Re: [Quantlib-dev] ORE 7

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Hi Roland, Peter,

I am personally very keen on the continuous success of both QuantLib and 
ORE as I am using both in my Deriscope application, which is currently 
deployed successfully to a few bank clients, including trading desks.

I have opted to link to both QuantLib and ORE because of their distinct 
competencies.

Through the interaction with my clients, I often feel the need to edit 
certain code segments. In the past I tried to add my edits to the 
QuantLib and ORE main branches, but I have now refrained from this 
practice due to a) QuantLib team's "less-than-enthusiastic" response on 
issues I was raising and b) ORE's recent "disappearance".

I felt very glad with ORE's comeback with release 7, its new Acadia 
venture and its commitment to regular quarterly releases to the point 
that I thought of transferring all my own code edits to the ORE main branch.

But I see now that the ORE release 7 marks a kind of "divorce" from 
QuantLib, which is not good news for developers like me.

To put it simply, I am now forced to choose one or the other:

If I choose ORE, I will be distancing myself from the original QuantLib 
branch, which would be dangerous if tomorrow ORE stops being developed 
and also prohibit me from using recent additions to QuantLib that are 
not yet incorporated in the ORE releases.

If I choose QuantLib, I will not be able to use ORE, which admittedly 
has very important stuff!

A bit of an unfortunate deadlock really, which was not there until 
release 6.

Ioannis

On 10/8/2022 9:49 AM, Peter Caspers wrote:
> 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...>
>>>     <mailto:qua...@de...>
>>>     *Date: *Tuesday, 4 October 2022 at 09:40
>>>     *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.
>>>
>>>     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
>>>
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>>>
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>>
>>
>>     _______________________________________________
>>     QuantLib-dev mailing list
>>     Qua...@li...
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>     _______________________________________________
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