setup.py

from setuptools import setup, find_packages
# Warning : do not import the distutils extension before setuptools
# It does break the cythonize function calls
from distutils.extension import Extension

import glob
import os
import sys

from Cython.Distutils import build_ext
from Cython.Build import cythonize

import numpy

SUPPORT_CODE_INCLUDE = './cpp_layer'

# FIXME: would be good to be able to customize the path with envrironment
# variables in place of hardcoded paths ...
if sys.platform == 'darwin':
    INCLUDE_DIRS = ['/opt/local/include', '.', SUPPORT_CODE_INCLUDE]
    LIBRARY_DIRS = ["/opt/local/lib"]
elif sys.platform == 'win32':
    INCLUDE_DIRS = [
        r'E:\tmp\QuantLib-1.1',  # QuantLib headers
        r'E:\tmp\boost_1_46_1',  # Boost headers
        '.',
        SUPPORT_CODE_INCLUDE
    ]
    LIBRARY_DIRS = [
        r"E:\tmp\QuantLib-1.1\build\vc80\Release",
        r'E:\tmp\boost_1_46_1\lib'
    ]
    QL_LIBRARY = 'QuantLib'
elif sys.platform == 'linux2':
    # good for Debian / ubuntu 10.04 (with QL .99 installed by default)
    INCLUDE_DIRS = ['/usr/local/include', '/usr/include', '.', SUPPORT_CODE_INCLUDE]
    LIBRARY_DIRS = ['/usr/local/lib', '/usr/lib', ]
    # custom install of QuantLib 1.1
    # INCLUDE_DIRS = ['/opt/QuantLib-1.1', '.', SUPPORT_CODE_INCLUDE]
    # LIBRARY_DIRS = ['/opt/QuantLib-1.1/lib',]

def get_define_macros():
    defines = [ ('HAVE_CONFIG_H', None)]
    if sys.platform == 'win32':
        # based on the SWIG wrappers
        defines += [
            (name, None) for name in [
                '__WIN32__', 'WIN32', 'NDEBUG', '_WINDOWS', 'NOMINMAX', 'WINNT',
                '_WINDLL', '_SCL_SECURE_NO_DEPRECATE', '_CRT_SECURE_NO_DEPRECATE',
                '_SCL_SECURE_NO_WARNINGS',
            ]
        ]
    return defines

def get_extra_compile_args():
    if sys.platform == 'win32':
        args = ['/GR', '/FD', '/Zm250', '/EHsc' ]
    else:
        args = []

    return args

def get_extra_link_args():
    if sys.platform == 'win32':
        args = ['/subsystem:windows', '/machine:I386']
    else:
        args = []

    return args
 
CYTHON_DIRECTIVES = {"embedsignatur": True}

def collect_extensions():
    """ Collect all the directories with Cython extensions and return the list
    of Extension.

    Th function combines static Extension declaration and calls to cythonize
    to build the list of extenions.
    """

    settings_extension = Extension('quantlib.settings',
        ['quantlib/settings/settings.pyx', 'cpp_layer/ql_settings.cpp'],
        language='c++',
        include_dirs=INCLUDE_DIRS,
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES
    )

    test_extension = Extension('quantlib.test.test_cython_bug',
        ['quantlib/test/test_cython_bug.pyx', 'cpp_layer/ql_settings.cpp'],
        language='c++',
        include_dirs=INCLUDE_DIRS,
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES
    )

    piecewise_yield_curve_extension = Extension(
        'quantlib.termstructures.yields.piecewise_yield_curve',
        [
            'quantlib/termstructures/yields/piecewise_yield_curve.pyx',
            'cpp_layer/yield_piecewise_support_code.cpp'
        ],
        language='c++',
        include_dirs=INCLUDE_DIRS,
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES

    )

    piecewise_default_curve_extension = Extension(
        'quantlib.termstructures.credit.piecewise_default_curve',
        [
            'quantlib/termstructures/credit/piecewise_default_curve.pyx',
            'cpp_layer/credit_piecewise_support_code.cpp'
        ],
        language='c++',
        include_dirs=INCLUDE_DIRS,
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES

    )

    multipath_extension = Extension(
        name='quantlib.sim.simulate',
        sources=[
            'quantlib/sim/simulate.pyx',
            'cpp_layer/simulate_support_code.cpp'
        ],
        language='c++',
        include_dirs=INCLUDE_DIRS + [numpy.get_include()],
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES

    )

    mc_vanilla_engine_extension = Extension(
        name='quantlib.pricingengines.vanilla.mcvanillaengine',
        sources=[
            'quantlib/pricingengines/vanilla/mcvanillaengine.pyx',
            'cpp_layer/mc_vanilla_engine_support_code.cpp'
        ],
        language='c++',
        include_dirs=INCLUDE_DIRS + [numpy.get_include()],
        library_dirs=LIBRARY_DIRS,
        define_macros = get_define_macros(),
        extra_compile_args = get_extra_compile_args(),
        extra_link_args = get_extra_link_args(),
        libraries=['QuantLib'],
        pyrex_directives = CYTHON_DIRECTIVES
    )

    manual_extensions = [
        multipath_extension,
        mc_vanilla_engine_extension,
        piecewise_yield_curve_extension,
        piecewise_default_curve_extension,
        settings_extension,
        test_extension,
    ]

    cython_extension_directories = []
    for dirpath, directories, files in os.walk('quantlib'):

        # skip the settings package
        if dirpath.find('settings') > -1 or dirpath.find('test') > -1:
            continue

        # if the directory contains pyx files, cythonise it
        if len(glob.glob('{0}/*.pyx'.format(dirpath))) > 0:
            cython_extension_directories.append(dirpath)

    collected_extensions = cythonize(
        [
            Extension('*', ['{0}/*.pyx'.format(dirpath)],
                include_dirs=INCLUDE_DIRS,
                library_dirs=LIBRARY_DIRS,
                define_macros = get_define_macros(),
                extra_compile_args = get_extra_compile_args(),
                extra_link_args = get_extra_link_args(),
                pyrex_directives = CYTHON_DIRECTIVES,
                libraries = ['QuantLib']
            ) for dirpath in cython_extension_directories
        ]
    )

    # remove  all the manual extensions from the collected ones
    names = [extension.name for extension in manual_extensions]
    for ext in collected_extensions:
        if ext.name in names:
            collected_extensions.remove(ext)
            continue

    extensions = collected_extensions + manual_extensions

    return extensions

setup(
    name = 'quantlib',
    version = '0.1',
    author = 'Didrik Pinte,Patrick Henaff',
    license = 'BSD',
    packages = find_packages(),
    ext_modules = collect_extensions(),
    cmdclass = {'build_ext': build_ext},
    install_requires = ['distribute', 'cython'],
    zip_safe = False
)