News.txt

Changes for QuantLib 1.14:
==========================

QuantLib 1.14 includes 40 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/10?closed=1>.

PORTABILITY

- In April 2018, Microsoft ended its support for Microsoft Visual C++
  2008. As previously announced, this release drops support for it.

- Fixed generation of RPM from QuantLib.spec (thanks to Simon Rees).

- Avoided uses of some features removed in C++17 so that the library
  can be compiled under the latest standard if needed.

- boost::shared_ptr 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.

- Fixed build and tests on FreeBSD-11 (thanks to Klaus Spanderen and
  to Mikhail Teterin for the heads-up).

- Fixed tests with the -ffast-math compilation flag enabled (thanks to
  Klaus Spanderen and to Jon Davies for the heads-up).


INSTRUMENTS AND PRICING ENGINES

- Add different settlement methods for swaptions (thanks to Peter
  Caspers).

- Take into account distinct day-count conventions for different
  curves in the analytic barrier-option engine (thanks to GitHub user
  cosplay-raven).

- Extract the correct constant coefficients to use in
  finite-difference vanilla-option engine when using a time-dependent
  Black-Scholes process (thanks to GitHub user Grant6899 for the
  analysis).


CASH FLOWS AND INTEREST RATES

- Added Bibor and THBFIX indices (thanks to Matthias Lungwitz).


MODELS

- Added a hook for using a custom smile model in the Markov functional
  model (thanks to Peter Caspers).

- Added a base class CalibrationHelperBase to the hierarchy of
  calibration helpers in order to allow for helpers not using the
  Black model.

- Return underlying dynamics from Black-Karasinski model (thanks to
  Fanis Antoniou).


FINITE DIFFERENCES

- Added higher-order spatial operators (thanks to Klaus Spanderen).

- Added TR-BDF2 finite-difference scheme (thanks to Klaus Spanderen).


TERM STRUCTURES

- Allow swap helpers to specify end-of-month convention (thanks to
  Matthias Lungwitz).


DATE/TIME

- Prevented division by zero in Actual/365 Canadian day counter
  (thanks to Ioannis Rigopoulos for the heads-up).

- Added Children's Day to the list of Romanian holidays (thanks to
  Matthias Lungwitz).

- Added new calendar for Thailand (thanks to Matthias Lungwitz).

- Added 30/360 German day counter (thanks to Peter Caspers and Alexey
  Indiryakov).


MATH

- Fixed bug in convex-monotone interpolation (thanks to Peter Caspers
  for the fix and to Tom Anderson for finding the bug).


NEW OPT-IN FEATURES

- It is now possible to use std::shared_ptr and its related classes
  instead of boost::shared_ptr.  Note that, unlike its boost
  counterpart, std::shared_ptr doesn't check for null pointers before
  access; this can lead to crashes.  The feature can be enabled by
  uncommenting the QL_USE_STD_SHARED_PTR macro in ql/userconfig.hpp on
  Visual C++ or by passing the --enable-std-pointers to ./configure on
  other systems.  This requires using at least the C++11 standard
  during compilation.

- It is now possible to use std::unique_ptr instead of std::auto_ptr;
  this makes it possible to compile the library in strict C++17 mode
  and to avoid deprecation warnings in C++11 and C++14 mode.  The
  feature can be enabled by uncommenting the QL_USE_STD_UNIQUE_PTR
  macro in ql/userconfig.hpp on Visual C++ or by passing the
  --enable-std-unique-ptr to ./configure on other systems.


Thanks go also to Sam Danbury, Barry Devlin, Roland Kapl, and GitHub
user todatamining for smaller fixes, enhancements, and bug reports.