Changes for QuantLib 1.44

=========================

As announced, it is no longer possible to choose the Boost implementation of `any` and `optional`. Only the `std` implementation can be used.

Features deprecated in release 1.39 were removed in this release; see <lballabio#2659> for a full list.

A number of features were deprecated in this release and will be removed in a future release (probably release 1.49):

- The `ext::any` and `ext::any_cast` aliases; use `std::any` and `std::any_cast`.
- The `ext::optional` and `ext::nullopt` aliases; use `std::optional` and `std::nullopt`.
- The constructor of `MakeCapFloor` taking a strike and/or a forward start; use the other constructor plus the `withStrike` and/or `withForwardStart` methods.
- The constructors of `MakeCms` taking a spread and/or a forward start; use the other constructor plus the `withIborSpread` and/or `withForwardStart` methods.
- The constructors of `MakeOIS` taking a fixed rate and/or a forward start; use the other constructor plus the `withFixedRate` and/or `withForwardStart` methods.
- The constructors of `MakeVanillaSwap` taking a fixed rate and/or a forward start; use the other constructor plus the `withFixedRate` and/or `withForwardStart` methods.
- The constructors of `InverseCumulativeStudent` taking an accuracy and/or a number of iterations, now unused; use the other constructor.
- The unused `nominalTermStructure_` data member of `ZeroCouponInflationSwapHelper`.
- The `Italy::Exchange` element of the `Italy::Market` enumeration; the exchange follows the TARGET calendar.
- The `QL_DEPRECATED` macro; use `[[deprecated("message")]]` and suggest an alternative in the message.

We were still able to test this release with Visual C++ 2017.  Due to limitations of our available CI environments, this might not be the case for future releases.

Finally, in a couple of release we will be changing the default of the` QL_NULL_AS_FUNCTIONS` macro from undefined to defined.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release page at <https://github.com/lballabio/QuantLib/releases/tag/v1.44>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.43

=========================

Features deprecated in release 1.38 were removed in this release; see <lballabio#2539> for a full list.

A number of features were deprecated in this release and will be removed in a future release (probably release 1.48):

- The `AsIndex` element of the `CPI::InterpolationType` enumeration; use either `Linear` or `Flat`.
- The `YoYInflationIndex::interpolated` method and the corresponding `interpolated_` data member; indexes no longer interpolate, coupons do.
- The `Settlement` element of the `Israel::Market` enumeration; use an explicit market (TASE, Shir or Telbor).
- Test selection based on speed (that is, passing `--slow`, `--fast` or `--faster` to the test suite) is no longer supported.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release page at <https://github.com/lballabio/QuantLib/releases/tag/v1.43>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.42.1

===========================

This is a bug-fix release removing a regression in the `Gsr` class possibly leading to an infinite notification loop.  Thanks to Aleksis Ali Raza for the heads-up.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release page at <https://github.com/lballabio/QuantLib/releases/tag/v1.42.1>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.42

=========================

Removals and deprecations
-------------------------

Features deprecated in release 1.37 were removed in this release; see <lballabio#2424> for a full list.

A number of features were deprecated in this release and will be removed in a future release (probably release 1.47):

- The overloads of `CashFlows::npv`, `BondFunctions::cleanPrice` and `BondFunctions::dirtyPrice` taking a z-spread and a day-count convention; use the overload without a day counter.
- The overloads of `CashFlows::zSpread` and `BondFunctions::zSpread` taking a day-count convention; use the overload without a day counter.
- The `DefaultLogCubic` and `LogMixedLinearCubic` interpolators; use `KrugerLog` and `KrugerLogMixedLinearCubic` instead.
- The `NeumannBC`, `DirichletBC`, `CrankNicolson`, `DMinus`, `DPlus`, `DPlusDMinus`, `DZero`, `ExplicitEuler`, `ImplicitEuler` and `MixedScheme` classes; use the new finite-difference framework instead.
- The `ForwardRateStructure` adapter class; inherit from `ZeroYieldStructure` instead (you should implement `zeroYieldImpl` anyway).
- The `ql/experimental/volatility/zabr.hpp` header; include `<ql/termstructures/volatility/zabr.hpp>` instead.
- The `ql/experimental/volatility/zabrinterpolatedsmilesection.hpp` header; include `<ql/termstructures/volatility/zabrinterpolatedsmilesection.hpp>` instead.
- The `ql/experimental/volatility/zabrinterpolation.hpp` header; include `<ql/math/interpolations/zabrinterpolation.hpp>` instead.
- The `ql/experimental/volatility/zabrsmilesection.hpp` header; include `<ql/termstructures/volatility/zabrsmilesection.hpp>` instead.
- The now empty `ql/experimental/exoticoptions/kirkspreadoptionengine.hpp`, `ql/experimental/exoticoptions/spreadoption.hpp`, `ql/grid.hpp`, `ql/math/transformedgrid.hpp`, `ql/methods/finitedifferences/bsmoperator.hpp`, `ql/methods/finitedifferences/pde.hpp` and `ql/methods/finitedifferences/pdebsm.hpp` headers.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release page at <https://github.com/lballabio/QuantLib/releases/tag/v1.42>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.41

=========================

Removals and deprecations
-------------------------

Features deprecated in release 1.36 were removed in this release; see
<lballabio#2348> for a full list.

A number of features were deprecated in this release and will be
removed in a future release:

- The `ZeroInflationTermStructure::zeroRate` and
  `YoYInflationTermStructure::yoyRate` overloads taking an observation
  lag; if needed, use the other overloads instead (but you should go
  through the corresponding indexes anyway).
- The constructors of
  `InterpolatedPiecewiseForwardSpreadedTermStructure`,
  `InterpolatedPiecewiseZeroSpreadedTermStructure` and
  `ZeroSpreadedTermStructure` taking a day counter; use another
  constructor instead.
- The `ContinuousArithmeticAsianLevyEngine` constructor taking a start
  date; use the other constructor and pass the start date to the
  option instead.
- The `ql/functional.hpp` header; use `#include <functional>` instead.
- The `ql/tuple.hpp` header; use `#include <tuple>` instead.
- The now empty `ql/experimental/averageois/arithmeticaverageois.hpp`,
  `ql/experimental/averageois/arithmeticoisratehelper.hpp`,
  `ql/experimental/averageois/makearithmeticaverageois.hpp`,
  `ql/experimental/risk/creditriskplus.hpp` and
  `ql/experimental/risk/sensitivityanalysis.hpp` headers.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release
page at <https://github.com/lballabio/QuantLib/releases/tag/v1.41>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.40

=========================

Removals and deprecations
-------------------------

Features deprecated in release 1.35 were removed in this release; see
<lballabio#2268> for a full list.

A number of features were deprecated in this release and will be
removed in a future release:

- The overload of the `RangeAccrualFloatersCoupon` constructor taking
  a `shared_ptr` to a schedule; use the other overload instead.
- The method `observationsSchedule` of the same class; use
  `observationSchedule` instead.
- The `<ql/experimental/fx/blackdeltacalculator.hpp>` and
  `ql/experimental/fx/deltavolquote.hpp` headers; use
  `<ql/pricingengines/blackdeltacalculator.hpp>` and
  `<ql/quotes/deltavolquote.hpp>` instead.
- The overload of the `CPIBond` and `CPIBondHelper` constructors
  taking the `growthOnly` parameter; use the other overload instead.
- The methods `cumD1`, `cumD2`, `nD1` and `nD2` of the
  `BlackDeltaCalculator` class; they are internal methods and will be
  moved to the private section.
- The `BlackDeltaPremiumAdjustedSolverClass` and
  `BlackDeltaPremiumAdjustedMaxStrikeClass`; they were used in the
  implementation of `BlackDeltaCalculator` but are now obsolete.
- The `BootstrapError` class template; use a lambda instead (see
  <lballabio#2263> for an example).
- The `PenaltyFunction` class; use `SimpleCostFunction` instead.
- The `Tona` index was renamed to `Tonar`; use the latter instead.

Full list of pull requests
--------------------------

All the pull requests merged in this release are listed on its release
page at <https://github.com/lballabio/QuantLib/releases/tag/v1.40>.

The list of commits since the previous release is available in `ChangeLog.txt`.

Changes for QuantLib 1.39:

==========================

QuantLib 1.39 includes 28 pull requests from several contributors.

Some of 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/37?closed=1>.

Portability
-----------

- **Bug in recent Visual C++ versions**: a few recent version of the
  Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug
  that, unfortunately, affected QuantLib heavily and maed it basically
  unusable.  A fix was released in version 17.14.9; if you’re
  compiling QuantLib on Windows, make sure you're using at least that
  version (or, if you can't upgrade, use the Visual C++ 2019 toolset;
  you can do that from VC++ 2022, as well).

- **Change of default:** as already announced, in this release we're
  switching the default for `ext::any` and `ext::optional` from the
  Boost implementation to the standard one.  Using `boost::any` and
  `boost::optional` is still possible for the time being but
  deprecated.

Dates, calendars and day-count conventions
------------------------------------------

- Fixed a corner case of `Calendar::advance` when using EOM and the
  unadjusted business-day convention; thanks to Eugene Toder (@eltoder).

- Fixed an error when asking for the serial number of a null date with
  intraday support enabled (@lballabio); thanks to @UnitedMarsupial
  for the heads-up.

- Added the SHIR fixing calendar (@lballabio).

- Fixed the order of operations in the 30/360 USA day-count
  convention; thanks to Eugene Toder (@eltoder).

Indexes
-------

- Added the SARON index; thanks to Paolo D'Elia (@paolodelia99).

- Added a `CustomIborIndex` class that allows to create an IBOR-like
  index with custom calendars for value and maturity dates
  calculations; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines
-------------------------------

- The `MakeOIS` class now knows the default number of settlement days
  for a few currencies; thanks to Zak Kraehling (@7astro7).

Interest rates
--------------

- The `FxSwapRateHelper` class can now be built specifying fixed dates
  instead of a tenor; thanks to Eugene Toder (@eltoder).

- A number of helpers can now take quoted rates either as numbers or
  `Handle<Quote>` via the use of `std::variant`; this reduces the
  number of overloaded constructors and in some cases allows the use
  of keyword arguments when exported to Python.  Thanks to Paolo
  D'Elia (@paolodelia99) and Eugene Toder (@eltoder).

- The `OISRateHelper` class can now specify a calendar for the
  overnight leg; thanks to Eugene Toder (@eltoder).

- The `ZeroCouponInflationSwapHelper` class now doesn't need to be
  passed a nominal curve, which wouldn't affect the results anyway
  (@lballabio).

Volatility
----------

- Optionlet stripperes can now use overnight indexes; thanks to Paolo
  D'Elia (@paolodelia99).

- Added calculation of better guesses for SABR calibration as detailed
  in the Le Floc'h and Kennedy paper (@lballabio).

Deprecated features
-------------------

- **Removed** features deprecated in version 1.34:
  - the overloads of `Bond::yield`, `BondFunctions::atmRate`,
    `BondFunctions::yield` and `BondFunctions::zSpread` taking a price
    as a `Real` instead of a `Bond::Price` instance;
  - the `Swaption::underlyingSwap` and
    `SwaptionHelper::underlyingSwap` methods;
  - the constructors of `InflationTermStructure`,
    `ZeroInflationTermStructure`, `YoYInflationTermStructure`,
    `InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
    `PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
    taking an observation lag;
  - the overload of `InflationTermStructure::setSeasonality` taking no arguments;
  - the `InflationTermStructure::setBaseRate` method;
  - the `fixedRateBond` method and `fixedRateBond_` data member of the
    `FixedRateBondHelper` class, and the `cpiBond` method and
    `cpiBond_` data member of the `CPIBondHelper` class.

- Deprecated the `observationLag` and `hasExplicitBaseDate` methods
  and the `observationLag_` data member of the
  `InflationTermStructure` class; inflation term structures always
  have an explicit base date now.

- Deprecated the usage of `boost::any` and `boost::optional`; their
  standard counterparts are used by default now.

- Deprecated the constructor of `ZeroCouponInflationSwapHelper` taking
  a nominal curve; use the other constructor instead.

**Thanks go also** to Imrane Amri (@raneamri), Ralf Konrad Eckel
(@ralfkonrad), Joan Carlos Naftanaila (@MiDDiz), Eugene Toder
(@eltoder), Paolo D'Elia (@paolodelia99) and Holger Rother (@hrother)
for miscellaneous smaller fixes, improvements or reports.

Changes for QuantLib 1.38:

==========================

QuantLib 1.38 includes 29 pull requests from several contributors.

Some of 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/36?closed=1>.

Portability
-----------

- **Future change of default:** as already announced, in the next
  release we're going to switch the default for `ext::any` and
  `ext::optional` from the Boost implementation to the standard one.
  Using `boost::any` and `boost::optional` is still possible
  for the time being but deprecated.

- **Possible future breaking change**: in the next release, the
  `SimpleQuote` class might be made `final`.  If you're inheriting
  from it, drop us a line.

Dates and calendars
-------------------

- The `Schedule` class now honors the passed business day convention
  when end-of-month is enabled (@lballabio).  Previously, enabling
  end-of-month caused it to always use the Modified Following
  convention.

- Added Chinese holidays for 2025; thanks to Cheng Li (@wegamekinglc).

- Added Thailand holidays for 2025; thanks to Paolo D'Elia
  (@paolodelia99).

- Added Hong Kong holidays for 2025; thanks to Ka Wai Lee (@kawailee).

Indexes
-------

- Year-or-year inflation indexes can (and should) now be built without
  an `interpolated` flag (@lballabio).  As for zero inflation indexes,
  the interpolation was moved into the coupons using the indexes.

- Fixed obsolete conventions for the (now discountinued) EUR LIBOR
  index; thanks to Eugene Toder (@eltoder).

Instruments and pricing engines
-------------------------------

- Added implementation of partial-time barrier put options; thanks to
  Paolo D'Elia (@paolodelia99).

- The `OvernightIndexFuture` class would not receive notifications
  when the convexity quote or the evaluation date changed; this is now
  fixed.  Thanks to Eugene Toder (@eltoder).

- The experimental `BlackCallableFixedRateBondEngine` wouldn't take
  discount correctly into account when evaluation the embedded option;
  this is now fixed.  Thanks to @RobertS548 for the heads-up.

- Moved a few instruments and engines from the experimental folder to
  the core library (@lballabio):
  - `HolderExtensibleOption` and `AnalyticHolderExtensibleOptionEngine`;
  - `WriterExtensibleOption` and `AnalyticWriterExtensibleOptionEngine`;
  - `PartialTimeBarrierOption` and `AnalyticPartialTimeBarrierOptionEngine`;
  - `TwoAssetBarrierOption` and `AnalyticTwoAssetBarrierEngine`;
  - `TwoAssetCorrelationOption` and ``AnalyticTwoAssetCorrelationEngine`;
  - `ContinuousArithmeticAsianLevyEngine`;
  - `AnalyticPDFHestonEngine`.

Term structures
---------------

- The `DepositRateHelper` and `FraRateHelper` classes can now be built
  specifying fixed dates instead of a tenor; thanks to Eugene Toder
  (@eltoder).

- The cross-currency basis-swap rate helpers can now be passed an
  overnight index and a corresponding payment frequency; it is also
  possible to pass a payment lag.  Thanks to @kp9991-git.

- The additional penalty functions passed to the `GlobalBootstrap`
  class can now take the curve nodes as arguments; thanks to Eugene
  Toder (@eltoder).  This makes it possible, for example, to penalize
  gradients to make the curve smoother.  It is also possible to
  specify additional variables to be optimized, e.g., futures
  convexity adjustments.

- Added a piecewise forward-spreaded term structure; thanks to
  Paolo D'Elia (@paolodelia99).

Deprecated features
-------------------

- **Removed** features deprecated in version 1.33:
  - the constructors of `Currency` and `Currency::Data` taking a
    format string, the `format` method of the `Currency` class and the
    `formatString` data member of `Currency::Data`.

- Deprecated the constructors of year-on-year inflation indexes taking
  an `interpolated` argument; use the other constructors instead.

- Deprecated the header files in `ql/experimental/exoticoptions` for
  some classes moved to the core library (see above); use the
  corresponding new headers in `ql/instruments` and
  `ql/pricingengines` instead.

**Thanks go also** to Eugene Toder (@eltoder), Konstantin Novitsky
(@novitk), Tomas Kalibera (@kalibera) and @raneamri for miscellaneous
smaller fixes, improvements or reports.

Changes for QuantLib 1.37:

==========================

QuantLib 1.37 includes 27 pull requests from several contributors.

Some of 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/35?closed=1>.

Portability
-----------

- **Future change of default:** as already announced, in the next
  release we're going to switch the default for `ext::any` and
  `ext::optional` from the Boost implementation to the standard one.

Dates and calendars
-------------------

- Added closure for President Carter's funeral to the NYSE calendar;
  thanks to Dirk Eddelbuettel (@eddelbuettel).

- Added distinct Wellington and Auckland variants for New Zealand
  calendar (@lballabio).

Indexes
-------

- Improved the performance of the `addFixing` and `addFixings` method
  in the `Index` class; thanks to Peter Caspers (@pcaspers).

- Added the KOFR index; thanks to Jongbong An (@jongbongan).

Instruments and pricing engines
-------------------------------

- Added Choi pricing engine for Asian options; thanks to Klaus
  Spanderen (@klausspanderen).

- Passing a risk-free overnight index to an asset swap now implies
  using OIS-like coupons (@lballabio).

- Added Bjerksund-Stensland, Operator-Splitting, Deng-Li-Zhou, Choi
  and n-dim PDE engines for spread options; thanks to Klaus Spanderen
  (@klausspanderen).

- Deng-Li-Zhou, Choi and n-dim PDE engines for basket options; thanks
  to Klaus Spanderen (@klausspanderen).

Term structures
---------------

- **Possibly breaking**: better upper and lower bounds for global
  bootstrap; thanks to Eugene Toder (@eltoder).  If you created your
  own bootstrap traits, you'll need to add `transformDirect` and
  `transformInverse` methods for them to work with the `GlobalBootstrap`
  class.

- Fitted bond curves can now be passed precomputed parameters without
  the need for bond helpers (@lballabio).

- Use correct guess in SABR swaption vol cube (@lballabio).

- OIS rate helpers can now be passed a date-generation rule; thanks to
  Sotirios Papathanasopoulos (@sophistis42).

- Swap rate helpers can now be passed explicit start and end dates;
  thanks to Eugene Toder (@eltoder).

- OIS rate helpers can now be passed explicit start and end dates,
  making a distinct `DatedOISRateHelper` class unnecessary; thanks to
  Eugene Toder (@eltoder).

Cash flows
----------

- Added new `MultipleResetsCoupon` and `MultipleResetsLeg` classes to
  manage coupons with multiple resets (@lballabio).  They fix and
  replace `SubPeriodsCoupon` and `SubPeriodsLeg`.

Deprecated features
-------------------

- **Removed** features deprecated in version 1.32:
  - the `FixedRateBondForward` class;
  - the `SampledCurve` and `SampledCurveSet` classes;
  - the `StepConditionSet` and `BoundaryConditionSet` classes;
  - the `ParallelEvolver` and `ParallelEvolverTraits` classes;
  - the `FDVanillaEngine` and `FDMultiPeriodEngine` classes;
  - the `BSMTermOperator`, `StandardFiniteDifferenceModel`,
    `StandardSystemFiniteDifferenceModel` and `StandardStepCondition`
    typedefs;
  - the `QL_NULL_FUNCTION` macro;
  - the overloads of `DigitalCmsLeg::withReplication` ,
    `DigitalCmsSpreadLeg::withReplication` and
    `DigitalIborLeg::withReplication` taking no arguments;
  - the empty headers `analyticamericanmargrabeengine.hpp`,
    `analyticcomplexchooserengine.hpp`,
    `analyticcomplexchooserengine.hpp`,
    `analyticcompoundoptionengine.hpp`,
    `analyticeuropeanmargrabeengine.hpp`,
    `analyticsimplechooserengine.hpp`, `complexchooseroption.hpp`,
    `compoundoption.hpp`, `margrabeoption.hpp` and
    `simplechooseroption.hpp` in the `ql/experimental/exoticoptions`
    folder;
  - the empty header `ql/experimental/termstructures/multicurvesensitivities.hpp`;
  - the empty headers `pdeshortrate.hpp` and `shoutcondition.hpp` in
    the `ql/methods/finitedifferences` folder;
  - the empty header `ql/models/marketmodels/duffsdeviceinnerproduct.hpp`;
  - the empty headers `fdconditions.hpp`, `fddividendengine.hpp` and
    `fdstepconditionengine.hpp` in the `ql/pricingengines/vanilla`
    folder.

- Deprecated the `SubPeriodsCoupon`, `SubPeriodsPricer`,
  `AveragingRatePricer` and `CompoundingRatePricer` classes; renamed
  to `MultipleResetsCoupon`, `MultipleResetsPricer`,
  `AveragingMultipleResetsPricer` and
  `CompoundingMultipleResetsPricer`, respectively.

- Deprecated the `SubPeriodsLeg` class; use `MultipleResetsLeg` instead.

- Deprecated the `MultipleResetsCoupon` constructor without a reset
  schedule; use the other constructor.

- Deprecated the `calendar`, `price`, `addQuote`, `addQuotes`,
  `clearQuotes`, `isValidQuoteDate` and `quotes` methods in the
  `CommodityIndex` class; use `fixingCalendar`, `fixing`, `addFixing`,
  `addFixings`, `clearFixings`, `isValidFixingDate` and `timeSeries`
  instead.

- Deprecated the experimental `SpreadOption` and `KirkSpreadOptionEngine`
  classes; use `BasketOption` and `KirkEngine` instead.

- Deprecated the `TransformedGrid` and `LogGrid` classes and the
  `CenteredGrid`, `BoundedGrid` and `BoundedLogGrid` functions; use
  the new FD framework instead.

- Deprecated the `PdeOperator` and `BSMOperator` classes; use the new
  FD framework instead.

- Deprecated the `PdeSecondOrderParabolic`, `PdeConstantCoeff`,
  `PdeBSM` and `GenericTimeSetter` classes; use the new FD framework
  instead.

- Deprecated the `hasHistory`, `getHistory`, `clearHistory`,
  `hasHistoricalFixing` and `setHistory` in the `IndexManager` class;
  use `Index::hasHistoricalFixing`, `Index::timeSeries`,
  `Index::clearFixings`, `Index::hasHistoricalFixing` and
  `Index::addFixings` instead.

- Deprecated the `notifier` method in the `IndexManager` class;
  register with the relevant index instead.

- Deprecated one of the `AssetSwap` constructors; use the other overload.

- Deprecated the `fcn` and `jacFcn` methods in the
  `LevenbergMarquardt` class; they are for internal use only.

- Deprecated the `indexIsInterpolated` parameter in YoY inflation
  curve constructors; use another overload.  Fixings will be
  interpolated by coupons instead, so curves and indexes will only be
  asked for fixing at the start of a month.

- Deprecated the `indexIsInterpolated` method and the
  `indexIsInterpolated_` data member in the
  `YoYInflationTermStructure` class.

- Deprecated the `DatedOISRateHelper` class; use `OISRateHelper`
  instead.

**Thanks go also** to Eugene Toder (@eltoder), Ben Watson (@sonben)
and the XAD team (@auto-differentiation-dev) for miscellaneous
smaller fixes, improvements or reports.

Changes for QuantLib 1.36:

==========================

QuantLib 1.36 includes 34 pull requests from several contributors.

Some of 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/34?closed=1>.

Portability
-----------

- **New minimum C++ standard:** starting from this release, a compiler
  supporting C++17 is required.  Passing `--enable-std-classes` to
  `configure` now causes `std::any` and `std::optional` to be used.

- **End of support:** related to the above, and as announced since
  release 1.32, this release drops support Visual C++ 2015, g++ up to
  version 6.x, and clang up to version 4.  Also, given the testing
  environments available on GitHub actions, clang 5 and 6 are no
  longer available to us for testing, and the same holds for g++ 7.
  Therefore, it is suggested to upgrade to a newer version if
  possible.

- **End of support:** this release also removes the configure switch
  that allowed to use `boost::tuple`, `boost::function` and
  `boost::bind` instead of their `std` counterparts; the `std` classes
  were already the default since release 1.32.  The corresponding
  classes in the `ext` namespace are now deprecated.

- **Future change of default:** in a couple of releases, we're going
  to switch the default for `ext::any` and `ext::optional` from the
  Boost implementation to the standard one.

Dates and calendars
-------------------

- Added `startOfMonth` and `isStartOfMonth` methods to both `Date` and
`Calendar`; thanks to Francois Botha (@igitur).

- Added specialized Warsaw Stock Exchange (WSE) calendar to Poland;
  thanks to Marcin Bogusz (@marcinfair).

- Added a new one-off holiday to South Korean calendar; thanks to
  Jongbong An (@jongbongan).

Cash flows
----------

- Made` OvernightIndexedCouponPricer` public and renamed to
  `CompoundingOvernightIndexedCouponPricer`, and moved
  `ArithmeticAveragedOvernightIndexedCouponPricer` from experimental
  to core library; thanks to Ralf Konrad Eckel (@ralfkonrad).

Indexes
-------

- **Possibly breaking:** inherited the `Index` class from `Observer`
  and added a virtual `pastFixing` method.  If you inherited a class
  from both `Index` and `Observer`, change your code to avoid
  inheriting twice from `Observer`.  Thanks to Ralf Konrad Eckel
  (@ralfkonrad).

- Added currency information to `EquityIndex`; thanks to Ralf Konrad
  Eckel (@ralfkonrad).

Inflation
---------

- Inflation indexes are now better at deciding when to forecast
  (@lballabio); also added a `needsForecast` method that makes the
  information available.

- Added `CPI::laggedYoYRate`; also, `YoYInflationCoupon`,
  `yoyInflationLeg`, `CappedFlooredYoYInflationCoupon`,
  `YearOnYearInflationSwap`, `MakeYoYInflationCapFloor`,
  `YearOnYearInflationSwapHelper`, `YoYOptionletHelper` and the
  experimental `YoYCapFloorTermPriceSurface` and
  `InterpolatedYoYCapFloorTermPriceSurface` can now take an explicit
  `CPI::InterpolationType` parameter instead of relying on the index
  being defined as interpolated or not (@lballabio).  This is a first
  step in removing interpolation from `YoYInflationIndex` and moving
  it into the coupons where it belongs.

- Added method to YoY inflation index returning the date of the last
  available fixing (@lballabio).

Term structures
---------------

- Allow passing a pricer to the constructor of the `OISRateHelper` and
  `DatedOISRateHelper` classes (@lballabio); this makes it possible to
  use arithmetic averaging of overnight rates.

- Allow custom constraint in non-linear fitting methods; thanks to Kai
  Lin (@klin333).

- Allow creating a swap helper with frequency "Once" (@lballabio).

- The `GlobalBootstrap` constructor can now take an optional optimizer
  and end criteria, allowing for better configuration; thanks to
  Eugene Toder (@eltoder).

Volatility
----------

- Added exact Bachelier implied-vol formula from Jäckel's paper; thanks
  to Peter Caspers (@pcaspers).

Deprecated features
-------------------

- **Removed** features deprecated in version 1.31:
  - the `BlackVanillaOptionPricer` typedef;
  - the constructors of `CPICoupon` taking a `spread` parameter, its
    `spread` method, and its protected `spread_` data member;
  - the `withSpreads` method of `CPILeg`;
  - the protected `adjustedFixing` method and `spread_` data member of
    `CPICouponPricer`;
  - the `YYAUCPIr`, `YYEUHICPr`, `YYFRHICPr`, `YYUKRPIr`, `YYUSCPIr`
    and `YYZACPIr` indexes and the experimental `YYGenericCPIr` class;
  - the constructor of `YoYInflationIndex` taking a `ratio` parameter;
  - a couple of constructors of `ForwardRateAgreement`;
  - the empty files `ql/math/curve.hpp`, `ql/math/lexicographicalview.hpp`,
    `ql/termstructures/yield/drifttermstructure.hpp`
    and `ql/patterns/composite.hpp`;
  - the `const_iterator` and `const_value_iterator` typedefs in the
    `Garch11` class;
  - the `const_time_iterator`, `const_value_iterator`,
    `const_reverse_time_iterator` and `const_reverse_value_iterator`
    typedefs and the `cbegin_values`, `cend_values`, `crbegin_values`,
    `crend_values`, `cbegin_time`, `cend_time`, `crbegin_time` and
    `crend_time` methods of the `TimeSeries` class;
  - the `base`, `increment`, `decrement`, `advance` and `distance_to`
    method of the `step_iterator` class.

- Deprecated `ext::function`, `ext::bind`, `ext::ref`, `ext::cref`,
  `ext::placeholders`, `ext::tuple`, `ext::make_tuple`, `ext::get` and
  `ext::tie`; use the corresponding `std::` classes and functions
  instead.

- Deprecated the `ArithmeticAverageOIS`, `MakeArithmeticAverageOIS`
  and `ArithmeticOISRateHelper` classes; use `OvernightIndexedSwap`,
  `MakeOIS` and `OISRateHelper` instead.

- Deprecated the `YoYInflationCoupon`, `yoyInflationLeg`,
  `CappedFlooredYoYInflationCoupon`, `YearOnYearInflationSwap`,
  `MakeYoYInflationCapFloor`, `YearOnYearInflationSwapHelper`,
  `YoYOptionletHelper`, `YoYCapFloorTermPriceSurface` and
  `InterpolatedYoYCapFloorTermPriceSurface` constructors that don't
  take an explicit CPI interpolation type.

- Deprecated the `getInfo` method of `LevenbergMarquardt`; inspect the
  result of `minimize` instead.

- Deprecated the
  `ql/experimental/averageois/averageoiscouponpricer.hpp` file;
  include `ql/cashflows/overnightindexedcouponpricer.hpp` instead.

- Deprecated the somewhat out-of-scope and experimental
  `CreditRiskPlus`, `SensitivityAnalysis`, `aggregateNPV`,
  `parallelAnalysis` and `bucketAnalysis`.

**Thanks go also** to Jonathan Sweemer (@sweemer), Eugene Toder
 (@eltoder), Ralf Konrad Eckel (@ralfkonrad), Tony Wang (@twan3617)
 and the XAD team (@auto-differentiation-dev) for miscellaneous
 smaller fixes, improvements or reports.