[Quantlib-dev] 答复: 答复: Adjoint Greeks

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Oops... my fault...

Thank you peter, I'll try again with adjoint branch.

Regards,
Cheng

-----邮件原件-----
发件人: Peter Caspers [mailto:pca...@gm...] 
发送时间: 2015年1月11日 17:34
收件人: Cheng Li
抄送: QuantLib Mailing Lists
主题: Re: 答复: [Quantlib-dev] Adjoint Greeks

Hi Cheng,

you are welcome and many thanks for your interest. However you seem to work on my master branch which I consider as my private workspace (with some unfinished things in it). Sorry, I wasn't expecting guests here :-)

You probably want to try out the adjoint branch instead. This should compile.

Thanks
Peter

On 11 January 2015 at 10:16, Cheng Li <scr...@gm...> wrote:
> Hi Peter,
>
> Thank you for your kindly offer these new stuff for all of us!
>
> I have cloned your branch and tried to build it on my machine. When it 
> was building the example/InterestRateSmile, the compiler complained as
> following:
>
> InterestRateSmiles.cpp: In function ‘void zabrExamples()’:
> InterestRateSmiles.cpp:64:39: error: type/value mismatch at argument 1 
> in template parameter list for ‘template<class T> class boost::shared_ptr’
>      boost::shared_ptr<ZabrSmileSection> zabrln =
>                                        ^
> InterestRateSmiles.cpp:64:39: error:   expected a type, got
> ‘ZabrSmileSection’
> InterestRateSmiles.cpp:64:48: error: invalid type in declaration 
> before ‘=’ token
>      boost::shared_ptr<ZabrSmileSection> zabrln =
>                                                 ^
> InterestRateSmiles.cpp:67:13: error: ‘template<class Evaluation> class 
> QuantLib::ZabrSmileSection’ used without template parameters
>              ZabrSmileSection::ShortMaturityLognormal);
>
> I am not sure what is the problem... Is it due to missing template 
> argument for ZabrSmileSection?
> My compiler is g++ 4.8.2 and with parameter "-std=c++11 -O3"
>
> BTW, I found that quadraticlfm.hpp and quadraticlfm.cpp are missing 
> from the branch. However when I adjust the makefile.am to exclude them 
> out the compiling process works fine.
>
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Peter Caspers [mailto:pca...@gm...]
> 发送时间: 2015年1月9日 3:57
> 收件人: Luigi Ballabio
> 抄送: QuantLib Mailing Lists; Ferdinando M. Ametrano
> 主题: Re: [Quantlib-dev] Adjoint Greeks
>
> I thought in a realistic application you would always need both 
> worlds, CppAD<double> for adjoint greek engines and double for all the 
> rest. I wonder what it would mean in terms of performance and memory 
> if you replace double by CppAD<double> in general. I can maybe just 
> stress test this a bit though.
> Peter
>
>
>
> On 7 January 2015 at 10:23, Luigi Ballabio <lui...@gm...> wrote:
>> Switching Real would force you to fix compilation problems all over 
>> the library, instead of just in the code you're converting.
>>
>> If you wanted to go the route of #defining the type, I guess you 
>> could introduce another type (ADReal or something) and switch the 
>> coverted code to use it.
>> Which might or might not be a good idea; you wouldn't be forced to 
>> templatize the code, but you would have to choose AD or not at 
>> compilation time, instead that having the choice to use both for 
>> different
> tasks. Hmm...
>>
>> Anyway: yes, very promising. Between Peter, Klaus and Joseph, we got 
>> a lot of presents this Christmas :)
>>
>> Luigi
>>
>>
>>
>> On Wed, Jan 7, 2015 at 9:41 AM, Ferdinando M. Ametrano 
>> <fer...@am...> wrote:
>>>
>>> Thank you Peter, it sounds exciting and promising.
>>> Why haven't you considered to just change the Real typedef from 
>>> double to CppAD::AD<double>?
>>>
>>> On Sun, Jan 4, 2015 at 9:55 PM, Peter Caspers 
>>> <pca...@gm...>
>>> wrote:
>>>>
>>>> Hello all,
>>>>
>>>> happy new year.
>>>>
>>>> I revisited Ferdinando's comments on adjoint greeks during our 
>>>> December workshop and started to play around with that idea.
>>>>
>>>> The approach I am trying to follow is to adapt the ql library code 
>>>> so that automatic differentiation _tools_ can be used with it in a 
>>>> transparent way. This is opposed to writing special adjoint engines 
>>>> by _hand_ like e.g. advocated in Capriotti, Giles, Algorithmic
>>>> Differentiation: Adjoint Greeks Made Easy. The relatively small and 
>>>> homogeneous code basis of ql seems to allow for this kind of more 
>>>> fundamental approach.
>>>>
>>>> I wrote a bit about my first steps in my blog
>>>>
>>>> http://quantlib.wordpress.com/
>>>>
>>>> and forked a new branch from Luigi's current master on github
>>>>
>>>> https://github.com/pcaspers/quantlib/tree/adjoint
>>>>
>>>> where I started to template'ize the library in order to allow for 
>>>> AD tools to hook in. There are already first working examples (see 
>>>> the
>>>> blog) and I am starting to feel confident that the approach might 
>>>> work as a whole, might be doable in a reasonable amount of time and 
>>>> is worthwhile following.
>>>>
>>>> About the feasibility: The library seems to consist of roughly 376k 
>>>> lines of code currently (all hpp and cpp files under ql / ). From 
>>>> that we can subtract "data" files
>>>>
>>>> 78862 ./math/randomnumbers/sobolrsg.cpp
>>>> 21376 ./math/randomnumbers/primitivepolynomials.cpp
>>>> 14495 ./math/randomnumbers/latticerules.cpp
>>>> 10115 ./experimental/volatility/noarbsabrabsprobs.cpp
>>>>
>>>> which leaves us with 251k lines. It seems that I have already 
>>>> reviewed and adapted around 14k lines, which is 5% and which took 
>>>> me approximately 60 hours. This gives an estimation of 130 person 
>>>> days still left to do. For the whole (!) library where already 
>>>> parts will make much sense and give interesting applications. E.g. 
>>>> excluding experimental classes (90k) and the market model (25k) 
>>>> reduces the estimate already to 65 person days to go.
>>>>
>>>> I would be interested in your opinions on that, in particular 
>>>> regarding the design choices to make (better now than later :-) ).
>>>>
>>>> I'd also be grateful for people supporting the development by 
>>>> forking the adjoint branch and sending pull requests with adapted 
>>>> code
> pieces.
>>>> My personal next steps would be
>>>> - rate deltas for Legs / Swap instruments
>>>> - rate vegas for vanilla interest rate options
>>>> - Hull White model
>>>>
>>>> What do you think ?
>>>>
>>>> Thank you
>>>> Peter
>>>>
>>>>
>>>> -------------------------------------------------------------------
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>>>
>>>
>>>
>>>
>>> --------------------------------------------------------------------
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>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>
> ----------------------------------------------------------------------
> ------
> --
> Dive into the World of Parallel Programming! The Go Parallel Website, 
> sponsored by Intel and developed in partnership with Slashdot Media, 
> is your hub for all things parallel software development, from weekly 
> thought leadership blogs to news, videos, case studies, tutorials and 
> more. Take a look and join the conversation now. 
> http://goparallel.sourceforge.net 
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