Menu
▾
▴
Re: [Quantlib-dev] 答复: 答复: Adjoint Greeks
|
From: Peter C. <pca...@gm...> - 2015-01-13 13:17:58
|
I will clean up the adjoint branch to make it c++03 compliant. Unless
QuantLib 2.0 is out before the adjoint conversion has finished :-)
On 13 January 2015 at 02:28, cheng li <scr...@gm...> wrote:
> Hi Luigi,
>
>
>
> I think I can not to avoid to use c++ 11 now.. In Peter’s branch much c++ 11
> stuff is used, e.g. constexpr…
>
>
>
> Regards,
>
> Cheng
>
>
>
> 发件人: Luigi Ballabio [mailto:lui...@gm...]
> 发送时间: 2015年1月12日 14:28
> 收件人: Cheng Li
> 抄送: QuantLib developers; Peter Caspers
> 主题: Re: [Quantlib-dev] 答复: Adjoint Greeks
>
>
>
> Don't use C++11.
>
> Luigi
>
> On Jan 12, 2015 4:53 AM, "cheng li" <scr...@gm...> wrote:
>
> Hi peter,
>
> I have switched to adjoint brank. However I am still facing some problem...
> I use g++ 4.9.2 with parameter "-std=c++11 -O3"
>
> /bin/bash ../../libtool --tag=CXX --mode=compile g++ -DHAVE_CONFIG_H -I.
> -I../../ql -I../.. -I../.. -std=c++11 -O3 -MT averagebmacoupon.lo -MD -MP
> -MF .deps/averagebmacoupon.Tpo -c -o averagebmacoupon.lo
> averagebmacoupon.cpp
> libtool: compile: g++ -DHAVE_CONFIG_H -I. -I../../ql -I../.. -I../..
> -std=c++11 -O3 -MT averagebmacoupon.lo -MD -MP -MF
> .deps/averagebmacoupon.Tpo -c averagebmacoupon.cpp -fPIC -DPIC -o
> .libs/averagebmacoupon.o In file included from
> ../../ql/patterns/observable.hpp:29:0,
> from ../../ql/event.hpp:29,
> from ../../ql/cashflow.hpp:28,
> from ../../ql/cashflows/coupon.hpp:29,
> from ../../ql/cashflows/floatingratecoupon.hpp:33,
> from ../../ql/cashflows/averagebmacoupon.hpp:28,
> from averagebmacoupon.cpp:21:
> ../../ql/patterns/observable.hpp: In member function 'void
> QuantLib::Observable::notifyObservers()':
> ../../ql/errors.hpp:121:70: error: use of deleted function
> 'QuantLib::Error::Error(const QuantLib::Error&)'
> BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
> ^
> ../../ql/patterns/observable.hpp:139:9: note: in expansion of macro
> 'QL_ENSURE'
> QL_ENSURE(successful,
> ^
> ../../ql/errors.hpp:39:11: note: 'QuantLib::Error::Error(const
> QuantLib::Error&)' is implicitly deleted because the default definition
> would be ill-formed:
> class Error : public std::exception {
> ^
> ../../ql/errors.hpp:39:11: error: use of deleted function
> 'boost::shared_ptr<std::basic_string<char> >::shared_ptr(const
> boost::shared_ptr<std::basic_string<char> >&)'
> In file included from /usr/include/boost/shared_ptr.hpp:17:0,
> from ../../ql/errors.hpp:31,
> from ../../ql/patterns/observable.hpp:29,
> from ../../ql/event.hpp:29,
> from ../../ql/cashflow.hpp:28,
> from ../../ql/cashflows/coupon.hpp:29,
> from ../../ql/cashflows/floatingratecoupon.hpp:33,
> from ../../ql/cashflows/averagebmacoupon.hpp:28,
> from averagebmacoupon.cpp:21:
> /usr/include/boost/smart_ptr/shared_ptr.hpp:168:25: note:
> 'boost::shared_ptr<std::basic_string<char> >::shared_ptr(const
> boost::shared_ptr<std::basic_string<char> >&)' is implicitly declared as
> deleted because 'boost::shared_ptr<std::basic_string<char> >' declares a
> move constructor or move assignment operator
>
> Any idea about this?
>
> 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
>>>>>
>>>>>
>>>>> -------------------------------------------------------------------
>>>>> -
>>>>> ---------- 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
>>>>> _______________________________________________
>>>>> QuantLib-dev mailing list
>>>>> Qua...@li...
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>
>>>>
>>>>
>>>>
>>>> --------------------------------------------------------------------
>>>> -
>>>> --------- 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
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>
>>>
>>>
>>>
>>> --
>>> <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
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
>
>
> ------------------------------------------------------------------------------
> New Year. New Location. New Benefits. New Data Center in Ashburn, VA.
> GigeNET is offering a free month of service with a new server in Ashburn.
> Choose from 2 high performing configs, both with 100TB of bandwidth.
> Higher redundancy.Lower latency.Increased capacity.Completely compliant.
> vanity: www.gigenet.com
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
|
