quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

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

Patches item #2315587, was opened at 2008-11-19 20:32
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&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 changes.

Initial Comment:
I propose the following changes to ql/math/fastfouriertransform.hpp and related files:

1. Enabled it (ifdef changed to ifndef)

2. Made number of frequencies a run time parameter, which 
is passed as a parameter of class ctor. Very often the frequency of FT is determined at run time, so it's better 
to have it this way.

3. Improved performance. Sines and cosines for a given frequency are calculated ones at object construction. This also allows for reuse the same object for different transformations.

4. Changed interface of fft method. Additional template parameter added to distinguish between the types of input and output sequences. End of output sequence added to allow for different input and output length.

5. Added check on consistency of size of the input sequence. Replaced [] by *-type dereference, which is more appropriate for iterators.

6. Added operator () to make the class a functor.

7. Minor changes to bit_reverse method.

8. Added a test to the test suite (separate patch).

The differences between proposed changes and the current trunk version are attached. 

Regards,

Slava Mazur

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 15:28

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


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-29 17:19

Message:
Slava, I guess we'll have to wait until your company settles on an option.
Sorry, but there's not much I can do...


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-29 16:11

Message:
Luigi, i also would prefer the second option, but i still don't have a
clear permission from my company to do that. The problem here is pretty
standard - i can put my name in the copyright because this violates company
policies and they relactant to put their because they probably afraid of
possible implications and because they will have to review the current
policies. So, if you think of option 1 is a viable one - go for it, i don't
care much about authorship of this stuff. Let me know if you can recommend
something better. I'll let you know if there are any changes on my side.
Sorry, if it looked like i was ignoring your messages. I just didn't have
anything certain and don't have it now.

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

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.


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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-12-15 09:38

Message:
yes, we do care. We're just slow.


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

Comment By: Slava Mazur (shlagbaum)
Date: 2008-12-12 16:29

Message:
Anybody cares about this?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

[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 (Settings changed) 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


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

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

Re: [Quantlib-dev] Dates

[<s.i...@gm...>]

I guess I'd use pImpl for the compilation benefits and also as - most of the time - we'd like users to reuse an existing object, not re-creating what is (for many cases) a functor.


Sent from my BlackBerry® wireless device

-----Original Message-----
From: Luigi Ballabio <lui...@gm...>
Date: Tue, 29 Sep 2009 16:57:18 
To: <s.i...@gm...>
Cc: <qua...@li...>
Subject: Re: [Quantlib-dev] Dates

On Tue, 2009-09-29 at 15:15 +0200, Luigi Ballabio wrote:
> Hmm. Probably pimpl, what do you think?

A quick note, since my coworker just read and misinterpreted the above,
thus sending shivers down my spine: I was not being sarcastic. Let me
rephrase:

I'd probably go for pimpl, but I'm not 100% sure. Do you have any
opinion on the matter?

Luigi


-- 

Dealing with failure is easy: work hard to improve. Success is also 
easy to handle: you've solved the wrong problem. Work hard to improve. 
-- Alan Perlis 

Re: [Quantlib-dev] Dates

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

On Tue, 2009-09-29 at 15:15 +0200, Luigi Ballabio wrote:
> Hmm. Probably pimpl, what do you think?

A quick note, since my coworker just read and misinterpreted the above,
thus sending shivers down my spine: I was not being sarcastic. Let me
rephrase:

I'd probably go for pimpl, but I'm not 100% sure. Do you have any
opinion on the matter?

Luigi


-- 

Dealing with failure is easy: work hard to improve. Success is also 
easy to handle: you've solved the wrong problem. Work hard to improve. 
-- Alan Perlis 

Re: [Quantlib-dev] Dates

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

On Mon, 2009-09-28 at 16:07 +0000, s.i...@gm... wrote:
> Would you advise going via the pImpl method or just the standard inheritance?

Hmm. Probably pimpl, what do you think?

Luigi


-- 

Age is an issue of mind over matter. If you don't mind, it doesn't
matter. 
-- Mark Twain 

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

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

Was there a reason why we are not forcing the refDate to be before the val date
in the CDS engines?

Regards
Pepe


----- 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 -----

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

[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
>
> ------------------------------------------------------------------------------
> 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-Bugs-2797119 ] Failure to compile Python ext. - Visual C++ 2008, Boost 1.39

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

Bugs item #2797119, was opened at 2009-05-27 02:11
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&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: pm13 (pm13)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Failure to compile Python ext. - Visual C++ 2008, Boost 1.39

Initial Comment:
I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.39.0, Boost Jam 3.1.17, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with different version of Boost and with a little patch.

In the last step (python.exe setup.py install) I got this exception (and much more, see the attachment):
C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : error C2143: syntax error : missing ';' before 'namespace'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(980) : error C2838: '()' : illegal qualified name in member declaration

        C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : see reference to class template instantiation 'boost::function0<R>' being compiled

C:\QuantLib-0.9.7\boost/function/function_template.hpp(995) : error C2804: binary 'operator ==' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1002) : error C2804: binary 'operator !=' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C2764: 'R' : template parameter not used or deducible in partial specialization 'boost::function<R(void)>'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C3412: 'boost::function<R(void)>' : cannot specialize template in current scope


Maybe there is a simple solution (I almost don't know C++) but I only found following link and I went around the problem by using Boost 1.36.0:
http://thread.gmane.org/gmane.comp.lib.boost.user/42699


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 11:52

Message:
Strangely enough, the fix you suggested with Boost 1.36 also fixed this
issue.

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

Comment By: pm13 (pm13)
Date: 2009-05-27 02:12

Message:
The whole title should be:
Failure to compile Python extensions with Visual C++ 2008 and Boost 1.39.0

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-2568491 ] Coding standard errors in Quantlib

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

Feature Requests item #2568491, was opened at 2009-02-05 15:27
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2568491&group_id=12740

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

Initial Comment:
Hi Luigi,

I'm just getting to know Quantlib and thought that a way I could get started with writing some code would be to do some static analysis. Doing this, I've found some potential bugs in the code that could be easily patched. Some of the errors that I've found have to do with the follow violations:

Calling virtual functions from constructors and destructors
Using local variables that have the same name as class/parent class variables 
Not initializing all member variables in constructors
Downcasting a pointer to an abstract base class to a subclass
Making implicit conversions from one type to another
Passing objects by reference instead of by value (more an optimization issue)
Not throwing an exception by value or catching by reference

Do you think that any of these errors warrant patching? I could give concrete examples if you like but should download the SVN head beforehand as I'm using the release code. 

Regards
Marcel

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

Comment By: Marcel Stampfer (marcelstampfer)
Date: 2009-02-06 13:47

Message:
Okay. My plan is to run the examples and unit tests through a debugger to
see if any of these violations are reached (there are 100's). With that I
can compare patched versions to determine if any of the violations are bugs
in the code.

Marcel

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-06 10:53

Message:
Yes, please go ahead.

Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2568491&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2599416 ] Failure to compile on ubuntu

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

Bugs item #2599416, was opened at 2009-02-14 13:11
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2599416&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: Failure to compile on ubuntu 

Initial Comment:
Hello,

  I am compiling QuantLib 0.9.7 on my ubuntu machine.
The procedure that I am running is:

$ tar zxvf QuantLib-0.9.7.tar.gz
$ cd QuantLib-0.9.7
$ ./configure
$ make

  but then I will get the following errors at the very ending of the compilation:

make[3]: Entering directory `/tmp/QuantLib-0.9.7/ql'
/bin/bash ../libtool --tag=CXX --mode=link g++  -g -O2 -Wall   -o libQuantLib.la -rpath /usr/local/lib -release 0.9.7 currency.lo default.lo discretizedasset.lo errors.lo exchangerate.lo exercise.lo index.lo interestrate.lo issuer.lo money.lo position.lo prices.lo settings.lo stochasticprocess.lo termstructure.lo timegrid.lo cashflows/libCashFlows.la currencies/libCurrencies.la experimental/libExperimental.la indexes/libIndexes.la instruments/libInstruments.la legacy/libLegacy.la math/libMath.la methods/libMethods.la models/libModels.la pricingengines/libPricingEngines.la processes/libProcesses.la quotes/libQuotes.la termstructures/libTermStructures.la time/libTime.la utilities/libUtilities.la
libtool: link: g++ -shared -nostdlib /usr/lib/gcc/i486-linux-gnu/4.2.4/../../../../lib/crti.o /usr/lib/gcc/i486-linux-gnu/4.2.4/crtbeginS.o  .libs/currency.o .libs/default.o .libs/discretizedasset.o .libs/errors.o .libs/exchangerate.o .libs/exercise.o .libs/index.o .libs/interestrate.o .libs/issuer.o .libs/money.o .libs/position.o .libs/prices.o .libs/settings.o .libs/stochasticprocess.o .libs/termstructure.o .libs/timegrid.o  -Wl,--whole-archive cashflows/.libs/libCashFlows.a currencies/.libs/libCurrencies.a experimental/.libs/libExperimental.a indexes/.libs/libIndexes.a instruments/.libs/libInstruments.a legacy/.libs/libLegacy.a math/.libs/libMath.a methods/.libs/libMethods.a models/.libs/libModels.a pricingengines/.libs/libPricingEngines.a processes/.libs/libProcesses.a quotes/.libs/libQuotes.a termstructures/.libs/libTermStructures.a time/.libs/libTime.a utilities/.libs/libUtilities.a -Wl,--no-whole-archive  -L/usr/lib/gcc/i486-linux-gnu/4.2.4 -L/usr/lib/gcc/i486-linux-gnu/4.2.4/../../../../lib -L/lib/../lib -L/usr/lib/../lib -L/usr/lib/gcc/i486-linux-gnu/4.2.4/../../.. -lstdc++ -lm -lc -lgcc_s /usr/lib/gcc/i486-linux-gnu/4.2.4/crtendS.o /usr/lib/gcc/i486-linux-gnu/4.2.4/../../../../lib/crtn.o    -Wl,-soname -Wl,libQuantLib-0.9.7.so -o .libs/libQuantLib-0.9.7.so
collect2: ld returned 1 exit status
make[3]: *** [libQuantLib.la] Error 1
make[3]: Leaving directory `/tmp/QuantLib-0.9.7/ql'
make[2]: *** [all-recursive] Error 1
make[2]: Leaving directory `/tmp/QuantLib-0.9.7/ql'
make[1]: *** [all] Error 2
make[1]: Leaving directory `/tmp/QuantLib-0.9.7/ql'
make: *** [all-recursive] Error 1

The development environment that I am using is:

$ gcc -v
Using built-in specs.
Target: i486-linux-gnu
Configured with: ../src/configure -v --enable-languages=c,c++,fortran,objc,obj-c++,treelang --prefix=/usr --enable-shared --with-system-zlib --libexecdir=/usr/lib --without-included-gettext --enable-threads=posix --enable-nls --with-gxx-include-dir=/usr/include/c++/4.2 --program-suffix=-4.2 --enable-clocale=gnu --enable-libstdcxx-debug --enable-objc-gc --enable-mpfr --enable-targets=all --enable-checking=release --build=i486-linux-gnu --host=i486-linux-gnu --target=i486-linux-gnu
Thread model: posix
gcc version 4.2.4 (Ubuntu 4.2.4-1ubuntu3)

  I have libboost installed, and the version is 1.34.1-4ubuntu3 (I install the ubuntu package)

  Any solutions?
  Thank you very much.

WONG Hang.
won...@gm...





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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 11:33

Message:
I don't remember having this problem with the past few Ubuntu versions.
Does it work with newer versions?

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-07-20 22:24

Message:
Today I compiled QuantLib 0.9.7 on Ubuntu 9.04 using gcc 4.3.3-5ubuntu4,
libboost 1.37 successfully. Marco (marco dot krohn at gmx dot de)

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-02-16 15:32

Message:
You are not getting an direct error message from the compiler / linker but
just a failure message.  Could you have other issues like bad ram?  Could
the compile have been killed for excessive ram usage?  Building QL is quite
demanding.

I don't think there is a reason it should not build on Ubuntu has the
Debian packages have built fine on a number of compiler and linker
releases.

Dirk (Debian maintainer for QL)

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2599416&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2856861 ] test suite / boost error with Mac/Snow Leopard

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

Bugs item #2856861, was opened at 2009-09-11 15:55
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2856861&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: Deleted
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: test suite / boost error with Mac/Snow Leopard

Initial Comment:
Hi,  I rebuilt boost and QL 0.9.7 under Snow Leopard then ran the test suite to get:
----------------------------------
Running 390 test cases...
 
Tests completed in 9 m 8 s


*** No errors detected
quantlib-test-suite(74432) malloc: *** error for object 0xa000102100810: pointer being freed was not allocated
*** set a breakpoint in malloc_error_break to debug
Abort trap
----------------------------------
I did some little tests on boost/unit_test and I think that the error comes from there.  The latest versions, 1.38 to 1.40, have moved away from the manual test registration that QL uses.  However, I've not come up with a solution except to go to auto-registration of the test cases.

Best regards,
Chris Kenyon

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2856861&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2837044 ] ldconfig run missing at install

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

Bugs item #2837044, was opened at 2009-08-13 19:48
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2837044&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: Wont Fix
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: ldconfig run missing at install

Initial Comment:
After installing the QuantLib library I did get the error "error while loading shared libraries: libQuantLib-0.9.7.so: cannot open shared object file: No such file or directory" when running a test programm using QuantLib. 
What did fix that problem was running ldconfig as root.


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 11:28

Message:
Sorry, but if the autotools don't run ldconfig automatically, I don't think
I can sit down and figure out a way to do it in a way which is portable
across platforms (some of which don't need it, and some of which don't even
have ldconfig.)


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2837044&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2868700 ] Missing files in Quantlib

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

Bugs item #2868700, was opened at 2009-09-28 10:35
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&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: Missing files in Quantlib

Initial Comment:
Hello Quantlib developers,

in the latest version (subversion changelist 16490), two files "eonia.cpp" and "eonia.hpp" are included in the QuantLib_vc9 project, but have been forgotton to be added to the svn repository. Could you please add the missing files?

Thanks a lot

Christoph.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 09:37

Message:
The files were deleted, not added.
You can safely remove the entries from the project and continue.
The project will be fixed shortly.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2797120 ] Failure to compile Python ext. - Visual C++ 2008, Boost 1.36

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

Bugs item #2797120, was opened at 2009-05-27 02:16
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797120&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: pm13 (pm13)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Failure to compile Python ext. - Visual C++ 2008, Boost 1.36

Initial Comment:
The whole title should be:
Failure to compile Python extensions with Visual C++ 2008 and Boost 1.36.0 without change in setup.py

(This is almost the same as an another bug, difference is in the version of Boost).

I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.36.0, Boost Jam 3.1.16, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with a little patch.
In the last step (python.exe setup.py install) I got this exception (more in the first attachment):
C:\Program Files\Microsoft Visual Studio 9.0\VC\INCLUDE\xlocale(342) : warning C4530: C++ exception handler used, but unwind semantics are not enabled. Specify /EHsc

C:\Program Files\Microsoft Visual Studio 9.0\VC\BIN\link.exe /DLL /nologo /INCREMENTAL:NO /LIBPATH:C:\Python26\libs /LIBPATH:C:\Python26\PCbuild /LIBPATH:C:\QuantLib-0.9.7\lib /EXPORT:init_QuantLib build\temp.win32-2.6\Release\QuantLib/quantlib_wrap.obj /OUT:build\lib.win32-2.6\QuantLib\_QuantLib.pyd /IMPLIB:build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib /MANIFESTFILE:build\temp.win32-2.6\Release\QuantLib\_QuantLib.pyd.manifest /subsystem:windows /machine:I386

   Creating library build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib and object build\temp.win32-2.6\Release\QuantLib\_QuantLib.exp

quantlib_wrap.obj : error LNK2019: unresolved external symbol "void __cdecl boost::throw_exception(class std::exception const &)" (?throw_exception@boost@@YAXABVexception@std@@@Z) referenced in function "public: double __thiscall boost::function1<double,double>::operator()(double)const " (??R?$function1@NN@boost@@QBENN@Z)

build\lib.win32-2.6\QuantLib\_QuantLib.pyd : fatal error LNK1120: 1 unresolved externals

I used the advice and I added "/EHsc" to extra_compile_args:
extra_compile_args = ['/GR', '/FD', '/Zm250', '/EHsc']

With changed setup.py I was able to compile Python extensions (more in the second attachment) and tests passed (python.exe setup.py test).



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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 11:12

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797120&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2868700 ] Missing files in Quantlib

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

Bugs item #2868700, was opened at 2009-09-28 10:35
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&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: Postponed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Missing files in Quantlib

Initial Comment:
Hello Quantlib developers,

in the latest version (subversion changelist 16490), two files "eonia.cpp" and "eonia.hpp" are included in the QuantLib_vc9 project, but have been forgotton to be added to the svn repository. Could you please add the missing files?

Thanks a lot

Christoph.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-29 09:37

Message:
The files were deleted, not added.
You can safely remove the entries from the project and continue.
The project will be fixed shortly.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&group_id=12740

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

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

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
>
>
> ------------------------------------------------------------------------------
> 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
>

Re: [Quantlib-dev] Some more explanation about LongstaffSchwartz

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

Hi 

On Saturday 26 September 2009 14:57:41 Andrea wrote:
>
> which implies exactly the opposite of what the comment says (exercise[j] is
> > 0.0)


opps, the comment is misleading (or simply wrong;-). I'm going to remove the 
comment. Thanks!

regards
 Klaus

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

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

Hi Ferdinando,

i dont know which errors you are talking about, since i dont get them.
The problem with the preprocessor BOOST_HAS_LONG_LONG is for example 
fixed in the trunk version.
See the log message:

Revision: 51503
Author: bemandawes
Date: 15:14:09, Sonntag, 1. März 2009
Message:
config: fix both BOOST_HAS_LONG_LONG and BOOST_NO_LONG_LONG getting 
defined at the same time for some compilers
----
Modified : /trunk/boost/config/suffix.hpp



However using the latest boost library from trunk version i managed to 
compile quantlib together with QLXL. The problem is that the produced 
addin cannot be loaded by Excel 2007.

Best regrards,
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] Dates

[<s.i...@gm...>]

Hi Luigi,

Would you advise going via the pImpl method or just the standard inheritance?

Cheers,
Simon

Sent from my BlackBerry® wireless device

-----Original Message-----
From: Luigi Ballabio <lui...@gm...>
Date: Mon, 28 Sep 2009 15:43:46 
To: <s.i...@gm...>
Cc: <qua...@li...>
Subject: Re: [Quantlib-dev] Dates

On Fri, 2009-09-25 at 11:46 +0000, s.i...@gm... wrote:
> I've been looking at the QuantLib constructors and have a feeling that
> something better could be done regarding periods. 
> [...] 
> Thoughts please? 

Looks good. Please go ahead.

Luigi


-- 

An ideal world is left as an exercise to the reader. 
-- Paul Graham 

Re: [Quantlib-dev] CDS stubs schedules rule

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

On Tue, 2009-09-22 at 08:13 +0200, Jose Aparicio-Navarro wrote:
> I have added a new rule to account for the long stub.
> 
> I have also forced unadjustment on the first schedule date in this case since
> theres no particular convention variable for that date. If we want a convention
> on the startDate we pass it already adjusted (as it is done in the helpers).
> 
> Another small change I would like to request is for the cds helpers not to
> adjust the final protection date accrual, which is the default convention.

Ok. As they used to say, if anybody is against this, speak now or
forever hold your peace. Or at least hold it until some future release.

Luigi


-- 

Cogito ergo I'm right and you're wrong. 
-- Blair Houghton 

Re: [Quantlib-dev] The Null<> Class

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

On Sat, 2009-09-26 at 17:35 +0200, Dima wrote:
> I still think we need a little wrapper instead of the pure optional
> class.
> It is not convenient to dereference the optional object in the code
> [...]
> A QuantLib rewriting example for the Instrument class:
> 
> // Optional version
> //---------------------------------------------------------------------------
> public:
> inline Instrument::Instrument(){} // no initialization of member
> needed
> 
> private:
> // make NPV_ an Optional variable
> Optional<Real> NPV_
> 
>  inline Real Instrument::NPV() const {
>         calculate();
>         QL_REQUIRE(NPV_.isInitialized(), "NPV not provided");
>         return NPV_;
>     }
> //---------------------------------------------------------------------------
> 
> 
> Of course, the Optional class has to be polished. Thoughts?

I don't know, I'm not fond of automatic conversions (as you might see
from the several "explicit" keywords we added to constructors...)
It's true that this means rewriting some code (or possibly a lot of it)
but I think it would be safer. And once we rule out explicit conversion,
the code is not that verbose. With boost::optional, the excerpt above
would be written as:

//---------------------------------------------------------------------------
public:
  Instrument::Instrument(){} // no initialization of member needed

private:
  // make NPV_ a boost::optional variable
  boost::optional<Real> NPV_;

  Real Instrument::NPV() const {
      calculate();
      QL_REQUIRE(NPV_, "NPV not provided");
      return *NPV_;
  }
//---------------------------------------------------------------------------


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] Dates

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

On Fri, 2009-09-25 at 11:46 +0000, s.i...@gm... wrote:
> I've been looking at the QuantLib constructors and have a feeling that
> something better could be done regarding periods. 
> [...] 
> Thoughts please? 

Looks good. Please go ahead.

Luigi


-- 

An ideal world is left as an exercise to the reader. 
-- Paul Graham 

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

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

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

[Quantlib-dev] [ quantlib-Bugs-2868700 ] Missing files in Quantlib

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

Bugs item #2868700, was opened at 2009-09-28 08:35
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&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: Missing files in Quantlib

Initial Comment:
Hello Quantlib developers,

in the latest version (subversion changelist 16490), two files "eonia.cpp" and "eonia.hpp" are included in the QuantLib_vc9 project, but have been forgotton to be added to the svn repository. Could you please add the missing files?

Thanks a lot

Christoph.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2868700&group_id=12740

[Quantlib-dev] Silverlight QuantLib Interest Rate Pricer online

[Toyin A. <toy...@ho...>]

Hello Luigi,


It's been a while since I last posted a message here.

 

I would firstly just like to say thanks to you guys as well as the guys at www.qlnet.org . Via both your professional frameworks, most of my time was spent on Silverlight integration issues rather than implementing a financial derivatives framework from scratch.

 

Because I have moved onto C# the last couple of years, Most of my work has been porting QuantLib C++ to C#.

 

Basically I have been looking at the Silverlight technology as a way for users to price derivatives with just a browser installed and to eliminate server costs at the same time.

 

You probably recall that I attempted this a few years ago via an ASP.NET version but this died very quickly because too many users hit the server and of course, it being hosted on one of those cheap ASP.NET hosting plans, did not really cater for a lot of people hitting it.

 

The service was to be free, but with the infrastructure needed to be hosted on several heavy duty server machine, the costs became a factor for me.

 

Now I have a Silverlight version. All number crunching is performed on the users machine, for now the silverlight application is hosted on Microsoft's server.

 

Please feel free to play with it and let me know of any comments and improvements that you think are needed.

 

It's a free service and currently you can strip yieldcurves, construct simple SABR volatility curves and price over 45 interest rate strategies including CMS Swaps, LIBOR and In-Arrears. You can also cap all these legs. Cashflows can be viewed and simple delta curve risk can be conducted against the chosen strategy..

 

You can also save copies of the pricers to your hard disk for printing or for reloading the data back into the pricer. The format are Excel 2003 XML spreadsheet files.

 

Of course the whole thing is powered by QuantLib (C# version) and any mispricing, bugs is down to me and not QuantLib, QLNet.

 

You do need the latest Silverlight runtime in order to play with it.

 

You can access the pricer at www.QuantTools.com/irpricer.htm

 

It's in beta at the moment and I need to provide user docs which will be coming soon.

 

I am looking to integrate more pricers/screens and so if anyone has any suggestions let me know.

 

Best Regards,

Toyin Akin.

 
 		 	   		  
_________________________________________________________________

MSN straight to your mobile - news, entertainment, videos and more.

http://clk.atdmt.com/UKM/go/147991039/direct/01/