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News.txt
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Changes for QuantLib 1.11:
==========================
QuantLib 1.11 includes 47 pull requests and fixed issues 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/6?closed=1>.
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).