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QuantLib Changelog

What's new in QuantLib 1.4.1

Dec 18, 2014
  • QuantLib 1.4.1 is a compatibility release. It fixes a number of compilation errors that surfaced when using QuantLib 1.4 with Clang 3.5 and Boost 1.57. Thanks to Tim Smith for the heads-up.

New in QuantLib 1.3 (Feb 5, 2014)

  • Portability:
  • Enabled g++ compilation in C++11 mode.
  • Added VC++11 projects (thanks to Edouard Tallent).
  • Added x64 target to VC++10 and VC++11 projects (thanks to Johannes Göttker-Schnetmann).
  • Removed most level-4 warnings in VC++ (thanks to Michael Sharpe).
  • Removed warnings in VC++ when compiling for the x64 platform (thanks to Johannes Göttker-Schnetmann).
  • Date/time:
  • Fixed holiday for Japanese calendar (thanks to Sebastien Gurrieri).
  • Added Epiphany (introduced in 2011) to Polish calendar (thanks to katastrofa).
  • Updated South-Korean calendar for 2013 (thanks to Faycal El Karaa).
  • Updated Chinese calendar for 2012 (thanks to Cheng Li).
  • Updated calendar for 2013 for China, Hong Kong, India, Indonesia, Singapore, Taiwan and Turkey.
  • Fixed a few Mexican holidays.
  • Prevented out-of-bound access to degenerate schedule.
  • Instruments:
  • Finite-difference Bermudan swaption engines for the G2++ and the Hull-White models (thanks to Klaus Spanderen).
  • Added analytic Heston-Hull-White pricing engine for vanilla option using the H1HW approximation (thanks to Klaus Spanderen).
  • Managed underlying start delay in Jamshidian swaption engine (thanks to Peter Caspers).
  • Models:
  • Added calibration to GARCH model (thanks to Slava Mazur).
  • Fixed forward-looking bias in Garch11 calculation (thanks to Slava Mazur).
  • Cash flows:
  • Use correct default for evaluation date in a few CashFlows methods (thanks to Peter Caspers).
  • Yield-based NPV calculation now uses coupon reference dates; this fixes small discrepancies when using day counters such as ISMA act/act (thanks to Henri Gough and Nick Glass).
  • Fixed start and end dates for convexity adjustment of in-arrears floating-rate coupon (thanks to Peter Caspers).
  • Indexes:
  • Added inspector for the joint calendar used by Libor indexes.
  • Added method to clone a swap index with a different discount curve (thanks to Peter Caspers).
  • Term structures:
  • Fixed degenerate case for ABCD volatility (thanks to Peter Caspers).
  • Relaxed extrapolation check for default-probability curves. When calculating default probabilities between two dates or times, allow the first to precede the reference date. This effectively assumes that the default probability before the reference is null, and helps in cases where a coupon protection extends a couple of days before the reference due to adjustments (for instance, when the protection starts on a Saturday and the reference is rolled to the following Monday).
  • Pass correct ATM forward rate to smile section of SwaptionVolCube2 (thanks to Peter Caspers).
  • Added exogenous discount to OptionletStripper1 (thanks to Peter Caspers).
  • Math:
  • Added Sobol brownian-bridge random sequence generator (thanks to Klaus Spanderen).
  • Added Richardson-extrapolation utility for numerical methods (thanks to Klaus Spanderen).
  • Added differential evolution optimizer (thanks to Ralph Schreyer and Mateusz Kapturski).
  • Added special case to close()/close_enough() when either value is 0; previously, they would always return false which could be surprising (thanks to Simon Shakeshaft for the fix).
  • Fixed Gamma distribution tail (thanks to Ian Qsong).
  • Ensure that the last function call inside a solver is passed the root (thanks to Francis Duffy).
  • Implemented Lagrange boundary condition for cubic interpolation (thanks to Peter Caspers).
  • Increased precision in tail of West's bivariate cumulative normal (thanks to Fabien Le Floc'h).
  • Improved calibration of SABR interpolation by allowing different starting points (thanks to Peter Caspers).
  • Moved FFT and autocovariance implementations from experimental folder to core library.
  • Finite differences:
  • Added time-dependent Dirichlet boundary condition (thanks to Peter Caspers).
  • Utilities:
  • Implicit conversions of shared_ptr to bool are now explicit; they have been removed in C++11 (thanks to Scott Condit).
  • Experimental folder:
  • 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.
  • New contributions for this release were:
  • Two-asset barrier option and related engine (thanks to IMAFA/Polytech'Nice students Qingxiao Wang and Nabila Barkati).
  • ODE solver (thanks to Peter Caspers).
  • Markov functional model (thanks to Peter Caspers).

New in QuantLib 0.9.7 (Nov 18, 2008)

  • PORTABILITY:
  • Microsoft Visual C++ configurations have been renamed. The default Debug and Release configurations now link to the DLL version of the common runtime library. The names of other configuration should now be more descriptive.
  • Fixes for Solaris build.
  • BONDS:
  • Added bond example (thanks to Florent Grenier.)
  • Added support for amortizing bonds (thanks to Simon Ibbotson.) CASH FLOWS
  • Added two more cashflow analysis functions (thanks to Toyin Akin.) DATE/TIME
  • Added bespoke calendar.
  • INDEXES:
  • Added GBP/USD/CHF/JPY swap-rate indexes.
  • Fixed USD LIBOR calendar (settlement, not NYSE.)
  • MARKET MODELS:
  • Added first displaced-diffusion stochastic-volatility evolver.
  • PRICING ENGINES:
  • Monte Carlo average-price options now uses past fixings correctly.
  • QUOTES:
  • added LastFixingQuote, a Quote adapter for the last available fixing of a given index.
  • EXPERIMENTAL FOLDER:
  • 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 are likely to change in future releases. New contributions for this release were...
  • time-dependent binomial trees (thanks to John Maiden.)
  • a new multidimensional FDM framework based on operator splitting using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to Andreas Gaida, Ralph Schreyer, and Klaus Spanderen.)
  • implementations of Black-variance curve and surface taking a set of quotes as input (thanks to Frank Hövermann.)
  • synthetic CDO engines (thanks to Roland Lichters.)
  • variance options, together with a Heston-process engine (thanks to Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli.)
  • a commodity framework, including instruments such as energy futures and energy swaps (thanks to J. Erik Radmall.)
  • quanto-barrier options (thanks to Paul Farrington.)
  • amortizing bonds (thanks to Simon Ibbotson.)
  • a perturbative engine for barrier options (thanks to Lorella Fatone, Maria Cristina Recchioni, and Francesco Zirilli.)