From 45413829745e2b7207d3789ecf60b12e8aca60ad Mon Sep 17 00:00:00 2001 From: Max Brazhnikov Date: Thu, 18 Feb 2010 18:25:53 +0000 Subject: [PATCH] Update to 0.9.9 Pass maintainership to submitter PR: ports/144040 Submitted by: dikshie Feature safe: yes --- finance/quantlib/Makefile | 6 +- finance/quantlib/distinfo | 6 +- finance/quantlib/files/patch-configure | 10 +- .../patch-test-suite_quantlibbenchmark.cpp | 12 + .../patch-test-suite_quantlibtestsuite.cpp | 8 +- finance/quantlib/pkg-plist | 330 ++++++++++++++++-- 6 files changed, 324 insertions(+), 48 deletions(-) create mode 100644 finance/quantlib/files/patch-test-suite_quantlibbenchmark.cpp diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile index 27169effba7c..68462782ed37 100644 --- a/finance/quantlib/Makefile +++ b/finance/quantlib/Makefile @@ -7,12 +7,12 @@ # PORTNAME= quantlib -PORTVERSION= 0.9.0 +PORTVERSION= 0.9.9 CATEGORIES= finance -MASTER_SITES= SF/${PORTNAME}/QuantLib/older%20releases/${PORTVERSION} +MASTER_SITES= SF/${PORTNAME}/QuantLib/${PORTVERSION} DISTNAME= QuantLib-${PORTVERSION} -MAINTAINER= ports@FreeBSD.org +MAINTAINER= dikshie@sfc.wide.ad.jp COMMENT= A comprehensive software framework for quantitative finance LIB_DEPENDS= boost_thread.4:${PORTSDIR}/devel/boost-libs diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo index f02dbdfb83da..37ddde3c4922 100644 --- a/finance/quantlib/distinfo +++ b/finance/quantlib/distinfo @@ -1,3 +1,3 @@ -MD5 (QuantLib-0.9.0.tar.gz) = d59b7e4f9580256fe295a3a32c3eed8e -SHA256 (QuantLib-0.9.0.tar.gz) = 809cc1ea215df8fa18bb591feec4631c90a8d2d2712942aea46da9809a70f022 -SIZE (QuantLib-0.9.0.tar.gz) = 3040335 +MD5 (QuantLib-0.9.9.tar.gz) = eb3d65b37d593560364c5805a5aee2e9 +SHA256 (QuantLib-0.9.9.tar.gz) = c2d2e0e9e8670b4ff8500bc2b7dc32f8609ea326bbe354572c3976e7752e807d +SIZE (QuantLib-0.9.9.tar.gz) = 3628216 diff --git a/finance/quantlib/files/patch-configure b/finance/quantlib/files/patch-configure index 607d1e03acb3..7ff8be8f6ce3 100644 --- a/finance/quantlib/files/patch-configure +++ b/finance/quantlib/files/patch-configure @@ -1,9 +1,9 @@ ---- configure.orig Mon Jul 9 08:30:38 2007 -+++ configure Mon Jul 9 08:29:58 2007 -@@ -20357,6 +20357,8 @@ - LIBS="$ql_original_LIBS -l$boost_lib" +--- configure.orig 2010-02-17 19:21:37.000000000 +0900 ++++ configure 2010-02-17 19:22:34.000000000 +0900 +@@ -14620,6 +14620,8 @@ boost_unit_found=no - cat >conftest.$ac_ext <<_ACEOF + cat confdefs.h - <<_ACEOF >conftest.$ac_ext + /* end confdefs.h. */ +#define BOOST_TEST_DYN_LINK +#define BOOST_TEST_MAIN #include diff --git a/finance/quantlib/files/patch-test-suite_quantlibbenchmark.cpp b/finance/quantlib/files/patch-test-suite_quantlibbenchmark.cpp new file mode 100644 index 000000000000..88446c5f554a --- /dev/null +++ b/finance/quantlib/files/patch-test-suite_quantlibbenchmark.cpp @@ -0,0 +1,12 @@ +--- test-suite/quantlibbenchmark.cpp.orig 2010-02-17 20:58:39.000000000 +0900 ++++ test-suite/quantlibbenchmark.cpp 2010-02-17 20:59:32.000000000 +0900 +@@ -64,6 +64,9 @@ + copyrights therein. + */ + ++#define BOOST_TEST_DYN_LINK ++#define BOOST_TEST_MAIN ++ + #include + #include + #include diff --git a/finance/quantlib/files/patch-test-suite_quantlibtestsuite.cpp b/finance/quantlib/files/patch-test-suite_quantlibtestsuite.cpp index 8903711bc06d..7c615b53799d 100644 --- a/finance/quantlib/files/patch-test-suite_quantlibtestsuite.cpp +++ b/finance/quantlib/files/patch-test-suite_quantlibtestsuite.cpp @@ -1,5 +1,5 @@ ---- test-suite/quantlibtestsuite.cpp.orig Mon Jul 9 08:35:31 2007 -+++ test-suite/quantlibtestsuite.cpp Mon Jul 9 08:36:10 2007 +--- test-suite/quantlibtestsuite.cpp.orig 2010-02-17 19:23:25.000000000 +0900 ++++ test-suite/quantlibtestsuite.cpp 2010-02-17 19:24:06.000000000 +0900 @@ -18,6 +18,9 @@ FOR A PARTICULAR PURPOSE. See the license for more details. */ @@ -8,5 +8,5 @@ +#define BOOST_TEST_MAIN + #include - #include - #include + #include + #include diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist index 0873f542547c..429174b619fa 100644 --- a/finance/quantlib/pkg-plist +++ b/finance/quantlib/pkg-plist @@ -5,6 +5,7 @@ include/ql/cashflow.hpp 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 @@ -19,10 +20,15 @@ include/ql/cashflows/duration.hpp include/ql/cashflows/fixedratecoupon.hpp include/ql/cashflows/floatingratecoupon.hpp include/ql/cashflows/iborcoupon.hpp +include/ql/cashflows/indexedcashflow.hpp +include/ql/cashflows/inflationcoupon.hpp +include/ql/cashflows/inflationcouponpricer.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/compounding.hpp include/ql/config.hpp include/ql/currencies/africa.hpp @@ -33,19 +39,170 @@ include/ql/currencies/europe.hpp include/ql/currencies/exchangeratemanager.hpp include/ql/currencies/oceania.hpp include/ql/currency.hpp +include/ql/default.hpp include/ql/discretizedasset.hpp include/ql/errors.hpp include/ql/event.hpp include/ql/exchangerate.hpp include/ql/exercise.hpp -include/ql/experimental/abcdatmvolcurve.hpp include/ql/experimental/all.hpp -include/ql/experimental/blackatmvolcurve.hpp -include/ql/experimental/blackvolsurface.hpp -include/ql/experimental/equityfxvolsurface.hpp -include/ql/experimental/interestratevolsurface.hpp -include/ql/experimental/sabrvolsurface.hpp -include/ql/experimental/volcube.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/barrieroption/all.hpp +include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp +include/ql/experimental/callablebonds/all.hpp +include/ql/experimental/callablebonds/blackcallablebondengine.hpp +include/ql/experimental/callablebonds/callablebond.hpp +include/ql/experimental/callablebonds/callablebondconstantvol.hpp +include/ql/experimental/callablebonds/callablebondvolstructure.hpp +include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp +include/ql/experimental/callablebonds/treecallablebondengine.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/compoundoption/all.hpp +include/ql/experimental/compoundoption/analyticcompoundoptionengine.hpp +include/ql/experimental/compoundoption/compoundoption.hpp +include/ql/experimental/coupons/all.hpp +include/ql/experimental/coupons/quantocouponpricer.hpp +include/ql/experimental/coupons/subperiodcoupons.hpp +include/ql/experimental/credit/all.hpp +include/ql/experimental/credit/basket.hpp +include/ql/experimental/credit/blackcdsoptionengine.hpp +include/ql/experimental/credit/cdo.hpp +include/ql/experimental/credit/cdsoption.hpp +include/ql/experimental/credit/defaultevent.hpp +include/ql/experimental/credit/defaultprobabilitykey.hpp +include/ql/experimental/credit/defaulttype.hpp +include/ql/experimental/credit/distribution.hpp +include/ql/experimental/credit/factorspreadedhazardratecurve.hpp +include/ql/experimental/credit/issuer.hpp +include/ql/experimental/credit/loss.hpp +include/ql/experimental/credit/lossdistribution.hpp +include/ql/experimental/credit/nthtodefault.hpp +include/ql/experimental/credit/onefactorcopula.hpp +include/ql/experimental/credit/onefactorgaussiancopula.hpp +include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/pool.hpp +include/ql/experimental/credit/randomdefaultmodel.hpp +include/ql/experimental/credit/recoveryratemodel.hpp +include/ql/experimental/credit/recoveryratequote.hpp +include/ql/experimental/credit/recursivecdoengine.hpp +include/ql/experimental/credit/riskyassetswap.hpp +include/ql/experimental/credit/riskyassetswapoption.hpp +include/ql/experimental/credit/riskybond.hpp +include/ql/experimental/credit/spreadedhazardratecurve.hpp +include/ql/experimental/credit/syntheticcdo.hpp +include/ql/experimental/credit/syntheticcdoengines.hpp +include/ql/experimental/finitedifferences/all.hpp +include/ql/experimental/finitedifferences/bicgstab.hpp +include/ql/experimental/finitedifferences/concentrating1dmesher.hpp +include/ql/experimental/finitedifferences/craigsneydscheme.hpp +include/ql/experimental/finitedifferences/dividendbarrieroption.hpp +include/ql/experimental/finitedifferences/douglasscheme.hpp +include/ql/experimental/finitedifferences/expliciteulerscheme.hpp +include/ql/experimental/finitedifferences/fdblackscholesasianengine.hpp +include/ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp +include/ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp +include/ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp +include/ql/experimental/finitedifferences/fdhestonbarrierengine.hpp +include/ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp +include/ql/experimental/finitedifferences/fdhestonrebateengine.hpp +include/ql/experimental/finitedifferences/fdhestonvanillaengine.hpp +include/ql/experimental/finitedifferences/fdm1dmesher.hpp +include/ql/experimental/finitedifferences/fdmamericanstepcondition.hpp +include/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp +include/ql/experimental/finitedifferences/fdmbackwardsolver.hpp +include/ql/experimental/finitedifferences/fdmblackscholesmesher.hpp +include/ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp +include/ql/experimental/finitedifferences/fdmblackscholesop.hpp +include/ql/experimental/finitedifferences/fdmblackscholessolver.hpp +include/ql/experimental/finitedifferences/fdmdirichletboundary.hpp +include/ql/experimental/finitedifferences/fdmdividendhandler.hpp +include/ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp +include/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp +include/ql/experimental/finitedifferences/fdmhestonop.hpp +include/ql/experimental/finitedifferences/fdmhestonsolver.hpp +include/ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp +include/ql/experimental/finitedifferences/fdmhullwhitemesher.hpp +include/ql/experimental/finitedifferences/fdminnervaluecalculator.hpp +include/ql/experimental/finitedifferences/fdmlinearop.hpp +include/ql/experimental/finitedifferences/fdmlinearopcomposite.hpp +include/ql/experimental/finitedifferences/fdmlinearopiterator.hpp +include/ql/experimental/finitedifferences/fdmlinearoplayout.hpp +include/ql/experimental/finitedifferences/fdmmesher.hpp +include/ql/experimental/finitedifferences/fdmmeshercomposite.hpp +include/ql/experimental/finitedifferences/fdmquantohelper.hpp +include/ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp +include/ql/experimental/finitedifferences/fdmsnapshotcondition.hpp +include/ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp +include/ql/experimental/finitedifferences/firstderivativeop.hpp +include/ql/experimental/finitedifferences/hundsdorferscheme.hpp +include/ql/experimental/finitedifferences/impliciteulerscheme.hpp +include/ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp +include/ql/experimental/finitedifferences/ninepointlinearop.hpp +include/ql/experimental/finitedifferences/secondderivativeop.hpp +include/ql/experimental/finitedifferences/secondordermixedderivativeop.hpp +include/ql/experimental/finitedifferences/triplebandlinearop.hpp +include/ql/experimental/finitedifferences/uniform1dmesher.hpp +include/ql/experimental/finitedifferences/uniformgridmesher.hpp +include/ql/experimental/inflation/all.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/yoyinflationoptionletvolatilitystructure2.hpp +include/ql/experimental/inflation/yoyoptionlethelpers.hpp +include/ql/experimental/inflation/yoyoptionletstripper.hpp +include/ql/experimental/lattices/all.hpp +include/ql/experimental/lattices/extendedbinomialtree.hpp +include/ql/experimental/math/all.hpp +include/ql/experimental/math/fastfouriertransform.hpp +include/ql/experimental/mcbasket/all.hpp +include/ql/experimental/mcbasket/mcpathbasketengine.hpp +include/ql/experimental/mcbasket/pathmultiassetoption.hpp +include/ql/experimental/mcbasket/pathpayoff.hpp +include/ql/experimental/processes/all.hpp +include/ql/experimental/processes/extendedblackscholesprocess.hpp +include/ql/experimental/risk/all.hpp +include/ql/experimental/risk/sensitivityanalysis.hpp +include/ql/experimental/varianceoption/all.hpp +include/ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp +include/ql/experimental/varianceoption/varianceoption.hpp +include/ql/experimental/volatility/abcdatmvolcurve.hpp +include/ql/experimental/volatility/all.hpp +include/ql/experimental/volatility/blackatmvolcurve.hpp +include/ql/experimental/volatility/blackvolsurface.hpp +include/ql/experimental/volatility/equityfxvolsurface.hpp +include/ql/experimental/volatility/extendedblackvariancecurve.hpp +include/ql/experimental/volatility/extendedblackvariancesurface.hpp +include/ql/experimental/volatility/interestratevolsurface.hpp +include/ql/experimental/volatility/sabrvolsurface.hpp +include/ql/experimental/volatility/volcube.hpp include/ql/grid.hpp include/ql/handle.hpp include/ql/index.hpp @@ -57,6 +214,7 @@ include/ql/indexes/ibor/cadlibor.hpp include/ql/indexes/ibor/cdor.hpp include/ql/indexes/ibor/chflibor.hpp include/ql/indexes/ibor/dkklibor.hpp +include/ql/indexes/ibor/eonia.hpp include/ql/indexes/ibor/euribor.hpp include/ql/indexes/ibor/eurlibor.hpp include/ql/indexes/ibor/gbplibor.hpp @@ -64,6 +222,7 @@ include/ql/indexes/ibor/jibar.hpp include/ql/indexes/ibor/jpylibor.hpp include/ql/indexes/ibor/libor.hpp include/ql/indexes/ibor/nzdlibor.hpp +include/ql/indexes/ibor/seklibor.hpp include/ql/indexes/ibor/tibor.hpp include/ql/indexes/ibor/trlibor.hpp include/ql/indexes/ibor/usdlibor.hpp @@ -71,18 +230,21 @@ include/ql/indexes/ibor/zibor.hpp include/ql/indexes/iborindex.hpp include/ql/indexes/indexmanager.hpp include/ql/indexes/inflation/all.hpp +include/ql/indexes/inflation/aucpi.hpp include/ql/indexes/inflation/euhicp.hpp +include/ql/indexes/inflation/frhicp.hpp include/ql/indexes/inflation/ukrpi.hpp +include/ql/indexes/inflation/uscpi.hpp include/ql/indexes/inflationindex.hpp include/ql/indexes/interestrateindex.hpp include/ql/indexes/region.hpp include/ql/indexes/swap/all.hpp -include/ql/indexes/swap/euriborswapfixa.hpp -include/ql/indexes/swap/euriborswapfixb.hpp -include/ql/indexes/swap/euriborswapfixifr.hpp -include/ql/indexes/swap/eurliborswapfixa.hpp -include/ql/indexes/swap/eurliborswapfixb.hpp -include/ql/indexes/swap/eurliborswapfixifr.hpp +include/ql/indexes/swap/chfliborswap.hpp +include/ql/indexes/swap/euriborswap.hpp +include/ql/indexes/swap/eurliborswap.hpp +include/ql/indexes/swap/gbpliborswap.hpp +include/ql/indexes/swap/jpyliborswap.hpp +include/ql/indexes/swap/usdliborswap.hpp include/ql/indexes/swapindex.hpp include/ql/instrument.hpp include/ql/instruments/all.hpp @@ -102,25 +264,34 @@ include/ql/instruments/bonds/floatingratebond.hpp include/ql/instruments/bonds/zerocouponbond.hpp include/ql/instruments/callabilityschedule.hpp include/ql/instruments/capfloor.hpp +include/ql/instruments/claim.hpp include/ql/instruments/cliquetoption.hpp include/ql/instruments/compositeinstrument.hpp +include/ql/instruments/creditdefaultswap.hpp include/ql/instruments/dividendschedule.hpp include/ql/instruments/dividendvanillaoption.hpp include/ql/instruments/europeanoption.hpp +include/ql/instruments/everestoption.hpp include/ql/instruments/fixedratebondforward.hpp include/ql/instruments/forward.hpp include/ql/instruments/forwardrateagreement.hpp include/ql/instruments/forwardvanillaoption.hpp +include/ql/instruments/himalayaoption.hpp include/ql/instruments/impliedvolatility.hpp -include/ql/instruments/inflationswap.hpp +include/ql/instruments/inflationcapfloor.hpp include/ql/instruments/lookbackoption.hpp include/ql/instruments/makecapfloor.hpp include/ql/instruments/makecms.hpp -include/ql/instruments/makeswaptions.hpp +include/ql/instruments/makeois.hpp +include/ql/instruments/makeswaption.hpp include/ql/instruments/makevanillaswap.hpp +include/ql/instruments/makeyoyinflationcapfloor.hpp include/ql/instruments/multiassetoption.hpp include/ql/instruments/oneassetoption.hpp +include/ql/instruments/overnightindexedswap.hpp +include/ql/instruments/pagodaoption.hpp include/ql/instruments/payoffs.hpp +include/ql/instruments/quantobarrieroption.hpp include/ql/instruments/quantoforwardvanillaoption.hpp include/ql/instruments/quantovanillaoption.hpp include/ql/instruments/stickyratchet.hpp @@ -150,25 +321,22 @@ include/ql/legacy/libormarketmodels/lmfixedvolmodel.hpp include/ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp include/ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp include/ql/legacy/libormarketmodels/lmvolmodel.hpp -include/ql/legacy/pricers/all.hpp -include/ql/legacy/pricers/discretegeometricaso.hpp -include/ql/legacy/pricers/mccliquetoption.hpp -include/ql/legacy/pricers/mcdiscretearithmeticaso.hpp -include/ql/legacy/pricers/mceverest.hpp -include/ql/legacy/pricers/mchimalaya.hpp -include/ql/legacy/pricers/mcpagoda.hpp -include/ql/legacy/pricers/mcperformanceoption.hpp -include/ql/legacy/pricers/mcpricer.hpp -include/ql/legacy/pricers/singleassetoption.hpp -include/ql/legacy/termstructures/all.hpp -include/ql/legacy/termstructures/compoundforward.hpp -include/ql/legacy/termstructures/extendeddiscountcurve.hpp include/ql/math/all.hpp include/ql/math/array.hpp include/ql/math/bernsteinpolynomial.hpp include/ql/math/beta.hpp include/ql/math/bspline.hpp include/ql/math/comparison.hpp +include/ql/math/copulas/all.hpp +include/ql/math/copulas/claytoncopula.hpp +include/ql/math/copulas/farliegumbelmorgensterncopula.hpp +include/ql/math/copulas/frankcopula.hpp +include/ql/math/copulas/gaussiancopula.hpp +include/ql/math/copulas/gumbelcopula.hpp +include/ql/math/copulas/independentcopula.hpp +include/ql/math/copulas/marshallolkincopula.hpp +include/ql/math/copulas/maxcopula.hpp +include/ql/math/copulas/mincopula.hpp include/ql/math/curve.hpp include/ql/math/distributions/all.hpp include/ql/math/distributions/binomialdistribution.hpp @@ -177,6 +345,7 @@ include/ql/math/distributions/chisquaredistribution.hpp include/ql/math/distributions/gammadistribution.hpp include/ql/math/distributions/normaldistribution.hpp include/ql/math/distributions/poissondistribution.hpp +include/ql/math/distributions/studenttdistribution.hpp include/ql/math/domain.hpp include/ql/math/errorfunction.hpp include/ql/math/factorial.hpp @@ -185,6 +354,7 @@ include/ql/math/incompletegamma.hpp include/ql/math/integrals/all.hpp include/ql/math/integrals/gaussianorthogonalpolynomial.hpp include/ql/math/integrals/gaussianquadratures.hpp +include/ql/math/integrals/gausslobattointegral.hpp include/ql/math/integrals/integral.hpp include/ql/math/integrals/kronrodintegral.hpp include/ql/math/integrals/segmentintegral.hpp @@ -196,29 +366,36 @@ include/ql/math/interpolations/all.hpp include/ql/math/interpolations/backwardflatinterpolation.hpp include/ql/math/interpolations/bicubicsplineinterpolation.hpp include/ql/math/interpolations/bilinearinterpolation.hpp -include/ql/math/interpolations/cubicspline.hpp +include/ql/math/interpolations/convexmonotoneinterpolation.hpp +include/ql/math/interpolations/cubicinterpolation.hpp include/ql/math/interpolations/extrapolation.hpp include/ql/math/interpolations/flatextrapolation2d.hpp include/ql/math/interpolations/forwardflatinterpolation.hpp include/ql/math/interpolations/interpolation2d.hpp +include/ql/math/interpolations/kernelinterpolation.hpp +include/ql/math/interpolations/kernelinterpolation2d.hpp include/ql/math/interpolations/linearinterpolation.hpp include/ql/math/interpolations/loginterpolation.hpp include/ql/math/interpolations/multicubicspline.hpp include/ql/math/interpolations/sabrinterpolation.hpp +include/ql/math/kernelfunctions.hpp include/ql/math/lexicographicalview.hpp include/ql/math/linearleastsquaresregression.hpp include/ql/math/matrix.hpp include/ql/math/matrixutilities/all.hpp include/ql/math/matrixutilities/basisincompleteordered.hpp include/ql/math/matrixutilities/choleskydecomposition.hpp +include/ql/math/matrixutilities/factorreduction.hpp include/ql/math/matrixutilities/getcovariance.hpp include/ql/math/matrixutilities/pseudosqrt.hpp +include/ql/math/matrixutilities/qrdecomposition.hpp include/ql/math/matrixutilities/svd.hpp include/ql/math/matrixutilities/symmetricschurdecomposition.hpp include/ql/math/matrixutilities/tapcorrelations.hpp include/ql/math/matrixutilities/tqreigendecomposition.hpp include/ql/math/optimization/all.hpp include/ql/math/optimization/armijo.hpp +include/ql/math/optimization/bfgs.hpp include/ql/math/optimization/conjugategradient.hpp include/ql/math/optimization/constraint.hpp include/ql/math/optimization/costfunction.hpp @@ -251,6 +428,7 @@ include/ql/math/randomnumbers/mt19937uniformrng.hpp include/ql/math/randomnumbers/primitivepolynomials.h include/ql/math/randomnumbers/randomizedlds.hpp include/ql/math/randomnumbers/randomsequencegenerator.hpp +include/ql/math/randomnumbers/ranluxuniformrng.hpp include/ql/math/randomnumbers/rngtraits.hpp include/ql/math/randomnumbers/seedgenerator.hpp include/ql/math/randomnumbers/sobolrsg.hpp @@ -334,6 +512,7 @@ include/ql/models/all.hpp include/ql/models/calibrationhelper.hpp include/ql/models/equity/all.hpp include/ql/models/equity/batesmodel.hpp +include/ql/models/equity/gjrgarchmodel.hpp include/ql/models/equity/hestonmodel.hpp include/ql/models/equity/hestonmodelhelper.hpp include/ql/models/marketmodels/accountingengine.hpp @@ -378,11 +557,16 @@ include/ql/models/marketmodels/evolver.hpp include/ql/models/marketmodels/evolvers/all.hpp include/ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp include/ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp +include/ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp include/ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp +include/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp include/ql/models/marketmodels/evolvers/normalfwdratepc.hpp +include/ql/models/marketmodels/evolvers/svddfwdratepc.hpp +include/ql/models/marketmodels/evolvers/volprocesses/all.hpp +include/ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp include/ql/models/marketmodels/forwardforwardmappings.hpp include/ql/models/marketmodels/historicalforwardratesanalysis.hpp include/ql/models/marketmodels/historicalratesanalysis.hpp @@ -408,6 +592,14 @@ include/ql/models/marketmodels/models/pseudorootfacade.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.hpp include/ql/models/marketmodels/multiproduct.hpp +include/ql/models/marketmodels/pathwiseaccountingengine.hpp +include/ql/models/marketmodels/pathwisediscounter.hpp +include/ql/models/marketmodels/pathwisegreeks/all.hpp +include/ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp +include/ql/models/marketmodels/pathwisemultiproduct.hpp include/ql/models/marketmodels/piecewiseconstantcorrelation.hpp include/ql/models/marketmodels/products/all.hpp include/ql/models/marketmodels/products/compositeproduct.hpp @@ -427,11 +619,15 @@ include/ql/models/marketmodels/products/multistep/multistepoptionlets.hpp include/ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.hpp include/ql/models/marketmodels/products/multistep/multistepratchet.hpp include/ql/models/marketmodels/products/multistep/multistepswap.hpp +include/ql/models/marketmodels/products/multistep/multistepswaption.hpp include/ql/models/marketmodels/products/onestep/all.hpp include/ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp include/ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp include/ql/models/marketmodels/products/onestep/onestepforwards.hpp include/ql/models/marketmodels/products/onestep/onestepoptionlets.hpp +include/ql/models/marketmodels/products/pathwise/all.hpp +include/ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp +include/ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp include/ql/models/marketmodels/products/singleproductcomposite.hpp include/ql/models/marketmodels/proxygreekengine.hpp include/ql/models/marketmodels/swapforwardmappings.hpp @@ -477,7 +673,9 @@ include/ql/pricingengines/americanpayoffathit.hpp include/ql/pricingengines/asian/all.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/analytic_discr_geom_av_strike.hpp include/ql/pricingengines/asian/mc_discr_arith_av_price.hpp +include/ql/pricingengines/asian/mc_discr_arith_av_strike.hpp include/ql/pricingengines/asian/mc_discr_geom_av_price.hpp include/ql/pricingengines/asian/mcdiscreteasianengine.hpp include/ql/pricingengines/barrier/all.hpp @@ -485,12 +683,16 @@ include/ql/pricingengines/barrier/analyticbarrierengine.hpp include/ql/pricingengines/barrier/mcbarrierengine.hpp include/ql/pricingengines/basket/all.hpp include/ql/pricingengines/basket/mcamericanbasketengine.hpp -include/ql/pricingengines/basket/mcbasketengine.hpp +include/ql/pricingengines/basket/mceuropeanbasketengine.hpp +include/ql/pricingengines/basket/mceverestengine.hpp +include/ql/pricingengines/basket/mchimalayaengine.hpp +include/ql/pricingengines/basket/mcpagodaengine.hpp include/ql/pricingengines/basket/stulzengine.hpp include/ql/pricingengines/blackcalculator.hpp include/ql/pricingengines/blackformula.hpp include/ql/pricingengines/blackscholescalculator.hpp include/ql/pricingengines/bond/all.hpp +include/ql/pricingengines/bond/bondfunctions.hpp include/ql/pricingengines/bond/discountingbondengine.hpp include/ql/pricingengines/capfloor/all.hpp include/ql/pricingengines/capfloor/analyticcapfloorengine.hpp @@ -501,6 +703,10 @@ 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/cliquet/mcperformanceengine.hpp +include/ql/pricingengines/credit/all.hpp +include/ql/pricingengines/credit/integralcdsengine.hpp +include/ql/pricingengines/credit/midpointcdsengine.hpp include/ql/pricingengines/forward/all.hpp include/ql/pricingengines/forward/forwardengine.hpp include/ql/pricingengines/forward/forwardperformanceengine.hpp @@ -511,6 +717,8 @@ 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/inflation/all.hpp +include/ql/pricingengines/inflation/inflationcapfloorengines.hpp include/ql/pricingengines/latticeshortratemodelengine.hpp include/ql/pricingengines/lookback/all.hpp include/ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp @@ -534,6 +742,7 @@ include/ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp include/ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp include/ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp include/ql/pricingengines/vanilla/analyticeuropeanengine.hpp +include/ql/pricingengines/vanilla/analyticgjrgarchengine.hpp include/ql/pricingengines/vanilla/analytichestonengine.hpp include/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp include/ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp @@ -559,15 +768,19 @@ 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/mceuropeangjrgarchengine.hpp include/ql/pricingengines/vanilla/mceuropeanhestonengine.hpp include/ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp include/ql/pricingengines/vanilla/mcvanillaengine.hpp include/ql/processes/all.hpp +include/ql/processes/batesprocess.hpp include/ql/processes/blackscholesprocess.hpp +include/ql/processes/endeulerdiscretization.hpp include/ql/processes/eulerdiscretization.hpp include/ql/processes/forwardmeasureprocess.hpp include/ql/processes/g2process.hpp include/ql/processes/geometricbrownianprocess.hpp +include/ql/processes/gjrgarchprocess.hpp include/ql/processes/hestonprocess.hpp include/ql/processes/hullwhiteprocess.hpp include/ql/processes/hybridhestonhullwhiteprocess.hpp @@ -587,20 +800,37 @@ include/ql/quotes/forwardswapquote.hpp 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/settings.hpp include/ql/stochasticprocess.hpp include/ql/termstructure.hpp include/ql/termstructures/all.hpp +include/ql/termstructures/bootstraperror.hpp include/ql/termstructures/bootstraphelper.hpp -include/ql/termstructures/bootstrapper.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/defaulttermstructure.hpp include/ql/termstructures/inflation/all.hpp include/ql/termstructures/inflation/inflationhelpers.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/inflationtermstructure.hpp +include/ql/termstructures/interpolatedcurve.hpp +include/ql/termstructures/iterativebootstrap.hpp +include/ql/termstructures/localbootstrap.hpp include/ql/termstructures/volatility/abcd.hpp include/ql/termstructures/volatility/abcdcalibration.hpp include/ql/termstructures/volatility/all.hpp @@ -608,6 +838,7 @@ 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/equityfx/all.hpp include/ql/termstructures/volatility/equityfx/blackconstantvol.hpp include/ql/termstructures/volatility/equityfx/blackvariancecurve.hpp @@ -618,6 +849,9 @@ 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/flatsmilesection.hpp +include/ql/termstructures/volatility/inflation/all.hpp +include/ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp include/ql/termstructures/volatility/interpolatedsmilesection.hpp include/ql/termstructures/volatility/optionlet/all.hpp include/ql/termstructures/volatility/optionlet/capletvariancecurve.hpp @@ -627,11 +861,14 @@ 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/sabr.hpp include/ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp +include/ql/termstructures/volatility/sabrsmilesection.hpp include/ql/termstructures/volatility/smilesection.hpp +include/ql/termstructures/volatility/spreadedsmilesection.hpp include/ql/termstructures/volatility/swaption/all.hpp include/ql/termstructures/volatility/swaption/cmsmarket.hpp include/ql/termstructures/volatility/swaption/cmsmarketcalibration.hpp @@ -656,6 +893,7 @@ 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/piecewisezerospreadedtermstructure.hpp include/ql/termstructures/yield/quantotermstructure.hpp @@ -670,6 +908,7 @@ include/ql/time/calendar.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/brazil.hpp include/ql/time/calendars/canada.hpp include/ql/time/calendars/china.hpp @@ -703,6 +942,7 @@ 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/date.hpp include/ql/time/dategenerationrule.hpp include/ql/time/daycounter.hpp @@ -714,6 +954,7 @@ 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/ecb.hpp include/ql/time/frequency.hpp include/ql/time/imm.hpp include/ql/time/period.hpp @@ -733,6 +974,7 @@ include/ql/utilities/observablevalue.hpp include/ql/utilities/steppingiterator.hpp include/ql/utilities/tracing.hpp include/ql/utilities/vectors.hpp +include/ql/version.hpp include/ql/volatilitymodel.hpp lib/libQuantLib.a lib/libQuantLib.la @@ -747,10 +989,12 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/termstructures/yield @dirrm include/ql/termstructures/volatility/swaption @dirrm include/ql/termstructures/volatility/optionlet +@dirrm include/ql/termstructures/volatility/inflation @dirrm include/ql/termstructures/volatility/equityfx @dirrm include/ql/termstructures/volatility/capfloor @dirrm include/ql/termstructures/volatility @dirrm include/ql/termstructures/inflation +@dirrm include/ql/termstructures/credit @dirrm include/ql/termstructures @dirrm include/ql/quotes @dirrm include/ql/processes @@ -759,8 +1003,10 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/pricingengines/swap @dirrm include/ql/pricingengines/quanto @dirrm include/ql/pricingengines/lookback +@dirrm include/ql/pricingengines/inflation @dirrm include/ql/pricingengines/hybrid @dirrm include/ql/pricingengines/forward +@dirrm include/ql/pricingengines/credit @dirrm include/ql/pricingengines/cliquet @dirrm include/ql/pricingengines/capfloor @dirrm include/ql/pricingengines/bond @@ -774,10 +1020,13 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/models/shortrate/onefactormodels @dirrm include/ql/models/shortrate/calibrationhelpers @dirrm include/ql/models/shortrate +@dirrm include/ql/models/marketmodels/products/pathwise @dirrm include/ql/models/marketmodels/products/onestep @dirrm include/ql/models/marketmodels/products/multistep @dirrm include/ql/models/marketmodels/products +@dirrm include/ql/models/marketmodels/pathwisegreeks @dirrm include/ql/models/marketmodels/models +@dirrm include/ql/models/marketmodels/evolvers/volprocesses @dirrm include/ql/models/marketmodels/evolvers @dirrm include/ql/models/marketmodels/driftcomputation @dirrm include/ql/models/marketmodels/curvestates @@ -799,9 +1048,8 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/math/interpolations @dirrm include/ql/math/integrals @dirrm include/ql/math/distributions +@dirrm include/ql/math/copulas @dirrm include/ql/math -@dirrm include/ql/legacy/termstructures -@dirrm include/ql/legacy/pricers @dirrm include/ql/legacy/libormarketmodels @dirrm include/ql/legacy @dirrm include/ql/instruments/bonds @@ -810,6 +1058,22 @@ share/emacs/site-lisp/quantlib.el @dirrm include/ql/indexes/inflation @dirrm include/ql/indexes/ibor @dirrm include/ql/indexes +@dirrm include/ql/experimental/volatility +@dirrm include/ql/experimental/varianceoption +@dirrm include/ql/experimental/risk +@dirrm include/ql/experimental/processes +@dirrm include/ql/experimental/mcbasket +@dirrm include/ql/experimental/math +@dirrm include/ql/experimental/lattices +@dirrm include/ql/experimental/inflation +@dirrm include/ql/experimental/finitedifferences +@dirrm include/ql/experimental/credit +@dirrm include/ql/experimental/coupons +@dirrm include/ql/experimental/compoundoption +@dirrm include/ql/experimental/commodities +@dirrm include/ql/experimental/callablebonds +@dirrm include/ql/experimental/barrieroption +@dirrm include/ql/experimental/amortizingbonds @dirrm include/ql/experimental @dirrm include/ql/currencies @dirrm include/ql/cashflows