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Changes for QuantLib 1.42

Removals and deprecations

Features deprecated in release 1.37 were removed in this release; see lballabio#2424 for a full list.

A number of features were deprecated in this release and will be removed in a future release (probably release 1.47):

  • The overloads of CashFlows::npv, BondFunctions::cleanPrice and BondFunctions::dirtyPrice taking a z-spread and a day-count convention; use the overload without a day counter.
  • The overloads of CashFlows::zSpread and BondFunctions::zSpread taking a day-count convention; use the overload without a day counter.
  • The DefaultLogCubic and LogMixedLinearCubic interpolators; use KrugerLog and KrugerLogMixedLinearCubic instead.
  • The NeumannBC, DirichletBC, CrankNicolson, DMinus, DPlus, DPlusDMinus, DZero, ExplicitEuler, ImplicitEuler and MixedScheme classes; use the new finite-difference framework instead.
  • The ForwardRateStructure adapter class; inherit from ZeroYieldStructure instead (you should implement zeroYieldImpl anyway).
  • The ql/experimental/volatility/zabr.hpp header; include <ql/termstructures/volatility/zabr.hpp> instead.
  • The ql/experimental/volatility/zabrinterpolatedsmilesection.hpp header; include <ql/termstructures/volatility/zabrinterpolatedsmilesection.hpp> instead.
  • The ql/experimental/volatility/zabrinterpolation.hpp header; include <ql/math/interpolations/zabrinterpolation.hpp> instead.
  • The ql/experimental/volatility/zabrsmilesection.hpp header; include <ql/termstructures/volatility/zabrsmilesection.hpp> instead.
  • The now empty ql/experimental/exoticoptions/kirkspreadoptionengine.hpp, ql/experimental/exoticoptions/spreadoption.hpp, ql/grid.hpp, ql/math/transformedgrid.hpp, ql/methods/finitedifferences/bsmoperator.hpp, ql/methods/finitedifferences/pde.hpp and ql/methods/finitedifferences/pdebsm.hpp headers.

Full list of pull requests

All the pull requests merged in this release are listed on its release page at https://github.com/lballabio/QuantLib/releases/tag/v1.42.

The list of commits since the previous release is available in ChangeLog.txt.