ports/144040: update finance/quantlib
dikshie
dikshie at sfc.wide.ad.jp
Wed Feb 17 15:20:02 UTC 2010
>Number: 144040
>Category: ports
>Synopsis: update finance/quantlib
>Confidential: no
>Severity: non-critical
>Priority: low
>Responsible: freebsd-ports-bugs
>State: open
>Quarter:
>Keywords:
>Date-Required:
>Class: update
>Submitter-Id: current-users
>Arrival-Date: Wed Feb 17 15:20:01 UTC 2010
>Closed-Date:
>Last-Modified:
>Originator: dikshie
>Release: FreeBSD-8.0
>Organization:
Keio Univ
>Environment:
FreeBSD salek.ai3.net 8.0-STABLE FreeBSD 8.0-STABLE #20: Tue Feb 16 22:17:34 JST 2010 root at salek.ai3.net:/usr/obj/usr/src/sys/SOIASIA amd64
>Description:
1.update ports/finance/quantlib from 0.9.0 to 0.9.9.
2.request for maintainership.
3.modified existing two patches on quantlib/files and add new one on quantlib/files.
3.tested on amd64 and i386.
4.pkg-plist is quite complex please check and recheck again.
5.thank you!
>How-To-Repeat:
>Fix:
Patch attached with submission follows:
--- Makefile.orig 2010-02-17 22:48:03.000000000 +0900
+++ Makefile 2010-02-17 22:48:03.000000000 +0900
@@ -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-${PORTVERSION}
-MAINTAINER= ports at FreeBSD.org
+MAINTAINER= dikshie at sfc.wide.ad.jp
COMMENT= A comprehensive software framework for quantitative finance
LIB_DEPENDS= boost_thread.4:${PORTSDIR}/devel/boost-libs
--- distinfo.orig 2010-02-17 22:48:03.000000000 +0900
+++ distinfo 2010-02-17 22:48:03.000000000 +0900
@@ -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
--- files/patch-configure.orig 2010-02-17 22:48:03.000000000 +0900
+++ files/patch-configure 2010-02-17 22:48:16.000000000 +0900
@@ -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 <boost/test/unit_test.hpp>
--- files/patch-test-suite_quantlibbenchmark.cpp.orig 2010-02-17 23:56:41.000000000 +0900
+++ files/patch-test-suite_quantlibbenchmark.cpp 2010-02-17 22:48:17.000000000 +0900
@@ -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 <ql/types.hpp>
+ #include <ql/version.hpp>
+ #include <boost/test/unit_test.hpp>
--- files/patch-test-suite_quantlibtestsuite.cpp.orig 2010-02-17 22:48:03.000000000 +0900
+++ files/patch-test-suite_quantlibtestsuite.cpp 2010-02-17 22:48:17.000000000 +0900
@@ -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 <ql/types.hpp>
- #include <boost/test/unit_test.hpp>
- #include <boost/timer.hpp>
+ #include <ql/settings.hpp>
+ #include <ql/version.hpp>
--- pkg-plist 2010-02-17 22:48:03.000000000 +0900
+++ pkg-plist.new 2010-02-17 23:48:06.000000000 +0900
@@ -5,6 +5,7 @@
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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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/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 @@
@dirrm include/ql/termstructures/yield
@dirrm include/ql/termstructures/volatility/swaption
@dirrm include/ql/termstructures/volatility/optionlet
+ at 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
+ at dirrm include/ql/termstructures/credit
@dirrm include/ql/termstructures
@dirrm include/ql/quotes
@dirrm include/ql/processes
@@ -759,8 +1003,10 @@
@dirrm include/ql/pricingengines/swap
@dirrm include/ql/pricingengines/quanto
@dirrm include/ql/pricingengines/lookback
+ at dirrm include/ql/pricingengines/inflation
@dirrm include/ql/pricingengines/hybrid
@dirrm include/ql/pricingengines/forward
+ at dirrm include/ql/pricingengines/credit
@dirrm include/ql/pricingengines/cliquet
@dirrm include/ql/pricingengines/capfloor
@dirrm include/ql/pricingengines/bond
@@ -774,10 +1020,13 @@
@dirrm include/ql/models/shortrate/onefactormodels
@dirrm include/ql/models/shortrate/calibrationhelpers
@dirrm include/ql/models/shortrate
+ at 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
+ at dirrm include/ql/models/marketmodels/pathwisegreeks
@dirrm include/ql/models/marketmodels/models
+ at 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 @@
@dirrm include/ql/math/interpolations
@dirrm include/ql/math/integrals
@dirrm include/ql/math/distributions
+ at dirrm include/ql/math/copulas
@dirrm include/ql/math
- at dirrm include/ql/legacy/termstructures
- at dirrm include/ql/legacy/pricers
@dirrm include/ql/legacy/libormarketmodels
@dirrm include/ql/legacy
@dirrm include/ql/instruments/bonds
@@ -810,6 +1058,22 @@
@dirrm include/ql/indexes/inflation
@dirrm include/ql/indexes/ibor
@dirrm include/ql/indexes
+ at dirrm include/ql/experimental/volatility
+ at dirrm include/ql/experimental/varianceoption
+ at dirrm include/ql/experimental/risk
+ at dirrm include/ql/experimental/processes
+ at dirrm include/ql/experimental/mcbasket
+ at dirrm include/ql/experimental/math
+ at dirrm include/ql/experimental/lattices
+ at dirrm include/ql/experimental/inflation
+ at dirrm include/ql/experimental/finitedifferences
+ at dirrm include/ql/experimental/credit
+ at dirrm include/ql/experimental/coupons
+ at dirrm include/ql/experimental/compoundoption
+ at dirrm include/ql/experimental/commodities
+ at dirrm include/ql/experimental/callablebonds
+ at dirrm include/ql/experimental/barrieroption
+ at dirrm include/ql/experimental/amortizingbonds
@dirrm include/ql/experimental
@dirrm include/ql/currencies
@dirrm include/ql/cashflows
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