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

• QuantLib-1.27.tar.gz
• QuantLib-1.27.zip

QuantLib 1.27 includes 37 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/23?closed=1.

• Removed support: as announced in the notes for the previous release, support for Visual Studio 2013 was dropped.
• End of support: as announced in the notes for the previous release, this release will be the last to avoid C++14 syntax. Allowing the newer (but still oldish) standard should still support most compilers released in the past several years.
• Future end of support: this release and the next will be the last to manage thread-local singletons via a user-provided sessionId function. Future releases will use the built-in language support for thread-local variables.
• The Real type is now used consistently throughout the codebase, thanks to the Xcelerit dev team (@xcelerit-dev). This, along with other changes, allows its default definition to double to be replaced with one of the available third-party AAD types.
• The test suite is now built using the header-only version of Boost.Test, thanks to Jonathan Sweemer (@sweemer). This might simplify Boost installation for some users, since in the default configuration QuantLib now only needs the Boost headers.
• Replaced some Boost facilities with the corresponding C++11 counterparts; thanks to Klaus Spanderen (@klausspanderen) and Jonathan Sweemer (@sweemer).

• Fixed the behavior of a couple of Australian holidays; thanks to Pradeep Krishnamurthy (@pradkrish) and Fredrik Gerdin Börjesson (@gbfredrik).

• Added the Turnbull-Wakeman engine for discrete Asian options; thanks to Fredrik Gerdin Börjesson (@gbfredrik) for the main engine code and to Jack Gillett (@jackgillett101) for the Greeks.
• Added more validation to barrier options; thanks to Jonathan Sweemer (@sweemer).

• Fixed the start date of the underlying swap in swaption calibration helpers; thanks to Peter Caspers (@pcaspers).
• Fixed parameter checks in SVI volatility smiles; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

• Avoid possible iterator invalidation while notifying observers; thanks to Klaus Spanderen (@klausspanderen).

• Removed the --enable-disposable and --enable-std-unique-ptr configure switches.
• Removed features deprecated in version 1.22 (@lballabio):
  • the unused AmericanCondition and FDAmericanCondition classes;
  • the old-style FD shout and dividend shout engines;
  • the unused OneFactorOperator class;
  • the io::to_integer function;
  • the ArrayProxy and MatrixProxy classes.
• Deprecated the QL_NOEXCEPT and QL_CONSTEXPR macros.
• Deprecated the QL_NULL_INTEGER and QL_NULL_REAL macros.
• Deprecated some unused parts of the old-style FD framework (@lballabio):
  • the PdeShortRate class;
  • the ShoutCondition and FDShoutCondition classes;
  • the FDDividendEngineBase, FDDividendEngineMerton73, FDDividendEngineShiftScale and FDDividendEngine classes;
  • the FDStepConditionEngine and FDEngineAdapter classes.
• Deprecated a number of function objects in the ql/math/functional.hpp header.
• Deprecated the unused MultiCurveSensitivities class.
• Deprecated the unused inner_product function.

Thanks go also to Ryan Russell (@ryanrussell) for documentation fixes.

• @gbfredrik made their first contribution in https://github.com/lballabio/QuantLib/pull/1351
• @pradkrish made their first contribution in https://github.com/lballabio/QuantLib/pull/1374
• @ryanrussell made their first contribution in https://github.com/lballabio/QuantLib/pull/1395
• @xcelerit-dev made their first contribution in https://github.com/lballabio/QuantLib/pull/1400
• @lotzej made their first contribution in https://github.com/lballabio/QuantLib/pull/1401

Full Changelog: https://github.com/lballabio/QuantLib/compare/QuantLib-v1.26...QuantLib-v1.27