Fix windows build and update to QuantLib 1.4

.gitignore

@@ -1,6 +1,8 @@
 build/*
 docs/build
 quantlib.egg-info/*
+QuantLib.dll
+symbol_win*.def
 *.cpp
 *.so
 *.h

CHANGES.txt

@@ -1,6 +1,12 @@
 PyQL CHANGELOG
 ==============
 
+Pre 0.2
+-------
+
+Builds are finally usable on Windows 32 and 64 bit (two tests are failing due
+to numerical issues but the Singleton problem is fixed)
+
 Release 0.1
 -----------
 

README.md

@@ -19,13 +19,5 @@ Prerequisites
 Building the library
 --------------------
 
-The build and test suite can be run as follows::
-
-    make clean
-    make build
-    make tests
-
-To build the library on Mac OS X 10.9, the QuantLib library must be linked
-against libstdc++. To do so, set the environment variables `CXXFLAGS` and
-`LDFLAGS` to `-stlib=libstdc++ -mmacosx-version-min=10.6` before building
-from source.
+See the getting_started.rst documentation in docs/source for the 
+full details!

cpp_layer/mc_vanilla_engine_support_code.cpp

@@ -6,8 +6,10 @@
 
 #include <string>
 #include <iostream>
-#include <ql/quantlib.hpp>
+#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
 #include <ql/processes/hestonprocess.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/exercise.hpp>
 
 namespace QuantLib {
 

cpp_layer/mc_vanilla_engine_support_code.hpp

@@ -5,8 +5,9 @@
  */
 
 #include <string>
-#include <ql/quantlib.hpp>
+#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
 #include <ql/processes/hestonprocess.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
 
 namespace QuantLib {
 

cpp_layer/ql_settings.cpp

@@ -1,8 +1,18 @@
 #include <ql/time/date.hpp>
+
+#ifdef WIN32
+// using a custom settings.hpp that exposes the Setting class with dllimport
+// This is required to make sure the Singleton is properly shared between the 
+// Cython pyd's.
+#include <settings.hpp>
+#else
 #include <ql/settings.hpp>
+#endif
+
+
 using namespace QuantLib;
 
-namespace QL {
+namespace QuantLib {
     void set_evaluation_date(Date& evaluation_date) {
         Settings::instance().evaluationDate() = evaluation_date;
     }

cpp_layer/ql_settings.hpp

@@ -5,9 +5,8 @@
  */
 
 #include <ql/time/date.hpp>
-#include <ql/settings.hpp>
 
-namespace QL {
+namespace QuantLib {
     QuantLib::Date get_evaluation_date();
     void set_evaluation_date(QuantLib::Date& evaluation_date);
 }

cpp_layer/settings.hpp

@@ -0,0 +1,193 @@
+// !! Patched version of ql/settings.hpp doing a dllimport on Settings
+ #pragma warning(disable:4251)
+ #pragma warning(disable:4275)
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2007, 2011 Ferdinando Ametrano
+ Copyright (C) 2007 Fran�ois du Vignaud
+ Copyright (C) 2004, 2005, 2007, 2009 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file settings.hpp
+    \brief global repository for run-time library settings
+*/
+
+#ifndef quantlib_settings_hpp
+#define quantlib_settings_hpp
+
+#include <ql/patterns/singleton.hpp>
+#include <ql/time/date.hpp>
+#include <ql/utilities/observablevalue.hpp>
+#include <boost/optional.hpp>
+
+namespace QuantLib {
+
+    //! global repository for run-time library settings
+   class  __declspec(dllimport) Settings : public Singleton<Settings> {
+        friend class Singleton<Settings>;
+      private:
+        Settings();
+        class DateProxy : public ObservableValue<Date> {
+          public:
+            DateProxy();
+            DateProxy& operator=(const Date&);
+            operator Date() const;
+        };
+        friend std::ostream& operator<<(std::ostream&, const DateProxy&);
+      public:
+        //! the date at which pricing is to be performed.
+        /*! Client code can inspect the evaluation date, as in:
+            \code
+            Date d = Settings::instance().evaluationDate();
+            \endcode
+            where today's date is returned if the evaluation date is
+            set to the null date (its default value;) can set it to a
+            new value, as in:
+            \code
+            Settings::instance().evaluationDate() = d;
+            \endcode
+            and can register with it, as in:
+            \code
+            registerWith(Settings::instance().evaluationDate());
+            \endcode
+            to be notified when it is set to a new value.
+            \warning a notification is not sent when the evaluation
+                     date changes for natural causes---i.e., a date
+                     was not explicitly set (which results in today's
+                     date being used for pricing) and the current date
+                     changes as the clock strikes midnight.
+        */
+        DateProxy& evaluationDate();
+        const DateProxy& evaluationDate() const;
+
+        /*! Call this to prevent the evaluation date to change at
+            midnight (and, incidentally, to gain quite a bit of
+            performance.)  If no evaluation date was previously set,
+            it is equivalent to setting the evaluation date to
+            Date::todaysDate(); if an evaluation date other than
+            Date() was already set, it has no effect.
+        */
+        void anchorEvaluationDate();
+        /*! Call this to reset the evaluation date to
+            Date::todaysDate() and allow it to change at midnight.  It
+            is equivalent to setting the evaluation date to Date().
+            This comes at the price of losing some performance, since
+            the evaluation date is re-evaluated each time it is read.
+        */
+        void resetEvaluationDate();
+
+        /*! This flag specifies whether or not Events occurring on the reference
+            date should, by default, be taken into account as not happened yet.
+            It can be overridden locally when calling the Event::hasOccurred
+            method.
+        */
+        bool& includeReferenceDateEvents();
+        bool includeReferenceDateEvents() const;
+
+        /*! \deprecated Use includeReferenceDateEvents() instead */
+        QL_DEPRECATED
+        bool& includeReferenceDateCashFlows() {
+            return includeReferenceDateEvents();
+        }
+        /*! \deprecated Use includeReferenceDateEvents() instead */
+        QL_DEPRECATED
+        bool includeReferenceDateCashFlows() const {
+            return includeReferenceDateEvents();
+        }
+
+        /*! If set, this flag specifies whether or not CashFlows
+            occurring on today's date should enter the NPV.  When the
+            NPV date (i.e., the date at which the cash flows are
+            discounted) equals today's date, this flag overrides the
+            behavior chosen for includeReferenceDate. It cannot be overridden
+            locally when calling the CashFlow::hasOccurred method.
+        */
+        boost::optional<bool>& includeTodaysCashFlows();
+        boost::optional<bool> includeTodaysCashFlows() const;
+
+        bool& enforcesTodaysHistoricFixings();
+        bool enforcesTodaysHistoricFixings() const;
+      private:
+        DateProxy evaluationDate_;
+        bool includeReferenceDateEvents_;
+        boost::optional<bool> includeTodaysCashFlows_;
+        bool enforcesTodaysHistoricFixings_;
+    };
+
+
+    // helper class to temporarily and safely change the settings
+    class SavedSettings {
+      public:
+        SavedSettings();
+        ~SavedSettings();
+      private:
+        Date evaluationDate_;
+        bool includeReferenceDateEvents_;
+        boost::optional<bool> includeTodaysCashFlows_;
+        bool enforcesTodaysHistoricFixings_;
+    };
+
+
+    // inline
+
+    inline Settings::DateProxy::operator Date() const {
+        if (value() == Date())
+            return Date::todaysDate();
+        else
+            return value();
+    }
+
+    inline Settings::DateProxy& Settings::DateProxy::operator=(const Date& d) {
+        ObservableValue<Date>::operator=(d);
+        return *this;
+    }
+
+    inline Settings::DateProxy& Settings::evaluationDate() {
+        return evaluationDate_;
+    }
+
+    inline const Settings::DateProxy& Settings::evaluationDate() const {
+        return evaluationDate_;
+    }
+
+    inline bool& Settings::includeReferenceDateEvents() {
+        return includeReferenceDateEvents_;
+    }
+
+    inline bool Settings::includeReferenceDateEvents() const {
+        return includeReferenceDateEvents_;
+    }
+
+    inline boost::optional<bool>& Settings::includeTodaysCashFlows() {
+        return includeTodaysCashFlows_;
+    }
+
+    inline boost::optional<bool> Settings::includeTodaysCashFlows() const {
+        return includeTodaysCashFlows_;
+    }
+
+    inline bool& Settings::enforcesTodaysHistoricFixings() {
+        return enforcesTodaysHistoricFixings_;
+    }
+
+    inline bool Settings::enforcesTodaysHistoricFixings() const {
+        return enforcesTodaysHistoricFixings_;
+    }
+
+}
+
+#endif

cpp_layer/simulate_support_code.cpp

@@ -1,12 +1,17 @@
-#include<ql/quantlib.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/methods/montecarlo/multipathgenerator.hpp>
+#include <ql/stochasticprocess.hpp>
+#include <ql/methods/montecarlo/path.hpp>
 
 /*
  * Multipath simulator. A multipath simulator is needed when the stochastic
  * process involves more than 1 brownian. For example, Heston's model involves
  * the simulation of the variance process and the simulation of the price process
  */
 
-namespace QuantLib {
+using namespace QuantLib;
+
+namespace PyQL {
 
     void simulateMP(const boost::shared_ptr<StochasticProcess>& process,
                     int nbPaths, int nbSteps, Time horizon, BigNatural seed,

cpp_layer/simulate_support_code.hpp

@@ -1,12 +1,17 @@
-#include<ql/quantlib.hpp>
+#include <ql/math/randomnumbers/rngtraits.hpp>
+#include <ql/methods/montecarlo/multipathgenerator.hpp>
+#include <ql/stochasticprocess.hpp>
+#include <ql/methods/montecarlo/path.hpp>
 
-namespace QuantLib {
+using namespace QuantLib;
+
+namespace PyQL {
 
   /*
    * Multipath simulator
    */
 
-    void simulateMP(const boost::shared_ptr<StochasticProcess>& process,
+    void simulateMP(const boost::shared_ptr<QuantLib::StochasticProcess>& process,
                     int nbPaths, int nbSteps, Time horizon, BigNatural seed,
                     bool antithetic_variates, double *res);