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Main changes for QuantLib-SWIG 1.18

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/11?closed=1.

  • As announced in the past release, the Ruby wrappers were removed. They have been broken for a while, and nobody expressed any interest in fixing them.

  • Exported most of the inner machinery (meshers, operators, boundary conditions, schemes, solvers...) of the finite-difference framework (thanks to Klaus Spanderen).

  • Exported GJR-GARCH process, model, analytic engine and MC engine (thanks to Pedro Coelho).

  • The accuracy of piecewise curve can now be passed as an argument to the IterativeBootstrap class, which in turn can be passed to the curve. The new class also allows to set minimum and maximum values explicitly.

  • Exported the new GlobalBootstrap class and the corresponding GlobalLinearSimpleZeroCurve curve.

  • Exported the CmsMarket class (thanks to Matthias Lungwitz).

  • Exported convex monotone and Kruger cubic and log-cubic interpolation (thanks to Miguel Villasmil).

  • Exported InflationCoupon and CPICoupon classes with corresponding functions as_inflation_coupon and as_cpi_coupon.

  • Exported missing methods of the SwaptionVolatilityStructure class (thanks to Matthias Lungwitz).

  • Exported the CallableFixedRateBond class and a few missing methods of the CallableBond class.

  • Exported the enforcesTodaysHistoricFixings flag from the Settings class (thanks to Tomáš Křehlík).

  • Exported the OvernightIndexFutureRateHelper class (thanks to Miguel Villasmil).

  • Exported the SofrFutureRateHelper class.

  • Allowed use of normal volatility with the CapHelper class.