There is a newer version of the record available.

Published August 5, 2019 | Version QuantLib-v1.16
Software Open

lballabio/QuantLib: 1.16

Creators

  • 1. @dginst, @quantlib
  • 2. Jose Aparicio-Navarro
  • 3. Sunmi Technology
  • 4. CompatibL
  • 5. @platterz
  • 6. JFrog
  • 7. Thema Consulting SA
  • 8. TD Bank
  • 9. Mesa Funds
  • 10. BMT Research

Description

Changes for QuantLib 1.16:

QuantLib 1.16 includes 34 pull requests from several contributors.

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/12?closed=1.

Portability
  • Added support for Visual Studio 2019 (thanks to Paul Giltinan).
Configuration
  • As announced in past release, the compile-time switch to force non-negative rates was removed.
Pricing engines
  • Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
  • Added quanto pricing functionality to a couple of FD engines for DividendVanillaOption (thanks to Klaus Spanderen).
Cash flows
  • Digital coupons can now optionally return the value of the naked option (thanks to Peter Caspers).
Date/time
  • Updated Taiwan holidays for 2019 (thanks to Hank Liu).
  • Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
  • Updated Japan calendar (thanks to Eisuke Tani).
  • Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
  • Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
  • Added French calendar (thanks to GitHub user NJeanray).
  • Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
  • Allow the stub date of a schedule to equal the maturity.
Deprecated features
  • Deprecated a constructor of the SwaptionVolatilityMatrix class that didn't take a calendar.
  • Removed typedefs GammaDistribution, ChiSquareDistribution, NonCentralChiSquareDistribution and InverseNonCentralChiSquareDistribution, deprecated in version 1.12. Use CumulativeGammaDistribution, CumulativeChiSquareDistribution, NonCentralCumulativeChiSquareDistribution and InverseNonCentralCumulativeChiSquareDistribution instead.
  • Removed Actual365NoLeap class, deprecated in version 1.11. It was folded into Actual365Fixed.
Term structures
  • Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.

Files

lballabio/QuantLib-QuantLib-v1.16.zip

Files (10.3 MB)

Name Size Download all
md5:3615b90c4965e6da30612c6e3c1bc2c5
10.3 MB Preview Download

Additional details

Related works

Is supplement to
https://github.com/lballabio/QuantLib/tree/QuantLib-v1.16 (URL)