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Published October 14, 2024 | Version v1.36
Software Open

lballabio/QuantLib-SWIG: 1.36

Creators

  • 1. BasisPoint
  • 2. SEB
  • 3. eckel consulting
  • 4. Acadia - An LSEG Business
  • 5. Acadia - an LSEG Business
  • 6. TD Bank
  • 7. Thema Consulting SA
  • 8. @anchore

Description

Downloads:

Main changes for QuantLib-SWIG 1.36

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/29?closed=1.

  • We're now using modern tooling to build and test Python wheels. Building now requires build besides setuptools, and testing requires pytest and tox. All of them can be installed in a virtual environment.
  • Removed the deprecated constructors of the ForwardRateAgreement class.
  • Removed the deprecated constructor of YoYInflationIndex taking a ratio parameter.
  • Removed the deprecated YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr indexes.
  • Removed the deprecated constructors of CPICoupon taking a spread parameter and its spread method, as well as the deprecated withSpreads method of CPILeg.
  • Breaking: in Python, the multiplication between two ql.Array instances would return the dot product. It now returns the element-wise product, like in C++. Also, exposed more operators. Thanks to Eugene Toder (@eltoder).
  • Exported SpreadedSwaptionVolatility class (@lballabio).
  • Exported Index::pastFixing and the constructor of EquityIndex taking currency information; thanks to Ralf Konrad Eckel (@ralfkonrad).
  • Exported specialized Warsaw Stock Exchange (WSE) calendar for Poland; thanks to Marcin Bogusz (@marcinfair).
  • Exported missing volatility-type parameter for SABR interpolation (@lballabio). This allows using it for normal volatilities.
  • Exported startOfMonth and isStartOfMonth methods for both Date and Calendar (@lballabio).
  • Exported CompoundingOvernightIndexedCouponPricer and ArithmeticAveragedOvernightIndexedCouponPricer, and export corresponding pricer parameter for the OISRateHelper and DatedOISRateHelper constructors (@lballabio).
  • Export additional custom-constraint parameter for non-linear fitting methods (@lballabio).
  • Exported needsForecast and lastFixingDate methods for inflation indexes (@lballabio).
  • Exported new optimizer and end-criteria parameters for the GlobalBootstrap constructor (@lballabio).
  • Exported new interpolation parameter for YoY inflation coupons (@lballabio).

New Contributors

  • @marcinfair made their first contribution in https://github.com/lballabio/QuantLib-SWIG/pull/669

Full Changelog: https://github.com/lballabio/QuantLib-SWIG/compare/v1.35...v1.36

Files

lballabio/QuantLib-SWIG-v1.36.zip

Files (409.2 kB)

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Additional details

Related works

Is supplement to
Software: https://github.com/lballabio/QuantLib-SWIG/tree/v1.36 (URL)