* QuantLib for Mathematica

QuantLib for Mathematica is a project to make the functionality of the 
financial C++ toolkit QuantLib available in Mathematica.

Further details at: http://www.nielses.dk/quantlib/mma

For now, binaries for QuantLibMma are only available for Microsoft Windows,
but it shouldn't be too difficult to compile the sources to use with other
systems. Feel free to contact me if you need help with this.

To use QuantLib for Mathematica, please extract all files in into your
Mathematica application directory. In version 4 on a Microsoft Windows system
this is most often

c:\Program Files\Wolfram Research\Mathematica\4.0\AddOns\Applications

Alternatively you can create a file with the name:

C:\Program Files\Mathematica\AddOns\Autoload\init.m

containing the following line

AppendTo[$Path, "C:\\Program Files\\Microsoft Visual Studio\\" <>
                "MyProjects\\QuantLibMma"]
                
where the path is the location of the QuantLibMma folder, which has the 
subfolder QuantLib.

You can now load the QuantLib package and start the external QuantLibMma.exe
program by typing the following line from within Mathematica:

<<QuantLib`

Now type the following line to test if everything works correctly.

LeapYearQ[2000]

For further examples of the use, have a look at the notebook 
QuantLibMma-demo.nb included with the distribution files.

Don't hesitate to contact me, if you encounter any problems:
mail@nielses.dk
http://www.nielses.dk/quantlib/mma


* For developers

If you want to compile QuantLibMma from Microsoft Visual C++, you can load
the workspace/project file QuantLibMma.dsw, and build the program (F7). For
this to work you have to have installed the QuantLib source files including
debug libraries. (http://quantlib.org/download.html) Also you'll need to have
installed the files for compiling MathLink program. Consult the Mathematica
documentation.

Then it's probably convenient to modify the CppLink.m file in the Common 
folder, so it loads the newly build exe-file instead of the file at the
standard location:

(* $link = Install["QuantLib`QuantLibMma`"] *)

$link = Install["C:\\Program Files\\Microsoft Visual Studio\\" <>
                "MyProjects\\QuantLibMma\\Debug\\QuantLibMma.exe"]

* Debugging

If you want to debug, then set a breakpoint inside the code, run the program
(F5), type 1 at the "Create link"-prompt and then execute the following lines 
from within Mathematica:

<< QuantLib`

Uninstall[QuantLib]

Install["1", LinkMode -> Connect]

Now you can use the QuantLib package as normally, but has the chance to 
debug the code from within Microsoft Visual C++.

When finished you can terminate the program writing:

Uninstall["1"]

At times it can also be convenient to make Mathematica forget everything you
have done so far by quitting the kernel:

Quit[]