jayhsieh/premia-13
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
Name | Name | Last commit message | Last commit date | |
---|---|---|---|---|
Repository files navigation
******************************************************************** PREMIA ******************************************************************** PREMIA is a software for pricing and hedging options on assets and interest rates and for calibration of financial models. It is developped by the MathFi research group, which gathers scientists from INRIA (the french national institute for research in computer science and control), ENPC (CERMICS laboratory on applied mathematics and computing), and the University of Marne la Vallée. 1- The directories The directory Src/ contains the source code. The directory man/ contains the documentation of the algorithms implemented in Premia. Please refer to the README file in this directory. 2- Compilation You need CMake 2.8 for installing PNL from the source version. Per default, the make install command installs the library in the build directory. Go to the top level directory of PNL and run. We advice to build the library out of the source tree. > mkdir build > cd build > cmake .. Per default, the make install command installs the library in the build directory. Go to the top level directory of Premia and run the following commands. We advice to build Premia out of the source tree. > mkdir build > cd build > cmake .. > make > make install Some useful variables to modify the behaviour of cmake. -DPREFIX The path where to install the library. If this variable is not specified, the library is installed in the building directory. -DCMAKE_BUILD_TYPE Release OR Debug. Default is Debug. Choose Debug for building a development release without optimization and with debugging symbols. Choose Release for building an optimized version. -DPREMIAVERSION=XXX Specify the version to compile XXXX is typically the current year to get version n-2 If you plan to use the built-in version of PNL, here are extra variables to specify the location of Blas & Lapack -DLAPACK_LIBRARIES Full path of a Lapack library (not just its directory). Lapack is detected automatically but the user can specify a particular library. -DBLAS_LIBRARIES Full path of a Blas library (not just its directory). Blas is detected automatically but the user can specify a particular library. Note that you must specify both BLAS_LIBRARIES and LAPACK_LIBRARIES or none of them. -DUSE_INTERNAL_BLAS ON/OFF. Default OFF. If ON, use the internal Blas & Lapack libraries shipped with the PNL source code. If you plan to use an external version of PNL, the following two variables are required to specify the locations of the library and the headers -DPNL_LIBRARY Full path of PNL library (not just its directory). -DPNL_INCLUDES Full path of PNL includes For build and after installing the Web version, you need to tell CMake where Karrigell is installed -DKARRIGELL_INSTALLATION_PATH Full path of Karrigell's installation directory. ********************************** For questions or comments visit http://www.premia.fr ***********************************
Releases
No releases published
Packages 0
No packages published