quantlib-dev — Discussion of QuantLib development

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

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

Bugs item #2599416, was opened at 2009-02-14 12:11
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2599416&group_id=12740

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

Initial Comment:
Hello,

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

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

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

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

The development environment that I am using is:

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

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

  Any solutions?
  Thank you very much.

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





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

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

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

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-02-16 14:32

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

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

Dirk (Debian maintainer for QL)

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

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

[Quantlib-dev] Missing references in trunk

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

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
</head>
<body bgcolor="#ffffff" text="#000000">
Guys,<br>
<br>
I tried to compile QuantLib trunk from Subversion but it misses a
reference in the solution file for VS2008 (didn't try others).<br>
<br>
Please add seasonality.hpp and seasonality.cpp references to QuantLib.
Actually the library compiles without errors but testsuite doesn't link
without these references in the library.<br>
<br>
Regards,<br>
<br>
</body>
</html>

[Quantlib-dev] Ornstein-Uhlenbeck class

[javit <ca...@vi...>]

Is there a quantlib class for the Ornstein-Uhlenbeck process with
non-constant coeficients?

    //! Ornstein-Uhlenbeck process class
    /*! This class describes the Ornstein-Uhlenbeck process governed by
        \f[
            dx = a (r - x_t) dt + \sigma dW_t.
        \f]

        \ingroup processes

Thank you,
Javit

-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
-- 
View this message in context: http://www.nabble.com/Ornstein-Uhlenbeck-class-tp24540746p24540746.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Is quantlibxl bloomberg feed implemented?

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

On Thu, Jul 16, 2009 at 10:14 PM, Irakli
Machabeli<ima...@ho...> wrote:
> Is bloomberg feed completely implemented in quantlibxl?

no, it isn't.

There's just the hook for switching to Bloomberg, but there is still a
lot of work to do: all Reuters workbooks (MarketData\Reuters) should
be ported to Bloomberg (MarketData\Bloomberg)

anyone willing to tackle this task could refer to me for help/direction

ciao -- Nando

[Quantlib-dev] Is quantlibxl bloomberg feed implemented?

[Irakli M. <ima...@ho...>]

Is bloomberg feed completely implemented in quantlibxl? If yes how can I 
enable it?
After briefly browsing over quantlibxl.VBA code it looks like some places 
(say openLiveFeedWorkbooks) default to reuters.

I'm using 0.9.6 excel framework. 

Re: [Quantlib-dev] Why not boost random numbers?

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

Dima and Christian,
	sorry for the delay.  The proposal is interesting---as Dima pointed
out, we'd better go with Boost distributions and random numbers in the
long run (especially, I would add, since they will be no longer only
part of Boost; they will also be included in the next C++ standard.)
However, my problem at this time is that we're finalizing the library
interfaces in order to release QuantLib 1.0 (we should be done in a
short while) and we'll freeze the interfaces afterwards.  Therefore,
it's unlikely that we'll change random-number generation entirely.

However, there's much that can be done, even within the constraints of
the frozen interfaces. For instance, there are cases such as that shown
by Dima:

On Thu, 2009-06-18 at 12:16 +0200, Dima wrote:
>         But I think a better Idea would be to replace the current
>         occurrence of the other classes. This wouldn't be too 
>         much work, since usually the initialization of the cdf is done
>         once, eg.  
>         
>         CumulativeNormalDistribution f; // in the BlackCalculator
>         
>         Then, f is used throughout the class as a functor. So, if you
>         would replace f here with a boost
>         class, the merging is straightforward. Running the test_suite
>         will show if there's any difference
>         to current implementation.

Here, the distribution is not part of the interface, but rather just an
implementation detail---and can be replaced without problems.

In other places, the substitution wouldn't be that straightforward.  For
instance, replacing the InverseCumulativeDistribution class in the path
generation would most likely cause an interface change, and is thus out.
However, there's hope for that, too; the Monte Carlo classes are modular
enough that one can replace the path-generator classes entirely and plug
new ones (using boost) in the existing Monte Carlo engines.  The new
classes might then replace the old ones in version 2.0, whenever that
is.  (Note: even if we found out that our algorithms were more precise,
at that point I'd change them to conform to the boost interface anyway,
since that would be the standard interface.)

Thoughs so far?

Luigi


-- 

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

Re: [Quantlib-dev] inflation seasonality added to trunk

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

Luigi,

1) agreed
2) agreed

Please do make those changes.

Ciao,
Chris




________________________________
From: Luigi Ballabio <lui...@gm...>
To: Chris Kenyon <chr...@ya...>
Cc: mar...@in...; je...@fa...; qua...@li...
Sent: Monday, June 29, 2009 10:31:30 AM
Subject: Re: inflation seasonality added to trunk

On Sun, 2009-06-28 at 07:44 -0700, Chris Kenyon wrote:

> I’ve added in seasonality to the inflation termstructures (thanks to
> Piero Del Boca and myself)

Chris,
    thanks. From a cursory glance, it seems ok. Just two things:

1) setSeasonality changes the rates returned by the curve methods, so it
should notify observers of the curve that something has changed;
2) I don't think you need a separate boolean hasSeasonalityCorrection_,
since you can write hasSeasonality() just as
    return seasonality_;
(shared pointers are converted to booleans like ordinary pointers.)

I can make the changes if you agree with them.

Later,
    Luigi


-- 

A debugged program is one for which you have not yet found the 
conditions that make it fail. 
-- Jerry Ogdin 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16183] trunk/QuantLib

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

Hi Chris

following up to my previous email (quoted below) where I suggested you
don't need Polynomial2DInterpolation I've just committed this change
in Rev16320. Please review it.

btw Since your Rev16183 commit the testsuite has linking warnings that
should be fixed:

c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(108)
: warning C4244: 'argument' : conversion from 'QuantLib::Rate' to
'QuantLib::Size', possible loss of data
        c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(106)
: while compiling class template member function
'QuantLib::InterpolatedYoYOptionletStripper<Interpolator1D>::ObjectiveFunction::ObjectiveFunction(QuantLib::YoYInflationCapFloor::Type,QuantLib::Real,QuantLib::Rate,QuantLib::Period
&,QuantLib::Natural,boost::shared_ptr<T>,const
boost::shared_ptr<QuantLib::YoYCapFloorTermPriceSurface> &,const
boost::shared_ptr<QuantLib::YoYInflationCapFloorEngine>
&,QuantLib::Real)'
        with
        [
            Interpolator1D=QuantLib::Linear,
            T=QuantLib::YoYInflationIndex
        ]
        c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(213)
: see reference to class template instantiation
'QuantLib::InterpolatedYoYOptionletStripper<Interpolator1D>::ObjectiveFunction'
being compiled
        with
        [
            Interpolator1D=QuantLib::Linear
        ]
        c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(167)
: while compiling class template member function 'void
QuantLib::InterpolatedYoYOptionletStripper<Interpolator1D>::initialize(const
boost::shared_ptr<T> &,const
boost::shared_ptr<QuantLib::YoYInflationCapFloorEngine> &,const
QuantLib::Real) const'
        with
        [
            Interpolator1D=QuantLib::Linear,
            T=QuantLib::YoYCapFloorTermPriceSurface
        ]
        c:\projects\trunk\quantlib\test-suite\inflationvol.cpp(245) :
see reference to class template instantiation
'QuantLib::InterpolatedYoYOptionletStripper<Interpolator1D>' being
compiled
        with
        [
            Interpolator1D=QuantLib::Linear
        ]
c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(117)
: warning C4244: 'argument' : conversion from 'QuantLib::Rate' to
'QuantLib::Size', possible loss of data
c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(123)
: warning C4244: 'argument' : conversion from 'QuantLib::Time' to
'QuantLib::Integer', possible loss of data
c:\projects\trunk\quantlib\ql\experimental\inflation\interpolatedyoyoptionletstripper.hpp(131)
: warning C4244: 'initializing' : conversion from 'double' to
'QuantLib::Size', possible loss of data


ciao -- Nando

On Mon, Apr 20, 2009 at 3:26 PM, Ferdinando Ametrano<qf...@am...> wrote:
> Hi Chris
>
> On Sun, Apr 19, 2009 at 5:19 PM,  <chr...@us...> wrote:
>> Revision: 16183
>>          http://quantlib.svn.sourceforge.net/quantlib/?rev=16183&view=rev
>> Author:   chris_kenyon
>> Date:     2009-04-19 15:19:25 +0000 (Sun, 19 Apr 2009)
>> [...]
>> Added Paths:
>> -----------
>>    trunk/QuantLib/ql/experimental/inflation/polynomial2D.hpp
>>    trunk/QuantLib/ql/experimental/inflation/polynomial2Dspline.hpp
>
> unless I've missed something you don't need Polynomial2DInterpolation
> as you can obtain quadratic interpolation using the class
> CubicInterpolation with DerivativeApprox::Parabolic.
>
> Then it might be too exoteric, but it would benice to generalize
> Interpolation2D to accept a policy (x_first or y_first) and (possibly)
> different factories for the x and y axis, so that your new
> Polynomial2DSpline (and the old BicubicSpline, BilinearInterpolation
> too) would just become typedefs
>
> ciao -- Nando
>

Re: [Quantlib-dev] inflation seasonality added to trunk

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

On Sun, 2009-06-28 at 07:44 -0700, Chris Kenyon wrote:

> I’ve added in seasonality to the inflation termstructures (thanks to
> Piero Del Boca and myself)

Chris,
	thanks. From a cursory glance, it seems ok. Just two things:

1) setSeasonality changes the rates returned by the curve methods, so it
should notify observers of the curve that something has changed;
2) I don't think you need a separate boolean hasSeasonalityCorrection_,
since you can write hasSeasonality() just as
    return seasonality_;
(shared pointers are converted to booleans like ordinary pointers.)

I can make the changes if you agree with them.

Later,
	Luigi


-- 

A debugged program is one for which you have not yet found the 
conditions that make it fail. 
-- Jerry Ogdin 

[Quantlib-dev] inflation seasonality added to trunk

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

 Hi Luigi et al,
 
I’ve added in seasonality to the inflation termstructures (thanks
to Piero Del Boca and myself), specifically:
 "
Seasonality
|
MultiplicativePriceSeasonality
 "
The code and tests have changed quite a lot from initial
stages; there is a test for multi-year (non-stationary seasonality) and the
other tests have changed as appropriate.
 
This update handles multiplicative seasonality in CPI/RPI/HICP,
i.e. the input is the seasonality anticipated in the future prices (relative to some given base date). 
The code then adjusts the Zero or YoY rates to produce the desired
effect.  This handles stationary (one-year) seasonality and non-stationary
(multi-year) seasonality with the same call – you just give more factors
to get non-stationarity (but these must always be a multiple of the number
expected for one year (defined by the frequency of the seasonality).  The factors are used repetitively, i.e. they wrap around.  Of course, if seasonality is stationary there is no effect on YoY rates - these only see an effect when there is different seasonality in successive years.

The effect of seasonality is always normalized relative to some base.  For Zero inflation the base is the start of the inflation termstructure - you have a fixing for that date so the correction must be one.  For YoY the base is one year before.  Hence ... see next paragraph.  This normalization is done in the code.  The seasonality factors can (and mostly will) have a different base date to the termstructure.


With
non-stationary seasonality you can get inconsistency with the inflation
termstructure that you give it to - this is checked explicitly (can be
turned off in descendents).  The inconsistency can arise if you give seasonality factors that are different for integer years after the inflation termstructure start date (recall this is before the nominal because of lags) - because for (most/some?) of those dates you will have calibration instruments.

  

N.B the code handles daily seasonailty, however in this case the consistency tests are switched off.  Multi-year daily seasonality, in general, will never be consistent due to weekends, holidays, leap-years, etc.  You have been warned!

Best regards, 
Chris

Re: [Quantlib-dev] Can't link QuantLibXL from trunk

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

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
  <meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
</head>
<body bgcolor="#ffffff" text="#000000">
I just had to include register_defaulttermstructures.cpp to the
solution.<br>
<br>
It is now linking, loading in Excel 2007 and I will start some tests.<br>
<br>
Thanks<br>
<br>
Piter Dias escreveu:
<blockquote cite="mid:4A4...@pi..." type="cite">Guys,<br>
  <br>
I was trying to play around the trunk version of QuantLib and
QuantLibXL but got the link errors below while trying to generate the
XLL. QuantLib itself compiles and runs the test suite.<br>
  <br>
My environment is Windows Vista with Visual C++ 2008 Express SP1.<br>
  <br>
Could someone help me?<br>
  <br>
Regards,<br>
  <br>
  <br>
10&gt;------ Rebuild All started: Project: QuantLibXLStatic,
Configuration: Release Win32 ------<br>
  <br>
...<br>
  <br>
0&gt;Linking...<br>
10&gt;&nbsp;&nbsp; Creating library
.\buildStatic\vc90\Release/QuantLibAddinStatic-vc90-mt-0_9_8.lib and
object .\buildStatic\vc90\Release/QuantLibAddinStatic-vc90-mt-0_9_8.exp<br>
10&gt;register_all.obj : error LNK2019: unresolved external symbol
"void __cdecl registerDefaulttermstructures(struct xloper const &amp;)"
(?registerDefaulttermstructures@@YAXABUxloper@@@Z) referenced in
function "void __cdecl registerQlFunctions(struct xloper const &amp;)"
(?registerQlFunctions@@YAXABUxloper@@@Z)<br>
10&gt;register_all.obj : error LNK2019: unresolved external symbol
"void __cdecl unregisterDefaulttermstructures(struct xloper const
&amp;)" (?unregisterDefaulttermstructures@@YAXABUxloper@@@Z) referenced
in function "void __cdecl unregisterQlFunctions(struct xloper const
&amp;)" (?unregisterQlFunctions@@YAXABUxloper@@@Z)<br>
10&gt;..\xll\QuantLibXL-vc90-mt-0_9_8.xll : fatal error LNK1120: 2
unresolved externals<br>
10&gt;Build log was saved at <a moz-do-not-send="true"
 class="moz-txt-link-rfc2396E"
 href="file://c:%5CUsers%5CPiterDias%5CDevelopment%5Csrc%5CQuantLib_trunk%5CQuantLibXL%5Cqlxl%5CbuildStatic%5Cvc90%5CRelease%5CBuildLog.htm">"file://c:\Users\Piter
Dias\Development\src\QuantLib_trunk\QuantLibXL\qlxl\buildStatic\vc90\Release\BuildLog.htm"</a><br>
10&gt;QuantLibXLStatic - 3 error(s), 0 warning(s)<br>
  <pre wrap="">
<hr size="4" width="90%">
------------------------------------------------------------------------------
  </pre>
  <pre wrap="">
<hr size="4" width="90%">
_______________________________________________
QuantLib-dev mailing list
<a class="moz-txt-link-abbreviated" href="mailto:Qua...@li...">Qua...@li...</a>
<a class="moz-txt-link-freetext" href="https://lists.sourceforge.net/lists/listinfo/quantlib-dev">https://lists.sourceforge.net/lists/listinfo/quantlib-dev</a>
  </pre>
</blockquote>
<br>
</body>
</html>

[Quantlib-dev] Can't link QuantLibXL from trunk

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

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
</head>
<body bgcolor="#ffffff" text="#000000">
Guys,<br>
<br>
I was trying to play around the trunk version of QuantLib and
QuantLibXL but got the link errors below while trying to generate the
XLL. QuantLib itself compiles and runs the test suite.<br>
<br>
My environment is Windows Vista with Visual C++ 2008 Express SP1.<br>
<br>
Could someone help me?<br>
<br>
Regards,<br>
<br>
<br>
10&gt;------ Rebuild All started: Project: QuantLibXLStatic,
Configuration: Release Win32 ------<br>
<br>
...<br>
<br>
0&gt;Linking...<br>
10&gt;&nbsp;&nbsp; Creating library
.\buildStatic\vc90\Release/QuantLibAddinStatic-vc90-mt-0_9_8.lib and
object .\buildStatic\vc90\Release/QuantLibAddinStatic-vc90-mt-0_9_8.exp<br>
10&gt;register_all.obj : error LNK2019: unresolved external symbol
"void __cdecl registerDefaulttermstructures(struct xloper const &amp;)"
(?registerDefaulttermstructures@@YAXABUxloper@@@Z) referenced in
function "void __cdecl registerQlFunctions(struct xloper const &amp;)"
(?registerQlFunctions@@YAXABUxloper@@@Z)<br>
10&gt;register_all.obj : error LNK2019: unresolved external symbol
"void __cdecl unregisterDefaulttermstructures(struct xloper const
&amp;)" (?unregisterDefaulttermstructures@@YAXABUxloper@@@Z) referenced
in function "void __cdecl unregisterQlFunctions(struct xloper const
&amp;)" (?unregisterQlFunctions@@YAXABUxloper@@@Z)<br>
10&gt;..\xll\QuantLibXL-vc90-mt-0_9_8.xll : fatal error LNK1120: 2
unresolved externals<br>
10&gt;Build log was saved at <a class="moz-txt-link-rfc2396E" href="file://c:\Users\PiterDias\Development\src\QuantLib_trunk\QuantLibXL\qlxl\buildStatic\vc90\Release\BuildLog.htm">"file://c:\Users\Piter
Dias\Development\src\QuantLib_trunk\QuantLibXL\qlxl\buildStatic\vc90\Release\BuildLog.htm"</a><br>
10&gt;QuantLibXLStatic - 3 error(s), 0 warning(s)<br>
</body>
</html>

Re: [Quantlib-dev] SQLServer version of QuantLib

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

On Fri, 2009-06-19 at 12:00 -0700, Bonnie Lee wrote:
> Quantlib Dev:
> 
> 1)     Has anyone transformed QLNet (C#)  to a  SQLCLR library that
> runs inside of Microsoft Sql Server?
> 
> 2)     QLNet is very comprehensive. The single package is large. Is
> there a separation of QLNet into a several functional packages?

Bonnie,
	QLNet is based on QuantLib, but it's another project. You might be
better off posting on the forums at <www.qlnet.org>.

Luigi


-- 

Discontent is the first necessity of progress. 
-- Thomas A. Edison 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16296] trunk/QuantLib

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

On Tue, Jun 23, 2009 at 10:03 AM, Bianchetti
Marco<mar...@ba...> wrote:
> At the moment the trunk does not link properly (with VC8), there are
> many errors from QuantLib::CashFlow,

The compilation of the recently introduced cashflow.cpp was missing
(nothing to do with Rev16296)
It's fixed in the repository

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16296] trunk/QuantLib

[Bianchetti M. <mar...@ba...>]

At the moment the trunk does not link properly (with VC8), there are
many errors from QuantLib::CashFlow, I report the first lines below
(after a "rebuild all").
Ciao
Marco

Build started: Project: QuantLibXLDynamic, Configuration: Release Win32
------
Linking...
   Creating library
.\buildDynamic\vc80\Release/QuantLibAddinDynamic-vc80-mt-0_9_8.lib and
object
.\buildDynamic\vc80\Release/QuantLibAddinDynamic-vc80-mt-0_9_8.exp
quantlib-vc80-mt-0_9_8.lib(digitalcmscoupon.obj) : error LNK2001:
unresolved external symbol "public: virtual bool __thiscall
QuantLib::CashFlow::hasOccurred(class QuantLib::Date const &,class
boost::optional<bool>)const "
(?hasOccurred@CashFlow@QuantLib@@UBE_NABVDate@2@V?$optional@_N@boost@@@Z
) 
 
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Re: [Quantlib-dev] Why not boost random numbers?

[Pfrang, C. <Chr...@br...>]

Hi all,

I was asked by Nando to state my interest in participating in the 'boostification' of quant lib on the mailing list to restart that discussion in the open. 

I would need some guidance as to where one could get started and Dima already had a few ideas.

Best,

Christian


-----Original Message-----
From: Dima [mailto:dim...@go...]
Sent: Sun 6/7/2009 2:09 PM
To: QuantLib developers
Subject: [Quantlib-dev] Why not boost random numbers?
 
Hi all,


Boost has a random number library too and I was wondering, why this has
never
been considered and why own classes have been set up which were not based
on the boost library. I did some simple tests regarding speed: 30.000.000 RN
generations via boost and quantlib. Both with Mersenne Twister and
Box-Mueller.

Boost:        32 seconds
QuantLib:   53 seconds

Might be because I'm calling the numbers with .next().value?

[Quantlib-dev] SQLServer version of QuantLib

[Bonnie L. <bl...@ve...>]

Quantlib Dev:

1)      Has anyone transformed QLNet (C#)  to a  SQLCLR library that runs inside of Microsoft Sql Server?

2)      QLNet is very comprehensive. The single package is large. Is there a separation of QLNet into a several functional packages?

Thanks for your time,
Bonnie

[Quantlib-dev] [ quantlib-Feature Requests-2800128 ] Interface from and to Summit

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

Feature Requests item #2800128, was opened at 2009-06-02 19:45
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2800128&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Tim (tglauner)
Assigned to: Nobody/Anonymous (nobody)
Summary: Interface from and to Summit

Initial Comment:
I have been working for a long time with Summit FT which is a front-to-back Derivatives application. Summit has over 140 banking clients and is used by some global banks for their Treasury and Capital Markets operations. I actually work for Misys who develops and sells Summit. 

Summit has several APIs that allows clients to integrate their proprietary or 3rd party pricing models into the application. I am wondering if it would be beneficial if we would build an out of the box interface between Summit and Quantlib.

The areas to cover would be a mapping between Summit trade data, model data, market data, etc and pass this data to Quantlib, let Quantlib do it's calculations and then pass the statistics back to Summit for display and further calculations.

The greatest challenge for this project would most likely be to have at least two people who understand the data model and overall architecture of the two systems (Quantlib and Summit). I could clearly cover the Summit part but would need help on the Quantlib side.

I also want to mention that this request currently is solely private in nature and does not reflect in any way the views or interests of Misys.

Please let me know if you think that this might be of interest for Quantlib.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-06-19 16:42

Message:
Sorry for the delay.  Yes, it would be of interest.  The two issues are on
the one hand, that it might have to be a different project depending on the
license under which the Summit API are released; and on the other hand,
that since you work for Misys you should have their explicit permission to
work on this.  I suggest that once you have the permission, you post the
proposal on the QuantLib mailing list (it's read by more people and it's
usually more responsive than this tracker, so you might find a volunteer
there.)

Thanks,
    Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2800128&group_id=12740

Re: [Quantlib-dev] Why not boost random numbers?

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

>
> Hi Christian, thanks for you interest.
>
> Let's open this for a discussion? My first step would be to merge the boost
> distributions to QuantLib.
>
> ------------------
> Advantages:
> ------------------
>
> First of all, they have many more distributions, such as non central ones
> and weibull, triangular.
> Then, I personally like the following syntax:
>
> #include <boost/math/distributions.hpp>
> using namespace boost::math;
>
> normal_distribution<> nd;
>
> cout << cdf(nd,0.2)            << endl;
> cout << pdf(nd,0.0)            << endl;
> cout << quantile(nd,0.1)     << endl;
>
> for cdf, pdf and inverse cdf.
>
> ----------------------
> Disadvantages:
> ----------------------
>
> Basically I'm not sure if the implementation there suits our needs. I can
> immagine that boost
> provides basic math classes, which are good enough for the standard user,
> but I'm not sure
> if they are good enough for a library that relies a lot on this things and
> consequently needs
> a high quality implementation. But again, I think its better to go with
> boost in the long run
> as it will be improved on a regular basis by the community.
>
>
> What would a possible merger look like? Either keep current classes such as
> "InverseCumulativeNormal"
> and merge boost in the actual implementation, e.g. initialize a boost
> distribution in constructor and call
> it, instead of the current one.
>
> But I think a better Idea would be to replace the current occurrence of the
> other classes. This wouldn't be too
> much work, since usually the initialization of the cdf is done once, eg.
>
> CumulativeNormalDistribution f; // in the BlackCalculator
>
> Then, f is used throughout the class as a functor. So, if you would replace
> f here with a boost
> class, the merging is straightforward. Running the test_suite will show if
> there's any difference
> to current implementation.
>
> What do you think?
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> 2009/6/18 Pfrang, Christian <Chr...@br...>
>
>
>> Hi all,
>>
>> I've been following the posts on boost and quantlib and I wanted to let
>> you know that I'd be interested in contributing to the boostification of
>> quantlib.
>>
>> My background is in Applied Math (I'm a graduate student in Stochastic
>> Processes/ Dynamical Systems), but I'm an open source newbie and I would
>> need some guidance as to what would be a useful and doable starting point.
>>
>> If anyone of you is interested/ has some time to give me an idea what you
>> think could/ should be done that would be great!
>>
>> Best and thank you,
>>
>> Christian
>>
>>
>> -----Original Message-----
>> From: Ferdinando Ametrano [mailto:qf...@am...]
>> Sent: Mon 6/8/2009 11:18 AM
>> To: Dima
>> Cc: QuantLib developers
>> Subject: Re: [Quantlib-dev] Why not boost random numbers?
>>
>> On Sun, Jun 7, 2009 at 8:09 PM, Dima<dim...@go...>
>> wrote:
>> > Boost has a random number library too and I was wondering, why this has
>> > never been considered and why own classes have been set up which were
>> > not based on the boost library.
>>
>> If I remember right Luigi took a look at boost random number and
>> concluded it was not an half-hour switch.
>> Beside it's not just matter of abandoning the QuantLib random number
>> framework, but also porting to the boost framework some generator
>> which is not available in boost (and which might remain in QuantLib or
>> could be contributed back to boost)
>>
>> Anyway you're right that a further "boostification" of the QuantLib
>> library would be a plus. Not only random numbers, but also math and
>> stats come to my mind, and there's probably more
>>
>> As usual any contribution in this direction would be welcome
>>
>> ciao -- Nando
>>
>>
>> ------------------------------------------------------------------------------
>> Crystal Reports - New Free Runtime and 30 Day Trial
>> Check out the new simplified licensing option that enables unlimited
>> royalty-free distribution of the report engine for externally facing
>> server and web deployment.
>> http://p.sf.net/sfu/businessobjects
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>>
>>
>>
>

Re: [Quantlib-dev] Why not boost random numbers?

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

On Wed, 2009-06-10 at 13:25 +0200, Dima wrote:
> A closer alignment to the existing boost classes in future projects
> would definitely would be a good idea.

Yes, it would---especially since they made it into TR1 and will probably
be part of the next C++ standard.  As usual, we lacked time (and unless
I'm very mistaken, it's going to be hard to find it before 1.0 is
frozen.)

Luigi


-- 

Better to remain silent and be thought a fool than to speak out and 
remove all doubt. 
-- Abraham Lincoln 

Re: [Quantlib-dev] CUDA

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

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.

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] Why not boost random numbers?

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

Thanks for the reply.


One of the points of mentioning this was, that I liked the consistent
architecture of
the random number generators in boost. Although it isn't that flexible in
terms of
possible generation methods, since for instance the normal variables are
always
created by Box Mueller.

However, I hope I won't affend anyone by saying that I didn't like the
architecture for random
numbers in QuantLib. Then again I'm of  course free to propose an
alternative, which I think
would be a lot of work since the current architecture is implemented
everywhere. A closer
alignment to the existing boost classes in future projects would definitely
would be a good
idea. Then we can concentrate on the quant finance classes and get the
updated standard
boost classes with each new version.

Anyways, just a few thoughts







2009/6/8 Ferdinando Ametrano <qf...@am...>

> On Sun, Jun 7, 2009 at 8:09 PM, Dima<dim...@go...>
> wrote:
> > Boost has a random number library too and I was wondering, why this has
> > never been considered and why own classes have been set up which were
> > not based on the boost library.
>
> If I remember right Luigi took a look at boost random number and
> concluded it was not an half-hour switch.
> Beside it's not just matter of abandoning the QuantLib random number
> framework, but also porting to the boost framework some generator
> which is not available in boost (and which might remain in QuantLib or
> could be contributed back to boost)
>
> Anyway you're right that a further "boostification" of the QuantLib
> library would be a plus. Not only random numbers, but also math and
> stats come to my mind, and there's probably more
>
> As usual any contribution in this direction would be welcome
>
> ciao -- Nando
>

Re: [Quantlib-dev] Why not boost random numbers?

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

On Sun, Jun 7, 2009 at 8:09 PM, Dima<dim...@go...> wrote:
> Boost has a random number library too and I was wondering, why this has
> never been considered and why own classes have been set up which were
> not based on the boost library.

If I remember right Luigi took a look at boost random number and
concluded it was not an half-hour switch.
Beside it's not just matter of abandoning the QuantLib random number
framework, but also porting to the boost framework some generator
which is not available in boost (and which might remain in QuantLib or
could be contributed back to boost)

Anyway you're right that a further "boostification" of the QuantLib
library would be a plus. Not only random numbers, but also math and
stats come to my mind, and there's probably more

As usual any contribution in this direction would be welcome

ciao -- Nando

[Quantlib-dev] Why not boost random numbers?

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

Hi all,


Boost has a random number library too and I was wondering, why this has
never
been considered and why own classes have been set up which were not based
on the boost library. I did some simple tests regarding speed: 30.000.000 RN
generations via boost and quantlib. Both with Mersenne Twister and
Box-Mueller.

Boost:        32 seconds
QuantLib:   53 seconds

Might be because I'm calling the numbers with .next().value?

Re: [Quantlib-dev] CUDA

[Andreas S. <an...@sp...>]

steve.affine schrieb:

> I'm not sure if you've looked at it, but it would be more of a rewrite than a
> port. Both the language and architecture are very different from C++.

One could think of moving parts of the calculation in a CUDA-enabled module.

> In addition, CUDA is probably going the way of the dodo with ATI and NVIDIA
> focusing more on OpenCL these days.

At least with nVidia, CUDA will be the basis for OpenCL.


Rgds,

Andreas