1.36

Downloads:

• QuantLib-SWIG-1.36.tar.gz
• QuantLib-SWIG-1.36.zip

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).

New Contributors

• @marcinfair made their first contribution in #669

Full Changelog: v1.35...v1.36

1.35

Downloads:

• QuantLib-SWIG-1.35.tar.gz
• QuantLib-SWIG-1.35.zip

Main changes for QuantLib-SWIG 1.35

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/28?closed=1.

• Removed deprecated classes DividendVanillaOption and DividendBarrierOption.
• Removed deprecated constructor of AnalyticDividendEuropeanEngine taking only a process and no dividends.
• Exported missing CashAnnuityModel parameter for Black and Bachelier swaption engines (@lballabio).
• Exported Ziggurat Gaussian RNG; thanks to Ralf Konrad Eckel (@ralfkonrad).
• Exported a few missing CashFlows methods (@lballabio); thanks to GitHub user @heiieh for the heads-up.
• Exported new IborCoupon::hasFixed method (@lballabio).
• Exported new FittedBondDiscountCurve::resetGuess method (@lballabio).
• EuriborSW renamed to Euribor1W, old name still available for a while (@lballabio).
• Exported lookback days, lockout days and observation shift for overnight-indexed coupons, swaps and helpers (@lballabio).
• Exported SimpleQuote::reset method; thanks to Eugene Toder (@eltoder).

Full Changelog: v1.34...v1.35

1.34

Downloads:

• QuantLib-SWIG-1.34.tar.gz
• QuantLib-SWIG-1.34.zip

Main changes for QuantLib-SWIG 1.34

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/27?closed=1.

• Upgrade to SWIG 4.2.x. This allows to use Python's limited API and thus reduce the number of official wheels to cover the same Python versions.
• Allow swaptions to use OIS as underlying (@lballabio).
• Pass explicit base date to inflation curves instead of observation lag (@lballabio).
• Exported SavedSettings as a context manager in Python; thanks to Eugene Toder (@eltoder).
• Exported parabolic (Hermite) cubic spline interpolation schemes; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported additional interpolation schemes for InterpolatedPiecewiseZeroSpreadedTermStructure; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported Tona index; thanks to Jonghee Lee (@nistick21).
• Removed inflation index constructors with interpolated parameters as well as the interpolated method in InflationIndex. They're no longer available in C++ (@lballabio).
• Export a few new methods for MakeOIS and MakeVanillaSwap; thanks to Eugene Toder (@eltoder).
• Exported cdsMaturity function (@lballabio).
• Enable different definition of macro QL_JAVA_INTERFACES; thanks to Ralf Konrad (@ralfkonrad).
• Define a few additional operators in C++ instead of Python; thanks to Eugene Toder (@eltoder).
• Removed uncallable internal EndCriteria::operator() method (@lballabio).

Full Changelog: v1.33...v1.34

1.33

Downloads:

• QuantLib-SWIG-1.33.tar.gz
• QuantLib-SWIG-1.33.zip

Main changes for QuantLib-SWIG 1.33

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/26?closed=1.

• Exported Burley 2020 Sobol generator (@lballabio).
• Allowed different calendars and frequencies for different legs in OISRateHelper; thanks to Eugene Toder (@eltoder).
• Exported convex-monotone forward-rate curve (@lballabio).
• Exported support for angled contour shift integrals in Heston model; thanks to Klaus Spanderen (@klausspanderen).
• Allowed negative payment lag in swap legs; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported reset method in calendars; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added Python tests for BondFunctions; thanks to Francois Botha (@igitur).

Full Changelog: v1.32...v1.33

1.32

Downloads:

• QuantLib-SWIG-1.32.tar.gz
• QuantLib-SWIG-1.32.zip

Main changes for QuantLib-SWIG 1.32

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/25?closed=1.

• Avoid using the deprecated distutils module for the Python wrappers; setuptools is now required for building (@lballabio).
• Exported LastFixingQuote; thanks to Eugene Toder (@eltoder).
• Added redemptions and paymentLag arguments to amortizing bond constructors; thanks to Gyan Sinha (@gyansinha).
• Exported utility function to simplify notification graph (@lballabio).
• Exported a few exotic options (Margrabe, compound, chooser) and related engines (@lballabio).
• Exported new constructor for OIS (@lballabio).
• Exported missing parameters for iterative bootstrap (@lballabio).
• Exported Xoshiro256** RNG (@lballabio).

New Contributors

• @gyansinha made their first contribution in #584

Full Changelog: v1.31.1...v1.32

1.31.1

Downloads:

• QuantLib-SWIG-1.31.1.tar.gz
• QuantLib-SWIG-1.31.1.zip

Changes for QuantLib-SWIG 1.31.1

QuantLib-SWIG 1.31.1 is a bug-fix release for version 1.31.

It includes a change in the underlying C++ library that fixes a regression that could cause a segmentation fault when bootstrapping an interest-rate curve using OIS rates.

Full Changelog: v1.31...v1.31.1

1.31

Downloads:

• QuantLib-SWIG-1.31.tar.gz
• QuantLib-SWIG-1.31.zip

Main changes for QuantLib-SWIG 1.31

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/24?closed=1.

• Removed deprecated features no longer available in the underlying C++ library:
  • The CPICoupon constructor taking a number of fixing days and its adjustedFixing method.
  • The withFixingDays methods of CPILeg.
  • The ZeroInflationCashFlow constructor taking a calendar and business-day convention.
  • The LexicographicalView class.
• Exported new U.S. SOFR calendar (@lballabio).
• Exported new constructors and indexRatio method for CPICoupon (@lballabio).
• Exported new constructors and underlyingIndex method for YoYInflationIndex (@lballabio).
• Exported new constructors for ForwardRateAgreement (@lballabio).
• Rework Python tests to follow standard conventions; thanks to Eugene Toder (@eltoder).
• Updated constructor of DatedOISRateHelper to take new parameters; thanks to Eugene Toder (@eltoder).
• Exported missing currencies and crypto; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported LogMixedLinearCubic interpolator and corresponding discount curves; thanks to Eugene Toder (@eltoder).
• Exported ArithmeticAverageOIS and the corresponding rate helper; thanks to Eugene Toder (@eltoder).
• Exported a few missing inspectors for Swap; thanks to Eugene Toder (@eltoder).
• Exported CORRA, SWESTR and DESTR indexes; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported new constructor and Python tests for JointCalendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported new LazyObject interface (@lballabio).
• Added Python examples for callable bonds and caps; thanks to Nijaz Kovacevic (@NijazK).
• Added convenience methods of and toLocalDate to Java wrappers that convert QuantLib dates from and to java.time.LocalDate; and example is provided. Thanks to Ralf Konrad (@ralfkonrad).

New Contributors

• @NijazK made their first contribution in #534
• @eltoder made their first contribution in #562

Full Changelog: QuantLib-SWIG-v1.30...v1.31

1.30

Downloads:

• QuantLib-SWIG-1.30.tar.gz
• QuantLib-SWIG-1.30.zip

Main changes for QuantLib-SWIG 1.30

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/23?closed=1.

• Removed deprecated features no longer available in the underlying C++ library:
  • the WulinYongDoubleBarrierEngine alias for SuoWangDoubleBarrierEngine;
  • the spotIncome and spotValue methods of ForwardRateAgreement;
  • constructors for InterpolatedZeroInflationCurve and PiecewiseZeroInflationCurve taking an indexIsInterpolated parameter;
  • the indexIsInterpolated method of InflationTermStructure;
  • some overloaded constructors of SofrFutureRateHelper.
• Renamed SwaptionVolCube1 to SabrSwaptionVolatilityCube and SwaptionVolCube2 to InterpolatedSwaptionVolatilityCube, as in the underlying C++ library; the old names remain available in Python but not in other languages.
• Exported new EquityCashFlow, EquityIndex and EquityTotalReturnSwap classes with a few tests; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported constructors for vanilla and barrier pricing engines taking discrete dividends; this makes DividendVanillaOption and DividendBarrierOption obsolete (@lballabio).
• Exported new calendars for Austria, Botswana and Romania; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported new ASX calendar for Australia (@lballabio).
• Exported FixedLocalVolSurface and GridModelLocalVolSurface classes with a test; thanks to Klaus Spanderen (@klausspanderen).
• Exported new CPICoupon constructors (@lballabio).
• Exported UKHICP index (@lballabio).
• Exported a few African currencies (@lballabio).

Full Changelog: QuantLib-SWIG-v1.29...QuantLib-SWIG-v1.30

1.29

Downloads:

• QuantLib-SWIG-1.29.tar.gz
• QuantLib-SWIG-1.29.zip

Main changes for QuantLib-SWIG 1.29

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/22?closed=1.

• Enabled autodoc feature in Python; exported methods and classes have now docstrings reporting their interface and the types of the parameters.
• Enabled CI build and tests for the R wrappers; thanks to @AndLLA.
• Removed deprecated features no longer available in the underlying C++ library:
  • the constructor of UnitedStates missing an explicit market;
  • the nominalTermStructure method of InflationTermStructure;
  • the CrossCurrencyBasisSwapRateHelper class.
• Added compounding and compoundingFrequency parameters to FixedRateLeg (@lballabio).
• Exported CashFlows::npvbps method (@lballabio).
• Exported baseFixing and indexFixing methods in IndexedCashFlow (@lballabio).
• Exported new constructors for zero-inflation indexes (@lballabio).
• Exported missing arguments in CreditDefaultSwap constructor (@lballabio).
• Exported Nearest business-day convention (@lballabio).
• Exported AmortizingCmsRateBond; thanks to @chenyanlann.
• Exported QuantoBarrierOption and QuantoBarrierEngine; thanks to @chenyanlann.
• Avoided out-of-bound access to Matrix elements (@lballabio).
• Exported a number of LMM-related classes (@lballabio).
• Exported YoY inflation coupons and related classes (@lballabio).
• Exported the CPI::laggedFixing method; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported QdPlusAmericanEngine, QdFpAmericanEngine and related classes; thanks to Klaus Spanderen (@klausspanderen).
• Added Python test case for Andreasen-Huge local volatility; thanks to Klaus Spanderen (@klausspanderen).

New Contributors

• @AndLLA made their first contribution in #489
• @chenyanlann made their first contribution in #516

Full Changelog: QuantLib-SWIG-v1.28...QuantLib-SWIG-v1.29

1.28

Downloads:

• QuantLib-SWIG-1.28.tar.gz
• QuantLib-SWIG-1.28.zip

Main changes for QuantLib-SWIG 1.28

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/21?closed=1.

• Removed deprecated features no longer available in the underlying C++ library:
  • the constructors of ZeroCouponInflationSwap and ZeroCouponInflationSwapHelper missing an explicit CPI interpolation type;
  • the constructors of ActualActual and Thirty360 missing an explicit choice of convention.
• Renamed RelinkableYoYOptionletVolatilitySurface to RelinkableYoYOptionletVolatilitySurfaceHandle. The old name is still available in Python as deprecated. Currently we have no way to do so in other languages.
• Added an implicit conversion in C# from bool to boost::optional<bool>, making it possible to pass parameters of this type. Python already had typemaps defined. Other languages can pass OptionalBool(b) where b is the desired bool.
• Exported the Gaussian1dCapFloorEngine class; thanks to @jacek-bator.
• Exported LazyObject methods in PiecewiseYieldCurve; thanks to Francois Botha (@igitur).
• Exported Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita (@IgnacioAnguita).
• Exported PartialTimeBarrierOption class and related engine; thanks to Ignacio Anguita (@IgnacioAnguita).
• Added missing operator- to Date in C#.
• Added a few default parameters to the SABRInterpolation constructor.
• Exported new constructor for SabrSmileSection.
• Exported new sinkingSchedule and sinkingNotionals functions.
• Exported new overload for CallableBond::impliedVolatility.
• Exported missing end-of-month optional parameter for OISRateHelper constructor.

New Contributors

• @jacek-bator made their first contribution in #482
• @igitur made their first contribution in #484
• @IgnacioAnguita made their first contribution in #483

Full Changelog: QuantLib-SWIG-v1.27...QuantLib-SWIG-v1.28