quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] SmileSection

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

hmmmm, as a top-level interface I'd be keen not to add more internal methods to SmileSection.  I.e. why do any calculations there at all?  I'd suggest having the Impl's as virtual and having nothing else.  I.e. do not do anything in the volatility and variance methods except calls the implementations.  This would leave all time questions to the descendents, i.e. out of the interface.  

In fact why bother with Impl methods at all?  Why not just make volatility and variance virtual?  PIMPL is handy when the implementers can be changed (i.e. ptr to another class) but just calling another method doesn't really seem to qualify.  Just my musings.




________________________________
From: Ferdinando Ametrano <na...@am...>
To: Chris Kenyon <chr...@ya...>
Cc: qua...@li...
Sent: Tue, October 20, 2009 2:11:24 PM
Subject: Re: SmileSection

On Tue, Oct 20, 2009 at 2:46 PM, Chris Kenyon <chr...@ya...> wrote:
> Exercise time, for inflation,
> could mean time-for-volatility-to-build-up OR
> time-from-referenceDate()-to-exercise.  For interest rates these are the
> same.  Having exercise time virtual gives more possibilities for descendants
> to change things.  At a pinch I could make do with only varianceImpl(Rate
> strike) as virtual.

mmm... I'm not familiar enough with inflation to really challenge your
proposal, so for me it's OK.

Anyway I wonder if we might reserve exerciseTime for
time-from-referenceDate()-to-exercise and then deal with
time-for-volatility-to-build-up in volatilityImpl / varianceImpl.
Would this choice make your code more complex or unnatural ?
I.e. add a varianceTime (time-for-volatility-to-build-up) when it is
not equal to exerciseTime (time-from-referenceDate()-to-exercise)

ciao -- Nando

Re: [Quantlib-dev] SmileSection

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

On Tue, Oct 20, 2009 at 3:25 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Oh---and also smileSection->volatility(Null<Real>()) returning the ATM
> volatility [*], when there's a perfectly serviceable atmLevel method
> that can be used for writing volatility(atmLevel()).

The point here is:
1) to have the interface gracefully degrade to the flat-smile case
2) the traders I work for claim it's too much effort to specify a
strike even for non-flat smile, since unless differently specified,
volatility tout-court is the atm one

of course the second point is relevant for the application level so I
will deal with it in QuantLibAddin if you want to change it in
QuantLib

> why is exerciseTime() public when it's only used internally?
no strong reason beside he fact that all termstructures' interfaces
are also time based so it might be sensible for a smile to know where
it stands along the time dimension

ciao -- Nando

Re: [Quantlib-dev] SmileSection

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

On Tue, 2009-10-20 at 15:09 +0200, Luigi Ballabio wrote:
> Unless given a shout, I'll
> also fix a couple of other things I've seen in SmileSection, namely, the
> derived SpreadedSmileSection being declared as a friend and the
> SabrSmileSection class being defined in the same file.

Oh---and also smileSection->volatility(Null<Real>()) returning the ATM
volatility [*], when there's a perfectly serviceable atmLevel method
that can be used for writing volatility(atmLevel()).

Luigi

[*] Yes, I know it would be called as smileSection->volatility(), but
that doesn't make much sense either, does it? :)


-- 

Innovation is hard to schedule. 
-- Dan Fylstra 

Re: [Quantlib-dev] SmileSection

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

On Tue, Oct 20, 2009 at 2:46 PM, Chris Kenyon <chr...@ya...> wrote:
> Exercise time, for inflation,
> could mean time-for-volatility-to-build-up OR
> time-from-referenceDate()-to-exercise.  For interest rates these are the
> same.  Having exercise time virtual gives more possibilities for descendants
> to change things.  At a pinch I could make do with only varianceImpl(Rate
> strike) as virtual.

mmm... I'm not familiar enough with inflation to really challenge your
proposal, so for me it's OK.

Anyway I wonder if we might reserve exerciseTime for
time-from-referenceDate()-to-exercise and then deal with
time-for-volatility-to-build-up in volatilityImpl / varianceImpl.
Would this choice make your code more complex or unnatural ?
I.e. add a varianceTime (time-for-volatility-to-build-up) when it is
not equal to exerciseTime (time-from-referenceDate()-to-exercise)

ciao -- Nando

Re: [Quantlib-dev] SmileSection

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

On Tue, 2009-10-20 at 05:46 -0700, Chris Kenyon wrote:
> virtual is better because some of the time processing gets involved.
> I'd like the following virtual:
> 
>         virtual void initializeExerciseTime()
> const;                        // currently not virtual
>         virtual Real varianceImpl(Rate strike) const;
>     // currently not virtual
>         virtual Volatility volatilityImpl(Rate strike) const = 0;
>      // OK

Ok--seeing as Nando agreed, I'll do that.  Unless given a shout, I'll
also fix a couple of other things I've seen in SmileSection, namely, the
derived SpreadedSmileSection being declared as a friend and the
SabrSmileSection class being defined in the same file.

Luigi


-- 

Grabel's Law: 
2 is not equal to 3 -- not even for large values of 2. 

Re: [Quantlib-dev] SmileSection

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

Hi Nando,

virtual is better because some of the time processing gets involved.  I'd like the following virtual:

        virtual void initializeExerciseTime() const;                        // currently not virtual
        virtual Real varianceImpl(Rate strike) const;                    // currently not virtual
        virtual Volatility volatilityImpl(Rate strike) const = 0;         // OK
 
i.e. I need the calculation parts virtual.  Exercise time, for inflation, could mean time-for-volatility-to-build-up OR time-from-referenceDate()-to-exercise.  For interest rates these are the same.  Having exercise time virtual gives more possibilities for descendants to change things.  At a pinch I could make do with only varianceImpl(Rate strike) as virtual.

Best,
Chris





________________________________
From: Ferdinando Ametrano <na...@am...>
To: lui...@gm...
Cc: Chris Kenyon <chr...@ya...>
Sent: Tue, October 20, 2009 12:07:45 PM
Subject: Re: SmileSection

On Tue, Oct 20, 2009 at 10:22 AM, Luigi Ballabio
<lui...@gm...> wrote:
> Chris needs to modify slightly the SmileSection class in order to make
> it work for inflation volatility, namely,
>
>> For the volatility stripping the SmileSection class is unusable for
>> inflation because of assumptions on timing. [...] mostly on how much
>> time has passed up to T.  For inflation time starts passing from
>> (referenceDate-Lag, adjusted by interpolation setting) rather than
>> just referenceDate. [...]  To enable reuse most of its methods should
>> be virtual then I could use it.
>
> As you (Nando) are the one with the design most clearly in mind, I
> thought I'd refer Chris to you so that the two of you can work it out.
> Let me know what you come up with (in the next few days, possibly?)

it's ok for me to make it virtual, or just add a default null lag to
the base class, whatever makes more sense

ciao -- Nando

PS this and other questions (e.g. bachelier) would be probably better
discussed on the mailing list, where others might join with better
insight...

[Quantlib-dev] R: Any news on ZC Inflation Swap pricing engine ?

[Raso M. \(I. Holding\) <MR...@ic...>]

Hi Chris,
 
I'll certainly look into the trunk !!
 
Cheers,
Mirko
 

________________________________

Da: Chris Kenyon [mailto:chr...@ya...] 
Inviato: 18 October 2009 10:35
A: Raso Mirko (ICCREA Holding)
Cc: qua...@li...
Oggetto: Re: Any news on ZC Inflation Swap pricing engine ?


Hi Mirko,

take a look in the trunk.  Inflation swaps (now) make use of inflation indexes so that their fixings are precise.  This also holds for forecast fixings.  Thus dedicated pricers are no longer required, the ordinary (nominal) discounting swap engine works.  I.e. to price an inflation swap you link an inflation term structure to the inflaton index used by the coupons in your swap, and then apply the engine.  This mimics the usual two-stage proceedure required by w.r.t. coupons (coupon pricer then pricing engine).

Best regards,
Chris


________________________________

From: Raso Mirko (ICCREA Holding) <MR...@ic...>
To: chr...@ya...; qua...@li...
Sent: Thu, August 13, 2009 8:18:11 AM
Subject: Any news on ZC Inflation Swap pricing engine ?



Hi Chris,

            any news about the zero coupon inflation swap pricing engine ? 

Looking at the latest version on SVN repository, I've seen that it's still present the "old" version, which is  

correct, in my opinion, for a spot trade only (i.e. for an already started trade will do wrong results).

            I know that you've been busy due to the good job on seasonality effects, 

but because you are going towards version 1.0, I'd like to know how you plan to change/add the 

new feature or, why not,  what I'm missing about the QuantLib architecture.

 

Thanks in advance,

 

Mirko

 

            

________________________________________________ 
Mirko Raso 

Quantitative Analyst - Iccrea Holding S.p.A.
Risk Management di Gruppo 
Rischi Finanziari - Modelli Analisi Quantitative
Via Lucrezia Romana 41/47 - 00178 Roma Phone: +39 06 7207 2061
  Fax: +39 06 7207 2361
  mailto:mr...@ic... <mailto:mr...@ic...>  

__________________________________________________________________________________________________________________________________ 

Questo messaggio e gli eventuali allegati sono confidenziali e contengono informazioni riservate soltanto al destinatario espressamente indicato. 
Qualsiasi utilizzo non autorizzato del presente messaggio e dei suoi eventuali allegati è vietato e potrebbe costituire reato. 
Qualora abbiate ricevuto il presente messaggio per errore, Vi preghiamo di volerlo distruggere, insieme agli eventuali allegati, e di segnalarci l'errore via e-mail. 
A meno che non sia espressamente indicato, le dichiarazioni contenute in questo messaggio, nonché nei suoi eventuali allegati, sono riconducibili 
esclusivamente al mittente e non possono essere considerate come autorizzate da ICCREA HOLDING S.p.A. 
Tali dichiarazioni pertanto non impegnano ICCREA HOLDING S.p.A. nei confronti del destinatario o di terzi. ICCREA HOLDING S.p.A. ritiene ma non garantisce 
che questo messaggio, e i suoi eventuali allegati, siano immuni da virus. 
ICCREA HOLDING S.p.A. si riserva il diritto di accedere e controllare tutte le comunicazioni trasmesse attraverso la propria rete aziendale. 
__________________________________________________________________________________________________________________________________ 

 

AVVISO DI RISERVATEZZA Il testo e gli eventuali documenti trasmessi contengono informazioni riservate al destinatario indicato. La seguente e-mail è confidenziale e la sua riservatezza è tutelata legalmente dalle normative vigenti. La lettura, copia od altro uso non autorizzato o qualsiasi altra azione derivante dalla conoscenza di queste informazioni sono rigorosamente vietate. Se si ritiene di non essere il destinatario di questa mail, o se si è ricevuto questa mail per errore, si prega di darne immediata comunicazione al mittente e di provvedere immediatamente alla sua distruzione. 

PRIVACY NOTICE The information contained in this transmittal, including any attachments hereto, are confidential and privileged, and intended solely for the specified addressee(s). This e-mail has a confidential nature which is protected by the Italian law. Moreover, the recipient(s) may not disclose, forward, or copy this e-mail or attachments, or any portion thereof, or permit the use of this information, by anyone not entitled to it, or in a way that may be damaging to the sender. If you are not the intended addressee, or if you receive this message by error, please notify the sender and delete this information from your computer. 

Re: [Quantlib-dev] QuantLib-SWING: is it possible to use polymorphism?

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

On 19/10/09 10:53, Andrea wrote:
> Hi,
>
> I've tried to use polymorphism in QuantLib-SWING Java version
>
> Something like
>
> class MyPayoff extends Payoff {}

I did try as well

class MyPayoff extends PlainVanillaPayoff
{
	MyPayoff()
	{
		super(Option.Type.Put, 10.0);
	}

	public double getValue(double arg0)
	{
		throw new RuntimeException();
	}
}

but the exception is never thrown.

I've used this class in the example EquityOptions.java.

[Quantlib-dev] QuantLib-SWING: is it possible to use polymorphism?

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

Hi,

I've tried to use polymorphism in QuantLib-SWING Java version

Something like

class MyPayoff extends Payoff {}

then

Payoff p = new MyPayoff()
VanillaOption vo = new VanillaOption(p,...)

but I get "wrong payoff type" since it must inherit from StrikeTypedPayoff which is not exposed in Java.

Am I doing something stupid?

[Quantlib-dev] [ quantlib-Bugs-2881221 ] fatal error

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

Bugs item #2881221, was opened at 2009-10-18 12:17
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2881221&group_id=12740

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

Initial Comment:
Testing swaption volatility matrix...
./swaptionvolatilitymatrix.cpp(214): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence)": optionDateFromTenor mismatch for floating reference date, floating market data:
      option tenor: 1M
actual option date: November 18th, 2009
  exp. option date: November 19th, 2009

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-19 10:38

Message:
On what day was this run?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2881221&group_id=12740

Re: [Quantlib-dev] Which design patterns

[Jambodev <jam...@go...>]

Constantine
Will look at these and source code.
Thanks



On 18 Oct 2009, at 14:48, Constantine <con...@ac...>  
wrote:

> Jambodev,
>
> The draft book about implementing QuantLib by Luigi Ballabio will also
> provide you with answers to this question.
>
> You can find the chapters here: http://luigi.ballabio.googlepages.com/qlbook 
> .
>
> Constantine
>
>
> On Sat, Oct 17, 2009 at 3:17 PM, Kim Kuen Tang  
> <kue...@vo...> wrote:
>> Jambodev schrieb:
>>> Hi kim,
>>> I followed that thread but it didn't say anything about the  
>>> paticular
>>> question that I asked. Or did I miss something?
>> Sorry,
>>
>> send you the link about the discussion of the complexity of quantlib.
>> Here is the link of the blog.
>>
>> http://cppdepend.wordpress.com/2009/10/08/is-quantlib-over- 
>> engineered/
>>
>> Just go down until the section about Design Patterns used.
>>
>> HTH
>>
>> Best regards,
>> Kim
>>
>>> Perhaps someone can give a more specific answer to this question?
>>>
>>>
>>
>> --- 
>> --- 
>> --- 
>> ---------------------------------------------------------------------
>> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
>> is the only developer event you need to attend this year. Jumpstart  
>> your
>> developing skills, take BlackBerry mobile applications to market  
>> and stay
>> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
>> http://p.sf.net/sfu/devconference
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>

Re: [Quantlib-dev] Which design patterns

[Jambodev <jam...@go...>]

Dima,
Thank you.



On 18 Oct 2009, at 14:32, Dima <dim...@go...> wrote:

> I think the most frequently used are:
>
> - Singleton
> - Observer/Observable
> - Visitor
> - Factory
> - Lazy Object
> - Pimpl
>
> They are used throughout the project, just do a search in the
> source code
>
>
> 2009/10/17 Kim Kuen Tang <kue...@vo...>
> Jambodev schrieb:
> > Hi kim,
> > I followed that thread but it didn't say anything about the  
> paticular
> > question that I asked. Or did I miss something?
> Sorry,
>
> send you the link about the discussion of the complexity of quantlib.
> Here is the link of the blog.
>
> http://cppdepend.wordpress.com/2009/10/08/is-quantlib-over-engineered/
>
> Just go down until the section about Design Patterns used.
>
> HTH
>
> Best regards,
> Kim
>
> > Perhaps someone can give a more specific answer to this question?
> >
> >
>
> --- 
> --- 
> --- 
> ---------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart  
> your
> developing skills, take BlackBerry mobile applications to market and  
> stay
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Which design patterns

[Dima <dim...@go...>]

I think the most frequently used are:

- Singleton
- Observer/Observable
- Visitor
- Factory
- Lazy Object
- Pimpl

They are used throughout the project, just do a search in the
source code


2009/10/17 Kim Kuen Tang <kue...@vo...>

> Jambodev schrieb:
> > Hi kim,
> > I followed that thread but it didn't say anything about the paticular
> > question that I asked. Or did I miss something?
> Sorry,
>
> send you the link about the discussion of the complexity of quantlib.
> Here is the link of the blog.
>
> http://cppdepend.wordpress.com/2009/10/08/is-quantlib-over-engineered/
>
> Just go down until the section about Design Patterns used.
>
> HTH
>
> Best regards,
> Kim
>
> > Perhaps someone can give a more specific answer to this question?
> >
> >
>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Which design patterns

[Constantine <con...@ac...>]

Jambodev,

The draft book about implementing QuantLib by Luigi Ballabio will also
provide you with answers to this question.

You can find the chapters here: http://luigi.ballabio.googlepages.com/qlbook.

Constantine


On Sat, Oct 17, 2009 at 3:17 PM, Kim Kuen Tang <kue...@vo...> wrote:
> Jambodev schrieb:
>> Hi kim,
>> I followed that thread but it didn't say anything about the paticular
>> question that I asked. Or did I miss something?
> Sorry,
>
> send you the link about the discussion of the complexity of quantlib.
> Here is the link of the blog.
>
> http://cppdepend.wordpress.com/2009/10/08/is-quantlib-over-engineered/
>
> Just go down until the section about Design Patterns used.
>
> HTH
>
> Best regards,
> Kim
>
>> Perhaps someone can give a more specific answer to this question?
>>
>>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] [ quantlib-Bugs-2881221 ] fatal error

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

Bugs item #2881221, was opened at 2009-10-18 10:17
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2881221&group_id=12740

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

Initial Comment:
Testing swaption volatility matrix...
./swaptionvolatilitymatrix.cpp(214): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence)": optionDateFromTenor mismatch for floating reference date, floating market data:
      option tenor: 1M
actual option date: November 18th, 2009
  exp. option date: November 19th, 2009

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2881221&group_id=12740

Re: [Quantlib-dev] Any news on ZC Inflation Swap pricing engine ?

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

Hi Mirko,

take a look in the trunk.  Inflation swaps (now) make use of inflation indexes so that their fixings are precise.  This also holds for forecast fixings.  Thus dedicated pricers are no longer required, the ordinary (nominal) discounting swap engine works.  I.e. to price an inflation swap you link an inflation term structure to the inflaton index used by the coupons in your swap, and then apply the engine.  This mimics the usual two-stage proceedure required by w.r.t. coupons (coupon pricer then pricing engine).

Best regards,
Chris




________________________________
From: Raso Mirko (ICCREA Holding) <MR...@ic...>
To: chr...@ya...; qua...@li...
Sent: Thu, August 13, 2009 8:18:11 AM
Subject: Any news on ZC Inflation Swap pricing engine ?

 
Hi Chris,
            any news about the zero coupon inflation
swap pricing engine ? 
Looking at the latest
version on SVN repository, I’ve seen that it’s still present the “old”
version, which is  
correct, in my opinion,
for a spot trade only (i.e. for an already started trade will do wrong results).
            I know that you’ve been busy due to
the good job on seasonality effects, 
but because you are going
towards version 1.0, I’d like to know how you plan to change/add the 
new feature or, why not,  what
I’m missing about the QuantLib architecture.
 
Thanks in advance,
 
Mirko
 
            
________________________________________________ 
Mirko Raso 
Quantitative
Analyst - Iccrea Holding S.p.A.
Risk Management di Gruppo 
Rischi Finanziari - Modelli Analisi Quantitative
Via Lucrezia Romana 41/47 - 00178 Roma Phone: +39 06 7207 2061
  Fax: +39 06 7207 2361
  mailto:mr...@ic... 
__________________________________________________________________________________________________________________________________ 
Questo
messaggio e gli eventuali allegati sono confidenziali e contengono informazioni
riservate soltanto al destinatario espressamente indicato. 
Qualsiasi utilizzo non autorizzato del
presente messaggio e dei suoi eventuali allegati è vietato e potrebbe
costituire reato. 
Qualora abbiate ricevuto il presente
messaggio per errore, Vi preghiamo di volerlo distruggere, insieme agli
eventuali allegati, e di segnalarci l'errore via e-mail. 
A meno che non sia espressamente indicato,
le dichiarazioni contenute in questo messaggio, nonché nei suoi eventuali
allegati, sono riconducibili 
esclusivamente al mittente e non possono
essere considerate come autorizzate da ICCREA HOLDING S.p.A. 
Tali dichiarazioni pertanto non impegnano
ICCREA HOLDING S.p.A. nei confronti del destinatario o di terzi. ICCREA HOLDING
S.p.A. ritiene ma non garantisce 
che questo messaggio, e i suoi eventuali
allegati, siano immuni da virus. 
ICCREA HOLDING S.p.A. si riserva il diritto
di accedere e controllare tutte le comunicazioni trasmesse attraverso la
propria rete aziendale.
__________________________________________________________________________________________________________________________________ 
 
AVVISO DI RISERVATEZZA Il testo e gli eventuali documenti trasmessi contengono informazioni riservate al destinatario indicato. La seguente e-mail è confidenziale e la sua riservatezza è tutelata legalmente dalle normative vigenti. La lettura, copia od altro uso non autorizzato o qualsiasi altra azione derivante dalla conoscenza di queste informazioni sono rigorosamente vietate. Se si ritiene di non essere il destinatario di questa mail, o se si è ricevuto questa mail per errore, si prega di darne immediata comunicazione al mittente e di provvedere immediatamente alla sua distruzione. 

PRIVACY NOTICE The information contained in this transmittal, including any attachments hereto, are confidential and privileged, and intended solely for the specified addressee(s). This e-mail has a confidential nature which is protected by the Italian law. Moreover, the recipient(s) may not disclose, forward, or copy this e-mail or attachments, or any portion thereof, or permit the use of this information, by anyone not entitled to it, or in a way that may be damaging to the sender. If you are not the intended addressee, or if you receive this message by error, please notify the sender and delete this information from your computer. 

Re: [Quantlib-dev] Which design patterns

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

Jambodev schrieb:
> Hi kim,
> I followed that thread but it didn't say anything about the paticular 
> question that I asked. Or did I miss something?
Sorry,

send you the link about the discussion of the complexity of quantlib. 
Here is the link of the blog.

http://cppdepend.wordpress.com/2009/10/08/is-quantlib-over-engineered/

Just go down until the section about Design Patterns used.

HTH

Best regards,
Kim

> Perhaps someone can give a more specific answer to this question?
>
>

Re: [Quantlib-dev] Which design patterns

[Jambodev <jam...@go...>]

Hi kim,
I followed that thread but it didn't say anything about the paticular  
question that I asked. Or did I miss something?
Perhaps someone can give a more specific answer to this question?




On 17 Oct 2009, at 15:18, Kim Kuen Tang <kue...@vo...> wrote:

>
> Hi Jambodev,
>
> here is a blog about the complexity of quantlib.
>
> http://www.wilmott.com/messageview.cfm?catid=10&threadid=73513
>
> HTH
> Best regards,
> Kim
>
>
>
> Jambodev schrieb:
>> Hi All
>> I was wondering if someone could give me some information about  
>> which  design patterns have been used in quantlib and how  
>> frequently so, and  perhaps in which modules or part of it.
>>
>> I appreciate any hint or direction in this regard.
>> Kind regards
>>
>>
>>
>> --- 
>> --- 
>> --- 
>> ---------------------------------------------------------------------
>> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
>> is the only developer event you need to attend this year. Jumpstart  
>> your
>> developing skills, take BlackBerry mobile applications to market  
>> and stay ahead of the curve. Join us from November 9 - 12, 2009.  
>> Register now!
>> http://p.sf.net/sfu/devconference
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>

[Quantlib-dev] Problems with QL 0.9.7 and Cubic interpolation for curves

[Dirk E. <ed...@de...>]

While working on RQuantLib [1], Khanh and I discovered a number of numerical
issues with Cubic interpolation on yield curves.  The RQuantLib side of the
code that triggers it is actually pretty old and used to run so I am confused
as to when this changed.  

A relatively simple way to trigger the same issue is to modify the
swapvaluation.cpp example as follows:

edd@ron:~/svn/quantlib/Examples/Swap$ diff -u swapvaluation.cpp.orig swapvaluation.cpp
--- swapvaluation.cpp.orig      2008-08-01 03:55:43.000000000 -0500
+++ swapvaluation.cpp   2009-10-17 10:08:42.000000000 -0500
@@ -316,7 +316,7 @@
         depoSwapInstruments.push_back(s10y);
         depoSwapInstruments.push_back(s15y);
         boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
-            new PiecewiseYieldCurve<Discount,LogLinear>(
+            new PiecewiseYieldCurve<Discount,Cubic>(
                                           settlementDate, depoSwapInstruments,
                                           termStructureDayCounter,
                                           std::vector<Handle<Quote> >(),

and you get to trigger the bug as easily as 

edd@ron:~/svn/quantlib/Examples/Swap$ g++ -o newswap swapvaluation.cpp -lQuantLib -lm && ./newswap

Today: Monday, September 20th, 2004
Settlement date: Wednesday, September 22nd, 2004
====================================================================
5-year market swap-rate = 4.43 %
====================================================================
        5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
1st iteration: could not bootstrap the 1st instrument, maturity September 29th, 2004: root not bracketed: f[2.22045e-16,1] -> [1.116106e+18,3.820000e-02]
edd@ron:~/svn/quantlib/Examples/Swap$


We used to do this quite regularly and combine Discount with Linear,
LogLinear and Cubic with no issues.  Now it seems to throw errors. Should we
stop using Cubic interpolation here?

In other words, did something change that we need to accomodate?  Or should
we simply not combine the Piecewise interpolation with the Cubic argument ?
I also noticed the messages on Cubic interpolation in the list archives but
from I gathered this is for new code rather than this curve-building
functionality.

Many thanks for any pointers, Dirk

[1] http://dirk.eddelbuettel.com/code/rquantlib.html

-- 
Three out of two people have difficulties with fractions.

Re: [Quantlib-dev] Which design patterns

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

Hi Jambodev,

here is a blog about the complexity of quantlib.

http://www.wilmott.com/messageview.cfm?catid=10&threadid=73513

HTH
Best regards,
Kim



Jambodev schrieb:
> Hi All
> I was wondering if someone could give me some information about which  
> design patterns have been used in quantlib and how frequently so, and  
> perhaps in which modules or part of it.
>
> I appreciate any hint or direction in this regard.
> Kind regards
>
>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay 
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>   

[Quantlib-dev] Which design patterns

[Jambodev <jam...@go...>]

Hi All
I was wondering if someone could give me some information about which  
design patterns have been used in quantlib and how frequently so, and  
perhaps in which modules or part of it.

I appreciate any hint or direction in this regard.
Kind regards

[Quantlib-dev] [ quantlib-Bugs-2879606 ] Majority of .hpp contain illegal charactor for MSVC 9

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

Bugs item #2879606, was opened at 2009-10-15 07:06
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2879606&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Majority of .hpp contain illegal charactor for MSVC 9 

Initial Comment:
I got  over 10000 warnings C4819: Stating the .hpp file contains charactor that cannot be represented by current code page (936). Can you uplead a version that is is compatible with MSVS 2008 complier? Also cannot open file Error for QuantLib-VC90-mt-sgd-0_9_7.lib

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-16 11:42

Message:
I don't have any such warning; it would help if you specified the exact
text, including the file that triggers the warning.
However, I have disabled the warning in the project properties. This
should fix the issue.

As for QuantLib-VC90-mt-sgd-0_9_7.lib missing, there might be other errors
lost amongst the warnings that prevented the library from being built. You
should be able to see them once the warnings are gone.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2879606&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2879606 ] Majority of .hpp contain illegal charactor for MSVC 9

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

Bugs item #2879606, was opened at 2009-10-15 05:06
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2879606&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Majority of .hpp contain illegal charactor for MSVC 9 

Initial Comment:
I got  over 10000 warnings C4819: Stating the .hpp file contains charactor that cannot be represented by current code page (936). Can you uplead a version that is is compatible with MSVS 2008 complier? Also cannot open file Error for QuantLib-VC90-mt-sgd-0_9_7.lib

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2879606&group_id=12740

Re: [Quantlib-dev] default 0*Days value for Period in QLXL

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

On Mon, Oct 12, 2009 at 5:16 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Would it be feasible to use a little adapter class in QLA?
It would, but it's probably unneeded. It's arcane to me, but I'm
pretty sure autogenerated code can be smarter than it is now.

btw what's against Period(std::string) ?

> P.S. On a related note, how about the hideous 0*Years vs 0*Days thing?
> I'm still shaking from that one :)

I'll get back on this as soon as I'll get more empirical evidences

ciao -- Nando

Re: [Quantlib-dev] default 0*Days value for Period in QLXL

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

On Mon, 2009-10-12 at 16:42 +0200, Ferdinando Ametrano wrote:
> I could provide a non-explicit string constructor for
> QuantLib::Period(std::string s) as solution, but something tells me
> Luigi might frown at this (or God forbid, even balk at this ;-)

At the very least, I'd raise an eyebrow :)

Would it be feasible to use a little adapter class in QLA? Something
like:

class QlaPeriod {
    QuantLib::Period p_;
  public:
    // input in as many ways as you like...
    QlaPeriod(QuantLib::Period p) : p_(p) {}
    QlaPeriod(std::string s) : p_(PeriodParser::parse(s)) {}

    // ...then pass it wherever a period is needed:
    operator QuantLib::Period() const { return p_; }
};

Your various ObjectHandler::convert2 functions would return QlaPeriods
and the underlying functions would accept them after the automatic
conversion.

Luigi

P.S. On a related note, how about the hideous 0*Years vs 0*Days thing?
I'm still shaking from that one :)


-- 

I'd never join any club that would have the likes of me as a member. 
-- Groucho Marx