diff options
author | minskim <minskim@pkgsrc.org> | 2018-05-14 00:06:44 +0000 |
---|---|---|
committer | minskim <minskim@pkgsrc.org> | 2018-05-14 00:06:44 +0000 |
commit | 3293c256a44de434d9acc4d841624c12e7e8936f (patch) | |
tree | 1c674fa89cb5fa0718d77582ccf2fa67f49a3a63 /finance | |
parent | fb20106910ebf04619c1dc658afafa74af76b630 (diff) | |
download | pkgsrc-3293c256a44de434d9acc4d841624c12e7e8936f.tar.gz |
finance/QuantLib: Import version 1.12.1
The QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance. QuantLib is a free/open-source
library for modeling, trading, and risk management in real-life.
QuantLib is written in C++ with a clean object model, and is then
exported to different languages such as C#, Objective Caml, Java,
Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is also
available. The reposit project facilitates deployment of object
libraries to end user platforms and is used to generate QuantLibXL, an
Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other
platforms such as LibreOffice Calc. Bindings to other languages and
porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica,
COM/CORBA/SOAP architectures, FpML, are under consideration.
Diffstat (limited to 'finance')
-rw-r--r-- | finance/QuantLib/DESCR | 13 | ||||
-rw-r--r-- | finance/QuantLib/Makefile | 28 | ||||
-rw-r--r-- | finance/QuantLib/PLIST | 1317 | ||||
-rw-r--r-- | finance/QuantLib/buildlink3.mk | 14 | ||||
-rw-r--r-- | finance/QuantLib/distinfo | 8 | ||||
-rw-r--r-- | finance/QuantLib/patches/patch-CMakeLists.txt | 15 | ||||
-rw-r--r-- | finance/QuantLib/patches/patch-ql_CMakeLists.txt | 23 |
7 files changed, 1418 insertions, 0 deletions
diff --git a/finance/QuantLib/DESCR b/finance/QuantLib/DESCR new file mode 100644 index 00000000000..13d82c42f3a --- /dev/null +++ b/finance/QuantLib/DESCR @@ -0,0 +1,13 @@ +The QuantLib project is aimed at providing a comprehensive software +framework for quantitative finance. QuantLib is a free/open-source +library for modeling, trading, and risk management in real-life. + +QuantLib is written in C++ with a clean object model, and is then +exported to different languages such as C#, Objective Caml, Java, +Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is also +available. The reposit project facilitates deployment of object +libraries to end user platforms and is used to generate QuantLibXL, an +Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other +platforms such as LibreOffice Calc. Bindings to other languages and +porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, +COM/CORBA/SOAP architectures, FpML, are under consideration. diff --git a/finance/QuantLib/Makefile b/finance/QuantLib/Makefile new file mode 100644 index 00000000000..8cf8f25426f --- /dev/null +++ b/finance/QuantLib/Makefile @@ -0,0 +1,28 @@ +# $NetBSD: Makefile,v 1.1 2018/05/14 00:06:44 minskim Exp $ + +DISTNAME= QuantLib-1.12.1 +CATEGORIES= finance +MASTER_SITES= ${MASTER_SITE_GITHUB:=lballabio/} +GITHUB_TAG= ${PKGBASE}-v${PKGVERSION_NOREV} + +MAINTAINER= minskim@NetBSD.org +HOMEPAGE= http://quantlib.org/ +COMMENT= C++ library for quantitative finance +LICENSE= modified-bsd + +USE_CMAKE= yes +USE_LANGUAGES= c c++ + +GCC_REQD+= 4.8 +TOOLS_DEPENDS.cmake= cmake>=3.0:../../devel/cmake + +SUBST_CLASSES+= sover +SUBST_STAGE.sover= pre-configure +SUBST_MESSAGE.sover= Set the shared library version. +SUBST_FILES.sover= CMakeLists.txt +SUBST_SED.sover= -e 's,@PKGVERSION@,${PKGVERSION_NOREV},g' + +.include "../../devel/boost-headers/buildlink3.mk" +BUILDLINK_DEPMETHOD.boost-libs= build +.include "../../devel/boost-libs/buildlink3.mk" +.include "../../mk/bsd.pkg.mk" diff --git a/finance/QuantLib/PLIST b/finance/QuantLib/PLIST new file mode 100644 index 00000000000..3b40b933b6a --- /dev/null +++ b/finance/QuantLib/PLIST @@ -0,0 +1,1317 @@ +@comment $NetBSD: PLIST,v 1.1 2018/05/14 00:06:44 minskim Exp $ +include/ql/auto_link.hpp +include/ql/cashflow.hpp +include/ql/cashflows/all.hpp +include/ql/cashflows/averagebmacoupon.hpp +include/ql/cashflows/capflooredcoupon.hpp +include/ql/cashflows/capflooredinflationcoupon.hpp +include/ql/cashflows/cashflows.hpp +include/ql/cashflows/cashflowvectors.hpp +include/ql/cashflows/cmscoupon.hpp +include/ql/cashflows/conundrumpricer.hpp +include/ql/cashflows/coupon.hpp +include/ql/cashflows/couponpricer.hpp +include/ql/cashflows/cpicoupon.hpp +include/ql/cashflows/cpicouponpricer.hpp +include/ql/cashflows/digitalcmscoupon.hpp +include/ql/cashflows/digitalcoupon.hpp +include/ql/cashflows/digitaliborcoupon.hpp +include/ql/cashflows/dividend.hpp +include/ql/cashflows/duration.hpp +include/ql/cashflows/fixedratecoupon.hpp +include/ql/cashflows/floatingratecoupon.hpp +include/ql/cashflows/iborcoupon.hpp +include/ql/cashflows/indexedcashflow.hpp +include/ql/cashflows/inflationcoupon.hpp +include/ql/cashflows/inflationcouponpricer.hpp +include/ql/cashflows/lineartsrpricer.hpp +include/ql/cashflows/overnightindexedcoupon.hpp +include/ql/cashflows/rangeaccrual.hpp +include/ql/cashflows/replication.hpp +include/ql/cashflows/simplecashflow.hpp +include/ql/cashflows/timebasket.hpp +include/ql/cashflows/yoyinflationcoupon.hpp +include/ql/compounding.hpp +include/ql/config.ansi.hpp +include/ql/config.hpp +include/ql/config.mingw.hpp +include/ql/config.msvc.hpp +include/ql/config.sun.hpp +include/ql/currencies/africa.hpp +include/ql/currencies/all.hpp +include/ql/currencies/america.hpp +include/ql/currencies/asia.hpp +include/ql/currencies/crypto.hpp +include/ql/currencies/europe.hpp +include/ql/currencies/exchangeratemanager.hpp +include/ql/currencies/oceania.hpp +include/ql/currency.hpp +include/ql/default.hpp +include/ql/discretizedasset.hpp +include/ql/errors.hpp +include/ql/event.hpp +include/ql/exchangerate.hpp +include/ql/exercise.hpp +include/ql/experimental/all.hpp +include/ql/experimental/amortizingbonds/all.hpp +include/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp +include/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp +include/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp +include/ql/experimental/averageois/all.hpp +include/ql/experimental/averageois/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 +include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp +include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp +include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarrieroption.hpp +include/ql/experimental/barrieroption/doublebarriertype.hpp +include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp +include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp +include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp +include/ql/experimental/barrieroption/vannavolgainterpolation.hpp +include/ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp +include/ql/experimental/callablebonds/all.hpp +include/ql/experimental/callablebonds/blackcallablebondengine.hpp +include/ql/experimental/callablebonds/callablebond.hpp +include/ql/experimental/callablebonds/callablebondconstantvol.hpp +include/ql/experimental/callablebonds/callablebondvolstructure.hpp +include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp +include/ql/experimental/callablebonds/treecallablebondengine.hpp +include/ql/experimental/catbonds/all.hpp +include/ql/experimental/catbonds/catbond.hpp +include/ql/experimental/catbonds/catrisk.hpp +include/ql/experimental/catbonds/montecarlocatbondengine.hpp +include/ql/experimental/catbonds/riskynotional.hpp +include/ql/experimental/commodities/all.hpp +include/ql/experimental/commodities/commodity.hpp +include/ql/experimental/commodities/commoditycashflow.hpp +include/ql/experimental/commodities/commoditycurve.hpp +include/ql/experimental/commodities/commodityindex.hpp +include/ql/experimental/commodities/commoditypricinghelpers.hpp +include/ql/experimental/commodities/commoditysettings.hpp +include/ql/experimental/commodities/commoditytype.hpp +include/ql/experimental/commodities/commodityunitcost.hpp +include/ql/experimental/commodities/dateinterval.hpp +include/ql/experimental/commodities/energybasisswap.hpp +include/ql/experimental/commodities/energycommodity.hpp +include/ql/experimental/commodities/energyfuture.hpp +include/ql/experimental/commodities/energyswap.hpp +include/ql/experimental/commodities/energyvanillaswap.hpp +include/ql/experimental/commodities/exchangecontract.hpp +include/ql/experimental/commodities/paymentterm.hpp +include/ql/experimental/commodities/petroleumunitsofmeasure.hpp +include/ql/experimental/commodities/pricingperiod.hpp +include/ql/experimental/commodities/quantity.hpp +include/ql/experimental/commodities/unitofmeasure.hpp +include/ql/experimental/commodities/unitofmeasureconversion.hpp +include/ql/experimental/commodities/unitofmeasureconversionmanager.hpp +include/ql/experimental/convertiblebonds/all.hpp +include/ql/experimental/convertiblebonds/binomialconvertibleengine.hpp +include/ql/experimental/convertiblebonds/convertiblebond.hpp +include/ql/experimental/convertiblebonds/discretizedconvertible.hpp +include/ql/experimental/convertiblebonds/tflattice.hpp +include/ql/experimental/coupons/all.hpp +include/ql/experimental/coupons/cmsspreadcoupon.hpp +include/ql/experimental/coupons/digitalcmsspreadcoupon.hpp +include/ql/experimental/coupons/lognormalcmsspreadpricer.hpp +include/ql/experimental/coupons/proxyibor.hpp +include/ql/experimental/coupons/quantocouponpricer.hpp +include/ql/experimental/coupons/strippedcapflooredcoupon.hpp +include/ql/experimental/coupons/subperiodcoupons.hpp +include/ql/experimental/coupons/swapspreadindex.hpp +include/ql/experimental/credit/all.hpp +include/ql/experimental/credit/basecorrelationlossmodel.hpp +include/ql/experimental/credit/basecorrelationstructure.hpp +include/ql/experimental/credit/basket.hpp +include/ql/experimental/credit/binomiallossmodel.hpp +include/ql/experimental/credit/blackcdsoptionengine.hpp +include/ql/experimental/credit/cdo.hpp +include/ql/experimental/credit/cdsoption.hpp +include/ql/experimental/credit/constantlosslatentmodel.hpp +include/ql/experimental/credit/correlationstructure.hpp +include/ql/experimental/credit/defaultevent.hpp +include/ql/experimental/credit/defaultlossmodel.hpp +include/ql/experimental/credit/defaultprobabilitykey.hpp +include/ql/experimental/credit/defaultprobabilitylatentmodel.hpp +include/ql/experimental/credit/defaulttype.hpp +include/ql/experimental/credit/distribution.hpp +include/ql/experimental/credit/factorspreadedhazardratecurve.hpp +include/ql/experimental/credit/gaussianlhplossmodel.hpp +include/ql/experimental/credit/homogeneouspooldef.hpp +include/ql/experimental/credit/inhomogeneouspooldef.hpp +include/ql/experimental/credit/integralcdoengine.hpp +include/ql/experimental/credit/integralntdengine.hpp +include/ql/experimental/credit/interpolatedaffinehazardratecurve.hpp +include/ql/experimental/credit/issuer.hpp +include/ql/experimental/credit/loss.hpp +include/ql/experimental/credit/lossdistribution.hpp +include/ql/experimental/credit/midpointcdoengine.hpp +include/ql/experimental/credit/nthtodefault.hpp +include/ql/experimental/credit/onefactoraffinesurvival.hpp +include/ql/experimental/credit/onefactorcopula.hpp +include/ql/experimental/credit/onefactorgaussiancopula.hpp +include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/pool.hpp +include/ql/experimental/credit/randomdefaultlatentmodel.hpp +include/ql/experimental/credit/randomdefaultmodel.hpp +include/ql/experimental/credit/randomlosslatentmodel.hpp +include/ql/experimental/credit/recoveryratemodel.hpp +include/ql/experimental/credit/recoveryratequote.hpp +include/ql/experimental/credit/recursivelossmodel.hpp +include/ql/experimental/credit/riskyassetswap.hpp +include/ql/experimental/credit/riskyassetswapoption.hpp +include/ql/experimental/credit/riskybond.hpp +include/ql/experimental/credit/saddlepointlossmodel.hpp +include/ql/experimental/credit/spotlosslatentmodel.hpp +include/ql/experimental/credit/spreadedhazardratecurve.hpp +include/ql/experimental/credit/syntheticcdo.hpp +include/ql/experimental/exoticoptions/all.hpp +include/ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp +include/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp +include/ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp +include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp +include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp +include/ql/experimental/exoticoptions/analyticsimplechooserengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp +include/ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp +include/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp +include/ql/experimental/exoticoptions/complexchooseroption.hpp +include/ql/experimental/exoticoptions/compoundoption.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp +include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp +include/ql/experimental/exoticoptions/everestoption.hpp +include/ql/experimental/exoticoptions/himalayaoption.hpp +include/ql/experimental/exoticoptions/holderextensibleoption.hpp +include/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp +include/ql/experimental/exoticoptions/margrabeoption.hpp +include/ql/experimental/exoticoptions/mceverestengine.hpp +include/ql/experimental/exoticoptions/mchimalayaengine.hpp +include/ql/experimental/exoticoptions/mcpagodaengine.hpp +include/ql/experimental/exoticoptions/pagodaoption.hpp +include/ql/experimental/exoticoptions/partialtimebarrieroption.hpp +include/ql/experimental/exoticoptions/simplechooseroption.hpp +include/ql/experimental/exoticoptions/spreadoption.hpp +include/ql/experimental/exoticoptions/twoassetbarrieroption.hpp +include/ql/experimental/exoticoptions/twoassetcorrelationoption.hpp +include/ql/experimental/exoticoptions/writerextensibleoption.hpp +include/ql/experimental/finitedifferences/all.hpp +include/ql/experimental/finitedifferences/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 +include/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp +include/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp +include/ql/experimental/finitedifferences/fdmextoujumpop.hpp +include/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdmhestonfwdop.hpp +include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp +include/ql/experimental/finitedifferences/fdmklugeextouop.hpp +include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp +include/ql/experimental/finitedifferences/fdmlocalvolfwdop.hpp +include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp +include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp +include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp +include/ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp +include/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepcondition.hpp +include/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp +include/ql/experimental/finitedifferences/fdmzabrop.hpp +include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp +include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp +include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp +include/ql/experimental/finitedifferences/gbsmrndcalculator.hpp +include/ql/experimental/finitedifferences/glued1dmesher.hpp +include/ql/experimental/finitedifferences/hestonrndcalculator.hpp +include/ql/experimental/finitedifferences/localvolrndcalculator.hpp +include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp +include/ql/experimental/finitedifferences/riskneutraldensitycalculator.hpp +include/ql/experimental/finitedifferences/squarerootprocessrndcalculator.hpp +include/ql/experimental/finitedifferences/vanillavppoption.hpp +include/ql/experimental/fx/all.hpp +include/ql/experimental/fx/blackdeltacalculator.hpp +include/ql/experimental/fx/deltavolquote.hpp +include/ql/experimental/inflation/all.hpp +include/ql/experimental/inflation/cpicapfloorengines.hpp +include/ql/experimental/inflation/cpicapfloortermpricesurface.hpp +include/ql/experimental/inflation/genericindexes.hpp +include/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp +include/ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp +include/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp +include/ql/experimental/inflation/polynomial2Dspline.hpp +include/ql/experimental/inflation/yoycapfloortermpricesurface.hpp +include/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp +include/ql/experimental/inflation/yoyoptionlethelpers.hpp +include/ql/experimental/inflation/yoyoptionletstripper.hpp +include/ql/experimental/lattices/all.hpp +include/ql/experimental/lattices/extendedbinomialtree.hpp +include/ql/experimental/math/all.hpp +include/ql/experimental/math/claytoncopularng.hpp +include/ql/experimental/math/convolvedstudentt.hpp +include/ql/experimental/math/expm.hpp +include/ql/experimental/math/farliegumbelmorgensterncopularng.hpp +include/ql/experimental/math/fireflyalgorithm.hpp +include/ql/experimental/math/frankcopularng.hpp +include/ql/experimental/math/gaussiancopulapolicy.hpp +include/ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp +include/ql/experimental/math/hybridsimulatedannealing.hpp +include/ql/experimental/math/hybridsimulatedannealingfunctors.hpp +include/ql/experimental/math/isotropicrandomwalk.hpp +include/ql/experimental/math/laplaceinterpolation.hpp +include/ql/experimental/math/latentmodel.hpp +include/ql/experimental/math/levyflightdistribution.hpp +include/ql/experimental/math/moorepenroseinverse.hpp +include/ql/experimental/math/multidimintegrator.hpp +include/ql/experimental/math/multidimquadrature.hpp +include/ql/experimental/math/numericaldifferentiation.hpp +include/ql/experimental/math/particleswarmoptimization.hpp +include/ql/experimental/math/piecewisefunction.hpp +include/ql/experimental/math/piecewiseintegral.hpp +include/ql/experimental/math/polarstudenttrng.hpp +include/ql/experimental/math/tcopulapolicy.hpp +include/ql/experimental/math/zigguratrng.hpp +include/ql/experimental/mcbasket/adaptedpathpayoff.hpp +include/ql/experimental/mcbasket/all.hpp +include/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp +include/ql/experimental/mcbasket/mcamericanpathengine.hpp +include/ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp +include/ql/experimental/mcbasket/mcpathbasketengine.hpp +include/ql/experimental/mcbasket/pathmultiassetoption.hpp +include/ql/experimental/mcbasket/pathpayoff.hpp +include/ql/experimental/models/all.hpp +include/ql/experimental/models/hestonslvfdmmodel.hpp +include/ql/experimental/models/hestonslvmcmodel.hpp +include/ql/experimental/models/normalclvmodel.hpp +include/ql/experimental/models/squarerootclvmodel.hpp +include/ql/experimental/processes/all.hpp +include/ql/experimental/processes/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 +include/ql/experimental/processes/vegastressedblackscholesprocess.hpp +include/ql/experimental/risk/all.hpp +include/ql/experimental/risk/creditriskplus.hpp +include/ql/experimental/risk/sensitivityanalysis.hpp +include/ql/experimental/shortrate/all.hpp +include/ql/experimental/shortrate/generalizedhullwhite.hpp +include/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp +include/ql/experimental/swaptions/all.hpp +include/ql/experimental/swaptions/haganirregularswaptionengine.hpp +include/ql/experimental/swaptions/irregularswap.hpp +include/ql/experimental/swaptions/irregularswaption.hpp +include/ql/experimental/termstructures/all.hpp +include/ql/experimental/termstructures/multicurvesensitivities.hpp +include/ql/experimental/variancegamma/all.hpp +include/ql/experimental/variancegamma/analyticvariancegammaengine.hpp +include/ql/experimental/variancegamma/fftengine.hpp +include/ql/experimental/variancegamma/fftvanillaengine.hpp +include/ql/experimental/variancegamma/fftvariancegammaengine.hpp +include/ql/experimental/variancegamma/variancegammamodel.hpp +include/ql/experimental/variancegamma/variancegammaprocess.hpp +include/ql/experimental/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/blackatmvolcurve.hpp +include/ql/experimental/volatility/blackvolsurface.hpp +include/ql/experimental/volatility/equityfxvolsurface.hpp +include/ql/experimental/volatility/extendedblackvariancecurve.hpp +include/ql/experimental/volatility/extendedblackvariancesurface.hpp +include/ql/experimental/volatility/interestratevolsurface.hpp +include/ql/experimental/volatility/noarbsabr.hpp +include/ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp +include/ql/experimental/volatility/noarbsabrinterpolation.hpp +include/ql/experimental/volatility/noarbsabrsmilesection.hpp +include/ql/experimental/volatility/sabrvolsurface.hpp +include/ql/experimental/volatility/sabrvoltermstructure.hpp +include/ql/experimental/volatility/sviinterpolatedsmilesection.hpp 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+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 +include/ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp +include/ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp +include/ql/termstructures/volatility/swaption/swaptionconstantvol.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp +include/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp +include/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp +include/ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp +include/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp +include/ql/termstructures/volatility/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 +include/ql/termstructures/yield/compositezeroyieldstructure.hpp +include/ql/termstructures/yield/discountcurve.hpp +include/ql/termstructures/yield/drifttermstructure.hpp +include/ql/termstructures/yield/fittedbonddiscountcurve.hpp +include/ql/termstructures/yield/flatforward.hpp +include/ql/termstructures/yield/forwardcurve.hpp +include/ql/termstructures/yield/forwardspreadedtermstructure.hpp +include/ql/termstructures/yield/forwardstructure.hpp +include/ql/termstructures/yield/impliedtermstructure.hpp +include/ql/termstructures/yield/nonlinearfittingmethods.hpp +include/ql/termstructures/yield/oisratehelper.hpp +include/ql/termstructures/yield/piecewiseyieldcurve.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/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 +include/ql/time/calendars/bespokecalendar.hpp +include/ql/time/calendars/botswana.hpp +include/ql/time/calendars/brazil.hpp +include/ql/time/calendars/canada.hpp +include/ql/time/calendars/china.hpp +include/ql/time/calendars/czechrepublic.hpp +include/ql/time/calendars/denmark.hpp +include/ql/time/calendars/finland.hpp +include/ql/time/calendars/germany.hpp +include/ql/time/calendars/hongkong.hpp +include/ql/time/calendars/hungary.hpp +include/ql/time/calendars/iceland.hpp +include/ql/time/calendars/india.hpp +include/ql/time/calendars/indonesia.hpp +include/ql/time/calendars/israel.hpp +include/ql/time/calendars/italy.hpp +include/ql/time/calendars/japan.hpp +include/ql/time/calendars/jointcalendar.hpp +include/ql/time/calendars/mexico.hpp +include/ql/time/calendars/newzealand.hpp +include/ql/time/calendars/norway.hpp +include/ql/time/calendars/nullcalendar.hpp +include/ql/time/calendars/poland.hpp +include/ql/time/calendars/romania.hpp +include/ql/time/calendars/russia.hpp +include/ql/time/calendars/saudiarabia.hpp +include/ql/time/calendars/singapore.hpp +include/ql/time/calendars/slovakia.hpp +include/ql/time/calendars/southafrica.hpp +include/ql/time/calendars/southkorea.hpp +include/ql/time/calendars/sweden.hpp +include/ql/time/calendars/switzerland.hpp +include/ql/time/calendars/taiwan.hpp +include/ql/time/calendars/target.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/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/ecb.hpp +include/ql/time/frequency.hpp +include/ql/time/imm.hpp +include/ql/time/period.hpp +include/ql/time/schedule.hpp +include/ql/time/timeunit.hpp +include/ql/time/weekday.hpp +include/ql/timegrid.hpp +include/ql/timeseries.hpp +include/ql/types.hpp +include/ql/userconfig.hpp +include/ql/utilities/all.hpp +include/ql/utilities/clone.hpp +include/ql/utilities/dataformatters.hpp +include/ql/utilities/dataparsers.hpp +include/ql/utilities/disposable.hpp +include/ql/utilities/null.hpp +include/ql/utilities/null_deleter.hpp +include/ql/utilities/observablevalue.hpp +include/ql/utilities/steppingiterator.hpp +include/ql/utilities/tracing.hpp +include/ql/utilities/vectors.hpp +include/ql/version.hpp +include/ql/volatilitymodel.hpp +lib/libQuantLib.so +lib/libQuantLib.so.1 +lib/libQuantLib.so.${PKGVERSION} diff --git a/finance/QuantLib/buildlink3.mk b/finance/QuantLib/buildlink3.mk new file mode 100644 index 00000000000..ebf3654e3c6 --- /dev/null +++ b/finance/QuantLib/buildlink3.mk @@ -0,0 +1,14 @@ +# $NetBSD: buildlink3.mk,v 1.1 2018/05/14 00:06:44 minskim Exp $ + +BUILDLINK_TREE+= QuantLib + +.if !defined(QUANTLIB_BUILDLINK3_MK) +QUANTLIB_BUILDLINK3_MK:= + +BUILDLINK_API_DEPENDS.QuantLib+= QuantLib>=1.12.1 +BUILDLINK_PKGSRCDIR.QuantLib?= ../../finance/QuantLib + +.include "../../devel/boost-headers/buildlink3.mk" +.endif # QUANTLIB_BUILDLINK3_MK + +BUILDLINK_TREE+= -QuantLib diff --git a/finance/QuantLib/distinfo b/finance/QuantLib/distinfo new file mode 100644 index 00000000000..3fa4578c0b7 --- /dev/null +++ b/finance/QuantLib/distinfo @@ -0,0 +1,8 @@ +$NetBSD: distinfo,v 1.1 2018/05/14 00:06:44 minskim Exp $ + +SHA1 (QuantLib-1.12.1.tar.gz) = 6f3d140cbcd5c6f646202e27952c2e182831eccf +RMD160 (QuantLib-1.12.1.tar.gz) = aab4f527ab82fd959cb760934eb41257abaa2079 +SHA512 (QuantLib-1.12.1.tar.gz) = d30341bd53495ddf1b81a0a191659e48869e1feb4a0fda2205be7fb681eb206ba0aec88e87b31396795956c350589b301848fe0a2408592b90ff06173c20476b +Size (QuantLib-1.12.1.tar.gz) = 7784161 bytes +SHA1 (patch-CMakeLists.txt) = 75ba9b70a3c77996363b451554e6c30644710a07 +SHA1 (patch-ql_CMakeLists.txt) = 8c97fc4304ee9fb529b03e8351edca6d8eb2e405 diff --git a/finance/QuantLib/patches/patch-CMakeLists.txt b/finance/QuantLib/patches/patch-CMakeLists.txt new file mode 100644 index 00000000000..b37b135df25 --- /dev/null +++ b/finance/QuantLib/patches/patch-CMakeLists.txt @@ -0,0 +1,15 @@ +$NetBSD: patch-CMakeLists.txt,v 1.1 2018/05/14 00:06:44 minskim Exp $ + +Derive the library version from PKGVERSION. + +--- CMakeLists.txt.orig 2018-04-16 07:26:17.000000000 +0000 ++++ CMakeLists.txt +@@ -1,6 +1,6 @@ +-cmake_minimum_required() ++cmake_minimum_required(VERSION 3.0) + +-project(QuantLib) ++project(QuantLib VERSION @PKGVERSION@) + + include(${CMAKE_CURRENT_LIST_DIR}/cmake/quantlib.cmake) + diff --git a/finance/QuantLib/patches/patch-ql_CMakeLists.txt b/finance/QuantLib/patches/patch-ql_CMakeLists.txt new file mode 100644 index 00000000000..3e617560f6f --- /dev/null +++ b/finance/QuantLib/patches/patch-ql_CMakeLists.txt @@ -0,0 +1,23 @@ +$NetBSD: patch-ql_CMakeLists.txt,v 1.1 2018/05/14 00:06:44 minskim Exp $ + +- Set the shared library version. +- Prevent the build directory itself from being copied to DESTINATION. + +--- ql/CMakeLists.txt.orig 2018-04-16 07:26:17.000000000 +0000 ++++ ql/CMakeLists.txt +@@ -13,11 +13,14 @@ if(WIN32) + else() + add_library(${QL_OUTPUT_NAME} ${QUANTLIB_FILES}) + endif() ++set_target_properties(${QL_OUTPUT_NAME} PROPERTIES VERSION ${PROJECT_VERSION}) ++set_target_properties(${QL_OUTPUT_NAME} PROPERTIES SOVERSION ${PROJECT_VERSION_MAJOR}) + set(QL_LINK_LIBRARY ${QL_OUTPUT_NAME} PARENT_SCOPE) + + + install(DIRECTORY . DESTINATION include/ql +- FILES_MATCHING PATTERN "*.hpp" PATTERN "*.h") ++ FILES_MATCHING PATTERN "*.hpp" PATTERN "*.h" ++ PATTERN "CMakeFiles" EXCLUDE) + + install(TARGETS ${QL_OUTPUT_NAME} + ARCHIVE DESTINATION lib |