quantlib-dev — Discussion of QuantLib development

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

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

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

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

Bugs item #2837044, was opened at 2009-08-13 17:48
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2837044&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: ldconfig run missing at install

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


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

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

Re: [Quantlib-dev] Any news on ZC Inflation Swap pricing engine ?

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

Hi Mirko,

general ZC and YY swaps are scheduled for the next couple of weeks so they get in for v1.0.  (You are correct - current ones are spot-only for curve building.)

Best regards,
Chris




________________________________
From: Raso Mirko (ICCREA Holding) <MR...@ic...>
To: chr...@ya...; qua...@li...
Sent: Thursday, August 13, 2009 8:18:11 AM
Subject: Any news on ZC Inflation Swap pricing engine ?

 
Hi Chris,
            any news about the zero coupon inflation
swap pricing engine ? 
Looking at the latest
version on SVN repository, I’ve seen that it’s still present the “old”
version, which is  
correct, in my opinion,
for a spot trade only (i.e. for an already started trade will do wrong results).
            I know that you’ve been busy due to
the good job on seasonality effects, 
but because you are going
towards version 1.0, I’d like to know how you plan to change/add the 
new feature or, why not,  what
I’m missing about the QuantLib architecture.
 
Thanks in advance,
 
Mirko
 
            
________________________________________________ 
Mirko Raso 
Quantitative
Analyst - Iccrea Holding S.p.A.
Risk Management di Gruppo 
Rischi Finanziari - Modelli Analisi Quantitative
Via Lucrezia Romana 41/47 - 00178 Roma Phone: +39 06 7207 2061
  Fax: +39 06 7207 2361
  mailto:mr...@ic... 
__________________________________________________________________________________________________________________________________ 
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__________________________________________________________________________________________________________________________________ 
 
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[Quantlib-dev] Any news on ZC Inflation Swap pricing engine ?

[Raso M. \(I. Holding\) <MR...@ic...>]

Hi Chris,

            any news about the zero coupon inflation swap pricing engine ? 

Looking at the latest version on SVN repository, I've seen that it's still present the "old" version, which is  

correct, in my opinion, for a spot trade only (i.e. for an already started trade will do wrong results).

            I know that you've been busy due to the good job on seasonality effects, 

but because you are going towards version 1.0, I'd like to know how you plan to change/add the 

new feature or, why not,  what I'm missing about the QuantLib architecture.

 

Thanks in advance,

 

Mirko

 

            

________________________________________________ 
Mirko Raso 

Quantitative Analyst - Iccrea Holding S.p.A.
Risk Management di Gruppo 
Rischi Finanziari - Modelli Analisi Quantitative
Via Lucrezia Romana 41/47 - 00178 Roma Phone: +39 06 7207 2061
  Fax: +39 06 7207 2361
  mailto:mr...@ic... <mailto:mr...@ic...>  

__________________________________________________________________________________________________________________________________ 

Questo messaggio e gli eventuali allegati sono confidenziali e contengono informazioni riservate soltanto al destinatario espressamente indicato. 
Qualsiasi utilizzo non autorizzato del presente messaggio e dei suoi eventuali allegati è vietato e potrebbe costituire reato. 
Qualora abbiate ricevuto il presente messaggio per errore, Vi preghiamo di volerlo distruggere, insieme agli eventuali allegati, e di segnalarci l'errore via e-mail. 
A meno che non sia espressamente indicato, le dichiarazioni contenute in questo messaggio, nonché nei suoi eventuali allegati, sono riconducibili 
esclusivamente al mittente e non possono essere considerate come autorizzate da ICCREA HOLDING S.p.A. 
Tali dichiarazioni pertanto non impegnano ICCREA HOLDING S.p.A. nei confronti del destinatario o di terzi. ICCREA HOLDING S.p.A. ritiene ma non garantisce 
che questo messaggio, e i suoi eventuali allegati, siano immuni da virus. 
ICCREA HOLDING S.p.A. si riserva il diritto di accedere e controllare tutte le comunicazioni trasmesse attraverso la propria rete aziendale. 
__________________________________________________________________________________________________________________________________ 

 




AVVISO DI RISERVATEZZA

Il testo e gli eventuali documenti trasmessi contengono informazioni riservate al destinatario indicato.
La seguente e-mail è confidenziale e la sua riservatezza è tutelata legalmente dalle normative vigenti.
La lettura, copia od altro uso non autorizzato o qualsiasi altra azione derivante dalla conoscenza di 
queste informazioni sono rigorosamente vietate. Se si ritiene di non essere il destinatario di questa mail,
o se si è ricevuto questa mail per errore, si prega di darne immediata comunicazione al mittente e di
provvedere immediatamente alla sua distruzione.

 

PRIVACY NOTICE

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privileged, and intended solely for the specified addressee(s). This e-mail has a confidential nature which
is protected by the Italian law. Moreover, the recipient(s) may not disclose, forward, or copy this e-mail
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Re: [Quantlib-dev] May you give us an overview of current QuantLib plans?

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

Hi Piter,

On Mon, 2009-08-10 at 07:16 -0300, Piter Dias wrote:
> I know there is plan to deliver QuantLib 1.0 as a stable and
> production version. In fact, I believe we already has production users
> of QuantLib, but I believe that whole idea is the project itself would
> change its status to a Production software with this release.

Yes. In particular, that would mean that we'll ensure backward
compatibility of future releases with version 1.0, meaning that code
that compiles against 1.0 will compile unchanged against later versions
(with an exception---see later.)  This is also the reason for the delay
in getting a new release out: we needed time to fix a few things before
freezing the interfaces.


> However, it also means that some contributions would have to wait more
> in order to not cause a mis function in the 1.0 version.

Not necessarily. See later.


> May you give us (user and eventual contributor) an overview about what
> your are doing and current plans? I have myself some questions:
> Are you already have a desirable release date? I mean some data you
> wish to deliver but doesn't know if  you will be able to?

We're almost there.  There's still a couple of things to fix, but I'd
like to create the release branch soon and release a version 0.9.9 in
the second half of September (considering that I'll be on vacation next
week and half of the following.)  Unless anything big and unexpected
happens, we should be able to stick to the schedule.  The 0.9.9 version
will practically be a beta version of 1.0; we can expect the latter for
October or November.


> If new  classes and functions  are not supposed  to go to trunk as
> fast as it was, how could we keep people motivation (everyone that
> contributes good stuff want to see it code in the library, right)? Are
> you more open to include test suite contributions to this new release?

This release is almost frozen, so new contributions will go after
version 1.0.  However, that doesn't mean that they'll have to wait long
to be included; once the 0.9.9 and 1.0 branches are created (in a couple
of weeks) new code can go on the trunk for future inclusion in the 1.1
release.  I hope to get back to a decent release schedule (say, 3 or 4
releases per year) so that contributions don't have to wait much to get
out.


> What is the experimental folder really is? Would you deliver it in the
> QuantLib 1.0? What the polices to put or delete code there are?

The experimental folder is an exception to the backward compatibility;
what's in there might change interface in the future. The reason is that
on the one hand, we want contributions to get out; but on the other
hand, we don't want to freeze interfaces we barely used before having
some feedback. New stuff is going to go in experimental first and be
moved in the core folders once we're happy with the interface.


> We have a couple of examples and hundred of tests. Do you believe that
> it is a problem for new users? I mean, I already contribute with test
> but never though about examples. Do you expect more examples in the
> library or test suite itself is THE example?

I think the test suite can work as an example too; we don't need to
write examples to show functionality that is covered in the test suite
(I'd rather add some comments to the test cases.)  Examples might be
used to show more complex workflows.


I'll pass on the QuantLibXL questions, as I'm not very involved in the
project at this time...

Hope this helped. If anybody has any feedback, I'll be glad to hear it.

Luigi


-- 

Olmstead's Law: 
After all is said and done, a hell of a lot more is said 
than done. 

Re: [Quantlib-dev] CUDA

[Sylvain B. <syl...@gm...>]

On Wed, Jun 17, 2009 at 11:05 AM, Luigi Ballabio
<lui...@gm...>wrote:

> On Fri, 2009-06-05 at 23:31 +0200, Juan Leni [matyca] wrote:
> > Is someone interested in porting some parts of the library to CUDA?
>
> Juan,
>        some work is being done already. You can coordinate with Luca
> Ferraro;
> his address is in cc.
>
>
Hi all,

I'm interested in those developments as well.
I assume best performance gains come from porting Monte Carlo and
optimization / root finding algorithm?
Are you guys more focused on CUDA or OpenCL?

Regards,
Sylvain

Re: [Quantlib-dev] Risk Management with QuantLib

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

On Mon, 2009-08-03 at 11:40 +0200, Slava D wrote:
> I am trying to use QL to do Risk Management for a given portfolio.
>  
> I assume that QL has everything required for a proper RM system.
>  
> I feel that the approach chosen in QL for RM is a combination of
> Visitor and Observer design patterns.

Observer much more than Visitor, I'd say. You can probably perform RM
just using observability. Of course it depends on the methodology you're
using; but keeping a set of handles for the market observables, passing
them to the instruments/pricing engines, relinking them to new data
and/or scenarios, and asking the instruments for new prices should do
the trick.

Luigi


-- 

Greenspun's Tenth Rule of Programming: 
Any sufficiently complicated C or Fortran program contains an 
ad-hoc, informally-specified bug-ridden slow implementation of 
half of Common Lisp. 

Re: [Quantlib-dev] FX Functions Code Contribution

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

On Wed, 2009-08-05 at 15:10 +0200, Dima wrote:
> I discussed it ages ago, but its finally finished. I've uploaded new
> QuantLib code on www.longvega.com/FxFunctions.zip. [...] I'd be happy
> to see it somewhere in the trunk soon,
> so I can use it withing QuantLib.

Dima,
	thanks for the code.  I'll put it in the repository, but probably not
so soon as I'm trying to stabilize the existing code for the 1.0
release.  Your code will probably get in the trunk after that.

Thanks again,
	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] PiecewiseYieldCurve, YieldTermStructure

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

On Wed, 2009-08-05 at 10:01 +0200, Bogaert, Gilles wrote:
> Further question: When I create my ratehelper objects(deposit and
> swaps), I give all the specifications concerning these rates. Then I
> create the object PiecewiseYieldCurve giving this vector of ratehelper
> objects in order to get the zero rates back at certain dates. I have not
> found/understood yet where the bootstrapping is done. Where do you
> calculate back the different yield from the ratehelpers and where it is
> interpolated? Could you just tell me the name of the classes, I will
> look at them afterwards and try to understand?

The calculation is triggered by
PiecewiseYieldCurve::performCalculation(), that delegates it to the
bootstrapper. The latter is chosen by means of the last template
argument to PiecewiseYieldCurve and by default is the IterativeBootstrap
class. Its method calculate() does the bootstrap and sets the data
members of PiecewiseYieldCurve to the results. Depending on what you're
interpolating, they might be inherited from InterpolatedZeroCurve or
some other Interpolated...Curve class.

Luigi


-- 

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

[Quantlib-dev] FX Functions Code Contribution

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

I discussed it ages ago, but its finally finished. I've uploaded new
QuantLib code on www.longvega.com/FxFunctions.zip. The functions
include:

- a delta calculator class for various, fx specific deltas
- a delta vol quote class

3 Smile Sections:
- the vanna volga interpolations
- a parabolic interpolation, which interpolates parabolically in moneyness
- a new parabolic formula (a generalization of a so called Malz formula)

Added some test cases too. I'd be happy to see it somewhere in the trunk
soon,
so I can use it withing QuantLib. Thanks

Re: [Quantlib-dev] PiecewiseYieldCurve, YieldTermStructure

[Bogaert, G. <gil...@kp...>]

Dear QL users and developers,

Further question: When I create my ratehelper objects(deposit and
swaps), I give all the specifications concerning these rates. Then I
create the object PiecewiseYieldCurve giving this vector of ratehelper
objects in order to get the zero rates back at certain dates. I have not
found/understood yet where the bootstrapping is done. Where do you
calculate back the different yield from the ratehelpers and where it is
interpolated? Could you just tell me the name of the classes, I will
look at them afterwards and try to understand?

Thanks in advance for your help.

Gilles
The information in this e-mail is confidential and may be legally privileged. It is intended
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[Quantlib-dev] PiecewiseYieldCurve, YieldTermStructure

[Bogaert, G. <gil...@kp...>]

Dear all,

I would like to understand better how QuantLib calculates a zero curve
with the class PieceWiseYieldCurve etc. Could you please give me some
example of readings to understand the rationale behind? 
I read the documentation written by M. Ballabio and I recently bought
the book written by M. Mercurio et al. but I am not sure that is enough.

Thank you in advance for your hints. 

Have a nice week.

Regards,
Gilles Bogaert
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received this communication in error, please address with the subject heading "Received in 
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are not the intended recipient, any disclosure, copying, distribution or any action taken or 
omitted to be taken in reliance on it, is prohibited and may be unlawful. Any opinions or 
advice contained in this e-mail are subject to the terms and conditions expressed in the 
governing KPMG client engagement letter. Opinions, conclusions and other information in this 
e-mail and any attachments that do not relate to the official business of the firm are 
neither given nor endorsed by it. KPMG cannot guarantee that e-mail communications are secure 
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[Quantlib-dev] Risk Management with QuantLib

[Slava D <sla...@go...>]

guys,

I am trying to use QL to do Risk Management for a given portfolio.

I assume that QL has everything required for a proper RM system.

I feel that the approach chosen in QL for RM is a combination of Visitor and
Observer design patterns.

a couple of questions:

1. how would you personally design RM based on QL
2. why do you need visitability for payoffs
3. why do you have visitability on vol surface term structures and not on
other market data (say, yield curves)

many thanks,

Slava

Re: [Quantlib-dev] issue building current QuantLibXL VC9

[Sylvain B. <syl...@gm...>]

Hi All,

Moving to Python 2.6 worked fine, thanks.
Now I have the XLL,  which seems to load in Excel 2007, however no
"ql...." functions is made available. Is there a way to ensure the XLL
is properly loaded?

Thanks,
Sylvain



On Tue, Jul 28, 2009 at 4:59 AM, Florent
Grenier<flo...@gm...> wrote:
> Hi Sylvain,
> I had the same problem with Python 3. The solution I used is quite simple: I
> removed version 3 and installed Python v2.6, added it to my path, ran the
> compilation, and everything went well.
> Florent
>
> 2009/7/27 Sylvain Bertrand <syl...@gm...>
>>
>> Hi All,
>>
>>
>> 1st issue:
>>
>> FYI, there seem to be several include directories missing for the
>> QuantLibXL solution vc9 file.
>> Not sure who's maintaining that part, but that's something to be aware of.
>>
>>
>> 2nd issue:
>>
>> gensrc.py gives an error... I would debug but I have never used python
>> (v3.1 used here):
>>
>> 3>------ Rebuild All started: Project: qlgensrc, Configuration: All Win32
>> ------
>> 3>Performing Makefile project actions
>> 3>Microsoft (R) Program Maintenance Utility Version 9.00.30729.01
>> 3>Copyright (C) Microsoft Corporation.  All rights reserved.
>> 3> if not exist build\vc mkdir build\vc
>> 3> ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
>> 2>flock.c
>> 3>  File "c:\Documents and Settings\sbertrand\My
>> Documents\trunk\gensrc\gensrc.
>> py", line 51
>> 3>    print USAGE_ERROR % { 'scriptName' : sys.argv[0] }
>> 3>                    ^
>> 3>SyntaxError: invalid syntax
>> 3>NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
>> 3>Stop.
>> 3>Project : error PRJ0019: A tool returned an error code from "Performing
>> Makefile project actions"
>> 3>Build log was saved at "file://c:\Documents and Settings\sbertrand\My
>> Documents\trunk\QuantLibAddin\gensrc\build\vc\BuildLog.htm"
>> 3>qlgensrc - 2 error(s), 0 warning(s)
>>
>>
>> Am I doing something wrong?
>>
>>
>> Regards,
>> Sylvain
>>
>> ------------------------------------------------------------------------------
>>
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
>

Re: [Quantlib-dev] Missing references in trunk

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

On Mon, Jul 20, 2009 at 12:21 AM, Piter Dias<pit...@pi...> wrote:
> I tried to compile QuantLib trunk from Subversion but it misses a reference
> in the solution file for VS2008 (didn't try others).
>
> Please add seasonality.hpp and seasonality.cpp references to QuantLib.

done: as of Rev16361 both VC8 and VC9 solutions include all relevant
files and build successfully.

thanks for the report

ciao -- Nando

Re: [Quantlib-dev] issue building current QuantLibXL VC9

[Florent G. <flo...@gm...>]

Hi Sylvain,
I had the same problem with Python 3. The solution I used is quite simple: I
removed version 3 and installed Python v2.6, added it to my path, ran the
compilation, and everything went well.

Florent

2009/7/27 Sylvain Bertrand <syl...@gm...>

> Hi All,
>
>
> 1st issue:
>
> FYI, there seem to be several include directories missing for the
> QuantLibXL solution vc9 file.
> Not sure who's maintaining that part, but that's something to be aware of.
>
>
> 2nd issue:
>
> gensrc.py gives an error... I would debug but I have never used python
> (v3.1 used here):
>
> 3>------ Rebuild All started: Project: qlgensrc, Configuration: All Win32
> ------
> 3>Performing Makefile project actions
> 3>Microsoft (R) Program Maintenance Utility Version 9.00.30729.01
> 3>Copyright (C) Microsoft Corporation.  All rights reserved.
> 3> if not exist build\vc mkdir build\vc
> 3> ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
> 2>flock.c
> 3>  File "c:\Documents and Settings\sbertrand\My
> Documents\trunk\gensrc\gensrc.py", line 51
> 3>    print USAGE_ERROR % { 'scriptName' : sys.argv[0] }
> 3>                    ^
> 3>SyntaxError: invalid syntax
> 3>NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
> 3>Stop.
> 3>Project : error PRJ0019: A tool returned an error code from "Performing
> Makefile project actions"
> 3>Build log was saved at "file://c:\Documents and Settings\sbertrand\My
> Documents\trunk\QuantLibAddin\gensrc\build\vc\BuildLog.htm"
> 3>qlgensrc - 2 error(s), 0 warning(s)
>
>
> Am I doing something wrong?
>
>
> Regards,
> Sylvain
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] issue building current QuantLibXL VC9

[Bojan N. <bo...@bn...>]

You need to use Python version 2.X -- Python version 3 is quite a
different beast.

Best,
Bojan

-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk

[Quantlib-dev] issue building current QuantLibXL VC9

[Sylvain B. <syl...@gm...>]

Hi All,


1st issue:

FYI, there seem to be several include directories missing for the QuantLibXL
solution vc9 file.
Not sure who's maintaining that part, but that's something to be aware of.


2nd issue:

gensrc.py gives an error... I would debug but I have never used python (v3.1
used here):

3>------ Rebuild All started: Project: qlgensrc, Configuration: All Win32
------
3>Performing Makefile project actions
3>Microsoft (R) Program Maintenance Utility Version 9.00.30729.01
3>Copyright (C) Microsoft Corporation.  All rights reserved.
3> if not exist build\vc mkdir build\vc
3> ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
2>flock.c
3>  File "c:\Documents and Settings\sbertrand\My
Documents\trunk\gensrc\gensrc.py", line 51
3>    print USAGE_ERROR % { 'scriptName' : sys.argv[0] }
3>                    ^
3>SyntaxError: invalid syntax
3>NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
3>Stop.
3>Project : error PRJ0019: A tool returned an error code from "Performing
Makefile project actions"
3>Build log was saved at "file://c:\Documents and Settings\sbertrand\My
Documents\trunk\QuantLibAddin\gensrc\build\vc\BuildLog.htm"
3>qlgensrc - 2 error(s), 0 warning(s)


Am I doing something wrong?


Regards,
Sylvain

Re: [Quantlib-dev] Ornstein-Uhlenbeck class

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

On Fri, 2009-07-17 at 13:00 -0700, javit wrote:
> Is there a quantlib class for the Ornstein-Uhlenbeck process with
> non-constant coeficients?

No, there isn't.

Luigi


-- 

It is always the best policy to tell the truth, unless, of course, 
you are an exceptionally good liar. 
-- Jerome K. Jerome 

[Quantlib-dev] [ quantlib-Bugs-2826065 ] Swaptions pricing in G2 model

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

Bugs item #2826065, was opened at 2009-07-23 17:49
Message generated for change (Tracker Item Submitted) made by sk-77
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2826065&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Swaptions pricing in G2 model

Initial Comment:
The swaptions prices produced by analytical formula and by tree methods are significantly different for G2 model. The attached file is a slight modification of BermudanSwaption example from QuantLib distribution. I have run it with various number of time steps in the tree (I would recommend 72 or more). The analytical and numerical (tree) prices are close enough for Hull-White model, but they are significantly different for G2 and Cox-Ingersoll-Ross. Do you have an idea what could be the reason for it?

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

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

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

Feature Requests item #2825951, was opened at 2009-07-23 14:20
Message generated for change (Tracker Item Submitted) made by sk-77
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2825951&group_id=12740

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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

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

Best regards,

Sasha


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[Quantlib-dev] [ quantlib-Bugs-2824902 ] Dynamics of twofactor modell

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

Bugs item #2824902, was opened at 2009-07-21 19:03
Message generated for change (Comment added) made by sk-77
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2824902&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Dynamics of twofactor modell

Initial Comment:
The method process() in the class TwoFactorModel::ShortRateDynamics fails (if accessed from a G2 model). This causes problems in Monte-Carlo-like applications.

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

>Comment By: sk77 (sk-77)
Date: 2009-07-21 19:26

Message:
My solution is to modify the line 55 as follows:

std::vector<boost:shared_ptr<StochasticProcess1D> > processes(2);

Seems to work.

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

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[Quantlib-dev] [ quantlib-Bugs-2824902 ] Dynamics of twofactor modell

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

Bugs item #2824902, was opened at 2009-07-21 19:03
Message generated for change (Tracker Item Submitted) made by sk-77
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2824902&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Dynamics of twofactor modell

Initial Comment:
The method process() in the class TwoFactorModel::ShortRateDynamics fails (if accessed from a G2 model). This causes problems in Monte-Carlo-like applications.

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

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[Quantlib-dev] [ quantlib-Bugs-2824899 ] Discretization in CIR Process

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

Bugs item #2824899, was opened at 2009-07-21 19:00
Message generated for change (Tracker Item Submitted) made by sk-77
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2824899&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Discretization in CIR Process

Initial Comment:
The method dynamics()->process() in CoxIngersollRoss class returns a process with non-initialized discretization_ property. This causes problems in Monte-Carlo-like applications.

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

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[Quantlib-dev] [ quantlib-Bugs-2824896 ] No defined process for Black-Karasinski

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

Bugs item #2824896, was opened at 2009-07-21 18:55
Message generated for change (Tracker Item Submitted) made by sk-77
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2824896&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: No defined process for Black-Karasinski

Initial Comment:
The metod dynamics() in class BlackKarasinski in file blackkarasinski.cpp fails with message: "No defined process for Black-Karasinski". However the process for Black-Karasinski model seems to be defined in the same file later (in the class BlackKarasinski::Dynamics). What was the reason for disabling this functionality?

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

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