Changelog

All notable changes to PyQuantLib will be documented in this file.

See also

Building from Source for build requirements and setup instructions.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

Unreleased

0.7.0 - 2026-03-14

Changed

• Upgraded QuantLib dependency from 1.40 to 1.41

• FdBlackScholesVanillaEngine gains optional cashDividendModel parameter (CashDividendModel.Spot or .Escrowed)

Added

Pricing Engines

• CashDividendEuropeanEngine semi-analytic European engine with cash dividends (Healy, 2021), CashDividendModel enum (Spot, Escrowed)

• ChoiAsianEngine Choi (2018) analytic discrete arithmetic Asian engine

• AnalyticDiscreteGeometricAverageStrikeAsianEngine analytic discrete geometric average strike Asian engine

• ContinuousArithmeticAsianLevyEngine Levy (1992) continuous arithmetic Asian engine

• FdBlackScholesAsianEngine finite-difference Black-Scholes discrete Asian engine

• MCDiscreteArithmeticASEngine Monte Carlo discrete arithmetic average strike Asian engine

• MCDiscreteGeometricAPEngine Monte Carlo discrete geometric average price Asian engine

• MCDiscreteArithmeticAPHestonEngine Monte Carlo discrete arithmetic Asian engine under Heston dynamics

• MCDiscreteGeometricAPHestonEngine Monte Carlo discrete geometric Asian engine under Heston dynamics

• AnalyticBinaryBarrierEngine analytic binary (one-touch) barrier option engine

• BinomialBarrierEngine binomial tree barrier engine with configurable tree type and discretization (Derman-Kani)

• FdHestonBarrierEngine finite-difference Heston barrier option engine

• FdHestonDoubleBarrierEngine finite-difference Heston double barrier option engine

• FdHestonRebateEngine finite-difference Heston rebate engine for barrier options

• AnalyticPartialTimeBarrierOptionEngine analytic engine for partial-time barrier options (Heynen-Kat)

• AnalyticSoftBarrierEngine analytic engine for soft barrier options

• AnalyticTwoAssetBarrierEngine analytic engine for two-asset barrier options

• ChoiBasketEngine Choi (2018) analytic engine for average and spread basket options

• SingleFactorBsmBasketEngine single-factor BSM approximation for average basket options

• MCAmericanBasketEngine Monte Carlo American basket engine (Longstaff-Schwartz)

• FdndimBlackScholesVanillaEngine N-dimensional finite-difference Black-Scholes basket engine

Cash Flows

• BlackCompoundingOvernightIndexedCouponPricer Black pricer for capped/floored compounded overnight coupons

• BlackAveragingOvernightIndexedCouponPricer Black pricer for capped/floored averaged overnight coupons

Instruments

• ContinuousAveragingAsianOption seasoned constructor with startDate parameter

• PartialTimeBarrierOption partial-time barrier option with PartialBarrierRange enum

• SoftBarrierOption soft barrier option with proportional knock-in/out over barrier range

• TwoAssetBarrierOption barrier option monitored on a second correlated asset

Core

• AmericanExercise payoffAtExpiry parameter

Term Structures

• MultiCurve for simultaneous multi-curve bootstrap with dependency cycles (accuracy and optimizer constructors, addBootstrappedCurve, addNonBootstrappedCurve)

• PiecewiseLogLinearDiscountGlobal, PiecewiseLinearZeroGlobal, PiecewiseBackwardFlatForwardGlobal piecewise yield curves using GlobalBootstrap (reference-date and settlement-days constructors, instrument weights)

0.6.0 - 2026-03-07

Added

Math

• Integrator abstract base class for 1-D numerical integration with __call__(f, a, b) interface

• SegmentIntegral fixed-interval trapezoid integration

• TrapezoidIntegral adaptive trapezoid integration with default policy

• MidPointTrapezoidIntegral adaptive trapezoid integration with mid-point policy

• SimpsonIntegral adaptive Simpson’s rule integration

• GaussKronrodAdaptive adaptive 15-point Gauss-Kronrod integration

• GaussKronrodNonAdaptive non-adaptive Gauss-Kronrod integration (10/21/43/87-point)

• GaussLobattoIntegral adaptive Gauss-Lobatto integration

• TanhSinhIntegral tanh-sinh quadrature for smooth integrands (requires Boost >= 1.69)

• ExpSinhIntegral exp-sinh quadrature with integrateHalfInfinite() for [0, inf)

• GaussianQuadrature abstract base for Gaussian quadrature methods

• GaussLaguerreIntegration, GaussHermiteIntegration, GaussJacobiIntegration, GaussHyperbolicIntegration, GaussLegendreIntegration, GaussChebyshevIntegration, GaussChebyshev2ndIntegration, GaussGegenbauerIntegration concrete Gaussian quadrature classes

• TabulatedGaussLegendre precomputed Gauss-Legendre quadrature (orders 6, 7, 12, 20)

• GaussLegendreIntegrator, GaussChebyshevIntegrator, GaussChebyshev2ndIntegrator Gaussian quadrature-based Integrator subclasses

• Simplex Nelder-Mead simplex optimizer

• ConjugateGradient conjugate gradient optimizer

• SteepestDescent steepest descent optimizer

• BFGS Broyden-Fletcher-Goldfarb-Shanno quasi-Newton optimizer

• DifferentialEvolution global optimizer with DEConfiguration builder, DEStrategy and DECrossoverType enums

• Interpolation2D ABC for 2-D interpolation (in pyquantlib.base)

• ForwardFlatInterpolation forward-flat step interpolation

• LagrangeInterpolation Lagrange polynomial interpolation with value(y, x) for alternative y values

• BilinearInterpolation bilinear interpolation on 2-D grids

• BicubicSpline bicubic spline interpolation with derivative methods

• ChebyshevInterpolation Chebyshev polynomial interpolation on [-1, 1] with ChebyshevPointsType enum

• RichardsonExtrapolation Richardson extrapolation for improving numerical convergence

• SVD singular value decomposition with U(), V(), singularValues(), solveFor()

• SymmetricSchurDecomposition eigenvalue decomposition for symmetric matrices

• AdaptiveRungeKutta adaptive step-size Runge-Kutta ODE integrator (Cash-Karp method) with 1-D and N-D interfaces

Cash Flows

• ReplicationType enum (Sub, Central, Super) for digital option replication strategy

• DigitalReplication configuration class for digital replication parameters

• CappedFlooredCoupon capped/floored floating-rate coupon wrapper

• CappedFlooredIborCoupon convenience class for capped/floored Ibor coupons

• CappedFlooredCmsCoupon convenience class for capped/floored CMS coupons

• DigitalCoupon floating-rate coupon with digital call/put option

• DigitalIborCoupon digital Ibor coupon with DigitalIborLeg builder

• DigitalCmsCoupon digital CMS coupon with DigitalCmsLeg builder

• YieldCurveModel enum for CMS convexity adjustment models (Standard, ExactYield, ParallelShifts, NonParallelShifts)

• HaganPricer ABC for static replication CMS pricing

• AnalyticHaganPricer analytic CMS coupon pricer

• NumericHaganPricer numeric CMS coupon pricer with integration parameters

• CompoundingOvernightIndexedCouponPricer pricer for compounded overnight rates

• ArithmeticAveragedOvernightIndexedCouponPricer pricer for arithmetically averaged overnight rates with optional convexity adjustment

• AverageBMACoupon coupon paying the weighted average of BMA fixings

• AverageBMALeg builder for sequences of average BMA coupons

Processes

• GeometricBrownianMotionProcess geometric Brownian motion process

• Merton76Process Merton jump-diffusion process

• SquareRootProcess CIR-type square root mean-reverting process

• ExtendedOrnsteinUhlenbeckProcess extended Ornstein-Uhlenbeck process with time-dependent level and Discretization enum

• G2Process two-factor Gaussian short-rate stochastic process

• G2ForwardProcess G2 forward-measure two-factor short-rate process

• HybridHestonHullWhiteProcess three-factor hybrid Heston + Hull-White process with Discretization enum (Euler, BSMHullWhite)

Term Structures

• ForwardSpreadedTermStructure yield curve with additive spread over forward rates

• ImpliedTermStructure implied yield curve from a base curve and reference date

• UltimateForwardTermStructure ultimate forward rate extrapolation

• QuantoTermStructure quanto-adjusted dividend yield term structure

• FlatSmileSection flat (constant) smile section for volatility modeling

• HestonBlackVolSurface Black volatility surface implied by a Heston model

• SpreadedSwaptionVolatility swaption volatility surface with additive spread

• NoArbSabrModel no-arbitrage SABR model (Doust, 2012) with option prices, density, and absorption probability

• NoArbSabrSmileSection no-arbitrage SABR smile section wrapping NoArbSabrModel

• NoArbSabrInterpolatedSmileSection calibrated no-arbitrage SABR interpolated smile section

• KahaleSmileSection arbitrage-free smile section using Kahale’s C^1 interpolation/extrapolation

• AndreasenHugeVolatilityInterpl Andreasen-Huge local volatility calibration with InterpolationType and CalibrationType enums

• AndreasenHugeVolatilityAdapter Black volatility adapter for Andreasen-Huge interpolation

• AndreasenHugeLocalVolAdapter local volatility adapter for Andreasen-Huge interpolation

• CompositeZeroYieldStructure composite yield curve from two curves combined via a binary function (addition, subtraction, etc.)

Indexes

• BMAIndex Bond Market Association index (tax-exempt reference rate)

• SwapSpreadIndex spread between two swap rate indexes

Core

• PositionType enum (Long, Short) now registered in core module (moved from instruments for earlier availability)

0.5.1 - 2026-03-02

Fixed

• Flaky test_triplebandlinearop_solve_splitting causing Windows wheel build failures (use SecondDerivativeOp instead of degenerate zero-band operator)

0.5.0 - 2026-03-01

Added

Time

• Period.__radd__ and Period.__rsub__ enabling datetime.date + ql.Period and datetime.date - ql.Period arithmetic (returns ql.Date)

Math

• Statistics (= RiskStatistics) with empirical-distribution risk measures, Gaussian-assumption analytics, and percentile/VaR/ES methods

• IncrementalStatistics for online (streaming) statistics via boost accumulators

• SequenceStatistics for N-dimensional statistics with covariance and correlation matrices

Instruments

• HolderExtensibleOption extensible option with holder’s extension right

• WriterExtensibleOption extensible option with writer’s extension right

• QuantoForwardVanillaOption quanto forward-start vanilla option with qvega(), qrho(), qlambda()

• AmortizingCmsRateBond amortizing CMS-rate bond with vector notionals

Pricing Engines

• BlackCalculator for Black 1976 option pricing with full Greeks (delta, gamma, theta, vega, rho, etc.)

• BachelierCalculator for normal-volatility option pricing with full Greeks

• FdHestonVanillaEngine + MakeFdHestonVanillaEngine builder for finite-differences Heston pricing

• FdBatesVanillaEngine for finite-differences Bates (Heston + jumps) pricing

• FdSabrVanillaEngine for finite-differences SABR pricing

• FdCEVVanillaEngine for finite-differences CEV pricing

• FdBlackScholesShoutEngine for finite-differences shout option pricing

• COSHestonEngine for Fourier-cosine series Heston pricing with cumulant accessors

• ExponentialFittingHestonEngine for exponentially-fitted Gauss-Laguerre Heston pricing

• AnalyticPTDHestonEngine for piecewise time-dependent Heston models

• AnalyticPDFHestonEngine for PDF-based Heston pricing of arbitrary European payoffs

• AnalyticHestonHullWhiteEngine for Heston + Hull-White stochastic rates

• AnalyticH1HWEngine for H1-HW approximation with equity-rate correlation

• HestonExpansionEngine with LPP2, LPP3, and Forde expansion formulas

• JuQuadraticApproximationEngine for Ju quadratic approximation of American options

• QdPlusAmericanEngine with configurable solver types (Brent, Newton, Ridder, Halley, SuperHalley)

• AnalyticDigitalAmericanEngine for analytic digital American option pricing (knock-in)

• AnalyticDigitalAmericanKOEngine for analytic digital American option pricing (knock-out)

• MCDigitalEngine factory function for Monte Carlo digital option pricing (pseudo-random and low-discrepancy)

• AnalyticDividendEuropeanEngine for European options with discrete dividends

• AnalyticBSMHullWhiteEngine for BSM + Hull-White stochastic interest rates

• Gaussian1dSwaptionEngine for Gaussian 1-D model swaption pricing (European/Bermudan)

• Gaussian1dJamshidianSwaptionEngine for Jamshidian decomposition swaption pricing

• Gaussian1dNonstandardSwaptionEngine for nonstandard swaption pricing with OAS support

• Gaussian1dFloatFloatSwaptionEngine for float-float swaption pricing with OAS support

• Gaussian1dCapFloorEngine for Gaussian 1-D model cap/floor pricing

• AnalyticCapFloorEngine for analytic cap/floor pricing with affine short-rate models

• TreeCapFloorEngine for lattice-based cap/floor pricing with short-rate models

• AnalyticHolderExtensibleOptionEngine for holder extensible option pricing

• AnalyticWriterExtensibleOptionEngine for writer extensible option pricing

• AnalyticGJRGARCHEngine for GJR-GARCH(1,1) option pricing

• MCForwardEuropeanBSEngine Monte Carlo forward-start option engine (BS)

• MCForwardEuropeanHestonEngine Monte Carlo forward-start option engine (Heston)

• QuantoForwardVanillaEngine quanto forward-start vanilla option engine

• FdHestonHullWhiteVanillaEngine finite-differences Heston + Hull-White stochastic rates engine

• FdOrnsteinUhlenbeckVanillaEngine finite-differences Ornstein-Uhlenbeck vanilla engine

• MCEuropeanHestonEngine Monte Carlo European Heston engine (pseudo-random and low-discrepancy)

• AnalyticDoubleBarrierBinaryEngine analytic double barrier binary (one-touch) option engine

• FdBlackScholesRebateEngine finite-differences rebate engine for barrier options

• MCBarrierEngine Monte Carlo barrier option engine (pseudo-random and low-discrepancy) with optional bias correction

• MCDoubleBarrierEngine Monte Carlo double barrier option engine (pseudo-random and low-discrepancy)

• AnalyticCEVEngine analytic CEV (constant elasticity of variance) option engine

• CEVCalculator standalone CEV option value calculator

• MCEuropeanGJRGARCHEngine Monte Carlo European GJR-GARCH engine (pseudo-random and low-discrepancy)

Processes

• HestonSLVProcess Heston stochastic local volatility process combining Heston dynamics with a leverage function

• OrnsteinUhlenbeckProcess mean-reverting OU process

• HullWhiteProcess Hull-White short-rate process

• ForwardMeasureProcess and ForwardMeasureProcess1D ABCs for forward-measure processes (in pyquantlib.base)

• HullWhiteForwardProcess Hull-White process under the T-forward measure

• GJRGARCHProcess GJR-GARCH(1,1) stochastic process with discretization schemes

Models

• Gaussian1dModel ABC for Gaussian 1-D short-rate models (in pyquantlib.base)

• Gsr Gaussian short-rate model with piecewise volatility and reversion, plus calibration methods

• MarkovFunctional Markov-functional model with ModelSettings builder and ModelOutputs diagnostics

• Gaussian1dModelHandle and RelinkableGaussian1dModelHandle for Gaussian1dModel references

• CoxIngersollRoss (CIR) short-rate model with Feller constraint support

• ExtendedCoxIngersollRoss extended CIR model fitted to the initial term structure

• CapHelper calibration helper for ATM caps (with handle and hidden-handle constructors)

• HestonModelHelper calibration helper for the Heston model (Real and Handle spot variants)

• GJRGARCHModel GJR-GARCH(1,1) calibrated model

• HestonSLVFDMModel Heston SLV model calibrated via Fokker-Planck FDM with HestonSLVFokkerPlanckFdmParams configuration struct

• HestonSLVMCModel Heston SLV model calibrated via Monte Carlo simulation

Methods

• FdmHestonGreensFctAlgorithm enum for Heston Fokker-Planck Green’s function algorithms (ZeroCorrelation, Gaussian, SemiAnalytical)

• FdmSquareRootFwdOpTransformationType enum for square-root forward operator coordinate transformations (Plain, Power, Log)

• LsmBasisSystem / PolynomialType enum for Longstaff-Schwartz Monte Carlo basis systems (moved from MCAmericanEngine to its proper header location)

• SampleNumber (Sample<Real>) and SampleRealVector (Sample<vector<Real>>) weighted sample types

• Path single-factor price path with time grid, indexing, and value/time accessors

• MultiPath correlated multi-asset paths with per-asset indexing

• SamplePath (Sample<Path>) and SampleMultiPath (Sample<MultiPath>) weighted path samples

• BrownianBridge variance-reduction bridge construction from steps, times, or time grid

• GaussianPathGenerator single-factor path generator using pseudo-random Gaussian variates

• GaussianSobolPathGenerator single-factor path generator using Sobol low-discrepancy variates

• GaussianMultiPathGenerator multi-factor path generator using pseudo-random Gaussian variates

• GaussianSobolMultiPathGenerator multi-factor path generator using Sobol low-discrepancy variates

• BrownianGenerator ABC and BrownianGeneratorFactory ABC for Brownian motion generation (in pyquantlib.base)

• MTBrownianGenerator and MTBrownianGeneratorFactory Mersenne-Twister Brownian generators

• SobolBrownianGenerator and SobolBrownianGeneratorFactory Sobol-based Brownian generators

• Burley2020SobolBrownianGenerator and Burley2020SobolBrownianGeneratorFactory scrambled Sobol Brownian generators

• FdmLinearOpIterator iterator for FDM linear operator grid layout

• FdmLinearOpLayout memory layout for multi-dimensional FDM grids with Python iteration support

• Fdm1dMesher base class for one-dimensional FDM meshers

• Uniform1dMesher uniform grid mesher

• Concentrating1dMesher grid concentrating around critical points (single or multiple)

• Predefined1dMesher mesher from user-supplied grid points

• FdmBlackScholesMesher Black-Scholes process mesher (in ln(S)) with optional quanto helper

• FdmHestonVarianceMesher Heston variance dimension mesher with volatility estimate

• FdmHestonLocalVolatilityVarianceMesher Heston variance mesher with local volatility leverage

• FdmCEV1dMesher CEV model mesher

• FdmSimpleProcess1dMesher generic 1D stochastic process mesher

• FdmMesher ABC for multi-dimensional FDM meshers

• FdmMesherComposite composite multi-dimensional mesher built from 1D meshers (1D-4D convenience constructors)

• FdmQuantoHelper helper for FDM quanto adjustment with scalar and Array overloads

• FdmBoundaryCondition ABC for FDM boundary conditions with BoundaryConditionSide enum (None_, Upper, Lower)

• FdmLinearOp ABC with apply() for polymorphic operator calls

• FdmLinearOpComposite ABC with size, setTime, apply_mixed, apply_direction, solve_splitting, preconditioner

• TripleBandLinearOp tridiagonal operator with apply, solve_splitting, mult, multR, add, axpyb

• FirstDerivativeOp central first-derivative operator

• SecondDerivativeOp central second-derivative operator

• NinePointLinearOp nine-point cross-derivative operator with apply, mult

• SecondOrderMixedDerivativeOp second-order mixed partial derivative operator

• FdmBlackScholesOp Black-Scholes PDE operator

• FdmBlackScholesFwdOp Black-Scholes forward (Fokker-Planck) operator

• Fdm2dBlackScholesOp two-dimensional correlated Black-Scholes operator

• FdmHestonOp Heston stochastic volatility PDE operator

• FdmHestonFwdOp Heston forward (Fokker-Planck) operator

• FdmHestonHullWhiteOp three-factor Heston + Hull-White operator

• FdmBatesOp Bates (Heston + jumps) PDE operator

• FdmHullWhiteOp Hull-White short-rate PDE operator

• FdmG2Op two-factor Gaussian short-rate (G2) PDE operator

• FdmCEVOp Constant Elasticity of Variance PDE operator

• FdmSabrOp SABR stochastic volatility PDE operator

• FdmLocalVolFwdOp local volatility forward (Fokker-Planck) operator

• FdmSquareRootFwdOp square-root (CIR) forward operator with lowerBoundaryFactor, upperBoundaryFactor, v

• FdmOrnsteinUhlenbeckOp Ornstein-Uhlenbeck mean-reverting PDE operator

• ExplicitEulerScheme forward Euler time stepping

• ImplicitEulerScheme backward Euler time stepping with ImplicitEulerSolverType enum (BiCGstab, GMRES) and numberOfIterations

• CrankNicolsonScheme Crank-Nicolson time stepping with numberOfIterations

• DouglasScheme Douglas ADI time-stepping scheme

• CraigSneydScheme Craig-Sneyd ADI time-stepping scheme

• HundsdorferScheme Hundsdorfer ADI time-stepping scheme

• ModifiedCraigSneydScheme Modified Craig-Sneyd ADI time-stepping scheme

• MethodOfLinesScheme method of lines (Runge-Kutta) time-stepping scheme

• FdmStepCondition ABC for FDM step conditions (applyTo with copy semantics)

• FdmInnerValueCalculator ABC for FDM inner value calculators (innerValue, avgInnerValue)

• RiskNeutralDensityCalculator ABC for risk-neutral density calculators (pdf, cdf, invcdf)

• FdmCellAveragingInnerValue cell-averaging inner value calculator with optional grid mapping function

• FdmLogInnerValue log-space inner value calculator

• FdmLogBasketInnerValue log-space basket inner value calculator

• FdmZeroInnerValue zero inner value calculator (returns 0 everywhere)

• FdmSnapshotCondition snapshot step condition for capturing intermediate solution values

• FdmAmericanStepCondition American early exercise step condition

• FdmBermudanStepCondition Bermudan exercise step condition with exercise times

• FdmDividendHandler discrete dividend handling step condition

• FdmStepConditionComposite composite step condition with vanillaComposite and joinConditions static factories

• FdmSolverDesc solver descriptor struct (mesher, boundary conditions, step conditions, calculator, maturity, time steps, damping steps)

• FdmBackwardSolver backward PDE solver with rollback (copy semantics)

• Fdm1DimSolver one-dimensional FDM solver with interpolateAt, derivativeX, derivativeXX, thetaAt

• Fdm2DimSolver two-dimensional FDM solver with interpolation and cross-derivative Greeks

• Fdm3DimSolver three-dimensional FDM solver with interpolateAt and thetaAt

• FdmBlackScholesSolver high-level Black-Scholes FDM solver with valueAt, deltaAt, gammaAt, thetaAt

• FdmHestonSolver 2D Heston FDM solver with Greeks including mean-variance delta/gamma

• FdmHullWhiteSolver 1D Hull-White interest rate FDM solver

• FdmG2Solver 2D G2++ two-factor interest rate FDM solver

• Fdm2dBlackScholesSolver 2D two-asset Black-Scholes solver with cross-gamma

• FdmBatesSolver 2D Bates jump-diffusion FDM solver

• FdmDirichletBoundary fixed-value Dirichlet boundary condition

• FdmDiscountDirichletBoundary discounted Dirichlet boundary condition

• FdmTimeDepDirichletBoundary time-dependent Dirichlet boundary condition

• ExponentialJump1dMesher 1D mesher for exponential jump-diffusion processes

• Glued1dMesher combines two 1D meshers at their boundary

• FdmArithmeticAverageCondition arithmetic average step condition for Asian FDM

• FdmSimpleSwingCondition simple swing option step condition

• NthOrderDerivativeOp Nth-order finite difference derivative operator

• LocalVolRNDCalculator risk-neutral density calculator using local vol and FDM

• BSMRNDCalculator Black-Scholes-Merton risk-neutral density calculator

• GBSMRNDCalculator generalized BSM risk-neutral density calculator (spot space)

• HestonRNDCalculator Heston risk-neutral density calculator

• CEVRNDCalculator CEV risk-neutral density calculator with massAtZero

• SquareRootProcessRNDCalculator square-root (CIR) process RND calculator with stationary distribution methods

Random Number Generators

• MersenneTwisterUniformRng (MT19937) with seed and vector-seed constructors

• SobolRsg low-discrepancy sequence generator with DirectionIntegers enum (10 direction integer sets) and skipTo()

• HaltonRsg Halton low-discrepancy sequence generator

• Burley2020SobolRsg scrambled Sobol sequence generator (Burley 2020 hash-based Owen scrambling) with skipTo()

• BoxMullerGaussianRng Box-Muller Gaussian random number generator

• GaussianRandomGenerator inverse cumulative normal Gaussian RNG

• UniformRandomSequenceGenerator MT-based uniform random sequence generator

• GaussianRandomSequenceGenerator MT-based Gaussian random sequence generator (inverse cumulative)

• GaussianLowDiscrepancySequenceGenerator Sobol-based Gaussian low-discrepancy sequence generator

• SobolBrownianBridgeRsg Sobol quasi-random with Brownian bridge ordering

• Burley2020SobolBrownianBridgeRsg scrambled Sobol with Brownian bridge ordering

• Ordering enum (Factors, Steps, Diagonal) for Sobol Brownian generator ordering

Experimental

• TwoAssetCorrelationOption two-asset correlation option with analytic engine

• AnalyticTwoAssetCorrelationEngine for two-asset correlation option pricing

• VarianceGammaProcess Variance Gamma stochastic process

• VarianceGammaModel Variance Gamma calibrated model

• VarianceGammaEngine analytic Variance Gamma option pricing

• FFTVarianceGammaEngine FFT-based Variance Gamma option pricing

Fixed

• Autodoc class population on Read the Docs by installing the built wheel and removing sys.path hacks that shadowed the installed package

0.4.0 - 2026-02-27

Added

Core

• Forward ABC for forward contracts (in pyquantlib.base) with inspectors (settlementDate, forwardValue, spotValue, spotIncome, impliedYield)

• ForwardTypePayoff for long/short forward payoffs

• FloatingTypePayoff for floating-strike lookback options

Indexes

• EquityIndex with minimal, full Handle, and hidden-handle constructors

Instruments

• BondForward forward contract on a bond with forwardPrice() and cleanForwardPrice()

• NonstandardSwaption option to enter into a nonstandard swap

• FloatFloatSwaption option to enter into a float-float swap

• Callability and CallabilityType enum for call/put schedules

• CallableFixedRateBond and CallableZeroCouponBond

• EquityTotalReturnSwap with IborIndex and OvernightIndex variants

• SoftCallability with trigger level for soft-call provisions

• ConvertibleBond base class with conversionRatio() and callability()

• ConvertibleZeroCouponBond, ConvertibleFixedCouponBond, ConvertibleFloatingRateBond

• Lookback options: ContinuousFloatingLookbackOption, ContinuousFixedLookbackOption, ContinuousPartialFloatingLookbackOption, ContinuousPartialFixedLookbackOption

• CliquetOption cliquet (ratchet) option with periodic resets

• CompoundOption option on an option (mother/daughter)

• SimpleChooserOption and ComplexChooserOption chooser options

• MargrabeOption exchange option with delta1(), delta2(), gamma1(), gamma2()

• ForwardVanillaOption forward-start vanilla option

• QuantoVanillaOption quanto option with qvega(), qrho(), qlambda()

Cash Flows

• Dividend ABC (in pyquantlib.base) for custom dividend implementations

• FixedDividend fixed cash dividend

• FractionalDividend proportional dividend (rate * nominal)

• DividendVector helper to build a sequence of fixed dividends

Pricing Engines

• BinomialConvertibleEngine Tsiveriotis-Fernandes lattice engine for convertible bonds (7 tree types: jr, crr, eqp, trigeorgis, tian, lr, joshi)

• Lookback engines: AnalyticContinuousFloatingLookbackEngine, AnalyticContinuousFixedLookbackEngine, AnalyticContinuousPartialFloatingLookbackEngine, AnalyticContinuousPartialFixedLookbackEngine

• AnalyticCliquetEngine analytic cliquet option engine

• AnalyticCompoundOptionEngine analytic compound option engine

• AnalyticSimpleChooserEngine and AnalyticComplexChooserEngine chooser option engines

• AnalyticEuropeanMargrabeEngine and AnalyticAmericanMargrabeEngine exchange option engines

• ForwardEuropeanEngine and ForwardPerformanceEuropeanEngine forward-start option engines

• QuantoVanillaEngine quanto European option engine with hidden handle constructors

Experimental

• CallableBond ABC (in pyquantlib.base) with OAS, effective duration/convexity, implied volatility

• CallableBondVolatilityStructure ABC (in pyquantlib.base), CallableBondConstantVolatility

• TreeCallableFixedRateBondEngine, TreeCallableZeroCouponBondEngine

• BlackCallableFixedRateBondEngine, BlackCallableZeroCouponBondEngine

0.3.0 - 2026-02-22

Added

Indexes

• Region base class with concrete regions (AustraliaRegion, EURegion, FranceRegion, UKRegion, USRegion, ZARegion) and CustomRegion

• InflationIndex ABC, ZeroInflationIndex ABC, YoYInflationIndex ABC (in pyquantlib.base)

• CPI interpolation struct (AsIndex, Flat, Linear)

• Concrete inflation indexes: USCPI, YYUSCPI, EUHICP, EUHICPXT, YYEUHICP, YYEUHICPXT, UKRPI, YYUKRPI, AUCPI, YYAUCPI, FRHICP, YYFRHICP, ZACPI, YYZACPI

Term Structures

• InflationTermStructure, ZeroInflationTermStructure, YoYInflationTermStructure ABCs (in pyquantlib.base)

• ZeroInflationTermStructureHandle, RelinkableZeroInflationTermStructureHandle, YoYInflationTermStructureHandle, RelinkableYoYInflationTermStructureHandle

• inflationPeriod free function

• Seasonality: Seasonality ABC (in pyquantlib.base), MultiplicativePriceSeasonality, KerkhofSeasonality

• Inflation bootstrap helpers: ZeroInflationHelper, YoYInflationHelper ABCs (in pyquantlib.base), ZeroCouponInflationSwapHelper, YearOnYearInflationSwapHelper

• Interpolated inflation curves: ZeroInflationCurve, YoYInflationCurve (Linear interpolation)

• Piecewise inflation curves: PiecewiseZeroInflationCurve, PiecewiseYoYInflationCurve (Linear interpolation)

• setSeasonality() and seasonality() on InflationTermStructure

• YoY inflation optionlet volatility: YoYOptionletVolatilitySurface ABC (in pyquantlib.base), ConstantYoYOptionletVolatility, YoYOptionletVolatilitySurfaceHandle, RelinkableYoYOptionletVolatilitySurfaceHandle

Cash Flows

• InflationCoupon ABC (in pyquantlib.base)

• ZeroInflationCashFlow for zero-coupon inflation legs

• YoYInflationCoupon and yoyInflationLeg builder

• CappedFlooredYoYInflationCoupon for capped/floored YoY coupons

• InflationCouponPricer ABC (in pyquantlib.base), YoYInflationCouponPricer, BlackYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, BachelierYoYInflationCouponPricer

• setCouponPricer overload for inflation legs

Instruments

• AmortizingFixedRateBond amortizing fixed-rate bond with sinkingSchedule and sinkingNotionals helper functions

• AmortizingFloatingRateBond amortizing floating-rate bond

• CmsRateBond CMS-rate bond linked to a swap index

• CPIBond CPI inflation-linked bond

• ZeroCouponInflationSwap zero-coupon inflation swap

• YearOnYearInflationSwap year-on-year inflation swap

• YoYInflationCapFloor with YoYInflationCap, YoYInflationFloor, YoYInflationCollar convenience classes

• MakeYoYInflationCapFloor builder (C++ binding and Python kwargs wrapper)

• VarianceSwap variance swap instrument

• NonstandardSwap swap with period-dependent nominal and strike

• FloatFloatSwap swap exchanging two floating legs with caps and floors

Pricing Engines

• YoYInflationBlackCapFloorEngine, YoYInflationUnitDisplacedBlackCapFloorEngine, YoYInflationBachelierCapFloorEngine for YoY inflation cap/floor pricing

• ReplicatingVarianceSwapEngine variance swap engine using replicating portfolio

Experimental

• CdsOption option on a credit default swap

• BlackCdsOptionEngine Black-formula CDS option engine

0.2.0 - 2026-02-15

Added

Cash Flows

• CmsCoupon, CmsLeg for Constant Maturity Swap coupons

• MeanRevertingPricer ABC, CmsCouponPricer ABC (in pyquantlib.base)

• LinearTsrPricer with LinearTsrPricerSettings and LinearTsrPricerStrategy

Indexes

• Concrete swap index subclasses: EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EuriborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, EurLiborSwapIfrFix, UsdLiborSwapIsdaFixAm, UsdLiborSwapIsdaFixPm, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, GbpLiborSwapIsdaFix, ChfLiborSwapIsdaFix

Term Structures

• Fitted bond discount curves: FittedBondDiscountCurve, FittingMethod ABC

• Fitting methods: NelsonSiegelFitting, SvenssonFitting, ExponentialSplinesFitting, CubicBSplinesFitting, SimplePolynomialFitting, SpreadFittingMethod

• Swaption volatility: SwaptionVolatilityStructure ABC, ConstantSwaptionVolatility, SwaptionVolatilityDiscrete, SwaptionVolatilityMatrix, SwaptionVolatilityCube, SabrSwaptionVolatilityCube, handles

• Optionlet volatility: OptionletVolatilityStructure ABC, ConstantOptionletVolatility, handles

• Cap/floor term volatility: CapFloorTermVolatilityStructure ABC, CapFloorTermVolSurface

• Optionlet stripping: StrippedOptionletBase ABC, OptionletStripper ABC, OptionletStripper1, StrippedOptionletAdapter

Fixed

• Handle constructors now use shared_ptr_from_python for safe shared_ptr extraction from py::classh types with diamond/virtual inheritance

• Compile-time check enforcing QL_USE_STD_SHARED_PTR; building against QuantLib with boost::shared_ptr caused heap corruption at runtime

0.1.0 - 2026-02-08

Initial release targeting QuantLib 1.40.

Added

Core Infrastructure

• pybind11-based bindings with scikit-build-core

• Cross-platform support (Windows, macOS, Linux)

• Type stub files (.pyi) for IDE support

• CI with GitHub Actions and cibuildwheel

• Sphinx documentation with API reference

Patterns and Utilities

• Observable, Observer, LazyObject base classes

• ObservableValue, Null sentinels

Time Module

• Date, Period, TimeUnit, Weekday, Month, Frequency

• Calendar with implementations (TARGET, UnitedStates, UnitedKingdom, etc.)

• DayCounter with implementations (Actual365Fixed, Actual360, Thirty360, etc.)

• BusinessDayConvention enum

• DateGeneration::Rule enum

• Schedule and MakeSchedule for date generation

Core Module

• Settings singleton for global evaluation date

• InterestRate with compounding conversions

• Compounding enum

• Mathematical and financial constants

• TimeGrid for discretization

• Quote ABC, QuoteHandle, RelinkableQuoteHandle

• CashFlow and Event ABCs

• Index ABC

• Currency, Money, ExchangeRate

• TermStructure ABC

• Exercise styles (European, American, Bermudan)

• PricingEngine ABC, Instrument ABC

• Option ABC with Greeks results

• Payoff ABC

• StochasticProcess, StochasticProcess1D ABCs

• Protection::Side (Buyer, Seller) enum

• CreditDefaultSwap::PricingModel (Midpoint, ISDA) enum

Math Module

• Array and Matrix with NumPy interoperability

• Rounding implementations

• Optimization: EndCriteria, Constraint, LevenbergMarquardt, Problem, CostFunction

• Interpolation: LinearInterpolation, LogLinearInterpolation, BackwardFlatInterpolation, CubicInterpolation

• Distributions: NormalDistribution, CumulativeNormalDistribution, InverseCumulativeNormal, BivariateCumulativeNormalDistribution

• 1-D root-finding solvers: Brent, Bisection, Secant, Ridder, FalsePosition, Newton, NewtonSafe

Market Data

• SimpleQuote, DerivedQuote, CompositeQuote

Currencies

• Major currency definitions (USD, EUR, GBP, JPY, CHF, AUD, CAD, etc.)

• ExchangeRateManager

Cash Flows

• CashFlow, Coupon, FloatingRateCoupon base classes

• SimpleCashFlow, Redemption, AmortizingPayment

• FixedRateCoupon, FixedRateLeg

• FloatingRateCouponPricer ABC, BlackIborCouponPricer

• IborCoupon, IborLeg

• OvernightIndexedCoupon, OvernightLeg

• RateAveraging enum (Simple, Compound)

• Duration::Type enum (Simple, Macaulay, Modified)

• setCouponPricer utility

Indexes

• InterestRateIndex base class

• IborIndex with Euribor family (1W through 1Y)

• Overnight indices: Sofr, Eonia, Estr, Sonia

• SwapIndex, EuriborSwapIsdaFixA

Term Structures

• Yield curves: YieldTermStructure, FlatForward

• Interpolated yield curves: ZeroCurve, DiscountCurve, ForwardCurve

• Bootstrapped yield curves: PiecewiseCubicDiscount, PiecewiseLinearDiscount, PiecewiseLogLinearDiscount, PiecewiseLinearZero, PiecewiseCubicZero, PiecewiseLinearForward, PiecewiseFlatForward (alias for PiecewiseBackwardFlatForward)

• Rate helpers: DepositRateHelper, FraRateHelper, SwapRateHelper, OISRateHelper

• Pillar date choices for bootstrap

• ZeroSpreadedTermStructure

• Black vol: BlackVolTermStructure, BlackConstantVol, BlackVarianceSurface

• Local vol: LocalVolTermStructure, LocalConstantVol, LocalVolSurface, FixedLocalVolSurface, NoExceptLocalVolSurface

• Smile sections: SmileSection ABC, SabrSmileSection, SabrInterpolatedSmileSection

• VolatilityType enum (ShiftedLognormal, Normal)

• Credit: DefaultProbabilityTermStructure, FlatHazardRate

• Credit helpers: SpreadCdsHelper, UpfrontCdsHelper

• Bootstrapped default curves: PiecewiseLogLinearSurvival, PiecewiseFlatHazardRate, PiecewiseBackwardFlatHazard

• All handle types (relinkable and non-relinkable)

Processes

• GeneralizedBlackScholesProcess, BlackScholesProcess, BlackScholesMertonProcess

• HestonProcess, BatesProcess

• StochasticProcessArray

• EulerDiscretization

Models

• CalibratedModel ABC, AffineModel ABC

• HestonModel, HestonModelHandle, PiecewiseTimeDependentHestonModel

• BatesModel

• Short-rate models: Vasicek, HullWhite, BlackKarasinski

• Two-factor models: G2

• SwaptionHelper for model calibration

Instruments

• Bonds: Bond, FixedRateBond, ZeroCouponBond, FloatingRateBond

• Swaps: Swap, FixedVsFloatingSwap, VanillaSwap, OvernightIndexedSwap, ZeroCouponSwap

• Swap builders: MakeVanillaSwap, MakeOIS

• Options: VanillaOption, EuropeanOption, BasketOption

• Barrier options: BarrierOption, DoubleBarrierOption with type enums

• Asian options: AsianOption with AverageType enum

• Swaptions: Swaption, MakeSwaption

• Cap/Floor: CapFloor, MakeCapFloor

• Credit: CreditDefaultSwap, cdsMaturity helper

• ForwardRateAgreement

• AssetSwap

• CompositeInstrument

• Payoffs: PlainVanillaPayoff, CashOrNothingPayoff, AssetOrNothingPayoff, basket payoffs

Pricing Engines

• European: AnalyticEuropeanEngine, MCEuropeanEngine, IntegralEngine

• American: BaroneAdesiWhaleyApproximationEngine, BjerksundStenslandApproximationEngine, FdBlackScholesVanillaEngine, BinomialVanillaEngine, MCAmericanEngine, QdFpAmericanEngine

• Heston/Bates: AnalyticHestonEngine, BatesEngine

• Stochastic rates: AnalyticBlackVasicekEngine

• Spread: KirkEngine, BjerksundStenslandSpreadEngine, OperatorSplittingSpreadEngine

• Basket: MCEuropeanBasketEngine, DengLiZhouBasketEngine, StulzEngine, Fd2dBlackScholesVanillaEngine

• Barrier: AnalyticBarrierEngine, AnalyticDoubleBarrierEngine, FdBlackScholesBarrierEngine

• Asian: AnalyticContinuousGeometricAveragePriceAsianEngine, AnalyticDiscreteGeometricAveragePriceAsianEngine, MCDiscreteArithmeticAPEngine, TurnbullWakemanAsianEngine

• Swaption: TreeSwaptionEngine, JamshidianSwaptionEngine, G2SwaptionEngine, FdHullWhiteSwaptionEngine, FdG2SwaptionEngine, BlackSwaptionEngine, BachelierSwaptionEngine

• Cap/Floor: BlackCapFloorEngine, BachelierCapFloorEngine

• Bond: DiscountingBondEngine, BondFunctions (static analytics)

• Swap: DiscountingSwapEngine

• Credit: MidPointCdsEngine, IsdaCdsEngine

• Utility: blackFormula, blackFormulaImpliedStdDev, GenericModelEngine

Methods

• Finite difference infrastructure (FdmBackwardSolver)

Experimental

• SviSmileSection (SVI volatility smile parameterization)

Python Extensions

• ModifiedKirkEngine (pure Python spread option engine)

• SviSmileSection (pure Python SVI implementation)

Notes

• Requires QuantLib 1.40+ built as static library with std::shared_ptr

• API is subject to change during beta period

• QdFpAmericanEngine has a known issue on Windows (access violation during calculate())