Skip to content

1.36

Latest
Latest
Compare
Choose a tag to compare
@lballabio lballabio released this 14 Oct 07:17
· 31 commits to master since this release
v1.36
This tag was signed with the committer’s verified signature.
lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.
0f390e2
This commit was signed with the committer’s verified signature.
lballabio Luigi Ballabio
GPG key ID: 72BC20DE3C5C1943
Learn about vigilant mode.

Downloads:

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

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

Contributors

lballabio, eltoder, and 2 other contributors
Assets 4
Loading