Re: [Quantlib-dev] Rewrite DiscreteHedging.java

[Felix L. <ee...@ya...>]

Hi Luigi,

OK let me attach the code first and then send you the pull request later.

I've also modified the following SWIG interface files to support my java code:

1. quantlib.i: add (directors="1") to enable the directors feature
2. randomnumbers.i: add PseudoRandomMT class
3. montecarlo.i: add PathGeneratorPseudoRandom, PathPricerPath and MonteCarloModelSingleVariatePseudoRandom classes

BTW, I added "%include <boost_shared_ptr.i>" into montecarlo.i, but then a warning pop out when generating swig wrapper because the name "shared_ptr" crashes with the one defined in "common.i". Anyway it won't affect the compilation.


Felix





________________________________
 From: Luigi Ballabio <lui...@gm...>
To: Felix Lee <ee...@ya...> 
Cc: "Qua...@li..." <Qua...@li...> 
Sent: Wednesday, March 12, 2014 6:27 PM
Subject: Re: [Quantlib-dev] Rewrite DiscreteHedging.java
 

Hi Felix,
    posting the code here would work, but if you're familiar with
GitHub it's more convenient to send me a pull request.

Later,
    Luigi



On Tue, Mar 11, 2014 at 5:32 PM, Felix Lee <ee...@ya...> wrote:
> Hi all,
>
> I'm new to QuantLib and I'm interested to use it for some trading platform
> development in java.
>
> To get familiar with it, I decided to rewrite the example
> DiscreteHedging.java
>
> I used different approach to rewrite this example, by using SWIG director
> feature to achieve the PathPricer call back function, and use SWIG
> "boost_shared_ptr.i" to wrap the boost::shared_ptr<> object in
> MonteCarloModel class.
>
> After a few days of trial and error, finally I manage to get my code compile
> and run correctly. And my code could run a bit faster than the current code
> in QuantLib-SWIG-1.4/Java/examples/DiscreteHedging.java. In my old laptop,
> it took 44sec to complete in the current code, but 28sec in my code.
>
> I'd like to post my code for sharing, and see if any interest to use it in
> the next release version of QuantLib-SWIG.
>
> BTW how could I share my code, is it simply attaching the code by email?
>
> Thanks, QuantLib is a great project.
>
>
> Felix
>
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