quantlib-dev — Discussion of QuantLib development

[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 (Settings changed) made by lballabio
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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: Additional copulas

Initial Comment:
Additional copulas used in risk management:

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

Thank you

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

You can respond by visiting: 
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[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 (Settings changed) made by hachemidxp
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Ferdinando Ametrano (nando)
Summary: Additional copulas

Initial Comment:
Additional copulas used in risk management:

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

Thank you

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

You can respond by visiting: 
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16973] trunk/QuantLibXL/Data/XLS/070_TimeSeries

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

On Wed, 2009-12-30 at 16:25 +0100, Luigi Ballabio wrote:
> On Wed, 2009-12-30 at 15:12 +0000, na...@us... wrote:
> > Revision: 16973
> >           http://quantlib.svn.sourceforge.net/quantlib/?rev=16973&view=rev
> > Author:   nando
> > Date:     2009-12-30 15:12:25 +0000 (Wed, 30 Dec 2009)
> > 
> > Log Message:
> > -----------
> > merged changeset up to Rev16952 from branches/R01000x-branch to trunk
> 
> Sai che puoi fare tanti merge nella working copy e un commit solo alla
> fine, giusto?

Ouch, sorry.  Forgot the automatic reply to quantlib-dev.  My bad.

Luigi


-- 

Blessed is the man who, having nothing to say, abstains from giving 
wordy evidence of the fact. 
-- George Eliot 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16973] trunk/QuantLibXL/Data/XLS/070_TimeSeries

[Ferdinando A. <na...@am...>]

si ma se è troppo grosso mi si impianta...

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano



On Wed, Dec 30, 2009 at 4:25 PM, Luigi Ballabio
<lui...@gm...> wrote:
> On Wed, 2009-12-30 at 15:12 +0000, na...@us... wrote:
>> Revision: 16973
>>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16973&view=rev
>> Author:   nando
>> Date:     2009-12-30 15:12:25 +0000 (Wed, 30 Dec 2009)
>>
>> Log Message:
>> -----------
>> merged changeset up to Rev16952 from branches/R01000x-branch to trunk
>
> Sai che puoi fare tanti merge nella working copy e un commit solo alla
> fine, giusto?
>
>
> --
>
> When all else fails, pour a pint of Guinness in the gas tank,
> advance the spark 20 degrees, cry "God Save the Queen!", and pull
> the starter knob.
> -- MG "Series MGA" Workshop Manual
>
>
>
> ------------------------------------------------------------------------------
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16973] trunk/QuantLibXL/Data/XLS/070_TimeSeries

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

On Wed, 2009-12-30 at 15:12 +0000, na...@us... wrote:
> Revision: 16973
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16973&view=rev
> Author:   nando
> Date:     2009-12-30 15:12:25 +0000 (Wed, 30 Dec 2009)
> 
> Log Message:
> -----------
> merged changeset up to Rev16952 from branches/R01000x-branch to trunk

Sai che puoi fare tanti merge nella working copy e un commit solo alla
fine, giusto?


-- 

When all else fails, pour a pint of Guinness in the gas tank, 
advance the spark 20 degrees, cry "God Save the Queen!", and pull 
the starter knob. 
-- MG "Series MGA" Workshop Manual 

Re: [Quantlib-dev] Segmentation error while running quantlib testsuite

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

On Fri, 2009-12-25 at 05:06 -0800, kapild wrote:
> i have compiled quantlib 0.9.9 and boost 1.41 using g++ version = 3.4.2 
> i am getting following error on running test suite 
> 
> Program received signal SIGSEGV, Segmentation fault.
> 0x0104c7d2 in boost::unit_test::test_observer::test_observer() (this=0x0)
>     at ./boost/test/unit_test_log.hpp:131
> 131         BOOST_TEST_SINGLETON_CONS( unit_test_log_t );
> 
> Please help so as how to resolve the same

Hard to say.  What test case, if any, is the test suite running when you
get the error? Does it display any messages before segfaulting?

Luigi



-- 

When I was a boy of fourteen, my father was so ignorant I could hardly 
stand to have the old man around. But when I got to be twenty-one, I 
was astonished at how much the old man had learned in seven years. 
-- Mark Twain 

[Quantlib-dev] [ quantlib-Bugs-2919912 ] fair upfront not computed if upfront rate eqs zero

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

Bugs item #2919912, was opened at 2009-12-23 10:12
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Closed
Resolution: Fixed
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
Assigned to: Luigi Ballabio (lballabio)
Summary: fair upfront not computed if upfront rate eqs zero

Initial Comment:
The lib is not giving a CDS fair upfront value when the upfront rate is zero even if the contract is not ATM and the upfront date is still ahead in time. This is because the way the fair value is computed includes the actual rate, which is unnecessary. 

To reproduce it just set up a not ATM CDS with zero upfront rate and request for it, then set it to say 1.e-6.

The patch passes the test-suite.

Best regards
Pepe


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-28 10:06

Message:
The patch was applied to the Subversion repository.
Thank you for the report and the fix.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2919912 ] fair upfront not computed if upfront rate eqs zero

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

Bugs item #2919912, was opened at 2009-12-23 10:12
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
>Assigned to: Luigi Ballabio (lballabio)
Summary: fair upfront not computed if upfront rate eqs zero

Initial Comment:
The lib is not giving a CDS fair upfront value when the upfront rate is zero even if the contract is not ATM and the upfront date is still ahead in time. This is because the way the fair value is computed includes the actual rate, which is unnecessary. 

To reproduce it just set up a not ATM CDS with zero upfront rate and request for it, then set it to say 1.e-6.

The patch passes the test-suite.

Best regards
Pepe


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-28 10:06

Message:
The patch was applied to the Subversion repository.
Thank you for the report and the fix.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

[Quantlib-dev] Segmentation error while running quantlib testsuite

[kapild <kap...@ya...>]

i have compiled quantlib 0.9.9 and boost 1.41 using g++ version = 3.4.2 
i am getting following error on running test suite 

Program received signal SIGSEGV, Segmentation fault.
0x0104c7d2 in boost::unit_test::test_observer::test_observer() (this=0x0)
    at ./boost/test/unit_test_log.hpp:131
131         BOOST_TEST_SINGLETON_CONS( unit_test_log_t );

Please help so as how to resolve the same

-- 
View this message in context: http://old.nabble.com/Segmentation-error-while-running-quantlib-testsuite-tp26920799p26920799.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] [ quantlib-Bugs-2919912 ] fair upfront not computed if upfront rate eqs zero

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

Bugs item #2919912, was opened at 2009-12-23 10:12
Message generated for change (Tracker Item Submitted) made by japaricio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
Assigned to: Nobody/Anonymous (nobody)
Summary: fair upfront not computed if upfront rate eqs zero

Initial Comment:
The lib is not giving a CDS fair upfront value when the upfront rate is zero even if the contract is not ATM and the upfront date is still ahead in time. This is because the way the fair value is computed includes the actual rate, which is unnecessary. 

To reproduce it just set up a not ATM CDS with zero upfront rate and request for it, then set it to say 1.e-6.

The patch passes the test-suite.

Best regards
Pepe


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2919555 ] Negative treasury yield can not be computed

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

Bugs item #2919555, was opened at 2009-12-22 20:47
Message generated for change (Settings changed) made by lballabio
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919555&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
>Priority: 5
Private: No
Submitted By: boris l (blitvin)
>Assigned to: Nobody/Anonymous (nobody)
Summary: Negative treasury yield can not be computed

Initial Comment:
The Ql throwws error when it is trying to compute a bond yield from price, when resulting yield happens to be negative using =qlbondyield(). Please see attached spreadsheet with example of the problem. Please read Excel comments on "Negative Yield..." tab for some clarification, but otherwise the spreadsheet should be self-descriptive - if not - glad to help.

Boris 
bor...@or...

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

Comment By: boris l (blitvin)
Date: 2009-12-22 20:48

Message:
Thanks for attention to this problem in advance

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

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[Quantlib-dev] [ quantlib-Bugs-2919555 ] Negative treasury yield can not be computed

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

Bugs item #2919555, was opened at 2009-12-22 14:47
Message generated for change (Comment added) made by blitvin
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919555&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
>Priority: 7
Private: No
Submitted By: boris l (blitvin)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Negative treasury yield can not be computed

Initial Comment:
The Ql throwws error when it is trying to compute a bond yield from price, when resulting yield happens to be negative using =qlbondyield(). Please see attached spreadsheet with example of the problem. Please read Excel comments on "Negative Yield..." tab for some clarification, but otherwise the spreadsheet should be self-descriptive - if not - glad to help.

Boris 
bor...@or...

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

>Comment By: boris l (blitvin)
Date: 2009-12-22 14:48

Message:
Thanks for attention to this problem in advance

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919555&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2919555 ] Negative treasury yield can not be computed

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

Bugs item #2919555, was opened at 2009-12-22 14:47
Message generated for change (Tracker Item Submitted) made by blitvin
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919555&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: Negative treasury yield can not be computed

Initial Comment:
The Ql throwws error when it is trying to compute a bond yield from price, when resulting yield happens to be negative using =qlbondyield(). Please see attached spreadsheet with example of the problem. Please read Excel comments on "Negative Yield..." tab for some clarification, but otherwise the spreadsheet should be self-descriptive - if not - glad to help.

Boris 
bor...@or...

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919555&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2902185 ] date schedule is incorrect with EndOfMonth=true

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

Bugs item #2902185, was opened at 2009-11-22 23:06
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740

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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: boris l (blitvin)
>Assigned to: Luigi Ballabio (lballabio)
Summary: date schedule is incorrect with EndOfMonth=true

Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at bor...@or.... Thanks a lot - Boris.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-21 13:15

Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.


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

Comment By: Kristofer Spinka (kspinka)
Date: 2009-12-19 04:41

Message:
I'm not sure how nobody else noticed this, this bug makes it impossible to
build simple pricing models that use US Treasuries.  Please apply this
patch and let me know how you make out:

--- ../../../Qorig/QuantLib-0.9.9/ql/time/schedule.cpp  2009-10-22
04:03:40.000000000 -0400
+++ schedule.cpp        2009-12-18 22:25:00.000000000 -0500
@@ -197,9 +197,6 @@
                 }
             }
 
-            if (endOfMonth && calendar.isEndOfMonth(seed))
-                convention=Preceding;
-
             if (calendar.adjust(dates_.front(),convention)!=
                 calendar.adjust(effectiveDate,convention)) {
                 dates_.insert(dates_.begin(), effectiveDate);
@@ -271,9 +268,6 @@
                 }
             }
 
-            if (endOfMonth && calendar.isEndOfMonth(seed))
-                convention=Preceding;
-
             if
(calendar.adjust(dates_.back(),terminationDateConvention)!=
                
calendar.adjust(terminationDate,terminationDateConvention)) {
                 if (rule_ == DateGeneration::Twentieth ||

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:43

Message:
Also, for additional safety: may you add to the spreadsheet the expected
correct dates for Unadjusted + EOM? (And possibly also for MP and MF, since
you're reporting that they're wrong too.)

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:33

Message:
Two suggestions: a quick fix might be to check for Unadjusted convention at
the end of the Schedule constructor (where it says "// adjustments") and
prevent adjustments from happening.
Another would be to check for EOM = true and adjust the behavior
explicitly.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:07

Message:
Sorry, but since QuantLib is based on volunteer work these issues are
addressed when time allows.
Your best option is to examine the C++ source code (in
<ql/time/schedule.cpp>, see what's happening, and try to fix the logic.

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

Comment By: boris l (blitvin)
Date: 2009-12-07 15:31

Message:
we are stuck with this problem in real deadline sensitive project. please
advise what my options are. thanks a lot in advance for expedient response.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2917089 ] InterpolatedCurve missing return

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

Bugs item #2917089, was opened at 2009-12-18 16:44
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2917089&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: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: InterpolatedCurve missing return

Initial Comment:
ql\termstructures\interpolatedcurve.hpp should have "return *this;" in "operator=" method.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-21 13:13

Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2917089&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2902185 ] date schedule is incorrect with EndOfMonth=true

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

Bugs item #2902185, was opened at 2009-11-22 17:06
Message generated for change (Comment added) made by kspinka
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&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: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: date schedule is incorrect with EndOfMonth=true

Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at bor...@or.... Thanks a lot - Boris.

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

Comment By: Kristofer Spinka (kspinka)
Date: 2009-12-18 22:41

Message:
I'm not sure how nobody else noticed this, this bug makes it impossible to
build simple pricing models that use US Treasuries.  Please apply this
patch and let me know how you make out:

--- ../../../Qorig/QuantLib-0.9.9/ql/time/schedule.cpp  2009-10-22
04:03:40.000000000 -0400
+++ schedule.cpp        2009-12-18 22:25:00.000000000 -0500
@@ -197,9 +197,6 @@
                 }
             }
 
-            if (endOfMonth && calendar.isEndOfMonth(seed))
-                convention=Preceding;
-
             if (calendar.adjust(dates_.front(),convention)!=
                 calendar.adjust(effectiveDate,convention)) {
                 dates_.insert(dates_.begin(), effectiveDate);
@@ -271,9 +268,6 @@
                 }
             }
 
-            if (endOfMonth && calendar.isEndOfMonth(seed))
-                convention=Preceding;
-
             if
(calendar.adjust(dates_.back(),terminationDateConvention)!=
                
calendar.adjust(terminationDate,terminationDateConvention)) {
                 if (rule_ == DateGeneration::Twentieth ||

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 11:43

Message:
Also, for additional safety: may you add to the spreadsheet the expected
correct dates for Unadjusted + EOM? (And possibly also for MP and MF, since
you're reporting that they're wrong too.)

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 11:33

Message:
Two suggestions: a quick fix might be to check for Unadjusted convention at
the end of the Schedule constructor (where it says "// adjustments") and
prevent adjustments from happening.
Another would be to check for EOM = true and adjust the behavior
explicitly.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 11:07

Message:
Sorry, but since QuantLib is based on volunteer work these issues are
addressed when time allows.
Your best option is to examine the C++ source code (in
<ql/time/schedule.cpp>, see what's happening, and try to fix the logic.

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

Comment By: boris l (blitvin)
Date: 2009-12-07 09:31

Message:
we are stuck with this problem in real deadline sensitive project. please
advise what my options are. thanks a lot in advance for expedient response.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2917089 ] InterpolatedCurve missing return

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

Bugs item #2917089, was opened at 2009-12-18 15:44
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2917089&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: InterpolatedCurve missing return

Initial Comment:
ql\termstructures\interpolatedcurve.hpp should have "return *this;" in "operator=" method.

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

You can respond by visiting: 
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Re: [Quantlib-dev] mortgage bond

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

On Fri, 2009-12-11 at 10:23 -0800, javit wrote:
> 
> I'm planning to work on calculations for mortgage related products including
> prepayments and defaults such as OAS and OAD. Is anybody planning to develop
> new/existing objects for these calculations? Or already did?

The last I knew was the post you quoted below.  There are no other plans
that I know of.  But if you didn't already, maybe you might want to
contact the original poster and see what happened?

Luigi



> Nathan Abbott wrote:
> > 
> > I am c++ programmer that only knows the basics of quantitative finance.
> > Because I have been programming with QuantLib for two years, I think I
> > have
> > a good understanding on how QuantLib works. Luigi Ballabio's *
> > Implementing
> > QuantLib *has been a great help on understanding QuantLib. I am working
> > with
> > a financial person who uses my program, He is fluent with quantitative
> > finance, but only knows a little c++ and does not know how QuantLib works.
> > 
> > We want to implement a simple version of mortgage bonds through a
> > MorgtageBond class that will probably inherit from the Bond class (and
> > maybe
> > a FixedRateMortageBond and FloatingRateMortageBond classes derived from
> > the
> > MortgageBond class) and would like to solicit some
> > opinions/suggestions/objections.
> > 
> > Currently we are thinking that it will be defined similar to the
> > amortizing
> > bond classes (taking in a vector of nominals and dates generated outside
> > of
> > QuantLib), but be derived from bond (and inherit all it's functions) and
> > adding specific functions to it (like weighted average life calculation).
> > Has anyone already done/thought of doing something similar?
> > 
> > Secondly, assuming prepayments are not an issue (which for our purposes
> > they
> > are not), a simple mortgage bond is priced similar to corporate bonds,
> > meaning as a spread over swaps (i.e. on a yield basis, yield = swap rate +
> > spread), then use that sum as the yield to calculate the price. The bond
> > class has dirtyPrice and cleanPrice functions which take yield as an
> > input.
> > We can get the par rate from the yield curve by using the parRate function
> > or instantiate a simple swap (as explained in yieldtermstructure.hpp
> > comments).
> > 
> > Our question is w.r.t the spread. We want to build a spread grid/matrix
> > with
> > rating on one axis/rows and maturity/columns on the other. We were
> > thinking
> > of creating a termspreadsurface (similar to capfloortermvolsurface) which
> > could be useful for mbs and corporate bonds (spread per rating/term). Has
> > anyone already done something similar?
> > 
> > Btw, if anybody is interested in residential prepayments/OAS calculations
> > and willing to implement that or is working on that, please contact me and
> > we can hopefully coordinate. Please note however that we have limited
> > (almost zero) expertise on that subject.
> > 
> > ------------------------------------------------------------------------------
> > Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco,
> > CA
> > -OSBC tackles the biggest issue in open source: Open Sourcing the
> > Enterprise
> > -Strategies to boost innovation and cut costs with open source
> > participation
> > -Receive a $600 discount off the registration fee with the source code:
> > SFAD
> > http://p.sf.net/sfu/XcvMzF8H
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> > 
> > 
> 
> 
> -----
> Cavit (Javit) Hafizoglu
> mailto:jav...@su... mailto:jav...@su... 



-- 

There are no rules of architecture for a castle in the clouds. 
-- Gilbert K. Chesterton 

Re: [Quantlib-dev] Question about ZeroCouponInflationSwap

[Chris K. <chr...@ya...>]

Hi Alexander,

yes, for ZCIIS you are correct - thanks for
catching it.  The tests are ATM so this didn't show up.

For inflation indexed bonds then you do need an
IndexedCashFlow that does not have the -1, so both versions are
required in general.  Both IndexedCashFlow and ZeroCouponInflationSwap now updated in the SVN for the 0.99 branch.

The interface to IndexedCashFlow has changed from:

IndexedCashFlow(Real notional,
                        const boost::shared_ptr<Index> &index,
                        const Date& baseDate,
                        const Date& fixingDate,
                        const Date& paymentDate)

to:

IndexedCashFlow(Real notional,
                        const boost::shared_ptr<Index> &index,
                        const Date& baseDate,
                        const Date& fixingDate,
                        const Date& paymentDate,
                        bool growthOnly = false)

The bond-focused version (without the -1) is the default, and ZCIIS uses it with growthOnly = true so the desired effect of I(T)/I(0) - 1
happens for the swap.  

Best,
Chris



________________________________
From: "ale...@go..." <ale...@go...>
To: chr...@ya...
Sent: Tue, December 15, 2009 7:35:33 PM
Subject: Question about ZeroCouponInflationSwap

Hello Chris,

I priced a zero coupon inflation swap and can't explain the both legs.

I've noticed that the inflation leg is priced using the formula of the IndexedCashFlow

notional * I(T1) / I(T0)

But in papers and books I found the following formula

Inflation Leg = Notional * I(T1)/I(T0) - 1  

So I am missing this -1. Am I wrong?

Best

Alexander

[Quantlib-dev] ZeroCouponInflationSwap - wrong legs calculation?

[Alexander L. <ale...@go...>]

Hello all,

I checked the source code for the ZeroCouponInflationSwap and found out,
that the fixed leg ist computed using the following formula:

nominal * ( 1 + fixedRate ) ^ T

For the inflation leg the formula was

nominal * ( I(T1) / I(T0) )

The right formulas in my opinion are:

Fixed Leg = nominal * ( 1 + fixedRate ) ^ T - 1 )
Inflation Leg = nominal * ( I(T1) / I(T0) - 1 )

This definition I saw in termsheets, papers and books.

Best

Alexander

-- 
View this message in context: http://old.nabble.com/ZeroCouponInflationSwap---wrong-legs-calculation--tp26802267p26802267.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] need help with XLA digital signature

[Ferdinando A. <na...@am...>]

Hi all

so far I've signed the QuantLibXL.xla with a "test" certificate I've
generated on my workstation.
Unfortunately I have to give up that workstation and the private part
of the certificate cannot be exported, at least as far as far as I
know.

For the 0.9.9/1.0 release I would need help about (in order of preference) :
1) exporting the certificate, so that existing users don't have to
install a new certificate for 1.0
2) obtaining a cheap (possibly free) _movable_ certificate that I can
use for signing 1.0 onwards

Otherwise I will just generate a new "test" certificate on my new
workstation and keep living sadly ever after

Any help appreciated

ciao -- Nando

Re: [Quantlib-dev] mortgage bond

[javit <ca...@vi...>]

I'm planning to work on calculations for mortgage related products including
prepayments and defaults such as OAS and OAD. Is anybody planning to develop
new/existing objects for these calculations? Or already did?

Thank you,
Javit


Nathan Abbott wrote:
> 
> I am c++ programmer that only knows the basics of quantitative finance.
> Because I have been programming with QuantLib for two years, I think I
> have
> a good understanding on how QuantLib works. Luigi Ballabio's *
> Implementing
> QuantLib *has been a great help on understanding QuantLib. I am working
> with
> a financial person who uses my program, He is fluent with quantitative
> finance, but only knows a little c++ and does not know how QuantLib works.
> 
> We want to implement a simple version of mortgage bonds through a
> MorgtageBond class that will probably inherit from the Bond class (and
> maybe
> a FixedRateMortageBond and FloatingRateMortageBond classes derived from
> the
> MortgageBond class) and would like to solicit some
> opinions/suggestions/objections.
> 
> Currently we are thinking that it will be defined similar to the
> amortizing
> bond classes (taking in a vector of nominals and dates generated outside
> of
> QuantLib), but be derived from bond (and inherit all it's functions) and
> adding specific functions to it (like weighted average life calculation).
> Has anyone already done/thought of doing something similar?
> 
> Secondly, assuming prepayments are not an issue (which for our purposes
> they
> are not), a simple mortgage bond is priced similar to corporate bonds,
> meaning as a spread over swaps (i.e. on a yield basis, yield = swap rate +
> spread), then use that sum as the yield to calculate the price. The bond
> class has dirtyPrice and cleanPrice functions which take yield as an
> input.
> We can get the par rate from the yield curve by using the parRate function
> or instantiate a simple swap (as explained in yieldtermstructure.hpp
> comments).
> 
> Our question is w.r.t the spread. We want to build a spread grid/matrix
> with
> rating on one axis/rows and maturity/columns on the other. We were
> thinking
> of creating a termspreadsurface (similar to capfloortermvolsurface) which
> could be useful for mbs and corporate bonds (spread per rating/term). Has
> anyone already done something similar?
> 
> Btw, if anybody is interested in residential prepayments/OAS calculations
> and willing to implement that or is working on that, please contact me and
> we can hopefully coordinate. Please note however that we have limited
> (almost zero) expertise on that subject.
> 
> ------------------------------------------------------------------------------
> Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco,
> CA
> -OSBC tackles the biggest issue in open source: Open Sourcing the
> Enterprise
> -Strategies to boost innovation and cut costs with open source
> participation
> -Receive a $600 discount off the registration fee with the source code:
> SFAD
> http://p.sf.net/sfu/XcvMzF8H
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 


-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
-- 
View this message in context: http://old.nabble.com/mortgage-bond-tp22403757p26749180.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] inputs to yield term structures

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

On Fri, 2009-12-04 at 11:38 +0000, Sla...@go... wrote:
> I am wondering how do you set up correctly Calendar in some
> YieldTermStructures - say at ZeroCurve. 
> 
> its c-tor takes only dates, yields, dayCounter and interpolator. 
> there is no function to set the calendar. 

There are other constructors that take a calendar, at least in the C++
version---are you using C++ or some bindings?

Luigi


-- 

Glendower: I can call spirits from the vasty deep. 
Hotspur: Why, so can I, or so can any man; 
But will they come when you do call for them? 
-- King Henry the Fourth Part I, Act III, Scene I 

Re: [Quantlib-dev] gensrc support for valarray

[Ferdinando A. <na...@am...>]

Hi Plamen

any chance you or Eric might fix this problem on the trunk?

As a reminder: the isInSubset function is now returning valarray<bool>
instead of vector<bool>, and gensrc is not supporting valarray yet. You can
easily spot the issue just trying to build the current trunk

> I'll put it in - will be done today or tomorrow
It really sounded too good to be true ;-)

ciao -- Nando


On Wed, Nov 11, 2009 at 8:49 AM, Plamen Neykov <
pla...@re...> wrote:

> I'll put it in - will be done today or tomorrow - hope that's ok?
> ------Original Message------
> From: Ferdinando Ametrano
> To: QuantLib developers
> Cc: Eric Ehlers
> Cc: pla...@us...
> Subject: [Quantlib-dev] gensrc support for valarray
> Sent: 10 Nov 2009 17:26
>
> Hi all
>
> the latest commit on the trunk from Mark broke QLXL as there is no
> support in gensrc for valarray.
> While I've been able to manually code an easy workaround this of
> course isn't satisfactory, but I have little idea how to add valarray
> support.
> Any volunteer ?
>
> ciao -- Nando
>
>
> ------------------------------------------------------------------------------
> Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
> trial. Simplify your report design, integration and deployment - and focus
> on
> what you do best, core application coding. Discover what's new with
> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
> Sent from my BlackBerry® wireless device

[Quantlib-dev] [ quantlib-Bugs-2902185 ] date schedule is incorrect with EndOfMonth=true

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

Bugs item #2902185, was opened at 2009-11-22 23:06
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&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: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: date schedule is incorrect with EndOfMonth=true

Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at bor...@or.... Thanks a lot - Boris.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:43

Message:
Also, for additional safety: may you add to the spreadsheet the expected
correct dates for Unadjusted + EOM? (And possibly also for MP and MF, since
you're reporting that they're wrong too.)

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:33

Message:
Two suggestions: a quick fix might be to check for Unadjusted convention at
the end of the Schedule constructor (where it says "// adjustments") and
prevent adjustments from happening.
Another would be to check for EOM = true and adjust the behavior
explicitly.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:07

Message:
Sorry, but since QuantLib is based on volunteer work these issues are
addressed when time allows.
Your best option is to examine the C++ source code (in
<ql/time/schedule.cpp>, see what's happening, and try to fix the logic.

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

Comment By: boris l (blitvin)
Date: 2009-12-07 15:31

Message:
we are stuck with this problem in real deadline sensitive project. please
advise what my options are. thanks a lot in advance for expedient response.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740