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Published October 1, 2018 | Version QuantLib-SWIG-v1.14
Software Open

lballabio/QuantLib-SWIG: 1.14

Creators

  • 1. @quantlib, @dginst
  • 2. Thema Consulting SA
  • 3. TD Bank
  • 4. Indian Institute of Management Ahmedabad
  • 5. Ping-An Technology
  • 6. MeDirect
  • 7. Reserve Bank of Australia

Description

Main changes for QuantLib-SWIG 1.14

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/7?closed=1.

  • Dropped support for Visual Studio 2008.
  • Exported the Calendar::holidayList method (thanks to Piotr Siejda).
  • Exported Thailand calendar (thanks to Matthias Groncki).
  • Exported the InterpolatedSurvivalProbabilityCurve class (thanks to Matthias Lungwitz).
  • Exported the SmileSection base class and a few derived classes (thanks to Matthias Lungwitz).
  • Exported Bibor and THBFIX indices (thanks to Matthias Groncki).
  • Exported the force_overwrite parameter from the Index::addFixing method (thanks to Wojciech Slusarski).
  • Exported CMS-spread coupons and leg (thanks to Matthias Lungwitz).
  • Added protection start date argument to CreditDefaultSwap constructor (thanks to GitHub user pschaefers).
  • Exported the MakeVanillaSwap class (thanks to Matthias Groncki).
  • Exported the IsdaCdsEngine class and added Python example (thanks to Weston Steimel and GitHub user aliallday).
  • Exported the COSHestonEngine class (thanks to Klaus Spanderen).
  • Exported the SwingOption class and related classes and added Python and Scala examples (thanks to Klaus Spanderen).
  • Added Python example for Gaussian 1D model (thanks to Angus Lee).
  • Added option to use the AutoCloseable interface in the Java wrappers instead of finalizers. Use the --enable-java-autocloseable configure switch to enable the interface. The separate switch --disable-java-finalizer disables finalizers entirely, and should be used with caution.

Files

lballabio/QuantLib-SWIG-QuantLib-SWIG-v1.14.zip

Files (343.9 kB)

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Additional details

Related works

Is supplement to
https://github.com/lballabio/QuantLib-SWIG/tree/QuantLib-SWIG-v1.14 (URL)