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Re: [Quantlib-users] [Quantlib-dev] ORE 7
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From: Ioannis R. <qua...@de...> - 2022-10-07 17:28:51
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Hi Roland, I have managed to compile and build ORE using the forked QuantLib version as suggested, but now I am stumbling on deep-rooted run time errors. It seems to me that the forked version of QuantLib deviates from the original in quite deep and subtle ways to the point that the rest of my code that used to work well with both ORE and QuantLib, now behaves in unexpected ways. One example is the very important QuantLib class FloatingRateCoupon , of which the original declaration class FloatingRateCoupon : public Coupon, public Observer has been changed to class FloatingRateCoupon : public Coupon, public LazyObject Another example that affected my run time behavior of OIS curve building concerns the implementation of OISRateHelper::impliedQuote(). The original QuantLib implementation contains the statement swap_->recalculate(); The forked version has replaced the above with swap_->deepUpdate(); It thus seems that the ORE version 7 marks a significant break from its previous versions as it requires a profoundly different underlying QuantLib code. I am sure that the ORE developers had good reasons for doing so, but the sad fact is that developers like me have to decide between using the original lballabio QuantLib branch or the one forked and maintained by ORE. Until ORE version 6, such a dilemma did not exist! Best regards, Ioannis On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: > > Thanks for the quick turnaround. I have already extracted the code > using git, but it is nice to have this download option as well. > > On 10/4/2022 12:46 PM, Roland Lichters wrote: >> >> 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...>, QuantLib users >> <qua...@li...>, QuantLib Mailing Lists >> <qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION:External email warning. This email originated from outside >> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc >> policy to confirm sender identity before responding, forwarding, and >> especially clicking links or opening attachments. >> >> 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...> >> <mailto:rol...@ac...>, QuantLib users >> <qua...@li...> >> <mailto:qua...@li...>, QuantLib Mailing >> Lists <qua...@li...> >> <mailto:qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION:External email warning. This email originated from >> outside acadia.inc. Beware of phishing attempts. Comply with all >> acadia.inc policy to confirm sender identity before responding, >> forwarding, and especially clicking links or opening attachments. >> >> 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 >> >> >> /The information contained in this e-mail, and any >> attachment, is confidential and is intended solely for the >> use of the intended recipient. 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Access, copying or re-use of the e-mail or any >> attachment, or any information contained therein, by any other >> person is not authorized. If you are not the intended recipient >> please return the e-mail to the sender and delete it from your >> computer. The acadia.inc privacy policy is available on our >> website. / >> >> >> The information contained in this e-mail, and any attachment, is >> confidential and is intended solely for the use of the intended >> recipient. Access, copying or re-use of the e-mail or any attachment, >> or any information contained therein, by any other person is not >> authorized. If you are not the intended recipient please return the >> e-mail to the sender and delete it from your computer. The acadia.inc >> privacy policy is available on our website. > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
