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Changes for QuantLib 1.33:

QuantLib 1.33 includes 43 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/31?closed=1.

Portability

  • Future end of support: as announced in release 1.32, we're targeting the future release 1.35 as the last to support Visual C++ 2015, g++ up to version 6.x, and clang up to version 4; support for those compilers will be dropped in release 1.36, about nine months from now. From that point onwards, this will allows us to enable the use of C++17 in the code base.

  • Future end of support: at the same time as the above, we'll also remove the configure switch that allows to use boost::tuple, boost::function and boost::bind instead of their std counterparts; the std classes are already the default since release 1.32.

  • Added CMake presets for Apple; thanks to Christian Köhnenkamp (@kohnech).

Dates and calendars

  • Added New Year's Eve as a holiday to the Chilean calendar; thanks to GitHub user @MoixaStrikes.

  • Added Black Awareness Day as a holiday to the Brazilian calendar starting from 2024; thanks to GitHub user @PaulXiCao.

  • Added Inauguration Day as a holiday to the Mexican calendar starting from 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

  • Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc).

  • Updated list of known ECB dates; thanks to GitHub user @PaulXiCao.

  • Added Thailandese and Taiwanese holidays up to 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).

  • Added a one-time holiday to the South African calendar; thanks to Francois Botha (@igitur).

Models

  • Added support for angled contour shift integrals to Heston model; thanks to Klaus Spanderen (@klausspanderen).

Instruments

  • Allow different calendars and frequencies for different legs in MakeOIS and OISRateHelper; thanks to Eugene Toder (@eltoder).

  • Enabled negative payment lag in swap legs; thanks to GitHub user @Stoozy.

Random numbers

  • Added Burley 2020 scrambled Sobol sequence generator; thanks to Peter Caspers (@pcaspers).

Tests

  • Use automated registration of unit tests; thanks to Siddharth Mehrotra (@Sidsky).

  • Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp).

  • Improved test coverage for a few classes; thanks to GitHub user @PaulXiCao.

Deprecated features

  • Removed features deprecated in version 1.28:

    • The overload of CallableBond::impliedVolatility taking an NPV as target.
    • The constructor of AmortizingFixedRateBond taking a sinking frequency.
    • The constructor of AmortizingFixedRateBond taking a vector of InterestRate instances.
    • The constructor of FixedRateBond taking start date, maturity date etc. instead of a schedule.
    • The constructor of FixedRateBond taking a vector of InterestRate instances.
    • The constructor of FloatingRateBond taking start date, maturity date etc. instead of a schedule.
    • The constructor of CPICapFloor taking a handle to an interest-rate index.
    • The CPICapFloor::inflationIndex method.
    • The infIndex data member of the CPICapFloor::arguments class.
    • A redundant constructor of SabrSmileSection.
    • The empty headers ql/experimental/amortizingbonds/amortizingcmsratebond.hpp, ql/experimental/amortizingbonds/amortizingfixedratebond.hpp and ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp.

  • Deprecated the constructor of Currency and Currency::Data taking a format string, and the Currency::format method.

Thanks go also to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116), Jonathan Sweemer (@sweemer) and the XAD team (@auto-differentiation-dev) for smaller fixes and improvements.