Index: Makefile =================================================================== --- Makefile (revision 491911) +++ Makefile (working copy) @@ -2,8 +2,7 @@ # $FreeBSD$ PORTNAME= quantlib -PORTVERSION= 1.13 -PORTREVISION= 4 +PORTVERSION= 1.14 CATEGORIES= finance math devel MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ DISTNAME= QuantLib-${PORTVERSION} @@ -16,7 +15,7 @@ LIB_DEPENDS= libboost_system.so:devel/boost-libs -USES= compiler +USES= compiler libtool USE_LDCONFIG= yes GNU_CONFIGURE= yes CONFIGURE_ENV+= EMACS=no Index: distinfo =================================================================== --- distinfo (revision 491911) +++ distinfo (working copy) @@ -1,3 +1,3 @@ -TIMESTAMP = 1531235784 -SHA256 (QuantLib-1.13.tar.gz) = bb52df179781f9c19ef8e976780c4798b0cdc4d21fa72a7a386016e24d1a86e6 -SIZE (QuantLib-1.13.tar.gz) = 9132949 +TIMESTAMP = 1549132863 +SHA256 (QuantLib-1.14.tar.gz) = 65a6ef7984ddedd3af64ea3f9bec44a6d658436f276b4d99ced80382eaef47fb +SIZE (QuantLib-1.14.tar.gz) = 9116788 Index: files/patch-gmakeism =================================================================== --- files/patch-gmakeism (revision 491911) +++ files/patch-gmakeism (nonexistent) @@ -1,14 +0,0 @@ -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) Property changes on: files/patch-gmakeism ___________________________________________________________________ Deleted: fbsd:nokeywords ## -1 +0,0 ## -yes \ No newline at end of property Deleted: svn:eol-style ## -1 +0,0 ## -native \ No newline at end of property Deleted: svn:mime-type ## -1 +0,0 ## -text/plain \ No newline at end of property Index: files/patch-tests =================================================================== --- files/patch-tests (revision 491911) +++ files/patch-tests (nonexistent) @@ -1,36 +0,0 @@ -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; jsize(); 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( - new HestonModel(hestonProcess)), -- 500, 400, 3, 0, -+ 4000, 400, 3, 0, - FdmSchemeDesc::ExplicitEuler()))); - Property changes on: files/patch-tests ___________________________________________________________________ Deleted: fbsd:nokeywords ## -1 +0,0 ## -yes \ No newline at end of property Deleted: svn:eol-style ## -1 +0,0 ## -native \ No newline at end of property Deleted: svn:mime-type ## -1 +0,0 ## -text/plain \ No newline at end of property Index: pkg-plist =================================================================== --- pkg-plist (revision 491911) +++ pkg-plist (working copy) @@ -40,6 +40,9 @@ %%EXAMPLES%%man/man1/Repo.1.gz %%EXAMPLES%%man/man1/SwapValuation.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/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 @@ -70,8 +73,10 @@ 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 @@ -78,14 +83,22 @@ 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 @@ -102,8 +115,8 @@ 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 @@ -180,8 +193,8 @@ 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 @@ -230,6 +243,7 @@ include/ql/experimental/finitedifferences/bsmrndcalculator.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 @@ -238,10 +252,8 @@ 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/fdmhestonfwdop.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 @@ -252,6 +264,7 @@ 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 +289,9 @@ 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 @@ -299,7 +312,6 @@ 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 @@ -306,8 +318,8 @@ 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 @@ -320,9 +332,9 @@ 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 @@ -346,12 +358,11 @@ 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 @@ -364,19 +375,25 @@ 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/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 @@ -398,11 +415,14 @@ include/ql/indexes/ibor/seklibor.hpp include/ql/indexes/ibor/shibor.hpp include/ql/indexes/ibor/sonia.hpp +include/ql/indexes/ibor/thbfix.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 @@ -410,6 +430,9 @@ 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 @@ -417,21 +440,8 @@ 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 @@ -441,13 +451,20 @@ 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/cpicapfloor.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 @@ -485,11 +502,13 @@ include/ql/instruments/swaption.hpp include/ql/instruments/vanillaoption.hpp include/ql/instruments/vanillastorageoption.hpp +include/ql/instruments/vanillaswap.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 @@ -506,9 +525,16 @@ 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/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/alimikhailhaqcopula.hpp include/ql/math/copulas/claytoncopula.hpp include/ql/math/copulas/farliegumbelmorgensterncopula.hpp include/ql/math/copulas/frankcopula.hpp @@ -521,6 +547,7 @@ 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 @@ -530,12 +557,19 @@ 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/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 @@ -542,8 +576,9 @@ include/ql/math/integrals/simpsonintegral.hpp include/ql/math/integrals/trapezoidintegral.hpp include/ql/math/integrals/twodimensionalintegral.hpp +include/ql/math/interpolation.hpp +include/ql/math/interpolations/abcdinterpolation.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 @@ -563,6 +598,10 @@ 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 @@ -578,8 +617,9 @@ include/ql/math/matrixutilities/symmetricschurdecomposition.hpp include/ql/math/matrixutilities/tapcorrelations.hpp include/ql/math/matrixutilities/tqreigendecomposition.hpp +include/ql/math/modifiedbessel.hpp +include/ql/math/ode/adaptiverungekutta.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 @@ -598,11 +638,15 @@ include/ql/math/optimization/problem.hpp include/ql/math/optimization/projectedconstraint.hpp include/ql/math/optimization/projectedcostfunction.hpp +include/ql/math/optimization/projection.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/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 @@ -624,6 +668,10 @@ 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 @@ -643,37 +691,23 @@ 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 @@ -681,12 +715,15 @@ include/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp include/ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp include/ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp +include/ql/methods/finitedifferences/meshers/fdmmesher.hpp include/ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp -include/ql/methods/finitedifferences/meshers/fdmmesher.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/operatorfactory.hpp include/ql/methods/finitedifferences/operators/all.hpp include/ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp include/ql/methods/finitedifferences/operators/fdmbatesop.hpp @@ -695,16 +732,23 @@ 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/fdmlinearop.hpp include/ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp -include/ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp -include/ql/methods/finitedifferences/operators/fdmlinearop.hpp include/ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp include/ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp +include/ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp include/ql/methods/finitedifferences/operators/firstderivativeop.hpp include/ql/methods/finitedifferences/operators/ninepointlinearop.hpp +include/ql/methods/finitedifferences/operators/nthorderderivativeop.hpp +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 @@ -714,9 +758,11 @@ 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/fdm1dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp -include/ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp include/ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp @@ -729,6 +775,7 @@ 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 @@ -737,9 +784,11 @@ 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/fdmaffinemodelswapinnervalue.hpp include/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp -include/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp include/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp include/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp @@ -748,32 +797,6 @@ include/ql/methods/finitedifferences/utilities/fdmmesherintegral.hpp include/ql/methods/finitedifferences/utilities/fdmquantohelper.hpp include/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.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/operatorfactory.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 @@ -800,7 +823,8 @@ 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 @@ -807,6 +831,9 @@ 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 @@ -825,21 +852,25 @@ 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 @@ -852,8 +883,15 @@ include/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp include/ql/models/marketmodels/evolvers/normalfwdratepc.hpp include/ql/models/marketmodels/evolvers/svddfwdratepc.hpp +include/ql/models/marketmodels/evolvers/volprocesses/all.hpp +include/ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp +include/ql/models/marketmodels/forwardforwardmappings.hpp +include/ql/models/marketmodels/historicalforwardratesanalysis.hpp +include/ql/models/marketmodels/historicalratesanalysis.hpp +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/abcdvol.hpp include/ql/models/marketmodels/models/alphafinder.hpp include/ql/models/marketmodels/models/alphaform.hpp include/ql/models/marketmodels/models/alphaformconcrete.hpp @@ -866,16 +904,26 @@ 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/piecewiseconstantabcdvariance.hpp include/ql/models/marketmodels/models/piecewiseconstantvariance.hpp -include/ql/models/marketmodels/models/piecewiseconstantabcdvariance.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 @@ -893,6 +941,11 @@ 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 @@ -900,42 +953,17 @@ 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 @@ -945,20 +973,17 @@ 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/garch.hpp +include/ql/models/volatility/garmanklass.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/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 @@ -966,6 +991,13 @@ 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 @@ -991,13 +1023,16 @@ 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/bacheliercapfloorengine.hpp include/ql/pricingengines/capfloor/blackcapfloorengine.hpp -include/ql/pricingengines/capfloor/bacheliercapfloorengine.hpp include/ql/pricingengines/capfloor/discretizedcapfloor.hpp include/ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp include/ql/pricingengines/capfloor/mchullwhiteengine.hpp @@ -1015,13 +1050,18 @@ 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/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 @@ -1033,14 +1073,14 @@ 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 @@ -1055,17 +1095,14 @@ include/ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp include/ql/pricingengines/vanilla/batesengine.hpp include/ql/pricingengines/vanilla/binomialengine.hpp +include/ql/pricingengines/vanilla/bjerksundstenslandengine.hpp include/ql/pricingengines/vanilla/coshestonengine.hpp -include/ql/pricingengines/vanilla/bjerksundstenslandengine.hpp include/ql/pricingengines/vanilla/discretizedvanillaoption.hpp -include/ql/pricingengines/vanilla/hestonexpansionengine.hpp -include/ql/pricingengines/vanilla/integralengine.hpp -include/ql/pricingengines/vanilla/jumpdiffusionengine.hpp -include/ql/pricingengines/vanilla/juquadraticengine.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/fdconditions.hpp include/ql/pricingengines/vanilla/fddividendamericanengine.hpp include/ql/pricingengines/vanilla/fddividendengine.hpp include/ql/pricingengines/vanilla/fddividendeuropeanengine.hpp @@ -1078,25 +1115,17 @@ include/ql/pricingengines/vanilla/fdsimplebsswingengine.hpp include/ql/pricingengines/vanilla/fdstepconditionengine.hpp include/ql/pricingengines/vanilla/fdvanillaengine.hpp -include/ql/pricingengines/vanilla/fdconditions.hpp +include/ql/pricingengines/vanilla/hestonexpansionengine.hpp +include/ql/pricingengines/vanilla/integralengine.hpp +include/ql/pricingengines/vanilla/jumpdiffusionengine.hpp +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/mceuropeangjrgarchengine.hpp include/ql/pricingengines/vanilla/mceuropeanhestonengine.hpp -include/ql/pricingengines/vanilla/mceuropeangjrgarchengine.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 @@ -1117,6 +1146,9 @@ 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 @@ -1127,6 +1159,14 @@ 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 @@ -1138,6 +1178,7 @@ include/ql/termstructures/credit/piecewisedefaultcurve.hpp include/ql/termstructures/credit/probabilitytraits.hpp include/ql/termstructures/credit/survivalprobabilitystructure.hpp +include/ql/termstructures/defaulttermstructure.hpp include/ql/termstructures/inflation/all.hpp include/ql/termstructures/inflation/inflationhelpers.hpp include/ql/termstructures/inflation/inflationtraits.hpp @@ -1146,10 +1187,24 @@ 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/andreasenhugevolatilityadapter.hpp include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp -include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityadapter.hpp include/ql/termstructures/volatility/equityfx/blackconstantvol.hpp include/ql/termstructures/volatility/equityfx/blackvariancecurve.hpp include/ql/termstructures/volatility/equityfx/blackvariancesurface.hpp @@ -1163,15 +1218,14 @@ 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 @@ -1183,6 +1237,12 @@ 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 @@ -1195,22 +1255,8 @@ 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 @@ -1226,22 +1272,17 @@ 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/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 @@ -1279,27 +1320,24 @@ include/ql/time/calendars/switzerland.hpp include/ql/time/calendars/taiwan.hpp include/ql/time/calendars/target.hpp +include/ql/time/calendars/thailand.hpp include/ql/time/calendars/turkey.hpp 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/actual365fixed.hpp include/ql/time/daycounters/actual365nl.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/ecb.hpp include/ql/time/frequency.hpp include/ql/time/imm.hpp @@ -1307,6 +1345,9 @@ 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/types.hpp include/ql/utilities/all.hpp include/ql/utilities/clone.hpp include/ql/utilities/dataformatters.hpp @@ -1318,40 +1359,6 @@ include/ql/utilities/steppingiterator.hpp include/ql/utilities/tracing.hpp include/ql/utilities/vectors.hpp -include/ql/auto_link.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/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/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 @@ -1358,7 +1365,6 @@ lib/libQuantLib.so lib/libQuantLib.so.0 lib/libQuantLib.so.0.0.0 -lib/libQuantLib.la lib/libQuantLib.a libdata/pkgconfig/quantlib.pc man/man1/quantlib-config.1.gz