quantlib-dev — Discussion of QuantLib development

[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
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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: 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 17:33

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.


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

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[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,
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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: 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 17:07

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-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 blitvin
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 9
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: 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-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 (Settings changed) made by blitvin
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Category: None
Group: None
Status: Open
Resolution: None
>Priority: 9
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.

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

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Re: [Quantlib-dev] SVN TestSuite Build Error - changing syntheticcdoengines.hpp (line 84) corrected error

[Roland L. <rol...@go...>]

>
> I pulled down the SVN last night and ran a batch build to see how things
>> are going.  According to my build syntheticcdoengines.hpp (line 203) throw
>> an error C2664.   My previous build ran without this error, the primary
>> change being syntheticcdoengines.hpp (line 84) supplied a default value to
>> the MidPointCDOEngine.
>>
>> MidPointCDOEngine (Period stepSize = 0*Days) {}
>> I didn't dig into this to understand correctness, but changing this line
>> back fixed the build error
>>
>
Hi Craig,
I have reverted this change in the trunk.
Regards,
Roland

[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 (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: Nobody/Anonymous (nobody)
>Summary: Copula random number generators

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


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

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[Quantlib-dev] [ quantlib-Patches-2909358 ] Clayton copula random number generator

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

Patches item #2909358, was opened at 2009-12-05 18:18
Message generated for change (Settings changed) made by hachemidxp
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: Clayton copula random number generator

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


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

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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 (Tracker Item Submitted) made by hachemidxp
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.


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

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[Quantlib-dev] [ quantlib-Feature Requests-2909164 ] VS2010 QL solution, projects, and code changes

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Feature Requests item #2909164, was opened at 2009-12-04 20:21
Message generated for change (Settings changed) made by c-miller
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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
>Summary: VS2010 QL solution, projects, and code changes

Initial Comment:
Visual Studio 2010 Beta 2 is on track to be a significant IDE improvement for multicore programming AND it free to use during the beta testing (release 'might be' in March).  There is some pain with the new compiler spewing new errors and warnings that did not appear in msvc-9.0, but I'm sure you expected that   :-0

New files include the QL solution, all project files, and some code changes (primarily needed to handle namespace collisions).  I've also included a Excel spreadsheet with the build output and a table to filter on the ~14 unfiltered warnings (lots of work to clean up, or filter).  The zip file is ~1.2MB so it is too large for uploading to SourceForge.  I'll send a copy to Nando for circulation or you can send me an email at <cra...@fl...>.

It goes without saying, but I'll say it anyway, you'll need to run a command lime build of the Boost Library using toolset=msvc-10.0 from both the x86 and x64 shell.  Remember to set unique target directories to avoid overwriting the files (x86 and x64 lib files have the same name).

Enjoy,
Craig Miller


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

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[Quantlib-dev] [ quantlib-Feature Requests-2909164 ] QL solution, projects, and code changes

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

Feature Requests item #2909164, was opened at 2009-12-04 20:21
Message generated for change (Tracker Item Submitted) made by c-miller
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2909164&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: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: QL solution, projects, and code changes

Initial Comment:
Visual Studio 2010 Beta 2 is on track to be a significant IDE improvement for multicore programming AND it free to use during the beta testing (release 'might be' in March).  There is some pain with the new compiler spewing new errors and warnings that did not appear in msvc-9.0, but I'm sure you expected that   :-0

New files include the QL solution, all project files, and some code changes (primarily needed to handle namespace collisions).  I've also included a Excel spreadsheet with the build output and a table to filter on the ~14 unfiltered warnings (lots of work to clean up, or filter).  The zip file is ~1.2MB so it is too large for uploading to SourceForge.  I'll send a copy to Nando for circulation or you can send me an email at <cra...@fl...>.

It goes without saying, but I'll say it anyway, you'll need to run a command lime build of the Boost Library using toolset=msvc-10.0 from both the x86 and x64 shell.  Remember to set unique target directories to avoid overwriting the files (x86 and x64 lib files have the same name).

Enjoy,
Craig Miller


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

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Re: [Quantlib-dev] Generalized Hull White model with non-constant parameters

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

I cleared some bugs in my code and modified the BermudanSwaption.cpp test
file to include a test case. I uploaded the new source files with this
message. The generalized HW model has a better fit to market data as
expected.

The attached zip file also contains the filled and signed QuantLib copyright
template.

There are some minor things need to address:

1- LevenberMarquardt algorithm doesn't work for the generalizedHW class, but
Conjugate Gradient algorithm works. This is strange. I appreciate any help
in understanding this issue.

2- fInverse function is hardcoded to the exponential function, for now.
Therefore, the results are close to the Black Karasinski model, the only
exception is that the parameters can be made time-dependent and can be as
many as one wishes.

I'll deal with this problem in the next version.

3- I abused the YieldTermStructure class a little to define the
time-dependent parameters. Any suggestions/help are welcome.

4- Due to the structure of the YieldTermStructure class, model parameters
should be non-negative. Therefore, the additions, I mentioned below, to the
parameter class are necessary to use these classes.

5- I used the 9.7 version of Quantlib and boost version 1.39 to run my
tests. The code should work with the newer version.

Please let me know if there is anything else I could do. I look forward to
reading your comments.

Thank you,
Javit


javit wrote:
> 
> 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
> 
> ----------- GeneralizedOUprocess.hpp --------------
> 
> #ifndef quantlib_generalized_ou_process_hpp
> #define quantlib_generalized_ou_process_hpp
> 
> #include <ql/stochasticprocess.hpp>
> #include <ql/models/shortrate/onefactormodel.hpp>
> #include <ql/termstructures/yieldtermstructure.hpp>
> 
> #include <ql/termstructures/yield/zerocurve.hpp>
> #include <ql/math/interpolations/linearinterpolation.hpp>
> #include <ql/math/interpolations/loginterpolation.hpp>
> 
> namespace QuantLib {
> 
>     //! Piecewise linear Ornstein-Uhlenbeck process class
>     /*! This class describes the Ornstein-Uhlenbeck process governed by
>         \f[
>             dx = a (level - x_t) dt + \sigma dW_t
>         \f]
> 
>         \ingroup processes
> 
> 		where the coefficients a and sigma are piecewise linear.
>     */
>     class GeneralizedOUprocess : public StochasticProcess1D {
>       public:
> 		  GeneralizedOUprocess(const Handle<YieldTermStructure>& speedTS, 
> 			  const Handle<YieldTermStructure>& vol, 
> 			  Real x0 = 0.0, 
> 			  Real level = 0.0);
>          //! \name StochasticProcess interface
>         //@{
>         Real x0() const;
> 
>         Real drift(Time t, Real x) const;
>         Real diffusion(Time t, Real x) const;
> 
>         Handle<YieldTermStructure> speed() const;
>         Handle<YieldTermStructure> volatility() const;
>         Real level() const;
> 
>         Real expectation(Time t0, Real x0, Time dt) const;
>         Real stdDeviation(Time t0, Real x0, Time dt) const;
>         Real variance(Time t0, Real x0, Time dt) const;
>         //@}
>       private:
>         Real x0_, level_;
> 		Handle<YieldTermStructure> speed_;
> 		Handle<YieldTermStructure> volatility_;
>     };
> 
> }
> 
> 
> #endif
> 
> ----------- GeneralizedOUprocess.cpp --------------
> 
> #include "C:\Documents and Settings\****\My Documents\Visual Studio
> 2008\Projects\GeneralizedHW\GeneralizedHW\generalizedOUprocess.hpp"
> 
> namespace QuantLib {
> 
> 	GeneralizedOUprocess::GeneralizedOUprocess(const
> Handle<YieldTermStructure>& speedTS,
> 		const Handle<YieldTermStructure>& vol,
> 		Real x0,
> 		Real level)
> 		: x0_(x0), speed_(speedTS), level_(level), volatility_(vol) {
> 
> 					QL_REQUIRE(x0 >= 0.0, "negative initial data given");
> 			QL_REQUIRE(level >= 0.0, "negative level given"); 
> 	}
> 
> 	Real GeneralizedOUprocess::x0() const {
> 		return x0_;
> 	}
> 
> 	Handle<YieldTermStructure> GeneralizedOUprocess::speed() const {
> 		return speed_;
> 	}
> 
> 	Handle<YieldTermStructure> GeneralizedOUprocess::volatility() const {
> 		return volatility_;
> 	}
> 	
> 	Real GeneralizedOUprocess::drift(Time, Real x) const {
>         return 0;
>     }
> 
> 	Real GeneralizedOUprocess::diffusion(Time, Real) const {
>         return 0;
>     }
> 
> 	Real GeneralizedOUprocess::level() const {
> 		return level_;
> 	}
> 
> 	Real GeneralizedOUprocess::expectation(const Time t, Real x0, Time dt)
> const {
> 
> 		Real speed;
> 			if (t!=0) {
> 				speed = - std::log(speed_->discount(t))/t;
> 			} else { speed = 0.000001;}
> 
> 		
> 			return level_ + (x0 - level_) * std::exp(-speed*dt);
> 	}
> 
> 	Real GeneralizedOUprocess::stdDeviation(Time t, Real x0,Time dt) const {
> 			return std::sqrt(variance(t,x0,dt));
> 	}
> 
> 	Real GeneralizedOUprocess::variance(const Time t, Real x, Time dt) const
> {
> 			Real speed;
> 			Volatility vol;
> 		if (t!=0) {
> 				speed = - std::log(speed_->discount(t))/t;
> 				vol =  - std::log(volatility_->discount(t))/(t);
> 			} else {
> 				speed = 0.000001;
> 				vol = 0.00001;
> 		}
> 		
> 
> 		if (speed < std::sqrt(QL_EPSILON)) {
> 			// algebraic limit for small speed
> 			return vol*vol*dt;
> 		} else {
> 			return 0.5*vol*vol/speed*
> 				(1.0 - std::exp(-2.0*speed*dt));
> 		}
> 	}
> 
> }
> 
> 
> --------- GeneralizedHW.hpp -------------
> 
> #ifndef quantlib_GeneralizedHW_hpp
> #define quantlib_GeneralizedHW_hpp
> 
> #include <ql/models/shortrate/onefactormodel.hpp>
> #include "C:\Documents and Settings\****\My Documents\Visual Studio
> 2008\Projects\GeneralizedHW\GeneralizedHW\generalizedOUprocess.hpp"
> 
> 
> namespace QuantLib {
> 
> 
> 	//! Generalized Hull-White model class.
> 	/*! This class implements the standard Black-Karasinski model defined by
> 	\f[
> 	d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t,
> 	\f]
> 	where \f$ alpha \f$ and \f$ sigma \f$ are piecewise linear functions.
> 
> 	\ingroup shortrate
> 	*/
> 	
> 	class GeneralizedHW : public OneFactorModel,
> 		public TermStructureConsistentModel {
> 
> 		// TO DO: Build your fInverse class according to your model. The
> template class T
> 		// should overload the () operator to return a function value, f
> inverse.
> 
> 	public:
> 
> 		GeneralizedHW(const Handle<YieldTermStructure>& yieldtermStructure,
> 			const std::vector<Date>& speedstructure,
> 			const std::vector<Date>& volstructure);
> 
> 		boost::shared_ptr<ShortRateDynamics> dynamics() const {
> 			QL_FAIL("no defined process for generalized Hull-White model");
> 		} 
> 
> 		boost::shared_ptr<Lattice> tree(const TimeGrid& grid)const;
> 
> 
> 	private:
> 
> 		class Dynamics;
> 		class Helper;
> 	
> 		std::vector<Date> speedstructure_;
> 		std::vector<Date> volstructure_;
> 
> 		Handle<YieldTermStructure> speed() const;
> 		Handle<YieldTermStructure> vol() const;
> 
> 		Parameter& a_;
> 		Parameter& sigma_;
> 		Parameter phi_;
> 
> 	};
> 
> 	//! Short-rate dynamics in the generalized Hull-White model
> 	/*! The short-rate is here
> 
> 	f(r_t) = x_t + g(t)
> 
> 	where g is the deterministic time-dependent
> 	parameter (which can not be determined analytically)
> 	used for term-structure fitting and  x_t is the state
> 	variable following an Ornstein-Uhlenbeck process.
> 	*/
> 
> 	class GeneralizedHW::Dynamics : public GeneralizedHW::ShortRateDynamics {
> 	public:
> 		Dynamics(const Parameter& fitting, const Handle<YieldTermStructure>&
> alpha,
> 			const Handle<YieldTermStructure>& sigma)
> 			: ShortRateDynamics(boost::shared_ptr<StochasticProcess1D>(
> 			new GeneralizedOUprocess(alpha, sigma))), fitting_(fitting) {}
> 
> 		Real variable(Time t, Rate r) const {
> 			return std::log(r) - fitting_(t);
> 		}
> 
> 		Real shortRate(Time t, Real x) const {
> 			return std::exp(x + fitting_(t));
> 		}
> 	
> 	private:
> 		Parameter fitting_;	
> 	};
> 
> }
> 
> 
> #endif
> 
> 
> ----------------- GeneralizedHW.cpp -------------
> #include "C:\Documents and Settings\****\My Documents\Visual Studio
> 2008\Projects\GeneralizedHW\GeneralizedHW\GeneralizedHW.hpp"
> #include <ql/methods/lattices/trinomialtree.hpp>
> #include <ql/math/solvers1d/brent.hpp>
> #include <ql/termstructures/yield/zerocurve.hpp>
> #include <ql/math/solvers1d/bisection.hpp>
> 
> namespace QuantLib {
> 
> 
> 
> 	/* Private function used by solver to determine time-dependent parameter
> 	df(r) = [theta(t) - a(t) f(r)]dt + sigma(t) dz
> 	dg = [theta(t) - a(t) g(t)] dt
> 	dx = -a(t) x dt + sigma(t) dz
> 	x = f(r) - g(t)
> 
> 
> 	*/
> 	//Change the overloaded operator to change the model by changing the
> function below
> 	//fInverse is a user-chosen function. When fInverse = exp(), the model
> becomes Black-Karasinski model.
> 
> 	Real fInverse_(Real x) { 
> 		return std::exp(x);
> 	}
> 
> 	class GeneralizedHW::Helper {
> 	public:
> 		Helper(const Size i, const Real xMin, const Real dx,
> 			const Real discountBondPrice,
> 			const boost::shared_ptr<ShortRateTree>& tree)
> 			: size_(tree->size(i)),
> 			dt_(tree->timeGrid().dt(i)),
> 			xMin_(xMin), dx_(dx),
> 			statePrices_(tree->statePrices(i)),
> 			discountBondPrice_(discountBondPrice){}
> 
> 
> 
> 		Real operator()(const Real theta) const {
> 			Real value = discountBondPrice_;
> 			Real x = xMin_;
> 			for (Size j=0; j<size_; j++) {
> 				Real discount = std::exp(- fInverse_(theta+x)*dt_);
> 				//std::cout <<"fInverse  " <<fInverse_(theta+x)<<std::endl;
> 				value -= statePrices_[j]*discount;
> 				x += dx_;
> 			}
> 
> 			return value;
> 		}
> 
> 	private:
> 		Size size_;
> 		Time dt_;
> 		Real xMin_, dx_;
> 		const Array& statePrices_;
> 		Real discountBondPrice_;
> 	};
> 
> 	GeneralizedHW::GeneralizedHW(const Handle<YieldTermStructure>&
> yieldtermStructure,
> 		const std::vector<Date>& speedstructure,
> 		const std::vector<Date>& volstructure) : OneFactorModel(2),
> TermStructureConsistentModel(yieldtermStructure),
> 		speedstructure_(speedstructure),
> 		volstructure_(volstructure),
> 		a_(arguments_[0]), sigma_(arguments_[1]){
> 
> 			std::vector<Real>speedperiods;
> 			speedperiods.push_back(0.0);
> 			for (Size i=0;i<speedstructure.size()-1;i++)
> 				speedperiods.push_back(
> 				(speedstructure[i+1]-speedstructure[i])/365.0);
> 
> 			a_ = PiecewiseConstantParameter2(speedperiods);
> 
> 			std::vector<Real>volperiods;
> 			volperiods.push_back(0.0);
> 			for (Size i=0;i<volstructure.size()-1;i++)
> 				volperiods.push_back(
> 				(volstructure[i+1]-volstructure[i])/365.0);
> 
> 			sigma_ = PiecewiseConstantParameter2(volperiods);
> 
> 			a_.setParam(0,0.0001);
> 			sigma_.setParam(0,0.0001);
> 			for (Size i=1; i< a_.size();i++){
> 
> 				a_.setParam(i,0.01*i);
> 
> 			}
> 
> 			for (Size i=1; i< sigma_.size();i++){
> 
> 				sigma_.setParam(i,0.01*i);
> 
> 			}
> 
> 			registerWith(yieldtermStructure);
> 
> 	}
> 
> 
> 	boost::shared_ptr<Lattice> GeneralizedHW::tree(const TimeGrid& grid)
> const{
> 
> 		TermStructureFittingParameter phi(termStructure());
> 		boost::shared_ptr<ShortRateDynamics> numericDynamics(
> 			new Dynamics(phi, speed(), vol()));
> 		boost::shared_ptr<TrinomialTree> trinomial(
> 			new TrinomialTree(numericDynamics->process(), grid)); 
> 		boost::shared_ptr<ShortRateTree> numericTree(
> 			new ShortRateTree(trinomial, numericDynamics, grid));
> 		typedef TermStructureFittingParameter::NumericalImpl NumericalImpl;
> 		boost::shared_ptr<NumericalImpl> impl =
> 			boost::dynamic_pointer_cast<NumericalImpl>(phi.implementation());
> 
> 		impl->reset();
> 		Real value = 1.0;
> 		Real vMin = -50.0;
> 		Real vMax = 50.0;
> 
> 		extern std::vector<Real> shifts;
> 
> 		for (Size i=0; i<(grid.size() - 1); i++) {
> 			vMin = -50.0;
> 			vMax = 50.0;
> 			Real discountBond = termStructure()->discount(grid[i+1]);
> 			Real xMin = trinomial->underlying(i, 0);
> 			Real dx = trinomial->dx(i);
> 			Helper finder(i, xMin, dx, discountBond, numericTree);
> 			value = 0.5*(vMin + vMax);
> 			Brent s1d;
> 			s1d.setMaxEvaluations(1000);
> 			value =s1d.solve(finder, QL_EPSILON, value, vMin, vMax);
> 			impl->set(grid[i], value);
> 			shifts.push_back(value);
> 		}
> 		return numericTree;
> 
> 	}
> 
> 	Handle<YieldTermStructure> GeneralizedHW::speed() const {
> 
> 		std::vector<Real> speedvals;
> 		speedvals.push_back(0.000001);
> 		for (Size i=0;i<a_.size()-1;i++)
> 			speedvals.push_back(
> 			a_(
> 			(speedstructure_[i+1]-speedstructure_[i])/365.0
> 			- 0.00001));
> 
> 		Handle<YieldTermStructure> speed_(boost::shared_ptr<YieldTermStructure>(
> 			new InterpolatedZeroCurve<LogLinear>(speedstructure_, speedvals,
> Actual365Fixed())));
> 
> 		return speed_; 
> 	}
> 
> 	Handle<YieldTermStructure> GeneralizedHW::vol() const {
> 
> 		std::vector<Real> volvals;
> 		volvals.push_back(0.000001);
> 		for (Size i=0;i<sigma_.size()-1;i++)
> 			volvals.push_back(
> 			sigma_(
> 			(speedstructure_[i+1]-speedstructure_[i])/365.0
> 			- 0.00001));
> 
> 		Handle<YieldTermStructure> vol_(boost::shared_ptr<YieldTermStructure>(
> 			new InterpolatedZeroCurve<LogLinear>(volstructure_, volvals,
> Actual365Fixed())));
> 
> 		return vol_; 
> 	}
> 
> }
> --------------- End of GeneralizedHW.cpp-----------------------
> 
> 
http://old.nabble.com/file/p26635940/GeneralizedHW.zip GeneralizedHW.zip 
http://old.nabble.com/file/p26635940/GeneralizedHW.zip GeneralizedHW.zip 
http://old.nabble.com/file/p26635940/GeneralizedHW.zip GeneralizedHW.zip 

-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
-- 
View this message in context: http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-tp26287370p26635940.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] inputs to yield term structures

[<Sla...@go...>]

guys,

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.


do you always have to derive from ZeroCurve?

many thanks,

Slava

Re: [Quantlib-dev] SVN TestSuite Build Error - changing syntheticcdoengines.hpp (line 84) corrected error

[Roland L. <rol...@go...>]

>
> I pulled down the SVN last night and ran a batch build to see how things
> are going.  According to my build syntheticcdoengines.hpp (line 203) throw
> an error C2664.   My previous build ran without this error, the primary
> change being syntheticcdoengines.hpp (line 84) supplied a default value to
> the MidPointCDOEngine.
>
> MidPointCDOEngine (Period stepSize = 0*Days) {}
> I didn't dig into this to understand correctness, but changing this line
> back fixed the build error
>
> Hi Craig,
I see, let me figure out today whether it can be cured without reverting.
Anyway I'll commit something to the trunk tonight (after checking that the
test suite compiles).
Thanks for the hint,
Roland

[Quantlib-dev] [ quantlib-Bugs-2902238 ] test-suite fails debug static x64 build - Fix provided

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

Bugs item #2902238, was opened at 2009-11-23 02:29
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902238&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: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: test-suite fails debug static x64 build - Fix provided

Initial Comment:
Code: QuantLib 0.9.9 svn tips
Configuration: Debug (static runtime) x64
  testsuite - 55 error(s), 5 warning(s)
  Typical Error: error C2514: 'QuantLib::Null<Type>' : class has no constructors
Problem: missing x64 preprocessor definition
Fix: add x64 preprocessor definition
   (i.e., open configuration properties and add x64 definition)

Regards,
c-miller

Note: unresolved runtime test-suite error
QuantLib::detail::quantlib_test_case(&CreditDefaultSwapTest::testImpliedHazardRate)": std::exception: negative time (-0.00273973) given
c:\devwebcode\quant\quantlib\quantlibsvntrunk\quantlib\test-suite\utilities.hpp(78): last checkpoint


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

Comment By: Craig Miller (c-miller)
Date: 2009-12-04 08:24

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=2902238&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2901554 ] Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

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

Bugs item #2901554, was opened at 2009-11-21 03:12
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2901554&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: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

Initial Comment:
----- Original Message ----- 
From: Craig Miller 
To: qua...@li... 
Sent: Friday, November 20, 2009 7:01 PM
Subject: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)


I would like to share an update to QuantLib svn.  The attached 09-11-02 QLSvnTrunk_BuildChangeSummary.zip includes:

1. QuantLib_vc9.vcproj
2. QuantLib_vc9.sln
3. 09-11-20 QuantLibSvnTrunk_BuildChangeSummary.rtf

Summary
1. Fix x64 build errors
2. create Examples folder in solution Explorer which now holds all the example projects
3. notes and build output

Note
I typically use a batch build of all configurations so my Boost path is set appropriately for x86 vs. x64 libraries to link (see attached notes for details).

Craig Miller
cra...@fl...

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

Comment By: Craig Miller (c-miller)
Date: 2009-12-04 08:25

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=2901554&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2901554 ] Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

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

Bugs item #2901554, was opened at 2009-11-20 19:12
Message generated for change (Comment added) made by c-miller
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2901554&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: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

Initial Comment:
----- Original Message ----- 
From: Craig Miller 
To: qua...@li... 
Sent: Friday, November 20, 2009 7:01 PM
Subject: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)


I would like to share an update to QuantLib svn.  The attached 09-11-02 QLSvnTrunk_BuildChangeSummary.zip includes:

1. QuantLib_vc9.vcproj
2. QuantLib_vc9.sln
3. 09-11-20 QuantLibSvnTrunk_BuildChangeSummary.rtf

Summary
1. Fix x64 build errors
2. create Examples folder in solution Explorer which now holds all the example projects
3. notes and build output

Note
I typically use a batch build of all configurations so my Boost path is set appropriately for x86 vs. x64 libraries to link (see attached notes for details).

Craig Miller
cra...@fl...

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

Comment By: Craig Miller (c-miller)
Date: 2009-12-04 00:25

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=2901554&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2902238 ] test-suite fails debug static x64 build - Fix provided

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

Bugs item #2902238, was opened at 2009-11-22 18:29
Message generated for change (Comment added) made by c-miller
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902238&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: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: test-suite fails debug static x64 build - Fix provided

Initial Comment:
Code: QuantLib 0.9.9 svn tips
Configuration: Debug (static runtime) x64
  testsuite - 55 error(s), 5 warning(s)
  Typical Error: error C2514: 'QuantLib::Null<Type>' : class has no constructors
Problem: missing x64 preprocessor definition
Fix: add x64 preprocessor definition
   (i.e., open configuration properties and add x64 definition)

Regards,
c-miller

Note: unresolved runtime test-suite error
QuantLib::detail::quantlib_test_case(&CreditDefaultSwapTest::testImpliedHazardRate)": std::exception: negative time (-0.00273973) given
c:\devwebcode\quant\quantlib\quantlibsvntrunk\quantlib\test-suite\utilities.hpp(78): last checkpoint


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

Comment By: Craig Miller (c-miller)
Date: 2009-12-04 00:24

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=2902238&group_id=12740

[Quantlib-dev] SVN TestSuite Build Error - changing syntheticcdoengines.hpp (line 84) corrected error

[Craig M. <cra...@ya...>]

I pulled down the SVN last night and ran a batch build to see how things are going.  According to my build syntheticcdoengines.hpp (line 203) throw an error C2664.   My previous build ran without this error, the primary change being syntheticcdoengines.hpp (line 84) supplied a default value to the MidPointCDOEngine.
       
MidPointCDOEngine (Period stepSize = 0*Days) {}

I didn't dig into this to understand correctness, but changing this line back fixed the build error

Regards,
cm

FYI: full build output is available if needed

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Build Configuration
1. Visual Studio 2008 Professional
2. Boost library version 1.41 
3. Batch build of all QuantLib and testsuite projects
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
First Batch Build: typical build error
All testsuite project configurations report this error:

..\ql/experimental/credit/syntheticcdoengines.hpp(203) : error C2664: 'QuantLib::MidPointCDOEngine::MidPointCDOEngine(const QuantLib::MidPointCDOEngine &)' : cannot convert parameter 1 from 'QuantLib::Period' to 'const QuantLib::MidPointCDOEngine &'
        Reason: cannot convert from 'QuantLib::Period' to 'const QuantLib::MidPointCDOEngine'
        No user-defined-conversion operator available that can perform this conversion, or the operator cannot be called
        ..\ql/experimental/credit/syntheticcdoengines.hpp(201) : while compiling class template member function 'QuantLib::InhomogeneousPoolCDOEngine<CDOEngine>::InhomogeneousPoolCDOEngine(const QuantLib::Handle<T>,QuantLib::Size,QuantLib::Period)'
        with
        [
            CDOEngine=QuantLib::MidPointCDOEngine,
            T=QuantLib::OneFactorCopula
        ]
        .\cdo.cpp(155) : see reference to class template instantiation 'QuantLib::InhomogeneousPoolCDOEngine<CDOEngine>' being compiled
        with
        [
            CDOEngine=QuantLib::MidPointCDOEngine
        ]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Second Batch Build: Changed the syntheticcdoengines.hpp(84) back to previous syntax
   MidPointCDOEngine (Period stepSize = 0*Days) {}
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Second Batch Build Summary built clean without 

###1
------ Build started: Project: QuantLib, Configuration: Debug (static runtime) x64 ------
QuantLib - 0 error(s), 0 warning(s)

###2
------ Build started: Project: QuantLib, Configuration: Debug (static runtime) Win32 ------
QuantLib - 0 error(s), 0 warning(s)

###3
------ Build started: Project: QuantLib, Configuration: Release (static runtime) x64 ------
QuantLib - 0 error(s), 0 warning(s)

###4
------ Build started: Project: QuantLib, Configuration: Release (static runtime) Win32 ------
QuantLib - 0 error(s), 0 warning(s)

###5
------ Build started: Project: QuantLib, Configuration: Debug x64 ------
QuantLib - 0 error(s), 0 warning(s)

###6
------ Build started: Project: QuantLib, Configuration: Debug Win32 ------
QuantLib - 0 error(s), 0 warning(s)

###7
------ Build started: Project: QuantLib, Configuration: Release x64 ------
QuantLib - 0 error(s), 0 warning(s)

###8
------ Build started: Project: QuantLib, Configuration: Release Win32 ------
QuantLib - 0 error(s), 0 warning(s)

###9
------ Build started: Project: testsuite, Configuration: Release x64 ------
Tests completed in 22 m 47 s
Test suite "Master Test Suite" passed with:
  1688 assertions out of 1688 passed
  445 test cases out of 445 passed
testsuite - 0 error(s), 11 warning(s)

###10
------ Build started: Project: testsuite, Configuration: Release Win32 ------
Tests completed in 26 m 49 s
Test suite "Master Test Suite" passed with:
  1688 assertions out of 1688 passed
  445 test cases out of 445 passed
testsuite - 0 error(s), 0 warning(s)

###11
------ Build started: Project: testsuite, Configuration: Debug x64 ------
testsuite - 0 error(s), 11 warning(s)

###12
------ Build started: Project: testsuite, Configuration: Debug Win32 ------
testsuite - 0 error(s), 0 warning(s)

###13
------ Build started: Project: testsuite, Configuration: Release (static runtime) x64 ------
Tests completed in 21 m 8 s
Test suite "Master Test Suite" passed with:
  1688 assertions out of 1688 passed
  445 test cases out of 445 passed
testsuite - 0 error(s), 11 warning(s)

###14
------ Build started: Project: testsuite, Configuration: Release (static runtime) Win32 ------
Tests completed in 25 m 19 s
Test suite "Master Test Suite" passed with:
  1688 assertions out of 1688 passed
  445 test cases out of 445 passed
testsuite - 0 error(s), 0 warning(s)

###15
------ Build started: Project: testsuite, Configuration: Debug (static runtime) x64 ------
testsuite - 0 error(s), 11 warning(s)

###16
------ Build started: Project: testsuite, Configuration: Debug (static runtime) Win32 ------
testsuite - 0 error(s), 0 warning(s)
========== Build: 16 succeeded, 0 failed, 0 up-to-date, 0 skipped ==========

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

[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 (Tracker Item Submitted) made by hachemidxp
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2908279&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: 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: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2908279&group_id=12740

[Quantlib-dev] unreferenced formal parameters in TsiveriotisFernandesLattice (convertible bond)

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

Hi all

in TsiveriotisFernandesLattice(const boost::shared_ptr<T>& tree,
                                Rate riskFreeRate,
                               Time end,
                                Size steps,
                               Spread creditSpread,
                                Volatility sigma,
                               Spread divYield);

sigma and divYield are not used:

warning C4100: 'divYield' : unreferenced formal parameter
c:\Projects\QuantLib\trunk\QuantLib\ql\methods\lattices\tflattice.hpp 77
warning C4100: 'sigma' : unreferenced formal parameter
c:\Projects\QuantLib\trunk\QuantLib\ql\methods\lattices\tflattice.hpp 76

inquiring mind wants to know... ;-)

ciao -- Nando

Re: [Quantlib-dev] unreferenced formal parameters in Commodity unitofmeasureconversion code

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

On Thu, 2009-12-03 at 15:54 +0100, Luigi Ballabio wrote:
> On Thu, 2009-12-03 at 15:47 +0100, Ferdinando Ametrano wrote:
> > I've fixed what I think is a bug in UnitOfMeasureConversion and
> > consequently enabled some commented out code in
> > UnitOfMeasureConversionManager:
> > http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=16858
> > 
> > anyone using (or interested into) the commodity code please take a look at it
> 
> Done. For the readability of the logic, I much preferred directLookup
> and smartLookup to lookupImpl(true) and lookupImpl(false).

...and from what I see, the smart lookup is still broken.
I'll give it a look later.

Luigi


-- 

Steinbach's Guideline for Systems Programming: 
Never test for an error condition you don't know how to handle. 

Re: [Quantlib-dev] unreferenced formal parameters in Commodity unitofmeasureconversion code

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

On Thu, 2009-12-03 at 15:47 +0100, Ferdinando Ametrano wrote:
> I've fixed what I think is a bug in UnitOfMeasureConversion and
> consequently enabled some commented out code in
> UnitOfMeasureConversionManager:
> http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=16858
> 
> anyone using (or interested into) the commodity code please take a look at it

Done. For the readability of the logic, I much preferred directLookup
and smartLookup to lookupImpl(true) and lookupImpl(false).

Luigi


-- 

If you can't convince them, confuse them. 
-- Harry S. Truman 

Re: [Quantlib-dev] unreferenced formal parameters in Commodity unitofmeasureconversion code

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

Hi all

I've fixed what I think is a bug in UnitOfMeasureConversion and
consequently enabled some commented out code in
UnitOfMeasureConversionManager:
http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=16858

anyone using (or interested into) the commodity code please take a look at it

ciao -- Nando

On Fri, Nov 27, 2009 at 12:23 PM, Ferdinando Ametrano
<na...@am...> wrote:
> Hi all
>
> as you probably guessed I'm doing some lint activity for 1.0 release,
> so expect some more "unreferenced formal parameters" message from me.
>
> Feel free to trash all of them ;-) but if you are the author or you
> have some familiarity with the code referenced please consider helping
>
> warning C4100: 'forbidden' : unreferenced formal
> parameter       c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\commodities\unitofmeasureconversionmanager.cpp      176
> warning C4100: 'r2' : unreferenced formal
> parameter       c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\commodities\unitofmeasureconversion.cpp     71
>
> For unreferenced formal parameter there are 3 possible alternatives:
>
> 1) keep the parameter, just remove its name. This might be the case if
> you're inheriting the signature, but the parameter doesn't make sense
> in your implementation
> 2) use the parameter. Not using it was a genuine bug
> 3) remove the parameter as it is not needed
>
> ciao -- Nando
>
> RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano
>

Re: [Quantlib-dev] Off Topic: in search of current email address of J. Erik Radmall

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

On Fri, Nov 27, 2009 at 5:48 PM, Ferdinando Ametrano <na...@am...> wrote:
> Hi all
>
> I need to get in touch with J. Erik Radmall about some code he's contributed.
> If anyone has his current address please contact me off-list

as a follow-up, I fixed what I think was a bug in
UnitOfMeasureConversion and consequently enabled some commented out
code in UnitOfMeasureConversionManager:
http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=16858

ciao -- Nando

Re: [Quantlib-dev] unreferenced formal parameter in credit code

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

thank you Roland.
I've muted those two parameters you wanted/had to keep.

ciao -- Nando

On Wed, Dec 2, 2009 at 5:21 PM, Roland Lichters
<rol...@go...> wrote:
>> warning C4100: 'i' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\onefactorcopula.hpp
>>  264
>
> I'd like to keep the parameter to allow varying grid size for the copula
> integration in the future.
>
>>
>> warning C4100: 'stepSize' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\syntheticcdoengines.hpp
>>      84
>
> Removed the parameter.
>
>>
>> warning C4100: 'floatDayCount' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\riskyassetswap.cpp
>>   192
>> warning C4100: 'floatConvention' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\riskyassetswap.cpp
>>   191
>
> Fixed two bugs here, now using the parameters, thanks!
>
>>
>> warning C4100: 'date' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\riskybond.cpp
>>    76
>
> Removed the parameter.
>
>>
>> warning C4100: 'd' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\syntheticcdoengines.hpp
>>      164
>
> Kept the parameter (due to inheritance)
>
>>
>> warning C4100: 'buckets' : unreferenced formal
>> parameter
>> c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\credit\distribution.cpp
>>     280
>
> Removed the parameter.
> I have committed the changes to the trunk.
> Regards,
> Roland
>