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Changes for QuantLib 1.15:

QuantLib 1.15 includes 32 pull requests from several contributors.

The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt and at https://github.com/lballabio/QuantLib/milestone/11?closed=1.

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.

Deprecated features

  • Up to this release, it has been possible to force interest rates to be non-negative by commenting the QL_NEGATIVE_RATES macro in ql/userconfig.hpp on Visual C++ or by passing the --disable-negative-rates switch to ./configure on other systems. This possibility will no longer be supported in future releases.

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 switch 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.