Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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check
a) iterative boostrap
b) SwapRateHelper which can be used with a discount curve different
from the forwarding one being boostrapped

On Tue, Jul 10, 2012 at 1:34 PM,  <tb...@ao...> wrote:
> 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
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> Today'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
> Date: Thu, 5 Jul 2012 16:40:00 +0200
> From: Ferdinando Ametrano <na...@am...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Luigi Ballabio <lui...@gm...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAE...@ma...>
> Content-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
> Date: Thu, 5 Jul 2012 16:22:59 +0200
> From: Didrik Pinte <dp...@en...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAD...@ma...>
> Content-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
> tweaking your environment variables, you can bypass that.
>
> You might have issues related to the manifest in you files. I have
> solved that issue with Cython and some wrappers built under VS2010
> lately. I don't know how SWIG behaves though.
>
> -- Didrik
>
>
>
> ------------------------------
>
> Message: 3
> Date: Thu, 5 Jul 2012 17:37:41 +0200
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAJ...@ma...>
> Content-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
> Date: Thu, 5 Jul 2012 17:48:44 +0200
> From: Ferdinando Ametrano <na...@am...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Luigi Ballabio <lui...@gm...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAE...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> ok... so shame on me as the problem is just for QLXL which is not
> supported 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...>
> wrote:
>>> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 5
> Date: Thu, 05 Jul 2012 22:21:40 +0200
> From: Eric Ehlers <eri...@na...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...,
> 	Luigi Ballabio <lui...@gm...>
> Message-ID: <201...@mi...>
> Content-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.
>
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid
>
>
>
>
> ------------------------------
>
> Message: 6
> Date: Fri, 06 Jul 2012 20:24:32 +0200
> From: Peter Caspers <pca...@vo...>
> Subject: [Quantlib-dev] swapindex clone
> To: qua...@li...
> Message-ID: <4FF...@vo...>
> Content-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
> discount 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
> Date: Fri, 06 Jul 2012 21:57:40 +0200
> From: Eric Ehlers <eri...@na...>
> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
> 	Files
> To: QuantLib developers <qua...@li...>
> Message-ID: <201...@mi...>
> Content-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
> open issues before the final release, which I hope to ship on 30 July.
>
> Kind Regards,
> Eric
>
> 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/
>> _______________________________________________
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>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> ------------------------------
>
> Message: 8
> Date: Mon, 09 Jul 2012 08:27:10 -0700
> From: SourceForge.net <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
> 	redefinition warnings on VC++
> To: SourceForge.net <no...@so...>
> Message-ID:
> 	<mai...@li...>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541625, was opened at 2012-07-09 08:27
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://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,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Private: No
> Submitted By: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Math macros redefinition warnings on VC++
>
> Initial Comment:
> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
> constants.
> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
> definition.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>
>
>
> ------------------------------
>
> Message: 9
> Date: Mon, 09 Jul 2012 08:31:37 -0700
> From: SourceForge.net <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
> 	boost::filesystem functions to version 3
> To: SourceForge.net <no...@so...>
> Message-ID:
> 	<mai...@li...>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541627, was opened at 2012-07-09 08:31
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://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,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Private: No
> Submitted By: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Upgrade boost::filesystem functions to version 3
>
> Initial Comment:
> Newest Boost (1.50.0) does not support version 2 as explained at
> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>
>
>
> ------------------------------
>
> ------------------------------------------------------------------------------
> 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/
>
> ------------------------------
>
> _______________________________________________
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>
> End of QuantLib-dev Digest, Vol 74, Issue 2
> *******************************************
>
>
> ------------------------------------------------------------------------------
> 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/
> _______________________________________________
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>