QuantLib: a free/open-source library for quantitative finance

• QuantLib-1.26.tar.gz
• QuantLib-1.26.zip

QuantLib 1.26 includes 26 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/22?closed=1.

• End of support: as announced in the notes for the previous release, this release is the last to support Visual Studio 2013.
• End of support: this release is the last to support the long-deprecated configure switches --enable-disposable and --enable-std-unique-ptr. From the next release, Disposable will always be disabled (and eventually removed) and std::unique_ptr will always be used instead of std::auto_ptr. This has already been the default in the last few releases.
• Future end of support: this release and the next will be the last to avoid C++14 syntax. This should still support most compilers released in the past several years (except for Visual Studio 2013, which we're already dropping in this release).
• If tagged libraries are specified, as is the default on Windows, CMake now gives the built libraries the same names as the Visual Studio solution (for instance, QuantLib-x64-mt-s instead of QuantLib-mt-s-x64) so that the pragma in ql/auto_link.hpp works.
• QuantLib can now also be built as a subproject in a larger CMake build (thanks to @pcaspers).

• When printed, Period instances now display transparently what their units and length are, instead of doing more fancy formatting (e.g., "16 months" is now displayed instead of "1 year 4 months"). Also, Period instances that compare as equal now return the same period from their normalize method (@lballabio).

• Added Tona (Tokyo overnight average) index (thanks to @nistick21).
• Added static laggedFixing method to CPI structure which provides interpolation of inflation index fixings (@lballabio).

• The CPICoupon and CPICashFlow classes now take into account the correct dates and observation lag for interpolation (@lballabio).

• Added a BondForward class that generalizes the existing FixedRateBondForward to any kind of bond (thanks to @marcin-rybacki).
• Avoided unexpected jumps in callable bond OAS (thanks to @ralfkonrad).
• Fixed TreeSwaptionEngine mispricing when adjusting the instrument schedule to a near exercise date (thanks to @ralfkonrad).
• the ForwardRateAgreement class now works correctly without an explicit discount curve (@lballabio).

• Dates explixitly passed to InterpolatedZeroInflationCurve are no longer adjusted automatically to the beginning of their inflation period (@lballabio).

• Removed the MCDiscreteAveragingAsianEngine class, deprecated in version 1.21.
• Deprecated the LsmBasisSystem::PolynomType typedef, now renamed to PolynomialType; MakeMCAmericanEngine::withPolynomOrder was also deprecated and renamed to withPolynomialOrder.
• Deprecated the ZeroInflationCashFlow constructor taking an unused calendar and business-day convention.
• Deprecated the CPICoupon constructor taking a number of fixing days, as well as the CPICoupon::indexObservation, CPICoupon::adjustedFixing and CPICoupon::indexFixing methods and the CPILeg::withFixingDays method.
• Deprecated the CPICashFlow constructor taking a precalculated fixing date and a frequency.
• Deprecated the Observer::set_type and Observable::set_type typedefs.
• Deprecated the unused Curve class.
• Deprecated the unused LexicographicalView class.
• Deprecated the unused Composite class.
• Deprecated the unused DriftTermStructure class.

Thanks go also to @mgroncki, @sweemer and @FloridSleeves for smaller fixes, enhancements and bug reports.

• @FloridSleeves made their first contribution in https://github.com/lballabio/QuantLib/pull/1295
• @nistick21 made their first contribution in https://github.com/lballabio/QuantLib/pull/1302

Full Changelog: https://github.com/lballabio/QuantLib/compare/QuantLib-v1.25...QuantLib-v1.26