1.26

Downloads:

• QuantLib-SWIG-1.26.tar.gz
• QuantLib-SWIG-1.26.zip

Main changes for QuantLib-SWIG 1.26

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/19?closed=1.

• Running make in the CSharp folder (after ../configure in the root folder) now uses dotnet instead of older C# compilers. The existing VC# projects were also updated to .Net (@lballabio).
• Fixed a compilation error in wrappers when using strict C++17 mode (thanks to @nistick21).
• Exported a few more constructors for FraRateHelper (thanks to @marcin-rybacki).
• Exported the SpreadFittingMethod class (@lballabio).
• Exported the new BondForward class (thanks to @marcin-rybacki).
• Ensure that periods that compare equal have the same hash in C# and Python (@lballabio).
• Exported SplineLogCubic interpolation and the corresponding NaturalLogCubicDiscountCurve, PiecewiseNaturalCubicZero and PiecewiseNaturalLogCubicDiscount classes. Also exported KrugerLogDiscountCurve and KrugerZeroCurve based on Kruger interpolation (thanks to @marcin-rybacki).
• Exported as_overnight_indexed_coupon function to downcast such coupons when needed (thanks to @marcin-rybacki).

New Contributors

• @nistick21 made their first contribution in #445

Full Changelog: QuantLib-SWIG-v1.25...QuantLib-SWIG-v1.26

1.25

Downloads:

• QuantLib-SWIG-1.25.tar.gz
• QuantLib-SWIG-1.25.zip

Main changes for QuantLib-SWIG 1.25:

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/18?closed=1.

• Breaking change: exported updated interface for convertible bonds and their engine (@lballabio).
• Breaking change (except for Python): renamed WulinYongDoubleBarrierEngine to SuoWangDoubleBarrierEngine (@lballabio).
• Added a few missing methods to Schedule (thanks to @ralfkonrad).
• Exported CPICoupon, CPICashFlow, CPILeg (@lballabio).
• Exported new argument to SabrSmileSection constructor to allow normal volatilities (@lballabio).
• Exported new constructor and amount method for ForwardRateAgreement (@lballabio).
• Exported new constructors for SofrFutureRateHelper (@lballabio).
• Exported new constructors for zero-inflation curves (@lballabio).
• Exported a few more finite-difference classes (thanks to @klausspanderen).
• Exported new basis-swap rate helpers (@lballabio).
• Exported ESTR class (thanks to @kismsu).
• Exported StrippedOptionlet class (@lballabio).

New Contributors

• @kismsu made their first contribution in #424

1.24

Downloads

• QuantLib-SWIG-1.24.tar.gz
• QuantLib-SWIG-1.24.zip

Main changes for QuantLib-SWIG 1.24

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/17?closed=1.

• Breaking change: removed inflation-curve constructors taking a nominal curve (they were deprecated and were removed from the C++ library in version 1.24).
• Breaking change: removed the long-deprecated BaroneAdesiWhaleyEngine and BjerksundStenslandEngine aliases for BaroneAdesiWhaleyApproximationEngine and BjerksundStenslandApproximationEngine, respectively (@lballabio).
• Exported CliquetOption class and related pricing engines (thanks to @jackgillett101).
• Made the Period class equatable and comparable in C# (thanks to @ralfkonrad).
• Exported the missing endOfMonth parameter in SwapRateHelper constructor (thanks to @cabo40).
• Exported the new ConstNotionalCrossCurrencyBasisSwapRateHelper and MtMCrossCurrencyBasisSwapRateHelper rate helpers (thanks to @marcin-rybacki).
• Exported the new RiskyBondEngine class.
• Exported the new Chilean calendar.
• Exported the new ThirdWednesdayInclusive date-generation rule.
• Exported the new useIndexedCoupon parameter in the constructors of BlackIborCouponPricer, IborLeg, SwapRateHelper and VanillaSwap.

New Contributors

• @cabo40 made their first contribution in #404

1.23

Downloads:

QuantLib-SWIG-1.23.tar.gz
QuantLib-SWIG-1.23.zip

Main changes for QuantLib-SWIG 1.23

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/16?closed=1.

• Exported overloaded constructors for piecewise inflation curves.
• Exported new ZeroInflationCashFlow class.
• Exported new constructor for Currency class (thanks to Marcin Rybacki).
• Exported ZeroCouponSwap class (thanks to Marcin Rybacki).
• Exported MCDigitalEngine class (thanks to Jack Gillett).
• Export updated 30/360 enumeration and constructors.
• Export AnalyticHestonHullWhiteEngine, AnalyticH1HWEngine and FdHestonHullWhiteVanillaEngine classes (thanks to Klaus Spanderen).
• Added payment lag and payment constructor to a few leg constructors (thanks to Marcin Rybacki).
• The Type enumeration defined in several swap classes was moved to their base Swap class.
• Updated ISDA CDS example in Python. The differences between its results and Markit values are now within the desired tolerance (thanks to Francis Duffy).
• Removed constructors of piecewise yield and default curves taking an accuracy parameter (they were removed from the C++ library).
• Bond helper constructors now take a BondPrice::Type priceType argument instead of a bool useCleanPrice (the latter was removed from the C++ library).

1.22

Downloads

QuantLib-SWIG-1.22.tar.gz
QuantLib-SWIG-1.22.zip

Main changes for QuantLib-SWIG 1.22

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/15?closed=1.

• As previously announced, this release drops support for Python 2.7, which reached end of life in January 2020.
• Exported revised SubPeriodCoupon class (thanks to Marcin Rybacki).
• Exported new FdBlackScholesShoutEngine class.
• Exported optional discount curve in AnalyticEuropeanEngine constructor.
• Exported the CrossCurrencyBasisSwapRateHelper (thanks to Marcin Rybacki).
• Exported new constructors for Asian options (thanks to Jack Gillett).
• Exported new method hasHistoricalFixing for indexes (thanks to Ralf Konrad).
• Exported revised OvernightIndexFuture interface.
• Classes CallabilityPrice, FDBermudanEngine, FDEuropeanEngine, FDAmericanEngine, FDDividendEuropeanEngine and FDDividendAmericanEngine were removed in the C++ library after a deprecation period.

1.21

Main changes for QuantLib-SWIG 1.21

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/14?closed=1.

• As previously announced, this release is the last one to support Python 2.7, which reached end of life in January 2020.
• Exported methods for VolDeltaQuote class (thanks to Jack Gillett).
• Exported localVolatility() method for Black-Scholes process (thanks to Jack Gillett).
• Exported type() method for vanilla swaps (thanks to Ralf Konrad).
• Exported constructors with full parameter lists for CDS helpers (thanks to Joe Song).
• Exported amortizing-bond constructor taking an InterestRate instance (thanks to Piter Dias).
• Exported Sobol-based multi-path generator (thanks to Jack Gillett).
• Exported Monte Carlo and analytic forward option engines based on the Heston model (thanks to Jack Gillett).
• Exported ultimate-forward term structure (thanks to Marcin Rybacki).
• Exported a few Monte Carlo and analytic Asian option engines based on the Heston model (thanks to Jack Gillett).
• Exported swap constructor taking multiple legs.
• Exported lookback options.
• Exported overnight-index futures.
• Avoided memory access issue with path generators in Python (thanks to Klaus Spanderen for the heads-up).
• Added an example of cash-flow analysis in Python.

1.20

Main changes for QuantLib-SWIG 1.20

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/13?closed=1.

• We're sunsetting support for Python 2.7, which reached end of life in January 2020. For the next release, we'll still check that the wrappers work with 2.7. After the next release, we'll make no further effort to keep it working.
• SWIG wrappers now work also if the C++ library was compiled using std::shared_ptr instead of boost::shared_ptr (thanks to Joseph Wang).
• The BaroneAdesiWhaleyApproximationEngine and BjerksundStenslandApproximationEngine classes used to be renamed to BaroneAdesiWhaleyEngine and BjerksundStenslandEngine, respectively. This is no longer the case.
• Exported mixing factor to Heston SLV process and engines (thanks to Jack Gillett).
• Exported a number of inflation-related classes (thanks to Matthias Lungwitz).
• Exported Crank-Nicolson finite-differences scheme (thanks to Klaus Spanderen).
• Exported SwaptionVolatilityCube class (thanks to Marcin Rybacki).
• Exported Cox-Ingersoll-Ross short-rate model.
• Exported callable zero-coupon bond.
• Exported SABR interpolation.
• Made the Date class comparable and convertible to string in C#.

1.19

Main changes for QuantLib-SWIG 1.19

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/12?closed=1.

• We're sunsetting support for Python 2.7, which reached end of life in January 2020. For the next couple of releases, we'll still check that the wrappers work with 2.7. After that, we'll make no further effort to keep it working.
• Python examples can now be run as scripts as before, or as live notebooks on Binder. They are available at https://mybinder.org/v2/gh/lballabio/QuantLib-SWIG/binder?filepath=Python%2Fexamples.
• Exported dividend barrier option and related engines.
• Exported choice of discretization for Heston process (thanks to GitHub user feribg).
• Added displacement parameter in BlackCapFloorEngine (thanks to Ralf Konrad).
• Exported Heston engine based on exponentially-fitted Laguerre quadrature rule (thanks to Klaus Spanderen).
• Exported spread options and Kirk spread option engine (thanks to Gorazd Brumen).
• Exported AnalyticBSMHullWhiteEngine class.
• Exported choice of timing adjustment for BlackIborCouponPricer (thanks to Matthias Lungwitz).
• Exported method for previous and next cash flow in CashFlows class.
• Detect correct location of include files when compiling C# wrappers via make (thanks to Ari Cooperman).
• Added support for VS 2019 in the solution for C# wrappers (thanks to Ralf Konrad).

1.18.1

Changes for QuantLib-SWIG 1.18.1

The wrapper code for this version was generated with SWIG 4.0.2, which (among other things) avoids a memory leak in the Python wrappers when using vectors of shared_ptr.

This release is otherwise identical to version 1.18.

1.18

Main changes for QuantLib-SWIG 1.18

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/11?closed=1.

• As announced in the past release, the Ruby wrappers were removed. They have been broken for a while, and nobody expressed any interest in fixing them.
• Exported most of the inner machinery (meshers, operators, boundary conditions, schemes, solvers...) of the finite-difference framework (thanks to Klaus Spanderen).
• Exported GJR-GARCH process, model, analytic engine and MC engine (thanks to Pedro Coelho).
• The accuracy of piecewise curve can now be passed as an argument to the IterativeBootstrap class, which in turn can be passed to the curve. The new class also allows to set minimum and maximum values explicitly.
• Exported the new GlobalBootstrap class and the corresponding GlobalLinearSimpleZeroCurve curve.
• Exported the CmsMarket class (thanks to Matthias Lungwitz).
• Exported convex monotone and Kruger cubic and log-cubic interpolation (thanks to Miguel Villasmil).
• Exported InflationCoupon and CPICoupon classes with corresponding functions as_inflation_coupon and as_cpi_coupon.
• Exported missing methods of the SwaptionVolatilityStructure class (thanks to Matthias Lungwitz).
• Exported the CallableFixedRateBond class and a few missing methods of the CallableBond class.
• Exported the enforcesTodaysHistoricFixings flag from the Settings class (thanks to Tomáš Křehlík).
• Exported the OvernightIndexFutureRateHelper class (thanks to Miguel Villasmil).
• Exported the SofrFutureRateHelper class.
• Allowed use of normal volatility with the CapHelper class.