quantlib-dev — Discussion of QuantLib development

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

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

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

> Before the evaluation date or the default date? If it's the evaluation
> date, I wouldn't add a strict requirement as the engine worked for most
> dates.  If it's the mid-period default date, we can think about it.  Do
> we require it to be after the curve reference, or we adjust it a day or
> two so that it falls on the reference date?
>

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.

There will still be problems if:
 probability_->referenceDate() > discountCurve_->referenceDate()

I havent tested it much though.
Regards
Pepe

[Quantlib-dev] [ quantlib-Bugs-2871959 ] OptionletStripper1

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

Bugs item #2871959, was opened at 2009-10-02 20:59
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2871959&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: Fixed
Priority: 5
Private: No
Submitted By: Fabio Ramponi (fabioramponi)
>Assigned to: Luigi Ballabio (lballabio)
Summary: OptionletStripper1

Initial Comment:
in the class OptionletStripper1, if I specify a specific switchStrike in the constructor, the private variable atmOptionletRate_ won't be filled with the forward rates: these forward rates are anyway needed for the calculation of optionletStDevs_, causing an error. 

I would suggest to move the line 84 of optionletstripper1.cpp to the previous for loop (let's say around line 75). In this way, the forward rates would be calculated even if I specify a fixed switchRate.

attached you'll find the version of the file I'm actually using.

Regards,

Fabio Ramponi

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 11:16

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


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

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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 (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,
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: 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 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.


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[Quantlib-dev] want to jon dev team

[Denys B. <den...@gm...>]

Hi Guys,
I want to join your team. My name is Denys. I work as financial software
engineer for financial markets.
My profile is here: http://www.linkedin.com/pub/denys-bezsmertnyi/8/8a7/33
I want to accept various tasks from a task manager.


-- 
Thanks,
Denys

Re: [Quantlib-dev] Heston and ExactVariance

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

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 :) And the implementation
will probably not be finished within a week


2009/10/2 Luigi Ballabio <lui...@gm...>

> On Thu, 2009-10-01 at 13:22 +0200, Klaus Spanderen wrote:
> > your are right, exact variance is not the exact simulation alogrithm
> > as proposed by Broadie and Kaya. "exact variance" here means that the
> > variance part of the Heston process is sampled from the "correct"
> > non-central chi square distribution.
> >
> > May be we should change the name of the scheme. Do you have a better
> > one?
>
> Quick note: if the two of you are going to come up with a better name,
> you better do it during next week. After that, I'm starting to package
> the 0.9.9 release and I'm freezing the interfaces, so if it's still
> called exact variance it stays that way.
>
> Luigi
>
>
> --
>
> Anyone who says he can see through women is missing a lot.
> -- Groucho Marx
>
>
>

[Quantlib-dev] [ quantlib-Bugs-2871959 ] OptionletStripper1

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

Bugs item #2871959, was opened at 2009-10-02 20:59
Message generated for change (Tracker Item Submitted) made by fabioramponi
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2871959&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: Fabio Ramponi (fabioramponi)
Assigned to: Nobody/Anonymous (nobody)
Summary: OptionletStripper1

Initial Comment:
in the class OptionletStripper1, if I specify a specific switchStrike in the constructor, the private variable atmOptionletRate_ won't be filled with the forward rates: these forward rates are anyway needed for the calculation of optionletStDevs_, causing an error. 

I would suggest to move the line 84 of optionletstripper1.cpp to the previous for loop (let's say around line 75). In this way, the forward rates would be calculated even if I specify a fixed switchRate.

attached you'll find the version of the file I'm actually using.

Regards,

Fabio Ramponi

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

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Re: [Quantlib-dev] Where to get real world market data?

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

Do you mind to provide explicitly a web page?

Best regards,
Kim

M.E.Richard-Fogg schrieb:
> Google and Yahoo both have interfaces for their quotes.   
>
> On Fri, Oct 2, 2009 at 12:34 PM, Kim Kuen Tang <kue...@vo... 
> <mailto:kue...@vo...>> wrote:
>
>
>     Hi all,
>
>     i am building excel sheets to test the calibration of the lmm (
>     bgm) in
>     QuantLibXL. Is there a way to get real world market data?
>     I searched in Yahoo and Bloomberg to find data for yield curve,
>     cap/floor and swaption volatility, but i was not successful.
>
>     Can someone help me to find these datas?
>
>     Best regards,
>     Kim
>
>     ------------------------------------------------------------------------------
>     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...
>     <mailto:Qua...@li...>
>     https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
>
> -- 
> Mark Richard-Fogg
> California Pacific Fogg  发件人
> www.PacificFogg.com <http://www.PacificFogg.com>
> Box 801  Corte Madera, CA 94976
> (P)     415 691 4830
> (F)     413 556 0988  
> (note: 413, not 415)
>
>

[Quantlib-dev] Where to get real world market data?

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

Hi all,

i am building excel sheets to test the calibration of the lmm ( bgm) in 
QuantLibXL. Is there a way to get real world market data?
I searched in Yahoo and Bloomberg to find data for yield curve, 
cap/floor and swaption volatility, but i was not successful.

Can someone help me to find these datas?

Best regards,
Kim

[Quantlib-dev] LMM in QuantLibXL 0.9.7

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

Hi all,

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.

Is this already fixed in the next QLXL?
If not how can i submit a patch?
It is not difficult to fix this. One needs only to modify the three 
files accountingengine.h/cpp and upperboundengine.cpp in QuantLib and 
the file accountingengine.xml in qlgensrc.

Best regards,
Kim

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

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

On Tue, 2009-09-29 at 13:38 +0200, Jose Aparicio-Navarro wrote:
> Was there a reason why we are not forcing the refDate to be before the val date
> in the CDS engines?

Before the evaluation date or the default date? If it's the evaluation
date, I wouldn't add a strict requirement as the engine worked for most
dates.  If it's the mid-period default date, we can think about it.  Do
we require it to be after the curve reference, or we adjust it a day or
two so that it falls on the reference date?

Luigi


> ----- Forwarded message from Jose Aparicio-Navarro <ja...@fr...> -----
>     Date: Tue, 29 Sep 2009 12:47:51 +0200
>     From: Jose Aparicio-Navarro <ja...@fr...>
> Reply-To: Jose Aparicio-Navarro <ja...@fr...>
>  Subject: Re: [Quantlib-users] CreditDefaultSwap throws RuntimeError
>       To: eck...@ya...
> 
> Quoting eck...@ya...:
> 
> >
> > hazard_rate_structure=ql.FlatHazardRate(
> >     ql.QuoteHandle(ql.SimpleQuote(hazard_rate)), # quote handle
> >     ql.ActualActual() # day counter
> >     )
> >
> > issuer=ql.Issuer(
> >     ql.RelinkableDefaultProbabilityTermStructureHandle(
> >         hazard_rate_structure
> >         ), # relinkable handle to default prob term struct
> >     recovery_rate # recovery rate
> >     )
> >
> > yield_term_structure=ql.FlatForward(
> >     2, # settlement days
> >     calendar, # calendar
> >     rate, # rate
> >     ql.ActualActual() # day counter
> >     )
> >
> 
> The FlatHR is (I assuming what the Py binds are doing) constructing a relative
> date curve linked to the instance date with a 0 settlement delay.
> The Yield term structure is doing the same with a 2 days settlement delay.
> 
> The engine requests DFs and Probabilities on coupon days and default days.
> 
> 16th June 06 is a thursday, next coupon goes over a weekend, your TS jumps the
> weekend, the prob not. The coupon is on the following Tuesday. The the engine is
> asking on a past date, is my guess this is the first date this situation takes
> place.
> I was surprised it crashed on the 15th so I coded it and in C++ it crashes on
> the 16th (Friday). It might be your output buffer not being flushed.
> 
> 
> Date date(1,January, 2006);
> date = TARGET().adjust(date, Following);
> Date maturity(20,December, 2014);
> Rate spread = 0.05;
> Real recoveryRate = 0.4;
> Rate hazardRate = 0.2;
> Rate yieldRate = 0.03;
> 
> Schedule schedCds =
>     MakeSchedule().from(date)
>                   .to(maturity)
>                   .withFrequency(Quarterly)
>                   .withConvention(Following)
>                   .withTerminationDateConvention(Following)
>                   .withCalendar(TARGET())
>                   .withRule(DateGeneration::TwentiethIMM)
>    ;
> 
> CreditDefaultSwap our_cds(Protection::Buyer,
>                       1., spread, schedCds,
>                       Following,
>                       Actual360()
>                       );
> Handle<DefaultProbabilityTermStructure> probability(
>     boost::shared_ptr<DefaultProbabilityTermStructure>(new
>         FlatHazardRate(0,  // <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
>             TARGET(),
>             hazardRate, ActualActual())));
> 
> Handle<YieldTermStructure> yield_term_structure(
>       boost::shared_ptr<FlatForward>(
>               new FlatForward(0, //2,  //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
>                 TARGET(), yieldRate,
>                 ActualActual())));
> 
> boost::shared_ptr<CreditDefaultSwap::engine>
>     HRengine_tst(boost::shared_ptr<MidPointCdsEngine>
>         (new MidPointCdsEngine(probability,
>                         recoveryRate, yield_term_structure, true
>          )));
> 
> our_cds.setPricingEngine(HRengine_tst);
> 
> while(date < Date(24, September, 2009)) {
>     Settings::instance().evaluationDate() = date;
>     cout << date << " , " << our_cds.NPV() << endl;
>     date = TARGET().advance(date, 1, Days);
> }
> 
> 
> 
> Regards
> Pepe
> 
> 
> ------------------------------------------------------------------------------
> 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-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 
> ----- End forwarded message -----
> 
> 
> 
> ------------------------------------------------------------------------------
> 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

-- 

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

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

On Thu, 2009-10-01 at 13:22 +0200, Klaus Spanderen wrote:
> your are right, exact variance is not the exact simulation alogrithm
> as proposed by Broadie and Kaya. "exact variance" here means that the
> variance part of the Heston process is sampled from the "correct"
> non-central chi square distribution. 
> 
> May be we should change the name of the scheme. Do you have a better
> one?

Quick note: if the two of you are going to come up with a better name,
you better do it during next week. After that, I'm starting to package
the 0.9.9 release and I'm freezing the interfaces, so if it's still
called exact variance it stays that way.

Luigi


-- 

Anyone who says he can see through women is missing a lot. 
-- Groucho Marx 

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

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

Patches item #2871739, was opened at 2009-10-02 08:27
Message generated for change (Tracker Item Submitted) made by nobody
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: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
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.

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

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Re: [Quantlib-dev] Heston and ExactVariance

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

On Fri, 2009-10-02 at 07:59 +0200, Dima wrote:
> A better name or a better scheme :)?
 
A better name, so that we make the old name available for the better
scheme :)

Luigi


-- 

Skinner's Constant (or Flannagan's Finagling Factor): 
That quantity which, when multiplied by, divided by, added to, 
or subtracted from the answer you got, gives you the answer you 
should have gotten. 

Re: [Quantlib-dev] Heston and ExactVariance

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

A better name or a better scheme :)? The Broadie Kaya scheme could be added
of course. Asfar as I understand you're sampling from chi square as they do.
But then you use this variance
in the next step for the asset. They do a full sampling of the variance from
t to t+\Delta for the
asset. And then I get lost since you do multiply with rho/sigma... in the
drift and subtract...
Do you have a source for your approach? Thanks



2009/10/1 Klaus Spanderen <kl...@sp...>

> Hi
>
> your are right, exact variance is not the exact simulation alogrithm as
> proposed by Broadie and Kaya. "exact variance" here means that the variance
> part of the Heston process is sampled from the "correct" non-central chi
> square distribution.
>
> May be we should change the name of the scheme. Do you have a better one?
>
> best regards
>  Klaus
>
>
> ----- original message --------
>
> Subject: [Quantlib-dev] Heston and ExactVariance
> Sent: Thu, 01 Oct 2009
> From: Dima
>
> Hi All,
>
> I appologize for the frequency of the initialized discussions, but I'm
> browsing through a lot of
> QuantLib code and need to discuss the issues. I hope that nobody is annoyed
> and the
> discussions add some value to the library.
>
> I had a look at Heston and the exact variance method. There were some
> questions on Wilmott
> about what the code does and some user requests. As far as I can see this
> is not the method
> proposed by Broadie and Kaya in "Exact Simulation of stochastic
> volatility..." which is what
> is commonly understood as the exact simulation approach. Which might be
> misleading. And
> I didn't find out what is actually done and if there is some approximation
> happening. Can anyone
> elaborate?
>
> As a side note: I don't think it is good coding practice to pass normal
> random variables to "evolve"
> and transform them to other variables within the code. What is often done
> is: take normal, take
> cdf to get uniform, take inverse of other cdf to get a sample of the random
> number corresponding
> to this cdf. Don't know how good the random variables are if generated in
> that way, also the interface
> will be hard to understand. I think there should rather be a way to pass
> the random variables directly.
>
> Best regards, Dima
>
>
> --- original message end ----
>
>
>

Re: [Quantlib-dev] Heston and ExactVariance

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

Hi

your are right, exact variance is not the exact simulation alogrithm as proposed by Broadie and Kaya. "exact variance" here means that the variance part of the Heston process is sampled from the "correct" non-central chi square distribution. 

May be we should change the name of the scheme. Do you have a better one?

best regards
 Klaus


----- original message --------

Subject: [Quantlib-dev] Heston and ExactVariance
Sent: Thu, 01 Oct 2009
From: Dima

Hi All,

I appologize for the frequency of the initialized discussions, but I'm browsing through a lot of
QuantLib code and need to discuss the issues. I hope that nobody is annoyed and the 
discussions add some value to the library.

I had a look at Heston and the exact variance method. There were some questions on Wilmott
about what the code does and some user requests. As far as I can see this is not the method
proposed by Broadie and Kaya in "Exact Simulation of stochastic volatility..." which is what
is commonly understood as the exact simulation approach. Which might be misleading. And
I didn't find out what is actually done and if there is some approximation happening. Can anyone
elaborate?

As a side note: I don't think it is good coding practice to pass normal random variables to "evolve"
and transform them to other variables within the code. What is often done is: take normal, take
cdf to get uniform, take inverse of other cdf to get a sample of the random number corresponding
to this cdf. Don't know how good the random variables are if generated in that way, also the interface
will be hard to understand. I think there should rather be a way to pass the random variables directly.

Best regards, Dima


--- original message end ----

Re: [Quantlib-dev] parallel programming open-MP

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

On Tue, 2009-09-29 at 12:02 +0100, shoja wrote:
> Maybe both :) can you point me to the random number generation in the
> source tree please.

There's a number of pieces in <ql/math/randomnumbers>.

Luigi


-- 

Hanlon's Razor: 
Never attribute to malice that which is adequately explained 
by stupidity. 

Re: [Quantlib-dev] parallel programming open-MP

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

On Thu, 2009-10-01 at 08:42 +0200, Dima wrote:
> So, this could be parallelized, no?

Yes.

> I mean not the conversion.

Not the internals of the conversion, you mean?

> But since they are
> indendent we could generate say 1000 variables in a parallel framework

You mean "generate" as in "from scratch" (generate the uniform and
transform) or as in "given N uniforms, transform them to normal in
parallel"?  The first might be harder to do across the different kinds
of generator (pseudo-random, Sobol etc.)

Luigi


-- 

Within C++, there is a much smaller and cleaner language struggling to
get out. 
-- Bjarne Stroustrup 

Re: [Quantlib-dev] QuantLibXL not working with Excel 2007 ?

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

Hi Kim

On Thu, Oct 1, 2009 at 6:40 AM, Kim Kuen Tang <kue...@vo...> wrote:
> some more tests show that the combination QuantLib 0.9.7, QuantLibXL
> 0.9.7 und boost 1.41 compiles fine. The produced addin can also be
> loaded by Excel 2007 if the whole Solution QuantLibXL_full_vc9 is
> compiled under static (runtime) mode.
>
> Is there a reason for that?

I personally don't use the boost trunk, official releases only.

When boost 1.40 has been released I checked and the QuantLib trunk did
not compile; there was QLXL code triggering error in boost header
files. For me it was the end of the story as I don't want to patch
boost and I'm willing to wait for 1.41, using 1.39 in the meantime

As for Excel 2007 I don't have acces to it as I still use Excel 2002
at work and Excel 2003 at home.

ciao -- Nando

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

[Quantlib-dev] Heston and ExactVariance

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

Hi All,

I appologize for the frequency of the initialized discussions, but I'm
browsing through a lot of
QuantLib code and need to discuss the issues. I hope that nobody is annoyed
and the
discussions add some value to the library.

I had a look at Heston and the exact variance method. There were some
questions on Wilmott
about what the code does and some user requests. As far as I can see this is
not the method
proposed by Broadie and Kaya in "Exact Simulation of stochastic
volatility..." which is what
is commonly understood as the exact simulation approach. Which might be
misleading. And
I didn't find out what is actually done and if there is some approximation
happening. Can anyone
elaborate?

As a side note: I don't think it is good coding practice to pass normal
random variables to "evolve"
and transform them to other variables within the code. What is often done
is: take normal, take
cdf to get uniform, take inverse of other cdf to get a sample of the random
number corresponding
to this cdf. Don't know how good the random variables are if generated in
that way, also the interface
will be hard to understand. I think there should rather be a way to pass the
random variables directly.

Best regards, Dima

Re: [Quantlib-dev] parallel programming open-MP

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

So, this could be parallelized, no? I mean not the conversion. But since
they are
indendent we could generate say 1000 variables in a parallel framework

2009/9/30 Luigi Ballabio <lui...@gm...>

> On Wed, 2009-09-30 at 16:43 +0200, Dima wrote:
> > I'd look in the methods/montecarlo folder and see what you can
> > potentially parallelize in the path generating process.
>
> Last time I profiled it, the most time-expensive operation was
> converting uniform variates into Gaussian variates.
>
> Luigi
>
> --
>
> Hofstadter's Law:
> It always takes longer than you expect, even when you take
> Hofstadter's Law into account.
>
>
>

Re: [Quantlib-dev] QuantLibXL not working with Excel 2007 ?

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

Hi all,

some more tests show that the combination QuantLib 0.9.7, QuantLibXL
0.9.7 und boost 1.41 compiles fine. The produced addin can also be
loaded by Excel 2007 if the whole Solution QuantLibXL_full_vc9 is
compiled under static (runtime) mode.

Is there a reason for that?

Best regards,
Kim

Ferdinando Ametrano schrieb:
> On Sun, Sep 27, 2009 at 6:06 PM, Kim Kuen Tang <kue...@vo...> wrote:
>   
>> QuantLibXL compiled successfully with MSVC 2008  and boost  1.40.
>>     
>
> how did you manage to compile it with boost 1.40 ?
> The current QLXL trunk cannot be compiled with boost 1.40 as there are
> errors in the boost header files
>
> ciao -- Nando
>
> --
> RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano
>
>   

Re: [Quantlib-dev] parallel programming open-MP

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

On Wed, 2009-09-30 at 16:43 +0200, Dima wrote:
> I'd look in the methods/montecarlo folder and see what you can
> potentially parallelize in the path generating process.

Last time I profiled it, the most time-expensive operation was
converting uniform variates into Gaussian variates.

Luigi

-- 

Hofstadter's Law: 
It always takes longer than you expect, even when you take 
Hofstadter's Law into account. 

Re: [Quantlib-dev] parallel programming open-MP

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

I'd look in the methods/montecarlo folder and see what you can potentially
parallelize in the path generating process. Would be interesting to see



2009/9/29 shoja <sh...@eb...>

> Hi Dima,
> Thanks for the reply.
> Maybe both :) can you point me to the random number generation in the
> source tree please.
>
>
> On 29 Sep 2009, at 08:19, Dima wrote:
>
> Welcome,
>
> as an application, I'd rather suggest to add an Open-MP version of
> random number generation for Monte Carlo. Matrix operations are
> in  my opinion not the application be parallelized in the first step as
> they are usually not the key bottleneck in quant finance applications.
> Thoughts?
>
>
>
> 2009/9/29 <sh...@eb...>
>
>> Hi,
>>
>> I am new to quantLib and would like to start working on adding an Open-
>> MP version of matrix operations to this opensource project.
>>
>> thoughts?
>>
>> Thanks
>>
>>
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>
>

[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

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

Patches item #2825951, was opened at 2009-07-23 14:20
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&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: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 15:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2315605 ] Fast Fourier Transform test

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

Patches item #2315605, was opened at 2008-11-19 20:40
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315605&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: Slava Mazur (shlagbaum)
Assigned to: Luigi Ballabio (lballabio)
Summary: Fast Fourier Transform test

Initial Comment:
Example of calculation of convolution of a discrete sequence via FFT is added to test_suite.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 15:29

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


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 12:04

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315605&group_id=12740