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Changes for QuantLib 1.29:

QuantLib 1.29 includes 42 pull requests from several contributors.

Some of 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/26?closed=1.

Portability

  • End of support: as announced in the notes for the previous release, this release no longer manages thread-local singletons via a user-provided sessionId function, and therefore the latter is no longer needed. Instead, the code now uses the built-in language support for thread-local variables. Thanks go to Peter Caspers (@pcaspers).

  • Future end of support: as announced in the notes for the previous release, after the next couple of releases, using std::tuple, std::function and std::bind (instead of their boost counterparts) will become the default. If you're using ext::tuple etc. in your code (which is suggested), this should be a transparent change. If not, you'll still be able to choose the boost versions via a configure switch for a while; but we do suggest you start using ext::tuple etc. in the meantime.

  • Replaced internal usage of boost::thread with std::thread; thanks to Jonathan Sweemer (@sweemer). This removed our last dependency on Boost binaries and makes it possible to compile QuantLib using a header-only Boost installation.

  • On Windows, it is now possible to use the MSVC dynamic runtime when using cmake by passing -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL on the command line; thanks to Jonathan Sweemer (@sweemer). The static runtime remains the default.

  • It is now possible to build QuantLib with Intel's icpx compiler using cmake; thanks to Jonathan Sweemer (@sweemer). Note that in order to get all the unit tests passing, -fp-model=precise must be added to CMAKE_CXX_FLAGS.

Date/time

  • Updated Chinese holidays for 2023; thanks to Cheng Li (@wegamekinglc).

  • Added in-lieu holiday for Christmas 2022 to South-African calendar; thanks to Joshua Hayes (@JoshHayes).

  • Added King Charles III coronation holiday to UK calendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

  • Added holiday for National Day of Mourning to Australian calendar; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

Instruments

  • Added high performance/precision American engine based on fixed-point iteration for the exercise boundary; thanks to Klaus Spanderen (@klausspanderen).

  • Bonds with draw-down (i.e., increasing notionals) are now allowed; thanks to Oleg Kulkov (@Borgomi42 ).

  • Added withIndexedCoupons and withAtParCoupons methods to MakeSwaption for easier initialization; thanks to Ralf Konrad (@ralfkonrad).

  • It is now possible to use the same pricing engine for vanilla and dividend vanilla options, or for barrier and dividend barrier options (@lballabio).

Indexes

  • Creating a zero inflation index as "interpolated" is now deprecated; thanks to Ralf Konrad (@ralfkonrad). The index should only return monthly fixings. Interpolation is now the responsibility of inflation-based coupons.

Term structures

  • The ConstantCPIVolatility constructor can now take a handle to a volatility quote, instead of just an immutable number (@lballabio).

Deprecated features

  • Removed features deprecated in version 1.24:

    • the createAtParCoupons, createIndexedCoupons and usingAtParCoupons methods of IborCoupon;
    • the RiskyBond class and its subclasses RiskyFixedBond and RiskyFloatingBond;
    • the CrossCurrencyBasisSwapRateHelper typedef;
    • the termStructure_ data member of BlackCalibrationHelper;
    • the static baseCurrency and conversionType data members of Money;
    • the nominalTermStructure method and the nominalTermStructure_ data member of InflationTermStructure;
    • the constructor of the UnitedStates calendar not taking an explicit market.

  • Deprecated the argument_type, first_argument_type, second_argument_type and result_type typedefs in a number of classes; use auto or decltype instead.

  • Deprecated the constructors of InflationIndex, ZeroInflationIndex, FRHICP, ZACPI, UKRPI, EUHICP, EUHICPXT, USCPI, AUCPI and GenericCPI taking an interpolated parameter; use another constructor.

  • Deprecated the interpolated method and the interpolated_ data member of InflationIndex.

  • Deprecated the ThreadKey typedef. It was used in the signature of sessionId, which is no longer needed after the changes in the Singleton implementation.

  • Deprecated the rateCurve_ data member of the InflationCouponPricer base class. If you need it, provide it in your derived class.

  • Deprecated the npvbps function taking NPV and BPS as references. Use the overload returning a pair of Reals.

Thanks go also to Matthias Groncki (@mgroncki), Jonathan Sweemer (@sweemer) and Nijaz Kovacevic (@NijazK) for a number of smaller fixes and improvements, to the Xcelerit Dev Team (@xcelerit-dev) for improvements to the automated CI builds, and to Vincenzo Ferrazzanno (@vincferr), @alienbrett, @xuruilong100 and @philippb90 for raising issues.