diff options
| -rw-r--r-- | finance/quantlib/Makefile | 13 | ||||
| -rw-r--r-- | finance/quantlib/distinfo | 6 | ||||
| -rw-r--r-- | finance/quantlib/files/patch-ltmain.sh | 15 | ||||
| -rw-r--r-- | finance/quantlib/pkg-plist | 536 |
4 files changed, 416 insertions, 154 deletions
diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile index 1578e7641ef8..87504977a1b1 100644 --- a/finance/quantlib/Makefile +++ b/finance/quantlib/Makefile @@ -7,8 +7,7 @@ # PORTNAME= quantlib -PORTVERSION= 0.3.5 -PORTREVISION= 1 +PORTVERSION= 0.4.0 CATEGORIES= finance MASTER_SITES= ${MASTER_SITE_SOURCEFORGE} MASTER_SITE_SUBDIR= ${PORTNAME} @@ -17,12 +16,15 @@ DISTNAME= QuantLib-${PORTVERSION} MAINTAINER= ports@FreeBSD.org COMMENT= A comprehensive software framework for quantitative finance +LIB_DEPENDS= boost_thread.3:${PORTSDIR}/devel/boost + WRKSRC= ${WRKDIR}/QuantLib-${PORTVERSION} -USE_GCC= 3.3 +USE_AUTOTOOLS= libtool:15 GNU_CONFIGURE= yes CONFIGURE_TARGET= --build=${MACHINE_ARCH}-portbld-freebsd${OSREL} -CONFIGURE_ENV= CPPFLAGS="${PTHREAD_CFLAGS}" LDFLAGS="${PTHREAD_LIBS}" +CONFIGURE_ARGS= --mandir=${PREFIX}/man +CONFIGURE_ENV= CPPFLAGS="${PTHREAD_CFLAGS} -I${LOCALBASE}/include" LDFLAGS="${PTHREAD_LIBS} -L${LOCALBASE}/lib" USE_LDCONFIG= yes MAN1= quantlib-config.1 quantlib-test-suite.1 @@ -30,7 +32,7 @@ MAN1= quantlib-config.1 quantlib-test-suite.1 .include <bsd.port.pre.mk> .if ${ARCH} == "ia64" || ${ARCH} == "alpha" -BROKEN= "Does not build on ia64 or alpha" +BROKEN= Does not build on ia64 or alpha .endif post-patch: @@ -38,6 +40,7 @@ post-patch: 's|: install-dist_lispLISP|:|g ; \ s|@CPPUNIT_FOUND_TRUE@|#|g ; \ s|@CPPUNIT_FOUND_FALSE@||g' + @${REINPLACE_CMD} -e 's|-release $$(PACKAGE_VERSION)||' ${WRKSRC}/ql/Makefile.in post-install: ${INSTALL_DATA} ${WRKSRC}/quantlib.el ${PREFIX}/share/emacs/site-lisp diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo index 42ff472ab41c..46ed5a65c069 100644 --- a/finance/quantlib/distinfo +++ b/finance/quantlib/distinfo @@ -1,3 +1,3 @@ -MD5 (QuantLib-0.3.5.tar.gz) = e603462e85a86af4636dc9800c17f59a -SHA256 (QuantLib-0.3.5.tar.gz) = 441f17d45f928cf187cf4d7e75fb89ff9ce6c0d6cad44208001cec9eef1e4d09 -SIZE (QuantLib-0.3.5.tar.gz) = 1303028 +MD5 (QuantLib-0.4.0.tar.gz) = 4af8ddbd79d82eb931159157335406e4 +SHA256 (QuantLib-0.4.0.tar.gz) = f8d67eaa2378d94d19683ff3b4e0067ea6caf47cbf5f399b0ae71f6a69526daf +SIZE (QuantLib-0.4.0.tar.gz) = 1905318 diff --git a/finance/quantlib/files/patch-ltmain.sh b/finance/quantlib/files/patch-ltmain.sh deleted file mode 100644 index 160132c0ab19..000000000000 --- a/finance/quantlib/files/patch-ltmain.sh +++ /dev/null @@ -1,15 +0,0 @@ ---- config/ltmain.sh.orig Fri Apr 2 10:15:05 2004 -+++ config/ltmain.sh Fri Apr 2 10:15:13 2004 -@@ -5528,10 +5528,12 @@ - fi - - # Install the pseudo-library for information purposes. -+ if /usr/bin/false ; then - name=`$echo "X$file" | $Xsed -e 's%^.*/%%'` - instname="$dir/$name"i - $show "$install_prog $instname $destdir/$name" - $run eval "$install_prog $instname $destdir/$name" || exit $? -+ fi - - # Maybe install the static library, too. - test -n "$old_library" && staticlibs="$staticlibs $dir/$old_library" diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist index 4c362255f6e6..df3092abf698 100644 --- a/finance/quantlib/pkg-plist +++ b/finance/quantlib/pkg-plist @@ -1,55 +1,101 @@ bin/quantlib-config +bin/quantlib-test-suite +include/ql/argsandresults.hpp +include/ql/auto_link.hpp include/ql/Calendars/all.hpp -include/ql/Calendars/budapest.hpp -include/ql/Calendars/copenhagen.hpp -include/ql/Calendars/frankfurt.hpp -include/ql/Calendars/helsinki.hpp -include/ql/Calendars/johannesburg.hpp +include/ql/Calendars/argentina.hpp +include/ql/Calendars/australia.hpp +include/ql/Calendars/brazil.hpp +include/ql/Calendars/canada.hpp +include/ql/Calendars/czechrepublic.hpp +include/ql/Calendars/denmark.hpp +include/ql/Calendars/finland.hpp +include/ql/Calendars/germany.hpp +include/ql/Calendars/hongkong.hpp +include/ql/Calendars/hungary.hpp +include/ql/Calendars/china.hpp +include/ql/Calendars/iceland.hpp +include/ql/Calendars/india.hpp +include/ql/Calendars/indonesia.hpp +include/ql/Calendars/italy.hpp +include/ql/Calendars/japan.hpp include/ql/Calendars/jointcalendar.hpp -include/ql/Calendars/london.hpp -include/ql/Calendars/milan.hpp -include/ql/Calendars/newyork.hpp +include/ql/Calendars/mexico.hpp +include/ql/Calendars/newzealand.hpp +include/ql/Calendars/norway.hpp include/ql/Calendars/nullcalendar.hpp -include/ql/Calendars/oslo.hpp -include/ql/Calendars/stockholm.hpp -include/ql/Calendars/sydney.hpp +include/ql/Calendars/poland.hpp +include/ql/Calendars/saudiarabia.hpp +include/ql/Calendars/singapore.hpp +include/ql/Calendars/slovakia.hpp +include/ql/Calendars/southafrica.hpp +include/ql/Calendars/southkorea.hpp +include/ql/Calendars/sweden.hpp +include/ql/Calendars/switzerland.hpp +include/ql/Calendars/taiwan.hpp include/ql/Calendars/target.hpp -include/ql/Calendars/tokyo.hpp -include/ql/Calendars/toronto.hpp -include/ql/Calendars/warsaw.hpp -include/ql/Calendars/wellington.hpp -include/ql/Calendars/zurich.hpp +include/ql/Calendars/turkey.hpp +include/ql/Calendars/ukraine.hpp +include/ql/Calendars/unitedkingdom.hpp +include/ql/Calendars/unitedstates.hpp +include/ql/calendar.hpp +include/ql/capvolstructures.hpp include/ql/CashFlows/all.hpp -include/ql/CashFlows/basispointsensitivity.hpp +include/ql/CashFlows/analysis.hpp +include/ql/CashFlows/capflooredcoupon.hpp +include/ql/CashFlows/capfloorlet.hpp include/ql/CashFlows/cashflowvectors.hpp +include/ql/CashFlows/cmscoupon.hpp +include/ql/CashFlows/conundrumpricer.hpp include/ql/CashFlows/core.hpp include/ql/CashFlows/coupon.hpp +include/ql/CashFlows/dividend.hpp include/ql/CashFlows/fixedratecoupon.hpp include/ql/CashFlows/floatingratecoupon.hpp include/ql/CashFlows/inarrearindexedcoupon.hpp -include/ql/CashFlows/indexcashflowvectors.hpp -include/ql/CashFlows/indexedcoupon.hpp +include/ql/CashFlows/indexedcashflowvectors.hpp include/ql/CashFlows/parcoupon.hpp include/ql/CashFlows/shortfloatingcoupon.hpp include/ql/CashFlows/shortindexedcoupon.hpp include/ql/CashFlows/simplecashflow.hpp include/ql/CashFlows/timebasket.hpp include/ql/CashFlows/upfrontindexedcoupon.hpp -include/ql/DayCounters/actual360.hpp -include/ql/DayCounters/actual365.hpp +include/ql/cashflow.hpp +include/ql/config.hpp +include/ql/core.hpp +include/ql/Currencies/africa.hpp +include/ql/Currencies/all.hpp +include/ql/Currencies/america.hpp +include/ql/Currencies/asia.hpp +include/ql/Currencies/europe.hpp +include/ql/Currencies/exchangeratemanager.hpp +include/ql/Currencies/oceania.hpp +include/ql/currency.hpp +include/ql/date.hpp include/ql/DayCounters/actualactual.hpp +include/ql/DayCounters/actual360.hpp +include/ql/DayCounters/actual365fixed.hpp include/ql/DayCounters/all.hpp +include/ql/DayCounters/business252.hpp +include/ql/DayCounters/one.hpp include/ql/DayCounters/simpledaycounter.hpp include/ql/DayCounters/thirty360.hpp +include/ql/daycounter.hpp +include/ql/discretizedasset.hpp +include/ql/errors.hpp +include/ql/event.hpp +include/ql/exercise.hpp +include/ql/exchangerate.hpp include/ql/FiniteDifferences/all.hpp include/ql/FiniteDifferences/americancondition.hpp include/ql/FiniteDifferences/boundarycondition.hpp include/ql/FiniteDifferences/bsmoperator.hpp +include/ql/FiniteDifferences/bsmtermoperator.hpp include/ql/FiniteDifferences/core.hpp include/ql/FiniteDifferences/cranknicolson.hpp include/ql/FiniteDifferences/dminus.hpp -include/ql/FiniteDifferences/dplus.hpp include/ql/FiniteDifferences/dplusdminus.hpp +include/ql/FiniteDifferences/dplus.hpp include/ql/FiniteDifferences/dzero.hpp include/ql/FiniteDifferences/expliciteuler.hpp include/ql/FiniteDifferences/fdtypedefs.hpp @@ -57,104 +103,242 @@ include/ql/FiniteDifferences/finitedifferencemodel.hpp include/ql/FiniteDifferences/impliciteuler.hpp include/ql/FiniteDifferences/mixedscheme.hpp include/ql/FiniteDifferences/onefactoroperator.hpp +include/ql/FiniteDifferences/operatorfactory.hpp +include/ql/FiniteDifferences/operatortraits.hpp +include/ql/FiniteDifferences/parallelevolver.hpp +include/ql/FiniteDifferences/pdebsm.hpp +include/ql/FiniteDifferences/pdeshortrate.hpp +include/ql/FiniteDifferences/pde.hpp include/ql/FiniteDifferences/shoutcondition.hpp include/ql/FiniteDifferences/stepcondition.hpp include/ql/FiniteDifferences/tridiagonaloperator.hpp -include/ql/FiniteDifferences/valueatcenter.hpp +include/ql/FiniteDifferences/zerocondition.hpp +include/ql/grid.hpp +include/ql/handle.hpp include/ql/Indexes/all.hpp include/ql/Indexes/audlibor.hpp include/ql/Indexes/cadlibor.hpp -include/ql/Indexes/chflibor.hpp +include/ql/Indexes/cdor.hpp include/ql/Indexes/core.hpp +include/ql/Indexes/dkklibor.hpp +include/ql/Indexes/euriborswapfixa.hpp +include/ql/Indexes/euriborswapfixifr.hpp include/ql/Indexes/euribor.hpp +include/ql/Indexes/eurliborswapfixa.hpp +include/ql/Indexes/eurliborswapfixb.hpp +include/ql/Indexes/eurliborswapfixifr.hpp +include/ql/Indexes/eurlibor.hpp include/ql/Indexes/gbplibor.hpp +include/ql/Indexes/chflibor.hpp +include/ql/Indexes/iborindex.hpp +include/ql/Indexes/indexmanager.hpp +include/ql/Indexes/interestrateindex.hpp +include/ql/Indexes/jibar.hpp include/ql/Indexes/jpylibor.hpp +include/ql/Indexes/libor.hpp +include/ql/Indexes/nzdlibor.hpp +include/ql/Indexes/swapindex.hpp +include/ql/Indexes/tibor.hpp +include/ql/Indexes/trlibor.hpp include/ql/Indexes/usdlibor.hpp include/ql/Indexes/xibor.hpp -include/ql/Indexes/xibormanager.hpp -include/ql/Indexes/zarlibor.hpp +include/ql/Indexes/zibor.hpp +include/ql/index.hpp include/ql/Instruments/all.hpp include/ql/Instruments/asianoption.hpp +include/ql/Instruments/assetswap.hpp include/ql/Instruments/barrieroption.hpp include/ql/Instruments/basketoption.hpp +include/ql/Instruments/bond.hpp +include/ql/Instruments/callabilityschedule.hpp include/ql/Instruments/capfloor.hpp include/ql/Instruments/cliquetoption.hpp +include/ql/Instruments/cmscouponbond.hpp +include/ql/Instruments/compositeinstrument.hpp +include/ql/Instruments/convertiblebond.hpp include/ql/Instruments/core.hpp +include/ql/Instruments/dividendschedule.hpp +include/ql/Instruments/dividendvanillaoption.hpp +include/ql/Instruments/europeanoption.hpp +include/ql/Instruments/fixedcouponbondforward.hpp +include/ql/Instruments/fixedcouponbond.hpp +include/ql/Instruments/floatingratebond.hpp +include/ql/Instruments/forwardrateagreement.hpp include/ql/Instruments/forwardvanillaoption.hpp +include/ql/Instruments/forward.hpp +include/ql/Instruments/lookbackoption.hpp +include/ql/Instruments/makecapfloor.hpp +include/ql/Instruments/makecms.hpp +include/ql/Instruments/makevanillaswap.hpp include/ql/Instruments/multiassetoption.hpp include/ql/Instruments/oneassetoption.hpp include/ql/Instruments/oneassetstrikedoption.hpp include/ql/Instruments/payoffs.hpp include/ql/Instruments/quantoforwardvanillaoption.hpp include/ql/Instruments/quantovanillaoption.hpp -include/ql/Instruments/simpleswap.hpp include/ql/Instruments/stock.hpp -include/ql/Instruments/swap.hpp include/ql/Instruments/swaption.hpp +include/ql/Instruments/swap.hpp include/ql/Instruments/vanillaoption.hpp +include/ql/Instruments/vanillaswap.hpp +include/ql/Instruments/varianceswap.hpp +include/ql/Instruments/zerocouponbond.hpp +include/ql/instrument.hpp +include/ql/interestrate.hpp include/ql/Lattices/all.hpp include/ql/Lattices/binomialtree.hpp include/ql/Lattices/bsmlattice.hpp include/ql/Lattices/core.hpp -include/ql/Lattices/lattice.hpp +include/ql/Lattices/lattice1d.hpp include/ql/Lattices/lattice2d.hpp +include/ql/Lattices/lattice.hpp +include/ql/Lattices/tflattice.hpp include/ql/Lattices/tree.hpp include/ql/Lattices/trinomialtree.hpp +include/ql/MarketModels/accountingengine.hpp +include/ql/MarketModels/all.hpp +include/ql/MarketModels/BrownianGenerators/all.hpp +include/ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp +include/ql/MarketModels/BrownianGenerators/sobolbrowniangenerator.hpp +include/ql/MarketModels/browniangenerator.hpp +include/ql/MarketModels/core.hpp +include/ql/MarketModels/curvestate.hpp +include/ql/MarketModels/driftcalculator.hpp +include/ql/MarketModels/duffsdeviceinnerproduct.hpp +include/ql/MarketModels/evolutiondescription.hpp +include/ql/MarketModels/Evolvers/all.hpp +include/ql/MarketModels/Evolvers/forwardrateconstrainedeuler.hpp +include/ql/MarketModels/Evolvers/forwardrateeulerevolver.hpp +include/ql/MarketModels/Evolvers/forwardrateipcevolver.hpp +include/ql/MarketModels/Evolvers/forwardratepcevolver.hpp +include/ql/MarketModels/ExerciseStrategies/all.hpp +include/ql/MarketModels/ExerciseStrategies/lsstrategy.hpp +include/ql/MarketModels/ExerciseStrategies/swapratetrigger.hpp +include/ql/MarketModels/ExerciseValues/all.hpp +include/ql/MarketModels/ExerciseValues/bermudanswaptionexercisevalue.hpp +include/ql/MarketModels/ExerciseValues/nothingexercisevalue.hpp +include/ql/MarketModels/exercisevalue.hpp +include/ql/MarketModels/lsbasisfunctions.hpp +include/ql/MarketModels/lsdatacollector.hpp +include/ql/MarketModels/marketmodelconstrainedevolver.hpp +include/ql/MarketModels/marketmodeldiscounter.hpp +include/ql/MarketModels/marketmodelevolver.hpp +include/ql/MarketModels/marketmodelproduct.hpp +include/ql/MarketModels/marketmodel.hpp +include/ql/MarketModels/Models/all.hpp +include/ql/MarketModels/Models/expcorrabcdvol.hpp +include/ql/MarketModels/Models/expcorrflatvol.hpp +include/ql/MarketModels/nodedataprovider.hpp +include/ql/MarketModels/parametricexerciseadapter.hpp +include/ql/MarketModels/parametricexercise.hpp +include/ql/MarketModels/parametricswapexercise.hpp +include/ql/MarketModels/Products/all.hpp +include/ql/MarketModels/Products/compositeproduct.hpp +include/ql/MarketModels/Products/multiproductcomposite.hpp +include/ql/MarketModels/Products/multiproductmultistep.hpp +include/ql/MarketModels/Products/multiproductonestep.hpp +include/ql/MarketModels/Products/MultiStep/all.hpp +include/ql/MarketModels/Products/MultiStep/callspecifiedmultiproduct.hpp +include/ql/MarketModels/Products/MultiStep/cashrebate.hpp +include/ql/MarketModels/Products/MultiStep/exerciseadapter.hpp +include/ql/MarketModels/Products/MultiStep/multistepcoinitialswaps.hpp +include/ql/MarketModels/Products/MultiStep/multistepcoterminalswaps.hpp +include/ql/MarketModels/Products/MultiStep/multistepcoterminalswaptions.hpp +include/ql/MarketModels/Products/MultiStep/multistepforwards.hpp +include/ql/MarketModels/Products/MultiStep/multistepnothing.hpp +include/ql/MarketModels/Products/MultiStep/multistepoptionlets.hpp +include/ql/MarketModels/Products/MultiStep/multistepratchet.hpp +include/ql/MarketModels/Products/MultiStep/multistepswap.hpp +include/ql/MarketModels/Products/OneStep/all.hpp +include/ql/MarketModels/Products/OneStep/onestepcoinitialswaps.hpp +include/ql/MarketModels/Products/OneStep/onestepcoterminalswaps.hpp +include/ql/MarketModels/Products/OneStep/onestepforwards.hpp +include/ql/MarketModels/Products/OneStep/onestepoptionlets.hpp +include/ql/MarketModels/Products/singleproductcomposite.hpp +include/ql/MarketModels/proxygreekengine.hpp +include/ql/MarketModels/swapbasissystem.hpp +include/ql/MarketModels/swapforwardconversionmatrix.hpp +include/ql/MarketModels/swapforwardmappings.hpp +include/ql/MarketModels/upperboundengine.hpp +include/ql/MarketModels/utilities.hpp include/ql/Math/all.hpp include/ql/Math/array.hpp +include/ql/Math/backwardflatinterpolation.hpp include/ql/Math/beta.hpp include/ql/Math/bicubicsplineinterpolation.hpp include/ql/Math/bilinearinterpolation.hpp include/ql/Math/binomialdistribution.hpp include/ql/Math/bivariatenormaldistribution.hpp -include/ql/Math/chisquaredistribution.hpp -include/ql/Math/choleskydecomposition.hpp include/ql/Math/comparison.hpp +include/ql/Math/convergencestatistics.hpp include/ql/Math/core.hpp include/ql/Math/cubicspline.hpp +include/ql/Math/curve.hpp include/ql/Math/discrepancystatistics.hpp +include/ql/Math/domain.hpp include/ql/Math/errorfunction.hpp +include/ql/Math/extrapolation.hpp include/ql/Math/factorial.hpp +include/ql/Math/forwardflatinterpolation.hpp include/ql/Math/functional.hpp include/ql/Math/gammadistribution.hpp +include/ql/Math/gaussianorthogonalpolynomial.hpp +include/ql/Math/gaussianquadratures.hpp include/ql/Math/gaussianstatistics.hpp include/ql/Math/generalstatistics.hpp +include/ql/Math/chisquaredistribution.hpp +include/ql/Math/choleskydecomposition.hpp include/ql/Math/incompletegamma.hpp include/ql/Math/incrementalstatistics.hpp -include/ql/Math/interpolation.hpp include/ql/Math/interpolation2D.hpp -include/ql/Math/interpolationtraits.hpp +include/ql/Math/interpolation.hpp include/ql/Math/kronrodintegral.hpp include/ql/Math/lexicographicalview.hpp include/ql/Math/linearinterpolation.hpp +include/ql/Math/linearleastsquaresregression.hpp include/ql/Math/loglinearinterpolation.hpp include/ql/Math/matrix.hpp +include/ql/Math/multicubicspline.hpp include/ql/Math/normaldistribution.hpp include/ql/Math/poissondistribution.hpp include/ql/Math/primenumbers.hpp include/ql/Math/pseudosqrt.hpp include/ql/Math/riskstatistics.hpp +include/ql/Math/rounding.hpp +include/ql/Math/sabrinterpolation.hpp +include/ql/Math/sampledcurve.hpp include/ql/Math/segmentintegral.hpp include/ql/Math/sequencestatistics.hpp include/ql/Math/simpsonintegral.hpp include/ql/Math/statistics.hpp +include/ql/Math/surface.hpp include/ql/Math/svd.hpp -include/ql/Math/symmetriceigenvalues.hpp include/ql/Math/symmetricschurdecomposition.hpp +include/ql/Math/tqreigendecomposition.hpp +include/ql/Math/transformedgrid.hpp include/ql/Math/trapezoidintegral.hpp +include/ql/money.hpp include/ql/MonteCarlo/all.hpp include/ql/MonteCarlo/brownianbridge.hpp include/ql/MonteCarlo/core.hpp +include/ql/MonteCarlo/earlyexercisepathpricer.hpp +include/ql/MonteCarlo/exercisestrategy.hpp +include/ql/MonteCarlo/genericlsregression.hpp +include/ql/MonteCarlo/genericparametricearlyexercise.hpp include/ql/MonteCarlo/getcovariance.hpp +include/ql/MonteCarlo/longstaffschwartzpathpricer.hpp +include/ql/MonteCarlo/lsmbasissystem.hpp include/ql/MonteCarlo/mctraits.hpp include/ql/MonteCarlo/mctypedefs.hpp include/ql/MonteCarlo/montecarlomodel.hpp -include/ql/MonteCarlo/multipath.hpp include/ql/MonteCarlo/multipathgenerator.hpp -include/ql/MonteCarlo/path.hpp +include/ql/MonteCarlo/multipath.hpp +include/ql/MonteCarlo/nodedata.hpp include/ql/MonteCarlo/pathgenerator.hpp include/ql/MonteCarlo/pathpricer.hpp +include/ql/MonteCarlo/path.hpp include/ql/MonteCarlo/sample.hpp +include/ql/numericalmethod.hpp include/ql/Optimization/all.hpp include/ql/Optimization/armijo.hpp include/ql/Optimization/conjugategradient.hpp @@ -163,50 +347,48 @@ include/ql/Optimization/core.hpp include/ql/Optimization/costfunction.hpp include/ql/Optimization/criteria.hpp include/ql/Optimization/leastsquare.hpp +include/ql/Optimization/levenbergmarquardt.hpp +include/ql/Optimization/linesearchbasedmethod.hpp include/ql/Optimization/linesearch.hpp +include/ql/Optimization/lmdif.hpp include/ql/Optimization/method.hpp include/ql/Optimization/problem.hpp include/ql/Optimization/simplex.hpp include/ql/Optimization/steepestdescent.hpp +include/ql/option.hpp include/ql/Patterns/all.hpp include/ql/Patterns/bridge.hpp include/ql/Patterns/composite.hpp include/ql/Patterns/curiouslyrecurring.hpp include/ql/Patterns/lazyobject.hpp include/ql/Patterns/observable.hpp +include/ql/Patterns/singleton.hpp include/ql/Patterns/visitor.hpp +include/ql/payoff.hpp +include/ql/period.hpp +include/ql/position.hpp include/ql/Pricers/all.hpp -include/ql/Pricers/cliquetoption.hpp -include/ql/Pricers/continuousgeometricapo.hpp include/ql/Pricers/core.hpp -include/ql/Pricers/discretegeometricapo.hpp include/ql/Pricers/discretegeometricaso.hpp -include/ql/Pricers/europeanoption.hpp -include/ql/Pricers/fdamericanoption.hpp -include/ql/Pricers/fdbermudanoption.hpp -include/ql/Pricers/fdbsmoption.hpp -include/ql/Pricers/fddividendamericanoption.hpp -include/ql/Pricers/fddividendeuropeanoption.hpp -include/ql/Pricers/fddividendoption.hpp -include/ql/Pricers/fddividendshoutoption.hpp -include/ql/Pricers/fdeuropean.hpp -include/ql/Pricers/fdmultiperiodoption.hpp -include/ql/Pricers/fdshoutoption.hpp -include/ql/Pricers/fdstepconditionoption.hpp -include/ql/Pricers/mcbasket.hpp include/ql/Pricers/mccliquetoption.hpp -include/ql/Pricers/mcdiscretearithmeticapo.hpp include/ql/Pricers/mcdiscretearithmeticaso.hpp include/ql/Pricers/mceverest.hpp -include/ql/Pricers/mchimalaya.hpp include/ql/Pricers/mcmaxbasket.hpp include/ql/Pricers/mcpagoda.hpp include/ql/Pricers/mcperformanceoption.hpp include/ql/Pricers/mcpricer.hpp -include/ql/Pricers/performanceoption.hpp +include/ql/Pricers/mchimalaya.hpp include/ql/Pricers/singleassetoption.hpp +include/ql/prices.hpp +include/ql/PricingEngines/all.hpp +include/ql/PricingEngines/americanpayoffatexpiry.hpp +include/ql/PricingEngines/americanpayoffathit.hpp include/ql/PricingEngines/Asian/all.hpp -include/ql/PricingEngines/Asian/analyticasianengine.hpp +include/ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp +include/ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp +include/ql/PricingEngines/Asian/mcdiscreteasianengine.hpp +include/ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp +include/ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp include/ql/PricingEngines/Barrier/all.hpp include/ql/PricingEngines/Barrier/analyticbarrierengine.hpp include/ql/PricingEngines/Barrier/mcbarrierengine.hpp @@ -214,172 +396,254 @@ include/ql/PricingEngines/Basket/all.hpp include/ql/PricingEngines/Basket/mcamericanbasketengine.hpp include/ql/PricingEngines/Basket/mcbasketengine.hpp include/ql/PricingEngines/Basket/stulzengine.hpp +include/ql/PricingEngines/blackcalculator.hpp +include/ql/PricingEngines/blackformula.hpp +include/ql/PricingEngines/blackmodel.hpp +include/ql/PricingEngines/blackscholescalculator.hpp include/ql/PricingEngines/CapFloor/all.hpp -include/ql/PricingEngines/CapFloor/analyticalcapfloor.hpp -include/ql/PricingEngines/CapFloor/blackcapfloor.hpp -include/ql/PricingEngines/CapFloor/capfloorpricer.hpp -include/ql/PricingEngines/CapFloor/treecapfloor.hpp +include/ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp +include/ql/PricingEngines/CapFloor/blackcapfloorengine.hpp +include/ql/PricingEngines/CapFloor/discretizedcapfloor.hpp +include/ql/PricingEngines/CapFloor/mchullwhiteengine.hpp +include/ql/PricingEngines/CapFloor/treecapfloorengine.hpp +include/ql/PricingEngines/Cliquet/all.hpp +include/ql/PricingEngines/Cliquet/analyticcliquetengine.hpp +include/ql/PricingEngines/Cliquet/analyticperformanceengine.hpp +include/ql/PricingEngines/core.hpp include/ql/PricingEngines/Forward/all.hpp include/ql/PricingEngines/Forward/forwardengine.hpp include/ql/PricingEngines/Forward/forwardperformanceengine.hpp +include/ql/PricingEngines/Forward/mcvarianceswapengine.hpp +include/ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp +include/ql/PricingEngines/genericmodelengine.hpp +include/ql/PricingEngines/greeks.hpp +include/ql/PricingEngines/Hybrid/all.hpp +include/ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp +include/ql/PricingEngines/Hybrid/discretizedconvertible.hpp +include/ql/PricingEngines/latticeshortratemodelengine.hpp +include/ql/PricingEngines/Lookback/all.hpp +include/ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.hpp +include/ql/PricingEngines/Lookback/analyticcontinuousfloatinglookback.hpp +include/ql/PricingEngines/mclongstaffschwartzengine.hpp +include/ql/PricingEngines/mcsimulation.hpp include/ql/PricingEngines/Quanto/all.hpp include/ql/PricingEngines/Quanto/quantoengine.hpp include/ql/PricingEngines/Swaption/all.hpp -include/ql/PricingEngines/Swaption/blackswaption.hpp -include/ql/PricingEngines/Swaption/jamshidianswaption.hpp -include/ql/PricingEngines/Swaption/swaptionpricer.hpp -include/ql/PricingEngines/Swaption/treeswaption.hpp +include/ql/PricingEngines/Swaption/blackswaptionengine.hpp +include/ql/PricingEngines/Swaption/discretizedswaption.hpp +include/ql/PricingEngines/Swaption/g2swaptionengine.hpp +include/ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp +include/ql/PricingEngines/Swaption/lfmswaptionengine.hpp +include/ql/PricingEngines/Swaption/treeswaptionengine.hpp include/ql/PricingEngines/Vanilla/all.hpp include/ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp +include/ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp include/ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp +include/ql/PricingEngines/Vanilla/analytichestonengine.hpp include/ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp +include/ql/PricingEngines/Vanilla/batesengine.hpp include/ql/PricingEngines/Vanilla/binomialengine.hpp include/ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp include/ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp +include/ql/PricingEngines/Vanilla/fdamericanengine.hpp +include/ql/PricingEngines/Vanilla/fdbermudanengine.hpp +include/ql/PricingEngines/Vanilla/fdconditions.hpp +include/ql/PricingEngines/Vanilla/fddividendamericanengine.hpp +include/ql/PricingEngines/Vanilla/fddividendengine.hpp +include/ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp +include/ql/PricingEngines/Vanilla/fddividendshoutengine.hpp +include/ql/PricingEngines/Vanilla/fdeuropeanengine.hpp +include/ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp +include/ql/PricingEngines/Vanilla/fdshoutengine.hpp +include/ql/PricingEngines/Vanilla/fdstepconditionengine.hpp +include/ql/PricingEngines/Vanilla/fdvanillaengine.hpp include/ql/PricingEngines/Vanilla/integralengine.hpp include/ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp +include/ql/PricingEngines/Vanilla/juquadraticengine.hpp +include/ql/PricingEngines/Vanilla/mcamericanengine.hpp include/ql/PricingEngines/Vanilla/mcdigitalengine.hpp include/ql/PricingEngines/Vanilla/mceuropeanengine.hpp +include/ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp include/ql/PricingEngines/Vanilla/mcvanillaengine.hpp -include/ql/PricingEngines/all.hpp -include/ql/PricingEngines/americanpayoffatexpiry.hpp -include/ql/PricingEngines/americanpayoffathit.hpp -include/ql/PricingEngines/blackformula.hpp -include/ql/PricingEngines/blackmodel.hpp -include/ql/PricingEngines/core.hpp -include/ql/PricingEngines/genericmodelengine.hpp -include/ql/PricingEngines/latticeshortratemodelengine.hpp -include/ql/PricingEngines/mcsimulation.hpp +include/ql/pricingengine.hpp +include/ql/Processes/all.hpp +include/ql/Processes/blackscholesprocess.hpp +include/ql/Processes/eulerdiscretization.hpp +include/ql/Processes/forwardmeasureprocess.hpp +include/ql/Processes/geometricbrownianprocess.hpp +include/ql/Processes/g2process.hpp +include/ql/Processes/hestonprocess.hpp +include/ql/Processes/hullwhiteprocess.hpp +include/ql/Processes/lfmcovarparam.hpp +include/ql/Processes/lfmhullwhiteparam.hpp +include/ql/Processes/lfmprocess.hpp +include/ql/Processes/merton76process.hpp +include/ql/Processes/ornsteinuhlenbeckprocess.hpp +include/ql/Processes/squarerootprocess.hpp +include/ql/Processes/stochasticprocessarray.hpp +include/ql/qldefines.hpp +include/ql/quantlib.hpp +include/ql/Quotes/all.hpp +include/ql/Quotes/compositequote.hpp +include/ql/Quotes/derivedquote.hpp +include/ql/Quotes/futuresconvadjustmentquote.hpp +include/ql/Quotes/simplequote.hpp +include/ql/quote.hpp include/ql/RandomNumbers/all.hpp include/ql/RandomNumbers/boxmullergaussianrng.hpp include/ql/RandomNumbers/centrallimitgaussianrng.hpp include/ql/RandomNumbers/core.hpp +include/ql/RandomNumbers/faurersg.hpp include/ql/RandomNumbers/haltonrsg.hpp -include/ql/RandomNumbers/inversecumgaussianrng.hpp -include/ql/RandomNumbers/inversecumgaussianrsg.hpp +include/ql/RandomNumbers/inversecumulativerng.hpp +include/ql/RandomNumbers/inversecumulativersg.hpp include/ql/RandomNumbers/knuthuniformrng.hpp include/ql/RandomNumbers/lecuyeruniformrng.hpp include/ql/RandomNumbers/mt19937uniformrng.hpp include/ql/RandomNumbers/primitivepolynomials.h -include/ql/RandomNumbers/randomarraygenerator.hpp +include/ql/RandomNumbers/randomizedlds.hpp include/ql/RandomNumbers/randomsequencegenerator.hpp include/ql/RandomNumbers/rngtraits.hpp -include/ql/RandomNumbers/rngtypedefs.hpp +include/ql/RandomNumbers/seedgenerator.hpp include/ql/RandomNumbers/sobolrsg.hpp +include/ql/settings.hpp +include/ql/ShortRateModels/all.hpp +include/ql/ShortRateModels/CalibrationHelpers/all.hpp include/ql/ShortRateModels/CalibrationHelpers/caphelper.hpp +include/ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp include/ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp +include/ql/ShortRateModels/calibrationhelper.hpp +include/ql/ShortRateModels/core.hpp +include/ql/ShortRateModels/LiborMarketModels/all.hpp +include/ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.hpp +include/ql/ShortRateModels/LiborMarketModels/liborforwardmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmconstwrappercorrmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmconstwrappervolmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmcorrmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmextlinexpvolmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.hpp +include/ql/ShortRateModels/LiborMarketModels/lmvolmodel.hpp +include/ql/ShortRateModels/model.hpp +include/ql/ShortRateModels/OneFactorModels/all.hpp include/ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp include/ql/ShortRateModels/OneFactorModels/coxingersollross.hpp include/ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp include/ql/ShortRateModels/OneFactorModels/hullwhite.hpp include/ql/ShortRateModels/OneFactorModels/vasicek.hpp -include/ql/ShortRateModels/TwoFactorModels/g2.hpp -include/ql/ShortRateModels/all.hpp -include/ql/ShortRateModels/calibrationhelper.hpp -include/ql/ShortRateModels/core.hpp -include/ql/ShortRateModels/model.hpp include/ql/ShortRateModels/onefactormodel.hpp include/ql/ShortRateModels/parameter.hpp +include/ql/ShortRateModels/TwoFactorModels/all.hpp +include/ql/ShortRateModels/TwoFactorModels/batesmodel.hpp +include/ql/ShortRateModels/TwoFactorModels/g2.hpp +include/ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp include/ql/ShortRateModels/twofactormodel.hpp +include/ql/schedule.hpp include/ql/Solvers1D/all.hpp include/ql/Solvers1D/bisection.hpp include/ql/Solvers1D/brent.hpp include/ql/Solvers1D/falseposition.hpp -include/ql/Solvers1D/newton.hpp include/ql/Solvers1D/newtonsafe.hpp +include/ql/Solvers1D/newton.hpp include/ql/Solvers1D/ridder.hpp include/ql/Solvers1D/secant.hpp -include/ql/TermStructures/affinetermstructure.hpp +include/ql/solver1d.hpp +include/ql/stochasticprocess.hpp +include/ql/swaptionvolstructure.hpp include/ql/TermStructures/all.hpp +include/ql/TermStructures/bondhelpers.hpp +include/ql/TermStructures/bootstraptraits.hpp include/ql/TermStructures/compoundforward.hpp include/ql/TermStructures/discountcurve.hpp include/ql/TermStructures/drifttermstructure.hpp include/ql/TermStructures/extendeddiscountcurve.hpp include/ql/TermStructures/flatforward.hpp +include/ql/TermStructures/forwardcurve.hpp include/ql/TermStructures/forwardspreadedtermstructure.hpp +include/ql/TermStructures/forwardstructure.hpp include/ql/TermStructures/impliedtermstructure.hpp -include/ql/TermStructures/piecewiseflatforward.hpp +include/ql/TermStructures/piecewiseyieldcurve.hpp +include/ql/TermStructures/piecewisezerospreadedtermstructure.hpp include/ql/TermStructures/quantotermstructure.hpp include/ql/TermStructures/ratehelpers.hpp include/ql/TermStructures/zerocurve.hpp include/ql/TermStructures/zerospreadedtermstructure.hpp +include/ql/TermStructures/zeroyieldstructure.hpp +include/ql/termstructure.hpp +include/ql/timegrid.hpp +include/ql/timeseries.hpp +include/ql/types.hpp include/ql/Utilities/all.hpp -include/ql/Utilities/combiningiterator.hpp -include/ql/Utilities/couplingiterator.hpp -include/ql/Utilities/filteringiterator.hpp -include/ql/Utilities/iteratorcategories.hpp -include/ql/Utilities/processingiterator.hpp +include/ql/Utilities/clone.hpp +include/ql/Utilities/dataformatters.hpp +include/ql/Utilities/dataparsers.hpp +include/ql/Utilities/disposable.hpp +include/ql/Utilities/null.hpp +include/ql/Utilities/observablevalue.hpp include/ql/Utilities/steppingiterator.hpp +include/ql/Utilities/strings.hpp +include/ql/Utilities/tracing.hpp +include/ql/Volatilities/abcd.hpp include/ql/Volatilities/all.hpp include/ql/Volatilities/blackconstantvol.hpp include/ql/Volatilities/blackvariancecurve.hpp include/ql/Volatilities/blackvariancesurface.hpp include/ql/Volatilities/capflatvolvector.hpp +include/ql/Volatilities/capletconstantvol.hpp +include/ql/Volatilities/capletvariancecurve.hpp +include/ql/Volatilities/capletvolatilitiesstructures.hpp +include/ql/Volatilities/capstripper.hpp +include/ql/Volatilities/cmsmarket.hpp include/ql/Volatilities/impliedvoltermstructure.hpp +include/ql/Volatilities/interpolatedsmilesection.hpp include/ql/Volatilities/localconstantvol.hpp include/ql/Volatilities/localvolcurve.hpp include/ql/Volatilities/localvolsurface.hpp +include/ql/Volatilities/sabrinterpolatedsmilesection.hpp +include/ql/Volatilities/sabr.hpp +include/ql/Volatilities/smilesection.hpp +include/ql/Volatilities/swaptionconstantvol.hpp +include/ql/Volatilities/swaptionvolcube1.hpp +include/ql/Volatilities/swaptionvolcube2.hpp +include/ql/Volatilities/swaptionvolcube.hpp +include/ql/Volatilities/swaptionvoldiscrete.hpp include/ql/Volatilities/swaptionvolmatrix.hpp -include/ql/argsandresults.hpp -include/ql/calendar.hpp -include/ql/capvolstructures.hpp -include/ql/cashflow.hpp -include/ql/config.hpp -include/ql/core.hpp -include/ql/currency.hpp -include/ql/dataformatters.hpp -include/ql/dataparsers.hpp -include/ql/date.hpp -include/ql/daycounter.hpp -include/ql/diffusionprocess.hpp -include/ql/discretizedasset.hpp -include/ql/disposable.hpp -include/ql/errors.hpp -include/ql/exercise.hpp -include/ql/functions/all.hpp -include/ql/functions/daycounters.hpp -include/ql/functions/mathf.hpp -include/ql/functions/vols.hpp -include/ql/grid.hpp -include/ql/handle.hpp -include/ql/history.hpp -include/ql/index.hpp -include/ql/instrument.hpp -include/ql/marketelement.hpp -include/ql/null.hpp -include/ql/numericalmethod.hpp -include/ql/option.hpp -include/ql/payoff.hpp -include/ql/pricingengine.hpp -include/ql/qldefines.hpp -include/ql/quantlib.hpp -include/ql/relinkablehandle.hpp -include/ql/scheduler.hpp -include/ql/solver1d.hpp -include/ql/stochasticprocess.hpp -include/ql/swaptionvolstructure.hpp -include/ql/termstructure.hpp -include/ql/types.hpp +include/ql/VolatilityModels/all.hpp +include/ql/VolatilityModels/constantestimator.hpp +include/ql/VolatilityModels/garch.hpp +include/ql/VolatilityModels/garmanklass.hpp +include/ql/VolatilityModels/simplelocalestimator.hpp +include/ql/volatilitymodel.hpp include/ql/voltermstructure.hpp +include/ql/yieldtermstructure.hpp lib/libQuantLib.a +lib/libQuantLib.la lib/libQuantLib.so lib/libQuantLib.so.0 share/aclocal/quantlib.m4 share/emacs/site-lisp/quantlib.el -@dirrm include/ql/functions +@dirrm include/ql/VolatilityModels @dirrm include/ql/Volatilities @dirrm include/ql/Utilities @dirrm include/ql/TermStructures @dirrm include/ql/Solvers1D @dirrm include/ql/ShortRateModels/TwoFactorModels @dirrm include/ql/ShortRateModels/OneFactorModels +@dirrm include/ql/ShortRateModels/LiborMarketModels @dirrm include/ql/ShortRateModels/CalibrationHelpers @dirrm include/ql/ShortRateModels @dirrm include/ql/RandomNumbers +@dirrm include/ql/Quotes +@dirrm include/ql/Processes @dirrm include/ql/PricingEngines/Vanilla @dirrm include/ql/PricingEngines/Swaption @dirrm include/ql/PricingEngines/Quanto +@dirrm include/ql/PricingEngines/Lookback +@dirrm include/ql/PricingEngines/Hybrid @dirrm include/ql/PricingEngines/Forward +@dirrm include/ql/PricingEngines/Cliquet @dirrm include/ql/PricingEngines/CapFloor @dirrm include/ql/PricingEngines/Basket @dirrm include/ql/PricingEngines/Barrier @@ -390,11 +654,21 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/Optimization @dirrm include/ql/MonteCarlo @dirrm include/ql/Math +@dirrm include/ql/MarketModels/Products/MultiStep +@dirrm include/ql/MarketModels/Products/OneStep +@dirrm include/ql/MarketModels/Products +@dirrm include/ql/MarketModels/Models +@dirrm include/ql/MarketModels/ExerciseValues +@dirrm include/ql/MarketModels/ExerciseStrategies +@dirrm include/ql/MarketModels/Evolvers +@dirrm include/ql/MarketModels/BrownianGenerators +@dirrm include/ql/MarketModels @dirrm include/ql/Lattices @dirrm include/ql/Instruments @dirrm include/ql/Indexes @dirrm include/ql/FiniteDifferences @dirrm include/ql/DayCounters @dirrm include/ql/CashFlows +@dirrm include/ql/Currencies @dirrm include/ql/Calendars @dirrm include/ql |