quantlib-dev — Discussion of QuantLib development

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

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

Hi Eric and Plamen

I am unable to provide zero days as default value for Period in the XML
specification file.
The problem is that the autogenerated code has two different constructs
requiring different values ("0D" or 0*QuantLib::Days) so they cannot be
satisfied at the same time.

        std::string ForwardStartCpp = ObjectHandler::convert2<std::string>(
            ObjectHandler::ConvertOper(*ForwardStart), "ForwardStart",
"0D");
        [...]
        QuantLib::Period ForwardStartLib =
ObjectHandler::convert2<QuantLib::Period>(
            ObjectHandler::ConvertOper(*ForwardStart), "ForwardStart",
0*QuantLib::Days);

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 ;-)

Any suggestion or quick fix ?

ciao -- Nando

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

Re: [Quantlib-dev] Update version of experimental/mcbasket

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

On 10/10/09 20:53, Klaus Spanderen wrote:
> Hi Andrea
>
> do you see a change to replace the original version of the classes
>
>   EarlyExercisePathPricer and LongstaffSchwartzPathPricer
>
> in ql/methods/montecarlo by your version?

Ideally yes.
The reasons I did not use the EarlyExercisePathPricer are:

1) it only provides a method to get the exercise payment (i.e. operator()) and the state, while I 
would like to get the value of payments that are made until the option is cancelled

2) I first added this 3rd virtual method. but then I realized that what the 
LongstaffSchwartzPathPricer caches is not optimal. it caches the paths, while I found much better to 
cache a triplet of vectors (exercise payments, payments, states) so that I process a single path 
only once.
For a trivial case (i.e. the american call option) it is the same, but if each payment or state is 
path dependent, then if I only cache the path, I have to reprocess the whole path each time I need a 
new "time".

3) so I decided that it was better for the LongstaffSchwartzPathPricer to have access to the payoff 
directly and store the relevant information for each path (and not the path itself)

I have not seen how the current implementation of EarlyExercisePathPricer & 
LongstaffSchwartzPathPricer are used in a complex path dependent case, so maybe there is a more 
"standard" way of doing it.

Then I added to LongstaffSchwartzPathPricer 2 extra things (which are easily ported to the main version)

1) it currently skips all paths that give a non positive exercise value. this because it assumes the 
continuation value will always be positive, and there is no point to accept a negative exercise.
it might not be the case always and it is hard to dynamically detect this lower bound (0.0). so the 
payoff has a function to return the lower bound of the continuation value or -INF if absent

2) it checks if the 2 trivial exercise strategies (exercise for all paths or never) are better than 
the LS algorithm. if this is the case, then we override the decision with 2 special vectors of 
coefficients (empty => never, too big => always).
I noticed that if the states are chosen badly, the LS algorithm can be trivially wrong.
This might be bad for sensitivities since the whole "function" has a discontinuity.
And it prints the result of this check using QL_TRACE

Andrea

Re: [Quantlib-dev] Update version of experimental/mcbasket

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

Hi Andrea

do you see a change to replace the original version of the classes

 EarlyExercisePathPricer and LongstaffSchwartzPathPricer

in ql/methods/montecarlo by your version?

best regards
 Klaus

[Quantlib-dev] Update version of experimental/mcbasket

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

Hi,

After almost 2 year I would like to post an updated version of mcbasket experimental.
The idea is still the same as the initial version: i.e. have one single engine (here 
MCAmericanPathEngine or MCPathBasketEngine) and to only have to write a new option/payoff 
(PathMultiAssetOption/PathPayoff)

Here the biggest new feature is the support of American Options.

The key feature is this virtual method of PathPayoff

         virtual void value(const Matrix       & path,
                            Array              & payments,
                            Array              & exercises,
                            std::vector<Array> & states) const = 0;

which has to return all information needed to value a payoff with early exercise (for a single path)

path: is the path of all assets/times
payments: all payments made
exercises: if the option is exercised at time i, all payment up to (and including i) are preserved 
and the others cancelled
states: a vector of financial coordinates used in LS

I have attached a diff wrt the most recent svn and an example of an American Lookback.

I can go through all the code in details if people are interested.

I don't think it makes much sense to compare it to the 1st version, since it was very limited in 
features and hardly usable at all.

TODO, problems, bugs:

- I had to copy&paste a lot of classes/templates already used in QL (e.g.: EarlyExercisePathPricer, 
LongstaffSchwartzPathPricer). My problem is that the existing EarlyExercisePathPricer only seems to 
handle an option which pays only once (i.e. at exercise), while I wanted to allow an option that 
pays many times and that I can cancel at some point

- allow for non 1-1 mapping between paths and assets (e.g. stoch vol)

- allow for non deterministic interest rates (i.e. replace the discount factors with 1/numeraire)

- find nicer names

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16546] trunk/QuantLib/ql/time

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

On Fri, 2009-10-09 at 14:47 +0000, na...@us... wrote:
> Revision: 16546
> 
> http://quantlib.svn.sourceforge.net/quantlib/?rev=16546&view=rev
> Author:   nando
> Date:     2009-10-09 14:47:32 +0000 (Fri, 09 Oct 2009)
> 
> Log Message:
> -----------
> mapped 0*Years Period into Once Frequency, keeping 0*Days as
> NoFrequency. More elegant solutions would be appreciated

It would help to know what problem you were trying to solve :)

But as it is, it's a magic number (and an undocumented one, too.)

Luigi


-- 

Olmstead's Law: 
After all is said and done, a hell of a lot more is said 
than done. 

Re: [Quantlib-dev] want to jon dev team

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

Ok, I'll make a suggestion. If you are not on Visual Studio, an installation
guide similar to http://quantlib.org/install/vc9.shtml would be helpfull for
new users. How about that?



2009/10/8 Constantine <con...@ac...>

> I would also like to contribute.
>
> I've read the Developer Introduction and the FAQ. My current employer
> is neither a financial institution nor a software company.
>
> I am open to working on whatever would be most useful, be it an
> example or the source base. My familiarity with the library to date is
> reading the documentation, some of the code, and running some of the
> examples.
>
> Any developer or maintainer for the library should feel free to
> contact me at con...@ac... with any tasks or ideas.
>
> Thanks!
>
> Constantine Ashford
>
>
> On Tue, Oct 6, 2009 at 4:39 AM, Luigi Ballabio <lui...@gm...>
> wrote:
> > On Sun, 2009-10-04 at 17:51 +0800, Denys Bezsmertnyi wrote:
> >> I want to join your team. My name is Denys. I work as financial
> >> software engineer for financial markets.
> >> I want to accept various tasks from a task manager.
> >
> > Hi Denys,
> >        thanks for the offer.  Forget me, but I'll have to ask a few
> questions
> > first...
> > I reckon you've read <http://quantlib.org/newdeveloper.shtml> already.
> > Did you check with your employer that it's ok for you to contribute? If
> > so, may you get written permission?
> > Also, do you have any particular task in mind? Are you familiar with the
> > library?
> >
> > Later,
> >        Luigi
> >
> >
> > --
> >
> > The rule on staying alive as a forecaster is to give 'em a number or
> > give 'em a date, but never give 'em both at once.
> > -- Jane Bryant Quinn
> >
> >
> >
> >
> ------------------------------------------------------------------------------
> > Come build with us! The BlackBerry&reg; 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&#45;12, 2009. Register
> now&#33;
> > http://p.sf.net/sfu/devconf
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
>
>
> ------------------------------------------------------------------------------
> 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] want to jon dev team

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

I would also like to contribute.

I've read the Developer Introduction and the FAQ. My current employer
is neither a financial institution nor a software company.

I am open to working on whatever would be most useful, be it an
example or the source base. My familiarity with the library to date is
reading the documentation, some of the code, and running some of the
examples.

Any developer or maintainer for the library should feel free to
contact me at con...@ac... with any tasks or ideas.

Thanks!

Constantine Ashford


On Tue, Oct 6, 2009 at 4:39 AM, Luigi Ballabio <lui...@gm...> wrote:
> On Sun, 2009-10-04 at 17:51 +0800, Denys Bezsmertnyi wrote:
>> I want to join your team. My name is Denys. I work as financial
>> software engineer for financial markets.
>> I want to accept various tasks from a task manager.
>
> Hi Denys,
>        thanks for the offer.  Forget me, but I'll have to ask a few questions
> first...
> I reckon you've read <http://quantlib.org/newdeveloper.shtml> already.
> Did you check with your employer that it's ok for you to contribute? If
> so, may you get written permission?
> Also, do you have any particular task in mind? Are you familiar with the
> library?
>
> Later,
>        Luigi
>
>
> --
>
> The rule on staying alive as a forecaster is to give 'em a number or
> give 'em a date, but never give 'em both at once.
> -- Jane Bryant Quinn
>
>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry&reg; 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&#45;12, 2009. Register now&#33;
> http://p.sf.net/sfu/devconf
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] [ quantlib-Patches-2871739 ] Kernel Interpolation Update

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

Patches item #2871739, was opened at 2009-10-02 10:27
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&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: Closed
Resolution: Accepted
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Luigi Ballabio (lballabio)
Summary: Kernel Interpolation Update

Initial Comment:
Changed some functions to const and by reference parameter passing. The passed 
kernel is now a template type. Can be used as before, but now any object that has
an operator()(Real x) can be passed. In particular boost function objects.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-06 14:23

Message:
yVec_(xSize_) in the constructor is fine as long as xSize_ is listed before
yVec_ in the class declaration.

As the Kernel is a template argument, we no longer need polymorphism, so
we can pass by copy. This also avoids having to wrap function pointers or
boost::functions into shared_ptrs.

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

Comment By: Dimathematician (dimathematician)
Date: 2009-10-06 13:06

Message:
Ok, thanks. So far, I've avoided to use something like yVec_(xSize_) in the
constructor,
when xSize_ has been set in the same constructor earlier. Had some nasty
buggs with
such a setup, since xSize_ wasn't set at this stage or was set to some
random value. In
this cases, yVec_ wasn't allocated correctly. And you don't want to add
the kernel as
a shared_ptr?

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 18:04

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


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 10:21

Message:
Would it be possible to have a context diff? It would make it easier to
apply it correctly.
On the command line, add -C 3 to the diff invocation.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2871739 ] Kernel Interpolation Update

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

Patches item #2871739, was opened at 2009-10-02 10:27
Message generated for change (Comment added) made by dimathematician
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&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: Accepted
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Luigi Ballabio (lballabio)
Summary: Kernel Interpolation Update

Initial Comment:
Changed some functions to const and by reference parameter passing. The passed 
kernel is now a template type. Can be used as before, but now any object that has
an operator()(Real x) can be passed. In particular boost function objects.

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

Comment By: Dimathematician (dimathematician)
Date: 2009-10-06 13:06

Message:
Ok, thanks. So far, I've avoided to use something like yVec_(xSize_) in the
constructor,
when xSize_ has been set in the same constructor earlier. Had some nasty
buggs with
such a setup, since xSize_ wasn't set at this stage or was set to some
random value. In
this cases, yVec_ wasn't allocated correctly. And you don't want to add
the kernel as
a shared_ptr?

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 18:04

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


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 10:21

Message:
Would it be possible to have a context diff? It would make it easier to
apply it correctly.
On the command line, add -C 3 to the diff invocation.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&group_id=12740

Re: [Quantlib-dev] want to jon dev team

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

On Sun, 2009-10-04 at 17:51 +0800, Denys Bezsmertnyi wrote:
> I want to join your team. My name is Denys. I work as financial
> software engineer for financial markets. 
> I want to accept various tasks from a task manager.

Hi Denys,
	thanks for the offer.  Forget me, but I'll have to ask a few questions
first...  
I reckon you've read <http://quantlib.org/newdeveloper.shtml> already.
Did you check with your employer that it's ok for you to contribute? If
so, may you get written permission?
Also, do you have any particular task in mind? Are you familiar with the
library?

Later,
	Luigi


-- 

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

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

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

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

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Kim Tang (kimtang)
Assigned to: Nobody/Anonymous (nobody)
>Summary: LMM in QuantLibXL 0.9.7 

Initial Comment:

This patch is created for changing the declaration of the function

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

to

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

This is needed to port this function to QuantLibXL.

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

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

[Quantlib-dev] [ quantlib-Patches-2873094 ] sec. try: LMM in QuantLibXL 0.9.7

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

Patches item #2873094, was opened at 2009-10-05 21:32
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873094&group_id=12740

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Category: None
Group: None
>Status: Deleted
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: sec. try: LMM in QuantLibXL 0.9.7 

Initial Comment:


This patch is created for changing the declaration of the function

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

to

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

This is needed to port this function to QuantLibXL.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873094&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2873093 ] LMM in QuantLibXL 0.9.7

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

Patches item #2873093, was opened at 2009-10-05 21:26
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873093&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: Deleted
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: LMM in QuantLibXL 0.9.7

Initial Comment:
This patch is created for changing the declaration of the function 

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

to

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

This is needed to port this function to QuantLibXL.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873093&group_id=12740

Re: [Quantlib-dev] LMM in QuantLibXL 0.9.7

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

Hi Luigi,

one feature request and three patches were created. The first two of the 
patches were not successful, so you can delete it.

Best regards,
Kim

Luigi Ballabio schrieb:
> On Fri, 2009-10-02 at 21:28 +0200, Kim Kuen Tang wrote:
>   
>> Is this already fixed in the next QLXL?
>> If not how can i submit a patch?
>>     
>
> I don't know if it's fixed (Nando?)
> If it's not, you can either use the patch tracker on Sourceforge
> (<https://sourceforge.net/tracker/?group_id=12740&atid=312740>) or post
> the patch on this list. In either case, context diffs (-C 3) are
> preferred.
>
> Luigi
>
>
>   

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

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

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

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Kim Tang (kimtang)
Assigned to: Nobody/Anonymous (nobody)
Summary: third try: LMM in QuantLibXL 0.9.7 

Initial Comment:

This patch is created for changing the declaration of the function

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

to

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

This is needed to port this function to QuantLibXL.

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

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

[Quantlib-dev] [ quantlib-Patches-2873094 ] sec. try: LMM in QuantLibXL 0.9.7

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

Patches item #2873094, was opened at 2009-10-05 19:32
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873094&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: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: sec. try: LMM in QuantLibXL 0.9.7 

Initial Comment:


This patch is created for changing the declaration of the function

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

to

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

This is needed to port this function to QuantLibXL.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873094&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2873093 ] LMM in QuantLibXL 0.9.7

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

Patches item #2873093, was opened at 2009-10-05 19:26
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873093&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: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: LMM in QuantLibXL 0.9.7

Initial Comment:
This patch is created for changing the declaration of the function 

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

to

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

This is needed to port this function to QuantLibXL.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2873093&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-2873091 ] LMM in QuantLibXL 0.9.7

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

Feature Requests item #2873091, was opened at 2009-10-05 19:20
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2873091&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
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: LMM in QuantLibXL 0.9.7

Initial Comment:
To use the market model in QLXL one needs the function 
qlAccountingEngineMultiplePathValues to start the simulation. 
Unfortunately this function is not created in QLXL. ( or this function 
is commented out in project qlgensrc , file accountingengines.xml)

The reason is that the declaration of the function 
AccountingEngine::multiplePathValues has been changed and this causes 
some violation in QLXL 0.9.7.

To overcome this limit it is needed to change the declaration from 
void AccountingEngine::multiplePathValues(SequenceStatisticsInc & stats,
                                Size numberOfPaths);

to

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



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

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[Quantlib-dev] [ quantlib-Patches-2871739 ] Kernel Interpolation Update

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

Patches item #2871739, was opened at 2009-10-02 10:27
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&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: Accepted
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Kernel Interpolation Update

Initial Comment:
Changed some functions to const and by reference parameter passing. The passed 
kernel is now a template type. Can be used as before, but now any object that has
an operator()(Real x) can be passed. In particular boost function objects.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 18:04

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


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 10:21

Message:
Would it be possible to have a context diff? It would make it easier to
apply it correctly.
On the command line, add -C 3 to the diff invocation.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2871739&group_id=12740

Re: [Quantlib-dev] Fwd: Re: [Quantlib-users] CreditDefaultSwap throws RuntimeError

[Jose Aparicio-N. <ja...@fr...>]

Quoting Luigi Ballabio <lui...@gm...>:

> On Mon, 2009-10-05 at 11:31 +0200, Jose Aparicio-Navarro wrote:
> > Quoting Luigi Ballabio <lui...@gm...>:
> > Yep, lets make it the TS ref date. Moving this
> >
> > Date effectiveStartDate =
> >    (startDate <= today && today <= endDate) ? today : startDate;
> >
> > into:
> >
> > Date effectiveStartDate =
> >     (startDate <= settlementDate && settlementDate <= endDate) ?
> >         settlementDate : startDate;
> >
> > works for both cds engines.
>
> Except I'd leave the start date alone and correct the default date
> instead, if possible. No?
>
> Luigi
>
Right, not to mix things. But theres a potential problem with

Probability P = probability_->defaultProbability(
                    effectiveStartDate, ///<<<<<
                    endDate);
if "effectiveStartDate" lies before the probability curve reference date (I am
thinking: startAccrual < refProb < refTS < endAccrual). Now negative times come
from the probability TS instead.
We can add :

defaultEffectiveStartPeriod =
    effectiveStartDate < refProb ? refProb : effectiveStartDate;

Regards
Pepe

Re: [Quantlib-dev] Heston and ExactVariance

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

On Mon, 2009-10-05 at 12:37 +0200, Dima wrote:
> This will imply that users which run their old code with QL 0.9.9
> will see an exception while the old version didn't throw one.

No, it would imply that their old code won't compile (the ExactVariance
enum will no longer be there) and they'll have to use the new name.

> Maybe, Klaus can say something here

Absolutely.

Luigi


-- 

The First Rule of Optimization: Don't do it. 
The Second Rule of Optimization (For experts only): Don't do it yet. 
-- Michael Jackson 

Re: [Quantlib-dev] Heston and ExactVariance

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

This will imply that users which run their old code with QL 0.9.9
will see an exception while the old version didn't throw one. Maybe,
Klaus can say something here


2009/10/5 Luigi Ballabio <lui...@gm...>

> On Fri, 2009-10-02 at 17:46 +0200, Dima wrote:
> > Well, obviously we shouldn't change the name until we have the
> > alternative implementation for the "correct" type. Otherwise it will
> > not be backwards compatible. Users will call the new version in
> > their old code and will be sent to nirvana :)
>
> I'm not sure that I want to surprise users, even in a good way.
> I'd rather rename the existing implementation, leave the ExactVariance
> missing, and add it in a later release.
>
> Luigi
>
>
> --
>
> Ogden's Law:
> The sooner you fall behind, the more time you have to catch up.
>
>
>

Re: [Quantlib-dev] Heston and ExactVariance

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

On Fri, 2009-10-02 at 17:46 +0200, Dima wrote:
> Well, obviously we shouldn't change the name until we have the
> alternative implementation for the "correct" type. Otherwise it will
> not be backwards compatible. Users will call the new version in 
> their old code and will be sent to nirvana :)

I'm not sure that I want to surprise users, even in a good way.
I'd rather rename the existing implementation, leave the ExactVariance
missing, and add it in a later release.

Luigi


-- 

Ogden's Law: 
The sooner you fall behind, the more time you have to catch up. 

Re: [Quantlib-dev] LMM in QuantLibXL 0.9.7

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

On Fri, 2009-10-02 at 21:28 +0200, Kim Kuen Tang wrote:
> Is this already fixed in the next QLXL?
> If not how can i submit a patch?

I don't know if it's fixed (Nando?)
If it's not, you can either use the patch tracker on Sourceforge
(<https://sourceforge.net/tracker/?group_id=12740&atid=312740>) or post
the patch on this list. In either case, context diffs (-C 3) are
preferred.

Luigi


-- 

There is no opinion so absurd that some philosopher will not 
express it. 
-- Marcus Tullius Cicero, "Ad familiares" 

Re: [Quantlib-dev] Fwd: Re: [Quantlib-users] CreditDefaultSwap throws RuntimeError

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

On Mon, 2009-10-05 at 11:31 +0200, Jose Aparicio-Navarro wrote:
> Quoting Luigi Ballabio <lui...@gm...>:
> Yep, lets make it the TS ref date. Moving this
> 
> Date effectiveStartDate =
>    (startDate <= today && today <= endDate) ? today : startDate;
> 
> into:
> 
> Date effectiveStartDate =
>     (startDate <= settlementDate && settlementDate <= endDate) ?
>         settlementDate : startDate;
> 
> works for both cds engines.

Except I'd leave the start date alone and correct the default date
instead, if possible. No?

Luigi


-- 

There is no opinion so absurd that some philosopher will not 
express it. 
-- Marcus Tullius Cicero, "Ad familiares"