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Re: [Quantlib-dev] 答复: 答复: 答复: Adjoint Greeks
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From: Peter C. <pca...@gm...> - 2015-01-25 19:05:58
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Hello, this weekend I have reached a level of conversion that allows to tackle Vanilla Swaps. This is maybe the first "full-blown" example, so if you are interested you can find some results in my blog http://quantlib.wordpress.com Comments are welcome. Thanks and best regards Peter On 14 January 2015 at 10:54, Peter Caspers <pca...@gm...> wrote: > unlikely (the optimization level) > Peter > > > On 14 January 2015 at 02:49, cheng li <scr...@gm...> wrote: >> Hi Peter, >> >> I'll definitely have a try. Thank you :) >> >> Actually yesterday I tried on another machine with g++ 4.8.2 and O2 setting, then everything works fine. I think my previous problem may be due to O3. >> >> Regards, >> Cheng >> >> -----邮件原件----- >> 发件人: Peter Caspers [mailto:pca...@gm...] >> 发送时间: 2015年1月13日 21:18 >> 收件人: cheng li >> 抄送: Luigi Ballabio; QuantLib developers >> 主题: Re: 答复: [Quantlib-dev] 答复: Adjoint Greeks >> >> 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 >> |
