quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Patch to exposure to QuantLibXL a few more functions of InterestRate object

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

On Fri, 2009-09-18 at 18:31 -0300, Piter Dias wrote:
> I made a patch (just XML changes) in order to exposure to below
> functions to QuantLibXL. [...]
> 
>       * qlInterestRateImpliedRate - Returns the implied rate between
>         two dates based on the given a compound factor
>       * qlInterestRateDiscountFactor - Returns the discount factor
>         between two dates based on the given InterestRate object
>       * qlInterestRateCompoundFactor - Returns the compound factor
>         between two dates based on the given InterestRate object
> 
> I hope it is useful enough to go to trunk.

I think so, but I'll leave that to the QuantLibXL people.

Thanks,
	Luigi


-- 

Perfection is reached, not when there is no longer anything to add, but 
when there is no longer anything to take away. 
-- Antoine de Saint-Exupery 

Re: [Quantlib-dev] Date::serialNumber_ is same as Excel date (1900 based)

[Yan K. <yan...@we...>]

Sorry, wrong mailing list.

Yan Kuang <yan...@we...> wrote on 21/09/2009 11:39:35 AM:

> 
> Hi All, 
> 
> Can anyone confirm that  Date::serialNumber_ is same as Excel date 
> (1900 based double)? 
> 
> Can I: 
> 
> Date aDate(BigInteger(xDate)); 
> 
> where xDate is a double I get it from Exel Addin api. 
> 
> Thanks,
> Yan 


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[Quantlib-dev] Date::serialNumber_ is same as Excel date (1900 based)

[Yan K. <yan...@we...>]

Hi All,

Can anyone confirm that  Date::serialNumber_ is same as Excel date (1900 
based double)?

Can I:

Date aDate(BigInteger(xDate));

where xDate is a double I get it from Exel Addin api.

Thanks,
Yan

Please consider our environment before printing this email.

WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.

It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.

This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.

Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.

Westpac Banking Corporation ABN 33 007 457 141.

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16482] trunk/ObjectHandler

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

On Fri, Sep 18, 2009 at 4:11 PM, <pla...@us...> wrote:
> Revision: 16482
>          http://quantlib.svn.sourceforge.net/quantlib/?rev=16482&view=rev
> Author:   plamen_neykov
> Date:     2009-09-18 14:11:08 +0000 (Fri, 18 Sep 2009)
>
> Log Message:
> -----------
> serialisation of Groups is now supported - a flag in ohObjectSave determines whether Groups are serialised too (the old impl. did ignore Groups in the serialisation code).

mmm... I cannot remember exactly why, but there was a reason Eric
disable Group serialization. It might have been just a quick patch...
maybe one of those unreasonable request of mine
Anyway what is actually serialized? The elements inside the Group or
the Group object itself?

good to see you back in action...
Any chance you might tackle object aliases? They would be especially
helpful for enumerated types, e.g. to declare at runtime aliases for
DayCounter / Calendar easing the interfacing with other xll/systems

ciao -- Nando

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[Quantlib-dev] Any projects?

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

Hi folks,
I've contributed a few things before to QuantLib and find myself with a little spare time on my hands. Is there anything that someone would like to see added to QuantLib?
My background is as a quant with 8 years experience - in fixed-income, credit and especially hybrids... 
Any of that sound interesting?

Cheers,
Simon

Sent from my BlackBerry® wireless device

[Quantlib-dev] Patch to exposure to QuantLibXL a few more functions of InterestRate object

[Piter D. <pit...@pi...>]

Index: QuantLibAddin/gensrc/metadata/functions/leg.xml
===================================================================
--- QuantLibAddin/gensrc/metadata/functions/leg.xml	(revision 16482)
+++ QuantLibAddin/gensrc/metadata/functions/leg.xml	(working copy)
@@ -1074,6 +1074,130 @@
       </ReturnValue>
     </Member>
 
+    <Member name='qlInterestRateCompoundFactor' type='QuantLib::InterestRate' superType='libraryClass'>
+      <description>Returns the compound factor between two dates based on the given InterestRate object.</description>
+      <libraryFunction>compoundFactor</libraryFunction>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+          <Parameters>
+            <Parameter name='StartDate' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>start date: start date for compound factor calculation.</description>
+            </Parameter>
+            <Parameter name='EndDate' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>end date: end date for compound factor calculation.</description>
+            </Parameter>
+            <Parameter name='RefPeriodStart' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>ref period start date: only needed for few daycounters (ex. Actual/Actual).</description>
+            </Parameter>
+            <Parameter name='RefPeriodEnd' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>ref period end date: only needed for few daycounters (ex. Actual/Actual).</description>
+            </Parameter>
+          </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Member>
+
+    <Member name='qlInterestRateDiscountFactor' type='QuantLib::InterestRate' superType='libraryClass'>
+      <description>Returns the discount factor between two dates based on the given InterestRate object.</description>
+      <libraryFunction>discountFactor</libraryFunction>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+        <Parameters>
+          <Parameter name='StartDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>start date: start date for compound factor calculation.</description>
+          </Parameter>
+          <Parameter name='EndDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>end date: end date for compound factor calculation.</description>
+          </Parameter>
+          <Parameter name='RefPeriodStart' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>ref period start date: only needed for few daycounters (ex. Actual/Actual).</description>
+          </Parameter>
+          <Parameter name='RefPeriodEnd' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>ref period end date: only needed for few daycounters (ex. Actual/Actual).</description>
+          </Parameter>
+        </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Member>
+
+    <Procedure name='qlInterestRateImpliedRate'>
+      <description>Returns the implied rate between two dates based on the given a compound factor.</description>
+      <alias>QuantLib::InterestRate::impliedRate</alias>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+        <Parameters>
+          <Parameter name='Compound' default='1.'>
+            <type>QuantLib::Real</type>
+            <tensorRank>scalar</tensorRank>
+            <description>compound: compound factor used to extract the rate.</description>
+          </Parameter>
+          <Parameter name='StartDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>start date: start date of rate calculation.</description>
+          </Parameter>
+          <Parameter name='EndDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>end date: end date of rate calculation.</description>
+          </Parameter>
+          <Parameter name='DayCounter' default='"Actual/365 (Fixed)"'>
+            <type>QuantLib::DayCounter</type>
+            <tensorRank>scalar</tensorRank>
+            <description>rate DayCounter ID.</description>
+          </Parameter>
+          <Parameter name='Compounding' default='"Continuous"' const='False'>
+            <type>QuantLib::Compounding</type>
+            <tensorRank>scalar</tensorRank>
+            <description>interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}).</description>
+          </Parameter>
+          <Parameter name='Frequency' default='"Annual"' const='False'>
+            <type>QuantLib::Frequency</type>
+            <tensorRank>scalar</tensorRank>
+            <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).</description>
+          </Parameter>
+        </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Procedure>
+
     <Constructor name='qlInterestRate'>
       <libraryFunction>InterestRate</libraryFunction>
       <SupportedPlatforms>

[Quantlib-dev] Patch to exposure to QuantLibXL a few more functions of InterestRate object

[Piter D. <pit...@pi...>]

Index: QuantLibAddin/gensrc/metadata/functions/leg.xml
===================================================================
--- QuantLibAddin/gensrc/metadata/functions/leg.xml	(revision 16482)
+++ QuantLibAddin/gensrc/metadata/functions/leg.xml	(working copy)
@@ -1074,6 +1074,130 @@
       </ReturnValue>
     </Member>
 
+    <Member name='qlInterestRateCompoundFactor' type='QuantLib::InterestRate' superType='libraryClass'>
+      <description>Returns the compound factor between two dates based on the given InterestRate object.</description>
+      <libraryFunction>compoundFactor</libraryFunction>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+          <Parameters>
+            <Parameter name='StartDate' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>start date: start date for compound factor calculation.</description>
+            </Parameter>
+            <Parameter name='EndDate' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>end date: end date for compound factor calculation.</description>
+            </Parameter>
+            <Parameter name='RefPeriodStart' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>ref period start date: only needed for few daycounters (ex. Actual/Actual).</description>
+            </Parameter>
+            <Parameter name='RefPeriodEnd' default='QuantLib::Date()'>
+              <type>QuantLib::Date</type>
+              <tensorRank>scalar</tensorRank>
+              <description>ref period end date: only needed for few daycounters (ex. Actual/Actual).</description>
+            </Parameter>
+          </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Member>
+
+    <Member name='qlInterestRateDiscountFactor' type='QuantLib::InterestRate' superType='libraryClass'>
+      <description>Returns the discount factor between two dates based on the given InterestRate object.</description>
+      <libraryFunction>discountFactor</libraryFunction>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+        <Parameters>
+          <Parameter name='StartDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>start date: start date for compound factor calculation.</description>
+          </Parameter>
+          <Parameter name='EndDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>end date: end date for compound factor calculation.</description>
+          </Parameter>
+          <Parameter name='RefPeriodStart' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>ref period start date: only needed for few daycounters (ex. Actual/Actual).</description>
+          </Parameter>
+          <Parameter name='RefPeriodEnd' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>ref period end date: only needed for few daycounters (ex. Actual/Actual).</description>
+          </Parameter>
+        </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Member>
+
+    <Procedure name='qlInterestRateImpliedRate'>
+      <description>Returns the implied rate between two dates based on the given a compound factor.</description>
+      <alias>QuantLib::InterestRate::impliedRate</alias>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <!--SupportedPlatform name='Cpp'/-->
+      </SupportedPlatforms>
+      <ParameterList>
+        <Parameters>
+          <Parameter name='Compound' default='1.'>
+            <type>QuantLib::Real</type>
+            <tensorRank>scalar</tensorRank>
+            <description>compound: compound factor used to extract the rate.</description>
+          </Parameter>
+          <Parameter name='StartDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>start date: start date of rate calculation.</description>
+          </Parameter>
+          <Parameter name='EndDate' default='QuantLib::Date()'>
+            <type>QuantLib::Date</type>
+            <tensorRank>scalar</tensorRank>
+            <description>end date: end date of rate calculation.</description>
+          </Parameter>
+          <Parameter name='DayCounter' default='"Actual/365 (Fixed)"'>
+            <type>QuantLib::DayCounter</type>
+            <tensorRank>scalar</tensorRank>
+            <description>rate DayCounter ID.</description>
+          </Parameter>
+          <Parameter name='Compounding' default='"Continuous"' const='False'>
+            <type>QuantLib::Compounding</type>
+            <tensorRank>scalar</tensorRank>
+            <description>interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}).</description>
+          </Parameter>
+          <Parameter name='Frequency' default='"Annual"' const='False'>
+            <type>QuantLib::Frequency</type>
+            <tensorRank>scalar</tensorRank>
+            <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).</description>
+          </Parameter>
+        </Parameters>
+      </ParameterList>
+      <ReturnValue>
+        <type>QuantLib::Real</type>
+        <tensorRank>scalar</tensorRank>
+      </ReturnValue>
+    </Procedure>
+
     <Constructor name='qlInterestRate'>
       <libraryFunction>InterestRate</libraryFunction>
       <SupportedPlatforms>

[Quantlib-dev] The Null<> Class

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

I had a closer look at it and would like to propose some changes. The first
thing
that I think is worth discussing is the comparison against

std::numeric_limits<T>::max.

So the following code:

    Real myReal=(std::numeric_limits<float>::max)();
    bool   realIsNull=(myReal==Null<Real>());

would set the boolean to true. But myReal is actually a Real number, the
largest one
which can be represented on the system. I agree that this will work most of
the time,
but I think it would make more sense to compare it against

std::numeric_limits<float>::quiet_isNaN

Comparing any real against this object type will return false, exactly what
we want. The second
thing that I'd like to mention is that for the class

class Foo{
    private:
      Real var_;
    public:
        Foo():var_(10.0){}

        bool operator==(const Foo& rhs) {
            return var_==rhs.var_;
        }
  };

which has a standard constructor, the following will yield a boolean which
is true

Foo myFoo;
bool myFooIsNull=(myFoo==Null<Foo>());

In this case, we are comparing against a standard constructor, which is not
really a Null object,
since some member variables are initialized. I propose something similar too

#include<limits>
#include <boost/static_assert.hpp>

  template <class Type> class NullNew {

  public:

        NullNew() {}

        operator Type() const {
            BOOST_STATIC_ASSERT(std::numeric_limits<Type>::has_quiet_NaN);
            return std::numeric_limits<Type>::quiet_NaN();
        }

        bool operator==(const NullNew<Type>&) {
            return true;
        }
  };

The following happens here: first of all, we don't need a template
definition for all types
like int, double, long int.... Second: we are checking against quiet_NaN.
Third: I disable
any casting of anything which doesn't have the quiet_NaN implementation.
Boost static
assert lets the compilation fail in this case. I don't know whether we are
using Null<Foo>
for any other objects than Real, Natural.. In case we do, this will not
work. Until we have
something better, e.g. a isNull implementation for all objects  (which could
then be incorporated
easily in the class above), we should prevent the cast operator from
returning a standard
instance.

What do you think?

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16477] trunk/QuantLib

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

On Fri, 2009-09-18 at 11:46 +0200, Ferdinando Ametrano wrote:
> On Wed, Sep 16, 2009 at 4:21 PM, Luigi Ballabio
> <lui...@gm...> wrote:
> >> switched from vector<InterestRate> to vector<shared_prt<InterestRate> >
> >
> > Good grief. Why?
> 
> I was plannig to restore vector<InterestRate> along with
> vector<shared_prt<InterestRate> >, but I've seen you already reverted
> my changes.
> Any objection if I add back vector<shared_prt<InterestRate> > ?

Yes, InterestRate is not polymorphic. It would make as little sense as
vector<shared_ptr<Date> >. I'd rather fix QuantLibAddin so that the
generated code expects the correct type (or, as Piter did, modify the
qla-object constructor so that it performs the conversion.)

Luigi


-- 

It is better to know some of the questions than all of the answers. 
-- James Thurber 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16477] trunk/QuantLib

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

On Wed, Sep 16, 2009 at 4:21 PM, Luigi Ballabio
<lui...@gm...> wrote:
>> switched from vector<InterestRate> to vector<shared_prt<InterestRate> >
>
> Good grief. Why?

I was plannig to restore vector<InterestRate> along with
vector<shared_prt<InterestRate> >, but I've seen you already reverted
my changes.
Any objection if I add back vector<shared_prt<InterestRate> > ?

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16477] trunk/QuantLib

[Piter D. <pit...@pi...>]

Luigi/Nando/Eric,

>> Author:   nando
>> Date:     2009-09-16 14:14:43 +0000 (Wed, 16 Sep 2009)
>> 
>> Log Message:
>> -----------
>> switched from vector<InterestRate> to vector<shared_prt<InterestRate> >
> 
> Good grief. Why?

I believe Nando made this change because QuantLibAddin auto-generated code
expects vector<shared_prt<InterestRate> > instead of vector<InterestRate>.
It was used to implement FixedRateLeg2 function.

Based on latest trunk code, I implemented the FixedRateBond2 function for
QuantLibXL that is able to handle a vector of InterestRate objects and
included also a spreadsheet that matches the QuantLib testsuite (seems to
be a good idea having the same test in both tools).

You can see in the patch that I kept the vector<InterestRate> once it made
mode sense for me making the conversion inside QuantLibAddin. The idea
behind it is making the QuantLib code more stable (change fewer times) than
QuantLibXL (pretty like a third party library).

I hope you find the patch and spreadsheet useful.

Regards,


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

Piter Dias
pit...@pi...

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16477] trunk/QuantLib

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

On Wed, 2009-09-16 at 14:14 +0000, na...@us... wrote:
> Revision: 16477
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16477&view=rev
> Author:   nando
> Date:     2009-09-16 14:14:43 +0000 (Wed, 16 Sep 2009)
> 
> Log Message:
> -----------
> switched from vector<InterestRate> to vector<shared_prt<InterestRate> >

Good grief. Why?

Luigi


-- 

Zawinski's Law: 
Every program attempts to expand until it can read mail. Those 
programs which cannot so expand are replaced by ones which can. 

Re: [Quantlib-dev] I need some tips about Coercion

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

On Wed, Sep 16, 2009 at 7:36 AM, Eric Ehlers <eri...@na...> wrote:
> [...] using coercion as a kind of hack to simulate function overloading - one excel
> function, one function name, two signatures i.e. two different datatypes allowed for
> a given parameter.

one of the greatest feature available, even if I'm quite lost on how
to add/extend coercion.
It would be great if you could provide even a quick how-to

ciao -- Nando

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Re: [Quantlib-dev] I need some tips about Coercion

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

Quoting Ferdinando Ametrano <qf...@am...>:

> On Tue, Sep 15, 2009 at 1:42 PM, Piter Dias <pit...@pi...> wrote:
>> May you help me?
>
> Basically you won't be able to coerce between Rate and InterestRate,

I wasn't suggesting he do that.  I was thinking of using coercion as a  
kind of hack to simulate function overloading - one excel function,  
one function name, two signatures i.e. two different datatypes allowed  
for a given parameter.

Regards,
Eric

Re: [Quantlib-dev] I need some tips about Coercion

[Piter D. <pit...@pi...>]

Nando/Eric,

> Could you provide an example: ISIN and expected cash flow schedule?

Find attached a spreadsheet that replicates schedule and pricing given the
ISIN, yield and calculation date. The QuantLib patch file is included as
well.

> btw I'm going to commit a fix removing the unused dayCounter parameter
> in the FixedRateCoupon InterestRate-based constructor, which should
> make my point above more evident.

We were working in the same direction but I included a FixedRateBond
constructor that accepts a vector of QuantLib::InterestRate as well. The
Brazilian bonds test was changed to use it because it is much more clear
than the old one (using QuantLib::Bond class).

I included a patch for QuantLibXL just in case you are interest in my
experiments. I created qlnewFixedRateBond (includes Compounding and
Frequency qlFixedRateBond) and qlnew2FixedRateBond (changes the coupon
paramenter of qlFixedRateBond ot accept a vector of
QuantLib::InterestRate).

The qlnew2FixedRateBond is pretty cool but should have the DayCounter
parameter removed once it is implicit in the coupons (it is proof of
concept). I have no idea how it could be included in QuantLibXL. There is a
spreadsheet included showing how the function perform well generating the
cash flows.

Regards,


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

Piter Dias
pit...@pi...

Re: [Quantlib-dev] I need some tips about Coercion

[Piter D. <pit...@pi...>]

Nando,

> and Frequency. While Simple and Annual might be sensible default
> values for Compounding and Frequency, a default value for DayCount is
> implausible.

You are right. My problem was not just understand but make it get DayCount
from somewhere but it seems this technic should be used when we are sure
about defaults (for most of markets Compounding = Simple and Frequency =
Annual solves the problem), right?

Find below some samples I got from Central Bank page. Sadly the technical
documents are all in Portuguese but you would be able to check them using
Bloomberg (BNTNF code).

Selic	Maturity	Referece Date	Issue Date	Term	Coupon Rate	ISIN
950199	01/01/2010	02/02/2005	02/02/2005	1794	10.000000	BRSTNCNTF055
950199	01/07/2010	09/02/2007	09/02/2007	1238	10.000000	BRSTNCNTF0H7
950199	01/01/2011	06/07/2007	06/07/2007	1275	10.000000	BRSTNCNTF0I5
950199	01/01/2012	01/06/2005	01/06/2005	2405	10.000000	BRSTNCNTF063
950199	01/01/2013	06/07/2007	06/07/2007	2006	10.000000	BRSTNCNTF0J3
950199	01/01/2014	05/05/2006	05/05/2006	2798	10.000000	BRSTNCNTF071
950199	01/01/2017	05/01/2007	05/01/2007	3649	10.000000	BRSTNCNTF0G9


Let's do this way. As soon as I come home I send some samples using
regular Excel functions and how I did it using QuantLibXL (I created a
qlnewFixedRateBond function). The QuantLib samples (using Bonds, not
FixedRateBond) are already available in the current testsuite version.

I am pretty that sharing the current code and spreadsheet I have would
help everyone.

Regards,

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

Piter Dias
pit...@pi...

Re: [Quantlib-dev] I need some tips about Coercion

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

On Tue, Sep 15, 2009 at 1:42 PM, Piter Dias <pit...@pi...> wrote:
> May you help me?

Basically you won't be able to coerce between Rate and InterestRate,
because InterestRate also takes into account DayCount, Compounding,
and Frequency. While Simple and Annual might be sensible default
values for Compounding and Frequency, a default value for DayCount is
implausible.

btw I'm going to commit a fix removing the unused dayCounter parameter
in the FixedRateCoupon InterestRate-based constructor, which should
make my point above more evident.

Anyway you're not lost. I've just read the other thread where you
write about the problem you're having with Brazilian bonds.
Could you provide an example: ISIN and expected cash flow schedule?
I'm pretty sure you can have the correct bond in Excel using the
FixedLeg constructor and then the generic Bond constructor.

ciao -- Nando

Re: [Quantlib-dev] I need some tips about Coercion

[Piter D. <pit...@pi...>]

> what would you coerce it to?

I would like to enhance the qlFixedRateBond Excel function in order to
model some Brazilian bonds but I was just able in two ways that is not
backward compatible:

1) Creating two new fields (Compounding and Frequency) but it would break
current spreadsheets because the automatic code generation makes the fields
Permanent and Trigger always as the last ones. So my new fields would be
created between the IssueDate and Permanent fields,
2) Change the coupons vector from QuantLib:Rates to
QuantLib::InterestRate. It breaks backward compatibility because,
currently, it just accepts a handle created by qlInterestRate. When I send
a Rate it crashes.

A third way is create a new Excel function, the way I am doing the test,
but the second way seems to be much better. Eric told that Coercion would
help me on this (so I can use to convert QuantLib:Rates to
QuantLib::InterestRate) but I am not sure if I got all the steps to make
it.

> it escapes me how you could make it backward compatible; I might
> suggest to just add another signature if needed.

I believe it won't work for Excel because it only accepts two functions
with different names, doesn't matter if the signature is different.

May you help me?

Regards,

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

Piter Dias
pit...@pi...

Re: [Quantlib-dev] I need some tips about Coercion

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

On Tue, Sep 15, 2009 at 12:36 AM, Piter Dias <pit...@pi...> wrote:
> I implemented InterestRate as coupon parameter (in an new
> qlnew2FixedRateBond class, just for while) and want to make use of Coercion
> in order to make it backward compatible (so I can use the qlFixedRateBond).

what would you coerce it to?
it escapes me how you could make it backward compatible; I might
suggest to just add another signature if needed.

ciao -- Nando

[Quantlib-dev] I need some tips about Coercion

[Piter D. <pit...@pi...>]

Eric, 

I implemented InterestRate as coupon parameter (in an new
qlnew2FixedRateBond class, just for while) and want to make use of Coercion
in order to make it backward compatible (so I can use the qlFixedRateBond).


The idea of Coercion is clear but I didn't fully understand the
implementation. Must I (let take Quote as example): 

Create the proper
conversions in QuantLibAddinqloconversions 

 	* Edit
QuantLibAddingensrccodecodedict.py to include the conversion rules
 	* Edit
QuantLibAddingensrcmetadatarulesexcel.xml (and may be cpp.xml) in order to
setup the conversions in the code generation
 	* Edit
QuantLibAddingensrcmetadatatypessupertypes.xml (and types.xml as well)
including new types for this conversion
 	* And... I am pretty sure that I
am missing something

Do you mind giving some directions so I could do it?


Regards, 

-- 

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

Piter
Dias
pit...@pi...

 

Re: [Quantlib-dev] Optimizer Discussion

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

I'm not sure. I'm not happy with the whole setup, I think it is to
tightlycoupled.
I'd prefer a design which is similar to the root solvers: you
don't need a class for an optimizer whith a "value" function. As in the
root solver, it should be a template that has an operator(...), e.g. a
functor
or a boost function. Anything. Makes it much more convenient to use.
The optimizing criteria could go into the constructor, which takes only the
criteria which it really uses. The start value could go into a optimize
function,
which takes a template. If we have a multidimensional setup as in the LM
case, the template should return a std::vector<Real>



2009/9/11 Luigi Ballabio <lui...@gm...>

>
> On Sep 11, 2009, at 8:13 PM, Dima wrote:
>
>  Why exception? It has its use when LM is used. Or do you
>> want to make it virtual and throw an exception if its not
>> overwritten?
>>
>
> The latter.
>
> Luigi
>
>

Re: [Quantlib-dev] How to enhance QuantLibXL without breaking anything?

[Piter D. <pit...@pi...>]

Eric,

I am trying to make a sample Brazilian treasuries spreadsheet and started
with NTNF bond. It has a 10% Annual 30/360 coupon rate paid Semi-annual,
which means that it pays around 4.880884817% each semester.

> the argument "Coupons" is not a scalar, it is a vector of doubles.

Yes, you are right by I would like to include Compounding and Frequency as
well. This should be easy using InterestRate object or including two more
inputs.
In order to test it, I created a qlnewFixedRateBond function with two
extra inputs (Compounding and Frequency) but this is far from a good
solution because of lack of backward compatibility. However, it generated
the correct cash flows.

> If so, this could be accomplished using coercion:
> 
>      http://quantlib.org/quantlibxl/coercion.html

This is new for me and should do exactly what I want. I will try to do the
same spreadsheet using it.

Thanks a lot,

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

Piter Dias
pit...@pi...

Re: [Quantlib-dev] How to enhance QuantLibXL without breaking anything?

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

Hi Piter,

I don't understand your question, can you elaborate?

>  	* Change coupons from scalar to InterestRate object -
> it means that any current spreadsheet will fail because it is a new type
> for the field

You say "Change coupons *from scalar*", I don't understand.  In the  
latest version of QuantLibXL (0.9.7), for function qlFixedRateBond(),  
the argument "Coupons" is not a scalar, it is a vector of doubles.

Do you want a setup where

1) old spreadsheets call function qlFixedRateBond() and pass to  
argument Coupon a value of type vector<double>, and
2) new spreadsheets call the same function and pass to the same  
argument a value of type InterestRate?

If so, this could be accomplished using coercion:

     http://quantlib.org/quantlibxl/coercion.html

Regards,
Eric

Re: [Quantlib-dev] Optimizer Discussion

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

On Sep 11, 2009, at 8:13 PM, Dima wrote:

> Why exception? It has its use when LM is used. Or do you
> want to make it virtual and throw an exception if its not
> overwritten?

The latter.

Luigi

Re: [Quantlib-dev] Optimizer Discussion

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

Why exception? It has its use when LM is used. Or do youwant to make it
virtual and throw an exception if its not
overwritten?

Had a look at the optimizers. Just a few End-Criterias
are really checked.

2009/9/11 Luigi Ballabio <lui...@gm...>

> On Sat, 2009-09-05 at 13:07 +0200, Dima wrote:
> > 1: CostFunction::values()
> >
> > As far as I see, the values function is not needed anywhere, except in
> > the Levenberg Marquardt optimizer. Can we change it from a pure
> > virtual function to a virtual which by default returns a one
> > dimensional array with values(x)?
>
> Possibly, but I'd rather change it to a function which by default throws
> an exception.  Also because it wouldn't be easy for LM to check that
> it's been overridden.
>
> > 2. EndCriteria:
> >
> > Most of the functions do not use all of the passed values. [...]
> > I think it might be better to make this clean such that the user
> > doesn't have a wrong impression, that actually everything is checked.
>
> Yes, we should document that.  Have you looked at the solvers already?
> Do you have a list of what's checked in what solver?
>
> Later,
>        Luigi
>
>
> --
>
> Hanlon's Razor:
> Never attribute to malice that which is adequately explained
> by stupidity.
>
>
>