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From: Forde S. <for...@gm...> - 2023-08-08 23:18:17
|
Hi, Resending as I had to resubscribe. Thanks again to Roland and his team for their continued support of ORE. I am assessing ORE for a client, and as part of this, I am compiling a list of the major enhancements required to close regulatory gaps. Could you review and comment on this initial text, which will be expanded into a more comprehensive analysis? ORE is an extremely powerful engine to either complement the internal model team or provide the basis of a CCR platform for smaller institutions. It is highly extensible and configurable.It has a tremendous foundation of data handling, market and curve building, and analytic capabilities, complemented by a comprehensive test suite. ORE focuses on market and counterparty credit risk analytics and includes key aspects of the Basel III framework, but it does not have all aspects, e.g., FRTB-specific enhancements. There are some key functional and non-functional gaps and considerations to address (not in order of priority), including: 1. SA-CCR (Standardised Approach for Counterparty Credit Risk):While there are references in the user guide (page 4) to a future release of SA-CCR, the timing and commitment to this is unclear. 2. ES (Expected Shortfall):With FRTB's introduction under Basel III, Expected Shortfall (ES) replaced VaR as the primary risk measure for the internal models approach. While VaR is still an important risk metric, implementing ES requires capturing the tail risk and different liquidity horizons for various asset classes and risk factors. There is a need to consider backtesting requirements, as ES introduces its challenges in that realm. ES means not just changing the formulae but also adopting a new risk mindset, focusing on tail risks and severe market shocks. 3. SA-CVA (Standardised Approach for Credit Valuation Adjustment Risk):ORE's emphasis on xVA calculations provides a strong foundation, but the transition from a basic approach (e.g. KVA is calculated using the limited version fo BA-CVA) to a standardised approach like SA-CVA can be intricate. The details of risk factor modellability and NMRFs are fundamental to FRTB and will require a deep integration into ORE’s calculation mechanics. It's also worth noting that SA-CVA will require banks to possess a more granular level of data on their counterparties and credit risk mitigants. 4. Enhanced data quality and traceability requirements. FRTB places a strong emphasis on data quality, and institutions are required to demonstrate the traceability of their risk data. This could necessitate not only infrastructure upgrades but also potential enhancements to ORE's data intake and validation processes. Additionally, there might be a need for more robust reporting functionalities to satisfy regulatory inquiries and audits. 5. Scalability and Performance. Given the complexity of Basel III calculations, especially under approaches like SA-CCR or IMA of FRTB, there's a need for high computational efficiency. ORE's ability to scale and perform under these demands might be a consideration. 6. Integration with other systems: If ORE is to be the foundation of a CCR platform, its ability to integrate with other bank systems (e.g., front office, collateral management, settlement, market data, broader risk systems, accounting systems) is crucial. The flow of data between these systems must be seamless. Capital markets are slowly standardising reporting (e.g. ISDA CRIF AND CDM) and there is a need to map the future direction against ORE’s capabilities. 7. User Interface and Reporting: The system's ability to generate detailed reports, both for internal risk management and regulatory reporting, is vital. ORE's user interface might require enhancements to accommodate the added complexities of FRTB and SA-CCR. 8. Future-proofing: Regulatory landscapes continue to evolve. Ensure any extensions built upon ORE are designed in a modular fashion, allowing for easier upgrades or adjustments as regulations change. Thank you, Forde On Thu, 22 Jun 2023 at 20:29, Roland Lichters via QuantLib-users < qua...@li...> wrote: > Dear all, > > > > The 10th ORE release is out on https://github.com/OpenSourceRisk > > > > As announced, we have rolled out a range of hybrid products this time: > > - Composite trades > - Collateralized Bond Obligations > - Generic Total Return Swaps and Contracts For Difference (CFDs) > accepting almost arbitrary underlying baskets > - Convertible Bonds and Asset Swapped Convertible Option Transactions > (ASCOTs) > > > > Moreover, we added to the analytics scope: > > - ISDA's Standard Initial Margin Model (SIMM) with all versions from > inception to the most recent > - a proof-of-concept Credit Portfolio Model to construct portfolio > loss distributions due to credit migration, credit default and market moves > across cash products and derivatives > > > > See the release notes in > https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt > > or in the userguide.pdf at > https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for > references to the related examples. > > > > And finally, the ORE Python module has been updated and can be installed > with > > > > pip install open-source-risk-engine > > > > Please explore, all feedback is welcome! > > > > Best wishes, > > Roland > > > > > > *Roland Lichters* > > *Quantitative Services* > > [image: Logo Description automatically generated] > > Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland > > office *+49* *2151 9284800 *mobile* +49 172 9985795* > > *rol...@ac...c <rol...@ac...c>* > > *acadia.inc <https://acadia.inc/>* > > > [image: signature_2811593998] > <https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[image: > signature_1151196288] <https://twitter.com/AcadiaSoft_>[image: > signature_3977098555] <https://www.linkedin.com/company/acadiasoft-inc> > > > > > > > > The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended recipient. > Access, copying or re-use of the e-mail or any attachment, or any > information contained therein, by any other person is not authorized. If > you are not the intended recipient please return the e-mail to the sender > and delete it from your computer. The acadia.inc privacy policy is > available on our website. > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |
From: Luigi B. <lui...@gm...> - 2023-07-24 08:40:18
|
QuantLib 1.31.1 has been released and is available for download at < https://www.quantlib.org/download.shtml>. It fixes a regression in version 1.31. The short list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Luigi B. <lui...@gm...> - 2023-07-18 13:05:11
|
QuantLib 1.31 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Roland L. <rol...@ac...> - 2023-06-22 10:24:57
|
Dear all, The 10th ORE release is out on https://github.com/OpenSourceRisk As announced, we have rolled out a range of hybrid products this time: * Composite trades * Collateralized Bond Obligations * Generic Total Return Swaps and Contracts For Difference (CFDs) accepting almost arbitrary underlying baskets * Convertible Bonds and Asset Swapped Convertible Option Transactions (ASCOTs) Moreover, we added to the analytics scope: * ISDA's Standard Initial Margin Model (SIMM) with all versions from inception to the most recent * a proof-of-concept Credit Portfolio Model to construct portfolio loss distributions due to credit migration, credit default and market moves across cash products and derivatives See the release notes in https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt or in the userguide.pdf at https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for references to the related examples. And finally, the ORE Python module has been updated and can be installed with pip install open-source-risk-engine Please explore, all feedback is welcome! Best wishes, Roland Roland Lichters Quantitative Services [Logo Description automatically generated] Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland office +49 2151 9284800 mobile +49 172 9985795 rol...@ac...c<mailto:rol...@ac...c> acadia.inc<https://acadia.inc/> [signature_2811593998]<https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[signature_1151196288]<https://twitter.com/AcadiaSoft_>[signature_3977098555]<https://www.linkedin.com/company/acadiasoft-inc> The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. |
From: Peter C. <pca...@gm...> - 2023-06-21 16:59:34
|
Hi Jörg, thank you. This is interesting! A basic concern I have with the approach is the risk of slowing down computations unnecessarily for which you don't need the AD instrumentation. I tested this by building QuantLib from the current master (1.31-dev) with and without XAD and running the test suites. This is what I observe on my mac book pro which has an intel i9 processor: - a slowdown of around 2x averaging over all unit test cases - a slowdown of around 3x for the quantlib-benchmark cases - a slowdown of up to 10x for single test cases, e.g. MarketModelTest__testPathwiseGreeks (10.5x) or testRandomizedLattices (7x) I think this is expected and it was also discussed on this list before, when Compatibl suggested a similar approach. I still wanted to ask whether you see possibilities to address this issue for practical use cases? The clean solution is obviously to use templated functions and instantiate them with double or the ad-type as needed. You can also try and run the computations in two versions of the library. Neither seems easy to do / straightforward though. I know this question has little to do with your tool as such! Thank you Peter On Tue, 30 May 2023 at 12:39, Jorg Lotze <jor...@xc...> wrote: > > Hello all, > > As of QuantLib 1.28 (October 2022), Automatic Differentiation (AD) can be enabled in QuantLib using the open-source XAD AD tool and an XAD/QuantLib integration module. QuantLib's AD-compatibility is actively maintained via automated CI/CD checks, running daily against QuantLib's master branch. > > Below are performance results for a set of examples using QuantLib, showing the cost of AD compared to the matching plain pricing valuation (no AD) for an arbitrary number of sensitivities. Those results are reproducible and the code used is publicly available. > > The results show the time taken by the AD enabled version of QuantLib vs. the time taken for a plain (double) valuation is between a factor of 1.4 and 2.8. This means one can get arbitrary numbers of sensitivities in less than 2.8x the time taken by a plain valuation. We've included details for the benchmark configuration at the end of this email. > > Equity Option Portfolio (98 sensitivities) > - Valuation run: 2.83 ms > - AAD run: 7.00 ms (2.47 X) > > Barrier Option Replication (13 sensitivities) > - Valuation run: 1.48 ms > - AAD run: 4.16 ms (2.81 X) > > Swap Portfolio (55 sensitivities) > - Valuation run: 26.05 ms > - AAD run: 36.28 ms (1.39 X) > > Multicurve Bootstrapping (65 sensitivities) > - Valuation run: 192.11 ms > - AAD run: 299.63 ms (1.56 X) > > More details here: https://auto-differentiation.github.io/quantlib/#benchmarks > > Cheers, > Jorg > > Benchmark configuration: > - QuantLib version: 1.30 > - XAD version: 1.2.0 > - OS: Windows Server 2022 Datacenter > - Compiler: Visual Studio 2022, 17.6.1 > - RAM: 64GB > - CPU: Intel(R) Xeon(R) Platinum 8375C CPU @ 2.90GHz > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
From: Luigi B. <lui...@gm...> - 2023-04-19 08:19:21
|
QuantLib 1.30 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Roland L. <rol...@ac...> - 2023-04-05 10:27:16
|
Dear all, our next ORE release is out on https://github.com/OpenSourceRisk As announced, we have rolled out a range of credit and bond derivatives this time, see the release notes for details. Moreover, * American Monte Carlo simulation is integrated now (Example 39) * par sensitivity analysis has been added (Example 40) * there are additional parametric VaR types including Delta-Gamma Saddlepoint * we have added multi-threading support to sensitivity analysis and exposure simulation (Example 41) * And finally, our ORE Python module can now be installed with “pip install open-source-risk-engine”, and it allows querying ORE results and amending inputs in memory within the Python framework. See Example 42 for a start and more examples in the ORE SWIG repository. Please explore, all feedback is welcome! And join us at the Acadia Quant Summit in London this month https://www.acadia.inc/quant-summit-london to see and discuss ORE. Best wishes, Roland Roland Lichters Quantitative Services [Logo Description automatically generated] Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland office +49 2151 9284800 mobile +49 172 9985795 rol...@ac...c<mailto:rol...@ac...c> acadia.inc<https://acadia.inc/> [signature_2811593998]<https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[signature_1151196288]<https://twitter.com/AcadiaSoft_>[signature_3977098555]<https://www.linkedin.com/company/acadiasoft-inc> The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. |
From: Jonathan S. <sw...@gm...> - 2023-01-28 08:13:25
|
Hi Amine, Not sure if this is exactly what you're looking for, but there are some test cases in the C++ code for bootstrapping a SOFR yield term structure from futures quotes. You might be able to use this as a reference for your python code. https://github.com/lballabio/QuantLib/blob/master/test-suite/sofrfutures.cpp#L45 On Thu, Jan 26, 2023 at 8:44 PM Amine Ifri <ami...@gm...> wrote: > Dear Quantlib teams/users, > > Currently looking to use the QL Python library for ETD contracts. Went to > check the doc but couldn’t find any concrete class of a term structure that > would take only a ref date, a list of anchor dates, and a list of > corresponding quotes corresponding to each contract expiry. > > Grateful if someone could tell me if such impl exists. Many thanks. > > Amine Ifri > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Amine I. <ami...@gm...> - 2023-01-26 11:43:24
|
Dear Quantlib teams/users, Currently looking to use the QL Python library for ETD contracts. Went to check the doc but couldn’t find any concrete class of a term structure that would take only a ref date, a list of anchor dates, and a list of corresponding quotes corresponding to each contract expiry. Grateful if someone could tell me if such impl exists. Many thanks. Amine Ifri |
From: Andreas L. <and...@ca...> - 2023-01-22 22:08:53
|
Hi! My segmentation fault issues on 1.28 on MacOSX from homebrew, disappeared with version 1.29! Thanks! Andreas ________________________________ From: Luigi Ballabio <lui...@gm...> Sent: Thursday, January 12, 2023 10:54 To: Andreas Lindh <and...@ca...> Cc: qua...@li... <qua...@li...> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Ok, please let me know how it goes. Luigi On Thu, Jan 12, 2023 at 10:34 AM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Hi Luigi! Apparently my code demands c++17, but this have not been an issue in the past. The boost version that brew installs is /usr/local/Cellar/boost/1.81.0 I decided to see if this works in 1.29 and ignore it until then. /Andreas ________________________________ From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>> Sent: Wednesday, January 11, 2023 18:11 To: Andreas Lindh <and...@ca...<mailto:and...@ca...>> Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea would be to try to use the same compilation flags with which QuantLib itself was compiled, to avoid discrepancies in the compiled interfaces. Another discrepancy might be the version of boost; did you install it from homebrew, too? Hope this helps, Luigi On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Hi Luigi! Seems like it is installed. ~ > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib -I/usr/local/Cellar/quantlib/1.28/include -std=c++14 /Andreas ________________________________ From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>> Sent: Wednesday, January 11, 2023 17:39 To: Andreas Lindh <and...@ca...<mailto:and...@ca...>> Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Hello, I had it working, but I had compiled it myself -- I didn't try the version from homebrew. Does `brew install quantlib` also install a `quantlib-config` executable? If so, may you run `quantlib-config --libs --cflags` and see what it reports? Luigi On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Apologise if this is not the correct forum. I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work? brew install quantlib and g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \ mycode.cpp -o mycode.exe -lQuantLib ./mycode.exe gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to. I cannot get gdb to work on Mac, so have no further info. /Andreas _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
From: Luigi B. <lui...@gm...> - 2023-01-17 10:24:00
|
QuantLib 1.29 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Luigi B. <lui...@gm...> - 2023-01-12 09:55:00
|
Ok, please let me know how it goes. Luigi On Thu, Jan 12, 2023 at 10:34 AM Andreas Lindh <and...@ca...> wrote: > Hi Luigi! > > Apparently my code demands c++17, but this have not been an issue in the > past. The boost version that brew installs is > /usr/local/Cellar/boost/1.81.0 > > I decided to see if this works in 1.29 and ignore it until then. > > /Andreas > > ------------------------------ > *From:* Luigi Ballabio <lui...@gm...> > *Sent:* Wednesday, January 11, 2023 18:11 > *To:* Andreas Lindh <and...@ca...> > *Cc:* qua...@li... < > qua...@li...> > *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX > > Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The > idea would be to try to use the same compilation flags with which QuantLib > itself was compiled, to avoid discrepancies in the compiled interfaces. > Another discrepancy might be the version of boost; did you install it from > homebrew, too? > > Hope this helps, > Luigi > > > On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...> > wrote: > > Hi Luigi! > > Seems like it is installed. > > ~ > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags > -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib > -I/usr/local/Cellar/quantlib/1.28/include -std=c++14 > > /Andreas > ------------------------------ > *From:* Luigi Ballabio <lui...@gm...> > *Sent:* Wednesday, January 11, 2023 17:39 > *To:* Andreas Lindh <and...@ca...> > *Cc:* qua...@li... < > qua...@li...> > *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX > > Hello, > I had it working, but I had compiled it myself -- I didn't try the > version from homebrew. Does `brew install quantlib` also install a > `quantlib-config` executable? If so, may you run `quantlib-config --libs > --cflags` and see what it reports? > > Luigi > > > On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...> > wrote: > > Apologise if this is not the correct forum. > > I was wondering is anyone else had issues with version 1.28 on MacOSX, or > got it to work? > > > brew install quantlib > > and > > g++ -Wall -g -std=c++1z -I/usr/local/include/ > -I/usr/local/include/boost -L/usr/local/lib/ \ > mycode.cpp -o mycode.exe -lQuantLib > > ./mycode.exe > gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and > with WebAssembly. It worked fine with version 1.25 on MacOSX to. > > > I cannot get gdb to work on Mac, so have no further info. > > > /Andreas > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |
From: Andreas L. <and...@ca...> - 2023-01-12 09:35:05
|
Hi Luigi! Apparently my code demands c++17, but this have not been an issue in the past. The boost version that brew installs is /usr/local/Cellar/boost/1.81.0 I decided to see if this works in 1.29 and ignore it until then. /Andreas ________________________________ From: Luigi Ballabio <lui...@gm...> Sent: Wednesday, January 11, 2023 18:11 To: Andreas Lindh <and...@ca...> Cc: qua...@li... <qua...@li...> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea would be to try to use the same compilation flags with which QuantLib itself was compiled, to avoid discrepancies in the compiled interfaces. Another discrepancy might be the version of boost; did you install it from homebrew, too? Hope this helps, Luigi On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Hi Luigi! Seems like it is installed. ~ > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib -I/usr/local/Cellar/quantlib/1.28/include -std=c++14 /Andreas ________________________________ From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>> Sent: Wednesday, January 11, 2023 17:39 To: Andreas Lindh <and...@ca...<mailto:and...@ca...>> Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Hello, I had it working, but I had compiled it myself -- I didn't try the version from homebrew. Does `brew install quantlib` also install a `quantlib-config` executable? If so, may you run `quantlib-config --libs --cflags` and see what it reports? Luigi On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Apologise if this is not the correct forum. I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work? brew install quantlib and g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \ mycode.cpp -o mycode.exe -lQuantLib ./mycode.exe gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to. I cannot get gdb to work on Mac, so have no further info. /Andreas _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
From: Andreas L. <and...@ca...> - 2023-01-11 17:19:15
|
Hi Luigi! Seems like it is installed. ~ > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib -I/usr/local/Cellar/quantlib/1.28/include -std=c++14 /Andreas ________________________________ From: Luigi Ballabio <lui...@gm...> Sent: Wednesday, January 11, 2023 17:39 To: Andreas Lindh <and...@ca...> Cc: qua...@li... <qua...@li...> Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX Hello, I had it working, but I had compiled it myself -- I didn't try the version from homebrew. Does `brew install quantlib` also install a `quantlib-config` executable? If so, may you run `quantlib-config --libs --cflags` and see what it reports? Luigi On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote: Apologise if this is not the correct forum. I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work? brew install quantlib and g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \ mycode.cpp -o mycode.exe -lQuantLib ./mycode.exe gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to. I cannot get gdb to work on Mac, so have no further info. /Andreas _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
From: Luigi B. <lui...@gm...> - 2023-01-11 17:11:23
|
Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea would be to try to use the same compilation flags with which QuantLib itself was compiled, to avoid discrepancies in the compiled interfaces. Another discrepancy might be the version of boost; did you install it from homebrew, too? Hope this helps, Luigi On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...> wrote: > Hi Luigi! > > Seems like it is installed. > > ~ > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags > -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib > -I/usr/local/Cellar/quantlib/1.28/include -std=c++14 > > /Andreas > ------------------------------ > *From:* Luigi Ballabio <lui...@gm...> > *Sent:* Wednesday, January 11, 2023 17:39 > *To:* Andreas Lindh <and...@ca...> > *Cc:* qua...@li... < > qua...@li...> > *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX > > Hello, > I had it working, but I had compiled it myself -- I didn't try the > version from homebrew. Does `brew install quantlib` also install a > `quantlib-config` executable? If so, may you run `quantlib-config --libs > --cflags` and see what it reports? > > Luigi > > > On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...> > wrote: > > Apologise if this is not the correct forum. > > I was wondering is anyone else had issues with version 1.28 on MacOSX, or > got it to work? > > > brew install quantlib > > and > > g++ -Wall -g -std=c++1z -I/usr/local/include/ > -I/usr/local/include/boost -L/usr/local/lib/ \ > mycode.cpp -o mycode.exe -lQuantLib > > ./mycode.exe > gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and > with WebAssembly. It worked fine with version 1.25 on MacOSX to. > > > I cannot get gdb to work on Mac, so have no further info. > > > /Andreas > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |
From: Luigi B. <lui...@gm...> - 2023-01-11 16:39:56
|
Hello, I had it working, but I had compiled it myself -- I didn't try the version from homebrew. Does `brew install quantlib` also install a `quantlib-config` executable? If so, may you run `quantlib-config --libs --cflags` and see what it reports? Luigi On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...> wrote: > Apologise if this is not the correct forum. > > I was wondering is anyone else had issues with version 1.28 on MacOSX, or > got it to work? > > > brew install quantlib > > and > > g++ -Wall -g -std=c++1z -I/usr/local/include/ > -I/usr/local/include/boost -L/usr/local/lib/ \ > mycode.cpp -o mycode.exe -lQuantLib > > ./mycode.exe > gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and > with WebAssembly. It worked fine with version 1.25 on MacOSX to. > > > I cannot get gdb to work on Mac, so have no further info. > > > /Andreas > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Andreas L. <and...@ca...> - 2023-01-11 16:04:17
|
Apologise if this is not the correct forum. I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work? brew install quantlib and g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \ mycode.cpp -o mycode.exe -lQuantLib ./mycode.exe gives segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to. I cannot get gdb to work on Mac, so have no further info. /Andreas |
From: Roland L. <rol...@ac...> - 2022-12-06 19:54:44
|
Dear all, We have just published the 8th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk. ORE 8 depends on QuantLib and QuantLib-SWIG 1.28. As announced by Acadia in September, we are continuing the rollout of financial instruments this time with commodity derivatives adding * Swaps * Swaptions * Digital Options * Average Price Options * Option Strips and a few more exotic Equity/FX products. Moreover, we are adding to the analytics to make ORE more widely usable * Commodity simulation integrated into the Gaussian Cross Asset Model in ORE, so that we have coverage across six asset classes now in exposure simulation and XVA * Multi-factor Hull-White / FX / Commodity simulation model * American Monte Carlo components to allow quick exposure simulation including multi-callables The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org. Credit derivatives, Bond derivatives, hybrids and scripted exotics will follow in the next releases in quarterly steps, see also the Acadia press release for the previous 7th release and roadmap here<https://www.acadia.inc/news/acadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow>. If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://share.hsforms.com/1eqcUZ-9_QdSH__M7_YPSig43ul4> to receive updates by email. Please explore ORE – download the release executable, or clone the repositories and build. As usual, all feedback is welcome! Best regards, Roland The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. |
From: Luigi B. <lui...@gm...> - 2022-10-25 07:43:41
|
QuantLib 1.28 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. Please report any problems you have with this release to the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Luigi B. <lui...@gm...> - 2022-10-18 20:44:48
|
Ciao Daniele, fixings are for the past, and term structures are for forecasts — it's a deliberate choice for a number of reasons. However, you can get what you want by creating a term structure that gives you back the expected fixings. I don't have sample code right now, but the idea is as follows. Let's say you have the last actual index fixing I_0 (i.e., not a forecast). For each of the future fixings at time T_i, you can calculate the corresponding zero-rate R_i so that I_i = i_0 * (1 + R_i)^T_i. Once you've done the conversion, you can create an InterpolatedZeroInflationCurve from the resulting rates and the corresponding dates (you might have to play with the lag in order to get the dates right). If you pass the curve to the index instance, it should return the fixings you started with. Let me know if that works. If not, post your code and we can try to get there. Hope this helps, Luigi On Wed, Oct 12, 2022 at 1:51 PM Daniele Marconi < dan...@gm...> wrote: > Dear Luigi, > > > > the question is strictly on the file “inflationindex.cpp”. > > > > What I lack is the possibility to give use in the index a set of fixings > in the future. That is, we have forecasted index values (so, future > fixings) directly from the market data provider and we would like to use > them in place of the forecasting function done by the > zeroInflationTermStructure. > > Given the current version, I can load into IndexManager future fixings, no > problem. > > The issue comes in the functionZeroInflationIndex::fixing and then > ZeroInflationIndex::needsForecast. > > In the latter, latestNeededDate is basically evaluation date “minus” > availabilityLag and it is assumed that everything coming after that date > needs a forecast from term structure. > > Is there a way to obtain what I need, i.e. to use fixings from time-series > also in case of future dates? > > > > if (latestNeededDate <= historicalFixingKnown) { > > // the fixing date is well before the availability lag, so > > // we know that fixings were provided. > > return false; > > } else if (latestNeededDate > today) { > > // the fixing can't be available, no matter what's in the > > // time series > > return true; > > } > > > > Thank you > > Daniele marconi > -- > Daniele Marconi > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Daniele M. <dan...@gm...> - 2022-10-12 11:50:16
|
Dear Luigi, the question is strictly on the file “inflationindex.cpp”. What I lack is the possibility to give use in the index a set of fixings in the future. That is, we have forecasted index values (so, future fixings) directly from the market data provider and we would like to use them in place of the forecasting function done by the zeroInflationTermStructure. Given the current version, I can load into IndexManager future fixings, no problem. The issue comes in the functionZeroInflationIndex::fixing and then ZeroInflationIndex::needsForecast. In the latter, latestNeededDate is basically evaluation date “minus” availabilityLag and it is assumed that everything coming after that date needs a forecast from term structure. Is there a way to obtain what I need, i.e. to use fixings from time-series also in case of future dates? if (latestNeededDate <= historicalFixingKnown) { // the fixing date is well before the availability lag, so // we know that fixings were provided. return false; } else if (latestNeededDate > today) { // the fixing can't be available, no matter what's in the // time series return true; } Thank you Daniele marconi -- Daniele Marconi |
From: Alix L. <ali...@gm...> - 2022-10-10 14:54:00
|
Hi Luigi, Thanks a lot for your answer, this is likely what I am looking for! Unfortunately, I cannot make a try right now as Docker Desktop is not allowed to be installed on my pro machine, and I discovered that the alternative solution Rancher Desktop does not support Windows containers at this point. I will be glad to share my findings once I will be able to test this. Thanks for your help again, Alix Le mer. 28 sept. 2022 à 13:06, Luigi Ballabio <lui...@gm...> a écrit : > Hello Alix, > I don't have a Windows machine, so I haven't experimented with Docker > Windows containers either. What you describe should be possible, though: > when I generate wheels for Windows, I do it using a GitHub Actions > workflow, and it's all command lines (see > https://github.com/lballabio/quantlib-wheels/blob/master/.github/workflows/wheels.yml). > The GitHub Action environment has a number of tools already installed, but > in principle the same commands should work in a Docker container. > > Luigi > > > On Tue, Sep 27, 2022 at 4:13 PM Alix Lassauzet <ali...@gm...> > wrote: > >> Hi Luigi and QL-community, >> >> I was wondering if someone has already experimented with the generation >> of a QuantLib-Python wheel from a Docker Windows container. >> >> At the moment, from the various work and contributions I found on the >> web, I noticed most of the Docker Linux containers (from ubuntu, alpine, >> ...), but none of them with Windows. >> >> I think it could be very helpful to be able to automate the compilation >> of QuantLib and QuantLib-SWIG/Python on Windows through command lines >> exclusively, and with Docker. I can see several advantages : >> - first, Docker would propose an isolated environment >> - then, we don't necessarily need to install Visual C++ on our machine >> - finally, if the installation relies purely on command lines, this could >> make it as tractable as it is already on Linux >> >> What do you think in terms of feasibility and has anyone already tried >> this approach? >> >> Thanks for your feedbacks, >> >> Alix >> >> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > |
From: Ioannis R. <qua...@de...> - 2022-10-08 17:12:22
|
Hi Peter, I will explain my issue. My Deriscope software consists of custom code that makes use of methods implemented either in ORE or QuantLib. Until ORE release 6 I was able to upgrade to the latest QuantLib release without any problems. But now with the current ORE release 7 I am stuck with the forked QuantLib code in the ORE repository. For example, if tomorrow Luigi makes a new QuantLib release, I will not be able to incorporate it into my code as it would be incompatible with what ORE expects. So, right now everything seems to work, but I am mostly concerned about the future. Optimally, the next ORE release 8 will link to a main branch (official) QuantLib version rather than a forked one. I can only hope this will be technically possible. Regards, Ioannis On 10/8/2022 5:07 PM, Peter Caspers wrote: > Hi Ioannis > > there is definitely no such thing as a "divorce from QuantLib" or any > other change in our dev strategy with release 7. That would be rather > silly indeed. Quite on the contrary I mentioned in a recent post that > it would make a lot of sense to consolidate some QuantExt classes with > QuantLib to reduce redundancies in (for example) the short rate models > (in the discussion around the Hull White 1F / GSR / LGM models, which > are all essentially the same). > > What is the concrete issue you have? Can you elaborate a bit, maybe we > can help mitigating it until the libraries are more in line again. I > am actually aware of a breaking change in the inflation framework, > this was reported on github recently. This is something we should > surely try to straighten out relatively soon. > > Thanks > Peter > > > On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos > <qua...@de...> wrote: > > Hi Roland, Peter, > > I am personally very keen on the continuous success of both > QuantLib and ORE as I am using both in my Deriscope application, > which is currently deployed successfully to a few bank clients, > including trading desks. > > I have opted to link to both QuantLib and ORE because of their > distinct competencies. > > Through the interaction with my clients, I often feel the need to > edit certain code segments. In the past I tried to add my edits to > the QuantLib and ORE main branches, but I have now refrained from > this practice due to a) QuantLib team's "less-than-enthusiastic" > response on issues I was raising and b) ORE's recent "disappearance". > > I felt very glad with ORE's comeback with release 7, its new > Acadia venture and its commitment to regular quarterly releases to > the point that I thought of transferring all my own code edits to > the ORE main branch. > > But I see now that the ORE release 7 marks a kind of "divorce" > from QuantLib, which is not good news for developers like me. > > To put it simply, I am now forced to choose one or the other: > > If I choose ORE, I will be distancing myself from the original > QuantLib branch, which would be dangerous if tomorrow ORE stops > being developed and also prohibit me from using recent additions > to QuantLib that are not yet incorporated in the ORE releases. > > If I choose QuantLib, I will not be able to use ORE, which > admittedly has very important stuff! > > A bit of an unfortunate deadlock really, which was not there until > release 6. > > Ioannis > > On 10/8/2022 9:49 AM, Peter Caspers wrote: >> Hi Ioannis >> >> we try to keep the diff between the original QL and our fork as >> small as possible. These particular differences refer to >> >> https://github.com/lballabio/QuantLib/pull/1222 >> >> which was needed to resolve major performance problems on our >> side. The discussion went a bit stale admittedly. I'll try to >> reignite it and flesh out the suggestions in the thread a bit more. >> >> Thank you >> Peter >> >> >> >> On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos >> <qua...@de...> wrote: >> >> Hi Roland, >> >> I have managed to compile and build ORE using the forked >> QuantLib version as suggested, but now I am stumbling on >> deep-rooted run time errors. >> >> It seems to me that the forked version of QuantLib deviates >> from the original in quite deep and subtle ways to the point >> that the rest of my code that used to work well with both ORE >> and QuantLib, now behaves in unexpected ways. >> >> One example is the very important QuantLib class >> FloatingRateCoupon , of which the original declaration >> >> class FloatingRateCoupon : public Coupon, public Observer >> >> has been changed to >> >> class FloatingRateCoupon : public Coupon, public LazyObject >> >> Another example that affected my run time behavior of OIS >> curve building concerns the implementation of >> OISRateHelper::impliedQuote(). >> >> The original QuantLib implementation contains the statement >> >> swap_->recalculate(); >> >> The forked version has replaced the above with >> >> swap_->deepUpdate(); >> >> It thus seems that the ORE version 7 marks a significant >> break from its previous versions as it requires a profoundly >> different underlying QuantLib code. >> >> I am sure that the ORE developers had good reasons for doing >> so, but the sad fact is that developers like me have to >> decide between using the original lballabio QuantLib branch >> or the one forked and maintained by ORE. >> >> Until ORE version 6, such a dilemma did not exist! >> >> Best regards, >> >> Ioannis >> >> On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: >>> >>> Thanks for the quick turnaround. I have already extracted >>> the code using git, but it is nice to have this download >>> option as well. >>> >>> On 10/4/2022 12:46 PM, Roland Lichters wrote: >>>> >>>> Hi Ioannis, >>>> >>>> That’s a good point, we have added a release zip/tgz to the >>>> QuantLib repo in ORE: >>>> >>>> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 >>>> >>>> I hope that works! >>>> >>>> Best regards, >>>> >>>> Roland >>>> >>>> *From: *Ioannis Rigopoulos <qua...@de...> >>>> <mailto:qua...@de...> >>>> *Date: *Tuesday, 4 October 2022 at 09:40 >>>> *To: *Roland Lichters <rol...@ac...c> >>>> <mailto:rol...@ac...c>, QuantLib users >>>> <qua...@li...> >>>> <mailto:qua...@li...>, QuantLib >>>> Mailing Lists <qua...@li...> >>>> <mailto:qua...@li...> >>>> *Subject: *Re: [Quantlib-dev] ORE 7 >>>> >>>> CAUTION:External email warning. This email originated from >>>> outside acadia.inc. Beware of phishing attempts. Comply >>>> with all acadia.inc policy to confirm sender identity >>>> before responding, forwarding, and especially clicking >>>> links or opening attachments. >>>> >>>> Thanks for the quick reply Roland. >>>> >>>> I will certainly try your suggestion, although I am using >>>> GitHub Desktop and I am not very familiar with the git dos >>>> commands. >>>> >>>> But since several people rely on the compressed forms (zip, >>>> tar) of the ORE and QuantLib releases, I am wondering if it >>>> would be possible to also provide the required QuantLib >>>> source code in compressed form, which is anyway done for >>>> all the official ORE and QuantLib releases. >>>> >>>> For example, you will see at the page >>>> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 >>>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> >>>> the compressed ORE code. It would be certainly helpful if >>>> the corresponding QuantLib code could be similarly found >>>> somewhere, either as stand alone or embedded in the ORE >>>> compressed file. >>>> >>>> Ioannis >>>> >>>> On 10/4/2022 9:03 AM, Roland Lichters wrote: >>>> >>>> Hi Ioannis, >>>> >>>> Ah, maybe that wasn’t clear in the mail, we use a fork >>>> of QuantLib 1.27.1 with a few changes. >>>> >>>> So when you build ORE from sources on gihub, then >>>> please do a >>>> >>>> git submodule update --init >>>> >>>> That checks out our QuantLib 1.27.1 fork, and it should >>>> remove your build errors. >>>> >>>> Best regards, >>>> >>>> Roland >>>> >>>> *From: *Ioannis Rigopoulos <qua...@de...> >>>> <mailto:qua...@de...> >>>> *Date: *Monday, 3 October 2022 at 17:47 >>>> *To: *Roland Lichters <rol...@ac...c> >>>> <mailto:rol...@ac...c>, QuantLib users >>>> <qua...@li...> >>>> <mailto:qua...@li...>, QuantLib >>>> Mailing Lists <qua...@li...> >>>> <mailto:qua...@li...> >>>> *Subject: *Re: [Quantlib-dev] ORE 7 >>>> >>>> CAUTION:External email warning. This email originated >>>> from outside acadia.inc. Beware of phishing attempts. >>>> Comply with all acadia.inc policy to confirm sender >>>> identity before responding, forwarding, and especially >>>> clicking links or opening attachments. >>>> >>>> Thank you Roland for this new release, but I have >>>> experienced several compilation errors when trying to >>>> build the QuantExt library. >>>> >>>> I am using the official release of the 1.27.1 version >>>> of the QuantLib library as suggested in your email. >>>> >>>> One simple example of the several failures concerns the >>>> second CPICoupon constructor implemented online in the >>>> header cpicoupon.hpp >>>> >>>> Its top part looks as below: >>>> >>>> */CPICoupon(Real baseCPI, >>>> const Date& baseDate, // user provided, >>>> could be arbitrary >>>> const Date& paymentDate, Real nominal, >>>> const Date& startDate, const Date& endDate,/* >>>> >>>> */ (... more input arguments here ...)/* >>>> >>>> */ : QuantLib::CPICoupon(baseCPI, baseDate, >>>> paymentDate, nominal, startDate, endDate, index, >>>> observationLag,/* >>>> >>>> The compile-time error is caused by the implementation >>>> line: >>>> >>>> */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, >>>> nominal, startDate, endDate, index,/* >>>> >>>> The above line passes the argument */baseDate /*to the >>>> constructor of the */QuantLib::CPICoupon /*class. >>>> >>>> But this fails because the CPICoupon class in QuantLib >>>> does not contain any constructor that expects a second >>>> argument of type Date. >>>> >>>> Best regards, >>>> >>>> Ioannis Rigopoulos >>>> >>>> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev >>>> wrote: >>>> >>>> Dear all, >>>> >>>> we have just published the 7th release of ORE and >>>> ORE-SWIG, updating the codebase at >>>> https://github.com/OpenSourceRisk >>>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. >>>> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG >>>> 1.27. >>>> >>>> The release contains many fixes and improvements >>>> over the past year that were triggered by our main >>>> sponsor’s (Acadia) use of ORE in their Initial >>>> Margin Risk Generator services. The full release >>>> notes can be found in the user guide under the >>>> DOCUMENTATION menu on https://opensourcerisk.org >>>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>. >>>> >>>> With this release we have started publishing a wide >>>> range of additional financial instruments. You will >>>> see various Equity/FX Exotics in this release. >>>> Commodity, Credit, Hybrids, Exotics with scripted >>>> payoffs will follow in the next releases in >>>> quarterly steps, see also the Acadia press release >>>> and roadmap here >>>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. >>>> >>>> >>>> If you want to hear from Acadia about latest ORE >>>> developments, then feel free to sign up here >>>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> >>>> to receive updates by email. >>>> >>>> Please explore ORE – download the release >>>> executable, or clone the repositories and build. >>>> >>>> As usual, all feedback is welcome! >>>> >>>> Best regards, >>>> >>>> Roland >>>> >>>> >>>> /The information contained in this e-mail, and any >>>> attachment, is confidential and is intended solely >>>> for the use of the intended recipient. Access, >>>> copying or re-use of the e-mail or any attachment, >>>> or any information contained therein, by any other >>>> person is not authorized. If you are not the >>>> intended recipient please return the e-mail to the >>>> sender and delete it from your computer. 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The acadia.inc >>>> privacy policy is available on our website. >>> >>> >>> _______________________________________________ >>> QuantLib-dev mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
From: Peter C. <pca...@gm...> - 2022-10-08 15:08:17
|
Hi Ioannis there is definitely no such thing as a "divorce from QuantLib" or any other change in our dev strategy with release 7. That would be rather silly indeed. Quite on the contrary I mentioned in a recent post that it would make a lot of sense to consolidate some QuantExt classes with QuantLib to reduce redundancies in (for example) the short rate models (in the discussion around the Hull White 1F / GSR / LGM models, which are all essentially the same). What is the concrete issue you have? Can you elaborate a bit, maybe we can help mitigating it until the libraries are more in line again. I am actually aware of a breaking change in the inflation framework, this was reported on github recently. This is something we should surely try to straighten out relatively soon. Thanks Peter On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos <qua...@de...> wrote: > Hi Roland, Peter, > > I am personally very keen on the continuous success of both QuantLib and > ORE as I am using both in my Deriscope application, which is currently > deployed successfully to a few bank clients, including trading desks. > > I have opted to link to both QuantLib and ORE because of their distinct > competencies. > > Through the interaction with my clients, I often feel the need to edit > certain code segments. In the past I tried to add my edits to the QuantLib > and ORE main branches, but I have now refrained from this practice due to > a) QuantLib team's "less-than-enthusiastic" response on issues I was > raising and b) ORE's recent "disappearance". > > I felt very glad with ORE's comeback with release 7, its new Acadia > venture and its commitment to regular quarterly releases to the point that > I thought of transferring all my own code edits to the ORE main branch. > > But I see now that the ORE release 7 marks a kind of "divorce" from > QuantLib, which is not good news for developers like me. > > To put it simply, I am now forced to choose one or the other: > > If I choose ORE, I will be distancing myself from the original QuantLib > branch, which would be dangerous if tomorrow ORE stops being developed and > also prohibit me from using recent additions to QuantLib that are not yet > incorporated in the ORE releases. > > If I choose QuantLib, I will not be able to use ORE, which admittedly has > very important stuff! > > A bit of an unfortunate deadlock really, which was not there until release > 6. > > Ioannis > On 10/8/2022 9:49 AM, Peter Caspers wrote: > > Hi Ioannis > > we try to keep the diff between the original QL and our fork as small as > possible. These particular differences refer to > > https://github.com/lballabio/QuantLib/pull/1222 > > which was needed to resolve major performance problems on our side. The > discussion went a bit stale admittedly. I'll try to reignite it and flesh > out the suggestions in the thread a bit more. > > Thank you > Peter > > > > On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos <qua...@de...> > wrote: > >> Hi Roland, >> >> I have managed to compile and build ORE using the forked QuantLib version >> as suggested, but now I am stumbling on deep-rooted run time errors. >> >> It seems to me that the forked version of QuantLib deviates from the >> original in quite deep and subtle ways to the point that the rest of my >> code that used to work well with both ORE and QuantLib, now behaves in >> unexpected ways. >> >> One example is the very important QuantLib class FloatingRateCoupon , of >> which the original declaration >> >> class FloatingRateCoupon : public Coupon, public Observer >> >> has been changed to >> >> class FloatingRateCoupon : public Coupon, public LazyObject >> >> Another example that affected my run time behavior of OIS curve building >> concerns the implementation of OISRateHelper::impliedQuote(). >> >> The original QuantLib implementation contains the statement >> >> swap_->recalculate(); >> >> The forked version has replaced the above with >> >> swap_->deepUpdate(); >> >> It thus seems that the ORE version 7 marks a significant break from its >> previous versions as it requires a profoundly different underlying QuantLib >> code. >> >> I am sure that the ORE developers had good reasons for doing so, but the >> sad fact is that developers like me have to decide between using the >> original lballabio QuantLib branch or the one forked and maintained by ORE. >> >> Until ORE version 6, such a dilemma did not exist! >> >> Best regards, >> >> Ioannis >> On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: >> >> Thanks for the quick turnaround. I have already extracted the code using >> git, but it is nice to have this download option as well. >> On 10/4/2022 12:46 PM, Roland Lichters wrote: >> >> Hi Ioannis, >> >> >> >> That’s a good point, we have added a release zip/tgz to the QuantLib repo >> in ORE: >> >> >> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 >> >> I hope that works! >> >> >> >> Best regards, >> >> Roland >> >> >> >> *From: *Ioannis Rigopoulos <qua...@de...> >> <qua...@de...> >> *Date: *Tuesday, 4 October 2022 at 09:40 >> *To: *Roland Lichters <rol...@ac...c> >> <rol...@ac...c>, QuantLib users >> <qua...@li...> >> <qua...@li...>, QuantLib Mailing Lists >> <qua...@li...> <qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION: External email warning. This email originated from outside >> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy >> to confirm sender identity before responding, forwarding, and especially >> clicking links or opening attachments. >> >> >> >> Thanks for the quick reply Roland. >> >> I will certainly try your suggestion, although I am using GitHub Desktop >> and I am not very familiar with the git dos commands. >> >> But since several people rely on the compressed forms (zip, tar) of the >> ORE and QuantLib releases, I am wondering if it would be possible to also >> provide the required QuantLib source code in compressed form, which is >> anyway done for all the official ORE and QuantLib releases. >> >> For example, you will see at the page >> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> >> the compressed ORE code. It would be certainly helpful if the corresponding >> QuantLib code could be similarly found somewhere, either as stand alone or >> embedded in the ORE compressed file. >> >> Ioannis >> >> On 10/4/2022 9:03 AM, Roland Lichters wrote: >> >> Hi Ioannis, >> >> >> >> Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 >> with a few changes. >> >> So when you build ORE from sources on gihub, then please do a >> >> git submodule update --init >> >> That checks out our QuantLib 1.27.1 fork, and it should remove your build >> errors. >> >> >> >> Best regards, >> >> Roland >> >> >> >> *From: *Ioannis Rigopoulos <qua...@de...> >> <qua...@de...> >> *Date: *Monday, 3 October 2022 at 17:47 >> *To: *Roland Lichters <rol...@ac...c> >> <rol...@ac...c>, QuantLib users >> <qua...@li...> >> <qua...@li...>, QuantLib Mailing Lists >> <qua...@li...> <qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION: External email warning. This email originated from outside >> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy >> to confirm sender identity before responding, forwarding, and especially >> clicking links or opening attachments. >> >> >> >> Thank you Roland for this new release, but I have experienced several >> compilation errors when trying to build the QuantExt library. >> >> I am using the official release of the 1.27.1 version of the QuantLib >> library as suggested in your email. >> >> One simple example of the several failures concerns the second CPICoupon >> constructor implemented online in the header cpicoupon.hpp >> >> Its top part looks as below: >> >> >> >> *CPICoupon(Real baseCPI, const Date& baseDate, // user >> provided, could be arbitrary const Date& paymentDate, Real >> nominal, const Date& startDate, const Date& endDate,* >> >> * (... more input arguments here ...)* >> >> >> * : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, >> startDate, endDate, index, observationLag,* >> >> The compile-time error is caused by the implementation line: >> >> *QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, >> endDate, index,* >> >> The above line passes the argument *baseDate *to the constructor of the *QuantLib::CPICoupon >> *class. >> >> But this fails because the CPICoupon class in QuantLib does not contain >> any constructor that expects a second argument of type Date. >> >> Best regards, >> >> Ioannis Rigopoulos >> >> >> >> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: >> >> Dear all, >> >> >> >> we have just published the 7th release of ORE and ORE-SWIG, updating the >> codebase at https://github.com/OpenSourceRisk >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. >> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. >> >> >> >> The release contains many fixes and improvements over the past year that >> were triggered by our main sponsor’s (Acadia) use of ORE in their Initial >> Margin Risk Generator services. The full release notes can be found in the >> user guide under the DOCUMENTATION menu on https://opensourcerisk.org >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0> >> . >> >> >> >> With this release we have started publishing a wide range of additional >> financial instruments. You will see various Equity/FX Exotics in this >> release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will >> follow in the next releases in quarterly steps, see also the Acadia press >> release and roadmap here >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. >> >> >> >> >> If you want to hear from Acadia about latest ORE developments, then feel >> free to sign up here >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> >> to receive updates by email. >> >> Please explore ORE – download the release executable, or clone the >> repositories and build. >> >> >> >> As usual, all feedback is welcome! >> >> >> >> Best regards, >> >> Roland >> >> >> *The information contained in this e-mail, and any attachment, is >> confidential and is intended solely for the use of the intended recipient. >> Access, copying or re-use of the e-mail or any attachment, or any >> information contained therein, by any other person is not authorized. If >> you are not the intended recipient please return the e-mail to the sender >> and delete it from your computer. 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From: Ioannis R. <qua...@de...> - 2022-10-08 08:42:14
|
Hi Roland, Peter, I am personally very keen on the continuous success of both QuantLib and ORE as I am using both in my Deriscope application, which is currently deployed successfully to a few bank clients, including trading desks. I have opted to link to both QuantLib and ORE because of their distinct competencies. Through the interaction with my clients, I often feel the need to edit certain code segments. In the past I tried to add my edits to the QuantLib and ORE main branches, but I have now refrained from this practice due to a) QuantLib team's "less-than-enthusiastic" response on issues I was raising and b) ORE's recent "disappearance". I felt very glad with ORE's comeback with release 7, its new Acadia venture and its commitment to regular quarterly releases to the point that I thought of transferring all my own code edits to the ORE main branch. But I see now that the ORE release 7 marks a kind of "divorce" from QuantLib, which is not good news for developers like me. To put it simply, I am now forced to choose one or the other: If I choose ORE, I will be distancing myself from the original QuantLib branch, which would be dangerous if tomorrow ORE stops being developed and also prohibit me from using recent additions to QuantLib that are not yet incorporated in the ORE releases. If I choose QuantLib, I will not be able to use ORE, which admittedly has very important stuff! A bit of an unfortunate deadlock really, which was not there until release 6. Ioannis On 10/8/2022 9:49 AM, Peter Caspers wrote: > Hi Ioannis > > we try to keep the diff between the original QL and our fork as small > as possible. These particular differences refer to > > https://github.com/lballabio/QuantLib/pull/1222 > > which was needed to resolve major performance problems on our side. > The discussion went a bit stale admittedly. I'll try to reignite it > and flesh out the suggestions in the thread a bit more. > > Thank you > Peter > > > > On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos > <qua...@de...> wrote: > > Hi Roland, > > I have managed to compile and build ORE using the forked QuantLib > version as suggested, but now I am stumbling on deep-rooted run > time errors. > > It seems to me that the forked version of QuantLib deviates from > the original in quite deep and subtle ways to the point that the > rest of my code that used to work well with both ORE and QuantLib, > now behaves in unexpected ways. > > One example is the very important QuantLib class > FloatingRateCoupon , of which the original declaration > > class FloatingRateCoupon : public Coupon, public Observer > > has been changed to > > class FloatingRateCoupon : public Coupon, public LazyObject > > Another example that affected my run time behavior of OIS curve > building concerns the implementation of OISRateHelper::impliedQuote(). > > The original QuantLib implementation contains the statement > > swap_->recalculate(); > > The forked version has replaced the above with > > swap_->deepUpdate(); > > It thus seems that the ORE version 7 marks a significant break > from its previous versions as it requires a profoundly different > underlying QuantLib code. > > I am sure that the ORE developers had good reasons for doing so, > but the sad fact is that developers like me have to decide between > using the original lballabio QuantLib branch or the one forked and > maintained by ORE. > > Until ORE version 6, such a dilemma did not exist! > > Best regards, > > Ioannis > > On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: >> >> Thanks for the quick turnaround. I have already extracted the >> code using git, but it is nice to have this download option as well. >> >> On 10/4/2022 12:46 PM, Roland Lichters wrote: >>> >>> Hi Ioannis, >>> >>> That’s a good point, we have added a release zip/tgz to the >>> QuantLib repo in ORE: >>> >>> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 >>> >>> I hope that works! >>> >>> Best regards, >>> >>> Roland >>> >>> *From: *Ioannis Rigopoulos <qua...@de...> >>> <mailto:qua...@de...> >>> *Date: *Tuesday, 4 October 2022 at 09:40 >>> *To: *Roland Lichters <rol...@ac...c> >>> <mailto:rol...@ac...c>, QuantLib users >>> <qua...@li...> >>> <mailto:qua...@li...>, QuantLib Mailing >>> Lists <qua...@li...> >>> <mailto:qua...@li...> >>> *Subject: *Re: [Quantlib-dev] ORE 7 >>> >>> CAUTION:External email warning. This email originated from >>> outside acadia.inc. Beware of phishing attempts. Comply with all >>> acadia.inc policy to confirm sender identity before responding, >>> forwarding, and especially clicking links or opening attachments. >>> >>> Thanks for the quick reply Roland. >>> >>> I will certainly try your suggestion, although I am using GitHub >>> Desktop and I am not very familiar with the git dos commands. >>> >>> But since several people rely on the compressed forms (zip, tar) >>> of the ORE and QuantLib releases, I am wondering if it would be >>> possible to also provide the required QuantLib source code in >>> compressed form, which is anyway done for all the official ORE >>> and QuantLib releases. >>> >>> For example, you will see at the page >>> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 >>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> >>> the compressed ORE code. It would be certainly helpful if the >>> corresponding QuantLib code could be similarly found somewhere, >>> either as stand alone or embedded in the ORE compressed file. >>> >>> Ioannis >>> >>> On 10/4/2022 9:03 AM, Roland Lichters wrote: >>> >>> Hi Ioannis, >>> >>> Ah, maybe that wasn’t clear in the mail, we use a fork of >>> QuantLib 1.27.1 with a few changes. >>> >>> So when you build ORE from sources on gihub, then please do a >>> >>> git submodule update --init >>> >>> That checks out our QuantLib 1.27.1 fork, and it should >>> remove your build errors. >>> >>> Best regards, >>> >>> Roland >>> >>> *From: *Ioannis Rigopoulos <qua...@de...> >>> <mailto:qua...@de...> >>> *Date: *Monday, 3 October 2022 at 17:47 >>> *To: *Roland Lichters <rol...@ac...c> >>> <mailto:rol...@ac...c>, QuantLib users >>> <qua...@li...> >>> <mailto:qua...@li...>, QuantLib >>> Mailing Lists <qua...@li...> >>> <mailto:qua...@li...> >>> *Subject: *Re: [Quantlib-dev] ORE 7 >>> >>> CAUTION:External email warning. This email originated from >>> outside acadia.inc. Beware of phishing attempts. Comply with >>> all acadia.inc policy to confirm sender identity before >>> responding, forwarding, and especially clicking links or >>> opening attachments. >>> >>> Thank you Roland for this new release, but I have >>> experienced several compilation errors when trying to build >>> the QuantExt library. >>> >>> I am using the official release of the 1.27.1 version of the >>> QuantLib library as suggested in your email. >>> >>> One simple example of the several failures concerns the >>> second CPICoupon constructor implemented online in the >>> header cpicoupon.hpp >>> >>> Its top part looks as below: >>> >>> */CPICoupon(Real baseCPI, >>> const Date& baseDate, // user provided, could >>> be arbitrary >>> const Date& paymentDate, Real nominal, const >>> Date& startDate, const Date& endDate,/* >>> >>> */ (... more input arguments here ...)/* >>> >>> */ : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, >>> nominal, startDate, endDate, index, >>> observationLag,/* >>> >>> The compile-time error is caused by the implementation line: >>> >>> */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, >>> nominal, startDate, endDate, index,/* >>> >>> The above line passes the argument */baseDate /*to the >>> constructor of the */QuantLib::CPICoupon /*class. >>> >>> But this fails because the CPICoupon class in QuantLib does >>> not contain any constructor that expects a second argument >>> of type Date. >>> >>> Best regards, >>> >>> Ioannis Rigopoulos >>> >>> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: >>> >>> Dear all, >>> >>> we have just published the 7th release of ORE and >>> ORE-SWIG, updating the codebase at >>> https://github.com/OpenSourceRisk >>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. >>> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. >>> >>> The release contains many fixes and improvements over >>> the past year that were triggered by our main sponsor’s >>> (Acadia) use of ORE in their Initial Margin Risk >>> Generator services. The full release notes can be found >>> in the user guide under the DOCUMENTATION menu on >>> https://opensourcerisk.org >>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>. >>> >>> With this release we have started publishing a wide >>> range of additional financial instruments. You will see >>> various Equity/FX Exotics in this release. Commodity, >>> Credit, Hybrids, Exotics with scripted payoffs will >>> follow in the next releases in quarterly steps, see also >>> the Acadia press release and roadmap here >>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. >>> >>> >>> If you want to hear from Acadia about latest ORE >>> developments, then feel free to sign up here >>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> >>> to receive updates by email. >>> >>> Please explore ORE – download the release executable, or >>> clone the repositories and build. >>> >>> As usual, all feedback is welcome! >>> >>> Best regards, >>> >>> Roland >>> >>> >>> /The information contained in this e-mail, and any >>> attachment, is confidential and is intended solely for >>> the use of the intended recipient. Access, copying or >>> re-use of the e-mail or any attachment, or any >>> information contained therein, by any other person is >>> not authorized. If you are not the intended recipient >>> please return the e-mail to the sender and delete it >>> from your computer. 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Access, copying or re-use of >>> the e-mail or any attachment, or any information contained >>> therein, by any other person is not authorized. If you are >>> not the intended recipient please return the e-mail to the >>> sender and delete it from your computer. The acadia.inc >>> privacy policy is available on our website. / >>> >>> >>> The information contained in this e-mail, and any attachment, is >>> confidential and is intended solely for the use of the intended >>> recipient. Access, copying or re-use of the e-mail or any >>> attachment, or any information contained therein, by any other >>> person is not authorized. If you are not the intended recipient >>> please return the e-mail to the sender and delete it from your >>> computer. The acadia.inc privacy policy is available on our >>> website. >> >> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |