Re: [Quantlib-dev] ORE 7

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Hi Ioannis,

That’s a good point, we have added a release zip/tgz to the QuantLib repo in ORE:
https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
I hope that works!

Best regards,
Roland

From: Ioannis Rigopoulos <qua...@de...>
Date: Tuesday, 4 October 2022 at 09:40
To: Roland Lichters <rol...@ac...c>, QuantLib users <qua...@li...>, QuantLib Mailing Lists <qua...@li...>
Subject: Re: [Quantlib-dev] ORE 7
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Thanks for the quick reply Roland.

I will certainly try your suggestion, although I am using GitHub Desktop and I am not very familiar with the git dos commands.

But since several people rely on the compressed forms (zip, tar) of the ORE and QuantLib releases, I am wondering if it would be possible to also provide the required QuantLib source code in compressed form, which is anyway done for all the official ORE and QuantLib releases.

For example, you will see at the page https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> the compressed ORE code. It would be certainly helpful if the corresponding QuantLib code could be similarly found somewhere, either as stand alone or embedded in the ORE compressed file.

Ioannis
On 10/4/2022 9:03 AM, Roland Lichters wrote:
Hi Ioannis,

Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 with a few changes.
So when you build ORE from sources on gihub, then please do a
git submodule update --init
That checks out our QuantLib 1.27.1 fork, and it should remove your build errors.

Best regards,
Roland

From: Ioannis Rigopoulos <qua...@de...><mailto:qua...@de...>
Date: Monday, 3 October 2022 at 17:47
To: Roland Lichters <rol...@ac...c><mailto:rol...@ac...c>, QuantLib users <qua...@li...><mailto:qua...@li...>, QuantLib Mailing Lists <qua...@li...><mailto:qua...@li...>
Subject: Re: [Quantlib-dev] ORE 7
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Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library.

I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email.

One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp

Its top part looks as below:

CPICoupon(Real baseCPI,
              const Date& baseDate, // user provided, could be arbitrary
              const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate,

              (... more input arguments here ...)

     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,
                              observationLag,

The compile-time error is caused by the implementation line:

QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,

The above line passes the argument baseDate to the constructor of the QuantLib::CPICoupon class.

But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date.

Best regards,

Ioannis Rigopoulos

On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
Dear all,

we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.

The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services.  The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.

With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.

If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> to receive updates by email.
Please explore ORE – download the release executable, or clone the repositories and build.

As usual, all feedback is welcome!

Best regards,
Roland

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