Release 1.38 - April 2025

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. Using boost::any and boost::optional is still possible for the time being but deprecated.
Possible future breaking change: in the next release, the SimpleQuote class might be made final. If you're inheriting from it, drop us a line.

DATES AND CALENDARS

The Schedule class now honors the passed business day convention when end-of-month is enabled. Previously, enabling end-of-month caused it to always use the Modified Following convention.
Added Chinese holidays for 2025; thanks to Cheng Li.
Added Thailand holidays for 2025; thanks to Paolo D'Elia.
Added Hong Kong holidays for 2025; thanks to Ka Wai Lee.

INDEXES

Year-or-year inflation indexes can (and should) now be built without an interpolated flag. As for zero inflation indexes, the interpolation was moved into the coupons using the indexes.
Fixed obsolete conventions for the (now discountinued) EUR LIBOR index; thanks to Eugene Toder.

INSTRUMENTS AND PRICING ENGINES

Added implementation of partial-time barrier put options; thanks to Paolo D'Elia.
The OvernightIndexFuture class would not receive notifications when the convexity quote or the evaluation date changed; this is now fixed. Thanks to Eugene Toder.
The experimental BlackCallableFixedRateBondEngine wouldn't take discount correctly into account when evaluation the embedded option; this is now fixed. Thanks to GitHub user RobertS548 for the heads-up.
Moved a few instruments and engines from the experimental folder to the core library:
- HolderExtensibleOption and AnalyticHolderExtensibleOptionEngine;
- WriterExtensibleOption and AnalyticWriterExtensibleOptionEngine;
- PartialTimeBarrierOption and AnalyticPartialTimeBarrierOptionEngine;
- TwoAssetBarrierOption and AnalyticTwoAssetBarrierEngine;
- TwoAssetCorrelationOption and `AnalyticTwoAssetCorrelationEngine;
- ContinuousArithmeticAsianLevyEngine;
- AnalyticPDFHestonEngine.

TERM STRUCTURES

The DepositRateHelper and FraRateHelper classes can now be built specifying fixed dates instead of a tenor; thanks to Eugene Toder.
The cross-currency basis-swap rate helpers can now be passed an overnight index and a corresponding payment frequency; it is also possible to pass a payment lag. Thanks to GitHub user kp9991-git.
The additional penalty functions passed to the GlobalBootstrap class can now take the curve nodes as arguments; thanks to Eugene Toder. This makes it possible, for example, to penalize gradients to make the curve smoother. It is also possible to specify additional variables to be optimized, e.g., futures convexity adjustments.
Added a piecewise forward-spreaded term structure; thanks to Paolo D'Elia.

DEPRECATED FEATURES

Removed features deprecated in version 1.33:
- the constructors of Currency and Currency::Data taking a format string, the format method of the Currency class and the formatString data member of Currency::Data.
Deprecated the constructors of year-on-year inflation indexes taking an interpolated argument; use the other constructors instead.
Deprecated the header files in ql/experimental/exoticoptions for some classes moved to the core library (see above); use the corresponding new headers in ql/instruments and ql/pricingengines instead.

Thanks go also to Eugene Toder, Konstantin Novitsky, Tomas Kalibera and GitHub user raneamri for miscellaneous smaller fixes, improvements or reports.

Release 1.37 - January 21st, 2025

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.
Added distinct Wellington and Auckland variants for New Zealand calendar.

INDEXES

Improved the performance of the addFixing and addFixings method in the Index class; thanks to Peter Caspers.
Added the KOFR index; thanks to Jongbong An.

INSTRUMENTS AND PRICING ENGINES

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

TERM STRUCTURES

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

CASH FLOWS

Added new MultipleResetsCoupon and MultipleResetsLeg classes to manage coupons with multiple resets. 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.
Deprecated the MultipleResetsCoupon constructor without a reset schedule; use the other constructor.
Deprecated the calendar, price, addQuote, addQuotes, clearQuotes, isValidQuoteDate and quotes methods in the CommodityIndex class; use fixingCalendar, fixing, addFixing, addFixings, clearFixings, isValidFixingDate and timeSeries instead.
Deprecated the experimental SpreadOption and KirkSpreadOptionEngine classes; use BasketOption and KirkEngine instead.
Deprecated the TransformedGrid and LogGrid classes and the CenteredGrid, BoundedGrid and BoundedLogGrid functions; use the new FD framework instead.
Deprecated the PdeOperator and BSMOperator classes; use the new FD framework instead.
Deprecated the PdeSecondOrderParabolic, PdeConstantCoeff, PdeBSM and GenericTimeSetter classes; use the new FD framework instead.
Deprecated the hasHistory, getHistory, clearHistory, hasHistoricalFixing and setHistory in the IndexManager class; use Index::hasHistoricalFixing, Index::timeSeries, Index::clearFixings, Index::hasHistoricalFixing and Index::addFixings instead.
Deprecated the notifier method in the IndexManager class; register with the relevant index instead.
Deprecated one of the AssetSwap constructors; use the other overload.
Deprecated the fcn and jacFcn methods in the LevenbergMarquardt class; they are for internal use only.
Deprecated the indexIsInterpolated parameter in YoY inflation curve constructors; use another overload. Fixings will be interpolated by coupons instead, so curves and indexes will only be asked for fixing at the start of a month.
Deprecated the indexIsInterpolated method and the indexIsInterpolated_ data member in the YoYInflationTermStructure class.
Deprecated the DatedOISRateHelper class; use OISRateHelper instead.

Thanks go also to Eugene Toder, Ben Watson and the XAD team for miscellaneous smaller fixes, improvements or reports.

Release 1.36 - October 14th, 2024

PORTABILITY

New minimum C++ standard: starting from this release, a compiler supporting C++17 is required. Passing --enable-std-classes to configure now causes std::any and std::optional to be used.
End of support: related to the above, and as announced since release 1.32, this release drops support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4. Also, given the testing environments available on GitHub actions, clang 5 and 6 are no longer available to us for testing, and the same holds for g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
End of support: this release also removes the configure switch that allowed to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes were already the default since release 1.32. The corresponding classes in the ext namespace are now deprecated.
Future change of default: in a couple of releases, 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 startOfMonth and isStartOfMonth methods to both Date and Calendar; thanks to Francois Botha.
Added specialized Warsaw Stock Exchange (WSE) calendar to Poland; thanks to Marcin Bogusz.
Added a new one-off holiday to South Korean calendar; thanks to Jongbong An.

CASH FLOWS

MadeOvernightIndexedCouponPricer public and renamed to CompoundingOvernightIndexedCouponPricer, and moved ArithmeticAveragedOvernightIndexedCouponPricer from experimental to core library; thanks to Ralf Konrad Eckel.

INDEXES

Possibly breaking: inherited the Index class from Observer and added a virtual pastFixing method. If you inherited a class from both Index and Observer, change your code to avoid inheriting twice from Observer. Thanks to Ralf Konrad Eckel.
Added currency information to EquityIndex; thanks to Ralf Konrad Eckel.

INFLATION

Inflation indexes are now better at deciding when to forecast; also added a needsForecast method that makes the information available.
Added CPI::laggedYoYRate; also, YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper and the experimental YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface can now take an explicit CPI::InterpolationType parameter instead of relying on the index being defined as interpolated or not. This is a first step in removing interpolation from YoYInflationIndex and moving it into the coupons where it belongs.
Added method to YoY inflation index returning the date of the last available fixing.

TERM STRUCTURES

Allow passing a pricer to the constructor of the OISRateHelper and DatedOISRateHelper classes; this makes it possible to use arithmetic averaging of overnight rates.
Allow custom constraint in non-linear fitting methods; thanks to Kai Lin.
Allow creating a swap helper with frequency "Once".
The GlobalBootstrap constructor can now take an optional optimizer and end criteria, allowing for better configuration; thanks to Eugene Toder.

VOLATILITY

Added exact Bachelier implied-vol formula from Jäckel's paper; thanks to Peter Caspers.

DEPRECATED FEATURES

Removed features deprecated in version 1.31:
- the BlackVanillaOptionPricer typedef;
- the constructors of CPICoupon taking a spread parameter, its spread method, and its protected spread_ data member;
- the withSpreads method of CPILeg;
- the protected adjustedFixing method and spread_ data member of CPICouponPricer;
- the YYAUCPIr, YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr indexes and the experimental YYGenericCPIr class;
- the constructor of YoYInflationIndex taking a ratio parameter;
- a couple of constructors of ForwardRateAgreement;
- the empty files ql/math/curve.hpp, ql/math/lexicographicalview.hpp, ql/termstructures/yield/drifttermstructure.hpp and ql/patterns/composite.hpp;
- the const_iterator and const_value_iterator typedefs in the Garch11 class;
- the const_time_iterator, const_value_iterator, const_reverse_time_iterator and const_reverse_value_iterator typedefs and the cbegin_values, cend_values, crbegin_values, crend_values, cbegin_time, cend_time, crbegin_time and crend_time methods of the TimeSeries class;
- the base, increment, decrement, advance and distance_to method of the step_iterator class.
Deprecated ext::function, ext::bind, ext::ref, ext::cref, ext::placeholders, ext::tuple, ext::make_tuple, ext::get and ext::tie; use the corresponding std:: classes and functions instead.
Deprecated the ArithmeticAverageOIS, MakeArithmeticAverageOIS and ArithmeticOISRateHelper classes; use OvernightIndexedSwap, MakeOIS and OISRateHelper instead.
Deprecated the YoYInflationCoupon, yoyInflationLeg, CappedFlooredYoYInflationCoupon, YearOnYearInflationSwap, MakeYoYInflationCapFloor, YearOnYearInflationSwapHelper, YoYOptionletHelper, YoYCapFloorTermPriceSurface and InterpolatedYoYCapFloorTermPriceSurface constructors that don't take an explicit CPI interpolation type.
Deprecated the getInfo method of LevenbergMarquardt; inspect the result of minimize instead.
Deprecated the ql/experimental/averageois/averageoiscouponpricer.hpp file; include ql/cashflows/overnightindexedcouponpricer.hpp instead.
Deprecated the somewhat out-of-scope and experimental CreditRiskPlus, SensitivityAnalysis, aggregateNPV, parallelAnalysis and bucketAnalysis.

Thanks go also to Jonathan Sweemer, Eugene Toder, Ralf Konrad Eckel, Tony Wang and the XAD team for miscellaneous smaller fixes, improvements or reports.

Release 1.35 - July 23rd, 2024

PORTABILITY

Future end of support: as announced since release 1.32, this release is the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in next release, 1.36, about three months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base. Also, given the testing environments available on GitHub actions, clang 5 and 6 are no longer available to us for testing, and the same holds for g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
The config.hpp generated by cmake now behaves like the one generated by autotools and provides values for the defines so that they can be used in static_assert. Thanks to Tom Anderson for the heads-up.

CALENDARS

Some fixes for the Chilean calendar; thanks to Eugene Toder.
Better NFP/SIFMA rule for Good Friday in U.S. government bond calendar; thanks to Eugene Toder.
Updated Indian NSE holidays for 2024; thanks to Fredrik Gerdin Börjesson.
Some fixes for the Mexican calendar; thanks to Lucas Dias.

CASH FLOWS

Added lookback days, lockout days and observation shift to overnight-indexed coupons; thanks to Marcin Rybacki. The same parameters were propagated to overnight-indexed swaps and to the corresponding helpers.
Added the hasFixed method to IBOR coupons that detects whether they have fixed or still need to be forecast; thanks to Tom Anderson.

INSTRUMENTS

Overnight index futures didn't manage a start date falling on a holiday; this is now fixed. Thanks to GitHub user JustCallMeDavid for the heads-up.
Callable bonds didn't account for nominal when calculating OAS; this is now fixed. Thanks to Hristo Raykov.
For European swaption, sometimes the price is quoted as a forward price to be paid at exercise time. Such a quoted price can now be used for implied-volatility calculation. The forward price is also returned by the Black and Bachelier swaption engines as an additional result.

RANDOM NUMBERS

Added the fast ZigguratGaussianRng generator; thanks to Ralf Konrad Eckel.

TERM STRUCTURES

Fix treatment of custom end date in FuturesRateHelper.
Add possibility to reset guess in fitted bond curves. Thanks to GitHub user klin333 for the suggestion.

UTILITIES

Overloaded Handle and RelinkableHandle constructors on lvalue and rvalue references for performance; thanks to Jonathan Sweemer.

TOOLS

Better benchmark utility; thanks to Jacques du Toit.

EXAMPLES

Reworked bond example.

DEPRECATED FEATURES

Removed features deprecated in version 1.30:
- the DividendVanillaOption and DividendBarrierOption classes;
- the constructor of AnalyticDividendEuropeanEngine taking only a process and no dividends;
- the SwaptionVolCube1, SwaptionVolCube1a, SwaptionVolCube1x and SwaptionVolCube2 typedefs and the empty headers ql/experimental/volatility/swaptionvolcube1.hpp, ql/experimental/volatility/swaptionvolcube1a.hpp and ql/experimental/volatility/swaptionvolcube2.hpp;
- the setCommon method of CappedFlooredYoYInflationCoupon.
Deprecated the constructor of DatedOISRateHelper taking a forward start; use the other overload instead.
Deprecated the specialized Bibor9M, Euribor2W, Euribor3W, Euribor2M, Euribor4M, Euribor5M, Euribor7M, Euribor8M, Euribor9M, Euribor10M, Euribor11M, Euribor365_SW, Euribor365_2W, Euribor365_3W, Euribor365_1M, Euribor365_2M, Euribor365_3M, Euribor365_4M, Euribor365_5M, Euribor365_6M, Euribor365_7M, Euribor365_8M, Euribor365_9M, Euribor365_10M, Euribor365_11M, Euribor365_1Y, EURLiborSW, EURLibor2W, EURLibor2M, EURLibor4M, EURLibor5M, EURLibor7M, EURLibor8M, EURLibor9M, EURLibor10M, EURLibor11M; if needed, use the corresponding generic class and pass the tenor (for instance, Euribor(4 * Months)).
Renamed EuriborSW to Euribor1W and deprecated the old name.
Deprecated the constructor of RelinkableHandle taking a raw pointer.

Thanks go also to Dmitri Goloubentsev, Eleanor Green, Tom Anderson, Peter Caspers, Jonghee Lee, Ralf Konrad Eckel and the XAD team for miscellaneous fixes, improvements or reports.

Release 1.34 - April 24th, 2024

PORTABILITY

Future end of support: as announced in release 1.32, we're targeting next release (1.35) as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about six months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base. Also, given the testing environments available on GitHub actions, clang 5 is already no longer available to us for testing, and in a while the same will hold for clang 6 and g++ 7. Therefore, it is suggested to upgrade to a newer version if possible.
Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
Generate and install pkg-config files in CMake builds; thanks to GitHub user jez6.

DATES AND CALENDARS

Prevent Calendar::advance from returning the business end of month (instead of the calendar end) when endOfMonth is true and convention is Unadjusted; thanks to GitHub user DeimosXing.
Add good Friday holiday for SOFR fixing; thanks to GitHub user PaulXiCao.
Properly restrict São Paulo city holiday to years before 2022; thanks to Marco Bruno Ferreira Vasconcellos.
Update holidays for 2023 and 2024 in calendars for India, Thailand, Singapore and South Africa; thanks to Fredrik Gerdin Börjesson.

CASH FLOWS

Fixed a couple of cases in which notifications were not forwarded properly; thanks to GitHub user djkrystul for the heads-up.
Fixed past payment dates and added support for OIS in LinearTsrPricer; thanks to Peter Caspers.

INSTRUMENTS

Swaptions can now take an OIS as underlying; thanks to Guillaume Horel and Peter Caspers. So far, only BlackSwaptionEngine manages OIS explicitly; other engines might work and return approximated values.
More methods in MakeOIS and MakeVanillaSwap; thanks to Eugene Toder.
More methods in the BondFunctions class now support either clean or dirty prices; thanks to Francois Botha.
The basisPointValue and yieldValueBasisPoint methods in BondFunctions didn't always manage the settlement date correctly; this is now fixed (thanks to GitHub user jez6).
Add Custom to Futures::Type enumeration to allow passing custom dates to futures; thanks to Eugene Toder.

TERM STRUCTURES

Inflation curves can now be built passing an explicit base date (corresponding to the last published fixing) instead of an observation lag.
Fixed calculation of year fraction under Actual/365 Canadian convention in FuturesRateHelper; thanks to GitHub user PaulXiCao.
Fixed settlement date calculation in cross-currency basis-swap rate helpers in some cases; thanks to Marcin Rybacki for the fix and to Aleksis Ali Raza for the heads-up.

MATH

Handle non-equidistant grids and arbitrary dimensions in Laplace interpolation; thanks to Peter Caspers.

DEPRECATED FEATURES

Removed features deprecated in version 1.29:
- The argument_type, first_argument_type, second_argument_type and result_type typedefs in several classes;
- The overloads of zero-rate inflation index constructors taking an interpolated argument;
- The interpolated method and the protected interpolated_ data member in InflationIndex;
- The overload of CashFlows::npvbps taking the result by reference;
- The protected rateCurve_ method in InflationCouponPricer;
- The ThreadKey typedef;
- The empty header ql/experimental/credit/riskybond.hpp.
Deprecated the constructors of InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure, InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag; use the overloads taking an explicit base date instead.
Deprecated the Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread overloads taking a clean price as a number; use the overloads taking a Bond::Price instead.
Deprecated the InflationTermStructure::setSeasonality overload taking no arguments; use the overload taking a pointer and pass an empty one to remove seasonality.
Deprecated the InflationTermStructure::setBaseRate method; set baseRate_ directly if needed.
Deprecated the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods; use underlying instead.
Deprecated the broken FixedRateBondHelper::fixedRateBond and CPIBondHelper::cpiBond methods and the corresponding fixedRateBond_ and cpiBond_ data members.

Thanks go also to Isuru Fernando, Viktor Zhou, Stephen Dacek, Yi Jiang, Jonathan Sweemer, Eugene Toder, the XAD team and GitHub user PaulXiCao and klin333 for miscellaneous fixes, improvements or reports.

Release 1.33 - January 22nd, 2024

PORTABILITY

Future end of support: as announced in release 1.32, we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about nine months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.
Added CMake presets for Apple; thanks to Christian Köhnenkamp.

DATES AND CALENDARS

Added New Year's Eve as a holiday to the Chilean calendar; thanks to GitHub user MoixaStrikes.
Added Black Awareness Day as a holiday to the Brazilian calendar starting from 2024; thanks to GitHub user PaulXiCao.
Added Inauguration Day as a holiday to the Mexican calendar starting from 2024; thanks to Fredrik Gerdin Börjesson.
Added Chinese holidays for 2024; thanks to Cheng Li.
Updated list of known ECB dates; thanks to GitHub user PaulXiCao.
Added Thailandese and Taiwanese holidays up to 2024; thanks to Fredrik Gerdin Börjesson.
Added a one-time holiday to the South African calendar; thanks to Francois Botha.

MODELS

Added support for angled contour shift integrals to Heston model; thanks to Klaus Spanderen.

INSTRUMENTS

Allow different calendars and frequencies for different legs in MakeOIS and OISRateHelper; thanks to Eugene Toder.
Enabled negative payment lag in swap legs; thanks to GitHub user Stoozy.

RANDOM NUMBERS

Added Burley 2020 scrambled Sobol sequence generator; thanks to Peter Caspers.

TESTS

Use automated registration of unit tests; thanks to Siddharth Mehrotra.
Added a few fuzzing tests; thanks to Nathaniel Brough.
Improved test coverage for a few classes; thanks to GitHub user PaulXiCao.

DEPRECATED FEATURES

Removed features deprecated in version 1.28:
- The overload of CallableBond::impliedVolatility taking an NPV as target.
- The constructor of AmortizingFixedRateBond taking a sinking frequency.
- The constructor of AmortizingFixedRateBond taking a vector of InterestRate instances.
- The constructor of FixedRateBond taking start date, maturity date etc. instead of a schedule.
- The constructor of FixedRateBond taking a vector of InterestRate instances.
- The constructor of FloatingRateBond taking start date, maturity date etc. instead of a schedule.
- The constructor of CPICapFloor taking a handle to an interest-rate index.
- The CPICapFloor::inflationIndex method.
- The infIndex data member of the CPICapFloor::arguments class.
- A redundant constructor of SabrSmileSection.
- The empty headers ql/experimental/amortizingbonds/amortizingcmsratebond.hpp, ql/experimental/amortizingbonds/amortizingfixedratebond.hpp and ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp.
Deprecated the constructor of Currency and Currency::Data taking a format string, and the Currency::format method.

Thanks go also to Yi Jiang, Hoang Giap Vu, Jonathan Sweemer and the XAD team for smaller fixes and improvements.

Release 1.32 - October 20th, 2023

PORTABILITY

Possibly breaking change: the protected evaluationDate_ data member of the SwaptionVolatilityDiscrete class was renamed to cachedReferenceDate_.
Future end of support: we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about one year from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.
Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; starting from this release, the std classes are already the default.
Reorganized the CMake presets; thanks to the XAD team.

CASH FLOWS

All cash flows are now lazy; thanks to Peter Caspers.

INSTRUMENTS

Overnight-indexed swaps can now have different schedules and nominals on the two legs; thanks to Tom Anderson.
Margrabe options, compound options and chooser options were moved from experimental to core.
Introduced common base class FixedVsFloatingSwap for vanilla swap and overnight-indexed swaps; this will be used in the future to help a few existing swap engines support OIS.
Added optional redemptions argument to amortizing bond constructors. This allows them to be used for pools of loans where a certain proportion of the underlying loans are subject to defaults and losses. Thanks to Gyan Sinha.
It is now possible to manually prune the notification tree for swaps and bonds if one knows that the cashflows won't change pricer; thanks to Peter Caspers.

MODELS

Fixed the algorithm to add instruments to the calibration set of the Markov model; thanks to Peter Caspers for the fix and Giuseppe Trapani for the heads-up.

TERM STRUCTURES

Time-to-date conversion in some swaption volatility classes could return the wrong date before the first exercise date; this is now fixed, thanks to Peter Caspers.
It's now possible to specify the maximum number of iteration for the solver inside a bootstrapped term structure; thanks to Jonathan Sweemer for the change and Daniel Ángeles Ortiz for the heads-up.
Reduced the number of notifications for bootstrap helpers; thanks to Peter Caspers.

RANDOM NUMBERS

Added the xoshiro265** random-number generator; thanks to Ralf Konrad. It is faster than the Mersenne Twister and might be used as default in the future.

EXAMPLES

The code of the examples has been modernized a bit; thanks to Jonathan Sweemer.

PATTERNS

Avoided a possible crash when using observables in a multi-threaded setting; thanks to Peter Caspers.

DEPRECATED FEATURES

Removed features deprecated in version 1.27:
- The QL_NULL_INTEGER, QL_NULL_REAL, QL_NOEXCEPT, QL_CONSTEXPR and QL_USE_STD_UNIQUE_PTR macros.
- The MultiCurveSensitivities class.
- The constant, identity, square, cube, fourth_power, add, subtract, subtract_from, multiply_by, divide, divide_by, less_than, greater_than, greater_or_equal_to, not_zero, not_null, everywhere, nowhere, equal_within, clipped_function, clip, composed_function, compose, binary_compose3_function and compose3 functors.
- The PdeShortRate, ShoutCondition, FDShoutCondition, FDStepConditionEngine and FDEngineAdapter classes from the old finite-differences framework.
- The dsd::inner_product function.
- The FDDividendEngineBase, FDDividendEngineMerton73, FDDividendEngineShiftScale and FDDividendEngine pricing engines.
- The empty headers ql/auto_ptr.hpp, ql/math/initializers.hpp, ql/methods/finitedifferences/americancondition.hpp, ql/methods/finitedifferences/onefactoroperator.hpp, ql/pricingengines/vanilla/fddividendshoutengine.hpp, ql/pricingengines/vanilla/fdshoutengine.hpp and ql/utilities/disposable.hpp.
Deprecated the StandardFiniteDifferenceModel, StandardSystemFiniteDifferenceModel and StandardStepCondition typedefs; define your own typedefs if needed.
Deprecated the FDVanillaEngine, FDMultiPeriodEngine, StepConditionSet, ParallelEvolverTraits, ParallelEvolver and SampledCurveclasses and the BSMTermOperator and SampledCurveSet typedefs; use the new finite-differences framework instead.
Deprecated the QL_NULL_FUNCTION macro; to check if a function is empty, use it in a bool context instead.
Deprecated the now empty headers ql/experimental/exoticoptions/margrabeoption.hpp, ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp, ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp, ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp, ql/experimental/exoticoptions/simplechooseroption.hpp, ql/experimental/exoticoptions/compoundoption.hpp, ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp, ql/experimental/exoticoptions/analyticsimplechooserengine.hpp, ql/experimental/exoticoptions/complexchooseroption.hpp, ql/experimental/termstructures/multicurvesensitivities.hpp, ql/methods/finitedifferences/shoutcondition.hpp, ql/methods/finitedifferences/pdeshortrate.hpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fdstepconditionengine.hpp, ql/pricingengines/vanilla/fdconditions.hpp and ql/models/marketmodels/duffsdeviceinnerproduct.hpp.

Thanks go also to Jonathan Sweemer, Ralf Konrad, Klaus Spanderen, Peter Caspers, Tom Anderson, Fredrik Gerdin Börjesson, Guillaume Horel and the XAD team for a number of smaller fixes and improvements.

Release 1.31.1 - July 24th, 2023

QuantLib 1.31.1 is a bug-fix release for QuantLib 1.31.

It fixes a regression that could cause a segmentation fault when bootstrapping an interest-rate curve using OIS rates.

Release 1.31 - July 18th, 2023

PORTABILITY

Future end of support: as announced in the notes for the previous release, after this release 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.
The cmake build now creates (but doesn't install) a quantlib-config script that can be used to retrieve flags for compiling QuantLib-dependent projects; thanks to Christian Köhnenkamp.
A number of Boost classes and functions only used internally were replaced by their standard-library equivalent; thanks to Jonathan Sweemer.

PATTERNS

Optional change of behavior: by default, the LazyObject class forwards only one notification after recalculating and silently ignores the others. In some edge cases, this could lead to objects not being updated. It's now possible to enable a different behavior where all notifications are forwarded; the new behavior can be chosen at compile time via the configure option --disable-faster-lazy-objects (or disabling QL_FASTER_LAZY_OBJECTS in cmake or userconfig.hpp) or at run time by calling LazyObject::Defaults::instance().alwaysForwardNotifications(). This might cause a slow down, so you're invited to try it out and report on the mailing list. If there are no problems, the new behavior might become the default in future releases. Also, a new configure option --enable-throwing-in-cycles (QL_THROW_IN_CYCLES in cmake or userconfig.hpp) is optionally available; when both this option and the new behavior are enabled, notifications cycles involving a lazy object will throw an exception. It is suggested to try enabling the option and removing such loops, if any. Thanks to Peter Caspers for the change and to Ralf Konrad, Jonathan Sweemer and GitHub user djkrystul for feedback.

DATE/TIME

Change of behavior: when the end-of-month option is true, the constructor of a schedule no longer adjust to the end of their month the effective date and the termination date if they were passed explicitly. Thanks to Hristo Raykov.
Added separate US SOFR calendar to manage days that are business days for the US government bond market but in which SOFR doesn't fix; for instance, Good Friday 2023. Thanks to Tom Anderson for reporting the issue.
Fixed some rolling rules for South Korean calendar; thanks to Jonghee Lee.
Fixed incorrect 2023 holidays for Hong Kong calendar; thanks to Fredrik Gerdin Börjesson.
Added Hong Kong holidays for 2021-2024; thanks to Rémy Frèrebeau and Binrui Dong.
Added Singapore holidays for 2019-2023; thanks to Rémy Frèrebeau.
Added Indian holidays for 2021-2025; thanks to Fredrik Gerdin Börjesson.
Added Taiwanese holidays for 2020-2023; thanks to GitHub user jsmx.
Added a few election days for South African and South Korean calendar; thanks to Fredrik Gerdin Börjesson.
Updated Danish calendar; starting in 2024, General Prayer Day will no longer be a holiday. Thanks to Fredrik Gerdin Börjesson.
Fixed a few holidays in Finland and Singapore calendars; Thanks to Fredrik Gerdin Börjesson.
More day counters (Act/364, Act/365.25, Act/366) now take into account intraday resolution when enabled; thanks to Klaus Spanderen.

CASH FLOWS

The accrued amount for CPI coupons is now correctly based on the index ratio at settlement date. An inspector for retrieving the index ratio at a given date was also added.
Enabled the use of normal volatilities in Hagan pricer for CMS coupons; thanks to Andre Miemiec.
Floating-rate coupons are now lazy; thanks to Peter Caspers.

INDEXES

When passed a tenor of 7 or 14 business days, interest-rate indexes would wrongly convert it to 1 or 2 weeks. This is now fixed. Thanks to Eugene Toder for reporting the issue.
Added DESTR and SWESTR indexes; thanks to Fredrik Gerdin Börjesson.
Added CORRA index; thanks to GitHub user AND2797.
When an YoY inflation index is calculated as a ratio, the underlying inflation index is available through an inspector and its fixings are used to calculate the fixing of the YoY index.

INSTRUMENTS

Instruments now register automatically with the global evaluation date and are notified when it changes. This makes sense in general (if the evaluation date changes, you probably want to recalculate) and can also help avoid some edge cases when lazy objects only forward their first notification.
Allowed passing a schedule without a regular tenor to callable fixed-rate bonds; thanks to Hristo Raykov for the fix and to GitHub user OleBueker for reporting the issue.
Reorganized the constructors of FRA instruments; thanks to Jake Heke.

TERM STRUCTURES

Ensures that upfront CDS helpers update correctly when the global evaluation date changes; thanks to Andrea Pellegatta for the fix and to GitHub user bkhoor for reporting the issue.
Allow more maturities for SOFR quarterly contract in SOFR futures rate helper; thanks to Jake Heke.
Added constructor for date-dependent strikes to StrippedOptionlet; thanks to Peter Caspers.

TEST SUITE

Global settings (such as the evaluation date) are now restored and index fixings are now cleaned automatically at the end of each test case, making it unnecessary to clean them up manually. Thanks to Eugene Toder.
The parallel unit-test runner now passes the --run_test=<filter> option down to the underlying Boost.Test implementation. Thanks to Eugene Toder.

DEPRECATED FEATURES

Removed features deprecated in version 1.26:
- The CPICoupon constructor taking a number of fixing days and its indexObservation, adjustedFixing and indexFixing(date) methods.
- The CPICashFlow constructor taking a fixing date.
- The withFixingDays methods of CPILeg.
- The ZeroInflationCashFlow constructor taking a calendar and business-day convention.
- The LsmBasisSystem::PolynomType typedef and the MakeMCAmericanEngine::withPolynomOrder method.
- The Observer::set_type and Observable::set_type typedefs.
- The Curve class.
- The LexicographicalView class.
- The Composite class.
- The DriftTermStructure class.
Deprecated the various time_iterator and value_iterator types in TimeSeries, as well as methods returning them. The more general const_iterator and const_reverse_iterator types can be used instead.
Deprecated the constructors of CPICoupon taking a spread, as well as its spread method, its protected spread_ data member, and the withSpreads methods of CPILeg.
Deprecated the adjustedFixing method and the protected spread_ data member of CPICouponPricer.
Renamed BlackVanillaOptionPricer to MarketQuotedOptionPricer and deprecated the old name.
Deprecated a couple of constructors of ForwardRateAgreement.
Deprecated the constructor of YoYInflationIndex taking a ratio. Also, deprecated explicit classes for YoY ratio indexes YYGenericCPIr, YYAUCPIr, YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr.
Deprecated the base, increment, decrement, advance and distance_to methods of the step_iterator class.

Thanks go also to Jonathan Sweemer, Jose Garcia, Jake Heke, Eugene Toder, Binrui Dong, the Xcelerit Dev Team, Ralf Konrad, Tom Anderson and Fredrik Gerdin Börjesson for a number of smaller fixes and improvements.

Release 1.30 - April 19th, 2023

PORTABILITY

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.
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. 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.

DATE/TIME

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

CASHFLOWS

Added a new equity cash flow class to model equity legs in total return swaps; thanks to 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.

INSTRUMENTS

Added a new total-return swap; thanks to 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.
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.
Added analytical Greeks to Bjerksund-Stensland engine; thanks to Klaus Spanderen.

INDEXES

Added UKHICP inflation index; thanks to Fredrik Gerdin Börjesson.

TERM STRUCTURES

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

MODELS

Moved the Heston SLV model from experimental to main; thanks to Klaus Spanderen.

MATH

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

DEPRECATED FEATURES

Removed features deprecated in version 1.24:
- 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, the Xcelerit Dev Team, Fredrik Gerdin Börjesson, Klaus Spanderen and Peter Caspers for a number of smaller fixes and improvements, and to Matthias Groncki and GitHub user lukey8767 for raising issues.

Release 1.29 - January 17th, 2023

PORTABILITY

End of support: as announced in the notes for the previous release, this release no longer manages thread-local singletons via a user-provided sessionId function, and therefore the latter is no longer needed. Instead, the code now uses the built-in language support for thread-local variables. Thanks go to Peter Caspers.
Future end of support: as announced in the notes for the previous release, after the next couple of releases, 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.
Replaced internal usage of boost::thread with std::thread; thanks to Jonathan Sweemer. This removed our last dependency on Boost binaries and makes it possible to compile QuantLib using a header-only Boost installation.
On Windows, it is now possible to use the MSVC dynamic runtime when using cmake by passing -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL on the command line; thanks to Jonathan Sweemer. The static runtime remains the default.
It is now possible to build QuantLib with Intel's icpx compiler using cmake; thanks to Jonathan Sweemer. Note that in order to get all the unit tests passing, -fp-model=precise must be added to CMAKE_CXX_FLAGS.

DATE/TIME

Updated Chinese holidays for 2023; thanks to Cheng Li.
Added in-lieu holiday for Christmas 2022 to South-African calendar; thanks to Joshua Hayes.
Added King Charles III coronation holiday to UK calendar; thanks to Fredrik Gerdin Börjesson.
Added holiday for National Day of Mourning to Australian calendar; thanks to Fredrik Gerdin Börjesson.

INSTRUMENTS

Added high performance/precision American engine based on fixed-point iteration for the exercise boundary; thanks to Klaus Spanderen.
Bonds with draw-down (i.e., increasing notionals) are now allowed; thanks to Oleg Kulkov.
Added withIndexedCoupons and withAtParCoupons methods to MakeSwaption for easier initialization; thanks to Ralf Konrad.
It is now possible to use the same pricing engine for vanilla and dividend vanilla options, or for barrier and dividend barrier options.

INDEXES

Creating a zero inflation index as "interpolated" is now deprecated; thanks to Ralf Konrad. The index should only return monthly fixings. Interpolation is now the responsibility of inflation-based coupons.

TERM STRUCTURES

The ConstantCPIVolatility constructor can now take a handle to a volatility quote, instead of just an immutable number.

DEPRECATED FEATURES

Removed features deprecated in version 1.24:
- the createAtParCoupons, createIndexedCoupons and usingAtParCoupons methods of IborCoupon;
- the RiskyBond class and its subclasses RiskyFixedBond and RiskyFloatingBond;
- the CrossCurrencyBasisSwapRateHelper typedef;
- the termStructure_ data member of BlackCalibrationHelper;
- the static baseCurrency and conversionType data members of Money;
- the nominalTermStructure method and the nominalTermStructure_ data member of InflationTermStructure;
- the constructor of the UnitedStates calendar not taking an explicit market.
Deprecated the argument_type, first_argument_type, second_argument_type and result_type typedefs in a number of classes; use auto or decltype instead.
Deprecated the constructors of InflationIndex, ZeroInflationIndex, FRHICP, ZACPI, UKRPI, EUHICP, EUHICPXT, USCPI, AUCPI and GenericCPI taking an interpolated parameter; use another constructor.
Deprecated the interpolated method and the interpolated_ data member of InflationIndex.
Deprecated the ThreadKey typedef. It was used in the signature of sessionId, which is no longer needed after the changes in the Singleton implementation.
Deprecated the rateCurve_ data member of the InflationCouponPricer base class. If you need it, provide it in your derived class.
Deprecated the npvbps function taking NPV and BPS as references. Use the overload returning a pair of Reals.

Thanks go also to Matthias Groncki, Jonathan Sweemer and Nijaz Kovacevic for a number of smaller fixes and improvements, to the Xcelerit Dev Team for improvements to the automated CI builds, and to Vincenzo Ferrazzanno and GitHub users alienbrett, xuruilong100 and philippb90 for raising issues.

Release 1.28 - October 25th, 2022

PORTABILITY

New language standard: as announced in the notes for the previous release, this release started using some C++14 syntax. This should be supported by most compilers released in the past several years.
End of support: as announced in the notes for the previous release, this release is 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.
Future end of support: after the next two or three releases, 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.

DATE/TIME

Added Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita.
Added H.M. the Queen's funeral to the UK calendars; thanks to Tomass Wilson.

INSTRUMENTS

Amortizing bonds were moved out of the experimental folder. Also, a couple of utility functions were provided to calculate amortization schedules and notionals.

PRICING ENGINES

Fixed results from COSHestonEngine in the case of an option with short time to expiration and deep ITM or deep OTM strike prices; thanks to Ignacio Anguita.
The ISDA engine for CDS could calculate the fair upfront with the wrong sign; this is now fixed, thanks to Gualtiero Chiaia.

TERM STRUCTURES

The constructor for OISRateHelper now allows to specify the endOfMonth parameter; thanks to Guillaume Horel.

FINITE DIFFERENCES

Fixed computation of cds boundaries in LocalVolRNDCalculator; thanks to GitHub user mdotlic.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases.

Breaking change: the constructor of the CPICapFloorTermPriceSurface class now also takes an explicit interpolation type.
Possibly breaking: the protected constructor for CallableBond changes its arguments. If you inherited from this class, you'll need to update your code. If you're using the existing derived bond classes, the change will be transparent.
Pricing engines for callable bonds worked incorrectly when the face amount was not 100. This is now fixed.
The impliedVolatility method for callable bonds was taking a target NPV, not a price. This implementation is now deprecated, and a new overload was added taking a price in base 100.

DEPRECATED FEATURES

Removed features deprecated in version 1.23:
- the constructors of ZeroCouponInflationSwap and ZeroCouponInflationSwapHelper missing an explicit CPI interpolation type;
- the constructors of ActualActual and Thirty360 missing an explicit choice of convention, and the constructor of Thirty360 passing an isLastPeriod boolean flag.
Deprecated the constructors of FixedRateBond taking an InterestRate instance or not taking a Schedule instance.
Deprecated the constructor of FloatingRateBond not taking a Schedule instance.
Deprecated the constructors of AmortizingFixedRateBond taking a sinking frequency or a vector of InterestRate instances.
Deprecated the constructor of CPICapFloor taking a Handle to an inflation index, and its inflationIndex method returning a Handle. New versions of both were added using shared_ptr instead.
Deprecated one of the constructors of SabrSmileSection; a new version was added also taking an optional reference date.
Deprecated the old impliedVolatility method for callable bonds; see above.

Thanks go also to Konstantin Novitsky, Peter Caspers, Klaus Spanderen, Fredrik Gerdin Börjesson and Dirk Eddelbuettel for a number of smaller fixes, and to Jonathan Sweemer for various improvements to the automated CI builds.

Release 1.27.1 - August 30th, 2022

QuantLib 1.27.1 is a bug-fix release.

It restores the old implementation of Null<T> which was replaced in version 1.27 with a new one; the latter was reported to cause an internal compiler error under Visual C++ 2022 for some client code. The new version (which avoids some problems when replacing Real with some AAD-enabled types) is still available; depending on how you compile QuantLib, it can be enabled through the --enable-null-as-functions configure flag, the cmake variable QL_NULL_AS_FUNCTIONS, or the define with the same name in the ql/userconfig.hpp header.

Release 1.27 - July 22nd, 2022

PORTABILITY

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. 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. 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 and Jonathan Sweemer.

DATE/TIME

Fixed the behavior of a couple of Australian holidays; thanks to Pradeep Krishnamurthy and Fredrik Gerdin Börjesson.

INSTRUMENTS

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

MODELS

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

PATTERNS

Avoid possible iterator invalidation while notifying observers; thanks to Klaus Spanderen.

DEPRECATED FEATURES

Removed the --enable-disposable and --enable-std-unique-ptr configure switches.
Removed features deprecated in version 1.22:
- 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:
- 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 for documentation fixes.

Release 1.26 - April 20th, 2022

PORTABILITY

End of support: as announced in the notes for the previous release, this release is the last to support Visual Studio 2013.
End of support: this release is the last to support the long-deprecated configure switches --enable-disposable and --enable-std-unique-ptr. From the next release, Disposable will always be disabled (and eventually removed) and std::unique_ptr will always be used instead of std::auto_ptr. This has already been the default in the last few releases.
Future end of support: this release and the next will be the last to avoid C++14 syntax. This should still support most compilers released in the past several years (except for Visual Studio 2013, which we're already dropping in this release).
If tagged libraries are specified, as is the default on Windows, CMake now gives the built libraries the same names as the Visual Studio solution (for instance, QuantLib-x64-mt-s instead of QuantLib-mt-s-x64) so that the pragma in ql/auto_link.hpp works.
QuantLib can now also be built as a subproject in a larger CMake build (thanks to Peter Caspers).

DATE/TIME

When printed, Period instances now display transparently what their units and length are, instead of doing more fancy formatting (e.g., "16 months" is now displayed instead of "1 year 4 months"). Also, Period instances that compare as equal now return the same period from their normalize method.

INDEXES

Added Tona (Tokyo overnight average) index (thanks to Jonghee Lee).
Added static laggedFixing method to CPI structure which provides interpolation of inflation index fixings.

CASH FLOWS

The CPICoupon and CPICashFlow classes now take into account the correct dates and observation lag for interpolation.

INSTRUMENTS

Added a BondForward class that generalizes the existing FixedRateBondForward to any kind of bond (thanks to Marcin Rybacki).
Avoided unexpected jumps in callable bond OAS (thanks to Ralf Konrad).
Fixed TreeSwaptionEngine mispricing when adjusting the instrument schedule to a near exercise date (thanks to Ralf Konrad).
the ForwardRateAgreement class now works correctly without an explicit discount curve.

TERM STRUCTURES

Dates explicitly passed to InterpolatedZeroInflationCurve are no longer adjusted automatically to the beginning of their inflation period.

DEPRECATED FEATURES

Removed the MCDiscreteAveragingAsianEngine class, deprecated in version 1.21.
Deprecated the LsmBasisSystem::PolynomType typedef, now renamed to PolynomialType; MakeMCAmericanEngine::withPolynomOrder was also deprecated and renamed to withPolynomialOrder.
Deprecated the ZeroInflationCashFlow constructor taking an unused calendar and business-day convention.
Deprecated the CPICoupon constructor taking a number of fixing days, as well as the CPICoupon::indexObservation, CPICoupon::adjustedFixing and CPICoupon::indexFixing methods and the CPILeg::withFixingDays method.
Deprecated the CPICashFlow constructor taking a precalculated fixing date and a frequency.
Deprecated the Observer::set_type and Observable::set_type typedefs.
Deprecated the unused Curve class.
Deprecated the unused LexicographicalView class.
Deprecated the unused Composite class.
Deprecated the unused DriftTermStructure class.

Thanks go also to Matthias Groncki, Jonathan Sweemer and Li Zhong for smaller fixes, enhancements and bug reports.

Release 1.25 - January 18th, 2022

PORTABILITY

End of support: this release and the next will be the last two to support Visual Studio 2013.
Added a few CMake presets for building the library (thanks to Jonathan Sweemer).
When built and installed through CMake, the library now installs a QuantLibConfig.cmake file that allows other CMake projects to find and use QuantLib (thanks to Jonathan Sweemer).

CASHFLOWS

Fixed the accrual calculation in overnight-indexed coupons (thanks to Mohammad Shojatalab).
Fixed fixing-days usage in SubPeriodsCoupon class (thanks to Marcin Rybacki).
IBOR coupons fixed in the past no longer need a forecast curve to return their amount.

INDEXES

Important change: inflation indexes inherited from the ZeroInflationIndex class no longer rely on their forecast curve for interpolation. For coupons that already took care of interpolation (as in the case of CPICoupon and ZeroInflationCashFlow) this should not change the results. In other cases, figures will change but should be more correct as the interpolation is now performed according to market conventions. Also, most inflation curves now assume that the index is not implemented. Year-on-year inflation indexes and curves are not affected.

INSTRUMENTS

Breaking change: convertible bonds were moved out of the ql/experimental folder. Also, being market values and not part of the contract, dividends and credit spread were moved from the bond to the BinomialConvertibleEngine class (thanks to Lew Wei Hao).
The ForwardRateAgreement no longer inherits from Forward. This also made it possible to implement the amount method returning the expected cash settlement (thanks to Lew Wei Hao). The methods from Forward were kept available but deprecated so code using them won't break. Client code might break if it performed casts to Forward.

MODELS

Fixed formula for discount bond option in CIR++ model (thanks to Magnus Mencke).

TERM STRUCTURES

It is now possible to use normal volatilities in SABR smile sections, and thus in the SabrSwaptionVolatilityCube class (thanks to Lew Wei Hao).

DATE/TIME

Added Chinese holidays for 2022 (thanks to Cheng Li).

CURRENCIES

Added a number of African, American, Asian and European currencies from Quaternion's QuantExt project (thanks to Ole Bueker).

EXPERIMENTAL FOLDER

The ql/experimental folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases.

Added experimental rate helpers for LIBOR-LIBOR and Overnight-LIBOR basis swaps.
Renamed WulinYongDoubleBarrierEngine to SuoWangDoubleBarrierEngine (thanks to Adityakumar Sinha for the fix and Ruilong Xu for the heads-up).

DEPRECATED FEATURES

Deprecated the constructors of zero-coupon inflation term structures taking an indexIsInterpolated boolean argument.
Deprecated a number of methods in the ForwardRateAgreement class that used to be inherited from Forward.
Deprecated a couple of constructors in the SofrFutureRateHelper class.
Deprecated the WulinYongDoubleBarrierEngine alias for SuoWangDoubleBarrierEngine.
Deprecated the protected spreadLegValue_ data member in the BlackIborCouponPricer class.

Thanks go also to Tom Anderson, Francois Botha, Matthew Kolbe, Benson Luk, Marcin Rybacki, Henning Segger, Klaus Spanderen, and GitHub users jxcv0 and azsrz for smaller fixes, enhancements and bug reports.

Release 1.24 - October 2021

PORTABILITY

Overhauled the CMake build system (thanks to Philip Kovacs). Among other things, it now allows to specify the available configuration options from the cmake invocation and adds the required Boost libraries accordingly.

INSTRUMENTS

Avoid callable-bond mispricing when a call date is close but not equal to a coupon date (thanks to Ralf Konrad for the fix and to GitHub user aichao for the analysis). See https://github.com/lballabio/QuantLib/issues/930 for details.
A new RiskyBondEngine is available for bonds (thanks to Lew Wei Hao). It prices bonds based on a risk-free discount cure and a default-probability curve used to assess the probability of each coupon payment. It makes accessible to all bonds the calculations previously available in the experimental RiskyBond class.

CASHFLOWS

The choice between par and indexed coupons was moved to IborCouponPricer (thanks to Peter Caspers). This also made it possible to override the choice locally when building a VanillaSwap or a SwapRateHelper, so that coupons with both behaviors can now be used at the same time.

TERM STRUCTURES

Cross-currency basis swap rate helpers now support both constant-notional and marked-to-market swaps (thanks to Marcin Rybacki).

DATE/TIME

Added Chilean calendar (thanks to Anubhav Pandey).
Added new ThirdWednesdayInclusive date-generation rule that also adjusts start and end dates (thanks to Lew Wei Hao).

PATTERNS

Overhauled Singleton implementation (thanks to Peter Caspers). Singletons are now initialized in a thread-safe way when sessions are enabled, global singletons (that is, independent of sessions) were made available, and static initialization was made safer.

TEST SUITE

Sped up some of the longer-running tests (thanks to Mohammad Shojatalab).

DEPRECATED FEATURES

Deprecated default constructor for the U.S. calendar; the desired market should now be passed explicitly.
Deprecated the nominalTermStructure method and the corresponding data member in inflation term structures. Any object needing the nominal term structure should have it passed explicitly.
Deprecated the termStructure_ data member in BlackCalibrationHelper. It you're inheriting from BlackCalibrationHelper and need it, declare it in your derived class.
Deprecated the createAtParCoupons, createIndexedCoupons and usingAtParCoupons methods of IborCoupon, now moved to a new IborCoupon::Settings singleton (thanks to Philip Kovacs).
Deprecated the conversionType and baseCurrency static data members of Money, now moved to a new Money::Settings singleton (thanks to Philip Kovacs).
Removed features deprecated in version 1.19: the BMAIndex constructor taking a calendar, the AmericanCondition and ShoutCondition constructors taking an option type and strike, the CurveDependentStepCondition class and the StandardCurveDependentStepCondition typedef, the BlackCalibrationHelper constructor taking a yield term structure, the various inflation term structure constructors taking a yield term structure, the various yield term constructors taking a vector of jumps but not specifying a reference date.

Thanks go also to Mickael Anas Laaouini, Jack Gillett, Bojan Nikolic and Klaus Spanderen for smaller fixes, enhancements and bug reports.

Release 1.23 - July 14th, 2021

PORTABILITY

On Mac OS, the -std=c++11 flag is now added automatically when needed. This applies to both configure and cmake (thanks to Leander Schulten).
We now assume that the compiler supports Boost::uBLAS and no longer check for it in configure. (The check was originally introduced for versions of gcc before 4.x, which don't support C++ anyway.) Please let us know if this causes problems on some systems.
The Period, InterestRate and InterestRateIndex classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).

CASHFLOWS

Year-on-year and CPI legs are now set a default coupon pricer. In most cases, this removes the need for setting it explicitly.
Add new ZeroInflationCashFlow class, used in zero-coupon inflation swaps (thanks to Ralf Konrad).

CURRENCIES

Added custom constructor that allows to create bespoke currencies not already included in the library (thanks to Marcin Rybacki).

DATE/TIME

Fixed implementation of U.S. 30/360 convention (the old one is still available as 30/360 NASD).
The 30/360 ISDA convention can now take the termination date as a constructor argument and use it to adjust the calculation properly.
Added the 30/360 ISMA convention; the Bond-Basis convention is now an alias to the former.
The 30/360 German convention was renamed to ISDA; "German" remains as an alias.
Added new Canadian holiday (National Day for Truth and Reconciliation) established in 2021 (thanks to GitHub user qiubill for the heads-up).
Added new U.S. holiday (Juneteenth) established in 2021.
Added new Platinum Jubilee U.K. holiday for 2022 (thanks to Ioannis Rigopoulos for the heads-up.)
Added missing Christmas Eve holiday to Norwegian calendar (thanks to Prince Nanda).

INDEXES

Added ESTR index (thanks to Magnus Mencke).

INSTRUMENTS

Added zero-coupon swap (thanks to Marcin Rybacki).
The Type enumeration defined in several swap classes was moved to their base Swap class.
Fixed sign of theta in experimental Kirk engine for spread options (thanks to Xu Ruilong for the heads-up).

PROCESSES

Improved discretization of Cox-Ingersoll-Ross process to avoid occasional divergence (thanks to Magnus Mencke).

DEPRECATED FEATURES

Deprecated default constructor for actual/actual and 30/360 day counters; the desired convention should now be passed explicitly.
Removed features deprecated in version 1.18: the CalibrationHelperBase typedef (now CalibrationHelper), some overloads of the CalibratedModel::calibrate and CalibratedModel::value methods, the constructors of PiecewiseYieldCurve and PiecewiseDefaultCurve taking an accuracy parameter, the constructors of BondHelper, FixedRateBondHelper and CPIBondHelper taking a boolean useCleanPrice parameter, the BondHelper::useCleanPrice() method, and the non-static Calendar::holidayList method.

Thanks go also to Francis Duffy, Kevin Kirchhoff, Magnus Mencke and Klaus Spanderen for smaller fixes, enhancements and bug reports.

Release 1.22 - April 15th, 2021

PORTABILITY

As previously announced, this release drops support for Visual C++ 2012. VC++ 2013 or later is now required.
The Date and Array classes are now visualized more clearly in the Visual Studio debugger (thanks to Francois Botha).

LANGUAGE STANDARD

QuantLib now uses the C++11 standard and no longer compiles in C++03 mode. As before, it can be compiled with later versions of the standard. For details on the C++11 features used, see the pull requests marked "C++11 modernization" at the above link; for information on possible problems, see https://www.implementingquantlib.com/2021/02/leaving-03-for-real.html.

CASHFLOWS

Revised and tested the SubPeriodCoupon class (thanks to Marcin Rybacki). The class was moved out of the ql/experimental folder and its interface can now be considered stable.
Add simple averaging to overnight-index coupons in addition to the existing compound averaging (thanks to Marcin Rybacki).
Fixed accrual calculation for inflation coupon when trading ex-coupon (thanks to GitHub user bachhani).

CURRENCIES

Added the Nigerian Naira (thanks to Bryte Morio).

DATE/TIME

Fixed actual/actual (ISMA) day counter calculation for long/short final periods (thanks to Francois Botha).
Updated a couple of changed rules for New Zealand calendar (thanks to Paul Giltinan).

INDEXES

Added hasHistoricalFixing inspector to Index class to check if the fixing for a given past date is available (thanks to Ralf Konrad).

INSTRUMENTS

Added new-style finite-difference engine for shout options (thanks to Klaus Spanderen). In the case of dividend shout options, an escrowed dividend model is used.
Revised the OvernightIndexFutures class. The class was moved out of the ql/experimental folder and its interface can now be considered stable.
Added an overloaded constructor for Asian options that takes all past fixings and thus allows to reprice them correctly when the evaluation date changes (thanks to Jack Gillett).
Added support for seasoned geometric Asian options to the Heston engine (thanks to Jack Gillett).

PATTERNS

Faster implementation of the Observable class in the thread-safe case (thanks to Klaus Spanderen).

TERM STRUCTURES

Added experimental rate helper for constant-notional cross-currency basis swaps (thanks to Marcin Rybacki).
Added volatility type and displacements to year-on-year inflation volatility surfaces (thanks to Peter Caspers).

DEPRECATED FEATURES

Removed features deprecated in version 1.17: the Callability::Type typedef (now Bond::Price), the FdmOrnsteinUhlenbackOp typedef (now correctly spelled as FdmOrnsteinUhlenbeckOp, and a number of old-style finite-difference engines (FDAmericanEngine, FDBermudanEngine, FDDividendAmericanEngine and its variants, FDDividendEuropeanEngine and its variants, and FDEuropeanEngine) all replaced by the FdBlackScholesVanillaEngine class.
Deprecated the old-style finite difference engines for shout options; they are now replaced by the new FDDividendShoutEngine class.
Deprecated a few unused parts of the old-style finite-differences framework: the AmericanCondition class, the OneFactorOperator typedef, and the FDAmericanCondition class.

TEST SUITE

Reduced the run time for the longest-running test cases.

Thanks go also to Francis Duffy and Cay Oest for smaller fixes, enhancements and bug reports.

Release 1.21 - January 20th, 2021

PORTABILITY

As previously announced, this is the last release to support Visual C++ 2012. Starting from next release, VC++ 2013 or later will be required in order to enable use of C++11 features.

INSTRUMENTS

Improve date generation for CDS schedules under the post-big-bang rules (thanks to Francis Duffy).
Amortizing fixed-rate bonds can now use a generic InterestRate object (thanks to Piter Dias).
Added Monte Carlo pricer for discrete-average arithmetic Asian options under the Heston model (thanks to Jack Gillett).
Added analytic and Monte Carlo pricers for discrete-average geometric Asian options under the Heston model (thanks to Jack Gillett). Together, they can also be used as a control variate in Monte Carlo models for arithmetic Asian options.
Added analytic pricer for continuous-average geometric Asian options under the Heston model (thanks to Jack Gillett).
Added analytic pricer for forward options under the Heston model (thanks to Jack Gillett).
Added Monte Carlo pricers for forward options under the Black-Scholes and the Heston models (thanks to Jack Gillett).

TERM STRUCTURES

Added Dutch regulatory term structure, a.k.a. ultimate forward term structure (thanks to Marcin Rybacki).
Generalized exponential spline fitting to an arbitrary number of parameters; it is now also possible to fix kappa (thanks to David Sansom).
Fixed averaging period for 1-month SOFR futures rate helper (thanks to Eisuke Tani).

DATE/TIME

Fixed a bug and added 2017 holidays in Thailand calendar (thanks to GitHub user phil-zxx for the heads-up).
Updated Chinese calendar for 2021 (thanks to Cheng Li).
Updated Japanese calendar for 2021 (thanks to Eisuke Tani).

Thanks go also to Francois Botha, Peter Caspers, Ralf Konrad, Matthias Siemering, Klaus Spanderen and Joseph Wang for smaller fixes, enhancements and bug reports.

Release 1.20 - October 26th, 2020

PORTABILITY

Support for Visual C++ 2012 is being deprecated. It will be dropped after the next release in order to enable use of C++11 features.
It is now possible to opt into using std::tuple instead of boost::tuple when the compiler allows it. The default is still to use the Boost implementation. The feature can be enabled by uncommenting the QL_USE_STD_TUPLE macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-std-tuple switch to ./configure on other systems. The --enable-std-tuple switch is also implied by --enable-std-classes. (Thanks to Joseph Wang.)

INSTRUMENTS

Added mixing-factor parameter to Heston finite-differences barrier, rebate and double-barrier engines (thanks to GitHub user jackgillett101).
Added a few additional results to Black swaption engine and to analytic European option engine (thanks to Peter Caspers and Marcin Rybacki).
Improved calculation of spot date for vanilla swap around holidays (thanks to Paul Giltinan).
Added ex-coupon feature to amortizing bonds, callable bonds and convertible bonds.
Added optional first-coupon day counter to fixed-rate bonds (thanks to Jacob Lee-Howes).

MATH

Added convenience classes LogCubic and LogMixedLinearCubic hiding a few default parameters (thanks to Andrea Maffezzoli).

MODELS

Added control variate based on asymptotic expansion for the Heston model (thanks to Klaus Spanderen).

DATE/TIME

Added missing Hong Kong holiday (thanks to GitHub user CarrieMY).
Added a couple of one-off closing days to the Romanian calendar.
Added a one-off holiday to South Korean calendar (thanks to GitHub user fayce66).
Added a missing holiday to Turkish calendar (thanks to Berat Postalcioglu).

DOCUMENTATION

Added basic documentation to optimization methods (thanks to GitHub user martinbrose).

DEPRECATED FEATURES

Features deprecate in version 1.16 were removed: a constructor of the FdmOrnsteinUhlenbeckOp class and a constructor of the SwaptionVolatilityMatrix class.

Release 1.19 - July 20th, 2020

PORTABILITY

Support for Visual C++ 2012 is being deprecated. It will be dropped around the end of 2020 or the beginning of 2021 in order to enable use of C++11 features.
Avoided use in Makefiles of functions only available to GNU Make (thanks to GitHub user UnitedMarsupials for the heads-up).

BUILD

Automated builds on Travis and GitHub Actions were extended. We now have a build for Mac OS X, as well as a few builds that run a number of checks on the code (including clang-tidy) and automatically open pull requests with fixes.

TERM STRUCTURES

Added options for iterative bootstrap to widen the search domain or to keep the best result upon failure (thanks to Francis Duffy).
Added flat-extrapolation option to fitted bond curves (thanks to Peter Caspers).

INSTRUMENTS

Added finite-difference pricing engine for equity options under the Cox-Ingersoll-Ross process (thanks to Lew Wei Hao).
Added Heston engine based on exponentially-fitted Laguerre quadrature rule (thanks to Klaus Spanderen).
Added Monte Carlo pricing engines for lookback options (thanks to Lew Wei Hao).
Added Monte Carlo pricing engine for double-barrier options (thanks to Lew Wei Hao).
Added analytic pricing engine for equity options under the Vasicek model (thanks to Lew Wei Hao).
The Bond::yield method can now specify a guess and whether the passed price is clean or dirty (thanks to Francois Botha).

MODELS

Improved grid scaling for FDM Heston SLV calibration, and fixed drift and diffusion for Heston SLV process (thanks to Klaus Spanderen and Peter Caspers).
Added mixing factor to Heston SLV process (thanks to Lew Wei Hao).

MATH

Improved nodes/weights for the exponentially fitted Laguerre quadrature rule and added sine and cosine quadratures (thanks to Klaus Spanderen).

DATE/TIME

Improved performance of the Calendar class (thanks to Leonardo Arcari).
Updated holidays for Indian and Russian calendars (thanks to Alexey Indiryakov).
Added missing All Souls Day holiday to Mexican calendar (thanks to GitHub user phil-zxx for the heads-up).
Restored New Year's Eve holiday to Eurex calendar (thanks to Joshua Engelman).

DEPRECATED FEATURES

Features deprecate in version 1.15 were removed: constructors of inflation swap helpers, inflation-based pricing engines and inflation coupon pricers that didn't take a nominal term structure.
The constructor of BMAIndex taking a calendar was deprecated.
The constructors of several interest-rate term structures taking jumps without a reference date were deprecated.
The CurveDependentStepCondition class and related typedefs were deprecated.
The constructor of BlackCalibrationHelper taking an interest-rate structure was deprecated.
The constructors of several inflation curves taking a nominal curve were deprecated. The nominal curve should now be passed to the used coupon pricers.

Release 1.18 - March 23rd, 2020

PORTABILITY

As announced in the past release, support of Visual C++ 2010 is dropped. Also, we'll probably deprecate Visual C++ 2012 in the next release in order to drop it around the end of 2020.

BUILD

Cmake now installs headers with the correct folder hierarchy (thanks to Cheng Li).
The --enable-unity-build flag passed to configure now also causes the test suite to be built as a single source file.
The Visual Studio projects now allow enabling unity builds as described at https://devblogs.microsoft.com/cppblog/support-for-unity-jumbo-files-in-visual-studio-2017-15-8-experimental/

TERM STRUCTURES

A new GlobalBootstrap class can now be used with PiecewiseYieldCurve and other bootstrapped curves (thanks to Peter Caspers). It allows to produce curves close to Bloomberg's.
The experimental SofrFutureRateHelper class and its parent OvernightIndexFutureRateHelper can now choose to use either compounding or averaging, in order to accommodate different conventions for 1M and 3M SOFR futures (thanks to GitHub user tani3010).
The FraRateHelper class has new constructors that take IMM start / end offsets (thanks to Peter Caspers).
It is now possible to pass explicit minimum and maximum values to the IterativeBootstrap class. The accuracy parameter was also moved to the same class; passing it to the curve constructor is now deprecated.

INSTRUMENTS

It is now possible to build fixed-rate bonds with an arbitrary schedule, even without a regular tenor (thanks to Steven Van Haren).

MODELS

It is now possible to use normal volatilities to calibrate a short-rate model over caps.

DATE/TIME

The Austrian calendar was added (thanks to Benjamin Schwendinger).
The German calendar incorrectly listed December 31st as a holiday; this is now fixed (thanks to Prasad Somwanshi).
Chinese holidays were updated for 2020 and the coronavirus event (thanks to Cheng Li).
South Korea holidays were updated for 2016-2020 (thanks to GitHub user fayce66).
In the calendar class, holidayList is now an instance method; the static version is deprecated. The businessDayList method was also added. (Thanks to Piotr Siejda.)
A bug in the 30/360 German day counter was fixed (thanks to Kobe Young for the heads-up).

OPTIMIZERS

The differential evolution optimizer was updated (thanks to Peter Caspers).

CURRENCIES

Added Kazakstani Tenge to currencies (thanks to Jonathan Barber).

DEPRECATED FEATURES

Features deprecate in version 1.14 were removed: one of the constructors of the BSMOperator class, the whole OperatorFactory class, and the typedef CalibrationHelper which was used to alias the BlackCalibrationHelper class.
The CalibrationHelperBase class is now called CalibrationHelper. The old name remains as a typedef but is deprecated.
The overload of CalibratedModel::calibrate and CalibratedModel::value taking a vector of BlackCalibrationHelpers are deprecated in favor of the ones taking a vector of CalibrationHelpers.
The static method Calendar::holidayList is deprecated in favor of the instance method by the same name.
The constructors of PiecewiseDefaultCurve and PiecewiseYieldCurve taking an accuracy parameter are deprecated in favor of passing the parameter to an instance of the bootstrap class.
The constructors of BondHelper and derived classes taking a boolean flag to choose between clean and dirty price are deprecated in favor of the ones taking a Bond::Price::Type argument. The useCleanPrice method is also deprecated in favor of priceType.

Release 1.17 - December 3rd, 2019

PORTABILITY

As of this release, support of Visual C++ 2010 is deprecated; it will be dropped in next release. Also, we'll probably deprecate Visual C++ 2012 in one of the next few releases in order to drop it around the end of 2020.

CONFIGURATION

A new function compiledBoostVersion() is available, (thanks to Andrew Smith). It returns the version of Boost used to compile the library, as reported by the BOOST_VERSION macro. This can help avoid linking the library with user code compiled with a different Boost version (which can result in erratic behavior).
It is now possible to specify at run time whether to use indexed coupons (thanks to Ralf Konrad). The compile-time configuration is still used as a default, but it is also possible to call either of the static methods IborCoupon::createAtParCoupons or IborCoupon::createIndexedCoupons to specify your preference. For the time being, the methods above must necessarily be called before creating any instance of IborCoupon or of its derived classes.

BUILD

As of this version, the names of the binaries produced by the included Visual C++ solution no longer contain the toolset version (e.g., v142).

INSTRUMENTS

Added ex-coupon functionality to floating-rate bonds (thanks to Steven Van Haren).
The inner structure Callability::Price was moved to the class Bond and can now be used to specify what kind of price was passed to the BondFunctions::yield method (thanks to Francois Botha).
It is now possible to use a par-coupon approximation for FRAs like the one used in Ibor coupons (thanks to Peter Caspers).

PRICING ENGINES

Added escrowed dividend model to the new-style FD engine for DividendVanillaOption (thanks to Klaus Spanderen).
Black cap/floor engine now also returns caplet deltas (thanks to Wojciech Slusarski).

TERM STRUCTURES

OIS rate helpers can now choose whether to use as a pillar for the bootstrap either their maturity date or the end date of the last underlying fixing. This provides an alternative if the bootstrap should fail. (Thanks to Drew Saunders for the heads-up.)
Instances of the FittedBondDiscountCurve class now behave as simple evaluators (that is, they use the given parameters without performing root-solving) when the maxIterations parameter is set to 0. (Thanks to Nick Firoozye for the heads-up.)

DATE/TIME

Added a few special closing days to the US government bond calendar (thanks to Mike DelMedico).
Fixed an incorrect 2019 holiday in Chinese calendar (thanks to Cheng Li).
Added missing holiday to Swedish calendar (thanks to GitHub users periculus and tonyzhipengzhou).

DEPRECATED FEATURES

The classes FDEuropeanEngine, FDAmericanEngine, FDBermudanEngine, FDDividendEuropeanEngine, FDDividendEuropeanEngineShiftScale, FDDividendAmericanEngine, FDDividendAmericanEngineShiftScale are now deprecated. They are superseded by FdBlackScholesVanillaEngine.

Release 1.16 - August 5th, 2019

PORTABILITY

Added support for Visual Studio 2019 (thanks to Paul Giltinan).

CONFIGURATION

As announced in past release, the compile-time switch to force non-negative rates was removed.

PRICING ENGINES

Added constant elasticity of variance (CEV) pricing engines for vanilla options. Analytic, FD and SABR engines are available (thanks to Klaus Spanderen).
Added quanto pricing functionality to a couple of FD engines for DividendVanillaOption (thanks to Klaus Spanderen).

CASH FLOWS

Digital coupons can now optionally return the value of the naked option (thanks to Peter Caspers).

DATE/TIME

Updated Taiwan holidays for 2019 (thanks to Hank Liu).
Added two newly announced holidays to Chinese calendar (thanks to Cheng Li).
Updated Japan calendar (thanks to Eisuke Tani).
Fixed New Year's day adjustment for Canadian calendar (thanks to Roy Zywina).
Added a couple of exceptions for UK bank holidays (thanks to GitHub user Vililikku for the heads-up).
Added French calendar (thanks to GitHub user NJeanray).
Added public methods to expose a calendar's added and removed holidays (thanks to Francois Botha).
Allow the stub date of a schedule to equal the maturity.

DEPRECATED FEATURES

Deprecated a constructor of the SwaptionVolatilityMatrix class that didn't take a calendar.
Removed typedefs GammaDistribution, ChiSquareDistribution, NonCentralChiSquareDistribution and InverseNonCentralChiSquareDistribution, deprecated in version 1.12. Use CumulativeGammaDistribution, CumulativeChiSquareDistribution, NonCentralCumulativeChiSquareDistribution and InverseNonCentralCumulativeChiSquareDistribution instead.
Removed Actual365NoLeap class, deprecated in version 1.11. It was folded into Actual365Fixed.

TERM STRUCTURES

Take payment days into account when calculating the nodes of a bootstrapped curve based on overnight swaps.

Release 1.15 - February 19th, 2019

PORTABILITY

This release drops support for Boost version 1.43 to 1.47; the minimum required version is now Boost 1.48, released in 2011.
Added a .clang-format file to the repository. The format is not going to be enforced, but the style file is provided as a convenience in case you want to format new code according to the conventions of the library.
boost::function, boost::bind 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.

MODELS

Added an experimental volatility basis model for caplet and swaptions (thanks to Sebastian Schlenkrich).

PRICING ENGINES

It is now possible to specify polynomial order and type when creating a MCAmericanBasketEngine instance (thanks to Klaus Spanderen).

TERM STRUCTURES

Inflation curves used to store the nominal curve used during their construction. This is still supported for backward compatibility, but is deprecated. You should instead pass the nominal curve explicitly to objects that need one (e.g., inflation helpers, engines, or cashflow pricers).
Added experimental helpers to bootstrap an interest-rate curve on SOFR futures (thanks to Roy Zywina).

INDEXES

It is now possible to choose the fixing calendar for the BMA index (thanks to Jan Ladislav Dussek).

CASH FLOWS

Fixed broken observability in CMS-spread coupon pricer (thanks to Peter Caspers).

DATE/TIME

Fix implementation of Actual/Actual (ISMA) day counter in case a schedule is provided (thanks to Philip Stephens).
Fix implementation of Calendar::businessDaysBetween method when the initial and final date are the same (thanks to Weston Steimel).
Added day of mourning for G.H.W. Bush to the list of United States holidays (thanks to Joshua Engelman).
Updated list of Chinese holidays for 2019 (thanks to Cheng Li).
Added basic unit tests for the TimeGrid class (thanks to Kai Striega).

MATH

Prevent solver failure in Richardson extrapolation (thanks to Klaus Spanderen).

EXAMPLES

Added multi-curve bootstrapping example (thanks to Jose Garcia). This examples supersedes the old swap-valuation example, that was therefore removed.

NEW OPT-IN FEATURES

It is now possible to use std::function, std::bind and their related classes instead of boost::function and boost::bind. The feature can be enabled by uncommenting the QL_USE_STD_FUNCTION macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-std-function to ./configure on other systems. This requires using at least the C++11 standard during compilation.
A new ./configure switch, --enable-std-classes, was added as a shortcut for --enable-std-pointers --enable-std-unique-ptr --enable-std-function.

Release 1.14 - October 1st, 2018

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.

Release 1.13 - May 24th, 2018

PORTABILITY

In April 2018, Microsoft ended its support for Microsoft Visual C++ 2008. This release still includes a solution file for VC++ 2008, but we won't support it further or take bug reports for it. The next release will only contain project files for Visual C++ 2010 and later.
Fixed build on Solaris 12.5 in C++11 mode (thanks to Nick Glass).

INSTRUMENTS AND PRICING ENGINES

Fix CDS calculation when the start date falls during the week-end (thanks to Guillaume Horel).
Allow construction of a ForwardRateAgreement instance even if the interest-rate curve is not yet linked (thanks to Tom Anderson).

CASH FLOWS AND INTEREST RATES

Added Mosprime, Pribor, Robor and Wibor indices (thanks to Matthias Lungwitz).
Improved performance of Black pricer for LIBOR coupons (thanks to Peter Caspers).
Fixed experimental quanto coupon pricer (thanks to Peter Caspers).
Revised experimental CMS-spread coupon pricer (thanks to Peter Caspers).

MODELS

Improvements for the experimental generalized Hull-White model (thanks to Roy Zywina).
Fixed drift in GSR process (thanks to Peter Caspers for the fix and to Seung Beom Bang for the heads up).
Fixed an out-of-bound access in the TwoFactorModel::ShortRateDynamics::process method (thanks to Weston Steimel).

FINITE DIFFERENCES

Improved Black-Scholes mesher for low volatilities and high discrete dividends (thanks to Klaus Spanderen).
Added method-of-lines scheme (thanks to Klaus Spanderen).

DATE/TIME

Schedule::until can now be used with schedules built from vectors of dates (thanks to GitHub user Grant6899).
Added Good Friday to the list of Hungarian and Czech holidays (thanks to Matthias Lungwitz).
Updated the list of Turkish holidays after 2014 (thanks to Matthias Lungwitz).

MATH

Added convenience operators to initialize array and matrices (thanks to Peter Caspers).

TEST SUITE

Added test case for CIR++ model (thanks to Klaus Spanderen).

Thanks go also to Jose Aparicio, Roland Kapl and GitHub user lab4quant for smaller fixes and enhancements.

Release 1.12.1 - April 16th, 2018

QuantLib 1.12.1 is a bug-fix release for version 1.12.

It fixes an error that would occur during initialization of the test suite when using the newly released Boost 1.67.0. Thanks to Klaus Spanderen for the prompt fix.

The library code is unchanged from version 1.12.

Release 1.12 - February 1st, 2018

PORTABILITY

As announced in the previous release, support for the Dev-C++ IDE was removed.
In April 2018, Microsoft will end its support for Microsoft Visual C++ 2008. Therefore, this is the last version of QuantLib to support it with maintained project files.
It is now possible to build a usable library with CMake on Windows (thanks to Javier G. Sogo).
Fix autotools build outside the source tree (thanks to Joshua Ulrich).

INSTRUMENTS AND PRICING ENGINES

Added OAS calculation to experimental callable bonds (thanks to Bojan Nikolic).
Avoided infinite loop for some sets of parameters in experimental variance-gamma engine (thanks to Roy Zywina).

CASH FLOWS

It is now possible to build a cash-flow leg from a schedule created from a precalculated vector of dates (thanks to Peter Caspers).

MODELS

Affine models can now be used to bootstrap a default-probability curve (thanks to Jose Aparicio).
Added Andreasen-Huge volatility interpolation and local volatility calibration (thanks to Klaus Spanderen).
Added Rannacher smoothing steps for Heston stochastic local volatility calibration (thanks to Klaus Spanderen).

TERM STRUCTURES

Added L2 penalty to fitted parameters of fitted bond discount curve (thanks to Robin Northcott).
Added an optional trading calendar to the FX-swap rate helper and and optional payment lag to the OIS rate helper (thanks to Wojciech Slusarski).
Fixed inconsistent treatment of strike in experimental CPI cap/floor term price surface (thanks to Francis Duffy).
Correctly handled the case of overlapping strike regions for caps and floors in experimental CPI cap/floor term price surface (thanks to Peter Caspers).
Fixed calculation of seasonality correction for interpolated inflation indexes (thanks to Francis Duffy).
Implemented composite zero-yield curve as combination of two existing curves via a given binary function (thanks to Francois Botha).
Fixed interpolation of shift in swaption volatility matrix (thanks to Peter Caspers).

DATE/TIME

Updated Chinese calendar for 2018 (thanks to Cheng Li).
Added Botswana calendar (thanks to Francois Botha).
Fixed a few problems with US calendars (thanks to Mike DelMedico and to GitHub user ittegrat).
User-added holidays now work correctly when intraday calculations are enabled (thanks to Klaus Spanderen for the fix and to GitHub user volchemist for the report).

MATH

Fixed monotonicity of Fritsch-Butland and prevented NaNs in some cases (thanks to GitHub user Grant6899 for the fix and to Tom Anderson for the report).

DEPRECATED FEATURES

The ChiSquareDistribution, NonCentralChiSquareDistribution, InverseNonCentralChiSquareDistribution and GammaDistribution were renamed to CumulativeChiSquareDistribution, NonCentralCumulativeChiSquareDistribution, InverseNonCentralCumulativeChiSquareDistribution and CumulativeGammaDistribution, respectively (thanks to GitHub user IGonza). The old names are still available as typedefs and will be removed in a future release.

Thanks go also to Marco Craveiro, Dirk Eddelbuettel, Lakshay Garg, Guillaume Horel, Alix Lassauzet, Patrick Lewis, and GitHub users bmmay, bingoko and tournierjc for smaller fixes and enhancements.

Release 1.11 - October 2nd, 2017

PORTABILITY

This is the last version of QuantLib to support the now obsolete Dev-C++ IDE with a maintained project file. The project will be removed in next release.

INSTRUMENTS AND PRICING ENGINES

Added ISDA pricing engine for credit default swaps (thanks to Guillaume Horel, Jose Aparicio and Peter Caspers).
Added Andersen-Piterbarg engine for the Heston model (thanks to Klaus Spanderen).
Improved experimental vanna-volga engine for double-barrier knock-in options (thanks to Giorgio Pazmandi).
Added theta calculation to experimental Kirk spread-option engine (thanks to Krzysztof Wos).

CASH FLOWS

Added optional payment lag to fixed, floating and OIS legs (thanks to Fabrice Lecuyer and Joseph Jeisman).
Fixed yield calculation with 30/360 US day count convention and settlement on the 31st of the month (thanks to Frank Xue).

MODELS

Added adaptive successive over-relaxation method for implied volatility calculation (thanks to Klaus Spanderen).

INDEXES

Fixed day-count convention and spot lag for CAD LIBOR (thanks to Oleg Kulkov).

TERM STRUCTURES

Optionally optimize setting up OIS helpers (thanks to Peter Caspers).

DATE/TIME

Added Actual/365 Canadian day count convention (thanks to Andrea Maggiulli).

MATH

Added GMRES iterative solver for large linear systems (thanks to Klaus Spanderen).
Updated Hong Kong calendar up to 2020 (thanks to Nicholas Bertocchi and Alix Lassauzet).

BUILD

Added configure switch to enable unity build.

TEST SUITE

Added –fast and –faster flags to the test-suite executable. When passed, slower tests are discarded so that the test suite runs in just a few minutes.

DEPRECATED FEATURES

Remove the HestonExpansionEngine::numberOfEvaluations method (deprecated in version 1.9).
Remove the MixedLinearCubicInterpolation and MixedLinearCubic constructors not specifying the behavior of the mixed interpolation (deprecated in version 1.8).
Remove deprecated overloads of the Swaption::impliedVolatility and CapFloor::impliedVolatility methods (deprecated in version 1.9).
Remove NoArbSabrModel::checkAbsorptionMatrix method (deprecated in version 1.8.1).

Release 1.10.1 - August 31st, 2017

QuantLib 1.10.1 is a bug-fix release for version 1.10.

Prevented a name clash when using the newly-released Boost 1.65.0 with g++ 6.3.
Added a few missing function declarations in the SwaptionVolatilityStructure class (thanks to Peter Caspers).

Release 1.10 - May 16th, 2017

PORTABILITY

Added support for the recently released Visual Studio 2017.
Unified Visual Studio solution file. The provided QuantLib.sln file works for all versions from 2010 to 2017.
Added support for the recently released Boost 1.64.0 (thanks to Klaus Spanderen).
Converted non-ASCII characters in source files to UTF-8; this should make them work with most editors (thanks to Krzysztof Woś and Jose Aparicio).
Fixed some compilation issues with older versions of the Sun CC compiler and with the gcc 3.4 series. The offending code has simply been disabled; when using those compilers, is also suggested to downgrade Boost to an older version since more recent ones can give problems. Boost 1.54.0 was reported to work. It is likely that no further support will be given to these compilers in future releases.

INSTRUMENTS AND PRICING ENGINES

Added Heston pricing engine based on Fourier-Cosine series expansion (thanks to Klaus Spanderen).
Added cash annuity model in Black swaption engine (thanks to Peter Caspers, Werner Kuerzinger and Paul Giltinan).
Add an optional exogenous discount curve to analytic Black European option engine (thanks to Paul Giltinan).

MODELS

Added collocating local-volatility model (thanks to Klaus Spanderen).
Optionally disable Feller constraint in Cox-Ingersoll-Ross model (thanks to Oleksandr Khomenko).

INTEREST RATES

Allow using an arbitrary solver to calculate yield (thanks to Daniel Hrabovcak).
Update handling of July 4th for US LIBOR fixings (thanks to Oleg Kulkov).
Added CompoundingThenSimple convention (thanks to Martin Ross).

INFLATION

Use the lagged reference period to interpolate inflation fixings (thanks to Francois Botha).

VOLATILITY

Reduce the memory footprint of OptionletStripper1 (thanks to Matthias Lungwitz)

DATE/TIME

Updated Chinese calendar for 2017 (thanks to Cheng Li).
Added CDS2015 date-generation rule with the correct semiannual frequency (thanks to Guillaume Horel).
The Iceland calendar used to incorrectly adjust New Year's Day to the next Monday when falling on a holiday. That's now fixed (thanks to Stefan Gunnsteinsson for the heads-up).
Fixed bug that prevented correct calculation of an ECB date on the first day of a month (thanks to Nicholas Bertocchi).
Fixed bug in Schedule that ignored end-of-month convention when calculating reference dates for irregular coupons (thanks to Ryan Taylor).
Allow passing a schedule to Actual/Actual day counter for correct calculation of reference dates (thanks to Ryan Taylor).

MATH

Added harmonic spline interpolation (thanks to Nicholas Bertocchi).

EXAMPLES

Added examples for global optimizers (thanks to Andres Hernandez).

DEPRECATED FEATURES

Removed the SwaptionHelper constructors not taking an explicit volatility type (deprecated in version 1.8).
Removed the SwaptionVolatilityMatrix constructors not taking an explicit volatility type (deprecated in version 1.8).
Removed the BlackSwaptionEngine constructor overriding the displacement from the given volatility structure (deprecated in version 1.8).
Removed the FlatSmileSection and InterpolatedSmileSection constructors not taking an explicit volatility type (deprecated in version 1.8).
Removed the RiskyAssetSwapOption constructor taking a side (deprecated in version 1.8).

POSSIBLY BREAKING CHANGES

The constructors of a few Libor-like indexes were made explicit. This means that code such as the following, which used to compile, will now break. That's probably a good thing.
Handle<YieldTermStructure> forecast_curve;

Euribor6M index = forecast_curve;

Release 1.9.2 - February 27th, 2017

QuantLib 1.9.2 is a bug-fix release for version 1.9.1.

Prevented errors in yield-curve bootstrapping tests due to an incorrect test setup (thanks to Peter Caspers for the heads-up).

Release 1.9.1 - January 5th, 2017

QuantLib 1.9.1 is a bug-fix release for version 1.9.

Prevented a linking error when multiple compilation units included the global ql/quantlib.hpp header (thanks to Dirk Eddelbuettel).
Prevented a compilation error with gcc 4.4 on RedHat (thanks to GitHub user aloupos for the heads-up).
Prevented a compilation error with the parallel unit runner and the recently released Boost 1.63.0.

Release 1.9 - November 8th, 2016

PORTABILITY

Dropped support for Visual C++ 8 (2005). As of April 2016, the compiler is no longer supported by Microsoft.
Allow the parallel test runner to work with Boost 1.62 (thanks to Klaus Spanderen for the fix and to Andrei Borodaenko for the heads-up).

INTEREST RATES

Allow negative jumps in interest-rate curves. Previously, trying to pass one would result in an exception (thanks to Leanpub reader Jeff for the heads-up).
Added BBSW and Aonia indexes from Australia and BKBM and NZOCR indexes from New Zealand (thanks to Fabrice Lecuyer).

VOLATILITY

Added normal implied-volatility calculation to caps/floors (thanks to Paolo Mazzocchi).

INSTRUMENTS

Fix a scenario in which a CompositeInstrument instance would stop receiving notifications (thanks to Peter Caspers for the heads-up).
Added a few safety checks to the CVA swap engine (thanks to Andrea Maggiulli).
Auto-deactivate Boyle-Lau optimization for barrier options when not using a CRR tree (thanks to Riccardo Ghetta).

DATE/TIME

Changed data type for Date serial numbers to int_fast_32t to improve performance of date calculations (thanks to Peter Caspers).
Added ECB maintenance period dates for 2017 (thanks to Paolo Mazzocchi).
Fixed rule for the Japanese Mountain Day holiday (thanks to Eisuke Tani).
Fixed United States holidays before 1971 (thanks to Nick Glass for the heads-up).
Added a missing Chinese holiday (thanks to Cheng Li).
Ensure correct formatting when outputting dates (thanks to Peter Caspers).

NEW OPT-IN FEATURES

These features are disabled by default and can be enabled by defining a macro or passing a flag to ./configure. Feedback is appreciated.

Enable thread-safe singleton initialization (thanks to GitHub user sdgit). The feature can be enabled by uncommenting the QL_ENABLE_SINGLETON_THREAD_SAFE_INIT macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-thread-safe-singleton-init to ./configure on other systems.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases.

Changes and new contributions for this release were:

OIS with arithmetic average (thanks to Stefano Fondi). A corresponding bootstrap helpers is also available.
a function to calculate multi-curve sensitivities (thanks to Michael von den Driesch).

Release 1.8.1 - September 23rd, 2016

QuantLib 1.8.1 is a bug-fix release for version 1.8.

A test failure with Visual C++ 14 (2015) was avoided. Up to VC++14 update 2, the compiler would inline a call to std::min and std::max incorrectly causing a calculation to fail (thanks to Ivan Cherkasov for the heads-up).
A test failure with the upcoming Boost 1.62 was avoided. A QuantLib test was checking for the stored value of a hash whose value changed in Boost 1.62.
Miscellaneous fixes for the g1d swaption engine and instrument (thanks to Peter Caspers).
Whit Monday was no longer a holiday in Sweden since 2005 (thanks to Stefano Fondi).
A new holiday for election day 2016 was added to the South African calendar (thanks to Jasen Mackie).
A few missing CMakeLists were added to the distributed release (thanks to izavyalov for the heads-up).
An irregular last period in a schedule was not reported as such (thanks to Schmidt for the heads-up).

Release 1.8 - May 18th, 2016

PORTABILITY

The minimum required Boost version is now Boost 1.43 (May 2010). However, it is strongly suggested to use a recent version, or at least Boost 1.48 (November 2011).
Added initial CMake support (thanks to Dmitri Nesteruk). This makes it possible to compile QuantLib on CLion and other CMake-based tools.
The build now generates and installs pkg-config file on Linux systems (thanks to GitHub user njwhite).

INTEREST RATES

Fixed links to documentation for LIBOR indexes (thanks to Jose Magana).

VOLATILITY

Added the possibility to price swaptions and to calculate their implied volatilities in a Black-like model with normal volatilities as well as shifted lognormal (thanks to Peter Caspers).
Added the possibility to price caps in a Black-like model with normal volatilities as well as shifted lognormal (thanks to Michael von den Driesch).
Caplet strike is correctly recomputed during stripping (thanks to Michael von den Driesch).

INSTRUMENTS

Added basic CVA IRS pricing engine (stand alone, no portfolio; no WWR, no collateral). Thanks to Jose Aparicio.

MODELS

Black-Scholes processes now return the closed-formula expectation, standard deviation and variance over long periods (thanks to Peter Caspers).

CURRENCIES

Added Ukrainian hryvnia (thanks to GitHub user maksym-studenets).

MONTE CARLO

Use different random-number generators for calibration and pricing in Longstaff-Schwartz engine (thanks to Peter Caspers).

DATE/TIME

Added forecast dates for moving holidays to Saudi Arabia calendar up to 2022 (thanks to Jayanth R. Varma).
Added new Ukrainian holiday, Defender's Day (thanks to GitHub user maksym-studenets).
Added a few more holidays for South Korea (thanks to Faycal El Karaa).

MATH

Added mixed log interpolation (thanks to GitHub user sfondi).
Avoid mixing different types while bit-shifting in fast Fourier transform on 64-bit systems (thanks to Nikolai Nowaczyk).

DEPRECATED FEATURES

Removed DateParser::split method (deprecated in version 1.6).

TEST SUITE

The test suite is now run with a fixed evaluation date instead of using today's date. This helps avoid transient errors due to holidays. It is still possible to use today's date (or any other date) by running it as:
quantlib-test-suite -- --date=today

or
quantlib-test-suite -- --date=2016-02-08

(Thanks to Peter Caspers.)

NEW OPT-IN FEATURES

Added a parallel unit-test runner (thanks to Klaus Spanderen). This was successfully used under Linux, but problems were reported on Mac OS X and occasionally on Visual C++ 2010. The feature requires Boost 1.59 or later and can be enabled by uncommenting the QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-parallel-unit-test-runner to ./configure on other systems.

EXPERIMENTAL FOLDER

Stochastic local-volatility Heston model, (thanks to Klaus Spanderen and Johannes Göttker-Schnetmann). Both a Monte Carlo and a finite-difference calibration and calculation are provided.
Laplace interpolation (thanks to Peter Caspers).
Global optimizers: Hybrid Simulated Annealing, Particle Swarm Optimization, Firefly Algorithm, and Differential Evolution (thanks to Andres Hernandez).
A SVD-based calculation of the Moore-Penrose inverse matrix (thanks to Peter Caspers).

Release 1.7.1 - January 18th, 2016

QuantLib 1.7.1 is a bug-fix release for version 1.7.

an unneeded dependency on the Boost.Thread library had slipped into version 1.7. It is now removed (thanks to GitHub user MattPD).
Trying to build a schedule with a 4-weeks tenor would fail. This is now fixed (thanks to GitHub user smallnamespace for the heads-up).
A couple of errors in the list of past holidays for the Russian MOEX calendar was fixed, and the list of holidays for 2016 was added (thanks to Dmitri Nesteruk).
Chinese holidays for 2016 were updated (thanks to Cheng Li).
The correct curve is now used when calculating the at-the-money swap rate while building swaptions (thanks to Peter Caspers).

Release 1.7 - November 23rd, 2015

INTEREST RATES

Added rate helper to bootstrap on cross-currency swaps (thanks to Maddalena Zanzi). The curve to be bootstrapped can be the one for either of the two currencies.
Added the possibility for bootstrap helpers to define their pillar date in different ways (thanks to Paolo Mazzocchi). For each helper, the date of the corresponding node can be defined as the maturity date of the corresponding instrument, as the latest date used on the term structure to price the instrument, or as a custom date. Currently, the feature is enabled for FRAs and swaps.
Added the possibility to pass weight when fitting a bond discount curve. Also, it is now possible to fit a spread over an existing term structure (thanks to Andres Hernandez).

INFLATION

Added Kerkhof seasonality model (thanks to Bernd Lewerenz).
Retrieve inflation fixings from the first day of the month (thanks to Gerardo Ballabio). This avoids the need to store them for each day of the corresponding month.

VOLATILITY

Improve consistency between caplet stripping and pricing (thanks to Michael von den Driesch)

INSTRUMENTS

Fixed usage of dividend yield in double-barrier formula (Thanks to Dean Raf for the heads-up).
Fixed perturbation formula for barrier options.

MODELS

Refine update behavior of GSR model. Depending on the market change, only the appropriate recalculations are performed (thanks to Peter Caspers).
Improve calibration of Heston model (thanks to Peter Caspers).

MONTE CARLO

Added the possibility to return the estimated exercise probability from a Longstaff-Schwartz engine (thanks to Giorgio Pazmandi).

SETTINGS

Added the possibility to temporarily disable notifications to observers (thanks to Chris Higgs). When re-enabled, any pending notifications are sent.

DATE/TIME

Added Romanian and Israelian calendars (thanks to Riccardo Barone).
Added ECB reserve maintenance periods for 2016 (thanks to Paolo Mazzocchi).
Updated South Korean calendar until the end of 2032 (thanks to Paolo Mazzocchi and Faycal El Karaa).
Added new Mountain Day holiday for Japan (thanks to Aaron Stephanic for the heads-up).
Remove MLK day from list of US holidays before 1983 (thanks to John Orford for the heads-up).
Added Christmas Eve to BOVESPA holidays (thanks to Daniel Beren for the heads-up).

MATH

Added polynomial and abcd functions.
Added Pascal triangle coefficients.
Replaced home-grown implementation of incremental statistics with Boost implementation (thanks to Peter Caspers).
Added Goldstein line-search method (thanks to Cheng Li).

NEW OPT-IN FEATURES

Added intraday component to dates (thanks to Klaus Spanderen). Date specifications now include hours, minutes, seconds, milliseconds and microseconds. Day counters are aware of the added data and include them in results. The feature can be enabled by uncommenting the QL_HIGH_RESOLUTION_DATE macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-intraday flag to ./configure on other systems.
Added thread-safe implementation of the Observer pattern (thanks to Klaus Spanderen). This can be used to avoid crashes when using QuantLib from languages (such as C# or Java) that run a garbage collector in a separate thread. The feature requires Boost 1.58 or later and can be enabled by uncommenting the QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN macro in ql/userconfig.hpp on Visual C++ or by passing the --enable-thread-safe-observer-pattern to ./configure on other systems.

Release 1.6.2 - September 2015

QuantLib 1.6.2 is a compatibility release. It solves an ambiguous name resolution in the test-suite code when Visual Studio and the newly released Boost 1.59.0 are used together.

The library code did not change.

Release 1.6.1 - August 3rd, 2015

QuantLib 1.6.1 is a compatibility release. It adds out-of-the-box support for the newly released Visual Studio 2015, and avoids use of deprecated Boost macros that will be removed in the upcoming Boost 1.59.0 release.

Release 1.6 - June 23rd, 2015

PORTABILITY

Enable successful compilation with Boost 1.58 and either gcc or clang.
Enable multi-processor compilation on Visual C++ as a project switch (thanks to Giorgio Pazmandi).

DATE/TIME

Added Moscow Exchange calendar (thanks to Dmitri Nesteruk).
Added 70th anniversary of anti-Japanese day to Chinese calendar (thanks to Cheng Li).
Fixed Chinese New Year date for 2010 (thanks to Cheng Li).
Added nearest-trading-day business day convention (thanks to Francois Botha).
Prevented normalization of a 7-days period to a 1-week period, since this doesn't apply to business days (thanks to Paolo Mazzocchi).
Allowed schedules built with a vector of dates to be used for coupon generation, given that the required information was provided (thanks to Peter Caspers).
Added support for Australian Security Exchange (ASX) dates (thanks to Maddalena Zanzi).
Added ECB dates for April and June 2016 (thanks to Paolo Mazzocchi).

INSTRUMENTS

Extended digital American options to handle knock-off case (thanks to Riccardo Ghetta).
Extended barrier options to handle KIKO/KOKI barriers (thanks to Riccardo Ghetta).
Added Ikeda/Kunitomo engine, binomial engine and binary/digital engine for double-barrier option (thanks to Riccardo Ghetta).
Added Bachelier engine for caps/floors based on normal volatility (thanks to Michael von den Driesch).
Allowed non strike/type payoffs in finite-differences engine for vanilla options (thanks to Joseph Wang).
Fixed settlement days of BTP bonds.
Fixed generation of schedule for OIS and vanilla swaps.
Added support for ASX dates to futures rate helper (thanks to Maddalena Zanzi).

MODELS

Moved Markov functional model, GSR model, Gaussian 1D model and related engines, processes and term structures from the experimental folder to the code library (thanks to Peter Caspers).

CASH FLOWS

Added CMS-spread coupons, including digital (thanks to Peter Caspers).

INDEXES

Added CMS-spread index (thanks to Peter Caspers).
Fixed day-count convention for Fed Funds rate.

TERM STRUCTURES

Fixed bug where a valid previous curve state could be a bad guess for the next and lead to a bootstrap failure.
Allow negative adjustment for futures rate helpers (thanks to Paolo Mazzocchi).

VOLATILITY

Added support for normal and displaced lognormal volatility to optionlet stripper (thanks to Michael von den Driesch).
Allowed calibration of the alpha of the SABR model to the ATM point while keeping beta, nu and rho fixed (thanks to Peter Caspers).
Added Chambers-Nawalkha implied-volatility approximation (thanks to Peter Caspers).
Added displaced lognormal swaption volatilities (thanks to Peter Caspers).
Allowed the optionlet boostrap to continue if one caplet can no be matched (thanks to Peter Caspers).
Added flat-extrapolation option to swaption ATM volatility matrix (thanks to Peter Caspers).
Implied swaption volatility cube for Gaussian 1-D model (thanks to Peter Caspers).

MATH

Allowed user-defined Jacobian in optimization (thanks to Peter Caspers).

MISCELLANEA

Added IDR, MYR, RUB and VND currencies (thanks to Lucy King).

DEPRECATED FEATURES

Removed deprecated methods and constructors from the BlackVarianceTermStructure, BlackVolTermStructure, CapFloorTermVolatilityStructure, DateParser, FittedBondDiscountCurve, GeneralLinearLeastSquares, Handle, LocalVolTermStructure, OptionletVolatilityStructure, Settings, SwaptionVolatilityStructure and VolatilityTermStructure classes.

EXPERIMENTAL FOLDER

Finite-difference meshers based on multi-dimensional integrals (thanks to Klaus Spanderen).
SVI interpolation and a corresponding smile section (thanks to Peter Caspers).
ZABR volatility model (thanks to Peter Caspers).

Release 1.5 - February 10th, 2015

PORTABILITY

Unified project files for Visual Studio 10 and above. Different solutions are still provided for Visual Studio 10, 11 and 12.

DATE/TIME

Added China Inter-Bank calendar (thanks to Cheng Li).
Added half-month modified following convention (thanks to Paolo Mazzocchi).
Added a few more historical closings for NYSE.
Updated the Hong Kong and China calendar for 2015.
Updated list of ECB dates up to the first two dates for 2016 (thanks to Paolo Mazzocchi).

INSTRUMENTS

Improved Storage and Swing engine (thanks to Klaus Spanderen).
Fixed behavior of the Bjerksund Stensland engine for very small volatilities (thanks to Klaus Spanderen).
Add Heston expansion engine for European options (thanks to Fabien Le Floc'h).
Caps, floors and swaptions can use a displacement in implied-volatility calculation.
Added partial-time fixed and floating strike lookback options (thanks to Francois Botha).
Added binary barrier options (thanks to Riccardo Ghetta).
Added binomial engine for barrier options (thanks to Riccardo Ghetta).
Added Vecer engine for continuous-averaging Asian options (thanks to Bernd Lewerenz).

CASH FLOWS

Added ex-coupon feature to fixed-rate bonds, CPI bonds and bond helpers (thanks to Francois Botha).
Fix calculation of sinking notionals when the coupon rate is very near 0 (thanks to Cheng Li).

INDEXES

Added Shanghai Inter-bank Offering Rate index (thanks to Cheng Li).
Added Fed Fund index.
Added South-African CPI (thanks to Francois Botha).

TERM STRUCTURES

Improvement to CMS market calibration: enabled use of general coupon pricers, added calibration to a term structure of betas (thanks to Peter Caspers).
InterpolatedZeroCurve can be passed rates with any compounding convention and frequency (thanks to Alexandre Radicchi).
Bond helpers can now use quotes for either clean or dirty prices (thanks to Francois Botha).
Added CPI bond helper (thanks to Francois Botha).
Better handling in rate helpers of evaluation dates which are not business dates.
Spreaded curves allow extrapolation if their underlying curve does (thanks to Peter Caspers).
Fixed inflation-rate interpolation (thanks to Amine Ifri).

MATH

Added generation of student-t distributed random numbers (thanks to Jose Aparicio).
Added Folin's integration methods (thanks to Klaus Spanderen).
Added mixed backward-flat/linear interpolation (thanks to Peter Caspers).
Improved performance of matrix multiplication (thanks to Peter Caspers).
Fixed wrong primitive calculation in mixed interpolation (thanks to Peter Caspers).
Fixed corner case for finite-difference Newton solver leading to infinite derivative (thanks to Peter Caspers).
Added Maddock's cumulative normal distribution (thanks to Klaus Spanderen).
Added bivariate cumulative student t distribution (thanks to Michal Kaut).

LATTICES

Calculate option delta/gamma on binomial trees using Hull formulas (thanks to Riccardo Ghetta).

MISCELLANEA

A number of small performance improvements (thanks to Michael Sharpe).

EXAMPLES

Added example for Gaussian 1-D models (thanks to Peter Caspers).
Added examples for latent models and basket losses (thanks to Jose Aparicio).
Added example for multi-dimensional integral (thanks to Jose Aparicio).

DEPRECATED CLASSES

Removed deprecated Domain and Surface classes.

EXPERIMENTAL FOLDER

Extended credit risk plus model (thanks to Peter Caspers).
No-arbitrage Sabr model with corresponding volatility-cube, smile section and interpolation classes (thanks to Peter Caspers).
A number of latent models for basket losses (thanks to Jose Aparicio).
Complex chooser option (thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
Holder-extensible option (thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
Partial-time barrier option (thanks to Nathan Kruck, Ahmed Ayadi and Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
Two-asset correlation option (thanks to Ilyas Rahbaoui and Driss Aouad from the IMAFA program at Polytech'Nice Sophia).

Release 1.4.1 - November 17th, 2014

QuantLib 1.4.1 is a compatibility release. It fixes a number of compilation errors that surfaced when using QuantLib 1.4 with Clang 3.5 and Boost 1.57. Thanks to Tim Smith for the heads-up.

If you are not using Clang, you don't need to upgrade from QuantLib 1.4 to 1.4.1.

Release 1.4 - February 26th, 2014

PORTABILITY

Boost 1.39 or later is now required. We felt this could be enforced without causing grief to virtually anyone, given that 1.39 was released back in May 2009. We don't expect many people being stuck with an earlier version. This allows one to use make_shared to create shared_ptr instances, which has a number of advantages. Unfortunately, the C++03 implementation (which is still used by a number of older compiler that we're supporting) only allows a maximum of 9 constructor arguments, so we won't be able to use it everywhere.
Support for Visual C++ 2003 (VC++7) was dropped. The compiler is now more than 10 years old and no longer supported by Microsoft. Keeping the support is not worth the time and effort required. Anybody who is still stuck with this compiler and needs the support can fork the repository and maintain the changes.
Specific support for Visual C++ 2013 (VC++12) is not yet available; however, version checks in the code were relaxed so that one can import and convert the VC++11 solution without causing errors when auto-linking the generated libraries.
Fixed Clang warnings.
Use deprecated attribute of supported compilers. This replaces the QL_DISABLE_DEPRECATED mechanism that conditionally removes the features and causes the compiler itself to emit warnings if the features are used. The user can enable or disable the warnings by the means provided by the compiler.
Allow singletons to work under Visual C++ when CLR is enabled (thanks to Simon Shakeshaft).
Fixed compilation errors when using STLport (thanks to Marcello Pietrobon for the heads-up).

CONFIGURATION

Added switch to enable OpenMP-based parallelism (thanks to Joseph Wang). Currently, this is only used in a few loops in the finite-differences and tree frameworks.

DATE/TIME

Added Diamond Jubilee bank holiday to UK calendar.
Added Royal Wedding bank holiday to UK calendar (thanks to Whit Armstrong for the heads-up).
Added utilities to parse and format a date with the extended format implemented in Boost.Date (thanks to Michael von den Driesch). The previous parsing utility was deprecated.
Added Actual/365 (No Leap) day counter (thanks to Nick Glass).
Updated most moving holidays for 2014.
Fixed a Schedule bug where a combination of backwards generation and end-of-month convention would result in missing or duplicated dates (thanks to Nicholas Manganaro for the heads-up).

INSTRUMENTS

Fixed Delta and Gamma calculation in Ju quadratic engine (thanks to Fabien Le Floc'h).
Improved calculation in finite-differences Asian options when the running average is much greater than the forward value (thanks to Klaus Spanderen).
Fixed Theta issue for some American FDM engines (thanks to Klaus Spanderen).
Fix annuity computation for CMS coupons (thanks to Peter Caspers).
Enabled case r=0 in Barone-Adesi/Whaley approximation engine (thanks to Klaus Spanderen).
When building a swaption with MakeSwaption, use the fixed tenor of the underlying swap index if none is given explicitly.

MODELS

Allow for calibration of just a subset of a model's parameters. Pre-built constraint are provided for calibration of an Hull-White model while fixing the mean reversion, and for calibration of a Markov functional model while fixing the first component of the piecewise volatility. (Thanks to Peter Caspers.)
Allow recalculation of exercise and end dates in swaption and cap helpers when the evaluation date changes (thanks to Peter Caspers).
Allowed negative strikes in BlackFormula, as long as the strike plus the displacement is still positive (thanks to Peter Caspers).
Added calculation of implied volatility from Bachelier price in BlackFormula (thanks to Gary Kennedy).
Added Broadie-Kaya exact simulation schema to Heston model (thanks to Klaus Spanderen).
Fixed upper/lower bound calculation for internal constraint in calibrated model (thanks to Peter Caspers).

CASH FLOWS

Added support for ex-coupon dates to cashflow calculations (thanks to Nick Glass). Currently, ex-coupons dates can be specified for fixed rate bonds.
Fixed calculation of duration and convexity when using Act/Act(ISMA) (thanks to Nick Glass).

INDEXES

Fixed IborCoupon construction with null fixing days. The coupon was used the passed fixing days instead of the ones previously processed by the base class constructor (thanks to Lisa Ann and Gerardo Ballabio for the heads-up).
Add a clone() method to SwapIndex which allows to change the tenor (thanks to Peter Caspers).
Ignore inflation-index fixings stored at dates later than the evaluation date.
Added utility class for creating custom Region instances to be passed to inflation indexes.

TERM STRUCTURES

Prevent some errors when linking a null term structure to a Handle. When settings a null term structure to a Handle used as an underlying for another curve (say, a zero-spreaded curve), the latter tries to reset the jumps in the base class and fails. This error is now trapped. (Thanks to Christoph Breig for the heads-up.)
Fix interpolation of option dates in SwaptionVolatilityDiscrete and derived classes when evaluation date changes (thanks to Shen Hui).
Piecewise-spreaded curve can now choose interpolation (thanks to Mario Aleppo).

MATH

Extended Sobol direction numbers up to 21200 dimensions with Joe Kuo 6 searching rule (thanks to Cheng Li).
Added class for two-dimensional integration (thanks to Klaus Spanderen).
Added Maddock inverse-cumulative normal distribution from Boost (thanks to Klaus Spanderen).
Added modified Bessel functions (thanks to Klaus Spanderen).

EXPERIMENTAL FOLDER

Deprecated features were removed from experimental code.
Added initial implementation of catastrophe bond (thanks to Grzegorz Andruszkiewicz).
Added Vanna/Volga pricing engine for FX barrier options. Engines were provided for both single- and double-barrier FX options. An analytic engine was also provided for double-barrier equity options (thanks to Yue Tian).
Added Hagan pricing engine for irregular swaptions (thanks to Andre Miemiec).
Added simulated-annealing optimizer (thanks to Peter Caspers).
Added rebated exercise class (thanks to Peter Caspers).
Added pricing engine for arbitrary European payoffs under the Heston model (thanks to Klaus Spanderen).
Added linear terminal swap rate model pricer for CMS coupons (thanks to Peter Caspers).
Reorganized functional Markov model. Added one-factor GSR model, and float/float swap and swaption with a number of corresponding engines. (Thanks to Peter Caspers.)
The Levy engine for continuous-averaging Asian option now checks that the averaging period doesn't start in the future. Also, it allows the b=0 case that would raise an exception until now. (Thanks to Klaus Spanderen.)
Convertible bond now updates correctly when any of its observables changes.
Extended generalized Hull-White model (thanks to Cavit Hafizoglu). The model now allows to choose the mapping function between short rate and state variable, and includes the case of constant parameters.

Release 1.3 - July 24th, 2013

PORTABILITY

Enabled g++ compilation in C++11 mode.
Added VC++11 projects (thanks to Edouard Tallent).
Added x64 target to VC++10 and VC++11 projects (thanks to Johannes Göttker-Schnetmann).
Removed most level-4 warnings in VC++ (thanks to Michael Sharpe).
Removed warnings in VC++ when compiling for the x64 platform (thanks to Johannes Göttker-Schnetmann).

DATE/TIME

Fixed holiday for Japanese calendar (thanks to Sebastien Gurrieri).
Added Epiphany (introduced in 2011) to Polish calendar (thanks to katastrofa).
Updated South-Korean calendar for 2013 (thanks to Faycal El Karaa).
Updated Chinese calendar for 2012 (thanks to Cheng Li).
Updated calendar for 2013 for China, Hong Kong, India, Indonesia, Singapore, Taiwan and Turkey.
Fixed a few Mexican holidays.
Prevented out-of-bound access to degenerate schedule.

INSTRUMENTS

Finite-difference Bermudan swaption engines for the G2++ and the Hull-White models (thanks to Klaus Spanderen).
Added analytic Heston-Hull-White pricing engine for vanilla option using the H1HW approximation (thanks to Klaus Spanderen).
Managed underlying start delay in Jamshidian swaption engine (thanks to Peter Caspers).

MODELS

Added calibration to GARCH model (thanks to Slava Mazur).
Fixed forward-looking bias in Garch11 calculation (thanks to Slava Mazur).

CASH FLOWS

Use correct default for evaluation date in a few CashFlows methods (thanks to Peter Caspers).
Yield-based NPV calculation now uses coupon reference dates; this fixes small discrepancies when using day counters such as ISMA act/act (thanks to Henri Gough and Nick Glass).
Fixed start and end dates for convexity adjustment of in-arrears floating-rate coupon (thanks to Peter Caspers).

INDEXES

Added inspector for the joint calendar used by Libor indexes.
Added method to clone a swap index with a different discount curve (thanks to Peter Caspers).

TERM STRUCTURES

Fixed degenerate case for ABCD volatility (thanks to Peter Caspers).
Relaxed extrapolation check for default-probability curves. When calculating default probabilities between two dates or times, allow the first to precede the reference date. This effectively assumes that the default probability before the reference is null, and helps in cases where a coupon protection extends a couple of days before the reference due to adjustments (for instance, when the protection starts on a Saturday and the reference is rolled to the following Monday).
Pass correct ATM forward rate to smile section of InterpolatedSwaptionVolatilityCube (thanks to Peter Caspers).
Added exogenous discount to OptionletStripper1 (thanks to Peter Caspers).

MATH

Added Sobol brownian-bridge random sequence generator (thanks to Klaus Spanderen).
Added Richardson-extrapolation utility for numerical methods (thanks to Klaus Spanderen).
Added differential evolution optimizer (thanks to Ralph Schreyer and Mateusz Kapturski).
Added special case to close()/close_enough() when either value is 0; previously, they would always return false which could be surprising (thanks to Simon Shakeshaft for the fix).
Fixed Gamma distribution tail (thanks to Ian Qsong).
Ensure that the last function call inside a solver is passed the root (thanks to Francis Duffy).
Implemented Lagrange boundary condition for cubic interpolation (thanks to Peter Caspers).
Increased precision in tail of West's bivariate cumulative normal (thanks to Fabien Le Floc'h).
Improved calibration of SABR interpolation by allowing different starting points (thanks to Peter Caspers).
Moved FFT and autocovariance implementations from experimental folder to core library.

FINITE DIFFERENCES

Added time-dependent Dirichlet boundary condition (thanks to Peter Caspers).

UTILITIES

Implicit conversions of shared_ptr to bool are now explicit; they have been removed in C++11 (thanks to Scott Condit).

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Two-asset barrier option and related engine (thanks to IMAFA/Polytech'Nice students Qingxiao Wang and Nabila Barkati).
ODE solver (thanks to Peter Caspers).
Markov functional model (thanks to Peter Caspers).

Release 1.2.1 - September 10th, 2012

Bug-fix release.

Release 1.2 - March 6th, 2012

PORTABILITY

Microsoft Visual C++ 2010 no longer needs to disable uBlas code.
QuantLib now ships with an updated specification file for building RPMs (thanks to Matt Fair).

DATE/TIME

When EOM was specified, a schedule's end date was moved to the end of month even if the 'Unadjusted' convention was given. This is now fixed.
When a daily frequency was used, a schedule could end up containing duplicated dates. This is now fixed (thanks to Simone Medori for the bug report).
Added method to return truncated schedule.
Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
Added South Korea holidays for 2011/2012 (thanks to Charles Chongseok Hyun and Faycal El Karaa).
Added holidays for 2011 to China, Hong Kong, India, Indonesia, Saudi Arabia, and Taiwan calendars.
Added ECB maintenance dates for 2012 and 2013.
Greatly improved performance of business/252 day counter. The previous implementation would count the business days between two dates at each invocation. The new implementation caches dynamically the count of business days for whole months and years, so that after a while only the first and last few days are counted.

INSTRUMENTS

The AssetSwap instrument now supports non-par repayment.
Added specialized class for Italian CCTEU (certificato di credito del tesoro).
Added CPI-linked swaps, bonds, and cap/floors.

CASH FLOWS

Added CashFlows::npvbps() method to calculate NPV and BPS in a single loop to improve performance.

INDEXES

Better detection of forecast/past fixings for inflation indexes. When an interpolated index is asked for a fixing at the beginning of a month, the fixing for the following (which would have zero weight in the interpolation) is no longer required. Also, if a fixing is loaded in the index time series, it can be used even its observation lag has not fully elapsed.

TERM STRUCTURES

Vastly improved the performance of piecewise yield curve bootstrap. Anchoring the evaluation date (see below) provides a further improvement.
Moved CPI-volatility interface from experimental folder to the core library.

MATH

Added Newton 1-D solver with finite difference derivatives.
Improved interface for linear least-square regression (thanks to Slava Mazur).

FINITE DIFFERENCES

Added TR-BDF2 scheme (thanks to Fabien Le Floc'h).
Moved stable parts of 2D finite-difference framework from the experimental folder to the core library.

UTILITIES

Added resetEvaluationDate() and anchorEvaluationDate() methods to enable/disable change of evaluation date at midnight, respectively. Anchoring the evaluation date also improves the performance of some calculations.

PATTERNS

Fixed possible problem in LazyObject notification logic. The previous implementation would pass obsolete information to observers that asked for data in their update() method (which is not advised, but possible). This is no longer the case.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Spread option and related engine (thanks to IMAFA/Polytech'Nice students Meryem Chibo and Samad Abdessadki).
Writer-extensible option and related engine (thanks to IMAFA/Polytech'Nice students Delphine Bouthier, Marine Casanova, and Xavier Caron).
Levy engine for continuous-averaging Asian options (thanks to IMAFA/Polytech'Nice students Yasmine Lahlou and Amine Samani).
Simple Virtual Power Plant and related finite-difference (FD) engine (thanks to Klaus Spanderen).
FD solver and vanilla spread engine for Kluge-Ornstein-Uhlenbeck process (thanks to Klaus Spanderen).
Added generic n-dimensional FD solver (thanks to Klaus Spanderen).
Added FD pricing engine for a simple storage option based on an exponential Ornstein Uhlenbeck process (thanks to Klaus Spanderen).
Added vanilla and swing option FD pricer for Kluge model (thanks to Klaus Spanderen).
Added FD pricing engine for a simple swing option based on the Black-Scholes model (thanks to Klaus Spanderen).

Release 1.1 - May 23rd, 2011

PORTABILITY

Added support for Microsoft Visual C++ 2010.
Fixed m4 macro for QuantLib detection. It now works also when asked for versions such as 1.1 (as opposed to 1.1.0).

DATE/TIME

Added Russian calendar.
Revamped time-series iterators (thanks to Slava Mazur.) Iterators on dates and values were added, as well as C++0X-style cbegin() and cend() iterators.

INSTRUMENTS

Added a few inspectors to zero-coupon inflation swaps.
Added Kirk approximation for two-asset spread options.
Added specialized BTP class (Italian government bonds) and related RendistatoCalculator class to help instantiation of this type of FixedRateBond.
Added analytic pricing engine for the piecewise-constant time-dependent Heston model.
Added paymentCalendar to FixedRateBond, possibly different than the one used for accrual-date calculation.

PROCESSES

Added Quadratic Exponential discretization scheme for the Heston process, including martingale correction.

INDEXES

Added inspector for discounting curve to swap index (thanks to Peter Caspers.)
Added exogenous discounting to all swap indexes.
Added SONIA index.
Added HICPXT indexes.

TERM STRUCTURES

Added time-based interface to inflation curves.
Piecewise zero-spreaded term structure can now manage spread with any compounding (thanks to Robert Philipp.)
FittedBondDiscountCurve now works with any BondHelpers, not only FixedRateBondHelpers.
Added Svensson curve-fitting method (thanks to Alessandro Roveda.)

MATH

Added Ziggurat random-number generator (thanks to Kakhkhor Abdijalilov.)
Added experimental copula-based random-number generators (thanks to Hachemi Benyahia.)
More performant implementation of inverse cumulative distribution (thanks to Kakhkhor Abdijalilov.)
More performant mt19937 implementation (thanks to Kakhkhor Abdijalilov.)
Added more copulas (thanks to Hachemi Benyahia.) The new formulas are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss copula, and Plackett copula.
Added autocovariance calculation (thanks to Slava Mazur.)

MONTE CARLO

Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)

UTILITIES

Reworked Null class template (thanks to Kakhkhor Abdijalilov.) The new implementation avoids the need for a macro on 64-bit systems and automatically covers all floating-point and integer types.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

2D finite-difference Bates engine based on the partial integro differential equation.
2D finite-difference engine for Black-Scholes processes (including local volatility.)
Black-Scholes process with support for vega stress test (thanks to Michael Heckl.)
Extended Ornstein-Uhlenbeck process.
Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre, Michael Benguigui, and Yanice Cherrak.)
Simple chooser option (thanks to IMAFA/Polytech'Nice students Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
Generalized Hull-White model (thanks to Cavit Hafizoglu.) The generalized model can take piecewise-constant parameters instead of constant ones. A matching generalized Ornstein-Uhlenbeck process was also added.
Variance-gamma implementation (thanks to Adrian O'Neill.) Contributed classes include a variance-gamma process and model (with data but no behavior at this time) and a couple of working engines for European options.
Hybrid products in the McBasket framework (thanks to Andrea Odetti.) Path pricers now take a vector of YieldTermStructures that contains the (possibly stochastic) yield curves.
Delta calculator for FX options (thanks to Dimitri Reiswich.)

Release 1.0.1 - September 17th, 2010

Bug-fix release.

Release 1.0 - February 24th, 2010

PORTABILITY

Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
Enabled language extensions in Visual Studio projects.
Prevented make errors with older shells (thanks to Walter Eaves.)

DATE/TIME

Changes to end-of-month adjustment. In a schedule, the Unadjusted convention now supersedes a non-null calendar and causes dates to roll on the unadjusted end of month (possibly a holiday.)
Added new date-generation rule for CDS (thanks to Jose Aparicio.)
Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.) Previously, fair-upfront calculation required a non-null upfront to begin with. This is no longer the case.

INSTRUMENTS

Fixed discounting of dividends on convertible-bond grid (thanks to Benoit Houzelle and Samuel Lerouge.)

CASH FLOWS

A number of CashFlows methods now return a meaningful result even if the passed leg is empty.

PROCESSES

Changed default discretization for Heston process. The new default (giving a better performance) is quadratic exponential with Martingale correction.

TERM STRUCTURES

Removed ambiguous parRate member functions from YieldTermStructure interface.

EXAMPLES

Added market-model example.

EXPERIMENTAL FOLDER

The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases.

New contributions for this release were:

Longstaff-Schwartz algorithm for basket products including coupon payments (thanks to Andrea Odetti;)
added sparse incomplete LU preconditioner for 2D finite-difference models (thanks to Ralph Schreyer.)

Release 0.9.9 - November 2009

PORTABILITY

Fixes for 64-bit compilation.
Fixes for Sun Solaris compilation (thanks to Andreas Spengler.)

CASH FLOWS

Added overnight-index coupon.
Added inflation coupons.
Parameterized CashFlows functions with explicit flag specifying whether to include settlement-date cash flows.
Added cash-flow related flags to Settings class. They determine whether or not to include today's and/or settlement date's cash flows. They can be overridden while calling CashFlows functions.

DATE/TIME

Added EUWAX calendar.
Updated 2009 holidays for China, Hong Kong, India, Indonesia, Singapore, and Taiwan.
Removed Easter Monday from Canadian holidays (thanks to Matt Knox.)
Added weekend-only calendar.

INDEXES

Added EONIA index.
Added French HICP and Australian CPI inflation indexes.

INSTRUMENTS

Added overnight-index swaps (including helper for yield-curve bootstrap.)
Added inflation cap/floors (including interface for inflation cap/floor volatility structures.)
Added inspectors for previous and next coupon dates to Bond class.
Added implied z-spread calculation for bonds (thanks to Nathan Abbott.)
Added inspector to see whether a bond is still tradable (as opposed to not expired.)
Added constructor for fixed-rate bonds taking a generic InterestRate instance (thanks to Piter Dias.)
Added upfront to credit default swaps, including application to CDS helpers (thanks to Jose Aparicio.)
Added conventional CDS spread calculation (thanks to Jose Aparicio.)
Enabled non-spot inflation swaps.
Migrated asset swaps to pricing-engine framework.
Migrated inflation swaps to pricing-engine framework.
Migrated old average-strike Asian option pricer to pricing-engine framework (thanks to IMAFA students Jean Nkeng, Adrien Pinatton, and Alpha Sanou Toure.)

PRICING ENGINES

Added builders for a few Monte Carlo engines.
Most Monte Carlo engines can now specify either relative or absolute target tolerance.
Some Monte Carlo engines can now specify either an absolute number of time steps or a number of time steps per year.
Added choice of evolver scheme to finite-difference vanilla engines.

MATH

Implemented Parabolic and Fritsch-Butland cubic interpolations.
Added BFGS optimizer (thanks to Frederic Degraeve.)
Added 1D and 2D kernel interpolation (thanks to Dimitri Reiswich.)
Added Akima and overshooting-minimization spline algorithms (thanks to Sylvain Bertrand.)
Added FFT implementation (thanks to Slava Mazur.)

RANDOM NUMBERS

Added Luescher's luxury random number generator (a proxy for Boost implementation.)

TERM STRUCTURES

Added hook to swap-rate helpers for external discounting term structure (thanks to Roland Lichters.)
Added seasonality to inflation term structures (thanks to Piero Del Boca and Chris Kenyon.)

EXPERIMENTAL FOLDER

New contributions for this release were:

risky bonds and asset-swap options (thanks to Roland Lichters;)
spreaded hazard-rate curves (thanks to Roland Lichters;)
compound options (thanks to Dimitri Reiswich;)
refactored CDS options (thanks to Jose Aparicio;)
finite-differences solver for the hybrid Heston Hull-White model, including calibration (thanks to Klaus Spanderen;)
finite-differences Asian-option engines (thanks to Ralph Schreyer;)
machinery for default-event specification (thanks to Jose Aparicio;)
recursive CDO engine (thanks to Jose Aparicio.)

Release 0.9.7 - November 18th, 2008

PORTABILITY

Microsoft Visual C++ configurations have been renamed. The default Debug and Release configurations now link to the DLL version of the common runtime library. The names of other configuration should now be more descriptive.
Fixes for Solaris build.

BONDS

Added bond example (thanks to Florent Grenier.)
Added support for amortizing bonds (thanks to Simon Ibbotson.)

CASH FLOWS

Added two more cashflow analysis functions (thanks to Toyin Akin.)

DATE/TIME

Added bespoke calendar.

INDEXES

Added GBP/USD/CHF/JPY swap-rate indexes.
Fixed USD LIBOR calendar (settlement, not NYSE.)

MARKET MODELS

Added first displaced-diffusion stochastic-volatility evolver.

PRICING ENGINES

Monte Carlo average-price options now uses past fixings correctly.

QUOTES

added LastFixingQuote, a Quote adapter for the last available fixing of a given index.

EXPERIMENTAL FOLDER

New contributions for this release were:

time-dependent binomial trees (thanks to John Maiden.)
a new multidimensional FDM framework based on operator splitting using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to Andreas Gaida, Ralph Schreyer, and Klaus Spanderen.)
implementations of Black-variance curve and surface taking a set of quotes as input (thanks to Frank Hövermann.)
synthetic CDO engines (thanks to Roland Lichters.)
variance options, together with a Heston-process engine (thanks to Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli.)
a commodity framework, including instruments such as energy futures and energy swaps (thanks to J. Erik Radmall.)
quanto-barrier options (thanks to Paul Farrington.)
amortizing bonds (thanks to Simon Ibbotson.)
a perturbative engine for barrier options (thanks to Lorella Fatone, Maria Cristina Recchioni, and Francesco Zirilli.)

Release 0.9.6 - August 6th, 2008

Bug-fix release for QuantLib 0.9.5. It fixes a bug that would cause bootstrapped term structures to silently switch to linear interpolation when log-linear was requested.

Release 0.9.5 - July 30th, 2008

CREDIT FRAMEWORK

New credit framework due to the joint efforts of StatPro Italia, Roland Lichters, Chris Kenyon, and Jose Aparicio. The framework currently include:

Interface for default-probability term structure and adapters for hazard-rate and default-density structures.
Flat hazard-rate curve.
Interpolated hazard-rate and default-density curves.
Credit-default swaps (mid-point and integral engines.)
Bootstrapped piecewise default-probability curve.
CDS example.

PORTABILITY

Added support for Microsoft Visual C++ 2008 (Boost 1.35 is required for this compiler.)
Fixes for Cygwin build.

EXPERIMENTAL FOLDER

The new ql/experimental folder contains code which is still not fully integrated with the library, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces are likely to change in future releases. The folder currently include:

Generic MC basket option (thanks to Andrea Odetti.)
CDS option (thanks to Roland Stamm.)
Nth-to-default swap (thanks to Roland Lichters.)
Extended Black-Scholes-Merton process (thanks to Frank Hövermann.)
Quanto-adjusted coupons and averaged coupons (thanks to Toyin Akin.)
Callable bonds (thanks to Allen Kuo.)
New framework for volatility term structures.
Sensitivity analysis functions.

CALENDARS

Added 2008 holidays for China, India, Indonesia, Singapore, and Taiwan.
Added one-off holiday (President Reagan's and Ford's funerals) to NYSE calendar.
Fixed South Korea calendar (thanks to Charles Chongseok Hyun.)

CURRENCIES

Added Peruvian currency.

DATES

Added date-generation rules for CDS schedules (i.e., rolling to the 20th of the month.)

INDEXES

Added SEK LIBOR index.

INSTRUMENTS

Ported Himalaya and Everest options to pricing-engine framework (thanks to the IMAFA students at Polytech'Nice Sophia: Jérôme Bessi, Sébastien Bonifaci, Benjamin Degerbaix and Renaud Pentel.)

MATH

Added matrix determinant.
Added QR matrix decomposition.
Added a number of copulas (thanks to Marek Glowacki.)
Added constrained cubic spline.
Implemented derivative and second derivative of log-interpolations.
Added Gauss-Lobatto integration.
Added student-t distribution (thanks to Roland Lichters.)

MODELS

Added calibrated GJR-GARCH model (thanks to Yee Man Chan.)
Added Feller constraint to Heston model.

PRICING ENGINES

Refactored variance-swap engines (the underlying stochastic process is now passed to the pricing engine.)
Added GJR-GARCH pricing engines for vanilla options (thanks to Yee Man Chan.)

PROCESSES

Added Euler end-point discretization (thanks to Frank Hövermann.)
Added GJR-GARCH process (thanks to Yee Man Chan.)
Added Bates process.

TERM STRUCTURES

Added turn-of-year effect to yield-curve bootstrapping (generalized to multiple jumps at arbitrary dates.)
Added local bootstrap of forward rates (thanks to Simon Ibbotson.)
Disabled copies of interpolated curves (the existing behavior was incorrect. A fix to re-enable copying will be included in a future release.)

VOLATILITY

Added constant cap/floor term volatility structure.
Added stripped optionlet.

Release 0.9.0 - December 24th, 2007

PORTABILITY

Fixes for MSYS and Cygwin build.
Fixes for VC++ build with CLR support enabled.
Dropped MetroWerks CodeWarrior support.

CALENDARS

Fix for business-days calculation (thanks to Piter Dias.)
Updated Hong Kong's holidays for 2008 and China's for 2007.
Added new holiday to Canadian calendars (thanks to Matt Knox.)
Fixed joint-calendar specification (thanks to Jay Walters.)
Split Canadian calendar into settlement and TSX (thanks to Matt Knox.)
Added Brazilian exchange calendar (thanks to Richard Gomes.)
Fixes for the Brazilian calendars (thanks to Piter Dias.)

CASH FLOWS

Added average-BMA coupon (thanks to Roland Lichters.)
Fixed-rate coupons can now accept an InterestRate instance (thanks to Piter Dias.)
implemented cash-flow vector builders as helper classes to ease skipping default parameters and single/multiple inputs.

DATES

Extended date range up to year 2199.
Fixed period comparison (thanks to Chris Kenyon.)
Fixed short date formatting (thanks to Robert Lopez.)
Enhanced period algebra.

INDEXES

Added BMA index (thanks to Roland Lichters.)
Added inflation indexes (thanks to Chris Kenyon.)
Added historical interest-rate index analysis.

INSTRUMENTS

Added BMA swaps (thanks to Roland Lichters.)
Added year-on-year and zero-coupon inflation swaps (thanks to Chris Kenyon.)
Fixed stub-date management and backward date generation for fixed-rate bonds (thanks to Toyin Akin.)
Added clean/dirty bond-price calculation from Z-spread.

LATTICES

Fixed Tsiveriotis-Fernandes tree initialization (thanks to John Maiden.)

MATH

Added multi-dimensional cost function for least-square problems (thanks to Guillaume Pealat.)
Added histogram class (thanks to Gang Liang.)
Added log-cubic interpolation.
Fixed conjugate-gradient bug.
Fixed nested Levenberg-Marquardt bug.

PRICING ENGINES

Refactored option engines (the underlying stochastic process is now passed to the pricing engine.)
Refactored bond, cap/floor, swap, and swaption engines (the discount curve is now passed to the pricing engine.)
Added Heston/Hull-White analytic and Monte Carlo engines for vanilla options.
Fixed bug in blackFormulaCashItmProbability in case of non null displacement.

PROCESSES

Added hybrid Heston/Hull-White process.
Fixed joint-process bug.

QUOTES

Added forward-swap quote.

RANDOM NUMBERS

Fixed ordering of primitive polynomials for Sobol/Levitan and Sobol/Levitan/Lemieux methods.
Added JoeKuoD5, JoeKuoD6 and JoeKuoD7 direction integers for Sobol generator.
Added Kuo, Kuo2 and Kuo3 direction integers for Sobol generator.
Added class to generate low-discrepancy sequences using a lattice rule.

TERM STRUCTURES

Added discount curve fitted on bond prices (thanks to Allen Kuo.)
Added BMA-swap rate helper (thanks to Roland Lichters.)
Made SwapRateHelper forward-start enabled.
Added universal term-structure bootstrapper (thanks to Chris Kenyon.)
Added abstract inflation term structures (thanks to Chris Kenyon.)
Added piecewise inflation curves (thanks to Chris Kenyon.)

Release 0.8.1 - June 4th, 2007

PORTABILITY

Version 0.8.1 adds support for Boost 1.34 on Linux systems. If you are using version 0.8.0 on Windows systems, you do not need this upgrade.

Release 0.8.0 - May 30th, 2007

PORTABILITY

Version 0.8.0 is the last QuantLib release to support the Metrowerks CodeWarrior compiler (which was discountinued by Metrowerks.) If you use such compiler and want support to continue, you can volunteer for maintaining the necessary patches: contact the QuantLib developers for information.

SOURCE TREE

Files and folders in the source tree have been reorganized (hopefully for th ebetter.) If you only included <ql/quantlib.hpp>, all changes were taken care of for you. if you included specific headers, you might want to check its current location; in particular, all folder names are now lowercase.

CALENDARS

Added 2007 holidays for Indonesia, Saudi Arabia, and South Korea calendars.

CASH FLOWS

Added floater range-accrual coupons.

INDEXES

Added EuriborSwapFixB family.

INSTRUMENTS

Added capped/floored floating-rate bond. It can also be used for reverse floaters.
Added delta, gamma and theta to binomial option engines (thanks to Steve Cook.)
Refactored basket engines to allow for more payoffs.

LIBOR MARKET MODEL

This release includes an experimental implementation of a Libor market model developed with Mark Joshi. Improvements since release 0.4.0 include normal forward-rate market model, lognormal CMS market model, lognormal coterminal-swap market model, and calibration to caplets and coterminal swaptions. The interface of the model and its integration with the bulk of the library are still in development.

MATH

Adaptive Gauss-Kronrod integration added.
Added Higham's nearest correlation matrix method (thanks to Neil Firth)
Refactored optimization framework.

PROCESSES

Added new discretization schema to Heston process.

UTILITIES

The Handle class was split into RelinkableHandle (behaving like the old Handle class) and Handle (which is notified when its copies are relinked, but cannot itself be relinked.) The former can safely be returned from inspectors.

Release 0.4.0 - February 20th, 2007

PORTABILITY

Starting with release 0.4.0, the Borland free compiler 5.5 and Microsoft Visual C++ 6.0 are no longer supported. If you use one of these compilers and want support to continue, you can volunteer for maintaining the necessary patches: contact the QuantLib developers for information.

CALENDARS

Added 2007 holidays for Hong Kong, India, Singapore, and Taiwan exchanges.

LIBOR MARKET MODEL

This release includes an experimental implementation of a Libor market model developed with Mark Joshi. Improvements since release 0.3.14 include the use of quasi-random number generators and the calculation of Greeks and of upper bounds for instruments with early-exercise features. The interface of the model and its integration with the bulk of the library are still in development.

INSTRUMENTS

Added helper classes to make it easier to instantiate swaps, caps/floors, and CMS instruments.

INTEREST RATES

Added capped/floored floating-rate coupons (including convexity adjustment.)

MATH

Curve, domain and surface interfaces added.

PROCESSES

Added reversion level to Ornstein-Uhlenbeck process (thanks to Roland Lichters.)

VOLATILITY TERM STRUCTURES

Added stripping of caplet-volatility term structure from cap quotes.
Improved SABR interpolation and calibration.

Release 0.3.14 - November 6th, 2006

PORTABILITY

Version 0.3.14 is the last QuantLib release to support the Borland free compiler 5.5 and Microsoft Visual C++ 6.0. If you use one of these compilers and want support to continue, you can volunteer for maintaining the necessary patches: contact the QuantLib developers for information.

LIBOR MARKET MODEL

This release includes an experimental implementation of a Libor market model developed with Mark Joshi. The interface and its integration with the bulk of the library are still in development.

CURRENCIES

Added Romanian new lev.

DATES, CALENDARS, AND DAY COUNTERS

Added all serial 3M IMM futures (thanks to Toyin Akin.)
Reworked the Schedule class so that it follows market conventions more closely.
Added business/252 day-count convention (thanks to Piter Dias.)

INTEREST RATES

Added base swap-rate class and a number of actual swap rates.
Added constant-maturity swap coupons (including convexity adjustment.)

INSTRUMENTS

Added asset swaps.
Added face amount to bonds (defaulting to 100.)

MATH

Added hypersphere and lower-diagonal salvaging algorithms (thanks to Yiping Chen.)

PRICING ENGINES

Added Longstaff-Schwartz Monte-Carlo algorithm for American/Bermudan equity options with deterministic interest rates.

TERM STRUCTURE

Added piecewise-spreaded yield curve (thanks to Roland Lichters.)

Release 0.3.13 - July 31st, 2006

CALENDARS

Added NERC calendar (thanks to Joe Byers.)

INSTRUMENTS AND PRICING ENGINES

Added continuous fixed and floating lookback options (thanks to Warren Chou.)
Added FRA and forward fixed-coupon bonds; examples provided (thanks to Allen Kuo.)
Added variance swaps (thanks to Warren Chou.)
Added composite instrument; example provided.
Added cash-settled swaption pricing in Black swaption engine; test provided.
Added discrete dividends and soft callability to convertible bonds.

INTEREST RATES

Fixed business-day conventions for Euribor and LIBOR indices (following below one month, month-end from one month onwards.)

MODELS

Added more complex market parameterizations and performance improvements for Libor market model (thanks to Klaus Spanderen.)

PROCESSES

Renamed BlackScholedProcess to GeneralizedBlackScholedProcess; specialized classes added for Black-Scholes, Merton, Black and Garman-Kohlhagen processes.
Added Hull-White and G2 processes for Monte Carlo simulation (thanks to Banca Profilo.)

RANDOM NUMBERS

Added possibility to skip directly to the n-th item in a Sobol sequence (thanks to Richard Gould.)

MATH

Added SABR interpolation for volatilities.
Added general linear least-squares regression (thanks to Klaus Spanderen.)

Release 0.3.12 - March 27th, 2006

CALENDARS

Added Brazilian calendar (thanks to Piter Dias.)
Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian calendars.

INSTRUMENTS AND PRICING ENGINES

Added convertible bonds (thanks to Theo Boafo.)
The cash flows returned by the Bond::cashflows method now include the redemption.
SimpleSwap can now be set an engine. If none is set, the old cash-flow-based calculation is used.
Generalized McVanillaEngine so that it can manage n-dimensional processes; it now subsumes McHestonEngine.
Added pricing of Bermudan options on binomial trees (thanks to Enrico Michelotti.)
Separated accrual and payment conventions for bonds.
Modified basis-point sensitivity calculation so that it returns the cash variation for a basis-point change in rate (it used to return the figure to be multiplied by the variation in order to obtain the same result.)

MODELS

Added weights to short-rate model calibration (thanks to Enrico Michelotti.)
Added Libor market model (thanks to Klaus Spanderen.)

OPTIMIZATION

Added Levenberg-Marquardt optimization method (thanks to Klaus Spanderen.)

EXAMPLES

Merged American and European option examples; added Bermudan option.
Added convertible-bond example (thanks to Theo Boafo.)

Release 0.3.11 - October 20th, 2005

GLOBAL FEATURES

Added configuration option for adding current function information to error messages.
Added hook for multiple sessions to Singleton.

CALENDARS

Added Bombay and Taipei calendars.

CURRENCIES

Added new Turkish lira.

INDEXES

More accurate LIBOR calendars (thanks to Daniele de Francesco.)
Added DKKLibor, EURLibor, and NZDLibor indexes.
Added TRLibor index (thanks to Sercan Atalik.)

PRICING ENGINES

Added Bates stochastic-volatility model; tests provided (thanks to Klaus Spanderen.)
Added vega to analytic discrete-averaging Asian engine; test provided (thanks to Gary Kennedy.)
Added stochastic process for caplet Libor market model; tests provided (thanks to Klaus Spanderen.)

TERM STRUCTURES

Added fixed-coupon bond helper for curve bootstrapping (thanks to Toyin Akin.)

MATH

Added tabulated Gauss-Legendre quadratures (thanks to Gary Kennedy.)
Added more precise implementation of bivariate cumulative normal distribution (thanks to Gary Kennedy.)

Release 0.3.10 - July 14th, 2005

GLOBAL FEATURES

The suggested syntax for setting and registering with the global evaluation date is now:
Settings::instance().evaluationDate() = date;

registerWith(Settings::instance().evaluationDate());

CALENDARS

Istanbul calendar added (thanks to Serkan Atalik.)

LATTICE FRAMEWORK

Faster implementation of binomial and trinomial trees.

MONTE CARLO FRAMEWORK

Added generic multi-dimensional stochastic process.
Added stochastic process array (thanks to Klaus Spanderen.)
Multi-path generator now takes a generic stochastic process; tests provided.
New Path class implemented which stores asset values rather than variations; this makes pricers independent on whether or not log-variations were calculated. The new class is enabled when QL_DISABLE_DEPRECATED is defined; the old class is used otherwise.

INSTRUMENTS

Multi-asset option now takes a generic stochastic process.

MODELS

Added Heston stochastic-volatility model; tests provided (thanks to Klaus Spanderen.) Provided code include:
- a corresponding stochastic process;
- analytic and Monte Carlo option-pricing engines;
- parameter calibration.

CASH FLOWS

Cash-flow analyses such as NPV, IRR, convexity and duration added (thanks to Charles Whitmore.)

MATH

Added Gaussian orthogonal polynomials and Gaussian quadratures; tests provided (thanks to Klaus Spanderen.)
Convergence statistics added; tests provided (thanks to Gary Kennedy.)

Release 0.3.9 - May 2nd, 2005

GLOBAL FEATURES

QL_SQRT, QL_MIN etc. deprecated in favor of std::sqrt, std::min...
Added a tentative tracing facility to ease debugging.
Formatters deprecated in favor of output manipulators. A number of data types can now be sent directly to output streams.
Stream-based implementation of QL_REQUIRE, QL_TRACE and similar macros. Together with manipulators, this allows one to write simpler error messages, as in:
QL_FAIL("forward at date " << d << " is " << io::rate(f));

f
F f
Definition: defaultdensitystructure.cpp:32

QL_FAIL
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Definition: errors.hpp:92

d
Date d
Definition: exchangeratemanager.cpp:32

INSTRUMENTS

Improved Bond class
- yield-related calculation can be performed with either compounded or continuous compounding;
- added theoretical price based on discount curve;
- fixed-rate coupon bonds can define different rates for each coupon;
- added zero-coupon and floating-rate bonds (thanks to StatPro.)
Option instruments now take a generic StochasticProcess; however, most pricing engines still require a BlackScholesProcess. They should be checked to see whether the requirement can be relaxed. Following this change, Merton76Process no longer inherits from BlackScholesProcess. This avoids erroneous upcasts.
Partial fix for Bermudan swaptions with exercise lag (thanks to Luca Berardi for the report and discussion.)
Fix for analytic cap/floor engine; caplets/floorlets whose fixing is in the past are now calculated correctly (thanks to Aurelien Chanudet.)

CALENDARS

Added Bratislava and Prague calendars.

INDICES

Fixed calendars for LIBOR fixings (thanks to Daniele De Francesco.)

FINITE_DIFFERENCES FRAMEWORK

Migrated finite-difference pricers to pricing-engine framework (thanks to Joseph Wang.)

YIELD TERM STRUCTURES

Added generic piecewise yield term structure. Client code can choose what to interpolate (discounts, zero yields, forwards) and how (linear, log-linear, flat) by instantiating types such as:
PiecewiseYieldCurve<Discount,LogLinear>

PiecewiseYieldCurve<ZeroYield,Linear>

PiecewiseYieldCurve<ForwardRate,Linear>
Interpolated discount, zero-yield and forward-rate curves can now be set any interpolation.
FlatForward can now take rates with compounding other than continuous.
Fix for extrapolation in zero-spreaded and forward-spreaded yield term structure (thanks to Adjriou Belak for the report.)

MATH

Added backward- and forward-flat interpolations.

Release 0.3.8 - December 22nd, 2004

REQUIRED PACKAGES

Boost version 1.31.0 or later is now required.

DOCUMENTATION

Documentation now includes a FAQ page.

GLOBAL FEATURES

Global evaluation date added through Settings class. Used for index-fixing and exchange-rate lookup.
added InterestRate class, which encapsulate the interest rate compounding algebra. It manages day-counting convention, compounding convention, conversion between different conventions, and discount/compounding factor calculations. It also has its own formatter.

INSTRUMENTS

Bond and FixedCouponBond classes added (thanks to Jeff Yu) providing price/yield conversions; tests provided.

DATE, CALENDARS, AND DAY COUNT CONVENTIONS

Reworked Date interface. Added nextWeekday() and nthWeekday() static methods to the class Date. Added nextIMM() for the calculation of the next IMM date.
Added WeekdayFormatter and FrequencyFormatter
Added "1/1" day counter. The Actual365 is deprecated: as per ISDA documentation "Actual/365" is the same as "Actual/Actual". Use the ActualActual class instead, or the Actual365Fixed class.
Added dayCounterFromString(std::string) to QuantLibFunctions.
Improved Beijing calendar (thanks to Zhou Wu.)

CURRENCIES AND FX RATES

Added currency classes; CurrencyTag replaced in library code.
Added money class providing arithmetic with or without conversions; tests provided.
Added exchange-rate class; tests provided.
Added exchange-rate manager with smart rate lookup, i.e., able to derive a missing exchange rate as a chain of provided rates; tests provided.

MONTE CARLO FRAMEWORK

Added Faure low-discrepancy sequence (thanks to Gianni Piolanti;) tests provided.
Added randomized (shifted) low discrepancy sequences that will be used for randomized quasi Monte Carlo.
Added SeedGenerator class, for random generation of seeds when they are not given by the user.
Added the implementation of Sobol sequences using the coefficients of the free direction integers as provided by Bratley and Fox, who credited unpublished work of Sobol's and Levitan's.
Added an implementation of Sobol sequences using the coefficients of the free direction integers of Lemieux, Cieslak, and Luttmer. Coefficients for d<=40 are the same as in Bradley-Fox. For dimension 40<d<=360 the coefficients have been calculated as optimal values based on the "resolution" criterion. The values has been provided by Christiane Lemieux, private communication, September 2004.
PathGenerator now works correctly with processes describing S instead of log S. Geometric Brownian process added (thanks to Walter Penschke.)

LATTICE FRAMEWORK

Reworked the DiscretizedAsset interface.

PRICING ENGINES FRAMEWORK

Added pricing engine for American options with Ju quadratic approximation.
Average-price Asian pricers have been deprecated. New equivalent pricing engines added.

FIXED INCOME

Added current coupon to discretized swap and cap/floor.
Added IndexManager as a singleton (will replace XiborManager–already obsoleted in library code.)
Added DayCounter parameter to ParCoupon (to be used for accruing spreads and past fixings.) When missing, it defaults to that of the term structure.
Added compilation flag to select default floating-coupon type.
IndexedCoupon can now take a generic index rather than a Libor (thanks to Daniele De Francesco.)
Added hooks for convexity adjustment in floating-rate coupons; implemented adjustment for InArrearIndexedCoupon.

YIELD TERM STRUCTURE

TermStructure renamed to YieldTermStructure (the former name was deprecated.)
New base class BaseTermStructure which can calculate its reference date based on the global evaluation date. YieldTermStructure, BlackVolTermStructure, LocalVolTermStructure, CapFlatVolatilityStructure, CapletForwardVolatilityStructure, and SwaptionVolatilityStructure are now derived from BaseTermStructure so that they inherit its functionality.

PATTERNS

Added Singleton pattern.

MATH

Added N-dimensional cubic spline (thanks to Roman Gitlin.)
Added CovarianceDecomposition class (decomposes a covariance matrix into standard deviations and correlations)

MISCELLANEA

Renamed RelinkableHandle to Handle.

PORTABILITY

Support for Dev-C++ IDE added.
Fixes for gcc 2.95 added (thanks to Michael Dirkmann.)

Release 0.3.7 - July 23rd, 2004

IMPORTANT

QuantLib now depends on the Boost library (www.boost.org).

You will need a working Boost installation in order to compile and use QuantLib. Instructions for installing Boost from sources are available at http://www.boost.org/more/getting_started.html. Pre-packaged binaries might be available from other sources. Google is your friend (or Debian, or Fink...)

DATE, CALENDARS, AND DAY COUNT CONVENTIONS

Working on differentiating calendars depending on country or exchange, instead of city.
Added Italy (Settlement, Exchange), United Kingdom (Settlement, Exchange, Metals), United States (Settlement, Exchange, GovermentBond), Xetra.
Milan, London, and NewYork calendars have been deprecated.
Added (old-style) calendars: Beijing, Hong Kong, Riyadh, Seoul, Singapore, Taiwan.
RollingConvention has been renamed BusinessDayConvention, as for ISDA definitions.

MATH

Added rounding algorithms as per OMG enumeration/definition.

TEST SUITE

Moved to Boost unit test framework. CppUnit is no longer needed.
Added test for quanto and forward compound engines.
Added test for roundings.
Added test for discrete dividend European options.
Added test for cliquet options.

MISCELLANEA

enable/disableExtrapolation() methods were added to a few classes such as TermStructure. They make it possible to persistently allow extrapolation without the need of specifying it at every method call.
Added user-configurable flag to disable usage of deprecated classes.

PORTABILITY

Fink package available
Visual C++ 7.x project files added

Release 0.3.6 - April 15th, 2004

Bug-fix release for QuantLib 0.3.5. A bug was removed where calls to impliedVolatility() would break the state of the option and of all options sharing the same stochastic process.

Release 0.3.5 - March 31th, 2004

BOOST SUPPORT

When available, QuantLib 0.3.5 now uses parts of the Boost library. The presence of Boost is detected automatically under Unix/Linux systems; on Windows systems, it must be enabled by uncommenting the relevant line in ql/userconfig.hpp.
In the next QuantLib release, the presence of the Boost library will be mandatory.

MONTE CARLO FRAMEWORK

Modified MultiPath interface to remove drifts. They are now in the stochastic processes.
Preliminary implementation of Longstaff-Schwartz least-squares
Monte Carlo pricer for European basket options
Brownian-bridge bugs fixed
StochasticProcess base class and derived classes (diffusion, jump-diffusion, etc.) have been created.

PRICING ENGINES FRAMEWORK

Pricing engines now use Payoff and Exercise classes.
American basket options.
Binary barrier option replaced by vanilla option with digital payoff.
Stulz engine for max and min basket calls and puts on two assets.
American binary option added (a.k.a. one-touch, american digital, americal barrier, etc.) with different payoffs (cash/asset at hit/expiry, etc.)
Added engine for Merton 1976 jump-diffusion process.
Added Bjerksund and Stensland approximation for American option (still unstable.)
Added Barone-Adesi and Whaley approximation for American option.
Improved Black formula engine with more greeks added.
Discrete geometric asian option.
Added Leisen-Reimer binomial tree.

SHORT RATE MODELS

Model renamed to ShortRateModel. A typedef is provided for backward compatibility–it will be removed in subsequent releases.

VOLATILITY FRAMEWORK

bug fix for short time (0<=t<=Tmin) interpolation

OPTIMIZATION FRAMEWORK

Method renamed to OptimizationMethod. A typedef is provided for backward compatibility–it will be removed in subsequent releases.

PATTERNS

Composite pattern

MATH

Improved cubic spline interpolation. It now handles end conditions such as first derivative value, second derivative value, not-a-knot. Hyman filter for monotonically constrained interpolation has been implemented. Primitive calculation has been enabled in addition to derivative and second derivative.
Primitive, first derivative, and second derivative functions are available for linear interpolator.
Singular value decomposition improved.
Added bivariate cumulative normal distribution.
Added binomial coefficient calculation, binomial distribution, cumulative binomial distribution, and Peizer-Pratt inversion (method 2.)
Added beta functions.
Added Poisson distribution and cumulative distribution.
Added incomplete gamma functions.
Added factorial calculation.
Added rank-reduced square root and improved pseudo-square root of square symmetric matrices.
Added Cholesky decomposition.

TEST SUITE

Added test for cubic spline interpolation.
Added test for singular value decomposition.
Added test for two-asset baskets using the Stulz pricing engine.
Added test for Monte Carlo American cash-at-hit options.
Added test for jump-diffusion engine.
Added test for American and European digital options.

MISCELLANEA

Inner namespaces have been deprecated.
Added frequency enumeration, including 'once'.
MarketElement renamed to Quote.
Handling strike=0.0 where possible.
More Payoff classes have been introduced: gap, asset-or-nothing, cash-or-nothing. Payoff is now extensively used.
Exercise class is now polymorphic. More derived classes have been introduced, and they are now extensively used.
Introduced QL_FAIL macro.
Added calendar for Copenhagen
14 April 2004 (election day) added to Johannesburg calendar as a one-off holiday.
Documentation generated with Doxygen 1.3.6.
Win32 installer generated with NSIS 2.0.

Release 0.3.4 - November 21th, 2003

MONTE CARLO FRAMEWORK

MC European in one step with strike-independent vol curve (hopefully)
Path pricer for Binary options. It should cover both European and American style options. Also known as: Digital, Binary, Cash-At-Hit, Cash-At-Expiry.
Path pricers for barrier options

PRICING ENGINES FRAMEWORK

More options moved to the new pricing engine framework: binary, barrier
Changed setupEngine() into setupArguments(args)
Moved pricing-engine machinery up to Instrument class

FIXED INCOME

New basis-point sensitivity functions
Added Swap::startDate() and maturity()
Cap/floor fixing days taken into account

SHORT RATE MODELS

An additional constraint can now be passed to the calibration

VOLATILITY FRAMEWORK

Visitable volatility term structures

OPTIMIZATION FRAMEWORK

Added composite constraint

PATTERNS

Visitor, Alexandrescu-style (saves some code duplication)

MATH

Added more integration algorithms contributed by Roman Gitlin
Relaxed constaints on interval boundaries for integration algorithms
Interpolation traits

TEST SUITE

Added implied cap/floor term volatility test
Added test for binary options in PricingEngine Framework.
Added tests for Barrier options in PricingEngine Framework. Some Monte Carlo tests, but not comprehensive.

MISCELLANEA

Conditionally allowed negative yields (disabled by default)
Null calendar and simple day counter for reproducing theoretical calculations
Fixed for VC++.Net compilation
Added spec file for RPMs
Added global flag for early/late payments
Enabled test suite for Borland
Removed OnTheEdge VC++ configurations
Added VC++ configurations for static and dynamic Multithread libraries
Upgraded to use Doxygen 1.3.4

Release 0.3.3 - September 3rd, 2003

MONTE CARLO FRAMEWORK

Re-templatized Monte Carlo model based on traits.
New path generator based on DiffusionProcess, TimeGrid, and externally initialized random number generator.
Added Halton low discrepancy sequence.
Added sequence generators: random sequence generator creates a sequence generator out of a random number generator. InvCumGaussianRsg creates a gaussian sequence generator out of a uniform (random or low discrepancy) sequence generator.
RNG as constructor input constructor( long seed) deprecated.
Mersenne Twister random number generator added
Old PathPricers, PathGenerators, etc are available with a trailing _old
Added Jäckel's Brownian Bridge (not used yet.)
Sobol Random Sequence Generator. Unit and Jäckel.
Added randomized Halton sequences.

FINITE DIFFERENCE FRAMEWORK

Old class Grid no longer exists, use CenteredGrid to obtain the same result.

LATTICE FRAMEWORK

Abstracted discretized option.
Additive binomial trees. All binomial trees now use DiffusionProcess.
Added Tian binomial tree.

PRICING ENGINES FRAMEWORK

Partially implemented.
Quanto forward compounded engines.
Integral (european) pricing engine.

YIELD TERM STRUCTURE

ZeroCurve: a term structure based on linear interpolation of zero yields.

FIXED INCOME

Up-front and in-arrear indexed coupon.
Specific implementation of compound forward rate from zero yield.
Added compound forward and zero coupon implementations.
Added Futures rate helper with specified maturity date.
Added bucketed bps calculation.
Added swap constructor using specified maturity date as well as added functionality in Scheduler.
Added date-bucketed basis point sensitivity based on 1st derivative of zero coupon rate.

OPTIMIZATION FRAMEWORK

Solvers now take any function. ObjectiveFunction disappeared.

PATTERNS

Abstracted lazy object.
Abstracted the curiously recurring template pattern.

DATE AND CALENDARS

Added joint calendars.
Tokyo, Stockholm, Johannesburg calendar improved.
"MonthEndReference" business day rolling convention. Similar to "ModifiedFollowing", unless where original date is last business day of month all resulting dates will also be last business day of month.
Added basic date generation starting from the end.

MATH

Added Gauss-Kronrod integration algorithm.
Added primitive polynomial modulo 2 up to dimension 18 (available up to dimension 27.)
Added BicubicSplineInterpolation.
Numerical Recipes algorithm is back since there is a problem with Nicolas' code: it is unable to fit a straight line, it waves around the line.
Prime number generation.
Acklam's approximation for inverse cumulative normal distribution function (replaced Moro's algorithm as default.)
Added error function.
Improved Cumulative Normal Distribution function using the error function.
Matrix pseudo square algorithm using salvaging algorithm(s).
Added SequenceStatistics.
Major Statistic reworking.
Added DiscrepancyStatistic that inherits from SequenceStatistic and extends it with the calculation of L2-discrepancy.
HStatistics.
Added first and second derivative ot cubic splines.

RISK MEASURES

Introduced semiVariance and regret.
Redefinition of average shorfall (normalization factor now is cumulative(target) instead of 1.0)

MISCELLANEA

QuEP 9 "generic disposable objects" implemented.
Added test suite.
Dataformatters extended to format long integers, Ordinal numerals, power of two formatting.
Exercise class adopted.
Added user configuration section.
Inhibited automatic conversion of Handle<T> to RelinkableHandle<T>.
Diffusion process extended.
Added strikeSensitivity to the Greeks.
BS does handle t==0.0 and sigma==0.0.
TimeGrid has been reworked.
Added payoff file for Payoff classes. Added Cash-Or-Nothing and Asset-Or-Nothing payoff classes.
Upgraded to use Doxygen 1.3.

Release 0.3.1 - February 4th, 2003

FINITE DIFFERENCE FRAMEWORK

partially implemented QuEP 2 (http://quantlib.org/quep.shtml)

VOLATILITY FRAMEWORK

added Black and local volatility interface

PRICING ENGINES FRAMEWORK

partially implemented QuEP 5 (http://quantlib.org/quep.shtml)

YIELD TERM STRUCTURE

interface revisited
added discrete time forward methods
added DiscountCurve (loglinear interpolated) and CompoundForward term structures
ForwardSpreadedTermStructure moved under QuantLib::TermStructures namespace

FIXED INCOME

Modified coupons so that the payment date can be after the end of the accrual period

MISCELLANEA

added/verified holidays of many calendars
added new calendars
added new currencies
more date formatters
added Period(std::string&)
it is now possible to advance a calandar using a Period
added LogLinear Interpolation
the allowExtrapolation boolean in interpolation classes has been removed from constructors and added to the operator()
Renamed Solver1D::lowBound and hiBound
bug fixes

BUILD PROCESS

More autoconfiscated time functions and types
Migrated to latest autotools
added patches for Darwin and Solaris

Release 0.3.0 - May 6th, 2002

MONTE CARLO FRAMEWORK
- Path and MultiPath are time-aware
- McPricer: extended interface, improved convergency algorithm

FINITE DIFFERENCE FRAMEWORK
- added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
  ImplicitEuler, and ExplicitEuler are now derived
- Finite Difference exercise conditions are now in the
  FiniteDifferences folder/namespace
- Finite Difference pricers now start with 'Fd' letters
- BSMNumericalOption became BsmFdOption

LATTICE FRAMEWORK
- introduced first version of the framework
- CRR and JR binomial trees

VOLATILITY FRAMEWORK
- early works on reorganization of vol structures

YIELD TERM STRUCTURE
- new TermStructure class based on affine model
- yield curves can be spreaded in term of zeros
 (ZeroSpreadedTermStructure) and forwards
 (ForwardSpreadedTermStructure)
- Added dates() and times() to PiecewiseFlatForward
- discount factor accuracy in the yield curve bootstrapping is an
  input
- added single factor short-rate models (Hull-White, Black-Karasinski)
- added two factor short-rate models framework
- cap/floor and swaption calibration helpers
- added bermudan swaption pricing example (including BK and HW
  calibrations)

FIXED INCOME
- cap/floor and  swaption tree pricer
- cap/floor analytical pricer
- vanilla swaption Jamshidian pricer
- Added accruedAmount() to coupons
- Made cash flow vector builders into functions

OPTIMIZATION FRAMEWORK
- added conjugate gradient, simplex

PATTERNS
- implemented QuEP 8 and 10

MISCELLANEA
- added allowExtrapolation parameter to interpolaton classes
- added 2D bilinear interpolation
- better spline interpolation algorithm
- Added non-central chi-square distribution function.
- Improved Inverse Cumulative Normal Distribution using Moro's
  algorithm
- Introduced class representing stochastic processes
- added isExpired() to Instrument interface
- added functions folder and namespace for %QuantLibXL and any other
  function-like interface to %QuantLib
- Handle is now castable to an Handle of a compatible type
- added downsideVariance to the Statistics class
- kustosis() and skewness() now handles the case of stddev == 0 and/or
  variance == 0
- added Correlation Matrix to MultiVariateAccumulator
- enforced MS VC compilation settings
- added "-debug" to the QL_VERSION version string ifdef QL_DEBUG
- "make check" runs the example programs under Borland C++
- fixed compilation with "g++ -pedantic"
- Spread as market element
- new calendars introduced
- new Xibor Indexes introduced
- Added optional day count to libor indexes
- Shortened file names within 31 char limit to support HFS

Release 0.2.1 - December 3rd, 2001

MONTE CARLO FRAMEWORK
- Path and MultiPath are now classes on their own
- PathPricer now handles both Path and MultiPath
- MonteCarloModel now handles both single factor and
  multi factors simulations.
- McPricer now handles both single factor and
  multi factors pricing. New pricing interface
- antithetic variance-reduction technique made possible in Monte Carlo
  for both single factor and multi factors
- Control Variate specific class removed: control variation
  technique is now handled by the general MC model
- average price and average strike asian option refactored
- Sample as a (value,weight) struct
- random number generators moved under RandomNumbers folder and
  namespace

FINITE DIFFERENCE FRAMEWORK
- BackwardEuler and ForwardEuler renamed ImplicitEuler and
  ExplicitEuler,
  respectively
- refactoring of TridiagonalOperator and derived classes

YIELD TERM STRUCTURE AND FIXED INCOME
- Added some useful methods to term structure classes
- Allowed passing a quote to RateHelpers as double
- added FuturesRateHelpers (no convexity adjustment yet)
- PiecewiseFlatForward now observer of rates passed as MarketElements
- Unified Date and Time interface in TermStructure
- Added BPS to generic swap legs
- added term_structure+swap example
- Fixing days introduced for floating-coupon bond

PATTERNS
- Added factory pattern
- Calendar and DayCounter now use the Strategy pattern

VARIOUS
- used do-while-false idiom in QL_REQUIRE-like macros
- now using size_t where appropriate
- dividendYield is now a Spread instead of a Rate (that is: cost of
  carry is allowed)
- RelinkableHandle initialized with an optional Handle
- Worked around VC++ problems in History constructor
- added QL_VERSION and QL_HEX_VERSION
- generic bug fixes
- removed classes deprecated in 0.2.0

INSTALLATION FACILITIES

improved and smoother Win32 binary installer

DOCUMENTATION

general re-hauling
improved and extended Monte Carlo documentation
improved and extended examples
Upgraded to Doxygen 1.2.11.1
Added man pages for installed executables
added docs in Windows Help format
added info on "Win32 OnTheEdgeRelease" and "Win32 OnTheEdgeDebug" MS VC++ configurations
additional information on how to create a MS VC++ project based on QuantLib

Release 0.2.0 - September 18th, 2001

Library:
- source code moved under ql, better GNU standards
- gcc build dir can now be separated from source tree
- gcc 3.0.1 port
- clean compilation (no warnings)
- bootstrap script on cygwin
- Fixed automatic choice of seed for random number generators
- Actual/actual classes
- extended platform support (see table in documentation)
- antithetic variance-reduction technique made possible in Monte Carlo
- added dividend-Rho greek
- First implementation of segment integral (to be redesigned)
- Knuth random generator
- Cash flows, scheduler, and swap (both generic and simple) added
- added ICGaussian random generator
- generic bug fixes
Installation facilities:
- improved and smoother Win32 binary installer
- better distribution
- debian packages available
Documentation:
- general re-hauling
- added examples of using QuantLib and of projects based on QL

Release 0.1.9 - May 31st, 2001

Library:
- Style guidelines introduced (see http://quantlib.org/style.shtml) and partially enforced
- full support for Microsoft Visual Studio
- full support for Linux/gcc
- momentarily broken support for Metrowerks CodeWarrior
- autoconfiscation (with specialized config.*.hpp files for platforms without automake/autoconf support)
- Include files moved under Include/ql folder and referenced as "ql/header.hpp"
- Implemented expression templates techniques for array algebra optimization
- Added custom iterators
- Improved term structure
- Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier options (all with greeks calculation, control variated where possible)
- Added Helsinki and Wellington calendars
- Improved Normal distribution related functions: cumulative, inverse cumulative, etc.
- Added uniform and Gaussian random number generators
- Added Statistics class (mean, variance, skewness, downside variance, etc.)
- Added RiskMeasures class: VAR, average shortfall, expected shortfall, etc.
- Added RiskStatistics class combining Statistics and RiskMeasures
- Added sample accumulator for multivariate analysis
- Added Monte Carlo tools
- Added matrix-related functions (square root, symmetric Schur decomposition)
- Added interpolation framework (linear and cubic spline interpolation implemented).
Installation facilities:
- Added Win32 GUI installer for binaries
Documentation:
- support for Doxygen 1.2.7
- Added man documentation

Release 0.1.1 - November 21st, 2000

Initial release.