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Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves
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From: <tb...@ao...> - 2012-07-10 11:34:16
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Hi Ferdinando, I have a question on the paper Bootstrapping the Illiquidity. Please where in Quantlib is the code for boostrapping multiple interest rate yield curves implemented? Is there an example in Quantlib? Regards Theo -----Original Message----- From: quantlib-dev-request <qua...@li...> To: quantlib-dev <qua...@li...> Sent: Tue, 10 Jul 2012 9:56 Subject: QuantLib-dev Digest, Vol 74, Issue 2 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. Re: Use QuantLib Swig Python Extension with VS2010 (Ferdinando Ametrano) 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte) 3. Re: Use QuantLib Swig Python Extension with VS2010 (Luigi Ballabio) 4. Re: Use QuantLib Swig Python Extension with VS2010 (Ferdinando Ametrano) 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers) 6. swapindex clone (Peter Caspers) 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers) 8. [ quantlib-Patches-3541625 ] Math macros redefinition warnings on VC++ (SourceForge.net) 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem functions to version 3 (SourceForge.net) --------------------------------------------------------------------- Message: 1 ate: Thu, 5 Jul 2012 16:40:00 +0200 rom: Ferdinando Ametrano <na...@am...> ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010 o: Luigi Ballabio <lui...@gm...> c: Michael <mdr...@we...>, qua...@li... essage-ID: <CAE...@ma...> ontent-Type: text/plain; charset=ISO-8859-1 > I agree with VC2008 being the preferred compiler for the Python module, but what do you mean with "QL is not friendly with VC2010"? Is the 2010 project actively maintained? ------------------------------ Message: 2 ate: Thu, 5 Jul 2012 16:22:59 +0200 rom: Didrik Pinte <dp...@en...> ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010 o: Ferdinando Ametrano <na...@am...> c: Michael <mdr...@we...>, qua...@li... essage-ID: <CAD...@ma...> ontent-Type: text/plain; charset=UTF-8 On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote: Hi Micheal in order to achieve your goal you should compile Python with VC2010, or Pyhton and QL bindings would never link. Anyway that is definitely not the suggested way to go, as you might discover that also QL is not friendly with VC2010. Try to go back to VC2008. I for one would probably just skip VC2010 altogheter ciao -- Nando On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote: > Dear all, > > I'm trying to compile the python swig extension. Unfortunately this is not > working. My current setup looks like this. > > - QuantLib Version 1.1 > - Python Version 2.7.2 > - Visual Studio 2010 SP1 > > When I try to compile the python swig extensions I get the following error: > > running build > running build_py > running build_ext > building 'QuantLib._QuantLib' extension > error: Unable to find vcvarsall.ba This is an issue with distutils that is not aware of VC2010. By weaking your environment variables, you can bypass that. You might have issues related to the manifest in you files. I have olved that issue with Cython and some wrappers built under VS2010 ately. I don't know how SWIG behaves though. -- Didrik ------------------------------ Message: 3 ate: Thu, 5 Jul 2012 17:37:41 +0200 rom: Luigi Ballabio <lui...@gm...> ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010 o: Ferdinando Ametrano <na...@am...> c: Michael <mdr...@we...>, qua...@li... essage-ID: <CAJ...@ma...> ontent-Type: text/plain; charset=ISO-8859-1 Sure it is. At the very least, the one released in 1.2 works. Luigi On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> wrote: Is the 2010 project actively maintained? ------------------------------ Message: 4 ate: Thu, 5 Jul 2012 17:48:44 +0200 rom: Ferdinando Ametrano <na...@am...> ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010 o: Luigi Ballabio <lui...@gm...> c: Michael <mdr...@we...>, qua...@li... essage-ID: <CAE...@ma...> ontent-Type: text/plain; charset=ISO-8859-1 ok... so shame on me as the problem is just for QLXL which is not upported in 2010... :-( On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...> wrote: Sure it is. At the very least, the one released in 1.2 works. Luigi On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> rote: > Is the 2010 project actively maintained? ------------------------------ Message: 5 ate: Thu, 05 Jul 2012 22:21:40 +0200 rom: Eric Ehlers <eri...@na...> ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010 o: Ferdinando Ametrano <na...@am...> c: Michael <mdr...@we...>, qua...@li..., Luigi Ballabio <lui...@gm...> essage-ID: <201...@mi...> ontent-Type: text/plain; charset=ISO-8859-1; DelSp="Yes"; format="flowed" Quoting Ferdinando Ametrano <na...@am...>: > ok... so shame on me as the problem is just for QLXL which is not supported in 2010... :-( i can try to rectify that when i package up the final release. =================================================== ric Ehlers azcatech sprl | Brussels | http://www.nazcatech.be Distributed computing for pricing analytics Use Microsoft Excel as a client to the Grid ----------------------------- Message: 6 ate: Fri, 06 Jul 2012 20:24:32 +0200 rom: Peter Caspers <pca...@vo...> ubject: [Quantlib-dev] swapindex clone o: qua...@li... essage-ID: <4FF...@vo...> ontent-Type: text/plain; charset=ISO-8859-15; format=flowed Hi, can we add the following to swapindex ? Peter //! returns a copy of itself linked to a different forwarding curve and iscount curve virtual boost::shared_ptr<SwapIndex> clone( const Handle<YieldTermStructure>& forwarding, const Handle<YieldTermStructure>& discount) const; shared_ptr<SwapIndex> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding, const Handle<YieldTermStructure>& discount) const { return shared_ptr<SwapIndex>(new SwapIndex(familyName(), tenor(), fixingDays(), currency(), fixingCalendar(), fixedLegTenor(), fixedLegConvention(), dayCounter(), iborIndex_->clone(forwarding), discount)); } ------------------------------ Message: 7 ate: Fri, 06 Jul 2012 21:57:40 +0200 rom: Eric Ehlers <eri...@na...> ubject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease Files o: QuantLib developers <qua...@li...> essage-ID: <201...@mi...> ontent-Type: text/plain; charset=ISO-8859-1; DelSp="Yes"; format="flowed" Hi All, Many thanks to those who have gotten back to me so far with feedback. I will be offline for the next few days, I will try to resolve any pen issues before the final release, which I hope to ship on 30 July. Kind Regards, ric Quoting Eric Ehlers <eri...@na...>: > Hi All, The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin, and ObjectHandler are available at this link: http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/ I'd be grateful to anyone who could spare some time to test the files and let me know how it goes. Kind Regards, Eric =================================================== Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be * Distributed computing for pricing analytics * Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev ----------------------------- Message: 8 ate: Mon, 09 Jul 2012 08:27:10 -0700 rom: SourceForge.net <no...@so...> ubject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros redefinition warnings on VC++ o: SourceForge.net <no...@so...> essage-ID: <mai...@li...> ontent-Type: text/plain; charset=UTF-8 Patches item #3541625, was opened at 2012-07-09 08:27 essage generated for change (Tracker Item Submitted) made by piterdias ou can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&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: Piter Dias (piterdias) ssigned to: Nobody/Anonymous (nobody) ummary: Math macros redefinition warnings on VC++ Initial Comment: acro redefinition warnings on VC++ due to math.h and qldefines.h math onstants. roposed solution is control QL macro creation based on _USE_MATH_DEFINES efinition. ---------------------------------------------------------------------- You can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740 ------------------------------ Message: 9 ate: Mon, 09 Jul 2012 08:31:37 -0700 rom: SourceForge.net <no...@so...> ubject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade boost::filesystem functions to version 3 o: SourceForge.net <no...@so...> essage-ID: <mai...@li...> ontent-Type: text/plain; charset=UTF-8 Patches item #3541627, was opened at 2012-07-09 08:31 essage generated for change (Tracker Item Submitted) made by piterdias ou can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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: Piter Dias (piterdias) ssigned to: Nobody/Anonymous (nobody) ummary: Upgrade boost::filesystem functions to version 3 Initial Comment: ewest Boost (1.50.0) does not support version 2 as explained at ttp://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm. ---------------------------------------------------------------------- You can respond by visiting: ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740 ------------------------------ ------------------------------------------------------------------------------ ive Security Virtual Conference xclusive live event will cover all the ways today's security and hreat landscape has changed and how IT managers can respond. Discussions ill include endpoint security, mobile security and the latest in malware hreats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ ------------------------------ _______________________________________________ uantLib-dev mailing list uan...@li... ttps://lists.sourceforge.net/lists/listinfo/quantlib-dev nd of QuantLib-dev Digest, Vol 74, Issue 2 ****************************************** |
