Downloads:

• QuantLib-1.40.tar.gz
• QuantLib-1.40.zip

Changes for QuantLib 1.40

Removals and deprecations

Features deprecated in release 1.35 were removed in this release; see https://github.com/lballabio/QuantLib/pull/2268 for a full list.

A number of features were deprecated in this release and will be removed in a future release:

• The overload of the RangeAccrualFloatersCoupon constructor taking a shared_ptr to a schedule; use the other overload instead.
• The method observationsSchedule of the same class; use observationSchedule instead.
• The <ql/experimental/fx/blackdeltacalculator.hpp> and ql/experimental/fx/deltavolquote.hpp headers; use <ql/pricingengines/blackdeltacalculator.hpp> and <ql/quotes/deltavolquote.hpp> instead.
• The overload of the CPIBond and CPIBondHelper constructors taking the growthOnly parameter; use the other overload instead.
• The methods cumD1, cumD2, nD1 and nD2 of the BlackDeltaCalculator class; they are internal methods and will be moved to the private section.
• The BlackDeltaPremiumAdjustedSolverClass and BlackDeltaPremiumAdjustedMaxStrikeClass; they were used in the implementation of BlackDeltaCalculator but are now obsolete.
• The BootstrapError class template; use a lambda instead (see https://github.com/lballabio/QuantLib/pull/2263 for an example).
• The PenaltyFunction class; use SimpleCostFunction instead.
• The Tona index was renamed to Tonar; use the latter instead.

What's Changed

• Make Null constexpr by @eltoder in https://github.com/lballabio/QuantLib/pull/2260
• Remove features deprecated in version 1.35 by @lballabio in https://github.com/lballabio/QuantLib/pull/2268
• Allow specifying business-day convention in OISRateHelper by @eltoder in https://github.com/lballabio/QuantLib/pull/2264
• Allow specifying business-day convention for floating leg in SwapRateHelper by @eltoder in https://github.com/lballabio/QuantLib/pull/2269
• Replace BootstrapError class with a lambda and deprecate it by @eltoder in https://github.com/lballabio/QuantLib/pull/2263
• Cleanup includes in interpolated curves by @eltoder in https://github.com/lballabio/QuantLib/pull/2274
• Expose swap on inflation swap bootstrap helpers by @eltoder in https://github.com/lballabio/QuantLib/pull/2275
• Auto-enable extrapolation for ForwardSpreadedTermStructure by @eltoder in https://github.com/lballabio/QuantLib/pull/2273
• Replace and deprecate LocalBootstrap's PenaltyFunction by @eltoder in https://github.com/lballabio/QuantLib/pull/2272
• Replacing std::pow() with test-specific LUT implementation for rounding tests in quantlib benchmarking. by @vladimir-polin in https://github.com/lballabio/QuantLib/pull/2270
• Support custom pillar dates after the latest relevant date in IterativeBootstrap by @eltoder in https://github.com/lballabio/QuantLib/pull/2262
• Renamed Tona index to Tonar by @lballabio in https://github.com/lballabio/QuantLib/pull/2277
• Don't use shared_ptr<Schedule> by @lballabio in https://github.com/lballabio/QuantLib/pull/2280
• Automated fixes by clang-tidy by @github-actions[bot] in https://github.com/lballabio/QuantLib/pull/2283
• Use double for constexpr variable to maintain AAD compatibility by @auto-differentiation-dev in https://github.com/lballabio/QuantLib/pull/2282
• Add soft-barrier options by @wday0507 in https://github.com/lballabio/QuantLib/pull/2271
• Allow creating PiecewiseZeroInflationCurve before the base date is known by @eltoder in https://github.com/lballabio/QuantLib/pull/2279
• Update copyright list in license by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2290
• Update generated headers by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2291
• Deprecate growthOnly parameter in CPI bond and helper by @lballabio in https://github.com/lballabio/QuantLib/pull/2287
• Refactor inflation helpers by @eltoder in https://github.com/lballabio/QuantLib/pull/2293
• Add cmake_runners-latest-matrix.yml workflow by @ralfkonrad in https://github.com/lballabio/QuantLib/pull/2249
• Automated fixes by clang-tidy by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2294
• Add InterpolatedSpreadDiscountCurve and PiecewiseSpreadYieldCurve by @eltoder in https://github.com/lballabio/QuantLib/pull/2292
• Fix typo in uniform1dmesher by @quantresearch1 in https://github.com/lballabio/QuantLib/pull/2298
• Add BRL CDI index by @sophistis42 in https://github.com/lballabio/QuantLib/pull/2295
• Update copyright list in license by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2300
• Bump actions/checkout from 4 to 5 by @dependabot[bot] in https://github.com/lballabio/QuantLib/pull/2299
• Fix consistent test macro usage for AAD compatibility by @auto-differentiation-dev in https://github.com/lballabio/QuantLib/pull/2303
• Add checks in Schedule's startDate and endDate methods to avoid segfault by @davidizzle in https://github.com/lballabio/QuantLib/pull/2304
• Update old license links by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2308
• Better docs string BlackDeltaCalculator by @paolodelia99 in https://github.com/lballabio/QuantLib/pull/2301
• Move BlackDeltaCalculator and DeltaVolQuote from experimental to core by @lballabio in https://github.com/lballabio/QuantLib/pull/2309
• Bump actions/stale from 9 to 10 by @dependabot[bot] in https://github.com/lballabio/QuantLib/pull/2313
• Replace ImpliedVolatilityHelper with lambda by @lballabio in https://github.com/lballabio/QuantLib/pull/2318
• Add BachelierCalculator class by @kp9991-git in https://github.com/lballabio/QuantLib/pull/2316
• Update old license links by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2322
• Update generated headers by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2323
• Add perpetual futures by @drxyzw in https://github.com/lballabio/QuantLib/pull/2315
• Update copyright list in license by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2325
• Fixing naming and styles in pull request #2315 (perpetual futures) by @drxyzw in https://github.com/lballabio/QuantLib/pull/2329
• Add Singapore public holidays for 2025 by @sergioUjo in https://github.com/lballabio/QuantLib/pull/2330
• Speedup Sobol Sequence Generator by transposing directionIntegers_ matrix by @dmardavies in https://github.com/lballabio/QuantLib/pull/2333
• Simplify and generalize the implementation of inflationPeriod by @eltoder in https://github.com/lballabio/QuantLib/pull/2334
• Removing trailing spaces in quantlibbenchmark.cpp by @vladimir-polin in https://github.com/lballabio/QuantLib/pull/2335
• Improvement to Latent model execution time by @vladimir-polin in https://github.com/lballabio/QuantLib/pull/2336
• Add explicit return type for lambdas to work with expression templates by @auto-differentiation-dev in https://github.com/lballabio/QuantLib/pull/2338
• Add end-of-month date adjustment rules for 30/365 by @ragibson in https://github.com/lballabio/QuantLib/pull/2337
• Fix potential dangling reference in MultiCubicSpline by @ipenas-cl in https://github.com/lballabio/QuantLib/pull/2265
• Automated fixes by clang-tidy by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2332
• Set version to 1.40-rc by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2341
• Set version to 1.40 final by @lballabio-bot in https://github.com/lballabio/QuantLib/pull/2343

New Contributors

• @vladimir-polin made their first contribution in https://github.com/lballabio/QuantLib/pull/2270
• @wday0507 made their first contribution in https://github.com/lballabio/QuantLib/pull/2271
• @lballabio-bot made their first contribution in https://github.com/lballabio/QuantLib/pull/2290
• @quantresearch1 made their first contribution in https://github.com/lballabio/QuantLib/pull/2298
• @davidizzle made their first contribution in https://github.com/lballabio/QuantLib/pull/2304
• @drxyzw made their first contribution in https://github.com/lballabio/QuantLib/pull/2315
• @sergioUjo made their first contribution in https://github.com/lballabio/QuantLib/pull/2330
• @dmardavies made their first contribution in https://github.com/lballabio/QuantLib/pull/2333
• @ragibson made their first contribution in https://github.com/lballabio/QuantLib/pull/2337
• @ipenas-cl made their first contribution in https://github.com/lballabio/QuantLib/pull/2265

Full Changelog: https://github.com/lballabio/QuantLib/compare/v1.39...v1.40