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Changes for QuantLib 1.39:
==========================
QuantLib 1.39 includes 28 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/37?closed=1>.
Portability
-----------
- **Bug in recent Visual C++ versions**: a few recent version of the
Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug
that, unfortunately, affected QuantLib heavily and maed it basically
unusable. A fix was released in version 17.14.9; if you’re
compiling QuantLib on Windows, make sure you're using at least that
version (or, if you can't upgrade, use the Visual C++ 2019 toolset;
you can do that from VC++ 2022, as well).
- **Change of default:** as already announced, in this release we're
switching the default for `ext::any` and `ext::optional` from the
Boost implementation to the standard one. Using `boost::any` and
`boost::optional` is still possible for the time being but
deprecated.
Dates, calendars and day-count conventions
------------------------------------------
- Fixed a corner case of `Calendar::advance` when using EOM and the
unadjusted business-day convention; thanks to Eugene Toder (@eltoder).
- Fixed an error when asking for the serial number of a null date with
intraday support enabled (@lballabio); thanks to @UnitedMarsupial
for the heads-up.
- Added the SHIR fixing calendar (@lballabio).
- Fixed the order of operations in the 30/360 USA day-count
convention; thanks to Eugene Toder (@eltoder).
Indexes
-------
- Added the SARON index; thanks to Paolo D'Elia (@paolodelia99).
- Added a `CustomIborIndex` class that allows to create an IBOR-like
index with custom calendars for value and maturity dates
calculations; thanks to Eugene Toder (@eltoder).
Instruments and pricing engines
-------------------------------
- The `MakeOIS` class now knows the default number of settlement days
for a few currencies; thanks to Zak Kraehling (@7astro7).
Interest rates
--------------
- The `FxSwapRateHelper` class can now be built specifying fixed dates
instead of a tenor; thanks to Eugene Toder (@eltoder).
- A number of helpers can now take quoted rates either as numbers or
`Handle<Quote>` via the use of `std::variant`; this reduces the
number of overloaded constructors and in some cases allows the use
of keyword arguments when exported to Python. Thanks to Paolo
D'Elia (@paolodelia99) and Eugene Toder (@eltoder).
- The `OISRateHelper` class can now specify a calendar for the
overnight leg; thanks to Eugene Toder (@eltoder).
- The `ZeroCouponInflationSwapHelper` class now doesn't need to be
passed a nominal curve, which wouldn't affect the results anyway
(@lballabio).
Volatility
----------
- Optionlet stripperes can now use overnight indexes; thanks to Paolo
D'Elia (@paolodelia99).
- Added calculation of better guesses for SABR calibration as detailed
in the Le Floc'h and Kennedy paper (@lballabio).
Deprecated features
-------------------
- **Removed** features deprecated in version 1.34:
- the overloads of `Bond::yield`, `BondFunctions::atmRate`,
`BondFunctions::yield` and `BondFunctions::zSpread` taking a price
as a `Real` instead of a `Bond::Price` instance;
- the `Swaption::underlyingSwap` and
`SwaptionHelper::underlyingSwap` methods;
- the constructors of `InflationTermStructure`,
`ZeroInflationTermStructure`, `YoYInflationTermStructure`,
`InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
`PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
taking an observation lag;
- the overload of `InflationTermStructure::setSeasonality` taking no arguments;
- the `InflationTermStructure::setBaseRate` method;
- the `fixedRateBond` method and `fixedRateBond_` data member of the
`FixedRateBondHelper` class, and the `cpiBond` method and
`cpiBond_` data member of the `CPIBondHelper` class.
- Deprecated the `observationLag` and `hasExplicitBaseDate` methods
and the `observationLag_` data member of the
`InflationTermStructure` class; inflation term structures always
have an explicit base date now.
- Deprecated the usage of `boost::any` and `boost::optional`; their
standard counterparts are used by default now.
- Deprecated the constructor of `ZeroCouponInflationSwapHelper` taking
a nominal curve; use the other constructor instead.
**Thanks go also** to Imrane Amri (@raneamri), Ralf Konrad Eckel
(@ralfkonrad), Joan Carlos Naftanaila (@MiDDiz), Eugene Toder
(@eltoder), Paolo D'Elia (@paolodelia99) and Holger Rother (@hrother)
for miscellaneous smaller fixes, improvements or reports.
|
