Downloads:

• QuantLib-1.37.tar.gz
• QuantLib-1.37.zip

Changes for QuantLib 1.37:

QuantLib 1.37 includes 27 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/35?closed=1.

Portability

• Future change of default: as already announced, in the next release we're going to switch the default for ext::any and ext::optional from the Boost implementation to the standard one.

Dates and calendars

• Added closure for President Carter's funeral to the NYSE calendar; thanks to Dirk Eddelbuettel (@eddelbuettel).
• Added distinct Wellington and Auckland variants for New Zealand calendar (@lballabio).

Indexes

• Improved the performance of the addFixing and addFixings method in the Index class; thanks to Peter Caspers (@pcaspers).
• Added the KOFR index; thanks to Jongbong An (@jongbongan).

Instruments and pricing engines

• Added Choi pricing engine for Asian options; thanks to Klaus Spanderen (@klausspanderen).
• Passing a risk-free overnight index to an asset swap now implies using OIS-like coupons (@lballabio).
• Added Bjerksund-Stensland, Operator-Splitting, Deng-Li-Zhou, Choi and n-dim PDE engines for spread options; thanks to Klaus Spanderen (@klausspanderen).
• Deng-Li-Zhou, Choi and n-dim PDE engines for basket options; thanks to Klaus Spanderen (@klausspanderen).

Term structures

• Possibly breaking: better upper and lower bounds for global bootstrap; thanks to Eugene Toder (@eltoder). If you created your own bootstrap traits, you'll need to add transformDirect and transformInverse methods for them to work with the GlobalBootstrap class.
• Fitted bond curves can now be passed precomputed parameters without the need for bond helpers (@lballabio).
• Use correct guess in SABR swaption vol cube (@lballabio).
• OIS rate helpers can now be passed a date-generation rule; thanks to Sotirios Papathanasopoulos (@sophistis42).
• Swap rate helpers can now be passed explicit start and end dates; thanks to Eugene Toder (@eltoder).
• OIS rate helpers can now be passed explicit start and end dates, making a distinct DatedOISRateHelper class unnecessary; thanks to Eugene Toder (@eltoder).

Cash flows

• Added new MultipleResetsCoupon and MultipleResetsLeg classes to manage coupons with multiple resets (@lballabio). They fix and replace SubPeriodsCoupon and SubPeriodsLeg.

Deprecated features

• Removed features deprecated in version 1.32:
  • the FixedRateBondForward class;
  • the SampledCurve and SampledCurveSet classes;
  • the StepConditionSet and BoundaryConditionSet classes;
  • the ParallelEvolver and ParallelEvolverTraits classes;
  • the FDVanillaEngine and FDMultiPeriodEngine classes;
  • the BSMTermOperator, StandardFiniteDifferenceModel, StandardSystemFiniteDifferenceModel and StandardStepCondition typedefs;
  • the QL_NULL_FUNCTION macro;
  • the overloads of DigitalCmsLeg::withReplication , DigitalCmsSpreadLeg::withReplication and DigitalIborLeg::withReplication taking no arguments;
  • the empty headers analyticamericanmargrabeengine.hpp, analyticcomplexchooserengine.hpp, analyticcomplexchooserengine.hpp, analyticcompoundoptionengine.hpp, analyticeuropeanmargrabeengine.hpp, analyticsimplechooserengine.hpp, complexchooseroption.hpp, compoundoption.hpp, margrabeoption.hpp and simplechooseroption.hpp in the ql/experimental/exoticoptions folder;
  • the empty header ql/experimental/termstructures/multicurvesensitivities.hpp;
  • the empty headers pdeshortrate.hpp and shoutcondition.hpp in the ql/methods/finitedifferences folder;
  • the empty header ql/models/marketmodels/duffsdeviceinnerproduct.hpp;
  • the empty headers fdconditions.hpp, fddividendengine.hpp and fdstepconditionengine.hpp in the ql/pricingengines/vanilla folder.
• Deprecated the SubPeriodsCoupon, SubPeriodsPricer, AveragingRatePricer and CompoundingRatePricer classes; renamed to MultipleResetsCoupon, MultipleResetsPricer, AveragingMultipleResetsPricer and CompoundingMultipleResetsPricer, respectively.
• Deprecated the SubPeriodsLeg class; use MultipleResetsLeg instead.

Thanks go also to Eugene Toder (@eltoder), Ben Watson (@sonben) and the XAD team (@auto-differentiation-dev) for miscellaneous smaller fixes, improvements or reports.

New Contributors

• @sophistis42 made their first contribution in https://github.com/lballabio/QuantLib/pull/2107

Full Changelog: https://github.com/lballabio/QuantLib/compare/v1.36...v1.37