
Changes for QuantLib 1.11:
==========================

QuantLib 1.11 includes 47 pull requests and fixed issues 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/6?closed=1>.

PORTABILITY

- This is the last version of QuantLib to support the now obsolete
  Dev-C++ IDE with a maintained project file.  The project will be
  removed in next release.

INSTRUMENTS AND PRICING ENGINES

- Added ISDA pricing engine for credit default swaps (thanks to
  Guillaume Horel, Jose Aparicio and Peter Caspers).

- Added Andersen-Piterbarg engine for the Heston model (thanks to
  Klaus Spanderen).

- Improved experimental vanna-volga engine for double-barrier knock-in
  options (thanks to Giorgio Pazmandi).

- Added theta calculation to experimental Kirk spread-option engine
  (thanks to Krzysztof Wos).

CASH FLOWS

- Added optional payment lag to fixed, floating and OIS legs (thanks
  to Fabrice Lecuyer and Joseph Jeisman).

- Fixed yield calculation with 30/360 US day count convention and
  settlement on the 31st of the month (thanks to Frank Xue).

MODELS

- Added adaptive successive over-relaxation method for implied
  volatility calculation (thanks to Klaus Spanderen).

INDEXES

- Fixed day-count convention and spot lag for CAD LIBOR (thanks to
  Oleg Kulkov).

TERM STRUCTURES

- Optionally optimize setting up OIS helpers (thanks to Peter
  Caspers).

DATE/TIME

- Added Actual/365 Canadian day count convention (thanks to Andrea
  Maggiulli).

MATH

- Added GMRES iterative solver for large linear systems (thanks to
  Klaus Spanderen).

- Updated Hong Kong calendar up to 2020 (thanks to Nicholas Bertocchi
  and Alix Lassauzet).

BUILD

- Added configure switch to enable unity build.

TEST SUITE

- Added --fast and --faster flags to the test-suite executable.  When
  passed, slower tests are discarded so that the test suite runs in
  just a few minutes.

DEPRECATED FEATURES

- Remove the HestonExpansionEngine::numberOfEvaluations method
  (deprecated in version 1.9).

- Remove the MixedLinearCubicInterpolation and MixedLinearCubic
  constructors not specifying the behavior of the mixed interpolation
  (deprecated in version 1.8).

- Remove deprecated overloads of the Swaption::impliedVolatility and
  CapFloor::impliedVolatility methods (deprecated in version 1.9).

- Remove NoArbSabrModel::checkAbsorptionMatrix method (deprecated in
  version 1.8.1).

