Skip to content

News.md

Latest commit

 

History

History
49 lines (34 loc) · 1.87 KB

News.md

File metadata and controls

49 lines (34 loc) · 1.87 KB
Raw

Main changes for QuantLib-SWIG 1.17

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/10?closed=1.

  • The Python module is now available on PyPI as simply QuantLib. The old name QuantLib-Python will still be provided for a while but it will cause the new module to be installed.

  • As of this release, the Ruby wrappers are deprecated. They will be removed in next release. They have been broken for a while, and nobody expressed any interest in fixing them.

  • It is now possible to specify at run time whether to use indexed coupons (thanks to Ralf Konrad). This makes it possible to enable them using prebuilt binaries without having to recompile them. You can 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.

  • Exported MakeOIS class (thanks to Wojciech Slusarski).

  • Exported American quanto dividend option engine (thanks to Klaus Spanderen).

  • Exported legBPS method for swaps (thanks to Mike DelMedico).

  • Exported cubic spline variant of piecewise discount curve, interpolated discount curve and interpolated zero-rate curve (thanks to Mike DelMedico).

  • Exported interpolated zero and YoY inflation curves (thanks to Matthias Lungwitz).

  • Exported overnight-indexed coupon and leg (thanks to Matthias Lungwitz).

  • Exported a few overnight LIBOR indexes.

  • Exposed ex-coupon functionality for floaters.

  • Added static convenience methods to call different fixed-rate bond constructors using Python keyword arguments (thanks to Prasad Somwanshi).

  • Exported Newton solver to Java and C++ (thanks to Klaus Spanderen).