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Changes for QuantLib 1.37:

QuantLib 1.37 includes 27 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/35?closed=1.

Portability

  • Future change of default: as already announced, in the next release 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 closure for President Carter's funeral to the NYSE calendar; thanks to Dirk Eddelbuettel (@eddelbuettel).

  • Added distinct Wellington and Auckland variants for New Zealand calendar (@lballabio).

Indexes

  • Improved the performance of the addFixing and addFixings method in the Index class; thanks to Peter Caspers (@pcaspers).

  • Added the KOFR index; thanks to Jongbong An (@jongbongan).

Instruments and pricing engines

  • Added Choi pricing engine for Asian options; thanks to Klaus Spanderen (@klausspanderen).

  • Passing a risk-free overnight index to an asset swap now implies using OIS-like coupons (@lballabio).

  • Added Bjerksund-Stensland, Operator-Splitting, Deng-Li-Zhou, Choi and n-dim PDE engines for spread options; thanks to Klaus Spanderen (@klausspanderen).

  • Deng-Li-Zhou, Choi and n-dim PDE engines for basket options; thanks to Klaus Spanderen (@klausspanderen).

Term structures

  • Possibly breaking: better upper and lower bounds for global bootstrap; thanks to Eugene Toder (@eltoder). If you created your own bootstrap traits, you'll need to add transformDirect and transformInverse methods for them to work with the GlobalBootstrap class.

  • Fitted bond curves can now be passed precomputed parameters without the need for bond helpers (@lballabio).

  • Use correct guess in SABR swaption vol cube (@lballabio).

  • OIS rate helpers can now be passed a date-generation rule; thanks to Sotirios Papathanasopoulos (@sophistis42).

  • Swap rate helpers can now be passed explicit start and end dates; thanks to Eugene Toder (@eltoder).

  • OIS rate helpers can now be passed explicit start and end dates, making a distinct DatedOISRateHelper class unnecessary; thanks to Eugene Toder (@eltoder).

Cash flows

  • Added new MultipleResetsCoupon and MultipleResetsLeg classes to manage coupons with multiple resets (@lballabio). They fix and replace SubPeriodsCoupon and SubPeriodsLeg.

Deprecated features

  • Removed features deprecated in version 1.32:

    • the FixedRateBondForward class;
    • the SampledCurve and SampledCurveSet classes;
    • the StepConditionSet and BoundaryConditionSet classes;
    • the ParallelEvolver and ParallelEvolverTraits classes;
    • the FDVanillaEngine and FDMultiPeriodEngine classes;
    • the BSMTermOperator, StandardFiniteDifferenceModel, StandardSystemFiniteDifferenceModel and StandardStepCondition typedefs;
    • the QL_NULL_FUNCTION macro;
    • the overloads of DigitalCmsLeg::withReplication , DigitalCmsSpreadLeg::withReplication and DigitalIborLeg::withReplication taking no arguments;
    • the empty headers analyticamericanmargrabeengine.hpp, analyticcomplexchooserengine.hpp, analyticcomplexchooserengine.hpp, analyticcompoundoptionengine.hpp, analyticeuropeanmargrabeengine.hpp, analyticsimplechooserengine.hpp, complexchooseroption.hpp, compoundoption.hpp, margrabeoption.hpp and simplechooseroption.hpp in the ql/experimental/exoticoptions folder;
    • the empty header ql/experimental/termstructures/multicurvesensitivities.hpp;
    • the empty headers pdeshortrate.hpp and shoutcondition.hpp in the ql/methods/finitedifferences folder;
    • the empty header ql/models/marketmodels/duffsdeviceinnerproduct.hpp;
    • the empty headers fdconditions.hpp, fddividendengine.hpp and fdstepconditionengine.hpp in the ql/pricingengines/vanilla folder.

  • Deprecated the SubPeriodsCoupon, SubPeriodsPricer, AveragingRatePricer and CompoundingRatePricer classes; renamed to MultipleResetsCoupon, MultipleResetsPricer, AveragingMultipleResetsPricer and CompoundingMultipleResetsPricer, respectively.

  • Deprecated the SubPeriodsLeg class; use MultipleResetsLeg instead.

  • Deprecated the MultipleResetsCoupon constructor without a reset schedule; use the other constructor.

  • Deprecated the calendar, price, addQuote, addQuotes, clearQuotes, isValidQuoteDate and quotes methods in the CommodityIndex class; use fixingCalendar, fixing, addFixing, addFixings, clearFixings, isValidFixingDate and timeSeries instead.

  • Deprecated the experimental SpreadOption and KirkSpreadOptionEngine classes; use BasketOption and KirkEngine instead.

  • Deprecated the TransformedGrid and LogGrid classes and the CenteredGrid, BoundedGrid and BoundedLogGrid functions; use the new FD framework instead.

  • Deprecated the PdeOperator and BSMOperator classes; use the new FD framework instead.

  • Deprecated the PdeSecondOrderParabolic, PdeConstantCoeff, PdeBSM and GenericTimeSetter classes; use the new FD framework instead.

  • Deprecated the hasHistory, getHistory, clearHistory, hasHistoricalFixing and setHistory in the IndexManager class; use Index::hasHistoricalFixing, Index::timeSeries, Index::clearFixings, Index::hasHistoricalFixing and Index::addFixings instead.

  • Deprecated the notifier method in the IndexManager class; register with the relevant index instead.

  • Deprecated one of the AssetSwap constructors; use the other overload.

  • Deprecated the fcn and jacFcn methods in the LevenbergMarquardt class; they are for internal use only.

  • Deprecated the indexIsInterpolated parameter in YoY inflation curve constructors; use another overload. Fixings will be interpolated by coupons instead, so curves and indexes will only be asked for fixing at the start of a month.

  • Deprecated the indexIsInterpolated method and the indexIsInterpolated_ data member in the YoYInflationTermStructure class.

  • Deprecated the DatedOISRateHelper class; use OISRateHelper instead.

Thanks go also to Eugene Toder (@eltoder), Ben Watson (@sonben) and the XAD team (@auto-differentiation-dev) for miscellaneous smaller fixes, improvements or reports.