quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Patches-2873099 ] LMM in QuantLibXL 0.9.7

[SourceForge.net <no...@so...>]

Patches item #2873099, was opened at 2009-10-05 21:39
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
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Category: None
Group: None
>Status: Closed
>Resolution: Wont Fix
Priority: 5
Private: No
Submitted By: Kim Tang (kimtang)
Assigned to: Nobody/Anonymous (nobody)
Summary: LMM in QuantLibXL 0.9.7 

Initial Comment:

This patch is created for changing the declaration of the function

void AccountingEngine::multiplePathValues(SequenceStatisticsInc & stats,
Size numberOfPaths);

to

void AccountingEngine::multiplePathValues(
boost::shared_ptr<SequenceStatisticsInc> & stats,
Size numberOfPaths);

This is needed to port this function to QuantLibXL.

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-26 10:32

Message:
The means to port the needed function are already provided.

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-17 12:13

Message:
I'd prefer to have a solution on the QuantLib XL side, rather than
modifying the library interface to match it.
What's the problem with the current signature?

----------------------------------------------------------------------

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Re: [Quantlib-dev] Suggested changes to the singleton.hpp file to make QuantLib work better with .Net

[Nathan A. <nka...@gm...>]

Does the pragma have any effects when compiling in the
usual, no-.Net way?

No

Also, is there any preprocessor define that can
tell us we're compiling for .Net?

Using pragma managed (push,off) with pragma managed (pop) is the prefer way
of dealing with this issue.

[Quantlib-dev] Quantlib with Sunstudio 12.1 on Solaris 2.10/Sparc

[Norbert I. <N....@di...>]

Help/Feature Request:

I am trying to get Quantlib running on Solaris/Sparc with Sunstudio.

 We are using Quantlib for some Bond Calculations in the Windows World,
and want to port our Software to Solaris/Sparc.

We cannot use GCC, because we link with the Reuters RFA C++ libs, which
are  compiled with sunstudio.

I get quite far, when trying to get Quantlib running on Solaris with Sunstudio
and "-library=stlport4".

I just had to include a lot of "#include <math.h>"'s into the quant sources, because
sqrt etc. are macros in Gcc, while Sunstudio needs a header for them.

There were also a few occurences of expressions, which required an lvalue
as an operand, like " --leg.end()", which could also be easily fixed by assigning
a local variable.

But when linking, i get a lot of unresolved symbols, like missing static members of
templates, etc..

So I would like to ask:

Has someone ever successfully build and used Quantlib on Solaris/Sparc with
Sunstudio ?

Is it perhaps possible, to officially support the Solaris/Sparc/Sunstudio platform ?

Alone i am quite helpless, because it takes ages to experiment with different
compiler settings, etc.

Regards

Re: [Quantlib-dev] Suggested changes to the singleton.hpp file to make QuantLib work better with .Net

[Luigi B. <lui...@gm...>]

On Wed, 2010-03-24 at 11:42 -0700, Nathan Abbott wrote:
> There has been a problem with using QuantLib with .Net Framework.
> [...] The better solution is to place the singleton class under the
> preprocessor "pragma managed" and get rid of lines 69-70.

Thanks, Nathan.  Does the pragma have any effects when compiling in the
usual, no-.Net way?  Also, is there any preprocessor define that can
tell us we're compiling for .Net?

Thanks,
	Luigi


-- 

The rule on staying alive as a forecaster is to give 'em a number or 
give 'em a date, but never give 'em both at once. 
-- Jane Bryant Quinn 

Re: [Quantlib-dev] Tests Failing on QL-1.0 on OSX-10.5.8

[Kevin K. <kyk...@gm...>]

2010-03-19

-kevin


On Wed, Mar 24, 2010 at 3:49 AM, Luigi Ballabio <lui...@gm...>wrote:

> On Tue, 2010-03-23 at 19:23 -0400, Kevin Kim wrote:
> > interesting - all the tests passed today.
>
> Might be a date-adjustment problem. Do you remember on what day you ran
> the tests the first time?
>
> Luigi
>
>
> --
>
> An ideal world is left as an exercise to the reader.
> -- Paul Graham
>
>
>

Re: [Quantlib-dev] Tests Failing on QL-1.0 on OSX-10.5.8

[Luigi B. <lui...@gm...>]

On Tue, 2010-03-23 at 19:23 -0400, Kevin Kim wrote:
> interesting - all the tests passed today.

Might be a date-adjustment problem. Do you remember on what day you ran
the tests the first time?

Luigi


-- 

An ideal world is left as an exercise to the reader. 
-- Paul Graham 

Re: [Quantlib-dev] Tests Failing on QL-1.0 on OSX-10.5.8

[Kevin K. <kyk...@gm...>]

interesting - all the tests passed today.
only flags i passed were to tell configure where to find boost.

-kevin


On Tue, Mar 23, 2010 at 7:41 AM, Luigi Ballabio <lui...@gm...>wrote:

> On Fri, 2010-03-19 at 15:59 -0400, Kevin Kim wrote:
> > Just build QuantLib-1.0, and ran test-suite.
> > Relevant output below.
>
> Thanks.  What happens if you run the same tests today? And if they pass
> now, on what day did they fail?
> Also, did you pass any particular flags to ./configure?
>
> Luigi
>
>
>
> > Testing piecewise-flat hazard-rate consistency...
> > defaultprobabilitycurves.cpp:217: error in
> >
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatHazardConsistency)":
> > Failed to reproduce fair spread for 1Y credit-default swaps
> >     computed rate: 0.5396668139 %
> >     input rate:    0.5000000000 %
> > Testing piecewise-flat default-density consistency...
> > defaultprobabilitycurves.cpp:217: error in
> >
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatDensityConsistency)":
> > Failed to reproduce fair spread for 1Y credit-default swaps
> >     computed rate: 0.5390875444 %
> >     input rate:    0.5000000000 %
> > Testing piecewise-linear default-density consistency...
> > defaultprobabilitycurves.cpp:217: error in
> >
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLinearDensityConsistency)":
> > Failed to reproduce fair spread for 1Y credit-default swaps
> >     computed rate: 0.5101786989 %
> >     input rate:    0.5000000000 %
> > Testing log-linear survival-probability consistency...
> > defaultprobabilitycurves.cpp:217: error in
> >
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLogLinearSurvivalConsistency)":
> > Failed to reproduce fair spread for 1Y credit-default swaps
> >     computed rate: 0.5396668139 %
> >     input rate:    0.5000000000 %
> >
> >
> >
> >
> >
> >
> >
> ------------------------------------------------------------------------------
> > Download Intel&#174; Parallel Studio Eval
> > Try the new software tools for yourself. Speed compiling, find bugs
> > proactively, and fine-tune applications for parallel performance.
> > See why Intel Parallel Studio got high marks during beta.
> > http://p.sf.net/sfu/intel-sw-dev
> > _______________________________________________ QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
>
> Everything that can be invented has been invented.
> -- Charles Duell, Director of U.S. Patent Office, 1899
>
>
>

Re: [Quantlib-dev] Tests Failing on QL-1.0 on OSX-10.5.8

[Luigi B. <lui...@gm...>]

On Fri, 2010-03-19 at 15:59 -0400, Kevin Kim wrote:
> Just build QuantLib-1.0, and ran test-suite.
> Relevant output below.

Thanks.  What happens if you run the same tests today? And if they pass
now, on what day did they fail?
Also, did you pass any particular flags to ./configure?

Luigi



> Testing piecewise-flat hazard-rate consistency...
> defaultprobabilitycurves.cpp:217: error in
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatHazardConsistency)": 
> Failed to reproduce fair spread for 1Y credit-default swaps
>     computed rate: 0.5396668139 %
>     input rate:    0.5000000000 %
> Testing piecewise-flat default-density consistency...
> defaultprobabilitycurves.cpp:217: error in
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatDensityConsistency)": 
> Failed to reproduce fair spread for 1Y credit-default swaps
>     computed rate: 0.5390875444 %
>     input rate:    0.5000000000 %
> Testing piecewise-linear default-density consistency...
> defaultprobabilitycurves.cpp:217: error in
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLinearDensityConsistency)": 
> Failed to reproduce fair spread for 1Y credit-default swaps
>     computed rate: 0.5101786989 %
>     input rate:    0.5000000000 %
> Testing log-linear survival-probability consistency...
> defaultprobabilitycurves.cpp:217: error in
> "QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLogLinearSurvivalConsistency)": 
> Failed to reproduce fair spread for 1Y credit-default swaps
>     computed rate: 0.5396668139 %
>     input rate:    0.5000000000 %
> 
> 
> 
> 
> 
> 
> ------------------------------------------------------------------------------
> Download Intel® Parallel Studio Eval
> Try the new software tools for yourself. Speed compiling, find bugs
> proactively, and fine-tune applications for parallel performance.
> See why Intel Parallel Studio got high marks during beta.
> http://p.sf.net/sfu/intel-sw-dev
> _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev



-- 

Everything that can be invented has been invented. 
-- Charles Duell, Director of U.S. Patent Office, 1899 

[Quantlib-dev] Tests Failing on QL-1.0 on OSX-10.5.8

[Kevin K. <kyk...@gm...>]

Just build QuantLib-1.0, and ran test-suite.
Relevant output below.

Thanks,
-kevin



Testing piecewise-flat hazard-rate consistency...
defaultprobabilitycurves.cpp:217: error in
"QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatHazardConsistency)":
Failed to reproduce fair spread for 1Y credit-default swaps
    computed rate: 0.5396668139 %
    input rate:    0.5000000000 %
Testing piecewise-flat default-density consistency...
defaultprobabilitycurves.cpp:217: error in
"QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testFlatDensityConsistency)":
Failed to reproduce fair spread for 1Y credit-default swaps
    computed rate: 0.5390875444 %
    input rate:    0.5000000000 %
Testing piecewise-linear default-density consistency...
defaultprobabilitycurves.cpp:217: error in
"QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLinearDensityConsistency)":
Failed to reproduce fair spread for 1Y credit-default swaps
    computed rate: 0.5101786989 %
    input rate:    0.5000000000 %
Testing log-linear survival-probability consistency...
defaultprobabilitycurves.cpp:217: error in
"QuantLib::detail::quantlib_test_case(&DefaultProbabilityCurveTest::testLogLinearSurvivalConsistency)":
Failed to reproduce fair spread for 1Y credit-default swaps
    computed rate: 0.5396668139 %
    input rate:    0.5000000000 %

Re: [Quantlib-dev] MonteCarlo Simulation ...

[James B. <bro...@gm...>]

On a related note Mark Joshi has made his code available via the kooderive
project (http://sourceforge.net/projects/kooderive/)
implementing accelerated Asian option pricing using CUDA. It seems to
heavily utilize the thrust library which provides a nice C++ interface to
CUDA bundled with a series of CUDA accelerated algorithms.

You could possibly, depending on the option you're wishing to price, use
kooderive as a base.

Mark made a post to this list back in February indicating the possibility of
integrating kooderive with Quantlib, I'm not sure of the current state of
this effort.

Cheers,
James

On Fri, Mar 19, 2010 at 18:04, Kim Kuen Tang <kue...@vo...> wrote:

>
> Hi Deepak,
>
> there are several ways to improve the performance. Before you do that i'
> ll suggest you to use boost::chrono to see where the bottleneck of your
> application
> is.
> http://svn.boost.org/svn/boost/sandbox/chrono/libs/chrono/doc/html/index.html
>
> It will measure the time you use for your application. For example.
> real 0.832s, cpu 0.813s (97.7%), user 0.813s, system 0.000s
>
> After that you can playing around by changing the container ( from
> vector to list or to quantlib::array, boost::array,...)
> Try to rewrite your payoff function.
>
> If all this dont help , i 'll suggest you to port your calculation into
> a graphic processor. To help you get starting see the article from
>
> Mark S. Joshi
> Graphical Asian Options
> Abstract
> We study the problem of pricing an Asian option using CUDA on a graphics
> processing unit. We demonstrate that it is possible to get accuracy of
> 2E-4 in less than a fiftieth of a second.
>
> Cheers,
> Kim
>
>
> Deepak schrieb:
> >
> > Hi Guys,
> >
> > I’m using *Monte Carlo engine and Path Generators* to price some
> > option types, I want to know what steps should I take to reduce the
> > computation time, or I can say I want to improve performance, I know
> > it all depends on the number of iterations, but I can’t reduce it, I
> > want other options like distributed/Parallel/Multithreading or
> > anything similar, to price my options, if there is anything already
> > done in this direction please tell me,
> >
> > I want you guys to give your thoughts even if I’ll have to implement,
> > I want to discuss first, QuantLib is a great library may be I can
> > contribute, Please give your inputs.
> >
> > Thanks & Regards,
> > *Deepak*
> >
> >
> >
>
>
>
> ------------------------------------------------------------------------------
> Download Intel&#174; Parallel Studio Eval
> Try the new software tools for yourself. Speed compiling, find bugs
> proactively, and fine-tune applications for parallel performance.
> See why Intel Parallel Studio got high marks during beta.
> http://p.sf.net/sfu/intel-sw-dev
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] MonteCarlo Simulation ...

[Kim K. T. <kue...@vo...>]

Hi Deepak,

there are several ways to improve the performance. Before you do that i' 
ll suggest you to use boost::chrono to see where the bottleneck of your 
application 
is.http://svn.boost.org/svn/boost/sandbox/chrono/libs/chrono/doc/html/index.html

It will measure the time you use for your application. For example.
real 0.832s, cpu 0.813s (97.7%), user 0.813s, system 0.000s

After that you can playing around by changing the container ( from 
vector to list or to quantlib::array, boost::array,...)
Try to rewrite your payoff function.

If all this dont help , i 'll suggest you to port your calculation into 
a graphic processor. To help you get starting see the article from

Mark S. Joshi
Graphical Asian Options
Abstract
We study the problem of pricing an Asian option using CUDA on a graphics 
processing unit. We demonstrate that it is possible to get accuracy of 
2E-4 in less than a fiftieth of a second.

Cheers,
Kim


Deepak schrieb:
>
> Hi Guys,
>
> I’m using *Monte Carlo engine and Path Generators* to price some 
> option types, I want to know what steps should I take to reduce the 
> computation time, or I can say I want to improve performance, I know 
> it all depends on the number of iterations, but I can’t reduce it, I 
> want other options like distributed/Parallel/Multithreading or 
> anything similar, to price my options, if there is anything already 
> done in this direction please tell me,
>
> I want you guys to give your thoughts even if I’ll have to implement, 
> I want to discuss first, QuantLib is a great library may be I can 
> contribute, Please give your inputs.
>
> Thanks & Regards,
> *Deepak*
>
>
>

[Quantlib-dev] MonteCarlo Simulation ...

[Deepak <dee...@3i...>]

Hi Guys,



I'm using Monte Carlo engine and Path Generators to price some option types,
I want to know what steps should I take to reduce the computation time, or I
can say I want to improve performance, I know it all depends on the number
of iterations, but I can't reduce it, I want other options like
distributed/Parallel/Multithreading or anything similar, to price my
options, if there is anything already done in this direction please tell me,


 

I want you guys to give your thoughts even if I'll have to implement, I want
to discuss first, QuantLib is a great library may be I can contribute,
Please give your inputs.



Thanks & Regards, 
Deepak

 



---
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[Quantlib-dev] [ quantlib-Feature Requests-2972966 ] COM, DLL

[SourceForge.net <no...@so...>]

Feature Requests item #2972966, was opened at 2010-03-19 01:34
Message generated for change (Tracker Item Submitted) made by mistral7
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2972966&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Eugene Lavrenov (mistral7)
Assigned to: Nobody/Anonymous (nobody)
Summary: COM, DLL

Initial Comment:
Hi people, is QuantLib available in DLL or COM? If not I will likely crete COM. Let me know if there is any inerest to add it to the project.

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2873099 ] LMM in QuantLibXL 0.9.7

[SourceForge.net <no...@so...>]

Patches item #2873099, was opened at 2009-10-05 21:39
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873099&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Kim Tang (kimtang)
Assigned to: Nobody/Anonymous (nobody)
Summary: LMM in QuantLibXL 0.9.7 

Initial Comment:

This patch is created for changing the declaration of the function

void AccountingEngine::multiplePathValues(SequenceStatisticsInc & stats,
Size numberOfPaths);

to

void AccountingEngine::multiplePathValues(
boost::shared_ptr<SequenceStatisticsInc> & stats,
Size numberOfPaths);

This is needed to port this function to QuantLibXL.

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-17 12:13

Message:
I'd prefer to have a solution on the QuantLib XL side, rather than
modifying the library interface to match it.
What's the problem with the current signature?

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873099&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2897358 ] Generalized Hull White model with non-constant parameters

[SourceForge.net <no...@so...>]

Patches item #2897358, was opened at 2009-11-13 18:38
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2897358&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Generalized Hull White model with non-constant parameters

Initial Comment:
Generalized Hull White model with non-constant parameters
I modified the Black-Karasinski and the Ornstein-Uhlenbcek classes to build a generalized Hull-White model with time-dependent drift and volatility parameters. It consists of four files pasted at the bottom of this message: 
GeneralizedOUprocess.hpp, 
GeneralizedOUprocess.cpp, 
GeneralizedHW.hpp and 
GeneralizedHW.cpp. 

These files need an addition/modification to the parameter class. Change the NoConstraint() condition in PiecewiseConstantParameter class to PositiveConstraint(). Or define another class in the parameter.hpp and name it PiecewiseConstantParameter2. This is how I did it. I changed the code in PiecewiseConstantParameter class 

from -------- 
     public: 
        PiecewiseConstantParameter(const std::vector<Time>& times) 
        : Parameter(times.size()+1, 
                    boost::shared_ptr<Parameter::Impl>( 
                                 new PiecewiseConstantParameter2::Impl(times)), 
                    NoConstraint()) 
to ---------- 
     public: 
        PiecewiseConstantParameter2(const std::vector<Time>& times) 
        : Parameter(times.size(), 
                    boost::shared_ptr<Parameter::Impl>( 
                                 new PiecewiseConstantParameter2::Impl(times)), 
                    PositiveConstraint()) 

You will obviously nedd to make some changes to the paths in the include commands. 

I would like these to be added to the quantlib library in the future. Please let me know what you think and also what I should do to make it a non-experimental contribution. 

Thank you, 
Javit 

Please follow this link for the source : 
http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-td26287370.html



----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-17 12:10

Message:
I've applied the more updated version you sent to mailing list instead.
Thanks for the contribution.


----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Bugs-2971351 ] YTM calculation

[SourceForge.net <no...@so...>]

Bugs item #2971351, was opened at 2010-03-16 15:54
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2971351&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: YTM calculation

Initial Comment:
I'am trying to use QuantlibXL to calculate the YTM of a fixed income bond (Bloomberg ISIN IT0004299795). Anyway, even if the frequency tenor is 3 months, when using the function qlBondFlowAnalysis() in order to produce the cash flows plan, the first cash flow is calculated after 6 months. Obviously the so obtained YTM is wrong

----------------------------------------------------------------------

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[Quantlib-dev] One question about instrument/engine/pathpricer

[Andrea <mar...@go...>]

Hi,

I have a question about the role of PathPricer / Instrument and engines in the MC framework.

I have recently updated the experimental/mcbasket code but I feel I am doing something "wrong" in
the code since I might have misunderstood the role of the above objects.

It looks to me that the PathPricer is ultimately the object that is able to compute the "values" for
a give stochastic path.
The path prices usually needs some information coming from the Instrument (sometime the Payoff
object, other times else) to be able to do this.
And it is directly created by the engine for that particular instrument.

An example of that is

    template <class RNG, class S>
    inline
    boost::shared_ptr<typename MCEuropeanEngine<RNG,S>::path_pricer_type>
    MCEuropeanEngine<RNG,S>::pathPricer() const {
	....

        return boost::shared_ptr<
                       typename MCEuropeanEngine<RNG,S>::path_pricer_type>(
          new EuropeanPathPricer(
              payoff->optionType(),
              payoff->strike(),
              process->riskFreeRate()->discount(this->timeGrid().back())));
    }


Now, my question is the following: it looks like an engine can only work with one pathpricer which
can only work with one instrument.
So for every new option (e.g. a digital option, or everest option, himalaya option, pagoda option)
one needs to write (instrument, pathpricer, engine, makeengine)

If the PathPricer was somehow "inferred" from the instrument, one could (maybe) get rid of all
(maybe just some) of the engines (and makeengines) for a generic one.

This is what I did try to do with the code in mcbasket, there is only one engine and the pathpricer
for all instruments (inheriting from PathMultiAssetOption) is always the same.

But I have a feeling I have missed some key points of the design (or the hidden implications of my
idea) and I would be very happy to write a more compliant version of the code.

[Quantlib-dev] Return more info from American Montecarlo

[Andrea <mar...@go...>]

Hi,

I would like to return more information from a run of the LS American Montecarlo.
For instance, the probability of exercise at each exercise time.

This information is generated inside

    template <class PathType> inline
    Real LongstaffSchwartzPathPricer<PathType>::operator()
        (const PathType& path) const {


What I could do is to change the ValueType template argument of the PathPricer (default to Real) and
make it a more complicated structure.

Is there an example of something similar?

[Quantlib-dev] [QuantlibXL] how to make exported functions non-volatile

[radupaul <rad...@sb...>]

Hi:

How can I ensure that the functions exported by QuantlibXL are registered
with Excel as non-volatile? I understand that somehow I should pass a
parameter to the xlfRegister function ? 

I am optimizing a big spreadsheet and a large chunk of time is used by
re-calculation of volatile functions (without any of the arguments changed).

I appreciate the help (with some details, where should I look, in the
QuantlibXLStatic  register folder, etc ...?)
Thank you,
Radu
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[Quantlib-dev] [ quantlib-Patches-2909358 ] Copula random number generators

[SourceForge.net <no...@so...>]

Patches item #2909358, was opened at 2009-12-05 18:18
Message generated for change (Comment added) made by hachemidxp
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2909358&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
Assigned to: Nobody/Anonymous (nobody)
Summary: Copula random number generators

Initial Comment:
These copula random number generators are based on the conditional sampling algorithm.


----------------------------------------------------------------------

Comment By: Hachemi Benyahia (hachemidxp)
Date: 2010-03-11 13:06

Message:
Hi,

In the case of this implementation I have used three analytic results
presented in Copula Modeling: An introduction to Practitioners (P.K Trivedi
and D.M. Zimmer) page 109.
Unfortunately with this approach it is not possible to tu use the
functions in ql/math/copulas.



----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-09 09:37

Message:
Would it be possible to implement them using the functions in
ql/math/copulas instead of rewriting the formulas?

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2909358 ] Copula random number generators

[SourceForge.net <no...@so...>]

Patches item #2909358, was opened at 2009-12-05 18:18
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2909358&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
Assigned to: Nobody/Anonymous (nobody)
Summary: Copula random number generators

Initial Comment:
These copula random number generators are based on the conditional sampling algorithm.


----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-09 09:37

Message:
Would it be possible to implement them using the functions in
ql/math/copulas instead of rewriting the formulas?

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2909358&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2908279 ] Additional copulas

[SourceForge.net <no...@so...>]

Patches item #2908279, was opened at 2009-12-03 18:19
Message generated for change (Comment added) made by lballabio
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2908279&group_id=12740

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Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Additional copulas

Initial Comment:
Additional copulas used in risk management:

- Ali-Mikhail-Haq copula
- Galambos copula
- Husler-Reiss copula
- Plackett copula

Thank you

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-09 09:35

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


----------------------------------------------------------------------

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Re: [Quantlib-dev] I think I have a need for another pricing engine for the bond instrument

[Nathan A. <nka...@gm...>]

Thank you for the replies.


 While we discuss which is more sensible, a simple solution for Nathan
 might be to wrap the bond, i.e., write a simple instrument that takes a
 Bond instance and whose NPV is calculated from the bond as the amount
 purchased * clean price  / 100.)

That was my original idea. I am going to start working on it right now. Is
that something that would be included in QuantLib?

[Quantlib-dev] [ quantlib-Feature Requests-2962706 ] Delta Ladder call

[SourceForge.net <no...@so...>]

Feature Requests item #2962706, was opened at 2010-03-03 11:35
Message generated for change (Tracker Item Submitted) made by 
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Category: None
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Status: Open
Priority: 5
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Submitted By: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Delta Ladder call

Initial Comment:
Ability to make a simple call to extract "delta ladder"

----------------------------------------------------------------------

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Re: [Quantlib-dev] I think I have a need for another pricing engine for the bond instrument

[Luigi B. <lui...@gm...>]

On Wed, 2010-03-03 at 09:41 +0100, Ferdinando Ametrano wrote:
> On Tue, Mar 2, 2010 at 9:21 PM, Nathan Abbott <nka...@gm...> wrote:
> > the user wants the NPV of the bond to be the amount
> > purchased * clean price  / 100.
> 
> and you know what... he's simply right

Is he?  So if I'm holding a bond, the fraction of the current coupon
that I have already accrued is not part of its value?


> The current engine does calculate the dirty price
> (results_.settlementValue) and some "npv" (results_.value) of
> questionable usefulness. My reservation about the current npv are:
> 1) it does include cashflows before or on bond settlement date, which
> in most situation do not belong to the npv

That's on purpose.  settlementValue() and NPV() answer two different
questions.  The first is "how much money am I going to make if I sell
this bond?"  The second is "how much money am I going to receive if I
keep this bond until its maturity?"  I'd say they're both legitimate,
even if questionably useful :)  I can see that one might want to have
one or the other as the instrument NPV---or neither, as Nathan's user
wants to exclude the accrued amount.

(While we discuss which is more sensible, a simple solution for Nathan
might be to wrap the bond, i.e., write a simple instrument that takes a
Bond instance and whose NPV is calculated from the bond as the amount
purchased * clean price  / 100.)

> 2) is valid for an holding amount of faceAmount (typically 100)
> 
> > I am thinking the best way to solve this
> > problem is to create another pricing engine for the bond that calculates the
> > NPV of the bond to equal the amount purchased * the clean price / 100.
> 
> the real issue in not the engine, but the current lack for the
> "holding amount" piece of info
> I would put it in the Bond class since it inherits from Instrument and
> so it should be homogeneous to other Instruments in portfolio
> evaluation.

I'm not sure I get it.  Wouldn't it be the same as putting in a Stock
class the number of stocks held?  If we're modeling an instrument
(singular) how many we have is an external information.  No?

Later,
	Luigi


-- 

The wisdom of the wise and the experience of the ages are perpetuated 
by quotations. 
-- Benjamin Disraeli