Hey all,
I am starting this blog to catalog the work I do to get things working and any ideas I have. I finally got rid of windows and installed ubuntu 9.10 (karmic). This post is going to detail how I get everything up and running. (also a reference for me in the future).
First download the most recent version of boost, Quantlib and Quantlib swig.
http://www.boost.org/users/download/
http://sourceforge.net/projects/quantlib/files/ download both the Quantlib and the Quantlib swig versions.
I unzipped the files to /usr/local/lib
doing an ls on my /usr/local/lib directory I have
boost_1_42_0, QuantLib-1.0, QuantLib-SWIG-1.0
next follow the getting started instructions on boost. This will explain how to install the package.
Installing QuantLib-1.0
go into /usr/local/lib/QuantLib-1.0. Quantlib needs to know where the boost directory is when you configure the make file. In /usr/local/lib/QuantLib-1.0
run
- sudo ./configure –with-boost-include=/usr/local/lib/boost_1_42_0 –with-boost-lib=/usr/local/lib/boost_1_42_0/libs
- sudo make
- sudo make install
you need to do sudo because /usr/local/lib is protected.
You now have QuantLib installed.
Next we will install QuantLib-Swig
first make sure QL_LIB is set to your quantlib directory
export QL_LIB=’/usr/local/lib/QuantLib-1.0′
then within the swig directory run
- sudo ./configure
- sudo make -C Python
for the next step you have to make sure you have python-dev 2.6 package installed. go to System->admistration->synaptic package manager and install python2.6-dev
then go into the /usr/local/lib/QuantLib-SWIG-1.0/Python directory and run
python setup.py build test install
you now have QuantLib-SWIG-1.0 installed!
you can test this by running python.
and then doing from QuantLib import *
so far I’ve found a few useful pdfs
from http://sites.google.com/site/tgwena/
it is also a good idea to install IPython (can do this the same way you install python2.6-dev). IPython is much better than the normal IPython interactive console
Chicago Quantitative Trading 