time methods of the TimeSeries class;
    • the base, increment, decrement, advance and distance_to method of the step_iterator class.
  • Deprecated ext::function, ext::bind, ext::ref, ext::cref, ext::placeholders, ext::tuple, ext::make_tuple, ext::get and ext::tie; use the corresponding std:: classes and functions instead.
  • Deprecated the ArithmeticAverageOIS, MakeArithmeticAverageOIS and ArithmeticOISRateHelper classes; use OvernightIndexedSwap, MakeOIS and OISRateHelper instead.
  • Deprecated the YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper, YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface constructors that don't take an explicit CPI interpolation type.
  • Deprecated the getInfo method of LevenbergMarquardt; inspect the result of minimize instead.
  • Deprecated the ql/experimental/averageois/averageoiscouponpricer.hpp file; include ql/cashflows/overnightindexedcouponpricer.hpp instead.
  • Deprecated the somewhat out-of-scope and experimental CreditRiskPlus, SensitivityAnalysis, aggregateNPV, parallelAnalysis and bucketAnalysis.

Thanks go also to Jonathan Sweemer (@sweemer), Eugene Toder (@eltoder), Ralf Konrad Eckel (@ralfkonrad), Tony Wang (@twan3617) and the XAD team (@auto-differentiation-dev) for miscellaneous smaller fixes, improvements or reports.

New Contributors

Full Changelog: v1.35...v1.36

Contributors

igitur, lballabio, and 10 other contributors
Assets 4
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