Downloads:

• QuantLib-1.33.tar.gz
• QuantLib-1.33.zip

Changes for QuantLib 1.33:

QuantLib 1.33 includes 43 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/31?closed=1.

Portability

• Future end of support: as announced in release 1.32, we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about nine months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
• Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
• Added CMake presets for Apple; thanks to Christian Köhnenkamp (@kohnech).

Dates and calendars

• Added New Year's Eve as a holiday to the Chilean calendar; thanks to GitHub user @MoixaStrikes.
• Added Black Awareness Day as a holiday to the Brazilian calendar starting from 2024; thanks to GitHub user @PaulXiCao.
• Added Inauguration Day as a holiday to the Mexican calendar starting from 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc).
• Updated list of known ECB dates; thanks to GitHub user @PaulXiCao.
• Added Thailandese and Taiwanese holidays up to 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added a one-time holiday to the South African calendar; thanks to Francois Botha (@igitur).

Models

• Added support for angled contour shift integrals to Heston model; thanks to Klaus Spanderen (@klausspanderen).

Instruments

• Allow different calendars and frequencies for different legs in MakeOIS and OISRateHelper; thanks to Eugene Toder (@eltoder).
• Enabled negative payment lag in swap legs; thanks to GitHub user @Stoozy.

Random numbers

• Added Burley 2020 scrambled Sobol sequence generator; thanks to Peter Caspers (@pcaspers).

Tests

• Use automated registration of unit tests; thanks to Siddharth Mehrotra (@Sidsky).
• Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp).
• Improved test coverage for a few classes; thanks to GitHub user @PaulXiCao.

Deprecated features

• Removed features deprecated in version 1.28:
  • The overload of CallableBond::impliedVolatility taking an NPV as target.
  • The constructor of AmortizingFixedRateBond taking a sinking frequency.
  • The constructor of AmortizingFixedRateBond taking a vector of InterestRate instances.
  • The constructor of FixedRateBond taking start date, maturity date etc. instead of a schedule.
  • The constructor of FixedRateBond taking a vector of InterestRate instances.
  • The constructor of FloatingRateBond taking start date, maturity date etc. instead of a schedule.
  • The constructor of CPICapFloor taking a handle to an interest-rate index.
  • The CPICapFloor::inflationIndex method.
  • The infIndex data member of the CPICapFloor::arguments class.
  • A redundant constructor of SabrSmileSection.
  • The empty headers ql/experimental/amortizingbonds/amortizingcmsratebond.hpp, ql/experimental/amortizingbonds/amortizingfixedratebond.hpp and ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp.
• Deprecated the constructor of Currency and Currency::Data taking a format string, and the Currency::format method.

Thanks go also to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116), Jonathan Sweemer (@sweemer) and the XAD team (@auto-differentiation-dev) for smaller fixes and improvements.

New Contributors

• @Stoozy made their first contribution in https://github.com/lballabio/QuantLib/pull/1818
• @silvergasp made their first contribution in https://github.com/lballabio/QuantLib/pull/1807
• @PaulXiCao made their first contribution in https://github.com/lballabio/QuantLib/pull/1825
• @Sidsky made their first contribution in https://github.com/lballabio/QuantLib/pull/1811
• @hgv79116 made their first contribution in https://github.com/lballabio/QuantLib/pull/1858
• @yjian012 made their first contribution in https://github.com/lballabio/QuantLib/pull/1876
• @MoixaStrikes made their first contribution in https://github.com/lballabio/QuantLib/pull/1846

Full Changelog: https://github.com/lballabio/QuantLib/compare/v1.32...v1.33