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@lballabio lballabio released this 21 Jan 08:52
· 8 commits to master since this release
v1.37
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lballabio Luigi Ballabio
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Learn about vigilant mode.
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lballabio Luigi Ballabio
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Learn about vigilant mode.

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Main changes for QuantLib-SWIG 1.37

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/30?closed=1.

  • Removed the deprecated SampledCurve and FixedRateBondForward classes no longer available in the underlying C++ library;
  • Removed the deprecated overload for yoyInflationLeg;
  • Exported a number of new engines for basket and spread options; thanks to Klaus Spanderen (@klausspanderen).
  • Exported Choi engine for Asian options; thanks to Klaus Spanderen (@klausspanderen).
  • Exported new parameters and methods for SwapRateHelper and OISRateHelper; thanks to Eugene Toder (@eltoder) and Sotirios Papathanasopoulos (@sophistis42).
  • Exported MultipleResetsCoupon and MultipleResetsLeg classes (@lballabio).
  • Exported new constructors for FittedBondDiscountCurve (@lballabio).
  • Exported additional arguments for AssetSwap constructor (@lballabio).
  • Exported Wellington and Auckland variants for New Zealand calendar (@lballabio).
  • Exported new constructors for YoY inflation curves (@lballabio).
  • Exported KOFR index (@lballabio).
  • Exported range-accrual coupon (@lballabio).

New Contributors

Full Changelog: v1.36...v1.37

Contributors

lballabio, eltoder, and 2 other contributors
Assets 4
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