add quantlib

A comprehensive software framework for quantitative finance

5 files changed, 220 insertions, 0 deletions

diff --git a/finance/quantlib/Makefile b/finance/quantlib/Makefile
new file mode 100644
index 0000000..5ed5618
--- /dev/null
+++ b/finance/quantlib/Makefile
@@ -0,0 +1,21 @@
+# ex:ts=8
+# New ports collection makefile for:	quantlib
+# Date created:			Aug 12, 2001
+# Whom:				ijliao
+#
+# $FreeBSD$
+#
+
+PORTNAME=	quantlib
+PORTVERSION=	0.1.9
+CATEGORIES=	misc
+MASTER_SITES=	${MASTER_SITE_SOURCEFORGE}
+MASTER_SITE_SUBDIR=	${PORTNAME}
+DISTNAME=	QuantLib-${PORTVERSION}-src
+
+MAINTAINER=	ports@FreeBSD.org
+
+WRKSRC=		${WRKDIR}/QuantLib-${PORTVERSION}
+GNU_CONFIGURE=	yes
+
+.include <bsd.port.mk>
diff --git a/finance/quantlib/distinfo b/finance/quantlib/distinfo
new file mode 100644
index 0000000..3efef86
--- /dev/null
+++ b/finance/quantlib/distinfo
@@ -0,0 +1 @@
+MD5 (QuantLib-0.1.9-src.tar.gz) = 8cb909e27780dc48cb94821973098764
diff --git a/finance/quantlib/pkg-comment b/finance/quantlib/pkg-comment
new file mode 100644
index 0000000..3392b6a
--- /dev/null
+++ b/finance/quantlib/pkg-comment
@@ -0,0 +1 @@
+A comprehensive software framework for quantitative finance
diff --git a/finance/quantlib/pkg-descr b/finance/quantlib/pkg-descr
new file mode 100644
index 0000000..beed39e
--- /dev/null
+++ b/finance/quantlib/pkg-descr
@@ -0,0 +1,22 @@
+The QuantLib project is aimed to provide a comprehensive software framework
+for quantitative finance. The goal is to provide a standard free/open source
+library to quantitative analysts and developers for modeling, trading, and
+risk management in real-life.
+
+QuantLib plans to offer tools that are useful for both practical
+implementation, with features such as market conventions, solvers, PDEs,
+etc., and advanced modeling, e.g., exotic options and interest rate models.
+
+QuantLib is meant to be used by academics and practitioners alike, eventually
+promoting a stronger interaction between the two.
+
+Finance is one area where well-written open-source projects could make a
+tremendous difference. Almost every financial institution needs a solid,
+time-effective, operative implementation of leading-edge pricing models and
+hedging tools. However, to get there, currently one is forced to re-invent
+the wheel every time. Even decade-old models with no market value, such as
+Black-Scholes formula (1973), still lack a standard implementation. As a
+consequences many good quants are wasting their time writing C++ classes
+which have been already written thousands of times.
+
+WWW: http://www.quantlib.org/
diff --git a/finance/quantlib/pkg-plist b/finance/quantlib/pkg-plist
new file mode 100644
index 0000000..60469b1
--- /dev/null
+++ b/finance/quantlib/pkg-plist
@@ -0,0 +1,175 @@
+include/ql/Calendars/frankfurt.hpp
+include/ql/Calendars/helsinki.hpp
+include/ql/Calendars/london.hpp
+include/ql/Calendars/milan.hpp
+include/ql/Calendars/newyork.hpp
+include/ql/Calendars/target.hpp
+include/ql/Calendars/wellington.hpp
+include/ql/Calendars/westerncalendar.hpp
+include/ql/Calendars/zurich.hpp
+include/ql/Currencies/chf.hpp
+include/ql/Currencies/dem.hpp
+include/ql/Currencies/eur.hpp
+include/ql/Currencies/gbp.hpp
+include/ql/Currencies/itl.hpp
+include/ql/Currencies/usd.hpp
+include/ql/DayCounters/actual360.hpp
+include/ql/DayCounters/actual365.hpp
+include/ql/DayCounters/actualactual.hpp
+include/ql/DayCounters/thirty360.hpp
+include/ql/DayCounters/thirty360european.hpp
+include/ql/DayCounters/thirty360italian.hpp
+include/ql/FiniteDifferences/backwardeuler.hpp
+include/ql/FiniteDifferences/boundarycondition.hpp
+include/ql/FiniteDifferences/bsmoperator.hpp
+include/ql/FiniteDifferences/cranknicolson.hpp
+include/ql/FiniteDifferences/dminus.hpp
+include/ql/FiniteDifferences/dplus.hpp
+include/ql/FiniteDifferences/dplusdminus.hpp
+include/ql/FiniteDifferences/dzero.hpp
+include/ql/FiniteDifferences/finitedifferencemodel.hpp
+include/ql/FiniteDifferences/forwardeuler.hpp
+include/ql/FiniteDifferences/identity.hpp
+include/ql/FiniteDifferences/operator.hpp
+include/ql/FiniteDifferences/operatortraits.hpp
+include/ql/FiniteDifferences/standardfdmodel.hpp
+include/ql/FiniteDifferences/standardstepcondition.hpp
+include/ql/FiniteDifferences/stepcondition.hpp
+include/ql/FiniteDifferences/tridiagonaloperator.hpp
+include/ql/FiniteDifferences/valueatcenter.hpp
+include/ql/Indexes/euribor.hpp
+include/ql/Indexes/libor.hpp
+include/ql/Indexes/libormanager.hpp
+include/ql/Indexes/usdlibor.hpp
+include/ql/Indexes/xibor.hpp
+include/ql/Instruments/stock.hpp
+include/ql/Math/cubicspline.hpp
+include/ql/Math/interpolation.hpp
+include/ql/Math/lexicographicalview.hpp
+include/ql/Math/linearinterpolation.hpp
+include/ql/Math/matrix.hpp
+include/ql/Math/multivariateaccumulator.hpp
+include/ql/Math/normaldistribution.hpp
+include/ql/Math/riskmeasures.hpp
+include/ql/Math/statistics.hpp
+include/ql/Math/symmetriceigenvalues.hpp
+include/ql/Math/symmetricschurdecomposition.hpp
+include/ql/MonteCarlo/avgpriceasianpathpricer.hpp
+include/ql/MonteCarlo/avgstrikeasianpathpricer.hpp
+include/ql/MonteCarlo/basketpathpricer.hpp
+include/ql/MonteCarlo/boxmuller.hpp
+include/ql/MonteCarlo/centrallimitgaussian.hpp
+include/ql/MonteCarlo/controlvariatedpathpricer.hpp
+include/ql/MonteCarlo/europeanpathpricer.hpp
+include/ql/MonteCarlo/everestpathpricer.hpp
+include/ql/MonteCarlo/gaussianarraygenerator.hpp
+include/ql/MonteCarlo/gaussianrandomgenerator.hpp
+include/ql/MonteCarlo/generalmontecarlo.hpp
+include/ql/MonteCarlo/geometricasianpathpricer.hpp
+include/ql/MonteCarlo/getcovariance.hpp
+include/ql/MonteCarlo/himalayapathpricer.hpp
+include/ql/MonteCarlo/lecuyerrandomgenerator.hpp
+include/ql/MonteCarlo/mcoptionsample.hpp
+include/ql/MonteCarlo/mcpricer.hpp
+include/ql/MonteCarlo/multifactormontecarlooption.hpp
+include/ql/MonteCarlo/multifactorpricer.hpp
+include/ql/MonteCarlo/multipath.hpp
+include/ql/MonteCarlo/multipathgenerator.hpp
+include/ql/MonteCarlo/multipathpricer.hpp
+include/ql/MonteCarlo/onefactormontecarlooption.hpp
+include/ql/MonteCarlo/pagodapathpricer.hpp
+include/ql/MonteCarlo/path.hpp
+include/ql/MonteCarlo/pathmontecarlo.hpp
+include/ql/MonteCarlo/pathpricer.hpp
+include/ql/MonteCarlo/randomarraygenerator.hpp
+include/ql/MonteCarlo/standardmultipathgenerator.hpp
+include/ql/MonteCarlo/standardpathgenerator.hpp
+include/ql/MonteCarlo/uniformrandomgenerator.hpp
+include/ql/Patterns/observable.hpp
+include/ql/Pricers/americancondition.hpp
+include/ql/Pricers/americanoption.hpp
+include/ql/Pricers/averagepriceasian.hpp
+include/ql/Pricers/averagestrikeasian.hpp
+include/ql/Pricers/barrieroption.hpp
+include/ql/Pricers/bermudanoption.hpp
+include/ql/Pricers/binaryoption.hpp
+include/ql/Pricers/bsmeuropeanoption.hpp
+include/ql/Pricers/bsmnumericaloption.hpp
+include/ql/Pricers/bsmoption.hpp
+include/ql/Pricers/cliquetoption.hpp
+include/ql/Pricers/dividendamericanoption.hpp
+include/ql/Pricers/dividendeuropeanoption.hpp
+include/ql/Pricers/dividendoption.hpp
+include/ql/Pricers/dividendshoutoption.hpp
+include/ql/Pricers/everestoption.hpp
+include/ql/Pricers/finitedifferenceeuropean.hpp
+include/ql/Pricers/geometricasianoption.hpp
+include/ql/Pricers/himalaya.hpp
+include/ql/Pricers/mceuropeanpricer.hpp
+include/ql/Pricers/multiperiodoption.hpp
+include/ql/Pricers/pagodaoption.hpp
+include/ql/Pricers/plainbasketoption.hpp
+include/ql/Pricers/shoutcondition.hpp
+include/ql/Pricers/shoutoption.hpp
+include/ql/Pricers/stepconditionoption.hpp
+include/ql/Solvers1D/bisection.hpp
+include/ql/Solvers1D/brent.hpp
+include/ql/Solvers1D/falseposition.hpp
+include/ql/Solvers1D/newton.hpp
+include/ql/Solvers1D/newtonsafe.hpp
+include/ql/Solvers1D/ridder.hpp
+include/ql/Solvers1D/secant.hpp
+include/ql/TermStructures/flatforward.hpp
+include/ql/TermStructures/piecewiseconstantforwards.hpp
+include/ql/TermStructures/piecewiseflatforward.hpp
+include/ql/TermStructures/ratehelpers.hpp
+include/ql/Utilities/combiningiterator.hpp
+include/ql/Utilities/couplingiterator.hpp
+include/ql/Utilities/filteringiterator.hpp
+include/ql/Utilities/iteratorcategories.hpp
+include/ql/Utilities/processingiterator.hpp
+include/ql/Utilities/steppingiterator.hpp
+include/ql/array.hpp
+include/ql/calendar.hpp
+include/ql/config.hpp
+include/ql/currency.hpp
+include/ql/dataformatters.hpp
+include/ql/date.hpp
+include/ql/daycounter.hpp
+include/ql/depositrate.hpp
+include/ql/discountfactor.hpp
+include/ql/expressiontemplates.hpp
+include/ql/forwardvolsurface.hpp
+include/ql/handle.hpp
+include/ql/history.hpp
+include/ql/index.hpp
+include/ql/instrument.hpp
+include/ql/null.hpp
+include/ql/options.hpp
+include/ql/qldefines.hpp
+include/ql/qlerrors.hpp
+include/ql/quantlib.hpp
+include/ql/rate.hpp
+include/ql/riskstatistics.hpp
+include/ql/solver1d.hpp
+include/ql/spread.hpp
+include/ql/swaptionvolsurface.hpp
+include/ql/termstructure.hpp
+lib/libQuantLib.a
+lib/libQuantLib.la
+lib/libQuantLib.so
+lib/libQuantLib.so.0
+@dirrm include/ql/Calendars
+@dirrm include/ql/Currencies
+@dirrm include/ql/DayCounters
+@dirrm include/ql/FiniteDifferences
+@dirrm include/ql/Indexes
+@dirrm include/ql/Instruments
+@dirrm include/ql/Math
+@dirrm include/ql/MonteCarlo
+@dirrm include/ql/Patterns
+@dirrm include/ql/Pricers
+@dirrm include/ql/Solvers1D
+@dirrm include/ql/TermStructures
+@dirrm include/ql/Utilities
+@dirrm include/ql