Menu
▾
▴
Re: [Quantlib-users] [Quantlib-dev] ORE 7
|
From: Peter C. <pca...@gm...> - 2022-10-08 07:49:47
|
Hi Ioannis we try to keep the diff between the original QL and our fork as small as possible. These particular differences refer to https://github.com/lballabio/QuantLib/pull/1222 which was needed to resolve major performance problems on our side. The discussion went a bit stale admittedly. I'll try to reignite it and flesh out the suggestions in the thread a bit more. Thank you Peter On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos <qua...@de...> wrote: > 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...> > <qua...@de...> > *Date: *Tuesday, 4 October 2022 at 09:40 > *To: *Roland Lichters <rol...@ac...> > <rol...@ac...>, QuantLib users > <qua...@li...> > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> <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...> > <qua...@de...> > *Date: *Monday, 3 October 2022 at 17:47 > *To: *Roland Lichters <rol...@ac...> > <rol...@ac...>, QuantLib users > <qua...@li...> > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> <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. > 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 <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0> > > > > [image: width=] > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> > > Virenfrei.www.avast.com > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> > > > > > *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. * > > > 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 lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-dev > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
