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Release candidates for QuantLib 1.9

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Luigi Ballabio

Release candidates for QuantLib 1.9

Hello,

release candidates for version 1.9 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. No release notes yet, but you can see the pull requests that made into it at <https://github.com/lballabio/QuantLib/milestone/3?closed=1>. If you have some time, please kick its tires and tell me how it goes.

Thanks,

Luigi

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Niall O'Sullivan-2

Re: Release candidates for QuantLib 1.9

Hi Luigi,

We noticed an issue with ORE and the small API change here

https://github.com/lballabio/QuantLib/commit/f9f8871b9168604bb4621232a08fffb82ae0ff6e

as we have code that uses the old ordering (displacement before vol type) here

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/termstructures/swaptionvolatilityconverter.cpp#L189

I’d like to keep ORE compatible with QL 1.8, 1.8.1 and 1.9, so is there any way we can do this without having to do something like #if QL_HEX_VERSION < 0x01090000 in our code?

Apart from that, everything looks fine (tested on Win10 with MSVC 2015 and boost 1.62)

Regards,
Niall

On 14 Oct 2016, at 15:12, Luigi Ballabio <[hidden email]> wrote:

Hello,
release candidates for version 1.9 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. No release notes yet, but you can see the pull requests that made into it at <https://github.com/lballabio/QuantLib/milestone/3?closed=1>. If you have some time, please kick its tires and tell me how it goes.

Thanks,
Luigi

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Luigi Ballabio

Re: Release candidates for QuantLib 1.9

Right. I think adding an optional VolatilityType parameter in the deprecated overload should fix the issue. Thanks for the heads-up.

Luigi

On Mon, Oct 17, 2016 at 5:11 PM Niall O'Sullivan <[hidden email]> wrote:

Hi Luigi,

We noticed an issue with ORE and the small API change here
https://github.com/lballabio/QuantLib/commit/f9f8871b9168604bb4621232a08fffb82ae0ff6e
as we have code that uses the old ordering (displacement before vol type) here
https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/termstructures/swaptionvolatilityconverter.cpp#L189
I’d like to keep ORE compatible with QL 1.8, 1.8.1 and 1.9, so is there any way we can do this without having to do something like #if QL_HEX_VERSION < 0x01090000 in our code?

Apart from that, everything looks fine (tested on Win10 with MSVC 2015 and boost 1.62)

Regards,
Niall

On 14 Oct 2016, at 15:12, Luigi Ballabio <[hidden email]> wrote:

Hello,
release candidates for version 1.9 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. No release notes yet, but you can see the pull requests that made into it at <https://github.com/lballabio/QuantLib/milestone/3?closed=1>. If you have some time, please kick its tires and tell me how it goes.

Thanks,
Luigi

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Luigi Ballabio

Re: Release candidates for QuantLib 1.9

Hi Niall,

I've replaced the package with an updated one. May you try it?

Thanks,

Luigi

On Mon, Oct 17, 2016 at 5:16 PM Luigi Ballabio <[hidden email]> wrote:

Right. I think adding an optional VolatilityType parameter in the deprecated overload should fix the issue. Thanks for the heads-up.

Luigi

On Mon, Oct 17, 2016 at 5:11 PM Niall O'Sullivan <[hidden email]> wrote:
Hi Luigi,

We noticed an issue with ORE and the small API change here
https://github.com/lballabio/QuantLib/commit/f9f8871b9168604bb4621232a08fffb82ae0ff6e
as we have code that uses the old ordering (displacement before vol type) here
https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/termstructures/swaptionvolatilityconverter.cpp#L189
I’d like to keep ORE compatible with QL 1.8, 1.8.1 and 1.9, so is there any way we can do this without having to do something like #if QL_HEX_VERSION < 0x01090000 in our code?

Apart from that, everything looks fine (tested on Win10 with MSVC 2015 and boost 1.62)

Regards,
Niall

On 14 Oct 2016, at 15:12, Luigi Ballabio <[hidden email]> wrote:

Hello,
release candidates for version 1.9 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. No release notes yet, but you can see the pull requests that made into it at <https://github.com/lballabio/QuantLib/milestone/3?closed=1>. If you have some time, please kick its tires and tell me how it goes.

Thanks,
Luigi

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