Although QuantLib python version is a good candidate for testing purpose, there are still some differences compared with the c++ version (actually python version is just a wrap using SWIG around the c++ version), not to say that some of the latest functions could not be found in the python version. Quantlib Installation Manual has provided some instruction about how to build and install the library in your machine through outdated autoconf tools while there are not much information about how to build through the modern cmake and how to integrate it as dynamic library into your c++ project.
This project aims at setting up a c++ cmake-based project for testing the features in QuantLib, and it could also be a template to be extended upon.
You could install the binary into system default bin folder, however here a customized directory is preferred to make the development version more manageable.
mkdir -p ~/cbin/bin ~/cbin/include ~/cbin/lib
and expose ~/cbin/bin in the PATH, eg., add it to the ~/.bash_profile.
Here in Mac I will install it through Homebrew,
brew install boost
There are more at least three ways to integrate the QuantLib.
Install through Homebrew
brew install quantlib
and use the following CMakeList.txt
cmake_minimum_required(VERSION 3.10)
set(CMAKE_CXX_STANDARD 11)
set(CMAKE_CXX_STANDARD_REQUIRED True)
set(MAIN_APP_PROJECT_NAME
qltest
)
set(MAIN_APP_SOURCE_DIR
src
)
set(MAIN_APP_SOURCE
${MAIN_APP_SOURCE_DIR}/app.cpp
)
set(MAIN_LIBRARIES_DIR
${CMAKE_SOURCE_DIR}/libs
)
# build
project(${MAIN_APP_PROJECT_NAME})
find_library(QUANTLIB_LIBRARY quantlib HINTS /usr/local/opt)
add_executable(${MAIN_APP_PROJECT_NAME} ${MAIN_APP_SOURCE})
target_link_libraries(${MAIN_APP_PROJECT_NAME}
${QUANTLIB_LIBRARY}
)
target_include_directories(${MAIN_APP_PROJECT_NAME} PUBLIC
/usr/local/include
/opt/homebrew/include/
)
# install
install(TARGETS ${MAIN_APP_PROJECT_NAME} DESTINATION bin)
# gtest
include(FetchContent)
FetchContent_Declare(
googletest
URL https://github.com/google/googletest/archive/609281088cfefc76f9d0ce82e1ff6c30cc3591e5.zip
)
FetchContent_MakeAvailable(googletest)
enable_testing()
add_executable(qltest_test test/app_test.cpp)
target_link_libraries(qltest_test gtest_main)
include(GoogleTest)
gtest_discover_tests(qltest_test)
You will build the QuantLib by yourself and install it into the customized path
git submodule update --init --recursive
cd libs/quantlib
cmake -S . -B build
cmake --build build --clean-first
cmake --install build --prefix ~/cbin
and then use a CMakeLists.txt with the following content
cmake_minimum_required(VERSION 3.10)
set(CMAKE_CXX_STANDARD 11)
set(CMAKE_CXX_STANDARD_REQUIRED True)
set(MAIN_APP_PROJECT_NAME
qltest
)
set(MAIN_APP_SOURCE_DIR
src
)
set(MAIN_APP_SOURCE
${MAIN_APP_SOURCE_DIR}/app.cpp
)
set(MAIN_LIBRARIES_DIR
${CMAKE_SOURCE_DIR}/libs
)
set(CMAKE_INSTALL_RPATH_USE_LINK_PATH ON) # https://stackoverflow.com/questions/47697761/cmake-run-time-error-dyld-library-not-loaded-for-dynamically-linked-resource
# build
project(${MAIN_APP_PROJECT_NAME})
find_library(QUANTLIB_LIBRARY quantlib
HINTS "~/cbin/lib")
find_path(
QUANTLIB_INCLUDE
NAMES "ql/quantlib.hpp"
PATHS "~/cbin/include"
)
add_executable(${MAIN_APP_PROJECT_NAME} ${MAIN_APP_SOURCE})
target_link_libraries(${MAIN_APP_PROJECT_NAME}
${QUANTLIB_LIBRARY}
)
target_include_directories(${MAIN_APP_PROJECT_NAME} PUBLIC
/usr/local/include
/opt/homebrew/include/
${QUANTLIB_INCLUDE}
)
# install
install(TARGETS ${MAIN_APP_PROJECT_NAME} DESTINATION bin)
# gtest
include(FetchContent)
FetchContent_Declare(
googletest
URL https://github.com/google/googletest/archive/609281088cfefc76f9d0ce82e1ff6c30cc3591e5.zip
)
FetchContent_MakeAvailable(googletest)
enable_testing()
add_executable(qltest_test test/app_test.cpp)
target_link_libraries(qltest_test gtest_main)
include(GoogleTest)
gtest_discover_tests(qltest_test)
in your root CMakeLists.txt and build the project through
cmake -S . -B build
cmake --build build --clean-first
cmake --build build --target test
cmake --install build --prefix ~/cbin
qltest
This is the method that the project is using now.
Download the source code
git submodule update --init --recursive
and then build QuantLib through CMake using the following CMakeLists.txt
cmake_minimum_required(VERSION 3.10)
set(CMAKE_CXX_STANDARD 11)
set(CMAKE_CXX_STANDARD_REQUIRED True)
set(MAIN_APP_PROJECT_NAME
qltest
)
set(MAIN_APP_SOURCE_DIR
src
)
set(MAIN_APP_SOURCE
${MAIN_APP_SOURCE_DIR}/app.cpp
)
set(MAIN_LIBRARIES_DIR
${CMAKE_SOURCE_DIR}/libs
)
list(APPEND CMAKE_INSTALL_RPATH /Users/damon/cbin/lib) # https://stackoverflow.com/questions/43551483/how-to-set-rpath-in-cmake
# build
project(${MAIN_APP_PROJECT_NAME})
add_executable(${MAIN_APP_PROJECT_NAME} ${MAIN_APP_SOURCE})
add_subdirectory("${MAIN_LIBRARIES_DIR}/quantlib")
target_link_libraries(${MAIN_APP_PROJECT_NAME}
ql_library
)
target_include_directories(${MAIN_APP_PROJECT_NAME} PUBLIC
/usr/local/include
/opt/homebrew/include/
/Users/damon/cbin/include
)
# install
install(TARGETS ${MAIN_APP_PROJECT_NAME} DESTINATION bin)
# gtest
include(FetchContent)
FetchContent_Declare(
googletest
URL https://github.com/google/googletest/archive/609281088cfefc76f9d0ce82e1ff6c30cc3591e5.zip
)
FetchContent_MakeAvailable(googletest)
enable_testing()
add_executable(qltest_test test/app_test.cpp)
target_link_libraries(qltest_test gtest_main)
include(GoogleTest)
gtest_discover_tests(qltest_test)
and then build the project
cmake -S . -B build
cmake --build build
cmake --build build --target test
cmake --install build --prefix ~/cbin
qltest
HERE YOU GO!
cat build/install_manifest.txt | xargs rm
Use otool to check the linked libraries
otool -L ./build/qltest