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

• QuantLib-1.30.tar.gz
• QuantLib-1.30.zip

QuantLib 1.30 includes 34 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/27?closed=1.

• Future end of support: as announced in the notes for the previous release, after this release and the next, using std::tuple, std::function and std::bind (instead of their boost counterparts) will become the default. If you're using ext::tuple etc. in your code (which is suggested), this should be a transparent change. If not, you'll still be able to choose the boost versions via a configure switch for a while; but we do suggest you start using ext::tuple etc. in the meantime.
• CMake builds now use a stricter warning level by default; thanks to Ralf Konrad (@ralfkonrad).
• Is it now possible to use std::any and std::optional (and the related std::any_cast and std::nullopt) instead of their boost counterparts by setting new compilation switches; thanks to Jonathan Sweemer (@sweemer). Using the std classes requires C++17. We expect the boost classes to remain the default for a while, but in the meantime we encourage to start using ext::any and ext::optional in preparation for a new default.

• Good Friday 2023 is now a business day for the US government bond calendar; thanks to Anastasiia Shumyk (@ashumyk).
• Added specialized Australian calendar for ASX; thanks to Trent Maetzold (@trentmaetzold).
• Fixed Turkish holidays between 2019 and 2023; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added a few missing holidays to Danish calendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added the Matariki holiday to the New Zealand calendar; thanks to Jake Heke (@jakeheke75).

• Added a new equity cash flow class to model equity legs in total return swaps; thanks to Marcin Rybacki (@marcin-rybacki). Quanto pricing is also supported.
• Added an overloaded constructor for CPI coupons that allows to specify a base date instead of a base CPI value; thanks to Matthias Groncki (@mgroncki).

• Added a new total-return swap; thanks to Marcin Rybacki (@marcin-rybacki). An equity-index class was also added to support this instrument.
• The analytic engine for barrier options would return NaN for low values of volatility; this is now fixed (@lballabio).
• The VanillaOption and BarrierOption classes can now be used to model vanilla and barrier options with discrete dividends; the future dividends (not being part of the terms and conditions of the contract) should be passed to the pricing engine instead (@lballabio).
• Added analytical Greeks to Bjerksund-Stensland engine; thanks to Klaus Spanderen (@klausspanderen).

• Added UKHICP inflation index; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

• Renamed SwaptionVolCube1, SwaptionVolCube1x, SwaptionVolCube1a and SwaptionVolCube2 to SabrSwaptionVolatilityCube, XabrSwaptionVolatilityCube, NoArbSabrSwaptionVolatilityCube and InterpolatedSwaptionVolatilityCube, respectively; thanks to Ignacio Anguita (@IgnacioAnguita). The old names are deprecated but still available for a few releases.
• Ensure that inflation curves are re-bootstrapped correctly when seasonality is added (@lballabio).

• Moved the Heston SLV model from experimental to main; thanks to Klaus Spanderen (@klausspanderen).

• Added a few overloads to Array and Matrix operators taking rvalue references for increased speed; thanks to Jonathan Sweemer (@sweemer).

• Removed features deprecated in version 1.25:
  • the protected spreadLegValue_ data member of BlackIborCouponPricer;
  • the WulinYongDoubleBarrierEngine alias for SuoWangDoubleBarrierEngine;
  • the settlementDate, incomeDiscountCurve, spotIncome, spotValue, impliedYield and forwardValue methods of ForwardRateAgreement, as well as its protected underlyingIncome_, underlyingSpotValue_, settlementDays_, payoff_ and incomeDiscountCurve_ data members;
  • constructors for InflationTermStructure, ZeroInflationTermStructure, InterpolatedZeroInflationCurve, PiecewiseZeroInflationCurve taking an indexIsInterpolated parameter;
  • the indexIsInterpolated method of InflationTermStructure and its protected indexIsInterpolated_ data member;
  • some overloaded constructors of SofrFutureRateHelper.
• Deprecated the DividendVanillaOption and DividendBarrierOption classes; use VanillaOption and BarrierOption instead (see above).
• Deprecated the constructor of AnalyticDividendEuropeanEngine that takes no dividend information; use the other overload instead.
• Deprecated the names SwaptionVolCube1, SwaptionVolCube1x, SwaptionVolCube1a and SwaptionVolCube2 (see above).
• Deprecated the protected setCommon method of CappedFlooredYoYInflationCoupon.

Thanks go also to Jonathan Sweemer (@sweemer), the Xcelerit Dev Team (@xcelerit-dev), Fredrik Gerdin Börjesson (@gbfredrik), Klaus Spanderen (@klausspanderen) and Peter Caspers (@pcaspers) for a number of smaller fixes and improvements, and to Matthias Groncki (@mgroncki) and @lukey8767 for raising issues.

• @jakeheke75 made their first contribution in https://github.com/lballabio/QuantLib/pull/1564
• @trentmaetzold made their first contribution in https://github.com/lballabio/QuantLib/pull/1599
• @ashumyk made their first contribution in https://github.com/lballabio/QuantLib/pull/1620

Full Changelog: https://github.com/lballabio/QuantLib/compare/QuantLib-v1.29...QuantLib-v1.30