Version History

Release 1.22.0 - May 2021

  • Deleted obsolete classes FDAmericanEngine, FDEuropeanEngine, FDBermudanEngine

Release 1.21.0 - January 2021

  • Implemented new function qlSwapNumberOfLegs() (thanks to Francois Botha)
  • Added more aliases for Actual/365 (No Leap) day counter (thanks to Francois Botha)
  • Added CompoundedThenSimple compounding rule (thanks to Francois Botha)
  • Upgraded gensrc source code generation scripts from python 2 to 3 (thanks to Francois Botha)

Release 1.20.0 - November 2020

  • Consolidated project files and upgraded to VS2019 (thanks to Francois Botha)
  • Added enumeration UnitedStates::FederalReserve with alias US Fedwire System (thanks to Mike DelMedico)
  • Added Botswana calendar (thanks to Francois Botha)
  • Added U as alias for Unadjusted business day convention (thanks to Francois Botha)

Release 1.16.0 - October 2019

  • Replaced deprecated Actual365NoLeap() with Actual365Fixed(Actual365Fixed::NoLeap) (thanks to Francois Botha)
  • Implemented qlScheduleFullInterfaceFromDateVector in order to create schedule with full interface from date vector (thanks to Francois Botha)
  • Extended OISRateHelper with payment lag parameter (thanks to BN Algorithms Ltd)
  • Extended qlMakeOIS with payment lag parameter (thanks to BN Algorithms Ltd)
  • Corrected InterestRateDerivatives example spreadsheet (thanks to BN Algorithms Ltd)

Release 1.14.0 - November 2018

  • Replaced references to deprecated class CalibrationHelper with references to new class BlackCalibrationHelper.

Release 1.13.0 - August 2018

  • Maintenance release.

Release 1.12.0 - February 2018

  • Maintenance release.

Release 1.11.0 - January 2018

  • 0 new functions / 1,114 in total
  • Added support for VC14, and fixed auto_link.hpp files (thanks to Francois Botha)
  • In addition to the existing Visual Studio solution files, QuantLibAddin_vc8.sln through QuantLibAddin_vc14.sln, added a new solution file QuantLibAddin.sln (no version number) which should work for VC10 (Visual Studio 2010) and all later versions.
  • Updated signature of function qlBlackSwaptionEngine() (thanks to Stefano Fondi)
  • Updated signatures of functions qlSwaptionImpliedVolatility() and qlMixedLinearCubicInterpolation()

Release 1.9.0 - May 2017

  • 0 new functions / 1,114 in total
  • Fixed bug in put/call processing for coupon vectors
  • In Credit, correct misspelled function names:

qlCrediBasketAttachLive -> qlCreditBasketAttachLive

qlCrediBasketDetachLive -> qlCreditBasketDetachLive

  • In Interpolation, fix misspelled default value:

MonotonicNaturalCubicSpline -> MonotonicCubicNaturalSpline

  • In Basket Loss Models, correct misspelled parameter name:

RecoveyRates -> RecoveryRates

Release 1.8.0 - October 2016

FUNCTIONALITY

  • 4 new functions / 1,114 in total

Release 1.7.0 - December 2015

FUNCTIONALITY

  • 30 new functions / 1,110 in total

Release 1.6.0 - August 2015

REQUIRED PACKAGES

  • QuantLib version 1.6.0 or 1.6.1
  • ObjectHandler version 1.6.0
  • gensrc version 1.6.0

BUILD

  • Support for the LibreOffice addin has been re-introduced (thanks to Lars Callenbach)

FUNCTIONALITY

  • 8 new functions / 1,080 in total

Release 1.5.0 - April 2015

REQUIRED PACKAGES

  • QuantLib version 1.5.0
  • ObjectHandler version 1.5.0
  • gensrc version 1.5.0

BUILD

  • Introduce support for VC12 (Visual Studio 2013)
  • Modified the VC make files for gensrc to make the invocation of Python more explicit (thanks to Francois Botha).

FUNCTIONALITY

  • 55 new functions / 1072 in total
  • Additional Credit functionality exported from QuantLib to QuantLibAddin. Thanks to Jose Aparicio.
  • Bug fix. In the past, if you called function qlSimpleQuoteSetValue() with an invalid value, the call failed. This led to bugs, if you opened a spreadsheet with stale rates, a quote could be set with an input that was numerically valid but out of date. Then if the live value was #NA, the update failed, leaving the quote with an old stale value. Now, if you call qlSimpleQuoteSetValue() with an invalid input such as #NA, the quote object is invalidated.

Release 1.4.0 - June 2014

REQUIRED PACKAGES

  • QuantLib version 1.4.0
  • ObjectHandler version 1.4.0
  • gensrc version 1.4.0

FUNCTIONALITY

  • 2 new functions / 1017 in total
  • Support for 64-bit (thanks to Richard Gould)
  • Prevent potential crash in constructor of FixedRateBondHelper (thanks to Francois Botha)
  • Added additional clones of Calendars to correspond to the output from QuantLib::Calendar::name(). This allows us in Excel to ask a calendar for its name and then recreate the same calendar based on that string.
  • Function qlRateHelperSelection() now works for anonymous objects thanks to a bug fix in ObjectHandler.
  • Fixed bug which could cause interpolation code to crash

Release 1.2.0 - July 2012

REQUIRED PACKAGES

  • QuantLib version 1.2.0
  • ObjectHandler version 1.2.0
  • gensrc version 1.2.0

FUNCTIONALITY

  • 11 new functions / 1015 in total

Release 1.1.0 - May 2011

DOCUMENTATION

  • New documentation for enumeration and template classes, thanks to Andrew Downes
  • Tutorial for Serialization Demo updated.

REQUIRED PACKAGES

  • QuantLib version 1.1.0
  • ObjectHandler version 1.1.0
  • gensrc version 1.1.0

FUNCTIONALITY

  • 56 new functions / 1001 in total

Release 1.0.1 - October 2010

REQUIRED PACKAGES

  • QuantLib version 1.0.0 or 1.0.1
  • ObjectHandler version 1.0.1
  • gensrc version 1.0.1

FUNCTIONALITY

  • 86 new functions / 948 in total

PLATFORMS

  • Calc addin migrated to latest OpenOffice.org architecture (Thanks to Roland Lichters)

Release 0.9.7 - November 2008

REQUIRED PACKAGES

  • QuantLib version 0.9.7
  • ObjectHandler version 0.9.7
  • gensrc version 0.9.7

FUNCTIONALITY

  • 7 new functions / 862 in total

Release 0.9.6 - September 2008

REQUIRED PACKAGES

  • QuantLib version 0.9.6
  • ObjectHandler version 0.9.6
  • gensrc version 0.9.6

FUNCTIONALITY

  • 22 new functions / 855 in total

BUILD

  • Introduce support for VC9
  • When compiling under Linux, rather than using relative paths to locate gensrc and ObjectHandler, the paths are now specified with mandatory arguments to the configure script: 
    ./configure --with-gensrc=/path/to/gensrc
    --with-oh=/path/to/ObjectHandler

DOCUMENTATION

  • Installation documents revised and expanded
  • Fixed bug which caused chm files to hang

Release 0.9.0 - January 2008

REQUIRED PACKAGES

  • QuantLib version 0.9.0
  • ObjectHandler version 0.9.0
  • gensrc version 0.9.0

FUNCTIONALITY

  • 193 new functions / 833 in total
  • New function categories: Abcd, Accounting Engines, AlphaForm, Brownian Generator, Cms Market Calibration, Correlation, Ctsmmcapletcalibration, CurveState, Driftcalculators, Enumerations, Evolution Description, Garbage Collection, Group, Handles, Leg, Logging Functions, Market Model Evolvers, Market Model Volatility, Piecewise Yield Curves, Range, Serialization, TimeSeries, Value Objects

Release 0.8.0 - May 2007

REQUIRED PACKAGES

  • QuantLib version 0.8.0
  • ObjectHandler version 0.8.0
  • gensrc version 0.8.0

FUNCTIONALITY

  • Orders of magnitude increase in performance due to a redesign of ObjectHandler
  • 78 new functions / 640 in total
  • New function category Range Accrual

DOCUMENTATION

  • "Topics" page of documentation renamed to "Manual" and updated to provide overview of major design features
  • FAQ rewritten

PLATFORMS

  • The Guile platform has not been updated for this release

Release 0.4.0 - February 2007

REQUIRED PACKAGES

  • QuantLib version 0.4.0
  • ObjectHandler version 0.2.0
  • gensrc version 0.2.0

FUNCTIONALITY

  • 117 new functions / 562 in total
  • New categories: Simple Cash Flow, Smile Section Structures

Release 0.3.14 - December 2006

REQUIRED PACKAGES

  • QuantLib version 0.3.14
  • ObjectHandler version 0.1.5
  • gensrc version 0.1.5

FUNCTIONALITY

  • 218 new functions / 445 in total
  • New categories: Asset Swap, Caplet Volatility Term Structures, CMS Market, Market Models, Sequence Statistics, Statistics

DESIGN

  • Implementation of loop functions re-implemented as a template using boost::bind; performance optimized
  • Enumeration registry enhanced to generate Calendars/JointCalendars depending on format of requested ID

Release 0.3.13 - August 2006

QuantLibAddin 0.3.13 is a major release comprising a several fold increase in the size and complexity of the application. The project has also been restructured as summarized below.

QUANTLIBXL

The name QuantLibXL was originally applied to an Excel addin which supplemented QuantLib releases 0.3.3 through 0.3.8. That project was discontinued.

QuantLib releases 0.3.10 and later have been accompanied by a release of QuantLibAddin. All QuantLibAddin releases have included an Excel addin. Beginning with QuantLibAddin version 0.3.13, the QuantLibXL name has been resurrected and given to the QuantLibAddin build for the Excel platform. The new QuantLibXL project reflects the fact that the majority of interest in QuantLibAddin originates from end business users on the Excel platform. The new QuantLibXL project has a separate web page (http://www.quantlibxl.org) and provides a Windows installer for the compiled package.

GENSRC

gensrc (http://www.gensrc.org) is a Python application which takes XML descriptions of functions defined in a library and generates source code for addins on supported platforms including Microsoft Excel and OpenOffice.org Calc. gensrc is used to autogenerate source code for QuantLibAddin and ObjectHandler.

gensrc was previously called srcgen, and resided in a subdirectory of QuantLibAddin versions prior to 0.3.13. gensrc has been separated from QuantLibAddin 0.3.13 into a standalone project. gensrc has adopted the version numbering scheme from ObjectHandler, hence QuantLibAddin 0.3.13 relies on gensrc version 0.1.4. gensrc was renamed from srcgen because of a conflict with another SourceForge project.

REQUIRED PACKAGES

  • QuantLib version 0.3.13
  • ObjectHandler version 0.1.4
  • gensrc version 0.1.4

FUNCTIONALITY

  • 146 new functions / 227 in total
  • All functionality revised and enhanced, new functionality in following categories: calendar, capletvolstructure, date, daycounter, exercise, forwardrateagreement, generalstatistics, incrementalstatistics, index, marketmodels, mathf, optimization, payoffs, prices, pricingengines, processes, randomsequencegenerator, ratehelpers, schedule, shortratemodels, simpleswap, swap, swaption, swaptionvolstructure
  • Support for Value Objects (Plamen Neykov) (see ObjectHandler documentation for details)
  • Numerous refinements and enhancements to the design including:
    • Lower-level access to QuantLib functionality such as Handles
    • Support for "permanent objects" which aren't deleted by garbage collection
    • Richer function interface including better support for enumerated datatypes, object references, datatype conversions

Release 0.3.12 - March 2006

REQUIRED PACKAGES

  • QuantLib version 0.3.12
  • ObjectHandler version 0.1.3

FUNCTIONALITY

  • 11 new functions / 81 in total
  • Backward & forward flat interpolators (Aurélien Chanudet)
  • Enhancements to xibor / rate helper / term structures / utilities (Marco Marchioro)
  • Support for new QuantLib functionality for sessions, allowing multiple instances of the global evaluation date
  • Documentation revised and extended

EXCEL

  • Unregister functions when XLL unloaded (Lars Schouw)

Release 0.3.11 - October 2005

REQUIRED PACKAGES

  • QuantLib version 0.3.11
  • ObjectHandler version 0.1.2

FUNCTIONALITY

  • 13 new functions / 70 in total
  • Coupon Vectors, Interpolation, Schedules, Swaps (Aurélien Chanudet)
  • Polymorphic behavior in exported QuantLibAddin functions (Plamen Neykov)
  • support for direct calls to underlying QuantLib functions (Plamen Neykov)
  • Optional function parameters (Plamen Neykov), default values
  • Source code generation refactored for improved OO/maintainability

Release 0.3.10 - July 2005

OVERVIEW

Initial release consisting of prototype framework:

  • Core library of supported classes
  • Function metadata
  • Script to autogenerate source for target platforms
  • Sample client applications and spreadsheets

REQUIRED PACKAGES

  • Boost version 1.31.0 or later
  • QuantLib version 0.3.10
  • ObjectHandler version 0.1.1

FUNCTIONALITY

  • Bonds & zero curves (Walter Penschke)
  • Caps & floors, term structures (Aurélien Chanudet)
  • Swaps, xibor, enumeration type factory (Plamen Neykov)
  • Options, volatilities, processes
  • Diagnostic and utility functions

PLATFORMS

  • Microsoft Excel
  • OpenOffice.org Calc
  • C/C++
  • Guile (Aurélien Chanudet)