pax_global_header 0000666 0000000 0000000 00000000064 15170222225 0014510 g ustar 00root root 0000000 0000000 52 comment=099987f0ca2c11c505dc4348cdb9ce01a598e1e5
QuantLib-1.42.1/ 0000775 0000000 0000000 00000000000 15170222225 0013314 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/.appveyor.yml 0000664 0000000 0000000 00000000322 15170222225 0015757 0 ustar 00root root 0000000 0000000 image: Visual Studio 2017
platform: x64
configuration: Release
version: ci.{build}
before_build:
- COPY .ci\VS2017.props .\Build.props
build:
parallel: false
project: QuantLib.sln
verbosity: normal
QuantLib-1.42.1/.ci/ 0000775 0000000 0000000 00000000000 15170222225 0013765 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/.ci/Unity.props 0000664 0000000 0000000 00000000255 15170222225 0016164 0 ustar 00root root 0000000 0000000 true
QuantLib-1.42.1/.ci/VS2017.props 0000664 0000000 0000000 00000001471 15170222225 0015717 0 ustar 00root root 0000000 0000000
falseC:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)DisabledC:\Libraries\boost_1_69_0\lib64-msvc-14.1;%(AdditionalLibraryDirectories)
QuantLib-1.42.1/.ci/VS2019.alt.props 0000664 0000000 0000000 00000001356 15170222225 0016502 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.42.1/.ci/VS2019.props 0000664 0000000 0000000 00000001074 15170222225 0015720 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.42.1/.ci/VS2022.alt.props 0000664 0000000 0000000 00000001356 15170222225 0016474 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.42.1/.ci/VS2022.props 0000664 0000000 0000000 00000001074 15170222225 0015712 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.42.1/.ci/userconfig2019.alt.hpp 0000664 0000000 0000000 00000010270 15170222225 0017735 0 ustar 00root root 0000000 0000000 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2011 Ferdinando Ametrano
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.
*/
#ifndef quantlib_config_hpp
#define quantlib_config_hpp
/***************************************************************
User configuration section:
modify the following definitions to suit your preferences.
Do not modify this file if you are using a Linux/Unix system:
it will not be read by the compiler. The definitions below
will be provided by running ./configure instead.
****************************************************************/
/* Define this if error messages should include current function
information. */
#ifndef QL_ERROR_FUNCTIONS
# define QL_ERROR_FUNCTIONS
#endif
/* Define this if error messages should include file and line information. */
#ifndef QL_ERROR_LINES
# define QL_ERROR_LINES
#endif
/* Define this if tracing messages should be allowed (whether they are
actually emitted will depend on run-time settings.) */
#ifndef QL_ENABLE_TRACING
# define QL_ENABLE_TRACING
#endif
/* Define this if extra safety checks should be performed. This can degrade
performance. */
#ifndef QL_EXTRA_SAFETY_CHECKS
# define QL_EXTRA_SAFETY_CHECKS
#endif
/* Define this to use indexed coupons instead of par coupons in floating
legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
#ifndef QL_USE_INDEXED_COUPON
# define QL_USE_INDEXED_COUPON
#endif
/* Define this to have singletons return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread.
*/
#ifndef QL_ENABLE_SESSIONS
# define QL_ENABLE_SESSIONS
#endif
/* Define this to enable the thread-safe observer pattern. You should
enable it if you want to use QuantLib via the SWIG layer within
the JVM or .NET eco system or any environment with an
async garbage collector */
#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#endif
/* Define this to enable a date resolution down to microseconds and
allow for accurate intraday pricing. */
#ifndef QL_HIGH_RESOLUTION_DATE
# define QL_HIGH_RESOLUTION_DATE
#endif
/* Define this if you want to throw an exception when a notification
loop is detected. Enabling this option is recommended but might
cause existing code to throw. */
#ifndef QL_THROW_IN_CYCLES
# define QL_THROW_IN_CYCLES
#endif
/* Undefine this if you want lazy objects to forward all notifications
instead of just the first. Disabling this option is safer in some
cases but can be a lot slower. */
#ifndef QL_FASTER_LAZY_OBJECTS
//# define QL_FASTER_LAZY_OBJECTS
#endif
/* Define this to use std::any instead of boost::any. */
#ifndef QL_USE_STD_ANY
//# define QL_USE_STD_ANY
#endif
/* Define this to use std::optional instead of boost::optional. */
#ifndef QL_USE_STD_OPTIONAL
//# define QL_USE_STD_OPTIONAL
#endif
/* Define this to use standard smart pointers instead of Boost ones.
Note that std::shared_ptr does not check access and can
cause segmentation faults. */
#ifndef QL_USE_STD_SHARED_PTR
# define QL_USE_STD_SHARED_PTR
#endif
/* Define this to enable the implementation of Null as template functions. */
#ifndef QL_NULL_AS_FUNCTIONS
# define QL_NULL_AS_FUNCTIONS
#endif
/* Define this to enable the parallel unit test runner */
#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
//# define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
#endif
#endif
QuantLib-1.42.1/.ci/userconfig2022.alt.hpp 0000664 0000000 0000000 00000010270 15170222225 0017727 0 ustar 00root root 0000000 0000000 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2011 Ferdinando Ametrano
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.
*/
#ifndef quantlib_config_hpp
#define quantlib_config_hpp
/***************************************************************
User configuration section:
modify the following definitions to suit your preferences.
Do not modify this file if you are using a Linux/Unix system:
it will not be read by the compiler. The definitions below
will be provided by running ./configure instead.
****************************************************************/
/* Define this if error messages should include current function
information. */
#ifndef QL_ERROR_FUNCTIONS
# define QL_ERROR_FUNCTIONS
#endif
/* Define this if error messages should include file and line information. */
#ifndef QL_ERROR_LINES
# define QL_ERROR_LINES
#endif
/* Define this if tracing messages should be allowed (whether they are
actually emitted will depend on run-time settings.) */
#ifndef QL_ENABLE_TRACING
# define QL_ENABLE_TRACING
#endif
/* Define this if extra safety checks should be performed. This can degrade
performance. */
#ifndef QL_EXTRA_SAFETY_CHECKS
# define QL_EXTRA_SAFETY_CHECKS
#endif
/* Define this to use indexed coupons instead of par coupons in floating
legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
#ifndef QL_USE_INDEXED_COUPON
# define QL_USE_INDEXED_COUPON
#endif
/* Define this to have singletons return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread.
*/
#ifndef QL_ENABLE_SESSIONS
# define QL_ENABLE_SESSIONS
#endif
/* Define this to enable the thread-safe observer pattern. You should
enable it if you want to use QuantLib via the SWIG layer within
the JVM or .NET eco system or any environment with an
async garbage collector */
#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#endif
/* Define this to enable a date resolution down to microseconds and
allow for accurate intraday pricing. */
#ifndef QL_HIGH_RESOLUTION_DATE
# define QL_HIGH_RESOLUTION_DATE
#endif
/* Define this if you want to throw an exception when a notification
loop is detected. Enabling this option is recommended but might
cause existing code to throw. */
#ifndef QL_THROW_IN_CYCLES
# define QL_THROW_IN_CYCLES
#endif
/* Undefine this if you want lazy objects to forward all notifications
instead of just the first. Disabling this option is safer in some
cases but can be a lot slower. */
#ifndef QL_FASTER_LAZY_OBJECTS
//# define QL_FASTER_LAZY_OBJECTS
#endif
/* Define this to use std::any instead of boost::any. */
#ifndef QL_USE_STD_ANY
//# define QL_USE_STD_ANY
#endif
/* Define this to use std::optional instead of boost::optional. */
#ifndef QL_USE_STD_OPTIONAL
//# define QL_USE_STD_OPTIONAL
#endif
/* Define this to use standard smart pointers instead of Boost ones.
Note that std::shared_ptr does not check access and can
cause segmentation faults. */
#ifndef QL_USE_STD_SHARED_PTR
# define QL_USE_STD_SHARED_PTR
#endif
/* Define this to enable the implementation of Null as template functions. */
#ifndef QL_NULL_AS_FUNCTIONS
# define QL_NULL_AS_FUNCTIONS
#endif
/* Define this to enable the parallel unit test runner */
#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
//# define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
#endif
#endif
QuantLib-1.42.1/.clang-format 0000664 0000000 0000000 00000002143 15170222225 0015667 0 ustar 00root root 0000000 0000000 ---
Language: Cpp
Standard: c++17
# The following is close to the style we've been using all these years
# without formalizing it. Formatting won't be enforced, but this file
# can help if you want to use the general feel of the library.
# General appearance:
BasedOnStyle: LLVM
IndentWidth: 4
ColumnLimit: 100
NamespaceIndentation: All
MaxEmptyLinesToKeep: 2
FixNamespaceComments: false
# Function declarations:
BinPackParameters: false
AllowShortFunctionsOnASingleLine: Inline
AlwaysBreakTemplateDeclarations: true
# T& x, not T &x:
DerivePointerAlignment: false
PointerAlignment: Left
# QuantLib headers first, then Boost, then std
SortIncludes: true
IncludeBlocks: Merge
IncludeCategories:
- Regex: '^"'
Priority: 1
- Regex: '^
-*,
bugprone-*,
-bugprone-assignment-in-if-condition,
-bugprone-branch-clone,
-bugprone-crtp-constructor-accessibility,
-bugprone-easily-swappable-parameters,
-bugprone-empty-catch,
-bugprone-implicit-widening-of-multiplication-result,
-bugprone-macro-parentheses,
-bugprone-narrowing-conversions,
-bugprone-non-zero-enum-to-bool-conversion,
-bugprone-suspicious-include,
clang-analyzer-*,
-clang-analyzer-core.UndefinedBinaryOperatorResult,
-clang-analyzer-core.uninitialized.Assign,
-clang-analyzer-optin.cplusplus.UninitializedObject,
-clang-analyzer-optin.performance.Padding,
-clang-analyzer-security.FloatLoopCounter,
cppcoreguidelines-*,
-cppcoreguidelines-avoid-c-arrays,
-cppcoreguidelines-avoid-const-or-ref-data-members,
-cppcoreguidelines-avoid-do-while,
-cppcoreguidelines-avoid-goto,
-cppcoreguidelines-avoid-magic-numbers,
-cppcoreguidelines-avoid-non-const-global-variables,
-cppcoreguidelines-init-variables,
-cppcoreguidelines-macro-to-enum,
-cppcoreguidelines-macro-usage,
-cppcoreguidelines-narrowing-conversions,
-cppcoreguidelines-non-private-member-variables-in-classes,
-cppcoreguidelines-owning-memory,
-cppcoreguidelines-prefer-member-initializer,
-cppcoreguidelines-pro-bounds-array-to-pointer-decay,
-cppcoreguidelines-pro-bounds-constant-array-index,
-cppcoreguidelines-pro-bounds-pointer-arithmetic,
-cppcoreguidelines-pro-type-const-cast,
-cppcoreguidelines-pro-type-member-init,
-cppcoreguidelines-pro-type-vararg,
-cppcoreguidelines-use-default-member-init,
misc-*,
-misc-confusable-identifiers,
-misc-const-correctness,
-misc-include-cleaner,
-misc-no-recursion,
-misc-non-private-member-variables-in-classes,
-misc-use-anonymous-namespace,
-misc-use-internal-linkage,
-misc-unused-parameters,
modernize-*,
-modernize-avoid-c-arrays,
-modernize-macro-to-enum,
-modernize-return-braced-init-list,
-modernize-use-trailing-return-type,
-modernize-use-using,
-modernize-use-nodiscard,
performance-*,
-performance-avoid-endl,
-performance-enum-size,
readability-*,
-readability-avoid-nested-conditional-operator,
-readability-braces-around-statements,
-readability-const-return-type,
-readability-convert-member-functions-to-static,
-readability-else-after-return,
-readability-enum-initial-value,
-readability-function-cognitive-complexity,
-readability-identifier-length,
-readability-inconsistent-declaration-parameter-name,
-readability-isolate-declaration,
-readability-magic-numbers,
-readability-make-member-function-const,
-readability-math-missing-parentheses,
-readability-named-parameter,
-readability-redundant-casting,
-readability-redundant-declaration,
-readability-simplify-boolean-expr,
-readability-suspicious-call-argument,
-readability-use-anyofallof,
-readability-use-std-min-max,
HeaderFilterRegex: '.*'
FormatStyle: none
CheckOptions:
- key: cppcoreguidelines-special-member-functions.AllowSoleDefaultDtor
value: 1
- key: modernize-make-shared.MakeSmartPtrFunction
value: ext::make_shared
- key: modernize-make-shared.MakeSmartPtrFunctionHeader
value:
- key: modernize-use-default-member-init.UseAssignment
value: 1
...
QuantLib-1.42.1/.codecov.yml 0000664 0000000 0000000 00000001541 15170222225 0015540 0 ustar 00root root 0000000 0000000 coverage:
precision: 1
# We put red at 50 to have a chance at some non-red build.
# I would be happy with 80 right now, so that's where the target is.
range: 50...80
ignore:
- "test-suite"
- "Examples"
# The process to get a correct report is a bit fiddly.
# This worked in the past, and is added here for reference:
#
# - clone the repo and mount it in a recent quantlib-devenv image;
# - run the following:
#
# apt update && apt install -y lcov curl git
# mkdir build
# cd build
# CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov' cmake ..
# CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov' make -j 4
# ./test-suite/quantlib-test-suite --log_level=message
# bash <(curl -s https://codecov.io/bash) -t @cc_token
#
# where the file `cc_token` contains the Codecov upload token.
QuantLib-1.42.1/.github/ 0000775 0000000 0000000 00000000000 15170222225 0014654 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 15170222225 0020143 0 ustar 00root root 0000000 0000000
# Comment to be posted to welcome users when they open their first PR
firstPRWelcomeComment: >
Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it.
# Comment to be posted to congratulate user on their first merged PR
firstPRMergeComment: >
Congratulations on your first merged pull request!
# Comment to be posted to on first time issues
firstIssueWelcomeComment: >
Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.
QuantLib-1.42.1/.github/dependabot.yml 0000664 0000000 0000000 00000000261 15170222225 0017503 0 ustar 00root root 0000000 0000000 version: 2
updates:
- package-ecosystem: "github-actions"
directory: "/"
schedule:
# Check for updates to GitHub Actions every weekday
interval: "weekly"
QuantLib-1.42.1/.github/workflows/ 0000775 0000000 0000000 00000000000 15170222225 0016711 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/.github/workflows/cmake-latest-runners.yml 0000664 0000000 0000000 00000010446 15170222225 0023505 0 ustar 00root root 0000000 0000000 name: CMake build for the latest runners and C++ standards
on:
schedule:
# At 02:35 on Monday
- cron: '35 2 * * 1'
workflow_dispatch:
jobs:
cmake-build-and-test:
strategy:
fail-fast: false
matrix:
settings:
[
{ os: macos-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: gcc, cxx: g++ },
{ os: windows-latest, cc: cl, cxx: cl }
##### This is the full set of currently available runners and compilers. #####
# { os: macos-14, cc: clang, cxx: clang++ },
# { os: macos-15, cc: clang, cxx: clang++ },
#
# { os: ubuntu-22.04, cc: clang-13, cxx: clang++-13 },
# { os: ubuntu-22.04, cc: clang-14, cxx: clang++-14 },
# { os: ubuntu-22.04, cc: clang-15, cxx: clang++-15 },
#
# { os: ubuntu-22.04, cc: gcc-10, cxx: g++-10 },
# { os: ubuntu-22.04, cc: gcc-11, cxx: g++-11 },
# { os: ubuntu-22.04, cc: gcc-12, cxx: g++-12 },
#
# { os: ubuntu-24.04, cc: clang-16, cxx: clang++-16 },
# { os: ubuntu-24.04, cc: clang-17, cxx: clang++-17 },
# { os: ubuntu-24.04, cc: clang-18, cxx: clang++-18 },
#
# { os: ubuntu-24.04, cc: gcc-12, cxx: g++-12 },
# { os: ubuntu-24.04, cc: gcc-13, cxx: g++-13 },
# { os: ubuntu-24.04, cc: gcc-14, cxx: g++-14 },
#
# { os: windows-2022, cc: cl, cxx: cl },
# { os: windows-2025, cc: cl, cxx: cl }
]
cxx-standard: [ 17, 20, 23 ]
cmake-build-type: [ release ]
runs-on: ${{ matrix.settings.os }}
steps:
- uses: actions/checkout@v6
- name: Determine ccache variant
shell: bash
run: |
echo "CMAKE_CXX_COMPILER_LAUNCHER=${{ ( (runner.os == 'Windows') && 'sccache' ) || 'ccache' }}" >> $GITHUB_ENV
- name: Setup CCache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
restore-keys: |
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}
cmake-latest-${{ inputs.os }}
variant: ${{ env.CMAKE_CXX_COMPILER_LAUNCHER }}
- name: Setup Linux
if: runner.os == 'Linux'
shell: bash
run: |
sudo apt-get update
sudo apt-get install -y ccache ninja-build
eval "$(/home/linuxbrew/.linuxbrew/bin/brew shellenv)"
brew update
brew install boost
echo "/home/linuxbrew/.linuxbrew/bin:/home/linuxbrew/.linuxbrew/sbin" >> $GITHUB_PATH
- name: Setup macOS
if: runner.os == 'macOS'
shell: bash
run: |
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK=1 brew install ninja boost
echo "CXXFLAGS=-stdlib=libc++" >> $GITHUB_ENV
- name: Setup Windows
if: runner.os == 'Windows'
shell: pwsh
run: |
$BoostUri = "https://archives.boost.io/release/1.90.0/binaries/boost_1_90_0-msvc-14.3-64.exe"
Start-BitsTransfer -Source $BoostUri -Destination $env:RUNNER_TEMP\boost.exe
Start-Process -Wait -FilePath "$env:RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=$env:RUNNER_TEMP\boost"
choco install -y ninja
Write "Boost_DIR=$env:RUNNER_TEMP\boost\lib64-msvc-14.3\cmake\Boost-1.90.0" >> $env:GITHUB_ENV
- name: Set up Visual Studio shell on Windows
if: runner.os == 'Windows'
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Configure CMake and build
env:
CC: ${{ matrix.settings.cc }}
CXX: ${{ matrix.settings.cxx }}
run: |
cmake --version
cmake -B build -G Ninja -DCMAKE_BUILD_TYPE=${{ matrix.cmake-build-type }} -DCMAKE_CXX_STANDARD=${{ matrix.cxx-standard }} -DQL_COMPILE_WARNING_AS_ERROR=ON -L
cmake --build build --verbose
- name: Run the test-suite
run: |
./build/test-suite/quantlib-test-suite -l message
QuantLib-1.42.1/.github/workflows/cmake.yml 0000664 0000000 0000000 00000017301 15170222225 0020516 0 ustar 00root root 0000000 0000000 name: CMake build
on:
push:
branches:
- '**'
pull_request:
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-build-${{ github.ref }}
restore-keys: |
cmake-linux-ci-build-${{ github.ref }}
cmake-linux-ci-build-refs/heads/master
cmake-linux-ci-build-
- name: Compile
run: |
mkdir build
cd build
cmake .. -GNinja -DBOOST_ROOT=/usr -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -L
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
- name: Run benchmark
run: |
quantlib-benchmark --size=1
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-all-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-opts-${{ github.ref }}
restore-keys: |
cmake-linux-ci-opts-${{ github.ref }}
cmake-linux-ci-opts-refs/heads/master
cmake-linux-ci-opts-
- name: Compile
run: |
cmake --preset linux-ci-build-with-nonstandard-options -L
cd build/linux-ci-build-with-nonstandard-options
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --build . --target install
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-win:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-build-${{ github.ref }}
restore-keys: |
cmake-windows-ci-build-${{ github.ref }}
cmake-windows-ci-build-refs/heads/master
cmake-windows-ci-build-
variant: sccache
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ github.ref }}
restore-keys: |
cmake-windows-ci-dyn-build-${{ github.ref }}
cmake-windows-ci-dyn-build-refs/heads/master
cmake-windows-ci-dyn-build-
variant: sccache
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ github.ref }}
restore-keys: |
cmake-windows-ci-opts-${{ github.ref }}
cmake-windows-ci-opts-refs/heads/master
cmake-windows-ci-opts-
variant: sccache
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
type ql\config.hpp
cmake --build . --verbose
cmake --build . --target install
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ github.ref }}
restore-keys: |
cmake-macos-ci-${{ github.ref }}
cmake-macos-ci-refs/heads/master
cmake-macos-ci-
- name: Compile
run: |
mkdir build
cd build
cmake .. -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -GNinja -L
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
- name: Test
run: |
DYLD_LIBRARY_PATH=/usr/local/lib quantlib-test-suite --log_level=message
QuantLib-1.42.1/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002716 15170222225 0022532 0 ustar 00root root 0000000 0000000 # For most projects, this workflow file will not need changing; you simply need
# to commit it to your repository.
#
# You may wish to alter this file to override the set of languages analyzed,
# or to provide custom queries or build logic.
name: "CodeQL"
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
analyze:
name: CodeQL analysis
runs-on: ubuntu-latest
steps:
- name: Checkout repository
uses: actions/checkout@v6
# Initializes the CodeQL tools for scanning.
- name: Initialize CodeQL
uses: github/codeql-action/init@v4
with:
languages: cpp
# Set up build environment
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
# Autobuild attempts to build any compiled languages (C/C++, C#, or Java).
# If this step fails, then you should remove it and run the build manually (see below)
- name: Autobuild
uses: github/codeql-action/autobuild@v4
# ℹ️ Command-line programs to run using the OS shell.
# 📚 https://git.io/JvXDl
# ✏️ If the Autobuild fails above, remove it and uncomment the following three lines
# and modify them (or add more) to build your code if your project
# uses a compiled language
#- run: |
# make bootstrap
# make release
- name: Perform CodeQL Analysis
uses: github/codeql-action/analyze@v4
QuantLib-1.42.1/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001166 15170222225 0021633 0 ustar 00root root 0000000 0000000 name: Update copyright list
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-copyrights:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-copyright-list-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update copyright list in license'
title: 'Update copyright list in license'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002600 15170222225 0021424 0 ustar 00root root 0000000 0000000 name: Coverage report
on:
push:
branches:
- master
pull_request:
workflow_dispatch:
jobs:
coverage:
runs-on: ubuntu-22.04
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y lcov libboost-dev
- name: Compile
run: |
./autogen.sh
./configure --disable-shared CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov'
make -j 4
- name: Capture baseline
run: |
mkdir -p coverage tmp
lcov --no-external --capture --initial --directory . --output-file ./tmp/lcov_base.info
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
- name: Capture coverage
run: |
lcov --no-external --capture --directory . --output-file ./tmp/lcov_run.info
lcov --add-tracefile ./tmp/lcov_base.info --add-tracefile ./tmp/lcov_run.info --output-file ./tmp/lcov_total.info
lcov --remove ./tmp/lcov_total.info "$PWD/Examples/*" "$PWD/test-suite/*" --output-file ./coverage/lcov.info
- name: Upload coverage to Coveralls
uses: coverallsapp/github-action@v2
with:
github-token: ${{ secrets.GITHUB_TOKEN }}
file: ./coverage/lcov.info
QuantLib-1.42.1/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003276 15170222225 0022176 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: questing
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [plucky, questing, resolute]
steps:
- uses: actions/checkout@v6
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ matrix.tag }} \
--build-arg boost_version=${{ github.event.inputs.boostVersion }} \
--build-arg boost_dir=boost_$(echo "${{ github.event.inputs.boostVersion }}" | sed "s/\./_/g") \
-t ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} .
docker tag ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}-${{ github.event.inputs.boostVersion }}
if test "${{ matrix.tag }}" = "$ROLLING" ; then
docker tag ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} ghcr.io/lballabio/quantlib-devenv:rolling
fi
- name: Login to GitHub Container Registry
uses: docker/login-action@v4
with:
registry: ghcr.io
username: ${{ github.repository_owner }}
password: ${{ secrets.GHCR_PAT }}
- name: Push Docker images
run: |
docker push ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}-${{ github.event.inputs.boostVersion }}
docker push ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
if test "${{ matrix.tag }}" = "$ROLLING" ; then
docker push ghcr.io/lballabio/quantlib-devenv:rolling
fi
QuantLib-1.42.1/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001260 15170222225 0021110 0 ustar 00root root 0000000 0000000 name: Check doc generation
on:
push:
branches:
- '**'
pull_request:
jobs:
docs:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost doxygen graphviz
./autogen.sh
./configure --with-boost-include=$(brew --prefix)/include
- name: Doxygen version
run: |
doxygen --version
- name: Check
run: |
make docs
header-docs:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.42.1/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000750 15170222225 0021434 0 ustar 00root root 0000000 0000000 name: Check CMake file list and VC++ projects
on:
push:
branches:
- '**'
pull_request:
jobs:
filelists:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Check
run: |
./tools/check_filelists.sh
QuantLib-1.42.1/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001723 15170222225 0023006 0 ustar 00root root 0000000 0000000 name: Update generated headers
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
generate-headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Update headers
run: |
find ql -name *.am | xargs touch
make dist
rm QuantLib-*.tar.gz
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-generated-headers-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update generated headers'
title: 'Update generated headers'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/headers.yml 0000664 0000000 0000000 00000001264 15170222225 0021052 0 ustar 00root root 0000000 0000000 name: Compile single headers
on:
push:
branches:
- '**'
pull_request:
jobs:
headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: single-headers-${{ github.ref }}
restore-keys: |
single-headers-${{ github.ref }}
single-headers-refs/heads/master
single-headers-
- name: Check
env:
CXX: ccache g++
run: |
./tools/check_all_headers.sh
QuantLib-1.42.1/.github/workflows/includes.yml 0000664 0000000 0000000 00000001454 15170222225 0021246 0 ustar 00root root 0000000 0000000 name: Fix inclusions of ql headers in double quotes
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-includes:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
shopt -s globstar
sed -i -E -e 's|#include *"(ql/.*\.hpp)"|#include <\1>|g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-include-in-quotes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix inclusions of ql headers in double quotes'
title: 'Fix inclusions of ql headers in double quotes'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/increase-version-number.yml 0000664 0000000 0000000 00000003620 15170222225 0024177 0 ustar 00root root 0000000 0000000 name: Increase version number
on:
workflow_dispatch:
jobs:
increase-version:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LATEST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}-dev],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}-dev\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}0000/g" ql/version.hpp
sed -i -e "s/^set(QUANTLIB_VERSION_MINOR .*$/set(QUANTLIB_VERSION_MINOR ${NEXT_MINOR})/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}-dev\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}0000\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}-dev"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: set-to-rc-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }}-dev'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/license-url.yml 0000664 0000000 0000000 00000001364 15170222225 0021662 0 ustar 00root root 0000000 0000000 name: Update old license links
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
license-urls:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
shopt -s globstar
sed -i -e 's|http://quantlib\.org/license\.shtml|https://www.quantlib.org/license.shtml|g' **/*.[hc]pp **/*.ac **/*.docs **/*.cfg **/*.sh **/*.el
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-license-links-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update old license links'
title: 'Update old license links'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015614 15170222225 0022702 0 ustar 00root root 0000000 0000000 name: Linux build with full test matrix
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 17 (Boost 1.84)"
shortname: clang17
tag: clang-17
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v6
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
cat ql/config.hpp
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
- name: Check global header
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.42.1/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000013311 15170222225 0022727 0 ustar 00root root 0000000 0000000 name: Linux build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v6
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CPPFLAGS="-Wall -Wno-unknown-pragmas -Wno-array-bounds -Werror" CXXFLAGS="-O2 -g0 ${{ matrix.cxxflags }}"
cat ql/config.hpp
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
- name: Check global header
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.42.1/.github/workflows/linux.yml 0000664 0000000 0000000 00000013076 15170222225 0020602 0 ustar 00root root 0000000 0000000 name: Linux build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
tests: true
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
tests: true
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
tests: true
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
tests: true
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
tests: true
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
tests: true
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
tests: true
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
tests: true
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
tests: true
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
tests: true
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
tests: true
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
tests: true
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
tests: true
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
restore-keys: |
linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
linux-ci-build-${{ matrix.shortname }}-refs/heads/master
linux-ci-build-${{ matrix.shortname }}-
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static ${{ matrix.configureflags }} CC="ccache ${{ matrix.cc }}" CXX="ccache ${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
cat ql/config.hpp
make -j 4
- name: Run tests
if: ${{ matrix.tests }}
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
if: ${{ matrix.tests }}
run: |
make check-examples
- name: Check global header
if: ${{ matrix.tests }}
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.42.1/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000002534 15170222225 0022677 0 ustar 00root root 0000000 0000000 name: Mac OS build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-14, macos-15]
classes: [boost, std]
include:
- classes: std
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared --with-boost-include=`brew --prefix`/include --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="clang" CXX="clang++" CXXFLAGS="-O2 -g0 -Wall -Werror"
cat ql/config.hpp
make -j 3
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
QuantLib-1.42.1/.github/workflows/macos.yml 0000664 0000000 0000000 00000002325 15170222225 0020540 0 ustar 00root root 0000000 0000000 name: Mac OS build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-14, macos-15]
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ matrix.os }}-${{ github.ref }}
restore-keys: |
macos-ci-build-${{ matrix.os }}-${{ github.ref }}
macos-ci-build-${{ matrix.os }}-refs/heads/master
macos-ci-build-${{ matrix.os }}-
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared --with-boost-include=`brew --prefix`/include ${{ matrix.configureflags }} CC="ccache clang" CXX="ccache clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
make -j 3
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
QuantLib-1.42.1/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001202 15170222225 0021257 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: misspell-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fixes by misspell-fixer'
title: 'Typos fixed by misspell-fixer'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/msvc-all-configs.yml 0000664 0000000 0000000 00000004030 15170222225 0022575 0 ustar 00root root 0000000 0000000 name: Windows build with all configurations
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
platform: [x64, Win32]
configuration: ['Release', 'Debug', 'Release (static runtime)', 'Debug (static runtime)']
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration="${{ matrix.configuration }}" /property:Platform=${{ matrix.platform }} /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
if: ${{ contains(matrix.configuration, 'Release') }}
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
if: ${{ contains(matrix.configuration, 'Release') }}
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.42.1/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003052 15170222225 0022225 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v6
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_0" -NewName "boost"
- name: Configure CMake
env:
BOOST_ROOT: C:\local\boost
run: cmake -B ${{ env.build }} -DQL_USE_STD_CLASSES=ON
- name: Run MSVC Code Analysis
uses: microsoft/msvc-code-analysis-action@v0.1.1
# Provide a unique ID to access the sarif output path
id: run-analysis
env:
CAExcludePath: C:\local\boost
with:
cmakeBuildDirectory: ${{ env.build }}
buildConfiguration: Release
ruleset: '${{ github.workspace }}/.msvc-analysis.ruleset'
- name: Upload SARIF to GitHub
uses: github/codeql-action/upload-sarif@v4
with:
sarif_file: ${{ steps.run-analysis.outputs.sarif }}
- name: Upload SARIF as an Artifact
uses: actions/upload-artifact@v7
with:
name: sarif-file
path: ${{ steps.run-analysis.outputs.sarif }}
QuantLib-1.42.1/.github/workflows/msvc-nondefault.yml 0000664 0000000 0000000 00000003604 15170222225 0022544 0 ustar 00root root 0000000 0000000 name: Windows build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
platform: [x64, Win32]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.alt.props .\Build.props
COPY .ci\userconfig${{ matrix.vsversion }}.alt.hpp .\ql\userconfig.hpp
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=${{ matrix.platform }} /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.42.1/.github/workflows/msvc.yml 0000664 0000000 0000000 00000003332 15170222225 0020405 0 ustar 00root root 0000000 0000000 name: Windows build
on:
push:
branches:
- '**'
pull_request:
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=x64 /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.42.1/.github/workflows/namespaces.yml 0000664 0000000 0000000 00000002353 15170222225 0021556 0 ustar 00root root 0000000 0000000 name: Fix deprecated uses of ext namespace
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
shopt -s globstar
sed -i -e 's/ext::function\b/std::function/g' **/*.[hc]pp
sed -i -e 's/ext::bind\b/std::bind/g' **/*.[hc]pp
sed -i -e 's/ext::ref\b/std::ref/g' **/*.[hc]pp
sed -i -e 's/ext::cref\b/std::cref/g' **/*.[hc]pp
sed -i -e 's/ext::placeholders\b/std::placeholders/g' **/*.[hc]pp
sed -i -e 's/ext::tuple\b/std::tuple/g' **/*.[hc]pp
sed -i -e 's/ext::make_tuple\b/std::make_tuple/g' **/*.[hc]pp
sed -i -e 's/ext::get\b/std::get/g' **/*.[hc]pp
sed -i -e 's/ext::tie\b/std::tie/g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-ext-namespace-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix deprecated uses of ext namespace'
title: 'Fix deprecated uses of ext namespace'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/prepare-patch-release.yml 0000664 0000000 0000000 00000004271 15170222225 0023611 0 ustar 00root root 0000000 0000000 name: Prepare patch release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LAST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_PATCH=" $3 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${LAST_MINOR}.${NEXT_PATCH}],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${LAST_MINOR}.${NEXT_PATCH}\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${LAST_MINOR}0${NEXT_PATCH}f0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${LAST_MINOR}.${NEXT_PATCH}\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${LAST_MINOR}0${NEXT_PATCH}f0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${LAST_MINOR}.${NEXT_PATCH}"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-version-for-release-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.LAST_MINOR }}.${{ env.NEXT_PATCH }} final'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/prepare-release-candidate.yml 0000664 0000000 0000000 00000003754 15170222225 0024433 0 ustar 00root root 0000000 0000000 name: Prepare release candidate
on:
workflow_dispatch:
jobs:
update-for-rc:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}-rc],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}-rc\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}00c0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}-rc\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}00c0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}-rc"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: set-to-rc-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }}-rc'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/prepare-release.yml 0000664 0000000 0000000 00000003757 15170222225 0022524 0 ustar 00root root 0000000 0000000 name: Prepare release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}00f0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}00f0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-version-for-release-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }} final'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/publish-release-candidate.yml 0000664 0000000 0000000 00000002171 15170222225 0024433 0 ustar 00root root 0000000 0000000 name: Publish release candidate
on:
push:
tags:
- 'v1.*-rc'
permissions:
contents: write
packages: write
jobs:
publish-rc:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev tofrodos
./autogen.sh
./configure
- name: Make tarballs
run: |
mkdir tarballs
make dist
mv QuantLib-*.tar.gz tarballs
cd tarballs && ../tools/tgz2zip *.tar.gz && ls -lh
- name: Extract version
run: |
echo ${{ github.ref_name }} | awk -F '[v-]' '{ print "VERSION_NUMBER=" $2 }' | tee -a $GITHUB_ENV
- name: Create prerelease
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release create ${{ github.ref_name }} \
--title "${VERSION_NUMBER} release candidate" \
--prerelease \
--notes "This is a release candidate. Please try it out and report any issues here on GitHub." --generate-notes \
tarballs/*.tar.gz tarballs/*.zip
QuantLib-1.42.1/.github/workflows/publish-release.yml 0000664 0000000 0000000 00000006510 15170222225 0022522 0 ustar 00root root 0000000 0000000 name: Draft new release
on:
push:
tags:
- 'v1.[0-9]+'
- 'v1.[0-9]+.[0-9]+'
permissions:
contents: write
packages: write
jobs:
draft-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev tofrodos
./autogen.sh
./configure
- name: Make tarballs
run: |
mkdir tarballs
make dist
mv QuantLib-*.tar.gz tarballs
cd tarballs && ../tools/tgz2zip *.tar.gz && ls -lh
- name: Extract version
run: |
echo ${{ github.ref_name }} | awk -F '[v-]' '{ print "VERSION_NUMBER=" $2 }' | tee -a $GITHUB_ENV
- name: Prepare release notes
run: |
echo "Downloads:" >> tarballs/notes.txt
echo "==========" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.tar.gz](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.tar.gz)" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.zip](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.zip)" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
awk '/Full list of pull requests/{ exit } { print }' News.md >> tarballs/notes.txt
- name: Remove prerelease
continue-on-error: true
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release delete ${{ github.ref_name }}-rc --cleanup-tag --yes
- name: Create draft release
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release create ${{ github.ref_name }} \
--title "${VERSION_NUMBER}" \
--draft \
--notes-file tarballs/notes.txt \
--generate-notes \
tarballs/*.tar.gz tarballs/*.zip
reference-manual:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost doxygen graphviz
- name: Doxygen version
run: |
doxygen --version
- name: Generate docs
run: |
./autogen.sh
./configure --with-boost-include=$(brew --prefix)/include
make docs
- uses: actions/checkout@v6
with:
repository: quantlib/quantlib.github.io
path: site
- name: Update docs
working-directory: site
run: |
rm -rf reference
mv ../Docs/html reference
git add reference
cp ../LICENSE.TXT _includes/LICENSE.TXT
- uses: peter-evans/create-pull-request@v8
with:
path: site
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/quantlib.github.io
branch: reference-docs-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update reference docs for ${{ github.ref_name }}'
title: 'Update reference docs for ${{ github.ref_name }}'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
body: |
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action.
QuantLib-1.42.1/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 15170222225 0021454 0 ustar 00root root 0000000 0000000 name: Linux build with address sanitizer enabled
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
sanitize-address-undefined:
runs-on: ubuntu-latest
container: ghcr.io/lballabio/quantlib-devenv:rolling
steps:
- uses: actions/checkout@v6
- name: Compiler version
run: |
gcc --version
- name: Build
run: |
./autogen.sh
./configure --disable-static CC="gcc" CXX="g++" CXXFLAGS="-O2 -g0 -fsanitize=address,undefined -fno-sanitize-recover=all -fno-omit-frame-pointer -Wall -Wno-unknown-pragmas -Werror"
make -j 4
- name: Run tests
run: |
LSAN_OPTIONS=suppressions=.lsan.txt ./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
sanitize-thread:
runs-on: ubuntu-latest
container: ghcr.io/lballabio/quantlib-devenv:rolling
steps:
- uses: actions/checkout@v6
- name: Compiler version
run: |
gcc --version
- name: Build
run: |
./autogen.sh
./configure --disable-static --enable-sessions --enable-thread-safe-observer-pattern CC="gcc" CXX="g++" CXXFLAGS="-O2 -g0 -fsanitize=thread -fno-sanitize-recover=all -Wall -Wno-unknown-pragmas -Werror"
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
QuantLib-1.42.1/.github/workflows/stale.yml 0000664 0000000 0000000 00000002224 15170222225 0020544 0 ustar 00root root 0000000 0000000 name: Close stale issues and PR
on:
schedule:
- cron: '30 1 * * *'
jobs:
staleness-check:
runs-on: ubuntu-latest
steps:
- uses: actions/stale@v10
with:
repo-token: ${{ secrets.GITHUB_TOKEN }}
stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-issue-message: 'This issue was automatically closed because it has been stalled for two weeks with no further activity.'
stale-pr-message: 'This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-pr-message: 'This PR was automatically closed because it has been stalled for two weeks with no further activity.'
days-before-stale: 60
days-before-close: 14
stale-issue-label: 'stale'
stale-pr-label: 'stale'
exempt-issue-labels: 'help wanted,in progress'
exempt-pr-labels: 'help wanted,in progress'
exempt-all-milestones: true
QuantLib-1.42.1/.github/workflows/sync-org-repo.yml 0000664 0000000 0000000 00000001451 15170222225 0022141 0 ustar 00root root 0000000 0000000 name: Sync quantlib organization repository
on:
release:
types: [published]
permissions:
contents: write
jobs:
sync-org-repo:
runs-on: ubuntu-latest
if: ${{ github.event.release.prerelease == false }}
steps:
- uses: actions/checkout@v6
with:
repository: quantlib/QuantLib
token: ${{ secrets.ORG_PUSH_PAT }}
ref: master
path: quantlib
- name: Setup second remote
run: |
cd quantlib
git remote add src https://github.com/lballabio/QuantLib.git
git fetch src
- name: Push new commits
env:
GITHUB_TOKEN: ${{ secrets.ORG_PUSH_PAT }}
run: |
cd quantlib
git push origin ${{ github.ref_name }}
git merge --ff-only ${{ github.ref_name }}
git push origin master
QuantLib-1.42.1/.github/workflows/sync-qldefines.yml 0000664 0000000 0000000 00000001735 15170222225 0022366 0 ustar 00root root 0000000 0000000 name: Keep qldefines.hpp.cfg in sync with original header
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
sync-files:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
cp ql/qldefines.hpp ql/qldefines.hpp.cfg
sed -i -e 's|^#if defined(HAVE_CONFIG_H).*$|#if defined(QL_HAVE_CONFIG_H) // Dynamically created by cmake|g' ql/qldefines.hpp.cfg
sed -i -e 's|^/\* install-hook \*/.*$|#cmakedefine QL_HAVE_CONFIG_H|g' ql/qldefines.hpp.cfg
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: sync-qldefine-${{ github.ref_name }}
delete-branch: true
commit-message: 'Sync qldefines.hpp.cfg with original header'
title: 'Sync qldefines.hpp.cfg with original header'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/test-macros.yml 0000664 0000000 0000000 00000001732 15170222225 0021700 0 ustar 00root root 0000000 0000000 name: Replace Boost macros that might not work with AAD types
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
sed -i -e 's/BOOST_CHECK_SMALL\b/QL_CHECK_SMALL/g' test-suite/*.cpp
sed -i -e 's/BOOST_CHECK_CLOSE\b/QL_CHECK_CLOSE/g' test-suite/*.cpp
sed -i -e 's/BOOST_CHECK_CLOSE_FRACTION\b/QL_CHECK_CLOSE_FRACTION/g' test-suite/*.cpp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-boost-test-macros-${{ github.ref_name }}
delete-branch: true
commit-message: 'Replace Boost macros that might not work with AAD types'
title: 'Replace Boost macros that might not work with AAD types'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.42.1/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002601 15170222225 0021531 0 ustar 00root root 0000000 0000000 name: Check test times
on:
push:
branches:
- '**'
pull_request:
jobs:
check-test-times:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-test-times-${{ github.ref }}
restore-keys: |
linux-ci-test-times-${{ github.ref }}
linux-ci-test-times-refs/heads/master
linux-ci-test-times-
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev autoconf automake libtool ccache
- name: Build
run: |
./autogen.sh
./configure --disable-static CC="ccache gcc" CXX="ccache g++" CXXFLAGS="-O2 -g0"
make -j 4
- name: Run faster tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,faster.xml:HRF,message -- --faster
- name: Run fast tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,fast.xml:HRF,message -- --fast
- name: Run all tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,all.xml:HRF,message
- name: Save test times
uses: actions/upload-artifact@v7
with:
name: test-reports
path: ./*.xml
- name: Check test times
run: |
python ./tools/check_test_times.py
QuantLib-1.42.1/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002146 15170222225 0020410 0 ustar 00root root 0000000 0000000 name: Apply clang-tidy fixes
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
check:
runs-on: ubuntu-24.04
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo apt-get update
sudo apt-get install -y clang-tidy-19 libboost-dev
- name: Check
run: |
cmake --preset linux-ci-build-with-clang-tidy
cd build/linux-ci-build-with-clang-tidy
cmake --build . -j1
- uses: peter-evans/create-pull-request@v8
if: ${{ always() }}
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: clang-tidy-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Automated fixes by clang-tidy'
title: 'Automated fixes by clang-tidy'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
body: |
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action.
Please review the changes before merging.
QuantLib-1.42.1/.gitignore 0000664 0000000 0000000 00000003661 15170222225 0015312 0 ustar 00root root 0000000 0000000 # Compilation artifacts
configure
quantlib-config
libtool
aclocal.m4
autom4te.cache
config.log
config.status
config/*
!config/Makefile.am
m4/*.m4
ql/config.hpp
ql/config.hpp.in
ql/stamp-h1
elc-stamp
quantlib.elc
quantlib.pc
QuantLib.spec
CMakeCache.txt
CMakeUserPresets.json
Docs/.time-stamp
Docs/.time-stamp-html
Docs/.time-stamp-online
Docs/.time-stamp-man
Docs/LICENSE.TXT
Docs/reference-*/
Docs/html/
Docs/man/
Examples/*/bin/
Examples/*/build/
Examples/*/*.trs
build/
install/
lib/
test-suite/bin/QuantLib-test-suite-*.manifest
test-suite/build/
test-suite/*.trs
# Build outputs
**/x64/Debug
**/x64/Release
**/Debug
**/Release
**/bin/*.xml
**/bin/*.manifest
# Artifacts created in multiple directories
Makefile
Makefile.in
unity.cpp
unity_*.cpp
testCaseCollection.xml
.deps
.libs
*.la
*.lo
*.o
*.so
.build-stamp
*.exe
*.dll
*.exp
*.lib
*.pdb
*.ilk
*~
*.ncb
*.suo
*.vcproj.*.user
*.vcxproj.user
*.VC.db
*.VC.opendb
*.log
*.sdf
*.opensdf
*.pch
*.idb
*.ipch
CMakeFiles
*.cmake
!cmake/*.cmake
TAGS
.dirstamp
# Outputs
Examples/BasketLosses/BasketLosses
Examples/BermudanSwaption/BermudanSwaption
Examples/Bonds/Bonds
Examples/CallableBonds/CallableBonds
Examples/CDS/CDS
Examples/ConvertibleBonds/ConvertibleBonds
Examples/CVAIRS/CVAIRS
Examples/DiscreteHedging/DiscreteHedging
Examples/EquityOption/EquityOption
Examples/FittedBondCurve/FittedBondCurve
Examples/FRA/FRA
Examples/Gaussian1dModels/Gaussian1dModels
Examples/GlobalOptimizer/GlobalOptimizer
Examples/LatentModel/LatentModel
Examples/MarketModels/MarketModels
Examples/MultidimIntegral/MultidimIntegral
Examples/MulticurveBootstrapping/MulticurveBootstrapping
Examples/Replication/Replication
Examples/Repo/Repo
test-suite/quantlib-test-suite
test-suite/quantlib-benchmark
test-suite/bin/*.exp
test-suite/bin/*.lib
test-suite/bin/*.pdb
test-suite/.unit_test_profile.txt
# IDEs
.vs
.vscode
.idea
cmake-build-*
nbproject
.cproject
# User customizations
.dir-locals.el
Build.props
Directory.Build.props
QuantLib-1.42.1/.lgtm.yml 0000664 0000000 0000000 00000000246 15170222225 0015062 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.42.1/.lsan.txt 0000664 0000000 0000000 00000000001 15170222225 0015057 0 ustar 00root root 0000000 0000000
QuantLib-1.42.1/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 15170222225 0017534 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.42.1/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 15170222225 0017563 0 ustar 00root root 0000000 0000000
QuantLib-1.42.1/CITATION.cff 0000664 0000000 0000000 00000000555 15170222225 0015213 0 ustar 00root root 0000000 0000000 cff-version: 1.2.0
message: If you use this software, please cite it using these metadata.
title: "QuantLib: a free/open-source library for quantitative finance"
authors:
- name: "The QuantLib contributors"
url: "https://www.quantlib.org/"
type: software
doi: 10.5281/zenodo.1440997
license: BSD-3-Clause
repository-code: "https://github.com/lballabio/QuantLib"
QuantLib-1.42.1/CMakeLists.txt 0000664 0000000 0000000 00000025264 15170222225 0016065 0 ustar 00root root 0000000 0000000 cmake_minimum_required(VERSION 3.15.0)
# For MSVC RUNTIME LIBRARY, need CMP0091=NEW and cmake 3.15+
cmake_policy(SET CMP0091 NEW)
# Version info
set(QUANTLIB_VERSION_MAJOR 1)
set(QUANTLIB_VERSION_MINOR 42)
set(QUANTLIB_VERSION_PATCH 0)
set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
# Project Info
set(PACKAGE_NAME "QuantLib")
set(PACKAGE_VERSION "1.42.1")
set(PACKAGE_VERSION_HEX "0x014201f0")
set(PACKAGE_STRING "${PACKAGE_NAME} ${PACKAGE_VERSION}")
set(PACKAGE_TARNAME "${PACKAGE_NAME}-${PACKAGE_VERSION}")
set(PACKAGE_BUGREPORT "https://github.com/lballabio/QuantLib/issues/")
# Default build type for single-config generators (set this before project() command)
# For multi-config generators, such as Visual Studio, use: cmake --build . --config=
if (NOT CMAKE_BUILD_TYPE OR CMAKE_BUILD_TYPE STREQUAL "")
set(CMAKE_BUILD_TYPE "Release" CACHE
STRING "Build type for single-config generators" FORCE)
endif()
project(${PACKAGE_NAME} LANGUAGES CXX DESCRIPTION "The QuantLib C++ Library")
# Path for package-local cmake modules
set(CMAKE_MODULE_PATH "${PROJECT_SOURCE_DIR}/cmake" ${CMAKE_MODULE_PATH})
# Installation directories
set(QL_INSTALL_BINDIR "bin" CACHE STRING "Installation directory for executables")
set(QL_INSTALL_LIBDIR "lib" CACHE STRING "Installation directory for libraries")
set(QL_INSTALL_INCLUDEDIR "include" CACHE STRING "Installation directory for headers")
set(QL_INSTALL_EXAMPLESDIR "lib/QuantLib/examples" CACHE STRING
"Installation directory for examples")
set(QL_INSTALL_CMAKEDIR "lib/cmake/${PACKAGE_NAME}" CACHE STRING
"Installation directory for CMake scripts")
# Options
option(QL_BUILD_EXAMPLES "Build examples" ON)
option(QL_BUILD_TEST_SUITE "Build test suite" ON)
option(QL_BUILD_FUZZ_TEST_SUITE "Build fuzz test suite" OFF)
option(QL_ENABLE_OPENMP "Detect and use OpenMP" OFF)
option(QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER "Enable the parallel unit test runner" OFF)
option(QL_ENABLE_SESSIONS "Singletons return different instances for different sessions" OFF)
option(QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN "Enable the thread-safe observer pattern" OFF)
option(QL_ENABLE_TRACING "Tracing messages should be allowed" OFF)
option(QL_ENABLE_DEFAULT_WARNING_LEVEL "Enable the default warning level to pass the ci pipeline" ON)
option(QL_COMPILE_WARNING_AS_ERROR "Specify whether to treat warnings on compile as errors." OFF)
option(QL_ERROR_FUNCTIONS "Error messages should include current function information" OFF)
option(QL_ERROR_LINES "Error messages should include file and line information" OFF)
option(QL_EXTRA_SAFETY_CHECKS "Extra safety checks should be performed" OFF)
option(QL_HIGH_RESOLUTION_DATE "Enable date resolution down to microseconds" OFF)
option(QL_THROW_IN_CYCLES "Throw an exception when a notification loop is detected" OFF)
option(QL_FASTER_LAZY_OBJECTS "Cause lazy objects to forward just the first notification instead of every one" ON)
option(QL_NULL_AS_FUNCTIONS "Enable the implementation of Null as template functions" OFF)
option(QL_INSTALL_BENCHMARK "Install benchmark" ON)
option(QL_INSTALL_EXAMPLES "Install examples" ON)
option(QL_INSTALL_TEST_SUITE "Install test suite" ON)
option(QL_TAGGED_LAYOUT "Library names use layout tags" ${MSVC})
option(QL_USE_CLANG_TIDY "Use clang-tidy when building" OFF)
option(QL_USE_INDEXED_COUPON "Use indexed coupons instead of par coupons" OFF)
option(QL_USE_STD_ANY "Use std::any instead of boost::any" ON)
option(QL_USE_STD_CLASSES "Enable all QL_USE_STD_ options" OFF)
option(QL_USE_STD_OPTIONAL "Use std::optional instead of boost::optional" ON)
option(QL_USE_STD_SHARED_PTR "Use standard smart pointers instead of Boost ones" OFF)
set(QL_EXTERNAL_SUBDIRECTORIES "" CACHE STRING "Optional list of external source directories to be added to the build (semicolon-separated)")
# set -lpapi here
set(QL_EXTRA_LINK_LIBRARIES "" CACHE STRING "Optional extra link libraries to add to QuantLib")
# Require C++17 or higher
if (NOT DEFINED CMAKE_CXX_STANDARD)
set(CMAKE_CXX_STANDARD 17)
elseif(CMAKE_CXX_STANDARD LESS 17)
message(FATAL_ERROR "Please specify CMAKE_CXX_STANDARD of 17 or higher")
endif()
if (NOT DEFINED CMAKE_CXX_STANDARD_REQUIRED)
set(CMAKE_CXX_STANDARD_REQUIRED ON)
endif()
# Avoid use of compiler language extensions, i.e. -std=c++17 not -std=gnu++17
if (NOT DEFINED CMAKE_CXX_EXTENSIONS)
set(CMAKE_CXX_EXTENSIONS FALSE)
endif()
# Convenience option to activate all STD options
if (QL_USE_STD_CLASSES)
set(QL_USE_STD_ANY ON)
set(QL_USE_STD_OPTIONAL ON)
set(QL_USE_STD_SHARED_PTR ON)
endif()
# Set the default warning level we use to pass the GitHub workflows
if (QL_ENABLE_DEFAULT_WARNING_LEVEL)
if (MSVC)
# warning level 3
# There are also specific warnings disabled for MSCV in cmake/Platform.cmake.
add_compile_options(-W3)
elseif (CMAKE_CXX_COMPILER_ID STREQUAL "GNU" OR CMAKE_CXX_COMPILER_ID STREQUAL "Clang" OR CMAKE_CXX_COMPILER_ID STREQUAL "AppleClang")
# lots of warnings
add_compile_options(-Wall -Wno-unknown-pragmas -Wno-array-bounds)
endif()
endif()
# Treat warnings on compile as errors
if (QL_COMPILE_WARNING_AS_ERROR)
# all compiler warnings as errors
if (CMAKE_VERSION VERSION_GREATER_EQUAL "3.24.0")
# since v3.24 cmake can set all compiler warnings as errors itself
set(CMAKE_COMPILE_WARNING_AS_ERROR ON)
else()
# or set them manually
if (MSVC)
add_compile_options(-WX)
elseif (CMAKE_CXX_COMPILER_ID STREQUAL "GNU" OR CMAKE_CXX_COMPILER_ID STREQUAL "Clang" OR CMAKE_CXX_COMPILER_ID STREQUAL "AppleClang")
add_compile_options(-Werror)
endif()
endif()
endif()
if (QL_USE_CLANG_TIDY)
if (NOT DEFINED QL_CLANG_TIDY)
set(QL_CLANG_TIDY clang-tidy)
endif()
if (NOT DEFINED QL_CLANG_TIDY_OPTIONS)
set(QL_CLANG_TIDY_OPTIONS)
endif()
if (QL_CLANG_TIDY_OPTIONS)
set(CMAKE_CXX_CLANG_TIDY "${QL_CLANG_TIDY};${QL_CLANG_TIDY_OPTIONS}")
else()
set(CMAKE_CXX_CLANG_TIDY "${QL_CLANG_TIDY}")
endif()
endif()
# Project shared libs ON for UNIX
if (NOT DEFINED BUILD_SHARED_LIBS)
set(BUILD_SHARED_LIBS ${UNIX})
endif()
# Boost static libs ON for MSVC
if (NOT DEFINED Boost_USE_STATIC_LIBS)
set(Boost_USE_STATIC_LIBS ${MSVC})
endif()
# Boost static runtime ON for MSVC
if (NOT DEFINED Boost_USE_STATIC_RUNTIME)
set(Boost_USE_STATIC_RUNTIME ${MSVC})
endif()
if (NOT DEFINED QL_BOOST_VERSION)
# Boost 1.75.0 or greater required for compiling with C++20
if (CMAKE_CXX_STANDARD GREATER_EQUAL 20)
set(QL_BOOST_VERSION 1.75.0)
else()
set(QL_BOOST_VERSION 1.58.0)
endif()
endif()
if (CMAKE_CXX_COMPILER STREQUAL "icpx")
find_package(IntelDPCPP REQUIRED)
endif()
find_package(Boost ${QL_BOOST_VERSION} REQUIRED)
# Do not warn about Boost versions higher than 1.58.0
set(Boost_NO_WARN_NEW_VERSIONS ON)
# Avoid using Boost auto-linking
add_compile_definitions(BOOST_ALL_NO_LIB)
if (QL_ENABLE_OPENMP)
find_package(OpenMP REQUIRED)
endif()
# Prefer pthread flag as per https://cmake.org/cmake/help/latest/module/FindThreads.html
if (NOT DEFINED THREADS_PREFER_PTHREAD_FLAG)
set(THREADS_PREFER_PTHREAD_FLAG ON)
endif()
# Add Threads dependency when any of the threading features are enabled
if (QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER OR QL_ENABLE_SESSIONS OR QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN)
find_package(Threads REQUIRED)
# Parallel test runner needs library rt on *nix for shm_open, etc.
if (QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER AND UNIX AND NOT APPLE)
find_library(RT_LIBRARY rt REQUIRED)
set(QL_THREAD_LIBRARIES Threads::Threads ${RT_LIBRARY})
else()
set(QL_THREAD_LIBRARIES Threads::Threads)
endif()
endif()
# If available, use PIC for shared libs and PIE for executables
if (NOT DEFINED CMAKE_POSITION_INDEPENDENT_CODE)
set(CMAKE_POSITION_INDEPENDENT_CODE ON)
endif()
if (CMAKE_POSITION_INDEPENDENT_CODE)
# cmake policy CMP0083: add PIE support if possible (need cmake 3.14)
include(CheckPIESupported)
check_pie_supported()
endif()
# Configure files
set(QL_HAVE_CONFIG_H ON)
set(QL_VERSION ${PACKAGE_VERSION})
set(QL_HEX_VERSION ${PACKAGE_VERSION_HEX})
configure_file(ql/config.hpp.cfg ql/config.hpp @ONLY)
configure_file(ql/qldefines.hpp.cfg ql/qldefines.hpp @ONLY)
# Generate quantlib-config
# Define the variables to be substituted in the input file
set(prefix ${CMAKE_INSTALL_PREFIX})
set(exec_prefix "\${prefix}")
set(includedir "\${prefix}/include")
set(libdir "\${exec_prefix}/lib")
if (QL_ENABLE_OPENMP)
set(OPENMP_CXXFLAGS ${OpenMP_CXX_FLAGS})
endif()
configure_file(quantlib-config.in quantlib-config @ONLY)
configure_file(quantlib.pc.in quantlib.pc @ONLY)
install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib-config TYPE BIN)
install(FILES ${CMAKE_CURRENT_BINARY_DIR}/quantlib.pc DESTINATION lib/pkgconfig)
include(Platform)
# Check for library name layout tagging
if (QL_TAGGED_LAYOUT)
if (${CMAKE_SIZEOF_VOID_P} EQUAL 8)
set(DEBUG_POSTFIX "-x64")
set(RELEASE_POSTFIX "-x64")
endif()
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-mt)
set(RELEASE_POSTFIX ${RELEASE_POSTFIX}-mt)
if (CMAKE_MSVC_RUNTIME_LIBRARY MATCHES ".*DLL$")
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-gd)
else()
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-sgd)
set(RELEASE_POSTFIX ${RELEASE_POSTFIX}-s)
endif()
set(CMAKE_DEBUG_POSTFIX ${DEBUG_POSTFIX})
set(CMAKE_RELEASE_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_RELWITHDEBINFO_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_MINSIZEREL_POSTFIX ${RELEASE_POSTFIX})
endif()
include(CTest)
# extension subdirectories if they exist (hook for external projects)
foreach(extdir ${QL_EXTERNAL_SUBDIRECTORIES})
get_filename_component(name_without_dir "${extdir}" NAME)
add_subdirectory(${extdir} ${name_without_dir})
endforeach()
# Add subdirectories
add_subdirectory(ql)
if (QL_BUILD_EXAMPLES)
add_subdirectory(Examples)
endif()
if (QL_BUILD_TEST_SUITE)
add_subdirectory(test-suite)
endif()
if ('${CMAKE_CXX_COMPILER_ID}' MATCHES 'Clang' AND QL_BUILD_FUZZ_TEST_SUITE)
add_subdirectory(fuzz-test-suite)
endif()
# CPack support (make package, make package_source)
set(CPACK_PACKAGE_VERSION_MAJOR ${QUANTLIB_VERSION_MAJOR})
set(CPACK_PACKAGE_VERSION_MINOR ${QUANTLIB_VERSION_MINOR})
set(CPACK_PACKAGE_VERSION_PATCH ${QUANTLIB_VERSION_PATCH})
set(CPACK_PACKAGE_FILE_NAME ${PACKAGE_NAME}-${PACKAGE_VERSION})
set(CPACK_GENERATOR "TGZ" "ZIP" "7Z")
set(CPACK_SOURCE_PACKAGE_FILE_NAME ${PACKAGE_NAME}-${PACKAGE_VERSION})
set(CPACK_SOURCE_GENERATOR "TGZ" "ZIP" "7Z")
set(CPACK_SOURCE_IGNORE_FILES
"~$"
"\\\\.swp$"
"/[Bb]uild"
"/\\\\.app"
"/\\\\.cla"
"/\\\\.cod"
"/\\\\.git"
"/\\\\.lgt"
"/\\\\.mis")
include(CPack)
QuantLib-1.42.1/CMakePresets.json 0000664 0000000 0000000 00000017600 15170222225 0016541 0 ustar 00root root 0000000 0000000 {
"version": 3,
"configurePresets": [
{
"name": "windows-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "x64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
}
},
{
"name": "windows-msvc-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-msvc-x64"
}
}
},
{
"name": "windows-clang-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang-cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-clang-x64"
}
}
},
{
"name": "linux-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Linux"
},
"vendor": {
"microsoft.com/VisualStudioRemoteSettings/CMake/1.0": {
"sourceDir": "$env{HOME}/.vs/$ms{projectDirName}"
},
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "linux-gcc-x64",
"hostOS": [
"Linux"
]
}
}
},
{
"name": "linux-gcc-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "g++"
}
},
{
"name": "linux-clang-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang++"
}
},
{
"name": "apple-arm64-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "arm64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Darwin"
}
},
{
"name": "ninja",
"hidden": true,
"generator": "Ninja"
},
{
"name": "make",
"hidden": true,
"generator": "Unix Makefiles"
},
{
"name": "_release",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release"
}
},
{
"name": "_debug",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Debug"
}
},
{
"name": "_relwithdebinfo",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "RelWithDebInfo"
}
},
{
"name": "linux-clang-debug",
"inherits": [
"linux-clang-base",
"make",
"_debug"
]
},
{
"name": "linux-clang-release",
"inherits": [
"linux-clang-base",
"make",
"_release"
]
},
{
"name": "linux-clang-relwithdebinfo",
"inherits": [
"linux-clang-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-gcc-debug",
"inherits": [
"linux-gcc-base",
"make",
"_debug"
]
},
{
"name": "linux-gcc-release",
"inherits": [
"linux-gcc-base",
"make",
"_release"
]
},
{
"name": "linux-gcc-relwithdebinfo",
"inherits": [
"linux-gcc-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-clang-ninja-debug",
"inherits": [
"ninja",
"linux-clang-debug"
]
},
{
"name": "linux-clang-ninja-release",
"inherits": [
"ninja",
"linux-clang-release"
]
},
{
"name": "linux-clang-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-clang-relwithdebinfo"
]
},
{
"name": "linux-gcc-ninja-debug",
"inherits": [
"ninja",
"linux-gcc-debug"
]
},
{
"name": "linux-gcc-ninja-release",
"inherits": [
"ninja",
"linux-gcc-release"
]
},
{
"name": "linux-gcc-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-gcc-relwithdebinfo"
]
},
{
"name": "linux-gcc-debug-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"QL_CLANG_TIDY_OPTIONS": "-warnings-as-errors=*",
"QL_USE_CLANG_TIDY": "ON"
}
},
{
"name": "windows-clang-release",
"inherits": [
"windows-clang-base",
"ninja",
"_release"
]
},
{
"name": "windows-clang-debug",
"inherits": [
"windows-clang-base",
"ninja",
"_debug"
]
},
{
"name": "windows-clang-relwithdebinfo",
"inherits": [
"windows-clang-base",
"ninja",
"_relwithdebinfo"
]
},
{
"name": "windows-msvc-release",
"inherits": [
"windows-msvc-base",
"ninja",
"_release"
]
},
{
"name": "windows-msvc-debug",
"inherits": [
"windows-msvc-base",
"ninja",
"_debug"
]
},
{
"name": "windows-msvc-relwithdebinfo",
"inherits": [
"windows-msvc-base",
"ninja",
"_relwithdebinfo"
]
},
{
"name": "linux-ci-build-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"BOOST_ROOT": "/usr",
"CMAKE_UNITY_BUILD": "ON",
"QL_CLANG_TIDY": "clang-tidy-19",
"QL_CLANG_TIDY_OPTIONS": "-quiet;-fix",
"QL_USE_CLANG_TIDY": "ON",
"QL_USE_STD_CLASSES": "ON"
}
},
{
"name": "linux-ci-build-with-nonstandard-options",
"inherits": [
"linux-gcc-ninja-release"
],
"cacheVariables": {
"BOOST_ROOT": "/usr",
"BUILD_SHARED_LIBS": false,
"CMAKE_CXX_COMPILER_LAUNCHER": "ccache",
"QL_ENABLE_SESSIONS": "ON",
"QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN": "ON",
"QL_HIGH_RESOLUTION_DATE": "ON",
"QL_FASTER_LAZY_OBJECTS": "OFF",
"QL_THROW_IN_CYCLES": "ON",
"QL_NULL_AS_FUNCTIONS": "ON",
"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
"QL_USE_STD_OPTIONAL": "OFF",
"QL_COMPILE_WARNING_AS_ERROR": "ON"
}
},
{
"name": "windows-ci-build-with-nonstandard-options",
"inherits": [
"windows-msvc-release"
],
"cacheVariables": {
"CMAKE_UNITY_BUILD": "ON",
"QL_ENABLE_SESSIONS": "ON",
"QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN": "ON",
"QL_HIGH_RESOLUTION_DATE": "ON",
"QL_FASTER_LAZY_OBJECTS": "OFF",
"QL_THROW_IN_CYCLES": "ON",
"QL_NULL_AS_FUNCTIONS": "ON",
"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
"QL_USE_STD_OPTIONAL": "OFF",
"QL_COMPILE_WARNING_AS_ERROR": "ON",
"CMAKE_CXX_COMPILER_LAUNCHER": "sccache"
}
},
{
"name": "apple-arm64-ninja-debug",
"description": "Apple M series preset Debug",
"inherits": [
"apple-arm64-base",
"ninja",
"_debug"
]
},
{
"name": "apple-arm64-ninja-release",
"description": "Apple M series preset Release",
"inherits": [
"apple-arm64-base",
"ninja",
"_release"
]
},
{
"name": "apple-arm64-ninja-relwithdebinfo",
"description": "Apple M series preset RelWithDebInfo",
"inherits": [
"apple-arm64-base",
"ninja",
"_relwithdebinfo"
]
}
]
}
QuantLib-1.42.1/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 15170222225 0015550 0 ustar 00root root 0000000 0000000
# Contributing to QuantLib
Thanks for considering a contribution! We're looking forward to it.
The preferred way to contribute is through a pull request on GitHub.
This gives us some convenient tooling to look at your changes and
provide feedback; also, opening a pull request triggers automated
building and testing of your code and often gives you feedback before
a human has a chance to look at it (the time we can give to the
project is, unfortunately, limited).
So, in short: get a GitHub account if you don't have it already and
clone the repository at with
the "Fork" button in the top right corner of the page. Check out your
clone to your machine, code away, push your changes to your clone and
submit a pull request: links to more detailed instructions are at the
end of this file.
A note: a pull request will show any new changes committed and pushed
to the corresponding branch. For this reason, we strongly advise you
to use a feature branch for your changes, instead of your `master`
branch. This gives you the freedom to add unrelated changes to your
master, and also gives the maintainers the freedom to push further
changes to the branch.
It's likely that we won't merge your code right away, and we'll ask
for some changes instead. Don't be discouraged! That's normal; the
library is complex, and thus it might take some time to become
familiar with it and to use it in an idiomatic way.
Again, thanks — and welcome! We're looking forward to your contributions.
#### Useful links
Instructions for forking a cloning a repository are at
.
More detailed instructions for creating pull requests are at
.
Finally, a basic guide to GitHub is at
.
GitHub also provides interactive learning at .
QuantLib-1.42.1/ChangeLog.txt 0000664 0000000 0000000 00000004013 15170222225 0015702 0 ustar 00root root 0000000 0000000 commit 974bb6143d544461f1713ac7062f26de763d8bac
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 16 Apr 2026 14:31:36 +0000
Set version to 1.42.1
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 12204e07675917a4075235970440ab202813e78d
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 15:57:07 +0200
Update news
News.md | 24 ++++--------------------
1 file changed, 4 insertions(+), 20 deletions(-)
commit aa7b3a1959f01e606f2737e28dc8686bddbaae49
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 15:32:55 +0200
Fix action title
.github/workflows/prepare-patch-release.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fb7b4f3e144f8a0f3d1056bb34d1792a74fbae32
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 14:59:01 +0200
Add action to prepare patch release
.github/workflows/prepare-patch-release.yml | 44 +++++++++++++++++++++++++
.github/workflows/prepare-release-candidate.yml | 4 +--
.github/workflows/prepare-release.yml | 4 +--
3 files changed, 48 insertions(+), 4 deletions(-)
commit 10e5d215d9a24ddf36d01fc42f15e95cff0ef931
Merge: 41b0e1460 cf2dc1daf
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 12:56:17 +0200
Avoid notification loop in GSR model (#2543)
commit cf2dc1daf12a6c23dd6f50f339b9cd7e9f85a1ab
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 10:13:34 +0200
Avoid notification loop in GSR model
ql/models/shortrate/onefactormodels/gsr.cpp | 6 ++--
test-suite/gsr.cpp | 47 +++++++++++++++++++++++++++++
2 files changed, 50 insertions(+), 3 deletions(-)
commit 05169469217ff94f06ab0b31aedc66c5577daa33
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 09:16:54 +0200
Restore disabled test
test-suite/gsr.cpp | 3 ---
1 file changed, 3 deletions(-)
QuantLib-1.42.1/Contributors.txt 0000664 0000000 0000000 00000013066 15170222225 0016560 0 ustar 00root root 0000000 0000000 We gratefully acknowledge contributions from (in alphabetical order):
Nathan Abbott,
Samad Abdessadki,
Kakhkhor Abdijalilov,
Xavier Abulker,
Toyin Akin,
Marius Akre,
Mario Aleppo,
Rich Amaya,
Ferdinando Ametrano,
Imrane Amri,
Jongbong An,
Tom Anderson,
Grzegorz Andruszkiewicz,
Ignacio Anguita,
Fanis Antoniou,
Driss Aouad,
Jose Aparicio,
Sergio Araujo,
Leonardo Arcari,
Sercan Atalik,
F. Eugene Aumson,
Ahmed Ayadi,
Arnaud Baguet,
Lluis Pujol Bajador,
Gerardo Ballabio,
Luigi Ballabio,
Jonathan Barber,
Nabila Barkati,
Riccardo Barone,
Clément Barret,
Christopher Baus,
Thomas Becker,
Michaël Benguigui,
Adolfo Benin,
Hachemi Benyahia,
Luca Berardi,
Nicholas Bertocchi,
Sylvain Bertrand,
Manas Bhatt,
Marco Bianchetti,
David Binderman,
Theo Boafo,
Marcin Bogusz,
Francois Botha,
Delphine Bouthier,
Fakher Braham,
Nathaniel Brough,
Ole Bueker,
Joe Byers,
Xavier Caron,
Marine Casanova,
Peter Caspers,
Antoine Cellerier,
Yee Man Chan,
Aurelien Chanudet,
Yiping Chen,
Yanice Cherrak,
Gualtiero Chiaia,
Meryem Chibo,
Warren Chou,
Scott Condit,
Marco Craveiro,
Paolo D'Elia,
Stephen Dacek,
Jon Davidson,
William Day,
Daniele De Francesco,
Frédéric Degraeve,
Piero Del Boca,
Mike DelMedico,
Chirag Desai,
Barry Devlin,
Nicolas Di Césaré,
Lucas Dias,
Piter Dias,
Binrui Dong,
Jacques du Toit,
François du Vignaud,
Francis Duffy,
Cristina Duminuco,
Jan Ladislav Dussek,
Ralf Konrad Eckel,
Dirk Eddelbuettel,
Faycal El Karaa,
Joshua Engelman,
Bernd Engelmann,
Giorgio Facchinetti,
Matt Fair,
Kareem Fareed,
Paul Farrington,
Lorella Fatone,
Isuru Fernando,
Luca Ferraro,
Marco Bruno Ferreira Vasconcellos,
Davide Ferretti,
Neil Firth,
Stefano Fondi,
Chiara Fornarola,
Silvia Frasson,
Rémy Frèrebeau,
Andreas Gaida,
Matteo Gallivanoni,
Jose Garcia,
Lakshay Garg,
Shubham Gaur,
Fredrik Gerdin Börjesson,
Riccardo Ghetta,
Hoang Giap Vu,
Ryan Gibson,
Jack Gillett,
Paul Giltinan,
Roman Gitlin,
Nick Glass,
Marek Glowacki,
Dmitri Goloubentsev,
Richard Gomes,
Johannes Göttker-Schnetmann,
Henri Gough,
Richard Gould,
Brett Graves,
Eleanor Green,
Florent Grenier,
Matthias Groncki,
Sebastien Gurrieri,
Tawanda Gwena,
Cavit Hafizoglu,
Lew Wei Hao,
Joshua Hayes,
Michael Heckl,
Jake Heke,
Andres Hernandez,
Chris Higgs,
Laurent Hoffmann,
Xiangyu Hong,
Guillaume Horel,
Benoît Houzelle,
Frank Hövermann,
Daniel Hrabovcak,
Shen Hui,
Charles Chongseok Hyun,
Simon Ibbotson,
Yassine Idyiahia,
Alexey Indiryakov,
Norbert Irmer,
Mike Jake,
Nicola Jean,
Joseph Jeisman,
Yi Jiang,
Tomas Kalibera,
Rahul Kanchi,
Roland Kapl,
Andrey Karpov,
Michal Kaut,
Tomoya Kawanishi,
Gary Kennedy,
Chris Kenyon,
Babar Khan,
Oleksandr Khomenko,
Joel King,
Kevin Kirchhoff,
Matt Knox,
Matthew Kolbe,
Andrew Kolesnikov,
David Korczynski,
Nijaz Kovacevic,
Philip Kovacs,
Zak Kraehling,
Silakhdar Krikeb,
Pradeep Krishnamurthy,
Nathan Kruck,
Yan Kuang,
Werner Kuerzinger,
Oleg Kulkov,
Allen Kuo,
Christian Köhnenkamp,
Mickael Anas Laaouini,
Paul Laderoute,
Yasmine Lahlou,
Alix Lassauzet,
Fabien Le Floc'h,
Fabrice Lecuyer,
James Lee,
Jonghee Lee,
Ka Wai Lee,
Jacob Lee-Howes,
Samuel Lerouge,
Bernd Lewerenz,
Patrick Lewis,
Cheng Li,
Gang Liang,
Roland Lichters,
Kai Lin,
Hank Liu,
Robert Lopez,
André Louw,
Benson Luk,
Matthias Lungwitz,
Jasen Mackie,
Trent Maetzold,
Andrea Maffezzoli,
Joao Paulo Magalhaes,
Jose Magana,
Andrea Maggiulli,
John Maiden,
Katiuscia Manzoni,
Marco Marchioro,
Francesca Mariani,
Daniel Martinez Davies,
Slava Mazur,
Paolo Mazzocchi,
Siddharth Mehrotra,
Magnus Mencke,
Enrico Michelotti,
Andre Miemiec,
Raso Mirko,
Radu Mondescu,
Bryte Morio,
Bart Mosley,
Zain Mughal,
Tiziano Müller,
Joan Carlos Naftanaila,
Prince Nanda,
Dmitri Nesteruk,
Billy Ng,
Bojan Nikolic,
Jean Nkeng,
Robin Northcott,
Konstantin Novitsky,
Nikolai Nowaczyk,
Adrian O'Neill,
Andrea Odetti,
Cay Oest,
Hiroto Ogawa,
Anubhav Pandey,
Aaditya Panikath,
Sotirios Papathanasopoulos,
Krishn Parasar,
Mike Parker,
Guillermo F. Parra,
Giorgio Pazmandi,
Guillaume Pealat,
Gilbert Peffer,
Andrea Pellegatta,
Ignacio Peña,
Walter Penschke,
Francesco Perissin,
Robert Philipp,
Marcello Pietrobon,
Adrien Pinatton,
Gianni Piolanti,
Vladimir Polin,
Sebastian Poloczek,
Berat Postalcioglu,
Nolan Potier,
Mario Pucci,
Ian Qsong,
Paul Rädle,
Alexandre Radicchi,
J. Erik Radmall,
Ilyas Rahbaoui,
Fabio Ramponi,
Hristo Raykov,
Maria Cristina Recchioni,
Simon Rees,
Dimitri Reiswich,
Sadruddin Rejeb,
Martin Ross,
Alessandro Roveda,
Ryan Russell,
Marcin Rybacki,
Mohamed Amine Sadaoui,
Amine Samani,
David Sansom,
Alpha Sanou Toure,
Tamas Sashalmi,
Sebastian Schlenkrich,
Peter Schmitteckert,
Ralph Schreyer,
Leander Schulten,
David Schwartz,
Benjamin Schwendinger,
Henning Segger,
Carlos Fidel Selva Ochoa,
Giacomo Sergio,
Simon Shakeshaft,
Michael Sharpe,
Kirill Shemyakin,
Eugene Shevkoplyas,
Mohammad Shojatalab,
Anastasiia Shumyk,
Piotr Siejda,
Matthias Siemering,
Adityakumar Sinha,
Gyan Sinha,
Enrico Sirola,
Leon Sit,
Wojciech Slusarski,
Andrew Smith,
Dale Smith,
Tim Smith,
Maxim Sokolov,
Prasad Somwanshi,
Niels Elken Sønderby,
Klaus Spanderen,
Andreas Spengler,
Roland Stamm,
Weston Steimel,
Philip Stephens,
Kai Striega,
Jonathan Sweemer,
Edouard Tallent,
Eisuke Tani,
Marco Tarenghi,
Ryan Taylor,
Yue Tian,
Eugene Toder,
Steven Van Haren,
Jayanth R. Varma,
Michael von den Driesch,
Joseph Wang,
Qingxiao Wang,
Tony Wang,
Charles Whitmore,
Tomass Wilson,
Stephen Wong,
Krzysztof Wos,
Bernd Johannes Wuebben,
Sun Xiuxin,
Frank Xue,
Jeff Yu,
Maddalena Zanzi,
Li Zhong,
Viktor Zhou,
Francesco Zirilli,
and Roy Zywina.
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-1.42.1/Docs/ 0000775 0000000 0000000 00000000000 15170222225 0014204 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/Docs/Makefile.am 0000664 0000000 0000000 00000002063 15170222225 0016241 0 ustar 00root root 0000000 0000000
EXTRA_DIST = \
quantlib.doxy \
quantlibextra.css \
quantlibfooter.html \
quantlibheader.html
DOXYGEN_CONFIG := quantlib.doxy
DOXYGEN_CUSTOM := quantlibextra.css quantlibheader.html quantlibfooter.html
DOXYGEN_INPUT := $(shell find ${top_srcdir} -name *.hpp) \
$(wildcard pages/*.docs)
BASEPATH = $(shell cd @abs_top_srcdir@ && pwd)
.PHONY: docs docs-clean
dist-hook:
mkdir -p $(distdir)/pages $(distdir)/images
cp -p $(srcdir)/pages/*.docs $(distdir)/pages
cp -p $(srcdir)/images/*.jpg \
$(srcdir)/images/*.ico \
$(distdir)/images
docs: .time-stamp
clean-local:
rm -Rf html
rm -f .time-stamp
.time-stamp: $(DOXYGEN_CONFIG) $(DOXYGEN_CUSTOM) $(DOXYGEN_INPUT) ../LICENSE.TXT
cp -p ${top_srcdir}/LICENSE.TXT ${top_srcdir}/Contributors.txt .
$(SED) -e "s|ql_basepath|${BASEPATH}/|" \
-e "s|ql_version|$(VERSION)|" \
${srcdir}/quantlib.doxy > .quantlib.doxy
$(DOXYGEN) .quantlib.doxy
rm -f .quantlib.doxy
rm -f html/*.md5
rm -f html/*.map
touch .time-stamp
QuantLib-1.42.1/Docs/images/ 0000775 0000000 0000000 00000000000 15170222225 0015451 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/Docs/images/QL-title.jpg 0000664 0000000 0000000 00000027771 15170222225 0017624 0 ustar 00root root 0000000 0000000 JFIF H H XICC_PROFILE HLino mntrRGB XYZ 1 acspMSFT IEC sRGB -HP cprt P 3desc lwtpt bkpt rXYZ gXYZ , bXYZ @ dmnd T pdmdd vued L view $lumi meas $tech 0 rTRC < gTRC < bTRC < text Copyright (c) 1998 Hewlett-Packard Company desc sRGB IEC61966-2.1 sRGB IEC61966-2.1 XYZ Q XYZ XYZ o 8 XYZ b XYZ $ desc IEC http://www.iec.ch IEC http://www.iec.ch desc .IEC 61966-2.1 Default RGB colour space - sRGB .IEC 61966-2.1 Default RGB colour space - sRGB desc ,Reference Viewing Condition in IEC61966-2.1 ,Reference Viewing Condition in IEC61966-2.1 view _. \ XYZ L V P W meas sig CRT curv
# ( - 2 7 ; @ E J O T Y ^ c h m r w |
%+28>ELRY`gnu| &/8AKT]gqz !-8COZfr~ -;HUcq~
+:IXgw'7HYj{+=Oat 2FZn % : O d y
'
=
T
j
" 9 Q i * C \ u
&
@
Z
t
.Id %A^z &Ca~1Om&Ed#Cc'Ij4Vx&Il Ae@e Ek*Qw;c * R { G p @ j > i A l ! !H!u!!!"'"U"""#
#8#f###$ $M$|$$% %8%h%%%&'&W&&&''I'z''(
(?(q(())8)k))**5*h**++6+i++,,9,n,,- -A-v--..L.../$/Z///050l0011J1112*2c223
3F3334+4e4455M555676r667$7`7788P8899B999:6:t::;-;k;;<' >`>>?!?a??@#@d@@A)AjAAB0BrBBC:C}CDDGDDEEUEEF"FgFFG5G{GHHKHHI IcIIJ7J}JK KSKKL*LrLMMJMMN%NnNO OIOOP'PqPQQPQQR1R|RSS_SSTBTTU(UuUVV\VVWDWWX/X}XYYiYZZVZZ[E[[\5\\]']x]^^l^__a_``W``aOaabIbbcCccd@dde=eef=ffg=ggh?hhiCiijHjjkOkklWlmm`mnnkno oxop+ppq:qqrKrss]sttptu(uuv>vvwVwxxnxy*yyzFz{{c{|!||}A}~~b~#G
k͂0W Grׇ;iΉ3dʋ0cʍ1fΏ6n֑?zM _ɖ4
uL$h՛B dҞ@ iءG&vVǥ8nRĩ7 u\ЭD- u`ֲK³8%yhYѹJº;.!
zpg_XQKFAǿ=ȼ:ɹ8ʷ6˶5̵5͵6ζ7ϸ9к<Ѿ?DINU\dlvۀ܊ݖ ޢ)߯6DScs
2F[p(@Xr4Pm8Ww)Km C C 2 "
=
!#89x"Qv12ATWw 3 !"#21$36ABt%QSq ? 3ϔ²Ec='[LM斀%J4r{[F~WkioT]cr{U+)w`ܰ3Yi\gebBYK ɟ3%l ܂wqckNt*s4;M{˦C մhFJ'8YYj=dN?1 핀 /R媓`ĉ*g MDwIg ō{驮ںYRbxm1
VR*f5͈ /-3`Q^K#[v VI k*՚j\,ԕ A4K|ș B=''`^ q2 w_0Sna I} A&(rs4Ŷ1"p.ƣDG,=Ƕvݹu:ݵ8\AH^jMPfMervHKLqEWG∶l¬``"w=ź
-8V ?BT*Ov,*I` $Z? H Y aG}v nd9ƧC[ludl$ Y{eϾ ߊ͟xyaQ-,`vs7GDF &%'2VO4Oܫf%jhFT$҅Muv*f@^__GT Y Q ý\7%|/*h
k`֍ѵI R
)09wYqV h]J:j Г߸~oxG8NME^IP2r\j
;!% ^~Bl[0 YmfV l:|1kBZik@ґ 1 >O:EЁ{Β&vvaOY[ށ8GjȓT_5gp ʆj .ĖOZrؾbLxdsSmcBn
kVrNJ#t RN5WxfP[ZdUd~GK }s/
0 5#l-,zeouf]iTg5
= S>UX 8 Qd7þ5('ygNÑWmKE}tl3韮1n6_w|tp3 r8=6 1wok??kÕf|(ǣ PLa >>= vQv"QFFRZP*eMܷm.+leQYO5yoj J$8`^@CDX-+{Z1GRme/9i g)/rC@ä6#
P10#t" ̹CVvZ0,^>n@VffiD"6rRvtg$ J=#.TwQ| n^Ek1Dqi91gNk Gug0[ȼFLK[jZrWξ Y34IxrЦ D#߾(x"@=* c D_wk! a,6Ms75Msb渵omƘ?]/t{b( fz'6 N.1^""WK5٦8pq?' 9lmgY]2aG:y4 P'o2D9N[*)jʂo*{=87.ɸKؼDĿRF3}e1x K+3PC
` 혼Bd4j'dt :$ 8e iکD5 T~i:&bѬZ7`͈H@8[2k 6t5u'ky 8{]d{l嗤9]IZ+y_g+*xˤ Ie#T9 Z O D] mM@[h氩t;!:4W]>hd[vO I Ux?s;k {Rɑ&p)'s=m_`C]Hg GәBUV#e@r' qԲ! {pk1HN Yt\&`8"/J|c%İ3Lu]&1Ylq lQ} 6~ ~p5QR}r&9Ů9oɢ3v||!Q\>
k_ A7
2)$_r ҵI"{u!Ca4Ƌ !E
j|N / 6Hoa
<^iN3fuhA' -K,SHd|UJ?Khgd)XX Z>2Y+Tf
Z2BNFlvRWQΝx1x1GeQHcjK< .Ǘ PZ 0w 0YVQ'*$|}H3n ЫKuOV6* |z'>\ַɜsqYg9AA ı.F i4}3|'7ITM7Z_"^Pp(!HDOF;XPFEכ>ER+LY
4o xl,reh4SN|c¬M9$ŜZ wa 1 7_I`!u\=ۃd2b<20.#%VEbT ҅,Q_ݗP.!݁wHC(v5ù[أ2vyc"|rijgnVeU+8sÐJGriJ
֫M5 }Cr }]rs)J3
tm-ْ]f,9,ctUC O3OyW0[:e TQS^; ~ԨPoQCEp
[*(i_}ր?RaFBe'â%Pq|=k0EfV:ȂJh ħAH]2)㢲aIt>l600(_ 9ny=`m$q
,N3 Nt4I3h/s[7_ xoE8_ۗlV(TUW[(axO߮خw' թv[H0x(38V
]|mzR$ѦO IM:A=}W5HrqJj]WQFˍ++MM n"e)p=UM:ׂIrJ7( ci_? ? cEzQZgޏ8DRFLPŰ
WNHҢjG
,䦇XF#.E=KOv r - G:Gq?_"ev$}r24^yrZpQF>K:-p<
`:Nm̭K,?Qm2j( "=|)У^ءq;5s. 7 y(XnZgKZN3f (be5! }chɢIgTv µlul~$c0[z'/IHI#Z 8<ڢ`QP4xDhypG o N
) qð0L&R#5 Xl-?ePE"صt;G6u)sr/&)w ?TZӱ9鬥şEk;ӗ> t 6ED>tgsUV!0bO
d@)I6l%Srсjΰ?fL.(qW j'7kOns8&Ć f,Z,ݒMXapO *Y4Dlj _LM=4dT-;qW2@Kf- ?l31V1W EDž7S]sC z
LjWDr? % 0>03AO^ç%p _z<^*jd6諈$ r#|їZ#~@fPUfDWOn֭/0ijf߫^VBШ9ZOzcv$eV|ei<): 03 xtKxDwbY>;46.4 n2BO
$;cY"m"xF)2mPG 4g3=N|/ե+-{x^ra+"?ƽ4m4&'ofnFSw& (U(+RIkNi\e nc gyUVsY'u]C3M4C6
>M LJxx#_c=/g~ZV.4[ʼ%F,V`fĐQf;'vҢ^hX?W*(~ESGYQE&vyp%nJK&+L1n Q*#t3yVy9G yŞ[w#8b+S;v]'4i (4T$B7Mýz P/fr{?+SzpLXNMBϠ+UkqXQpmkN`E@E#Cۺ3Nتӎ8
r_Ii:mjХK ' f؝vO%_O]jv? LqժԄ~?B.*XN@(%Q믰+gZymV#Wa&
B0 IaD=գwhAnuI
'UwNq괤]rSUC
)/T[PxxȨ x '[:Z$ i1btQFHO>ט}?)/ jT @>(Xv-7 +&Je} eRIo U 0 "&QR9W Fb}f**V6i]l1;/FтqfTQ 4w`o-]TnܾõxxAqyb%,CG*BD`{wz> _ ?%jv$%NmmOKݹ,K~_f#[B)F(suⳔDCT_Tgteheq*D:ԭAmU߈hqӘS#4Og$~H3r\p4Uy[_ImZTi]!ZQG
>ʌW.nrܖF MQxNW2h33ͷ
QuE$omt{sM}'Ti؛jMuPu;~% ,ѕ"Se-!J!3tu嵳̽{Ur8^u9 tٸ,6둓Vhɴbm*HKSkȅ2b' ф<<Q͞C><:2xeURZ:Љ4D\;ڵ?)sfZ,CQff$ +~mc:mVq1g ggƸƺ11c?ٌc c >Gz<<<<= Gz<<<<= G QuantLib-1.42.1/Docs/images/favicon.ico 0000664 0000000 0000000 00000002066 15170222225 0017576 0 ustar 00root root 0000000 0000000 BM6 6 ( FFFTTT LLL qqq)))fff !!! ;;; ~~~ 111 444 ((( mmm BBB AAA www QuantLib-1.42.1/Docs/pages/ 0000775 0000000 0000000 00000000000 15170222225 0015303 5 ustar 00root root 0000000 0000000 QuantLib-1.42.1/Docs/pages/authors.docs 0000664 0000000 0000000 00000001513 15170222225 0017642 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2000-2003 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.
*/
/*! \page group Contributors
\htmlinclude Contributors.txt
*/
QuantLib-1.42.1/Docs/pages/config.docs 0000664 0000000 0000000 00000013305 15170222225 0017424 0 ustar 00root root 0000000 0000000
/*
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.
*/
/*! \page config User configuration
A number of macros is provided for user configuration. Defining
or undefining such macros triggers variations in some library
functionality.
When using CMake, they can be set to `ON` or `OFF` as properties.
Under a Linux/Unix system, they are (un)set by `configure`;
run
\code
./configure --help
\endcode
for a list of corresponding command-line options.
Under a Windows system, they must be (un)defined by editing the
file `` and commenting or uncommenting the
relevant lines.
Such macros include:
\code
#define QL_ERROR_FUNCTIONS
\endcode
If defined, function information is added to the error messages
thrown by the library. Undefined by default.
\code
#define QL_ERROR_LINES
\endcode
If defined, file and line information is added to the error
messages thrown by the library. Undefined by default.
\code
#define QL_ENABLE_TRACING
\endcode
If defined, tracing messages might be emitted by the library
depending on run-time settings. Enabling this option can degrade
performance. Undefined by default.
\code
#define QL_EXTRA_SAFETY_CHECKS
\endcode
If defined, extra run-time checks are added to a few
functions. This can prevent their inlining and degrade
performance. Undefined by default.
\code
#define QL_USE_INDEXED_COUPON
\endcode
If defined, indexed coupons (see the documentation) are used in
floating legs. If undefined (the default), par coupons are used.
\code
#define QL_ENABLE_SESSIONS
\endcode
If defined, singletons will return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread. Undefined by default.
\code
#define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
\endcode
If defined, a thread-safe (but less performant) version of the
observer pattern is used. You should define it if you want to use
%QuantLib via the SWIG layer within the JVM or .NET ecosystem or
any other environment with an async garbage collector. Undefined
by default.
\code
#define QL_HIGH_RESOLUTION_DATE
\endcode
If defined, date objects willsupport an intraday datetime
resolution down to microseconds. Strictly monotone daycounters
(`Actual360`, `Actual365Fixed` and `ActualActual`) will take the
additional information into account and allow for accurate
intraday pricing. If undefined (the default) the smallest
resolution of date objects is a single day. Intraday
datetime resolution is experimental.
\code
#define QL_THROW_IN_CYCLES
\endcode
If defined, lazy objects will raise an exception when they detect
a notification cycle which would result in an infinite recursion
loop. If undefined (the default), they will break the recursion
without throwing. Enabling this option is recommended but might
cause existing code to throw.
\code
#define QL_FASTER_LAZY_OBJECTS
\endcode
If defined (the default), lazy objects will forward the first
notification received, and discard the others until recalculated;
the rationale is that observers were already notified, and don't
need further notifications until they recalculate, at which point
this object would be recalculated too. After recalculation, this
object would again forward the first notification received.
Although not always correct, this behavior is a lot faster and
thus is the current default.
\code
#define QL_USE_STD_ANY
\endcode
If defined (the default), `std::any` and related classes and
functions will be used instead of `boost::any`. If undefined, the
Boost facilities will be used.
\code
#define QL_USE_STD_OPTIONAL
\endcode
If defined (the default), `std::optional` and related classes and
functions will be used instead of `boost::optional`. If undefined,
the Boost facilities will be used.
\code
#define QL_USE_STD_SHARED_PTR
\endcode
If defined, `std::shared_ptr` and related classes and functions
will used instead of `boost::shared_ptr`. If undefined (the
default) the Boost facilities will be used. Note that
`std::shared_ptr` does not check access and can cause segmentation
faults.
\code
#define QL_NULL_AS_FUNCTIONS
\endcode
If defined, `Null` will be implemented as a template function.
This allows the code to work with user-defined `Real` types but
was reported to cause internal compiler errors with Visual C++
2022 in some cases. If undefined (the default) `Null` will be
implemented as a class template, as in previous releases.
\code
#define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
\endcode
If defined, a parallel unit test runner will be used to execute
the C++ test suite. This will reduce the runtime on multi core
CPUs. Undefined by default.
*/
QuantLib-1.42.1/Docs/pages/coreclasses.docs 0000664 0000000 0000000 00000001562 15170222225 0020467 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 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.
*/
/*! \defgroup types Numeric types
A number of numeric types are defined in order to add clarity to
function and method declarations.
*/
QuantLib-1.42.1/Docs/pages/currencies.docs 0000664 0000000 0000000 00000001424 15170222225 0020320 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \defgroup currencies Currencies and FX rates
*/
QuantLib-1.42.1/Docs/pages/datetime.docs 0000664 0000000 0000000 00000004064 15170222225 0017755 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2000-2004 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.
*/
/*! \defgroup datetime Date and time calculations
The concrete class QuantLib::Date implements the concept
of date. Its functionalities include:
- providing basic information such as weekday, day of the month,
day of the year, month, and year;
- comparing two dates to determine whether they are equal, or
which one is the earlier or later, or the difference between them
expressed in days;
- incrementing or decrementing a date of a given number of days,
or of a given period expressed in weeks, months, or years.
@{
*/
/*! \defgroup calendars Calendars
The class QuantLib::Calendar provides the interface for
determining whether a date is a business day or a holiday for a
given exchange or a given country, and for incrementing/decrementing
a date of a given number of business days. A number of calendars is
contained in the ql/time/calendars directory.
*/
/*! \defgroup daycounters Day counters
The class QuantLib::DayCounter provides more advanced
means of measuring the distance between two dates according to a
given market convention, both as number of days of fraction of
year. A number of such conventions is contained in the
ql/time/daycounters directory.
*/
/*! @} */
QuantLib-1.42.1/Docs/pages/engines.docs 0000664 0000000 0000000 00000002663 15170222225 0017614 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2004 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.
*/
/*! \defgroup engines Pricing engines
@{
*/
/*! \defgroup asianengines Asian option engines */
/*! \defgroup barrierengines Barrier option engines */
/*! \defgroup basketengines Basket option engines */
/*! \defgroup bondengines Basket option engines */
/*! \defgroup capfloorengines Cap/floor engines */
/*! \defgroup cliquetengines Cliquet option engines */
/*! \defgroup forwardengines Forward option engines */
/*! \defgroup inflationcapfloorengines Inflation cap/floor engines */
/*! \defgroup lookbackengines Lookback option engines */
/*! \defgroup quantoengines Quanto option engines */
/*! \defgroup swaptionengines Swaption engines */
/*! \defgroup vanillaengines Vanilla option engines */
/*! @} */
QuantLib-1.42.1/Docs/pages/examples.docs 0000664 0000000 0000000 00000012310 15170222225 0017770 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*!
\example BasketLosses.cpp
This example shows how to model losses across correlated assets.
\example BermudanSwaption.cpp
This example 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.
\example Bonds.cpp
This example 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.
\example CallableBonds.cpp
This example prices a number of callable bonds and compares the
results to known good data.
\example CDS.cpp
This example bootstraps a default-probability curve over a number
of CDS and reprices them.
\example ConvertibleBonds.cpp
For a given set of option parameters, this example 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.
\example CVAIRS.cpp
This example shows how to calculate credit value adjustment for an
interest rate swap.
\example DiscreteHedging.cpp
This example 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". It shows the use of the Monte Carlo framework.
\example EquityOption.cpp
For a given set of option parameters, this example 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 trees, crude Monte Carlo (european-only) and
Sobol-sequence Monte Carlo (european-only).
\example FittedBondCurve.cpp
For a given set of coupons and terms to maturity, this example
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.
\example FRA.cpp
This example values a forward-rate agreement (FRA) at different
forward dates under two yield curve assumptions. It thereby
illustrates how set up a term structure, and to use it to price a
simple forward-rate agreement.
\example Gaussian1dModels.cpp
This example shows the use of Gaussian short rate model for
interest rate derivatives.
\example GlobalOptimizer.cpp
This example shows the use of several different optimizers:
firefly algorithm, hybrid simulated annealing, particle swarm
optimization, simulated annealing, and differential evolution.
\example LatentModel.cpp
This example shows the calculation of correlated defaults.
\example MarketModels.cpp
This example shows the use of interest-rate market models.
\example MulticurveBootstrapping.cpp
This example prices an interest rate swap over a term structure
and calculates its fair fixed rate and floating spread.
\example MultidimIntegral.cpp
This example shows multi-dimensional numerical integration.
\example Replication.cpp
This example uses the CompositeInstrument class to statically
replicate a down-and-out barrier options.
\example Repo.cpp
This example 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.
*/
QuantLib-1.42.1/Docs/pages/findiff.docs 0000664 0000000 0000000 00000001763 15170222225 0017571 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \defgroup findiff Finite-differences framework
This framework (corresponding to the ql/methods/finitedifferences directory)
contains basic building blocks for the numerical solution of partial
differential equations by means of finite-difference methods.
*/
QuantLib-1.42.1/Docs/pages/fixedincome.docs 0000664 0000000 0000000 00000007722 15170222225 0020457 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 Sadruddin Rejeb
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.
*/
/*! \defgroup shortrate Short-rate modelling framework
This framework (corresponding to the ql/models/shortrate directory)
implements some single-factor and two-factor short rate models. The models
implemented in this library are widely used by practitioners. For the
moment, the ShortRateModel class defines the short-rate dynamics
with stochastic equations of the type
\f[
dx_i = \mu(t,x_i) dt + \sigma(t,x_i) dW_t
\f]
where \f$ r = f(t,x) \f$. If the model is affine (i.e. derived from the
QuantLib::AffineModel class), analytical formulas
for discount bonds and discount bond options are given (useful for
calibration).
\section singlefactormodels Single-factor models
\par The Hull & White model
\f[
dr_t = (\theta(t) - \alpha(t) r_t)dt + \sigma(t) dW_t
\f]
When \f$ \alpha \f$ and \f$ \sigma \f$ are constants, this model
has analytical formulas for discount bonds and discount bond options.
\par The Black-Karasinski model
\f[
d\ln{r_t} = (\theta(t) - \alpha \ln{r_t})dt + \sigma dW_t
\f]
No analytical tractability here.
\par The extended Cox-Ingersoll-Ross model
\f[
dr_t = (\theta(t) - k r_t)dt + \sigma \sqrt{r_t} dW_t
\f]
There are analytical formulas for discount bonds (and soon for discount
bond options).
\section calibration Calibration
The class CalibrationHelper is a base class that facilitates the
instantiation of market instruments used for calibration. It has
a method marketValue() that gives the market price using a Black
formula, and a modelValue() method that gives the price according to
a model
Derived classed are
QuantLib::CapHelper and
QuantLib::SwaptionHelper.
For the calibration itself, you must choose an optimization method that
will find constant parameters such that the value:
\f[
V = \sqrt{\sum_{i=1}^{n} \frac{(T_i - M_i)^2}{M_i}},
\f]
where \f$ T_i \f$ is the price given by the model and \f$ M_i \f$ is the
market price, is minimized. A few optimization methods are available in
the ql/Optimization directory.
\section twofactormodels Two-factor models
\section pricers Pricers
\par Analytical pricers
If the model is affine, i.e. discount bond options formulas exist, caps are
easily priced since they are a portfolio of discount bond options. Such a
pricer is implemented in QuantLib::AnalyticalCapFloor.
In the case of single-factor affine models, swaptions can be priced using
the Jamshidian decomposition, implemented in
QuantLib::JamshidianSwaption.
\par Using Trees
Each model derived from the single-factor model class has the ability to
return a trinomial tree. For yield-curve consistent models, the fitting
parameter can be determined either analytically (when possible) or
numerically. When a tree is built, it is then pretty straightforward to
implement a pricer for any path-independent derivative. Just implement
a class derived from NumericalDerivative (see
QuantLib::NumericalSwaption for example) and roll it back until
the present time...
Just look at QuantLib::TreeCapFloor and
QuantLib::TreeSwaption for working pricers.
*/
QuantLib-1.42.1/Docs/pages/history.docs 0000664 0000000 0000000 00000001560 15170222225 0017660 0 ustar 00root root 0000000 0000000 /*
Copyright (C) 2000-2018 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.
*/
/*! \page history Version history
The list of releases is available from GitHub at
.
*/
QuantLib-1.42.1/Docs/pages/index.docs 0000664 0000000 0000000 00000003253 15170222225 0017267 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \mainpage Introduction
%QuantLib (https://www.quantlib.org/) is a C++ library for
financial quantitative analysts and developers.
%QuantLib is Non-Copylefted Free Software released under the modified BSD
License. It is also OSI Certified Open Source Software. OSI Certified is a
certification mark of the Open Source Initiative.
%QuantLib is free software and you are allowed to use, copy, modify,
merge, publish, distribute, and/or sell copies of it under the conditions
stated in the \ref license.
%QuantLib and its documentation are distributed in the hope that they
will be useful, but WITHOUT ANY WARRANTY; without even the implied
warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
\ref license for more details.
\section disclaimer Disclaimer
At this time, this documentation is widely incomplete and must be
regarded as a work in progress. Contributions are welcome.
*/
QuantLib-1.42.1/Docs/pages/instruments.docs 0000664 0000000 0000000 00000001423 15170222225 0020550 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 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.
*/
/*! \defgroup instruments Financial instruments
*/
QuantLib-1.42.1/Docs/pages/lattices.docs 0000664 0000000 0000000 00000010652 15170222225 0017771 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2002, 2003 Sadruddin Rejeb
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.
*/
/*! \defgroup lattices Lattice methods
The framework (corresponding to the ql/methods/lattices directory)
contains basic building blocks for pricing instruments using lattice
methods (trees). A lattice, i.e. an instance of the abstract class
QuantLib::Lattice, relies on one or several trees (each one
approximating a diffusion process) to price an instance of the
DiscretizedAsset class. Trees are instances of classes derived from
QuantLib::Tree, classes which define the branching between
nodes and transition probabilities.
\section binomial Binomial trees
The binomial method is the simplest numerical method that can be used to
price path-independent derivatives. It is usually the preferred lattice
method under the Black-Scholes-Merton model. As an example, let's see
the framework implemented in the bsmlattice.hpp file. It is a method
based on a binomial tree, with constant short-rate (discounting).
There are several approaches to build the underlying binomial tree, like
Jarrow-Rudd or Cox-Ross-Rubinstein.
\section trinomial Trinomial trees
When the underlying stochastic process has a mean-reverting pattern, it is
usually better to use a trinomial tree instead of a binomial tree. An
example is implemented in the QuantLib::TrinomialTree class,
which is constructed using a diffusion process and a time-grid. The goal is
to build a recombining trinomial tree that will discretize, at a finite set
of times, the possible evolutions of a random variable \f$ y \f$ satisfying
\f[
dy_t = \mu(t, y_t) dt + \sigma(t, y_t) dW_t.
\f]
At each node, there is a probability \f$ p_u, p_m \f$ and \f$ p_d \f$ to go
through respectively the upper, the middle and the lower branch.
These probabilities must satisfy
\f[
p_{u}y_{i+1,k+1}+p_{m}y_{i+1,k}+p_{d}y_{i+1,k-1}=E_{i,j}
\f]
and
\f[
p_u y_{i+1,k+1}^2 + p_m y_{i+1,k}^2 + p_d y_{i+1,k-1}^2 =
V^2_{i,j}+E_{i,j}^2,
\f]
where k (the index of the node at the end of the middle branch)
is the index of the node which is the nearest to the expected future
value, \f$ E_{i,j}=\mathbf{E}\left( y(t_{i+1})|y(t_{i})=y_{i,j}\right) \f$
and \f$ V_{i,j}^{2}=\mathbf{Var}\{y(t_{i+1})|y(t_{i})=y_{i,j}\} \f$.
If we suppose that the variance is only dependent on time
\f$ V_{i,j}=V_{i} \f$ and set \f$ y_{i+1} \f$ to \f$ V_{i}\sqrt{3} \f$,
we find that
\f[
p_{u} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} +
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}},
\f]
\f[
p_{m} = \frac{2}{3}-\frac{(E_{i,j}-y_{i+1,k})^{2}}{3V_{i}^{2}},
\f]
\f[
p_{d} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} -
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}}.
\f]
\section bidimensional Bidimensional lattices
To come...
\section discretizedasset The QuantLib::DiscretizedAsset class
This class is a representation of the price of a derivative at a specific
time. It is roughly an array of values, each value being associated to a
state of the underlying stochastic variables. For the moment, it is only
used when working with trees, but it should be quite easy to make a use
of it in finite-differences methods. The two main points, when deriving
classes from QuantLib::DiscretizedAsset, are:
-# Define the initialisation procedure (e.g. terminal payoff for european
stock options).
-# Define the method adjusting values, when necessary, at each time steps
(e.g. apply the step condition for american or bermudan options).
Some examples are found in QuantLib::DiscretizedSwap and
QuantLib::DiscretizedSwaption.
*/
QuantLib-1.42.1/Docs/pages/license.docs 0000664 0000000 0000000 00000002047 15170222225 0017602 0 ustar 00root root 0000000 0000000
/*! \page license QuantLib License
\verbinclude LICENSE.TXT
\section licensecomments Comments on Copyright and License
%QuantLib is Non-Copylefted Free Software [1] released under the modified BSD
License [2] (also know as XFree86-style license).
%QuantLib is Open Source [3] because of its license: it is OSI Certified Open
Source Software [4]. OSI Certified is a certification mark of the Open Source
Initiative [5].
The modified BSD License is GPL compatible as confirmed by the Free Software
Foundation [6].
This license has been adopted to allow free use of %QuantLib and its source, to
make %QuantLib flourish as a free-software/open-source project. It allows
proprietary extensions to be commercialized.
[1] http://www.gnu.org/philosophy/categories.html#Non-CopyleftedFreeSoftware
[2] http://www.opensource.org/licenses/bsd-license.html
[3] http://www.opensource.org/docs/definition.html
[4] http://www.opensource.org/docs/certification_mark.html
[5] http://www.opensource.org
[6] http://www.gnu.org/philosophy/bsd.html
*/
QuantLib-1.42.1/Docs/pages/math.docs 0000664 0000000 0000000 00000003447 15170222225 0017116 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \defgroup math Math tools
@{
*/
/*! \defgroup interpolations 1-D Interpolations and corresponding traits */
/*! \defgroup solvers One-dimensional solvers
The abstract class QuantLib::Solver1D provides the interface for
one-dimensional solvers which can find the zeroes of a given function.
A number of such solvers is contained in the ql/Solvers1D
directory.
The implementation of the algorithms was inspired by
"Numerical Recipes in C", 2nd edition,
Press, Teukolsky, Vetterling, Flannery - Chapter 9
Some work is needed to resolve the ambiguity of the root finding accuracy
definition: for some algorithms it is the x-accuracy, for others it is
f(x)-accuracy.
*/
/*! \defgroup optimizers Optimizers
The optimization framework (corresponding to the ql/Optimization
directory) implements some multi-dimensional minimizing
methods. The function to be minimized is to be derived from the
QuantLib::CostFunction base class (if the gradient is not
analytically implemented, it will be computed numerically).
*/
/*! @} */
QuantLib-1.42.1/Docs/pages/mcarlo.docs 0000664 0000000 0000000 00000001632 15170222225 0017434 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \defgroup mcarlo Monte Carlo framework
This framework (corresponding to the ql/methods/montecarlo directory)
contains basic building blocks for Monte Carlo simulations.
*/
QuantLib-1.42.1/Docs/pages/patterns.docs 0000664 0000000 0000000 00000001412 15170222225 0020013 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 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.
*/
/*! \defgroup patterns Design patterns
*/
QuantLib-1.42.1/Docs/pages/processes.docs 0000664 0000000 0000000 00000002004 15170222225 0020157 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 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.
*/
/*! \defgroup processes Stochastic processes
The classes QuantLib::StochasticProcess and
QuantLib::StochasticProcess1D provide the interface for a
generic stochastic process. A number of specific processes is
contained in the ql/processes directory.
*/
QuantLib-1.42.1/Docs/pages/resources.docs 0000664 0000000 0000000 00000002730 15170222225 0020171 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \page resources Additional resources
The main %QuantLib resource is the %QuantLib web site
(https://www.quantlib.org).
Additional resources available from the above site include:
- available documentation (https://www.quantlib.org/docs.shtml);
- the %QuantLib mailing lists and forums
(https://www.quantlib.org/mailinglists.shtml);
- the %QuantLib programming style guidelines
(https://www.quantlib.org/style.shtml);
- links to pages for reporting issues
(https://github.com/lballabio/QuantLib/issues)
and submitting changes
(https://github.com/lballabio/QuantLib/pulls);
- a page (https://www.quantlib.org/extensions.shtml) about how to use %QuantLib
in other languages/platforms.
*/
QuantLib-1.42.1/Docs/pages/termstructures.docs 0000664 0000000 0000000 00000002661 15170222225 0021275 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 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.
*/
/*! \defgroup termstructuressss Term structures
@{
*/
/*! \defgroup yieldtermstructures Interest-rate term structures
The abstract class QuantLib::YieldTermStructure provides the common
interface to concrete yield-rate term structure models. Among
others, methods are declared which return instantaneous forward
rate, discount factor, and zero rate at a given date. Adapter
classes are provided which already implement part of the required
methods, thus allowing the programmer to define only the
non-redundant part.
*/
/*! \defgroup defaultprobabilitytermstructures Default-probability term structures */
/*! \defgroup inflationtermstructures Inflation term structures */
/*! @} */
QuantLib-1.42.1/Docs/quantlib.doxy 0000664 0000000 0000000 00000031731 15170222225 0016735 0 ustar 00root root 0000000 0000000 # Doxyfile 1.14.0
#---------------------------------------------------------------------------
# Project related configuration options
#---------------------------------------------------------------------------
DOXYFILE_ENCODING = UTF-8
PROJECT_NAME = QuantLib
PROJECT_NUMBER = ql_version
PROJECT_BRIEF = "A free/open-source library for quantitative finance"
PROJECT_LOGO =
PROJECT_ICON =
OUTPUT_DIRECTORY =
CREATE_SUBDIRS = NO
CREATE_SUBDIRS_LEVEL = 8
ALLOW_UNICODE_NAMES = NO
OUTPUT_LANGUAGE = English
BRIEF_MEMBER_DESC = YES
REPEAT_BRIEF = YES
ABBREVIATE_BRIEF =
ALWAYS_DETAILED_SEC = NO
INLINE_INHERITED_MEMB = NO
FULL_PATH_NAMES = YES
STRIP_FROM_PATH = ql_basepath
STRIP_FROM_INC_PATH = ql_basepath
SHORT_NAMES = NO
JAVADOC_AUTOBRIEF = NO
JAVADOC_BANNER = NO
QT_AUTOBRIEF = NO
MULTILINE_CPP_IS_BRIEF = NO
PYTHON_DOCSTRING = YES
INHERIT_DOCS = YES
SEPARATE_MEMBER_PAGES = NO
TAB_SIZE = 4
ALIASES = "warning=\xrefitem caveats \"Warning\" \"Caveats\"" \
"test=\xrefitem test \"Tests\" \"Test Suite\"" \
"bug=\xrefitem bug \"Bug\" \"Known Bugs\"" \
"deprecated=\xrefitem deprecated \"Deprecated\" \"Deprecated Features\""
OPTIMIZE_OUTPUT_FOR_C = NO
OPTIMIZE_OUTPUT_JAVA = NO
OPTIMIZE_FOR_FORTRAN = NO
OPTIMIZE_OUTPUT_VHDL = NO
OPTIMIZE_OUTPUT_SLICE = NO
EXTENSION_MAPPING =
MARKDOWN_SUPPORT = YES
TOC_INCLUDE_HEADINGS = 0
MARKDOWN_ID_STYLE = DOXYGEN
AUTOLINK_SUPPORT = YES
AUTOLINK_IGNORE_WORDS =
BUILTIN_STL_SUPPORT = YES
CPP_CLI_SUPPORT = NO
SIP_SUPPORT = NO
IDL_PROPERTY_SUPPORT = YES
DISTRIBUTE_GROUP_DOC = NO
GROUP_NESTED_COMPOUNDS = NO
SUBGROUPING = YES
INLINE_GROUPED_CLASSES = NO
INLINE_SIMPLE_STRUCTS = NO
TYPEDEF_HIDES_STRUCT = NO
LOOKUP_CACHE_SIZE = 0
NUM_PROC_THREADS = 1
TIMESTAMP = NO
#---------------------------------------------------------------------------
# Build related configuration options
#---------------------------------------------------------------------------
EXTRACT_ALL = NO
EXTRACT_PRIVATE = NO
EXTRACT_PRIV_VIRTUAL = NO
EXTRACT_PACKAGE = NO
EXTRACT_STATIC = NO
EXTRACT_LOCAL_CLASSES = NO
EXTRACT_LOCAL_METHODS = NO
EXTRACT_ANON_NSPACES = NO
RESOLVE_UNNAMED_PARAMS = YES
HIDE_UNDOC_MEMBERS = NO
HIDE_UNDOC_CLASSES = YES
HIDE_UNDOC_NAMESPACES = YES
HIDE_FRIEND_COMPOUNDS = NO
HIDE_IN_BODY_DOCS = YES
INTERNAL_DOCS = NO
CASE_SENSE_NAMES = NO
HIDE_SCOPE_NAMES = YES
HIDE_COMPOUND_REFERENCE= NO
SHOW_HEADERFILE = YES
SHOW_INCLUDE_FILES = YES
SHOW_GROUPED_MEMB_INC = NO
FORCE_LOCAL_INCLUDES = NO
INLINE_INFO = NO
SORT_MEMBER_DOCS = NO
SORT_BRIEF_DOCS = NO
SORT_MEMBERS_CTORS_1ST = YES
SORT_GROUP_NAMES = YES
SORT_BY_SCOPE_NAME = YES
STRICT_PROTO_MATCHING = NO
GENERATE_TODOLIST = NO
GENERATE_TESTLIST = YES
GENERATE_BUGLIST = YES
GENERATE_DEPRECATEDLIST= YES
ENABLED_SECTIONS =
MAX_INITIALIZER_LINES = 30
SHOW_USED_FILES = NO
SHOW_FILES = NO
SHOW_NAMESPACES = NO
FILE_VERSION_FILTER =
LAYOUT_FILE =
CITE_BIB_FILES =
EXTERNAL_TOOL_PATH =
#---------------------------------------------------------------------------
# Configuration options related to warning and progress messages
#---------------------------------------------------------------------------
QUIET = YES
WARNINGS = YES
WARN_IF_UNDOCUMENTED = NO
WARN_IF_DOC_ERROR = YES
WARN_IF_INCOMPLETE_DOC = NO
WARN_NO_PARAMDOC = NO
WARN_IF_UNDOC_ENUM_VAL = NO
WARN_LAYOUT_FILE = YES
WARN_AS_ERROR = YES
WARN_FORMAT = "$file:$line: $text"
WARN_LINE_FORMAT = "at line $line of file $file"
WARN_LOGFILE =
#---------------------------------------------------------------------------
# Configuration options related to the input files
#---------------------------------------------------------------------------
INPUT = ql_basepath/Docs//pages \
ql_basepath/ql
INPUT_ENCODING = UTF-8
INPUT_FILE_ENCODING =
FILE_PATTERNS = *.docs \
*.hpp \
*.h
RECURSIVE = YES
EXCLUDE = ql_basepath//ql/config.hpp \
ql_basepath//ql/config.msvc.hpp
EXCLUDE_SYMLINKS = NO
EXCLUDE_PATTERNS = */all.hpp
EXCLUDE_SYMBOLS =
EXAMPLE_PATH = ql_basepath/Examples \
.
EXAMPLE_PATTERNS = *.cpp
EXAMPLE_RECURSIVE = YES
IMAGE_PATH =
INPUT_FILTER =
FILTER_PATTERNS =
FILTER_SOURCE_FILES = NO
FILTER_SOURCE_PATTERNS =
USE_MDFILE_AS_MAINPAGE =
IMPLICIT_DIR_DOCS = YES
FORTRAN_COMMENT_AFTER = 72
#---------------------------------------------------------------------------
# Configuration options related to source browsing
#---------------------------------------------------------------------------
SOURCE_BROWSER = NO
INLINE_SOURCES = NO
STRIP_CODE_COMMENTS = YES
REFERENCED_BY_RELATION = NO
REFERENCES_RELATION = NO
REFERENCES_LINK_SOURCE = NO
SOURCE_TOOLTIPS = NO
USE_HTAGS = NO
VERBATIM_HEADERS = NO
#---------------------------------------------------------------------------
# Configuration options related to the alphabetical class index
#---------------------------------------------------------------------------
ALPHABETICAL_INDEX = YES
IGNORE_PREFIX =
#---------------------------------------------------------------------------
# Configuration options related to the HTML output
#---------------------------------------------------------------------------
GENERATE_HTML = YES
HTML_OUTPUT = html
HTML_FILE_EXTENSION = .html
HTML_HEADER = ql_basepath/Docs/quantlibheader.html
HTML_FOOTER = ql_basepath/Docs/quantlibfooter.html
HTML_STYLESHEET =
HTML_EXTRA_STYLESHEET = ql_basepath/Docs/quantlibextra.css
HTML_EXTRA_FILES = ql_basepath/Docs/images/favicon.ico
HTML_COLORSTYLE = AUTO_LIGHT
HTML_COLORSTYLE_HUE = 220
HTML_COLORSTYLE_SAT = 100
HTML_COLORSTYLE_GAMMA = 80
HTML_DYNAMIC_MENUS = YES
HTML_DYNAMIC_SECTIONS = YES
HTML_CODE_FOLDING = YES
HTML_COPY_CLIPBOARD = YES
HTML_PROJECT_COOKIE =
HTML_INDEX_NUM_ENTRIES = 100
GENERATE_DOCSET = NO
DOCSET_FEEDNAME = "Doxygen generated docs"
DOCSET_FEEDURL =
DOCSET_BUNDLE_ID = org.doxygen.Project
DOCSET_PUBLISHER_ID = org.doxygen.Publisher
DOCSET_PUBLISHER_NAME = Publisher
GENERATE_HTMLHELP = NO
CHM_FILE =
HHC_LOCATION = hhc.exe
GENERATE_CHI = NO
CHM_INDEX_ENCODING =
BINARY_TOC = NO
TOC_EXPAND = NO
SITEMAP_URL =
GENERATE_QHP = NO
QCH_FILE =
QHP_NAMESPACE = org.doxygen.Project
QHP_VIRTUAL_FOLDER = doc
QHP_CUST_FILTER_NAME =
QHP_CUST_FILTER_ATTRS =
QHP_SECT_FILTER_ATTRS =
QHG_LOCATION =
GENERATE_ECLIPSEHELP = NO
ECLIPSE_DOC_ID = org.doxygen.Project
DISABLE_INDEX = NO
GENERATE_TREEVIEW = NO
PAGE_OUTLINE_PANEL = YES
FULL_SIDEBAR = NO
ENUM_VALUES_PER_LINE = 4
SHOW_ENUM_VALUES = NO
TREEVIEW_WIDTH = 250
EXT_LINKS_IN_WINDOW = NO
OBFUSCATE_EMAILS = YES
HTML_FORMULA_FORMAT = png
FORMULA_FONTSIZE = 12
FORMULA_MACROFILE =
USE_MATHJAX = YES
MATHJAX_VERSION = MathJax_2
MATHJAX_FORMAT = HTML-CSS
MATHJAX_RELPATH = https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/
MATHJAX_EXTENSIONS =
MATHJAX_CODEFILE =
SEARCHENGINE = YES
SERVER_BASED_SEARCH = NO
EXTERNAL_SEARCH = NO
SEARCHENGINE_URL =
SEARCHDATA_FILE = searchdata.xml
EXTERNAL_SEARCH_ID =
EXTRA_SEARCH_MAPPINGS =
#---------------------------------------------------------------------------
# Configuration options related to the LaTeX output
#---------------------------------------------------------------------------
GENERATE_LATEX = NO
LATEX_OUTPUT = latex
LATEX_CMD_NAME = latex
MAKEINDEX_CMD_NAME = makeindex
LATEX_MAKEINDEX_CMD = makeindex
COMPACT_LATEX = NO
PAPER_TYPE = a4
EXTRA_PACKAGES =
LATEX_HEADER =
LATEX_FOOTER =
LATEX_EXTRA_STYLESHEET =
LATEX_EXTRA_FILES =
PDF_HYPERLINKS = YES
USE_PDFLATEX = YES
LATEX_BATCHMODE = NO
LATEX_HIDE_INDICES = NO
LATEX_BIB_STYLE = plain
LATEX_EMOJI_DIRECTORY =
#---------------------------------------------------------------------------
# Configuration options related to the RTF output
#---------------------------------------------------------------------------
GENERATE_RTF = NO
RTF_OUTPUT = rtf
COMPACT_RTF = NO
RTF_HYPERLINKS = NO
RTF_STYLESHEET_FILE =
RTF_EXTENSIONS_FILE =
RTF_EXTRA_FILES =
#---------------------------------------------------------------------------
# Configuration options related to the man page output
#---------------------------------------------------------------------------
GENERATE_MAN = NO
MAN_OUTPUT = man
MAN_EXTENSION = .3
MAN_SUBDIR =
MAN_LINKS = YES
#---------------------------------------------------------------------------
# Configuration options related to the XML output
#---------------------------------------------------------------------------
GENERATE_XML = NO
XML_OUTPUT = xml
XML_PROGRAMLISTING = NO
XML_NS_MEMB_FILE_SCOPE = NO
#---------------------------------------------------------------------------
# Configuration options related to the DOCBOOK output
#---------------------------------------------------------------------------
GENERATE_DOCBOOK = NO
DOCBOOK_OUTPUT = docbook
#---------------------------------------------------------------------------
# Configuration options for the AutoGen Definitions output
#---------------------------------------------------------------------------
GENERATE_AUTOGEN_DEF = NO
#---------------------------------------------------------------------------
# Configuration options related to Sqlite3 output
#---------------------------------------------------------------------------
GENERATE_SQLITE3 = NO
SQLITE3_OUTPUT = sqlite3
SQLITE3_RECREATE_DB = YES
#---------------------------------------------------------------------------
# Configuration options related to the Perl module output
#---------------------------------------------------------------------------
GENERATE_PERLMOD = NO
PERLMOD_LATEX = NO
PERLMOD_PRETTY = YES
PERLMOD_MAKEVAR_PREFIX =
#---------------------------------------------------------------------------
# Configuration options related to the preprocessor
#---------------------------------------------------------------------------
ENABLE_PREPROCESSING = YES
MACRO_EXPANSION = YES
EXPAND_ONLY_PREDEF = NO
SEARCH_INCLUDES = YES
INCLUDE_PATH =
INCLUDE_FILE_PATTERNS =
PREDEFINED = __DOXYGEN__
EXPAND_AS_DEFINED =
SKIP_FUNCTION_MACROS = YES
#---------------------------------------------------------------------------
# Configuration options related to external references
#---------------------------------------------------------------------------
TAGFILES =
GENERATE_TAGFILE =
ALLEXTERNALS = NO
EXTERNAL_GROUPS = YES
EXTERNAL_PAGES = YES
#---------------------------------------------------------------------------
# Configuration options related to diagram generator tools
#---------------------------------------------------------------------------
HIDE_UNDOC_RELATIONS = NO
HAVE_DOT = YES
DOT_NUM_THREADS = 0
DOT_COMMON_ATTR = "fontname=Helvetica,fontsize=10"
DOT_EDGE_ATTR = "labelfontname=Helvetica,labelfontsize=10"
DOT_NODE_ATTR = "shape=box,height=0.2,width=0.4"
DOT_FONTPATH =
CLASS_GRAPH = YES
COLLABORATION_GRAPH = NO
GROUP_GRAPHS = NO
UML_LOOK = NO
UML_LIMIT_NUM_FIELDS = 10
UML_MAX_EDGE_LABELS = 10
DOT_UML_DETAILS = NO
DOT_WRAP_THRESHOLD = 17
TEMPLATE_RELATIONS = NO
INCLUDE_GRAPH = NO
INCLUDED_BY_GRAPH = NO
CALL_GRAPH = NO
CALLER_GRAPH = NO
GRAPHICAL_HIERARCHY = YES
DIRECTORY_GRAPH = NO
DIR_GRAPH_MAX_DEPTH = 1
DOT_IMAGE_FORMAT = png
INTERACTIVE_SVG = NO
DOT_PATH =
DOTFILE_DIRS =
DIA_PATH =
DIAFILE_DIRS =
PLANTUML_JAR_PATH =
PLANTUML_CFG_FILE =
PLANTUML_INCLUDE_PATH =
PLANTUMLFILE_DIRS =
DOT_GRAPH_MAX_NODES = 150
MAX_DOT_GRAPH_DEPTH = 2
DOT_MULTI_TARGETS = NO
GENERATE_LEGEND = YES
DOT_CLEANUP = YES
MSCGEN_TOOL =
MSCFILE_DIRS =
QuantLib-1.42.1/Docs/quantlibextra.css 0000664 0000000 0000000 00000001471 15170222225 0017604 0 ustar 00root root 0000000 0000000 #projectname, #projectname a, #projectname a:visited
{
font-family: "Lato", sans-serif;
font-weight: 700;
font-style: italic;
color: black;
}
#projectname
{
padding: 1em;
}
#projectnumber
{
font-family: "Lato", sans-serif;
font-weight: 400;
font-style: italic;
font-size: 60%;
margin-top: 1em;
margin-bottom: 0;
}
body, table, div, p, dl {
font: 300 16px/22px Lato,sans-serif;
}
p.reference, p.definition {
font: 300 16px/22px Lato,sans-serif;
}
.title {
font-family: "Lato", sans-serif;
font-style: italic;
}
table.directory {
font: 400 16px "Lato",sans-serif;
}
h1 {
font-style: italic;
}
.sm-dox a,.sm-dox a:focus,.sm-dox a:hover,.sm-dox a:active {
font-family: "Lato", sans-serif;
font-weight: 400;
font-style: italic;
}
QuantLib-1.42.1/Docs/quantlibfooter.html 0000664 0000000 0000000 00000001126 15170222225 0020130 0 ustar 00root root 0000000 0000000