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Diff for: ‎Authors.txt

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@@ -10,3 +10,6 @@ Sadruddin Rejeb
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Niels Elken S�nderby
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Enrico Sirola, StatPro Italia srl
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Liguo Song
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QuantLib also includes code taken from Peter J�ckel's book "Monte Carlo
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Methods in Finance".

Diff for: ‎ChangeLog.txt

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Diff for: ‎Docs/Makefile.am

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@@ -46,7 +46,7 @@ docs-html: .time-stamp-html
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docs-html-dist: docs-html
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ln -s html QuantLib-docs-$(VERSION)-html
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tar chof - QuantLib-docs-$(VERSION)-html \
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tar chf - QuantLib-docs-$(VERSION)-html \
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| GZIP=--best gzip -c > QuantLib-docs-$(VERSION)-html.tar.gz
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rm QuantLib-docs-$(VERSION)-html
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docs-man-dist: docs-man
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ln -s man QuantLib-docs-$(VERSION)-man
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tar chof - QuantLib-docs-$(VERSION)-man \
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tar chf - QuantLib-docs-$(VERSION)-man \
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| GZIP=--best gzip -c > QuantLib-docs-$(VERSION)-man.tar.gz
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rm QuantLib-docs-$(VERSION)-man
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Diff for: ‎Docs/pages/authors.docs

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- Enrico Sirola, StatPro Italia srl
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- Liguo Song
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%QuantLib also includes code taken from Peter J�ckel's book "Monte Carlo
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Methods in Finance".
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\section contributors Contributors
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We gratefully acknowledge contributions from Xavier Abulker, Toyin

Diff for: ‎Docs/pages/faq.docs

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\section faq_build Building QuantLib
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<strong>
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\anchor faq_compiling_mingw
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I'm having trouble building QuantLib with MinGW.
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</strong>
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Terry August was kind enough to put together detailed instructions
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for MinGW users. They can be found at
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<http://www.stanford.edu/~taugust/quantlib.html>.
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<strong>
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\anchor faq_compiling_devcpp_choking
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When trying to compile QuantLib in the Dev-C++ IDE, I get an error
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saying that "Could not create makefile: C:\...\Makefile.win"
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</strong>
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The message is misleading. Close the IDE, create an empty
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sub-directory named "build" in the same directory as the Dev-C++
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project, and retry.
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<strong>
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\anchor faq_compiling_missing_boost
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When building QuantLib, I get a compile error about a missing
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boost/something header.
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</strong>
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As mentioned in the readme, QuantLib depends on the Boost library
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(http://www.boost.org). You must download and install it before
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building QuantLib.
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<strong>
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\anchor faq_linking_libboost_unit
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When building the test-suite, I encounter a linking error about
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libraries must be built as well; see
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http://www.boost.org/more/getting_started.html
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for instructions.
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<strong>
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\anchor faq_renaming_libboost_unit
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Ok, now I have the library; and the library path is set correctly.
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But I still cannot link!
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</strong>
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You're using Dev-C++ or MinGW, aren't you? gcc is looking for a
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library called libboost_unit_test_framework-xxx.a, but the Boost
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installation process created a
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libboost_unit_test_framework-xxx.lib instead. Make a copy of the
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latter in the same location and rename the copy so that it has the
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correct extension.
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<strong>
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\anchor faq_compiling_boost_1_32
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When building the test-suite, I encounter a number of compile
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errors. I'm using gcc and Boost 1.32.
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</strong>
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This is a Boost problem; you have to apply a one-line patch to
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your Boost installation. Open
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boost/test/detail/wrap_stringstream.hpp and edit line 120,
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\code
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#if !defined(BOOST_NO_STD_LOCALE) && BOOST_WORKAROUND(BOOST_MSVC, >= 1310)
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\endcode
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so that it reads like:
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\code
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#if !defined(BOOST_NO_STD_LOCALE) && ( !defined(BOOST_MSVC) || BOOST_WORKAROUND(BOOST_MSVC, >= 1310))
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\endcode
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\section faq_using Using QuantLib
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Diff for: ‎Docs/pages/history.docs

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/*! \page history Version history
2020

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<strong>Release 0.3.9 - March 2005</strong>
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<strong>Release 0.3.9 - April 2005</strong>
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GLOBAL FEATURES
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- QL_SQRT, QL_MIN etc. deprecated in favor of std::sqrt,
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BlackScholesProcess. This avoids erroneous upcasts.
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- Partial fix for Bermudan swaptions with exercise lag (thanks to
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Luca Berardi for the report and discussion.)
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- Fix for analytic cap/floor engine; caplets/floorlets whose
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fixing is in the past are now calculated correctly (thanks to
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Aurelien Chanudet.)
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CALENDARS
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- Added Bratislava and Prague calendars.
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INDICES
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- Fixed calendars for LIBOR fixings (thanks to Daniele De
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Francesco.)
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FINITE_DIFFERENCES FRAMEWORK
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- Migrated finite-difference pricers to pricing-engine framework
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(thanks to Joseph Wang.)

Diff for: ‎Examples/AmericanOption/AmericanOption.dev

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@@ -6,7 +6,7 @@ IsCpp=1
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Type=1
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Compiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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CppCompiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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Includes=
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Includes=../..
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Linker=-lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32 -lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32_@@_-lQuantLib-mgw-0_3_9_@@_
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Libs=..\..\lib
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UnitCount=2

Diff for: ‎Examples/AmericanOption/Makefile.am

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@@ -11,6 +11,7 @@ AmericanOption_SOURCES = AmericanOption.cpp
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AmericanOption_LDADD = ../../ql/libQuantLib.la
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EXTRA_DIST = \
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AmericanOption.dev \
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AmericanOption.dsp \
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AmericanOption.vcproj \
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AmericanOption_vc8.vcproj \
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.PHONY: examples
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examples: AmericanOption
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dist-hook:
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mkdir -p $(distdir)/bin
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mkdir -p $(distdir)/build
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Diff for: ‎Examples/AmericanOption/makefile.mak

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@@ -26,7 +26,7 @@ QL_LIB_DIR = "$(QL_DIR)\lib"
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# Options
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CC_OPTS = -vi- -I$(QL_INCLUDE_DIR)
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CC_OPTS = -vi- -I$(QL_INCLUDE_DIR) -w-8070
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!ifdef _DEBUG
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CC_OPTS = $(CC_OPTS) -v -D_DEBUG

Diff for: ‎Examples/BermudanSwaption/BermudanSwaption.dev

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Type=1
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Compiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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CppCompiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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Includes=
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Includes=../..
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Linker=-lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32 -lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32_@@_-lQuantLib-mgw-0_3_9_@@_
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Libs=..\..\lib
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UnitCount=2

Diff for: ‎Examples/BermudanSwaption/Makefile.am

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@@ -11,6 +11,7 @@ BermudanSwaption_SOURCES = BermudanSwaption.cpp
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BermudanSwaption_LDADD = ../../ql/libQuantLib.la
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EXTRA_DIST = \
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BermudanSwaption.dev \
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BermudanSwaption.dsp \
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BermudanSwaption.vcproj \
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BermudanSwaption_vc8.vcproj \
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.PHONY: examples
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examples: BermudanSwaption
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dist-hook:
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mkdir -p $(distdir)/bin
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mkdir -p $(distdir)/build
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Diff for: ‎Examples/BermudanSwaption/makefile.mak

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@@ -26,7 +26,7 @@ QL_LIB_DIR = "$(QL_DIR)\lib"
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# Options
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CC_OPTS = -vi- -I$(QL_INCLUDE_DIR)
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CC_OPTS = -vi- -I$(QL_INCLUDE_DIR) -w-8070
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!ifdef _DEBUG
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CC_OPTS = $(CC_OPTS) -v -D_DEBUG

Diff for: ‎Examples/DiscreteHedging/DiscreteHedging.dev

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@@ -6,7 +6,7 @@ IsCpp=1
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Type=1
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Compiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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CppCompiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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Includes=
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Includes=../..
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Linker=-lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32 -lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32_@@_-lQuantLib-mgw-0_3_9_@@_
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Libs=..\..\lib
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UnitCount=2

Diff for: ‎Examples/DiscreteHedging/Makefile.am

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DiscreteHedging_LDADD = ../../ql/libQuantLib.la
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EXTRA_DIST = \
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DiscreteHedging.dev \
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DiscreteHedging.dsp \
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DiscreteHedging.vcproj \
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DiscreteHedging_vc8.vcproj \
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dist-hook:
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mkdir -p $(distdir)/bin
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mkdir -p $(distdir)/build
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Diff for: ‎Examples/DiscreteHedging/makefile.mak

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Diff for: ‎Examples/EuropeanOption/EuropeanOption.dev

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Type=1
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Compiler=-D__GNUWIN32__ -W -fexceptions -finline-functions -DNDEBUG -DWIN32 -D_CONSOLE -D_MBCS -DNOMINMAX_@@_
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Includes=
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Includes=../..
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Linker=-lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32 -lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32_@@_-lQuantLib-mgw-0_3_9_@@_
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Libs=..\..\lib
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Diff for: ‎Examples/EuropeanOption/Makefile.am

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EuropeanOption.dsp \
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dist-hook:
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mkdir -p $(distdir)/bin
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mkdir -p $(distdir)/build
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Diff for: ‎Examples/EuropeanOption/makefile.mak

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CC_OPTS = -vi- -I$(QL_INCLUDE_DIR) -w-8070 -w-8066 -w-8008
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Diff for: ‎Examples/Swap/Makefile.am

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mkdir -p $(distdir)/bin
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mkdir -p $(distdir)/build
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Diff for: ‎Examples/Swap/Swap.dev

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Includes=
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Includes=../..
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Linker=-lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32 -lkernel32 -luser32 -lgdi32 -lwinspool -lcomdlg32 -ladvapi32 -lshell32 -lole32 -loleaut32 -luuid -lodbc32 -lodbccp32_@@_-lQuantLib-mgw-0_3_9_@@_
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Libs=..\..\lib
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UnitCount=1

Diff for: ‎Examples/Swap/makefile.mak

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Diff for: ‎Makefile.am

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docs-clean:
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dist-hook:
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mkdir -p $(distdir)/build

Diff for: ‎News.txt

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Settings::instance().evaluationDate() = date;
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registerWith(Settings::instance().evaluationDate());
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- Added risk premium to Vasicek model (thanks to Aurelien Chanudet.)
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Diff for: ‎QuantLib.dev

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[Project]
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FileName=QuantLib.dev
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Name=QuantLib
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UnitCount=614
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UnitCount=617
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Type=2
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Ver=1
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ObjFiles=
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OverrideBuildCmd=0
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BuildCmd=
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[Unit615]
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FileName=ql\Indexes\zibor.hpp
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CompileCpp=1
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Folder=Indexes
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Compile=1
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Link=1
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Priority=1000
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OverrideBuildCmd=0
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BuildCmd=
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[Unit616]
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FileName=ql\Indexes\cdor.hpp
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CompileCpp=1
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Folder=Indexes
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Compile=1
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Link=1
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Priority=1000
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OverrideBuildCmd=0
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BuildCmd=
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[Unit617]
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FileName=ql\Indexes\tibor.hpp
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CompileCpp=1
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Folder=Indexes
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Compile=1
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Link=1
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Priority=1000
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OverrideBuildCmd=0
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BuildCmd=
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Diff for: ‎QuantLib.dsp

+12
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