quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] isEndOfMonth

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

Wouldn't it make sense to add:

if(!isBusinessDay(d)) return false

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

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

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

The document is really pretier in the PDF version but the whole stuff is
great piece of work. It will help a lot of people. 

This one is very
funny: 

_DEPENDING ON THE DAYTIME OF YOUR INSTALLATION GET A TEA OR A
DRINK, AS THE ABOVE COMMAND WILL TAKE A LONG TIME TO FINISH._ 

Someone
should get a tea, a drink, a sandwich and watch a DVD before taking a look
at Boost compilation status. 

Thanks a lot, 

-- 


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

Piter Dias
pit...@pi...

 

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

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

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




2009/8/29 Dima <dim...@go...>

> Ok, I'm fine with that. I'll document but put it into the Appendix. The
> thing that worried me too was thatthere is a boost_1_39 folder in the
> first version and a boost_1_39_0 folder in the bjam version. So I would
> have to write somewhere that you have to include this and that but
> depending on the installation you've
> chosen there is a _0 in the folder. Putting it in the Appendix and showing
> it for one version makes the
> whole documentation cleaner. Everyone OK?
>
>
>
>
> 2009/8/29 Piter Dias <pit...@pi...>
>
>>
>>
>> on, but the building has started more than 2 hours ago and is still
>> not finished. Is this normal?
>>
>>  Normal? Let's say common (I use to say that normal is common thing that
>> doesn't piss me off)... It takes 3 hours in my machine (see? can't be
>> normal).
>>
>> If yes, then we should replace "Go for a tea" by something like
>> "Finish a Master's degree in the meantime, then click OK" :)
>>
>> 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 are right, but please keep the instructions at least as a appendix.
>> It makes people more independent and the instructions can be ported to other
>> environments.
>>
>> Thanks a lot,
>>
>>
>>  ------------------------------
>>
>>
>> *Piter Dia...@pi...*
>>
>> *
>> *
>>
>>
>>
>> ------------------------------------------------------------------------------
>> Let Crystal Reports handle the reporting - Free Crystal Reports 2008
>> 30-Day
>> trial. Simplify your report design, integration and deployment - and focus
>> on
>> what you do best, core application coding. Discover what's new with
>> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>

[Quantlib-dev] A clarification about AmericanBasketPathPricer

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

This code in the constructor of AmericanBasketPathPricer in 
ql/pricingengines/basket/mcamericanbasketengine.cpp

is a little misleading.

         const boost::shared_ptr<BasketPayoff> basketPayoff
             = boost::dynamic_pointer_cast<BasketPayoff>(payoff_);
         QL_REQUIRE(basketPayoff, "payoff not a basket payoff");

         const boost::shared_ptr<StrikedTypePayoff> strikePayoff
             = boost::dynamic_pointer_cast<StrikedTypePayoff>(basketPayoff->basePayoff());
         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????

         if (strikePayoff) {
             ^^^^^^^^^^^^
///////////// and in that case, why is there an if?

             scalingValue_/=strikePayoff->strike();
         }

Cheers

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

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

On 30/08/09 10:45, Andrea wrote:
> Hi,
>
> hope this is not a completely stupid question.
>
> Since they are automatically generated during a build, why are they versioned?

I guess it is Visual Studio.
Sorry.

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

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

Hi,

hope this is not a completely stupid question.

Since they are automatically generated during a build, why are they versioned?

At the top it says

/* This file is automatically generated; do not edit.     */
/* Add the files to be included into Makefile.am instead. */

Not that it matters much, it adds a bit of noise to the diffs.

Cheers

Re: [Quantlib-dev] May you give us an overview of current QuantLib plans?

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

Hi Piter,

>   * What the relationship of QuantLibXL and QuantLib currently is? I
> see that QuantLibXL deploys some time after QuantLib. Once QuantLib is
> growing fast, the gap between both are growing too. We are you doing
> about it? What we (user, contributors and eventual contributors) are
> supposed to do about that?

Yes after QuantLib is released there is a delay before the appearance  
of the corresponding QuantLibXL release.  The delay is usually a  
couple of weeks, I'm afraid this situation is unlikely to get any  
better, but I hope it won't get worse either.

I'm not aware of any plans to extend the QuantLibXL functionality.   
This means that any new functionality added to QuantLib would not be  
available through the QuantLibXL interface.  If anyone cares to  
contribute the necessary enhancements to QuantLibXL they would be  
gratefully received.

>   * QuantLibXL spreadsheets are not so easy to use. Everyone,
> including me, already had (or have) problems using it. Do you expect
> that users contribute with some spreadsheets, pretty like they to with
> QuantLib test suite? I believe would could have a set of simpler but
> based on proven examples (papers, books chapters, QuantLib test suite,
> etc...) spreadsheets.

There are a couple of core example spreadsheets -  
YieldCurveBootstrapping.xls, InterestRateDerivatives.xls - which  
provide a good introduction.  Many of the other spreadsheets are less  
well maintained.  Contributions would be welcome.  Example  
spreadsheets that parallel the QuantLib test suite are useful from the  
standpoint of technical troubleshooting but less so from the  
perspective of the end user, because the natural structure of a  
QuantLibXL spreadsheet and the typical behavior of a standalone C++  
program do not match.

Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

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

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

Ok, I'm fine with that. I'll document but put it into the Appendix. The
thing that worried me too was thatthere is a boost_1_39 folder in the first
version and a boost_1_39_0 folder in the bjam version. So I would
have to write somewhere that you have to include this and that but depending
on the installation you've
chosen there is a _0 in the folder. Putting it in the Appendix and showing
it for one version makes the
whole documentation cleaner. Everyone OK?




2009/8/29 Piter Dias <pit...@pi...>

>
>
> on, but the building has started more than 2 hours ago and is still
> not finished. Is this normal?
>
>  Normal? Let's say common (I use to say that normal is common thing that
> doesn't piss me off)... It takes 3 hours in my machine (see? can't be
> normal).
>
> If yes, then we should replace "Go for a tea" by something like
> "Finish a Master's degree in the meantime, then click OK" :)
>
> 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 are right, but please keep the instructions at least as a appendix.
> It makes people more independent and the instructions can be ported to other
> environments.
>
> Thanks a lot,
>
>
>  ------------------------------
>
>
> *Piter Dia...@pi...*
>
> *
> *
>
>
>
> ------------------------------------------------------------------------------
> Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
> trial. Simplify your report design, integration and deployment - and focus
> on
> what you do best, core application coding. Discover what's new with
> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

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

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

 on, but the building has started more than 2 hours ago and is still
not
finished. Is this normal? 

Normal? Let's say common (I use to say that
normal is common thing that doesn't piss me off)... It takes 3 hours in my
machine (see? can't be normal). 

 If yes, then we should replace "Go for a
tea" by something like
"Finish a Master's degree in the meantime, then
click OK" :)

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
are right, but please keep the instructions at least as a appendix. It
makes people more independent and the instructions can be ported to other
environments. 

Thanks a lot, 

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

Piter
Dias
pit...@pi...

 

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

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

I'm just trying to set up boost with the bjam stuff and document it
following the instructions by Ferdinando. I don't know what's going
on, but the building has started more than 2 hours ago and is still
not finished. Is this normal?

If yes, then we should replace "Go for a tea" by something like
"Finish a Master's degree in the meantime, then click OK" :)

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





2009/8/28 Piter Dias <pit...@pi...>

> I would change
>
> > bjam --build-type=complete --toolset=msvc-9.0 install
>
> by
>
> > bjam --build-type=complete --toolset=msvc --prefix=C:\Develop install
>
> This way bjam will find the compiler version by itself (useful when you
> upgrade VC++ version) and will install boost inside C:\Develop
> (C:\Develop\lib
> and C:\Develop\include\boost-1_39).
>
> Of course you can change C:\Develop by your preferred development path.
>
> Piter Dias
> pit...@pi...
>
>
> ------------------------------------------------------------------------------
> Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
> trial. Simplify your report design, integration and deployment - and focus
> on
> what you do best, core application coding. Discover what's new with
> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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

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

I would change

> bjam --build-type=complete --toolset=msvc-9.0 install

by

> bjam --build-type=complete --toolset=msvc --prefix=C:\Develop install

This way bjam will find the compiler version by itself (useful when you
upgrade VC++ version) and will install boost inside C:\Develop
(C:\Develop\lib
and C:\Develop\include\boost-1_39).

Of course you can change C:\Develop by your preferred development path.

Piter Dias
pit...@pi...

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

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

On Thu, 2009-08-27 at 14:12 +0200, Ferdinando Ametrano wrote:
> On Thu, Aug 27, 2009 at 9:56 AM, Dima<dim...@go...> wrote:
> > - Boost usage: Yes, I personally have the include directories in VC++
> > defaults, but a first time
> > user might want to test a bit without adding something that is then used in
> > all projects by default.
> 
> I second Piter's suggestion for adding boost to VC++ directories,
> instead of project settings. IMO the former should be the default, the
> latter being an "advanced hacking approach"

I second it, too.  I don't think one is more or less advanced than the
other, but I'd suggest the alternative that doesn't require changing
project settings for every update.

A note on the format: PDF is nice, but in this case I'd convert the
guide to HTML so that we can put it on the QuantLib site. Dima, what do
you think?

Later,
	Luigi


-- 

This gubblick contains many nonsklarkish English flutzpahs, but the 
overall pluggandisp can be glorked from context. 
-- David Moser 

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

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

Ok, I'll incorporate all suggestions and will upload the new version
tomorrow.
Luigi, I'm absolutely ok with converting to HTML and putting it on the QL
site.
Are you thinking about some automatic conversion, or to recode it in HTML?
I have everything in TEX, but am not really keen to convert it to HTML by
hand :)





2009/8/27 Luigi Ballabio <lui...@gm...>

> On Thu, 2009-08-27 at 14:12 +0200, Ferdinando Ametrano wrote:
> > On Thu, Aug 27, 2009 at 9:56 AM, Dima<dim...@go...>
> wrote:
> > > - Boost usage: Yes, I personally have the include directories in VC++
> > > defaults, but a first time
> > > user might want to test a bit without adding something that is then
> used in
> > > all projects by default.
> >
> > I second Piter's suggestion for adding boost to VC++ directories,
> > instead of project settings. IMO the former should be the default, the
> > latter being an "advanced hacking approach"
>
> I second it, too.  I don't think one is more or less advanced than the
> other, but I'd suggest the alternative that doesn't require changing
> project settings for every update.
>
> A note on the format: PDF is nice, but in this case I'd convert the
> guide to HTML so that we can put it on the QuantLib site. Dima, what do
> you think?
>
> Later,
>        Luigi
>
>
> --
>
> This gubblick contains many nonsklarkish English flutzpahs, but the
> overall pluggandisp can be glorked from context.
> -- David Moser
>
>
>

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

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

On Thu, Aug 27, 2009 at 9:56 AM, Dima<dim...@go...> wrote:
> - I've chosen the current version which is VC++ 2008, but the 2005 Version
> should be equivalent?

no it isn't. As Piter pointed out VC++ 2005 Express missed the SDK
which had to be downloaded separately. Anyway VC++ 2005 *Express* has
been discontinued by Microsoft as of March 2009, so I would just get
rid of any reference to it

> - I'd welcome some slides for compiling boost without using precompiled
> versions. But someone else has to add it

Please find below my notes: adapt it as you prefer.

> - Boost usage: Yes, I personally have the include directories in VC++
> defaults, but a first time
> user might want to test a bit without adding something that is then used in
> all projects by default.

I second Piter's suggestion for adding boost to VC++ directories,
instead of project settings. IMO the former should be the default, the
latter being an "advanced hacking approach"

ciao -- Nando

======================
In case you use the free Microsoft Visual C++ 2008 Express Edition
(a.k.a VC9.0):

- download from boost.org the latest boost libraries (boost_1_39_0.zip
at the time of this writing). Unzip the file and you get a folder
named boost_1_39_0

- download from boost.org the latest boost-jam
(boost-jam-3.1.17-1-ntx86.zip at the time of this writing), unzip it
and put bjam.exe into the boost_1_39_0 folder above

- run the Visual Studio 2008 Command Prompt. You can find it under
Start menu | Programs | Microsoft Visual C++ 2008 Express Edition |
Visual Studio Tools | Visual Studio 2008 Command Prompt

- change dir to your boost_1_39_0 folder, then run the following command:
bjam --build-type=complete --toolset=msvc-9.0 install

- Go for a tea, as the above command will take a long time. At the end
you will get the header files in C:\Boost\include\boost-1_39 and the
compiled binaries in C:\Boost\lib.

- In Visual C++ 2008 Express Edition go to Tools | Options | Projects
and Solution | VC++ Directories. Show directories for "Include Files"
and add C:\Boost\include\boost-1_39. Show directories for "Library
Files" and add C:\Boost\lib.

- You're done!

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

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

Thanks guys.

Pete:

- I've chosen the current version which is VC++ 2008, but the 2005 Version
should be equivalent?
I personally have the 2005 Standard version- in addition to VC++ 2008
Express. And it looks the
same.
- I'd welcome some slides for compiling boost without using precompiled
versions. But someone
else has to add it: I've never done that. In fact, I could upload the tex
files and someone could
add some slides and a step by step instruction.
- Boost usage: Yes, I personally have the include directories in VC++
defaults, but a first time
user might want to test a bit without adding something that is then used in
all projects by default. But
I agree, maybe one slide should be added for those who would like to do add
it by default. I can
do it.

Thanks for the feedback













2009/8/27 Piter Dias <pit...@pi...>

> Dimitri,
>
> That is a great documentation but I would change somethings:
>
>
>    - Slide 2 - VC++ 2005 Express (I know that it is not available for
>    download anymore) needs a extra step, the SDK install
>    - Boost install - I never used the precompiled version. What do you
>    think about including a slide for compiling Boost?
>    - Boost usage - Wouldn't you prefer to include boost lib and include
>    directories in the VC++ defaults (in the Tools menu)?
>
> That is it. The whole document is a very good piece of work.
>
>
>
> Regards,
>
>
>
>
>
> On Wed, 26 Aug 2009 17:56:35 +0200, Dima <dim...@go...>
> wrote:
>
> I've worked a bit on the Documentation side and created a step-by-step
> installation guide for setting QuantLib up in Visual Studio, available
> on
>
> http://longvega.com/QlInstallation.pdf
>
> This is really step-by-step but I didn't want to leave any open
> questions. If there's any use for it, feel free to comment on any
> improvements.  Otherwise feel even more free to use it.
>
>
>
> --
>
>
> ------------------------------
>
>
> *Piter Dia...@pi...*
>
> *
> *
>
>

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

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

Dimitri, 

That is a great documentation but I would change somethings:


 	* Slide 2 - VC++ 2005 Express (I know that it is not available for
download anymore) needs a extra step, the SDK install
 	* Boost install - I
never used the precompiled version. What do you think about including a
slide for compiling Boost?
 	* Boost usage - Wouldn't you prefer to include
boost lib and include directories in the VC++ defaults (in the Tools menu)?


That is it. The whole document is a very good piece of work. 

Regards,


On Wed, 26 Aug 2009 17:56:35 +0200, Dima  wrote:  

I've worked a bit on
the Documentation side and created a step-by-step
installation guide for
setting QuantLib up in Visual Studio,
available
on

http://longvega.com/QlInstallation.pdf [1]

This is really
step-by-step but I didn't want to leave any open
questions. If there's any
use for it, feel free to comment on any 
improvements. Otherwise feel even
more free to use it.  

-- 

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

Piter
Dias
pit...@pi...

 

Links:
------
[1]
http://longvega.com/QlInstallation.pdf

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

[Min L. <min...@gm...>]

Beautiful work!
I will follow the instruction to do some testing.

Min

On Wed, Aug 26, 2009 at 10:56 AM, Dima <dim...@go...>wrote:

> I've worked a bit on the Documentation side and created a step-by-step
> installation guide for setting QuantLib up in Visual Studio, available
> on
>
> http://longvega.com/QlInstallation.pdf
>
> This is really step-by-step but I didn't want to leave any open
> questions. If there's any use for it, feel free to comment on any
> improvements.  Otherwise feel even more free to use it.
>
>
> ------------------------------------------------------------------------------
> Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
> trial. Simplify your report design, integration and deployment - and focus
> on
> what you do best, core application coding. Discover what's new with
> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

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

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

I've worked a bit on the Documentation side and created a step-by-step
installation guide for setting QuantLib up in Visual Studio, available
on

http://longvega.com/QlInstallation.pdf

This is really step-by-step but I didn't want to leave any open
questions. If there's any use for it, feel free to comment on any
improvements.  Otherwise feel even more free to use it.

[Quantlib-dev] Double Barrier ...

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

Hi all,

 

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?

 

 

Thanks and Regards,

Deepak



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

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

Mantainers, 

I was playing a little with QuantLibXL and realized that
it was not able to replicate the cashflows for most of Brazilian local
treasuries.  

It due to the coupon rules of these Brazilian bonds that are
semi-annualy coumpounded. 

The same samples work in Test Suite but there I
used the more generic Bond class itself, instead of FixedRateBond.


FixedRateBond class uses linear coupon rate and I would like include some
more constructors in favour of flexibility. As far as I did until now, the
changes are backward compatible with the current code (I don't believe the
final version will have any compatible issue). I will include test for the
changes and run the whole test suite after doing it. 

Once this work is
done (this week I hope) I will change QuantLibAddin and QuantLibXL for
using it (it seems that backward compatibility will not be hard as well),
so I can replicate the Brazilian bonds. 

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?


Regards, 

-- 

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

Piter
Dias
pit...@pi...

 

Re: [Quantlib-dev] QuantLib development

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

Bohan, 

That is piece of cake. Make your change, add a test to
testsuite, write some instructions and send everything to this list. 

The
manteiners will do the dirty work of saving into Subversion. 

Just keep in
mind that you have to write a test in order to sure that future changes in
the library doesn't break your code but you should run the whole testsuite
by yourself to be sure that you are not breaking anything. 

Manteiners are
hard working to release QuantLib 1.0 but they usually are pretty fast to
add a code that works and doesn't break backward compatility. 

On Fri, 21
Aug 2009 21:01:42 -0500, Bohan Liu  wrote:  Dear all,   I just wonder
whether quantlib users have the right to modify or enhance the code in
QuantLib and then publish it to quantLib community?   Best,   Bohan  

--


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

Piter Dias
pit...@pi...

 

[Quantlib-dev] QuantLib development

[Bohan L. <bl...@gm...>]

Dear all,

I just wonder whether quantlib users have the right to modify or enhance the
code in QuantLib and then publish it to quantLib community?

Best,

Bohan

Re: [Quantlib-dev] Inflation Bond (Piter Dias)

[Chris K. <chr...@ya...>]

Hi Piter,

first thing would be to get the Brazilian InflationIndex set up.  If you look at UKRPI and the YY- versions that should be direct.  However, please check carefully that the current setup does capture the relevant aspects of the Brazilian inflation index.  The way to check what you need (as I'm sure you know) is to look at the termsheets from some of your c/ps and look at the fixing definition.

Second thing is that it looks like there is interest in having bond bootstrapping in the library.  Then you can do true real rate as well as breakeven version (there is a basis between them).  Now, as you mention, getting a swap curve from that requires "trader input", i.e. an estimate of the bond-swap basis.  This is generally proprietary.  Hence, we could probably do with a spreaded version of the zero inflation curve.  Comments anyone?

Regards,
Chris


Message: 3
Date: Tue, 18 Aug 2009 06:06:08 -0300
From: Piter Dias <pit...@pi...>
Subject: Re: [Quantlib-dev] Inflation Bond
To: <qua...@li...>
Message-ID: <c53...@pi...>
Content-Type: text/plain; charset="utf-8"



Hi, 

I just worked on inflation curves generation for the institution I
work here in Brazil. The base products are inflation Bonds (NTNB if you
know Brazilian market). 

>From a group of NTNB I bootstrapd a zero real
rate curve (Brazil trading is all about real rate), a inflation forecast
(called breakeven, a simple non-arbitrage spread for a credit modelling
team) and a Swap curve. 

The Swap was trick because there isn't liquidity,
so the trader would like to use the NTNB yields +- some spread by bond and
create a zero curve whose nodes were the bonds duration. 

I made a little
bit different, using NTNB yields +- some spread but bootstrapping a zero
curve from it. They told that "now they have a Swap curve".  

Well, that
said, I don't know anything about inflation products in other countries but
I would like to help you to test and enhance QuantLib for Brazilian
inflation products. I would, at least, write some testsuites. 

Could you
let me know if there is something I can do to help? 

Regards, 

Re: [Quantlib-dev] R: Re: Inflation Bond (a.roveda@libero.it)

[Chris K. <chr...@ya...>]

Hi Alesandro,

yes, I was referring to 0.9.7 not the SVN.  The SVN will change over the next couple of weeks as I do some updates.  You can potentially put together a bond from the SVN ... but see previous sentance.

Best regards,
Chris




________________________________
From: "a.r...@li..." <a.r...@li...>
To: chr...@ya...; qua...@li...
Sent: Tuesday, August 18, 2009 1:40:16 PM
Subject: R: Re: Inflation Bond (a.r...@li...)


Hi Chris ,
thanks for your answer but it's not all clear
ok I can't bootstrap forward inflation from inflation-linked-bond quotes  but Looking at the latest version on SVN repository,
I can see the inflationcoupon class e Inflationcouponpricer class.
Can I use those class to define an inflation bond ? Moreover we suppose we need  an "Inflationleg" too
somenthing wrong? 
thanks for the article it's intresting
Regards
Alessandro
 
----Messaggio originale----
>Da: chr...@ya...
>Data: 18/08/2009 10.05
>A: <qua...@li...>, <qua...@li...>, <a.r...@li...>
>Ogg: Re: 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.pdf).  
>
>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
>
>
>
>

[Quantlib-dev] R: Re: Inflation Bond (a.roveda@libero.it)

[<a.r...@li...>]

Hi Chris ,

thanks for your answer but it's not all clear

ok I can't bootstrap forward inflation from inflation-linked-bond quotes  but Looking at the latest version on SVN repository,I can see the inflationcoupon class e Inflationcouponpricer class.

Can I use those class to define an inflation bond ? Moreover we suppose we need  an "Inflationleg" too

somenthing wrong? 

thanks for the article it's intresting

Regards

Alessandro

 
----Messaggio originale----Da: chr...@ya...: 18/08/2009 10.05A: <qua...@li...>, <qua...@li...>, <a.r...@li...>Ogg: Re: 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.pdf).  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 inflationbut 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