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QuantLib-v1.14

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Changes for QuantLib 1.14:

==========================

QuantLib 1.14 includes 40 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/10?closed=1>.

Portability
-----------

- In April 2018, Microsoft ended its support for Microsoft Visual C++
  2008. As previously announced, this release drops support for it.
- Fixed generation of RPM from QuantLib.spec (thanks to Simon Rees).
- Avoided uses of some features removed in C++17 so that the library
  can be compiled under the latest standard if needed.
- `boost::shared_ptr` and a few related classes and functions were
  imported into the new namespace `QuantLib::ext`.  This allows them to
  be conditionally replaced with their `std::` versions (see the "opt-in
  features" section below).  The default is still to use the boost
  implementation.  Client code using the boost namespace explicitly
  doesn't need to be updated.
- Fixed build and tests on FreeBSD-11 (thanks to Klaus Spanderen and
  to Mikhail Teterin for the heads-up).
- Fixed tests with the `-ffast-math` compilation flag enabled (thanks to
  Klaus Spanderen and to Jon Davies for the heads-up).

Instruments and pricing engines
-------------------------------

- Add different settlement methods for swaptions (thanks to Peter
  Caspers).
- Take into account distinct day-count conventions for different
  curves in the analytic barrier-option engine (thanks to GitHub user
  cosplay-raven).
- Extract the correct constant coefficients to use in
  finite-difference vanilla-option engine when using a time-dependent
  Black-Scholes process (thanks to GitHub user Grant6899 for the
  analysis).

Cash flows and interest rates
-----------------------------

- Added Bibor and THBFIX indices (thanks to Matthias Lungwitz).

Models
------

- Added a hook for using a custom smile model in the Markov functional
  model (thanks to Peter Caspers).
- Added a base class `CalibrationHelperBase` to the hierarchy of
  calibration helpers in order to allow for helpers not using the
  Black model.
- Return underlying dynamics from Black-Karasinski model (thanks to
  Fanis Antoniou).

Finite differences
------------------

- Added higher-order spatial operators (thanks to Klaus Spanderen).
- Added TR-BDF2 finite-difference scheme (thanks to Klaus Spanderen).

Term structures
---------------

- Allow swap helpers to specify end-of-month convention (thanks to
  Matthias Lungwitz).

Date/time
---------

- Prevented division by zero in Actual/365 Canadian day counter
  (thanks to Ioannis Rigopoulos for the heads-up).
- Added Children's Day to the list of Romanian holidays (thanks to
  Matthias Lungwitz).
- Added new calendar for Thailand (thanks to Matthias Lungwitz).
- Added 30/360 German day counter (thanks to Peter Caspers and Alexey
  Indiryakov).

Math
----

- Fixed bug in convex-monotone interpolation (thanks to Peter Caspers
  for the fix and to Tom Anderson for finding the bug).

New opt-in features
-------------------

- It is now possible to use `std::shared_ptr` and its related classes
  instead of `boost::shared_ptr`.  Note that, unlike its boost
  counterpart, `std::shared_ptr` doesn't check for null pointers before
  access; this can lead to crashes.  The feature can be enabled by
  uncommenting the `QL_USE_STD_SHARED_PTR` macro in `ql/userconfig.hpp` on
  Visual C++ or by passing the `--enable-std-pointers` to `./configure` on
  other systems.  This requires using at least the C++11 standard
  during compilation.
- It is now possible to use `std::unique_ptr` instead of `std::auto_ptr`;
  this makes it possible to compile the library in strict C++17 mode
  and to avoid deprecation warnings in C++11 and C++14 mode.  The
  feature can be enabled by uncommenting the `QL_USE_STD_UNIQUE_PTR`
  macro in `ql/userconfig.hpp` on Visual C++ or by passing the
  `--enable-std-unique-ptr` to `./configure` on other systems.

Thanks go also to Sam Danbury, Barry Devlin, Roland Kapl, and GitHub
user todatamining for smaller fixes, enhancements, and bug reports.

QuantLib-v1.13

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QuantLib release 1.13.

QuantLib-v1.12.1

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QuantLib release 1.12.1.

QuantLib-v1.12

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Update history and changelog.

QuantLib-v1.11

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QuantLib release 1.11.

QuantLib-v1.10.1

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QuantLib 1.10.1 release.

This is a bug-fix release for QuantLib 1.10.

QuantLib-v1.10

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QuantLib release 1.10.

QuantLib-v1.9.2

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Update changelog and news.

QuantLib-v1.9.1

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Update ChangeLog and news.

QuantLib-v1.9

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Auto-link required Boost libraries.