Date: Mon, 23 Jul 2018 16:15:03 +0000 (UTC) From: Mikhail Teterin <mi@FreeBSD.org> To: ports-committers@freebsd.org, svn-ports-all@freebsd.org, svn-ports-head@freebsd.org Subject: svn commit: r475188 - in head: . finance finance/quantlib finance/quantlib/files Message-ID: <201807231615.w6NGF341077550@repo.freebsd.org>
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Author: mi Date: Mon Jul 23 16:15:02 2018 New Revision: 475188 URL: https://svnweb.freebsd.org/changeset/ports/475188 Log: Re-add finance/quantlib following the official procedure. Added: head/finance/quantlib/ - copied from r337184, head/finance/quantlib/ head/finance/quantlib/files/patch-gmakeism (contents, props changed) head/finance/quantlib/files/patch-tests (contents, props changed) head/finance/quantlib/pkg-help (contents, props changed) Deleted: head/finance/quantlib/files/patch-configure head/finance/quantlib/files/patch-test-suite_quantlibbenchmark.cpp head/finance/quantlib/files/patch-test-suite_quantlibtestsuite.cpp Modified: head/MOVED head/finance/Makefile head/finance/quantlib/Makefile head/finance/quantlib/distinfo head/finance/quantlib/pkg-descr head/finance/quantlib/pkg-plist (contents, props changed) Modified: head/MOVED ============================================================================== --- head/MOVED Mon Jul 23 16:02:09 2018 (r475187) +++ head/MOVED Mon Jul 23 16:15:02 2018 (r475188) @@ -5255,7 +5255,6 @@ devel/hs-DeepArrow||2013-12-22|Has expired: Broken for converters/py-svglib||2013-12-22|Has expired: Broken for more than 6 months converters/p5-Unicode-Lite||2013-12-22|Has expired: Broken for more than 6 months mail/squirrelmail-calendar_sql_backend-plugin||2013-12-22|Has expired: Broken for more than 6 months -finance/quantlib||2013-12-22|Has expired: Broken for more than 6 months games/xkobo||2013-12-22|Has expired: Broken for more than 6 months games/quake3-rq3||2013-12-22|Has expired: Broken for more than 6 months math/fbm||2013-12-22|Has expired: No new release since 2004, new supported upstream Modified: head/finance/Makefile ============================================================================== --- head/finance/Makefile Mon Jul 23 16:02:09 2018 (r475187) +++ head/finance/Makefile Mon Jul 23 16:15:02 2018 (r475188) @@ -101,6 +101,7 @@ SUBDIR += py-vatnumber SUBDIR += py-ystockquote SUBDIR += qhacc + SUBDIR += quantlib SUBDIR += quickfix SUBDIR += rubygem-money SUBDIR += sabernetdcs-client Modified: head/finance/quantlib/Makefile ============================================================================== --- head/finance/quantlib/Makefile Sun Dec 22 11:42:11 2013 (r337184) +++ head/finance/quantlib/Makefile Mon Jul 23 16:15:02 2018 (r475188) @@ -1,48 +1,67 @@ -# Created by: ijliao +# Created by: Mikhail Teterin # $FreeBSD$ PORTNAME= quantlib -PORTVERSION= 1.1 -PORTREVISION= 1 -CATEGORIES= finance -MASTER_SITES= SF/${PORTNAME}/QuantLib/${PORTVERSION} +PORTVERSION= 1.13 +CATEGORIES= finance math devel +MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ DISTNAME= QuantLib-${PORTVERSION} -MAINTAINER= dikshie@sfc.wide.ad.jp -COMMENT= A comprehensive software framework for quantitative finance +MAINTAINER= mi@aldan.algebra.com +COMMENT= C++ library for quantitative finance -LIB_DEPENDS= libboost_thread.so:${PORTSDIR}/devel/boost-libs +LICENSE= BSD3CLAUSE +LICENSE_FILE= ${WRKSRC}/LICENSE.TXT -WRKSRC= ${WRKDIR}/QuantLib-${PORTVERSION} +LIB_DEPENDS= libboost_system.so:devel/boost-libs -USE_AUTOTOOLS= libtool -GNU_CONFIGURE= yes -CPPFLAGS+= ${PTHREAD_CFLAGS} -I${LOCALBASE}/include -LDFLAGS+= ${PTHREAD_LIBS} -L${LOCALBASE}/lib +USES= compiler USE_LDCONFIG= yes +GNU_CONFIGURE= yes +CONFIGURE_ENV+= EMACS=no +MAKE_ENV+= AM_MAKEFLAGS=${_MAKE_JOBS} +TEST_TARGET= check-examples check +OPTIONS_SUB= please -DEPRECATED= Broken for more than 6 month -EXPIRATION_DATE= 2013-12-22 +OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK UNITY_BUILD NEGATIVE_RATES -BROKEN= fails to build +OPTIONS_DEFINE= TRACING INDEXED_COUPONS +OPTIONS_DEFINE+=EXTRA_SAFETY_CHECKS SESSIONS INTRADAY +OPTIONS_DEFINE+=THREAD_SAFE_OBSERVER_PATTERN +OPTIONS_DEFINE+=THREAD_SAFE_SINGLETON_INIT +OPTIONS_DEFINE+=${OPTIONS_DEFAULT} -MAN1= quantlib-config.1 quantlib-test-suite.1 +.if ${CC} == "cc" +# The base cc/c++ on FreeBSD-10 is too old for OpenMP. +OPTIONS_EXCLUDE_FreeBSD_10=OPENMP +.endif -NO_STAGE= yes -.include <bsd.port.pre.mk> +BENCHMARK_DESC= Install benchmark (it is always built) +EXTRA_SAFETY_CHECKS_DESC=Trade performance for run-time checks +INDEXED_COUPONS_DESC= Use indexed rather than par coupons +INTRADAY_DESC= Time precision of msecs, instead of days +NEGATIVE_RATES_DESC= Allow rates to be negative +TRACING_DESC= Trade performance for more detailed errors +UNITY_BUILD_DESC= Combine sources into one before compiling +SESSIONS_DESC= See help -.if ${ARCH} == "ia64" || ${ARCH} == "alpha" -BROKEN= Does not build on ia64 or alpha -.endif +EXAMPLES_CONFIGURE_WITH=lispdir=${EXAMPLESDIR} +CONFIGURE_ARGS+= --enable-parallel-unit-test-runner +CONFIGURE_ARGS+= --with-boost-include=${LOCALBASE}/include +CONFIGURE_ARGS+= --with-boost-lib=${LOCALBASE}/lib -post-patch: - @${FIND} ${WRKSRC} -name "Makefile.in" | ${XARGS} ${REINPLACE_CMD} -e \ - 's|: install-dist_lispLISP|:|g ; \ - s|@CPPUNIT_FOUND_TRUE@|#|g ; \ - s|@CPPUNIT_FOUND_FALSE@||g' - @${REINPLACE_CMD} -e 's|-release $$(PACKAGE_VERSION)||' ${WRKSRC}/ql/Makefile.in +.for o in ${OPTIONS_DEFINE} +$o_CONFIGURE_ENABLE= ${o:S/_/-/g:tl} +.endfor -post-install: - ${INSTALL_DATA} ${WRKSRC}/quantlib.el ${PREFIX}/share/emacs/site-lisp +# OPENMP_USES= compiler:openmp - XXX broken, insists on gcc, +# but boost is built with clang... +OPENMP_LIB_DEPENDS= libomp.so:devel/openmp +OPENMP_CFLAGS= -I${LOCALBASE}/include +OPENMP_LDFLAGS= -L${LOCALBASE}/lib +# devel/openmp installs its own -lomp, which is cleaner. +# unfortunately, devel/llvm${COMPILER_VERSION} may install +# one too: +OPENMP_LDFLAGS+= -L${LOCALBASE}/llvm${COMPILER_VERSION}/lib -.include <bsd.port.post.mk> +.include <bsd.port.mk> Modified: head/finance/quantlib/distinfo ============================================================================== --- head/finance/quantlib/distinfo Sun Dec 22 11:42:11 2013 (r337184) +++ head/finance/quantlib/distinfo Mon Jul 23 16:15:02 2018 (r475188) @@ -1,2 +1,3 @@ -SHA256 (QuantLib-1.1.tar.gz) = 7162ab593fb4fd640b77895c7d687952ed242a8f9783d89c55ab47bc51f49ddb -SIZE (QuantLib-1.1.tar.gz) = 3899589 +TIMESTAMP = 1531235784 +SHA256 (QuantLib-1.13.tar.gz) = bb52df179781f9c19ef8e976780c4798b0cdc4d21fa72a7a386016e24d1a86e6 +SIZE (QuantLib-1.13.tar.gz) = 9132949 Added: head/finance/quantlib/files/patch-gmakeism ============================================================================== --- /dev/null 00:00:00 1970 (empty, because file is newly added) +++ head/finance/quantlib/files/patch-gmakeism Mon Jul 23 16:15:02 2018 (r475188) @@ -0,0 +1,14 @@ +Allow check-exapmles to work with our make, upstream's syntax is +gmake-only... + +--- Examples/Makefile.in 2018-05-23 14:35:06 ++++ Examples/Makefile.in 2018-07-10 23:06:07 +@@ -657,6 +657,6 @@ + + +-%.check: +- $(MAKE) -C $* check-examples ++${SUBDIR_CHECKS}: ++ $(MAKE) -C ${@:.check=} check-examples + + .PHONY: examples check-examples $(SUBDIRS) Added: head/finance/quantlib/files/patch-tests ============================================================================== --- /dev/null 00:00:00 1970 (empty, because file is newly added) +++ head/finance/quantlib/files/patch-tests Mon Jul 23 16:15:02 2018 (r475188) @@ -0,0 +1,36 @@ +See: + + https://github.com/lballabio/QuantLib/pull/507/ + +--- ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp ++++ ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp +@@ -132,7 +132,8 @@ namespace QuantLib { + + for (Size i=0; i < strikes_.size(); ++i) + for (Size j=1; j<strikes_[i]->size(); j++) { +- QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1), ++ QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1) ++ || close_enough(strikes_[i]->at(j),strikes_[i]->at(j-1)), + "strikes must be sorted"); + } + } +--- test-suite/hestonslvmodel.cpp ++++ test-suite/hestonslvmodel.cpp +@@ -2446,7 +2446,7 @@ void HestonSLVModelTest::testMoustacheGraph() { + -0.0293,-0.0297,-0.0251,-0.0192,-0.0134,-0.0084,-0.0045, + -0.0015, 0.0005, 0.0017, 0.0020 + }; +- const Real tol = 8e-3; ++ const Real tol = 1e-2; + + for (Size i=0; i < 18; ++i) { + const Real dist = 10.0+5.0*i; +--- test-suite/fdheston.cpp 2018-05-21 08:58:38.000000000 -0400 ++++ test-suite/fdheston.cpp 2018-07-20 18:51:34.213199000 -0400 +@@ -469,5 +469,5 @@ + new FdHestonVanillaEngine(boost::shared_ptr<HestonModel>( + new HestonModel(hestonProcess)), +- 500, 400, 3, 0, ++ 4000, 400, 3, 0, + FdmSchemeDesc::ExplicitEuler()))); + Modified: head/finance/quantlib/pkg-descr ============================================================================== --- head/finance/quantlib/pkg-descr Sun Dec 22 11:42:11 2013 (r337184) +++ head/finance/quantlib/pkg-descr Mon Jul 23 16:15:02 2018 (r475188) @@ -1,22 +1,16 @@ -The QuantLib project is aimed to provide a comprehensive software framework -for quantitative finance. The goal is to provide a standard free/open source -library to quantitative analysts and developers for modeling, trading, and -risk management in real-life. +The QuantLib project is aimed at providing a comprehensive software +framework for quantitative finance. QuantLib is a free/open-source +library for modeling, trading, and risk management in real-life. -QuantLib plans to offer tools that are useful for both practical -implementation, with features such as market conventions, solvers, PDEs, -etc., and advanced modeling, e.g., exotic options and interest rate models. +QuantLib is written in C++ with a clean object model, and is then +exported to different languages such as C#, Objective Caml, Java, +Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is +also available. The reposit project facilitates deployment of object +libraries to end user platforms and is used to generate QuantLibXL, +an Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for +other platforms such as LibreOffice Calc. Bindings to other languages +and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, +COM/CORBA/SOAP architectures, FpML, are under consideration. See +the extensions page for details. -QuantLib is meant to be used by academics and practitioners alike, eventually -promoting a stronger interaction between the two. - -Finance is one area where well-written open-source projects could make a -tremendous difference. Almost every financial institution needs a solid, -time-effective, operative implementation of leading-edge pricing models and -hedging tools. However, to get there, currently one is forced to re-invent -the wheel every time. Even decade-old models with no market value, such as -Black-Scholes formula (1973), still lack a standard implementation. As a -consequences many good quants are wasting their time writing C++ classes -which have been already written thousands of times. - -WWW: http://www.quantlib.org/ +WWW: https://www.quantlib.org/ Added: head/finance/quantlib/pkg-help ============================================================================== --- /dev/null 00:00:00 1970 (empty, because file is newly added) +++ head/finance/quantlib/pkg-help Mon Jul 23 16:15:02 2018 (r475188) @@ -0,0 +1,56 @@ + --enable-openmp If enabled, configure will try to detect and enable + OpenMP support. + --enable-tracing If enabled, tracing messages might be emitted by the + library depending on run-time settings. Enabling + this option can degrade performance. + --enable-indexed-coupons + If enabled, indexed coupons (see the documentation) + are used in floating legs. If disabled (the + default), par coupons are used. + --enable-negative-rates If enabled (the default), negative yield rates are + allowed. If disabled, some features (notably, curve + bootstrapping) will throw when negative rates are + found. + --enable-extra-safety-checks + If enabled, extra run-time checks are added to a few + functions. This can prevent their inlining and + degrade performance. + --enable-sessions If enabled, singletons will return different + instances for different sessions. You will have to + provide and link with the library a sessionId() + function in namespace QuantLib, returning a + different session id for each session. + --enable-thread-safe-observer-pattern + If enabled, thread-safe version of the observer + pattern will be used. You should enable it if you + want to use QuantLib via the SWIG layer within the + JVM or .NET eco system or any environment with an + async garbage collector. + --enable-thread-safe-singleton-init + If enabled, singleton initialization will be + thread-safe. This requires Boost 1.58 or later and + is not supported when sessions are enabled. + --enable-parallel-unit-test-runner + If enabled, a parallel unit test runner is used to + execute the C++ test suite. This will reduce the + runtime on multi core CPUs. + --enable-examples If enabled, examples are built and installed when + "make" and "make install" are invoked. If disabled + (the default) they are built but not installed. + --enable-benchmark If enabled, the benchmark is built and installed + when "make" and "make install" are invoked. If + disabled (the default) it is built but not + installed. + --enable-unity-build If enabled, the source files in each directory are + collected into one single source file and compiled + together. This can speed up the compilation of the + library. If disabled (the default) each source file + is compiled separately.. + --enable-intraday If enabled, date objects will support an intraday + datetime resolution down to microseconds. Strickly + monotone daycounters (Actual360, Actual365Fixed and + ActualActual) will take the additional information + into account and allow for accurate intraday + pricing. If disabled (the default) the smallest + resolution of date objects will be a single day. + Intraday datetime resolution is experimental. Modified: head/finance/quantlib/pkg-plist ============================================================================== --- head/finance/quantlib/pkg-plist Sun Dec 22 11:42:11 2013 (r337184) +++ head/finance/quantlib/pkg-plist Mon Jul 23 16:15:02 2018 (r475188) @@ -1,7 +1,45 @@ -bin/quantlib-config bin/quantlib-test-suite -include/ql/auto_link.hpp -include/ql/cashflow.hpp +bin/quantlib-config +%%EXAMPLES%%bin/BasketLosses +%%EXAMPLES%%bin/BermudanSwaption +%%EXAMPLES%%bin/Bonds +%%EXAMPLES%%bin/CDS +%%EXAMPLES%%bin/CVAIRS +%%EXAMPLES%%bin/CallableBonds +%%EXAMPLES%%bin/ConvertibleBonds +%%EXAMPLES%%bin/DiscreteHedging +%%EXAMPLES%%bin/EquityOption +%%EXAMPLES%%bin/FRA +%%EXAMPLES%%bin/FittedBondCurve +%%EXAMPLES%%bin/Gaussian1dModels +%%EXAMPLES%%bin/GlobalOptimizer +%%EXAMPLES%%bin/LatentModel +%%EXAMPLES%%bin/MarketModels +%%EXAMPLES%%bin/MultidimIntegral +%%EXAMPLES%%bin/Replication +%%EXAMPLES%%bin/Repo +%%EXAMPLES%%bin/SwapValuation +%%BENCHMARK%%bin/quantlib-benchmark +%%EXAMPLES%%man/man1/BasketLosses.1.gz +%%EXAMPLES%%man/man1/BermudanSwaption.1.gz +%%EXAMPLES%%man/man1/Bonds.1.gz +%%EXAMPLES%%man/man1/CDS.1.gz +%%EXAMPLES%%man/man1/CVAIRS.1.gz +%%EXAMPLES%%man/man1/CallableBonds.1.gz +%%EXAMPLES%%man/man1/ConvertibleBonds.1.gz +%%EXAMPLES%%man/man1/DiscreteHedging.1.gz +%%EXAMPLES%%man/man1/EquityOption.1.gz +%%EXAMPLES%%man/man1/FRA.1.gz +%%EXAMPLES%%man/man1/FittedBondCurve.1.gz +%%EXAMPLES%%man/man1/Gaussian1dModels.1.gz +%%EXAMPLES%%man/man1/GlobalOptimizer.1.gz +%%EXAMPLES%%man/man1/LatentModel.1.gz +%%EXAMPLES%%man/man1/MarketModels.1.gz +%%EXAMPLES%%man/man1/MultidimIntegral.1.gz +%%EXAMPLES%%man/man1/Replication.1.gz +%%EXAMPLES%%man/man1/Repo.1.gz +%%EXAMPLES%%man/man1/SwapValuation.1.gz +%%BENCHMARK%%man/man1/quantlib-benchmark.1.gz include/ql/cashflows/all.hpp include/ql/cashflows/averagebmacoupon.hpp include/ql/cashflows/capflooredcoupon.hpp @@ -12,53 +50,68 @@ include/ql/cashflows/cmscoupon.hpp include/ql/cashflows/conundrumpricer.hpp include/ql/cashflows/coupon.hpp include/ql/cashflows/couponpricer.hpp +include/ql/cashflows/cpicoupon.hpp +include/ql/cashflows/cpicouponpricer.hpp include/ql/cashflows/digitalcmscoupon.hpp include/ql/cashflows/digitalcoupon.hpp include/ql/cashflows/digitaliborcoupon.hpp include/ql/cashflows/dividend.hpp include/ql/cashflows/duration.hpp +include/ql/cashflows/iborcoupon.hpp include/ql/cashflows/fixedratecoupon.hpp include/ql/cashflows/floatingratecoupon.hpp -include/ql/cashflows/iborcoupon.hpp include/ql/cashflows/indexedcashflow.hpp include/ql/cashflows/inflationcoupon.hpp include/ql/cashflows/inflationcouponpricer.hpp +include/ql/cashflows/lineartsrpricer.hpp include/ql/cashflows/overnightindexedcoupon.hpp include/ql/cashflows/rangeaccrual.hpp include/ql/cashflows/replication.hpp include/ql/cashflows/simplecashflow.hpp include/ql/cashflows/timebasket.hpp include/ql/cashflows/yoyinflationcoupon.hpp -include/ql/compounding.hpp -include/ql/config.hpp -include/ql/currencies/africa.hpp include/ql/currencies/all.hpp +include/ql/currencies/africa.hpp include/ql/currencies/america.hpp include/ql/currencies/asia.hpp +include/ql/currencies/crypto.hpp include/ql/currencies/europe.hpp include/ql/currencies/exchangeratemanager.hpp include/ql/currencies/oceania.hpp -include/ql/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/all.hpp include/ql/experimental/amortizingbonds/all.hpp include/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp include/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp include/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp +include/ql/experimental/averageois/all.hpp +include/ql/experimental/averageois/averageoiscouponpricer.hpp +include/ql/experimental/averageois/arithmeticaverageois.hpp +include/ql/experimental/averageois/arithmeticoisratehelper.hpp +include/ql/experimental/averageois/makearithmeticaverageois.hpp include/ql/experimental/barrieroption/all.hpp +include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp +include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp +include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp +include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarriertype.hpp include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp +include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp +include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgainterpolation.hpp +include/ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp include/ql/experimental/callablebonds/all.hpp include/ql/experimental/callablebonds/blackcallablebondengine.hpp -include/ql/experimental/callablebonds/callablebond.hpp include/ql/experimental/callablebonds/callablebondconstantvol.hpp +include/ql/experimental/callablebonds/callablebond.hpp include/ql/experimental/callablebonds/callablebondvolstructure.hpp include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp include/ql/experimental/callablebonds/treecallablebondengine.hpp +include/ql/experimental/catbonds/all.hpp +include/ql/experimental/catbonds/catbond.hpp +include/ql/experimental/catbonds/catrisk.hpp +include/ql/experimental/catbonds/montecarlocatbondengine.hpp +include/ql/experimental/catbonds/riskynotional.hpp include/ql/experimental/commodities/all.hpp include/ql/experimental/commodities/commodity.hpp include/ql/experimental/commodities/commoditycashflow.hpp @@ -82,158 +135,210 @@ 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/convertiblebonds/all.hpp include/ql/experimental/convertiblebonds/binomialconvertibleengine.hpp include/ql/experimental/convertiblebonds/convertiblebond.hpp include/ql/experimental/convertiblebonds/discretizedconvertible.hpp include/ql/experimental/convertiblebonds/tflattice.hpp include/ql/experimental/coupons/all.hpp +include/ql/experimental/coupons/cmsspreadcoupon.hpp +include/ql/experimental/coupons/digitalcmsspreadcoupon.hpp +include/ql/experimental/coupons/lognormalcmsspreadpricer.hpp include/ql/experimental/coupons/proxyibor.hpp include/ql/experimental/coupons/quantocouponpricer.hpp +include/ql/experimental/coupons/strippedcapflooredcoupon.hpp include/ql/experimental/coupons/subperiodcoupons.hpp +include/ql/experimental/coupons/swapspreadindex.hpp include/ql/experimental/credit/all.hpp +include/ql/experimental/credit/basecorrelationlossmodel.hpp +include/ql/experimental/credit/basecorrelationstructure.hpp include/ql/experimental/credit/basket.hpp +include/ql/experimental/credit/binomiallossmodel.hpp include/ql/experimental/credit/blackcdsoptionengine.hpp include/ql/experimental/credit/cdo.hpp include/ql/experimental/credit/cdsoption.hpp +include/ql/experimental/credit/constantlosslatentmodel.hpp +include/ql/experimental/credit/correlationstructure.hpp include/ql/experimental/credit/defaultevent.hpp +include/ql/experimental/credit/defaultlossmodel.hpp include/ql/experimental/credit/defaultprobabilitykey.hpp +include/ql/experimental/credit/defaultprobabilitylatentmodel.hpp include/ql/experimental/credit/defaulttype.hpp include/ql/experimental/credit/distribution.hpp include/ql/experimental/credit/factorspreadedhazardratecurve.hpp +include/ql/experimental/credit/gaussianlhplossmodel.hpp +include/ql/experimental/credit/homogeneouspooldef.hpp +include/ql/experimental/credit/inhomogeneouspooldef.hpp +include/ql/experimental/credit/integralcdoengine.hpp +include/ql/experimental/credit/integralntdengine.hpp +include/ql/experimental/credit/interpolatedaffinehazardratecurve.hpp include/ql/experimental/credit/issuer.hpp include/ql/experimental/credit/loss.hpp include/ql/experimental/credit/lossdistribution.hpp +include/ql/experimental/credit/midpointcdoengine.hpp include/ql/experimental/credit/nthtodefault.hpp +include/ql/experimental/credit/onefactoraffinesurvival.hpp include/ql/experimental/credit/onefactorcopula.hpp include/ql/experimental/credit/onefactorgaussiancopula.hpp -include/ql/experimental/credit/onefactorstudentcopula.hpp include/ql/experimental/credit/pool.hpp +include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/randomdefaultlatentmodel.hpp include/ql/experimental/credit/randomdefaultmodel.hpp +include/ql/experimental/credit/randomlosslatentmodel.hpp include/ql/experimental/credit/recoveryratemodel.hpp include/ql/experimental/credit/recoveryratequote.hpp -include/ql/experimental/credit/recursivecdoengine.hpp +include/ql/experimental/credit/recursivelossmodel.hpp include/ql/experimental/credit/riskyassetswap.hpp include/ql/experimental/credit/riskyassetswapoption.hpp include/ql/experimental/credit/riskybond.hpp +include/ql/experimental/credit/saddlepointlossmodel.hpp +include/ql/experimental/credit/spotlosslatentmodel.hpp include/ql/experimental/credit/spreadedhazardratecurve.hpp include/ql/experimental/credit/syntheticcdo.hpp -include/ql/experimental/credit/syntheticcdoengines.hpp include/ql/experimental/exoticoptions/all.hpp include/ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp +include/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp include/ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp +include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp include/ql/experimental/exoticoptions/analyticsimplechooserengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp +include/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/complexchooseroption.hpp +include/ql/experimental/exoticoptions/compoundoption.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp include/ql/experimental/exoticoptions/everestoption.hpp include/ql/experimental/exoticoptions/himalayaoption.hpp +include/ql/experimental/exoticoptions/holderextensibleoption.hpp +include/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp include/ql/experimental/exoticoptions/margrabeoption.hpp include/ql/experimental/exoticoptions/mceverestengine.hpp include/ql/experimental/exoticoptions/mchimalayaengine.hpp include/ql/experimental/exoticoptions/mcpagodaengine.hpp include/ql/experimental/exoticoptions/pagodaoption.hpp +include/ql/experimental/exoticoptions/partialtimebarrieroption.hpp include/ql/experimental/exoticoptions/simplechooseroption.hpp +include/ql/experimental/exoticoptions/spreadoption.hpp +include/ql/experimental/exoticoptions/twoassetbarrieroption.hpp +include/ql/experimental/exoticoptions/twoassetcorrelationoption.hpp +include/ql/experimental/exoticoptions/writerextensibleoption.hpp include/ql/experimental/finitedifferences/all.hpp -include/ql/experimental/finitedifferences/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/fd2dblackscholesvanillaengine.hpp -include/ql/experimental/finitedifferences/fdbatesvanillaengine.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/fdm2dblackscholesop.hpp -include/ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp -include/ql/experimental/finitedifferences/fdmamericanstepcondition.hpp -include/ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp -include/ql/experimental/finitedifferences/fdmbackwardsolver.hpp -include/ql/experimental/finitedifferences/fdmbatesop.hpp -include/ql/experimental/finitedifferences/fdmbatessolver.hpp -include/ql/experimental/finitedifferences/fdmbermudanstepcondition.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/fdmhestonlikesolverfactory.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/sparseilupreconditioner.hpp -include/ql/experimental/finitedifferences/triplebandlinearop.hpp -include/ql/experimental/finitedifferences/uniform1dmesher.hpp -include/ql/experimental/finitedifferences/uniformgridmesher.hpp +include/ql/experimental/finitedifferences/bsmrndcalculator.hpp +include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp +include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp +include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp +include/ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp +include/ql/experimental/finitedifferences/fdmdupire1dop.hpp +include/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp +include/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp +include/ql/experimental/finitedifferences/fdmextoujumpop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp +include/ql/experimental/finitedifferences/fdmzabrop.hpp +include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp +include/ql/experimental/finitedifferences/fdmhestonfwdop.hpp +include/ql/experimental/finitedifferences/fdmklugeextouop.hpp +include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp +include/ql/experimental/finitedifferences/fdmlocalvolfwdop.hpp +include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp +include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp +include/ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp +include/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp +include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp +include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp +include/ql/experimental/finitedifferences/gbsmrndcalculator.hpp +include/ql/experimental/finitedifferences/glued1dmesher.hpp +include/ql/experimental/finitedifferences/hestonrndcalculator.hpp +include/ql/experimental/finitedifferences/localvolrndcalculator.hpp +include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp +include/ql/experimental/finitedifferences/riskneutraldensitycalculator.hpp +include/ql/experimental/finitedifferences/squarerootprocessrndcalculator.hpp +include/ql/experimental/finitedifferences/vanillavppoption.hpp include/ql/experimental/fx/all.hpp include/ql/experimental/fx/blackdeltacalculator.hpp include/ql/experimental/fx/deltavolquote.hpp include/ql/experimental/inflation/all.hpp +include/ql/experimental/inflation/cpicapfloorengines.hpp +include/ql/experimental/inflation/cpicapfloortermpricesurface.hpp include/ql/experimental/inflation/genericindexes.hpp include/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp include/ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp include/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp include/ql/experimental/inflation/polynomial2Dspline.hpp include/ql/experimental/inflation/yoycapfloortermpricesurface.hpp -include/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp include/ql/experimental/inflation/yoyoptionlethelpers.hpp include/ql/experimental/inflation/yoyoptionletstripper.hpp +include/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp include/ql/experimental/lattices/all.hpp include/ql/experimental/lattices/extendedbinomialtree.hpp include/ql/experimental/math/all.hpp -include/ql/experimental/math/autocovariance.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/fastfouriertransform.hpp +include/ql/experimental/math/fireflyalgorithm.hpp include/ql/experimental/math/frankcopularng.hpp +include/ql/experimental/math/gaussiancopulapolicy.hpp +include/ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp +include/ql/experimental/math/hybridsimulatedannealing.hpp +include/ql/experimental/math/hybridsimulatedannealingfunctors.hpp +include/ql/experimental/math/isotropicrandomwalk.hpp +include/ql/experimental/math/laplaceinterpolation.hpp +include/ql/experimental/math/latentmodel.hpp +include/ql/experimental/math/levyflightdistribution.hpp +include/ql/experimental/math/moorepenroseinverse.hpp +include/ql/experimental/math/multidimintegrator.hpp +include/ql/experimental/math/multidimquadrature.hpp +include/ql/experimental/math/numericaldifferentiation.hpp +include/ql/experimental/math/particleswarmoptimization.hpp +include/ql/experimental/math/piecewisefunction.hpp +include/ql/experimental/math/piecewiseintegral.hpp +include/ql/experimental/math/polarstudenttrng.hpp +include/ql/experimental/math/tcopulapolicy.hpp include/ql/experimental/math/zigguratrng.hpp -include/ql/experimental/mcbasket/adaptedpathpayoff.hpp include/ql/experimental/mcbasket/all.hpp +include/ql/experimental/mcbasket/adaptedpathpayoff.hpp include/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp include/ql/experimental/mcbasket/mcamericanpathengine.hpp include/ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp 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 +include/ql/experimental/processes/extouwithjumpsprocess.hpp include/ql/experimental/processes/extendedblackscholesprocess.hpp include/ql/experimental/processes/extendedornsteinuhlenbeckprocess.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 +include/ql/experimental/risk/creditriskplus.hpp include/ql/experimental/risk/sensitivityanalysis.hpp include/ql/experimental/shortrate/all.hpp include/ql/experimental/shortrate/generalizedhullwhite.hpp include/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp +include/ql/experimental/swaptions/all.hpp +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/multicurvesensitivities.hpp include/ql/experimental/variancegamma/all.hpp include/ql/experimental/variancegamma/analyticvariancegammaengine.hpp include/ql/experimental/variancegamma/fftengine.hpp @@ -241,26 +346,38 @@ include/ql/experimental/variancegamma/fftvanillaengine include/ql/experimental/variancegamma/fftvariancegammaengine.hpp include/ql/experimental/variancegamma/variancegammamodel.hpp include/ql/experimental/variancegamma/variancegammaprocess.hpp +include/ql/experimental/all.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/abcdatmvolcurve.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/noarbsabr.hpp +include/ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp +include/ql/experimental/volatility/noarbsabrinterpolation.hpp +include/ql/experimental/volatility/noarbsabrsmilesection.hpp include/ql/experimental/volatility/sabrvolsurface.hpp +include/ql/experimental/volatility/sabrvoltermstructure.hpp include/ql/experimental/volatility/volcube.hpp -include/ql/grid.hpp -include/ql/handle.hpp -include/ql/index.hpp -include/ql/indexes/all.hpp -include/ql/indexes/bmaindex.hpp +include/ql/experimental/volatility/sviinterpolatedsmilesection.hpp +include/ql/experimental/volatility/sviinterpolation.hpp +include/ql/experimental/volatility/svismilesection.hpp +include/ql/experimental/volatility/swaptionvolcube1a.hpp +include/ql/experimental/volatility/zabr.hpp +include/ql/experimental/volatility/zabrinterpolatedsmilesection.hpp +include/ql/experimental/volatility/zabrinterpolation.hpp +include/ql/experimental/volatility/zabrsmilesection.hpp include/ql/indexes/ibor/all.hpp +include/ql/indexes/ibor/aonia.hpp include/ql/indexes/ibor/audlibor.hpp +include/ql/indexes/ibor/bbsw.hpp +include/ql/indexes/ibor/bkbm.hpp include/ql/indexes/ibor/cadlibor.hpp include/ql/indexes/ibor/cdor.hpp include/ql/indexes/ibor/chflibor.hpp @@ -268,28 +385,31 @@ 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/fedfunds.hpp include/ql/indexes/ibor/gbplibor.hpp include/ql/indexes/ibor/jibar.hpp include/ql/indexes/ibor/jpylibor.hpp include/ql/indexes/ibor/libor.hpp +include/ql/indexes/ibor/mosprime.hpp include/ql/indexes/ibor/nzdlibor.hpp +include/ql/indexes/ibor/nzocr.hpp +include/ql/indexes/ibor/pribor.hpp +include/ql/indexes/ibor/robor.hpp include/ql/indexes/ibor/seklibor.hpp +include/ql/indexes/ibor/shibor.hpp include/ql/indexes/ibor/sonia.hpp include/ql/indexes/ibor/tibor.hpp include/ql/indexes/ibor/trlibor.hpp include/ql/indexes/ibor/usdlibor.hpp +include/ql/indexes/ibor/wibor.hpp 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/inflation/zacpi.hpp include/ql/indexes/swap/all.hpp include/ql/indexes/swap/chfliborswap.hpp include/ql/indexes/swap/euriborswap.hpp @@ -297,8 +417,21 @@ 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/all.hpp +include/ql/indexes/bmaindex.hpp +include/ql/indexes/iborindex.hpp +include/ql/indexes/indexmanager.hpp +include/ql/indexes/inflationindex.hpp +include/ql/indexes/interestrateindex.hpp +include/ql/indexes/region.hpp include/ql/indexes/swapindex.hpp -include/ql/instrument.hpp +include/ql/instruments/bonds/all.hpp +include/ql/instruments/bonds/btp.hpp +include/ql/instruments/bonds/cmsratebond.hpp +include/ql/instruments/bonds/cpibond.hpp +include/ql/instruments/bonds/fixedratebond.hpp +include/ql/instruments/bonds/floatingratebond.hpp +include/ql/instruments/bonds/zerocouponbond.hpp include/ql/instruments/all.hpp include/ql/instruments/asianoption.hpp include/ql/instruments/assetswap.hpp @@ -308,35 +441,38 @@ include/ql/instruments/barriertype.hpp include/ql/instruments/basketoption.hpp include/ql/instruments/bmaswap.hpp include/ql/instruments/bond.hpp -include/ql/instruments/bonds/all.hpp -include/ql/instruments/bonds/btp.hpp -include/ql/instruments/bonds/cmsratebond.hpp -include/ql/instruments/bonds/fixedratebond.hpp -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/cpiswap.hpp +include/ql/instruments/cpicapfloor.hpp include/ql/instruments/creditdefaultswap.hpp +include/ql/instruments/dividendbarrieroption.hpp include/ql/instruments/dividendschedule.hpp include/ql/instruments/dividendvanillaoption.hpp include/ql/instruments/europeanoption.hpp include/ql/instruments/fixedratebondforward.hpp +include/ql/instruments/floatfloatswap.hpp +include/ql/instruments/floatfloatswaption.hpp include/ql/instruments/forward.hpp include/ql/instruments/forwardrateagreement.hpp include/ql/instruments/forwardvanillaoption.hpp +include/ql/instruments/futures.hpp include/ql/instruments/impliedvolatility.hpp include/ql/instruments/inflationcapfloor.hpp include/ql/instruments/lookbackoption.hpp include/ql/instruments/makecapfloor.hpp +include/ql/instruments/makecds.hpp include/ql/instruments/makecms.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/nonstandardswap.hpp +include/ql/instruments/nonstandardswaption.hpp include/ql/instruments/oneassetoption.hpp include/ql/instruments/overnightindexedswap.hpp include/ql/instruments/payoffs.hpp @@ -348,12 +484,12 @@ include/ql/instruments/stock.hpp include/ql/instruments/swap.hpp include/ql/instruments/swaption.hpp include/ql/instruments/vanillaoption.hpp +include/ql/instruments/vanillastorageoption.hpp +include/ql/instruments/vanillaswingoption.hpp include/ql/instruments/vanillaswap.hpp include/ql/instruments/varianceswap.hpp include/ql/instruments/yearonyearinflationswap.hpp include/ql/instruments/zerocouponinflationswap.hpp -include/ql/interestrate.hpp -include/ql/legacy/all.hpp include/ql/legacy/libormarketmodels/all.hpp include/ql/legacy/libormarketmodels/lfmcovarparam.hpp include/ql/legacy/libormarketmodels/lfmcovarproxy.hpp @@ -370,14 +506,9 @@ include/ql/legacy/libormarketmodels/lmfixedvolmodel.hp include/ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp include/ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp include/ql/legacy/libormarketmodels/lmvolmodel.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/alimikhailhaqcopula.hpp +include/ql/legacy/all.hpp include/ql/math/copulas/all.hpp +include/ql/math/copulas/alimikhailhaqcopula.hpp include/ql/math/copulas/claytoncopula.hpp include/ql/math/copulas/farliegumbelmorgensterncopula.hpp include/ql/math/copulas/frankcopula.hpp @@ -390,33 +521,31 @@ include/ql/math/copulas/marshallolkincopula.hpp include/ql/math/copulas/maxcopula.hpp include/ql/math/copulas/mincopula.hpp include/ql/math/copulas/plackettcopula.hpp -include/ql/math/curve.hpp include/ql/math/distributions/all.hpp include/ql/math/distributions/binomialdistribution.hpp include/ql/math/distributions/bivariatenormaldistribution.hpp +include/ql/math/distributions/bivariatestudenttdistribution.hpp 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 -include/ql/math/functional.hpp -include/ql/math/incompletegamma.hpp include/ql/math/integrals/all.hpp +include/ql/math/integrals/discreteintegrals.hpp +include/ql/math/integrals/filonintegral.hpp +include/ql/math/integrals/gausslobattointegral.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 include/ql/math/integrals/simpsonintegral.hpp include/ql/math/integrals/trapezoidintegral.hpp -include/ql/math/interpolation.hpp -include/ql/math/interpolations/abcdinterpolation.hpp +include/ql/math/integrals/twodimensionalintegral.hpp include/ql/math/interpolations/all.hpp +include/ql/math/interpolations/abcdinterpolation.hpp 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/convexmonotoneinterpolation.hpp @@ -427,33 +556,39 @@ include/ql/math/interpolations/forwardflatinterpolatio include/ql/math/interpolations/interpolation2d.hpp include/ql/math/interpolations/kernelinterpolation.hpp include/ql/math/interpolations/kernelinterpolation2d.hpp +include/ql/math/interpolations/lagrangeinterpolation.hpp include/ql/math/interpolations/linearinterpolation.hpp include/ql/math/interpolations/loginterpolation.hpp include/ql/math/interpolations/mixedinterpolation.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/interpolations/xabrinterpolation.hpp 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/factorreduction.hpp include/ql/math/matrixutilities/getcovariance.hpp +include/ql/math/matrixutilities/gmres.hpp include/ql/math/matrixutilities/pseudosqrt.hpp include/ql/math/matrixutilities/qrdecomposition.hpp +include/ql/math/matrixutilities/sparseilupreconditioner.hpp +include/ql/math/matrixutilities/sparsematrix.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/ode/all.hpp +include/ql/math/ode/adaptiverungekutta.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 +include/ql/math/optimization/differentialevolution.hpp include/ql/math/optimization/endcriteria.hpp +include/ql/math/optimization/goldstein.hpp include/ql/math/optimization/leastsquare.hpp include/ql/math/optimization/levenbergmarquardt.hpp include/ql/math/optimization/linesearch.hpp @@ -461,12 +596,13 @@ include/ql/math/optimization/linesearchbasedmethod.hpp include/ql/math/optimization/lmdif.hpp include/ql/math/optimization/method.hpp include/ql/math/optimization/problem.hpp +include/ql/math/optimization/projectedconstraint.hpp include/ql/math/optimization/projectedcostfunction.hpp include/ql/math/optimization/simplex.hpp +include/ql/math/optimization/projection.hpp +include/ql/math/optimization/simulatedannealing.hpp include/ql/math/optimization/spherecylinder.hpp include/ql/math/optimization/steepestdescent.hpp -include/ql/math/primenumbers.hpp -include/ql/math/quadratic.hpp include/ql/math/randomnumbers/all.hpp include/ql/math/randomnumbers/boxmullergaussianrng.hpp include/ql/math/randomnumbers/centrallimitgaussianrng.hpp @@ -479,20 +615,20 @@ include/ql/math/randomnumbers/latticersg.hpp include/ql/math/randomnumbers/latticerules.hpp include/ql/math/randomnumbers/lecuyeruniformrng.hpp include/ql/math/randomnumbers/mt19937uniformrng.hpp -include/ql/math/randomnumbers/primitivepolynomials.h +include/ql/math/randomnumbers/primitivepolynomials.hpp 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/sobolbrownianbridgersg.hpp include/ql/math/randomnumbers/sobolrsg.hpp -include/ql/math/rounding.hpp -include/ql/math/sampledcurve.hpp -include/ql/math/solver1d.hpp +include/ql/math/randomnumbers/stochasticcollocationinvcdf.hpp include/ql/math/solvers1d/all.hpp include/ql/math/solvers1d/bisection.hpp include/ql/math/solvers1d/brent.hpp *** DIFF OUTPUT TRUNCATED AT 1000 LINES ***
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