
Changes for QuantLib 1.12:
==========================

QuantLib 1.12 includes 54 pull requests from several contributors.

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/7?closed=1>.

PORTABILITY

- As announced in the previous release, support for the Dev-C++ IDE
  was removed.

- In April 2018, Microsoft will end its support for Microsoft Visual
  C++ 2008.  Therefore, this is the last version of QuantLib to
  support it with maintained project files.  The next release will
  only contain project files for Visual C++ 2010 and later.

- It is now possible to build a usable library with CMake on Windows
  (thanks to Javier G. Sogo).

- Fix autotools build outside the source tree (thanks to Joshua
  Ulrich).

INSTRUMENTS AND PRICING ENGINES

- Added OAS calculation to experimental callable bonds (thanks to
  Bojan Nikolic).

- Avoided infinite loop for some sets of parameters in experimental
  variance-gamma engine (thanks to Roy Zywina).

CASH FLOWS

- It is now possible to build a cash-flow leg from a schedule created
  from a precalculated vector of dates (thanks to Peter Caspers).

MODELS

- Affine models can now be used to bootstrap a default-probability
  curve (thanks to Jose Aparicio).

- Added Andreasen-Huge volatility interpolation and local volatility
  calibration (thanks to Klaus Spanderen).

- Added Rannacher smoothing steps for Heston stochastic local
  volatility calibration (thanks to Klaus Spanderen).

TERM STRUCTURES

- Added L2 penalty to fitted parameters of fitted bond discount curve
  (thanks to Robin Northcott).

- Added an optional trading calendar to the FX-swap rate helper and
  and optional payment lag to the OIS rate helper (thanks to Wojciech
  Slusarski).

- Fixed inconsistent treatment of strike in experimental CPI cap/floor
  term price surface (thanks to Francis Duffy).

- Correctly handled the case of overlapping strike regions for caps
  and floors in experimental CPI cap/floor term price surface (thanks
  to Peter Caspers).

- Fixed calculation of seasonality correction for interpolated
  inflation indexes (thanks to Francis Duffy).

- Implemented composite zero-yield curve as combination of two
  existing curves via a given binary function (thanks to Francois
  Botha).

- Fixed interpolation of shift in swaption volatility matrix (thanks
  to Peter Caspers).

DATE/TIME

- Updated Chinese calendar for 2018 (thanks to Cheng Li).

- Added Botswana calendar (thanks to Francois Botha).

- Fixed a few problems with US calendars (thanks to Mike DelMedico and
  to GitHub user ittegrat).

- User-added holidays now work correctly when intraday calculations
  are enabled (thanks to Klaus Spanderen for the fix and to GitHub
  user volchemist for the report).

MATH

- Fixed monotonicity of Fritsch-Butland and prevented NaNs in some
  cases (thanks to GitHub user Grant6899 for the fix and to Tom
  Anderson for the report).

DEPRECATED FEATURES

- The ChiSquareDistribution, NonCentralChiSquareDistribution,
  InverseNonCentralChiSquareDistribution and GammaDistribution were
  renamed to CumulativeChiSquareDistribution,
  NonCentralCumulativeChiSquareDistribution,
  InverseNonCentralCumulativeChiSquareDistribution and
  CumulativeGammaDistribution, respectively (thanks to GitHub user
  IGonza).  The old names are still available as typedefs and will be
  removed in a future release.


Thanks go also to Marco Craveiro, Dirk Eddelbuettel, Lakshay Garg,
Guillaume Horel, Alix Lassauzet, Patrick Lewis, and GitHub users
bmmay, bingoko and tournierjc for smaller fixes and enhancements.

