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

  • Maintenance release.

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, QuantLibXL_vc8.sln through QuantLibXL_vc14.sln, added a new solution file QuantLibXL.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

  • 4 new functions / 1,114 in total

Release 1.7.0 - December 2015

  • 30 new functions / 1,110 in total

Release 1.6.0 - August 2015

  • 8 new functions / 1,080 in total
  • The XLL is provided for 32- or 64-bit Excel.
  • This release includes the updated VBA Framework application (at present this does not work correctly under 64-bit Excel).
  • QuantLibXL 1.6.0 is compatible with either QuantLib 1.6.0 or 1.6.1.

Release 1.5.0 - April 2015

  • 55 new functions / 1072 in total
  • Additional Credit functionality exported from QuantLib to QuantLibXL. Thanks to Jose Aparicio.
  • Example workbook StandaloneExamples/Analytics/InterestRateDerivatives.xlsx now functions correctly on non working days. Thanks to Paolo Mazzocchi.
  • 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. For more information please refer to file QuantLibXL\StandaloneExamples\Bugs\qlSimpleQuoteSetValue_BugFix.xlsx.
  • The VBA Framework has not been updated for this release

Release 1.4.0 - June 2014

  • 2 new functions / 1017 in total
  • Support for 64-bit (thanks to Richard Gould)
  • Fixed bug which could cause Excel to crash at shutdown.
  • Fixed bug which could cause interpolation code to crash.
  • Fixed memory leak in function ohRangeRetrieveError().
  • Prevent potential crash in qlFixedRateBondHelper() (thanks to Francois Botha)
  • VBA Framework - fix bug in which exception is thrown by context sensitive menu when the active worksheet is a chart.
  • 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.

Release 1.2.0 - July 2012

  • 11 new functions / 1015 in total
  • Merge old and new VBA Frameworks into single build

Release 1.1.0 - May 2011

  • 56 new functions / 1004 in total
  • New documentation for enumeration and template classes, thanks to Andrew Downes
  • The VBA Framework has been updated for this release

Release 1.0.1 - October 2010

  • 86 new functions / 948 in total
  • Example workbooks updated
  • The VBA Framework has not been updated for this release

Release 0.9.7 - November 2008

  • 7 new functions / 862 in total
  • The VBA Framework has not been updated for this release

Release 0.9.6 - September 2008

  • 22 new functions / 855 in total

Release 0.9.0 - January 2008

  • 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

  • Orders of magnitude increase in performance due to a redesign of ObjectHandler
  • 78 new functions / 640 in total
  • Release of the Framework, an Excel VBA application providing a layer of business logic around the QuantLibXL XLL, including more than 100 new workbooks in support of market data and instruments
  • New function category Range Accrual
  • "Topics" page of documentation renamed to "Manual" and updated to provide overview of major design features
  • FAQ rewritten

Release 0.4.0 - February 2007

  • 117 new functions / 562 in total
  • New categories: Simple Cash Flow, Smile Section Structures
  • Consolidated build process.
  • Added additional example workbooks.

Release 0.3.14 - December 2006

  • 218 new functions / 445 in total
  • New categories: Asset Swap, Caplet Volatility Term Structures, CMS Market, Market Models, Sequence Statistics, Statistics
  • Resolved problem of VC8 build running slowly.

Release 0.3.13 - August 2006

  • 146 new functions / 227 in total
  • Separated QuantLibXL out of QuantLibAddin into standalone project.

Previous versions of QuantLibXL were bundled with versions 0.3.10 - 0.3.12 of the parent QuantLibAddin project whose release notes can be found at the following link:

http://www.quantlibaddin.org/history.html