1.10

Changes for QuantLib-SWIG 1.10

The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/3?closed=1.

• Unified Visual Studio solution file for the C# module. The provided file works for all versions from 2010 to 2017.
• Exported newly added CDS2015 date-generation rule.
• Exported GSR model (thanks to Andres Hernandez).
• Exported Markov functional model (thanks to Matthias Lungwitz).
• Exported hybrid simulated annealing optimizer (thanks to Andres Hernandez).
• Exported vega method for swaptions (thanks to Alexander Baker).
• Exported more instantiations of piecewise yield curve (thanks to Grant Bartel).
• Exported non-standard swap and swaption (thanks to Peter Caspers).
• Exported newly added CompoundingThenSimple convention (thanks to Martin Ross).
• Allow using an arbitrary solver to calculate yields (thanks to Daniel Hrabovcak).
• Allow passing a schedule to Actual/Actual day counter for correct calculation of reference dates (thanks to Ryan Taylor).
• Allow passing an arbitrary calendar to business/252 calendar (thanks to Stanislav Vinokurov).
• Fixed comparison operators in Python 3.x (thanks to Rob Chu).

1.9

Changes for QuantLib-SWIG 1.9

The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/2?closed=1.

• dropped support for Visual C++ 8 (2005), which as of April 2016 is unsupported by Microsoft.
• removed harmful redefinition of SWIGSTDCALL preventing debugging of C# module (thanks to Fabrice Lecuyer to the heads-up).
• if present in the environment, LDFLAGS is now passed to the linker when building the Python wrappers (thanks to Gouthaman Balaraman).
• if present in the environment, CXXFLAGS and LDFLAGS are now passed to the linker when building the Java wrappers (thanks to Martin Ross).
• added a few inspectors to the CapFloor class (thanks to Gouthaman Balaraman).
• exported the ASX, Futures and Pillar structs, used in a few newly-exported rate-helper constructors (thanks to Fabrice Lecuyer).
• allow the use of normal volatilities for cap, floors and swaptions (thanks to Gouthaman Balaraman, Peter Caspers and Wojciech Slusarski).
• exported the LocalVolSurface class (thanks to Gouthaman Balaraman).
• exported the AnalyticPTDHestonEngine class (thanks to Gouthaman Balaraman).
• exported the BlackCallableFixedRateBondEngine class (thanks to Gouthaman Balaraman).
• exported monotonic-cubic zero curve (thanks to Andres Hernandez).
• exported ShortRateModel inspectors (thanks to Andres Hernandez).
• added overloaded constructor for FixedRateBond taking a vector of InterestRate instances (thanks to Gouthaman Balaraman). Unfortunately, this prevents kwargs support in Python.
• swap indexes can now be built with an exogenous discount curve (thanks to Peter Caspers).
• exported BBSW, BKBM, NZOCR and Aonia indexes (thanks to Fabrice Lecuyer).

1.8

Notable changes for QuantLib-SWIG 1.8

• in sync with QuantLib 1.8.
• exported finite-difference barrier engine (thanks to Jayanth R. Varma).
• exported FixedRateBondForward and BondFunctions::zSpread (thanks to Gouthaman Balaraman).
• fix compilation error on Mac OS X Yosemite (thanks to Alex Cooper).
• let the Java module use the compiler defined by $CXX (thanks to Richard Gomes).
• let the Python module use the same compiler used for QuantLib (thanks to GitHub user EthiaclBanker).
• exported solver and optimizer functionality to C# (thanks to GitHub user dave-fl).
• in the Python module, also defined __hash__ for classes that defined __eq__. This makes them suitable to use as dictionary keys.
• fixed CallableFixedRateBond call in Python (thanks to Gouthaman Balaraman).
• exported Schedule::until (thanks to GitHub user alexsbromberg).
• exported StochasticProcess interface.

1.7

Notable changes for QuantLib-SWIG 1.7:

• in sync with QuantLib 1.7;
• upgraded to SWIG 3.0.7;
• added optimizer interface for Java/Scala (thanks to Klaus Spanderen);
• exported new Romanian and Israelian calendars (thanks to Riccardo Barone);
• exported barrier and double barrier engines (thanks to Riccardo Ghetta);
• exported a few missing methods of the Calendar class (thanks to Benoit Barthelet);
• exported OptionletStripper1 and StrippedOptionletAdapter (thanks to Matthias Groncki);
• exported more inspectors for discount and zero curves (thanks to Matthias Groncki);
• exported the Libor class and the IborIndex::clone method (thanks to Matthias Groncki);
• exported additional methods for VanillaSwap (thanks to Gouthaman Balaraman);
• exported fixed-parameter constraint for calibration in short rate models (thanks to Gouthaman Balaraman).

1.6.1

Changes for QuantLib-SWIG 1.6.1

QuantLib-SWIG 1.6.1 is a compatibility release:

• added support for Visual Studio 2015.
• added support for x86 target in C# projects (thanks to Grant Bartel).

1.6

Notable changes for QuantLib-SWIG 1.6:

• in sync with QuantLib 1.6;
• upgraded to SWIG 3.0.5;
• exported Gaussian1DModel, GSR, GsrProcess and Gaussian1dSwaptionEngine (thanks to Matthias Groncki);
• extended StochasticProcess1D interface (thanks to Matthias Groncki);
• exported inspectors for swap legs (thanks to Matthias Groncki);
• exported new IDR, MYR, RUB and VND currencies;
• exported new Moscow Exchange calendar.

1.5

Notable changes for QuantLib-SWIG 1.5:

• in sync with QuantLib 1.5;
• upgraded to SWIG 3.0.2;
• added Visual C# 2013 solution;
• exported monotonic log-discount curve and added a few more traits for cubic interpolations;
• exported OIS rate helpers;
• exported swap-helper constructors with exogenous discounting curve;
• exported index-based constructors for rate helpers;
• added method to return calibration parameters for Heston and Bates models (thanks to Riccardo Ghetta);
• added default arguments to exported FloatingRateBond constructor;
• added parameter to set interpolation method for Black volatility surface;
• exported CDS date-generation rule and IntegralCdsEngine, added missing parameter to UpfrontCdsHelper (thanks to Riccardo Ghetta);
• exported fitted bond curve;
• added new constructor parameters to InterpolatedZeroCurve (thanks to Alexandre Radicchi);
• exported overnight indexes;
• exported new South-African CPI index;
• exported new Fed Funds index;
• exported new interbank Chinese calendar;
• exported additional bond constructor parameters for ex-coupon dates;
• exported FdBlackScholesVanillaEngine, FdBlackScholesAsianEngine and ContinuousArithmeticAsianLevyEngine (thanks to Klaus Spanderen);
• exported Hull-White process (thanks to Alexandre Radicchi);
• translated CDS example to Python (thanks to Riccardo Ghetta);
• added new CPI bond example for Scala (thanks to Klaus Spanderen);
• translated Bonds example to Java (thanks to Giacomo Sergio).

1.4

Notable changes for QuantLib-SWIG 1.4

• in sync with QuantLib 1.4;
• upgraded to SWIG 2.0.11;
• support for Visual C# 2003 (VC++7) was dropped;
• added Visual C# 2012 solution;
• made wrappers compatible with both Python 2 and 3 syntax;
• the R extension is now built as a standard R package;
• enabled building under Ruby 1.9. However, scripts using the Ruby wrappers crash; help debugging the problem would be welcome;
• exported Redemption and AmortizingPayment cash flows;
• exported ZeroInflationIndex constructor to create custom instances;
• set default interpolation to Linear for piecewise inflation curves;
• export more inspectors for ZeroCouponInflationSwap;
• renamed CashFlows::yield to yieldRate in Python to avoid keyword;
• exported utility class for creating custom Region instance;
• exported callable fixed-rate bond and CPI bond (thanks to Simon Mazzucca);
• exported new actual/365 (no leap) day counter;
• added UnaryFunction support to Java interfaces for root finding and integrals (thanks to Klaus Spanderen); added Java example for UnaryFunction callback;

1.3

Notable changes for QuantLib 1.3

• in sync with QuantLib 1.3;
• migrated to SWIG 2.0.10;
• added FRA interface and Java example (thanks to Tawanda Gwena and
  Francis Duffy);
• added possibility to manually disable build for specific modules;
• exported a couple of CashFlows functions (thanks to Sergio Villar de María);
• exported BondFunctions class (thanks to Simon Shakeshaft);
• overloaded operators for date algebra and comparisons in C# (thanks
  to Simon Shakeshaft);
• added Bates implied volatility surface example for R (thanks to
  Klaus Spanderen and Dirk Eddelbuettel);
• added bonds example for R (thanks to Dirk Eddelbuettel);
• expanded european-option example for R (thanks to Dirk Eddelbuettel).

1.2

Notable changes for QuantLib-SWIG 1.2:

• in sync with QuantLib 1.2;
• migrated to SWIG 2.0.4;
• prevented segmentation faults in Perl module;
• exported missing constructors for MersenneTwisterUniformRng
  and KnuthUniformRng;
• exported IncrementalStatistics;
• exported bespoke calendar (thanks to Henner Heck);
• exported weekend-only calendar;
• exported more coupon methods (thanks to Henner Heck);
• exported more distributions (thanks to Tawanda Gwena);
• exported CMS coupons (thanks to Lluis Pujol Bajador);
• exported asset-swap functionality (thanks to Lluis Pujol Bajador);
• exported a few InflationIndex methods;
• added keyword arguments to a few Python constructors.