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[Quantlib-dev] Commodities Pricing
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From: <tb...@ao...> - 2012-04-12 12:30:59
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Hi All, Is there any work currently on Quantlib for Commodities ie Pricing of Tolling, Swing and Storage for Energy Products. Also Spread Options, Swaptions, Baskets and Asians for Oil, Base Metals, Precious Metals, etc? Regards Theo -----Original Message----- From: quantlib-dev-request <qua...@li...> To: quantlib-dev <qua...@li...> Sent: Thu, 12 Apr 2012 9:26 Subject: QuantLib-dev Digest, Vol 71, Issue 3 Send QuantLib-dev mailing list submissions to qua...@li... To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-dev r, via email, send a message with subject or body 'help' to qua...@li... You can reach the person managing the list at qua...@li... When replying, please edit your Subject line so it is more specific han "Re: Contents of QuantLib-dev digest..." oday's Topics: 1. R: Re: Re: QuantLib in CDT (tar...@li...) 2. Re: QuantLib in CDT (Luigi Ballabio) 3. Blog Post on Open Source Credit Rating Models Mentions Quantlib (Marc Joffe) 4. willing to contribute (aman) 5. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net) 6. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net) 7. [ quantlib-Feature Requests-3306959 ] CUDA port (SourceForge.net) --------------------------------------------------------------------- Message: 1 ate: Wed, 11 Apr 2012 09:56:36 +0200 (CEST) rom: "tar...@li..." <tar...@li...> ubject: [Quantlib-dev] R: Re: Re: QuantLib in CDT o: <lui...@gm...> c: qua...@li..., qua...@li... essage-ID: <9882410.8158711334130996441.JavaMail.defaultUser@defaultHost> ontent-Type: text/plain;charset="UTF-8" the GCC version is 3.2.3 >----Messaggio originale---- Da: lui...@gm... Data: 11/04/2012 9.28 A: "tar...@li..."<tar...@li...> Cc: <qua...@li...>, <quantlib-users-request@lists. ourceforge.net> Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT What's the g++ version? (You can run "g++ --version" from the command line to find out) On Wed, Apr 11, 2012 at 9:20 AM, tar...@li... <tar...@li...> wrote: > I followed the instructions at ?http://users.telenet.be/johan. > witters/website/skwash.com/get/get3.html Part I and I get this error > > ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher. pp: > 48: parse error before `;' token > Build error occurred, build is stopped > > > I used MinGW and defined the compilers settings both for GCC C++ and GCC C n > Properties>C/C++Build>Settings > > My eclipse is: > > Eclipse IDE for C/C++ Developers > Version: Helios Service Release 2 > Build id: 20110218-0911 > > Thanks > Paolo > >>----Messaggio originale---- >>Da: lui...@gm... >>Data: 10/04/2012 23.16 >>A: "tar...@li..."<tar...@li...> >>Cc: <qua...@li...>, <quantlib-users-request@lists. > sourceforge.net> >>Ogg: Re: [Quantlib-dev] QuantLib in CDT >> >>Paolo, >> ? ?what is the error? ?And what compiler (and version) is CDT using? >> >>Luigi >> >>On Thu, Apr 5, 2012 at 6:22 PM, tar...@li... >><tar...@li...> wrote: >>> I am trying to build quantlib in CDT. >>> I can build correctly the version 0.9 but if I try newer version I get a > parse >>> error. >>> Is there anyone who encountered the same problems? >> > > ------------------------------ Message: 2 ate: Wed, 11 Apr 2012 10:00:13 +0200 rom: Luigi Ballabio <lui...@gm...> ubject: Re: [Quantlib-dev] QuantLib in CDT o: "tar...@li..." <tar...@li...> c: qua...@li... essage-ID: <CAJ...@ma...> ontent-Type: text/plain; charset=ISO-8859-1 It looks old. Looking at the MinGW site, the current version is from he 4.5 series. an you upgrade and see if that fixes the problem, or are you locked t this version? Luigi On Wed, Apr 11, 2012 at 9:56 AM, tar...@li... tar...@li...> wrote: the GCC version is 3.2.3 >----Messaggio originale---- >Da: lui...@gm... >Data: 11/04/2012 9.28 >A: "tar...@li..."<tar...@li...> >Cc: <qua...@li...>, <quantlib-users-request@lists. sourceforge.net> >Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT > >What's the g++ version? ?(You can run "g++ --version" from the command >line to find out) > >On Wed, Apr 11, 2012 at 9:20 AM, tar...@li... ><tar...@li...> wrote: >> I followed the instructions at ?http://users.telenet.be/johan. >> witters/website/skwash.com/get/get3.html Part I and I get this error >> >> ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher. hpp: >> 48: parse error before `;' token >> Build error occurred, build is stopped >> >> >> I used MinGW and defined the compilers settings both for GCC C++ and GCC C in >> Properties>C/C++Build>Settings >> >> My eclipse is: >> >> Eclipse IDE for C/C++ Developers >> Version: Helios Service Release 2 >> Build id: 20110218-0911 >> >> Thanks >> Paolo >> >>>----Messaggio originale---- >>>Da: lui...@gm... >>>Data: 10/04/2012 23.16 >>>A: "tar...@li..."<tar...@li...> >>>Cc: <qua...@li...>, <quantlib-users-request@lists. >> sourceforge.net> >>>Ogg: Re: [Quantlib-dev] QuantLib in CDT >>> >>>Paolo, >>> ? ?what is the error? ?And what compiler (and version) is CDT using? >>> >>>Luigi >>> >>>On Thu, Apr 5, 2012 at 6:22 PM, tar...@li... >>><tar...@li...> wrote: >>>> I am trying to build quantlib in CDT. >>>> I can build correctly the version 0.9 but if I try newer version I get a >> parse >>>> error. >>>> Is there anyone who encountered the same problems? >>> >> >> > ------------------------------ Message: 3 ate: Wed, 11 Apr 2012 12:33:32 -0700 rom: "Marc Joffe" <ma...@pu...> ubject: [Quantlib-dev] Blog Post on Open Source Credit Rating Models Mentions Quantlib o: <qua...@li...>, <qua...@li...> essage-ID: <058001cd1819$fb1cf380$f156da80$@publicsectorcredit.org> ontent-Type: text/plain; charset="us-ascii" Rating Agency Models and Open Source http://expectedloss.blogspot.com/2012/04/credit-rating-agency-models-and-ope .html I am looking for users and developers interested in collaborating on an open ource sovereign rating model project. If you don't agree with your ountry's credit rating, here is a chance to do something about it! A pre-release version of the tool is available at ttp://www.publicsectorcredit.org/pscf.html. Source will be posted to GitHub n 2 May 2012. The tool uses a Monte Carlo simulation but is not based on he MC tools in QuantLib. If anyone on the QuantLib team is interested in ntegrating our functionality with the library, I would be interested in iscussing that. Regards, Marc Joffe Public Sector Credit Solutions ma...@pu... -------------- next part -------------- n HTML attachment was scrubbed... ------------------------------ Message: 4 ate: Thu, 12 Apr 2012 01:13:09 -0400 rom: aman <ama...@gm...> ubject: [Quantlib-dev] willing to contribute o: qua...@li... essage-ID: <CAD...@ma...> ontent-Type: text/plain; charset="iso-8859-1" Hi Everyone, I love coding in C++. Playing with numbers and learning Finance is one of y hobby. All these interests bring me to this field of Financial ngineering / Modeling. I have a formal education in Computer science and have been working as a ++ developer from some time. I would like to contribute to quantlib and be part of this cause. Can anyone please help me where to get started (I ave gone through the developer's page, built quantlib and scanned open tems) and let me now a little bit how this community works? Is it a ollaborative effort on each task or each one person picks up one omponent, develops it and integrates with the old code? Is some one oderating the tasks and prioritizing them? I apologies for lot of spamming everyone, please feel free to answer these uestions as per your convenience. would really appreciate if i could get involved. Regards Aman ------------- next part -------------- n HTML attachment was scrubbed... ------------------------------ Message: 5 ate: Wed, 11 Apr 2012 13:33:25 -0700 rom: SourceForge.net <no...@so...> ubject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay o: SourceForge.net <no...@so...> essage-ID: <mai...@li...> ontent-Type: text/plain; charset=UTF-8 Patches item #3517001, was opened at 2012-04-11 13:33 essage generated for change (Tracker Item Submitted) made by shparmar ou can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740 Please note that this message will contain a full copy of the comment thread, ncluding the initial issue submission, for this request, ot just the latest update. ategory: None roup: None tatus: Open esolution: None riority: 5 rivate: No ubmitted By: Shailesh Parmar (shparmar) ssigned to: Nobody/Anonymous (nobody) ummary: Intraday Decay Initial Comment: upports intraday decay of options. ---------------------------------------------------------------------- You can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740 ------------------------------ Message: 6 ate: Wed, 11 Apr 2012 14:59:22 -0700 rom: SourceForge.net <no...@so...> ubject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay o: SourceForge.net <no...@so...> essage-ID: <mai...@li...> ontent-Type: text/plain; charset=UTF-8 Patches item #3517001, was opened at 2012-04-11 13:33 essage generated for change (Comment added) made by lballabio ou can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740 Please note that this message will contain a full copy of the comment thread, ncluding the initial issue submission, for this request, ot just the latest update. ategory: None roup: None Status: Deleted Resolution: Postponed riority: 5 rivate: No ubmitted By: Shailesh Parmar (shparmar) ssigned to: Nobody/Anonymous (nobody) ummary: Intraday Decay Initial Comment: upports intraday decay of options. ---------------------------------------------------------------------- >Comment By: Luigi Ballabio (lballabio) ate: 2012-04-11 14:59 Message: emoved as per request of submitter. ill be submitted again. ---------------------------------------------------------------------- You can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740 ------------------------------ Message: 7 ate: Thu, 12 Apr 2012 00:18:44 -0700 rom: SourceForge.net <no...@so...> ubject: [Quantlib-dev] [ quantlib-Feature Requests-3306959 ] CUDA port o: SourceForge.net <no...@so...> essage-ID: <mai...@li...> ontent-Type: text/plain; charset=UTF-8 Feature Requests item #3306959, was opened at 2011-05-24 07:30 essage generated for change (Comment added) made by avandergood ou can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740 Please note that this message will contain a full copy of the comment thread, ncluding the initial issue submission, for this request, ot just the latest update. ategory: None roup: None tatus: Open riority: 5 rivate: No ubmitted By: Dominique (miroslav87) ssigned to: Nobody/Anonymous (nobody) ummary: CUDA port Initial Comment: i! I would like if there is any CUDA port of QuantLib, at least partial one. f not, is there anyone that has adapted a CUDA layer for numerical analytic and aths under QuantLib to at least perform matrix decomposition and calculation on PU? nyone has an idea or a clue on how it could be made properly ? Thanks very much PS: Excuse my poor English! ---------------------------------------------------------------------- Comment By: Vandegood (avandergood) ate: 2012-04-12 00:18 Message: ello Dom, ou can find some good library on cuda zone f you want to work with matrix, try the library "Cublas" his library is included in the cuda toolkit package that you can download asily from http://developer.nvidia.com/cuda-downloads --------------------------------------------------------------------- You can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740 ------------------------------ ------------------------------------------------------------------------------ or Developers, A Lot Can Happen In A Second. oundary is the first to Know...and Tell You. onitor Your Applications in Ultra-Fine Resolution. Try it FREE! ttp://p.sf.net/sfu/Boundary-d2dvs2 ------------------------------ _______________________________________________ uantLib-dev mailing list uan...@li... ttps://lists.sourceforge.net/lists/listinfo/quantlib-dev nd of QuantLib-dev Digest, Vol 71, Issue 3 ****************************************** |