Welcome back, dear reader.

This is just a quick post to list a few updates in A QuantLib Guide. They were mostly caused by changes (for the better, I would argue) in QuantLib itself, that keeps evolving after all this time—not just by adding new features, but also by deprecating old ones, replacing them with more fitting ones, or fixing some problematic behaviors. Yes, I think there’s hope for us all.

Let me mention again that, if you want to receive this kind of updates, subscribing to my Substack is a good idea. And if you find A QuantLib Guide useful and want to support the effort, you can do so by buying a PDF version. It’s published on Leanpub, which means that you’ll have free access to any future updates.

So, here is the list:

  • the notebook on inflation indexes and curves was updated to describe possible choice of pillars for bootstrapped curves and a corresponding change of the default behavior;

  • in the same notebook: zero-coupon inflation-swap bootstrap helpers no longer need to be passed a nominal curve;

  • in the notebook on numerical Theta, I now use PiecewiseCubicZero and CubicZeroCurve instead of aliases no longer available (same curve, different names);

  • the notebook on instrument and pricing engines now shows that, in recent versions of the library, the analytic European engine returns sensible Greeks at maturity instead of NaNs.

Also, by the time you see this, QuantLib 1.43 should be released. You’re welcome to check it out.

See you next time!