Index: head/finance/quantlib/Makefile =================================================================== --- head/finance/quantlib/Makefile (revision 553626) +++ head/finance/quantlib/Makefile (revision 553627) @@ -1,54 +1,56 @@ # Created by: Mikhail Teterin # $FreeBSD$ PORTNAME= quantlib -PORTVERSION= 1.18 +PORTVERSION= 1.20 CATEGORIES= finance math devel MASTER_SITES= https://dl.bintray.com/${PORTNAME}/releases/ DISTNAME= QuantLib-${PORTVERSION} MAINTAINER= mi@aldan.algebra.com COMMENT= C++ library for quantitative finance LICENSE= BSD3CLAUSE LICENSE_FILE= ${WRKSRC}/LICENSE.TXT LIB_DEPENDS= libboost_system.so:devel/boost-libs USES= compiler:c++11-lang libtool USE_LDCONFIG= yes GNU_CONFIGURE= yes CONFIGURE_ENV+= EMACS=no MAKE_ENV+= AM_MAKEFLAGS=${_MAKE_JOBS} TEST_TARGET= check-examples check +TEST_ARGS+= -j1 # Tests use OpenMP - do not parallelize them +TEST_ENV+= OMP_NUM_THREADS=${MAKE_JOBS_NUMBER} OPTIONS_SUB= please -OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK NEGATIVE_RATES +OPTIONS_DEFAULT=OPENMP EXAMPLES BENCHMARK OPTIONS_DEFINE= TRACING INDEXED_COUPONS OPTIONS_DEFINE+=EXTRA_SAFETY_CHECKS SESSIONS INTRADAY OPTIONS_DEFINE+=THREAD_SAFE_OBSERVER_PATTERN OPTIONS_DEFINE+=THREAD_SAFE_SINGLETON_INIT OPTIONS_DEFINE+=${OPTIONS_DEFAULT} BENCHMARK_DESC= Install benchmark (it is always built) EXTRA_SAFETY_CHECKS_DESC=Trade performance for run-time checks INDEXED_COUPONS_DESC= Use indexed rather than par coupons INTRADAY_DESC= Time precision of msecs, instead of days -NEGATIVE_RATES_DESC= Allow rates to be negative TRACING_DESC= Trade performance for more detailed errors SESSIONS_DESC= See help EXAMPLES_CONFIGURE_WITH=lispdir=${EXAMPLESDIR} -#CONFIGURE_ARGS+= --enable-unity-build +CONFIGURE_ARGS+= --disable-unity-build CONFIGURE_ARGS+= --enable-parallel-unit-test-runner CONFIGURE_ARGS+= --with-boost-include=${LOCALBASE}/include CONFIGURE_ARGS+= --with-boost-lib=${LOCALBASE}/lib +CONFIGURE_ARGS+= --enable-std-classes # Prefer C++11 to Boost .for o in ${OPTIONS_DEFINE} $o_CONFIGURE_ENABLE= ${o:S/_/-/g:tl} .endfor CXXFLAGS_i386= -DBOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS .include Index: head/finance/quantlib/distinfo =================================================================== --- head/finance/quantlib/distinfo (revision 553626) +++ head/finance/quantlib/distinfo (revision 553627) @@ -1,3 +1,3 @@ -TIMESTAMP = 1592612567 -SHA256 (QuantLib-1.18.tar.gz) = d5048e14f2b7ea79f0adee08b2cbcee01b57b9cc282f60225ff4fcfc614c7ebc -SIZE (QuantLib-1.18.tar.gz) = 9004785 +TIMESTAMP = 1603844042 +SHA256 (QuantLib-1.20.tar.gz) = af51fe73b88be67536aca68ce8aaa30f523a95cc369652a6071d66beef8708ff +SIZE (QuantLib-1.20.tar.gz) = 9170898 Index: head/finance/quantlib/pkg-help =================================================================== --- head/finance/quantlib/pkg-help (revision 553626) +++ head/finance/quantlib/pkg-help (revision 553627) @@ -1,51 +1,47 @@ --enable-openmp If enabled, configure will try to detect and enable OpenMP support. --enable-tracing If enabled, tracing messages might be emitted by the library depending on run-time settings. Enabling this option can degrade performance. --enable-indexed-coupons If enabled, indexed coupons (see the documentation) are used in floating legs. If disabled (the default), par coupons are used. - --enable-negative-rates If enabled (the default), negative yield rates are - allowed. If disabled, some features (notably, curve - bootstrapping) will throw when negative rates are - found. --enable-extra-safety-checks If enabled, extra run-time checks are added to a few functions. This can prevent their inlining and degrade performance. --enable-sessions If enabled, singletons will return different instances for different sessions. You will have to provide and link with the library a sessionId() function in namespace QuantLib, returning a different session id for each session. --enable-thread-safe-observer-pattern If enabled, thread-safe version of the observer pattern will be used. 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. --enable-thread-safe-singleton-init If enabled, singleton initialization will be thread-safe. This requires Boost 1.58 or later and is not supported when sessions are enabled. --enable-parallel-unit-test-runner If enabled, a parallel unit test runner is used to execute the C++ test suite. This will reduce the runtime on multi core CPUs. --enable-examples If enabled, examples are built and installed when "make" and "make install" are invoked. If disabled (the default) they are built but not installed. --enable-benchmark If enabled, the benchmark is built and installed when "make" and "make install" are invoked. If disabled (the default) it is built but not installed. --enable-intraday If enabled, date objects will support an intraday datetime resolution down to microseconds. Strickly monotone daycounters (Actual360, Actual365Fixed and ActualActual) will take the additional information into account and allow for accurate intraday pricing. If disabled (the default) the smallest resolution of date objects will be a single day. Intraday datetime resolution is experimental. Index: head/finance/quantlib/pkg-plist =================================================================== --- head/finance/quantlib/pkg-plist (revision 553626) +++ head/finance/quantlib/pkg-plist (revision 553627) @@ -1,1392 +1,1406 @@ bin/quantlib-test-suite bin/quantlib-config %%EXAMPLES%%bin/BasketLosses %%EXAMPLES%%bin/BermudanSwaption %%EXAMPLES%%bin/Bonds %%EXAMPLES%%bin/CDS %%EXAMPLES%%bin/CVAIRS %%EXAMPLES%%bin/CallableBonds %%EXAMPLES%%bin/ConvertibleBonds %%EXAMPLES%%bin/DiscreteHedging %%EXAMPLES%%bin/EquityOption %%EXAMPLES%%bin/FRA %%EXAMPLES%%bin/FittedBondCurve %%EXAMPLES%%bin/Gaussian1dModels %%EXAMPLES%%bin/GlobalOptimizer %%EXAMPLES%%bin/LatentModel %%EXAMPLES%%bin/MarketModels %%EXAMPLES%%bin/MulticurveBootstrapping %%EXAMPLES%%bin/MultidimIntegral %%EXAMPLES%%bin/Replication %%EXAMPLES%%bin/Repo %%BENCHMARK%%bin/quantlib-benchmark %%EXAMPLES%%man/man1/BasketLosses.1.gz %%EXAMPLES%%man/man1/BermudanSwaption.1.gz %%EXAMPLES%%man/man1/Bonds.1.gz %%EXAMPLES%%man/man1/CDS.1.gz %%EXAMPLES%%man/man1/CVAIRS.1.gz %%EXAMPLES%%man/man1/CallableBonds.1.gz %%EXAMPLES%%man/man1/ConvertibleBonds.1.gz %%EXAMPLES%%man/man1/DiscreteHedging.1.gz %%EXAMPLES%%man/man1/EquityOption.1.gz %%EXAMPLES%%man/man1/FRA.1.gz %%EXAMPLES%%man/man1/FittedBondCurve.1.gz %%EXAMPLES%%man/man1/Gaussian1dModels.1.gz %%EXAMPLES%%man/man1/GlobalOptimizer.1.gz %%EXAMPLES%%man/man1/LatentModel.1.gz %%EXAMPLES%%man/man1/MarketModels.1.gz %%EXAMPLES%%man/man1/MultidimIntegral.1.gz %%EXAMPLES%%man/man1/MulticurveBootstrapping.1.gz %%EXAMPLES%%man/man1/Replication.1.gz %%EXAMPLES%%man/man1/Repo.1.gz %%BENCHMARK%%man/man1/quantlib-benchmark.1.gz +include/ql/auto_link.hpp +include/ql/auto_ptr.hpp +include/ql/cashflow.hpp include/ql/cashflows/all.hpp include/ql/cashflows/averagebmacoupon.hpp include/ql/cashflows/capflooredcoupon.hpp include/ql/cashflows/capflooredinflationcoupon.hpp include/ql/cashflows/cashflows.hpp include/ql/cashflows/cashflowvectors.hpp include/ql/cashflows/cmscoupon.hpp include/ql/cashflows/conundrumpricer.hpp include/ql/cashflows/coupon.hpp include/ql/cashflows/couponpricer.hpp include/ql/cashflows/cpicoupon.hpp include/ql/cashflows/cpicouponpricer.hpp include/ql/cashflows/digitalcmscoupon.hpp include/ql/cashflows/digitalcoupon.hpp include/ql/cashflows/digitaliborcoupon.hpp include/ql/cashflows/dividend.hpp include/ql/cashflows/duration.hpp -include/ql/cashflows/iborcoupon.hpp include/ql/cashflows/fixedratecoupon.hpp include/ql/cashflows/floatingratecoupon.hpp +include/ql/cashflows/iborcoupon.hpp include/ql/cashflows/indexedcashflow.hpp include/ql/cashflows/inflationcoupon.hpp include/ql/cashflows/inflationcouponpricer.hpp include/ql/cashflows/lineartsrpricer.hpp include/ql/cashflows/overnightindexedcoupon.hpp include/ql/cashflows/rangeaccrual.hpp include/ql/cashflows/replication.hpp include/ql/cashflows/simplecashflow.hpp include/ql/cashflows/timebasket.hpp include/ql/cashflows/yoyinflationcoupon.hpp -include/ql/currencies/all.hpp +include/ql/compounding.hpp +include/ql/config.hpp include/ql/currencies/africa.hpp +include/ql/currencies/all.hpp include/ql/currencies/america.hpp include/ql/currencies/asia.hpp include/ql/currencies/crypto.hpp include/ql/currencies/europe.hpp include/ql/currencies/exchangeratemanager.hpp include/ql/currencies/oceania.hpp +include/ql/currency.hpp +include/ql/default.hpp +include/ql/discretizedasset.hpp +include/ql/errors.hpp +include/ql/event.hpp +include/ql/exchangerate.hpp +include/ql/exercise.hpp +include/ql/experimental/all.hpp include/ql/experimental/amortizingbonds/all.hpp include/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp include/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp include/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp include/ql/experimental/averageois/all.hpp -include/ql/experimental/averageois/averageoiscouponpricer.hpp include/ql/experimental/averageois/arithmeticaverageois.hpp include/ql/experimental/averageois/arithmeticoisratehelper.hpp +include/ql/experimental/averageois/averageoiscouponpricer.hpp include/ql/experimental/averageois/makearithmeticaverageois.hpp include/ql/experimental/barrieroption/all.hpp include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp include/ql/experimental/barrieroption/doublebarrieroption.hpp include/ql/experimental/barrieroption/doublebarriertype.hpp +include/ql/experimental/barrieroption/mcdoublebarrierengine.hpp include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp include/ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp include/ql/experimental/barrieroption/vannavolgainterpolation.hpp include/ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp include/ql/experimental/basismodels/all.hpp include/ql/experimental/basismodels/swaptioncfs.hpp include/ql/experimental/basismodels/tenoroptionletvts.hpp include/ql/experimental/basismodels/tenorswaptionvts.hpp include/ql/experimental/callablebonds/all.hpp include/ql/experimental/callablebonds/blackcallablebondengine.hpp -include/ql/experimental/callablebonds/callablebondconstantvol.hpp include/ql/experimental/callablebonds/callablebond.hpp +include/ql/experimental/callablebonds/callablebondconstantvol.hpp include/ql/experimental/callablebonds/callablebondvolstructure.hpp include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp include/ql/experimental/callablebonds/treecallablebondengine.hpp include/ql/experimental/catbonds/all.hpp include/ql/experimental/catbonds/catbond.hpp include/ql/experimental/catbonds/catrisk.hpp include/ql/experimental/catbonds/montecarlocatbondengine.hpp include/ql/experimental/catbonds/riskynotional.hpp include/ql/experimental/commodities/all.hpp include/ql/experimental/commodities/commodity.hpp include/ql/experimental/commodities/commoditycashflow.hpp include/ql/experimental/commodities/commoditycurve.hpp include/ql/experimental/commodities/commodityindex.hpp include/ql/experimental/commodities/commoditypricinghelpers.hpp include/ql/experimental/commodities/commoditysettings.hpp include/ql/experimental/commodities/commoditytype.hpp include/ql/experimental/commodities/commodityunitcost.hpp include/ql/experimental/commodities/dateinterval.hpp include/ql/experimental/commodities/energybasisswap.hpp include/ql/experimental/commodities/energycommodity.hpp include/ql/experimental/commodities/energyfuture.hpp include/ql/experimental/commodities/energyswap.hpp include/ql/experimental/commodities/energyvanillaswap.hpp include/ql/experimental/commodities/exchangecontract.hpp include/ql/experimental/commodities/paymentterm.hpp include/ql/experimental/commodities/petroleumunitsofmeasure.hpp include/ql/experimental/commodities/pricingperiod.hpp include/ql/experimental/commodities/quantity.hpp include/ql/experimental/commodities/unitofmeasure.hpp include/ql/experimental/commodities/unitofmeasureconversion.hpp include/ql/experimental/commodities/unitofmeasureconversionmanager.hpp include/ql/experimental/convertiblebonds/all.hpp include/ql/experimental/convertiblebonds/binomialconvertibleengine.hpp include/ql/experimental/convertiblebonds/convertiblebond.hpp include/ql/experimental/convertiblebonds/discretizedconvertible.hpp include/ql/experimental/convertiblebonds/tflattice.hpp include/ql/experimental/coupons/all.hpp include/ql/experimental/coupons/cmsspreadcoupon.hpp include/ql/experimental/coupons/digitalcmsspreadcoupon.hpp include/ql/experimental/coupons/lognormalcmsspreadpricer.hpp include/ql/experimental/coupons/proxyibor.hpp include/ql/experimental/coupons/quantocouponpricer.hpp include/ql/experimental/coupons/strippedcapflooredcoupon.hpp include/ql/experimental/coupons/subperiodcoupons.hpp include/ql/experimental/coupons/swapspreadindex.hpp include/ql/experimental/credit/all.hpp include/ql/experimental/credit/basecorrelationlossmodel.hpp include/ql/experimental/credit/basecorrelationstructure.hpp include/ql/experimental/credit/basket.hpp include/ql/experimental/credit/binomiallossmodel.hpp include/ql/experimental/credit/blackcdsoptionengine.hpp include/ql/experimental/credit/cdo.hpp include/ql/experimental/credit/cdsoption.hpp include/ql/experimental/credit/constantlosslatentmodel.hpp include/ql/experimental/credit/correlationstructure.hpp include/ql/experimental/credit/defaultevent.hpp include/ql/experimental/credit/defaultlossmodel.hpp include/ql/experimental/credit/defaultprobabilitykey.hpp include/ql/experimental/credit/defaultprobabilitylatentmodel.hpp include/ql/experimental/credit/defaulttype.hpp include/ql/experimental/credit/distribution.hpp include/ql/experimental/credit/factorspreadedhazardratecurve.hpp include/ql/experimental/credit/gaussianlhplossmodel.hpp include/ql/experimental/credit/homogeneouspooldef.hpp include/ql/experimental/credit/inhomogeneouspooldef.hpp include/ql/experimental/credit/integralcdoengine.hpp include/ql/experimental/credit/integralntdengine.hpp include/ql/experimental/credit/interpolatedaffinehazardratecurve.hpp include/ql/experimental/credit/issuer.hpp include/ql/experimental/credit/loss.hpp include/ql/experimental/credit/lossdistribution.hpp include/ql/experimental/credit/midpointcdoengine.hpp include/ql/experimental/credit/nthtodefault.hpp include/ql/experimental/credit/onefactoraffinesurvival.hpp include/ql/experimental/credit/onefactorcopula.hpp include/ql/experimental/credit/onefactorgaussiancopula.hpp -include/ql/experimental/credit/pool.hpp include/ql/experimental/credit/onefactorstudentcopula.hpp +include/ql/experimental/credit/pool.hpp include/ql/experimental/credit/randomdefaultlatentmodel.hpp include/ql/experimental/credit/randomdefaultmodel.hpp include/ql/experimental/credit/randomlosslatentmodel.hpp include/ql/experimental/credit/recoveryratemodel.hpp include/ql/experimental/credit/recoveryratequote.hpp include/ql/experimental/credit/recursivelossmodel.hpp include/ql/experimental/credit/riskyassetswap.hpp include/ql/experimental/credit/riskyassetswapoption.hpp include/ql/experimental/credit/riskybond.hpp include/ql/experimental/credit/saddlepointlossmodel.hpp include/ql/experimental/credit/spotlosslatentmodel.hpp include/ql/experimental/credit/spreadedhazardratecurve.hpp include/ql/experimental/credit/syntheticcdo.hpp include/ql/experimental/exoticoptions/all.hpp include/ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp include/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp include/ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp include/ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp include/ql/experimental/exoticoptions/analyticsimplechooserengine.hpp include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp include/ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp include/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp include/ql/experimental/exoticoptions/complexchooseroption.hpp include/ql/experimental/exoticoptions/compoundoption.hpp include/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp include/ql/experimental/exoticoptions/everestoption.hpp include/ql/experimental/exoticoptions/himalayaoption.hpp include/ql/experimental/exoticoptions/holderextensibleoption.hpp include/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp include/ql/experimental/exoticoptions/margrabeoption.hpp include/ql/experimental/exoticoptions/mceverestengine.hpp include/ql/experimental/exoticoptions/mchimalayaengine.hpp include/ql/experimental/exoticoptions/mcpagodaengine.hpp include/ql/experimental/exoticoptions/pagodaoption.hpp include/ql/experimental/exoticoptions/partialtimebarrieroption.hpp include/ql/experimental/exoticoptions/simplechooseroption.hpp include/ql/experimental/exoticoptions/spreadoption.hpp include/ql/experimental/exoticoptions/twoassetbarrieroption.hpp include/ql/experimental/exoticoptions/twoassetcorrelationoption.hpp include/ql/experimental/exoticoptions/writerextensibleoption.hpp include/ql/experimental/finitedifferences/all.hpp include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp +include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp include/ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp include/ql/experimental/finitedifferences/fdmdupire1dop.hpp include/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp include/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp include/ql/experimental/finitedifferences/fdmextoujumpop.hpp include/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp -include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp -include/ql/experimental/finitedifferences/fdmzabrop.hpp -include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp include/ql/experimental/finitedifferences/fdmhestonfwdop.hpp +include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp include/ql/experimental/finitedifferences/fdmklugeextouop.hpp include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp include/ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp include/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp include/ql/experimental/finitedifferences/fdmvppstepcondition.hpp include/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp +include/ql/experimental/finitedifferences/fdmzabrop.hpp include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp include/ql/experimental/finitedifferences/glued1dmesher.hpp include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp include/ql/experimental/finitedifferences/vanillavppoption.hpp include/ql/experimental/futures/all.hpp include/ql/experimental/futures/overnightindexfuture.hpp include/ql/experimental/futures/overnightindexfutureratehelper.hpp include/ql/experimental/fx/all.hpp include/ql/experimental/fx/blackdeltacalculator.hpp include/ql/experimental/fx/deltavolquote.hpp include/ql/experimental/inflation/all.hpp include/ql/experimental/inflation/cpicapfloorengines.hpp include/ql/experimental/inflation/cpicapfloortermpricesurface.hpp include/ql/experimental/inflation/genericindexes.hpp include/ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp include/ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp include/ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp include/ql/experimental/inflation/polynomial2Dspline.hpp include/ql/experimental/inflation/yoycapfloortermpricesurface.hpp +include/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp include/ql/experimental/inflation/yoyoptionlethelpers.hpp include/ql/experimental/inflation/yoyoptionletstripper.hpp -include/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp include/ql/experimental/lattices/all.hpp include/ql/experimental/lattices/extendedbinomialtree.hpp include/ql/experimental/math/all.hpp include/ql/experimental/math/claytoncopularng.hpp include/ql/experimental/math/convolvedstudentt.hpp include/ql/experimental/math/expm.hpp include/ql/experimental/math/farliegumbelmorgensterncopularng.hpp include/ql/experimental/math/fireflyalgorithm.hpp include/ql/experimental/math/frankcopularng.hpp include/ql/experimental/math/gaussiancopulapolicy.hpp include/ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp include/ql/experimental/math/hybridsimulatedannealing.hpp include/ql/experimental/math/hybridsimulatedannealingfunctors.hpp include/ql/experimental/math/isotropicrandomwalk.hpp include/ql/experimental/math/laplaceinterpolation.hpp include/ql/experimental/math/latentmodel.hpp include/ql/experimental/math/levyflightdistribution.hpp include/ql/experimental/math/moorepenroseinverse.hpp include/ql/experimental/math/multidimintegrator.hpp include/ql/experimental/math/multidimquadrature.hpp include/ql/experimental/math/particleswarmoptimization.hpp include/ql/experimental/math/piecewisefunction.hpp include/ql/experimental/math/piecewiseintegral.hpp include/ql/experimental/math/polarstudenttrng.hpp include/ql/experimental/math/tcopulapolicy.hpp include/ql/experimental/math/zigguratrng.hpp -include/ql/experimental/mcbasket/all.hpp include/ql/experimental/mcbasket/adaptedpathpayoff.hpp +include/ql/experimental/mcbasket/all.hpp include/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp include/ql/experimental/mcbasket/mcamericanpathengine.hpp include/ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp include/ql/experimental/mcbasket/mcpathbasketengine.hpp include/ql/experimental/mcbasket/pathmultiassetoption.hpp include/ql/experimental/mcbasket/pathpayoff.hpp include/ql/experimental/models/all.hpp include/ql/experimental/models/hestonslvfdmmodel.hpp include/ql/experimental/models/hestonslvmcmodel.hpp include/ql/experimental/models/normalclvmodel.hpp include/ql/experimental/models/squarerootclvmodel.hpp include/ql/experimental/processes/all.hpp -include/ql/experimental/processes/extouwithjumpsprocess.hpp include/ql/experimental/processes/extendedblackscholesprocess.hpp include/ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp +include/ql/experimental/processes/extouwithjumpsprocess.hpp include/ql/experimental/processes/gemanroncoroniprocess.hpp include/ql/experimental/processes/hestonslvprocess.hpp include/ql/experimental/processes/klugeextouprocess.hpp include/ql/experimental/processes/vegastressedblackscholesprocess.hpp include/ql/experimental/risk/all.hpp include/ql/experimental/risk/creditriskplus.hpp include/ql/experimental/risk/sensitivityanalysis.hpp include/ql/experimental/shortrate/all.hpp include/ql/experimental/shortrate/generalizedhullwhite.hpp include/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp include/ql/experimental/swaptions/all.hpp include/ql/experimental/swaptions/haganirregularswaptionengine.hpp include/ql/experimental/swaptions/irregularswap.hpp include/ql/experimental/swaptions/irregularswaption.hpp include/ql/experimental/termstructures/all.hpp include/ql/experimental/termstructures/multicurvesensitivities.hpp include/ql/experimental/variancegamma/all.hpp include/ql/experimental/variancegamma/analyticvariancegammaengine.hpp include/ql/experimental/variancegamma/fftengine.hpp include/ql/experimental/variancegamma/fftvanillaengine.hpp 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include/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp include/ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp include/ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp include/ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/fdmdiscountdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp include/ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp include/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp include/ql/methods/finitedifferences/utilities/fdmmesherintegral.hpp include/ql/methods/finitedifferences/utilities/fdmquantohelper.hpp include/ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp include/ql/methods/finitedifferences/utilities/gbsmrndcalculator.hpp include/ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp include/ql/methods/finitedifferences/utilities/localvolrndcalculator.hpp include/ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp include/ql/methods/finitedifferences/utilities/squarerootprocessrndcalculator.hpp -include/ql/methods/finitedifferences/all.hpp -include/ql/methods/finitedifferences/americancondition.hpp -include/ql/methods/finitedifferences/boundarycondition.hpp -include/ql/methods/finitedifferences/bsmoperator.hpp -include/ql/methods/finitedifferences/bsmtermoperator.hpp -include/ql/methods/finitedifferences/cranknicolson.hpp -include/ql/methods/finitedifferences/dminus.hpp -include/ql/methods/finitedifferences/dplus.hpp -include/ql/methods/finitedifferences/dplusdminus.hpp -include/ql/methods/finitedifferences/dzero.hpp -include/ql/methods/finitedifferences/expliciteuler.hpp -include/ql/methods/finitedifferences/fdtypedefs.hpp -include/ql/methods/finitedifferences/finitedifferencemodel.hpp -include/ql/methods/finitedifferences/impliciteuler.hpp -include/ql/methods/finitedifferences/pde.hpp -include/ql/methods/finitedifferences/mixedscheme.hpp -include/ql/methods/finitedifferences/onefactoroperator.hpp -include/ql/methods/finitedifferences/operatortraits.hpp -include/ql/methods/finitedifferences/parallelevolver.hpp -include/ql/methods/finitedifferences/pdebsm.hpp -include/ql/methods/finitedifferences/pdeshortrate.hpp -include/ql/methods/finitedifferences/shoutcondition.hpp -include/ql/methods/finitedifferences/stepcondition.hpp -include/ql/methods/finitedifferences/trbdf2.hpp -include/ql/methods/finitedifferences/tridiagonaloperator.hpp include/ql/methods/finitedifferences/zerocondition.hpp include/ql/methods/lattices/all.hpp include/ql/methods/lattices/binomialtree.hpp include/ql/methods/lattices/bsmlattice.hpp include/ql/methods/lattices/lattice.hpp include/ql/methods/lattices/lattice1d.hpp include/ql/methods/lattices/lattice2d.hpp include/ql/methods/lattices/tree.hpp include/ql/methods/lattices/trinomialtree.hpp include/ql/methods/montecarlo/all.hpp include/ql/methods/montecarlo/brownianbridge.hpp include/ql/methods/montecarlo/earlyexercisepathpricer.hpp include/ql/methods/montecarlo/exercisestrategy.hpp include/ql/methods/montecarlo/genericlsregression.hpp include/ql/methods/montecarlo/longstaffschwartzpathpricer.hpp include/ql/methods/montecarlo/lsmbasissystem.hpp include/ql/methods/montecarlo/mctraits.hpp include/ql/methods/montecarlo/montecarlomodel.hpp include/ql/methods/montecarlo/multipath.hpp include/ql/methods/montecarlo/multipathgenerator.hpp include/ql/methods/montecarlo/nodedata.hpp include/ql/methods/montecarlo/parametricexercise.hpp include/ql/methods/montecarlo/path.hpp include/ql/methods/montecarlo/pathgenerator.hpp include/ql/methods/montecarlo/pathpricer.hpp include/ql/methods/montecarlo/sample.hpp -include/ql/methods/all.hpp +include/ql/models/all.hpp +include/ql/models/calibrationhelper.hpp include/ql/models/equity/all.hpp include/ql/models/equity/batesmodel.hpp include/ql/models/equity/gjrgarchmodel.hpp include/ql/models/equity/hestonmodel.hpp include/ql/models/equity/hestonmodelhelper.hpp include/ql/models/equity/piecewisetimedependenthestonmodel.hpp +include/ql/models/marketmodels/accountingengine.hpp +include/ql/models/marketmodels/all.hpp +include/ql/models/marketmodels/browniangenerator.hpp include/ql/models/marketmodels/browniangenerators/all.hpp include/ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp include/ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp include/ql/models/marketmodels/callability/all.hpp include/ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp include/ql/models/marketmodels/callability/collectnodedata.hpp include/ql/models/marketmodels/callability/exercisevalue.hpp include/ql/models/marketmodels/callability/lsstrategy.hpp include/ql/models/marketmodels/callability/marketmodelbasissystem.hpp include/ql/models/marketmodels/callability/marketmodelparametricexercise.hpp include/ql/models/marketmodels/callability/nodedataprovider.hpp include/ql/models/marketmodels/callability/nothingexercisevalue.hpp include/ql/models/marketmodels/callability/parametricexerciseadapter.hpp include/ql/models/marketmodels/callability/swapbasissystem.hpp include/ql/models/marketmodels/callability/swapforwardbasissystem.hpp include/ql/models/marketmodels/callability/swapratetrigger.hpp include/ql/models/marketmodels/callability/triggeredswapexercise.hpp include/ql/models/marketmodels/callability/upperboundengine.hpp +include/ql/models/marketmodels/constrainedevolver.hpp include/ql/models/marketmodels/correlations/all.hpp include/ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp include/ql/models/marketmodels/correlations/expcorrelations.hpp include/ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp +include/ql/models/marketmodels/curvestate.hpp include/ql/models/marketmodels/curvestates/all.hpp include/ql/models/marketmodels/curvestates/cmswapcurvestate.hpp include/ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp include/ql/models/marketmodels/curvestates/lmmcurvestate.hpp +include/ql/models/marketmodels/discounter.hpp include/ql/models/marketmodels/driftcomputation/all.hpp include/ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp include/ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp -include/ql/models/marketmodels/evolvers/volprocesses/all.hpp -include/ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp +include/ql/models/marketmodels/duffsdeviceinnerproduct.hpp +include/ql/models/marketmodels/evolutiondescription.hpp +include/ql/models/marketmodels/evolver.hpp include/ql/models/marketmodels/evolvers/all.hpp include/ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp include/ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp include/ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp include/ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp include/ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp include/ql/models/marketmodels/evolvers/normalfwdratepc.hpp include/ql/models/marketmodels/evolvers/svddfwdratepc.hpp -include/ql/models/marketmodels/models/all.hpp +include/ql/models/marketmodels/evolvers/volprocesses/all.hpp +include/ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp +include/ql/models/marketmodels/forwardforwardmappings.hpp +include/ql/models/marketmodels/historicalforwardratesanalysis.hpp +include/ql/models/marketmodels/historicalratesanalysis.hpp +include/ql/models/marketmodels/marketmodel.hpp +include/ql/models/marketmodels/marketmodeldifferences.hpp include/ql/models/marketmodels/models/abcdvol.hpp +include/ql/models/marketmodels/models/all.hpp include/ql/models/marketmodels/models/alphafinder.hpp include/ql/models/marketmodels/models/alphaform.hpp include/ql/models/marketmodels/models/alphaformconcrete.hpp include/ql/models/marketmodels/models/capletcoterminalalphacalibration.hpp include/ql/models/marketmodels/models/capletcoterminalmaxhomogeneity.hpp include/ql/models/marketmodels/models/capletcoterminalperiodic.hpp include/ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp include/ql/models/marketmodels/models/cotswaptofwdadapter.hpp include/ql/models/marketmodels/models/ctsmmcapletcalibration.hpp include/ql/models/marketmodels/models/flatvol.hpp include/ql/models/marketmodels/models/fwdperiodadapter.hpp include/ql/models/marketmodels/models/fwdtocotswapadapter.hpp -include/ql/models/marketmodels/models/piecewiseconstantvariance.hpp include/ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp +include/ql/models/marketmodels/models/piecewiseconstantvariance.hpp include/ql/models/marketmodels/models/pseudorootfacade.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp include/ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.hpp -include/ql/models/marketmodels/products/onestep/all.hpp -include/ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp -include/ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp -include/ql/models/marketmodels/products/onestep/onestepforwards.hpp -include/ql/models/marketmodels/products/onestep/onestepoptionlets.hpp +include/ql/models/marketmodels/multiproduct.hpp +include/ql/models/marketmodels/pathwiseaccountingengine.hpp +include/ql/models/marketmodels/pathwisediscounter.hpp +include/ql/models/marketmodels/pathwisegreeks/all.hpp +include/ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp +include/ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp +include/ql/models/marketmodels/pathwisemultiproduct.hpp +include/ql/models/marketmodels/piecewiseconstantcorrelation.hpp +include/ql/models/marketmodels/products/all.hpp +include/ql/models/marketmodels/products/compositeproduct.hpp +include/ql/models/marketmodels/products/multiproductcomposite.hpp +include/ql/models/marketmodels/products/multiproductmultistep.hpp +include/ql/models/marketmodels/products/multiproductonestep.hpp include/ql/models/marketmodels/products/multistep/all.hpp include/ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp include/ql/models/marketmodels/products/multistep/cashrebate.hpp include/ql/models/marketmodels/products/multistep/exerciseadapter.hpp include/ql/models/marketmodels/products/multistep/multistepcoinitialswaps.hpp include/ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp include/ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp include/ql/models/marketmodels/products/multistep/multistepforwards.hpp include/ql/models/marketmodels/products/multistep/multistepinversefloater.hpp include/ql/models/marketmodels/products/multistep/multistepnothing.hpp include/ql/models/marketmodels/products/multistep/multistepoptionlets.hpp include/ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp include/ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.hpp include/ql/models/marketmodels/products/multistep/multistepratchet.hpp include/ql/models/marketmodels/products/multistep/multistepswap.hpp include/ql/models/marketmodels/products/multistep/multistepswaption.hpp include/ql/models/marketmodels/products/multistep/multisteptarn.hpp +include/ql/models/marketmodels/products/onestep/all.hpp +include/ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp +include/ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp +include/ql/models/marketmodels/products/onestep/onestepforwards.hpp +include/ql/models/marketmodels/products/onestep/onestepoptionlets.hpp include/ql/models/marketmodels/products/pathwise/all.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp include/ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp -include/ql/models/marketmodels/products/all.hpp -include/ql/models/marketmodels/products/compositeproduct.hpp -include/ql/models/marketmodels/products/multiproductcomposite.hpp -include/ql/models/marketmodels/products/multiproductmultistep.hpp -include/ql/models/marketmodels/products/multiproductonestep.hpp include/ql/models/marketmodels/products/singleproductcomposite.hpp -include/ql/models/marketmodels/pathwisegreeks/all.hpp -include/ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp -include/ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp -include/ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp -include/ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp -include/ql/models/marketmodels/all.hpp -include/ql/models/marketmodels/accountingengine.hpp -include/ql/models/marketmodels/browniangenerator.hpp -include/ql/models/marketmodels/constrainedevolver.hpp -include/ql/models/marketmodels/curvestate.hpp -include/ql/models/marketmodels/discounter.hpp -include/ql/models/marketmodels/duffsdeviceinnerproduct.hpp -include/ql/models/marketmodels/evolutiondescription.hpp -include/ql/models/marketmodels/evolver.hpp -include/ql/models/marketmodels/forwardforwardmappings.hpp -include/ql/models/marketmodels/historicalforwardratesanalysis.hpp -include/ql/models/marketmodels/historicalratesanalysis.hpp -include/ql/models/marketmodels/marketmodel.hpp -include/ql/models/marketmodels/marketmodeldifferences.hpp -include/ql/models/marketmodels/multiproduct.hpp -include/ql/models/marketmodels/pathwiseaccountingengine.hpp -include/ql/models/marketmodels/pathwisemultiproduct.hpp -include/ql/models/marketmodels/pathwisediscounter.hpp -include/ql/models/marketmodels/piecewiseconstantcorrelation.hpp include/ql/models/marketmodels/proxygreekengine.hpp include/ql/models/marketmodels/swapforwardmappings.hpp include/ql/models/marketmodels/utilities.hpp +include/ql/models/model.hpp +include/ql/models/parameter.hpp +include/ql/models/shortrate/all.hpp include/ql/models/shortrate/calibrationhelpers/all.hpp include/ql/models/shortrate/calibrationhelpers/caphelper.hpp include/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp +include/ql/models/shortrate/onefactormodel.hpp include/ql/models/shortrate/onefactormodels/all.hpp include/ql/models/shortrate/onefactormodels/blackkarasinski.hpp include/ql/models/shortrate/onefactormodels/coxingersollross.hpp include/ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp include/ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp include/ql/models/shortrate/onefactormodels/gsr.hpp include/ql/models/shortrate/onefactormodels/hullwhite.hpp include/ql/models/shortrate/onefactormodels/markovfunctional.hpp include/ql/models/shortrate/onefactormodels/vasicek.hpp +include/ql/models/shortrate/twofactormodel.hpp include/ql/models/shortrate/twofactormodels/all.hpp include/ql/models/shortrate/twofactormodels/g2.hpp -include/ql/models/shortrate/all.hpp -include/ql/models/shortrate/onefactormodel.hpp -include/ql/models/shortrate/twofactormodel.hpp include/ql/models/volatility/all.hpp include/ql/models/volatility/constantestimator.hpp -include/ql/models/volatility/simplelocalestimator.hpp -include/ql/models/volatility/garmanklass.hpp include/ql/models/volatility/garch.hpp -include/ql/models/all.hpp -include/ql/models/calibrationhelper.hpp -include/ql/models/model.hpp -include/ql/models/parameter.hpp +include/ql/models/volatility/garmanklass.hpp +include/ql/models/volatility/simplelocalestimator.hpp +include/ql/money.hpp +include/ql/numericalmethod.hpp +include/ql/option.hpp include/ql/patterns/all.hpp include/ql/patterns/composite.hpp include/ql/patterns/curiouslyrecurring.hpp include/ql/patterns/lazyobject.hpp include/ql/patterns/observable.hpp include/ql/patterns/singleton.hpp include/ql/patterns/visitor.hpp +include/ql/payoff.hpp +include/ql/position.hpp +include/ql/prices.hpp +include/ql/pricingengine.hpp +include/ql/pricingengines/all.hpp +include/ql/pricingengines/americanpayoffatexpiry.hpp +include/ql/pricingengines/americanpayoffathit.hpp include/ql/pricingengines/asian/all.hpp include/ql/pricingengines/asian/analytic_cont_geom_av_price.hpp include/ql/pricingengines/asian/analytic_discr_geom_av_price.hpp include/ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp include/ql/pricingengines/asian/fdblackscholesasianengine.hpp include/ql/pricingengines/asian/mc_discr_arith_av_price.hpp include/ql/pricingengines/asian/mc_discr_arith_av_strike.hpp include/ql/pricingengines/asian/mc_discr_geom_av_price.hpp include/ql/pricingengines/asian/mcdiscreteasianengine.hpp include/ql/pricingengines/barrier/all.hpp include/ql/pricingengines/barrier/analyticbarrierengine.hpp include/ql/pricingengines/barrier/analyticbinarybarrierengine.hpp include/ql/pricingengines/barrier/binomialbarrierengine.hpp include/ql/pricingengines/barrier/discretizedbarrieroption.hpp include/ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp include/ql/pricingengines/barrier/fdblackscholesrebateengine.hpp include/ql/pricingengines/barrier/fdhestonbarrierengine.hpp include/ql/pricingengines/barrier/fdhestonrebateengine.hpp include/ql/pricingengines/barrier/mcbarrierengine.hpp include/ql/pricingengines/basket/all.hpp include/ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp include/ql/pricingengines/basket/kirkengine.hpp include/ql/pricingengines/basket/mcamericanbasketengine.hpp include/ql/pricingengines/basket/mceuropeanbasketengine.hpp include/ql/pricingengines/basket/stulzengine.hpp +include/ql/pricingengines/blackcalculator.hpp +include/ql/pricingengines/blackformula.hpp +include/ql/pricingengines/blackscholescalculator.hpp include/ql/pricingengines/bond/all.hpp include/ql/pricingengines/bond/bondfunctions.hpp include/ql/pricingengines/bond/discountingbondengine.hpp include/ql/pricingengines/capfloor/all.hpp include/ql/pricingengines/capfloor/analyticcapfloorengine.hpp -include/ql/pricingengines/capfloor/blackcapfloorengine.hpp include/ql/pricingengines/capfloor/bacheliercapfloorengine.hpp +include/ql/pricingengines/capfloor/blackcapfloorengine.hpp include/ql/pricingengines/capfloor/discretizedcapfloor.hpp include/ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp include/ql/pricingengines/capfloor/mchullwhiteengine.hpp include/ql/pricingengines/capfloor/treecapfloorengine.hpp include/ql/pricingengines/cliquet/all.hpp include/ql/pricingengines/cliquet/analyticcliquetengine.hpp include/ql/pricingengines/cliquet/analyticperformanceengine.hpp include/ql/pricingengines/cliquet/mcperformanceengine.hpp include/ql/pricingengines/credit/all.hpp include/ql/pricingengines/credit/integralcdsengine.hpp include/ql/pricingengines/credit/isdacdsengine.hpp include/ql/pricingengines/credit/midpointcdsengine.hpp include/ql/pricingengines/forward/all.hpp include/ql/pricingengines/forward/forwardengine.hpp include/ql/pricingengines/forward/forwardperformanceengine.hpp include/ql/pricingengines/forward/mcvarianceswapengine.hpp include/ql/pricingengines/forward/replicatingvarianceswapengine.hpp +include/ql/pricingengines/genericmodelengine.hpp +include/ql/pricingengines/greeks.hpp include/ql/pricingengines/inflation/all.hpp include/ql/pricingengines/inflation/inflationcapfloorengines.hpp +include/ql/pricingengines/latticeshortratemodelengine.hpp include/ql/pricingengines/lookback/all.hpp include/ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp include/ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp include/ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp include/ql/pricingengines/lookback/analyticcontinuouspartialfloatinglookback.hpp +include/ql/pricingengines/lookback/mclookbackengine.hpp +include/ql/pricingengines/mclongstaffschwartzengine.hpp +include/ql/pricingengines/mcsimulation.hpp include/ql/pricingengines/quanto/all.hpp include/ql/pricingengines/quanto/quantoengine.hpp include/ql/pricingengines/swap/all.hpp include/ql/pricingengines/swap/cvaswapengine.hpp include/ql/pricingengines/swap/discountingswapengine.hpp include/ql/pricingengines/swap/discretizedswap.hpp include/ql/pricingengines/swap/treeswapengine.hpp include/ql/pricingengines/swaption/all.hpp include/ql/pricingengines/swaption/basketgeneratingengine.hpp include/ql/pricingengines/swaption/blackswaptionengine.hpp include/ql/pricingengines/swaption/discretizedswaption.hpp +include/ql/pricingengines/swaption/fdg2swaptionengine.hpp +include/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp +include/ql/pricingengines/swaption/g2swaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp include/ql/pricingengines/swaption/gaussian1dswaptionengine.hpp -include/ql/pricingengines/swaption/g2swaptionengine.hpp include/ql/pricingengines/swaption/jamshidianswaptionengine.hpp -include/ql/pricingengines/swaption/fdg2swaptionengine.hpp -include/ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp include/ql/pricingengines/swaption/treeswaptionengine.hpp include/ql/pricingengines/vanilla/all.hpp include/ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp include/ql/pricingengines/vanilla/analyticcevengine.hpp include/ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp include/ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp include/ql/pricingengines/vanilla/analyticeuropeanengine.hpp +include/ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp include/ql/pricingengines/vanilla/analyticgjrgarchengine.hpp include/ql/pricingengines/vanilla/analytich1hwengine.hpp include/ql/pricingengines/vanilla/analytichestonengine.hpp include/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp include/ql/pricingengines/vanilla/analyticptdhestonengine.hpp include/ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp include/ql/pricingengines/vanilla/batesengine.hpp include/ql/pricingengines/vanilla/binomialengine.hpp include/ql/pricingengines/vanilla/bjerksundstenslandengine.hpp include/ql/pricingengines/vanilla/coshestonengine.hpp include/ql/pricingengines/vanilla/discretizedvanillaoption.hpp +include/ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp include/ql/pricingengines/vanilla/fdamericanengine.hpp include/ql/pricingengines/vanilla/fdbatesvanillaengine.hpp include/ql/pricingengines/vanilla/fdbermudanengine.hpp include/ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp include/ql/pricingengines/vanilla/fdcevvanillaengine.hpp +include/ql/pricingengines/vanilla/fdcirvanillaengine.hpp include/ql/pricingengines/vanilla/fdconditions.hpp include/ql/pricingengines/vanilla/fddividendamericanengine.hpp include/ql/pricingengines/vanilla/fddividendengine.hpp include/ql/pricingengines/vanilla/fddividendeuropeanengine.hpp include/ql/pricingengines/vanilla/fddividendshoutengine.hpp include/ql/pricingengines/vanilla/fdeuropeanengine.hpp include/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp include/ql/pricingengines/vanilla/fdhestonvanillaengine.hpp include/ql/pricingengines/vanilla/fdmultiperiodengine.hpp include/ql/pricingengines/vanilla/fdsabrvanillaengine.hpp include/ql/pricingengines/vanilla/fdshoutengine.hpp include/ql/pricingengines/vanilla/fdsimplebsswingengine.hpp include/ql/pricingengines/vanilla/fdstepconditionengine.hpp include/ql/pricingengines/vanilla/fdvanillaengine.hpp include/ql/pricingengines/vanilla/hestonexpansionengine.hpp include/ql/pricingengines/vanilla/integralengine.hpp include/ql/pricingengines/vanilla/jumpdiffusionengine.hpp include/ql/pricingengines/vanilla/juquadraticengine.hpp include/ql/pricingengines/vanilla/mcamericanengine.hpp include/ql/pricingengines/vanilla/mcdigitalengine.hpp include/ql/pricingengines/vanilla/mceuropeanengine.hpp -include/ql/pricingengines/vanilla/mceuropeanhestonengine.hpp include/ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp +include/ql/pricingengines/vanilla/mceuropeanhestonengine.hpp include/ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp include/ql/pricingengines/vanilla/mcvanillaengine.hpp -include/ql/pricingengines/all.hpp -include/ql/pricingengines/americanpayoffatexpiry.hpp -include/ql/pricingengines/americanpayoffathit.hpp -include/ql/pricingengines/blackcalculator.hpp -include/ql/pricingengines/blackformula.hpp -include/ql/pricingengines/blackscholescalculator.hpp -include/ql/pricingengines/genericmodelengine.hpp -include/ql/pricingengines/greeks.hpp -include/ql/pricingengines/latticeshortratemodelengine.hpp -include/ql/pricingengines/mclongstaffschwartzengine.hpp -include/ql/pricingengines/mcsimulation.hpp include/ql/processes/all.hpp include/ql/processes/batesprocess.hpp include/ql/processes/blackscholesprocess.hpp +include/ql/processes/coxingersollrossprocess.hpp include/ql/processes/endeulerdiscretization.hpp include/ql/processes/eulerdiscretization.hpp include/ql/processes/forwardmeasureprocess.hpp include/ql/processes/g2process.hpp include/ql/processes/geometricbrownianprocess.hpp include/ql/processes/gjrgarchprocess.hpp include/ql/processes/gsrprocess.hpp include/ql/processes/gsrprocesscore.hpp include/ql/processes/hestonprocess.hpp include/ql/processes/hullwhiteprocess.hpp include/ql/processes/hybridhestonhullwhiteprocess.hpp include/ql/processes/jointstochasticprocess.hpp include/ql/processes/merton76process.hpp include/ql/processes/mfstateprocess.hpp include/ql/processes/ornsteinuhlenbeckprocess.hpp include/ql/processes/squarerootprocess.hpp include/ql/processes/stochasticprocessarray.hpp +include/ql/qldefines.hpp +include/ql/quantlib.hpp +include/ql/quote.hpp include/ql/quotes/all.hpp include/ql/quotes/compositequote.hpp include/ql/quotes/derivedquote.hpp include/ql/quotes/eurodollarfuturesquote.hpp include/ql/quotes/forwardswapquote.hpp include/ql/quotes/forwardvaluequote.hpp include/ql/quotes/futuresconvadjustmentquote.hpp include/ql/quotes/impliedstddevquote.hpp include/ql/quotes/lastfixingquote.hpp include/ql/quotes/simplequote.hpp +include/ql/rebatedexercise.hpp +include/ql/settings.hpp +include/ql/shared_ptr.hpp +include/ql/stochasticprocess.hpp +include/ql/termstructure.hpp +include/ql/termstructures/all.hpp +include/ql/termstructures/bootstraperror.hpp +include/ql/termstructures/bootstraphelper.hpp include/ql/termstructures/credit/all.hpp include/ql/termstructures/credit/defaultdensitystructure.hpp include/ql/termstructures/credit/defaultprobabilityhelpers.hpp include/ql/termstructures/credit/flathazardrate.hpp include/ql/termstructures/credit/hazardratestructure.hpp include/ql/termstructures/credit/interpolateddefaultdensitycurve.hpp include/ql/termstructures/credit/interpolatedhazardratecurve.hpp include/ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp include/ql/termstructures/credit/piecewisedefaultcurve.hpp include/ql/termstructures/credit/probabilitytraits.hpp include/ql/termstructures/credit/survivalprobabilitystructure.hpp +include/ql/termstructures/defaulttermstructure.hpp +include/ql/termstructures/globalbootstrap.hpp include/ql/termstructures/inflation/all.hpp include/ql/termstructures/inflation/inflationhelpers.hpp include/ql/termstructures/inflation/inflationtraits.hpp include/ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp include/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp include/ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp include/ql/termstructures/inflation/piecewisezeroinflationcurve.hpp include/ql/termstructures/inflation/seasonality.hpp +include/ql/termstructures/inflationtermstructure.hpp +include/ql/termstructures/interpolatedcurve.hpp +include/ql/termstructures/iterativebootstrap.hpp +include/ql/termstructures/localbootstrap.hpp +include/ql/termstructures/volatility/abcd.hpp +include/ql/termstructures/volatility/abcdcalibration.hpp +include/ql/termstructures/volatility/all.hpp +include/ql/termstructures/volatility/atmadjustedsmilesection.hpp +include/ql/termstructures/volatility/atmsmilesection.hpp +include/ql/termstructures/volatility/capfloor/all.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp +include/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp +include/ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp include/ql/termstructures/volatility/equityfx/all.hpp include/ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp -include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityadapter.hpp +include/ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp include/ql/termstructures/volatility/equityfx/blackconstantvol.hpp include/ql/termstructures/volatility/equityfx/blackvariancecurve.hpp include/ql/termstructures/volatility/equityfx/blackvariancesurface.hpp include/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp include/ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp include/ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.hpp include/ql/termstructures/volatility/equityfx/hestonblackvolsurface.hpp include/ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp include/ql/termstructures/volatility/equityfx/localconstantvol.hpp include/ql/termstructures/volatility/equityfx/localvolcurve.hpp include/ql/termstructures/volatility/equityfx/localvolsurface.hpp include/ql/termstructures/volatility/equityfx/localvoltermstructure.hpp include/ql/termstructures/volatility/equityfx/noexceptlocalvolsurface.hpp -include/ql/termstructures/volatility/capfloor/all.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp -include/ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp -include/ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp +include/ql/termstructures/volatility/flatsmilesection.hpp +include/ql/termstructures/volatility/gaussian1dsmilesection.hpp include/ql/termstructures/volatility/inflation/all.hpp include/ql/termstructures/volatility/inflation/constantcpivolatility.hpp include/ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp include/ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp +include/ql/termstructures/volatility/interpolatedsmilesection.hpp +include/ql/termstructures/volatility/kahalesmilesection.hpp include/ql/termstructures/volatility/optionlet/all.hpp include/ql/termstructures/volatility/optionlet/capletvariancecurve.hpp include/ql/termstructures/volatility/optionlet/constantoptionletvol.hpp include/ql/termstructures/volatility/optionlet/optionletstripper.hpp include/ql/termstructures/volatility/optionlet/optionletstripper1.hpp include/ql/termstructures/volatility/optionlet/optionletstripper2.hpp include/ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp include/ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp include/ql/termstructures/volatility/optionlet/strippedoptionlet.hpp include/ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp include/ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp +include/ql/termstructures/volatility/sabr.hpp +include/ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp +include/ql/termstructures/volatility/sabrsmilesection.hpp +include/ql/termstructures/volatility/smilesection.hpp +include/ql/termstructures/volatility/smilesectionutils.hpp +include/ql/termstructures/volatility/spreadedsmilesection.hpp include/ql/termstructures/volatility/swaption/all.hpp include/ql/termstructures/volatility/swaption/cmsmarket.hpp include/ql/termstructures/volatility/swaption/cmsmarketcalibration.hpp include/ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp include/ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp include/ql/termstructures/volatility/swaption/swaptionconstantvol.hpp include/ql/termstructures/volatility/swaption/swaptionvolcube.hpp include/ql/termstructures/volatility/swaption/swaptionvolcube1.hpp include/ql/termstructures/volatility/swaption/swaptionvolcube2.hpp include/ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp include/ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp include/ql/termstructures/volatility/swaption/swaptionvolstructure.hpp -include/ql/termstructures/volatility/all.hpp -include/ql/termstructures/volatility/abcd.hpp -include/ql/termstructures/volatility/abcdcalibration.hpp -include/ql/termstructures/volatility/atmadjustedsmilesection.hpp -include/ql/termstructures/volatility/atmsmilesection.hpp -include/ql/termstructures/volatility/flatsmilesection.hpp -include/ql/termstructures/volatility/gaussian1dsmilesection.hpp -include/ql/termstructures/volatility/interpolatedsmilesection.hpp -include/ql/termstructures/volatility/kahalesmilesection.hpp -include/ql/termstructures/volatility/sabr.hpp -include/ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp -include/ql/termstructures/volatility/sabrsmilesection.hpp -include/ql/termstructures/volatility/smilesection.hpp -include/ql/termstructures/volatility/smilesectionutils.hpp -include/ql/termstructures/volatility/spreadedsmilesection.hpp include/ql/termstructures/volatility/volatilitytype.hpp +include/ql/termstructures/voltermstructure.hpp include/ql/termstructures/yield/all.hpp include/ql/termstructures/yield/bondhelpers.hpp include/ql/termstructures/yield/bootstraptraits.hpp include/ql/termstructures/yield/compositezeroyieldstructure.hpp include/ql/termstructures/yield/discountcurve.hpp include/ql/termstructures/yield/drifttermstructure.hpp include/ql/termstructures/yield/fittedbonddiscountcurve.hpp include/ql/termstructures/yield/flatforward.hpp include/ql/termstructures/yield/forwardcurve.hpp include/ql/termstructures/yield/forwardspreadedtermstructure.hpp include/ql/termstructures/yield/forwardstructure.hpp include/ql/termstructures/yield/impliedtermstructure.hpp include/ql/termstructures/yield/interpolatedsimplezerocurve.hpp include/ql/termstructures/yield/nonlinearfittingmethods.hpp include/ql/termstructures/yield/oisratehelper.hpp include/ql/termstructures/yield/piecewiseyieldcurve.hpp -include/ql/termstructures/yield/ratehelpers.hpp include/ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp include/ql/termstructures/yield/quantotermstructure.hpp +include/ql/termstructures/yield/ratehelpers.hpp include/ql/termstructures/yield/zerocurve.hpp include/ql/termstructures/yield/zerospreadedtermstructure.hpp include/ql/termstructures/yield/zeroyieldstructure.hpp -include/ql/termstructures/all.hpp -include/ql/termstructures/bootstraperror.hpp -include/ql/termstructures/bootstraphelper.hpp -include/ql/termstructures/defaulttermstructure.hpp -include/ql/termstructures/globalbootstrap.hpp -include/ql/termstructures/inflationtermstructure.hpp -include/ql/termstructures/interpolatedcurve.hpp -include/ql/termstructures/iterativebootstrap.hpp -include/ql/termstructures/localbootstrap.hpp -include/ql/termstructures/voltermstructure.hpp include/ql/termstructures/yieldtermstructure.hpp +include/ql/time/all.hpp +include/ql/time/asx.hpp +include/ql/time/businessdayconvention.hpp +include/ql/time/calendar.hpp include/ql/time/calendars/all.hpp include/ql/time/calendars/argentina.hpp include/ql/time/calendars/australia.hpp include/ql/time/calendars/austria.hpp include/ql/time/calendars/bespokecalendar.hpp include/ql/time/calendars/botswana.hpp include/ql/time/calendars/brazil.hpp include/ql/time/calendars/canada.hpp include/ql/time/calendars/china.hpp include/ql/time/calendars/czechrepublic.hpp include/ql/time/calendars/denmark.hpp include/ql/time/calendars/finland.hpp include/ql/time/calendars/france.hpp include/ql/time/calendars/germany.hpp include/ql/time/calendars/hongkong.hpp include/ql/time/calendars/hungary.hpp include/ql/time/calendars/iceland.hpp include/ql/time/calendars/india.hpp include/ql/time/calendars/indonesia.hpp include/ql/time/calendars/israel.hpp include/ql/time/calendars/italy.hpp include/ql/time/calendars/japan.hpp include/ql/time/calendars/jointcalendar.hpp include/ql/time/calendars/mexico.hpp include/ql/time/calendars/newzealand.hpp include/ql/time/calendars/norway.hpp include/ql/time/calendars/nullcalendar.hpp include/ql/time/calendars/poland.hpp include/ql/time/calendars/romania.hpp include/ql/time/calendars/russia.hpp include/ql/time/calendars/saudiarabia.hpp include/ql/time/calendars/singapore.hpp include/ql/time/calendars/slovakia.hpp include/ql/time/calendars/southafrica.hpp include/ql/time/calendars/southkorea.hpp include/ql/time/calendars/sweden.hpp include/ql/time/calendars/switzerland.hpp include/ql/time/calendars/taiwan.hpp include/ql/time/calendars/target.hpp include/ql/time/calendars/thailand.hpp include/ql/time/calendars/turkey.hpp include/ql/time/calendars/ukraine.hpp include/ql/time/calendars/unitedkingdom.hpp include/ql/time/calendars/unitedstates.hpp include/ql/time/calendars/weekendsonly.hpp -include/ql/time/daycounters/all.hpp +include/ql/time/date.hpp +include/ql/time/dategenerationrule.hpp +include/ql/time/daycounter.hpp include/ql/time/daycounters/actual360.hpp +include/ql/time/daycounters/actual364.hpp include/ql/time/daycounters/actual365fixed.hpp include/ql/time/daycounters/actualactual.hpp +include/ql/time/daycounters/all.hpp include/ql/time/daycounters/business252.hpp include/ql/time/daycounters/one.hpp include/ql/time/daycounters/simpledaycounter.hpp include/ql/time/daycounters/thirty360.hpp -include/ql/time/all.hpp -include/ql/time/asx.hpp -include/ql/time/businessdayconvention.hpp -include/ql/time/calendar.hpp -include/ql/time/date.hpp -include/ql/time/dategenerationrule.hpp -include/ql/time/daycounter.hpp +include/ql/time/daycounters/thirty365.hpp include/ql/time/ecb.hpp include/ql/time/frequency.hpp include/ql/time/imm.hpp include/ql/time/period.hpp include/ql/time/schedule.hpp include/ql/time/timeunit.hpp include/ql/time/weekday.hpp +include/ql/timegrid.hpp +include/ql/timeseries.hpp +include/ql/tuple.hpp +include/ql/types.hpp include/ql/utilities/all.hpp include/ql/utilities/clone.hpp include/ql/utilities/dataformatters.hpp include/ql/utilities/dataparsers.hpp include/ql/utilities/disposable.hpp -include/ql/utilities/null.hpp include/ql/utilities/null_deleter.hpp +include/ql/utilities/null.hpp include/ql/utilities/observablevalue.hpp include/ql/utilities/steppingiterator.hpp include/ql/utilities/tracing.hpp include/ql/utilities/vectors.hpp -include/ql/auto_link.hpp -include/ql/auto_ptr.hpp -include/ql/cashflow.hpp -include/ql/compounding.hpp -include/ql/config.hpp -include/ql/currency.hpp -include/ql/default.hpp -include/ql/discretizedasset.hpp -include/ql/errors.hpp -include/ql/exchangerate.hpp -include/ql/exercise.hpp -include/ql/event.hpp -include/ql/functional.hpp -include/ql/grid.hpp -include/ql/handle.hpp -include/ql/index.hpp -include/ql/instrument.hpp -include/ql/interestrate.hpp -include/ql/mathconstants.hpp -include/ql/money.hpp -include/ql/numericalmethod.hpp -include/ql/option.hpp -include/ql/payoff.hpp -include/ql/position.hpp -include/ql/prices.hpp -include/ql/pricingengine.hpp -include/ql/qldefines.hpp -include/ql/quantlib.hpp -include/ql/quote.hpp -include/ql/rebatedexercise.hpp -include/ql/settings.hpp -include/ql/shared_ptr.hpp -include/ql/stochasticprocess.hpp -include/ql/termstructure.hpp -include/ql/timegrid.hpp -include/ql/timeseries.hpp -include/ql/types.hpp include/ql/version.hpp include/ql/volatilitymodel.hpp @dir include/ql lib/libQuantLib.so lib/libQuantLib.so.0 lib/libQuantLib.so.0.0.0 lib/libQuantLib.a libdata/pkgconfig/quantlib.pc man/man1/quantlib-config.1.gz man/man1/quantlib-test-suite.1.gz share/aclocal/quantlib.m4