PyQuantLib 0.7.0

Highlights

• QuantLib 1.41 -- upgraded from 1.40; requires 1.41+
• MultiCurve/GlobalBootstrap -- simultaneous multi-curve bootstrap with dependency cycles
• 21 new pricing engines -- Asian (8), barrier (9), basket (4) exotic engines
• 3 new instruments -- PartialTimeBarrierOption, SoftBarrierOption, TwoAssetBarrierOption
• Cash dividend support -- CashDividendEuropeanEngine and CashDividendModel enum
• Overnight coupon pricers -- BlackCompounding and BlackAveraging overnight indexed coupon pricers

See the changelog for the full list.

PyQuantLib 0.6.0

What's New

Math

• Integrators (10): Segment, Trapezoid, MidPoint, Simpson, GaussKronrod (2), GaussLobatto, TanhSinh, ExpSinh
• Gaussian quadrature (8 types + TabulatedGaussLegendre + 3 integrator subclasses)
• Optimizers: Simplex, ConjugateGradient, SteepestDescent, BFGS, DifferentialEvolution
• Interpolations: ForwardFlat, Lagrange, Bilinear, BicubicSpline, Chebyshev, Richardson
• Linear algebra: SVD, SymmetricSchurDecomposition
• AdaptiveRungeKutta ODE integrator

Cash Flows

• CappedFlooredCoupon (+ Ibor/CMS variants), DigitalCoupon (+ Ibor/CMS variants)
• CMS pricers: AnalyticHaganPricer, NumericHaganPricer
• Overnight pricers: CompoundingOvernightIndexedCouponPricer, ArithmeticAveragedOvernightIndexedCouponPricer
• AverageBMACoupon, AverageBMALeg

Processes

• GeometricBrownianMotionProcess, Merton76Process, SquareRootProcess, ExtendedOrnsteinUhlenbeckProcess
• G2Process, G2ForwardProcess, HybridHestonHullWhiteProcess

Term Structures

• ForwardSpreadedTermStructure, ImpliedTermStructure, UltimateForwardTermStructure, QuantoTermStructure
• FlatSmileSection, HestonBlackVolSurface, SpreadedSwaptionVolatility
• NoArbSabrModel, NoArbSabrSmileSection, NoArbSabrInterpolatedSmileSection
• KahaleSmileSection (arbitrage-free)
• AndreasenHugeVolatilityInterpl (+ adapters)
• CompositeZeroYieldStructure

Pricing Engines

• AnalyticDoubleBarrierBinaryEngine, FdBlackScholesRebateEngine
• MCBarrierEngine, MCDoubleBarrierEngine, MCEuropeanGJRGARCHEngine
• AnalyticCEVEngine, CEVCalculator

FDM

• Boundary conditions: FdmDirichletBoundary (3 variants)
• Solvers: FdmHestonSolver, FdmHullWhiteSolver, FdmG2Solver, Fdm2dBlackScholesSolver, FdmBatesSolver
• Meshers: ExponentialJump1dMesher, Glued1dMesher
• Step conditions: FdmArithmeticAverageCondition, FdmSimpleSwingCondition
• LocalVolRNDCalculator, NthOrderDerivativeOp

Indexes

• BMAIndex, SwapSpreadIndex

Full Changelog: v0.5.1...v0.6.0

PyQuantLib 0.5.1

Fixed

• Flaky test_triplebandlinearop_solve_splitting causing Windows wheel build failures

PyQuantLib 0.5.0

What's New

Math

• Statistics (RiskStatistics, IncrementalStatistics, SequenceStatistics)
• BlackCalculator and BachelierCalculator with full Greeks

Engines

• Heston ecosystem: COS, exponential fitting, piecewise time-dependent, PDF-based, Hull-White hybrid, H1-HW, expansion
• American: Ju quadratic approximation, QD+ with configurable solvers
• Digital: analytic knock-in/knock-out, Monte Carlo
• FD vanilla: Heston, Bates, SABR, CEV, shout, Ornstein-Uhlenbeck, Heston-Hull-White
• Gaussian 1-D: swaption, Jamshidian swaption, nonstandard swaption, float-float swaption, cap/floor
• Monte Carlo: European Heston, forward (BS + Heston)
• Analytic: dividend European, BSM-Hull-White, cap/floor, tree cap/floor
• GARCH, variance gamma (analytic + FFT)
• Extensible option engines (holder + writer), quanto forward

Models

• Gaussian 1-D framework: Gsr, MarkovFunctional (with ModelSettings and ModelOutputs)
• CoxIngersollRoss, ExtendedCoxIngersollRoss
• GJR-GARCH, Variance Gamma
• Heston SLV (FDM and MC calibration)
• CapHelper, HestonModelHelper calibration helpers

Processes

• HestonSLVProcess, OrnsteinUhlenbeckProcess, HullWhiteProcess, HullWhiteForwardProcess
• GJRGARCHProcess, ForwardMeasureProcess ABCs

Instruments

• HolderExtensibleOption, WriterExtensibleOption, QuantoForwardVanillaOption
• AmortizingCmsRateBond, TwoAssetCorrelationOption

Random Number Generators

• Mersenne Twister, Sobol, Halton, Burley 2020 (scrambled Sobol)
• Box-Muller, inverse cumulative Gaussian
• Uniform and Gaussian sequence generators
• Sobol Brownian bridge generators

Monte Carlo Infrastructure

• Path, MultiPath, BrownianBridge
• Gaussian and Sobol path/multi-path generators
• Brownian generator ABCs with MT, Sobol, and Burley 2020 families

Finite Differences

• Grid infrastructure: FdmLinearOpLayout, FdmLinearOpIterator, 9 one-dimensional meshers, FdmMesherComposite
• Operators: TripleBandLinearOp, first/second derivative, nine-point, 14 process-specific operators
• Time-stepping schemes: explicit/implicit Euler, Crank-Nicolson, Douglas, Craig-Sneyd, Hundsdorfer, modified Craig-Sneyd, method of lines
• Step conditions: American, Bermudan, dividend handler, snapshot, composite with vanilla factory
• Inner value calculators: cell-averaging, log-space, basket, zero
• Solvers: FdmBackwardSolver, Fdm1DimSolver, Fdm2DimSolver, Fdm3DimSolver, FdmBlackScholesSolver
• Risk-neutral density calculators: BSM, generalized BSM, Heston, CEV, square-root process

Full changelog: v0.4.0...v0.5.0

PyQuantLib 0.4.0

What's New

Instruments

• Callable bonds (CallableFixedRateBond, CallableZeroCouponBond) with OAS analytics
• Convertible bonds (zero-coupon, fixed-coupon, floating-rate) with BinomialConvertibleEngine
• Equity instruments (EquityIndex, EquityTotalReturnSwap)
• BondForward, NonstandardSwaption, FloatFloatSwaption
• Dividends (FixedDividend, FractionalDividend)

Exotic Options

• Lookback (4 variants: floating, fixed, partial floating, partial fixed)
• Cliquet, Compound, Simple/Complex Chooser
• Margrabe exchange options (European + American)
• Forward-start vanilla options
• Quanto vanilla options

Engines

• 4 lookback engines, cliquet, compound, 2 chooser, 2 Margrabe, 2 forward, quanto
• Callable bond engines (Tree + Black)
• BinomialConvertibleEngine (7 tree types)

Full changelog: v0.3.0...v0.4.0

PyQuantLib 0.3.0

What's New

Inflation support

• Inflation indexes (CPI, HICP, RPI) with zero-coupon and year-on-year variants
• Inflation term structures with bootstrapping and seasonality
• Inflation instruments: ZeroCouponInflationSwap, YearOnYearInflationSwap, YoYInflationCapFloor, CPIBond
• Inflation coupon pricers (Black, unit-displaced Black, Bachelier)
• YoY inflation cap/floor engines

Additional instruments

• VarianceSwap with ReplicatingVarianceSwapEngine
• NonstandardSwap and FloatFloatSwap
• AmortizingFixedRateBond, AmortizingFloatingRateBond, CmsRateBond

Experimental

• CdsOption with BlackCdsOptionEngine

See the full changelog for details.

PyQuantLib 0.2.0

Requires: QuantLib 1.40+ built as static library with std::shared_ptr

Added

Cash Flows

• CmsCoupon, CmsLeg for Constant Maturity Swap coupons
• MeanRevertingPricer ABC, CmsCouponPricer ABC
• LinearTsrPricer with LinearTsrPricerSettings and LinearTsrPricerStrategy

Indexes

• 12 concrete swap index subclasses (EuriborSwapIsdaFixA/B, EuriborSwapIfrFix, EurLiborSwap*, UsdLiborSwap*, JpyLiborSwap*, GbpLiborSwapIsdaFix, ChfLiborSwapIsdaFix)

Term Structures

• Fitted bond discount curves with 6 fitting methods (NelsonSiegel, Svensson, ExponentialSplines, CubicBSplines, SimplePolynomial, SpreadFittingMethod)
• Swaption volatility: SwaptionVolatilityStructure ABC, ConstantSwaptionVolatility, SwaptionVolatilityMatrix, SwaptionVolatilityCube, SabrSwaptionVolatilityCube
• Optionlet volatility: OptionletVolatilityStructure ABC, ConstantOptionletVolatility
• Cap/floor term volatility: CapFloorTermVolatilityStructure ABC, CapFloorTermVolSurface
• Optionlet stripping: OptionletStripper1, StrippedOptionletAdapter

Fixed

• Handle constructors use shared_ptr_from_python for safe extraction with diamond/virtual inheritance
• Compile-time check enforcing QL_USE_STD_SHARED_PTR

Full changelog: https://github.com/quantales/pyquantlib/blob/v0.2.0/docs/changelog.md

PyQuantLib 0.1.0

Initial release targeting QuantLib 1.40. See changelog for details.