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variables. # Otherwise a system limit (for SysV at least) may be exceeded. .NOEXPORT: QuantLib-1.4/Contributors.txt0000644000175000017500000000514612302654116013262 00000000000000 We gratefully acknowledge contributions from: Nathan Abbott Samad Abdessadki Kakhkhor Abdijalilov Xavier Abulker Toyin Akin Marius Akre Mario Aleppo Grzegorz Andruszkiewicz Jose Aparicio Sercan Atalik Lluis Pujol Bajador Nabila Barkati Clément Barret Christopher Baus Thomas Becker Michaël Benguigui Adolfo Benin Hachemi Benyahia Luca Berardi Sylvain Bertrand Manas Bhatt David Binderman Theo Boafo Delphine Bouthier Fakher Braham Joe Byers Xavier Caron Marine Casanova Peter Caspers Antoine Cellerier Yee Man Chan Aurelien Chanudet Yiping Chen Yanice Cherrak Meryem Chibo Warren Chou Scott Condit Jon Davidson Daniele De Francesco Frédéric Degraeve Piero Del Boca Piter Dias Michael von den Driesch Francis Duffy Cristina Duminuco Dirk Eddelbuettel Faycal El Karaa Bernd Engelmann Giorgio Facchinetti Matt Fair Paul Farrington Lorella Fatone Luca Ferraro Chiara Fornarola Silvia Frasson Andreas Gaida Matteo Gallivanoni Roman Gitlin Nick Glass Marek Glowacki Richard Gomes Johannes Göttker-Schnetmann Henri Gough Richard Gould Florent Grenier Sebastien Gurrieri Tawanda Gwena Cavit Hafizoglu Michael Heckl Laurent Hoffmann Xiangyu Hong Benoît Houzelle Frank Hövermann Shen Hui Charles Chongseok Hyun Simon Ibbotson Norbert Irmer Mike Jake Rahul Kanchi Andrey Karpov Tomoya Kawanishi Gary Kennedy Matt Knox Andrew Kolesnikov Silakhdar Krikeb Yan Kuang Allen Kuo Paul Laderoute Yasmine Lahlou Fabien Le Floc'h James Lee Samuel Lerouge Cheng Li Gang Liang Robert Lopez André Louw Joao Paulo Magalhaes John Maiden Katiuscia Manzoni Francesca Mariani Slava Mazur Enrico Michelotti Andre Miemiec Raso Mirko Radu Mondescu Bart Mosley Tiziano Müller Billy Ng Bojan Nikolic Jean Nkeng Adrian O'Neill Andrea Odetti Mike Parker Guillaume Pealat Gilbert Peffer Walter Penschke Francesco Perissin Robert Philipp Marcello Pietrobon Adrien Pinatton Gianni Piolanti Sebastian Poloczek Mario Pucci Ian Qsong Paul Rädle J. Erik Radmall Fabio Ramponi Maria Cristina Recchioni Dimitri Reiswich Sadruddin Rejeb Alessandro Roveda Mohamed Amine Sadaoui Amine Samani Alpha Sanou Toure Tamas Sashalmi Peter Schmitteckert Ralph Schreyer David Schwartz Simon Shakeshaft Michael Sharpe Kirill Shemyakin Eugene Shevkoplyas Enrico Sirola Leon Sit Dale Smith Maxim Sokolov Niels Elken Sønderby Andreas Spengler Roland Stamm Edouard Tallent Marco Tarenghi Yue Tian François du Vignaud Qingxiao Wang Charles Whitmore Stephen Wong Bernd Johannes Wuebben Sun Xiuxin Jeff Yu Francesco Zirilli QuantLib includes code taken from Peter Jäckel's book "Monte Carlo Methods in Finance". QuantLib includes software developed by the University of Chicago, as Operator of Argonne National Laboratory. QuantLib-1.4/News.txt0000644000175000017500000001705412302654116011502 00000000000000 Notable changes for QuantLib 1.4: ================================= A detailed list of changes is available in ChangeLog.txt. PORTABILITY - Boost 1.39 or later is now required. We felt this could be enforced without causing grief to virtually anyone, given that 1.39 was released back in May 2009. We don't expect many people being stuck with an earlier version. This allows one to use make_shared to create shared_ptr instances, which has a number of advantages. Unfortunately, the C++03 implementation (which is still used by a number of older compiler that we're supporting) only allows a maximum of 9 constructor arguments, so we won't be able to use it everywhere. - Support for Visual C++ 2003 (VC++7) was dropped. The compiler is now more than 10 years old and no longer supported by Microsoft. Keeping the support is not worth the time and effort required. Anybody who is still stuck with this compiler and needs the support can fork the repository and maintain the changes. - Specific support for Visual C++ 2013 (VC++12) is not yet available; however, version checks in the code were relaxed so that one can import and convert the VC++11 solution without causing errors when auto-linking the generated libraries. - Fixed Clang warnings. - Use deprecated attribute of supported compilers. This replaces the QL_DISABLE_DEPRECATED mechanism that conditionally removes the features and causes the compiler itself to emit warnings if the features are used. The user can enable or disable the warnings by the means provided by the compiler. - Allow singletons to work under Visual C++ when CLR is enabled (thanks to Simon Shakeshaft). - Fixed compilation errors when using STLport (thanks to Marcello Pietrobon for the heads-up). CONFIGURATION - Added switch to enable OpenMP-based parallelism (thanks to Joseph Wang). Currently, this is only used in a few loops in the finite-differences and tree frameworks. DATE/TIME - Added Diamond Jubilee bank holiday to UK calendar. - Added Royal Wedding bank holiday to UK calendar (thanks to Whit Armstrong for the heads-up). - Added utilities to parse and format a date with the extended format implemented in Boost.Date (thanks to Michael von den Driesch). The previous parsing utility was deprecated. - Added Actual/365 (No Leap) day counter (thanks to Nick Glass). - Updated most moving holidays for 2014. - Fixed a Schedule bug where a combination of backwards generation and end-of-month convention would result in missing or duplicated dates (thanks to Nicholas Manganaro for the heads-up). INSTRUMENTS - Fixed Delta and Gamma calculation in Ju quadratic engine (thanks to Fabien Le Floc'h). - Improved calculation in finite-differences Asian options when the running average is much greater than the forward value (thanks to Klaus Spanderen). - Fixed Theta issue for some American FDM engines (thanks to Klaus Spanderen). - Fix annuity computation for CMS coupons (thanks to Peter Caspers). - Enabled case r=0 in Barone-Adesi/Whaley approximation engine (thanks to Klaus Spanderen). - When building a swaption with MakeSwaption, use the fixed tenor of the underlying swap index if none is given explicitly. MODELS - Allow for calibration of just a subset of a model's parameters. Pre-built constraint are provided for calibration of an Hull-White model while fixing the mean reversion, and for calibration of a Markov functional model while fixing the first component of the piecewise volatility. (Thanks to Peter Caspers.) - Allow recalculation of exercise and end dates in swaption and cap helpers when the evaluation date changes (thanks to Peter Caspers). - Allowed negative strikes in BlackFormula, as long as the strike plus the displacement is still positive (thanks to Peter Caspers). - Added calculation of implied volatility from Bachelier price in BlackFormula (thanks to Gary Kennedy). - Added Broadie-Kaya exact simulation schema to Heston model (thanks to Klaus Spanderen). - Fixed upper/lower bound calculation for internal constraint in calibrated model (thanks to Peter Caspers). CASH FLOWS - Added support for ex-coupon dates to cashflow calculations (thanks to Nick Glass). Currently, ex-coupons dates can be specified for fixed rate bonds. - Fixed calculation of duration and convexity when using Act/Act(ISMA) (thanks to Nick Glass). INDEXES - Fixed IborCoupon construction with null fixing days. The coupon was used the passed fixing days instead of the ones previously processed by the base class constructor (thanks to Lisa Ann and Gerardo Ballabio for the heads-up). - Add a clone() method to SwapIndex which allows to change the tenor (thanks to Peter Caspers). - Ignore inflation-index fixings stored at dates later than the evaluation date. - Added utility class for creating custom Region instances to be passed to inflation indexes. TERM STRUCTURES - Prevent some errors when linking a null term structure to a Handle. When settings a null term structure to a Handle used as an underlying for another curve (say, a zero-spreaded curve), the latter tries to reset the jumps in the base class and fails. This error is now trapped. (Thanks to Christoph Breig for the heads-up.) - Fix interpolation of option dates in SwaptionVolatilityDiscrete and derived classes when evaluation date changes (thanks to Shen Hui). - Piecewise-spreaded curve can now choose interpolation (thanks to Mario Aleppo). MATH - Extended Sobol direction numbers up to 21200 dimensions with Joe Kuo 6 searching rule (thanks to Cheng Li). - Added class for two-dimensional integration (thanks to Klaus Spanderen). - Added Maddock inverse-cumulative normal distribution from Boost (thanks to Klaus Spanderen). - Added modified Bessel functions (thanks to Klaus Spanderen). EXPERIMENTAL FOLDER The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces might change in future releases. Changes and new contributions for this release were: - Deprecated features were removed from experimental code. - Added initial implementation of catastrophe bond (thanks to Grzegorz Andruszkiewicz). - Added Vanna/Volga pricing engine for FX barrier options. Engines were provided for both single- and double-barrier FX options. An analytic engine was also provided for double-barrier equity options (thanks to Yue Tian). - Added Hagan pricing engine for irregular swaptions (thanks to Andre Miemiec). - Added simulated-annealing optimizer (thanks to Peter Caspers). - Added rebated exercise class (thanks to Peter Caspers). - Added pricing engine for arbitrary European payoffs under the Heston model (thanks to Klaus Spanderen). - Added linear terminal swap rate model pricer for CMS coupons (thanks to Peter Caspers). - Reorganized functional Markov model. Added one-factor GSR model, and float/float swap and swaption with a number of corresponding engines. (Thanks to Peter Caspers.) - The Levy engine for continuous-averaging Asian option now checks that the averaging period doesn't start in the future. Also, it allows the b=0 case that would raise an exception until now. (Thanks to Klaus Spanderen.) - Convertible bond now updates correctly when any of its observables changes. - Extended generalized Hull-White model (thanks to Cavit Hafizoglu). The model now allows to choose the mapping function between short rate and state variable, and includes the case of constant parameters. 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You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. ") ; skeleton for a new header file---you might want to bind this to some key (defun ql-new-header () (interactive) (insert ql-file-variables) (ql-add-license) (ql-add-file-description) (insert "\n") (ql-add-include-guard) (ql-add-sample-header) (insert "\n") (ql-add-namespace)) ; skeleton for a new source file---you might want to bind this to some key (defun ql-new-source () (interactive) (insert ql-file-variables) (ql-add-license) (insert "\n") (ql-add-sample-header) (insert "\n") (ql-add-namespace)) (require 'cc-mode) (defvar c++-font-lock-extra-types) ; A few types for syntax-highlighting ; from QuantLib: (setq c++-font-lock-extra-types (append c++-font-lock-extra-types '("QuantLib" "Integer" "BigInteger" "Natural" "BigNatural" "Real" "Decimal" "Time" "Rate" "Spread" "DiscountFactor" "Size" "Volatility" "Date" "Day" "Month" "Year" "Weekday" "TimeUnit" "Frequency" "Compounding" "Period" "DayCounter" "Calendar" "BusinessDayConvention" "Currency" "ExchangeRate" "Money" "Rounding" "InterestRate" "History" "Handle"))) ; from Boost: (setq c++-font-lock-extra-types (append c++-font-lock-extra-types '("Boost" "shared_ptr" "format"))) ; helper functions (defun ql-add-license () (let ((holder (read-from-minibuffer "Copyright holder? "))) (let ((copyright-notice (apply 'string (append " Copyright (C) " (substring (current-time-string) -4) " " holder "\n" ())))) (insert "\n/*\n" copyright-notice ql-license "*/\n\n")))) (defun ql-add-file-description () (let ((filename (buffer-name)) (description (read-from-minibuffer "Short file description? "))) (insert "/*! \\file " filename "\n" " \\brief " description "\n" "*/\n"))) (defun ql-add-include-guard () (let ((guard (read-from-minibuffer "Include guard? "))) (insert "#ifndef " guard "\n" "#define " guard "\n" "\n\n\n" "#endif\n")) (forward-line -3)) (defun ql-add-sample-header () (insert "#include \n")) (defun ql-add-namespace () (insert "namespace QuantLib {\n" "\n\n\n" "}\n") (forward-line -3) (c-indent-command)) QuantLib-1.4/autogen.sh0000755000175000017500000000040112254106113012005 00000000000000#!/bin/sh # Run this to generate all the auto-generated files needed by the GNU # configure program autoreconf --force --install echo echo Run the command './configure --help' for information on options echo that can change the behavior of the library. 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$(OutDir)$(TargetName)$(TargetExt) true false /MP %(AdditionalOptions) Disabled false .;%(AdditionalIncludeDirectories) _DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions) EnableFastChecks MultiThreadedDebug false true true .\build\vc100\$(Platform)\$(Configuration)\QuantLib.pch .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ Level3 true EditAndContinue Default _DEBUG;%(PreprocessorDefinitions) 0x0409 Make build directory if not exist lib mkdir lib $(OutDir)$(TargetName)$(TargetExt) true false /MP %(AdditionalOptions) Disabled false .;%(AdditionalIncludeDirectories) _DEBUG;WIN32;_LIB;_SCL_SECURE_NO_DEPRECATE;_CRT_SECURE_NO_DEPRECATE;%(PreprocessorDefinitions) EnableFastChecks MultiThreadedDebug false true true .\build\vc100\$(Platform)\$(Configuration)\QuantLib.pch .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ .\build\vc100\$(Platform)\$(Configuration)\ Level3 true ProgramDatabase Default _DEBUG;%(PreprocessorDefinitions) 0x0409 Make build directory if not exist lib mkdir lib $(OutDir)$(TargetName)$(TargetExt) true false QuantLib-1.4/Readme.txt0000664000175000017500000000423312273451114011760 00000000000000 QuantLib --- the free/open-source library for quantitative finance ------------------------------------------------------------------ The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. Documentation for the QuantLib library is both online and downloadable in a number of formats from . QuantLib depends on Boost . You will need to download, build, and install Boost before compiling and using QuantLib. Boost 1.39 or later is required. Please report bugs using the Bug Tracker at , submit patches using the Patch Tracker at , and request features using the Feature Request Tracker at . You can also use the mailing lists and for feedback, questions, etc. The mailing lists are for subscribers only, so please subscribe before posting. ============= ADDITIONAL INFORMATION ================= Installation instructions are available at . A list of changes since the previous release is available in News.txt (included in this distribution) while a list of past changes can be browsed at . Known bugs are listed at ; a list of caveats (which are not bugs, but rather issues that might be misleading) is available at . A (hopefully growing) list of frequently-asked questions is available at . If you are willing to contribute, see . =============== LICENSE INFORMATION ================== QuantLib is Non-Copylefted Free Software. QuantLib is OSI Certified Open Source Software. OSI Certified is a certification mark of the Open Source Initiative. QuantLib-1.4/configure.ac0000644000175000017500000004127412303051645012313 00000000000000# Process this file with autoconf to produce a configure script. AC_INIT([QuantLib], [1.4], [quantlib-dev@lists.sourceforge.net], [QuantLib]) AC_PREREQ(2.62) AC_CONFIG_SRCDIR([ql/qldefines.hpp]) AC_CONFIG_AUX_DIR([config]) AC_CONFIG_HEADERS([ql/config.hpp]) AM_INIT_AUTOMAKE([foreign]) AC_CONFIG_MACRO_DIR([m4]) AC_COPYRIGHT([ Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 StatPro Italia srl Copyright (C) 2004, 2005 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. 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QuantLib-1.4/man/0000755000175000017500000000000012303327146010652 500000000000000QuantLib-1.4/man/quantlib-config.10000644000175000017500000000245212254106113013733 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH QUANTLIB-CONFIG 1 "20 September 2001" QuantLib .SH NAME quantlib-config - compiler / linker flags for QuantLib .SH SYNOPSIS .B quantlib-config [\-\-prefix[=DIR]] [\-\-exec-prefix[=DIR]] [\-\-version] [\-\-libs] [\-\-cflags] .SH DESCRIPTION .PP .B quantlib-config is a tool which can be used to determine the compiler and linker flags that should be used to compile and link programs that use \fIQuantLib\fP. .SH OPTIONS .B quantlib-config accepts the following options: .TP 8 .B \-\-prefix[=DIR] Show the QuantLib installation prefix. .TP 8 .B \-\-exec-prefix[=DIR] Show the QuantLib execution direction prefix. .TP 8 .B \-\-libs Print the linker flags that are necessary to link a \fIQuantLib\fP program. .TP 8 .B \-\-cflags Print the compiler flags that are necessary to compile a \fIQuantLib\fP program. .TP 8 .B \-\-version Print the currently installed version of \fIQuantLib\fP on the standard output. .SH SEE ALSO .BR gtk-config (1), .BR gnome-config (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR quantlib . 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It thereby illustrates how set up a term structure, and to use it to price a simple forward-rate agreement. .SH SEE ALSO The source code .IR FRA.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/EquityOption.10000644000175000017500000000270112254106113013317 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH EQUITYOPTION 1 "25 February 2006" QuantLib .SH NAME EquityOption - Example of using QuantLib to value equity options .SH SYNOPSIS .B EquityOption .SH DESCRIPTION .PP .B EquityOption is an example of using \fIQuantLib\fP. For a given set of option parameters, it computes the value of three different equity options types (with european, bermudan and american exercise features) using different valuation algorithms. The calculation methods are Black-Scholes (for european options only), Barone-Adesi/Whaley (american-only), Bjerksund/Stensland (american), Integral (european), Finite differences, Binomial Jarrow-Rudd, Binomial Cox-Ross-Rubinstein, Additive equiprobabilities, Binomial Trigeorgis, Binomial Tian, Binomial Leisen-Reimer, crude Monte Carlo (european-only) and Sobol-sequence Monte Carlo (european-only). .SH SEE ALSO The source code .IR EquityOption.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/DiscreteHedging.10000644000175000017500000000233012254106113013674 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH DISCRETEHEDGING 1 "20 September 2001" QuantLib .SH NAME DiscreteHedging - Example of using QuantLib .SH SYNOPSIS .B DiscreteHedging .SH DESCRIPTION .PP .B DiscreteHedging is an example of using the \fIQuantLib\fP Monte Carlo simulation framework. By simulation, .B DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the results of Derman and Kamal's Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Scholes". .SH SEE ALSO The source code .IR DiscreteHedging.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org , .I http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/MarketModels.10000644000175000017500000000166612254106113013246 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH MarketModels 1 "13 January 2010" QuantLib .SH NAME MarketModels - Example of Monte Carlo pricing with market models .SH SYNOPSIS .B MarketModels .SH DESCRIPTION .PP .B MarketModels is an example of using \fIQuantLib\fP. It prices a series of inverse floaters under market models using simulation. .SH SEE ALSO The source code .IR MarketModels.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/SwapValuation.10000644000175000017500000000162012254106113013442 00000000000000.\" Man page contributed by Luigi Ballabio .\" and released under the Quantlib license .TH SWAPVALUATION 1 "20 September 2001" QuantLib .SH NAME SwapValuation - Example of using QuantLib .SH SYNOPSIS .B SwapValuation .SH DESCRIPTION .PP .B SwapValuation is an example of using \fIQuantLib\fP. It prices an Interest Rate Swap over a term structure and calculates its fair fixed rate and floating spread. .SH SEE ALSO The source code .IR swapvaluation.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Luigi Ballabio . QuantLib-1.4/man/CDS.10000644000175000017500000000161112254106113011256 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH CDS 1 "18 July 2008" QuantLib .SH NAME CDS - Example of Credit-Default Swap pricing .SH SYNOPSIS .B CDS .SH DESCRIPTION .PP .B CDS is an example of using \fIQuantLib\fP. It bootstraps a default-probability curve over a number of CDS and reprices them. .SH SEE ALSO The source code .IR CDS.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/Replication.10000644000175000017500000000172512254106113013124 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH REPLICATIION 1 "07 Jul 2006" QuantLib .SH NAME Replication - Example of using QuantLib .SH SYNOPSIS .B Replication .SH DESCRIPTION .PP .B Replication is an example of using the \fIQuantLib\fP derivative modeling framework. .B Replication uses the CompositeInstrument class to statically replicate a down-and-out barrier options. .SH SEE ALSO The source code .IR Replication.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/Makefile.am0000644000175000017500000000201312254106113012614 00000000000000 dist_man_MANS = quantlib-config.1 \ quantlib-test-suite.1 EXTRA_DIST = if AUTO_EXAMPLES dist_man_MANS += BermudanSwaption.1 \ Bonds.1 \ CallableBonds.1 \ CDS.1 \ ConvertibleBonds.1 \ DiscreteHedging.1 \ EquityOption.1 \ FittedBondCurve.1 \ FRA.1 \ MarketModels.1 \ SwapValuation.1 \ Replication.1 \ Repo.1 else EXTRA_DIST += BermudanSwaption.1 \ Bonds.1 \ CallableBonds.1 \ CDS.1 \ ConvertibleBonds.1 \ DiscreteHedging.1 \ EquityOption.1 \ FittedBondCurve.1 \ FRA.1 \ MarketModels.1 \ SwapValuation.1 \ Replication.1 \ Repo.1 endif if AUTO_BENCHMARK dist_man_MANS += quantlib-benchmark.1 else EXTRA_DIST += quantlib-benchmark.1 endif QuantLib-1.4/man/FittedBondCurve.10000644000175000017500000000236312254106113013701 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH FITTEDBONDCURVE 1 "25 February 2006" QuantLib .SH NAME FittedBondCurve - Example of using QuantLib to fit discount curves .SH SYNOPSIS .B FittedBondCurve .SH DESCRIPTION .PP .B FittedBondCurve is an example of using \fIQuantLib\fP. For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a curve using different methods. The fitting methods are exponential splines, simple polynomials, Nelson-Siegel, and cubic B-splines. It then shifts the evaluation date into the future to compute implied forward par rates. It also computes yields after small price shifts. .SH SEE ALSO The source code .IR FittedBondCurve.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/CallableBonds.10000644000175000017500000000165312254106113013340 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH CallableBonds 1 "18 July 2008" QuantLib .SH NAME CallableBonds - Example of callable-bond pricing .SH SYNOPSIS .B CallableBonds .SH DESCRIPTION .PP .B CallableBonds is an example of using \fIQuantLib\fP. It prices a number of callable bonds and compares the results to known good data. .SH SEE ALSO The source code .IR CallableBonds.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/Repo.10000644000175000017500000000225412254106113011556 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH REPO 1 "07 Jul 2006" QuantLib .SH NAME Repo - Example of using QuantLib .SH SYNOPSIS .B Repo .SH DESCRIPTION .PP .B Repo is an example of using the \fIQuantLib\fP interest-rate model framework. .B Repo values a fixed-coupon bond repurchase (repo). The repurchase agreement example is set up to use the repo rate to do all discounting (including the underlying bond income). Forward delivery price is also obtained using this repo rate. All this is done by supplying the FixedCouponBondForward constructor with a flat repo YieldTermStructure. .SH SEE ALSO The source code .IR Repo.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/BermudanSwaption.10000644000175000017500000000235712254106113014137 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH BERMUDANSWAPTION 1 "04 May 2002" QuantLib .SH NAME BermudanSwaption - Example of using QuantLib .SH SYNOPSIS .B BermudanSwaption .SH DESCRIPTION .PP .B BermudanSwaption is an example of using the \fIQuantLib\fP interest-rate model framework. .B BermudanSwaption prices a bermudan swaption using different models calibrated to market swaptions. The calibration examples include Hull and White's using both an analytic formula as well as numerically, and Black and Karasinski's model. Using these three calibrations, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-money volatilities. .SH SEE ALSO The source code .IR BermudanSwaption.cpp , .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/quantlib-benchmark.10000644000175000017500000000216312254106113014417 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH QUANTLIB-BENCHMARK 1 "02 November 2006" QuantLib .SH NAME quantlib-benchmark - performance benchmark executable for QuantLib .SH SYNOPSIS .B quantlib-benchmark .SH DESCRIPTION .PP .B quantlib-benchmark is created at compile-time from the \fIQuantLib\fP sources using the \fBoost test framework\fP tools. It measures the performance of a preselected set of numerically intensive test cases. The overall QuantLib Benchmark Index is given by the average performance in mflops. The number of floating point operations of a given test case was measured using the perfex library, see .IR http://user.it.uu.se/~mikpe/linux/perfctr . .SH SEE ALSO The source code in the .I test-suite directory of the .I QuantLib sources, the QuantLib documentation and website at .I http://quantlib.org and the Boost documentation and website at .IR http://www.boost.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/ConvertibleBonds.10000644000175000017500000000240612254106113014112 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH CONVERTIBLEBONDS 1 "25 February 2006" QuantLib .SH NAME ConvertibleBonds - Example of using QuantLib to value convertible bonds .SH SYNOPSIS .B ConvertibleBonds .SH DESCRIPTION .PP .B ConvertibleBonds is an example of using \fIQuantLib\fP. For a given set of option parameters, it computes the value of a convertible bond with an embedded put option for two different equity options types (with european and american exercise features) using the Tsiveriotis-Fernandes method with different implied tree algorithms. The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities, Trigeorgis, Tian and Leisen-Reimer. .SH SEE ALSO The source code .IR ConvertibleBonds.cpp , .BR BermudanSwaption (1), .BR Bonds (1), .BR CallableBonds (1), .BR CDS (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/quantlib-test-suite.10000644000175000017500000000160312254106113014571 00000000000000.\" Man page contributed by Dirk Eddelbuettel .\" and released under the Quantlib license .TH QUANTLIB-TEST-SUITE 1 "27 July 2003" QuantLib .SH NAME quantlib-test-suite - test executable for QuantLib .SH SYNOPSIS .B quantlib-test-suite .SH DESCRIPTION .PP .B quantlib-test-suite is created at compile-time from the \fIQuantLib\fP sources using the \fBoost test framework\fP tool. It validates the compiled code against pre-constructed test cases, and helps in validating the library. .SH SEE ALSO The source code in the .I test-suite directory of the .I QuantLib sources, the QuantLib documentation and website at .I http://quantlib.org and the Boost documentation and website at .IR http://www.boost.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Dirk Eddelbuettel , the Debian GNU/Linux maintainer for .BR QuantLib . QuantLib-1.4/man/Bonds.10000644000175000017500000000160512254106113011715 00000000000000.\" Man page contributed by Luigi Ballabio .\" and released under the Quantlib license .TH Bonds 1 "22 October 2008" QuantLib .SH NAME Bonds - Example of bond pricing .SH SYNOPSIS .B Bonds .SH DESCRIPTION .PP .B Bonds is an example of using \fIQuantLib\fP. It shows how to set up a term structure and then price some simple bonds. The last part is dedicated to peripherical computations such as yield-to-price or price-to-yield. .SH SEE ALSO The source code .IR Bonds.cpp , .BR BermudanSwaption (1), .BR CallableBonds (1), .BR CDS (1), .BR ConvertibleBonds (1), .BR DiscreteHedging (1), .BR EquityOption (1), .BR FittedBondCurve (1), .BR FRA (1), .BR MarketModels (1), .BR Replication (1), .BR Repo (1), .BR SwapValuation (1), the QuantLib documentation and website at .IR http://quantlib.org . .SH AUTHORS The QuantLib Group (see .IR Authors.txt ). This manual page was added by Luigi Ballabio . 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{47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release (static runtime)|Win32.Build.0 = Release (static runtime)|Win32 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release (static runtime)|x64.ActiveCfg = Release (static runtime)|x64 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release (static runtime)|x64.Build.0 = Release (static runtime)|x64 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release|Win32.ActiveCfg = Release|Win32 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release|Win32.Build.0 = Release|Win32 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release|x64.ActiveCfg = Release|x64 {47CE2A41-091A-42A3-B40D-F6F0DD689349}.Release|x64.Build.0 = Release|x64 EndGlobalSection GlobalSection(SolutionProperties) = preSolution HideSolutionNode = FALSE EndGlobalSection EndGlobal QuantLib-1.4/quantlib.m40000644000175000017500000001117412254106113012076 00000000000000 # AM_PATH_QUANTLIB([MINIMUM-VERSION,[ACTION-IF-FOUND,[ACTION-IF-NOT-FOUND]]]) # --------------------------------------------------------------------------- # Check for QuantLib, and define QUANTLIB_CXXFLAGS and QUANTLIB_LIBS as # the output of quantlib-config --cflags and quantlib-config --libs, # respectively AC_DEFUN([AM_PATH_QUANTLIB], [AC_ARG_ENABLE(quantlib-test, AC_HELP_STRING([--disable-quantlib-test], [do not try to compile and run a test QuantLib program]), [enable_quantlib_test=$enableval], [enable_quantlib_test=yes]) AC_ARG_WITH(quantlib-prefix, AC_HELP_STRING([--with-quantlib-prefix=PREFIX], [prefix where QuantLib is installed]), quantlib_prefix="$withval", quantlib_prefix="") AC_ARG_WITH(quantlib-exec-prefix, AC_HELP_STRING([--with-quantlib-exec-prefix=PREFIX], [exec prefix where QuantLib is installed]), quantlib_exec_prefix="$withval", quantlib_exec_prefix="") no_quantlib=no # First, look for quantlib-config. # If a prefix or exec-config was given, look there. if test x$quantlib_exec_prefix != x ; then if test x${QUANTLIB_CONFIG+set} != xset ; then QUANTLIB_CONFIG=$quantlib_exec_prefix/bin/quantlib-config fi fi if test x$quantlib_prefix != x ; then if test x${QUANTLIB_CONFIG+set} != xset ; then QUANTLIB_CONFIG=$quantlib_prefix/bin/quantlib-config fi fi AC_PATH_PROG(QUANTLIB_CONFIG, quantlib-config, no) if test "$QUANTLIB_CONFIG" = "no" ; then no_quantlib=yes else QUANTLIB_CXXFLAGS=`$QUANTLIB_CONFIG --cflags` QUANTLIB_LIBS=`$QUANTLIB_CONFIG --libs` QUANTLIB_VERSION=`$QUANTLIB_CONFIG --version` fi # Supposing we found quantlib-config... if test $no_quantlib != yes ; then # ...we check for the required version (if any) if test x$1 != x ; then AC_MSG_CHECKING([for QuantLib version ($1 or later required)]) major=`echo $QUANTLIB_VERSION | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\1/'` wanted=`echo $1 | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\1/'` if test $major -lt $wanted ; then AC_MSG_RESULT(no) no_quantlib=yes else if test $major -gt $wanted ; then AC_MSG_RESULT($QUANTLIB_VERSION) else minor=`echo $QUANTLIB_VERSION | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\2/'` wanted=`echo $1 | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\2/'` if test $minor -lt $wanted ; then AC_MSG_RESULT(no) no_quantlib=yes else if test $minor -gt $wanted ; then AC_MSG_RESULT($QUANTLIB_VERSION) else patch=`echo $QUANTLIB_VERSION | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\4/'` if test x$patch = x ; then patch=0 fi wanted=`echo $1 | sed 's/\([[0-9]][[0-9]]*\)\.\([[0-9]][[0-9]]*\)\(\.\([[0-9]]*\)\)*\([[a|b|c]][[0-9]]*\)*/\4/'` if test x$wanted = x ; then wanted=0 fi if test $patch -lt $wanted ; then AC_MSG_RESULT(no) no_quantlib=yes else AC_MSG_RESULT($QUANTLIB_VERSION) fi fi fi fi fi else AC_MSG_CHECKING([for QuantLib version]) AC_MSG_RESULT($QUANTLIB_VERSION) fi fi # If we have an up-to-date library... if test $no_quantlib != yes ; then # ...we test it (unless we were told not to.) if test "x$enable_quantlib_test" = "xyes" ; then ac_save_CXXFLAGS="$CXXFLAGS" ac_save_LIBS="$LIBS" CXXFLAGS="$CXXFLAGS $QUANTLIB_CXXFLAGS" LIBS="$LIBS $QUANTLIB_LIBS" AC_MSG_CHECKING([that we can compile and link QuantLib programs]) AC_TRY_RUN([ @%:@include int main (int argc, char *argv[]) { return 0; } ], [AC_MSG_RESULT(yes)], [AC_MSG_RESULT(no) no_quantlib=yes]) CXXFLAGS="$ac_save_CXXFLAGS" LIBS="$ac_save_LIBS" fi fi # All tests were performed. 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{e29388ea-045b-43fe-95f7-0973b8537907} {63ee57ce-bf68-4a4a-b5c8-29d11c2a11ee} {8fd699bb-f489-4e96-a998-54b5612a9aa7} {12b22ebc-4102-4d94-b640-8490b20365b7} {aa33a8b9-0ac4-49d9-ad88-a7810d0532dd} {aae4b1e6-d6bd-44d9-af3d-4e5efcfd0b57} {101d6cdd-3e77-48cd-8bec-c84a252324f0} {aad1cf31-2c29-47a1-9461-ee71b1dd9a6a} {c8f5fb33-e14a-4880-b985-6377963a2edf} {410bb8f6-ce1c-4e79-956c-85239a8ffcb2} {c046c970-45d0-4156-b587-ff2bc881bf04} {db6b7309-6e3f-4eb2-bce2-6f45a933a788} {02219e9b-59b0-458f-9937-397f83864a9e} {209ea670-7502-4ccc-a3fd-5d793608356b} {8bb09d36-55a0-4496-8e78-989117257790} {5d212607-989f-42d9-ae9d-a54f29d74dfc} {2c4b39a7-b606-4f9f-9df6-70685dbde95f} {be723df5-2e58-41de-8071-8d2e2f62410a} methods methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo methods\montecarlo 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Copyright (C) 2009 Bojan Nikolic Copyright (C) 2009, 2010 Dimitri Reiswich Copyright (C) 2009 Sun Xiuxin Copyright (C) 2010 Kakhkhor Abdijalilov Copyright (C) 2010 Hachemi Benyahia Copyright (C) 2010 Manas Bhatt Copyright (C) 2010 DeriveXperts SAS Copyright (C) 2010, 2014 Cavit Hafizoglu Copyright (C) 2010 Michael Heckl Copyright (C) 2010 Slava Mazur Copyright (C) 2010, 2011, 2012, 2013 Andre Miemiec Copyright (C) 2010 Adrian O' Neill Copyright (C) 2010 Robert Philipp Copyright (C) 2010 Alessandro Roveda Copyright (C) 2010 SunTrust Bank Copyright (C) 2011, 2013 Fabien Le Floc'h Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz Copyright (C) 2012, 2013, 2014 Peter Caspers Copyright (C) 2012 Mateusz Kapturski Copyright (C) 2012 Simon Shakeshaft Copyright (C) 2012 Édouard Tallent Copyright (C) 2012 Samuel Tebege Copyright (C) 2013 BGC Partners L.P. Copyright (C) 2013 Cheng Li Copyright (C) 2013 Yue Tian QuantLib includes code taken from Peter Jäckel's book "Monte Carlo Methods in Finance". QuantLib includes software developed by the University of Chicago, as Operator of Argonne National Laboratory. QuantLib includes a set of numbers provided by Stephen Joe and Frances Kuo under a BSD-style license. Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: Redistributions of source code must retain the above copyright notice, this list of conditions and the following disclaimer. Redistributions in binary form must reproduce the above copyright notice, this list of conditions and the following disclaimer in the documentation and/or other materials provided with the distribution. Neither the names of the copyright holders nor the names of the QuantLib Group and its contributors may be used to endorse or promote products derived from this software without specific prior written permission. THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. QuantLib-1.4/Makefile.am0000644000175000017500000000213512301107206012043 00000000000000 SUBDIRS = config ql m4 man Docs Examples test-suite ACLOCAL_AMFLAGS = -I m4 bin_SCRIPTS = quantlib-config if EMACS_FOUND dist_lisp_LISP = quantlib.el endif m4datadir = $(datadir)/aclocal dist_m4data_DATA = quantlib.m4 EXTRA_DIST = \ Announce.txt \ Authors.txt \ Bugs.txt \ ChangeLog.txt \ Contributors.txt \ LICENSE.TXT \ News.txt \ QuantLib.dev \ QuantLib.spec \ QuantLib_vc8.sln \ QuantLib_vc8.vcproj \ QuantLib_vc9.sln \ QuantLib_vc9.vcproj \ QuantLib_vc10.sln \ QuantLib_vc10.vcxproj \ QuantLib_vc10.vcxproj.filters \ QuantLib_vc11.sln \ QuantLib_vc11.vcxproj \ QuantLib_vc11.vcxproj.filters \ Readme.txt \ autogen.sh .PHONY: examples check-examples examples: $(MAKE) -C Examples examples check-examples: $(MAKE) -C Examples check-examples .PHONY: benchmark benchmark: $(MAKE) -C test-suite benchmark .PHONY: docs docs-man docs-online docs-dist docs-clean docs: $(MAKE) -C Docs docs-all html-local: $(MAKE) -C Docs docs-html docs-man: $(MAKE) -C Docs docs-man docs-dist: $(MAKE) -C Docs docs-dist docs-clean: $(MAKE) -C Docs docs-clean dist-hook: mkdir -p $(distdir)/build QuantLib-1.4/ql/0000755000175000017500000000000012303327145010512 500000000000000QuantLib-1.4/ql/termstructure.hpp0000644000175000017500000001233612301107207014071 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file termstructure.hpp \brief base class for term structures */ #ifndef quantlib_term_structure_hpp #define quantlib_term_structure_hpp #include #include #include #include #include #include namespace QuantLib { //! Basic term-structure functionality class TermStructure : public virtual Observer, public virtual Observable, public Extrapolator { public: /*! \name Constructors There are three ways in which a term structure can keep track of its reference date. The first is that such date is fixed; the second is that it is determined by advancing the current date of a given number of business days; and the third is that it is based on the reference date of some other structure. In the first case, the constructor taking a date is to be used; the default implementation of referenceDate() will then return such date. In the second case, the constructor taking a number of days and a calendar is to be used; referenceDate() will return a date calculated based on the current evaluation date, and the term structure and its observers will be notified when the evaluation date changes. In the last case, the referenceDate() method must be overridden in derived classes so that it fetches and return the appropriate date. */ //@{ //! default constructor /*! \warning term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. */ TermStructure(const DayCounter& dc = DayCounter()); //! initialize with a fixed reference date TermStructure(const Date& referenceDate, const Calendar& calendar = Calendar(), const DayCounter& dc = DayCounter()); //! calculate the reference date based on the global evaluation date TermStructure(Natural settlementDays, const Calendar&, const DayCounter& dc = DayCounter()); //@} virtual ~TermStructure() {} //! \name Dates and Time //@{ //! the day counter used for date/time conversion virtual DayCounter dayCounter() const; //! date/time conversion Time timeFromReference(const Date& date) const; //! the latest date for which the curve can return values virtual Date maxDate() const = 0; //! the latest time for which the curve can return values virtual Time maxTime() const; //! the date at which discount = 1.0 and/or variance = 0.0 virtual const Date& referenceDate() const; //! the calendar used for reference and/or option date calculation virtual Calendar calendar() const; //! the settlementDays used for reference date calculation virtual Natural settlementDays() const; //@} //! \name Observer interface //@{ void update(); //@} protected: //! date-range check void checkRange(const Date& d, bool extrapolate) const; //! time-range check void checkRange(Time t, bool extrapolate) const; bool moving_; mutable bool updated_; Calendar calendar_; private: mutable Date referenceDate_; Natural settlementDays_; DayCounter dayCounter_; }; // inline definitions inline DayCounter TermStructure::dayCounter() const { return dayCounter_; } inline Time TermStructure::maxTime() const { return timeFromReference(maxDate()); } inline Calendar TermStructure::calendar() const { return calendar_; } inline Natural TermStructure::settlementDays() const { QL_REQUIRE(settlementDays_!=Null(), "settlement days not provided for this instance"); return settlementDays_; } inline Time TermStructure::timeFromReference(const Date& d) const { return dayCounter().yearFraction(referenceDate(), d); } } #endif QuantLib-1.4/ql/auto_link.hpp0000644000175000017500000000402512302654116013131 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2006, 2008 Ferdinando Ametrano Copyright (C) 2012 Édouard Tallent This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef quantlib_autolink_hpp #define quantlib_autolink_hpp #include #include // select toolset: #if (_MSC_VER < 1310) # error "unsupported Microsoft compiler" #elif (_MSC_VER == 1310) # define QL_LIB_TOOLSET "vc71" #elif (_MSC_VER == 1400) # define QL_LIB_TOOLSET "vc80" #elif (_MSC_VER == 1500) # define QL_LIB_TOOLSET "vc90" #elif (_MSC_VER == 1600) # define QL_LIB_TOOLSET "vc100" #elif (_MSC_VER >= 1700) # define QL_LIB_TOOLSET "vc110" #endif #ifdef _M_X64 # define QL_LIB_PLATFORM "-x64" #else # define QL_LIB_PLATFORM #endif /*** libraries to be linked ***/ // select thread opt: #ifdef _MT # define QL_LIB_THREAD_OPT "-mt" #else # define QL_LIB_THREAD_OPT #endif // select linkage opt: #ifdef _DLL # if defined(_DEBUG) # define QL_LIB_RT_OPT "-gd" # else # define QL_LIB_RT_OPT # endif #else # if defined(_DEBUG) # define QL_LIB_RT_OPT "-sgd" # else # define QL_LIB_RT_OPT "-s" # endif #endif #define QL_LIB_NAME "QuantLib-" QL_LIB_TOOLSET QL_LIB_PLATFORM QL_LIB_THREAD_OPT QL_LIB_RT_OPT ".lib" #pragma comment(lib, QL_LIB_NAME) #ifdef BOOST_LIB_DIAGNOSTIC # pragma message("Will (need to) link to lib file: " QL_LIB_NAME) #endif #endif QuantLib-1.4/ql/cashflow.hpp0000664000175000017500000000547212273451114012763 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl Copyright (C) 2003, 2004, 2005, 2006, 2007, 2009 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file cashflow.hpp \brief Base class for cash flows */ #ifndef quantlib_cash_flow_hpp #define quantlib_cash_flow_hpp #include #include #include namespace QuantLib { //! Base class for cash flows /*! This class is purely virtual and acts as a base class for the actual cash flow implementations. */ class CashFlow : public Event { public: virtual ~CashFlow() {} //! \name Event interface //@{ //! \note This is inherited from the event class virtual Date date() const = 0; //! returns true if an event has already occurred before a date /*! overloads Event::hasOccurred in order to take QL_TODAYS_PAYMENTS in account */ bool hasOccurred( const Date& refDate = Date(), boost::optional includeRefDate = boost::none) const; //@} //! \name CashFlow interface //@{ //! returns the amount of the cash flow /*! \note The amount is not discounted, i.e., it is the actual amount paid at the cash flow date. */ virtual Real amount() const = 0; //! returns the date that the cash flow trades exCoupon virtual Date exCouponDate() const {return Date();}; //! returns true if the cashflow is trading ex-coupon on the refDate bool tradingExCoupon(const Date& refDate = Date()) const; //@} //! \name Visitability //@{ virtual void accept(AcyclicVisitor&); //@} }; //! 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echo "#include " >> $@ echo "#include " >> $@ echo "#ifdef BOOST_MSVC" >> $@ echo "# include " >> $@ echo "#endif" >> $@ echo >> $@ for i in $(filter-out auto_link.hpp config.hpp quantlib.hpp \ qldefines.hpp mathconstants.hpp version.hpp, \ $(this_include_HEADERS)); do \ echo "#include <${subdir}/$$i>" >> $@; \ done echo >> $@ subdirs='$(SUBDIRS)'; for i in $$subdirs; do \ echo "#include <${subdir}/$$i/all.hpp>" >> $@; \ done install-data-hook: $(SED) -e "s,HAVE_CONFIG_H,QL_HAVE_CONFIG_H," \ -e "s,/\* install-hook \*/,#define QL_HAVE_CONFIG_H," \ $(DESTDIR)$(this_includedir)/qldefines.hpp > .qldefines.hpp $(INSTALL_DATA) .qldefines.hpp $(DESTDIR)$(this_includedir)/qldefines.hpp rm .qldefines.hpp $(SED) -e "s,PACKAGE,QL_PACKAGE," \ -e "s,STDC,QL_STDC," \ -e "s, HAVE, QL_HAVE," \ -e "s, VERSION, QL_AC_VERSION," \ $(DESTDIR)$(this_includedir)/config.hpp > .config.hpp $(INSTALL_DATA) .config.hpp $(DESTDIR)$(this_includedir)/config.hpp rm .config.hpp depend: makedepend $(INCLUDES) -- $(CFLAGS) -- $(SOURCES) # Tell versions [3.59,3.63) of GNU make to not export all variables. # Otherwise a system limit (for SysV at least) may be exceeded. .NOEXPORT: QuantLib-1.4/ql/numericalmethod.hpp0000644000175000017500000000623712254106113014326 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb Copyright (C) 2004, 2005 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file numericalmethod.hpp \brief Numerical method class */ #ifndef quantlib_lattice_hpp #define quantlib_lattice_hpp #include #include namespace QuantLib { class DiscretizedAsset; //! %Lattice (tree, finite-differences) base class class Lattice { public: Lattice(const TimeGrid& timeGrid) : t_(timeGrid) {} virtual ~Lattice() {} //!\name Inspectors //{ const TimeGrid& timeGrid() const { return t_; } //@} /*! \name Numerical method interface These methods are to be used by discretized assets and must be overridden by developers implementing numerical methods. Users are advised to use the corresponding methods of DiscretizedAsset instead. @{ */ //! initialize an asset at the given time. virtual void initialize(DiscretizedAsset&, Time time) const = 0; /*! Roll back an asset until the given time, performing any needed adjustment. */ virtual void rollback(DiscretizedAsset&, Time to) const = 0; /*! Roll back an asset until the given time, but do not perform the final adjustment. \warning In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as: \code method->rollAlmostBack(asset,t); \endcode with the two statements: \code method->partialRollback(asset,t); asset->preAdjustValues(); \endcode */ virtual void partialRollback(DiscretizedAsset&, Time to) const = 0; //! computes the present value of an asset. virtual Real presentValue(DiscretizedAsset&) const = 0; //@} // this is a smell, but we need it. We'll rethink it later. virtual Disposable grid(Time) const = 0; protected: TimeGrid t_; }; } #endif QuantLib-1.4/ql/version.hpp0000644000175000017500000000234112303051645012627 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2009 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file version.hpp \brief Version number */ #ifndef quantlib_version_hpp #define quantlib_version_hpp #include /*! \addtogroup macros */ /*! @{ */ //! version string #ifdef QL_DEBUG #define QL_VERSION "1.4-debug" #else #define QL_VERSION "1.4" #endif //! version hexadecimal number #define QL_HEX_VERSION 0x010400f0 //! version string for output lib name #define QL_LIB_VERSION "1_4" /*! @} */ #endif QuantLib-1.4/ql/prices.cpp0000644000175000017500000001253612263013713012430 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2006, 2007 Ferdinando Ametrano Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2006 Joseph Wang This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #include #include namespace QuantLib { Real midEquivalent(const Real bid, const Real ask, const Real last, const Real close) { if (bid != Null() && bid > 0.0) { if (ask != Null() && ask > 0.0) return ((bid+ask)/2.0); else return bid; } else { if (ask != Null() && ask > 0.0) return ask; else if (last != Null() && last > 0.0) return last; else { QL_REQUIRE(close != Null() && close > 0.0, "all input prices are invalid"); return close; } } } Real midSafe(const Real bid, const Real ask) { QL_REQUIRE(bid != Null() && bid > 0.0, "invalid bid price"); QL_REQUIRE(ask != Null() && ask > 0.0, "invalid ask price"); return (bid+ask)/2.0; } IntervalPrice::IntervalPrice() : open_(Null()), close_(Null()), high_(Null()), low_(Null()) {} IntervalPrice::IntervalPrice(Real open, Real close, Real high, Real low) : open_(open), close_(close), high_(high), low_(low) {} Real IntervalPrice::value(IntervalPrice::Type t) const { switch(t) { case Open: return open_; case Close: return close_; case High: return high_; case Low: return low_; default: QL_FAIL("Unknown price type"); } } void IntervalPrice::setValue(Real value, IntervalPrice::Type t) { switch(t) { case Open: open_ = value; break; case Close: close_ = value; break; case High: high_ = value; break; case Low: low_ = value; break; default: QL_FAIL("Unknown price type"); } } void IntervalPrice::setValues(Real open, Real close, Real high, Real low) { open_ = open; close_ = close; high_ = high; low_ = low; } TimeSeries IntervalPrice::makeSeries( const std::vector& d, const std::vector& open, const std::vector& close, const std::vector& high, const std::vector& low) { Size dsize = d.size(); QL_REQUIRE((open.size() == dsize && close.size() == dsize && high.size() == dsize && low.size() == dsize), "size mismatch (" << dsize << ", " << open.size() << ", " << close.size() << ", " << high.size() << ", " << low.size() << ")"); TimeSeries retval; std::vector::const_iterator i; std::vector::const_iterator openi, closei, highi, lowi; openi = open.begin(); closei = close.begin(); highi = high.begin(); lowi = low.begin(); for (i = d.begin(); i != d.end(); i++) { retval[*i] = IntervalPrice(*openi, *closei, *highi, *lowi); ++openi; ++closei; ++highi; ++lowi; } return retval; } std::vector IntervalPrice::extractValues( const TimeSeries& ts, IntervalPrice::Type t) { std::vector returnval; returnval.reserve(ts.size()); for (TimeSeries::const_iterator i = ts.begin(); i != ts.end(); i++) { returnval.push_back(i->second.value(t)); } return returnval; } TimeSeries IntervalPrice::extractComponent( const TimeSeries& ts, IntervalPrice::Type t) { std::vector dates = ts.dates(); std::vector values = extractValues(ts, t); return TimeSeries(dates.begin(), dates.end(), values.begin()); } } QuantLib-1.4/ql/timegrid.hpp0000644000175000017500000001567712254106113012762 00000000000000/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb Copyright (C) 2005, 2006 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file timegrid.hpp \brief discrete time grid */ #ifndef quantlib_time_grid_hpp #define quantlib_time_grid_hpp #include #include #include #include namespace QuantLib { //! time grid class /*! \todo what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well. */ class TimeGrid { public: //! \name Constructors //@{ TimeGrid() {} //! Regularly spaced time-grid TimeGrid(Time end, Size steps); //! Time grid with mandatory time points /*! Mandatory points are guaranteed to belong to the grid. No additional points are added. */ template TimeGrid(Iterator begin, Iterator end) : mandatoryTimes_(begin, end) { std::sort(mandatoryTimes_.begin(),mandatoryTimes_.end()); // We seem to assume that the grid begins at 0. // Let's enforce the assumption for the time being // (even though I'm not sure that I agree.) QL_REQUIRE(mandatoryTimes_.front() >= 0.0, "negative times not allowed"); std::vector