quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Optimizer Discussion

[Luigi B. <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. 

[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 13:55
Message generated for change (Tracker Item Submitted) made by nobody
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: Open
Resolution: None
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

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

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[Quantlib-dev] [ quantlib-Bugs-2856836 ] test suite / boost error with Mac/Snow Leopard

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

Bugs item #2856836, was opened at 2009-09-11 13:22
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2856836&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: 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=2856836&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2855178 ] rounding error in distribution.cpp

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

Bugs item #2855178, was opened at 2009-09-09 15:32
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
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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: leibniz777 (leibniz777)
>Assigned to: Luigi Ballabio (lballabio)
Summary: rounding error in distribution.cpp

Initial Comment:
Distribution::locate:    Although it is true that  "x >= x_.front() && x <= x_.back() + dx_.back()" in the QL_REQUIRE function sometimes there is thrown an error because the condition is not fulfilled due to rounding errors.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-10 10:43

Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.


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

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[Quantlib-dev] [ quantlib-Bugs-2855178 ] rounding error in distribution.cpp

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

Bugs item #2855178, was opened at 2009-09-09 15:32
Message generated for change (Tracker Item Submitted) made by leibniz777
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2855178&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: Oliver Klehn (leibniz777)
Assigned to: Nobody/Anonymous (nobody)
Summary: rounding error in distribution.cpp

Initial Comment:
Distribution::locate:    Although it is true that  "x >= x_.front() && x <= x_.back() + dx_.back()" in the QL_REQUIRE function sometimes there is thrown an error because the condition is not fulfilled due to rounding errors.

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

You can respond by visiting: 
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Re: [Quantlib-dev] [Quantlib-users] Inflation Bond (a.roveda@libero.it)

[Pomarico F. I. <fra...@ab...>]

Hi Chris,

 

I'd also like to have inflation bonds in QL. Is there something already
done in development?

 

As a matter of fact I was trying to figure out how to implement the
Jarrow-Yildirim model using what have been already done in QL with
calibration and pricing of ZC and YY swap and IICapFloor. This is
because the generic structured bonds I need to price have some
optionality in it not allowing negative coupons if inflation index rate
turns out to be negative.

 

I understand from the BoE article that you would need an inflation curve
bootstrapped from inflation bond quotes for pricing inflation bonds
instead of getting the curve from swap, but honestly a plain JY is more
than adequate for me at the moment.

Thanks a lot.

 

Best regards,

Ivan

 

________________________________

From: Chris Kenyon [mailto:chr...@ya...] 
Sent: Tuesday, August 18, 2009 10:06 AM
To: qua...@li...;
qua...@li...; a.r...@li...
Subject: Re: [Quantlib-users] Inflation Bond (a.r...@li...)

 

Hi Alessandro,

you can't do it as simply as you can price a nominal bond.  The indices
and the forward inflation curves bootstrapped from swaps are available,
but not inflation coupons (mimicing ibor coupon) nor the relevant
helpers to bootstrap forward inflation from inflation-linked-bond
quotes.  

Note that you should probably not use a forward curve from inflation
swaps to price an inflation bond (see article by Bank of England for a
discussion:
http://www.bankofengland.co.uk/publications/quarterlybulletin/qb060101.p
df).  

Anyone else need this soon?

Best regards,
Chris

-----Inline Message Follows-----

Hello Everyone,

I am trying to use the inflation code, under experimental folder, to
evaluted 
a generic bond inflation
but i'm not sure if  is it possible in the present state of QL
developement 


Someone would be so kind to give me some hints or sample?


Thank you in advance for your help.


Alessandro





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[Quantlib-dev] Optimizer Discussion

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

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)? It is confusing and takes a while to
understand why
-and if- it is needed at all. For example, if I understand the code
correctly, if you optimize with Simplex,
you can set values to any value (e.g.1000). In my opinion it is an overkill
to make it pure virtual just in case
somebody uses LM. I'd rather suggest to test in LM whether the function has
been overwritten.

2. EndCriteria:

Most of the functions do not use all of the passed values. I haven't found
one which uses the gradient
norm. Please correct me if I'm wrong. Most of them use max iterations anf
function value epsilon.
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. I haven't found one optimizer which checks
min stationary value.

For example, in Simplex:   endCriteria.checkStationaryPoint(0.0, 0.0,
                    maxStationaryStateIterations_, ecType);

does that, but maxStationaryStateIterations_  is not increased anywhere
during the optimization.

All points above subject to non-blindness of  author of this mail :)

Re: [Quantlib-dev] Disabling debug symbol generation at compile time

[Ralf M. <rm...@am...>]

Guowen Han wrote:
> configure CXXFLAGS = '-O2 -Wall'
> or what ever you like. 
> 
> BTW, I learnt this from Luigi years ago.
> 
> Thanks,

Yes, this worked like a charm, thx.
Here's my results:

Re: Creating QuantLib libraries without debug symbols:


1.) default make (ie. with debug symbols as this is default)
 libQuantLib-0.9.9.a    about 255 MB
 libQuantLib-0.9.9.so   about 116 MB

 stripped:
-rw-r--r-- 1 root staff 29059270 2009-09-04 05:14 libQuantLib-0.9.9.a
-rwxr-xr-x 1 root staff 13404972 2009-09-04 05:14 libQuantLib-0.9.9.so


2.) make without debug symbols (export CXXFLAGS="-O2 -Wall" before ./configure):
-rw-r--r-- 1 root staff 52913424 2009-09-05 02:07 libQuantLib-0.9.9.a
-rwxr-xr-x 1 root staff 16454629 2009-09-05 02:07 libQuantLib-0.9.9.so

 stripped:
-rw-r--r-- 1 root staff 29059270 2009-09-05 02:11 libQuantLib-0.9.9.a
-rwxr-xr-x 1 root staff 13404972 2009-09-05 02:11 libQuantLib-0.9.9.so


Conclusion:
  Even if one disables debug symbol generation, there are still debug
  symbols in the libraries present (cf. above), probably caused by 
  linked in code from other libraries, boost?)
  So stripping is neccessary to eliminate them completely (strip libname).


 
> "Ralf M." <rm...@am...> 
> 09/04/2009 01:38 PM
> 
> To
> qua...@li...
> cc
> 
> Subject
> [Quantlib-dev] Disabling debug symbol generation at compile time
> 
> Hi,
> I know one can strip the debug symbols, but I would like to 
> disable debug symbol generation completely at compile time
> to speed up the compilation and link process and to conserve disk space.
> Where should this be best done?
> 
> Asked differently: is there a "build for release" switch 
> or setting in/for ./autogen.sh, ./configure, Makefile etc., 
> or an environment variable for this?
> 
> Platform: svn snapshot on Linux, g++; ie. using the generated Makefile's
> w/o using any graphical IDE like eclipse etc.)

[Quantlib-dev] Disabling debug symbol generation at compile time

[Ralf M. <rm...@am...>]

Hi,
I know one can strip the debug symbols, but I would like to 
disable debug symbol generation completely at compile time
to speed up the compilation and link process and to conserve disk space.
Where should this be best done?

Asked differently: is there a "build for release" switch 
or setting in/for ./autogen.sh, ./configure, Makefile etc., 
or an environment variable for this?

Platform: svn snapshot on Linux, g++; ie. using the generated Makefile's
w/o using any graphical IDE like eclipse etc.)

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

On Wed, 2009-09-02 at 18:32 +0200, Dima wrote:
> Some minor remarks:
> 
> - Since we "have using" Visual Studio 2008, should be changed to "are
> using"
> - Unzip the file in the C:\QuantLib folder. We didn't say before that
> such
> a folder should be created.

Done, thanks.

Luigi


-- 

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

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

Looks awesome Luigi! That was quick. Some minor remarks:

- Since we "have using" Visual Studio 2008, should be changed to "are using"
- Unzip the file in the C:\QuantLib folder. We didn't say before that such
a folder should be created.

Thanks for smoothing this out, in particular with respect to the language. I
get
lazy on that side after a while, starting to write like a mathematician :)



2009/9/2 Luigi Ballabio <lui...@gm...>

> On Wed, 2009-09-02 at 14:25 +0200, Dima wrote:
> > Luigi. My last try :) I have changed everything that you suggested,
> > except for one thing:
> >
> > - I didn't change the BoostQuantLib folder thing, no time for that
> > at the moment. This would involve changing all screenshots too.
>
> No problem. I've changed them with Gimp :)
>
> The instructions are live at <http://quantlib.org/install/vc9.shtml>.
> You're all welcome to have a look and report any problems.
>
> Dimitri, many thanks again for your work.
>
> Luigi
>
>
> --
>
> fix, n.,v.
> What one does when a problem has been reported too many times
> to be ignored.
> -- the Jargon file
>
>
>

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

On Wed, 2009-09-02 at 14:25 +0200, Dima wrote:
> Luigi. My last try :) I have changed everything that you suggested,
> except for one thing:
> 
> - I didn't change the BoostQuantLib folder thing, no time for that
> at the moment. This would involve changing all screenshots too.

No problem. I've changed them with Gimp :)

The instructions are live at <http://quantlib.org/install/vc9.shtml>.
You're all welcome to have a look and report any problems.

Dimitri, many thanks again for your work.

Luigi


-- 

fix, n.,v. 
What one does when a problem has been reported too many times 
to be ignored. 
-- the Jargon file 

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

Luigi. My last try :) I have changed everything that you suggested,
except for one thing:

- I didn't change the BoostQuantLib folder thing, no time for that
at the moment. This would involve changing all screenshots too.

I' ve changed the other screenshots: including the one with 14
instead of 1 successfull build.

I would leave it like that for the moment. If anything needs to be
changed, there is a html file which can be changed easily.

All available here:

http://longvega.com/QLInstallationVS.zip


Hope you're ok with that. Thanks for the cooperation guys.




2009/9/1 Luigi Ballabio <lui...@gm...>

> On Mon, 2009-08-31 at 18:31 +0200, Dima wrote:
> > Ok, I've updated the documentation and included an html version of the
> > document, but I still think
> > the pdf looks better :) Feel free to use. Its here:
> >
> > http://longvega.com/QuantLibInstallationVS.zip
>
> Peter,
>        it looks good---thanks for the work you put into this. If you have
> some
> time, I'd change a few more things, though. Here they are:
>
> slide 5:  for VC++ 8 and 9, we just need the 4 versions in the middle
> (Multithread, Multithread Debug, Multithread static runtime, and
> Multithread Debug static runtime.) One might want to uncheck the others
> and save some disk space.
>
> slide 6:  the Test framework is needed to build the test suite. I'd
> suggest encouraging people to install it , and I'd show the
> corresponding checkbox enabled if you can fit it in the figure.
>
> slide 7:  I'd use different folders for Boost and QuantLib, instead of a
> single BoostQuantLib folder. The instructions don't get any more
> difficult because of that. I'd use C:\Boost and C:\QuantLib.
>
> slide 11:  I'd go directly for the suggested choice of setting the
> global options, instead of the project properties (the same goes for
> slide 13.)  Also, I'd do it from an IDE open with no projects, before
> starting with the test program.
>
> slide 12:  is this step (Not using precompiled headers) really required?
>
> slide 17:  see slide 7.
>
> slide 18: open QuantLib_vc9.sln by double-clicking, not the .vcproj.
>
> slide 19-23: see slide 11.
>
> slide 24:  instead of building just QuantLib, I'd build the whole
> solution so that the test-suite is run and the examples are built.
>
> Let me know if you have time to do these. Otherwise, I can try and do
> them myself.
>
> Thanks,
>        Luigi
>
>
> --
>
> If you can't convince them, confuse them.
> -- Harry S. Truman
>
>
>

Re: [Quantlib-dev] Double Barrier ...

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

On Wed, 2009-09-02 at 10:19 +0530, Deepak wrote:
> ql/Instruments/doublebarrieroption.hpp
> 
> ql/PricingEngines/Exotic/doublebarrierengine.hpp

There are no such files in QuantLib 0.3.11.  Are you sure you didn't add
them yourself, or you didn't get them from someone else?

Luigi


-- 

No, I'm not interested in developing a powerful brain. All I'm after 
is just a mediocre brain, something like the president of American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine, 1943. 

Re: [Quantlib-dev] Double Barrier ...

[Deepak <dee...@3i...>]

Hi luigi,

FYI,

ql/Instruments/doublebarrieroption.hpp

ql/PricingEngines/Exotic/doublebarrierengine.hpp


Thanks & Regards, 
 
Deepak Sharma 
 
 

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Monday, August 31, 2009 3:29 PM
To: dee...@3i...
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Double Barrier ...

On Tue, 2009-08-25 at 12:25 +0530, Deepak wrote:
> I downloaded 'QuantLib-0.9.7' this morning, and I can't see Double
> barrier engine anymore, before I was using version 0.3.11, where we
> have engine for double barrier pricing, is it intentionally dropped?

Sorry---I've had a look at 0.3.11, and I don't seem to find the
double-barrier engine. What class/file was that?

Luigi


-- 

For every problem there is one solution which is simple, neat, and
wrong. 
-- H. L. Mencken 





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Re: [Quantlib-dev] A clarification about AmericanBasketPathPricer

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

Hi

> QL_REQUIRE(basketPayoff, "payoff not a basket strike payoff"); ^^^^^^^^^^^^
> ///////////// we have already checked that basketPayoff is non null a few
> lines above ///////////// should it be strikePayoff????

thanks for the hint, you are right this QL_REQUIRE is useless. Luigi has 
already removed it from the current version.

>          if (strikePayoff) {
>              ^^^^^^^^^^^^
> ///////////// and in that case, why is there an if?
> 
>              scalingValue_/=strikePayoff->strike();
>          }
>

If the basketPayoff is a StrikedTypePayoff the strike is used as a "scale" to 
normalize the state variables (e.g. the underlying prices) to improve the 
quality of the regression (improvement depends on the choice of the basis 
system). The idea behind this normalization step is explained in

Longstaff and Schwartz: Valuing American options by simulation: a 
least-squares approach, 

in section 8.3.

regards
 Klaus

Re: [Quantlib-dev] LocalvolSurface.cpp

[Andrew K. <an...@gm...>]

Hi.
Was it any feedback from Dima?
I'm also curious about this issue with respect to extrapolation problem
during local vol calculation.

By the way, regarding main topic - you should keep in mind, that Duperi
formula is used in continuous case calculation, so dt in lattice method must
be really short (for instance, 3000 per year). I use LocalVolSurface class
in QL PDE framework and it produces good results (see also
http://www.nabble.com/LocalVolSurface-class-to20896055.html#a20896055)


MH_quant wrote:
> 
> Hallo Dima,
> 
> I am very curious about your new kernel interpolation. Sounds like this is
> something that can help me a lot right now. I would like to try around a
> bit
> with different interpolation methods to overcome my numerical problems. If
> I
> can make my surface smoother with kernel interpolation I will give it a go
> and would like to do some testing on it.
> 
>  
> How do I get your new kernel interpolation running?  Can I check it out
> from
> the SVN?  I checked the trunk and I found a file called
> kernelinterpolation.hpp.   Does it work for 2-dimensions or just for one
> because for the surface I need it for two dimensions. Can you please also
> send me a link or a paper with more informations about it so I can build
> up
> some theoretical knowledge before I start testing.
> 
> 

-- 
View this message in context: http://www.nabble.com/LocalvolSurface.cpp-tp23193281p25243733.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] isEndOfMonth

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

On Tue, 2009-09-01 at 17:58 +0200, Ferdinando Ametrano wrote:
> On Tue, Sep 1, 2009 at 3:45 PM, Dima<dim...@go...> wrote:
> > Wouldn't it make sense to add [to isEndOfMonth]:
> > if(!isBusinessDay(d)) return false
> 
> no, it doesn't, at least not in general.

Hmm. Pity I didn't get this mail before committing...

> E.g. bond maturity date being on a non-business end-of-month day, you
> might want all other dates to be end-of-month

But then, _in the schedule constructor_, you would check the maturity
with Date::isEndOfMonth, or adjust the maturity with Preceding and check
that for end-of-month.  The meaning of Calendar::isEndOfMonth shouldn't
depend on the use we want to do of the date, and according to the docs
is "is this the last business day of the month?".

If we decide that the meaning of ifEndOfMonth is "are there any business
days after this?" (which is a different thing) then the implementation
is ok. But in that case we have to change the documentation.

Thoughts?

Luigi


-- 

There is no likelihood man can ever tap the power of the atom. 
-- Robert Millikan, Nobel Prize in Physics, 1923 

Re: [Quantlib-dev] isEndOfMonth

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

On Tue, 2009-09-01 at 15:45 +0200, Dima wrote:
> If I ask for a holiday, such as the 31st of December for the Frankfurt
> Stock Exchange
> and ask the function if the day isEndOfMonth, I receive true

You're right. It's fixed now. Thanks for the report.

Luigi


-- 

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

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

On Mon, 2009-08-31 at 18:31 +0200, Dima wrote:
> Ok, I've updated the documentation and included an html version of the
> document, but I still think
> the pdf looks better :) Feel free to use. Its here:
> 
> http://longvega.com/QuantLibInstallationVS.zip

Peter,
	it looks good---thanks for the work you put into this. If you have some
time, I'd change a few more things, though. Here they are:

slide 5:  for VC++ 8 and 9, we just need the 4 versions in the middle
(Multithread, Multithread Debug, Multithread static runtime, and
Multithread Debug static runtime.) One might want to uncheck the others
and save some disk space.

slide 6:  the Test framework is needed to build the test suite. I'd
suggest encouraging people to install it , and I'd show the
corresponding checkbox enabled if you can fit it in the figure.

slide 7:  I'd use different folders for Boost and QuantLib, instead of a
single BoostQuantLib folder. The instructions don't get any more
difficult because of that. I'd use C:\Boost and C:\QuantLib.

slide 11:  I'd go directly for the suggested choice of setting the
global options, instead of the project properties (the same goes for
slide 13.)  Also, I'd do it from an IDE open with no projects, before
starting with the test program.

slide 12:  is this step (Not using precompiled headers) really required?

slide 17:  see slide 7.

slide 18: open QuantLib_vc9.sln by double-clicking, not the .vcproj.

slide 19-23: see slide 11.

slide 24:  instead of building just QuantLib, I'd build the whole
solution so that the test-suite is run and the examples are built.

Let me know if you have time to do these. Otherwise, I can try and do
them myself.

Thanks,
	Luigi


-- 

If you can't convince them, confuse them. 
-- Harry S. Truman 

Re: [Quantlib-dev] QuantLib Visual C++ Installation Guide

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

On Fri, 2009-08-28 at 13:04 +0200, Dima wrote:
> the building has started more than 2 hours ago and is still
> not finished. Is this normal? 

Yes, it is.

> I mean, the installation via the exe that I documented takes about 
> 3 minutes. And I can choose which libraries I want to install

You can choose with bjam too.
However: we can mention the possibility of compiling Boost on one's own
(and for that, we can add a link to the Getting Started guide on the
Boost site) but I'd just document the Boost installer.

Luigi


-- 

The doctrine of human equality reposes on this: that there is no man 
really clever who has not found that he is stupid. 
-- Gilbert K. Chesterson 

Re: [Quantlib-dev] Double Barrier ...

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

On Tue, 2009-08-25 at 12:25 +0530, Deepak wrote:
> I downloaded ‘QuantLib-0.9.7’ this morning, and I can’t see Double
> barrier engine anymore, before I was using version 0.3.11, where we
> have engine for double barrier pricing, is it intentionally dropped?

Sorry---I've had a look at 0.3.11, and I don't seem to find the
double-barrier engine. What class/file was that?

Luigi


-- 

For every problem there is one solution which is simple, neat, and
wrong. 
-- H. L. Mencken 

Re: [Quantlib-dev] I need more flexibility in FixedRateBond class

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

On Mon, 2009-08-24 at 06:56 -0300, Piter Dias wrote:
> That said, what is the best way to send the changes? Would you prefer
> all the changed files (and some explanation about it), a document with
> the changes or a diff file?

A diff file.

Later,
	Luigi


-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

Re: [Quantlib-dev] Why are the all.hpp files in svn?

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

On Sun, 2009-08-30 at 16:59 +0100, Andrea wrote:
> On 30/08/09 10:45, Andrea wrote:
> > Since they are automatically generated during a build, why are they versioned?
> 
> I guess it is Visual Studio.

Yes, it is. Unfortunately, not everyone runs configure...

Luigi


-- 

I am extraordinarily patient, provided I get my own way in the end. 
-- Margaret Thatcher 

Re: [Quantlib-dev] isEndOfMonth

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

On Tue, Sep 1, 2009 at 3:45 PM, Dima<dim...@go...> wrote:
> Wouldn't it make sense to add [to isEndOfMonth]:
> if(!isBusinessDay(d)) return false

no, it doesn't, at least not in general.
E.g. bond maturity date being on a non-business end-of-month day, you
might want all other dates to be end-of-month

> If I ask for a holiday, such as the 31st of December for the Frankfurt Stock
> Exchange
> and ask the function if the day isEndOfMonth, I receive true

so it would up to you to verify both isEndOfMonth and isBusinessDay

ciao -- Nando