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Changes for QuantLib 1.

QuantLib 1.8 includes 45 pull requests from several contributors.
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
- The minimum required Boost version is now Boost 1.43 (May
2010). However, it is strongly suggested to use a recent version, or
at least Boost 1.48 (November 2011).
- Added initial CMake support (thanks to Dmitri Nesteruk). This makes
it possible to compile QuantLib on CLion and other CMake-based
- The build now generates and installs pkg-config file on Linux
systems (thanks to GitHub user njwhite).
- Fixed links to documentation for LIBOR indexes (thanks to Jose
- Added the possibility to price swaptions and to calculate their
implied volatilities in a Black-like model with normal volatilities
as well as shifted lognormal (thanks to Peter Caspers).
- Added the possibility to price caps in a Black-like model with
normal volatilities as well as shifted lognormal (thanks to Michael
von den Driesch).
- Caplet strike is correctly recomputed during stripping (thanks to
Michael von den Driesch).
- Added basic CVA IRS pricing engine (stand alone, no portfolio; no
WWR, no collateral). Thanks to Jose Aparicio.
- Black-Scholes processes now return the closed-formula expectation,
standard deviation and variance over long periods (thanks to Peter
- Added Ukrainian hryvnia (thanks to GitHub user maksym-studenets).
- Use different random-number generators for calibration and pricing
in Longstaff-Schwartz engine (thanks to Peter Caspers).

- Added forecast dates for moving holidays to Saudi Arabia calendar up
to 2022 (thanks to Jayanth R. Varma).
- Added new Ukrainian holiday, Defender's Day (thanks to GitHub user
- Added a few more holidays for South Korea (thanks to Faycal El Karaa).
- Added mixed log interpolation (thanks to GitHub user sfondi).
- Avoid mixing different types while bit-shifting in fast Fourier
transform on 64-bit systems (thanks to Nikolai Nowaczyk).
- Removed DateParser::split method (deprecated in version 1.6).
- The test suite is now run with a fixed evaluation date instead of
using today's date. This helps avoid transient errors due to
holidays. It is still possible to use today's date (or any other
date) by running it as:
$ quantlib-test-suite -- --date=today
$ quantlib-test-suite -- --date=2016-02-08
(Thanks to Peter Caspers.)
These features are disabled by default and can be enabled by defining
a macro or passing a flag to `./configure`. Feedback is appreciated.
- Added a parallel unit-test runner (thanks to Klaus Spanderen). This
was successfully used under Linux, but problems were reported on Mac
OS X and occasionally on Visual C++ 2010. The feature requires
Boost 1.59 or later and can be enabled by uncommenting the
`QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER` macro in `ql/userconfig.hpp`
on Visual C++ or by passing the `--enable-parallel-unit-test-runner`
to `./configure` on other systems.
The ql/experimental folder contains code which is still not fully
integrated with the library or even fully tested, but is released in
order to get user feedback. Experimental classes are considered
unstable; their interfaces might change in future releases.
Changes and new contributions for this release were:
- Stochastic local-volatility Heston model, (thanks to Klaus Spanderen
and Johannes Goettker-Schnetmann). Both a Monte Carlo and a

finite-difference calibration and calculation are provided.

- Laplace interpolation (thanks to Peter Caspers).
- Global optimizers: Hybrid Simulated Annealing, Particle Swarm
Optimization, Firefly Algorithm, and Differential Evolution (thanks
to Andres Hernandez).
- A SVD-based calculation of the Moore-Penrose inverse matrix (thanks
to Peter Caspers).