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Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves
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From: Luigi B. <lui...@gm...> - 2012-07-16 15:46:30
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We do need an example of this, though. Nando, do you have a dataset we can use? I'll try and find a volunteer for the example... Luigi On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <na...@am...> wrote: > 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 >> qua...@li... >> >> To subscribe or unsubscribe via the World Wide Web, visit >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> or, 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 >> than "Re: Contents of QuantLib-dev digest..." >> >> >> 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/ >>> _______________________________________________ >>> QuantLib-dev mailing list >>> Qua...@li... >>> 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/ >> >> ------------------------------ >> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> >> >> 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/ >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > > ------------------------------------------------------------------------------ > 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 |
