Releases: lballabio/QuantLib-SWIG
1.35
Downloads:
Main changes for QuantLib-SWIG 1.35
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/28?closed=1.
- Removed deprecated classes
DividendVanillaOption
andDividendBarrierOption
. - Removed deprecated constructor of
AnalyticDividendEuropeanEngine
taking only a process and no dividends. - Exported missing
CashAnnuityModel
parameter for Black and Bachelier swaption engines (@lballabio). - Exported Ziggurat Gaussian RNG; thanks to Ralf Konrad Eckel (@ralfkonrad).
- Exported a few missing
CashFlows
methods (@lballabio); thanks to GitHub user @heiieh for the heads-up. - Exported new
IborCoupon::hasFixed
method (@lballabio). - Exported new
FittedBondDiscountCurve::resetGuess
method (@lballabio). EuriborSW
renamed toEuribor1W
, old name still available for a while (@lballabio).- Exported lookback days, lockout days and observation shift for overnight-indexed coupons, swaps and helpers (@lballabio).
- Exported
SimpleQuote::reset
method; thanks to Eugene Toder (@eltoder).
Full Changelog: v1.34...v1.35
1.34
Downloads:
Main changes for QuantLib-SWIG 1.34
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/27?closed=1.
- Upgrade to SWIG 4.2.x. This allows to use Python's limited API and thus reduce the number of official wheels to cover the same Python versions.
- Allow swaptions to use OIS as underlying (@lballabio).
- Pass explicit base date to inflation curves instead of observation lag (@lballabio).
- Exported
SavedSettings
as a context manager in Python; thanks to Eugene Toder (@eltoder). - Exported parabolic (Hermite) cubic spline interpolation schemes; thanks to Marcin Rybacki (@marcin-rybacki).
- Exported additional interpolation schemes for
InterpolatedPiecewiseZeroSpreadedTermStructure
; thanks to Marcin Rybacki (@marcin-rybacki). - Exported Tona index; thanks to Jonghee Lee (@nistick21).
- Removed inflation index constructors with
interpolated
parameters as well as theinterpolated
method inInflationIndex
. They're no longer available in C++ (@lballabio). - Export a few new methods for MakeOIS and MakeVanillaSwap; thanks to Eugene Toder (@eltoder).
- Exported
cdsMaturity
function (@lballabio). - Enable different definition of macro
QL_JAVA_INTERFACES
; thanks to Ralf Konrad (@ralfkonrad). - Define a few additional operators in C++ instead of Python; thanks to Eugene Toder (@eltoder).
- Removed uncallable internal
EndCriteria::operator()
method (@lballabio).
Full Changelog: v1.33...v1.34
1.33
Downloads:
Main changes for QuantLib-SWIG 1.33
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/26?closed=1.
- Exported Burley 2020 Sobol generator (@lballabio).
- Allowed different calendars and frequencies for different legs in
OISRateHelper
; thanks to Eugene Toder (@eltoder). - Exported convex-monotone forward-rate curve (@lballabio).
- Exported support for angled contour shift integrals in Heston model; thanks to Klaus Spanderen (@klausspanderen).
- Allowed negative payment lag in swap legs; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Exported
reset
method in calendars; thanks to Fredrik Gerdin Börjesson (@gbfredrik). - Added Python tests for
BondFunctions
; thanks to Francois Botha (@igitur).
Full Changelog: v1.32...v1.33
1.32
Downloads:
Main changes for QuantLib-SWIG 1.32
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/25?closed=1.
- Avoid using the deprecated
distutils
module for the Python wrappers;setuptools
is now required for building (@lballabio). - Exported
LastFixingQuote
; thanks to Eugene Toder (@eltoder). - Added
redemptions
andpaymentLag
arguments to amortizing bond constructors; thanks to Gyan Sinha (@gyansinha). - Exported utility function to simplify notification graph (@lballabio).
- Exported a few exotic options (Margrabe, compound, chooser) and related engines (@lballabio).
- Exported new constructor for OIS (@lballabio).
- Exported missing parameters for iterative bootstrap (@lballabio).
- Exported Xoshiro256** RNG (@lballabio).
New Contributors
- @gyansinha made their first contribution in #584
Full Changelog: v1.31.1...v1.32
1.31.1
Downloads:
Changes for QuantLib-SWIG 1.31.1
QuantLib-SWIG 1.31.1 is a bug-fix release for version 1.31.
It includes a change in the underlying C++ library that fixes a regression that could cause a segmentation fault when bootstrapping an interest-rate curve using OIS rates.
Full Changelog: v1.31...v1.31.1
1.31
Downloads:
Main changes for QuantLib-SWIG 1.31
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/24?closed=1.
- Removed deprecated features no longer available in the underlying C++ library:
- The
CPICoupon
constructor taking a number of fixing days and itsadjustedFixing
method. - The
withFixingDays
methods ofCPILeg
. - The
ZeroInflationCashFlow
constructor taking a calendar and business-day convention. - The
LexicographicalView
class.
- The
- Exported new U.S. SOFR calendar (@lballabio).
- Exported new constructors and
indexRatio
method forCPICoupon
(@lballabio). - Exported new constructors and
underlyingIndex
method forYoYInflationIndex
(@lballabio). - Exported new constructors for
ForwardRateAgreement
(@lballabio). - Rework Python tests to follow standard conventions; thanks to Eugene Toder (@eltoder).
- Updated constructor of
DatedOISRateHelper
to take new parameters; thanks to Eugene Toder (@eltoder). - Exported missing currencies and crypto; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Exported
LogMixedLinearCubic
interpolator and corresponding discount curves; thanks to Eugene Toder (@eltoder). - Exported
ArithmeticAverageOIS
and the corresponding rate helper; thanks to Eugene Toder (@eltoder). - Exported a few missing inspectors for
Swap
; thanks to Eugene Toder (@eltoder). - Exported CORRA, SWESTR and DESTR indexes; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Exported new constructor and Python tests for
JointCalendar
; thanks to Fredrik Gerdin Börjesson (@gbfredrik). - Exported new LazyObject interface (@lballabio).
- Added Python examples for callable bonds and caps; thanks to Nijaz Kovacevic (@NijazK).
- Added convenience methods
of
andtoLocalDate
to Java wrappers that convert QuantLib dates from and tojava.time.LocalDate
; and example is provided. Thanks to Ralf Konrad (@ralfkonrad).
New Contributors
Full Changelog: QuantLib-SWIG-v1.30...v1.31
1.30
Downloads:
Main changes for QuantLib-SWIG 1.30
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/23?closed=1.
- Removed deprecated features no longer available in the underlying C++ library:
- the
WulinYongDoubleBarrierEngine
alias forSuoWangDoubleBarrierEngine
; - the
spotIncome
andspotValue
methods ofForwardRateAgreement
; - constructors for
InterpolatedZeroInflationCurve
andPiecewiseZeroInflationCurve
taking anindexIsInterpolated
parameter; - the
indexIsInterpolated
method ofInflationTermStructure
; - some overloaded constructors of
SofrFutureRateHelper
.
- the
- Renamed
SwaptionVolCube1
toSabrSwaptionVolatilityCube
andSwaptionVolCube2
toInterpolatedSwaptionVolatilityCube
, as in the underlying C++ library; the old names remain available in Python but not in other languages. - Exported new
EquityCashFlow
,EquityIndex
andEquityTotalReturnSwap
classes with a few tests; thanks to Marcin Rybacki (@marcin-rybacki). - Exported constructors for vanilla and barrier pricing engines taking discrete dividends; this makes
DividendVanillaOption
andDividendBarrierOption
obsolete (@lballabio). - Exported new calendars for Austria, Botswana and Romania; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
- Exported new ASX calendar for Australia (@lballabio).
- Exported
FixedLocalVolSurface
andGridModelLocalVolSurface
classes with a test; thanks to Klaus Spanderen (@klausspanderen). - Exported new CPICoupon constructors (@lballabio).
- Exported UKHICP index (@lballabio).
- Exported a few African currencies (@lballabio).
Full Changelog: QuantLib-SWIG-v1.29...QuantLib-SWIG-v1.30
1.29
Downloads:
Main changes for QuantLib-SWIG 1.29
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/22?closed=1.
- Enabled autodoc feature in Python; exported methods and classes have now docstrings reporting their interface and the types of the parameters.
- Enabled CI build and tests for the R wrappers; thanks to @AndLLA.
- Removed deprecated features no longer available in the underlying C++ library:
- the constructor of
UnitedStates
missing an explicit market; - the
nominalTermStructure
method ofInflationTermStructure
; - the
CrossCurrencyBasisSwapRateHelper
class.
- the constructor of
- Added
compounding
andcompoundingFrequency
parameters toFixedRateLeg
(@lballabio). - Exported
CashFlows::npvbps
method (@lballabio). - Exported
baseFixing
andindexFixing
methods inIndexedCashFlow
(@lballabio). - Exported new constructors for zero-inflation indexes (@lballabio).
- Exported missing arguments in
CreditDefaultSwap
constructor (@lballabio). - Exported
Nearest
business-day convention (@lballabio). - Exported
AmortizingCmsRateBond
; thanks to @chenyanlann. - Exported
QuantoBarrierOption
andQuantoBarrierEngine
; thanks to @chenyanlann. - Avoided out-of-bound access to
Matrix
elements (@lballabio). - Exported a number of LMM-related classes (@lballabio).
- Exported YoY inflation coupons and related classes (@lballabio).
- Exported the
CPI::laggedFixing
method; thanks to Marcin Rybacki (@marcin-rybacki). - Exported
QdPlusAmericanEngine
,QdFpAmericanEngine
and related classes; thanks to Klaus Spanderen (@klausspanderen). - Added Python test case for Andreasen-Huge local volatility; thanks to Klaus Spanderen (@klausspanderen).
New Contributors
- @AndLLA made their first contribution in #489
- @chenyanlann made their first contribution in #516
Full Changelog: QuantLib-SWIG-v1.28...QuantLib-SWIG-v1.29
1.28
Downloads:
Main changes for QuantLib-SWIG 1.28
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/21?closed=1.
- Removed deprecated features no longer available in the underlying C++ library:
- the constructors of
ZeroCouponInflationSwap
andZeroCouponInflationSwapHelper
missing an explicit CPI interpolation type; - the constructors of
ActualActual
andThirty360
missing an explicit choice of convention.
- the constructors of
- Renamed
RelinkableYoYOptionletVolatilitySurface
toRelinkableYoYOptionletVolatilitySurfaceHandle
. The old name is still available in Python as deprecated. Currently we have no way to do so in other languages. - Added an implicit conversion in C# from
bool
toboost::optional<bool>
, making it possible to pass parameters of this type. Python already had typemaps defined. Other languages can passOptionalBool(b)
whereb
is the desired bool. - Exported the
Gaussian1dCapFloorEngine
class; thanks to @jacek-bator. - Exported
LazyObject
methods inPiecewiseYieldCurve
; thanks to Francois Botha (@igitur). - Exported Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita (@IgnacioAnguita).
- Exported
PartialTimeBarrierOption
class and related engine; thanks to Ignacio Anguita (@IgnacioAnguita). - Added missing
operator-
toDate
in C#. - Added a few default parameters to the
SABRInterpolation
constructor. - Exported new constructor for
SabrSmileSection
. - Exported new
sinkingSchedule
andsinkingNotionals
functions. - Exported new overload for
CallableBond::impliedVolatility
. - Exported missing end-of-month optional parameter for
OISRateHelper
constructor.
New Contributors
- @jacek-bator made their first contribution in #482
- @igitur made their first contribution in #484
- @IgnacioAnguita made their first contribution in #483
Full Changelog: QuantLib-SWIG-v1.27...QuantLib-SWIG-v1.28
QuantLib-SWIG-v1.27
Downloads:
Main changes for QuantLib-SWIG 1.27
More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/20?closed=1.
- Fixed code generation when Java's
AutoCloseable
support is enabled through the--enable-java-autocloseable
configure switch (@lballabio). - Exported the
SviSmileSection
andSviInterpolatedSmileSection
classes; thanks to Fredrik Gerdin Börjesson (@gbfredrik). - Exported the
QuantoTermStructure
class; thanks to Sebastian Bohlen (@BohlSeb). - Exported the
TurnbullWakemanAsianEngine
class; thanks to Jack Gillett (@jackgillett101). - Exported shorter name (the same as in C++) for
PiecewiseZeroSpreadedTermStructure
(@lballabio). The older and uglierSpreadedLinearZeroInterpolatedTermStructure
is still available. - Exported the
previousCashFlowAmount
andnextCashFlowAmount
methods from theCashFlows
class; thanks to Marcin Rybacki (@marcin-rybacki). - Exported a few missing methods from the
CreditDefaultSwap
class (@lballabio). - Removed the
FDShoutEngine
class, no longer available in the underlying C++ library; thanks to Fredrik Gerdin Börjesson (@gbfredrik). - Removed reference to the deprecated
Disposable
class from interface files; thanks to Jonathan Sweemer (@sweemer).
New Contributors
- @sweemer made their first contribution in #455
- @gbfredrik made their first contribution in #461
- @BohlSeb made their first contribution in #468
Full Changelog: QuantLib-SWIG-v1.26...QuantLib-SWIG-v1.27