From nobody Wed Sep 13 16:34:29 2023 X-Original-To: dev-commits-ports-all@mlmmj.nyi.freebsd.org Received: from mx1.freebsd.org (mx1.freebsd.org [IPv6:2610:1c1:1:606c::19:1]) by mlmmj.nyi.freebsd.org (Postfix) with ESMTP id 4Rm5dK2vJTz4tP5l; Wed, 13 Sep 2023 16:34:29 +0000 (UTC) (envelope-from git@FreeBSD.org) Received: from mxrelay.nyi.freebsd.org (mxrelay.nyi.freebsd.org [IPv6:2610:1c1:1:606c::19:3]) (using TLSv1.3 with cipher TLS_AES_256_GCM_SHA384 (256/256 bits) key-exchange X25519 server-signature RSA-PSS (4096 bits) server-digest SHA256 client-signature RSA-PSS (4096 bits) client-digest SHA256) (Client CN "mxrelay.nyi.freebsd.org", Issuer "R3" (verified OK)) by mx1.freebsd.org (Postfix) with ESMTPS id 4Rm5dK2J72z3dD9; Wed, 13 Sep 2023 16:34:29 +0000 (UTC) (envelope-from git@FreeBSD.org) DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed; d=freebsd.org; s=dkim; t=1694622869; h=from:from:reply-to:subject:subject:date:date:message-id:message-id: to:to:cc:mime-version:mime-version:content-type:content-type: content-transfer-encoding:content-transfer-encoding; bh=Q64j80psm0+s2HemRuKM8ewZhHJaRwkX4oTggP0YMkQ=; b=aQKsk0IUg4+Ns8n2VSt44wcZ5Ie0o/raMaJAIjTrQL5eH+lZXvfXwEJCy+2NLZqeqh2WQZ dPmvxrFAvwXQMVYyTX3pDid3O9bStRQUIH6QD1MXDS3+4Ds6ylqjg2oOD6AiEDiqxKr8qw JlAg52ya12722H/w43KgQw4l5JE2zEszeUdKohwmiqnm6Fw2/GypX4qe3aNWGDXG3cHK1+ 1g7iACASRFkhoR/Q/3OebYrCRpSqvQE/OwqlMNSCA0beBtjpKD6EF+bzoK+3XOvd2koZ10 bZEOtGquRS4ny0ay7jK3MLJRFvmSMnrBW7e4Aqo8WMy6uhjPu8Ce747ZUYc6uA== ARC-Seal: i=1; s=dkim; d=freebsd.org; t=1694622869; a=rsa-sha256; cv=none; b=m2bAkvU5LBtWVNBN89FywLNY7FwgH/PIWXAxtzjyd3OH2Jv+1PP+yYqtWYQNEQcXLRkn4T tSmCpPRBVf+6HtmlpiP+lMMR1Mp5tAJ1KmFqYuZcBwZCTzIr64Amxu8T6nudR5hNcCZ2kF C4XUiJR5Ik3u0dq1VNs0fZAzy7J0S57WpHOMOA8L9Ep/SphOadtDbJfm1OCNsXRubMVUWo fze+kO7jzLy3GFhhMoPKhkWQ5pP3qf70dJEltLSzb/CBeEbcWNj89M5C3BOXN6onkttrSs lN4lsEZRtDYXBhL3ZNEKR5KAQv/t8Ia2+LGeG6nADjqqGH20qpH4a8K2Y/zm5g== ARC-Authentication-Results: i=1; mx1.freebsd.org; none ARC-Message-Signature: i=1; a=rsa-sha256; c=relaxed/relaxed; d=freebsd.org; s=dkim; t=1694622869; h=from:from:reply-to:subject:subject:date:date:message-id:message-id: to:to:cc:mime-version:mime-version:content-type:content-type: content-transfer-encoding:content-transfer-encoding; bh=Q64j80psm0+s2HemRuKM8ewZhHJaRwkX4oTggP0YMkQ=; b=gpEAgdaAsWPNFGwdI3uBfJIl1lfm8Soz167SMud0Ht1xQjO2E/Au0/REENhtUawebBI0w9 PgOvcGHgci68BitGobh1nMrvzh7Pm+Go+QzJQnF2PqkgM6rkQQZqopYq1H45GP5BOKDicW 8x0XUSdQPGRnHW3S2US1RSYbX1u92jCC2/CxfV/Y4fhnY7YhKRKhJS5EQZdB2L8shQWI7W WLSkzWaye488ak8qpqXO3205isSVQWA6Q8Ojz9lRZFEEu05uRMY1d+GsbasA2x7TXa1yuk TMLVVdE4HdTkZSAmIoXUVwutXJ0MdGJkZAXNIb7IN4/SQk4BZ83kQfuX77hdbw== Received: from gitrepo.freebsd.org (gitrepo.freebsd.org [IPv6:2610:1c1:1:6068::e6a:5]) (using TLSv1.3 with cipher TLS_AES_256_GCM_SHA384 (256/256 bits) key-exchange X25519 server-signature RSA-PSS (4096 bits) server-digest SHA256) (Client did not present a certificate) by mxrelay.nyi.freebsd.org (Postfix) with ESMTPS id 4Rm5dK1MqBz6X3; Wed, 13 Sep 2023 16:34:29 +0000 (UTC) (envelope-from git@FreeBSD.org) Received: from gitrepo.freebsd.org ([127.0.1.44]) by gitrepo.freebsd.org (8.17.1/8.17.1) with ESMTP id 38DGYTIv047715; Wed, 13 Sep 2023 16:34:29 GMT (envelope-from git@gitrepo.freebsd.org) Received: (from git@localhost) by gitrepo.freebsd.org (8.17.1/8.17.1/Submit) id 38DGYTAi047712; Wed, 13 Sep 2023 16:34:29 GMT (envelope-from git) Date: Wed, 13 Sep 2023 16:34:29 GMT Message-Id: <202309131634.38DGYTAi047712@gitrepo.freebsd.org> To: ports-committers@FreeBSD.org, dev-commits-ports-all@FreeBSD.org, dev-commits-ports-main@FreeBSD.org From: Mikhail Teterin Subject: git: a6e80f52f365 - main - finance/quantlib: upgrade from 1.20 to 1.31 List-Id: Commit messages for all branches of the ports repository List-Archive: https://lists.freebsd.org/archives/dev-commits-ports-all List-Help: List-Post: List-Subscribe: List-Unsubscribe: Sender: owner-dev-commits-ports-all@freebsd.org X-BeenThere: dev-commits-ports-all@freebsd.org MIME-Version: 1.0 Content-Type: text/plain; charset=utf-8 Content-Transfer-Encoding: 8bit X-Git-Committer: mi X-Git-Repository: ports X-Git-Refname: refs/heads/main X-Git-Reftype: branch X-Git-Commit: a6e80f52f365fc2051770bb144fe5fca5c8ed2ec Auto-Submitted: auto-generated The branch main has been updated by mi: URL: https://cgit.FreeBSD.org/ports/commit/?id=a6e80f52f365fc2051770bb144fe5fca5c8ed2ec commit a6e80f52f365fc2051770bb144fe5fca5c8ed2ec Author: Mikhail Teterin AuthorDate: 2023-09-13 16:34:12 +0000 Commit: Mikhail Teterin CommitDate: 2023-09-13 16:34:12 +0000 finance/quantlib: upgrade from 1.20 to 1.31 --- finance/quantlib/Makefile | 11 +++-- finance/quantlib/distinfo | 6 +-- finance/quantlib/pkg-plist | 101 +++++++++++++++++++++++++++++++-------------- 3 files changed, 81 insertions(+), 37 deletions(-) diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile index b47433a4270f..cc2cbfd7d205 100644 --- a/finance/quantlib/Makefile +++ b/finance/quantlib/Makefile @@ -1,8 +1,7 @@ PORTNAME= quantlib -PORTVERSION= 1.20 -PORTREVISION= 4 +PORTVERSION= 1.31.1 CATEGORIES= finance math devel -MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ +MASTER_SITES= http://github.com/lballabio/QuantLib/releases/download/v${PORTVERSION}/ DISTNAME= QuantLib-${PORTVERSION} MAINTAINER= mi@aldan.algebra.com @@ -14,7 +13,7 @@ LICENSE_FILE= ${WRKSRC}/LICENSE.TXT LIB_DEPENDS= libboost_system.so:devel/boost-libs -USES= compiler:c++11-lang libtool +USES= compiler:c++17-lang libtool USE_LDCONFIG= yes GNU_CONFIGURE= yes CONFIGURE_ENV+= EMACS=no @@ -44,12 +43,16 @@ CONFIGURE_ARGS+= --disable-unity-build CONFIGURE_ARGS+= --enable-parallel-unit-test-runner CONFIGURE_ARGS+= --with-boost-include=${LOCALBASE}/include CONFIGURE_ARGS+= --with-boost-lib=${LOCALBASE}/lib +CONFIGURE_ARGS+= --enable-std-any CONFIGURE_ARGS+= --enable-std-classes # Prefer C++11 to Boost +CONFIGURE_ARGS+= --enable-std-optional +CONFIGURE_ARGS+= --enable-test-suite .for o in ${OPTIONS_DEFINE} $o_CONFIGURE_ENABLE= ${o:S/_/-/g:tl} .endfor +CXXFLAGS+= -std=c++17 CXXFLAGS_i386= -DBOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS .include diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo index ef3e5b1e0034..e219eccd551c 100644 --- a/finance/quantlib/distinfo +++ b/finance/quantlib/distinfo @@ -1,3 +1,3 @@ -TIMESTAMP = 1603844042 -SHA256 (QuantLib-1.20.tar.gz) = af51fe73b88be67536aca68ce8aaa30f523a95cc369652a6071d66beef8708ff -SIZE (QuantLib-1.20.tar.gz) = 9170898 +TIMESTAMP = 1694555205 +SHA256 (QuantLib-1.31.1.tar.gz) = 13b5346217153ae3c185e0c640cc523a1a6522c3a721698b2c255fd9a1a15a68 +SIZE (QuantLib-1.31.1.tar.gz) = 9389306 diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist index 7318c4115884..e52fcf64536c 100644 --- a/finance/quantlib/pkg-plist +++ b/finance/quantlib/pkg-plist @@ -40,6 +40,7 @@ bin/quantlib-config %%EXAMPLES%%man/man1/Replication.1.gz %%EXAMPLES%%man/man1/Repo.1.gz %%BENCHMARK%%man/man1/quantlib-benchmark.1.gz +include/ql/any.hpp include/ql/auto_link.hpp include/ql/auto_ptr.hpp include/ql/cashflow.hpp @@ -60,6 +61,7 @@ include/ql/cashflows/digitalcoupon.hpp include/ql/cashflows/digitaliborcoupon.hpp include/ql/cashflows/dividend.hpp include/ql/cashflows/duration.hpp +include/ql/cashflows/equitycashflow.hpp include/ql/cashflows/fixedratecoupon.hpp include/ql/cashflows/floatingratecoupon.hpp include/ql/cashflows/iborcoupon.hpp @@ -69,10 +71,13 @@ include/ql/cashflows/inflationcouponpricer.hpp include/ql/cashflows/lineartsrpricer.hpp include/ql/cashflows/overnightindexedcoupon.hpp include/ql/cashflows/rangeaccrual.hpp +include/ql/cashflows/rateaveraging.hpp include/ql/cashflows/replication.hpp include/ql/cashflows/simplecashflow.hpp +include/ql/cashflows/subperiodcoupon.hpp include/ql/cashflows/timebasket.hpp include/ql/cashflows/yoyinflationcoupon.hpp +include/ql/cashflows/zeroinflationcashflow.hpp include/ql/compounding.hpp include/ql/config.hpp include/ql/currencies/africa.hpp @@ -95,25 +100,24 @@ 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/asian/all.hpp +include/ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp +include/ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp include/ql/experimental/averageois/all.hpp include/ql/experimental/averageois/arithmeticaverageois.hpp include/ql/experimental/averageois/arithmeticoisratehelper.hpp include/ql/experimental/averageois/averageoiscouponpricer.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/mcdoublebarrierengine.hpp include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp +include/ql/experimental/barrieroption/suowangdoublebarrierengine.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/basismodels/all.hpp include/ql/experimental/basismodels/swaptioncfs.hpp include/ql/experimental/basismodels/tenoroptionletvts.hpp @@ -153,11 +157,6 @@ 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 @@ -165,7 +164,6 @@ 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 @@ -247,23 +245,18 @@ include/ql/experimental/exoticoptions/writerextensibleoption.hpp include/ql/experimental/finitedifferences/all.hpp include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp -include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.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/fdmhestonfwdop.hpp -include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp include/ql/experimental/finitedifferences/fdmklugeextouop.hpp include/ql/experimental/finitedifferences/fdmklugeextousolver.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 @@ -273,11 +266,9 @@ include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp include/ql/experimental/finitedifferences/glued1dmesher.hpp -include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp include/ql/experimental/finitedifferences/vanillavppoption.hpp -include/ql/experimental/futures/all.hpp -include/ql/experimental/futures/overnightindexfuture.hpp -include/ql/experimental/futures/overnightindexfutureratehelper.hpp +include/ql/experimental/forward/all.hpp +include/ql/experimental/forward/analytichestonforwardeuropeanengine.hpp include/ql/experimental/fx/all.hpp include/ql/experimental/fx/blackdeltacalculator.hpp include/ql/experimental/fx/deltavolquote.hpp @@ -298,7 +289,6 @@ include/ql/experimental/lattices/extendedbinomialtree.hpp include/ql/experimental/math/all.hpp include/ql/experimental/math/claytoncopularng.hpp include/ql/experimental/math/convolvedstudentt.hpp -include/ql/experimental/math/expm.hpp include/ql/experimental/math/farliegumbelmorgensterncopularng.hpp include/ql/experimental/math/fireflyalgorithm.hpp include/ql/experimental/math/frankcopularng.hpp @@ -328,8 +318,6 @@ include/ql/experimental/mcbasket/mcpathbasketengine.hpp include/ql/experimental/mcbasket/pathmultiassetoption.hpp include/ql/experimental/mcbasket/pathpayoff.hpp include/ql/experimental/models/all.hpp -include/ql/experimental/models/hestonslvfdmmodel.hpp -include/ql/experimental/models/hestonslvmcmodel.hpp include/ql/experimental/models/normalclvmodel.hpp include/ql/experimental/models/squarerootclvmodel.hpp include/ql/experimental/processes/all.hpp @@ -337,7 +325,6 @@ include/ql/experimental/processes/extendedblackscholesprocess.hpp include/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp include/ql/experimental/processes/extouwithjumpsprocess.hpp include/ql/experimental/processes/gemanroncoroniprocess.hpp -include/ql/experimental/processes/hestonslvprocess.hpp include/ql/experimental/processes/klugeextouprocess.hpp include/ql/experimental/processes/vegastressedblackscholesprocess.hpp include/ql/experimental/risk/all.hpp @@ -351,6 +338,8 @@ include/ql/experimental/swaptions/haganirregularswaptionengine.hpp include/ql/experimental/swaptions/irregularswap.hpp include/ql/experimental/swaptions/irregularswaption.hpp include/ql/experimental/termstructures/all.hpp +include/ql/experimental/termstructures/basisswapratehelpers.hpp +include/ql/experimental/termstructures/crosscurrencyratehelpers.hpp include/ql/experimental/termstructures/multicurvesensitivities.hpp include/ql/experimental/variancegamma/all.hpp include/ql/experimental/variancegamma/analyticvariancegammaengine.hpp @@ -374,6 +363,7 @@ include/ql/experimental/volatility/noarbsabr.hpp include/ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp include/ql/experimental/volatility/noarbsabrinterpolation.hpp include/ql/experimental/volatility/noarbsabrsmilesection.hpp +include/ql/experimental/volatility/noarbsabrswaptionvolatilitycube.hpp include/ql/experimental/volatility/sabrvolsurface.hpp include/ql/experimental/volatility/sabrvoltermstructure.hpp include/ql/experimental/volatility/sviinterpolatedsmilesection.hpp @@ -391,6 +381,7 @@ include/ql/handle.hpp include/ql/index.hpp include/ql/indexes/all.hpp include/ql/indexes/bmaindex.hpp +include/ql/indexes/equityindex.hpp include/ql/indexes/ibor/all.hpp include/ql/indexes/ibor/aonia.hpp include/ql/indexes/ibor/audlibor.hpp @@ -400,8 +391,11 @@ include/ql/indexes/ibor/bkbm.hpp include/ql/indexes/ibor/cadlibor.hpp include/ql/indexes/ibor/cdor.hpp include/ql/indexes/ibor/chflibor.hpp +include/ql/indexes/ibor/corra.hpp +include/ql/indexes/ibor/destr.hpp include/ql/indexes/ibor/dkklibor.hpp include/ql/indexes/ibor/eonia.hpp +include/ql/indexes/ibor/estr.hpp include/ql/indexes/ibor/euribor.hpp include/ql/indexes/ibor/eurlibor.hpp include/ql/indexes/ibor/fedfunds.hpp @@ -418,8 +412,10 @@ include/ql/indexes/ibor/seklibor.hpp include/ql/indexes/ibor/shibor.hpp include/ql/indexes/ibor/sofr.hpp include/ql/indexes/ibor/sonia.hpp +include/ql/indexes/ibor/swestr.hpp include/ql/indexes/ibor/thbfix.hpp include/ql/indexes/ibor/tibor.hpp +include/ql/indexes/ibor/tona.hpp include/ql/indexes/ibor/trlibor.hpp include/ql/indexes/ibor/usdlibor.hpp include/ql/indexes/ibor/wibor.hpp @@ -430,6 +426,7 @@ 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/ukhicp.hpp include/ql/indexes/inflation/ukrpi.hpp include/ql/indexes/inflation/uscpi.hpp include/ql/indexes/inflation/zacpi.hpp @@ -454,9 +451,14 @@ include/ql/instruments/barriertype.hpp include/ql/instruments/basketoption.hpp include/ql/instruments/bmaswap.hpp include/ql/instruments/bond.hpp +include/ql/instruments/bondforward.hpp include/ql/instruments/bonds/all.hpp +include/ql/instruments/bonds/amortizingcmsratebond.hpp +include/ql/instruments/bonds/amortizingfixedratebond.hpp +include/ql/instruments/bonds/amortizingfloatingratebond.hpp include/ql/instruments/bonds/btp.hpp include/ql/instruments/bonds/cmsratebond.hpp +include/ql/instruments/bonds/convertiblebonds.hpp include/ql/instruments/bonds/cpibond.hpp include/ql/instruments/bonds/fixedratebond.hpp include/ql/instruments/bonds/floatingratebond.hpp @@ -472,6 +474,9 @@ include/ql/instruments/creditdefaultswap.hpp include/ql/instruments/dividendbarrieroption.hpp include/ql/instruments/dividendschedule.hpp include/ql/instruments/dividendvanillaoption.hpp +include/ql/instruments/doublebarrieroption.hpp +include/ql/instruments/doublebarriertype.hpp +include/ql/instruments/equitytotalreturnswap.hpp include/ql/instruments/europeanoption.hpp include/ql/instruments/fixedratebondforward.hpp include/ql/instruments/floatfloatswap.hpp @@ -495,6 +500,7 @@ include/ql/instruments/nonstandardswap.hpp include/ql/instruments/nonstandardswaption.hpp include/ql/instruments/oneassetoption.hpp include/ql/instruments/overnightindexedswap.hpp +include/ql/instruments/overnightindexfuture.hpp include/ql/instruments/payoffs.hpp include/ql/instruments/quantobarrieroption.hpp include/ql/instruments/quantoforwardvanillaoption.hpp @@ -510,6 +516,7 @@ include/ql/instruments/vanillaswingoption.hpp include/ql/instruments/varianceswap.hpp include/ql/instruments/yearonyearinflationswap.hpp include/ql/instruments/zerocouponinflationswap.hpp +include/ql/instruments/zerocouponswap.hpp include/ql/interestrate.hpp include/ql/legacy/all.hpp include/ql/legacy/libormarketmodels/all.hpp @@ -580,6 +587,7 @@ include/ql/math/integrals/kronrodintegral.hpp include/ql/math/integrals/momentbasedgaussianpolynomial.hpp include/ql/math/integrals/segmentintegral.hpp include/ql/math/integrals/simpsonintegral.hpp +include/ql/math/integrals/tanhsinhintegral.hpp include/ql/math/integrals/trapezoidintegral.hpp include/ql/math/integrals/twodimensionalintegral.hpp include/ql/math/interpolation.hpp @@ -589,6 +597,7 @@ include/ql/math/interpolations/backwardflatinterpolation.hpp include/ql/math/interpolations/backwardflatlinearinterpolation.hpp include/ql/math/interpolations/bicubicsplineinterpolation.hpp include/ql/math/interpolations/bilinearinterpolation.hpp +include/ql/math/interpolations/chebyshevinterpolation.hpp include/ql/math/interpolations/convexmonotoneinterpolation.hpp include/ql/math/interpolations/cubicinterpolation.hpp include/ql/math/interpolations/extrapolation.hpp @@ -612,6 +621,7 @@ include/ql/math/matrixutilities/all.hpp include/ql/math/matrixutilities/basisincompleteordered.hpp include/ql/math/matrixutilities/bicgstab.hpp include/ql/math/matrixutilities/choleskydecomposition.hpp +include/ql/math/matrixutilities/expm.hpp include/ql/math/matrixutilities/factorreduction.hpp include/ql/math/matrixutilities/getcovariance.hpp include/ql/math/matrixutilities/gmres.hpp @@ -733,10 +743,12 @@ include/ql/methods/finitedifferences/onefactoroperator.hpp include/ql/methods/finitedifferences/operators/all.hpp include/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp include/ql/methods/finitedifferences/operators/fdmbatesop.hpp +include/ql/methods/finitedifferences/operators/fdmblackscholesfwdop.hpp include/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp include/ql/methods/finitedifferences/operators/fdmcevop.hpp include/ql/methods/finitedifferences/operators/fdmcirop.hpp include/ql/methods/finitedifferences/operators/fdmg2op.hpp +include/ql/methods/finitedifferences/operators/fdmhestonfwdop.hpp include/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp include/ql/methods/finitedifferences/operators/fdmhestonop.hpp include/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp @@ -747,7 +759,9 @@ include/ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp include/ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp include/ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp include/ql/methods/finitedifferences/operators/fdmsabrop.hpp +include/ql/methods/finitedifferences/operators/fdmsquarerootfwdop.hpp include/ql/methods/finitedifferences/operators/firstderivativeop.hpp +include/ql/methods/finitedifferences/operators/modtriplebandlinearop.hpp include/ql/methods/finitedifferences/operators/ninepointlinearop.hpp include/ql/methods/finitedifferences/operators/nthorderderivativeop.hpp include/ql/methods/finitedifferences/operators/numericaldifferentiation.hpp @@ -801,16 +815,20 @@ include/ql/methods/finitedifferences/tridiagonaloperator.hpp include/ql/methods/finitedifferences/utilities/all.hpp include/ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp include/ql/methods/finitedifferences/utilities/cevrndcalculator.hpp +include/ql/methods/finitedifferences/utilities/escroweddividendadjustment.hpp include/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp include/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp include/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp include/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/fdmdiscountdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp +include/ql/methods/finitedifferences/utilities/fdmescrowedloginnervaluecalculator.hpp +include/ql/methods/finitedifferences/utilities/fdmhestongreensfct.hpp include/ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp include/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp include/ql/methods/finitedifferences/utilities/fdmmesherintegral.hpp include/ql/methods/finitedifferences/utilities/fdmquantohelper.hpp +include/ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp include/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/gbsmrndcalculator.hpp include/ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp @@ -824,6 +842,7 @@ include/ql/methods/lattices/bsmlattice.hpp include/ql/methods/lattices/lattice.hpp include/ql/methods/lattices/lattice1d.hpp include/ql/methods/lattices/lattice2d.hpp +include/ql/methods/lattices/tflattice.hpp include/ql/methods/lattices/tree.hpp include/ql/methods/lattices/trinomialtree.hpp include/ql/methods/montecarlo/all.hpp @@ -850,6 +869,8 @@ 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/equity/hestonslvfdmmodel.hpp +include/ql/models/equity/hestonslvmcmodel.hpp include/ql/models/equity/piecewisetimedependenthestonmodel.hpp include/ql/models/marketmodels/accountingengine.hpp include/ql/models/marketmodels/all.hpp @@ -1004,6 +1025,7 @@ include/ql/models/volatility/simplelocalestimator.hpp include/ql/money.hpp include/ql/numericalmethod.hpp include/ql/option.hpp +include/ql/optional.hpp include/ql/patterns/all.hpp include/ql/patterns/composite.hpp include/ql/patterns/curiouslyrecurring.hpp @@ -1023,18 +1045,24 @@ 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/fdblackscholesasianengine.hpp +include/ql/pricingengines/asian/mc_discr_arith_av_price_heston.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_heston.hpp include/ql/pricingengines/asian/mc_discr_geom_av_price.hpp -include/ql/pricingengines/asian/mcdiscreteasianengine.hpp +include/ql/pricingengines/asian/mcdiscreteasianenginebase.hpp +include/ql/pricingengines/asian/turnbullwakemanasianengine.hpp include/ql/pricingengines/barrier/all.hpp include/ql/pricingengines/barrier/analyticbarrierengine.hpp include/ql/pricingengines/barrier/analyticbinarybarrierengine.hpp +include/ql/pricingengines/barrier/analyticdoublebarrierbinaryengine.hpp +include/ql/pricingengines/barrier/analyticdoublebarrierengine.hpp include/ql/pricingengines/barrier/binomialbarrierengine.hpp include/ql/pricingengines/barrier/discretizedbarrieroption.hpp include/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp include/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp include/ql/pricingengines/barrier/fdhestonbarrierengine.hpp +include/ql/pricingengines/barrier/fdhestondoublebarrierengine.hpp include/ql/pricingengines/barrier/fdhestonrebateengine.hpp include/ql/pricingengines/barrier/mcbarrierengine.hpp include/ql/pricingengines/basket/all.hpp @@ -1047,8 +1075,11 @@ 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/binomialconvertibleengine.hpp include/ql/pricingengines/bond/bondfunctions.hpp include/ql/pricingengines/bond/discountingbondengine.hpp +include/ql/pricingengines/bond/discretizedconvertible.hpp +include/ql/pricingengines/bond/riskybondengine.hpp include/ql/pricingengines/capfloor/all.hpp include/ql/pricingengines/capfloor/analyticcapfloorengine.hpp include/ql/pricingengines/capfloor/bacheliercapfloorengine.hpp @@ -1068,6 +1099,9 @@ include/ql/pricingengines/credit/midpointcdsengine.hpp include/ql/pricingengines/forward/all.hpp include/ql/pricingengines/forward/forwardengine.hpp include/ql/pricingengines/forward/forwardperformanceengine.hpp +include/ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp +include/ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp +include/ql/pricingengines/forward/mcforwardvanillaengine.hpp include/ql/pricingengines/forward/mcvarianceswapengine.hpp include/ql/pricingengines/forward/replicatingvarianceswapengine.hpp include/ql/pricingengines/genericmodelengine.hpp @@ -1122,18 +1156,14 @@ include/ql/pricingengines/vanilla/bjerksundstenslandengine.hpp include/ql/pricingengines/vanilla/coshestonengine.hpp include/ql/pricingengines/vanilla/discretizedvanillaoption.hpp include/ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp -include/ql/pricingengines/vanilla/fdamericanengine.hpp include/ql/pricingengines/vanilla/fdbatesvanillaengine.hpp -include/ql/pricingengines/vanilla/fdbermudanengine.hpp +include/ql/pricingengines/vanilla/fdblackscholesshoutengine.hpp include/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp include/ql/pricingengines/vanilla/fdcevvanillaengine.hpp include/ql/pricingengines/vanilla/fdcirvanillaengine.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/fdhestonhullwhitevanillaengine.hpp include/ql/pricingengines/vanilla/fdhestonvanillaengine.hpp include/ql/pricingengines/vanilla/fdmultiperiodengine.hpp @@ -1153,6 +1183,8 @@ 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/pricingengines/vanilla/qdfpamericanengine.hpp +include/ql/pricingengines/vanilla/qdplusamericanengine.hpp include/ql/processes/all.hpp include/ql/processes/batesprocess.hpp include/ql/processes/blackscholesprocess.hpp @@ -1166,6 +1198,7 @@ include/ql/processes/gjrgarchprocess.hpp include/ql/processes/gsrprocess.hpp include/ql/processes/gsrprocesscore.hpp include/ql/processes/hestonprocess.hpp +include/ql/processes/hestonslvprocess.hpp include/ql/processes/hullwhiteprocess.hpp include/ql/processes/hybridhestonhullwhiteprocess.hpp include/ql/processes/jointstochasticprocess.hpp @@ -1276,6 +1309,8 @@ 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/interpolatedswaptionvolatilitycube.hpp +include/ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp include/ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp include/ql/termstructures/volatility/swaption/swaptionconstantvol.hpp include/ql/termstructures/volatility/swaption/swaptionvolcube.hpp @@ -1301,10 +1336,12 @@ include/ql/termstructures/yield/impliedtermstructure.hpp include/ql/termstructures/yield/interpolatedsimplezerocurve.hpp include/ql/termstructures/yield/nonlinearfittingmethods.hpp include/ql/termstructures/yield/oisratehelper.hpp +include/ql/termstructures/yield/overnightindexfutureratehelper.hpp include/ql/termstructures/yield/piecewiseyieldcurve.hpp include/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp include/ql/termstructures/yield/quantotermstructure.hpp include/ql/termstructures/yield/ratehelpers.hpp +include/ql/termstructures/yield/ultimateforwardtermstructure.hpp include/ql/termstructures/yield/zerocurve.hpp include/ql/termstructures/yield/zerospreadedtermstructure.hpp include/ql/termstructures/yield/zeroyieldstructure.hpp @@ -1321,6 +1358,7 @@ 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/chile.hpp include/ql/time/calendars/china.hpp include/ql/time/calendars/czechrepublic.hpp include/ql/time/calendars/denmark.hpp @@ -1363,7 +1401,9 @@ include/ql/time/dategenerationrule.hpp include/ql/time/daycounter.hpp include/ql/time/daycounters/actual360.hpp include/ql/time/daycounters/actual364.hpp +include/ql/time/daycounters/actual36525.hpp include/ql/time/daycounters/actual365fixed.hpp +include/ql/time/daycounters/actual366.hpp include/ql/time/daycounters/actualactual.hpp include/ql/time/daycounters/all.hpp include/ql/time/daycounters/business252.hpp @@ -1371,6 +1411,7 @@ include/ql/time/daycounters/one.hpp include/ql/time/daycounters/simpledaycounter.hpp include/ql/time/daycounters/thirty360.hpp include/ql/time/daycounters/thirty365.hpp +include/ql/time/daycounters/yearfractiontodate.hpp include/ql/time/ecb.hpp include/ql/time/frequency.hpp include/ql/time/imm.hpp