QuantLib Lua

The C++ wrappers for the QuantLib-Lua extension module are created by means of SWIG (Simplified Wrapper and Interface Generator) available from http://swig.sourceforge.net/.

The build step requires that the QuantLib headers and library can be found by the compiler. On Unix-like platforms, this should already hold if you ran "make install" from your QuantLib directory.

Attribution

The interface files used by SWIG are part of the free/open-source library Quantlib library. Jose V. Alcala-Burgos just rocks in Lua.

Requirements

• Lua 5.1.5
• LuaRocks 2.1.2
• SWIG 1.3.31
• QuantLib 1.4 library

Running

$ luarocks make

Caveats

• There are linking errors using clang in OS X . The best option is to install all requirements using Homebrew and the compiler GCC 4.9.0