This release contains 61 fixed issues, 9 of which are bug fixes.
The key features are:
- Refactor CDS: #1466, #1474
- Caplet stripping, direct and SABR: #1448, #1422
- Enhance CalculationListener: #1454, #1455, #1458
- Remove Easter Monday from CATO calendar: #1440
- Add inflation seasonality in curves: #1465
- Smith-Wilson method: #1484
- Add holidays and indices for CZK, ZAR, HUF, MXN, BRL and DKK-CIBOR2-DKNA13: #1428, #1429, #1445, #1435, #1491
- Enhance indices, FloatingRateName and enum lookup: #1438, #1442, #1436
- Allow base sensitivity to be split: #1424
- Interpolator calculations supplied on demand: #1463, #1464
- Add support for overriding first fixing offset and first rate: #1447, #1453
See the release notes for information on compatibility.
Feel free to give us feedback or ask a question in the forums1.