pyquantlib 0.9.0__tar.gz → 0.10.0__tar.gz

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/ISSUE_TEMPLATE/bug_report.md

@@ -12,7 +12,7 @@ assignees: ''
 ## Environment
 - **OS**: <!-- e.g., macOS 14, Ubuntu 24.04, Windows 11 -->
 - **Python**: <!-- e.g., 3.11.5 -->
-- **QuantLib**: <!-- e.g., 1.43 (source) -->
+- **QuantLib**: <!-- e.g., 1.44 (source) -->
 - **PyQuantLib**: <!-- e.g., 0.1.0 or commit hash -->
 
 ## Steps to Reproduce

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/scripts/build-quantlib-windows.ps1

@@ -3,7 +3,7 @@
 #
 # Expects environment variables:
 #   BOOST_VERSION       (e.g. "1.86.0")
-#   QUANTLIB_VERSION    (e.g. "1.43")
+#   QUANTLIB_VERSION    (e.g. "1.44")
 
 $ErrorActionPreference = 'Stop'
 

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/workflows/docs.yml

@@ -16,7 +16,7 @@ name: Docs
 # release are missing from the live site until the next release ships.
 
 env:
-  QUANTLIB_VERSION: "1.43"
+  QUANTLIB_VERSION: "1.44"
 
 on:
   workflow_dispatch:

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/workflows/linux.yml

@@ -29,7 +29,7 @@ on:
       - ".github/workflows/linux.yml"
 
 env:
-  QUANTLIB_VERSION: "1.43"
+  QUANTLIB_VERSION: "1.44"
 
 jobs:
   build:
@@ -37,7 +37,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10", "3.11", "3.12", "3.13"]
+        python-version: ["3.10", "3.11", "3.12", "3.13", "3.14"]
 
     steps:
       - uses: actions/checkout@v4

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/workflows/macos.yml

@@ -29,7 +29,7 @@ on:
       - ".github/workflows/macos.yml"
 
 env:
-  QUANTLIB_VERSION: "1.43"
+  QUANTLIB_VERSION: "1.44"
 
 jobs:
   build:
@@ -37,7 +37,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10", "3.11", "3.12", "3.13"]
+        python-version: ["3.10", "3.11", "3.12", "3.13", "3.14"]
 
     steps:
       - uses: actions/checkout@v4

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/workflows/wheels.yml

@@ -19,7 +19,7 @@ on:
     types: [published]
 
 env:
-  QUANTLIB_VERSION: "1.43"
+  QUANTLIB_VERSION: "1.44"
   BOOST_VERSION: "1.86.0"
 
 jobs:
@@ -29,7 +29,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [ubuntu-latest, windows-latest, macos-14]
+        os: [ubuntu-latest, windows-latest, macos-15]
 
     steps:
       - uses: actions/checkout@v4
@@ -37,7 +37,7 @@ jobs:
       - name: Pre-cache virtualenv for cibuildwheel
         shell: bash
         run: |
-          VER=20.26.6
+          VER=21.14.6
           if [ "$RUNNER_OS" = "Windows" ]; then
             CACHE_DIR="$LOCALAPPDATA/pypa/cibuildwheel/Cache"
           elif [ "$RUNNER_OS" = "macOS" ]; then
@@ -50,7 +50,7 @@ jobs:
           if [ ! -f "$DEST" ]; then
             for i in 1 2 3 4 5; do
               if curl -sL --retry 3 --retry-delay 10 -o "$DEST" \
-                "https://github.com/pypa/get-virtualenv/blob/${VER}/public/virtualenv.pyz?raw=true"; then
+                "https://github.com/pypa/get-virtualenv/releases/download/${VER}/virtualenv.pyz"; then
                 echo "Downloaded virtualenv-${VER}.pyz (attempt $i)"
                 break
               fi
@@ -61,10 +61,12 @@ jobs:
           ls -la "$DEST"
 
       - name: Build wheels
-        uses: pypa/cibuildwheel@v2.21
+        uses: pypa/cibuildwheel@v4.3.1
         env:
-          # Build for CPython only (no PyPy)
-          CIBW_BUILD: "cp310-* cp311-* cp312-* cp313-*"
+          # Build for CPython only (no PyPy). The list is explicit so that the
+          # free-threaded cp314t builds, which cibuildwheel enables by default,
+          # are not produced: the extension does not declare free-threading support.
+          CIBW_BUILD: "cp310-* cp311-* cp312-* cp313-* cp314-*"
           CIBW_SKIP: "*-musllinux_*"
           CIBW_BUILD_VERBOSITY: 1
 
@@ -73,11 +75,15 @@ jobs:
           # NumPy from source against a too-old GCC. AlmaLinux 8 based image.
           CIBW_MANYLINUX_X86_64_IMAGE: manylinux_2_28
 
-          # macOS: ARM only (macos-14)
+          # macOS: ARM only (macos-15)
           CIBW_ARCHS_MACOS: "arm64"
           CIBW_ARCHS_LINUX: "x86_64"
           CIBW_ARCHS_WINDOWS: "AMD64"
 
+          # Windows: no wheel repair. cibuildwheel 4 defaults to delvewheel, which
+          # would vendor the MSVC runtime DLLs and change the wheel layout.
+          CIBW_REPAIR_WHEEL_COMMAND_WINDOWS: ""
+
           # Environment variables for build
           CIBW_ENVIRONMENT: >
             QUANTLIB_VERSION=${{ env.QUANTLIB_VERSION }}

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/.github/workflows/windows.yml

@@ -29,7 +29,7 @@ on:
       - ".github/workflows/windows.yml"
 
 env:
-  QUANTLIB_VERSION: "1.43"
+  QUANTLIB_VERSION: "1.44"
   BOOST_VERSION: "1.86.0"
   BOOST_VERSION_UNDERSCORE: "1_86_0"
 
@@ -39,7 +39,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10", "3.11", "3.12", "3.13"]
+        python-version: ["3.10", "3.11", "3.12", "3.13", "3.14"]
 
     steps:
       - uses: actions/checkout@v4

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/CONTRIBUTING.md

@@ -8,14 +8,14 @@ Thank you for your interest in contributing to PyQuantLib!
 
 Before you begin, ensure you have:
 
-- **Python 3.9+**
+- **Python 3.10+**
 - **CMake 3.18+**
 - **C++17 compatible compiler**
   - Windows: MSVC 2019+ (Visual Studio 2019 or later)
   - macOS: Xcode 12+ or clang 10+
   - Linux: GCC 9+ or clang 10+
 - **Boost headers** (required by QuantLib)
-- **QuantLib 1.43+** built with required configuration (see below)
+- **QuantLib 1.44+** built with required configuration (see below)
 
 ### QuantLib Build Requirements
 
@@ -44,18 +44,18 @@ PyQuantLib uses pybind11, which defaults to `std::shared_ptr` as its holder type
 
 ## Building QuantLib from Source
 
-### Download QuantLib 1.43
+### Download QuantLib 1.44
 
 ```bash
 # Download release
-wget https://github.com/lballabio/QuantLib/releases/download/v1.43/QuantLib-1.43.tar.gz
-tar xzf QuantLib-1.43.tar.gz
-cd QuantLib-1.43
+wget https://github.com/lballabio/QuantLib/releases/download/v1.44/QuantLib-1.44.tar.gz
+tar xzf QuantLib-1.44.tar.gz
+cd QuantLib-1.44
 
 # Or clone the repo
 git clone https://github.com/lballabio/QuantLib.git
 cd QuantLib
-git checkout v1.43
+git checkout v1.44
 ```
 
 ### Windows

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/Dockerfile

@@ -29,7 +29,7 @@ RUN apt-get update && apt-get install -y --no-install-recommends \
 # QuantLib MUST be a static library built with PIC and the std:: type flags:
 # a shared build duplicates the Settings singleton and breaks evaluationDate.
 # Mirrors .github/workflows/linux.yml.
-ARG QUANTLIB_VERSION=1.43
+ARG QUANTLIB_VERSION=1.44
 WORKDIR /tmp
 RUN wget --quiet https://github.com/lballabio/QuantLib/releases/download/v${QUANTLIB_VERSION}/QuantLib-${QUANTLIB_VERSION}.tar.gz \
     && tar xzf QuantLib-${QUANTLIB_VERSION}.tar.gz \

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pyquantlib
-Version: 0.9.0
+Version: 0.10.0
 Summary: Python bindings for QuantLib
 Keywords: quantlib,quantitative-finance,derivatives,pricing,risk,fixed-income,options,finance,pybind11
 Author-Email: Yassine Idyiahia <yassine.id@gmail.com>
@@ -49,6 +49,7 @@ Classifier: Programming Language :: Python :: 3.10
 Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Programming Language :: Python :: 3.13
+Classifier: Programming Language :: Python :: 3.14
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Topic :: Office/Business :: Financial
 Classifier: Topic :: Office/Business :: Financial :: Investment
@@ -114,11 +115,11 @@ As an independent project, PyQuantLib complements the official [QuantLib-SWIG](h
 pip install pyquantlib
 ```
 
-Pre-built wheels are available for Python 3.10 to 3.13 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked, so no separate installation is required.
+Pre-built wheels are available for Python 3.10 to 3.14 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked, so no separate installation is required.
 
 ### From source
 
-Building from source requires QuantLib 1.43+ compiled with specific CMake flags. Packages from Homebrew, vcpkg, and apt use shared builds and `boost::shared_ptr`, and are not compatible. See [CONTRIBUTING.md](CONTRIBUTING.md) for the required flags and full build instructions.
+Building from source requires QuantLib 1.44+ compiled with specific CMake flags. Packages from Homebrew, vcpkg, and apt use shared builds and `boost::shared_ptr`, and are not compatible. See [CONTRIBUTING.md](CONTRIBUTING.md) for the required flags and full build instructions.
 
 ```bash
 pip install git+https://github.com/quantales/pyquantlib.git

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/README.md

@@ -31,11 +31,11 @@ As an independent project, PyQuantLib complements the official [QuantLib-SWIG](h
 pip install pyquantlib
 ```
 
-Pre-built wheels are available for Python 3.10 to 3.13 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked, so no separate installation is required.
+Pre-built wheels are available for Python 3.10 to 3.14 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked, so no separate installation is required.
 
 ### From source
 
-Building from source requires QuantLib 1.43+ compiled with specific CMake flags. Packages from Homebrew, vcpkg, and apt use shared builds and `boost::shared_ptr`, and are not compatible. See [CONTRIBUTING.md](CONTRIBUTING.md) for the required flags and full build instructions.
+Building from source requires QuantLib 1.44+ compiled with specific CMake flags. Packages from Homebrew, vcpkg, and apt use shared builds and `boost::shared_ptr`, and are not compatible. See [CONTRIBUTING.md](CONTRIBUTING.md) for the required flags and full build instructions.
 
 ```bash
 pip install git+https://github.com/quantales/pyquantlib.git

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/docs/api/indexes.md

@@ -6,9 +6,9 @@ Bindings for the `Index` class hierarchy: market reference rates that feed float
 
 | Family | Classes |
 |---|---|
-| Ibor (term) | {py:class}`pyquantlib.IborIndex` plus concrete `Euribor` and `Nibor` |
+| Ibor (term) | {py:class}`pyquantlib.IborIndex` plus concrete `Euribor`, `Nibor`, `Bbsw`, `Bkbm`, `Bibor`, `Cdor`, `Jibar`, `Robor`, `Shibor`, `Zibor` |
 | LIBOR | {py:class}`pyquantlib.Libor`, {py:class}`pyquantlib.DailyTenorLibor`, {py:class}`pyquantlib.USDLibor`, {py:class}`pyquantlib.DailyTenorUSDLibor`, {py:class}`pyquantlib.USDLiborON` |
-| Overnight | {py:class}`pyquantlib.Sofr`, {py:class}`pyquantlib.Eonia`, {py:class}`pyquantlib.Estr`, {py:class}`pyquantlib.Sonia`, {py:class}`pyquantlib.Shir`, {py:class}`pyquantlib.Zaronia` |
+| Overnight | {py:class}`pyquantlib.Sofr`, {py:class}`pyquantlib.Eonia`, {py:class}`pyquantlib.Estr`, {py:class}`pyquantlib.Sonia`, {py:class}`pyquantlib.Shir`, {py:class}`pyquantlib.Zaronia`, plus `Aonia`, `Cdi`, `Corra`, `Destr`, `FedFunds`, `Kofr`, `Nzocr`, `Saron`, `Swestr`, `Tonar` |
 | Swap | {py:class}`pyquantlib.SwapIndex`, {py:class}`pyquantlib.OvernightIndexedSwapIndex`, plus standard fixings (`EuriborSwapIsdaFixA/B/IfrFix`, `EurLiborSwap*`, `UsdLiborSwap*`, `JpyLiborSwap*`, `GbpLiborSwapIsdaFix`, `ChfLiborSwapIsdaFix`) |
 | Special | {py:class}`pyquantlib.BMAIndex`, {py:class}`pyquantlib.SwapSpreadIndex`, {py:class}`pyquantlib.EquityIndex` |
 | Inflation | {py:class}`pyquantlib.ZeroInflationIndex`, {py:class}`pyquantlib.YoYInflationIndex`, plus per-region (`USCPI`, `EUHICP`, `UKRPI`, `AUCPI`, `FRHICP`, `ZACPI`) |
@@ -153,6 +153,50 @@ South African Rand Overnight Index Average.
 NOK-NIBOR, a term index: the constructor takes a `Period` tenor before the optional
 forwarding curve.
 
+### Regional overnight indexes
+
+| Class | Rate | Currency |
+|---|---|---|
+| `Aonia` | Australian Overnight Index Average | AUD |
+| `Cdi` | Brazilian CDI, on a Business/252 day counter | BRL |
+| `Corra` | Canadian Overnight Repo Rate Average | CAD |
+| `Destr` | Danish krone short-term rate | DKK |
+| `FedFunds` | Federal funds effective rate | USD |
+| `Kofr` | Korea Overnight Financing Repo | KRW |
+| `Nzocr` | New Zealand Official Cash Rate | NZD |
+| `Saron` | Swiss Average Rate Overnight | CHF |
+| `Swestr` | Swedish krona short-term rate | SEK |
+| `Tonar` | Tokyo Overnight Average Rate | JPY |
+
+All share the constructor overloads of `Sofr`: no argument, a `YieldTermStructureHandle`, or a
+yield term structure (wrapped in a handle internally).
+
+```python
+saron = ql.Saron(forwarding_curve)
+```
+
+### Regional term indexes
+
+| Class | Rate | Currency | Fixed-tenor subclasses |
+|---|---|---|---|
+| `Bbsw` | Bank Bill Swap Rate (AFMA) | AUD | `Bbsw1M` to `Bbsw6M` |
+| `Bkbm` | Bank Bill Benchmark Rate | NZD | `Bkbm1M` to `Bkbm6M` |
+| `Bibor` | Bangkok Interbank Offered Rate | THB | `BiborSW`, `Bibor1M`, `Bibor2M`, `Bibor3M`, `Bibor6M`, `Bibor1Y` |
+| `Cdor` | Canadian Dollar Offered Rate | CAD | none |
+| `Jibar` | Johannesburg Interbank Agreed Rate | ZAR | none |
+| `Robor` | Romanian Interbank Offered Rate | RON | none |
+| `Shibor` | Shanghai Interbank Offered Rate | CNY | none |
+| `Zibor` | Zurich Interbank Offered Rate | CHF | none |
+
+Each base class takes a `Period` tenor before the optional forwarding curve, following `Nibor`.
+`Bbsw`, `Bkbm`, and `Bibor` reject daily tenors; `Shibor` and `Robor` accept a 1-day tenor and
+settle on the same day.
+
+```python
+bbsw3m = ql.Bbsw(ql.Period(3, ql.Months), forwarding_curve)
+bbsw3m = ql.Bbsw3M(forwarding_curve)   # fixed-tenor subclass
+```
+
 ### Swap indexes
 
 ```{eval-rst}

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/docs/api/math.md

@@ -19,8 +19,9 @@ Bindings for QuantLib's numerical-utility layer: linear algebra (`Array`, `Matri
 | 2-D | {py:class}`pyquantlib.BilinearInterpolation`, {py:class}`pyquantlib.BicubicSpline`, {py:class}`pyquantlib.BackwardflatLinearInterpolation`, {py:class}`pyquantlib.FlatExtrapolator2D` |
 | Statistics | {py:class}`pyquantlib.Statistics`, {py:class}`pyquantlib.IncrementalStatistics`, {py:class}`pyquantlib.SequenceStatistics` |
 | Optimisation | {py:class}`pyquantlib.LevenbergMarquardt`, {py:class}`pyquantlib.Simplex`, {py:class}`pyquantlib.ConjugateGradient`, {py:class}`pyquantlib.SteepestDescent`, {py:class}`pyquantlib.BFGS`, {py:class}`pyquantlib.LBFGSB`, {py:class}`pyquantlib.DifferentialEvolution`, {py:class}`pyquantlib.EndCriteria`, {py:class}`pyquantlib.Problem`, {py:class}`pyquantlib.NoConstraint`, {py:class}`pyquantlib.PositiveConstraint`, {py:class}`pyquantlib.BoundaryConstraint`, {py:class}`pyquantlib.CompositeConstraint` |
-| Distributions | {py:class}`pyquantlib.NormalDistribution`, {py:class}`pyquantlib.CumulativeNormalDistribution`, {py:class}`pyquantlib.InverseCumulativeNormal`, {py:class}`pyquantlib.BivariateCumulativeNormalDistribution` |
-| 1-D solvers | {py:class}`pyquantlib.Brent`, {py:class}`pyquantlib.Bisection`, {py:class}`pyquantlib.Secant`, {py:class}`pyquantlib.Newton` |
+| Distributions | {py:class}`pyquantlib.NormalDistribution`, {py:class}`pyquantlib.CumulativeNormalDistribution`, {py:class}`pyquantlib.InverseCumulativeNormal`, {py:class}`pyquantlib.BivariateCumulativeNormalDistribution`, {py:class}`pyquantlib.CumulativeGammaDistribution`, {py:class}`pyquantlib.PoissonDistribution`, {py:class}`pyquantlib.CumulativeChiSquareDistribution`, {py:class}`pyquantlib.StudentDistribution`, {py:class}`pyquantlib.BinomialDistribution`, {py:class}`pyquantlib.BivariateCumulativeStudentDistribution` |
+| Copulas | {py:class}`pyquantlib.GaussianCopula`, {py:class}`pyquantlib.ClaytonCopula`, {py:class}`pyquantlib.FrankCopula`, {py:class}`pyquantlib.GumbelCopula`, plus `AliMikhailHaqCopula`, `FarlieGumbelMorgensternCopula`, `GalambosCopula`, `HuslerReissCopula`, `IndependentCopula`, `MarshallOlkinCopula`, `MaxCopula`, `MinCopula`, `PlackettCopula` |
+| 1-D solvers | {py:class}`pyquantlib.Brent`, {py:class}`pyquantlib.Bisection`, {py:class}`pyquantlib.Secant`, {py:class}`pyquantlib.Newton`, {py:class}`pyquantlib.NewtonSafe`, {py:class}`pyquantlib.Halley`, {py:class}`pyquantlib.FalsePosition`, {py:class}`pyquantlib.Ridder` |
 | ODE | {py:class}`pyquantlib.AdaptiveRungeKutta` |
 | Misc | {py:class}`pyquantlib.RichardsonExtrapolation` |
 
@@ -88,7 +89,7 @@ root = brent.solve(lambda x: x**2 - 4, accuracy=1e-10, guess=1.0, step=0.5)
 root = brent.solve(lambda x: x**2 - 4, 1e-10, 1.0, 0.0, 10.0)
 ```
 
-`Brent`, `Bisection`, `Secant`, and `Newton` share the calling convention. `Newton` additionally accepts a derivative callable as the second argument. Common configuration: `setMaxEvaluations(n)`, `setLowerBound(x)`, `setUpperBound(x)`.
+`Brent`, `Bisection`, `Secant`, `FalsePosition`, and `Ridder` share the calling convention. `Newton` and `NewtonSafe` additionally accept a derivative callable as the second argument, and `Halley` accepts first and second derivative callables. Common configuration: `setMaxEvaluations(n)`, `setLowerBound(x)`, `setUpperBound(x)`.
 
 ### Set up an optimisation problem
 
@@ -450,6 +451,71 @@ bvn = ql.BivariateCumulativeNormalDistribution(rho=0.5)
 bvn(0.0, 0.0)
 ```
 
+### Further distributions
+
+```{eval-rst}
+.. autoclass:: pyquantlib.GammaFunction
+.. autoclass:: pyquantlib.CumulativeGammaDistribution
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.PoissonDistribution
+.. autoclass:: pyquantlib.CumulativePoissonDistribution
+.. autoclass:: pyquantlib.InverseCumulativePoisson
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CumulativeChiSquareDistribution
+.. autoclass:: pyquantlib.NonCentralCumulativeChiSquareDistribution
+.. autoclass:: pyquantlib.NonCentralCumulativeChiSquareSankaranApprox
+.. autoclass:: pyquantlib.InverseNonCentralCumulativeChiSquareDistribution
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.StudentDistribution
+.. autoclass:: pyquantlib.CumulativeStudentDistribution
+.. autoclass:: pyquantlib.InverseCumulativeStudent
+.. autoclass:: pyquantlib.BivariateCumulativeStudentDistribution
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BinomialDistribution
+.. autoclass:: pyquantlib.CumulativeBinomialDistribution
+```
+
+The binomial module also provides the functions `binomialCoefficient`, `binomialCoefficientLn`, and
+`PeizerPrattMethod2Inversion` (odd `n` only).
+
+All distribution objects are callable: `ql.CumulativeStudentDistribution(5)(1.2)`. The discrete
+distributions (`Poisson`, `Binomial`) take the count `k` as the argument.
+
+### Copulas
+
+Bivariate copulas $C(x, y)$ on the unit square, callable with two arguments in $[0, 1]$.
+
+| Class | Parameters |
+|---|---|
+| `IndependentCopula`, `MinCopula`, `MaxCopula` | none |
+| `GaussianCopula` | `rho` |
+| `ClaytonCopula`, `FrankCopula`, `GumbelCopula`, `AliMikhailHaqCopula`, `FarlieGumbelMorgensternCopula`, `GalambosCopula`, `HuslerReissCopula`, `PlackettCopula` | `theta` |
+| `MarshallOlkinCopula` | `a1`, `a2` |
+
+```{eval-rst}
+.. autoclass:: pyquantlib.GaussianCopula
+.. autoclass:: pyquantlib.ClaytonCopula
+```
+
+```python
+copula = ql.ClaytonCopula(2.0)
+copula(0.3, 0.6)
+```
+
+```{note}
+Following QuantLib, `MaxCopula` returns $\min(x, y)$ (maximum dependence, the upper Fréchet bound) and
+`MinCopula` returns $\max(x + y - 1, 0)$ (minimum dependence, the lower Fréchet bound). The
+`MarshallOlkinCopula` is $\min(y x^{1 - a_1}, x y^{1 - a_2})$.
+```
+
 ### 1-D solvers
 
 ```{eval-rst}
@@ -464,6 +530,19 @@ bvn(0.0, 0.0)
 .. autoclass:: pyquantlib.Secant
 ```
 
+```{eval-rst}
+.. autoclass:: pyquantlib.NewtonSafe
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.Halley
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FalsePosition
+.. autoclass:: pyquantlib.Ridder
+```
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.Newton
 ```

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/docs/api/pricingengines.md

@@ -758,22 +758,29 @@ print(option.NPV(), option.qvega(), option.qrho(), option.qlambda())
 .. autoclass:: pyquantlib.BlackCapFloorEngine
 ```
 
-Lognormal volatility.
+Lognormal volatility: a flat volatility, a quote, or an optionlet volatility structure
+(for example a {py:class}`pyquantlib.StrippedOptionletAdapter` or a
+{py:class}`pyquantlib.SpreadedOptionletVolatility`).
 
 ```python
 engine = ql.BlackCapFloorEngine(curve, 0.20)
+engine = ql.BlackCapFloorEngine(curve, optionlet_vol)
 ```
 
 ```{eval-rst}
 .. autoclass:: pyquantlib.BachelierCapFloorEngine
 ```
 
-Normal volatility.
+Normal volatility: a flat volatility, a quote, or an optionlet volatility structure.
 
 ```python
 engine = ql.BachelierCapFloorEngine(curve, 0.005)
+engine = ql.BachelierCapFloorEngine(curve, normal_optionlet_vol)
 ```
 
+The two-argument forms take either two handles or two plain objects; mixing a handle with a
+plain object is not supported.
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.AnalyticCapFloorEngine
 ```

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/docs/api/termstructures.md

@@ -21,13 +21,13 @@ Bindings for the four families of term-structure objects: yield curves (and the
 
 | Group | Classes |
 |---|---|
-| Black vol | {py:class}`pyquantlib.BlackConstantVol`, {py:class}`pyquantlib.BlackVarianceSurface`, {py:class}`pyquantlib.PiecewiseBlackVarianceSurface`, {py:class}`pyquantlib.BlackVolatilitySurfaceDelta`, {py:class}`pyquantlib.HestonBlackVolSurface` |
+| Black vol | {py:class}`pyquantlib.BlackConstantVol`, {py:class}`pyquantlib.BlackVarianceCurve`, {py:class}`pyquantlib.ImpliedVolTermStructure`, {py:class}`pyquantlib.BlackVarianceSurface`, {py:class}`pyquantlib.PiecewiseBlackVarianceSurface`, {py:class}`pyquantlib.BlackVolatilitySurfaceDelta`, {py:class}`pyquantlib.HestonBlackVolSurface` |
 | Smile sections | {py:class}`pyquantlib.FlatSmileSection`, {py:class}`pyquantlib.SabrSmileSection`, {py:class}`pyquantlib.SabrInterpolatedSmileSection`, {py:class}`pyquantlib.NoArbSabrSmileSection`, {py:class}`pyquantlib.NoArbSabrInterpolatedSmileSection`, {py:class}`pyquantlib.NoArbSabrModel`, {py:class}`pyquantlib.KahaleSmileSection` |
 | SABR free functions | {py:func}`pyquantlib.sabrVolatility`, {py:func}`pyquantlib.shiftedSabrVolatility`, {py:func}`pyquantlib.validateSabrParameters` |
-| Local vol | {py:class}`pyquantlib.LocalConstantVol`, {py:class}`pyquantlib.LocalVolSurface`, {py:class}`pyquantlib.FixedLocalVolSurface`, {py:class}`pyquantlib.NoExceptLocalVolSurface` |
+| Local vol | {py:class}`pyquantlib.LocalConstantVol`, {py:class}`pyquantlib.LocalVolCurve`, {py:class}`pyquantlib.LocalVolSurface`, {py:class}`pyquantlib.FixedLocalVolSurface`, {py:class}`pyquantlib.NoExceptLocalVolSurface` |
 | Andreasen-Huge | {py:class}`pyquantlib.AndreasenHugeVolatilityInterpl`, {py:class}`pyquantlib.AndreasenHugeVolatilityAdapter`, {py:class}`pyquantlib.AndreasenHugeLocalVolAdapter` |
 | Swaption | {py:class}`pyquantlib.ConstantSwaptionVolatility`, {py:class}`pyquantlib.SwaptionVolatilityMatrix`, {py:class}`pyquantlib.SwaptionVolatilityCube`, {py:class}`pyquantlib.SabrSwaptionVolatilityCube`, {py:class}`pyquantlib.ZabrSwaptionVolatilityCube`, {py:class}`pyquantlib.SpreadedSwaptionVolatility` |
-| Optionlet | {py:class}`pyquantlib.ConstantOptionletVolatility`, {py:class}`pyquantlib.CapFloorTermVolSurface`, {py:class}`pyquantlib.OptionletStripper1`, {py:class}`pyquantlib.StrippedOptionletAdapter` |
+| Optionlet | {py:class}`pyquantlib.ConstantOptionletVolatility`, {py:class}`pyquantlib.SpreadedOptionletVolatility`, {py:class}`pyquantlib.CapletVarianceCurve`, {py:class}`pyquantlib.ConstantCapFloorTermVolatility`, {py:class}`pyquantlib.CapFloorTermVolCurve`, {py:class}`pyquantlib.CapFloorTermVolSurface`, {py:class}`pyquantlib.OptionletStripper1`, {py:class}`pyquantlib.OptionletStripper2`, {py:class}`pyquantlib.StrippedOptionletAdapter` |
 | YoY inflation optionlet | {py:class}`pyquantlib.ConstantYoYOptionletVolatility` |
 | Handles | {py:class}`pyquantlib.BlackVolTermStructureHandle`, {py:class}`pyquantlib.RelinkableBlackVolTermStructureHandle`, {py:class}`pyquantlib.LocalVolTermStructureHandle`, {py:class}`pyquantlib.RelinkableLocalVolTermStructureHandle`, {py:class}`pyquantlib.SwaptionVolatilityStructureHandle`, {py:class}`pyquantlib.RelinkableSwaptionVolatilityStructureHandle`, {py:class}`pyquantlib.OptionletVolatilityStructureHandle`, {py:class}`pyquantlib.RelinkableOptionletVolatilityStructureHandle`, {py:class}`pyquantlib.YoYOptionletVolatilitySurfaceHandle`, {py:class}`pyquantlib.RelinkableYoYOptionletVolatilitySurfaceHandle` |
 
@@ -35,7 +35,7 @@ Bindings for the four families of term-structure objects: yield curves (and the
 
 | Group | Classes |
 |---|---|
-| Credit | {py:class}`pyquantlib.FlatHazardRate`, {py:class}`pyquantlib.SpreadCdsHelper`, {py:class}`pyquantlib.UpfrontCdsHelper`, {py:class}`pyquantlib.PiecewiseLogLinearSurvival`, {py:class}`pyquantlib.PiecewiseFlatHazardRate`, {py:class}`pyquantlib.PiecewiseBackwardFlatHazard`, {py:class}`pyquantlib.DefaultProbabilityTermStructureHandle`, {py:class}`pyquantlib.RelinkableDefaultProbabilityTermStructureHandle` |
+| Credit | {py:class}`pyquantlib.FlatHazardRate`, {py:class}`pyquantlib.HazardRateCurve`, {py:class}`pyquantlib.DefaultDensityCurve`, {py:class}`pyquantlib.SurvivalProbabilityCurve`, {py:class}`pyquantlib.SpreadCdsHelper`, {py:class}`pyquantlib.UpfrontCdsHelper`, {py:class}`pyquantlib.PiecewiseLogLinearSurvival`, {py:class}`pyquantlib.PiecewiseFlatHazardRate`, {py:class}`pyquantlib.PiecewiseBackwardFlatHazard`, {py:class}`pyquantlib.DefaultProbabilityTermStructureHandle`, {py:class}`pyquantlib.RelinkableDefaultProbabilityTermStructureHandle` |
 | Inflation curves | {py:class}`pyquantlib.ZeroInflationCurve`, {py:class}`pyquantlib.YoYInflationCurve`, {py:class}`pyquantlib.PiecewiseZeroInflationCurve`, {py:class}`pyquantlib.PiecewiseYoYInflationCurve` |
 | Inflation helpers | {py:class}`pyquantlib.ZeroCouponInflationSwapHelper`, {py:class}`pyquantlib.YearOnYearInflationSwapHelper` |
 | Seasonality | {py:class}`pyquantlib.MultiplicativePriceSeasonality`, {py:class}`pyquantlib.KerkhofSeasonality` |
@@ -408,6 +408,28 @@ vol = ql.SimpleQuote(0.20)
 const_vol = ql.BlackConstantVol(today, ql.TARGET(), vol, dc)
 ```
 
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackVarianceCurve
+```
+
+At-the-money Black volatilities by date, interpolated linearly in total variance (variance is zero
+at the reference date). `setInterpolation("linear")` or `setInterpolation("cubic")` switches the
+variance interpolation. With `forceMonotoneVariance=True` (default) a decreasing total variance is
+rejected.
+
+```python
+dates = [today + ql.Period(1, ql.Years), today + ql.Period(2, ql.Years)]
+curve = ql.BlackVarianceCurve(today, dates, [0.20, 0.25], ql.Actual365Fixed())
+curve.blackVol(dates[1], 100.0)
+```
+
+```{eval-rst}
+.. autoclass:: pyquantlib.ImpliedVolTermStructure
+```
+
+The curve a Black volatility structure implies at a later reference date, linked to the original
+structure. Time dependence only: strike dependence is not meaningful for this class.
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.BlackVarianceSurface
 ```
@@ -595,6 +617,12 @@ local_surface = ql.LocalVolSurface(black_vol, risk_free, dividend, 100.0)
 print(local_surface.localVol(1.0, 100.0))
 ```
 
+```{eval-rst}
+.. autoclass:: pyquantlib.LocalVolCurve
+```
+
+Local volatility from the slope of a {py:class}`pyquantlib.BlackVarianceCurve`, time dependence only.
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.FixedLocalVolSurface
 ```
@@ -635,6 +663,26 @@ spreaded_vol = ql.SpreadedSwaptionVolatility(base_vol_handle, spread)
 .. autoclass:: pyquantlib.ConstantOptionletVolatility
 ```
 
+```{eval-rst}
+.. autoclass:: pyquantlib.SpreadedOptionletVolatility
+```
+
+Adds a spread quote to a base optionlet volatility structure.
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CapletVarianceCurve
+```
+
+Caplet volatilities by date, interpolated in variance, without strike dependence.
+
+```{eval-rst}
+.. autoclass:: pyquantlib.ConstantCapFloorTermVolatility
+.. autoclass:: pyquantlib.CapFloorTermVolCurve
+```
+
+`CapFloorTermVolCurve` takes option tenors with either fixed volatilities or one quote handle per
+tenor. `ConstantCapFloorTermVolatility` takes a fixed volatility or a quote.
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.CapFloorTermVolSurface
 ```
@@ -650,6 +698,18 @@ for i in range(n):
     print(stripper.optionletStrikes(i), stripper.optionletVolatilities(i))
 ```
 
+```{eval-rst}
+.. autoclass:: pyquantlib.OptionletStripper2
+```
+
+Adjusts the optionlet volatilities of an `OptionletStripper1` so that at-the-money caps match the volatilities of a {py:class}`pyquantlib.CapFloorTermVolCurve`. The curve must use the surface day counter. `atmCapFloorStrikes()`, `atmCapFloorPrices()`, and `spreadsVol()` expose the ATM strikes, their prices, and the applied volatility spreads.
+
+```python
+atm_curve = ql.CapFloorTermVolCurve(2, calendar, ql.ModifiedFollowing, tenors, atm_vols)
+stripper2 = ql.OptionletStripper2(stripper, atm_curve)
+optionlet_vol = ql.StrippedOptionletAdapter(stripper2)
+```
+
 ```{eval-rst}
 .. autoclass:: pyquantlib.StrippedOptionletAdapter
 ```
@@ -701,6 +761,34 @@ print(default_curve.defaultProbability(1.0))
 print(default_curve.hazardRate(1.0))
 ```
 
+### Interpolated default curves
+
+```{eval-rst}
+.. autoclass:: pyquantlib.HazardRateCurve
+.. autoclass:: pyquantlib.DefaultDensityCurve
+.. autoclass:: pyquantlib.SurvivalProbabilityCurve
+```
+
+Curves built directly from node values. Each class fixes the interpolator of its
+underlying `Interpolated*Curve` template:
+
+| Class | Node values | Interpolation |
+|---|---|---|
+| `HazardRateCurve` | hazard rates | backward-flat |
+| `DefaultDensityCurve` | default densities | linear |
+| `SurvivalProbabilityCurve` | survival probabilities | log-linear |
+
+The reference date is the first date. Beyond the last node the last hazard rate (or density)
+is held flat, which requires `extrapolate=True` on the query. The constructor taking a
+calendar also accepts `jumps` (a list of quote handles) and `jumpDates`; each jump value
+scales the survival probability after its date.
+
+```python
+dates = [today, today + ql.Period(1, ql.Years), today + ql.Period(2, ql.Years)]
+curve = ql.HazardRateCurve(dates, [0.01, 0.02, 0.03], ql.Actual365Fixed())
+curve.survivalProbability(dates[2])
+```
+
 ### Default-probability helpers
 
 ```{eval-rst}

{pyquantlib-0.9.0 → pyquantlib-0.10.0}/docs/building.md

@@ -100,15 +100,15 @@ See the version compatibility table in {doc}`installation` for which QuantLib ve
 ### Download
 
 ```bash
-# Download release (replace 1.43 with the version matching your PyQuantLib release)
-wget https://github.com/lballabio/QuantLib/releases/download/v1.43/QuantLib-1.43.tar.gz
-tar xzf QuantLib-1.43.tar.gz
-cd QuantLib-1.43
+# Download release (replace 1.44 with the version matching your PyQuantLib release)
+wget https://github.com/lballabio/QuantLib/releases/download/v1.44/QuantLib-1.44.tar.gz
+tar xzf QuantLib-1.44.tar.gz
+cd QuantLib-1.44
 
 # Or clone
 git clone https://github.com/lballabio/QuantLib.git
 cd QuantLib
-git checkout v1.43
+git checkout v1.44
 ```
 
 ### Windows