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Main changes for QuantLib-SWIG 1.36

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/29?closed=1.

  • We're now using modern tooling to build and test Python wheels. Building now requires build besides setuptools, and testing requires pytest and tox. All of them can be installed in a virtual environment.

  • Removed the deprecated constructors of the ForwardRateAgreement class.

  • Removed the deprecated constructor of YoYInflationIndex taking a ratio parameter.

  • Removed the deprecated YYEUHICPr, YYFRHICPr, YYUKRPIr, YYUSCPIr and YYZACPIr indexes.

  • Removed the deprecated constructors of CPICoupon taking a spread parameter and its spread method, as well as the deprecated withSpreads method of CPILeg.

  • Breaking: in Python, the multiplication between two ql.Array instances would return the dot product. It now returns the element-wise product, like in C++. Also, exposed more operators. Thanks to Eugene Toder (@eltoder).

  • Exported SpreadedSwaptionVolatility class (@lballabio).

  • Exported Index::pastFixing and the constructor of EquityIndex taking currency information; thanks to Ralf Konrad Eckel (@ralfkonrad).

  • Exported specialized Warsaw Stock Exchange (WSE) calendar for Poland; thanks to Marcin Bogusz (@marcinfair).

  • Exported missing volatility-type parameter for SABR interpolation (@lballabio). This allows using it for normal volatilities.

  • Exported startOfMonth and isStartOfMonth methods for both Date and Calendar (@lballabio).

  • Exported CompoundingOvernightIndexedCouponPricer and ArithmeticAveragedOvernightIndexedCouponPricer, and export corresponding pricer parameter for the OISRateHelper and DatedOISRateHelper constructors (@lballabio).

  • Export additional custom-constraint parameter for non-linear fitting methods (@lballabio).

  • Exported needsForecast and lastFixingDate methods for inflation indexes (@lballabio).

  • Exported new optimizer and end-criteria parameters for the GlobalBootstrap constructor (@lballabio).

  • Exported new interpolation parameter for YoY inflation coupons (@lballabio).