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Changes for QuantLib 1.38:

QuantLib 1.38 includes 29 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/36?closed=1.

Portability

  • Future change of default: as already announced, in the next release we're going to switch the default for ext::any and ext::optional from the Boost implementation to the standard one. Using boost::any and boost::optional is still possible for the time being but deprecated.

  • Possible future breaking change: in the next release, the SimpleQuote class might be made final. If you're inheriting from it, drop us a line.

Dates and calendars

  • The Schedule class now honors the passed business day convention when end-of-month is enabled (@lballabio). Previously, enabling end-of-month caused it to always use the Modified Following convention.

  • Added Chinese holidays for 2025; thanks to Cheng Li (@wegamekinglc).

  • Added Thailand holidays for 2025; thanks to Paolo D'Elia (@paolodelia99).

  • Added Hong Kong holidays for 2025; thanks to Ka Wai Lee (@kawailee).

Indexes

  • Year-or-year inflation indexes can (and should) now be built without an interpolated flag (@lballabio). As for zero inflation indexes, the interpolation was moved into the coupons using the indexes.

  • Fixed obsolete conventions for the (now discountinued) EUR LIBOR index; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines

  • Added implementation of partial-time barrier put options; thanks to Paolo D'Elia (@paolodelia99).

  • The OvernightIndexFuture class would not receive notifications when the convexity quote or the evaluation date changed; this is now fixed. Thanks to Eugene Toder (@eltoder).

  • The experimental BlackCallableFixedRateBondEngine wouldn't take discount correctly into account when evaluation the embedded option; this is now fixed. Thanks to @RobertS548 for the heads-up.

  • Moved a few instruments and engines from the experimental folder to the core library (@lballabio):

    • HolderExtensibleOption and AnalyticHolderExtensibleOptionEngine;
    • WriterExtensibleOption and AnalyticWriterExtensibleOptionEngine;
    • PartialTimeBarrierOption and AnalyticPartialTimeBarrierOptionEngine;
    • TwoAssetBarrierOption and AnalyticTwoAssetBarrierEngine;
    • TwoAssetCorrelationOption and ``AnalyticTwoAssetCorrelationEngine`;
    • ContinuousArithmeticAsianLevyEngine;
    • AnalyticPDFHestonEngine.

Term structures

  • The DepositRateHelper and FraRateHelper classes can now be built specifying fixed dates instead of a tenor; thanks to Eugene Toder (@eltoder).

  • The cross-currency basis-swap rate helpers can now be passed an overnight index and a corresponding payment frequency; it is also possible to pass a payment lag. Thanks to @kp9991-git.

  • The additional penalty functions passed to the GlobalBootstrap class can now take the curve nodes as arguments; thanks to Eugene Toder (@eltoder). This makes it possible, for example, to penalize gradients to make the curve smoother. It is also possible to specify additional variables to be optimized, e.g., futures convexity adjustments.

  • Added a piecewise forward-spreaded term structure; thanks to Paolo D'Elia (@paolodelia99).

Deprecated features

  • Removed features deprecated in version 1.33:

    • the constructors of Currency and Currency::Data taking a format string, the format method of the Currency class and the formatString data member of Currency::Data.

  • Deprecated the constructors of year-on-year inflation indexes taking an interpolated argument; use the other constructors instead.

  • Deprecated the header files in ql/experimental/exoticoptions for some classes moved to the core library (see above); use the corresponding new headers in ql/instruments and ql/pricingengines instead.

Thanks go also to Eugene Toder (@eltoder), Konstantin Novitsky (@novitk), Tomas Kalibera (@kalibera) and @raneamri for miscellaneous smaller fixes, improvements or reports.