Changes for QuantLib 1.29:
==========================
QuantLib 1.29 includes 42 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/26?closed=1>.
Portability
-----------
- **End of support:** as announced in the notes for the previous
release, this release no longer manages thread-local singletons via
a user-provided `sessionId` function, and therefore the latter is no
longer needed. Instead, the code now uses the built-in language
support for thread-local variables. Thanks go to Peter Caspers
(@pcaspers).
- **Future end of support:** as announced in the notes for the
previous release, after the next couple of releases, using
`std::tuple`, `std::function` and `std::bind` (instead of their
`boost` counterparts) will become the default. If you're using
`ext::tuple` etc. in your code (which is suggested), this should be
a transparent change. If not, you'll still be able to choose the
`boost` versions via a configure switch for a while; but we do
suggest you start using `ext::tuple` etc. in the meantime.
- Replaced internal usage of `boost::thread` with `std::thread`;
thanks to Jonathan Sweemer (@sweemer). This removed our last
dependency on Boost binaries and makes it possible to compile
QuantLib using a header-only Boost installation.
- On Windows, it is now possible to use the MSVC dynamic runtime when
using cmake by passing
`-DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL`
on the command line; thanks to Jonathan Sweemer (@sweemer). The
static runtime remains the default.
- It is now possible to build QuantLib with Intel's `icpx` compiler
using cmake; thanks to Jonathan Sweemer (@sweemer). Note that in
order to get all the unit tests passing, `-fp-model=precise` must be
added to `CMAKE_CXX_FLAGS`.
Date/time
---------
- Updated Chinese holidays for 2023; thanks to Cheng Li
(@wegamekinglc).
- Added in-lieu holiday for Christmas 2022 to South-African calendar;
thanks to Joshua Hayes (@JoshHayes).
- Added King Charles III coronation holiday to UK calendar; thanks to
Fredrik Gerdin Börjesson (@gbfredrik).
- Added holiday for National Day of Mourning to Australian calendar;
thanks to Fredrik Gerdin Börjesson (@gbfredrik).
Instruments
-----------
- Added high performance/precision American engine based on
fixed-point iteration for the exercise boundary; thanks to Klaus
Spanderen (@klausspanderen).
- Bonds with draw-down (i.e., increasing notionals) are now allowed;
thanks to Oleg Kulkov (@Borgomi42 ).
- Added `withIndexedCoupons` and `withAtParCoupons` methods to
`MakeSwaption` for easier initialization; thanks to Ralf Konrad
(@ralfkonrad).
- It is now possible to use the same pricing engine for vanilla and
dividend vanilla options, or for barrier and dividend barrier
options (@lballabio).
Indexes
-------
- Creating a zero inflation index as "interpolated" is now deprecated;
thanks to Ralf Konrad (@ralfkonrad). The index should only return
monthly fixings. Interpolation is now the responsibility of
inflation-based coupons.
Term structures
---------------
- The `ConstantCPIVolatility` constructor can now take a handle to a
volatility quote, instead of just an immutable number (@lballabio).
Deprecated features
-------------------
- **Removed** features deprecated in version 1.24:
- the `createAtParCoupons`, `createIndexedCoupons` and
`usingAtParCoupons` methods of `IborCoupon`;
- the `RiskyBond` class and its subclasses `RiskyFixedBond` and
`RiskyFloatingBond`;
- the `CrossCurrencyBasisSwapRateHelper` typedef;
- the `termStructure_` data member of `BlackCalibrationHelper`;
- the static `baseCurrency` and `conversionType` data members of `Money`;
- the `nominalTermStructure` method and the `nominalTermStructure_`
data member of `InflationTermStructure`;
- the constructor of the `UnitedStates` calendar not taking an
explicit market.
- Deprecated the `argument_type`, `first_argument_type`,
`second_argument_type` and `result_type` typedefs in a number of
classes; use `auto` or `decltype` instead.
- Deprecated the constructors of `InflationIndex`,
`ZeroInflationIndex`, `FRHICP`, `ZACPI`, `UKRPI`, `EUHICP`,
`EUHICPXT`, `USCPI`, `AUCPI` and `GenericCPI` taking an
`interpolated` parameter; use another constructor.
- Deprecated the `interpolated` method and the `interpolated_` data
member of `InflationIndex`.
- Deprecated the `ThreadKey` typedef. It was used in the signature of
`sessionId`, which is no longer needed after the changes in the
`Singleton` implementation.
- Deprecated the `rateCurve_` data member of the
`InflationCouponPricer` base class. If you need it, provide it in
your derived class.
- Deprecated the `npvbps` function taking NPV and BPS as references.
Use the overload returning a pair of `Real`s.
**Thanks go also** to Matthias Groncki (@mgroncki), Jonathan Sweemer
(@sweemer) and Nijaz Kovacevic (@NijazK) for a number of smaller fixes
and improvements, to the Xcelerit Dev Team (@xcelerit-dev) for
improvements to the automated CI builds, and to Vincenzo Ferrazzanno
(@vincferr), @alienbrett, @xuruilong100 and @philippb90 for raising issues.
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