Menu
▾
▴
Re: [Quantlib-dev] ORE 7
|
From: Peter C. <pca...@gm...> - 2022-10-08 15:08:17
|
Hi Ioannis there is definitely no such thing as a "divorce from QuantLib" or any other change in our dev strategy with release 7. That would be rather silly indeed. Quite on the contrary I mentioned in a recent post that it would make a lot of sense to consolidate some QuantExt classes with QuantLib to reduce redundancies in (for example) the short rate models (in the discussion around the Hull White 1F / GSR / LGM models, which are all essentially the same). What is the concrete issue you have? Can you elaborate a bit, maybe we can help mitigating it until the libraries are more in line again. I am actually aware of a breaking change in the inflation framework, this was reported on github recently. This is something we should surely try to straighten out relatively soon. Thanks Peter On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos <qua...@de...> wrote: > 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...> >> <qua...@de...> >> *Date: *Tuesday, 4 October 2022 at 09:40 >> *To: *Roland Lichters <rol...@ac...c> >> <rol...@ac...c>, 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...c> >> <rol...@ac...c>, 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...https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > |
