Downloads:

• QuantLib-1.39.tar.gz
• QuantLib-1.39.zip

Changes for QuantLib 1.39:

QuantLib 1.39 includes 28 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/37?closed=1.

Portability

• Bug in recent Visual C++ versions: a few recent version of the Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug that, unfortunately, affected QuantLib heavily and maed it basically unusable. A fix was released in version 17.14.9; if you're compiling QuantLib on Windows, make sure you're using at least that version (or, if you can't upgrade, use the Visual C++ 2019 toolset; you can do that from VC++ 2022, as well).
• Change of default: as already announced, in this release we're switching the default for ext::any and ext::optional from the Boost implementation to the standard one. Using boost::any and boost::optional is still possible for the time being but deprecated.

Dates, calendars and day-count conventions

• Fixed a corner case of Calendar::advance when using EOM and the unadjusted business-day convention; thanks to Eugene Toder (@eltoder).
• Fixed an error when asking for the serial number of a null date with intraday support enabled (@lballabio); thanks to @UnitedMarsupial for the heads-up.
• Added the SHIR fixing calendar (@lballabio).
• Fixed the order of operations in the 30/360 USA day-count convention; thanks to Eugene Toder (@eltoder).

Indexes

• Added the SARON index; thanks to Paolo D'Elia (@paolodelia99).
• Added a CustomIborIndex class that allows to create an IBOR-like index with custom calendars for value and maturity dates calculations; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines

• The MakeOIS class now knows the default number of settlement days for a few currencies; thanks to Zak Kraehling (@7astro7).

Interest rates

• The FxSwapRateHelper class can now be built specifying fixed dates instead of a tenor; thanks to Eugene Toder (@eltoder).
• A number of helpers can now take quoted rates either as numbers or Handle<Quote> via the use of std::variant; this reduces the number of overloaded constructors and in some cases allows the use of keyword arguments when exported to Python. Thanks to Paolo D'Elia (@paolodelia99) and Eugene Toder (@eltoder).
• The OISRateHelper class can now specify a calendar for the overnight leg; thanks to Eugene Toder (@eltoder).
• The ZeroCouponInflationSwapHelper class now doesn't need to be passed a nominal curve, which wouldn't affect the results anyway (@lballabio).

Volatility

• Optionlet stripperes can now use overnight indexes; thanks to Paolo D'Elia (@paolodelia99).
• Added calculation of better guesses for SABR calibration as detailed in the Le Floc'h and Kennedy paper (@lballabio).

Deprecated features

• Removed features deprecated in version 1.34:
  • the overloads of Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread taking a price as a Real instead of a Bond::Price instance;
  • the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods;
  • the constructors of InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure, InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag;
  • the overload of InflationTermStructure::setSeasonality taking no arguments;
  • the InflationTermStructure::setBaseRate method;
  • the fixedRateBond method and fixedRateBond_ data member of the FixedRateBondHelper class, and the cpiBond method and cpiBond_ data member of the CPIBondHelper class.
• Deprecated the observationLag and hasExplicitBaseDate methods and the observationLag_ data member of the InflationTermStructure class; inflation term structures always have an explicit base date now.
• Deprecated the usage of boost::any and boost::optional; their standard counterparts are used by default now.
• Deprecated the constructor of ZeroCouponInflationSwapHelper taking a nominal curve; use the other constructor instead.

Thanks go also to Imrane Amri (@raneamri), Ralf Konrad Eckel (@ralfkonrad), Joan Carlos Naftanaila (@MiDDiz), Eugene Toder (@eltoder), Paolo D'Elia (@paolodelia99) and Holger Rother (@hrother) for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @MiDDiz made their first contribution in https://github.com/lballabio/QuantLib/pull/2219
• @7astro7 made their first contribution in https://github.com/lballabio/QuantLib/pull/2237

Full Changelog: https://github.com/lballabio/QuantLib/compare/v1.38...v1.39