diff options
author | Mikhail Teterin <mi@FreeBSD.org> | 2020-10-29 16:51:31 +0000 |
---|---|---|
committer | Mikhail Teterin <mi@FreeBSD.org> | 2020-10-29 16:51:31 +0000 |
commit | b3bde2f8879175ac08cfaedf63a9bf480df5f6b2 (patch) | |
tree | f5fb27a4af3097dbf703462cb09c5953497014df /finance | |
parent | Updates net-im/slack-libpurple by two years, bringing in a wide variety of (diff) |
Upgrade from 1.18 to 1.20.
Change to prefer C++11 classes over those in Boost.
Change to run tests sequentially -- they use OpenMP internally,
which lead to severe load-spikes at test-time -- well beyond the
number of available processing cores.
Sort the numerous header-files in pkg-plist.
Sponsored by: Association for Advancement of Marsupial Species
Notes
Notes:
svn path=/head/; revision=553627
Diffstat (limited to 'finance')
-rw-r--r-- | finance/quantlib/Makefile | 10 | ||||
-rw-r--r-- | finance/quantlib/distinfo | 6 | ||||
-rw-r--r-- | finance/quantlib/pkg-help | 4 | ||||
-rw-r--r-- | finance/quantlib/pkg-plist | 492 |
4 files changed, 262 insertions, 250 deletions
diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile index 2fa259ce08a4..985cc358bfa0 100644 --- a/finance/quantlib/Makefile +++ b/finance/quantlib/Makefile @@ -2,7 +2,7 @@ # $FreeBSD$ PORTNAME= quantlib -PORTVERSION= 1.18 +PORTVERSION= 1.20 CATEGORIES= finance math devel MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ DISTNAME= QuantLib-${PORTVERSION} @@ -21,9 +21,11 @@ GNU_CONFIGURE= yes CONFIGURE_ENV+= EMACS=no MAKE_ENV+= AM_MAKEFLAGS=${_MAKE_JOBS} TEST_TARGET= check-examples check +TEST_ARGS+= -j1 # Tests use OpenMP - do not parallelize them +TEST_ENV+= OMP_NUM_THREADS=${MAKE_JOBS_NUMBER} OPTIONS_SUB= please -OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK NEGATIVE_RATES +OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK OPTIONS_DEFINE= TRACING INDEXED_COUPONS OPTIONS_DEFINE+=EXTRA_SAFETY_CHECKS SESSIONS INTRADAY @@ -35,15 +37,15 @@ 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 SESSIONS_DESC= See help EXAMPLES_CONFIGURE_WITH=lispdir=${EXAMPLESDIR} -#CONFIGURE_ARGS+= --enable-unity-build +CONFIGURE_ARGS+= --disable-unity-build CONFIGURE_ARGS+= --enable-parallel-unit-test-runner CONFIGURE_ARGS+= --with-boost-include=${LOCALBASE}/include CONFIGURE_ARGS+= --with-boost-lib=${LOCALBASE}/lib +CONFIGURE_ARGS+= --enable-std-classes # Prefer C++11 to Boost .for o in ${OPTIONS_DEFINE} $o_CONFIGURE_ENABLE= ${o:S/_/-/g:tl} diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo index 890684d8cbd0..ef3e5b1e0034 100644 --- a/finance/quantlib/distinfo +++ b/finance/quantlib/distinfo @@ -1,3 +1,3 @@ -TIMESTAMP = 1592612567 -SHA256 (QuantLib-1.18.tar.gz) = d5048e14f2b7ea79f0adee08b2cbcee01b57b9cc282f60225ff4fcfc614c7ebc -SIZE (QuantLib-1.18.tar.gz) = 9004785 +TIMESTAMP = 1603844042 +SHA256 (QuantLib-1.20.tar.gz) = af51fe73b88be67536aca68ce8aaa30f523a95cc369652a6071d66beef8708ff +SIZE (QuantLib-1.20.tar.gz) = 9170898 diff --git a/finance/quantlib/pkg-help b/finance/quantlib/pkg-help index a5eb85ecbd77..6a9dd0b8bd46 100644 --- a/finance/quantlib/pkg-help +++ b/finance/quantlib/pkg-help @@ -7,10 +7,6 @@ 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 diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist index f8e2e185d59e..7318c4115884 100644 --- a/finance/quantlib/pkg-plist +++ b/finance/quantlib/pkg-plist @@ -40,6 +40,9 @@ bin/quantlib-config %%EXAMPLES%%man/man1/Replication.1.gz %%EXAMPLES%%man/man1/Repo.1.gz %%BENCHMARK%%man/man1/quantlib-benchmark.1.gz +include/ql/auto_link.hpp +include/ql/auto_ptr.hpp +include/ql/cashflow.hpp include/ql/cashflows/all.hpp include/ql/cashflows/averagebmacoupon.hpp include/ql/cashflows/capflooredcoupon.hpp @@ -57,9 +60,9 @@ 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 @@ -70,22 +73,32 @@ include/ql/cashflows/replication.hpp include/ql/cashflows/simplecashflow.hpp include/ql/cashflows/timebasket.hpp include/ql/cashflows/yoyinflationcoupon.hpp -include/ql/currencies/all.hpp +include/ql/compounding.hpp +include/ql/config.hpp include/ql/currencies/africa.hpp +include/ql/currencies/all.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/averageoiscouponpricer.hpp include/ql/experimental/averageois/makearithmeticaverageois.hpp include/ql/experimental/barrieroption/all.hpp include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp @@ -94,6 +107,7 @@ include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp include/ql/experimental/barrieroption/doublebarrieroption.hpp include/ql/experimental/barrieroption/doublebarriertype.hpp +include/ql/experimental/barrieroption/mcdoublebarrierengine.hpp include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp @@ -106,8 +120,8 @@ include/ql/experimental/basismodels/tenoroptionletvts.hpp include/ql/experimental/basismodels/tenorswaptionvts.hpp include/ql/experimental/callablebonds/all.hpp include/ql/experimental/callablebonds/blackcallablebondengine.hpp -include/ql/experimental/callablebonds/callablebondconstantvol.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 @@ -184,8 +198,8 @@ 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/pool.hpp include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/pool.hpp include/ql/experimental/credit/randomdefaultlatentmodel.hpp include/ql/experimental/credit/randomdefaultmodel.hpp include/ql/experimental/credit/randomlosslatentmodel.hpp @@ -233,6 +247,7 @@ include/ql/experimental/exoticoptions/writerextensibleoption.hpp include/ql/experimental/finitedifferences/all.hpp include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp +include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp include/ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp include/ql/experimental/finitedifferences/fdmdupire1dop.hpp @@ -241,10 +256,8 @@ 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/fdmhestongreensfct.hpp include/ql/experimental/finitedifferences/fdmklugeextouop.hpp include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp @@ -254,6 +267,7 @@ 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/fdmzabrop.hpp include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp @@ -276,9 +290,9 @@ 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 @@ -305,8 +319,8 @@ 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/all.hpp include/ql/experimental/mcbasket/adaptedpathpayoff.hpp +include/ql/experimental/mcbasket/all.hpp include/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp include/ql/experimental/mcbasket/mcamericanpathengine.hpp include/ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp @@ -319,9 +333,9 @@ 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/extouwithjumpsprocess.hpp include/ql/experimental/processes/gemanroncoroniprocess.hpp include/ql/experimental/processes/hestonslvprocess.hpp include/ql/experimental/processes/klugeextouprocess.hpp @@ -345,12 +359,11 @@ include/ql/experimental/variancegamma/fftvanillaengine.hpp 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/all.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 @@ -363,19 +376,26 @@ 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/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/volcube.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/functional.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/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/bibor.hpp include/ql/indexes/ibor/bkbm.hpp include/ql/indexes/ibor/cadlibor.hpp include/ql/indexes/ibor/cdor.hpp @@ -386,7 +406,6 @@ 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/bibor.hpp include/ql/indexes/ibor/jibar.hpp include/ql/indexes/ibor/jpylibor.hpp include/ql/indexes/ibor/libor.hpp @@ -405,6 +424,8 @@ 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 @@ -412,6 +433,9 @@ include/ql/indexes/inflation/frhicp.hpp include/ql/indexes/inflation/ukrpi.hpp include/ql/indexes/inflation/uscpi.hpp include/ql/indexes/inflation/zacpi.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/chfliborswap.hpp include/ql/indexes/swap/euriborswap.hpp @@ -419,21 +443,8 @@ 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/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/instrument.hpp include/ql/instruments/all.hpp include/ql/instruments/asianoption.hpp include/ql/instruments/assetswap.hpp @@ -443,13 +454,20 @@ 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/cpibond.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/cpiswap.hpp include/ql/instruments/creditdefaultswap.hpp include/ql/instruments/dividendbarrieroption.hpp include/ql/instruments/dividendschedule.hpp @@ -487,11 +505,13 @@ 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/vanillaswingoption.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 @@ -508,9 +528,16 @@ include/ql/legacy/libormarketmodels/lmfixedvolmodel.hpp include/ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp include/ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp include/ql/legacy/libormarketmodels/lmvolmodel.hpp -include/ql/legacy/all.hpp -include/ql/math/copulas/all.hpp +include/ql/math/abcdmathfunction.hpp +include/ql/math/all.hpp +include/ql/math/array.hpp +include/ql/math/autocovariance.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/math/copulas/all.hpp include/ql/math/copulas/claytoncopula.hpp include/ql/math/copulas/farliegumbelmorgensterncopula.hpp include/ql/math/copulas/frankcopula.hpp @@ -523,6 +550,7 @@ 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 @@ -532,20 +560,31 @@ 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/errorfunction.hpp +include/ql/math/factorial.hpp +include/ql/math/fastfouriertransform.hpp +include/ql/math/functional.hpp +include/ql/math/generallinearleastsquares.hpp +include/ql/math/incompletegamma.hpp +include/ql/math/initializers.hpp include/ql/math/integrals/all.hpp include/ql/math/integrals/discreteintegrals.hpp +include/ql/math/integrals/exponentialintegrals.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/gausslaguerrecosinepolynomial.hpp +include/ql/math/integrals/gausslobattointegral.hpp include/ql/math/integrals/integral.hpp include/ql/math/integrals/kronrodintegral.hpp +include/ql/math/integrals/momentbasedgaussianpolynomial.hpp include/ql/math/integrals/segmentintegral.hpp include/ql/math/integrals/simpsonintegral.hpp include/ql/math/integrals/trapezoidintegral.hpp include/ql/math/integrals/twodimensionalintegral.hpp -include/ql/math/interpolations/all.hpp +include/ql/math/interpolation.hpp include/ql/math/interpolations/abcdinterpolation.hpp +include/ql/math/interpolations/all.hpp include/ql/math/interpolations/backwardflatinterpolation.hpp include/ql/math/interpolations/backwardflatlinearinterpolation.hpp include/ql/math/interpolations/bicubicsplineinterpolation.hpp @@ -565,6 +604,10 @@ include/ql/math/interpolations/mixedinterpolation.hpp include/ql/math/interpolations/multicubicspline.hpp include/ql/math/interpolations/sabrinterpolation.hpp include/ql/math/interpolations/xabrinterpolation.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/bicgstab.hpp @@ -580,8 +623,9 @@ 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/modifiedbessel.hpp include/ql/math/ode/adaptiverungekutta.hpp +include/ql/math/ode/all.hpp include/ql/math/optimization/all.hpp include/ql/math/optimization/armijo.hpp include/ql/math/optimization/bfgs.hpp @@ -600,11 +644,15 @@ 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/simplex.hpp include/ql/math/optimization/simulatedannealing.hpp include/ql/math/optimization/spherecylinder.hpp include/ql/math/optimization/steepestdescent.hpp +include/ql/math/pascaltriangle.hpp +include/ql/math/polynomialmathfunction.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 @@ -626,6 +674,10 @@ include/ql/math/randomnumbers/seedgenerator.hpp include/ql/math/randomnumbers/sobolbrownianbridgersg.hpp include/ql/math/randomnumbers/sobolrsg.hpp include/ql/math/randomnumbers/stochasticcollocationinvcdf.hpp +include/ql/math/richardsonextrapolation.hpp +include/ql/math/rounding.hpp +include/ql/math/sampledcurve.hpp +include/ql/math/solver1d.hpp include/ql/math/solvers1d/all.hpp include/ql/math/solvers1d/bisection.hpp include/ql/math/solvers1d/brent.hpp @@ -645,37 +697,23 @@ include/ql/math/statistics/incrementalstatistics.hpp include/ql/math/statistics/riskstatistics.hpp include/ql/math/statistics/sequencestatistics.hpp include/ql/math/statistics/statistics.hpp -include/ql/math/abcdmathfunction.hpp -include/ql/math/all.hpp -include/ql/math/array.hpp -include/ql/math/autocovariance.hpp -include/ql/math/bernsteinpolynomial.hpp -include/ql/math/beta.hpp -include/ql/math/bspline.hpp -include/ql/math/comparison.hpp -include/ql/math/curve.hpp -include/ql/math/errorfunction.hpp -include/ql/math/factorial.hpp -include/ql/math/fastfouriertransform.hpp -include/ql/math/functional.hpp -include/ql/math/generallinearleastsquares.hpp -include/ql/math/kernelfunctions.hpp -include/ql/math/incompletegamma.hpp -include/ql/math/initializers.hpp -include/ql/math/interpolation.hpp -include/ql/math/lexicographicalview.hpp -include/ql/math/linearleastsquaresregression.hpp -include/ql/math/matrix.hpp -include/ql/math/modifiedbessel.hpp -include/ql/math/pascaltriangle.hpp -include/ql/math/polynomialmathfunction.hpp -include/ql/math/primenumbers.hpp -include/ql/math/quadratic.hpp -include/ql/math/rounding.hpp -include/ql/math/richardsonextrapolation.hpp -include/ql/math/sampledcurve.hpp -include/ql/math/solver1d.hpp include/ql/math/transformedgrid.hpp +include/ql/mathconstants.hpp +include/ql/methods/all.hpp +include/ql/methods/finitedifferences/all.hpp +include/ql/methods/finitedifferences/americancondition.hpp +include/ql/methods/finitedifferences/boundarycondition.hpp +include/ql/methods/finitedifferences/bsmoperator.hpp +include/ql/methods/finitedifferences/bsmtermoperator.hpp +include/ql/methods/finitedifferences/cranknicolson.hpp +include/ql/methods/finitedifferences/dminus.hpp +include/ql/methods/finitedifferences/dplus.hpp +include/ql/methods/finitedifferences/dplusdminus.hpp +include/ql/methods/finitedifferences/dzero.hpp +include/ql/methods/finitedifferences/expliciteuler.hpp +include/ql/methods/finitedifferences/fdtypedefs.hpp +include/ql/methods/finitedifferences/finitedifferencemodel.hpp +include/ql/methods/finitedifferences/impliciteuler.hpp include/ql/methods/finitedifferences/meshers/all.hpp include/ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp include/ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp @@ -684,27 +722,30 @@ include/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp include/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp include/ql/methods/finitedifferences/meshers/fdmcev1dmesher.hpp include/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp -include/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp include/ql/methods/finitedifferences/meshers/fdmmesher.hpp +include/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp include/ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp include/ql/methods/finitedifferences/meshers/predefined1dmesher.hpp include/ql/methods/finitedifferences/meshers/uniform1dmesher.hpp include/ql/methods/finitedifferences/meshers/uniformgridmesher.hpp +include/ql/methods/finitedifferences/mixedscheme.hpp +include/ql/methods/finitedifferences/onefactoroperator.hpp include/ql/methods/finitedifferences/operators/all.hpp include/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp include/ql/methods/finitedifferences/operators/fdmbatesop.hpp include/ql/methods/finitedifferences/operators/fdmblackscholesop.hpp include/ql/methods/finitedifferences/operators/fdmcevop.hpp +include/ql/methods/finitedifferences/operators/fdmcirop.hpp include/ql/methods/finitedifferences/operators/fdmg2op.hpp include/ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp include/ql/methods/finitedifferences/operators/fdmhestonop.hpp include/ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp -include/ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp -include/ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp -include/ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp include/ql/methods/finitedifferences/operators/fdmlinearop.hpp +include/ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp include/ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp include/ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp +include/ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp +include/ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp include/ql/methods/finitedifferences/operators/fdmsabrop.hpp include/ql/methods/finitedifferences/operators/firstderivativeop.hpp include/ql/methods/finitedifferences/operators/ninepointlinearop.hpp @@ -713,6 +754,11 @@ include/ql/methods/finitedifferences/operators/numericaldifferentiation.hpp include/ql/methods/finitedifferences/operators/secondderivativeop.hpp include/ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp include/ql/methods/finitedifferences/operators/triplebandlinearop.hpp +include/ql/methods/finitedifferences/operatortraits.hpp +include/ql/methods/finitedifferences/parallelevolver.hpp +include/ql/methods/finitedifferences/pde.hpp +include/ql/methods/finitedifferences/pdebsm.hpp +include/ql/methods/finitedifferences/pdeshortrate.hpp include/ql/methods/finitedifferences/schemes/all.hpp include/ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp include/ql/methods/finitedifferences/schemes/craigsneydscheme.hpp @@ -724,14 +770,16 @@ include/ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp include/ql/methods/finitedifferences/schemes/methodoflinesscheme.hpp include/ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp include/ql/methods/finitedifferences/schemes/trbdf2scheme.hpp +include/ql/methods/finitedifferences/shoutcondition.hpp include/ql/methods/finitedifferences/solvers/all.hpp -include/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp include/ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp +include/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp include/ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp include/ql/methods/finitedifferences/solvers/fdmbatessolver.hpp include/ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp +include/ql/methods/finitedifferences/solvers/fdmcirsolver.hpp include/ql/methods/finitedifferences/solvers/fdmg2solver.hpp include/ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp include/ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp @@ -739,6 +787,7 @@ include/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp include/ql/methods/finitedifferences/solvers/fdmndimsolver.hpp include/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp include/ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp +include/ql/methods/finitedifferences/stepcondition.hpp include/ql/methods/finitedifferences/stepconditions/all.hpp include/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp include/ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp @@ -747,6 +796,8 @@ include/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hp include/ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp include/ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp include/ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp +include/ql/methods/finitedifferences/trbdf2.hpp +include/ql/methods/finitedifferences/tridiagonaloperator.hpp include/ql/methods/finitedifferences/utilities/all.hpp include/ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp include/ql/methods/finitedifferences/utilities/cevrndcalculator.hpp @@ -766,31 +817,6 @@ include/ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp include/ql/methods/finitedifferences/utilities/localvolrndcalculator.hpp include/ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp include/ql/methods/finitedifferences/utilities/squarerootprocessrndcalculator.hpp -include/ql/methods/finitedifferences/all.hpp -include/ql/methods/finitedifferences/americancondition.hpp -include/ql/methods/finitedifferences/boundarycondition.hpp -include/ql/methods/finitedifferences/bsmoperator.hpp -include/ql/methods/finitedifferences/bsmtermoperator.hpp -include/ql/methods/finitedifferences/cranknicolson.hpp -include/ql/methods/finitedifferences/dminus.hpp -include/ql/methods/finitedifferences/dplus.hpp -include/ql/methods/finitedifferences/dplusdminus.hpp -include/ql/methods/finitedifferences/dzero.hpp -include/ql/methods/finitedifferences/expliciteuler.hpp -include/ql/methods/finitedifferences/fdtypedefs.hpp -include/ql/methods/finitedifferences/finitedifferencemodel.hpp -include/ql/methods/finitedifferences/impliciteuler.hpp -include/ql/methods/finitedifferences/pde.hpp -include/ql/methods/finitedifferences/mixedscheme.hpp -include/ql/methods/finitedifferences/onefactoroperator.hpp -include/ql/methods/finitedifferences/operatortraits.hpp -include/ql/methods/finitedifferences/parallelevolver.hpp -include/ql/methods/finitedifferences/pdebsm.hpp -include/ql/methods/finitedifferences/pdeshortrate.hpp -include/ql/methods/finitedifferences/shoutcondition.hpp -include/ql/methods/finitedifferences/stepcondition.hpp -include/ql/methods/finitedifferences/trbdf2.hpp -include/ql/methods/finitedifferences/tridiagonaloperator.hpp include/ql/methods/finitedifferences/zerocondition.hpp include/ql/methods/lattices/all.hpp include/ql/methods/lattices/binomialtree.hpp @@ -817,13 +843,17 @@ include/ql/methods/montecarlo/path.hpp include/ql/methods/montecarlo/pathgenerator.hpp include/ql/methods/montecarlo/pathpricer.hpp include/ql/methods/montecarlo/sample.hpp -include/ql/methods/all.hpp +include/ql/models/all.hpp +include/ql/models/calibrationhelper.hpp include/ql/models/equity/all.hpp include/ql/models/equity/batesmodel.hpp include/ql/models/equity/gjrgarchmodel.hpp include/ql/models/equity/hestonmodel.hpp include/ql/models/equity/hestonmodelhelper.hpp include/ql/models/equity/piecewisetimedependenthestonmodel.hpp +include/ql/models/marketmodels/accountingengine.hpp +include/ql/models/marketmodels/all.hpp +include/ql/models/marketmodels/browniangenerator.hpp include/ql/models/marketmodels/browniangenerators/all.hpp include/ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp include/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp @@ -842,21 +872,25 @@ include/ql/models/marketmodels/callability/swapforwardbasissystem.hpp include/ql/models/marketmodels/callability/swapratetrigger.hpp include/ql/models/marketmodels/callability/triggeredswapexercise.hpp include/ql/models/marketmodels/callability/upperboundengine.hpp +include/ql/models/marketmodels/constrainedevolver.hpp include/ql/models/marketmodels/correlations/all.hpp include/ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp include/ql/models/marketmodels/correlations/expcorrelations.hpp include/ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp +include/ql/models/marketmodels/curvestate.hpp include/ql/models/marketmodels/curvestates/all.hpp include/ql/models/marketmodels/curvestates/cmswapcurvestate.hpp include/ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp include/ql/models/marketmodels/curvestates/lmmcurvestate.hpp +include/ql/models/marketmodels/discounter.hpp include/ql/models/marketmodels/driftcomputation/all.hpp include/ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp -include/ql/models/marketmodels/evolvers/volprocesses/all.hpp -include/ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp +include/ql/models/marketmodels/duffsdeviceinnerproduct.hpp +include/ql/models/marketmodels/evolutiondescription.hpp +include/ql/models/marketmodels/evolver.hpp include/ql/models/marketmodels/evolvers/all.hpp include/ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp include/ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp @@ -869,8 +903,15 @@ 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/models/all.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 +include/ql/models/marketmodels/marketmodel.hpp +include/ql/models/marketmodels/marketmodeldifferences.hpp include/ql/models/marketmodels/models/abcdvol.hpp +include/ql/models/marketmodels/models/all.hpp include/ql/models/marketmodels/models/alphafinder.hpp include/ql/models/marketmodels/models/alphaform.hpp include/ql/models/marketmodels/models/alphaformconcrete.hpp @@ -883,16 +924,26 @@ include/ql/models/marketmodels/models/ctsmmcapletcalibration.hpp include/ql/models/marketmodels/models/flatvol.hpp include/ql/models/marketmodels/models/fwdperiodadapter.hpp include/ql/models/marketmodels/models/fwdtocotswapadapter.hpp -include/ql/models/marketmodels/models/piecewiseconstantvariance.hpp include/ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp +include/ql/models/marketmodels/models/piecewiseconstantvariance.hpp include/ql/models/marketmodels/models/pseudorootfacade.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.hpp -include/ql/models/marketmodels/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/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 +include/ql/models/marketmodels/products/multiproductcomposite.hpp +include/ql/models/marketmodels/products/multiproductmultistep.hpp +include/ql/models/marketmodels/products/multiproductonestep.hpp include/ql/models/marketmodels/products/multistep/all.hpp include/ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp include/ql/models/marketmodels/products/multistep/cashrebate.hpp @@ -910,6 +961,11 @@ 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/multistep/multisteptarn.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/pathwiseproductcallspecified.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp @@ -917,42 +973,17 @@ include/ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp -include/ql/models/marketmodels/products/all.hpp -include/ql/models/marketmodels/products/compositeproduct.hpp -include/ql/models/marketmodels/products/multiproductcomposite.hpp -include/ql/models/marketmodels/products/multiproductmultistep.hpp -include/ql/models/marketmodels/products/multiproductonestep.hpp include/ql/models/marketmodels/products/singleproductcomposite.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/all.hpp -include/ql/models/marketmodels/accountingengine.hpp -include/ql/models/marketmodels/browniangenerator.hpp -include/ql/models/marketmodels/constrainedevolver.hpp -include/ql/models/marketmodels/curvestate.hpp -include/ql/models/marketmodels/discounter.hpp -include/ql/models/marketmodels/duffsdeviceinnerproduct.hpp -include/ql/models/marketmodels/evolutiondescription.hpp -include/ql/models/marketmodels/evolver.hpp -include/ql/models/marketmodels/forwardforwardmappings.hpp -include/ql/models/marketmodels/historicalforwardratesanalysis.hpp -include/ql/models/marketmodels/historicalratesanalysis.hpp -include/ql/models/marketmodels/marketmodel.hpp -include/ql/models/marketmodels/marketmodeldifferences.hpp -include/ql/models/marketmodels/multiproduct.hpp -include/ql/models/marketmodels/pathwiseaccountingengine.hpp -include/ql/models/marketmodels/pathwisemultiproduct.hpp -include/ql/models/marketmodels/pathwisediscounter.hpp -include/ql/models/marketmodels/piecewiseconstantcorrelation.hpp include/ql/models/marketmodels/proxygreekengine.hpp include/ql/models/marketmodels/swapforwardmappings.hpp include/ql/models/marketmodels/utilities.hpp +include/ql/models/model.hpp +include/ql/models/parameter.hpp +include/ql/models/shortrate/all.hpp include/ql/models/shortrate/calibrationhelpers/all.hpp include/ql/models/shortrate/calibrationhelpers/caphelper.hpp include/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp +include/ql/models/shortrate/onefactormodel.hpp include/ql/models/shortrate/onefactormodels/all.hpp include/ql/models/shortrate/onefactormodels/blackkarasinski.hpp include/ql/models/shortrate/onefactormodels/coxingersollross.hpp @@ -962,20 +993,17 @@ include/ql/models/shortrate/onefactormodels/gsr.hpp include/ql/models/shortrate/onefactormodels/hullwhite.hpp include/ql/models/shortrate/onefactormodels/markovfunctional.hpp include/ql/models/shortrate/onefactormodels/vasicek.hpp +include/ql/models/shortrate/twofactormodel.hpp include/ql/models/shortrate/twofactormodels/all.hpp include/ql/models/shortrate/twofactormodels/g2.hpp -include/ql/models/shortrate/all.hpp -include/ql/models/shortrate/onefactormodel.hpp -include/ql/models/shortrate/twofactormodel.hpp include/ql/models/volatility/all.hpp include/ql/models/volatility/constantestimator.hpp -include/ql/models/volatility/simplelocalestimator.hpp -include/ql/models/volatility/garmanklass.hpp include/ql/models/volatility/garch.hpp -include/ql/models/all.hpp -include/ql/models/calibrationhelper.hpp -include/ql/models/model.hpp -include/ql/models/parameter.hpp +include/ql/models/volatility/garmanklass.hpp +include/ql/models/volatility/simplelocalestimator.hpp +include/ql/money.hpp +include/ql/numericalmethod.hpp +include/ql/option.hpp include/ql/patterns/all.hpp include/ql/patterns/composite.hpp include/ql/patterns/curiouslyrecurring.hpp @@ -983,6 +1011,13 @@ include/ql/patterns/lazyobject.hpp include/ql/patterns/observable.hpp include/ql/patterns/singleton.hpp include/ql/patterns/visitor.hpp +include/ql/payoff.hpp +include/ql/position.hpp +include/ql/prices.hpp +include/ql/pricingengine.hpp +include/ql/pricingengines/all.hpp +include/ql/pricingengines/americanpayoffatexpiry.hpp +include/ql/pricingengines/americanpayoffathit.hpp include/ql/pricingengines/asian/all.hpp include/ql/pricingengines/asian/analytic_cont_geom_av_price.hpp include/ql/pricingengines/asian/analytic_discr_geom_av_price.hpp @@ -1008,13 +1043,16 @@ include/ql/pricingengines/basket/kirkengine.hpp include/ql/pricingengines/basket/mcamericanbasketengine.hpp include/ql/pricingengines/basket/mceuropeanbasketengine.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 -include/ql/pricingengines/capfloor/blackcapfloorengine.hpp include/ql/pricingengines/capfloor/bacheliercapfloorengine.hpp +include/ql/pricingengines/capfloor/blackcapfloorengine.hpp include/ql/pricingengines/capfloor/discretizedcapfloor.hpp include/ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp include/ql/pricingengines/capfloor/mchullwhiteengine.hpp @@ -1032,13 +1070,19 @@ include/ql/pricingengines/forward/forwardengine.hpp include/ql/pricingengines/forward/forwardperformanceengine.hpp include/ql/pricingengines/forward/mcvarianceswapengine.hpp include/ql/pricingengines/forward/replicatingvarianceswapengine.hpp +include/ql/pricingengines/genericmodelengine.hpp +include/ql/pricingengines/greeks.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 include/ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp include/ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp include/ql/pricingengines/lookback/analyticcontinuouspartialfloatinglookback.hpp +include/ql/pricingengines/lookback/mclookbackengine.hpp +include/ql/pricingengines/mclongstaffschwartzengine.hpp +include/ql/pricingengines/mcsimulation.hpp include/ql/pricingengines/quanto/all.hpp include/ql/pricingengines/quanto/quantoengine.hpp include/ql/pricingengines/swap/all.hpp @@ -1050,14 +1094,14 @@ include/ql/pricingengines/swaption/all.hpp include/ql/pricingengines/swaption/basketgeneratingengine.hpp include/ql/pricingengines/swaption/blackswaptionengine.hpp include/ql/pricingengines/swaption/discretizedswaption.hpp +include/ql/pricingengines/swaption/fdg2swaptionengine.hpp +include/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp +include/ql/pricingengines/swaption/g2swaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dswaptionengine.hpp -include/ql/pricingengines/swaption/g2swaptionengine.hpp include/ql/pricingengines/swaption/jamshidianswaptionengine.hpp -include/ql/pricingengines/swaption/fdg2swaptionengine.hpp -include/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp include/ql/pricingengines/swaption/treeswaptionengine.hpp include/ql/pricingengines/vanilla/all.hpp include/ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp @@ -1065,6 +1109,7 @@ include/ql/pricingengines/vanilla/analyticcevengine.hpp include/ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp include/ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp include/ql/pricingengines/vanilla/analyticeuropeanengine.hpp +include/ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp include/ql/pricingengines/vanilla/analyticgjrgarchengine.hpp include/ql/pricingengines/vanilla/analytich1hwengine.hpp include/ql/pricingengines/vanilla/analytichestonengine.hpp @@ -1076,11 +1121,13 @@ include/ql/pricingengines/vanilla/binomialengine.hpp include/ql/pricingengines/vanilla/bjerksundstenslandengine.hpp include/ql/pricingengines/vanilla/coshestonengine.hpp include/ql/pricingengines/vanilla/discretizedvanillaoption.hpp +include/ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp include/ql/pricingengines/vanilla/fdamericanengine.hpp include/ql/pricingengines/vanilla/fdbatesvanillaengine.hpp include/ql/pricingengines/vanilla/fdbermudanengine.hpp include/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp include/ql/pricingengines/vanilla/fdcevvanillaengine.hpp +include/ql/pricingengines/vanilla/fdcirvanillaengine.hpp include/ql/pricingengines/vanilla/fdconditions.hpp include/ql/pricingengines/vanilla/fddividendamericanengine.hpp include/ql/pricingengines/vanilla/fddividendengine.hpp @@ -1102,24 +1149,14 @@ include/ql/pricingengines/vanilla/juquadraticengine.hpp include/ql/pricingengines/vanilla/mcamericanengine.hpp include/ql/pricingengines/vanilla/mcdigitalengine.hpp include/ql/pricingengines/vanilla/mceuropeanengine.hpp -include/ql/pricingengines/vanilla/mceuropeanhestonengine.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/pricingengines/all.hpp -include/ql/pricingengines/americanpayoffatexpiry.hpp -include/ql/pricingengines/americanpayoffathit.hpp -include/ql/pricingengines/blackcalculator.hpp -include/ql/pricingengines/blackformula.hpp -include/ql/pricingengines/blackscholescalculator.hpp -include/ql/pricingengines/genericmodelengine.hpp -include/ql/pricingengines/greeks.hpp -include/ql/pricingengines/latticeshortratemodelengine.hpp -include/ql/pricingengines/mclongstaffschwartzengine.hpp -include/ql/pricingengines/mcsimulation.hpp include/ql/processes/all.hpp include/ql/processes/batesprocess.hpp include/ql/processes/blackscholesprocess.hpp +include/ql/processes/coxingersollrossprocess.hpp include/ql/processes/endeulerdiscretization.hpp include/ql/processes/eulerdiscretization.hpp include/ql/processes/forwardmeasureprocess.hpp @@ -1137,6 +1174,9 @@ include/ql/processes/mfstateprocess.hpp include/ql/processes/ornsteinuhlenbeckprocess.hpp include/ql/processes/squarerootprocess.hpp include/ql/processes/stochasticprocessarray.hpp +include/ql/qldefines.hpp +include/ql/quantlib.hpp +include/ql/quote.hpp include/ql/quotes/all.hpp include/ql/quotes/compositequote.hpp include/ql/quotes/derivedquote.hpp @@ -1147,6 +1187,14 @@ include/ql/quotes/futuresconvadjustmentquote.hpp include/ql/quotes/impliedstddevquote.hpp include/ql/quotes/lastfixingquote.hpp include/ql/quotes/simplequote.hpp +include/ql/rebatedexercise.hpp +include/ql/settings.hpp +include/ql/shared_ptr.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/credit/all.hpp include/ql/termstructures/credit/defaultdensitystructure.hpp include/ql/termstructures/credit/defaultprobabilityhelpers.hpp @@ -1158,6 +1206,8 @@ 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/globalbootstrap.hpp include/ql/termstructures/inflation/all.hpp include/ql/termstructures/inflation/inflationhelpers.hpp include/ql/termstructures/inflation/inflationtraits.hpp @@ -1166,10 +1216,24 @@ 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 +include/ql/termstructures/volatility/atmadjustedsmilesection.hpp +include/ql/termstructures/volatility/atmsmilesection.hpp +include/ql/termstructures/volatility/capfloor/all.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp +include/ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp include/ql/termstructures/volatility/equityfx/all.hpp include/ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp -include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityadapter.hpp +include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp include/ql/termstructures/volatility/equityfx/blackconstantvol.hpp include/ql/termstructures/volatility/equityfx/blackvariancecurve.hpp include/ql/termstructures/volatility/equityfx/blackvariancesurface.hpp @@ -1183,15 +1247,14 @@ 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/equityfx/noexceptlocalvolsurface.hpp -include/ql/termstructures/volatility/capfloor/all.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp -include/ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp +include/ql/termstructures/volatility/flatsmilesection.hpp +include/ql/termstructures/volatility/gaussian1dsmilesection.hpp include/ql/termstructures/volatility/inflation/all.hpp include/ql/termstructures/volatility/inflation/constantcpivolatility.hpp include/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp include/ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp +include/ql/termstructures/volatility/interpolatedsmilesection.hpp +include/ql/termstructures/volatility/kahalesmilesection.hpp include/ql/termstructures/volatility/optionlet/all.hpp include/ql/termstructures/volatility/optionlet/capletvariancecurve.hpp include/ql/termstructures/volatility/optionlet/constantoptionletvol.hpp @@ -1203,6 +1266,12 @@ 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/smilesectionutils.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 @@ -1215,22 +1284,8 @@ include/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp include/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp include/ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp include/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp -include/ql/termstructures/volatility/all.hpp -include/ql/termstructures/volatility/abcd.hpp -include/ql/termstructures/volatility/abcdcalibration.hpp -include/ql/termstructures/volatility/atmadjustedsmilesection.hpp -include/ql/termstructures/volatility/atmsmilesection.hpp -include/ql/termstructures/volatility/flatsmilesection.hpp -include/ql/termstructures/volatility/gaussian1dsmilesection.hpp -include/ql/termstructures/volatility/interpolatedsmilesection.hpp -include/ql/termstructures/volatility/kahalesmilesection.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/smilesectionutils.hpp -include/ql/termstructures/volatility/spreadedsmilesection.hpp include/ql/termstructures/volatility/volatilitytype.hpp +include/ql/termstructures/voltermstructure.hpp include/ql/termstructures/yield/all.hpp include/ql/termstructures/yield/bondhelpers.hpp include/ql/termstructures/yield/bootstraptraits.hpp @@ -1247,23 +1302,17 @@ include/ql/termstructures/yield/interpolatedsimplezerocurve.hpp include/ql/termstructures/yield/nonlinearfittingmethods.hpp include/ql/termstructures/yield/oisratehelper.hpp include/ql/termstructures/yield/piecewiseyieldcurve.hpp -include/ql/termstructures/yield/ratehelpers.hpp include/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp include/ql/termstructures/yield/quantotermstructure.hpp +include/ql/termstructures/yield/ratehelpers.hpp include/ql/termstructures/yield/zerocurve.hpp include/ql/termstructures/yield/zerospreadedtermstructure.hpp include/ql/termstructures/yield/zeroyieldstructure.hpp -include/ql/termstructures/all.hpp -include/ql/termstructures/bootstraperror.hpp -include/ql/termstructures/bootstraphelper.hpp -include/ql/termstructures/defaulttermstructure.hpp -include/ql/termstructures/globalbootstrap.hpp -include/ql/termstructures/inflationtermstructure.hpp -include/ql/termstructures/interpolatedcurve.hpp -include/ql/termstructures/iterativebootstrap.hpp -include/ql/termstructures/localbootstrap.hpp -include/ql/termstructures/voltermstructure.hpp include/ql/termstructures/yieldtermstructure.hpp +include/ql/time/all.hpp +include/ql/time/asx.hpp +include/ql/time/businessdayconvention.hpp +include/ql/time/calendar.hpp include/ql/time/calendars/all.hpp include/ql/time/calendars/argentina.hpp include/ql/time/calendars/australia.hpp @@ -1309,21 +1358,19 @@ 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/daycounters/all.hpp +include/ql/time/date.hpp +include/ql/time/dategenerationrule.hpp +include/ql/time/daycounter.hpp include/ql/time/daycounters/actual360.hpp +include/ql/time/daycounters/actual364.hpp include/ql/time/daycounters/actual365fixed.hpp include/ql/time/daycounters/actualactual.hpp +include/ql/time/daycounters/all.hpp include/ql/time/daycounters/business252.hpp include/ql/time/daycounters/one.hpp include/ql/time/daycounters/simpledaycounter.hpp include/ql/time/daycounters/thirty360.hpp -include/ql/time/all.hpp -include/ql/time/asx.hpp -include/ql/time/businessdayconvention.hpp -include/ql/time/calendar.hpp -include/ql/time/date.hpp -include/ql/time/dategenerationrule.hpp -include/ql/time/daycounter.hpp +include/ql/time/daycounters/thirty365.hpp include/ql/time/ecb.hpp include/ql/time/frequency.hpp include/ql/time/imm.hpp @@ -1331,54 +1378,21 @@ include/ql/time/period.hpp include/ql/time/schedule.hpp include/ql/time/timeunit.hpp include/ql/time/weekday.hpp +include/ql/timegrid.hpp +include/ql/timeseries.hpp +include/ql/tuple.hpp +include/ql/types.hpp include/ql/utilities/all.hpp include/ql/utilities/clone.hpp include/ql/utilities/dataformatters.hpp include/ql/utilities/dataparsers.hpp include/ql/utilities/disposable.hpp -include/ql/utilities/null.hpp include/ql/utilities/null_deleter.hpp +include/ql/utilities/null.hpp include/ql/utilities/observablevalue.hpp include/ql/utilities/steppingiterator.hpp include/ql/utilities/tracing.hpp include/ql/utilities/vectors.hpp -include/ql/auto_link.hpp -include/ql/auto_ptr.hpp -include/ql/cashflow.hpp -include/ql/compounding.hpp -include/ql/config.hpp -include/ql/currency.hpp -include/ql/default.hpp -include/ql/discretizedasset.hpp -include/ql/errors.hpp -include/ql/exchangerate.hpp -include/ql/exercise.hpp -include/ql/event.hpp -include/ql/functional.hpp -include/ql/grid.hpp -include/ql/handle.hpp -include/ql/index.hpp -include/ql/instrument.hpp -include/ql/interestrate.hpp -include/ql/mathconstants.hpp -include/ql/money.hpp -include/ql/numericalmethod.hpp -include/ql/option.hpp -include/ql/payoff.hpp -include/ql/position.hpp -include/ql/prices.hpp -include/ql/pricingengine.hpp -include/ql/qldefines.hpp -include/ql/quantlib.hpp -include/ql/quote.hpp -include/ql/rebatedexercise.hpp -include/ql/settings.hpp -include/ql/shared_ptr.hpp -include/ql/stochasticprocess.hpp -include/ql/termstructure.hpp -include/ql/timegrid.hpp -include/ql/timeseries.hpp -include/ql/types.hpp include/ql/version.hpp include/ql/volatilitymodel.hpp @dir include/ql |