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Re: [Quantlib-dev] QuantLib-dev Digest, Vol 126, Issue 1 - setCouponPricer(s) (Peter Caspers)
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From: Theo B. <tb...@ao...> - 2016-12-17 09:33:21
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Hi Peter, Just curious what sort of Interest Rates trade or instrument has a leg with a mixture of Libor coupons, floored Libor coupons, CMS coupons from your last post? Regards Theo -----Original Message----- From: quantlib-dev-request <qua...@li...> To: quantlib-dev <qua...@li...> Sent: Fri, 16 Dec 2016 23:55 Subject: QuantLib-dev Digest, Vol 126, Issue 1 Send QuantLib-dev mailing list submissions to qua...@li... To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-dev or, via email, send a message with subject or body 'help' to qua...@li... You can reach the person managing the list at qua...@li... When replying, please edit your Subject line so it is more specific than "Re: Contents of QuantLib-dev digest..." Today's Topics: 1. setCouponPricer(s) (Peter Caspers) 2. Re: setCouponPricer(s) (Luigi Ballabio) 3. Re: setCouponPricer(s) (Peter Caspers) 4. Re: setCouponPricer(s) (Luigi Ballabio) ---------------------------------------------------------------------- Message: 1 Date: Tue, 13 Dec 2016 12:53:32 +0100 From: Peter Caspers <pca...@gm...> Subject: [Quantlib-dev] setCouponPricer(s) To: qua...@li... Message-ID: <6F8...@gm...> Content-Type: text/plain; charset=utf-8 Hi, say I have a Leg with Libor coupons, floored Libor coupons, CMS coupons, etc. all mixed. I also have a IborCouponPricer and a CmsCouponPricer and want to attach these to the ?matching" coupons. How can I do that in one (not too long) line of code? It seems setCouponPricer() and setCouponPricers() do not suit really, but I might be missing the obvious... Kind Regards Peter ------------------------------ Message: 2 Date: Tue, 13 Dec 2016 15:52:13 +0000 From: Luigi Ballabio <lui...@gm...> Subject: Re: [Quantlib-dev] setCouponPricer(s) To: Peter Caspers <pca...@gm...>, qua...@li... Message-ID: <CAJ...@ma...> Content-Type: text/plain; charset="utf-8" Hi, I don't think there's a function that does that. If you want to get fancy, you can write a visitor similar to PricerSetter but storing both pricers and setting the appropriate one; otherwise, you can loop over the coupons and find out their type yourself. Luigi On Tue, Dec 13, 2016 at 12:56 PM Peter Caspers <pca...@gm...> wrote: > Hi, > > say I have a Leg with Libor coupons, floored Libor coupons, CMS coupons, > etc. all mixed. I also have a IborCouponPricer and a CmsCouponPricer and > want to attach these to the ?matching" coupons. > > How can I do that in one (not too long) line of code? It seems > setCouponPricer() and setCouponPricers() do not suit really, but I might be > missing the obvious... > > Kind Regards > Peter > > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, SlashDot.org! http://sdm.link/slashdot > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -------------- next part -------------- An HTML attachment was scrubbed... ------------------------------ Message: 3 Date: Tue, 13 Dec 2016 17:53:02 +0100 From: Peter Caspers <pca...@gm...> Subject: Re: [Quantlib-dev] setCouponPricer(s) To: Luigi Ballabio <lui...@gm...> Cc: qua...@li... Message-ID: <8F3...@gm...> Content-Type: text/plain; charset="utf-8" Hi Luigi, yes, I do loop over the coupons right now. This is cumbersome, lots of dynamic casting and for cap-floored coupons you have to look at the underlying to find the type. Instead of your fancy solution I thought I could reuse the existing PricerSetter und write a simple overload of the setCouponPricers method that just tries to set the pricers one after another and catches exceptions thrown from the PricerSetter in case of mismatches. But this overload would have to sit within the couponpricer file since the setter is in an empty namespace in that file. Would that be too dirty for a PR? Is the use case maybe exotic after all? Kind Regards Peter > On 13 Dec 2016, at 16:52, Luigi Ballabio <lui...@gm...> wrote: > > Hi, > I don't think there's a function that does that. If you want to get fancy, you can write a visitor similar to PricerSetter but storing both pricers and setting the appropriate one; otherwise, you can loop over the coupons and find out their type yourself. > > Luigi > > > On Tue, Dec 13, 2016 at 12:56 PM Peter Caspers <pca...@gm... <mailto:pca...@gm...>> wrote: > Hi, > > say I have a Leg with Libor coupons, floored Libor coupons, CMS coupons, etc. all mixed. I also have a IborCouponPricer and a CmsCouponPricer and want to attach these to the ?matching" coupons. > > How can I do that in one (not too long) line of code? It seems setCouponPricer() and setCouponPricers() do not suit really, but I might be missing the obvious... > > Kind Regards > Peter > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, SlashDot.org! http://sdm.link/slashdot <http://sdm.link/slashdot> > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... <mailto:Qua...@li...> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://lists.sourceforge.net/lists/listinfo/quantlib-dev> -------------- next part -------------- An HTML attachment was scrubbed... ------------------------------ Message: 4 Date: Thu, 15 Dec 2016 10:38:27 +0000 From: Luigi Ballabio <lui...@gm...> Subject: Re: [Quantlib-dev] setCouponPricer(s) To: Peter Caspers <pca...@gm...> Cc: qua...@li... Message-ID: <CAJ...@ma...> Content-Type: text/plain; charset="utf-8" It's ok for me. Luigi On Tue, Dec 13, 2016 at 5:53 PM Peter Caspers <pca...@gm...> wrote: > Hi Luigi, > > yes, I do loop over the coupons right now. This is cumbersome, lots of > dynamic casting and for cap-floored coupons you have to look at the > underlying to find the type. > > Instead of your fancy solution I thought I could reuse the existing > PricerSetter und write a simple overload of the setCouponPricers method > that just tries to set the pricers one after another and catches exceptions > thrown from the PricerSetter in case of mismatches. But this overload would > have to sit within the couponpricer file since the setter is in an empty > namespace in that file. > > Would that be too dirty for a PR? Is the use case maybe exotic after all? > > Kind Regards > Peter > > > On 13 Dec 2016, at 16:52, Luigi Ballabio <lui...@gm...> wrote: > > Hi, > I don't think there's a function that does that. If you want to get > fancy, you can write a visitor similar to PricerSetter but storing both > pricers and setting the appropriate one; otherwise, you can loop over the > coupons and find out their type yourself. > > Luigi > > > On Tue, Dec 13, 2016 at 12:56 PM Peter Caspers <pca...@gm...> > wrote: > > Hi, > > say I have a Leg with Libor coupons, floored Libor coupons, CMS coupons, > etc. all mixed. I also have a IborCouponPricer and a CmsCouponPricer and > want to attach these to the ?matching" coupons. > > How can I do that in one (not too long) line of code? It seems > setCouponPricer() and setCouponPricers() do not suit really, but I might be > missing the obvious... > > Kind Regards > Peter > > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, SlashDot.org <http://slashdot.org>! > http://sdm.link/slashdot > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > -------------- next part -------------- An HTML attachment was scrubbed... ------------------------------ ------------------------------------------------------------------------------ Check out the vibrant tech community on one of the world's most engaging tech sites, SlashDot.org! http://sdm.link/slashdot ------------------------------ _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev End of QuantLib-dev Digest, Vol 126, Issue 1 ******************************************** |
