1.41

Downloads:

• QuantLib-SWIG-1.41.tar.gz
• QuantLib-SWIG-1.41.zip

Changes for QuantLib-SWIG 1.41

Starting from this release, the Python wrappers provide support for the new free-threading interpreter in Python 3.14.

Removed features

Features removed from the C++ library in this release were also removed from these wrappers; see #783 for a full list.

Possibly breaking changes

• Due to limitations of SWIG in case of overloaded methods, the constructors of ContinuousAveragingAsianOption and ContinuousArithmeticAsianLevyEngine no longer accept keyword arguments in Python;
• In the constructor of ZeroCouponInflationSwapHelper, the incorrectly-named bcd argument was renamed to bdc (for business-day convention); this can break calls using that keyword argument.

What's Changed

• Set version to 1.41-dev by @lballabio-bot in #782
• Avoid features removed from underlying C++ library by @lballabio in #783
• Expose more spread curve types by @eltoder in #784
• Expose InterpolatedSpreadDiscountCurve by @eltoder in #785
• Rename piecewise spread curves classes to *SpreadDiscount by @eltoder in #786
• Expose forDates on inflation swap helpers by @eltoder in #787
• Replace passed NULL with NA in R examples for compatibility with R 3.5 by @lballabio in #789
• Export Vanna and Volga in Black-Scholes and Bachelier calculators by @kp9991-git in #790
• Add optional rounding to ultimate forward-rate term structure by @marcin-rybacki in #788
• Expose ZeroCouponInflationSwap::fixedLegBPS() by @eltoder in #791
• Export a few missing Bond inspectors by @lballabio in #793
• Enable building wheels for free-threading Python; increase minimum supported Python version to 3.10 by @lballabio in #794
• Expose optional argument for enableExtrapolation by @eltoder in #795
• Expose data method on piecewise inflation curves by @eltoder in #797
• Bump actions/checkout from 5 to 6 by @dependabot[bot] in #798
• Exported semi-analytic European engine for a single asset with cash by @klausspanderen in #799
• Re-enable Python 3.8 and 3.9 by @lballabio in #800
• Bump peter-evans/create-pull-request from 7 to 8 by @dependabot[bot] in #801
• Add setInterpolation method in BlackVarianceCurve by @paolodelia99 in #802
• Export zeroRate and yoyRate methods without lag for inflation curves by @lballabio in #803
• Export const-notional cross-currency swap helper by @lballabio in #804
• Export new constructor for Asian option and engine by @lballabio in #805
• Export new features of overnight-indexed coupons by @lballabio in #806
• Fix typo in method mapping for MakeSwaption by @lballabio in #808
• Set version to 1.41-rc by @lballabio-bot in #809
• Add missing constructor to a couple of pricers by @lballabio in #810
• Set version to 1.41 final by @lballabio-bot in #811

Full Changelog: v1.40...v1.41

1.40

Downloads:

• QuantLib-SWIG-1.40.tar.gz
• QuantLib-SWIG-1.40.zip

Changes for QuantLib-SWIG 1.40

Removed features

Features removed from the C++ library in this release were also removed from these werappers; see #754 for a full list.

Other features were removed from the wrappers after being deprecated for a long while; see #756.

Finally, a few unused classes were also removed; see #749.

What's Changed

• Don't export bootstrap traits by @eltoder in #749
• Expose MakeCapFloor and MakeSwaption by @paolodelia99 in #751
• Remove features deleted in QuantLib 1.40 by @eltoder in #754
• Allow passing a business day convention to SwapRateHelper and OISRateHelper by @eltoder in #753
• Expose swap method on inflation swap bootstrap helpers by @eltoder in #755
• Removed a few features deprecated long ago. by @lballabio in #756
• Use Schedule instead ofshared_ptr<Schedule> by @lballabio in #757
• Use a light Python smart-pointer to simplify refcounting by @eltoder in #758
• Expose PiecewiseZeroInflationCurve constructor taking a BaseDateFunc argument by @eltoder in #759
• Call the correct overload when not passing nominalTS to an inflation helper by @eltoder in #760
• Bump actions/checkout from 4 to 5 by @dependabot[bot] in #761
• Update old license links by @lballabio-bot in #763
• Bump actions/stale from 9 to 10 by @dependabot[bot] in #764
• Expose inspectors on MultiplicativePriceSeasonality by @eltoder in #771
• Expose the BachelierCalculator class by @kp9991-git in #767
• Add flag for building a QuantLib wheel against a debug QuantLib on Windows by @kp9991-git in #772
• Expose perpetual futures instrument and engine by @drxyzw in #770
• Update copyright list in license by @lballabio-bot in #773
• Export CDI and Tonar indexes by @lballabio in #774
• Export soft-barrier option and analytic engine by @lballabio in #775
• Export the PiecewiseSpreadYieldCurve class by @lballabio in #776
• Set version to 1.40-rc by @lballabio-bot in #777
• Set version to 1.40 final by @lballabio-bot in #780

New Contributors

• @lballabio-bot made their first contribution in #763
• @drxyzw made their first contribution in #770

Full Changelog: v1.39...v1.40

1.39

Downloads:

• QuantLib-SWIG-1.39.tar.gz
• QuantLib-SWIG-1.39.zip

Main changes for QuantLib-SWIG 1.39

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/32?closed=1.

• Removed features deprecated in version 1.34 and no longer available
  in the underlying C++ library:
  • the overloads of Bond::yield, BondFunctions::atmRate, BondFunctions::yield and BondFunctions::zSpread taking a price as a Real instead of a Bond::Price instance;
  • the Swaption::underlyingSwap and SwaptionHelper::underlyingSwap methods;
  • the constructors of InterpolatedZeroInflationCurve, InterpolatedYoYInflationCurve, PiecewiseZeroInflationCurve and PiecewiseYoYInflationCurve taking an observation lag;
  • the overload of InflationTermStructure::setSeasonality taking no arguments;
  • the fixedRateBond method of the FixedRateBondHelper class.
• Added preliminary support for the new free-threading Python interpreter; thanks to Klaus Spanderen (@klausspanderen). No wheels are provided for it at this time.
• Java compilation flags can now be passed by setting the JAVAC_FLAGS environment variable; thanks to @UnitedMarsupials.
• Exported convexityAdjustment method for FuturesRateHelper and OvernightIndexFutureRateHelper classes; thanks to Eugene Toder (@eltoder).
• Passing a nominal curve to the ZeroCouponInflationSwapHelper constructor is now optional (@lballabio).
• The OISRateHelper constructor can now take a calendar for the overnight leg; thanks to Eugene Toder (@eltoder).
• Exported the CustomIborIndex class; thanks to Eugene Toder (@eltoder).
• Exported the sabrGuess function (@lballabio).
• Exported the SARON index (@lballabio).
• Exported the static FxSwapRateHelper.forDates method; thanks to Eugene Toder (@eltoder).
• The OptionletStripper1 constructor can be passed a frequency so that it can be used with overnight indexes (@lballabio).
• Exported the SHIR calendar (@lballabio).

Full Changelog: v1.38...v1.39

1.38

Downloads:

• QuantLib-SWIG-1.38.tar.gz
• QuantLib-SWIG-1.38.zip

Main changes for QuantLib-SWIG 1.38

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/31?closed=1.

• Removed the deprecated Currency constructor no longer available in the underlying C++ library;
• Exported forward curve with a number of additional interpolations; thanks to Sotirios Papathanasopoulos (@sophistis42) and to @paolodelia99.
• Exported FuturesConvAdjustmentQuote; thanks to Eugene Toder (@eltoder).
• Exported missing default parameters for MakeVanillaSwap and MakeOIS; thanks to Eugene Toder (@eltoder).
• Exported new constructors for DepositRateHelper and FraRateHelper; thanks to Eugene Toder (@eltoder).
• Exported new constructor arguments for cross-currency basis-swap helpers; thanks to @kp9991-git.
• Exported methods to return the underlying process from a few models (@lballabio).
• Exported new constructors for YoY inflation indexes (@lballabio).
• Exported a few more exotic options and engines (@lballabio):
  • TwoAssetBarrierOption with AnalyticTwoAssetBarrierEngine;
  • HolderExtensibleOption with AnalyticHolderExtensibleOptionEngine;
  • WriterExtensibleOption with AnalyticWriterExtensibleOptionEngine;
  • TwoAssetCorrelationOption with AnalyticTwoAssetCorrelationEngine;
  • AnalyticPDFHestonEngine.
• Exported piecewise forward-spreaded term structure (@lballabio).

New Contributors

• @paolodelia99 made their first contribution in #709
• @kp9991-git made their first contribution in #711

Full Changelog: v1.37...v1.38

1.37

Downloads:

• QuantLib-SWIG-1.37.tar.gz
• QuantLib-SWIG-1.37.zip

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

• @sophistis42 made their first contribution in #684

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

1.36

Downloads:

• QuantLib-SWIG-1.36.tar.gz
• QuantLib-SWIG-1.36.zip

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

• @marcinfair made their first contribution in #669

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

1.35

Downloads:

• QuantLib-SWIG-1.35.tar.gz
• QuantLib-SWIG-1.35.zip

Main changes for QuantLib-SWIG 1.35

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/28?closed=1.

• Removed deprecated classes DividendVanillaOption and DividendBarrierOption.
• Removed deprecated constructor of AnalyticDividendEuropeanEngine taking only a process and no dividends.
• Exported missing CashAnnuityModel parameter for Black and Bachelier swaption engines (@lballabio).
• Exported Ziggurat Gaussian RNG; thanks to Ralf Konrad Eckel (@ralfkonrad).
• Exported a few missing CashFlows methods (@lballabio); thanks to GitHub user @heiieh for the heads-up.
• Exported new IborCoupon::hasFixed method (@lballabio).
• Exported new FittedBondDiscountCurve::resetGuess method (@lballabio).
• EuriborSW renamed to Euribor1W, old name still available for a while (@lballabio).
• Exported lookback days, lockout days and observation shift for overnight-indexed coupons, swaps and helpers (@lballabio).
• Exported SimpleQuote::reset method; thanks to Eugene Toder (@eltoder).

Full Changelog: v1.34...v1.35

1.34

Downloads:

• QuantLib-SWIG-1.34.tar.gz
• QuantLib-SWIG-1.34.zip

Main changes for QuantLib-SWIG 1.34

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/27?closed=1.

• Upgrade to SWIG 4.2.x. This allows to use Python's limited API and thus reduce the number of official wheels to cover the same Python versions.
• Allow swaptions to use OIS as underlying (@lballabio).
• Pass explicit base date to inflation curves instead of observation lag (@lballabio).
• Exported SavedSettings as a context manager in Python; thanks to Eugene Toder (@eltoder).
• Exported parabolic (Hermite) cubic spline interpolation schemes; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported additional interpolation schemes for InterpolatedPiecewiseZeroSpreadedTermStructure; thanks to Marcin Rybacki (@marcin-rybacki).
• Exported Tona index; thanks to Jonghee Lee (@nistick21).
• Removed inflation index constructors with interpolated parameters as well as the interpolated method in InflationIndex. They're no longer available in C++ (@lballabio).
• Export a few new methods for MakeOIS and MakeVanillaSwap; thanks to Eugene Toder (@eltoder).
• Exported cdsMaturity function (@lballabio).
• Enable different definition of macro QL_JAVA_INTERFACES; thanks to Ralf Konrad (@ralfkonrad).
• Define a few additional operators in C++ instead of Python; thanks to Eugene Toder (@eltoder).
• Removed uncallable internal EndCriteria::operator() method (@lballabio).

Full Changelog: v1.33...v1.34

1.33

Downloads:

• QuantLib-SWIG-1.33.tar.gz
• QuantLib-SWIG-1.33.zip

Main changes for QuantLib-SWIG 1.33

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/26?closed=1.

• Exported Burley 2020 Sobol generator (@lballabio).
• Allowed different calendars and frequencies for different legs in OISRateHelper; thanks to Eugene Toder (@eltoder).
• Exported convex-monotone forward-rate curve (@lballabio).
• Exported support for angled contour shift integrals in Heston model; thanks to Klaus Spanderen (@klausspanderen).
• Allowed negative payment lag in swap legs; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Exported reset method in calendars; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
• Added Python tests for BondFunctions; thanks to Francois Botha (@igitur).

Full Changelog: v1.32...v1.33

1.32

Downloads:

• QuantLib-SWIG-1.32.tar.gz
• QuantLib-SWIG-1.32.zip

Main changes for QuantLib-SWIG 1.32

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/25?closed=1.

• Avoid using the deprecated distutils module for the Python wrappers; setuptools is now required for building (@lballabio).
• Exported LastFixingQuote; thanks to Eugene Toder (@eltoder).
• Added redemptions and paymentLag arguments to amortizing bond constructors; thanks to Gyan Sinha (@gyansinha).
• Exported utility function to simplify notification graph (@lballabio).
• Exported a few exotic options (Margrabe, compound, chooser) and related engines (@lballabio).
• Exported new constructor for OIS (@lballabio).
• Exported missing parameters for iterative bootstrap (@lballabio).
• Exported Xoshiro256** RNG (@lballabio).

New Contributors

• @gyansinha made their first contribution in #584

Full Changelog: v1.31.1...v1.32