diff options
| author | Mikhail Teterin <mi@FreeBSD.org> | 2018-07-21 00:10:28 +0000 |
|---|---|---|
| committer | Mikhail Teterin <mi@FreeBSD.org> | 2018-07-21 00:10:28 +0000 |
| commit | 299dde50ba8878e5e53333424aaa6f90eb871732 (patch) | |
| tree | a78949af9cf6325161ccb1b8bda56dcdb4b4b796 /finance/quantlib | |
| parent | f3311ef85cf54f4a44d1790dc69ca8cbde27541b (diff) | |
| download | ports-299dde50ba8878e5e53333424aaa6f90eb871732.tar.gz ports-299dde50ba8878e5e53333424aaa6f90eb871732.zip | |
Add (the first draft of) port of QuantLib -- a C++ library for financial modelers.
Sponsored by: Virtual Estates
Notes
Notes:
svn path=/head/; revision=475044
Diffstat (limited to 'finance/quantlib')
| -rw-r--r-- | finance/quantlib/Makefile | 66 | ||||
| -rw-r--r-- | finance/quantlib/distinfo | 3 | ||||
| -rw-r--r-- | finance/quantlib/files/patch-gmakeism | 14 | ||||
| -rw-r--r-- | finance/quantlib/files/patch-tests | 36 | ||||
| -rw-r--r-- | finance/quantlib/pkg-descr | 16 | ||||
| -rw-r--r-- | finance/quantlib/pkg-help | 56 | ||||
| -rw-r--r-- | finance/quantlib/pkg-plist | 1366 |
7 files changed, 1557 insertions, 0 deletions
diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile new file mode 100644 index 000000000000..8f64adaf4f4e --- /dev/null +++ b/finance/quantlib/Makefile @@ -0,0 +1,66 @@ +# Created by: Mikhail Teterin +# $FreeBSD$ + +PORTNAME= quantlib +PORTVERSION= 1.13 +CATEGORIES= finance math devel +MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ +DISTNAME= QuantLib-${PORTVERSION} + +MAINTAINER= mi@aldan.algebra.com +COMMENT= C++ library for quantitative finance + +LICENSE= BSD3CLAUSE +LICENSE_FILE= ${WRKSRC}/LICENSE.TXT + +LIB_DEPENDS= libboost_system.so:devel/boost-libs + +USES= compiler +USE_LDCONFIG= yes +GNU_CONFIGURE= yes +CONFIGURE_ENV+= EMACS=no +TEST_TARGET= check-examples check +OPTIONS_SUB= please + +OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK UNITY_BUILD NEGATIVE_RATES + +OPTIONS_DEFINE= TRACING INDEXED_COUPONS +OPTIONS_DEFINE+=EXTRA_SAFETY_CHECKS SESSIONS INTRADAY +OPTIONS_DEFINE+=THREAD_SAFE_OBSERVER_PATTERN +OPTIONS_DEFINE+=THREAD_SAFE_SINGLETON_INIT +OPTIONS_DEFINE+=${OPTIONS_DEFAULT} + +.if ${CC} == "cc" +# The base cc/c++ on FreeBSD-10 is too old for OpenMP. +OPTIONS_EXCLUDE_FreeBSD_10=OPENMP +.endif + +BENCHMARK_DESC= Install benchmark (it is always built) +EXTRA_SAFETY_CHECKS_DESC=Trade performance for run-time checks +INDEXED_COUPONS_DESC= Use indexed rather than par coupons +INTRADAY_DESC= Time precision of msecs, instead of days +NEGATIVE_RATES_DESC= Allow rates to be negative +TRACING_DESC= Trade performance for more detailed errors +UNITY_BUILD_DESC= Combine sources into one before compiling +SESSIONS_DESC= See help + +EXAMPLES_CONFIGURE_WITH=lispdir=${EXAMPLESDIR} +CONFIGURE_ARGS+= --enable-parallel-unit-test-runner +CONFIGURE_ARGS+= --with-boost-include=${LOCALBASE}/include +CONFIGURE_ARGS+= --with-boost-lib=${LOCALBASE}/lib + +.for o in ${OPTIONS_DEFINE} +$o_CONFIGURE_ENABLE= ${o:S/_/-/g:tl} +.endfor + +# OPENMP_USES= compiler:openmp - XXX broken, insists on gcc, +# but boost is built with clang... +OPENMP_LIB_DEPENDS= libomp.so:devel/openmp +OPENMP_CFLAGS= -I${LOCALBASE}/include +OPENMP_LDFLAGS= -L${LOCALBASE}/lib +# devel/openmp installs its own -lomp, which is cleaner. +# unfortunately, devel/llvm${COMPILER_VERSION} may install +# one too: +OPENMP_LDFLAGS+= -L${LOCALBASE}/llvm${COMPILER_VERSION}/lib + +.include <bsd.port.mk> diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo new file mode 100644 index 000000000000..be23fecf8f7f --- /dev/null +++ b/finance/quantlib/distinfo @@ -0,0 +1,3 @@ +TIMESTAMP = 1531235784 +SHA256 (QuantLib-1.13.tar.gz) = bb52df179781f9c19ef8e976780c4798b0cdc4d21fa72a7a386016e24d1a86e6 +SIZE (QuantLib-1.13.tar.gz) = 9132949 diff --git a/finance/quantlib/files/patch-gmakeism b/finance/quantlib/files/patch-gmakeism new file mode 100644 index 000000000000..3a989a1cc090 --- /dev/null +++ b/finance/quantlib/files/patch-gmakeism @@ -0,0 +1,14 @@ +Allow check-exapmles to work with our make, upstream's syntax is +gmake-only... + +--- Examples/Makefile.in 2018-05-23 14:35:06 ++++ Examples/Makefile.in 2018-07-10 23:06:07 +@@ -657,6 +657,6 @@ + + +-%.check: +- $(MAKE) -C $* check-examples ++${SUBDIR_CHECKS}: ++ $(MAKE) -C ${@:.check=} check-examples + + .PHONY: examples check-examples $(SUBDIRS) diff --git a/finance/quantlib/files/patch-tests b/finance/quantlib/files/patch-tests new file mode 100644 index 000000000000..8eaa0a23e219 --- /dev/null +++ b/finance/quantlib/files/patch-tests @@ -0,0 +1,36 @@ +See: + + https://github.com/lballabio/QuantLib/pull/507/ + +--- ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp ++++ ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp +@@ -132,7 +132,8 @@ namespace QuantLib { + + for (Size i=0; i < strikes_.size(); ++i) + for (Size j=1; j<strikes_[i]->size(); j++) { +- QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1), ++ QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1) ++ || close_enough(strikes_[i]->at(j),strikes_[i]->at(j-1)), + "strikes must be sorted"); + } + } +--- test-suite/hestonslvmodel.cpp ++++ test-suite/hestonslvmodel.cpp +@@ -2446,7 +2446,7 @@ void HestonSLVModelTest::testMoustacheGraph() { + -0.0293,-0.0297,-0.0251,-0.0192,-0.0134,-0.0084,-0.0045, + -0.0015, 0.0005, 0.0017, 0.0020 + }; +- const Real tol = 8e-3; ++ const Real tol = 1e-2; + + for (Size i=0; i < 18; ++i) { + const Real dist = 10.0+5.0*i; +--- test-suite/fdheston.cpp 2018-05-21 08:58:38.000000000 -0400 ++++ test-suite/fdheston.cpp 2018-07-20 18:51:34.213199000 -0400 +@@ -469,5 +469,5 @@ + new FdHestonVanillaEngine(boost::shared_ptr<HestonModel>( + new HestonModel(hestonProcess)), +- 500, 400, 3, 0, ++ 4000, 400, 3, 0, + FdmSchemeDesc::ExplicitEuler()))); + diff --git a/finance/quantlib/pkg-descr b/finance/quantlib/pkg-descr new file mode 100644 index 000000000000..600e62200a9d --- /dev/null +++ b/finance/quantlib/pkg-descr @@ -0,0 +1,16 @@ +The QuantLib project is aimed at providing a comprehensive software +framework for quantitative finance. QuantLib is a free/open-source +library for modeling, trading, and risk management in real-life. + +QuantLib is written in C++ with a clean object model, and is then +exported to different languages such as C#, Objective Caml, Java, +Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is +also available. The reposit project facilitates deployment of object +libraries to end user platforms and is used to generate QuantLibXL, +an Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for +other platforms such as LibreOffice Calc. Bindings to other languages +and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, +COM/CORBA/SOAP architectures, FpML, are under consideration. See +the extensions page for details. + +WWW: https://www.quantlib.org/ diff --git a/finance/quantlib/pkg-help b/finance/quantlib/pkg-help new file mode 100644 index 000000000000..7b2f052167bd --- /dev/null +++ b/finance/quantlib/pkg-help @@ -0,0 +1,56 @@ + --enable-openmp If enabled, configure will try to detect and enable + OpenMP support. + --enable-tracing If enabled, tracing messages might be emitted by the + library depending on run-time settings. Enabling + this option can degrade performance. + --enable-indexed-coupons + If enabled, indexed coupons (see the documentation) + are used in floating legs. If disabled (the + default), par coupons are used. + --enable-negative-rates If enabled (the default), negative yield rates are + allowed. If disabled, some features (notably, curve + bootstrapping) will throw when negative rates are + found. + --enable-extra-safety-checks + If enabled, extra run-time checks are added to a few + functions. This can prevent their inlining and + degrade performance. + --enable-sessions If enabled, singletons will return different + instances for different sessions. You will have to + provide and link with the library a sessionId() + function in namespace QuantLib, returning a + different session id for each session. + --enable-thread-safe-observer-pattern + If enabled, thread-safe version of the observer + pattern will be used. You should enable it if you + want to use QuantLib via the SWIG layer within the + JVM or .NET eco system or any environment with an + async garbage collector. + --enable-thread-safe-singleton-init + If enabled, singleton initialization will be + thread-safe. This requires Boost 1.58 or later and + is not supported when sessions are enabled. + --enable-parallel-unit-test-runner + If enabled, a parallel unit test runner is used to + execute the C++ test suite. This will reduce the + runtime on multi core CPUs. + --enable-examples If enabled, examples are built and installed when + "make" and "make install" are invoked. If disabled + (the default) they are built but not installed. + --enable-benchmark If enabled, the benchmark is built and installed + when "make" and "make install" are invoked. If + disabled (the default) it is built but not + installed. + --enable-unity-build If enabled, the source files in each directory are + collected into one single source file and compiled + together. This can speed up the compilation of the + library. If disabled (the default) each source file + is compiled separately.. + --enable-intraday If enabled, date objects will support an intraday + datetime resolution down to microseconds. Strickly + monotone daycounters (Actual360, Actual365Fixed and + ActualActual) will take the additional information + into account and allow for accurate intraday + pricing. If disabled (the default) the smallest + resolution of date objects will be a single day. + Intraday datetime resolution is experimental. diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist new file mode 100644 index 000000000000..451cdab68c87 --- /dev/null +++ b/finance/quantlib/pkg-plist @@ -0,0 +1,1366 @@ +bin/quantlib-test-suite +bin/quantlib-config +%%EXAMPLES%%bin/BasketLosses +%%EXAMPLES%%bin/BermudanSwaption +%%EXAMPLES%%bin/Bonds +%%EXAMPLES%%bin/CDS +%%EXAMPLES%%bin/CVAIRS +%%EXAMPLES%%bin/CallableBonds +%%EXAMPLES%%bin/ConvertibleBonds +%%EXAMPLES%%bin/DiscreteHedging +%%EXAMPLES%%bin/EquityOption +%%EXAMPLES%%bin/FRA +%%EXAMPLES%%bin/FittedBondCurve +%%EXAMPLES%%bin/Gaussian1dModels +%%EXAMPLES%%bin/GlobalOptimizer +%%EXAMPLES%%bin/LatentModel +%%EXAMPLES%%bin/MarketModels +%%EXAMPLES%%bin/MultidimIntegral +%%EXAMPLES%%bin/Replication +%%EXAMPLES%%bin/Repo +%%EXAMPLES%%bin/SwapValuation +%%BENCHMARK%%bin/quantlib-benchmark +%%EXAMPLES%%man/man1/BasketLosses.1.gz +%%EXAMPLES%%man/man1/BermudanSwaption.1.gz +%%EXAMPLES%%man/man1/Bonds.1.gz +%%EXAMPLES%%man/man1/CDS.1.gz +%%EXAMPLES%%man/man1/CVAIRS.1.gz +%%EXAMPLES%%man/man1/CallableBonds.1.gz +%%EXAMPLES%%man/man1/ConvertibleBonds.1.gz +%%EXAMPLES%%man/man1/DiscreteHedging.1.gz +%%EXAMPLES%%man/man1/EquityOption.1.gz +%%EXAMPLES%%man/man1/FRA.1.gz +%%EXAMPLES%%man/man1/FittedBondCurve.1.gz +%%EXAMPLES%%man/man1/Gaussian1dModels.1.gz +%%EXAMPLES%%man/man1/GlobalOptimizer.1.gz +%%EXAMPLES%%man/man1/LatentModel.1.gz +%%EXAMPLES%%man/man1/MarketModels.1.gz +%%EXAMPLES%%man/man1/MultidimIntegral.1.gz +%%EXAMPLES%%man/man1/Replication.1.gz +%%EXAMPLES%%man/man1/Repo.1.gz +%%EXAMPLES%%man/man1/SwapValuation.1.gz +%%BENCHMARK%%man/man1/quantlib-benchmark.1.gz +include/ql/cashflows/all.hpp +include/ql/cashflows/averagebmacoupon.hpp +include/ql/cashflows/capflooredcoupon.hpp +include/ql/cashflows/capflooredinflationcoupon.hpp +include/ql/cashflows/cashflows.hpp +include/ql/cashflows/cashflowvectors.hpp +include/ql/cashflows/cmscoupon.hpp +include/ql/cashflows/conundrumpricer.hpp +include/ql/cashflows/coupon.hpp +include/ql/cashflows/couponpricer.hpp +include/ql/cashflows/cpicoupon.hpp +include/ql/cashflows/cpicouponpricer.hpp +include/ql/cashflows/digitalcmscoupon.hpp +include/ql/cashflows/digitalcoupon.hpp +include/ql/cashflows/digitaliborcoupon.hpp +include/ql/cashflows/dividend.hpp +include/ql/cashflows/duration.hpp +include/ql/cashflows/iborcoupon.hpp +include/ql/cashflows/fixedratecoupon.hpp +include/ql/cashflows/floatingratecoupon.hpp +include/ql/cashflows/indexedcashflow.hpp +include/ql/cashflows/inflationcoupon.hpp +include/ql/cashflows/inflationcouponpricer.hpp +include/ql/cashflows/lineartsrpricer.hpp +include/ql/cashflows/overnightindexedcoupon.hpp +include/ql/cashflows/rangeaccrual.hpp +include/ql/cashflows/replication.hpp +include/ql/cashflows/simplecashflow.hpp +include/ql/cashflows/timebasket.hpp +include/ql/cashflows/yoyinflationcoupon.hpp +include/ql/currencies/all.hpp +include/ql/currencies/africa.hpp +include/ql/currencies/america.hpp +include/ql/currencies/asia.hpp +include/ql/currencies/crypto.hpp +include/ql/currencies/europe.hpp +include/ql/currencies/exchangeratemanager.hpp +include/ql/currencies/oceania.hpp +include/ql/experimental/amortizingbonds/all.hpp +include/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp +include/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp +include/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp +include/ql/experimental/averageois/all.hpp +include/ql/experimental/averageois/averageoiscouponpricer.hpp +include/ql/experimental/averageois/arithmeticaverageois.hpp +include/ql/experimental/averageois/arithmeticoisratehelper.hpp +include/ql/experimental/averageois/makearithmeticaverageois.hpp +include/ql/experimental/barrieroption/all.hpp +include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp +include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp +include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp +include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarriertype.hpp +include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp +include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp +include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgainterpolation.hpp +include/ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp +include/ql/experimental/callablebonds/all.hpp +include/ql/experimental/callablebonds/blackcallablebondengine.hpp +include/ql/experimental/callablebonds/callablebondconstantvol.hpp +include/ql/experimental/callablebonds/callablebond.hpp +include/ql/experimental/callablebonds/callablebondvolstructure.hpp +include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp +include/ql/experimental/callablebonds/treecallablebondengine.hpp +include/ql/experimental/catbonds/all.hpp +include/ql/experimental/catbonds/catbond.hpp +include/ql/experimental/catbonds/catrisk.hpp +include/ql/experimental/catbonds/montecarlocatbondengine.hpp +include/ql/experimental/catbonds/riskynotional.hpp +include/ql/experimental/commodities/all.hpp +include/ql/experimental/commodities/commodity.hpp +include/ql/experimental/commodities/commoditycashflow.hpp +include/ql/experimental/commodities/commoditycurve.hpp +include/ql/experimental/commodities/commodityindex.hpp +include/ql/experimental/commodities/commoditypricinghelpers.hpp +include/ql/experimental/commodities/commoditysettings.hpp +include/ql/experimental/commodities/commoditytype.hpp +include/ql/experimental/commodities/commodityunitcost.hpp +include/ql/experimental/commodities/dateinterval.hpp +include/ql/experimental/commodities/energybasisswap.hpp +include/ql/experimental/commodities/energycommodity.hpp +include/ql/experimental/commodities/energyfuture.hpp +include/ql/experimental/commodities/energyswap.hpp +include/ql/experimental/commodities/energyvanillaswap.hpp +include/ql/experimental/commodities/exchangecontract.hpp +include/ql/experimental/commodities/paymentterm.hpp +include/ql/experimental/commodities/petroleumunitsofmeasure.hpp +include/ql/experimental/commodities/pricingperiod.hpp +include/ql/experimental/commodities/quantity.hpp +include/ql/experimental/commodities/unitofmeasure.hpp +include/ql/experimental/commodities/unitofmeasureconversion.hpp +include/ql/experimental/commodities/unitofmeasureconversionmanager.hpp +include/ql/experimental/convertiblebonds/all.hpp +include/ql/experimental/convertiblebonds/binomialconvertibleengine.hpp +include/ql/experimental/convertiblebonds/convertiblebond.hpp +include/ql/experimental/convertiblebonds/discretizedconvertible.hpp +include/ql/experimental/convertiblebonds/tflattice.hpp +include/ql/experimental/coupons/all.hpp +include/ql/experimental/coupons/cmsspreadcoupon.hpp +include/ql/experimental/coupons/digitalcmsspreadcoupon.hpp +include/ql/experimental/coupons/lognormalcmsspreadpricer.hpp +include/ql/experimental/coupons/proxyibor.hpp +include/ql/experimental/coupons/quantocouponpricer.hpp +include/ql/experimental/coupons/strippedcapflooredcoupon.hpp +include/ql/experimental/coupons/subperiodcoupons.hpp +include/ql/experimental/coupons/swapspreadindex.hpp +include/ql/experimental/credit/all.hpp +include/ql/experimental/credit/basecorrelationlossmodel.hpp +include/ql/experimental/credit/basecorrelationstructure.hpp +include/ql/experimental/credit/basket.hpp +include/ql/experimental/credit/binomiallossmodel.hpp +include/ql/experimental/credit/blackcdsoptionengine.hpp +include/ql/experimental/credit/cdo.hpp +include/ql/experimental/credit/cdsoption.hpp +include/ql/experimental/credit/constantlosslatentmodel.hpp +include/ql/experimental/credit/correlationstructure.hpp +include/ql/experimental/credit/defaultevent.hpp +include/ql/experimental/credit/defaultlossmodel.hpp +include/ql/experimental/credit/defaultprobabilitykey.hpp +include/ql/experimental/credit/defaultprobabilitylatentmodel.hpp +include/ql/experimental/credit/defaulttype.hpp +include/ql/experimental/credit/distribution.hpp +include/ql/experimental/credit/factorspreadedhazardratecurve.hpp +include/ql/experimental/credit/gaussianlhplossmodel.hpp +include/ql/experimental/credit/homogeneouspooldef.hpp +include/ql/experimental/credit/inhomogeneouspooldef.hpp +include/ql/experimental/credit/integralcdoengine.hpp +include/ql/experimental/credit/integralntdengine.hpp +include/ql/experimental/credit/interpolatedaffinehazardratecurve.hpp +include/ql/experimental/credit/issuer.hpp +include/ql/experimental/credit/loss.hpp +include/ql/experimental/credit/lossdistribution.hpp +include/ql/experimental/credit/midpointcdoengine.hpp +include/ql/experimental/credit/nthtodefault.hpp +include/ql/experimental/credit/onefactoraffinesurvival.hpp +include/ql/experimental/credit/onefactorcopula.hpp +include/ql/experimental/credit/onefactorgaussiancopula.hpp +include/ql/experimental/credit/pool.hpp +include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/randomdefaultlatentmodel.hpp +include/ql/experimental/credit/randomdefaultmodel.hpp +include/ql/experimental/credit/randomlosslatentmodel.hpp +include/ql/experimental/credit/recoveryratemodel.hpp +include/ql/experimental/credit/recoveryratequote.hpp +include/ql/experimental/credit/recursivelossmodel.hpp +include/ql/experimental/credit/riskyassetswap.hpp +include/ql/experimental/credit/riskyassetswapoption.hpp +include/ql/experimental/credit/riskybond.hpp +include/ql/experimental/credit/saddlepointlossmodel.hpp +include/ql/experimental/credit/spotlosslatentmodel.hpp +include/ql/experimental/credit/spreadedhazardratecurve.hpp +include/ql/experimental/credit/syntheticcdo.hpp +include/ql/experimental/exoticoptions/all.hpp +include/ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp +include/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp +include/ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp +include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp +include/ql/experimental/exoticoptions/analyticsimplechooserengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp +include/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/complexchooseroption.hpp +include/ql/experimental/exoticoptions/compoundoption.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp +include/ql/experimental/exoticoptions/everestoption.hpp +include/ql/experimental/exoticoptions/himalayaoption.hpp +include/ql/experimental/exoticoptions/holderextensibleoption.hpp +include/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp +include/ql/experimental/exoticoptions/margrabeoption.hpp +include/ql/experimental/exoticoptions/mceverestengine.hpp +include/ql/experimental/exoticoptions/mchimalayaengine.hpp +include/ql/experimental/exoticoptions/mcpagodaengine.hpp +include/ql/experimental/exoticoptions/pagodaoption.hpp +include/ql/experimental/exoticoptions/partialtimebarrieroption.hpp +include/ql/experimental/exoticoptions/simplechooseroption.hpp +include/ql/experimental/exoticoptions/spreadoption.hpp +include/ql/experimental/exoticoptions/twoassetbarrieroption.hpp +include/ql/experimental/exoticoptions/twoassetcorrelationoption.hpp +include/ql/experimental/exoticoptions/writerextensibleoption.hpp +include/ql/experimental/finitedifferences/all.hpp +include/ql/experimental/finitedifferences/bsmrndcalculator.hpp +include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp +include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp +include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp +include/ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp +include/ql/experimental/finitedifferences/fdmdupire1dop.hpp +include/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp +include/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp +include/ql/experimental/finitedifferences/fdmextoujumpop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp +include/ql/experimental/finitedifferences/fdmzabrop.hpp +include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp +include/ql/experimental/finitedifferences/fdmhestonfwdop.hpp +include/ql/experimental/finitedifferences/fdmklugeextouop.hpp +include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp +include/ql/experimental/finitedifferences/fdmlocalvolfwdop.hpp +include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp +include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp +include/ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp +include/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp +include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp +include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp +include/ql/experimental/finitedifferences/gbsmrndcalculator.hpp +include/ql/experimental/finitedifferences/glued1dmesher.hpp +include/ql/experimental/finitedifferences/hestonrndcalculator.hpp +include/ql/experimental/finitedifferences/localvolrndcalculator.hpp +include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp +include/ql/experimental/finitedifferences/riskneutraldensitycalculator.hpp +include/ql/experimental/finitedifferences/squarerootprocessrndcalculator.hpp +include/ql/experimental/finitedifferences/vanillavppoption.hpp +include/ql/experimental/fx/all.hpp +include/ql/experimental/fx/blackdeltacalculator.hpp +include/ql/experimental/fx/deltavolquote.hpp +include/ql/experimental/inflation/all.hpp +include/ql/experimental/inflation/cpicapfloorengines.hpp +include/ql/experimental/inflation/cpicapfloortermpricesurface.hpp +include/ql/experimental/inflation/genericindexes.hpp +include/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp +include/ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp +include/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp +include/ql/experimental/inflation/polynomial2Dspline.hpp +include/ql/experimental/inflation/yoycapfloortermpricesurface.hpp +include/ql/experimental/inflation/yoyoptionlethelpers.hpp +include/ql/experimental/inflation/yoyoptionletstripper.hpp 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+include/ql/quotes/forwardvaluequote.hpp +include/ql/quotes/futuresconvadjustmentquote.hpp +include/ql/quotes/impliedstddevquote.hpp +include/ql/quotes/lastfixingquote.hpp +include/ql/quotes/simplequote.hpp +include/ql/termstructures/credit/all.hpp +include/ql/termstructures/credit/defaultdensitystructure.hpp +include/ql/termstructures/credit/defaultprobabilityhelpers.hpp +include/ql/termstructures/credit/flathazardrate.hpp +include/ql/termstructures/credit/hazardratestructure.hpp +include/ql/termstructures/credit/interpolateddefaultdensitycurve.hpp +include/ql/termstructures/credit/interpolatedhazardratecurve.hpp +include/ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp +include/ql/termstructures/credit/piecewisedefaultcurve.hpp +include/ql/termstructures/credit/probabilitytraits.hpp +include/ql/termstructures/credit/survivalprobabilitystructure.hpp +include/ql/termstructures/inflation/all.hpp +include/ql/termstructures/inflation/inflationhelpers.hpp +include/ql/termstructures/inflation/inflationtraits.hpp +include/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp +include/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp +include/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp +include/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp +include/ql/termstructures/inflation/seasonality.hpp +include/ql/termstructures/volatility/equityfx/all.hpp +include/ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp +include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp +include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityadapter.hpp +include/ql/termstructures/volatility/equityfx/blackconstantvol.hpp +include/ql/termstructures/volatility/equityfx/blackvariancecurve.hpp +include/ql/termstructures/volatility/equityfx/blackvariancesurface.hpp +include/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp +include/ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp +include/ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.hpp +include/ql/termstructures/volatility/equityfx/hestonblackvolsurface.hpp +include/ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp +include/ql/termstructures/volatility/equityfx/localconstantvol.hpp +include/ql/termstructures/volatility/equityfx/localvolcurve.hpp +include/ql/termstructures/volatility/equityfx/localvolsurface.hpp +include/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp +include/ql/termstructures/volatility/equityfx/noexceptlocalvolsurface.hpp +include/ql/termstructures/volatility/capfloor/all.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp +include/ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp +include/ql/termstructures/volatility/inflation/all.hpp +include/ql/termstructures/volatility/inflation/constantcpivolatility.hpp +include/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp +include/ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp +include/ql/termstructures/volatility/optionlet/all.hpp +include/ql/termstructures/volatility/optionlet/capletvariancecurve.hpp +include/ql/termstructures/volatility/optionlet/constantoptionletvol.hpp +include/ql/termstructures/volatility/optionlet/optionletstripper.hpp +include/ql/termstructures/volatility/optionlet/optionletstripper1.hpp +include/ql/termstructures/volatility/optionlet/optionletstripper2.hpp +include/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp +include/ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp +include/ql/termstructures/volatility/optionlet/strippedoptionlet.hpp +include/ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp +include/ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp +include/ql/termstructures/volatility/swaption/all.hpp +include/ql/termstructures/volatility/swaption/cmsmarket.hpp +include/ql/termstructures/volatility/swaption/cmsmarketcalibration.hpp +include/ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp +include/ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp +include/ql/termstructures/volatility/swaption/swaptionconstantvol.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp +include/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp +include/ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp +include/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp +include/ql/termstructures/volatility/all.hpp +include/ql/termstructures/volatility/abcd.hpp +include/ql/termstructures/volatility/abcdcalibration.hpp +include/ql/termstructures/volatility/atmadjustedsmilesection.hpp +include/ql/termstructures/volatility/atmsmilesection.hpp +include/ql/termstructures/volatility/flatsmilesection.hpp +include/ql/termstructures/volatility/gaussian1dsmilesection.hpp +include/ql/termstructures/volatility/interpolatedsmilesection.hpp +include/ql/termstructures/volatility/kahalesmilesection.hpp +include/ql/termstructures/volatility/sabr.hpp +include/ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp +include/ql/termstructures/volatility/sabrsmilesection.hpp +include/ql/termstructures/volatility/smilesection.hpp +include/ql/termstructures/volatility/smilesectionutils.hpp +include/ql/termstructures/volatility/spreadedsmilesection.hpp +include/ql/termstructures/volatility/volatilitytype.hpp +include/ql/termstructures/yield/all.hpp +include/ql/termstructures/yield/bondhelpers.hpp +include/ql/termstructures/yield/bootstraptraits.hpp +include/ql/termstructures/yield/compositezeroyieldstructure.hpp +include/ql/termstructures/yield/discountcurve.hpp +include/ql/termstructures/yield/drifttermstructure.hpp +include/ql/termstructures/yield/fittedbonddiscountcurve.hpp +include/ql/termstructures/yield/flatforward.hpp +include/ql/termstructures/yield/forwardcurve.hpp +include/ql/termstructures/yield/forwardspreadedtermstructure.hpp +include/ql/termstructures/yield/forwardstructure.hpp +include/ql/termstructures/yield/impliedtermstructure.hpp +include/ql/termstructures/yield/nonlinearfittingmethods.hpp +include/ql/termstructures/yield/oisratehelper.hpp +include/ql/termstructures/yield/piecewiseyieldcurve.hpp +include/ql/termstructures/yield/ratehelpers.hpp +include/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp +include/ql/termstructures/yield/quantotermstructure.hpp +include/ql/termstructures/yield/zerocurve.hpp +include/ql/termstructures/yield/zerospreadedtermstructure.hpp +include/ql/termstructures/yield/zeroyieldstructure.hpp +include/ql/termstructures/all.hpp +include/ql/termstructures/bootstraperror.hpp +include/ql/termstructures/bootstraphelper.hpp +include/ql/termstructures/defaulttermstructure.hpp +include/ql/termstructures/inflationtermstructure.hpp +include/ql/termstructures/interpolatedcurve.hpp +include/ql/termstructures/iterativebootstrap.hpp +include/ql/termstructures/localbootstrap.hpp +include/ql/termstructures/voltermstructure.hpp +include/ql/termstructures/yieldtermstructure.hpp +include/ql/time/calendars/all.hpp +include/ql/time/calendars/argentina.hpp +include/ql/time/calendars/australia.hpp +include/ql/time/calendars/bespokecalendar.hpp +include/ql/time/calendars/botswana.hpp +include/ql/time/calendars/brazil.hpp +include/ql/time/calendars/canada.hpp +include/ql/time/calendars/china.hpp +include/ql/time/calendars/czechrepublic.hpp +include/ql/time/calendars/denmark.hpp +include/ql/time/calendars/finland.hpp +include/ql/time/calendars/germany.hpp +include/ql/time/calendars/hongkong.hpp +include/ql/time/calendars/hungary.hpp +include/ql/time/calendars/iceland.hpp +include/ql/time/calendars/india.hpp +include/ql/time/calendars/indonesia.hpp +include/ql/time/calendars/israel.hpp +include/ql/time/calendars/italy.hpp +include/ql/time/calendars/japan.hpp +include/ql/time/calendars/jointcalendar.hpp +include/ql/time/calendars/mexico.hpp +include/ql/time/calendars/newzealand.hpp +include/ql/time/calendars/norway.hpp +include/ql/time/calendars/nullcalendar.hpp +include/ql/time/calendars/poland.hpp +include/ql/time/calendars/romania.hpp +include/ql/time/calendars/russia.hpp +include/ql/time/calendars/saudiarabia.hpp +include/ql/time/calendars/singapore.hpp +include/ql/time/calendars/slovakia.hpp +include/ql/time/calendars/southafrica.hpp +include/ql/time/calendars/southkorea.hpp +include/ql/time/calendars/sweden.hpp +include/ql/time/calendars/switzerland.hpp +include/ql/time/calendars/taiwan.hpp +include/ql/time/calendars/target.hpp +include/ql/time/calendars/turkey.hpp +include/ql/time/calendars/ukraine.hpp +include/ql/time/calendars/unitedkingdom.hpp +include/ql/time/calendars/unitedstates.hpp +include/ql/time/calendars/weekendsonly.hpp +include/ql/time/daycounters/all.hpp +include/ql/time/daycounters/actual360.hpp +include/ql/time/daycounters/actual365fixed.hpp +include/ql/time/daycounters/actual365nl.hpp +include/ql/time/daycounters/actualactual.hpp +include/ql/time/daycounters/business252.hpp +include/ql/time/daycounters/one.hpp +include/ql/time/daycounters/simpledaycounter.hpp +include/ql/time/daycounters/thirty360.hpp +include/ql/time/all.hpp +include/ql/time/asx.hpp +include/ql/time/businessdayconvention.hpp +include/ql/time/calendar.hpp +include/ql/time/date.hpp +include/ql/time/dategenerationrule.hpp +include/ql/time/daycounter.hpp +include/ql/time/ecb.hpp +include/ql/time/frequency.hpp +include/ql/time/imm.hpp +include/ql/time/period.hpp +include/ql/time/schedule.hpp +include/ql/time/timeunit.hpp +include/ql/time/weekday.hpp +include/ql/utilities/all.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/null_deleter.hpp +include/ql/utilities/observablevalue.hpp +include/ql/utilities/steppingiterator.hpp +include/ql/utilities/tracing.hpp +include/ql/utilities/vectors.hpp +include/ql/auto_link.hpp +include/ql/cashflow.hpp +include/ql/compounding.hpp +include/ql/config.hpp +include/ql/currency.hpp +include/ql/default.hpp +include/ql/discretizedasset.hpp +include/ql/errors.hpp +include/ql/exchangerate.hpp +include/ql/exercise.hpp +include/ql/event.hpp +include/ql/grid.hpp +include/ql/handle.hpp +include/ql/index.hpp +include/ql/instrument.hpp +include/ql/interestrate.hpp +include/ql/mathconstants.hpp +include/ql/money.hpp +include/ql/numericalmethod.hpp +include/ql/option.hpp +include/ql/payoff.hpp +include/ql/position.hpp +include/ql/prices.hpp +include/ql/pricingengine.hpp +include/ql/qldefines.hpp +include/ql/quantlib.hpp +include/ql/quote.hpp +include/ql/rebatedexercise.hpp +include/ql/settings.hpp +include/ql/stochasticprocess.hpp +include/ql/termstructure.hpp +include/ql/timegrid.hpp +include/ql/timeseries.hpp +include/ql/types.hpp +include/ql/version.hpp +include/ql/volatilitymodel.hpp +@dir include/ql +lib/libQuantLib.so +lib/libQuantLib.so.0 +lib/libQuantLib.so.0.0.0 +lib/libQuantLib.la +lib/libQuantLib.a +libdata/pkgconfig/quantlib.pc +man/man1/quantlib-config.1.gz +man/man1/quantlib-test-suite.1.gz +share/aclocal/quantlib.m4 |