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Main changes for QuantLib-SWIG 1.22

More details on the changes are available in ChangeLog.txt and at https://github.com/lballabio/QuantLib-SWIG/milestone/15?closed=1.

  • As previously announced, this release drops support for Python 2.7, which reached end of life in January 2020.

  • Exported revised SubPeriodCoupon class (thanks to Marcin Rybacki).

  • Exported new FdBlackScholesShoutEngine class.

  • Exported optional discount curve in AnalyticEuropeanEngine constructor.

  • Exported the CrossCurrencyBasisSwapRateHelper (thanks to Marcin Rybacki).

  • Exported new constructors for Asian options (thanks to Jack Gillett).

  • Exported new method hasHistoricalFixing for indexes (thanks to Ralf Konrad).

  • Exported revised OvernightIndexFuture interface.

  • Classes CallabilityPrice, FDBermudanEngine, FDEuropeanEngine, FDAmericanEngine, FDDividendEuropeanEngine and FDDividendAmericanEngine were removed in the C++ library after a deprecation period.