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From: Peter C. <pca...@gm...> - 2024-07-05 14:52:48
|
Hi, I would like to add primitive polynomials up to degree 27 to QuantLib's primitivepolynomials.cpp as provided "on the CD accompanying the book Monte Carlo Methods in Finance" by Peter Jäckel, see the comments in that file. My understanding is that polynomials with degree 19 and greater were omitted for practical reasons, but there is no copyright issue or anything like that with adding them? Also, it would probably be nice to save Peter Jäckel's works in the QuantLib code base. So anyway, I would hope that Peter is maybe on this list and could confirm that it is okay to extend the code? Or someone who has his contact details could forward this request to him? Thanks Peter |
|
From: Luigi B. <lui...@gm...> - 2024-04-24 08:49:52
|
QuantLib 1.34 is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. Starting from release 1.32, a semi-official C# package is also available from NuGet (see <https://www.nuget.org/packages/QuantLib/>). It should work on Windows and OS X, but it's not guaranteed to work on all Linux distributions; we'll be grateful for any reports, either of successes or failures. |
|
From: Luigi B. <lui...@gm...> - 2024-03-12 08:16:13
|
Hello Robert,
there is a Python example in the QuantLib-SWIG distribution, see <
https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/isda-engine.py
>.
Hope this helps,
Luigi
On Mon, Mar 11, 2024 at 5:30 PM Tolan, Robert via QuantLib-dev <
qua...@li...> wrote:
> Hi,
>
> I am looking into the ISDA Standard Model - do you know if a Python
> version exists? I haven't been able to track down the closed-form formulae
> for converting price to spread and vice versa for CDX. It seems there was
> an attempt to implement it as part of Quantlib. Thank you.
>
>
> Kind regards,
> Robert Tolan
>
> *This e-mail is confidential and may contain information that is
> privileged. If you are not the intended recipient, please notify the sender
> immediately and delete this e-mail. Any unauthorised review, use,
> disclosure, dissemination or copying of this e-mail is prohibited. Norges
> Bank does not accept liability for any loss or damage of any nature,
> however caused, which may result directly or indirectly from this e-mail or
> any file attached, including malicious software and other defects.*
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
|
|
From: Tolan, R. <rob...@nb...> - 2024-03-11 16:25:13
|
Hi, I am looking into the ISDA Standard Model - do you know if a Python version exists? I haven't been able to track down the closed-form formulae for converting price to spread and vice versa for CDX. It seems there was an attempt to implement it as part of Quantlib. Thank you. Kind regards, Robert Tolan This e-mail is confidential and may contain information that is privileged. If you are not the intended recipient, please notify the sender immediately and delete this e-mail. Any unauthorised review, use, disclosure, dissemination or copying of this e-mail is prohibited. Norges Bank does not accept liability for any loss or damage of any nature, however caused, which may result directly or indirectly from this e-mail or any file attached, including malicious software and other defects. |
|
From: Luigi B. <lui...@gm...> - 2024-01-25 15:28:19
|
Hello Ben,
no, as you guessed there's no serializer in C++.
Best,
Luigi
On Tue, Jan 23, 2024 at 8:21 AM Ben Watson <ben...@ma...>
wrote:
> I probably know the answer to this already, but I have a number of use
> cases to serialise Quantlib objects. I do know that it is possible with
> QuantlibXL. But I have not see anything viable for python. Is there a C++
> serialiser? If so is there any possibility to port it to Python?
>
> I am working on an interface to Quantlib will have all of the parameters
> in JSON and can easily reconstruct the objects, but this is just parameter
> serialization. Ideally having full object serialization would be the go.
>
> Regards
>
> Ben
>
>
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
|
|
From: Luigi B. <lui...@gm...> - 2024-01-23 16:57:22
|
Glad it worked out — if that helps, I think the tarball is always going to have "releases" as part of the path. Luigi On Tue, Jan 23, 2024 at 5:12 PM Dirk Eddelbuettel <ed...@de...> wrote: > > On 23 January 2024 at 09:45, Dirk Eddelbuettel wrote: > | > | Hi Luigi, > | > | On 23 January 2024 at 09:30, Luigi Ballabio wrote: > | | Hi Dirk, > | | the release process stayed the same as far as I'm aware of. I did > a sanity > | | check, and the released tarball at < > https://github.com/lballabio/QuantLib-SWIG/ > | | releases/download/v1.33/QuantLib-SWIG-1.33.tar.gz> does contain > configure. > | | Where are you getting the sources from? I wasn't able to figure it > out from > | | the Debian rules you linked. > | > | That is the tarball I aimed at. > | > | [ There is a longer story that we use a regexp-containing file > debian/watch > | to look for new releases, and I had to update the pattern. It is > conceivable > | that I ended up with the wrong tarball. I will retry -- the simplest > | explanation is indeed that it got mixed up at my end. ] > > So postmortem is that because of that script, the way my regexp is set up, > and the way the QL releases tag I ended up with a different tarball from > > edd@rob:~/deb/quantlib-swig(master)$ gbp import-orig --uscan > gbp:info: Launching uscan... > Newest version of quantlib-swig on remote site is 1.33, local version is > 1.32 > => Newer package available from: > => > https://github.com/lballabio/QuantLib-SWIG/archive/refs/tags/v1.33.tar.gz > > uscan error: Unknown compression used in ../quantlib-swig-1.33.tar.gz > gbp:error: Uscan failed - debug by running 'uscan --verbose' > edd@rob:~/deb/quantlib-swig(master)$ > > When I (manually) downloaded the release tarball as is well. Now building > for > Python 3.12 and 3.11 ... > > Thanks! > > Dirk > > -- > dirk.eddelbuettel.com | @eddelbuettel | ed...@de... > |
|
From: Dirk E. <ed...@de...> - 2024-01-23 16:12:58
|
On 23 January 2024 at 09:45, Dirk Eddelbuettel wrote: | | Hi Luigi, | | On 23 January 2024 at 09:30, Luigi Ballabio wrote: | | Hi Dirk, | | the release process stayed the same as far as I'm aware of. I did a sanity | | check, and the released tarball at <https://github.com/lballabio/QuantLib-SWIG/ | | releases/download/v1.33/QuantLib-SWIG-1.33.tar.gz> does contain configure. | | Where are you getting the sources from? I wasn't able to figure it out from | | the Debian rules you linked. | | That is the tarball I aimed at. | | [ There is a longer story that we use a regexp-containing file debian/watch | to look for new releases, and I had to update the pattern. It is conceivable | that I ended up with the wrong tarball. I will retry -- the simplest | explanation is indeed that it got mixed up at my end. ] So postmortem is that because of that script, the way my regexp is set up, and the way the QL releases tag I ended up with a different tarball from edd@rob:~/deb/quantlib-swig(master)$ gbp import-orig --uscan gbp:info: Launching uscan... Newest version of quantlib-swig on remote site is 1.33, local version is 1.32 => Newer package available from: => https://github.com/lballabio/QuantLib-SWIG/archive/refs/tags/v1.33.tar.gz uscan error: Unknown compression used in ../quantlib-swig-1.33.tar.gz gbp:error: Uscan failed - debug by running 'uscan --verbose' edd@rob:~/deb/quantlib-swig(master)$ When I (manually) downloaded the release tarball as is well. Now building for Python 3.12 and 3.11 ... Thanks! Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Dirk E. <ed...@de...> - 2024-01-23 15:45:20
|
Hi Luigi, On 23 January 2024 at 09:30, Luigi Ballabio wrote: | Hi Dirk, | the release process stayed the same as far as I'm aware of. I did a sanity | check, and the released tarball at <https://github.com/lballabio/QuantLib-SWIG/ | releases/download/v1.33/QuantLib-SWIG-1.33.tar.gz> does contain configure. | Where are you getting the sources from? I wasn't able to figure it out from | the Debian rules you linked. That is the tarball I aimed at. [ There is a longer story that we use a regexp-containing file debian/watch to look for new releases, and I had to update the pattern. It is conceivable that I ended up with the wrong tarball. I will retry -- the simplest explanation is indeed that it got mixed up at my end. ] Best, Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Luigi B. <lui...@gm...> - 2024-01-23 08:30:35
|
Hi Dirk,
the release process stayed the same as far as I'm aware of. I did a
sanity check, and the released tarball at <
https://github.com/lballabio/QuantLib-SWIG/releases/download/v1.33/QuantLib-SWIG-1.33.tar.gz>
does contain configure. Where are you getting the sources from? I wasn't
able to figure it out from the Debian rules you linked.
Luigi
On Mon, Jan 22, 2024 at 11:13 PM Dirk Eddelbuettel <ed...@de...> wrote:
>
> QuantLib 1.33 updated like a champ. No changes in RQuantLib either. With it
> built and available I turned to QuantLib-SWIG but it is giving me fits
> though.
>
> It used to build via (from
> https://salsa.debian.org/edd/quantlib-swig/-/blob/master/debian/rules
> which
> should be world-readable)
>
>
> # need to build the Makefile for R (and Ruby ?)
> ./configure --prefix=/usr \
> --build $(arch)
>
> (cd Python && for python in $(PYTHONS); do \
> CC="$(cxxcompiler)" \
> CXX="$(cxxcompiler)" \
> CFLAGS="$(compilerflags)" \
> CXXFLAGS="$(compilerflags)" \
> $$python setup.py build; \
> done )
>
>
> (I removed setup and package building details for brevity.)
>
> But now there is no `configure` and even if I make I get into trouble in
> the
> Python directory (these days the only binding I package for Debian).
>
> (I also constrained it to just python3.11 as as 3.12 is not quite done
> setting up inside Debian.)
>
> Any hints? Am I doing something wrong, or did something change in the
> release process?
>
> Dirk
>
> --
> dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
|
|
From: Ben W. <ben...@ma...> - 2024-01-23 07:20:24
|
I probably know the answer to this already, but I have a number of use cases to serialise Quantlib objects. I do know that it is possible with QuantlibXL. But I have not see anything viable for python. Is there a C++ serialiser? If so is there any possibility to port it to Python? I am working on an interface to Quantlib will have all of the parameters in JSON and can easily reconstruct the objects, but this is just parameter serialization. Ideally having full object serialization would be the go. Regards Ben |
|
From: Dirk E. <ed...@de...> - 2024-01-22 22:12:28
|
QuantLib 1.33 updated like a champ. No changes in RQuantLib either. With it built and available I turned to QuantLib-SWIG but it is giving me fits though. It used to build via (from https://salsa.debian.org/edd/quantlib-swig/-/blob/master/debian/rules which should be world-readable) # need to build the Makefile for R (and Ruby ?) ./configure --prefix=/usr \ --build $(arch) (cd Python && for python in $(PYTHONS); do \ CC="$(cxxcompiler)" \ CXX="$(cxxcompiler)" \ CFLAGS="$(compilerflags)" \ CXXFLAGS="$(compilerflags)" \ $$python setup.py build; \ done ) (I removed setup and package building details for brevity.) But now there is no `configure` and even if I make I get into trouble in the Python directory (these days the only binding I package for Debian). (I also constrained it to just python3.11 as as 3.12 is not quite done setting up inside Debian.) Any hints? Am I doing something wrong, or did something change in the release process? Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Luigi B. <lui...@gm...> - 2024-01-22 10:06:00
|
QuantLib 1.33 is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. Starting from release 1.32, a semi-official C# package is also available from NuGet (see <https://www.nuget.org/packages/QuantLib/>). It should work on Windows and OS X, but it's not guaranteed to work on all Linux distributions; we'll be grateful for any reports, either of successes or failures. |
|
From: Dirk E. <ed...@de...> - 2023-10-30 12:27:57
|
On 30 October 2023 at 12:23, Luigi Ballabio wrote: | Hello Dirk, unfortunately I have no idea what can cause this — do you think it | possible that the size of the wrappers crossed some threshold and relocations | started to occur that weren't there before? Adrian (CC'ed) supplied a merge request / pull request tweaking the compilation settings per architecture in the (meta-Makefile) debian/rules. It now builds again with optimization which I had forced off (for mips* architectures and per an earlier suggestion by Adrian also for mips64el). "These days" the compilers should be fast enough to cope. It is a bloody large file generated by Swig so we may need to wiggle settings once more on another architecture. We'll see. But first off, my thanks to Adrian for the suggested fix. Building here now and should get uploaded soon. Builders page is https://buildd.debian.org/status/package.php?p=quantlib-swig and the 1.32-2 build should appear there "soon". Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Luigi B. <lui...@gm...> - 2023-10-30 11:24:03
|
Hello Dirk, unfortunately I have no idea what can cause this — do you think it possible that the size of the wrappers crossed some threshold and relocations started to occur that weren't there before? Luigi On Sun, Oct 29, 2023 at 2:32 PM Dirk Eddelbuettel <ed...@de...> wrote: > > The Debian package fails to build now on mipsel, a log is at [1]. The gist > seems to be a relocation error: > > g++ -shared -Wl,-O1 -Wl,-Bsymbolic-functions -O0 -g0 -mxgot --param > ggc-min-expand=20 -DBOOST_NO_AUTO_PTR > build/temp.linux-mips64-cpython-311/QuantLib/quantlib_wrap.o > -L/usr/lib/mips64el-linux-gnuabi64 -L/usr/lib -lQuantLib -o > build/lib.linux-mips64-cpython-311/QuantLib/_ > QuantLib.cpython-311-mips64el-linux-gnuabi64.so -fopenmp > build/temp.linux-mips64-cpython-311/QuantLib/quantlib_wrap.o: in > function `virtual thunk to > QuantLib::HimalayaOption::arguments::~arguments()': > > quantlib_wrap.cpp:(.text._ZN8QuantLib14HimalayaOption9argumentsD1Ev[_ZN8QuantLib14HimalayaOption9argumentsD1Ev]+0x104): > relocation truncated to fit: R_MIPS_GOT_PAGE against > `.text._ZN8QuantLib14HimalayaOption9argumentsD1Ev' > > Luigi, and idea if that is a known swig-on-mips64el issue and if we can > addres it with particular flag? As the Debian bug report at [2] states, > "this > used to work" and I didn't change anything for the 1.32 pair of quantlib > and > quantlib-swig. > > For quantlib-swig, and for a few years now, I set some exotic compiler > flags: > > ifneq "$(findstring $(cpu), mipsel mips mips64el)" "" > compilerflags = -O0 -g0 -mxgot --param ggc-min-expand=20 > -DBOOST_NO_AUTO_PTR > endif > > but that mostly came from trying to keep the build with time or ram limits. > > Any hints would be most welcome. > > Cheers, Dirk > > [1] > https://buildd.debian.org/status/fetch.php?pkg=quantlib-swig&arch=mips64el&ver=1.32-1&stamp=1698321785&raw=0 > [2] https://bugs.debian.org/1054921, also in CC for this email > > -- > dirk.eddelbuettel.com | @eddelbuettel | ed...@de... > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
|
From: Dirk E. <ed...@de...> - 2023-10-29 13:31:40
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The Debian package fails to build now on mipsel, a log is at [1]. The gist seems to be a relocation error: g++ -shared -Wl,-O1 -Wl,-Bsymbolic-functions -O0 -g0 -mxgot --param ggc-min-expand=20 -DBOOST_NO_AUTO_PTR build/temp.linux-mips64-cpython-311/QuantLib/quantlib_wrap.o -L/usr/lib/mips64el-linux-gnuabi64 -L/usr/lib -lQuantLib -o build/lib.linux-mips64-cpython-311/QuantLib/_QuantLib.cpython-311-mips64el-linux-gnuabi64.so -fopenmp build/temp.linux-mips64-cpython-311/QuantLib/quantlib_wrap.o: in function `virtual thunk to QuantLib::HimalayaOption::arguments::~arguments()': quantlib_wrap.cpp:(.text._ZN8QuantLib14HimalayaOption9argumentsD1Ev[_ZN8QuantLib14HimalayaOption9argumentsD1Ev]+0x104): relocation truncated to fit: R_MIPS_GOT_PAGE against `.text._ZN8QuantLib14HimalayaOption9argumentsD1Ev' Luigi, and idea if that is a known swig-on-mips64el issue and if we can addres it with particular flag? As the Debian bug report at [2] states, "this used to work" and I didn't change anything for the 1.32 pair of quantlib and quantlib-swig. For quantlib-swig, and for a few years now, I set some exotic compiler flags: ifneq "$(findstring $(cpu), mipsel mips mips64el)" "" compilerflags = -O0 -g0 -mxgot --param ggc-min-expand=20 -DBOOST_NO_AUTO_PTR endif but that mostly came from trying to keep the build with time or ram limits. Any hints would be most welcome. Cheers, Dirk [1] https://buildd.debian.org/status/fetch.php?pkg=quantlib-swig&arch=mips64el&ver=1.32-1&stamp=1698321785&raw=0 [2] https://bugs.debian.org/1054921, also in CC for this email -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
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From: Roland L. <rol...@ac...> - 2023-10-23 07:59:57
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Hi all, We are happy to announce our next release of ORE on https://github.com/OpenSourceRisk. Main contribution this time is Acadia's scripted trade framework that allows representing complex payoffs (hybrids, baskets, with path-dependence, early exercise) using an ORE scripting language, so that new instruments can be added without recompiling ORE. Scripted trades are fully integrated into ORE, with pricing, sensitivity analysis, par sensitivity conversion, fast exposure simulation and XVA using American Monte Carlo. Moreover, the new framework is the basis for an ORE implementation of Algorithmic Differentiation (AD) for trade sensitivities and ultimately XVA risk and SA-CVA. And finally, the framework provides an external compute device interface for utilising GPUs. The current release also adds SIMM 2.6, as well as one-day SIMM for SIMM versions >= 2.2. ORE v11 is based on QuantLib 1.31.1. To get started with ORE as a Python module, just call “pip install open-source-risk-engine” and see the ORE User Guide at https://opensourcerisk.org/documentation Best wishes, 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. |
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From: Luigi B. <lui...@gm...> - 2023-10-20 08:51:07
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QuantLib 1.32 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. Starting from this release, a semi-official C# package is also available from NuGet (see <https://www.nuget.org/packages/QuantLib/>). It should work on Windows and OS X, but it's not guaranteed to work on all Linux distributions; we'll be grateful for any reports, either of successes or failures. |
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From: Forde S. <for...@gm...> - 2023-08-08 23:18:17
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Hi, Resending as I had to resubscribe. Thanks again to Roland and his team for their continued support of ORE. I am assessing ORE for a client, and as part of this, I am compiling a list of the major enhancements required to close regulatory gaps. Could you review and comment on this initial text, which will be expanded into a more comprehensive analysis? ORE is an extremely powerful engine to either complement the internal model team or provide the basis of a CCR platform for smaller institutions. It is highly extensible and configurable.It has a tremendous foundation of data handling, market and curve building, and analytic capabilities, complemented by a comprehensive test suite. ORE focuses on market and counterparty credit risk analytics and includes key aspects of the Basel III framework, but it does not have all aspects, e.g., FRTB-specific enhancements. There are some key functional and non-functional gaps and considerations to address (not in order of priority), including: 1. SA-CCR (Standardised Approach for Counterparty Credit Risk):While there are references in the user guide (page 4) to a future release of SA-CCR, the timing and commitment to this is unclear. 2. ES (Expected Shortfall):With FRTB's introduction under Basel III, Expected Shortfall (ES) replaced VaR as the primary risk measure for the internal models approach. While VaR is still an important risk metric, implementing ES requires capturing the tail risk and different liquidity horizons for various asset classes and risk factors. There is a need to consider backtesting requirements, as ES introduces its challenges in that realm. ES means not just changing the formulae but also adopting a new risk mindset, focusing on tail risks and severe market shocks. 3. SA-CVA (Standardised Approach for Credit Valuation Adjustment Risk):ORE's emphasis on xVA calculations provides a strong foundation, but the transition from a basic approach (e.g. KVA is calculated using the limited version fo BA-CVA) to a standardised approach like SA-CVA can be intricate. The details of risk factor modellability and NMRFs are fundamental to FRTB and will require a deep integration into ORE’s calculation mechanics. It's also worth noting that SA-CVA will require banks to possess a more granular level of data on their counterparties and credit risk mitigants. 4. Enhanced data quality and traceability requirements. FRTB places a strong emphasis on data quality, and institutions are required to demonstrate the traceability of their risk data. This could necessitate not only infrastructure upgrades but also potential enhancements to ORE's data intake and validation processes. Additionally, there might be a need for more robust reporting functionalities to satisfy regulatory inquiries and audits. 5. Scalability and Performance. Given the complexity of Basel III calculations, especially under approaches like SA-CCR or IMA of FRTB, there's a need for high computational efficiency. ORE's ability to scale and perform under these demands might be a consideration. 6. Integration with other systems: If ORE is to be the foundation of a CCR platform, its ability to integrate with other bank systems (e.g., front office, collateral management, settlement, market data, broader risk systems, accounting systems) is crucial. The flow of data between these systems must be seamless. Capital markets are slowly standardising reporting (e.g. ISDA CRIF AND CDM) and there is a need to map the future direction against ORE’s capabilities. 7. User Interface and Reporting: The system's ability to generate detailed reports, both for internal risk management and regulatory reporting, is vital. ORE's user interface might require enhancements to accommodate the added complexities of FRTB and SA-CCR. 8. Future-proofing: Regulatory landscapes continue to evolve. Ensure any extensions built upon ORE are designed in a modular fashion, allowing for easier upgrades or adjustments as regulations change. Thank you, Forde On Thu, 22 Jun 2023 at 20:29, Roland Lichters via QuantLib-users < qua...@li...> wrote: > Dear all, > > > > The 10th ORE release is out on https://github.com/OpenSourceRisk > > > > As announced, we have rolled out a range of hybrid products this time: > > - Composite trades > - Collateralized Bond Obligations > - Generic Total Return Swaps and Contracts For Difference (CFDs) > accepting almost arbitrary underlying baskets > - Convertible Bonds and Asset Swapped Convertible Option Transactions > (ASCOTs) > > > > Moreover, we added to the analytics scope: > > - ISDA's Standard Initial Margin Model (SIMM) with all versions from > inception to the most recent > - a proof-of-concept Credit Portfolio Model to construct portfolio > loss distributions due to credit migration, credit default and market moves > across cash products and derivatives > > > > See the release notes in > https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt > > or in the userguide.pdf at > https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for > references to the related examples. > > > > And finally, the ORE Python module has been updated and can be installed > with > > > > pip install open-source-risk-engine > > > > Please explore, all feedback is welcome! > > > > Best wishes, > > Roland > > > > > > *Roland Lichters* > > *Quantitative Services* > > [image: Logo Description automatically generated] > > Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland > > office *+49* *2151 9284800 *mobile* +49 172 9985795* > > *rol...@ac...c <rol...@ac...c>* > > *acadia.inc <https://acadia.inc/>* > > > [image: signature_2811593998] > <https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[image: > signature_1151196288] <https://twitter.com/AcadiaSoft_>[image: > signature_3977098555] <https://www.linkedin.com/company/acadiasoft-inc> > > > > > > > > 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-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |
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From: Luigi B. <lui...@gm...> - 2023-07-24 08:40:18
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QuantLib 1.31.1 has been released and is available for download at < https://www.quantlib.org/download.shtml>. It fixes a regression in version 1.31. The short list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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From: Luigi B. <lui...@gm...> - 2023-07-18 13:05:11
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QuantLib 1.31 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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From: Roland L. <rol...@ac...> - 2023-06-22 10:24:57
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Dear all, The 10th ORE release is out on https://github.com/OpenSourceRisk As announced, we have rolled out a range of hybrid products this time: * Composite trades * Collateralized Bond Obligations * Generic Total Return Swaps and Contracts For Difference (CFDs) accepting almost arbitrary underlying baskets * Convertible Bonds and Asset Swapped Convertible Option Transactions (ASCOTs) Moreover, we added to the analytics scope: * ISDA's Standard Initial Margin Model (SIMM) with all versions from inception to the most recent * a proof-of-concept Credit Portfolio Model to construct portfolio loss distributions due to credit migration, credit default and market moves across cash products and derivatives See the release notes in https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt or in the userguide.pdf at https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for references to the related examples. And finally, the ORE Python module has been updated and can be installed with pip install open-source-risk-engine Please explore, all feedback is welcome! Best wishes, Roland Roland Lichters Quantitative Services [Logo Description automatically generated] Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland office +49 2151 9284800 mobile +49 172 9985795 rol...@ac...c<mailto:rol...@ac...c> acadia.inc<https://acadia.inc/> [signature_2811593998]<https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[signature_1151196288]<https://twitter.com/AcadiaSoft_>[signature_3977098555]<https://www.linkedin.com/company/acadiasoft-inc> 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. |
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From: Peter C. <pca...@gm...> - 2023-06-21 16:59:34
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Hi Jörg, thank you. This is interesting! A basic concern I have with the approach is the risk of slowing down computations unnecessarily for which you don't need the AD instrumentation. I tested this by building QuantLib from the current master (1.31-dev) with and without XAD and running the test suites. This is what I observe on my mac book pro which has an intel i9 processor: - a slowdown of around 2x averaging over all unit test cases - a slowdown of around 3x for the quantlib-benchmark cases - a slowdown of up to 10x for single test cases, e.g. MarketModelTest__testPathwiseGreeks (10.5x) or testRandomizedLattices (7x) I think this is expected and it was also discussed on this list before, when Compatibl suggested a similar approach. I still wanted to ask whether you see possibilities to address this issue for practical use cases? The clean solution is obviously to use templated functions and instantiate them with double or the ad-type as needed. You can also try and run the computations in two versions of the library. Neither seems easy to do / straightforward though. I know this question has little to do with your tool as such! Thank you Peter On Tue, 30 May 2023 at 12:39, Jorg Lotze <jor...@xc...> wrote: > > Hello all, > > As of QuantLib 1.28 (October 2022), Automatic Differentiation (AD) can be enabled in QuantLib using the open-source XAD AD tool and an XAD/QuantLib integration module. QuantLib's AD-compatibility is actively maintained via automated CI/CD checks, running daily against QuantLib's master branch. > > Below are performance results for a set of examples using QuantLib, showing the cost of AD compared to the matching plain pricing valuation (no AD) for an arbitrary number of sensitivities. Those results are reproducible and the code used is publicly available. > > The results show the time taken by the AD enabled version of QuantLib vs. the time taken for a plain (double) valuation is between a factor of 1.4 and 2.8. This means one can get arbitrary numbers of sensitivities in less than 2.8x the time taken by a plain valuation. We've included details for the benchmark configuration at the end of this email. > > Equity Option Portfolio (98 sensitivities) > - Valuation run: 2.83 ms > - AAD run: 7.00 ms (2.47 X) > > Barrier Option Replication (13 sensitivities) > - Valuation run: 1.48 ms > - AAD run: 4.16 ms (2.81 X) > > Swap Portfolio (55 sensitivities) > - Valuation run: 26.05 ms > - AAD run: 36.28 ms (1.39 X) > > Multicurve Bootstrapping (65 sensitivities) > - Valuation run: 192.11 ms > - AAD run: 299.63 ms (1.56 X) > > More details here: https://auto-differentiation.github.io/quantlib/#benchmarks > > Cheers, > Jorg > > Benchmark configuration: > - QuantLib version: 1.30 > - XAD version: 1.2.0 > - OS: Windows Server 2022 Datacenter > - Compiler: Visual Studio 2022, 17.6.1 > - RAM: 64GB > - CPU: Intel(R) Xeon(R) Platinum 8375C CPU @ 2.90GHz > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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From: Luigi B. <lui...@gm...> - 2023-04-19 08:19:21
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QuantLib 1.30 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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From: Roland L. <rol...@ac...> - 2023-04-05 10:27:16
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Dear all, our next ORE release is out on https://github.com/OpenSourceRisk As announced, we have rolled out a range of credit and bond derivatives this time, see the release notes for details. Moreover, * American Monte Carlo simulation is integrated now (Example 39) * par sensitivity analysis has been added (Example 40) * there are additional parametric VaR types including Delta-Gamma Saddlepoint * we have added multi-threading support to sensitivity analysis and exposure simulation (Example 41) * And finally, our ORE Python module can now be installed with “pip install open-source-risk-engine”, and it allows querying ORE results and amending inputs in memory within the Python framework. See Example 42 for a start and more examples in the ORE SWIG repository. Please explore, all feedback is welcome! And join us at the Acadia Quant Summit in London this month https://www.acadia.inc/quant-summit-london to see and discuss ORE. Best wishes, Roland Roland Lichters Quantitative Services [Logo Description automatically generated] Maurenbrecherstrasse 16, 47803 Krefeld, Deutschland office +49 2151 9284800 mobile +49 172 9985795 rol...@ac...c<mailto:rol...@ac...c> acadia.inc<https://acadia.inc/> [signature_2811593998]<https://www.youtube.com/channel/UCsMyFt94Jyfwo-ecLBpy5xw>[signature_1151196288]<https://twitter.com/AcadiaSoft_>[signature_3977098555]<https://www.linkedin.com/company/acadiasoft-inc> 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. |
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From: Jonathan S. <sw...@gm...> - 2023-01-28 08:13:25
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Hi Amine, Not sure if this is exactly what you're looking for, but there are some test cases in the C++ code for bootstrapping a SOFR yield term structure from futures quotes. You might be able to use this as a reference for your python code. https://github.com/lballabio/QuantLib/blob/master/test-suite/sofrfutures.cpp#L45 On Thu, Jan 26, 2023 at 8:44 PM Amine Ifri <ami...@gm...> wrote: > Dear Quantlib teams/users, > > Currently looking to use the QL Python library for ETD contracts. Went to > check the doc but couldn’t find any concrete class of a term structure that > would take only a ref date, a list of anchor dates, and a list of > corresponding quotes corresponding to each contract expiry. > > Grateful if someone could tell me if such impl exists. Many thanks. > > Amine Ifri > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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