quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Curve serialisation

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

alive_ = 2 means that you have two deposits.  dates[0] is the
reference date of the curve.  dates[1] is the pillar of the first
deposit.  What is the value of dates[2], i.e., the pillar of the
second deposit?  If it is equal to dates[1], which seems to be the
case, how are you initializing the deposits?

Luigi

On Thu, Mar 21, 2019 at 9:34 PM R S <raj...@ho...> wrote:
>
> I have been debugging the following use case
>
> Two DepositHelper constructed with the following rates and periods:
>    0.0382, 1 * Weeks
>    0.0372, 4 * Weeks
>
> with following parameters:
>    DayCounter dayCounter = Actual360();
>    BusinessDayConvention bizDayConv = ModifiedFollowing;
>    int fixingDays = 2;
>    Date settlementDate(1, September, 2010);
>    double tolerance = 1.0e-15;
>
> I am constructing a
>    PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper, ActualActual(ActualActual::ISDA), tolerance)
>
> I am actually constructing the shared pointer as follows:
> boost::shared_ptr<PiecewiseYieldCurve<Discount, LogLinear>> depoSwapTermStructure(
>        new PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper,
>                                                                                           ActualActual(ActualActual::ISDA),
>                                                                                           tolerance)
>  );
>
> All executes well except when i try and do this:
>
>  vector<Date> curvedates = depoSwapTermStructure->dates();
>
> The exception is:
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): more than one instrument with pillar September 8th, 2010
> Process finished with exit code 134 (interrupted by signal 6: SIGABRT)
>
> This happens at line 111 (for loop) of iterativebootstrap.hpp
>
> At line 102, dates array is defined as:
>         dates.resize(alive_+1); where alive_ = 2
>
> firstDate is set to 40422 (1/Sep/2010) which becomes dates[0]
>
> The pillar date is set to 40429 (8/Sep/2010) on the DepositHelpers which becomes dates[1]
>
> which ends up satisfying this condition:
>             QL_REQUIRE(dates[i-1]!=dates[i],
> "more than one instrument with pillar " << dates[i]);
>
> Clearly I am missing an important step in the bootstrap before I extract the dates and rates out (I want to extract the forward rates to feed it back to an InterpolatedCurve to avoid repeating bootstrap)
>
> Any pointers would be appreciated
>
>
> Regards
> -RS
> On 13 Mar 2019, 11:57 +0000, Eric Ehlers , wrote:
>
> All three files received - curve_hydration.zip, curve_hydration.tar, and curve_hydration.tar.gz. I will take a look this weekend and report back here.
>
> Regards,
>
> Eric
>
> On 12/03/2019 20:32, R S wrote:
>
> zip was blocked, tar was too large. Trying to send as tar.gz
>
>
>
> Regards
> -RS
> On 11 Mar 2019, 15:10 +0000, Eric Ehlers <eri...@re...>, wrote:
>
> Would you mind sending over the smallest standalone program that recreates the error?
>
> Regards,
>
> Eric
>
> On 08/03/2019 21:16, R S wrote:
>
> As advised here
> http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html
>
> I am attempting to save date and rates from my curve in order to reconstruct it (avoid bootstrap)
>
> I am taking a pre-canned example with deposit and swap helpers
>
>     rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
>     rates.push_back(0.0372);       qlperiods.push_back(1 * Months);
>     rates.push_back(0.037125);   qlperiods.push_back(2 * Years);
>
> (I have more but I have narrowed it to these to keep it simple)
>
> First two go into building DepositRateHelper and the last one, SwapRateHelper
>
> I then construct a PiecewiseYieldCurve<Discount, LogLinear>
>
> When I try to print the dates and rates from. this. depoSwap curve
>
>    vector<Date> curvedates = depoSwapTermStructure->dates();
>    vector<Real> curverates = depoSwapTermStructure->data();
>
>    vector<Real>::iterator ri = curverates.begin();
>    for (vector<Date>::iterator it = curvedates.begin(); it != curvedates.end(); it++) {
>        cout << *it << " : " << *ri << endl;
>        ri++;
>    }
>
> I keep getting this error
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): more than one instrument with pillar March 19th, 2019
>
> Settlement is set to
>     Date settlementDate(1, September, 2010);
>
> The error stops if i comment out
>     rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
>
> I am lost as to why
>
>
>
> Regards
> -RS
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Curve serialisation

[R S <raj...@ho...>]

I have been debugging the following use case

Two DepositHelper constructed with the following rates and periods:
   0.0382, 1 * Weeks
   0.0372, 4 * Weeks

with following parameters:
   DayCounter dayCounter = Actual360();
   BusinessDayConvention bizDayConv = ModifiedFollowing;
   int fixingDays = 2;
   Date settlementDate(1, September, 2010);
   double tolerance = 1.0e-15;

I am constructing a
   PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper, ActualActual(ActualActual::ISDA), tolerance)

I am actually constructing the shared pointer as follows:
boost::shared_ptr<PiecewiseYieldCurve<Discount, LogLinear>> depoSwapTermStructure(
       new PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper,
                                                                                          ActualActual(ActualActual::ISDA),
                                                                                          tolerance)
 );

All executes well except when i try and do this:

 vector<Date> curvedates = depoSwapTermStructure->dates();

The exception is:
terminate called after throwing an instance of 'QuantLib::Error'
what(): more than one instrument with pillar September 8th, 2010
Process finished with exit code 134 (interrupted by signal 6: SIGABRT)

This happens at line 111 (for loop) of iterativebootstrap.hpp

At line 102, dates array is defined as:
        dates.resize(alive_+1); where alive_ = 2

firstDate is set to 40422 (1/Sep/2010) which becomes dates[0]

The pillar date is set to 40429 (8/Sep/2010) on the DepositHelpers which becomes dates[1]

which ends up satisfying this condition:
            QL_REQUIRE(dates[i-1]!=dates[i],
"more than one instrument with pillar " << dates[i]);

Clearly I am missing an important step in the bootstrap before I extract the dates and rates out (I want to extract the forward rates to feed it back to an InterpolatedCurve to avoid repeating bootstrap)

Any pointers would be appreciated


Regards
-RS
On 13 Mar 2019, 11:57 +0000, Eric Ehlers , wrote:

All three files received - curve_hydration.zip, curve_hydration.tar, and curve_hydration.tar.gz. I will take a look this weekend and report back here.

Regards,

Eric

On 12/03/2019 20:32, R S wrote:
zip was blocked, tar was too large. Trying to send as tar.gz



Regards
-RS
On 11 Mar 2019, 15:10 +0000, Eric Ehlers <eri...@re...><mailto:eri...@re...>, wrote:

Would you mind sending over the smallest standalone program that recreates the error?

Regards,

Eric

On 08/03/2019 21:16, R S wrote:
As advised here
http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html

I am attempting to save date and rates from my curve in order to reconstruct it (avoid bootstrap)

I am taking a pre-canned example with deposit and swap helpers

    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
    rates.push_back(0.0372);       qlperiods.push_back(1 * Months);
    rates.push_back(0.037125);   qlperiods.push_back(2 * Years);

(I have more but I have narrowed it to these to keep it simple)

First two go into building DepositRateHelper and the last one, SwapRateHelper

I then construct a PiecewiseYieldCurve<Discount, LogLinear>

When I try to print the dates and rates from. this. depoSwap curve

   vector<Date> curvedates = depoSwapTermStructure->dates();
   vector<Real> curverates = depoSwapTermStructure->data();

   vector<Real>::iterator ri = curverates.begin();
   for (vector<Date>::iterator it = curvedates.begin(); it != curvedates.end(); it++) {
       cout << *it << " : " << *ri << endl;
       ri++;
   }

I keep getting this error
terminate called after throwing an instance of 'QuantLib::Error'
what(): more than one instrument with pillar March 19th, 2019

Settlement is set to
    Date settlementDate(1, September, 2010);

The error stops if i comment out
    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);

I am lost as to why



Regards
-RS




_______________________________________________
QuantLib-dev mailing list
Qua...@li...<mailto:Qua...@li...>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Curve serialisation

[Eric E. <eri...@re...>]

All three files received - curve_hydration.zip, curve_hydration.tar, and 
curve_hydration.tar.gz.  I will take a look this weekend and report back 
here.

Regards,

Eric

On 12/03/2019 20:32, R S wrote:
> zip was blocked, tar was too large. Trying to send as tar.gz
>
>
>
> Regards
> -RS
> On 11 Mar 2019, 15:10 +0000, Eric Ehlers <eri...@re...>, wrote:
>>
>> Would you mind sending over the smallest standalone program that 
>> recreates the error?
>>
>> Regards,
>>
>> Eric
>>
>> On 08/03/2019 21:16, R S wrote:
>>> As advised here
>>> http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html
>>>
>>> I am attempting to save date and rates from my curve in order to 
>>> reconstruct it (avoid bootstrap)
>>>
>>> I am taking a pre-canned example with deposit and swap helpers
>>>
>>>     rates.push_back(0.0382); qlperiods.push_back(5 * Days);
>>>     rates.push_back(0.0372); qlperiods.push_back(1 * Months);
>>> rates.push_back(0.037125);   qlperiods.push_back(2 * Years);
>>>
>>> (I have more but I have narrowed it to these to keep it simple)
>>>
>>> First two go into building DepositRateHelper and the last 
>>> one, SwapRateHelper
>>>
>>> I then construct a PiecewiseYieldCurve<Discount, LogLinear>
>>>
>>> When I try to print the dates and rates from. this. depoSwap curve
>>>
>>>    vector<Date> curvedates = depoSwapTermStructure->dates();
>>>    vector<Real> curverates = depoSwapTermStructure->data();
>>>
>>>    vector<Real>::iterator ri = curverates.begin();
>>>    for (vector<Date>::iterator it = curvedates.begin(); it != 
>>> curvedates.end(); it++) {
>>>        cout << *it << " : " << *ri << endl;
>>>        ri++;
>>>    }
>>>
>>> I keep getting this error
>>> terminate called after throwing an instance of 'QuantLib::Error'
>>> what(): more than one instrument with pillar March 19th, 2019
>>>
>>> Settlement is set to
>>>     Date settlementDate(1, September, 2010);
>>>
>>> The error stops if i comment out
>>> rates.push_back(0.0382); qlperiods.push_back(5 * Days);
>>>
>>> I am lost as to why
>>>
>>>
>>>
>>> Regards
>>> -RS
>>>
>>>
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Curve serialisation

[R S <raj...@ho...>]

zip was blocked, tar was too large. Trying to send as tar.gz



Regards
-RS
On 11 Mar 2019, 15:10 +0000, Eric Ehlers <eri...@re...>, wrote:

Would you mind sending over the smallest standalone program that recreates the error?

Regards,

Eric

On 08/03/2019 21:16, R S wrote:
As advised here
http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html

I am attempting to save date and rates from my curve in order to reconstruct it (avoid bootstrap)

I am taking a pre-canned example with deposit and swap helpers

    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
    rates.push_back(0.0372);       qlperiods.push_back(1 * Months);
    rates.push_back(0.037125);   qlperiods.push_back(2 * Years);

(I have more but I have narrowed it to these to keep it simple)

First two go into building DepositRateHelper and the last one, SwapRateHelper

I then construct a PiecewiseYieldCurve<Discount, LogLinear>

When I try to print the dates and rates from. this. depoSwap curve

   vector<Date> curvedates = depoSwapTermStructure->dates();
   vector<Real> curverates = depoSwapTermStructure->data();

   vector<Real>::iterator ri = curverates.begin();
   for (vector<Date>::iterator it = curvedates.begin(); it != curvedates.end(); it++) {
       cout << *it << " : " << *ri << endl;
       ri++;
   }

I keep getting this error
terminate called after throwing an instance of 'QuantLib::Error'
what(): more than one instrument with pillar March 19th, 2019

Settlement is set to
    Date settlementDate(1, September, 2010);

The error stops if i comment out
    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);

I am lost as to why



Regards
-RS




_______________________________________________
QuantLib-dev mailing list
Qua...@li...<mailto:Qua...@li...>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] QuantLib (and QuantLib-SWIG) for Python 2.7 on Windows

[<seb...@sc...>]

Hi Luigi, 

thanks for your mail. Thanks to a hint I actually tried using VS 2015 to
build the Python 2.7 interface and it perfectly worked. 

It seems as long as you are carefull with allocating/freeing memory you
may use DLLs compiled with different compilers together:

https://groups.google.com/forum/#!topic/mingwpy/xUyIRLqcrOs 

Thanks, Sebastian 

Am 2019-03-11 16:57, schrieb Luigi Ballabio:

> You can use QuantLib 1.13, which still included support for VC++ 2008.
> If you want to use later versions, you can try updating the project,
> but I'm not sure that everything will compile.
> 
> Luigi
> 
> On Wed, Mar 6, 2019 at 8:16 PM <seb...@sc...> wrote: 
> 
>> Hi,
>> 
>> I would like to compile QuantLib and QuantLib-SWIG interface for Python 2.7. My understanding is that I need Visual C++ 2008 with Visual Compiler 9.0 for that task.
>> 
>> However, the quantlib.cmake file states "Compiler below VC++2010 is not supported".
>> 
>> Could anyone advise on how to compile QuantLib for Python 2.7?
>> 
>> Thanks
>> 
>> Sebastian
>> 
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Serialising YieldTermStructure

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

You can use the InterpolatedForwardCurve class, which is used
underneath PiecewiseYieldCurve when you select the ForwardRate traits.
Once you bootstrap your curve, extract curve.dates(), curve.forwards()
and curve.dayCounter() and serialize them.  Later, deserialize them
and pass them to the InterpolatedForwardCurve constructor.  You'll
have to instantiate it with the same interpolator you used for the
bootstrap, so, for instance, PiecewiseYieldCurve<ForwardRate,
BackwardFlat> can be deserialized into an
InterpolatedForwardCurve<BackwardFlat>.

Other traits have corresponding interpolated curves.

Hope this helps,
    Luigi

On Fri, Mar 1, 2019 at 5:50 PM rajs1 <raj...@ho...> wrote:
>
> I have seen quite a few older posts on this. What I am trying to do is to send the curve(s) data (in AVRO) along with the swaptrade (AVRO) together. I want to avoid the bootstrap process - so want to resurrect YieldTermStructure from, say, forward rates From 2012, this link: http://quantlib.10058.n7.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-td5242.html talks about building a PiecewiseYieldCurve with TraitsID=ForwardRate. The curve points will be represented internally as forward rates from which - I presume - one could get back to YieldTermStructure. However, most examples deal with QuantlibXL addin. Is there anyone who could point me to a bare bones C++ skeleton (on which I can build and test please)? If there are alternative ideas - I am happy to try and even post back blogs for posterity. Thanks in advance
> ________________________________
> Sent from the quantlib-dev mailing list archive at Nabble.com.
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] QuantLib (and QuantLib-SWIG) for Python 2.7 on Windows

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

You can use QuantLib 1.13, which still included support for VC++ 2008.
If you want to use later versions, you can try updating the project,
but I'm not sure that everything will compile.

Luigi

On Wed, Mar 6, 2019 at 8:16 PM <seb...@sc...> wrote:
>
> Hi,
>
> I would like to compile QuantLib and QuantLib-SWIG interface for Python 2.7. My understanding is that I need Visual C++ 2008 with Visual Compiler 9.0 for that task.
>
> However, the quantlib.cmake file states "Compiler below VC++2010 is not supported".
>
> Could anyone advise on how to compile QuantLib for Python 2.7?
>
> Thanks
>
> Sebastian
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Curve serialisation

[Eric E. <eri...@re...>]

Would you mind sending over the smallest standalone program that 
recreates the error?

Regards,

Eric

On 08/03/2019 21:16, R S wrote:
> As advised here
> http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html
>
> I am attempting to save date and rates from my curve in order to 
> reconstruct it (avoid bootstrap)
>
> I am taking a pre-canned example with deposit and swap helpers
>
>     rates.push_back(0.0382); qlperiods.push_back(5 * Days);
>     rates.push_back(0.0372); qlperiods.push_back(1 * Months);
> rates.push_back(0.037125);   qlperiods.push_back(2 * Years);
>
> (I have more but I have narrowed it to these to keep it simple)
>
> First two go into building DepositRateHelper and the last 
> one, SwapRateHelper
>
> I then construct a PiecewiseYieldCurve<Discount, LogLinear>
>
> When I try to print the dates and rates from. this. depoSwap curve
>
>    vector<Date> curvedates = depoSwapTermStructure->dates();
>    vector<Real> curverates = depoSwapTermStructure->data();
>
>    vector<Real>::iterator ri = curverates.begin();
>    for (vector<Date>::iterator it = curvedates.begin(); it != 
> curvedates.end(); it++) {
>        cout << *it << " : " << *ri << endl;
>        ri++;
>    }
>
> I keep getting this error
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): more than one instrument with pillar March 19th, 2019
>
> Settlement is set to
>     Date settlementDate(1, September, 2010);
>
> The error stops if i comment out
> rates.push_back(0.0382); qlperiods.push_back(5 * Days);
>
> I am lost as to why
>
>
>
> Regards
> -RS
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Curve serialisation

[R S <raj...@ho...>]

As advised here
http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html

I am attempting to save date and rates from my curve in order to reconstruct it (avoid bootstrap)

I am taking a pre-canned example with deposit and swap helpers

    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
    rates.push_back(0.0372);       qlperiods.push_back(1 * Months);
    rates.push_back(0.037125);   qlperiods.push_back(2 * Years);

(I have more but I have narrowed it to these to keep it simple)

First two go into building DepositRateHelper and the last one, SwapRateHelper

I then construct a PiecewiseYieldCurve<Discount, LogLinear>

When I try to print the dates and rates from. this. depoSwap curve

   vector<Date> curvedates = depoSwapTermStructure->dates();
   vector<Real> curverates = depoSwapTermStructure->data();

   vector<Real>::iterator ri = curverates.begin();
   for (vector<Date>::iterator it = curvedates.begin(); it != curvedates.end(); it++) {
       cout << *it << " : " << *ri << endl;
       ri++;
   }

I keep getting this error
terminate called after throwing an instance of 'QuantLib::Error'
what(): more than one instrument with pillar March 19th, 2019

Settlement is set to
    Date settlementDate(1, September, 2010);

The error stops if i comment out
    rates.push_back(0.0382);       qlperiods.push_back(5 * Days);

I am lost as to why



Regards
-RS

[Quantlib-dev] QuantLib (and QuantLib-SWIG) for Python 2.7 on Windows

[<seb...@sc...>]

Hi, 

I would like to compile QuantLib and QuantLib-SWIG interface for Python
2.7. My understanding is that I need Visual C++ 2008 with Visual
Compiler 9.0 for that task. 

However, the quantlib.cmake file states "Compiler below VC++2010 is not
supported". 

Could anyone advise on how to compile QuantLib for Python 2.7? 

Thanks 

Sebastian

[Quantlib-dev] Serialising YieldTermStructure

[rajs1 <raj...@ho...>]

I have seen quite a few older posts on this. What I am trying to do is to
send the curve(s) data (in AVRO) along with the swaptrade (AVRO) together. 

I want to avoid the bootstrap process - so want to resurrect
YieldTermStructure from, say, forward rates 

>From 2012, this link: 
http://quantlib.10058.n7.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-td5242.html

talks about building a PiecewiseYieldCurve with TraitsID=ForwardRate. The
curve points will be represented internally as forward rates from which - I
presume - one could get back to YieldTermStructure. 

However, most examples deal with QuantlibXL addin. Is there anyone who could
point me to a bare bones C++ skeleton (on which I can build and test
please)? 

If there are alternative ideas - I am happy to try and even post back blogs
for posterity. 

Thanks in advance



--
Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html

[Quantlib-dev] Serialising YieldTermStructure

[rajs1 <raj...@ho...>]

I have seen quite a few older posts on this. What I am trying to do is to
send the curve(s) data (in AVRO) along with the swaptrade (AVRO) together. I
want to avoid the bootstrap process - so want to resurrect
YieldTermStructure from, say, forward rates From 2012, this link:
http://quantlib.10058.n7.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-td5242.htmltalks
about building a PiecewiseYieldCurve with TraitsID=ForwardRate. The curve
points will be represented internally as forward rates from which - I
presume - one could get back to YieldTermStructure. However, most examples
deal with QuantlibXL addin. Is there anyone who could point me to a bare
bones C++ skeleton (on which I can build and test please)? If there are
alternative ideas - I am happy to try and even post back blogs for
posterity. Thanks in advance



--
Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html

Re: [Quantlib-dev] High_resolution_date subtracting

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

You might also export to Python the function `daysBetween`, that returns
the number of days between two dates including the fractional part due to
time.  Adding its declaration:

    Time daysBetween(const Date&, const Date&);

to QuantLib-SWIG/SWIG/date.i and recompiling the Python module will make it
available.

Luigi


On Fri, Feb 22, 2019 at 5:49 PM Klaus Spanderen <kl...@sp...> wrote:

> Hi
>
>
>
> maybe the following function is of help, which adds a fraction of a year
> to a date.
>
>
>
> def plusDt(date, dt):
>
> return ql.Date(date.dayOfMonth(), date.month(), date.year(),
>
> date.hours(), date.minutes(),
>
> date.seconds() + round(dt*365*24*60*60),
>
> date.milliseconds(), date.microseconds())
>
>
>
> This function returns the following dates
>
>
>
> plusDt(ql.Date(1,1, 2019), 1)
>
> --> 2020-01-01T00:00:00,000000
>
>
>
> plusDt(ql.Date(1,1, 2019), 1.0/365.0)
>
> --> 2019-01-02T00:00:00,000000
>
>
>
> print(plusDt(ql.Date(1,1, 2019), 0.5/365.0))
>
> --> 2019-01-01T12:00:00,000000
>
>
>
> For the reverse operation (or subtracting two date time stamps) IMO you
> can use ql.Actual365Fixed().yearFraction(date1, date2), e.g.
>
>
>
> ql.Actual365Fixed().yearFraction(
>
> ql.Date(1,1,2019), plusDt(ql.Date(1,1,2019),0.5/365.))
>
> --> 0.001369863
>
>
>
> best regards
>
> Klaus
>
>
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] High_resolution_date subtracting

[Klaus S. <kl...@sp...>]

Hi

maybe the following function is of help, which adds a fraction of a year to a date.

def plusDt(date, dt):
    return ql.Date(date.dayOfMonth(), date.month(), date.year(),
                   date.hours(), date.minutes(), 
                   date.seconds() + round(dt*365*24*60*60),
                   date.milliseconds(), date.microseconds())

This function returns the following dates

plusDt(ql.Date(1,1, 2019), 1) 
--> 2020-01-01T00:00:00,000000

plusDt(ql.Date(1,1, 2019), 1.0/365.0)  
--> 2019-01-02T00:00:00,000000

print(plusDt(ql.Date(1,1, 2019), 0.5/365.0)) 
--> 2019-01-01T12:00:00,000000

For the reverse operation (or subtracting two date time stamps) IMO you can use 
ql.Actual365Fixed().yearFraction(date1, date2), e.g. 

ql.Actual365Fixed().yearFraction(
    ql.Date(1,1,2019), plusDt(ql.Date(1,1,2019),0.5/365.))
--> 0.001369863

best regards
Klaus

[Quantlib-dev] QuantLib 1.15 released

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

Hello everybody,
    QuantLib 1.15 has been released and is available for download at <
http://quantlib.org/download.shtml>.

The list of changes for this release is at <
http://quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

[Quantlib-dev] High_resolution_date subtracting

[LovingTheCane <tun...@gm...>]

Hi, 

I compiled the C++ library with high_resolution_date uncommented and am now
using it to value options intraday. Its quite nice. 

The only problem I am coming across is when I am trying to calc theta. 

Below is how I would normally calculate it. With .0027777 being a fraction
of a year which is a day. Then adding the fraction to time which is again a
fraction of a year(less than a day) then calculating the delta between those
then multiplied by -1. The only problem im having is when you subtract dates
in the python version it doesnt do fractions of a day. AND when im plugging
in the date to the american option pricing engine obviously those take
ql.Dates. 



def get_theta(self, dt = 0.0027777): 
        
        
        self.time += dt 
        self.get_price_delta() 
        after_price = self.calc_price 
        self.time -= dt 
        self.get_price_delta() 
        orig_price = self.calc_price 
        self.theta = (after_price - orig_price) * (-1) 



This is how I am currently doing it but am having problems. 
def theta(self): 
        #set calculation date to +1 hour then calculate the price 
        self.calculation_date =
ql.Date(self.day+1,self.month,self.year,self.hour,self.min,self.sec,self.micro) 
        self.expiration_date =
ql.Date(self.day1+1,self.month1,self.year1,self.hour1,self.minute1,self.sec1,self.micro1) 
        self.initialize_pricing_engine(self.calculation_date,
self.expiration_date) 
        self.get_price_binomial() 
        after_price = self.american_option.NPV()       
        
        #self calc date to -1 hour then calc the price 
        self.calculation_date =
ql.Date(self.day-1,self.month,self.year,self.hour,self.min,self.sec,self.micro)                 
        self.expiration_date =
ql.Date(self.day1,self.month1,self.year1,self.hour1,self.minute1,self.sec1,self.micro1) 
        self.initialize_pricing_engine(self.calculation_date,
self.expiration_date) 
        self.get_price_binomial() 
        orig_price = self.american_option.NPV() 
        #calculate theta by taking the price diff * -1 
        theta = (after_price - orig_price ) * (-1) 
        return theta 

So I have a bunch of variables I get from a string, then save them to
variables. the self.day and so on. 

I have a solution but its so wacky that I thought it would be better to post
it here. The only solution I can think of, is to convert the ql.Dates into
fractions of a year in my theta calc then do the calculation the first way I
thought of it above, but that would require I process the fractions back
into dates in the binomial pricing model then get the price. 

Is there a timedelta or a way to get an int from subtracting two ql.Dates?
like if i subtract 10am from 1600 it should be 6 hours divided by 22 hours
(the last day session(6pm-4pm) or to get the pricing engine to take
fractions of a year?



--
Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html

Re: [Quantlib-dev] C++11

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

Anubha,
    apologies for the delay.  As for now, we're still keeping QuantLib on
the C++03 standard to accommodate users with older compilers.
I'm doing some experiments with C++11 (see
https://www.implementingquantlib.com/posts/leaving-cpp03.html) but there's
not much going on...

Luigi


On Thu, Jan 17, 2019 at 1:44 PM anu...@gm... <
anu...@gm...> wrote:

> Dear Luigi,
>
> I am very keen to make contributions to the quantlib in C++11/14.
>
> Please, can you give me some advice on how to start with this.
>
> Best,
>
> Anubha
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] C++11

[<anu...@gm...>]

Dear Luigi,

I am very keen to make contributions to the quantlib in C++11/14. 

Please, can you give me some advice on how to start with this.

Best,

Anubha



--
Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html

[Quantlib-dev] ORE @ Frankfurt...

[Richard M. <dr....@gm...>]

Hi Roland,

Really interesting to hear that the ORE is going to have a user meeting in Frankfurt. 

I’d love to find out more, but I’m not going to be able to get there. Would someone be able to record the talks & presentations and post / publish them (YouTube or something similar?)

Kind regards
Rich 

Sent from my iPad

[Quantlib-dev] ORE User Meeting 2018

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

Dear all,

Quaternion sponsors an Open Source Risk Engine (ORE) User Meeting in Frankfurt on Friday 23rd November 2018.

The Open Source Risk Project’s objective is to provide a free/open source platform for risk analytics and XVA. ORE <http://opensourcerisk.org/> is based on QuantLib and grew from work developed by market professionals and academics (http://www.opensourcerisk.org <http://www.opensourcerisk.org/>)

Attending the user meeting will be free of charge, but the number of seats is limited.  For the prliminary agenda and registration, please visit our news page https://www.quaternion.com/news <https://www.quaternion.com/news>.

Kind regards,
Roland

--
Dr. Roland Lichters
Co-Founder and CTO, Quaternion Risk Management
rol...@qu... <mailto:rol...@qu...> | www.quaternion.com <http://www.quaternion.com/>
+49 172 9985795

[Quantlib-dev] QuantLib 1.14 released

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

Hello everybody,
    QuantLib 1.14 has been released and is available for download at <
http://quantlib.org/download.shtml>.

The list of changes for this release is at <
http://quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

Re: [Quantlib-dev] Addin Question

[Eric E. <eri...@re...>]

Hi Richard,

I never noticed that GIT SETUP.md file.  Either it was added by someone 
other than me along the way, or it was generated automatically by 
github.  I'm not sure it's correct.

The v1.13.x branch of QuantLibAddin-Old should be compatible with the 
v1.13.x branch of QuantLib, or with the 1.13 release of QuantLib.

Many thanks for taking a look at this.

Kind Regards,
Eric

On 09/27/2018 09:02 AM, dr....@gm... wrote:
> Hi Eric,
> 	Quick note...
>
> 	I've learnt a bit of git. Not very much, to be honest, but enough to fork your QLA-old link (eehlers/QuantLibAddin-Old).
>
> I followed the instructions in eehlers/QuantLibAddin-Old/GIT SETUP.md and forked lballabio/QuantLib too.
>
> 	My objective is that, with some luck, be able to push back some of the changes and code that I have been working on. However, the 2 projects seem to conflict at this point... Your copy of the GIT SETUP isn't necessarily correct for this...
>
> 1) Point 3 isn't the path I expected - so I stuck with eehlers/QuantLibAddin-Old
>
> 2) lballabio/QuantLib results in some errors...
> 4>c:\ql_gitbuild\quantlibaddin-old\quantlib\ql\models\calibrationhelper.hpp(116): error C2371: 'QuantLib::CalibrationHelper': redefinition; different basic types
> 4>c:\ql_gitbuild\quantlibaddin-old\quantlibaddin\qlo\calibrationhelpers.hpp(29): note: see declaration of 'QuantLib::CalibrationHelper'
>
> So I pulled down version 1.12 and used that instead.
>
> It builds now so I should be able to some stuff pushed out, although it's probably going to be a bit piecemeal as I'm getting busy again.
>
> Kind regards
> Richard
>
> Dr....@Gm...
>
>
> -----Original Message-----
> From: Eric Ehlers <eri...@re...>
> Sent: 20 June 2018 11:36
> To: Richard Marshall <dr....@gm...>; John Samler <js...@ma...>
> Cc: qua...@li...; ig...@gm...
> Subject: Re: [Quantlib-dev] Addin Question
>
>   > I don’t actually know how to feed back improvements into the project?
> Is there someone that could tell us the best way?
>
> Please make a pull request to this repo:
>
> https://github.com/eehlers/QuantLibAddin-Old
>
> Kind Regards,
> Eric
>
> On 2018-06-20 11:26, Richard Marshall wrote:
>> Hi John, Eric & Francois,
>>
>> That would be great. It would certainly push the project forwards a
>> step or 2 for very little effort.
>>
>> I don’t actually know how to feed back improvements into the project?
>> Is there someone that could tell us the best way?
>>
>> Also, (maybe of more interest to Francois) I had a look at the
>> instructions on how to build Quantlib and saw that I had to download
>> stuff, install stuff, etc etc. I have decided that I like my computer
>> the way it is! So, I’ve set up a google cloud account (MS and AWS have
>> similar offerings with free credits) where I can run a virtual machine
>> with windows os that will build the project.
>>
>> I have realised that this way of working has a secondary advantage of
>> being able to do my work, on my machine (in its original state) after
>> kicking off the necessary build processes which will would probably
>> max out my laptop’s capabilities and render it unusable for a while.
>>
>> I’ve only just started this on Monday. So I haven’t got very far yet.
>> I’m following a couple of YouTube videos (search YouTube for
>> “introduction to quantlib”) and just going to see where the adventure
>> leads me...
>>
>> Kind regards
>> Richard
>>
>> Sent from my iPad
>>
>> On 19 Jun 2018, at 17:10, John Samler <js...@ma...
>> <mailto:js...@ma...>> wrote:
>>
>>> I've been exposing manually a couple of functions in QuantLibAddin in
>>> my local version for a bit. It's admittedly a bit painful to have to
>>> copy the code every time instead of just use the pre-compiled versions.
>>>
>>> I haven't tried to add to GitHub because I was expecting the Reposit
>>> project to launch, which seems absolutely amazing! But I assume that
>>> has been put on hold.
>>>
>>> I guess will make sense to just try to add to GitHub the changes I
>>> make which will benefit other users.
>>> *Sent:* Tuesday, June 12, 2018 at 6:02 PM
>>> *From:* "Eric Ehlers" <eri...@re...
>>> <mailto:eri...@re...>>
>>> *To:* "Richard Marshall" <dr....@gm...
>>> <mailto:dr....@gm...>>,
>>> qua...@li...
>>> <mailto:qua...@li...>
>>> *Subject:* Re: [Quantlib-dev] Addin Question Hi Richard,
>>>
>>> Unfortunately these days I don't have time for more than just keeping
>>> the project alive.  Perhaps another kind soul here on the list would
>>> volunteer to help out.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> On 2018-06-08 15:24, Richard Marshall wrote:
>>>> Hi,
>>>> Is there any chance that the inflation swap-curve construction
>>> could be exposed in the next release of the XL addin?
>>>> I would find it really helpful!
>>>>
>>>> kind regards
>>>> Richard
>>>>
>>>> Sent from my iPad
>>>>
>>> ---------------------------------------------------------------------
>>> ---------
>>>> Check out the vibrant tech community on one of the world's most
>>>> engaging tech sites, Slashdot.org <http://Slashdot.org>!
>>> http://sdm.link/slashdot
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> Qua...@li...
>>> <mailto:Qua...@li...>
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>> ---------------------------------------------------------------------
>>> --------- Check out the vibrant tech community on one of the world's
>>> most engaging tech sites, Slashdot.org <http://Slashdot.org>!
>>> http://sdm.link/slashdot
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> <mailto:Qua...@li...>
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Addin Question

[<dr....@gm...>]

Hi Eric,
	Quick note... 

	I've learnt a bit of git. Not very much, to be honest, but enough to fork your QLA-old link (eehlers/QuantLibAddin-Old). 

I followed the instructions in eehlers/QuantLibAddin-Old/GIT SETUP.md and forked lballabio/QuantLib too. 

	My objective is that, with some luck, be able to push back some of the changes and code that I have been working on. However, the 2 projects seem to conflict at this point... Your copy of the GIT SETUP isn't necessarily correct for this...

1) Point 3 isn't the path I expected - so I stuck with eehlers/QuantLibAddin-Old

2) lballabio/QuantLib results in some errors...
4>c:\ql_gitbuild\quantlibaddin-old\quantlib\ql\models\calibrationhelper.hpp(116): error C2371: 'QuantLib::CalibrationHelper': redefinition; different basic types
4>c:\ql_gitbuild\quantlibaddin-old\quantlibaddin\qlo\calibrationhelpers.hpp(29): note: see declaration of 'QuantLib::CalibrationHelper'

So I pulled down version 1.12 and used that instead.

It builds now so I should be able to some stuff pushed out, although it's probably going to be a bit piecemeal as I'm getting busy again. 

Kind regards
Richard

Dr....@Gm...


-----Original Message-----
From: Eric Ehlers <eri...@re...> 
Sent: 20 June 2018 11:36
To: Richard Marshall <dr....@gm...>; John Samler <js...@ma...>
Cc: qua...@li...; ig...@gm...
Subject: Re: [Quantlib-dev] Addin Question

 > I don’t actually know how to feed back improvements into the project? 
Is there someone that could tell us the best way?

Please make a pull request to this repo:

https://github.com/eehlers/QuantLibAddin-Old

Kind Regards,
Eric

On 2018-06-20 11:26, Richard Marshall wrote:
> Hi John, Eric & Francois,
>
> That would be great. It would certainly push the project forwards a 
> step or 2 for very little effort.
>
> I don’t actually know how to feed back improvements into the project? 
> Is there someone that could tell us the best way?
>
> Also, (maybe of more interest to Francois) I had a look at the 
> instructions on how to build Quantlib and saw that I had to download 
> stuff, install stuff, etc etc. I have decided that I like my computer 
> the way it is! So, I’ve set up a google cloud account (MS and AWS have 
> similar offerings with free credits) where I can run a virtual machine 
> with windows os that will build the project.
>
> I have realised that this way of working has a secondary advantage of 
> being able to do my work, on my machine (in its original state) after 
> kicking off the necessary build processes which will would probably 
> max out my laptop’s capabilities and render it unusable for a while.
>
> I’ve only just started this on Monday. So I haven’t got very far yet. 
> I’m following a couple of YouTube videos (search YouTube for 
> “introduction to quantlib”) and just going to see where the adventure 
> leads me...
>
> Kind regards
> Richard
>
> Sent from my iPad
>
> On 19 Jun 2018, at 17:10, John Samler <js...@ma... 
> <mailto:js...@ma...>> wrote:
>
>> I've been exposing manually a couple of functions in QuantLibAddin in 
>> my local version for a bit. It's admittedly a bit painful to have to 
>> copy the code every time instead of just use the pre-compiled versions.
>>
>> I haven't tried to add to GitHub because I was expecting the Reposit 
>> project to launch, which seems absolutely amazing! But I assume that 
>> has been put on hold.
>>
>> I guess will make sense to just try to add to GitHub the changes I 
>> make which will benefit other users.
>> *Sent:* Tuesday, June 12, 2018 at 6:02 PM
>> *From:* "Eric Ehlers" <eri...@re... 
>> <mailto:eri...@re...>>
>> *To:* "Richard Marshall" <dr....@gm... 
>> <mailto:dr....@gm...>>,
>> qua...@li...
>> <mailto:qua...@li...>
>> *Subject:* Re: [Quantlib-dev] Addin Question Hi Richard,
>>
>> Unfortunately these days I don't have time for more than just keeping 
>> the project alive.  Perhaps another kind soul here on the list would 
>> volunteer to help out.
>>
>> Kind Regards,
>> Eric
>>
>> On 2018-06-08 15:24, Richard Marshall wrote:
>> > Hi,
>> > Is there any chance that the inflation swap-curve construction
>> could be exposed in the next release of the XL addin?
>> >
>> > I would find it really helpful!
>> >
>> > kind regards
>> > Richard
>> >
>> > Sent from my iPad
>> > 
>> ---------------------------------------------------------------------
>> ---------
>> > Check out the vibrant tech community on one of the world's most 
>> > engaging tech sites, Slashdot.org <http://Slashdot.org>!
>> http://sdm.link/slashdot
>> > _______________________________________________
>> > QuantLib-dev mailing list
>> > Qua...@li...
>> <mailto:Qua...@li...>
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>> ---------------------------------------------------------------------
>> --------- Check out the vibrant tech community on one of the world's 
>> most engaging tech sites, Slashdot.org <http://Slashdot.org>!
>> http://sdm.link/slashdot
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> <mailto:Qua...@li...>
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Is Quantlib threadsafe?

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

Hello,
    no, it's not.  See <
https://stackoverflow.com/questions/46934259/what-is-the-right-way-to-use-quantlib-from-multiple-threads>
for details.

Luigi


On Wed, Aug 8, 2018 at 11:51 AM chintu ajbani <chi...@gm...>
wrote:

> Hi,
>   We are planning to use Quantlib in our application which is multi
> threaded.
> Quantlib documentation does not mention anything about thread safety.
>
> Can you please confirm if the QuantLib library is thread safe ?
>
> Thanks,
> Chintu Ajbani
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Is Quantlib threadsafe?

[chintu a. <chi...@gm...>]

Hi,
  We are planning to use Quantlib in our application which is multi
threaded.
Quantlib documentation does not mention anything about thread safety.

Can you please confirm if the QuantLib library is thread safe ?

Thanks,
Chintu Ajbani