[pkgsrc/trunk]: pkgsrc/finance/QuantLib finance/QuantLib: Import version 1.12.1

[minskim <minskim%pkgsrc.org@localhost>]

details:   https://anonhg.NetBSD.org/pkgsrc/rev/4b39a84ab11f
branches:  trunk
changeset: 380227:4b39a84ab11f
user:      minskim <minskim%pkgsrc.org@localhost>
date:      Mon May 14 00:06:44 2018 +0000

description:
finance/QuantLib: Import version 1.12.1

The QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance. QuantLib is a free/open-source
library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then
exported to different languages such as C#, Objective Caml, Java,
Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is also
available. The reposit project facilitates deployment of object
libraries to end user platforms and is used to generate QuantLibXL, an
Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other
platforms such as LibreOffice Calc. Bindings to other languages and
porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica,
COM/CORBA/SOAP architectures, FpML, are under consideration.

diffstat:

 finance/QuantLib/DESCR                           |    13 +
 finance/QuantLib/Makefile                        |    28 +
 finance/QuantLib/PLIST                           |  1317 ++++++++++++++++++++++
 finance/QuantLib/buildlink3.mk                   |    14 +
 finance/QuantLib/distinfo                        |     8 +
 finance/QuantLib/patches/patch-CMakeLists.txt    |    15 +
 finance/QuantLib/patches/patch-ql_CMakeLists.txt |    23 +
 7 files changed, 1418 insertions(+), 0 deletions(-)

diffs (truncated from 1446 to 300 lines):

diff -r 385a9fb4d2b7 -r 4b39a84ab11f finance/QuantLib/DESCR
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/finance/QuantLib/DESCR    Mon May 14 00:06:44 2018 +0000
@@ -0,0 +1,13 @@
+The QuantLib project is aimed at providing a comprehensive software
+framework for quantitative finance. QuantLib is a free/open-source
+library for modeling, trading, and risk management in real-life.
+
+QuantLib is written in C++ with a clean object model, and is then
+exported to different languages such as C#, Objective Caml, Java,
+Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is also
+available. The reposit project facilitates deployment of object
+libraries to end user platforms and is used to generate QuantLibXL, an
+Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other
+platforms such as LibreOffice Calc. Bindings to other languages and
+porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica,
+COM/CORBA/SOAP architectures, FpML, are under consideration.
diff -r 385a9fb4d2b7 -r 4b39a84ab11f finance/QuantLib/Makefile
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/finance/QuantLib/Makefile Mon May 14 00:06:44 2018 +0000
@@ -0,0 +1,28 @@
+# $NetBSD: Makefile,v 1.1 2018/05/14 00:06:44 minskim Exp $
+
+DISTNAME=      QuantLib-1.12.1
+CATEGORIES=    finance
+MASTER_SITES=  ${MASTER_SITE_GITHUB:=lballabio/}
+GITHUB_TAG=    ${PKGBASE}-v${PKGVERSION_NOREV}
+
+MAINTAINER=    minskim%NetBSD.org@localhost
+HOMEPAGE=      http://quantlib.org/
+COMMENT=       C++ library for quantitative finance
+LICENSE=       modified-bsd
+
+USE_CMAKE=     yes
+USE_LANGUAGES= c c++
+
+GCC_REQD+=             4.8
+TOOLS_DEPENDS.cmake=   cmake>=3.0:../../devel/cmake
+
+SUBST_CLASSES+=                sover
+SUBST_STAGE.sover=     pre-configure
+SUBST_MESSAGE.sover=   Set the shared library version.
+SUBST_FILES.sover=     CMakeLists.txt
+SUBST_SED.sover=       -e 's,@PKGVERSION@,${PKGVERSION_NOREV},g'
+
+.include "../../devel/boost-headers/buildlink3.mk"
+BUILDLINK_DEPMETHOD.boost-libs=        build
+.include "../../devel/boost-libs/buildlink3.mk"
+.include "../../mk/bsd.pkg.mk"
diff -r 385a9fb4d2b7 -r 4b39a84ab11f finance/QuantLib/PLIST
--- /dev/null   Thu Jan 01 00:00:00 1970 +0000
+++ b/finance/QuantLib/PLIST    Mon May 14 00:06:44 2018 +0000
@@ -0,0 +1,1317 @@
+@comment $NetBSD: PLIST,v 1.1 2018/05/14 00:06:44 minskim Exp $
+include/ql/auto_link.hpp
+include/ql/cashflow.hpp
+include/ql/cashflows/all.hpp
+include/ql/cashflows/averagebmacoupon.hpp
+include/ql/cashflows/capflooredcoupon.hpp
+include/ql/cashflows/capflooredinflationcoupon.hpp
+include/ql/cashflows/cashflows.hpp
+include/ql/cashflows/cashflowvectors.hpp
+include/ql/cashflows/cmscoupon.hpp
+include/ql/cashflows/conundrumpricer.hpp
+include/ql/cashflows/coupon.hpp
+include/ql/cashflows/couponpricer.hpp
+include/ql/cashflows/cpicoupon.hpp
+include/ql/cashflows/cpicouponpricer.hpp
+include/ql/cashflows/digitalcmscoupon.hpp
+include/ql/cashflows/digitalcoupon.hpp
+include/ql/cashflows/digitaliborcoupon.hpp
+include/ql/cashflows/dividend.hpp
+include/ql/cashflows/duration.hpp
+include/ql/cashflows/fixedratecoupon.hpp
+include/ql/cashflows/floatingratecoupon.hpp
+include/ql/cashflows/iborcoupon.hpp
+include/ql/cashflows/indexedcashflow.hpp
+include/ql/cashflows/inflationcoupon.hpp
+include/ql/cashflows/inflationcouponpricer.hpp
+include/ql/cashflows/lineartsrpricer.hpp
+include/ql/cashflows/overnightindexedcoupon.hpp
+include/ql/cashflows/rangeaccrual.hpp
+include/ql/cashflows/replication.hpp
+include/ql/cashflows/simplecashflow.hpp
+include/ql/cashflows/timebasket.hpp
+include/ql/cashflows/yoyinflationcoupon.hpp
+include/ql/compounding.hpp
+include/ql/config.ansi.hpp
+include/ql/config.hpp
+include/ql/config.mingw.hpp
+include/ql/config.msvc.hpp
+include/ql/config.sun.hpp
+include/ql/currencies/africa.hpp
+include/ql/currencies/all.hpp
+include/ql/currencies/america.hpp
+include/ql/currencies/asia.hpp
+include/ql/currencies/crypto.hpp
+include/ql/currencies/europe.hpp
+include/ql/currencies/exchangeratemanager.hpp
+include/ql/currencies/oceania.hpp
+include/ql/currency.hpp
+include/ql/default.hpp
+include/ql/discretizedasset.hpp
+include/ql/errors.hpp
+include/ql/event.hpp
+include/ql/exchangerate.hpp
+include/ql/exercise.hpp
+include/ql/experimental/all.hpp
+include/ql/experimental/amortizingbonds/all.hpp
+include/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp
+include/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp
+include/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp
+include/ql/experimental/averageois/all.hpp
+include/ql/experimental/averageois/arithmeticaverageois.hpp
+include/ql/experimental/averageois/arithmeticoisratehelper.hpp
+include/ql/experimental/averageois/averageoiscouponpricer.hpp
+include/ql/experimental/averageois/makearithmeticaverageois.hpp
+include/ql/experimental/barrieroption/all.hpp
+include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp
+include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp
+include/ql/experimental/barrieroption/binomialdoublebarrierengine.hpp
+include/ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp
+include/ql/experimental/barrieroption/doublebarrieroption.hpp
+include/ql/experimental/barrieroption/doublebarriertype.hpp
+include/ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp
+include/ql/experimental/barrieroption/quantodoublebarrieroption.hpp
+include/ql/experimental/barrieroption/vannavolgabarrierengine.hpp
+include/ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp
+include/ql/experimental/barrieroption/vannavolgainterpolation.hpp
+include/ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp
+include/ql/experimental/callablebonds/all.hpp
+include/ql/experimental/callablebonds/blackcallablebondengine.hpp
+include/ql/experimental/callablebonds/callablebond.hpp
+include/ql/experimental/callablebonds/callablebondconstantvol.hpp
+include/ql/experimental/callablebonds/callablebondvolstructure.hpp
+include/ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp
+include/ql/experimental/callablebonds/treecallablebondengine.hpp
+include/ql/experimental/catbonds/all.hpp
+include/ql/experimental/catbonds/catbond.hpp
+include/ql/experimental/catbonds/catrisk.hpp
+include/ql/experimental/catbonds/montecarlocatbondengine.hpp
+include/ql/experimental/catbonds/riskynotional.hpp
+include/ql/experimental/commodities/all.hpp
+include/ql/experimental/commodities/commodity.hpp
+include/ql/experimental/commodities/commoditycashflow.hpp
+include/ql/experimental/commodities/commoditycurve.hpp
+include/ql/experimental/commodities/commodityindex.hpp
+include/ql/experimental/commodities/commoditypricinghelpers.hpp
+include/ql/experimental/commodities/commoditysettings.hpp
+include/ql/experimental/commodities/commoditytype.hpp
+include/ql/experimental/commodities/commodityunitcost.hpp
+include/ql/experimental/commodities/dateinterval.hpp
+include/ql/experimental/commodities/energybasisswap.hpp
+include/ql/experimental/commodities/energycommodity.hpp
+include/ql/experimental/commodities/energyfuture.hpp
+include/ql/experimental/commodities/energyswap.hpp
+include/ql/experimental/commodities/energyvanillaswap.hpp
+include/ql/experimental/commodities/exchangecontract.hpp
+include/ql/experimental/commodities/paymentterm.hpp
+include/ql/experimental/commodities/petroleumunitsofmeasure.hpp
+include/ql/experimental/commodities/pricingperiod.hpp
+include/ql/experimental/commodities/quantity.hpp
+include/ql/experimental/commodities/unitofmeasure.hpp
+include/ql/experimental/commodities/unitofmeasureconversion.hpp
+include/ql/experimental/commodities/unitofmeasureconversionmanager.hpp
+include/ql/experimental/convertiblebonds/all.hpp
+include/ql/experimental/convertiblebonds/binomialconvertibleengine.hpp
+include/ql/experimental/convertiblebonds/convertiblebond.hpp
+include/ql/experimental/convertiblebonds/discretizedconvertible.hpp
+include/ql/experimental/convertiblebonds/tflattice.hpp
+include/ql/experimental/coupons/all.hpp
+include/ql/experimental/coupons/cmsspreadcoupon.hpp
+include/ql/experimental/coupons/digitalcmsspreadcoupon.hpp
+include/ql/experimental/coupons/lognormalcmsspreadpricer.hpp
+include/ql/experimental/coupons/proxyibor.hpp
+include/ql/experimental/coupons/quantocouponpricer.hpp
+include/ql/experimental/coupons/strippedcapflooredcoupon.hpp
+include/ql/experimental/coupons/subperiodcoupons.hpp
+include/ql/experimental/coupons/swapspreadindex.hpp
+include/ql/experimental/credit/all.hpp
+include/ql/experimental/credit/basecorrelationlossmodel.hpp
+include/ql/experimental/credit/basecorrelationstructure.hpp
+include/ql/experimental/credit/basket.hpp
+include/ql/experimental/credit/binomiallossmodel.hpp
+include/ql/experimental/credit/blackcdsoptionengine.hpp
+include/ql/experimental/credit/cdo.hpp
+include/ql/experimental/credit/cdsoption.hpp
+include/ql/experimental/credit/constantlosslatentmodel.hpp
+include/ql/experimental/credit/correlationstructure.hpp
+include/ql/experimental/credit/defaultevent.hpp
+include/ql/experimental/credit/defaultlossmodel.hpp
+include/ql/experimental/credit/defaultprobabilitykey.hpp
+include/ql/experimental/credit/defaultprobabilitylatentmodel.hpp
+include/ql/experimental/credit/defaulttype.hpp
+include/ql/experimental/credit/distribution.hpp
+include/ql/experimental/credit/factorspreadedhazardratecurve.hpp
+include/ql/experimental/credit/gaussianlhplossmodel.hpp
+include/ql/experimental/credit/homogeneouspooldef.hpp
+include/ql/experimental/credit/inhomogeneouspooldef.hpp
+include/ql/experimental/credit/integralcdoengine.hpp
+include/ql/experimental/credit/integralntdengine.hpp
+include/ql/experimental/credit/interpolatedaffinehazardratecurve.hpp
+include/ql/experimental/credit/issuer.hpp
+include/ql/experimental/credit/loss.hpp
+include/ql/experimental/credit/lossdistribution.hpp
+include/ql/experimental/credit/midpointcdoengine.hpp
+include/ql/experimental/credit/nthtodefault.hpp
+include/ql/experimental/credit/onefactoraffinesurvival.hpp
+include/ql/experimental/credit/onefactorcopula.hpp
+include/ql/experimental/credit/onefactorgaussiancopula.hpp
+include/ql/experimental/credit/onefactorstudentcopula.hpp
+include/ql/experimental/credit/pool.hpp
+include/ql/experimental/credit/randomdefaultlatentmodel.hpp
+include/ql/experimental/credit/randomdefaultmodel.hpp
+include/ql/experimental/credit/randomlosslatentmodel.hpp
+include/ql/experimental/credit/recoveryratemodel.hpp
+include/ql/experimental/credit/recoveryratequote.hpp
+include/ql/experimental/credit/recursivelossmodel.hpp
+include/ql/experimental/credit/riskyassetswap.hpp
+include/ql/experimental/credit/riskyassetswapoption.hpp
+include/ql/experimental/credit/riskybond.hpp
+include/ql/experimental/credit/saddlepointlossmodel.hpp
+include/ql/experimental/credit/spotlosslatentmodel.hpp
+include/ql/experimental/credit/spreadedhazardratecurve.hpp
+include/ql/experimental/credit/syntheticcdo.hpp
+include/ql/experimental/exoticoptions/all.hpp
+include/ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp
+include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp
+include/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp
+include/ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp
+include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp
+include/ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp
+include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp
+include/ql/experimental/exoticoptions/analyticsimplechooserengine.hpp
+include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp
+include/ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp
+include/ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp
+include/ql/experimental/exoticoptions/complexchooseroption.hpp
+include/ql/experimental/exoticoptions/compoundoption.hpp
+include/ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp
+include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp
+include/ql/experimental/exoticoptions/everestoption.hpp
+include/ql/experimental/exoticoptions/himalayaoption.hpp
+include/ql/experimental/exoticoptions/holderextensibleoption.hpp
+include/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp
+include/ql/experimental/exoticoptions/margrabeoption.hpp
+include/ql/experimental/exoticoptions/mceverestengine.hpp
+include/ql/experimental/exoticoptions/mchimalayaengine.hpp
+include/ql/experimental/exoticoptions/mcpagodaengine.hpp
+include/ql/experimental/exoticoptions/pagodaoption.hpp
+include/ql/experimental/exoticoptions/partialtimebarrieroption.hpp
+include/ql/experimental/exoticoptions/simplechooseroption.hpp
+include/ql/experimental/exoticoptions/spreadoption.hpp
+include/ql/experimental/exoticoptions/twoassetbarrieroption.hpp
+include/ql/experimental/exoticoptions/twoassetcorrelationoption.hpp
+include/ql/experimental/exoticoptions/writerextensibleoption.hpp
+include/ql/experimental/finitedifferences/all.hpp
+include/ql/experimental/finitedifferences/bsmrndcalculator.hpp
+include/ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp
+include/ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp
+include/ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp
+include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp
+include/ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp
+include/ql/experimental/finitedifferences/fdmdupire1dop.hpp
+include/ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp
+include/ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp
+include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp
+include/ql/experimental/finitedifferences/fdmextoujumpop.hpp
+include/ql/experimental/finitedifferences/fdmextoujumpsolver.hpp
+include/ql/experimental/finitedifferences/fdmhestonfwdop.hpp
+include/ql/experimental/finitedifferences/fdmhestongreensfct.hpp
+include/ql/experimental/finitedifferences/fdmklugeextouop.hpp
+include/ql/experimental/finitedifferences/fdmklugeextousolver.hpp
+include/ql/experimental/finitedifferences/fdmlocalvolfwdop.hpp
+include/ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp
+include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp
+include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp
+include/ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp
+include/ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp
+include/ql/experimental/finitedifferences/fdmvppstepcondition.hpp
+include/ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp
+include/ql/experimental/finitedifferences/fdmzabrop.hpp
+include/ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp
+include/ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp
+include/ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp
+include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp
+include/ql/experimental/finitedifferences/gbsmrndcalculator.hpp
+include/ql/experimental/finitedifferences/glued1dmesher.hpp
+include/ql/experimental/finitedifferences/hestonrndcalculator.hpp
+include/ql/experimental/finitedifferences/localvolrndcalculator.hpp
+include/ql/experimental/finitedifferences/modtriplebandlinearop.hpp
+include/ql/experimental/finitedifferences/riskneutraldensitycalculator.hpp
+include/ql/experimental/finitedifferences/squarerootprocessrndcalculator.hpp
+include/ql/experimental/finitedifferences/vanillavppoption.hpp
+include/ql/experimental/fx/all.hpp
+include/ql/experimental/fx/blackdeltacalculator.hpp
+include/ql/experimental/fx/deltavolquote.hpp
+include/ql/experimental/inflation/all.hpp
+include/ql/experimental/inflation/cpicapfloorengines.hpp
+include/ql/experimental/inflation/cpicapfloortermpricesurface.hpp