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Re: [Quantlib-dev] 答复: 答复: 答复: 答复: 答复: Adjoint Greeks
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From: Peter C. <pca...@gm...> - 2015-02-06 21:51:28
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Hi Cheng, great, thank you very much. Looks fine to me, I merged your changes into my branch. Send more whenever you feel like it. best regards Peter On 6 February 2015 at 10:12, cheng li <scr...@gm...> wrote: > Hi Peter, > > I finished the fixed rate bond part and a pull request has been raised. > > Any comment is welcome, Peter:) > > Regards, > Cheng > > -----邮件原件----- > 发件人: Peter Caspers [mailto:pca...@gm...] > 发送时间: 2015年2月2日 20:52 > 收件人: cheng li > 抄送: Luigi Ballabio; QuantLib developers > 主题: Re: 答复: 答复: 答复: [Quantlib-dev] 答复: Adjoint Greeks > > Hi Cheng, > > great, I am looking forward to receive your contributions ! > > Kind regards > Peter > > On 2 February 2015 at 02:35, cheng li <scr...@gm...> wrote: >> Hi Peter, >> >> Thank you for the gifts for all of us. I have tried your example. It looks very promising! >> >> Now I am following your steps and trying to make my first example. My fist goal is to make FixedRateBond AD available (I am most familiar with bonds part:)). >> >> When I finished I'll raise a pull request for that change to your trunk. >> >> Regards, >> Cheng >> >> -----邮件原件----- >> 发件人: Peter Caspers [mailto:pca...@gm...] >> 发送时间: 2015年1月26日 3:06 >> 收件人: cheng li >> 抄送: Luigi Ballabio; QuantLib developers >> 主题: Re: 答复: 答复: [Quantlib-dev] 答复: Adjoint Greeks >> >> 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. 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