diff options
author | Ying-Chieh Liao <ijliao@FreeBSD.org> | 2001-08-12 12:39:44 +0000 |
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committer | Ying-Chieh Liao <ijliao@FreeBSD.org> | 2001-08-12 12:39:44 +0000 |
commit | a493ffba5537e793975baaf56e89e45a3db06299 (patch) | |
tree | 973a2914e151ab67b18c44d2a6edb5efe5dc6e7b /finance/quantlib | |
parent | Chase gnomemm shlib bump. (diff) |
add quantlib
A comprehensive software framework for quantitative finance
Notes
Notes:
svn path=/head/; revision=46128
Diffstat (limited to 'finance/quantlib')
-rw-r--r-- | finance/quantlib/Makefile | 21 | ||||
-rw-r--r-- | finance/quantlib/distinfo | 1 | ||||
-rw-r--r-- | finance/quantlib/pkg-comment | 1 | ||||
-rw-r--r-- | finance/quantlib/pkg-descr | 22 | ||||
-rw-r--r-- | finance/quantlib/pkg-plist | 175 |
5 files changed, 220 insertions, 0 deletions
diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile new file mode 100644 index 000000000000..5ed56184e36e --- /dev/null +++ b/finance/quantlib/Makefile @@ -0,0 +1,21 @@ +# ex:ts=8 +# New ports collection makefile for: quantlib +# Date created: Aug 12, 2001 +# Whom: ijliao +# +# $FreeBSD$ +# + +PORTNAME= quantlib +PORTVERSION= 0.1.9 +CATEGORIES= misc +MASTER_SITES= ${MASTER_SITE_SOURCEFORGE} +MASTER_SITE_SUBDIR= ${PORTNAME} +DISTNAME= QuantLib-${PORTVERSION}-src + +MAINTAINER= ports@FreeBSD.org + +WRKSRC= ${WRKDIR}/QuantLib-${PORTVERSION} +GNU_CONFIGURE= yes + +.include <bsd.port.mk> diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo new file mode 100644 index 000000000000..3efef86e6664 --- /dev/null +++ b/finance/quantlib/distinfo @@ -0,0 +1 @@ +MD5 (QuantLib-0.1.9-src.tar.gz) = 8cb909e27780dc48cb94821973098764 diff --git a/finance/quantlib/pkg-comment b/finance/quantlib/pkg-comment new file mode 100644 index 000000000000..3392b6a80441 --- /dev/null +++ b/finance/quantlib/pkg-comment @@ -0,0 +1 @@ +A comprehensive software framework for quantitative finance diff --git a/finance/quantlib/pkg-descr b/finance/quantlib/pkg-descr new file mode 100644 index 000000000000..beed39ee6c41 --- /dev/null +++ b/finance/quantlib/pkg-descr @@ -0,0 +1,22 @@ +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. + +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 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/ diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist new file mode 100644 index 000000000000..60469b1028a0 --- /dev/null +++ b/finance/quantlib/pkg-plist @@ -0,0 +1,175 @@ +include/ql/Calendars/frankfurt.hpp +include/ql/Calendars/helsinki.hpp +include/ql/Calendars/london.hpp +include/ql/Calendars/milan.hpp +include/ql/Calendars/newyork.hpp +include/ql/Calendars/target.hpp +include/ql/Calendars/wellington.hpp +include/ql/Calendars/westerncalendar.hpp +include/ql/Calendars/zurich.hpp +include/ql/Currencies/chf.hpp +include/ql/Currencies/dem.hpp +include/ql/Currencies/eur.hpp +include/ql/Currencies/gbp.hpp +include/ql/Currencies/itl.hpp +include/ql/Currencies/usd.hpp +include/ql/DayCounters/actual360.hpp +include/ql/DayCounters/actual365.hpp +include/ql/DayCounters/actualactual.hpp +include/ql/DayCounters/thirty360.hpp +include/ql/DayCounters/thirty360european.hpp +include/ql/DayCounters/thirty360italian.hpp +include/ql/FiniteDifferences/backwardeuler.hpp +include/ql/FiniteDifferences/boundarycondition.hpp +include/ql/FiniteDifferences/bsmoperator.hpp +include/ql/FiniteDifferences/cranknicolson.hpp +include/ql/FiniteDifferences/dminus.hpp +include/ql/FiniteDifferences/dplus.hpp +include/ql/FiniteDifferences/dplusdminus.hpp +include/ql/FiniteDifferences/dzero.hpp +include/ql/FiniteDifferences/finitedifferencemodel.hpp +include/ql/FiniteDifferences/forwardeuler.hpp +include/ql/FiniteDifferences/identity.hpp +include/ql/FiniteDifferences/operator.hpp +include/ql/FiniteDifferences/operatortraits.hpp +include/ql/FiniteDifferences/standardfdmodel.hpp +include/ql/FiniteDifferences/standardstepcondition.hpp +include/ql/FiniteDifferences/stepcondition.hpp +include/ql/FiniteDifferences/tridiagonaloperator.hpp +include/ql/FiniteDifferences/valueatcenter.hpp +include/ql/Indexes/euribor.hpp +include/ql/Indexes/libor.hpp +include/ql/Indexes/libormanager.hpp +include/ql/Indexes/usdlibor.hpp +include/ql/Indexes/xibor.hpp +include/ql/Instruments/stock.hpp +include/ql/Math/cubicspline.hpp +include/ql/Math/interpolation.hpp +include/ql/Math/lexicographicalview.hpp +include/ql/Math/linearinterpolation.hpp +include/ql/Math/matrix.hpp +include/ql/Math/multivariateaccumulator.hpp +include/ql/Math/normaldistribution.hpp +include/ql/Math/riskmeasures.hpp +include/ql/Math/statistics.hpp +include/ql/Math/symmetriceigenvalues.hpp +include/ql/Math/symmetricschurdecomposition.hpp +include/ql/MonteCarlo/avgpriceasianpathpricer.hpp +include/ql/MonteCarlo/avgstrikeasianpathpricer.hpp +include/ql/MonteCarlo/basketpathpricer.hpp +include/ql/MonteCarlo/boxmuller.hpp +include/ql/MonteCarlo/centrallimitgaussian.hpp +include/ql/MonteCarlo/controlvariatedpathpricer.hpp +include/ql/MonteCarlo/europeanpathpricer.hpp +include/ql/MonteCarlo/everestpathpricer.hpp +include/ql/MonteCarlo/gaussianarraygenerator.hpp +include/ql/MonteCarlo/gaussianrandomgenerator.hpp +include/ql/MonteCarlo/generalmontecarlo.hpp +include/ql/MonteCarlo/geometricasianpathpricer.hpp +include/ql/MonteCarlo/getcovariance.hpp +include/ql/MonteCarlo/himalayapathpricer.hpp +include/ql/MonteCarlo/lecuyerrandomgenerator.hpp +include/ql/MonteCarlo/mcoptionsample.hpp +include/ql/MonteCarlo/mcpricer.hpp +include/ql/MonteCarlo/multifactormontecarlooption.hpp +include/ql/MonteCarlo/multifactorpricer.hpp +include/ql/MonteCarlo/multipath.hpp +include/ql/MonteCarlo/multipathgenerator.hpp +include/ql/MonteCarlo/multipathpricer.hpp +include/ql/MonteCarlo/onefactormontecarlooption.hpp +include/ql/MonteCarlo/pagodapathpricer.hpp +include/ql/MonteCarlo/path.hpp +include/ql/MonteCarlo/pathmontecarlo.hpp +include/ql/MonteCarlo/pathpricer.hpp +include/ql/MonteCarlo/randomarraygenerator.hpp +include/ql/MonteCarlo/standardmultipathgenerator.hpp +include/ql/MonteCarlo/standardpathgenerator.hpp +include/ql/MonteCarlo/uniformrandomgenerator.hpp +include/ql/Patterns/observable.hpp +include/ql/Pricers/americancondition.hpp +include/ql/Pricers/americanoption.hpp +include/ql/Pricers/averagepriceasian.hpp +include/ql/Pricers/averagestrikeasian.hpp +include/ql/Pricers/barrieroption.hpp +include/ql/Pricers/bermudanoption.hpp +include/ql/Pricers/binaryoption.hpp +include/ql/Pricers/bsmeuropeanoption.hpp +include/ql/Pricers/bsmnumericaloption.hpp +include/ql/Pricers/bsmoption.hpp +include/ql/Pricers/cliquetoption.hpp +include/ql/Pricers/dividendamericanoption.hpp +include/ql/Pricers/dividendeuropeanoption.hpp +include/ql/Pricers/dividendoption.hpp +include/ql/Pricers/dividendshoutoption.hpp +include/ql/Pricers/everestoption.hpp +include/ql/Pricers/finitedifferenceeuropean.hpp +include/ql/Pricers/geometricasianoption.hpp +include/ql/Pricers/himalaya.hpp +include/ql/Pricers/mceuropeanpricer.hpp +include/ql/Pricers/multiperiodoption.hpp +include/ql/Pricers/pagodaoption.hpp +include/ql/Pricers/plainbasketoption.hpp +include/ql/Pricers/shoutcondition.hpp +include/ql/Pricers/shoutoption.hpp +include/ql/Pricers/stepconditionoption.hpp +include/ql/Solvers1D/bisection.hpp +include/ql/Solvers1D/brent.hpp +include/ql/Solvers1D/falseposition.hpp +include/ql/Solvers1D/newton.hpp +include/ql/Solvers1D/newtonsafe.hpp +include/ql/Solvers1D/ridder.hpp +include/ql/Solvers1D/secant.hpp +include/ql/TermStructures/flatforward.hpp +include/ql/TermStructures/piecewiseconstantforwards.hpp +include/ql/TermStructures/piecewiseflatforward.hpp +include/ql/TermStructures/ratehelpers.hpp +include/ql/Utilities/combiningiterator.hpp +include/ql/Utilities/couplingiterator.hpp +include/ql/Utilities/filteringiterator.hpp +include/ql/Utilities/iteratorcategories.hpp +include/ql/Utilities/processingiterator.hpp +include/ql/Utilities/steppingiterator.hpp +include/ql/array.hpp +include/ql/calendar.hpp +include/ql/config.hpp +include/ql/currency.hpp +include/ql/dataformatters.hpp +include/ql/date.hpp +include/ql/daycounter.hpp +include/ql/depositrate.hpp +include/ql/discountfactor.hpp +include/ql/expressiontemplates.hpp +include/ql/forwardvolsurface.hpp +include/ql/handle.hpp +include/ql/history.hpp +include/ql/index.hpp +include/ql/instrument.hpp +include/ql/null.hpp +include/ql/options.hpp +include/ql/qldefines.hpp +include/ql/qlerrors.hpp +include/ql/quantlib.hpp +include/ql/rate.hpp +include/ql/riskstatistics.hpp +include/ql/solver1d.hpp +include/ql/spread.hpp +include/ql/swaptionvolsurface.hpp +include/ql/termstructure.hpp +lib/libQuantLib.a +lib/libQuantLib.la +lib/libQuantLib.so +lib/libQuantLib.so.0 +@dirrm include/ql/Calendars +@dirrm include/ql/Currencies +@dirrm include/ql/DayCounters +@dirrm include/ql/FiniteDifferences +@dirrm include/ql/Indexes +@dirrm include/ql/Instruments +@dirrm include/ql/Math +@dirrm include/ql/MonteCarlo +@dirrm include/ql/Patterns +@dirrm include/ql/Pricers +@dirrm include/ql/Solvers1D +@dirrm include/ql/TermStructures +@dirrm include/ql/Utilities +@dirrm include/ql |