1.41

Downloads:

• QuantLib-1.41.tar.gz
• QuantLib-1.41.zip

Changes for QuantLib 1.41

Removals and deprecations

Features deprecated in release 1.36 were removed in this release; see #2348 for a full list.

A number of features were deprecated in this release and will be removed in a future release:

• The ZeroInflationTermStructure::zeroRate and YoYInflationTermStructure::yoyRate overloads taking an observation lag; if needed, use the other overloads instead (but you should go through the corresponding indexes anyway).
• The constructors of InterpolatedPiecewiseForwardSpreadedTermStructure, InterpolatedPiecewiseZeroSpreadedTermStructure and ZeroSpreadedTermStructure taking a day counter; use another constructor instead.
• The ContinuousArithmeticAsianLevyEngine constructor taking a start date; use the other constructor and pass the start date to the option instead.
• The ql/functional.hpp header; use #include <functional> instead.
• The ql/tuple.hpp header; use #include <tuple> instead.
• The now empty ql/experimental/averageois/arithmeticaverageois.hpp, ql/experimental/averageois/arithmeticoisratehelper.hpp, ql/experimental/averageois/makearithmeticaverageois.hpp, ql/experimental/risk/creditriskplus.hpp and ql/experimental/risk/sensitivityanalysis.hpp headers.

What's Changed

• Bump github/codeql-action from 3 to 4 by @dependabot[bot] in #2345
• Set version to 1.41-dev by @lballabio-bot in #2347
• Remove features deprecated in version 1.36 by @lballabio in #2348
• Enable rounding in Ultimate Forward Rate term-structure by @marcin-rybacki in #2342
• Update copyright list in license by @github-actions[bot] in #2349
• Automated fixes by clang-tidy by @lballabio-bot in #2352
• Make PiecewiseSpreadYieldCurve::traits_type public by @eltoder in #2350
• Add constructors with fixed start and end dates for inflation swap helpers by @eltoder in #2351
• Add Vanna and Volga to Black-Scholes and Bachelier calculators by @kp9991-git in #2354
• Cleaned up extra semicolon in output loops by @BabarZKhan in #2355
• Automated fixes by clang-tidy by @lballabio-bot in #2357
• Bump actions/upload-artifact from 4 to 5 by @dependabot[bot] in #2358
• Fixed misspelling in output of example by @BabarZKhan in #2359
• Small optimization for Vanna-Volga adjustment in barrier engine by @paolodelia99 in #2356
• Implement ZeroCouponInflationSwap::fixedLegBPS() by @eltoder in #2360
• Allow crossed ranges in holidayList and businessDayList methods by @eltoder in #2362
• Remove unused day counter argument from spreaded curves by @eltoder in #2365
• Automated fixes by clang-tidy by @lballabio-bot in #2370
• Simplify implementation of internal LogInterpolationImpl and MixedInterpolationImpl classes by @eltoder in #2363
• Make it possible to use default setting for includeSettlementDateFlows in CashFlows methods by @lballabio in #2372
• Deprecate retrieval of lagged rates from inflation term structures by @lballabio in #2374
• Added semi-analytic European engine for a single asset with cash dividends by @klausspanderen in #2373
• Update generated headers by @lballabio-bot in #2376
• Bump actions/checkout from 5 to 6 by @dependabot[bot] in #2382
• Patch a few vector initialisations for AD compatibility by @auto-differentiation-dev in #2383
• Add Asian option example by @KookiesNKareem in #2380
• Add bootstrap helper for fixed-vs-floating const-notional cross-currency swaps by @uzi101 in #2367
• Update copyright list in license by @github-actions[bot] in #2384
• Consistent usage of BOOST_ALL_NO_LIB and ql/auto_link.hpp by @francisduffy in #2385
• Update generated headers by @lballabio-bot in #2386
• Automated fixes by clang-tidy by @lballabio-bot in #2387
• Add global multi-curve bootstrap by @pcaspers in #2344
• Add initial support for seasoned continuous Asian options by @KookiesNKareem in #2381
• Update generated headers by @lballabio-bot in #2390
• Update old license links by @github-actions[bot] in #2389
• Update copyright list in license by @github-actions[bot] in #2388
• Avoid warning about implicit copy constructor by @lballabio in #2393
• Add natural cubic spline to fitting methods for bond curves by @Krishn1412 in #2378
• Automated fixes by clang-tidy by @lballabio-bot in #2397
• Relax check on helper maturities in GlobalBootstrap by @pcaspers in #2395
• Patches for AD compatibility by @auto-differentiation-dev in #2402
• Use quoteError in FittedBondDiscountCurve by @eltoder in #2401
• Bump peter-evans/create-pull-request from 7 to 8 by @dependabot[bot] in #2405
• Bump actions/upload-artifact from 5 to 6 by @dependabot[bot] in #2404
• Add an accessor to Instrument for the current pricing engine by @eltoder in #2400
• Add optional instrument weights to global bootstrap inputs by @pcaspers in #2398
• Add extra features from ORE to overnight-indexed coupons by @paolodelia99 in #2297
• Update old license links by @github-actions[bot] in #2406
• Automated fixes by clang-tidy by @lballabio-bot in #2407
• Prevent some deferred observers from being destroyed during updates by @francisduffy in #2409
• Fix GsrProcessCore crash when constructed with temporary arrays by @yashwantbezawada in #2410
• Better implementation of #2409 by @francisduffy in #2412
• Revert #2410 by @lballabio in #2417
• Automated fixes by clang-tidy by @lballabio-bot in #2416
• Fix typo in multi-curve error message by @pcaspers in #2419
• Set version to 1.41-rc by @lballabio-bot in #2420
• Set version to 1.41 final by @lballabio-bot in #2422

New Contributors

• @BabarZKhan made their first contribution in #2355
• @KookiesNKareem made their first contribution in #2380
• @uzi101 made their first contribution in #2367
• @Krishn1412 made their first contribution in #2378
• @yashwantbezawada made their first contribution in #2410

Full Changelog: v1.40...v1.41